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Merrill Lynch Investment Solutions Audited annual report as at March 31, 2013 Société d’Investissement à Capital Variable R.C.S. Luxembourg B 133.445

No subscription can be received on the basis of these financial statements. Subscriptions may only be accepted on the basis of the current prospectus accompanied by an application form, the latest available annual report of the fund and the latest semi-annual report if published thereaer.

Merrill Lynch Investment Solutions

Table of contents

1

Page

Management and Administration

2

Information to the Shareholders

6

Additional Information for Investors in the Federal Republic of Germany

11

Investment Managers’ Report

12

Audit Report

27

Statements of Net Assets as at March 31, 2013

29

Statements of Operations and Changes in Net Assets for the year ended March 31, 2013

31

Statistical information

33

Schedule of Investments as at March 31, 2013

46

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral)

46

Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund

92

Merrill Lynch Investment Solutions – CCI Healthcare Long-Short UCITS Fund

102

Merrill Lynch Investment Solutions – Zweig-DiMenna US Long-Short Equity UCITS Fund

106

Merrill Lynch Investment Solutions – Theorema European Equity Long-Short UCITS Fund

115

Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund

119

Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund

128

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund

132

Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund

184

Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund

200

Merrill Lynch Investment Solutions – QFS Currency UCITS Fund

209

Merrill Lynch Investment Solutions – TRG Emerging Markets Opportunity UCITS Fund

211

Merrill Lynch Investment Solutions – Fulcrum Alpha Macro UCITS Fund

219

Merrill Lynch Investment Solutions – Van Eck Commodities Long-Short Equity UCITS Fund

224

Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund

227

Notes to the financial statements as at March 31, 2013

228

Global Risk Management (Unaudited Information)

240

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Merrill Lynch Investment Solutions

Mrs Miriam Muller

Mr Raymond Blokland

Mr Jocelyn Kiefe

Mr Paul Guillaume

Management and Administration Board of Directors Chairman of the Board of Directors: Mrs Miriam Muller, Director, Merrill Lynch International, 2 King Edward Street London EC1A 1HQ, United Kingdom From November 21, 2012 Mr Eric Personne, Managing Director, Merrill Lynch International, 2 King Edward Street, London EC1A 1HQ, United Kingdom Until October 31, 2012 Directors: Mr Raymond Blokland, Managing Director, Merrill Lynch Equity S.à r.l., 4 rue Albert Borchette, L-1246 Luxembourg, Grand Duchy of Luxembourg Mr Jocelyn Kiefe, Vice President, Merrill Lynch Capital Markets (France) S.A.S., 112 avenue Kléber, 75116 Paris, France Mr Paul Guillaume, Managing Partner, Altra Partners S.A., 370 route de Longwy, L-1940 Luxembourg, Grand Duchy of Luxembourg Mr Jean-Claude Wolter, Avocat Honoraire, 11 B boulevard Joseph II, L-1840 Luxembourg, Grand Duchy of Luxembourg

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Directors: (cont.) Mr Paul Holmes, Director, Merrill Lynch International, 2 King Edward Street, London EC1A 1HQ, United Kingdom From November 21, 2012 Dirigeants: Mr James Munce, Director, Merrill Lynch International, 2 King Edward Street, London EC1A 1HQ, United Kingdom Mr Dauphou Edi, Director, Merrill Lynch International, 2 King Edward Street, London EC1A 1HQ, United Kingdom Registered Office 49 avenue J. F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg Custodian and Paying Agent State Street Bank Luxembourg S.A., 49 avenue J. F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg From November 1, 2012 Société Générale Bank & Trust, 11, avenue Emile Reuter, L-2420 Luxembourg, Grand Duchy of Luxembourg Until October 31, 2012

Merrill Lynch Investment Solutions

Mr Jean-Claude Wolter

Mr Paul Holmes

Mr James Munce

3

Mr Dauphou Edi

Management and Administration (cont.) Registrar Agent and Transfer Agent State Street Bank Luxembourg S.A., 49 avenue J. F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg From November 1, 2012 European Fund Services S.A., 18, boulevard Royal, L-2449 Luxembourg, Grand Duchy of Luxembourg Until October 31, 2012 Investment Managers For the Sub-Fund Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral): Marshall Wace LLP The Adelphi, 13th Floor, 1/11 John Adam Street, London WC2N 6HT United Kingdom For the Sub-Funds Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund and Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund: York UCITS Holdings, LLC 767 Fih Avenue, 17th Floor New York 10153 USA For the Sub-Fund Merrill Lynch Investment Solutions – GLG European Opportunity UCITS Fund: GLG Partners LP, One Curzon Street, London, W1J 5 HB, United Kingdom Until May 21, 2012 For the Sub-Fund Merrill Lynch Investment Solutions – CCI Healthcare Long-Short UCITS Fund: Columbus Circle Investors GP, Metro Center, One Station Place, 8th floor, Stamford, CT 06902 USA

Investment Managers (cont.) For the Sub-Fund Merrill Lynch Investment Solutions – Zweig-DiMenna US Long-Short Equity UCITS Fund: Zweig-DiMenna International Managers Inc., 900 Third Avenue, New York 10022, USA For the Sub-Fund Merrill Lynch Investment Solutions – Theorema European Equity Long-Short UCITS Fund: Theorema Asset Management Limited, 20 Balderton Street, London W1K 6TL, United Kingdom For the Sub-Fund Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund: Graham Capital Management LP, Rock Ledge Financial Center, 40 Highland Avenue, Rowayton CT 06853 USA For the Sub-Fund Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund: AQR Capital Management LLC, Two Greenwich Plaza, 3rd Floor, Greenwich, CT 06830 USA For the Sub-Fund Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund: OZ Management LP, c/o Corporation Trust Center, 1209 Orange Street, Wilmington, Delaware 19801, USA For the Sub-Fund Merrill Lynch Investment Solutions – TT Financials UCITS Fund: TT International, Level 13, Moor House, 120 London Wall, London EC2Y 5ET, United Kingdom Until July 31, 2012

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Management and Administration (cont.) Investment Managers (cont.) For the Sub-Fund Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund: Westchester Capital Management LLC, 100 Summit Lake Drive, Valhalla, New York 10595, USA For the Sub-Fund Merrill Lynch Investment Solutions – QFS Currency UCITS Fund: QFS Asset Management L.P., 10 Glenville Street, Greenwich, CT 06831 USA For the Sub-Fund Merrill Lynch Investment Solutions – TRG Emerging Markets Opportunity UCITS Fund: TRG Management LP, c/o The Corporation Trust Company, Corporation Trust Center, 1209 Orange Street, Wilmington, Delaware 19801 For the Sub-Fund Merrill Lynch Investment Solutions – Fulcrum Alpha Macro UCITS Fund: Fulcrum Asset Management LLP, 6 Chesterfield Gardens, London W1J 5BQ United Kingdom From June 15, 2012 For the Sub-Fund Merrill Lynch Investment Solutions – Van Eck Commodities Long-Short Equity UCITS Fund: Van Eck Absolute Return Advisers Corporation, 335 Madison Avenue, 19th Floor, New York, NY 10017 USA From December 13, 2012 For the Sub-Fund Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund: Beach Point UCITS Management LLC, 489 5th Avenue, New York, NY 10017 USA From February 28, 2013

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Investment Advisors Only for the Sub-Fund Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral): Marshall Wace Asia Limited 28/F One IFC One Harbour View Road Hong Kong Marshall Wace North America L.P., 55 Railroad Avenue, Greenwich Connecticut USA Administrative, Corporate and Domiciliary Agent State Street Bank Luxembourg S.A., 49 avenue J. F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg From November 1, 2012 Société Générale Securities Services, Luxembourg 16 boulevard Royal, L-2449 Luxembourg, Grand Duchy of Luxembourg Until October 31, 2012 Sponsor Merrill Lynch International, 2 King Edward Street, London EC1A 1HQ United Kingdom Distributor Merrill Lynch International, 2 King Edward Street, London EC1A 1HQ United Kingdom Legal Adviser Linklaters LLP, 35 avenue J. F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg

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Management and Administration (cont.) Listing Agent State Street Bank Luxembourg S.A., 49 avenue J. F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg From November 1, 2012 Société Générale Bank & Trust, 11 avenue Emile Reuter, L-2420 Luxembourg, Grand Duchy of Luxembourg Until October 31, 2012 Auditor PricewaterhouseCoopers, Société coopérative, 400 route d’Esch, L-1471 Luxembourg, Grand Duchy of Luxembourg

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Merrill Lynch Investment Solutions

Information to the Shareholders The annual general meeting of Shareholders is held, each year, at the registered office of the SICAV or at the place specified in the convening notice on the last Monday of July (at 12 noon Luxembourg time) or the next following Luxembourg Business Day. The meetings of Shareholders of Shares of a particular Sub-Fund may decide on matters which are relevant only for the Sub-Fund concerned. Notices to Shareholders will be published in the Luxemburger Wort and / or in any other newspaper(s) in those countries where the Shares are sold, as determined by the Board of Directors. Audited annual reports are made available on the SICAV website and for shareholders’ inspection at each of the registered offices of the SICAV and of the Custodian Bank. They will be published within four months following the relevant accounting period, and the latest annual report is made available at least eight days before the annual general meeting. Moreover, unaudited semi-annual reports are made available for shareholders’ inspection at each of the registered offices of the SICAV and of the Custodian Bank and will be published within two months following the relevant accounting period. The financial year ends on March 31 of each year. The list of changes in the portfolio, for the year ended March 31, 2013, is available at the registered office of the SICAV. The Portfolio Turnover Rate (PTR), expressed as a percentage, reflects the volume of dealing in the Sub-Fund. It is equal to the total of purchases and sales of securities netted against the value of the subscriptions and redemptions, over the average net assets of the Sub-Fund for the year. The PTR for the year from April 1, 2012 to March 31, 2013 are the following: Sub-Funds Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund Merrill Lynch Investment Solutions – CCI Healthcare Long-Short UCITS Fund Merrill Lynch Investment Solutions – Zweig-DiMenna US Long-Short Equity UCITS Fund Merrill Lynch Investment Solutions – Theorema European Equity Long-Short UCITS Fund Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund Merrill Lynch Investment Solutions – QFS Currency UCITS Fund Merrill Lynch Investment Solutions – TRG Emerging Markets Opportunity UCITS Fund Merrill Lynch Investment Solutions – Fulcrum Alpha Macro UCITS Fund* Merrill Lynch Investment Solutions – Van Eck Commodities Long-Short Equity UCITS Fund** Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund*** * Launched on June 15, 2012 ** Launched on December 19, 2012 *** Launched on March 25, 2013

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PTR % 1 300.90 438.80 1 267.60 906.40 (76.40) 488.40 81.80 (79.00) 86.10 379.80 57.70 655.90 94.90 14.00 (73.40)

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Information to the Shareholders (cont.) The Total Expense Ratios (TER) for the year from April 1, 2012 to March 31, 2013 are the following: Sub-Funds Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral)

Share Class Class EUR A (acc) Class EUR A (inc) Class EUR B (acc) Class EUR B (inc) Class EUR C (acc) Class EUR C (inc) Class EUR G (acc) Class GBP A (inc) Class GBP B (acc) Class GBP B (inc) Class GBP C (acc) Class GBP C (inc) Class GBP G (acc) Class GBP Management (inc) Class USD A (acc) Class USD B (acc) Class USD C (acc) Class USD G (acc)

Currency EUR EUR EUR EUR EUR EUR EUR GBP GBP GBP GBP GBP GBP GBP USD USD USD USD

TER % 2.08% 2.07% 1.82% 1.80% 2.71% 2.72% 1.86% 2.11% 1.82% 1.87% 2.70% 2.71% 1.84% 0.93% 2.09% 1.83% 2.74% 1.83%

Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund

Class CHF F (acc) Class EUR A (acc) Class EUR B (acc) Class EUR C (acc) Class EUR D (acc) Class EUR E (acc) Class EUR F (acc) Class EUR Z (acc) Class GBP A (acc) Class GBP A (inc) Class GBP B (acc) Class GBP B (inc) Class GBP C (inc) Class GBP D (acc) Class GBP E (acc) Class GBP E (inc) Class GBP F (acc) Class GBP Z (acc) Class SEK A (acc) Class SEK E (acc) Class SEK F (acc) Class USD A (acc) Class USD B (acc) Class USD C (acc) Class USD D (acc) Class USD E (acc) Class USD F (acc)

CHF EUR EUR EUR EUR EUR EUR EUR GBP GBP GBP GBP GBP GBP GBP GBP GBP GBP SEK SEK SEK USD USD USD USD USD USD

2.97% 1.93% 1.93% 2.98% 1.43% 1.93% 2.98% 1.96% 1.92% 1.93% 1.93% 1.92% 2.98% 1.44% 1.95% 1.93% 2.98% 2.07% 1.84% 1.84% 2.93% 1.94% 1.93% 2.98% 1.44% 1.93% 2.98%

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Information to the Shareholders (cont.) Sub-Funds Merrill Lynch Investment Solutions – GLG European Opportunity UCITS Fund*

Share Class Class EUR B (acc) Class EUR C (acc) Class GBP B (acc) Class GBP B (inc) Class GBP C (acc) Class GBP C (inc) Class USD B (acc) Class USD C (acc)

Currency EUR EUR GBP GBP GBP GBP USD USD

TER % 4.06% 5.73% 5.81% 5.94% 6.79% 6.88% 6.00% 6.68%

Merrill Lynch Investment Solutions – CCI Healthcare Long-Short UCITS Fund

Class EUR B (acc) Class EUR C (acc) Class EUR D (acc) Class EUR Z (acc) Class GBP B (acc) Class GBP B (inc) Class GBP C (acc) Class GBP C (inc) Class GBP Z (acc) Class USD B (acc) Class USD C (acc) Class USD D (acc)

EUR EUR EUR EUR GBP GBP GBP GBP GBP USD USD USD

2.49% 3.28% 1.98% 2.57% 2.49% 2.52% 3.27% 3.28% 2.71% 2.43% 3.22% 1.94%

Merrill Lynch Investment Solutions – Zweig-DiMenna US Long-Short Equity UCITS Fund

Class EUR B (acc) Class EUR D (acc) Class GBP C (acc) Class USD Management (acc)

EUR EUR GBP USD

2.54% 2.01% 3.27% 0.38%

Merrill Lynch Investment Solutions – Theorema European Equity Long-Short UCITS Fund

Class EUR B (acc) Class EUR C (acc) Class EUR D (acc) Class EUR Management (acc) Class EUR Z (acc) Class GBP B (acc) Class GBP C (acc) Class GBP Management (acc) Class GBP Z (acc) Class USD B (acc) Class USD D (acc)

EUR EUR EUR EUR EUR GBP GBP GBP GBP USD USD

2.42% 3.23% 1.92% 2.45% 2.49% 2.44% 3.23% 2.44% 2.55% 2.44% 1.92%

Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund

Class EUR B (acc) Class EUR C (acc) Class EUR D (acc) Class GBP B (inc) Class GBP C (acc) Class USD A (acc) Class USD B (acc) Class USD C (acc) Class USD D (acc)

EUR EUR EUR GBP GBP USD USD USD USD

2.46% 3.21% 1.93% 2.44% 49.11% 2.45% 2.44% 3.25% 1.95%

* Liquidated on May 21, 2012

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Information to the Shareholders (cont.) Sub-Funds Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund

Share Class Class EUR B (acc) Class EUR C (acc) Class EUR D (acc) Class GBP B (acc) Class GBP C (acc) Class GBP D (acc) Class USD B (acc) Class USD C (acc) Class USD D (acc) Class USD Management (acc)

Currency EUR EUR EUR GBP GBP GBP USD USD USD USD

TER % 2.52% 3.27% 2.00% 2.47% 3.26% 2.01% 2.45% 3.28% 1.93% 0.43%

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund

Class EUR A (acc) Class EUR A (inc) Class EUR C (acc) Class EUR D (acc) Class GBP A (acc) Class GBP C (acc) Class GBP D (acc) Class USD A (acc) Class USD D (acc)

EUR EUR EUR EUR GBP GBP GBP USD USD

1.42% 1.41% 2.46% 1.42% 1.42% 2.45% 1.42% 1.41% 1.41%

Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund

Class CHF B (acc) Class CHF C (acc) Class EUR B (acc) Class EUR C (acc) Class EUR Z (acc) Class GBP B (acc) Class GBP C (acc) Class GBP Z (acc) Class USD B (acc) Class USD C (acc)

CHF CHF EUR EUR EUR GBP GBP GBP USD USD

2.54% 3.32% 2.55% 3.34% 2.73% 2.55% 3.34% 2.67% 2.48% 3.27%

Merrill Lynch Investment Solutions – TT Financials UCITS Fund**

Class EUR B (acc) Class EUR C (acc) Class EUR D (acc) Class EUR Management (acc) Class GBP B (acc) Class GBP C (acc) Class GBP D (acc) Class USD B (acc) Class USD C (acc) Class USD D (acc)

EUR EUR EUR EUR GBP GBP GBP USD USD USD

2.28% 3.27% 1.78% 0.75% 2.19% 3.11% 1.91% 2.36% 3.24% 1.79%

Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund

Class EUR B (acc) Class EUR C (acc) Class EUR D (acc) Class GBP B (acc) Class GBP B (inc) Class GBP C (acc) Class GBP D (acc) Class USD B (acc) Class USD C (acc) Class USD D (acc) Class USD Management (acc)

EUR EUR EUR GBP GBP GBP GBP USD USD USD USD

1.98% 2.78% 1.68% 2.10% 2.10% 2.78% 1.68% 1.93% 2.78% 1.48% 0.44%

** Liquidated on July 31, 2012

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Information to the Shareholders (cont.) Sub-Funds Merrill Lynch Investment Solutions – QFS Currency UCITS Fund

Share Class Class EUR B (acc) Class EUR C (acc) Class EUR D (acc) Class GBP B (acc) Class GBP B (inc) Class GBP C (acc) Class GBP D (acc) Class GBP D (inc) Class USD B (acc) Class USD C (acc) Class USD D (acc) Class USD Management (acc)

Currency EUR EUR EUR GBP GBP GBP GBP GBP USD USD USD USD

TER % 2.48% 3.25% 1.48% 2.47% 2.46% 3.27% 1.48% 1.53% 2.41% 3.15% 1.41% 0.41%

Merrill Lynch Investment Solutions – TRG Emerging Markets Opportunity UCITS Fund

Class GBP D (acc) Class USD B (acc) Class USD C (acc) Class USD D (acc) Class USD Management (acc)

GBP USD USD USD USD

1.58% 2.11% 2.90% 1.51% 0.45%

Merrill Lynch Investment Solutions – Fulcrum Alpha Macro UCITS Fund***

Class USD B (acc) Class USD C (acc) Class USD Management (acc)

USD USD USD

2.21% 3.09% 0.43%

Merrill Lynch Investment Solutions – Van Eck Commodities Long-Short Equity UCITS Fund****

Class EUR D (acc) Class USD B (acc) Class USD C (acc) Class USD D (acc) Class USD Management (acc)

EUR USD USD USD USD

1.52% 1.84% 2.58% 1.47% 0.42%

Class USD Management (acc)

USD

1.89%

Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund***** *** Launched on June 15, 2012 **** Launched on December 19, 2012 ***** Launched on March 25, 2013

The Total Expense Ratio includes all fees but excludes transaction costs and performance fees. For classes launched during the year, fees have been annualised.

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Additional Information for Investors in the Federal Republic of Germany Marcard, Stein & Co AG, Ballindamm 36, D-20095 Hamburg, has undertaken the function of Paying and Information Agent for the Federal Republic of Germany (the “German Paying and Information Agent”). Applications for the redemption and conversion of shares may be sent to the German Paying and Information Agent. All payments to investors, including redemption proceeds and potential distributions, may, upon request, be paid through the German Paying and Information Agent. The prospectus, the key investor information documents, the articles of incorporation and the annual and semi-annual reports may be obtained, free of charge, in hardcopy form at the office of the German Paying and Information Agent during normal opening hours. The statement of changes in the composition of the investment portfolio is also free of charge upon request at the office of the German Paying and Information Agent available. Issue, redemption and conversion prices of shares and any other information to the shareholders are also available, free of charge, from the German Paying and Information Agent. The issue, redemption and conversion prices of shares and the notices to the shareholders will be published on the following website www.invest.baml.com/funds.

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Investment Managers’ Report Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Investment Management Review: April 1, 2012 to March 31, 2013

Over the 12 months under review the European equity market1 returned +14.43%, sharply drawing down -8.98% across April and May 2012 and then rallying steadily by +25.72% from June to the end of March 2013. The average monthly volatility of the market1 across the 12 month period was 13.68% (based on daily data). The performance of the strategy over the period was good and broadly in line with that targeted. The 12 month return generated by the Sub-Fund2 was +7.91% net, with a Sharpe ratio of 2.79 over the period (based on daily data). The strategy maintained its targeted low volatility at just 2.78% over the year (compared to 14.64% for the equity market*). The correlation of the Sub-Fund’s2 daily returns to those of the market* was also minimal over the 12 months at just 0.008. Having oscillated between level 2 and 3 (on a scale of 1 to 5) for the majority of 2012, Marshall Wace’s proprietary composite Alpha Regime Indicator (“ARI”), which seeks to assess the external risk regime in which the MW TOPS strategies operate, ranged between level 1 (not seen since April 2011) and 3 during Q1 2013, indicating a market environment which MW TOPS contributors are likely to find favourable for alpha generation. As a result, GME increased to 320.47% by the end of January 2013, in contrast to a level of 305.44% at the end of 2012. 2012 was particularly busy for the MW TOPS research team, with strong progress being made in several areas. Within the contributor stream, Marshall Wace released an improvement to the model which estimates contributor skill. The Investment Manager uses this to determine contributor weights, resulting in a ‘weighted consensus’ on each stock. Within the alpha domain, the incorporation of additional information (such as price, volume and newsflow) alongside contributor input has continued to deliver strong benefits. The Investment Manager has added several new data sources and blended these into the firm’s existing contributor forecasts, resulting in significant improvements to both their simulations and realised performance. Within their risk and environment research, the team has also made some changes to the Alpha Regime Indicator. The fall in pairwise correlation seen across 2012 remained at these lower levels into the first quarter of 2013, an observation that is not just limited to daily observations but also present in intraday returns. This microstructure effect is important as low intraday correlation increases the number of opportunities for identifying and trading on mispriced stocks and therefore is helpful both to alpha extraction and trading cost reduction. Given this strength in the structural alpha generation capacity of MW TOPS, the Investment Manager remains positive about the return environment for the coming year. Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund The second quarter of 2012 was dominated by macroeconomic concerns that overshadowed relatively strong earnings and dampened investor and CEO confidence as the pace of corporate and economic activity declined. Ongoing European sovereign issues, China’s economic slowdown and concerns over the sustainability of the U.S recovery triggered significant de-risking by market participants. However, during the third quarter, particularly in August and September, global markets rallied as the ECB strengthened its official policy response to the Eurozone crisis signaling that it would act as “the lender of last resort” by committing to unlimited purchases of sovereign bonds. Further, anticipation of the Federal Reserve’s announcement of QE3 provided additional tailwinds for the markets. During the quarter, volatility declined significantly and more importantly, the high levels of correlations amongst stocks decreased. Global markets were mixed during the fourth quarter with the U.S. declining over uncertainties around the “fiscal cliff ” and Europe continuing to rebound aer the ECB’s official policy response to the Eurozone crisis. Despite the mixed backdrop, and importantly for our event-driven strategy, investors re-engaged, market volatility remained range-bound, and correlation among asset classes decreased as a Eurozone crisis scenario became less likely. These dynamics resulted in a more rational market, and thus the opportunity to add return through fundamental analysis and catalyst-driven security selection. During the first quarter of 2013, despite ongoing concerns around the stability of the Eurozone and continued budget debates in Washington, global markets rallied amid strong corporate earnings, positive economic data, and a recovering 1

As measured by the MSCI AC Daily TR Net Europe Local Index

2

Class EUR A (acc)

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Investment Managers’ Report (cont.) Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund (cont.) U.S. housing market. Further, indications from central bankers that global interest rates will remain low provided a positive technical backdrop for the markets. During the quarter, we saw an increase in corporate activity and a steady pipeline of European distressed credit situations. Top contributors to performance during the prior twelve months for the Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund were Lehman Brothers, Realogy and Yahoo. Our Lehman Brothers bonds and claims performed well in anticipation of cash distributions, aer agreeing to sell its property unit Archstone, and in response to a favorable intercompany settlement. Our shares in Realogy contributed to gains as the company benefited from the continued recovery in the U.S. housing market. Yahoo was also a top performer as the company completed the sale of half of its stake in Chinese e-commerce firm Alibaba and used the proceeds for share buybacks. The largest detractors from performance over the past year were equity market hedges. Another top detractor during the period was United Rentals, which fell during the 2nd quarter due to fears over a slowdown in global growth and its effect on the U.S. economy. Merrill Lynch Investment Solutions – GLG European Opportunity UCITS Fund This Sub-Fund was liquidated on May 21, 2012; therefore, there is no Investment Manager Report.

Merrill Lynch Investment Solutions – CCI Healthcare Long-Short UCITS Fund Year Review and Outlook

For 2012, Biotech longs and Pharmaceuticals/Specialty Pharma longs were the strongest performers while biotech shorts and hedges/options detracted from performance. As we witnessed for much of 2012 and in fact much of the past 3 years, major political decisions held fragile global economies and stock markets hostage to unpredictable and oen non-committal actions. In fact, for all of 2012, many binary and unpredictable macro outcomes made it difficult to invest aggressively fundamentally, protect the portfolio, and participate on the upside. Many of the market’s biggest moves occurred in short order aer decisions that, had they gone the other way (i.e. Draghi not intervening as aggressively when Spanish 10 year yields approached 8% or Congress not passing a Fiscal Cliff bill), would have resulted in material downside. As a result, taking on volatility was not desirable and resulted in more use of ETF and option hedging which cost performance about 3% for the year. For 2013, we see an improved macro environment given the policy progress achieved in Europe, better economic data out of China and expansive monetary and fiscal policies in Japan. Though the U.S. budget debate (and all the ancillary issues such as the debt ceiling, sequestration and continuing resolution) will create another overhang for the markets, we are focused on the key leading indicators such as U.S. housing and employment which are showing solid improvement. For healthcare specifically, we are excited about the prospects for the sector. The re-election of President Obama, along with the SCOTUS (Supreme Court of the United States) decision in June, means that for the first time in four years, investors, especially generalists, do not have to consider the uncertainties of changing healthcare policy and instead can make investments based on the fundamentals of the sector. We believe the implementation of the Affordable Care Act (ACA) in October 2013 (though delays may occur) will help insure an estimated 15 million new individuals growing to ≈20 million in 2015. Therefore, despite healthcare’s strong performance in 2012, we see multiple expansions in many of the healthcare sub-sectors as investors and the sell side begin to discount the positive impact from increased utilization beginning in 2014. We anticipate volatility for the group as a result of U.S. balanced budget discussions but our analysis of potential entitlement changes suggests limited material economic impact. In fact, the resolution could allow many companies in healthcare to have better visibility on their cash flows and therefore deploy cash accordingly, including M&A. Of course, many aspects of the ACA will put pressure on pricing and margins and help to lower the growth of healthcare spending in the U.S.; however, most of these issues will likely begin in earnest in the back half of this decade.

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Merrill Lynch Investment Solutions

Investment Managers’ Report (cont.) Merrill Lynch Investment Solutions – CCI Healthcare Long-Short UCITS Fund (cont.) Subgroups

Biotech – Many stocks that had performed well throughout the year were down in the latter half, likely due to rotation out of 2012 winners due to changes in the capital gains tax and general risk aversion from Fiscal Cliff concerns. For 2013, we believe biotech will continue to perform well. The regulatory environment remains favorable (i.e., 2012 was a record year for drug approvals). We are excited about many of our core mid cap biotechs but expect that more trading and selected exposure will be needed, especially in those names that performed well in 2012. We look to generate returns from a new crop of stocks with evolving new pipeline stories such as BioMarin and Celgene and Ariad on a rebound from overblown safety and launch fears. Pharmaceuticals – This group was mostly down in back end of 2012, possibly due to dividend tax changes that began in 2013. Since the beginning of 2013, however, they have rebounded, as the tax change was modest and several of these companies still offer pipeline optionality at low valuations. Healthcare Services – The hospital group was volatile. On a fundamental basis, volumes have remained lackluster and pricing continues to be relatively stable. Our view of hospitals/providers in 2013 is more constructive than our prior view due to the coming benefits from healthcare reform beginning 2014, improving key leading indicators such as U.S. employment which could create a modest utilization uptick during 2013, and less risk from binary events such as the Supreme Court decision and Presidential election. Valuations, though off their lows, are still within historical ranges and do not factor in reform upside scenarios, in our view. For Managed Care Organizations, our outlook remains biased negative (though still constructive on Medicaid focused MCOs). Our view of PBMs is neutral with tailwinds such as continued increases in mail and generic utilization, low exposure to Medicare budget cuts, and modest 2014 utilization benefits, offset by headwinds such increasing competition and moderating generic benefits. Medical Technology – Medical technology and supply stocks declined in later in the year mostly due to indiscriminate selling into the final days of the Fiscal Cliff negotiations. We are more constructive on the medical technology group heading into 2013 due primarily to a moderately improving U.S. macroeconomic backdrop, a bottoming process forming in Europe, continued strong emerging markets, and the Medical Technology tax headwind now incorporated into investor expectations. Further, company management’s bias toward shareholder-friendly actions such as dividend increases, restructurings, share buybacks and M&A should help drive additional earnings growth opportunities. Lastly, we anticipate a utilization benefit due to increased insurance coverage starting in 2014, which we do not view as being fully discounted by investors. As we look into 2013 for healthcare information technology companies, our view has changed from biased negatively to neutral. The slowdown in HCIT spending that we have discussed is occurring and we continue to believe multiple expansion is not likely. Focus/Themes

Much as we have discussed in the past, we will focus on those companies that offer true innovation (can demand and justify higher and stable reimbursement and is a necessity), products or services that help reduce costs (increase profits) and those that are willing to utilize their cash balances to increase shareholder value, acquire strategic assets and grow in emerging markets (large cap, cash rich, saturated markets, low valuations, high Free Cash Flow). With tail risk and U.S. healthcare policy uncertainty reduced, we are willing to take on more volatility resulting in higher net exposures, less hedging, and increased exposure to global economies and cyclical sectors. Merrill Lynch Investment Solutions – Zweig-DiMenna US Long-Short Equity UCITS Fund Politics in the U.S. and macroeconomic events globally played a decisive role in determining the direction of the market during 2012. The first quarter was a robust environment for equities, as fewer macroeconomic concerns allowed fundamentals to drive stock prices. However, this proved to be short lived, as concerns over Europe’s continuing debt crisis created a volatile environment, only to be buoyed in third quarter by a stop gap resolution by the European authorities. The fourth quarter proved to be just as challenging as the fiscal cliff debate created an uncertain environment, hurting both economic growth and stock performance. Recent economic data shows clear evidence of early stage recoveries in the two largest economies in the world. Highly accommodative monetary policy and stability in several crisis situations should be a prop to the market and economies. The

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Investment Managers’ Report (cont.) Merrill Lynch Investment Solutions – Zweig-DiMenna US Long-Short Equity UCITS Fund (cont.) political and economic climate across the globe continues to pose risks to the stability of the market in the coming months. We will monitor all of this and adjust as needed. The more stable economic climate has driven stock correlations to a level closer to its long-term average, which creates a more favourable backdrop for stock selection. We continue to search for investment opportunities that can do well in any type of economic landscape, and our current exposures suggest that we are finding many compelling ideas to put to work. Merrill Lynch Investment Solutions – Theorema European Equity Long-Short UCITS Fund In the period April 1, 2012 to March 31, 2013, the Dow Jones EURO STOXX 600 had 15.87% performance, whilst the Merrill Lynch Investment Solutions – Theorema European Equity LongShort UCITS Fund appreciated by 7.65%. This period has been characterized by extreme volatility combined with European stock prices showing an unprecedented high correlation. This resulted in a difficult environment for stock-pickers like us. Global markets have been trending upwards, supported by vanishing fears with regards to Chinese growth sustainability and the postponement of the so landing/hard landing debate in that area of the world, whilst the US had started to show some timid, but substantial improvement all across the spectrum of the economy. Europe, however, remained the Ugly Duck and an exacerbated Greek crisis which by the summer resulted in the country’s debt restructuring, put the European establishment shoulders’ against the wall for clear and firm plans with regards to guaranteeing the survival of the banking sector in the area. In August, just when things were precipitating, a last minute intervention of the ECB tackled the liquidity issue and reinstated confidence in the viability of the European Financial Sector, spurring investors’ hopes that at some point the establishment would have agreed on more structural interventions such as Eurobonds and possibly a full Banking Union. Somehow, our portfolio mirrored these developments in Europe, with our longs and shorts not realizing the alpha, but trading all as market proxies until August. As a lot of the tail risk was perceived by investors to be removed by the ECB intervention, reason came into play, liquidity conditions improved and our portfolio started delivering returns in line with what we expected, rallying 13.50% from September 1 to March 31, 2013 versus 10.5% by the Eurostoxx. Despite macro factors influencing the price action, our portfolio reacted quite well to the increased volatility of the 2012 summer months. In October and November some of our core positions, that we chose for being, according to our analysis, less correlated with the business cycle, released most of the value identified, and some underwent corporate actions, our expected blue sky scenario. Cables and Media were strong contributors to our performance, with Kabel Deutschland, Telenet and Sky Deutschland among our core longs. Consumers, in spite of a patchy 1st half, delivered some good performance in the 2nd part of the year. We managed to extract alpha also in Oil and Telecoms, while stock picking in the Luxury and Utilities sector have not added much despite some positions delivering well. Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund During the second quarter of 2012, our portfolio retreated as weaker than expected growth in China and the U.S. combined with ongoing concerns in Europe to create a difficult investing environment. With an uncertain macro outlook and struggling equity markets, we ran a conservatively positioned portfolio with low net exposures throughout the quarter. During the third quarter, however, our portfolio rebounded despite persistent volatility in the Asian equity markets. Opposing forces impacted the investing environment as concerns regarding Eurozone stability and the Chinese economy were met by central bank support. In this environment, the portfolio generated gains while taking modest directional exposure. Asian markets finished 2012 higher

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Investment Managers’ Report (cont.) Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund (cont.) with a strong rally in December as new leadership in China and Japan positively impacted market sentiment. Chinese markets gained on increasing signs of economic stabilization and reform, quelling concerns of a hard landing for China, while Japanese markets surged on optimism around reflation and currency weakening under Shinzo Abe’s new government. Entering the fourth quarter fully invested, our portfolio benefited from renewed confidence in Asian equities and the realization of several catalysts within our special situations holdings. While market sentiment was positively impacted by new leadership in China and Japan at the start of 2013, divergent policies resulted in Asia’s two largest markets finishing the first quarter in opposite territory. Japanese markets were strong as Prime Minister Shinzo Abe continued to call for growth, reflation and currency weakening and Haruhiko Kuroda, an advocate of monetary easing, was confirmed as the Bank of Japan governor. In contrast, local and overseas Chinese markets pulled back during the quarter on concerns over monetary and credit tightening. Opposing market performance notwithstanding, our portfolio advanced during the quarter as gains from our arbitrage and special situations strategies were only partially offset by market hedges in Japan and modest losses within special situations equities. For the Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund, top contributors to performance during the period included Jupiter Telecommunications and Aozora Bank. Jupiter Telecommunications saw a 12% bump aer KDDI and Sumitomo raised their tender offer price aer pushback from minority shareholders for increased valuation on the deal. Aozora Bank also contributed to gains as we successfully managed the position on both the long and short side. Aer our short position declined in share price ahead of Cerberus’ sale of its stake in the company, we covered and established a long position, which advanced aer the removal of the stock overhang. Top detractors during the period included Atlas Iron, driven in part by weak market sentiment, and Echo Entertainment, which detracted from performance on news of a board reshuffle which raised uncertainty around corporate activity. Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund The Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund recorded a net loss during the time period of April 1, 2012 through March 31, 2013. The majority of the losses were driven by trading in the energy and metals sectors amidst abrupt price reversals during the period. Smaller losses resulted from trading European currencies. The Sub-Fund recorded gains from positions in global equity indices and global fixed income markets as directional moves in these markets benefitted the Sub-Fund’s performance and offset a portion of the overall losses for the period.

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Twelve-Month Review Performance Summary1

– The Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund (“GRVU”) returned +4.4% for the twelve months ending March 31, 2013. – Six of the Sub-Fund’s nine strategies had positive returns during the twelve months. – Since its January 27, 2011 inception, the Sub-Fund has returned +0.4% annualized with realized daily volatility of 6.4%, and a 0.25 weekly correlation to equities. Market and Hedge Fund Performance2

The past twelve months have seen a number of changes in market sentiment as market participants struggled to interpret developments in the European Debt Crisis, U.S. budget wrangling and the global demand impact of China as well as other emerging economies. During this period, the MSCI World index appreciated +12.6% in U.S. dollar terms. In the first three months of the period, credit downgrades and poor economic news out of Europe along with weak U.S. employment data sent global markets down about -5% coupled with a significant increase in market volatility. In the next three months, there was aggressive

1

Please read important performance disclosures at the end of this Investment Manager Report. Performance information contained herein is supplemental to the Global Investment Performance Standards (GIPS®) presentations compliant for these strategies. Please inquire at AQR for a copy of the presentations. Performance numbers in this letter are estimates as at March 31, 2013, and refer to the AQR Global Relative Value UCITS Fund, which targets comparable volatility to a multi-strategy hedge fund.

2

Equity index returns are quoted in local market terms unless otherwise stated.

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Investment Managers’ Report (cont.) Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund (cont.) monetary action from central banks around the globe and equity markets erased gains from the previous quarter. In the first quarter of 2013, global markets advanced soundly and the S&P 500 index closed the quarter at an all-time high, surpassing the previous high set in October of 2007. Volatility, as measured by the VIX, which had been as high as 27% in June 2012, hit a six-year low of 11.3% in March. Ten-year Treasury yields, which had not been above 2% since April 2012, moved above 2% again in the first quarter of 2013. The BAML High Yield index, which appreciated +13.1% in the past twelve months, traded to a historically low yield-to-maturity of 6.4% at the end of the period. In Japan, the anticipated and subsequent Liberal Democratic Party’s election victory in December and their declared aggressive monetary policy helped to devalue the yen nearly 20% over the last six months, which in turn helped spur the TOPIX equity index up more than 40% in that period. The significant outperformance of the Japanese market (+21%) in the last quarter was just one example of diverging market performance, as the S&P 500 and FTSE 100 each appreciated about 10%, the Euro Stoxx 50 was flat and the MSCI Emerging Markets index declined -1%. The magnitude of this past quarter’s underperformance (relative to developed markets) by emerging markets has only been exceeded once in the past 25 years, which was in June 1998 during the heart of the Asian Financial Crisis and a couple of months before the Russian default. Hedge funds, as represented by the HFRI Fund Weighted Index (“HFRI”) and the Dow Jones Credit Suisse Hedge Fund Index (“DJCS”), were +5.5% and +7.2%, respectively, for the trailing twelve months ending March 31, 2013. The beta estimates of the HFRI and DJCS to the MSCI World (US$) for the trailing year were 0.3 and 0.2, respectively. Given the +12.6% return of the MSCI World during the period, beta explains 73% of the HFRI return, and 33% of the DJCS return. The HFRI’s returns were driven by asset-backed, credit and distressed sub-strategies. Relative Value, which includes credit and fixed income strategies, Multi-Strategy and Event Driven were the best performing broad HFRI strategies. Similarly, DJCS performance was led by Fixed Income Relative Value, Multi-Strategy and Event Driven strategies. Nine of ten DJCS strategy indices, which are classified more closely to GRVU’s strategies, were positive during the twelve-month period, with Dedicated Short Bias being the only exception. The performance of the HFRI Equity Hedge (+5.8%) and the DJCS Long/Short Equity (+6.1%) during the period was not very surprising given that each has historically had about a 0.5 beta to the MSCI World. GRVU Strategy Contributions – Twelve Months

Six of GRVU’s nine strategies had positive results for the trailing twelve months. Stock selection strategies, led by Equity Market Neutral and Long/Short Equity, were the primary source of gains. Arbitrage strategies were a consistent source of gains for the first nine months of the period. The relatively small loss by Arbitrage strategies in the most recent quarter was the first quarterly loss these combined strategies have experienced since GRVU’s inception. Macro strategies were flat for the full period aer strong performance in October through December kept these strategies from contributing significant losses over the full period. Largest Contributors and Detractors – Twelve Months

Equity Market Neutral (+2.8%) All of the strategy gains for the period were generated in the most recent quarter, as the previous nine months amounted to a small loss. In fact, the gain in the past three months was the largest quarterly contribution of any of the nine strategies over the past two years. Gains in Equity Market Neutral during the past twelve months occurred across all four regional portfolios but profits in the U.S. and European portfolios, which were +1.2% and 1.0%, respectively, were of greater magnitude than those of the Japanese and U.K. portfolios, which contributed about 0.3% each. Value themes performed well in each region except Japan and were the primary driver of the strong U.S. contribution. Profits from U.S. and European value themes were concentrated in the last three months of the period. Growth and accounting-oriented earnings-quality themes performed well across all regions. Defensive themes performed poorly in the U.S., U.K. and Japan. European profits were generated across all thematic components and were particularly notable given that the strategic risk-weight allocated to the European portfolio is less than half of the U.S. allocation. Long/Short Equity (+1.8%) Over the past twelve months, GRVU’s Long/Short Equity strategy generated profits from directional positions, industry selection and growth-oriented stock selection strategies. World equity markets generated meaningful positive results in the trailing year and the dynamic, variable net exposure sub-strategy captured this movement, contributing roughly 0.8%. Industry and stock selection strategies are traded within four regional portfolios, of which, European, U.K. and Japanese portfolios generated profits

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Investment Managers’ Report (cont.) Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund (cont.) of between +0.4% and +0.9% each and the U.S. portfolio lost -0.8%. Growth themes generally performed well within both stock selection and industry selection. Accounting-focused themes also contributed well in the U.K., Europe and Japan. Portfolio losses in the U.S. were a result of weak performance of growth, defensive and accounting-based themes. Defensive themes detracted across all regions. Convertible Arbitrage (+1.0%) Virtually all of the gains in Convertible Arbitrage were generated in the first six months of the past twelve months. GRVU’s portfolio of convertible securities was estimated to be, on average, 2.3% cheap relative to fair-market-value at the beginning of the period. By the end of June, weighted-average cheapness was estimated to be just 1.3% and during the following quarter the portfolio richened to trade at a 0.3% weighted-average premium to fair-market-value. GRVU’s Convertible Arbitrage strategy benefited from this contraction in cheapness and gained +1.0%. During the latter half of the past twelve months, there was very little change in the strategy’s profit and loss contribution as the portfolio remained at a modest premium. In fact, over the past six months, strategy contribution to fund performance stayed within a narrow range of ± 0.1% each month. As at the end of March, the weighted average premium of the convertible portfolio was 0.2%. One of the most significant factors driving this change in convertible security valuation was lackluster convertible issuance during 2012. For the full year of 2012, there was roughly $22 billion in new issuance of U.S. equity-linked securities, a paltry amount compared to the period before the financial crisis, when high-yield and lesser investment-grade credit yields were high enough to induce companies to consider the lower yields of convertible securities. As the universe of convertible securities has declined in size, due to this lack of issuance, the bonds that make up that universe have become fully valued. In contrast to 2012, in the first quarter of 2013, there was a surge in issuance, but even the $11 billion in new convertible securities was not enough to materially change the discount/premium profile of convertible bonds. As at March 31, 2013, there were 66 convertible positions in GRVU’s Convertible Arbitrage portfolio and just 50 of those issues represented 98% of market value. Event Driven (+0.7%) GRVU’s Event Driven strategy, which is focused on merger arbitrage, benefited from a benign environment over the past twelve months, in which there was moderate deal flow, a contraction of deal spreads and a low level of deal failure. The diminished occurrence of deal failures may have had the most positive effect on strategy returns. Roughly 60% of profits for the trailing period were generated in the quarter-ended December 2012, when median deal spreads narrowed from 3% to 2%. Over the past year spreads have contracted from nearly 4% in March of 2012 to a low of less than 2% and back up to roughly 3% in March of 2013. The portfolio held 51 mergers as at March 31, 2013. Dedicated Short Bias (-0.3%) Dedicated Short Bias was the only strategy to generate losses of any material nature during this twelve-month period. This strategy trades four regional, sentiment-focused stock selection strategies that are market-neutral in nature and one strategy that is passively short the market. The directional strategy only contributes a modest amount of short equity-beta at the Sub-Fund level and represents roughly 20% of the strategy’s aggregate risk allocation but given the strong market movement during the period it managed to generate -0.7% in loss contribution. The stock selection strategies combined for a +0.4% gain, driven by strong performance of the U.S. portfolio (+0.9%), offset by relatively weak performance of the U.K. portfolio (-0.5%). The European and Japanese portfolios had modest and offsetting profit and loss contributions. Investor sentiment themes performed well in each region except the U.K. and both management-signaling themes and accounting-oriented, earnings-quality themes sustained losses in each region traded. Tactical Positioning

For much of the past year, the Sub-Fund has been tactically operating near 90% of its forecasted strategic volatility target. Aggregate tactical positioning is a function of individual strategy tactical decisions rather than any aggregate view. As at March 31, 2013, six of GRVU’s nine strategies are tactically underweight relative to strategic allocation compared to just five strategies one year ago. There was only one strategy, Long/Short Equity, which was tactically overweight at the end of the period, which was also true one year ago.

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Investment Managers’ Report (cont.) Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund (cont.) All three of GRVU’s Arbitrage strategies remain meaningfully underweight from a tactical perspective. Convertible Arbitrage has seen the greatest tactical reduction in risk exposure over the past year of any of the nine GRVU strategies, in light of the fullyvalued convertible debt market and the low level of issuance that occurred for much of the past year. Event Driven also finished the period tactically positioned below strategic risk, with a roughly 15% reduction over the past year. This reduction and low risk-level reflects the low merger spreads being offered by the market and relatively low levels of deal flow, limiting portfolio diversification opportunities. The Fixed Income Relative Value strategy has not meaningfully changed its tactical positioning from twelve months ago and remains significantly underweight. GRVU’s Global Macro strategy’s tactical allocation was reduced by roughly 15% in the past year from roughly 90% at the beginning of the period. Tactical risk allocation to Emerging Markets strategies were reduced by nearly 10% and Managed Futures experienced a slight reduction in allocation during the year. Global Macro has faced decreasing alignment across its various trading themes. There have been no changes to tactical allocation in Equity Market Neutral or Dedicated Short Bias strategies. The Long/ Short Equity strategy is currently 15% overweight, which is a 5% increase from one year prior. The Long/Short Equity tactical positioning has increased along with equity market momentum during the period. Conclusion

The Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund was up +4.4% net of fees for the twelve months ending March 31, 2013. Strong performance from Equity Market Neutral and Long/Short Equity strategies and reasonable contributions from Convertible Arbitrage and Event Driven strategies characterized Sub-Fund performance for the trailing year. Dedicated Short Bias was the only strategy that experienced losses that were material in nature. During this period equity market performance was strong and hedge funds indices, which exhibit significant beta relationships to equities, benefited from that relationship, to varying degree. Asset-backed, credit and distressed strategies were significant drivers behind hedge fund index returns. Although GRVU does not participate in these strategies for liquidity reasons, the Sub-Fund was still able to generate positive results without meaningful influence from equity-market direction. Disclosures

This information is supplemental to the Global Investment Performance Standards (GIPS®) compliant presentation for this strategy. The information set forth herein has been obtained or derived from sources believed by AQR Capital Management, LLC (“AQR”) to be reliable. However, AQR does not make any representation or warranty, express or implied, as to the information’s accuracy or completeness, nor does AQR recommend that the attached information serve as the basis of any investment decision. This document has been provided to you in response to an unsolicited specific request and does not constitute an offer or solicitation of an offer, or any advice or recommendation, to purchase any securities or other financial instruments, and may not be construed as such. This document is intended exclusively for the use of the person to whom it has been delivered by AQR Capital Management, LLC, and it is not to be reproduced or redistributed to any other person. This document is subject to further review and revision. Please refer to the Sub-Fund’s PPM for more information on general terms, risks and fees. For one-on-one presentation use only. All performance figures contained herein reflect the reinvestment of dividends and all other earnings and represent unaudited estimates of realized and unrealized gains and losses prepared by AQR Capital Management, LLC. There is no guarantee as to the above information’s accuracy or completeness. PAST PERFORMANCE IS NOT AN INDICATION OF FUTURE PERFORMANCE. There is no guarantee, express or implied, that long-term return and/or volatility targets will be achieved. Realized returns and/or volatility may come in higher or lower than expected. Diversification does not eliminate the risk of experiencing investment losses. The net returns of the Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund were calculated using a 1% fixed annual management fee and 15% performance fee. Please note, as we have several different share classes available, with

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Investment Managers’ Report (cont.) Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund (cont.) varying fee arrangements and differing base currencies, the performance numbers above are not representative of all investors or achievable by all investors. Please note that the net returns presented here (both MTD and YTD) are based on the assumption that an investor contributed money to the Sub-Fund at the start of the year (or at inception if returns start in a month other than January in the given year) and had no subsequent contributions and redemptions thereaer. Interim contributions and redemptions can affect the net return of an investment in the Sub-Fund based on the timing and may vary significantly from the returns above (depending on the amount of incentive fee that has been accrued to date). Please inquire at AQR for more specific net returns. Gross performance results do not reflect the deduction of investment advisory fees, which would reduce an investor’s actual return. For example, assume that $1 million is invested in an account with the Firm, and this account achieves a 10% compounded annualized return, gross of fees, for five years. At the end of five years that account would grow to $1,610,510 before the deduction of management fees. Assuming management fees of 1.00% per year are deducted monthly from the account, the value of the account at the end of five years would be $1,532,886 and the annualized rate of return would be 8.92%. For a ten-year period, the ending dollar values before and aer fees would be $2,593,742 and $2,349,739, respectively. AQR’s asset based fees may range up to 2.85% of assets under management, and are generally billed monthly or quarterly at the commencement of the calendar month or quarter during which AQR will perform the services to which the fees relate. Performance fees are generally equal to 20% of net realized and unrealized profits each year, aer restoration of any losses carried forward from prior years. In addition, AQR funds incur expenses (including start-up, legal, accounting, audit, administrative and regulatory expenses) and may have redemption or withdrawal charges up to 2% based on gross redemption or withdrawal proceeds. Please refer to the Sub-Fund’s Private Offering Memoranda and AQR’s ADV Part 2A for more information on fees. Consultants supplied with gross results are to use this data in accordance with SEC, CFTC, NFA or the applicable jurisdiction’s guidelines. Convertible bond securities may be considered illiquid securities, which cannot be sold or disposed of in the ordinary course of business at approximately the prices at which they are valued. Difficulty in selling securities may also result in a loss or may be costly to an investment portfolio. There is a risk of substantial loss associated with trading commodities, futures, options, derivatives and other financial instruments. Before trading, investors should carefully consider their financial position and risk tolerance to determine if the proposed trading style is appropriate. Investors should realize that when trading futures, commodities, options, derivatives and other financial instruments one could lose the full balance of their account. It is also possible to lose more than the initial deposit when trading derivatives or using leverage. All funds committed to such a trading strategy should be purely risk capital. Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund recorded a net gain of approximately 9.85% (USD – Retail share class) over the twelve months ending March 28, 2013. During this period, global markets experienced significant losses and volatility. Within Europe, the EURO STOXX 50 was up approximately 11.33%. Market volatility, as measured by the VIX, ranged moderately over the period. As market conditions changed throughout the year and the investment landscape shied, we dynamically allocated capital across our four investment strategies in an effort to capitalize on opportunities. We continue to employ the Sub-Fund’s cash balance during periods of high volatility and market stress as a tactical risk management tool. The long/short equity special situations strategy remained a dominant allocation within the Sub-Fund over the course of the twelve months. Throughout much of 2012, market moves and performance of stocks were dominated by global macro events. This trend continued into 2013, while heightened concerns over the potential for economic contagion in Europe were observed at the end of the first quarter of 2013. Market volatility created a particularly difficult environment in which to trade, and our portfolio was not immune to dramatic swings as we rotated in and out of positions during the period. During the early summer months, we sought to be positioned with low net exposure, particularly to economically exposed companies, while remaining flexible in our approach in order to pursue attractive investment opportunities. Later in the summer, due to a marked decrease in volatility, we selectively added to our equities exposure as our perception of corporate events and valuations improved. However,

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Investment Managers’ Report (cont.) Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund (cont.) towards the end of 2012, uncertainty surrounding fiscal policy in the U.S. and austerity measures in Europe caused us to pare back our exposure to this strategy and engage a more conservative approach heading into 2013. With sentiment in Europe muted at the end of the first quarter of 2013, we have maintained a relatively cautious view on European equities. The focus of our investment strategy continues to be on selecting positions with defined events and catalysts, while also seeking investment opportunities with strong fundamentals. The allocation to the Merger Arbitrage strategy in the Sub-Fund remained relatively low over the period. Due to sustained levels of high volatility and macro uncertainty, deal activity remained muted throughout much of 2012 and into the first quarter of 2013. We continue to focus on selective events and strategic opportunities that present what we believe have attractive risk/reward profiles. We remain optimistic about the potential for increased corporate activity in 2013 as the macro environment becomes more certain. European convertible valuations were generally mixed over the year with investment grade names continuing to perform well, while we saw pressure on weaker credits. Though it began the period weak, the volume of primary issuance increased at the end of 2012 and into the beginning of 2013. Over the course of the last twelve months, European credit markets were mostly dominated by sovereign funding concerns and the central banks’ actions related to addressing those issues as well as weak economic indicators. Despite these deterrents, European credit began 2013 on a strong note with significant issuance out of peripheral markets, although this rally faded toward the end of the first quarter. We continued to identify new opportunities in the hybrid capital space, specifically in second-tier, well-capitalised financial institutions in core Europe. The economic deterioration across Europe has led to a pick-up in our pipeline of corporate distressed opportunities and though we believe we are in the early stages of the corporate distressed opportunity, we intend to gradually increase our exposure as pricing improves and stability returns to markets. Merrill Lynch Investment Solutions – TT Financials UCITS Fund This Sub-Fund was liquidated on July 31, 2012; therefore, there is no Investment Manager Report.

Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund In the fourth quarter ending December 31, 2012 Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund gained 0.88% during the period, bringing our full-year performance to 2.87%. Amid continued worldwide economic, political and fiscal uncertainty, equity markets stalled, but in general did not reverse their gains accrued during the first three quarters of the year. The S&P 500 lost 0.38% for the quarter, bringing its year-to-date performance down to a still-extraordinary 16.00% (of which Apple alone contributed almost 1.5%), and the MSCI World Index tacked on 2.63%, bringing its yearly tally to 16.54%. Hedge funds did not fare as well; the HFRX Merger Arbitrage Index gained 0.27% for the quarter for a 0.95% yearly gain, with a standard deviation of 3.11%. As far as M&A activity is concerned, 2012 was a year of ambiguities. While the environment for corporate transactions continued to appear promising, persistent sovereign debt issues in Europe, fiscal cliff concerns in the United States, and lingering unemployment contributed to nervousness amongst corporations to sign deals. In addition, the presidential election in the United States contributed to financial markets’ uncertainty. In the end, these realities triumphed over the strengthening economic fundamentals which we have observed in previous letters – low interest rates, strong reserves of corporate and private equity cash, a wealth of targets at attractive prices, and the need for companies to find new strategic paths to growth aer a protracted period of worldwide economic weakness. Throughout the year, investors seemed content to preserve cash, reflecting a “wait and see” attitude toward potential acquisitions due to macroeconomic uncertainty; as a result, transactions fell to their lowest level

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Investment Managers’ Report (cont.) Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund (cont.) since 2009. Despite these headwinds, the Sub-Fund was not only able to generate positive performance but did so exhibiting roughly one-fih the “risk” (volatility) of global equity markets. Political and macroeconomic events may continue to impact activity in 2013. Neither European debt problems nor U.S. fiscal issues have been resolved, and therefore economic visibility remains obscured. Despite this, we expect deal activity to tick-up, as the typical precursors of a merger wave remain in place. Interest rates remain at historic lows, and appear to remain low for the foreseeable future. In addition, corporate balance sheets are still carrying record amounts of cash, and executives continue to search externally for growth. Ultimately, we believe that confidence, arising from economic and corporate visibility, will be the key to an uptick in activity. The Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund’s is poised to take advantage of this upturn and should continue to generate attractive risk-adjusted returns, despite macroeconomic factors affecting the overall market. Merrill Lynch Investment Solutions – QFS Currency UCITS Fund Market Summary

Despite having zero rate policies in common, the G4 central banks confront distinct environments and are pursuing significantly different policies. In the US, the Fed has pursued monetary accommodation most aggressively among the G4 central banks. Despite having pushed the limits of quantitative easing farthest, the US still has the second worst structural deficit in the developed world and unemployment of almost 8%, and confronts near-term demand contraction from fiscal adjustment. The F.O.M.C. is committed to pushing further into monetary terra incognita. Our expected returns reflect the unprecedented degree of monetary ease and weak growth outlook, rating the US dollar among the two weakest forecasts. In Europe monetary policy remains inappropriately tight in the periphery, despite the best efforts of the Draghi ECB. As is oen the case with economies in liquidity traps, zero rates are associated with positive real interest rates and collapsing bank credit and monetary aggregates – effectively tight monetary conditions. Given continuing negative growth in the Eurozone, political tensions in Italy and Spain, and Draghi’s explicit intent to ease monetary conditions in the periphery, our expected returns rate the euro as weakly as the US dollar. In Japan Abe’s administration is overseeing three aggressive policy initiatives: pressuring the BoJ to ease more aggressively through asset purchases and a higher inflation target, currency intervention, and renewed fiscal stimulus. While all three policies have been tried over the past decade and a half, this is the first time all three have been tried at once with such abandon. By doing more of everything all at once, the new administration may meet with success in its objectives. Beyond the currency and equity markets taking Abe at his word, these policies miss a number of key issues (the exploding debt and demographics), and face obstacles that markets have yet to digest. We are wary of participating in the USDJPY move, since its move is so far based on sentiment and in anticipation of policy. Equity markets are pricing the effects of a weaker yen for exporters and of fiscal stimulus for near term profits, yet fixed income markets are pricing only muted risks of rising inflation, if any at all. Low structural growth and unsound fiscal dynamics lead us to rate the yen as our third weakest currency by expected return; however, we will be keying on the pricing of greater inflation risk with the implementation of proposed policies to more aggressively price depreciation. We have a diversified portfolio of longs against our core EUR and USD shorts: Asia Pacific (Australia, China, India and New Zealand), Canada and Swiss Franc. Positions in JPY and GBP are near flat and portfolio risk is relatively high though below maximum. Risk assets saw mixed performance globally in Q1. The S&P 500, FTSE, Nikkei and Australian ASX futures rose, the EuroStoxx 50, Hang Seng and KOSPI fell, and mainland Chinese indices were mixed. Rates broadly fell across the G10, and broad commodity indices were down, aer rising earlier in the quarter. Aer rising through January, the euro fell in February and March, losing -2.83% over the quarter as a whole. Versus other developed economies, the US dollar rose sharply the first two months. Key events included: • The US Congress managed a partial compromise on the “fiscal cliff ” package of pre-programmed tax hikes and expenditure cuts in early January and failed to find compromise to avoid the so-called “sequestration” package of across-the-board expenditure cuts in early March.

Audited annual report

Merrill Lynch Investment Solutions

23

Investment Managers’ Report (cont.) Merrill Lynch Investment Solutions – QFS Currency UCITS Fund (cont.) • Despite restrictive fiscal policy, private sector growth in the US surprised on the upside and is expected to contribute sufficient activity to maintain overall growth above 2% on the year, according to private sector economists.1 • Early in quarter, the ECB le its target rate unchanged and expressed optimism that Eurozone growth would resume in the second half of 2013. Coupled with European banks’ early repayment of 3-year LTRO and moderate take-up of the subsequent shorter LTRO auctions, market optimism anticipated the recovery of inter-bank lending within the Eurozone and both the euro and European equities rose the first month of the year. • In Italian parliamentary elections the center-right, led by Berlusconi, and the populist Five Star movement, led by Beppe Grillo, performed well enough to deny likely centrist coalitions majorities in both chambers. The task of forming a coalition government continued unresolved past the end of the quarter. • On March 17th the ECB, EU and IMF announced a rescue package for Cyprus that initially would have imposed losses on insured deposits at Cyprus banks. Markets were unsettled by a precedent that could potentially destabilize the European banking system. Subsequently the “troika” and Cyprus negotiated an alternative agreement that “bailed-in” bank equity holders, creditors and unsecured depositors but honored insured deposits. • Despite optimism early in the year, the tone of European data worsened on the whole, confirming that the ongoing recession would likely persist well into this year or next. • Japanese parliament approved Kuroda’s appointment as BoJ governor and Iwata’s and Nakaso’s appointments as Deputy Governors. • Japanese data were mixed – machine tool orders, industrial production and vehicle sales continued to contract sharply on an annual basis, underperforming expectations. CPI and GDP deflation continued to fall. Net exports, retail trade, manufacturing indices and housing improved, on the other hand. Upgrades in Japanese growth expectations forecasted by many economists since last year have yet to be corroborated in the data, in our view. • Australian data, though somewhat mixed, were balanced around expectations and consistent with 2.5%-3% growth. In its announcement the RBA stated it is maintaining policy rates at 3%, waiting to assess the lagged impact of easing from earlier cuts. Merrill Lynch Investment Solutions – TRG Emerging Markets Opportunity UCITS Fund Headlines out of Europe, the US and China dominated investor focus in 2012 and made correctly calling the swings in market sentiment a key determinant of performance. Investors generally remained skeptical about the prospects for global growth and exhibited a strong preference for fixed income as a growth hedge and a source of yield, driving rates lower. Policy makers globally, including those in emerging markets, shared these growth concerns and adopted easy monetary and stimulative fiscal policies, providing support for most risky assets. These market dynamics were clearly reflected in Merrill Lynch Investment Solutions – TRG Emerging Markets Opportunity UCITS Fund’s performance, which should be viewed as two distinct time periods. From April through October 2012, the SubFund invested across global emerging market asset classes. Beginning in November 2012, the Sub-Fund narrowed its focus to currencies, interest rates, and, secondarily, credit, while maintaining a global macro investment approach. Through October, the Sub-Fund experienced losses, most of which were attributable to positioning in equities and currencies in the second quarter. In May, market risk aversion increased dramatically following the outcome of the May 6th elections in Greece. Deterioration in the credit condition of the Spanish banking system, punctuated by the bail-out of Bankia, further compounded investor risk aversion. While the turmoil in Europe and the prevailing risk-averse market sentiment weighed heavily on emerging markets, they faced the additional pressure of persistent doubt over the ability of Chinese policy makers to stimulate growth in light of the weaker than expected economic performance data for April. Several of the portfolio’s equity strategies were predicated on our belief that the market was overestimating the degree of the slowdown in Chinese economic growth. The disappointing

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Merrill Lynch Investment Solutions

Investment Managers’ Report (cont.) Merrill Lynch Investment Solutions – TRG Emerging Markets Opportunity UCITS Fund (cont.) economic data releases for China in May compounded the negative impact of the already weak market sentiment. Due to the broad-based nature of the market sell-off, the portfolio experienced losses across both diversified exposures expressed through the MSCI EM, as well as in targeted country positions and single stock investments in the greater China region, Russia and Thailand. Currency losses were likewise broad-based, with the higher beta crosses such as USD/Brazilian real and USD/Korea detracting the most. The Sub-Fund recouped a portion of the negative performance in the third quarter. The largest contributors to profits were positions in the Malaysian ringgit, Indian rupee and Mexican peso as well as Russian and Venezuelan sovereign and quasi-sovereign bonds. Since November 2012, the Sub-Fund has generated profits and experienced its strongest returns over the year end period. Over the course of December and January, the investment team was able to capitalize on a number of idiosyncratic views as the combination of easy monetary conditions and generally positive economic data releases, particularly out of China, provided an environment conducive to a rally in emerging market assets, despite the event risk surrounding a resolution to the fiscal cliff in the US. Equity option hedges and interest rate receiver positions provided the necessary protection in the portfolio to allow us to run a higher level of risk into the seasonally illiquid year-end markets, based on a desire to preposition for a rally that we expected to unfold as currency markets priced in a resolution to the US fiscal cliff, while also managing the potential downside associated with the occurrence of a worst-case outcome. The turn of the year ushered in an optimistic outlook from global investors as the perception grew that the disruptive tail-risks of the past year are now well-contained. As investors considered longer-term allocations of capital, underlying economic factors were clearer drivers of flows and performance in emerging markets. Emerging market local currency bonds were the beneficiary of steady capital inflows, with a positive follow-on impact on EM currencies. Over this time period, Japanese yen funding of a number of positions was a strong component of gains. Other key sources of profits were the Thai baht, the Mexican peso and interest rates, and positions in a Russian quasi-sovereign bond. Looking ahead, the decrease in tail risks should continue to support carry trades throughout 2013. Reduced tails risks also mean that domestic business cycles and individual policy decisions will have a bigger impact on asset performance than in 2012, allowing for more relative value trades between countries. The biggest risk we see on the horizon is market anxiety over potential changes in Fed policy. Although we don’t expect the Fed to move this year, there is still a risk that markets prematurely position to a potential change. Even though a Fed exit in an environment of sustained growth in the US is ultimately a positive shock for EM countries, risk trades could potentially come under pressure initially. Merrill Lynch Investment Solutions – Fulcrum Alpha Macro UCITS Fund Over the whole period, global equities (+22%) generated significant positive returns while commodities (7.6%) were also positive. Bonds were flat as the decrease in appetite for riskhaven assets was offset by the continued purchase of fixed income securities by central banks. The gains in pro-risk assets were driven mainly by a reduction in the likelihood of tail events in the global economy and particularly in the Euro area thanks to the actions of Fed and ECB. One of the biggest changes over the period was the adoption of a 2% inflation target in Japan through aggressive monetary policy. This caused the Japanese Yen to fall by approximately 25% from the peak and the Nikkei to hit multi-year highs. Being absolute return, the Sub-Fund performed reasonably well over this period, generating 7% without any significant drawdowns. The most profitable strategy type over this period was trend-following (+6%), while the fundamental quant macro models also added 4%. Furthermore, short-term trading benefited from opportunistic mean-reversion trades, adding 1.5%, while hedging lost 1.4% but helped control drawdowns. Across asset classes, gains were divided between equities and currencies with fixed income and commodities roughly flat. The volatility of the Sub-Fund has been lower than target because of the conflicting signals across the models. Over the next period, we expect the decreased correlations within and across asset classes to provide ample opportunities for the Sub-Fund to generate alpha which is uncorrelated with the market return.

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Investment Managers’ Report (cont.) Merrill Lynch Investment Solutions – Van Eck Commodities Long-Short Equity UCITS Fund Market Review

There was wide divergence during the first quarter between the performance of commodity equities and underlying commodity prices overall. There was also wide divergence during the first quarter among the various sub-sectors’ performance. Gasoline and natural gas experienced double-digit gains. Crude oil also advanced, albeit more modestly. Palladium, platinum and cotton were the only other commodities to see price increases. Most other commodities experienced price declines during the quarter, with wheat declining most. This weakness was driven, in our opinion, by disappointing European economic growth, as well as China’s economic growth moderating. Also, toward the end of the first quarter, questions about the solvency of certain banks were raised, as the European Union agreed on a bailout for the Cyprus banking system, which for the first time included losses for large depositors. On the equity side, most, albeit not all, commodity-related indices posted gains, as aggressive U.S. Federal Reserve balance sheet expansion resumed in January 2013, supporting both the U.S. economy and broad equity market performance. The so-called resolution of the U.S. “fiscal cliff ” also helped drive the equity rally and investors’ focus on bullish U.S. economic data. Metals and mining related indices were the exception and were down on the quarter. Fund Attribution

Given the recent launch of the Sub-Fund we are disappointed with the slow start through quarter end. The primary drivers of the negative return at quarter-end were trades in the steel and iron ore space. Within equity shorts, positions in energy were the largest detractor. On the other hand, there were some sectors in which we were able to generate some alpha. Those include exposures in agriculture, energy and forest products. Within energy, the refiners, an ethanol play, and exploration and production companies drove performance. Regarding exposures, we began 2013 with net equity exposure in the Sub-Fund at about 17% and this increased until reaching a high near 28% towards the end of March. Positioning and Outlook Macro

Going forward, we believe that if the European economy stabilizes, the outlook for global economic growth should improve, as monetary policy remains very accommodative in developed economies. The historic quantitative easing policies currently in place should, in our view, ultimately lead to stronger economic growth and, in turn, potentially improve demand for commodities. Energy

In our view, there is some uncertainty regarding crude oil prices and related equities due primarily to supply/demand outlook factors. Domestically, we expect increased U.S. energy production, especially from the Bakken and Eagleford basins. Internationally, we believe that Chinese demand, Middle East production and non-OPEC production will likely be key influences on the global balance. Natural gas prices will, in our view, continue to be dependent on weather conditions and rig counts. Overall, we believe the energy sector will likely focus on capital spending discipline and strategic allocations in the months ahead. This may continue to allow for differentiation across shale plays and may well be a key to performance going forward. Agriculture

We continue to expect agricultural markets to normalize as the year progresses. While planting progress is behind last years’ torrid pace (due in part to colder spring weather), we are confident that with even a small window farmers can get crops in the ground. At the same time, the increased precipitation has markedly improved drought conditions in the Midwest farm belt. While we view the USDA’s 160+ estimated corn crop yield as overly optimistic, we do see a high likelihood of a yield above 150 on dramatically increased crop size. The USDA also increased the size of the old-crop carry-in for corn and soy. This creates a more tenable short-term supply situation and ultimately should result in lower grain prices and more readily available supply for consumers. Certainly, weather can change this forecast, but at this point we feel it should hold.

Audited annual report

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Merrill Lynch Investment Solutions

Investment Managers’ Report (cont.) Merrill Lynch Investment Solutions – Van Eck Commodities Long-Short Equity UCITS Fund (cont.) Base Metals & Mining

Although some miners continued to miss production and cost guidance, we feel the broader industry will potentially offer compelling opportunities going forward. In recent months, we have seen a sea change of top-level executive in the mining industry, with more than 30 companies announcing new executives at the C-level (CEO, CFO, etc.). With new management has come a refreshing change in capital allocation –generally, away from capital expansion and towards a more conservative approach focused on increasing return-on-capital and improving cash flow. We believe margins in the mining companies, that, in our view are attractive investments, will increase in the future based on the confluence of three factors: 1) reducing capital allocations to greenfield projects; 2) addressing cyclical costs; and 3) asset sales to increase free cash flow generation. Precious Metals

Gold equities have been underperforming gold for some time to the dismay of many investors, ourselves included. We continue to see an environment that, we believe, fundamentally favors gold long-term. Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund This Sub-Fund was launched on March 25, 2013; therefore, there is no Investment Manager Report.

Luxembourg, March 28, 2013 Note: The figures stated in this report are historical and not necessarily indicative of future performance.

Audited annual report

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Merrill Lynch Investment Solutions

Audit Report To the Shareholders of Merrill Lynch Investment Solutions

We have audited the accompanying financial statements of Merrill Lynch Investment Solutions (the “SICAV”) and of each of its Sub-Funds, which comprise the Statement of Net Assets and the Schedule of Investments as of 31 March 2013 and the Statement of Operations and 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 SICAV for the financial statements The Board of Directors of the SICAV 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 SICAV 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 about 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 judgment of the “Réviseur d’entreprises agréé”, 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 SICAV, 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.

PricewaterhouseCoopers, Société coopérative, 400 Route d’Esch, B.P. 1443, L-1014 Luxembourg T: +352 494848 1, F:+352 494848 2900, www.pwc.lu Cabinet de révision agréé. Expert-comptable (autorisation gouvernementale n°10028256) R.C.S. Luxembourg B 65 477 - TVA LU25482518

Merrill Lynch Investment Solutions 2B

pwe Opinion In our opinion, the financial statements give a true and fair view of the financial position of Merrill Lynch Investment

Solutionsandof eachof itsSub-Fundsasof 3l March2Ol3,andof theresultsof theiroperationsandchangesin 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 matters 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.

PricewaterhouseCoopers, Socidt6 coop6rative

Luxembourg, 15 July 2013

2.3 2.3 2.3

2.4 2.5 2.4

3 3 7 4

2.3 2.3 2.3

2.4 2.5 2.4

2.2 2.4

Notes

251 360 659

Audited annual report

– – 2 821 912 16 975 19 320 810

104 835 10 034 628 – 1 419 598 300 307 2 737 417 18 447 56 975 – 38 295 210 1 514 468 –

– – 8 490 346 270 681 469

122 189 844 130 501 015 112 003 475 6 028 543 9 764 154 – 1 420 192 155 194 – – 299 109 2 019 441 –

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) EUR

The accompanying notes form an integral part of these financial statements.

Net Assets at the end of year

Liabilities Payable for Fund shares redeemed Payable on securities purchased Payable on options purchased Payable on spot exchange Investment management and distributor fees payable Performance fees payable “Taxe d’abonnement” payable Operating and administrative fees payable Interest on swaps Bank overdraft Unrealised depreciation on futures contracts Unrealised depreciation on forward foreign exchange contracts Options sold at market value Unrealised depreciation on credit default swaps, interest rate swaps and total return swaps Upfront payments received on swap transactions Contracts for difference swaps at market value Other liabilities Total Liabilities

Assets Investments in securities at cost Investments in securities at market value Cash at bank Receivable for Fund shares issued Receivable on securities sold Receivable on options sold Receivable on spot exchange Dividends receivable Interest on bonds Interest on swaps Unrealised appreciation on futures contracts Unrealised appreciation on forward foreign exchange contracts Options bought at market value Unrealised appreciation on credit default swaps, interest rate swaps and total return swaps Upfront payments paid on swap transactions Contracts for difference swaps at market value Total Assets

Sub-Funds

(expressed in the Sub-Fund’s currency)

247 254 207

– – 2 245 289 9 742 38 691 771

11 865 289 3 922 842 1 419 7 718 956 302 309 1 724 384 8 408 76 634 – 6 901 395 1 173 619 2 661 273 80 212

– – 5 099 956 285 945 978

178 439 227 205 810 249 49 848 778 2 497 387 11 765 514 – 7 748 836 117 219 – – – 2 100 452 957 587

Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund EUR

Statements of Net Assets as at March 31, 2013

334 951 497

– – 3 071 234 50 976 42 055 884

892 991 31 204 062 136 051 – 525 159 4 670 700 11 479 102 146 – – – 1 391 086 –

– – – 377 007 381

272 879 708 285 241 143 50 020 056 2 678 135 37 889 798 2 988 – 40 825 – – – 147 938 986 498

Merrill Lynch Investment Solutions – CCI Healthcare LongShort UCITS Fund USD

10 548 504

– – – 1 298 590 760

– 487 562 1 703 – 111 – 1 289 3 244 – 6 622 84 546 25 4 360

– – 37 452 11 139 264

7 685 667 8 443 350 2 294 100 – 325 458 – – 7 383 6 433 – – 5 25 083

Merrill Lynch Investment Solutions – ZweigDiMenna US Long-Short Equity UCITS Fund USD

76 326 802

– – – 3 418 8 842 666

15 725 – – – 179 281 752 775 3 576 23 208 – 7 864 683 – – –

– – 8 403 827 85 169 468

3 537 712 3 574 902 72 822 478 126 226 – – – – – – 221 500 20 535 –

Merrill Lynch Investment Solutions – Theorema European Equity Long-Short UCITS Fund EUR

29 784 262

– – 1 416 220 756 4 491 549

513 550 71 003 – – 40 748 273 019 760 8 821 – 1 580 455 100 015 475 815 10 387

– – 444 524 34 275 811

17 014 200 18 346 886 14 243 253 – 758 115 – – 131 809 – – 10 595 288 418 52 211

Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund EUR

65 810 819

– – – 8 214 3 496 386

453 859 – – – 239 883 23 268 1 648 126 917 – 820 987 719 835 1 101 775 –

– – 240 781 69 307 205

25 521 990 25 520 303 40 598 101 59 909 – – – – 2 083 – 2 324 134 561 894 –

Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund USD

29

424 891 652

– 57 562 208 549 17 712 40 144 057

893 201 184 087 – 222 1 146 264 812 365 10 503 402 897 – 21 793 814 5 891 505 8 668 835 56 541

880 245 31 375 5 478 798 465 035 709

81 973 249 82 154 264 367 030 244 99 742 198 600 5 931 222 1 137 52 310 34 750 2 164 684 6 636 121 267 286

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund USD

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions

Net Assets at the end of year

Liabilities Payable for Fund shares redeemed Payable on securities purchased Payable on options purchased Payable on spot exchange Investment management and distributor fees payable Performance fees payable “Taxe d’abonnement” payable Operating and administrative fees payable Interest on swaps Bank overdraft Unrealised depreciation on futures contracts Unrealised depreciation on forward foreign exchange contracts Options sold at market value Unrealised depreciation on credit default swaps, interest rate swaps and total return swaps Upfront payments received on swap transactions Contracts for difference swaps at market value Other liabilities Total Liabilities

Assets Investments in securities at cost Investments in securities at market value Cash at bank Receivable for Fund shares issued Receivable on securities sold Receivable on options sold Receivable on spot exchange Dividends receivable Interest on bonds Interest on swaps Unrealised appreciation on futures contracts Unrealised appreciation on forward foreign exchange contracts Options bought at market value Unrealised appreciation on credit default swaps, interest rate swaps and total return swaps Upfront payments paid on swap transactions Contracts for difference swaps at market value Total Assets

Sub-Funds

2.3 2.3 2.3

2.4 2.5 2.4

3 3 7 4

2.3 2.3 2.3

2.4 2.5 2.4

2.2 2.4

Notes

(expressed in the Sub-Fund’s currency)

231 890 860

105 006 3 006 579 448 033 31 095 59 941 434

44 385 974 2 413 657 – 1 530 495 421 899 2 751 497 6 410 83 970 52 659 1 599 795 1 533 1 550 836 1 551 996

380 453 58 124 3 921 931 291 832 294

177 859 670 183 175 116 94 493 864 1 346 393 – – 1 535 707 – 561 227 – 476 336 681 233 5 201 910

Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund USD

17 612 614

– – 110 876 2 710 1 698 480

– 128 588 964 – 13 342 52 445 1 113 5 776 – 31 018 – 68 416 1 283 232

– – – 19 311 094

11 018 381 11 996 226 7 125 584 – – 1 796 – 5 304 9 540 – – 40 255 132 389

Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund USD

7 848 727

– – – 1 841 585 185

4 606 – – – 23 965 – 303 2 489 – 50 – 551 931 –

– – – 8 433 912

6 847 633 6 848 434 983 583 7 977 – – – – – – – 593 918 –

Merrill Lynch Investment Solutions – QFS Currency UCITS Fund USD

Statements of Net Assets as at March 31, 2013 (cont.)

30

13 068 494

37 144 46 832 59 325 1 976 402

– – 10 215 – 3 14 478 4 029 – 794 906 – 1 079 971 2 426

32 082 – – 15 044 896

6 642 752 6 619 341 7 109 607 – – 661 – – 32 148 657 – 1 223 912 26 488

Merrill Lynch Investment Solutions – TRG Emerging Markets Opportunity UCITS Fund USD

19 437 721

– – – 735 55 227

– – – – 7 230 – 476 6 471 – – – 40 315 –

– – 10 290 19 492 948

17 237 290 17 510 869 1 803 127 – 165 589 – – 2 430 – – – 643 –

Merrill Lynch Investment Solutions – Van Eck Commodities Long-Short Equity UCITS Fund USD

5 992 698

– – – – 1 633 484

– 1 632 554 – – – – 733 197 – – – – –

– – – 7 626 182

1 602 019 1 595 646 6 000 000 – – – – – 30 536 – – – –

Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund USD

1 495 776 638

273 545 2 422 689 9 482 469 121 286 190 200 048

48 813 798 42 103 024 117 401 10 330 609 2 674 736 11 959 320 59 160 761 703 41 009 35 867 669 6 878 464 15 944 161 2 349 005

1 140 823 69 698 29 984 487 1 685 976 686

802 183 690 854 618 368 701 571 410 11 916 899 52 331 757 8 859 10 365 142 448 673 543 008 27 573 4 510 609 12 237 666 6 201 714

Combined EUR

Audited annual report

The accompanying notes form an integral part of these financial statements.

12 037 745

209 109 – 12 324 1 156 436 187

– – – – 32 15 1 480 27 084 – 18 651 119 622 45 251 1 463

172 150 – – 12 473 932

8 340 181 8 256 646 3 733 699 – – – – – 2 996 – 141 446 139 714 27 281

Merrill Lynch Investment Solutions – Fulcrum Alpha Macro UCITS Fund USD

(21 986 380) 2 346 756 (7 187 352) 1 873 769 – 1 105 547 (23 847 660) (5 144 254) 118 350 240 (396 275 130) (277 924 890) – 247 254 207

5 977 404 1 352 198 (80 248) – – 5 037 528 12 286 882 21 813 765 166 492 803 (235 482 598) (68 989 795) – 251 360 659

2.4 2.5 2.4 2.3 2.3

55 243 218 (14 874 498) 2 679 672 (8 109 695) – (10 206 490) 24 732 207 18 703 406

13 028 531 2 884 627 (4 171 119) – – 8 434 249 20 176 288 9 526 883

2.6 2.4 2.5,2.7 2.4 2.3 2.3

Audited annual report

5 867 560 1 759 316 42 673 1 518 146 212 917 474 696 98 922 9 974 230 (6 028 801)

2 712 427 1 166 899 – 66 103 – 3 945 429

2 251 664 2 924 – 390 226 – 2 644 814 4 606 167 5 849 152 67 269 869 267 527 133 1 216 881 158 350 13 294 219 (10 649 405)

530 323 351

298 536 689

Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund EUR

3 3 7 4

Notes

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) EUR

The accompanying notes form an integral part of these financial statements.

Net assets at the beginning of the year / period Income Dividends, net Interest on bonds, net Interest on swaps Bank interest Other income Total Income Expenses Investment management and distributor fees Performance fees “Taxe d’abonnement” Operating and administrative fees Interest, bank charges and transaction costs Interest on swaps Other expenses Total Expenses Net Income Net realised gain/(loss) on: - Sales of investments - Futures contracts - Forward foreign exchange contracts and foreign exchange translation - Options - Credit default swaps, interest rate swaps and total return swaps - Contracts for difference swaps Total realised gain/(loss) Net realised result for the year / period Change in net unrealised appreciation/ (depreciation) on : - Investments - Futures contracts - Forward foreign exchange contracts - Options - Credit default swaps, interest rate swaps and total return swaps - Contracts for difference swaps Change in net unrealised appreciation/(depreciation) Net change in net assets as a result of operations Subscriptions Redemptions Movements in capital Exchange differences on the net assets as at March 31, 2012 Net assets at the end of the year / period

Sub-Funds

(expressed in the Sub-Fund’s currency)

(4 433) – (2 618) – – 233 289 226 238 (15 712) 2 156 (3 633 299) (3 631 143) – –

(39 969) – 42 758 – – (228 955) (226 166) (241 950)

9 438 3 109 1 675 5 530 – 5 000 21 755 (15 784)

5 326 – – 645 – 5 971

3 646 855

Merrill Lynch Investment Solutions – GLG European Opportunity UCITS Fund EUR

814 082 – (1 890 381) 1 426 270 – 1 695 200 2 045 171 16 161 705 134 794 060 (101 189 275) 33 604 785 – 334 951 497

48 090 470 – (3 702 703) (6 396 825) – (10 888 230) 27 102 712 14 116 534

6 331 421 6 088 955 34 622 1 272 324 117 441 114 716 73 234 14 032 713 (12 986 178)

1 032 847 – – 13 688 – 1 046 535

285 185 007

Merrill Lynch Investment Solutions – CCI Healthcare LongShort UCITS Fund USD

(10 990) (28 063) (4 511) 6 652 – 22 944 (13 968) (25 863) 138 814 (1 303 893) (1 165 079) – 10 548 504

903 745 (268 876) (23 966) (21 961) – (594 432) (5 490) (11 895)

12 675 2 4 043 40 754 29 098 19 180 4 376 110 128 (6 405)

87 738 15 168 – 817 – 103 723

11 739 446

(124 959) 219 962 23 741 – – 6 240 794 6 359 538 6 356 447 49 451 900 (29 419 912) 20 031 988 – 76 326 802

(111 498) 144 150 (485 258) (418 931) – 4 022 311 3 150 774 (3 091)

1 292 949 1 196 108 13 475 266 841 55 729 352 254 – 3 177 356 (3 153 865)

– 332 – 23 159 – 23 491

49 938 367

Merrill Lynch Merrill Lynch Investment Investment Solutions – ZweigSolutions – DiMenna US Theorema European Long-Short Equity Equity Long-Short UCITS Fund UCITS Fund USD EUR

603 550 254 900 (363 208) 41 710 – (99 001) 437 951 2 393 066 13 549 267 (43 679 688) (30 130 421) – 29 784 262

4 735 136 (422 061) 1 334 800 257 554 – (2 840 782) 3 064 647 1 955 115

781 025 305 162 4 122 182 218 55 375 155 338 14 303 1 497 543 (1 109 532)

372 267 1 080 – 14 664 – 388 011

57 521 617

Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund EUR

47 473 385 494 (212 382) – – 739 141 959 726 (6 950 281) 40 563 331 (55 206 978) (14 643 647) – 65 810 819

(504 607) 8 667 532 (4 706 996) – – (9 901 545) (6 445 616) (7 910 007)

1 307 209 23 269 6 223 301 436 109 973 42 40 121 1 788 273 (1 464 391)

– 247 336 – 13 199 63 347 323 882

87 404 747

Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund USD

Statements of Operations and Changes in Net Assets for the year ended March 31, 2013

31

149 231 (1 582 314) (1 961 209) (74 753) 980 549 7 165 156 4 676 660 780 822 310 575 969 (58 691 496) 251 884 473 – 424 891 652

206 286 (16 145 835) 3 238 610 (752 012) 841 752 16 463 926 3 852 727 (3 895 838)

2 994 731 990 595 33 822 1 195 827 265 167 3 058 908 – 8 539 050 (7 748 565)

90 516 94 091 428 202 177 676 – 790 485

172 226 357

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund USD

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions

(168 289) 10 950 (80 564) – – (156 830) (394 733) (1 227 827) 162 411 (18 419 409) (18 256 998) – –

6 375 870 222 736 (934 859) 1 165 364 (728 935) 93 969 6 194 145 8 323 106 192 084 789 (108 324 832) 83 759 957 – 231 890 860

2.4 2.5 2.4 2.3 2.3

(430 970) (11 861) (1 162 530) – – 838 740 (766 621) (833 094)

5 045 276 (1 154 248) (6 961 775) 894 061 759 947 10 407 444 8 990 705 2 128 961

2.6 2.4 2.5,2.7 2.4 2.3 2.3

27 133 1 947 2 198 34 498 14 592 – 5 000 85 368 (66 473)

12 806 – – 6 089 – 18 895

462 489 2 074 193 9 180 2 556 – 2 548 418 3 374 250 4 439 999 14 426 709 288 452 271 263 337 156 591 9 410 162 (6 861 744)

19 484 825

139 807 797

644 432 – (25 480) (403 826) – 25 142 240 268 522 136 15 138 115 (10 046 239) 5 091 876 – 17 612 614

138 909 (59 125) 38 309 546 157 – (186 496) 477 754 281 868

155 180 54 977 2 389 72 272 31 233 30 518 5 086 351 655 (195 886)

123 068 27 526 – 5 175 – 155 769

11 998 602

Merrill Lynch Merrill Lynch Investment Investment Solutions – Solutions – TT Westchester Merger Financials UCITS Arbitrage UCITS Fund Fund USD USD

3 3 7 4

Notes

Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund USD

(189) – 2 258 904 – – – 2 258 715 (701 088) 10 313 283 (20 346 551) (10 033 268) – 7 848 727

45 556 – (2 512 055) (156 852) – – (2 623 351) (2 959 803)

246 213 1 958 – 77 691 11 929 – 5 605 343 396 (336 452)

– 6 468 – 454 22 6 944

18 583 083

Merrill Lynch Investment Solutions – QFS Currency UCITS Fund USD

24 100 24 997 171 346 (11 969) (105) 23 324 231 693 (268 838) 6 885 231 (6 474 797) 410 434 – 13 068 494

(406 064) (159 440) 402 366 (581 210) (207 710) 392 120 (559 938) (500 531)

14 737 59 – 71 313 30 705 466 375 177 583 366 59 407

30 944 164 788 438 723 7 340 978 642 773

12 926 898

Merrill Lynch Investment Solutions – TRG Emerging Markets Opportunity UCITS Fund USD

(83 535) 21 824 94 463 (18 714) (36 959) (12 324) (35 245) 722 564 11 633 533 (318 352) 11 315 181 – 12 037 745

(5 161) 987 866 202 581 (194 170) (221 564) 27 221 796 773 757 809

32 15 2 773 33 691 17 809 – 57 54 377 (38 964)

– 10 858 4 555 – – 15 413

–

Merrill Lynch Investment Solutions – Fulcrum Alpha Macro UCITS Fund USD

273 579 – (39 672) – – 10 290 244 197 (319 159) 19 756 880 – 19 756 880 – 19 437 721

(157 454) – (112 792) – – (262 651) (532 897) (563 356)

17 494 – 720 18 230 138 8 206 – 44 788 (30 459)

13 189 1 140 – – – 14 329

–

Merrill Lynch Investment Solutions – Van Eck Commodities Long-Short Equity UCITS Fund USD

(6 372) – – – – – (6 372) (7 302) 6 000 000 – 6 000 000 – 5 992 698

– – – – – – – (930)

– – 733 197 – – – 930 (930)

– – – – – –

–

Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund USD

(9 258 465) 3 438 810 (9 651 111) 3 542 319 167 082 19 999 726 8 238 361 38 641 339 930 449 135 (1 004 753 374) (74 304 239) 21 256 481 1 495 776 638

114 071 332 (18 600 227) (12 522 962) (13 459 953) 913 033 4 072 337 74 473 560 30 402 978

23 836 107 18 144 722 207 048 5 819 278 1 698 155 5 284 041 502 658 55 492 009 (44 070 582)

6 785 184 3 228 657 685 819 671 585 50 182 11 421 427

1 510 183 057

Combined* EUR

Audited annual report

The accompanying notes form an integral part of these financial statements.

* For all Sub-Funds the reference period is from April 1, 2012 to March 31, 2013 except for Merrill Lynch Investment Solutions – GLG European Opportunity UCITS Fund, it is from April 1, 2012 to May 21, 2012 (liquidation date), for Merrill Lynch Investment Solutions – TT Financials UCITS Fund, it is from April 1, 2012 to July 31, 2012 (liquidation date), for Merrill Lynch Investment Solutions – Fulcrum Alpha Macro UCITS Fund, it is from June 15, 2012 to March 31, 2013, for Merrill Lynch Investment Solutions – Van Eck Commodities Long-Short Equity UCITS Fund, it is from December 19, 2012 to March 31, 2013 and for Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund, it is from March 25, 2013 to March 31, 2013.

Net assets at the beginning of the year / period Income Dividends, net Interest on bonds, net Interest on swaps Bank interest Other income Total Income Expenses Investment management and distributor fees Performance fees “Taxe d’abonnement” Operating and administrative fees Interest, bank charges and transaction costs Interest on swaps Other expenses Total Expenses Net Income Net realised gain/(loss) on: - Sales of investments - Futures contracts - Forward foreign exchange contracts and foreign exchange translation - Options - Credit default swaps, interest rate swaps and total return swaps - Contracts for difference swaps Total realised gain/(loss) Net realised result for the year / period Change in net unrealised appreciation/ (depreciation) on : - Investments - Futures contracts - Forward foreign exchange contracts - Options - Credit default swaps, interest rate swaps and total return swaps - Contracts for difference swaps Change in net unrealised appreciation/(depreciation) Net change in net assets as a result of operations Subscriptions Redemptions Movements in capital Exchange differences on the net assets as at March 31, 2012 Net assets at the end of the year / period

Sub-Funds

(expressed in the Sub-Fund’s currency)

Statements of Operations and Changes in Net Assets for the year ended March 31, 2013 (cont.)

32

Merrill Lynch Investment Solutions

33

Statistical information Year ending as at: March 31, 2013 Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Total Net Assets EUR 251 360 659 Class EUR A (acc) Number of shares 124 236.422 Net asset value per share EUR 116.77 Class EUR A (inc) Number of shares 1 541.166 Net asset value per share EUR 118.61 Class EUR B (acc) Number of shares 549 189.378 Net asset value per share EUR 114.21 Class EUR C (acc) Number of shares 213 184.159 Net asset value per share EUR 112.44 Class EUR C (inc) Number of shares – Net asset value per share EUR – Class EUR G (acc) Number of shares 396 605.000 Net asset value per share EUR 109.35 Class GBP A (inc) Number of shares 4 351.531 Net asset value per share GBP 114.56 Class GBP B (acc) Number of shares 293 958.097 Net asset value per share GBP 115.24 Class GBP B (inc) Number of shares 13 545.820 Net asset value per share GBP 114.15 Class GBP C (acc) Number of shares 90 518.496 Net asset value per share GBP 106.75 Class GBP C (inc) Number of shares 20 951.480 Net asset value per share GBP 112.08 Class GBP G (acc) Number of shares 292 274.909 Net asset value per share GBP 109.75 Class GBP Management (inc) Number of shares 964.976 Net asset value per share GBP 131.59 Class USD A (acc) Number of shares 248.000 Net asset value per share USD 114.59 Class USD B (acc) Number of shares 72 514.870 Net asset value per share USD 116.84 Class USD C (acc) Number of shares 5 511.144 Net asset value per share USD 108.24

March 31, 2012

March 31, 2011

298 536 689

97 751 951

145 925.806 108.21

183 033.768 104.42

1 049.678 109.90

997.346 106.05

468 491.087 105.13

206 675.992 101.34

377 982.146 104.31

123 402.155 101.30

4 857.374 99.79

– –

809 896.000 100.70

– –

2 486.291 106.09

34 470.549 102.44

113 669.320 105.72

90 027.028 102.05

94 891.093 104.81

84 476.424 101.19

57 179.385 98.60

2 259.755 95.84

22 479.000 103.55

8 350.000 100.65

450 404.000 100.73

– –

964.976 118.56

964.976 112.56

2 718.000 105.87

2 718.000 102.52

176 965.948 107.51

266 679.790 104.05

17 888.639 100.56

– –

The accompanying notes form an integral part of these financial statements. Audited annual report

34

Merrill Lynch Investment Solutions

Statistical information (cont.) Year ending as at: March 31, 2013 March 31, 2012 Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) (cont.) Class USD G (acc) Number of shares 55 805.000 69 539.000 Net asset value per share USD 109.57 100.71 Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund Total Net Assets EUR Class CHF A (acc) Number of shares Net asset value per share CHF Class CHF E (acc) Number of shares Net asset value per share CHF Class CHF F (acc) Number of shares Net asset value per share CHF Class EUR A (acc) Number of shares Net asset value per share EUR Class EUR B (acc) Number of shares Net asset value per share EUR Class EUR C (acc) Number of shares Net asset value per share EUR Class EUR D (acc) Number of shares Net asset value per share EUR Class EUR E (acc) Number of shares Net asset value per share EUR Class EUR F (acc) Number of shares Net asset value per share EUR Class EUR Z (acc) Number of shares Net asset value per share EUR Class GBP A (acc) Number of shares Net asset value per share GBP Class GBP A (inc) Number of shares Net asset value per share GBP Class GBP B (acc) Number of shares Net asset value per share GBP Class GBP B (inc) Number of shares Net asset value per share GBP

The accompanying notes form an integral part of these financial statements. Audited annual report

March 31, 2011

– –

247 254 207

530 323 351

553 450 267

– –

– –

10.000 105.16

– –

– –

10.000 105.48

34 549.929 102.13

19 791.931 102.01

10.000 105.10

25 058.153 115.67

57 006.000 114.04

149 477.130 115.36

259 804.067 118.48

580 701.890 116.35

1 059 553.509 117.32

8 757.420 114.41

12 719.040 113.32

36 077.100 115.45

75 965.926 121.81

210 989.680 119.08

469 404.708 119.48

614 460.846 107.16

1 288 038.533 105.75

1 327 990.781 106.75

58 232.102 103.14

84 135.061 102.62

71 420.391 104.78

2 150.000 101.21

– –

– –

1 297.516 116.29

421 666.781 114.07

13 988.533 114.90

14 043.959 116.05

35 592.440 113.82

23 730.232 114.69

13 737.755 118.19

70 844.979 115.72

105 135.112 116.56

2 398.486 118.64

220 899.837 115.91

485 934.418 116.76

Merrill Lynch Investment Solutions

35

Statistical information (cont.) Year ending as at: March 31, 2013 Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund (cont.) Class GBP C (acc) Number of shares – Net asset value per share GBP – Class GBP C (inc) Number of shares 1 261.927 Net asset value per share GBP 115.05 Class GBP D (acc) Number of shares 1 455.537 Net asset value per share GBP 122.13 Class GBP D (inc) Number of shares – Net asset value per share GBP – Class GBP E (acc) Number of shares 296 546.227 Net asset value per share GBP 106.29 Class GBP E (inc) Number of shares – Net asset value per share GBP – Class GBP F (acc) Number of shares 60 755.598 Net asset value per share GBP 100.06 Class GBP Z (acc) Number of shares 963.888 Net asset value per share GBP 100.00 Class SEK A (acc) Number of shares – Net asset value per share SEK – Class SEK E (acc) Number of shares – Net asset value per share SEK – Class SEK F (acc) Number of shares – Net asset value per share SEK – Class USD A (acc) Number of shares 7 826.000 Net asset value per share USD 116.13 Class USD B (acc) Number of shares 88 555.930 Net asset value per share USD 119.23 Class USD C (acc) Number of shares 14 607.332 Net asset value per share USD 114.66 Class USD D (acc) Number of shares 1 935.607 Net asset value per share USD 122.73 Class USD E (acc) Number of shares 762 055.462 Net asset value per share USD 106.38 Class USD F (acc) Number of shares 67 528.914 Net asset value per share USD 104.07

March 31, 2012

March 31, 2011

– –

3 913.887 115.33

4 878.230 113.26

14 339.619 115.27

1 455.537 118.75

1 455.537 119.02

– –

10.000 119.02

113 431.240 105.32

111 365.714 106.78

821.269 108.53

– –

65 783.928 98.86

7 869.524 102.41

– –

– –

20.000 509.47

– –

20.000 509.41

– –

21 202.728 502.97

– –

7 626.000 113.94

22 275.853 114.99

321 596.093 116.72

569 007.951 117.80

14 607.332 113.21

21 991.888 115.45

1 935.607 119.62

18 291.338 120.07

1 498 762.142 104.65

598 903.237 106.47

99 099.133 103.32

72 042.330 105.55

The accompanying notes form an integral part of these financial statements. Audited annual report

36

Merrill Lynch Investment Solutions

Statistical information (cont.) Year ending as at: March 31, 2013 Merrill Lynch Investment Solutions – GLG European Opportunity UCITS Fund* Total Net Assets EUR – Class EUR B (acc) Number of shares – Net asset value per share EUR – Class EUR C (acc) Number of shares – Net asset value per share EUR – Class GBP B (acc) Number of shares – Net asset value per share GBP – Class GBP B (inc) Number of shares – Net asset value per share GBP – Class GBP C (acc) Number of shares – Net asset value per share GBP – Class GBP C (inc) Number of shares – Net asset value per share GBP – Class USD B (acc) Number of shares – Net asset value per share USD – Class USD C (acc) Number of shares – Net asset value per share USD – Merrill Lynch Investment Solutions – CCI Healthcare Long-Short UCITS Fund Total Net Assets USD 334 951 497 Class EUR B (acc) Number of shares 826 347.020 Net asset value per share EUR 114.28 Class EUR C (acc) Number of shares 29 652.686 Net asset value per share EUR 112.09 Class EUR D (acc) Number of shares 91 442.826 Net asset value per share EUR 118.94 Class EUR Z (acc) Number of shares 500.002 Net asset value per share EUR 100.41 Class GBP B (acc) Number of shares 93 497.814 Net asset value per share GBP 117.94 Class GBP B (inc) Number of shares 10.000 Net asset value per share GBP 118.23 Class GBP C (acc) Number of shares 18 800.077 Net asset value per share GBP 114.26 * Liquidated on May 21, 2012 The accompanying notes form an integral part of these financial statements. Audited annual report

March 31, 2012

March 31, 2011

3 646 855

297 310 713

6 105.088 87.32

2 350 470.968 102.47

24 267.309 86.65

186 171.620 102.50

2 010.204 87.77

82 253.234 103.52

10.002 87.94

102 120.573 103.66

687.391 86.62

8 429.237 102.85

10.000 87.38

997.063 102.88

4 814.301 86.36

195 033.615 102.66

6 493.972 84.81

8 381.769 101.84

285 185 007

134 674 554

722 535.511 106.89

303 797.496 106.77

40 666.305 105.51

17 663.660 106.76

91 262.876 110.26

114 370.410 109.09

– –

– –

120 831.620 109.89

126 317.197 109.61

20 545.000 110.14

48 373.000 109.70

14 238.237 106.88

91.000 108.80

Merrill Lynch Investment Solutions

37

Statistical information (cont.) Year ending as at: March 31, 2013 Merrill Lynch Investment Solutions – CCI Healthcare Long-Short UCITS Fund (cont.) Class GBP C (inc) Number of shares 32 697.275 Net asset value per share GBP 116.71 Class GBP D (acc) Number of shares – Net asset value per share GBP – Class GBP D (inc) Number of shares – Net asset value per share GBP – Class GBP Z (acc) Number of shares 1 000.000 Net asset value per share GBP 100.62 Class USD B (acc) Number of shares 1 269 878.728 Net asset value per share USD 116.93 Class USD C (acc) Number of shares 185 411.727 Net asset value per share USD 112.96 Class USD D (acc) Number of shares 10.000 Net asset value per share USD 120.19 Class USD Management (acc) Number of shares – Net asset value per share USD – Merrill Lynch Investment Solutions – Zweig-DiMenna US Long-Short Equity UCITS Fund Total Net Assets USD 10 548 504 Class EUR B (acc) Number of shares 10.000 Net asset value per share EUR 99.08 Class EUR C (acc) Number of shares – Net asset value per share EUR – Class EUR D (acc) Number of shares 10.000 Net asset value per share EUR 100.50 Class GBP B (acc) Number of shares – Net asset value per share GBP – Class GBP C (acc) Number of shares 10.000 Net asset value per share GBP 97.91 Class GBP D (acc) Number of shares – Net asset value per share GBP – Class USD B (acc) Number of shares – Net asset value per share USD – Class USD C (acc) Number of shares – Net asset value per share USD –

March 31, 2012

March 31, 2011

35 848.167 109.39

12 669.972 108.92

– –

10.000 111.10

– –

10.000 111.09

– –

– –

972 895.858 109.02

248 972.688 107.92

174 015.559 105.98

12 488.625 106.61

46 246.382 112.07

65 060.088 109.57

– –

10.000 113.21

11 739 446

18 960 223

1 699.286 100.94

10.000 102.01

– –

981.157 101.46

7 440.403 101.84

32 701.763 102.05

– –

10.000 101.90

130.968 100.00

10.000 101.64

– –

10.000 101.98

– –

10.000 101.94

– –

10.000 101.67

The accompanying notes form an integral part of these financial statements. Audited annual report

38

Merrill Lynch Investment Solutions

Statistical information (cont.) Year ending as at: March 31, 2013 March 31, 2012 Merrill Lynch Investment Solutions – Zweig-DiMenna US Long-Short Equity UCITS Fund (cont.) Class USD D (acc) Number of shares – – Net asset value per share USD – – Class USD Management (acc) Number of shares 100 000.000 100 000.000 Net asset value per share USD 105.44 104.81 Merrill Lynch Investment Solutions – Theorema European Equity Long-Short UCITS Fund Total Net Assets EUR 76 326 802 Class EUR B (acc) Number of shares 494 135.633 Net asset value per share EUR 113.81 Class EUR C (acc) Number of shares 1 182.777 Net asset value per share EUR 112.16 Class EUR D (acc) Number of shares 20 506.000 Net asset value per share EUR 117.25 Class EUR Management (acc) Number of shares 135 998.906 Net asset value per share EUR 123.45 Class EUR Z (acc) Number of shares 1 280.000 Net asset value per share EUR 100.42 Class GBP B (acc) Number of shares 496.145 Net asset value per share GBP 115.78 Class GBP C (acc) Number of shares 1 946.671 Net asset value per share GBP 112.41 Class GBP D (acc) Number of shares – Net asset value per share GBP – Class GBP Management (acc) Number of shares – Net asset value per share GBP – Class GBP Z (acc) Number of shares 2 555.000 Net asset value per share GBP 101.01 Class USD B (acc) Number of shares 10.000 Net asset value per share USD 116.57 Class USD C (acc) Number of shares – Net asset value per share USD – Class USD D (acc) Number of shares 10.000 Net asset value per share USD 118.49 Class USD Management (acc) Number of shares – Net asset value per share USD – The accompanying notes form an integral part of these financial statements. Audited annual report

March 31, 2011

36 771.770 102.07 100 000.000 103.21

49 938 367

28 457 078

194 629.096 105.53

10.000 103.67

990.000 104.26

10.000 102.85

78 781.636 107.34

158 227.286 103.46

135 998.906 111.88

59 965.603 105.76

– –

– –

101.549 106.87

10.000 103.28

208.588 104.27

10.000 102.68

– –

10.000 103.70

486.661 111.96

800.000 105.69

– –

– –

4 231.710 106.79

10.000 104.04

– –

10.000 103.45

63 874.611 108.02

76 606.684 104.52

– –

10.000 106.71

Merrill Lynch Investment Solutions

39

Statistical information (cont.) Year ending as at: March 31, 2013 Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund Total Net Assets EUR 29 784 262 Class CHF A (acc) Number of shares – Net asset value per share CHF – Class CHF B (acc) Number of shares – Net asset value per share CHF – Class CHF C (acc) Number of shares – Net asset value per share CHF – Class CHF D (acc) Number of shares – Net asset value per share CHF – Class EUR A (acc) Number of shares – Net asset value per share EUR – Class EUR B (acc) Number of shares 50 770.638 Net asset value per share EUR 102.30 Class EUR C (acc) Number of shares 110.000 Net asset value per share EUR 101.78 Class EUR D (acc) Number of shares 40 651.225 Net asset value per share EUR 105.36 Class GBP A (acc) Number of shares – Net asset value per share GBP – Class GBP B (acc) Number of shares – Net asset value per share GBP – Class GBP B (inc) Number of shares – Net asset value per share GBP – Class GBP C (acc) Number of shares 80.000 Net asset value per share GBP 103.19 Class GBP D (acc) Number of shares – Net asset value per share GBP – Class USD A (acc) Number of shares 12 471.676 Net asset value per share USD 101.93 Class USD B (acc) Number of shares 178 022.762 Net asset value per share USD 102.70 Class USD C (acc) Number of shares 3 095.522 Net asset value per share USD 102.16

March 31, 2012

March 31, 2011

57 521 617

16 248 091

– –

10.000 104.32

– –

10.000 104.59

– –

10.000 104.42

– –

10.000 104.94

– –

10.000 104.77

33 550.440 95.77

10.000 105.01

1 010.000 94.87

10.000 104.75

274 870.730 96.60

65 980.132 105.34

– –

10.000 104.77

– –

10.000 105.03

12 205.470 102.45

– –

80.000 95.23

80.000 104.68

– –

10.000 105.57

4 310.212 95.36

10.000 104.71

258 079.537 95.56

100 000.000 104.95

3 095.522 94.36

3 095.522 104.46

The accompanying notes form an integral part of these financial statements. Audited annual report

40

Merrill Lynch Investment Solutions

Statistical information (cont.) Year ending as at: March 31, 2013 Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund (cont.) Class USD D (acc) Number of shares 58 520.739 Net asset value per share USD 105.60 Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund Total Net Assets USD 65 810 819 Class EUR B (acc) Number of shares 29 214.270 Net asset value per share EUR 80.02 Class EUR C (acc) Number of shares 4 339.000 Net asset value per share EUR 79.70 Class EUR D (acc) Number of shares 13 447.635 Net asset value per share EUR 81.97 Class GBP B (acc) Number of shares 440 637.462 Net asset value per share GBP 81.47 Class GBP C (acc) Number of shares 65.765 Net asset value per share GBP 80.35 Class GBP D (acc) Number of shares 6 498.091 Net asset value per share GBP 82.43 Class USD B (acc) Number of shares 10.000 Net asset value per share USD 80.76 Class USD C (acc) Number of shares 10.003 Net asset value per share USD 79.94 Class USD D (acc) Number of shares 10.000 Net asset value per share USD 82.23 Class USD Management (acc) Number of shares 66 174.512 Net asset value per share USD 84.73 Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Total Net Assets USD 424 891 652 Class EUR A (acc) Number of shares 143 784.036 Net asset value per share EUR 100.86 Class EUR A (inc) Number of shares 1 182 809.960 Net asset value per share EUR 100.68 Class EUR C (acc) Number of shares 11 312.626 Net asset value per share EUR 99.11 Class EUR D (acc) Number of shares 3 405.290 Net asset value per share EUR 101.69 The accompanying notes form an integral part of these financial statements. Audited annual report

March 31, 2012

March 31, 2011

98 120.383 96.43

22 257.482 105.46

87 404 747

80 711 441

371 765.792 83.18

31 712.158 99.64

4 339.008 82.71

13 470.893 99.84

27 407.050 83.99

88 830.281 100.11

169 462.528 83.54

10.000 100.27

65.765 83.01

65.765 100.01

100 750.973 84.11

105 887.086 100.08

10 267.078 83.00

21 967.889 99.32

108.223 82.78

2 660.310 99.50

10.000 84.02

27 400.078 100.00

66 174.512 85.38

394 579.733 100.14

172 226 357

22 566 531

157 746.428 96.53

10.000 100.29

– –

– –

6 610.000 95.70

10 410.000 100.10

61 289.556 96.98

5 610.000 100.38

Merrill Lynch Investment Solutions

41

Statistical information (cont.) Year ending as at: March 31, 2013 Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund (cont.) Class GBP A (acc) Number of shares 1 497 478.883 Net asset value per share GBP 100.89 Class GBP C (acc) Number of shares 10.001 Net asset value per share GBP 99.97 Class GBP D (acc) Number of shares 27 570.907 Net asset value per share GBP 102.21 Class USD A (acc) Number of shares 31 075.724 Net asset value per share USD 100.64 Class USD C (acc) Number of shares – Net asset value per share USD – Class USD D (acc) Number of shares 144 076.145 Net asset value per share USD 101.71 Class USD Management (acc) Number of shares – Net asset value per share USD – Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Total Net Assets USD 231 890 860 Class CHF B (acc) Number of shares 11 500.000 Net asset value per share CHF 107.01 Class CHF C (acc) Number of shares 2 100.000 Net asset value per share CHF 109.28 Class EUR B (acc) Number of shares 765 179.402 Net asset value per share EUR 106.45 Class EUR C (acc) Number of shares 11 928.578 Net asset value per share EUR 105.37 Class EUR Z (acc) Number of shares 1 280.000 Net asset value per share EUR 100.24 Class GBP B (acc) Number of shares 299 502.844 Net asset value per share GBP 106.91 Class GBP C (acc) Number of shares 15 476.154 Net asset value per share GBP 104.92 Class GBP Z (acc) Number of shares 16 783.979 Net asset value per share GBP 102.31 Class USD B (acc) Number of shares 649 822.277 Net asset value per share USD 107.12

March 31, 2012

March 31, 2011

796 561.556 96.08

10.000 100.32

250.609 95.62

10.000 100.20

27 570.907 96.92

503.323 100.46

27 560.211 96.42

10.000 100.32

– –

10.000 100.20

144 076.145 96.79

10.000 100.42

– –

205 663.903 98.22

139 807 797

20 145 629

– –

– –

– –

– –

517 694.829 97.20

10.000 100.00

5 915.834 96.51

10.000 99.99

– –

– –

281 499.208 97.00

10.000 100.00

10 189.748 95.81

10.000 99.99

– –

– –

269 890.750 97.02

201 380.000 100.00

The accompanying notes form an integral part of these financial statements. Audited annual report

42

Merrill Lynch Investment Solutions

Statistical information (cont.) Year ending as at: March 31, 2013 Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund (cont.) Class USD C (acc) Number of shares 6 378.062 Net asset value per share USD 105.74 Merrill Lynch Investment Solutions – TT Financials UCITS Fund* Total Net Assets USD Class EUR B (acc) Number of shares Net asset value per share EUR Class EUR C (acc) Number of shares Net asset value per share EUR Class EUR D (acc) Number of shares Net asset value per share EUR Class EUR Management (acc) Number of shares Net asset value per share EUR Class GBP B (acc) Number of shares Net asset value per share GBP Class GBP C (acc) Number of shares Net asset value per share GBP Class GBP D (acc) Number of shares Net asset value per share GBP Class USD B (acc) Number of shares Net asset value per share USD Class USD C (acc) Number of shares Net asset value per share USD Class USD D (acc) Number of shares Net asset value per share USD

March 31, 2012

March 31, 2011

6 878.062 96.26

10.000 99.99

–

19 484 825

–

– –

1 056.728 96.65

– –

– –

10.000 96.64

– –

– –

17 621.533 97.85

– –

– –

100 000.000 98.16

– –

– –

25 434.000 97.30

– –

– –

130.537 96.71

– –

– –

10.000 97.71

– –

– –

10.000 97.15

– –

– –

10.000 96.50

– –

– –

10.000 97.58

– –

11 998 602

–

27 603.963 101.95

– –

10.000 101.73

– –

10.000 102.56

– –

Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund Total Net Assets USD 17 612 614 Class EUR B (acc) Number of shares 29 560.000 Net asset value per share EUR 103.53 Class EUR C (acc) Number of shares 10.017 Net asset value per share EUR 102.85 Class EUR D (acc) Number of shares 10.000 Net asset value per share EUR 104.78 * Liquidated on July 31, 2012

The accompanying notes form an integral part of these financial statements. Audited annual report

Merrill Lynch Investment Solutions

43

Statistical information (cont.) Year ending as at: March 31, 2013 Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund (cont.) Class GBP B (acc) Number of shares 10.000 Net asset value per share GBP 104.13 Class GBP B (inc) Number of shares 10.000 Net asset value per share GBP 104.15 Class GBP C (acc) Number of shares 10.000 Net asset value per share GBP 103.34 Class GBP D (acc) Number of shares 8 485.000 Net asset value per share GBP 104.90 Class USD B (acc) Number of shares 51 184.000 Net asset value per share USD 104.14 Class USD C (acc) Number of shares 10.000 Net asset value per share USD 103.12 Class USD D (acc) Number of shares 10.000 Net asset value per share USD 105.28 Class USD Management (acc) Number of shares 65 806.670 Net asset value per share USD 106.24 Merrill Lynch Investment Solutions – QFS Currency UCITS Fund Total Net Assets USD Class EUR B (acc) Number of shares Net asset value per share EUR Class EUR C (acc) Number of shares Net asset value per share EUR Class EUR D (acc) Number of shares Net asset value per share EUR Class GBP B (acc) Number of shares Net asset value per share GBP Class GBP B (inc) Number of shares Net asset value per share GBP Class GBP C (acc) Number of shares Net asset value per share GBP Class GBP D (acc) Number of shares Net asset value per share GBP Class GBP D (inc) Number of shares Net asset value per share GBP

March 31, 2012

March 31, 2011

10.000 102.15

– –

10.000 102.15

– –

305.773 101.73

– –

8 968.000 102.42

– –

10.000 102.25

– –

10.000 101.81

– –

10.000 102.63

– –

65 806.670 102.19

– –

7 848 727

18 583 083

–

47 919.388 84.51

304.159 91.77

– –

355.000 83.41

355.000 91.16

– –

– –

36 500.000 92.45

– –

16 300.323 84.31

10.000 92.10

– –

10.000 85.16

10.000 92.10

– –

10.000 83.49

303.943 91.50

– –

10.000 86.29

19 785.684 92.04

– –

10.000 86.11

10.000 92.27

– –

The accompanying notes form an integral part of these financial statements. Audited annual report

44

Merrill Lynch Investment Solutions

Statistical information (cont.) Year ending as at: March 31, 2013 Merrill Lynch Investment Solutions – QFS Currency UCITS Fund (cont.) Class USD B (acc) Number of shares 6 217.723 Net asset value per share USD 84.46 Class USD C (acc) Number of shares 10.000 Net asset value per share USD 84.29 Class USD D (acc) Number of shares – Net asset value per share USD – Class USD Management (acc) Number of shares – Net asset value per share USD –

March 31, 2012

March 31, 2011

10.000 91.68

– –

10.000 91.99

– –

109 107.055 92.50

– –

10 000.000 94.74

– –

12 926 898

–

– –

– –

– –

– –

129 700.679 99.67

– –

12 037 745

–

–

10.000 103.30

– –

– –

10.000 102.79

– –

– –

112 248.993 107.22

– –

– –

–

–

– –

– –

– –

– –

– –

– –

Merrill Lynch Investment Solutions – TRG Global Emerging Markets Opportunity UCITS Fund Total Net Assets USD 13 068 494 Class USD B (acc) Number of shares 10.000 Net asset value per share USD 103.02 Class USD C (acc) Number of shares 10.000 Net asset value per share USD 102.82 Class USD Management (acc) Number of shares 131 002.174 Net asset value per share USD 99.74 Merrill Lynch Investment Solutions – Fulcrum Alpha Macro UCITS Fund* Total Net Assets USD Class USD B (acc) Number of shares Net asset value per share USD Class USD C (acc) Number of shares Net asset value per share USD Class USD Management (acc) Number of shares Net asset value per share USD

Merrill Lynch Investment Solutions – Van Eck Commodities Long-Short Equity UCITS Fund** Total Net Assets USD 19 437 721 Class EUR D (acc) Number of shares 32 000.000 Net asset value per share EUR 98.60 Class USD B (acc) Number of shares 10.000 Net asset value per share USD 98.81 Class USD C (acc) Number of shares 10.000 Net asset value per share USD 98.65 * Launched on June 15, 2012 ** Launched on December 19, 2012 The accompanying notes form an integral part of these financial statements. Audited annual report

Merrill Lynch Investment Solutions

45

Statistical information (cont.) Year ending as at: March 31, 2013 March 31, 2012 Merrill Lynch Investment Solutions – Van Eck Commodities Long-Short Equity UCITS Fund* (cont.) Class USD D (acc) Number of shares 54 959.825 – Net asset value per share USD 99.15 – Class USD Management (acc) Number of shares 100 000.000 – Net asset value per share USD 99.35 – Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund** Total Net Assets USD 5 992 698 Class USD Management (acc) Number of shares 60 000.000 Net asset value per share USD 99.88

March 31, 2011

– – – –

–

–

– –

– –

* Launched on December 19, 2012 ** Launched on March 25, 2013

The accompanying notes form an integral part of these financial statements. Audited annual report

46

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at March 31, 2013 (expressed in EUR)

Quantity

Description

Quotation Currency

Cost EUR

Market value EUR

% of net assets

Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.) Shares (cont.) 15 968 1 724 12 718 258 26 158 1 249 31 494 10 407 15 330 341 495 13 634 28 270 34 360 48 1 8 338 13 006 30 158 11 379 16 315 346 18 022 10 195 9 365 13 404 32 212 881 9 087 1 144 14 181 2 659 1 005 630 33 790 2 14 444 1 610 110 6 465 3 873

ABM Industries, Inc. Acacia Research Corp. Actavis, Inc. Acuity Brands, Inc. Agilent Technologies, Inc. Agnico-Eagle Mines Ltd. Ainsworth Lumber Co. Ltd. - Reg Airgas, Inc. Alexandria Real Estate Equities, Inc. Allegheny Technologies, Inc. Allied World Assurance Co. Hldg. AG Allot Communications Ltd. Allstate Corp. Alpha Natural Resources, Inc. Altisource Portfolio Solutions S.A. Amazon.com, Inc. Ameren Corp. American Campus Communities, Inc. American Capital Agency Corp. American Eagle Outfitters, Inc. American International Group, Inc. American Public Education, Inc. American Tower Corp. Annie's, Inc. Aon Plc. Apache Corp. Apollo Group, Inc. - A Applied Industrial Technologies, Inc. Arch Coal, Inc. Arctic Cat, Inc. ARMOUR Residential REIT, Inc. Arris Group, Inc. AutoNation, Inc. AVG Technologies NV Axis Capital Hldg. Ltd. AZZ, Inc. B2Gold Corp. BankUnited, Inc. Banner Corp. Barnes Group, Inc. Barrick Gold Corp.

The accompanying notes form an integral part of these financial statements. Audited annual report

USD USD USD USD USD USD CAD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD CAD USD USD USD USD

271 094 38 343 867 647 13 588 813 502 44 907 96 560 794 732 828 437 8 150 33 346 138 278 962 225 222 527 3 126 204 195 766 445 206 730 123 163 529 459 410 9 356 1 029 708 312 369 431 530 778 698 462 871 28 916 39 582 30 880 71 441 35 672 33 997 6 111 985 431 60 33 688 31 885 2 566 134 550 86 302

276 558 40 505 912 278 13 934 854 958 39 918 98 254 803 644 847 383 8 421 35 742 126 774 1 080 297 219 684 2 607 208 227 394 459 226 769 862 165 710 493 224 9 401 1 079 552 303 762 448 523 805 430 436 233 30 874 38 426 38 932 72 114 35 554 34 241 6 829 1 095 196 75 34 212 32 122 2 727 145 653 88 674

0.11 0.02 0.36 0.01 0.34 0.02 0.04 0.32 0.34 0.00 0.01 0.05 0.43 0.09 0.00 0.00 0.09 0.18 0.31 0.07 0.20 0.00 0.43 0.12 0.18 0.32 0.17 0.01 0.02 0.02 0.03 0.01 0.01 0.00 0.44 0.00 0.01 0.01 0.00 0.06 0.04

Merrill Lynch Investment Solutions

47

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR)

Quantity

Description

Quotation Currency

Cost EUR

Market value EUR

% of net assets

Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.) Shares (cont.) 5 696 32 330 25 5 34 681 56 1 345 28 370 4 39 261 8 099 3 331 5 855 25 4 4 444 19 591 76 1 673 4 825 16 900 4 382 6 619 84 23 890 21 505 5 582 17 878 2 7 739 2 613 269 513 5 877 15 330 12 995 13 2 653 5 280 10 697 8 39 917

Basic Energy Services, Inc. Bauer Performance Sports Ltd. Baytex Energy Corp. Bemis Co., Inc. Blucora, Inc. Bombardier, Inc. - B BorgWarner, Inc. Boulder Brands, Inc. Broadridge Financial Solutions, Inc. Brocade Communications Systems, Inc. Brookfield Office Properties, Inc. Brookfield Renewable Energy Partners LP Brown & Brown, Inc. BT Group Plc. - ADR Buckeye Technologies, Inc. Buffalo Wild Wings, Inc. Callaway Golf Co. Camden Property Trust Canadian Pacific Railway Ltd. Cardiovascular Systems, Inc. Carfinco Financial Group, Inc. Carlisle, Inc. Carter's, Inc. Cash America International, Inc. CBS Corp. - B Cenovus Energy, Inc. Check Point Software Technologies Ltd. Chesapeake Energy Corp. Chico's FAS, Inc. Chubb Corp. Church & Dwight Co., Inc. Churchill Downs, Inc. Cia de Minas Buenaventura S.A. - ADR Cigna Corp. Cimarex Energy Co. Clean Harbors, Inc. Cleco Corp. Clorox Co. Coach, Inc. Cognizant Technology Solutions Corp. - A Coinstar, Inc. Comcast Corp. - A Con-way, Inc.

USD CAD CAD USD USD CAD USD USD USD USD USD CAD USD USD USD USD USD USD USD USD CAD USD USD USD USD CAD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD

62 355 277 598 809 149 408 942 180 76 156 202 490 71 171 225 105 770 74 012 125 351 663 89 288 292 100 332 3 849 155 106 65 575 125 177 233 895 286 467 3 422 795 030 517 654 209 464 289 026 26 499 206 129 490 13 674 10 091 258 947 836 787 474 34 780 804 98 903 316 072 400 256 241 1 107 554

60 637 297 383 816 157 418 084 173 81 008 198 398 77 176 416 108 294 76 012 146 090 818 93 302 923 100 999 4 065 169 984 76 954 129 414 231 334 295 203 3 432 868 643 518 594 204 266 284 160 26 527 525 131 515 14 672 10 371 285 452 900 628 543 36 442 896 103 281 315 007 486 659 262 1 094 524

0.02 0.12 0.00 0.00 0.17 0.00 0.03 0.08 0.00 0.07 0.04 0.03 0.06 0.00 0.00 0.12 0.04 0.00 0.07 0.03 0.05 0.09 0.12 0.00 0.35 0.21 0.08 0.11 0.00 0.21 0.05 0.01 0.00 0.11 0.36 0.00 0.01 0.00 0.04 0.13 0.19 0.00 0.44

The accompanying notes form an integral part of these financial statements. Audited annual report

48

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR)

Quantity

Description

Quotation Currency

Cost EUR

Market value EUR

% of net assets

Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.) Shares (cont.) 7 569 9 15 982 25 823 12 437 610 11 468 22 942 8 204 1 379 29 022 3 227 30 264 7 705 1 289 10 212 8 444 3 953 5 666 24 316 14 392 5 664 57 20 009 17 617 17 298 345 187 15 229 515 1 725 26 912 18 095 22 155 10 424 23 005 166 10 731 14 5 281 10 850 34 945

ConAgra Foods, Inc. Concho Resources, Inc. Continental Resources, Inc. Copart, Inc. Corpbanca S.A. - ADR Corrections Corp. of America Costco Wholesale Corp. Cott Corp. CR Bard, Inc. CreXus Investment Corp. Crocs, Inc. CVR Energy, Inc.(a) Cyberonics, Inc. Cynosure, Inc. - A Dana Hldg. Corp. Darling International, Inc. Delek US Hldg., Inc. Deluxe Corp. Demandware, Inc. Devon Energy Corp. DFC Global Corp. Diebold, Inc. Digital Realty Trust, Inc. Discovery Communications, Inc. - C Dollar General Corp. Dominion Resources, Inc. Dr Pepper Snapple Group, Inc. Drew Industries, Inc. DST Systems, Inc. DuPont Fabros Technology, Inc. Eagle Materials, Inc. eBay, Inc. Element Financial Corp. EMC Corp. Encore Capital Group, Inc. Endo Health Solutions, Inc. Entegris, Inc. EOG Resources, Inc. EPL Oil & Gas, Inc. Equifax, Inc. Everest Re Group Ltd. Exact Sciences Corp. Exterran Hldg., Inc.

(a) This security is fair valued. See Notes 2.2.6 and 10. The accompanying notes form an integral part of these financial statements. Audited annual report

USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD CAD USD USD USD USD USD USD USD USD USD USD

196 738 625 984 051 685 271 185 636 17 748 896 034 173 520 608 586 11 972 325 418 0 1 074 551 152 857 17 687 141 429 256 476 123 243 110 479 1 029 821 206 647 126 673 2 932 1 021 525 696 257 749 814 12 212 5 233 717 284 9 513 92 663 1 078 285 103 364 411 163 236 810 508 581 1 171 1 014 111 231 217 719 959 6 747 726 502

211 079 683 1 081 938 689 364 202 521 18 560 947 644 180 806 643 875 13 982 334 948 0 1 103 231 157 028 17 898 142 830 259 482 127 447 111 855 1 068 382 186 499 133 738 2 970 1 083 581 693 924 783 738 12 614 5 288 845 239 9 734 89 508 1 136 336 124 833 412 182 244 344 551 074 1 275 1 070 259 292 236 845 1 011 6 487 734 768

0.08 0.00 0.43 0.27 0.08 0.01 0.38 0.07 0.26 0.01 0.13 0.00 0.44 0.06 0.01 0.06 0.10 0.05 0.04 0.43 0.07 0.05 0.00 0.43 0.28 0.31 0.01 0.00 0.34 0.00 0.04 0.45 0.05 0.16 0.10 0.22 0.00 0.43 0.00 0.09 0.00 0.00 0.29

Merrill Lynch Investment Solutions

49

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR)

Quantity

Description

Quotation Currency

Cost EUR

Market value EUR

% of net assets

Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.) Shares (cont.) 2 136 996 125 54 328 21 714 279 1 060 670 135 046 14 2 076 25 842 16 063 863 6 022 11 926 9 309 63 817 5 673 4 709 23 733 4 464 7 467 12 716 1 29 504 2 969 18 057 2 739 5 189 5 675 10 596 11 228 312 8 400 25 103 8 290 10 640 15 349 77 304 11 459 1 640 1 564

F5 Networks, Inc. Ferro Corp. Fibria Celulose S.A. - ADR Fidelity National Financial, Inc. - A Fidelity National Information Services, Inc. Fiesta Restaurant Group, Inc. Fifth & Pacific, Inc. First American Financial Corp. First Horizon National Corp. (a) First Midwest Bancorp, Inc. Fomento Economico Mexicano SAB de CV- ADR Foot Locker, Inc. Forest City Enterprises, Inc. - A Fortune Brands Home & Security, Inc. Franklin Resources, Inc. Freeport-McMoRan Copper & Gold, Inc. Fusion-io, Inc. Galway Gold, Inc. Gardner Denver, Inc. General Motors Co. Gentex Corp. Gentherm, Inc. Genworth Financial, Inc. - A Geo Group, Inc. Gildan Activewear, Inc. Global Cash Access Hldg., Inc. Government Properties Income Trust Graphic Packaging Hldg. Co. Grupo Televisa SAB - ADR Gulfport Energy Corp. Halcon Resources Corp. Harman International Industries, Inc. Harris Teeter Supermarkets, Inc. Hasbro, Inc. Hawaiian Electric Industries, Inc. Hawaiian Hldg., Inc. HB Fuller Co. Helmerich & Payne, Inc. Henry Schein, Inc. Hercules Offshore, Inc. Hewlett-Packard Co. HudBay Minerals, Inc. Hudson Pacific Properties, Inc.

USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD CAD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD CAD USD

149 552 2 022 1 096 1 025 596 628 775 5 206 15 610 11 917 0 134 176 538 658 939 214 652 24 205 618 381 307 627 118 734 17 918 301 481 102 431 329 571 56 084 58 721 320 976 27 160 878 59 192 98 624 55 172 153 792 30 791 363 312 367 943 10 209 173 514 113 089 201 365 504 626 1 022 551 334 110 166 589 12 084 26 566

148 178 5 236 1 175 1 067 437 669 971 5 773 15 585 13 342 1 145 183 495 689 067 222 288 25 155 707 249 307 414 118 673 12 719 331 827 102 020 369 829 56 943 58 150 372 538 31 161 984 59 491 105 324 56 759 185 197 34 427 368 273 373 451 10 676 181 266 112 603 252 296 502 958 1 106 262 446 691 212 743 12 282 26 491

0.06 0.00 0.00 0.42 0.27 0.00 0.01 0.01 0.00 0.00 0.07 0.27 0.09 0.01 0.28 0.12 0.05 0.01 0.13 0.04 0.15 0.02 0.02 0.15 0.00 0.06 0.02 0.04 0.02 0.07 0.01 0.15 0.15 0.00 0.07 0.04 0.10 0.20 0.44 0.18 0.08 0.01 0.01

(a) This security is fair valued. See Notes 2.2.6 and 10. The accompanying notes form an integral part of these financial statements. Audited annual report

50

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR)

Quantity

Description

Quotation Currency

Cost EUR

Market value EUR

% of net assets

Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.) Shares (cont.) 14 893 5 300 11 410 3 472 3 440 722 75 214 16 555 13 220 2 502 5 23 17 083 222 5 288 14 116 10 31 405 504 9 526 80 512 50 28 105 3 169 41 903 971 3 786 3 245 43 756 75 114 410 142 631 13 226 2 297 1 095 2 218 8 094 21 327 6 171 2 160 5 002 16

IGM Financial, Inc. Impax Laboratories, Inc. InterActiveCorp International Paper Co. InterXion Hldg. NV Intuitive Surgical, Inc. InvenSense, Inc. Invesco Ltd. Invesco Mortgage Capital, Inc. IPG Photonics Corp. Iron Mountain, Inc. Ironwood Pharmaceuticals, Inc. Itron, Inc. Jack in the Box, Inc. JDS Uniphase Corp. Jones Lang LaSalle, Inc. Joy Global, Inc. Juniper Networks, Inc. KapStone Paper and Packaging Corp. Kennedy-Wilson Hldg., Inc. KeyCorp Keyera Corp. KEYW Hldg. Corp. Kraton Performance Polymers, Inc. Kroger Co. Kulicke & Soffa Industries, Inc. Labrador Iron Ore Royalty Corp. Laredo Petroleum Hldg., Inc. LeapFrog Enterprises, Inc. Lear Corp. Lexington Realty Trust Lincoln Electric Hldg., Inc. Lincoln National Corp. Live Nation Entertainment, Inc. LKQ Corp. LogMeIn, Inc. Louisiana-Pacific Corp. LSB Industries, Inc. LyondellBasell Industries NV - A Madison Square Garden Co. - A Magnum Hunter Resources Corp. MAKO Surgical Corp. Manitoba Telecom Services, Inc.

The accompanying notes form an integral part of these financial statements. Audited annual report

CAD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD CAD USD USD USD USD CAD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD CAD

502 294 73 255 353 491 121 717 64 444 272 684 707 306 365 714 210 135 115 132 127 288 599 994 5 818 56 827 897 926 472 459 787 9 940 115 235 612 026 1 915 300 868 58 301 973 512 7 367 100 545 47 820 282 173 2 691 975 579 6 192 15 970 121 253 38 233 17 595 34 322 240 597 979 135 264 937 6 522 45 733 385

522 507 63 727 397 009 125 945 64 883 276 177 625 563 373 361 220 213 129 396 141 328 617 282 5 980 55 058 1 092 806 464 453 430 10 911 115 060 624 484 2 188 353 036 57 748 1 081 432 8 741 98 468 46 220 291 684 3 205 1 051 350 5 991 16 024 127 409 38 924 16 390 37 309 219 227 1 051 154 276 809 6 745 43 433 405

0.21 0.03 0.16 0.05 0.03 0.11 0.25 0.15 0.09 0.05 0.00 0.00 0.25 0.00 0.02 0.43 0.00 0.18 0.00 0.05 0.25 0.00 0.14 0.02 0.43 0.00 0.04 0.02 0.12 0.00 0.42 0.00 0.01 0.05 0.02 0.01 0.01 0.09 0.42 0.11 0.00 0.02 0.00

Merrill Lynch Investment Solutions

51

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR)

Quantity

Description

Quotation Currency

Cost EUR

Market value EUR

% of net assets

Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.) Shares (cont.) 4 372 2 037 429 4 801 5 28 116 16 763 4 848 6 688 6 677 17 536 6 365 18 137 909 1 344 4 785 38 530 1 300 5 749 49 742 7 998 1 539 537 12 545 13 006 4 293 10 32 923 117 395 93 9 092 3 655 9 750 12 874 27 158 1 697 127 8 721 23 367 21 057 5 346 4 175 55 842

Manpower, Inc. Marathon Oil Corp. MarketAxess Hldg., Inc. Marsh & McLennan, Inc. Martin Marietta Materials, Inc. Marvell Technology Group Ltd. Masco Corp. Masimo Corp. MAXIMUS, Inc. MB Financial, Inc. McDermott International, Inc. McKesson Corp. MeadWestvaco Corp. Medifast, Inc. Medivation, Inc. Merck & Co. Inc MFA Financial, Inc. MGIC Investment Corp. Michael Kors Hldg. Ltd. Micron Technology, Inc. Microsoft Corp. Mid-America Apartment Communities, Inc. Middleby Corp. Montpelier Re Hldg. Ltd. Moody's Corp. Mosaic Co. Movado Group, Inc. MRC Global, Inc. Mueller Water Products, Inc. - A MWI Veterinary Supply, Inc. Myriad Genetics, Inc. Nabors Industries Ltd. Nationstar Mortgage Hldg., Inc. Navistar International Corp. NetApp, Inc. Netscout Systems, Inc. Newcastle Investment Corp. Newfield Exploration Co. NIKE, Inc. - B Nordson Corp. Northern Trust Corp. Northrop Grumman Corp. NorthStar Realty Finance Corp.

USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD

175 208 54 798 11 240 128 123 369 220 605 247 263 73 547 414 544 109 614 151 562 527 103 511 430 15 927 45 676 162 099 267 883 5 118 247 019 380 515 174 557 82 108 60 913 221 411 494 848 196 678 245 738 686 530 582 7 749 183 488 44 902 262 485 305 347 722 496 33 251 1 016 159 331 1 076 021 1 048 124 224 952 207 171 410 754

193 116 53 491 12 461 141 963 397 231 654 264 349 74 074 416 509 125 678 150 082 535 134 512 712 16 225 48 952 164 816 279 651 5 011 254 253 386 594 178 197 82 769 63 628 254 495 540 052 199 288 261 844 292 542 133 9 579 179 843 46 168 280 177 346 589 722 465 32 470 1 105 152 266 1 073 816 1 081 466 227 146 228 079 412 260

0.08 0.02 0.01 0.06 0.00 0.09 0.11 0.03 0.17 0.05 0.06 0.21 0.20 0.01 0.02 0.07 0.11 0.00 0.10 0.15 0.07 0.03 0.03 0.10 0.22 0.08 0.00 0.34 0.22 0.00 0.07 0.02 0.11 0.14 0.29 0.01 0.00 0.06 0.43 0.43 0.09 0.09 0.16

The accompanying notes form an integral part of these financial statements. Audited annual report

52

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR)

Quantity

Description

Quotation Currency

Cost EUR

Market value EUR

% of net assets

Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.) Shares (cont.) 87 17 169 111 276 11 418 100 426 17 068 1 134 1 598 8 692 14 429 13 562 270 104 2 14 955 32 346 15 979 578 6 707 512 125 6 6 096 22 303 4 985 2 715 6 420 36 100 1 688 2 015 2 458 234 4 733 374 9 127 4 029 37 788 24 118 18 322 28 029 22 407 17 401

NorthWestern Corp. NPS Pharmaceuticals, Inc. NVIDIA Corp. Ocwen Financial Corp. Office Depot, Inc. OGE Energy Corp. On Assignment, Inc. Oracle Corp. Oshkosh Corp. Owens Corning Packaging Corp. of America Panera Bread Co. - A Parametric Sound Corp. Parker Hannifin Corp. PartnerRe Ltd. Patterson, Inc. Peabody Energy Corp. Pembina Pipeline Corp. PerkinElmer, Inc. PetMed Express, Inc. PetroBakken Energy Ltd. Peyto Exploration & Development Corp. Pinnacle Foods, Inc. Platinum Underwriters Hldg. Ltd. Pool Corp. Potlatch Corp. Power Corp. of Canada Power Financial Corp. Precision Drilling Corp. priceline.com, Inc. Progressive Waste Solutions Ltd. Prosperity Bancshares, Inc. Proto Labs, Inc. PVH Corp. QIAGEN NV QLIK Technologies, Inc. Quebecor, Inc. - B Questcor Pharmaceuticals, Inc. RDA Microelectronics, Inc. - ADR Realogy Hldg. Corp. Red Hat, Inc. Redwood Trust, Inc. Regions Financial Corp.

The accompanying notes form an integral part of these financial statements. Audited annual report

USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD CAD USD USD CAD CAD USD USD USD USD CAD CAD USD USD USD USD USD USD USD USD CAD USD USD USD USD USD USD

2 350 129 180 1 086 391 305 316 332 510 759 321 18 262 39 907 256 828 436 847 389 033 34 536 1 445 139 1 068 083 898 717 265 801 14 021 160 332 5 570 866 123 106 955 893 507 172 313 88 791 130 973 814 028 11 328 1 079 940 33 14 795 7 022 420 663 5 851 182 297 132 948 905 496 173 734 665 798 1 088 091 373 034 110 431

2 701 136 245 1 110 941 337 178 307 355 930 161 22 352 40 246 287 613 443 062 473 894 34 744 1 624 143 1 084 387 958 214 263 185 14 222 175 706 5 349 846 124 105 437 969 341 186 341 96 963 134 347 828 492 12 133 1 079 495 33 16 903 8 947 393 686 6 140 183 592 132 953 957 575 173 734 696 867 1 103 611 404 481 110 984

0.00 0.05 0.44 0.13 0.12 0.37 0.01 0.02 0.11 0.18 0.19 0.01 0.00 0.00 0.43 0.38 0.10 0.01 0.07 0.00 0.00 0.00 0.04 0.39 0.07 0.04 0.05 0.33 0.00 0.43 0.00 0.01 0.00 0.16 0.00 0.07 0.05 0.38 0.07 0.28 0.44 0.16 0.04

Merrill Lynch Investment Solutions

53

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR)

Quantity

Description

Quotation Currency

Cost EUR

Market value EUR

% of net assets

Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.) Shares (cont.) 15 276 247 021 2 976 10 428 11 525 210 3 5 319 17 405 4 338 33 284 8 044 19 494 32 642 18 638 6 769 52 138 13 176 15 347 6 339 18 169 6 105 22 821 23 615 38 485 24 517 30 776 94 58 936 287 2 15 259 9 434 15 380 7 089 1 260 30 089 34 016 1 735 1 287 853 487 778

RenaissanceRe Hldg. Ltd. Rentech, Inc. Rex Energy Corp. Riverbed Technology, Inc. Robert Half International, Inc. Rockwell Automation, Inc. Rosetta Resources, Inc. Rowan Co. Plc. - A Royal Caribbean Cruises Ltd. RPC, Inc. SAIC, Inc. Sanchez Energy Corp. SanDisk Corp. Santarus, Inc. Schlumberger Ltd. Select Comfort Corp. Service Corp. International Shawcor Ltd. Shire Plc. - ADR Sigma-Aldrich Corp. Sirona Dental Systems, Inc. SkyWest, Inc. Skyworks Solutions, Inc. SM Energy Co. Smithfield Foods, Inc. Sotheby's Spirit Realty Capital, Inc. STAG Industrial, Inc. Standard Pacific Corp. Stanley Black & Decker, Inc. Stericycle, Inc. Steven Madden Ltd. Strategic Hotels & Resorts, Inc. Stryker Corp. Suncor Energy, Inc. (Traded in Canada) Suncor Energy, Inc. (Traded in the United States) SunTrust Banks, Inc. Superior Energy Services, Inc. Susser Hldg. Corp. Synaptics, Inc. Syntel, Inc. T Rowe Price Group, Inc. Take-Two Interactive Software, Inc.

USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD CAD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD CAD USD USD USD USD USD USD USD USD

973 034 495 739 36 772 118 207 299 465 13 809 118 143 650 448 613 52 260 348 729 122 520 839 102 342 988 1 063 623 108 043 653 353 413 023 1 113 099 374 333 981 113 70 425 371 807 1 078 122 764 470 713 836 458 679 1 292 374 142 17 954 146 517 283 56 250 777 646 167 045 29 481 652 890 698 346 64 871 36 769 38 326 28 289 9 333

1 094 338 452 067 38 194 121 082 336 838 14 122 111 146 468 450 272 51 248 351 218 124 785 834 959 440 531 1 086 987 104 216 679 285 434 998 1 091 895 383 470 1 043 222 76 307 391 517 1 089 075 793 617 714 260 455 373 1 557 396 548 18 097 165 512 634 61 346 781 397 165 409 29 447 675 076 687 950 69 057 40 782 44 852 28 395 9 785

0.44 0.18 0.02 0.05 0.13 0.01 0.00 0.06 0.18 0.02 0.14 0.05 0.33 0.18 0.43 0.04 0.27 0.17 0.43 0.15 0.42 0.03 0.16 0.43 0.32 0.28 0.18 0.00 0.16 0.01 0.00 0.20 0.02 0.31 0.07 0.01 0.27 0.27 0.03 0.02 0.02 0.01 0.00

The accompanying notes form an integral part of these financial statements. Audited annual report

54

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR)

Quantity

Description

Quotation Currency

Cost EUR

Market value EUR

% of net assets

Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.) Shares (cont.) 3 936 10 303 32 273 4 475 20 251 11 899 16 014 12 077 4 55 191 25 645 51 12 550 45 16 192 1 732 18 696 936 15 476 4 2 608 9 807 172 1 7 897 2 450 26 299 9 682 13 926 1 312 24 598 1 660 177 55 553 2 553 674 44 714 1 024 3 445 12 415 1 783 3 359 5

Tangoe, Inc. Taser International, Inc. TE Connectivity Ltd. Teck Resources Ltd. - B Terex Corp. Thor Industries, Inc. Thoratec Corp. TICC Capital Corp. TJX, Inc. Total System Services, Inc. Transocean Ltd. Triangle Capital Corp. Tronox Ltd. - A Trustmark Corp. TRW Automotive Hldg. Corp. Tumi Hldg., Inc. TW Telecom, Inc. Ulta Salon Cosmetics & Fragrance, Inc. United Natural Foods, Inc. United Therapeutics Corp. Urban Outfitters, Inc. USG Corp. Valassis Communications, Inc. Validus Hldg. Ltd. Valmont Industries, Inc. Valspar Corp. Vantiv, Inc. - A Vertex Pharmaceuticals, Inc. VMware, Inc. - A Vocera Communications, Inc. Walt Disney Co. Walter Investment Management Corp. Warner Chilcott Plc. - A Weatherford International Ltd. West Fraser Timber Co. Ltd. Western Digital Corp. Weyerhaeuser Co. Whiting Petroleum Corp. Williams-Sonoma, Inc. Woodward, Inc. WR Grace & Co Xerox Corp. Xilinx, Inc.

The accompanying notes form an integral part of these financial statements. Audited annual report

USD USD USD CAD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD CAD USD USD USD USD USD USD USD USD

36 850 64 053 1 027 497 97 476 521 591 342 712 436 968 95 593 134 1 032 475 1 025 870 870 202 516 756 704 165 29 486 357 863 57 281 586 224 168 82 337 205 691 3 514 27 916 648 118 200 439 150 344 230 808 594 23 024 1 073 751 41 500 1 855 502 341 156 350 26 300 991 636 40 375 131 943 336 381 96 664 22 378 134

37 978 63 787 1 053 818 98 104 542 824 340 912 467 662 93 486 146 1 065 052 1 037 703 1 112 193 611 876 693 529 28 244 366 757 59 166 592 960 190 78 681 201 929 4 001 29 967 185 118 770 486 207 414 545 855 450 23 500 1 088 052 48 154 1 868 525 203 176 126 26 391 1 092 692 40 542 138 219 384 410 107 624 22 496 149

0.02 0.03 0.42 0.04 0.22 0.14 0.19 0.04 0.00 0.42 0.41 0.00 0.08 0.00 0.28 0.01 0.15 0.02 0.24 0.00 0.03 0.08 0.00 0.00 0.38 0.05 0.19 0.17 0.34 0.01 0.43 0.02 0.00 0.21 0.07 0.01 0.43 0.02 0.06 0.15 0.04 0.01 0.00

55

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR)

Quantity

Description

Quotation Currency

Cost EUR

Market value EUR

% of net assets

Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.) Shares (cont.) 17 794 224 29 276 1

Xylem, Inc. Yamana Gold, Inc. Zagg, Inc. Zimmer Hldg., Inc. Total Shares

USD USD USD USD

386 855 2 477 169 318 58 107 899 800

381 904 2 678 165 976 59 112 871 187

0.15 0.00 0.07 0.00 44.91

IMMOEAST AG (a) Total Shares

EUR

0 0

0 0

0.00 0.00

Marshall Wace Investment Strategies Total Investment funds Total investments

USD

14 290 044 14 290 044 122 189 844

17 629 828 17 629 828 130 501 015

7.01 7.01 51.92

Other transferable securities Shares 44 595 Investment funds 157 640

(a) This security is fair valued. See Notes 2.2.6 and 10.

The accompanying notes form an integral part of these financial statements. Audited annual report

56

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR) Industrial classification of investments (as a percentage of net assets as at March 31, 2013) Investment Fund Oil & Gas Insurance REITS Healthcare-Products Commercial Services Retail Computers Electronics Oil & Gas Services Pharmaceuticals Chemicals Software Food Media Internet Diversified Financial Services Apparel Semiconductors Real Estate Electric Banks Machinery-Diversified Auto Manufacturers/Parts & Equipment Metal Fabricate/Hardware Transportation Building Materials Healthcare-Services

Geographical classification of investments (as a percentage of net assets as at March 31, 2013) United States Ireland Bermuda Canada Switzerland Netherlands United Kingdom Israel Hong Kong Mexico Chile China

% 7.01 4.21 3.79 3.13 2.69 2.47 2.18 1.76 1.73 1.58 1.54 1.44 1.38 1.31 1.28 1.27 1.23 1.02 0.91 0.89 0.88 0.79 0.76 0.63 0.60 0.51 0.47 0.47

% 38.76 7.44 1.94 1.63 1.05 0.45 0.18 0.13 0.10 0.09 0.08 0.07 51.92

The accompanying notes form an integral part of these financial statements. Audited annual report

Industrial classification of investments (as a percentage of net assets as at March 31, 2013) (cont.) Telecommunications Leisure Time Forest Products & Paper Home Builders Biotechnology Mining Miscellaneous Manufactures Packaging & Containers Machinery-Construction & Mining Coal Home Furnishings Beverages Entertainment Toys/Games/Hobbies Aerospace/Defense Distribution/Wholesale Airlines Engineering & Construction Environmental Control Household Products/Wares Investment Companies Electrical Components & Equipment Hand/Machine Tools Office/Business Equipment Pipelines Savings & Loans

% 0.47 0.36 0.32 0.30 0.29 0.25 0.24 0.23 0.22 0.21 0.19 0.15 0.12 0.12 0.09 0.09 0.07 0.06 0.06 0.06 0.04 0.01 0.01 0.01 0.01 0.01 51.92

Merrill Lynch Investment Solutions

57

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR)

Underlying Currency nature contract Futures contracts Index EUR Index AUD Index EUR Index EUR Index EUR Index GBP Index EUR Index HKD Index

USD

Index

JPY

Index

SEK

Index Index

USD USD

Index

USD

Index CAD Total Futures contracts

Details

Number of Number of Maturity contracts contracts Date bought sold

Market

Amsterdam Index ASX SPI 200 Index CAC 40 10 Euro DAX Index Euro Stoxx 50 Index FTSE 100 Index FTSE MIB Index Hang Seng China Enterprises Index Nasdaq 100 E-Mini Index

Nyse Liffe Amsterdam Australian SE Euronext Paris Eurex Deutschland Eurex Deutschland Euronext Liffe Borsa Italiano Hong Kong Futures Exchange Chicago Mercantile Exchange Nikkei 225 Index Singapore Exchange (was SIMEX) OMX 30 Index OMX Nordic Exchange Stockholm Russell 2000 Mini Index ICE Futures US Indices S&P 500 E-Mini Index Chicago Mercantile Exchange S&P MidCap 400 E-Mini Index Chicago Mercantile Exchange S&P TSE 60 Index Montreal Exchange

Purchase Forward foreign exchange contracts EUR 532 435 GBP 80 370 000 USD 15 950 000 AUD 3 700 000 BRL 16 500 000 EUR 4 896 935 EUR 4 080 296 EUR 3 248 961 EUR 896 588 EUR 135 834 961 USD 1 992 032 Total Forward foreign exchange contracts

19/04/2013 20/06/2013 19/04/2013 21/06/2013 21/06/2013 21/06/2013 21/06/2013

830 406 112 834 177 975 (7 590) (932) 580

29/04/2013

9

491 397

4 379

21/06/2013

1

43 782

(245)

13/06/2013

94

4 827 260

(246 768)

15

213 792 517 273

111 1 036

56

3 407 493

(38 099)

1

89 635 111 745

(1 576) 958

25 596 990

3 899

11 8

7

21/06/2013 21/06/2013 20/06/2013

Sale USD EUR EUR EUR USD CAD GBP JPY SEK USD BRL

2

138 960 100 817 5 262 120 9 360 600 280 940 600 806 150 370

19/04/2013 21/06/2013

2 1 141 48

690 000 93 298 006 12 202 379 2 944 664 8 324 084 6 500 000 3 500 000 400 000 000 7 500 000 176 000 000 4 000 000

Unrealised appreciation/ Commitment (depreciation) EUR EUR

1

Maturity date

Counterparty

03/04/2013 03/04/2013 03/04/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013

State Street Bank London State Street Bank London State Street Bank London State Street Bank London State Street Bank London State Street Bank London State Street Bank London State Street Bank London State Street Bank London State Street Bank London State Street Bank London

Unrealised appreciation/ (depreciation) EUR (4 907) 1 739 728 218 779 40 369 (166 209) (74 134) (54 524) (64 147) 259 (1 150 354) 20 113 504 973

The accompanying notes form an integral part of these financial statements. Audited annual report

58

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR) Contracts for difference swaps The Sub-Fund Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) entered into contracts for difference swaps with four counterparties (Deutsche Bank AG, JPMorgan Chase Bank NA, Morgan Stanley Capital Services Inc. and Credit Suisse Securities (Europe) Limited) with the following details: 1) Credit Suisse Securities (Europe) Limited No commitment* Market value of EUR (1 524) detailed as follows: – realised result: EUR (1 524) corresponding to the realised loss on securities which is still held at the counterparty (monthly reset) 2) Deutsche Bank AG Commitment of EUR 113 670 734 for the short portfolio composed of 360 equities Commitment of EUR 120 271 302 for the long portfolio composed of 404 equities Market value of EUR 4 555 237 detailed as follows: – unrealised depreciation on short portfolio: EUR (1 986 584) – unrealised appreciation on long portfolio: EUR 5 184 952 – realised result: EUR 1 356 869 corresponding to the realised gain on securities which is still held at the counterparty (monthly reset) The below table is composed of long and short positions:

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Advertising - 1 Advertising - 2 Advertising - 3 Aerospace/Defense - 1 Aerospace/Defense - 2 Agriculture - 1 Agriculture - 2 Agriculture - 3 Agriculture - 4 Agriculture - 5 Airlines - 1 Airlines - 2 Airlines - 3 Airlines - 4 Airlines - 5 Airlines - 6 Airlines - 7 Airlines - 8 Airlines - 9 Apparel - 1

* No commitment as no portfolio held at year-end. The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment EUR 1 277 039 305 916 53 822 199 632 72 1 720 659 1 602 953 1 080 591 552 796 532 647 979 180 685 188 551 057 461 501 257 875 81 268 65 068 11 888 6 880 13 981

Unrealised appreciation/ (depreciation) EUR 1 159 (79 038) (850) 4 947 (4) (105 906) (12 004) 82 040 16 310 (13 242) (32 047) 2 178 28 844 (39 644) (19 328) 6 536 (9 587) 504 119 (315)

Merrill Lynch Investment Solutions

59

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Apparel - 2 Auto Manufacturers - 1 Auto Manufacturers - 2 Auto Manufacturers - 3 Auto Manufacturers - 4 Auto Manufacturers - 5 Auto Manufacturers - 6 Auto Manufacturers - 7 Auto Manufacturers - 8 Auto Manufacturers - 9 Auto Manufacturers - 10 Auto Manufacturers - 11 Auto Manufacturers - 12 Auto Parts & Equipment - 1 Auto Parts & Equipment - 2 Auto Parts & Equipment - 3 Auto Parts & Equipment - 4 Auto Parts & Equipment - 5 Auto Parts & Equipment - 6 Auto Parts & Equipment - 7 Auto Parts & Equipment - 8 Auto Parts & Equipment - 9 Auto Parts & Equipment - 10 Auto Parts & Equipment - 11 Auto Parts & Equipment - 12 Auto Parts & Equipment - 13 Auto Parts & Equipment - 14 Auto Parts & Equipment - 15 Auto Parts & Equipment - 16 Auto Parts & Equipment - 17 Auto Parts & Equipment - 18 Banks - 1 Banks - 2 Banks - 3 Banks - 4 Banks - 5 Banks - 6 Banks - 7 Banks - 8 Banks - 9 Banks - 10 Banks - 11 Banks - 12 Banks - 13 Banks - 14

Commitment EUR 3 807 1 130 844 1 115 206 958 950 908 863 576 770 420 735 299 235 185 560 137 239 101 580 64 126 59 947 729 956 512 391 413 531 345 268 277 483 238 795 113 492 98 817 94 953 80 882 72 856 48 008 36 175 35 342 10 086 8 270 4 017 3 292 1 719 246 1 243 587 1 141 255 1 138 730 1 136 251 1 125 480 1 121 965 1 078 903 1 019 955 969 386 962 679 786 436 677 242 610 315

Unrealised appreciation/ (depreciation) EUR 69 197 842 (20 186) 66 069 91 508 (21 696) (922) (37 240) 1 752 1 070 (2 396) 5 000 1 275 (195 491) (11 152) 52 236 58 864 67 676 11 317 9 281 6 083 4 091 133 (21 662) 12 701 3 606 (2 982) (57) 2 256 1 524 (5) 294 941 (39 767) 5 801 (20 803) 10 915 2 035 204 816 194 394 (193 420) (209) (87 158) 28 464 47 615 58 885

The accompanying notes form an integral part of these financial statements. Audited annual report

60

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Banks - 15 Banks - 16 Banks - 17 Banks - 18 Banks - 19 Banks - 20 Banks - 21 Banks - 22 Banks - 23 Banks - 24 Banks - 25 Banks - 26 Banks - 27 Banks - 28 Banks - 29 Banks - 30 Banks - 31 Banks - 32 Banks - 33 Banks - 34 Banks - 35 Beverages - 1 Beverages - 2 Beverages - 3 Beverages - 4 Beverages - 5 Beverages - 6 Beverages - 7 Beverages - 8 Beverages - 9 Beverages - 10 Biotechnology - 1 Biotechnology - 2 Building Materials - 1 Building Materials - 2 Building Materials - 3 Building Materials - 4 Building Materials - 5 Building Materials - 6 Building Materials - 7 Building Materials - 8 Building Materials - 9 Building Materials - 10 Building Materials - 11

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment EUR 501 410 473 342 358 830 351 526 317 041 238 203 194 788 190 976 186 862 138 638 110 514 98 957 61 115 34 987 34 512 32 924 30 448 22 921 3 850 3 270 1 718 1 001 234 639 702 385 593 299 914 125 016 35 853 12 518 6 601 3 305 2 569 877 468 24 656 1 132 352 297 143 288 865 234 297 201 572 177 485 150 941 131 097 119 779 31 144 9 360

Unrealised appreciation/ (depreciation) EUR 26 331 12 419 (399) (19 762) 487 (10 386) 577 923 8 431 3 610 (3 585) (3 266) 105 (1 110) 134 3 344 57 (401) (41) 40 (13) 187 614 4 904 (3 158) 2 311 (221) 1 228 429 (248) 57 (17) 50 477 (273) (67 539) 5 420 2 174 36 303 (10 302) 67 218 21 446 (5 706) (11 512) 68 55

Merrill Lynch Investment Solutions

61

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Building Materials - 12 Building Materials - 13 Building Materials - 14 Chemicals - 1 Chemicals - 2 Chemicals - 3 Chemicals - 4 Chemicals - 5 Chemicals - 6 Chemicals - 7 Chemicals - 8 Chemicals - 9 Chemicals - 10 Chemicals - 11 Chemicals - 12 Chemicals - 13 Chemicals - 14 Chemicals - 15 Chemicals - 16 Chemicals - 17 Chemicals - 18 Chemicals - 19 Chemicals - 20 Chemicals - 21 Chemicals - 22 Chemicals - 23 Chemicals - 24 Chemicals - 25 Chemicals - 26 Chemicals - 27 Coal - 1 Coal - 2 Coal - 3 Coal - 4 Coal - 5 Commercial Services - 1 Commercial Services - 2 Commercial Services - 3 Commercial Services - 4 Commercial Services - 5 Commercial Services - 6 Commercial Services - 7 Commercial Services - 8 Commercial Services - 9

Commitment EUR 3 568 3 446 1 816 1 137 835 555 914 516 065 512 068 487 544 330 313 325 447 284 943 148 694 130 149 128 592 124 011 123 249 122 805 101 780 72 020 69 200 57 286 38 963 25 197 24 666 21 602 13 000 12 546 4 009 2 905 723 790 988 646 732 598 133 405 969 91 637 1 121 302 344 696 280 914 276 958 268 955 168 352 166 319 156 033 147 582

Unrealised appreciation/ (depreciation) EUR 67 (124) 5 116 855 (46 095) 183 570 40 681 3 596 21 187 36 736 3 483 1 753 (771) 3 021 37 770 (2 315) 23 818 7 707 (4 333) (2 954) (4 756) 138 7 827 173 8 979 724 339 (1) 111 12 72 541 4 491 63 639 (13 960) (2 864) (45 179) (4 617) 22 963 (1 884) 1 108 (11 557) 460 6 077 (851)

The accompanying notes form an integral part of these financial statements. Audited annual report

62

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Commercial Services - 10 Commercial Services - 11 Commercial Services - 12 Commercial Services - 13 Commercial Services - 14 Commercial Services - 15 Commercial Services - 16 Commercial Services - 17 Commercial Services - 18 Commercial Services - 19 Commercial Services - 20 Commercial Services - 21 Commercial Services - 22 Commercial Services - 23 Commercial Services - 24 Computers - 1 Computers - 2 Computers - 3 Computers - 4 Computers - 5 Computers - 6 Cosmetics/Personal Care - 1 Cosmetics/Personal Care - 2 Cosmetics/Personal Care - 3 Cosmetics/Personal Care - 4 Cosmetics/Personal Care - 5 Distribution/Wholesale - 1 Distribution/Wholesale - 2 Distribution/Wholesale - 3 Distribution/Wholesale - 4 Distribution/Wholesale - 5 Distribution/Wholesale - 6 Distribution/Wholesale - 7 Distribution/Wholesale - 8 Distribution/Wholesale - 9 Distribution/Wholesale - 10 Distribution/Wholesale - 11 Diversified Financial Services - 1 Diversified Financial Services - 2 Diversified Financial Services - 3 Diversified Financial Services - 4 Diversified Financial Services - 5 Diversified Financial Services - 6 Diversified Financial Services - 7

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment EUR 92 768 89 831 73 824 72 816 36 258 30 691 28 053 21 795 16 945 16 741 15 767 10 151 8 787 5 638 2 279 1 136 750 416 301 385 154 225 626 189 037 93 207 1 116 424 1 102 854 21 834 2 485 2 381 1 743 546 556 874 400 341 385 485 309 303 246 890 243 061 96 287 27 627 20 014 6 944 1 133 109 1 126 705 1 119 514 1 055 419 890 509 571 573 548 326

Unrealised appreciation/ (depreciation) EUR 253 (1 115) 832 18 327 (41) (460) 158 2 291 61 599 1 981 481 417 (28) 464 (59 894) (4 708) 55 148 14 297 3 087 8 849 29 775 (89 064) 10 470 7 180 106 955 26 270 (4 855) (859) 18 672 3 706 31 305 (841) 1 255 (3 512) 20 (139 188) (266 708) (195 285) 18 705 35 437 33 603 59 242

Merrill Lynch Investment Solutions

63

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Diversified Financial Services - 8 Diversified Financial Services - 9 Diversified Financial Services - 10 Diversified Financial Services - 11 Diversified Financial Services - 12 Diversified Financial Services - 13 Diversified Financial Services - 14 Diversified Financial Services - 15 Diversified Financial Services - 16 Diversified Financial Services - 17 Diversified Financial Services - 18 Diversified Financial Services - 19 Diversified Financial Services - 20 Diversified Financial Services - 21 Diversified Financial Services - 22 Diversified Financial Services - 23 Diversified Financial Services - 24 Diversified Financial Services - 25 Diversified Financial Services - 26 Diversified Financial Services - 27 Diversified Financial Services - 28 Diversified Financial Services - 29 Electric - 1 Electric - 2 Electric - 3 Electric - 4 Electric - 5 Electric - 6 Electric - 7 Electric - 8 Electric - 9 Electric - 10 Electric - 11 Electric - 12 Electric - 13 Electric - 14 Electrical Components & Equipment - 1 Electrical Components & Equipment - 2 Electrical Components & Equipment - 3 Electrical Components & Equipment - 4 Electrical Components & Equipment - 5 Electrical Components & Equipment - 6 Electrical Components & Equipment - 7 Electrical Components & Equipment - 8

Commitment EUR 489 543 487 426 468 848 416 032 378 575 319 372 197 544 149 547 143 387 138 701 85 853 73 655 64 347 41 303 40 903 32 750 30 753 26 890 16 841 8 274 6 855 4 977 1 439 332 815 372 712 880 377 858 179 818 178 764 156 646 137 781 120 799 116 623 51 440 30 489 3 515 2 843 442 223 132 841 113 459 85 927 68 185 55 591 38 814 36 043

Unrealised appreciation/ (depreciation) EUR (103 900) (403) 258 17 234 (21 741) (10 198) 4 352 (960) (2 004) (21 923) (7 984) (2 107) (1 346) 8 219 3 878 (745) (818) (4 618) 631 1 072 (240) (33) 990 (44 989) 19 844 (28 472) 13 091 (4 865) (46 439) (52 586) (40 665) (1 498) 17 1 470 (55) (807) 2 405 (4 440) (402) 4 773 7 910 1 018 2 442 7 638

The accompanying notes form an integral part of these financial statements. Audited annual report

64

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Electrical Components & Equipment - 9 Electrical Components & Equipment - 10 Electrical Components & Equipment - 11 Electrical Components & Equipment - 12 Electronics - 1 Electronics - 2 Electronics - 3 Electronics - 4 Electronics - 5 Electronics - 6 Electronics - 7 Electronics - 8 Electronics - 9 Electronics - 10 Electronics - 11 Electronics - 12 Electronics - 13 Electronics - 14 Electronics - 15 Electronics - 16 Energy-Alternate Sources - 1 Engineering & Construction - 1 Engineering & Construction - 2 Engineering & Construction - 3 Engineering & Construction - 4 Engineering & Construction - 5 Engineering & Construction - 6 Engineering & Construction - 7 Engineering & Construction - 8 Engineering & Construction - 9 Engineering & Construction - 10 Engineering & Construction - 11 Engineering & Construction - 12 Engineering & Construction - 13 Engineering & Construction - 14 Engineering & Construction - 15 Engineering & Construction - 16 Engineering & Construction - 17 Engineering & Construction - 18 Engineering & Construction - 19 Engineering & Construction - 20 Engineering & Construction - 21 Engineering & Construction - 22 Engineering & Construction - 23

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment EUR 15 193 12 143 3 769 1 913 982 067 503 188 405 629 340 519 321 781 313 316 217 575 173 940 119 594 59 562 29 653 28 029 26 671 8 459 4 281 2 455 21 894 862 281 617 488 432 987 360 145 295 002 293 348 204 256 194 517 181 271 164 655 139 500 84 793 83 839 72 800 33 107 28 104 20 725 19 100 14 167 11 596 10 303 3 817 3 396

Unrealised appreciation/ (depreciation) EUR 2 322 (462) 105 308 127 721 6 612 (5 785) (73 900) (20 481) 17 133 (6 136) 4 500 8 196 226 1 155 (431) (659) (214) (147) (628) (34) 9 581 19 726 11 772 4 855 8 590 37 578 2 769 3 902 16 894 1 728 5 369 (143) (18 438) (983) 2 764 321 (1) 1 441 (778) (269) 96 135 613

Merrill Lynch Investment Solutions

65

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Engineering & Construction - 24 Engineering & Construction - 25 Entertainment - 1 Entertainment - 2 Entertainment - 3 Entertainment - 4 Entertainment - 5 Entertainment - 6 Entertainment - 7 Entertainment - 8 Entertainment - 9 Entertainment - 10 Entertainment - 11 Entertainment - 12 Environmental Control - 1 Environmental Control - 2 Environmental Control - 3 Environmental Control - 4 Food - 1 Food - 2 Food - 3 Food - 4 Food - 5 Food - 6 Food - 7 Food - 8 Food - 9 Food - 10 Food - 11 Food - 12 Food - 13 Food - 14 Food - 15 Food - 16 Food - 17 Food - 18 Food - 19 Food - 20 Food - 21 Food - 22 Food - 23 Food - 24 Food - 25 Food - 26

Commitment EUR 1 113 467 450 456 273 735 238 917 229 601 214 278 50 555 30 241 10 842 7 405 4 880 4 213 888 55 918 41 408 26 419 11 224 1 577 774 1 174 326 1 097 463 1 029 376 917 169 816 195 794 794 490 040 273 019 127 536 114 387 104 040 82 203 82 166 82 013 81 260 76 658 45 898 28 571 12 770 12 665 11 186 9 551 3 964 2 580 668

Unrealised appreciation/ (depreciation) EUR (10) 19 (50 598) 13 166 (2 292) 26 505 719 667 (45) 36 (120) (10) 15 – (565) 3 594 (1 232) 65 (25 647) 16 069 (100 830) (30 698) (74 417) (58 071) 45 702 (97 323) 4 497 (9 932) 12 957 582 (3 045) 195 792 (1 133) 10 066 816 (42) 72 443 (244) 236 42 139 (4)

The accompanying notes form an integral part of these financial statements. Audited annual report

66

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Food Service - 1 Forest Products & Paper - 1 Forest Products & Paper - 2 Forest Products & Paper - 3 Forest Products & Paper - 4 Forest Products & Paper - 5 Forest Products & Paper - 6 (a) Gas - 1 Gas - 2 Gas - 3 Gas - 4 Gas - 5 Hand/Machine Tools - 1 Hand/Machine Tools - 2 Hand/Machine Tools - 3 Hand/Machine Tools - 4 Hand/Machine Tools - 5 Healthcare-Products - 1 Healthcare-Products - 2 Healthcare-Products - 3 Healthcare-Products - 4 Healthcare-Products - 5 Healthcare-Products - 6 Healthcare-Products - 7 Healthcare-Services - 1 Healthcare-Services - 2 Healthcare-Services - 3 Holding Companies-Divers - 1 Holding Companies-Divers - 2 Holding Companies-Divers - 3 Holding Companies-Divers - 4 Holding Companies-Divers - 5 Holding Companies-Divers - 6 Holding Companies-Divers - 7 Holding Companies-Divers - 8 Holding Companies-Divers - 9 Holding Companies-Divers - 10 Holding Companies-Divers - 11 Holding Companies-Divers - 12 Holding Companies-Divers - 13 Holding Companies-Divers - 14 Home Builders - 1 Home Builders - 2 Home Builders - 3

(a) The security inside this contract for difference swap is fair valued. See Notes 2.2.6 and 10. The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment EUR 330 162 752 218 252 344 58 686 40 199 31 612 1 189 1 503 712 58 908 45 204 44 994 25 443 1 020 768 117 807 24 178 23 701 2 271 906 601 500 079 100 885 55 247 18 785 13 164 11 429 206 002 73 199 57 240 1 135 613 1 124 883 833 065 379 646 226 078 188 608 122 030 62 022 42 367 31 719 15 163 8 116 5 106 62 735 383 549 188 292 394

Unrealised appreciation/ (depreciation) EUR 8 751 (248 480) 19 497 352 3 277 1 839 (452) 45 038 11 049 589 (1 127) 3 738 205 365 19 265 200 (3 546) 162 13 744 10 136 4 375 (4 609) 141 140 (399) (10 203) (4 263) 1 063 (6 872) 45 649 (29 813) (14 744) 13 373 2 960 (769) (4 256) 76 (174) 81 (128) (302) 6 (5 468) 109 228 20 127

Merrill Lynch Investment Solutions

67

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Home Builders - 4 Home Builders - 5 Home Builders - 6 Home Furnishings - 1 Home Furnishings - 2 Home Furnishings - 3 Home Furnishings - 4 Home Furnishings - 5 Home Furnishings - 6 Home Furnishings - 7 Home Furnishings - 8 Household Products/Wares - 1 Household Products/Wares - 2 Household Products/Wares - 3 Household Products/Wares - 4 Household Products/Wares - 5 Insurance - 1 Insurance - 2 Insurance - 3 Insurance - 4 Insurance - 5 Insurance - 6 Insurance - 7 Insurance - 8 Insurance - 9 Insurance - 10 Insurance - 11 Insurance - 12 Insurance - 13 Insurance - 14 Insurance - 15 Insurance - 16 Insurance - 17 Insurance - 18 Insurance - 19 Insurance - 20 Insurance - 21 Insurance - 22 Internet - 1 Internet - 2 Internet - 3 Internet - 4 Internet - 5 Internet - 6

Commitment EUR 121 424 99 456 91 194 1 072 736 411 679 282 849 206 442 113 020 82 356 14 374 13 589 1 662 054 279 673 98 933 22 319 8 970 1 333 788 1 148 795 882 685 763 260 695 913 538 107 528 011 499 304 491 092 476 242 475 476 408 310 395 030 128 738 104 529 81 531 65 301 10 033 2 583 2 240 2 085 2 016 1 129 019 969 236 961 038 623 256 580 509 571 982

Unrealised appreciation/ (depreciation) EUR 6 064 17 428 34 284 (171 688) (8 653) 19 543 (15 146) 8 897 7 487 378 2 016 (4 566) 42 987 5 015 (73) (27) (37 478) 79 411 71 931 (10 996) 41 533 (45 784) (3 236) (15 922) (9 044) 75 852 102 934 1 342 (2 456) (460) 17 362 (6 752) (3 309) (89) 35 (2) (549) 305 (8 826) 177 546 (83 884) (80 148) (75 815) 33 304

The accompanying notes form an integral part of these financial statements. Audited annual report

68

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Internet - 7 Internet - 8 Internet - 9 Internet - 10 Internet - 11 Internet - 12 Internet - 13 Internet - 14 Internet - 15 Internet - 16 Internet - 17 Internet - 18 Internet - 19 Internet - 20 Internet - 21 Internet - 22 Internet - 23 Internet - 24 Investment Companies - 1 Iron/Steel - 1 Iron/Steel - 2 Iron/Steel - 3 Iron/Steel - 4 Iron/Steel - 5 Iron/Steel - 6 Iron/Steel - 7 Iron/Steel - 8 Iron/Steel - 9 Iron/Steel - 10 Iron/Steel - 11 Iron/Steel - 12 Iron/Steel - 13 Leisure Time - 1 Leisure Time - 2 Leisure Time - 3 Leisure Time - 4 Leisure Time - 5 Leisure Time - 6 Leisure Time - 7 Leisure Time - 8 Leisure Time - 9 Lodging - 1 Lodging - 2 Lodging - 3

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment EUR 423 351 366 779 331 706 227 738 184 476 174 612 142 646 122 379 101 419 91 062 48 508 26 049 13 157 7 947 7 811 3 640 1 075 51 432 577 566 291 215 565 194 258 152 769 135 479 118 445 110 911 96 697 58 641 50 559 26 911 20 045 10 943 1 307 236 394 389 361 300 271 670 159 155 72 481 59 771 56 070 22 993 942 615 503 553 444 142

Unrealised appreciation/ (depreciation) EUR 56 863 48 755 52 442 29 110 9 573 5 635 28 015 19 596 (14 671) (33 649) 2 867 (656) (85) 696 3 511 (232) (26) (9) (6 560) 125 021 13 962 61 509 3 137 2 706 (15 050) (1 053) 5 447 8 052 575 1 222 1 247 3 406 (19 644) (146) 54 198 41 716 (7 536) 48 1 985 228 21 5 621 48 222 (24 637)

Merrill Lynch Investment Solutions

69

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Lodging - 4 Lodging - 5 Lodging - 6 Lodging - 7 Lodging - 8 Lodging - 9 Lodging - 10 Machinery-Construction & Mining - 1 Machinery-Construction & Mining - 2 Machinery-Construction & Mining - 3 Machinery-Diversified - 1 Machinery-Diversified - 2 Machinery-Diversified - 3 Machinery-Diversified - 4 Machinery-Diversified - 5 Machinery-Diversified - 6 Machinery-Diversified - 7 Machinery-Diversified - 8 Machinery-Diversified - 9 Machinery-Diversified - 10 Machinery-Diversified - 11 Machinery-Diversified - 12 Machinery-Diversified - 13 Machinery-Diversified - 14 Machinery-Diversified - 15 Machinery-Diversified - 16 Media - 1 Media - 2 Media - 3 Media - 4 Media - 5 Media - 6 Media - 7 Media - 8 Media - 9 Media - 10 Media - 11 Media - 12 Media - 13 Media - 14 Metal Fabricate/Hardware - 1 Metal Fabricate/Hardware - 2 Metal Fabricate/Hardware - 3 Metal Fabricate/Hardware - 4

Commitment EUR 323 692 215 330 120 906 78 003 54 896 41 332 29 073 1 103 801 671 393 267 317 1 124 815 905 848 865 461 783 742 488 607 318 907 270 419 182 041 141 184 103 321 86 043 77 940 75 303 31 939 14 745 4 473 1 726 149 1 524 532 955 304 441 421 363 212 332 231 195 891 112 276 56 195 47 191 13 955 10 841 2 634 129 195 426 84 982 44 080 292

Unrealised appreciation/ (depreciation) EUR 1 718 (299) 2 020 100 3 215 (885) (121) 50 (19 729) (1 721) (22 480) (26 491) (6 224) 56 428 160 522 106 060 107 147 6 937 6 183 (2 886) (2 511) 174 1 914 (174) 1 347 (109) (6 202) 84 023 113 266 11 724 (3 429) 8 768 51 801 974 1 414 32 (1 142) (811) (988) (16) (9 462) 454 (650) (13)

The accompanying notes form an integral part of these financial statements. Audited annual report

70

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Mining - 1 Mining - 2 Mining - 3 Mining - 4 Mining - 5 Mining - 6 Mining - 7 Mining - 8 Mining - 9 Mining - 10 Mining - 11 Mining - 12 Mining - 13 Mining - 14 Mining - 15 Mining - 16 Mining - 17 Mining - 18 Mining - 19 Mining - 20 Mining - 21 Mining - 22 Mining - 23 Mining - 24 Mining - 25 Mining - 26 Mining - 27 Mining - 28 Mining - 29 Mining - 30 Mining - 31 Mining - 32 Mining - 33 Mining - 34 Mining - 35 Mining - 36 Mining - 37 Mining - 38 Mining - 39 Mining - 40 Miscellaneous Manufactures - 1 Miscellaneous Manufactures - 2 Miscellaneous Manufactures - 3 Miscellaneous Manufactures - 4

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment EUR 1 721 325 1 714 141 1 164 850 1 155 325 1 132 382 1 114 658 1 044 428 976 676 902 242 900 860 839 089 412 272 276 888 245 626 223 089 212 955 172 228 146 856 132 294 103 495 50 131 49 323 49 143 46 078 41 249 29 396 26 867 14 892 12 527 12 278 11 436 11 017 8 218 7 881 5 124 2 280 2 246 87 17 6 623 363 619 252 194 752 188 703

Unrealised appreciation/ (depreciation) EUR 125 215 37 124 24 865 28 450 (10 146) (171 091) 74 230 (136 222) (120 243) (88 127) 140 973 60 446 (4 534) 3 481 62 972 13 102 2 783 (4 416) 1 895 24 285 18 497 1 075 (342) (116) 862 1 868 1 357 (2) (161) 287 (762) (12) 852 169 624 (66) (37) – (2) (1) 5 300 (3 462) 7 496 (5 513)

Merrill Lynch Investment Solutions

71

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Miscellaneous Manufactures - 5 Miscellaneous Manufactures - 6 Miscellaneous Manufactures - 7 Miscellaneous Manufactures - 8 Miscellaneous Manufactures - 9 Miscellaneous Manufactures - 10 Office/Business Equipment - 1 Office/Business Equipment - 2 Oil & Gas - 1 Oil & Gas - 2 Oil & Gas - 3 Oil & Gas - 4 Oil & Gas - 5 Oil & Gas - 6 Oil & Gas - 7 Oil & Gas - 8 Oil & Gas - 9 Oil & Gas - 10 Oil & Gas - 11 Oil & Gas - 12 Oil & Gas - 13 Oil & Gas - 14 Oil & Gas - 15 Oil & Gas - 16 Oil & Gas - 17 Oil & Gas - 18 Oil & Gas - 19 Oil & Gas - 20 Oil & Gas - 21 Oil & Gas - 22 Oil & Gas - 23 Oil & Gas - 24 Oil & Gas Services - 1 Oil & Gas Services - 2 Oil & Gas Services - 3 Packaging & Containers - 1 Pharmaceuticals - 1 Pharmaceuticals - 2 Pharmaceuticals - 3 Pharmaceuticals - 4 Pharmaceuticals - 5 Pharmaceuticals - 6 Pharmaceuticals - 7 Pharmaceuticals - 8

Commitment EUR 42 573 24 270 11 192 6 552 5 810 5 526 1 114 461 446 894 1 731 501 1 119 597 1 118 522 978 602 725 019 634 518 207 866 180 571 167 950 162 604 159 322 84 835 84 825 34 723 27 068 23 357 22 240 12 880 12 669 8 294 7 311 4 813 883 371 1 000 245 650 328 42 180 246 498 1 763 818 1 741 314 1 138 535 1 135 798 1 046 442 749 871 551 101 547 892

Unrealised appreciation/ (depreciation) EUR 1 262 1 392 2 241 258 (269) (920) 30 146 3 338 11 773 (55 574) (25 052) 14 339 (17 290) 27 991 (4 930) (1 349) 1 241 (4 034) 1 634 (486) 859 (1 042) 294 194 (3 656) (592) 194 297 200 (92) (28) 48 (85 998) 38 391 1 388 (51 900) (47 131) 29 122 170 622 182 210 196 310 14 452 143 480 (121 142)

The accompanying notes form an integral part of these financial statements. Audited annual report

72

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Pharmaceuticals - 9 Pharmaceuticals - 10 Pharmaceuticals - 11 Pharmaceuticals - 12 Pharmaceuticals - 13 Pharmaceuticals - 14 Pharmaceuticals - 15 Pharmaceuticals - 16 Pharmaceuticals - 17 Pharmaceuticals - 18 Private Equity - 1 Private Equity - 2 Real Estate - 1 Real Estate - 2 Real Estate - 3 Real Estate - 4 Real Estate - 5 Real Estate - 6 Real Estate - 7 Real Estate - 8 Real Estate - 9 Real Estate - 10 Real Estate - 11 Real Estate - 12 Real Estate - 13 Real Estate - 14 Real Estate - 15 Real Estate - 16 Real Estate - 17 Real Estate - 18 Real Estate - 19 Real Estate - 20 Real Estate - 21 Real Estate - 22 Real Estate - 23 Real Estate - 24 Real Estate - 25 Real Estate - 26 Real Estate - 27 REITS - 1 REITS - 2 REITS - 3 REITS - 4 REITS - 5

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment EUR 302 424 254 255 181 494 156 248 124 760 111 823 97 086 66 778 64 764 5 508 175 332 95 452 1 141 811 1 134 801 1 046 206 997 201 881 232 850 894 681 861 464 769 349 117 340 063 222 623 167 364 132 844 131 023 64 304 57 857 47 231 47 191 32 809 22 899 20 376 10 562 5 606 4 433 4 354 2 817 112 1 136 021 1 134 365 1 073 503 712 047 707 916

Unrealised appreciation/ (depreciation) EUR 79 562 7 234 40 284 2 152 21 256 18 699 22 604 3 273 12 047 (183) 12 820 (762) 18 249 12 047 (40 187) (602) (31 685) 36 492 40 064 9 733 6 709 12 246 3 331 31 956 (15 553) (1 421) (314) 3 666 4 514 2 277 8 504 86 1 435 743 23 (1 072) 338 915 5 (29 235) (32 424) 14 330 (928) (8 236)

Merrill Lynch Investment Solutions

73

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments REITS - 6 REITS - 7 REITS - 8 REITS - 9 REITS - 10 REITS - 11 REITS - 12 REITS - 13 REITS - 14 REITS - 15 REITS - 16 REITS - 17 REITS - 18 REITS - 19 REITS - 20 REITS - 21 REITS - 22 REITS - 23 REITS - 24 REITS - 25 Retail - 1 Retail - 2 Retail - 3 Retail - 4 Retail - 5 Retail - 6 Retail - 7 Retail - 8 Retail - 9 Retail - 10 Retail - 11 Retail - 12 Retail - 13 Retail - 14 Retail - 15 Retail - 16 Retail - 17 Retail - 18 Retail - 19 Retail - 20 Retail - 21 Retail - 22 Retail - 23 Retail - 24

Commitment EUR 554 887 422 966 414 869 381 127 356 329 210 178 113 292 106 086 82 274 52 199 50 076 32 701 21 383 17 450 11 751 5 732 3 105 1 382 496 15 1 701 764 1 293 777 1 136 119 1 106 234 867 673 436 075 424 626 402 465 399 442 307 897 232 389 189 668 175 158 166 734 163 703 157 138 146 267 134 568 134 416 133 934 124 599 107 150 105 214 86 234

Unrealised appreciation/ (depreciation) EUR (16 290) 2 432 (2 126) (5 837) 2 043 1 315 10 318 1 593 32 325 264 (666) 1 772 (1) 52 292 (1 595) 57 33 (19) (1) 64 494 (3 326) (139 984) (57 007) (59 217) 646 (21 263) (83 898) 134 777 121 313 (1 870) (132) (1 890) 31 508 5 820 37 927 (30 975) 3 128 (3 108) 5 608 4 901 (25 436) 10 961 40

The accompanying notes form an integral part of these financial statements. Audited annual report

74

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Retail - 25 Retail - 26 Retail - 27 Retail - 28 Retail - 29 Retail - 30 Retail - 31 Retail - 32 Retail - 33 Retail - 34 Retail - 35 Retail - 36 Retail - 37 Retail - 38 Retail - 39 Retail - 40 Retail - 41 Retail - 42 Retail - 43 Retail - 44 Retail - 45 Retail - 46 Retail - 47 Retail - 48 Retail - 49 Retail - 50 Retail - 51 Semiconductors - 1 Semiconductors - 2 Semiconductors - 3 Semiconductors - 4 Semiconductors - 5 Shipbuilding - 1 Shipbuilding - 2 Shipbuilding - 3 Software - 1 Software - 2 Software - 3 Software - 4 Software - 5 Software - 6 Software - 7 Telecommunications - 1 Telecommunications - 2

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment EUR 70 621 64 456 64 117 55 730 54 821 52 819 50 288 48 765 48 565 38 425 24 149 12 259 11 331 9 330 7 937 7 765 6 593 6 025 4 171 3 665 2 985 2 809 2 413 2 197 1 128 14 10 1 343 049 208 207 130 896 115 931 41 746 884 301 84 241 54 915 444 449 120 148 74 924 68 389 30 733 9 318 5 839 1 127 465 1 069 694

Unrealised appreciation/ (depreciation) EUR (4 671) 928 (13 285) 1 798 (2 648) 2 752 (318) (17 021) 775 488 2 167 (23) 629 (809) (39) 1 082 33 (109) (605) (959) 101 877 193 (19) 2 – – (11 331) 9 022 12 836 7 696 815 28 732 (20 537) 6 488 120 555 (3 602) 4 537 1 183 8 270 399 (102) (41 241) (20 942)

Merrill Lynch Investment Solutions

75

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Telecommunications - 3 Telecommunications - 4 Telecommunications - 5 Telecommunications - 6 Telecommunications - 7 Telecommunications - 8 Telecommunications - 9 Telecommunications - 10 Telecommunications - 11 Telecommunications - 12 Textiles - 1 Textiles - 2 Toys/Games/Hobbies - 1 Toys/Games/Hobbies - 2 Transportation - 1 Transportation - 2 Transportation - 3 Transportation - 4 Transportation - 5 Transportation - 6 Transportation - 7 Transportation - 8 Transportation - 9 Transportation - 10 Transportation - 11 Transportation - 12 Transportation - 13 Transportation - 14 Transportation - 15 Transportation - 16 Transportation - 17 Transportation - 18 Transportation - 19 Transportation - 20 Transportation - 21 Transportation - 22 Water - 1 Water - 2 Water - 3

Commitment EUR 791 652 308 412 169 224 125 826 101 621 42 093 3 578 2 087 930 148 152 769 20 947 1 148 089 1 134 961 1 158 646 1 065 217 984 921 485 866 396 965 334 249 319 388 247 752 246 830 217 734 156 605 136 195 133 926 116 093 50 680 44 489 42 243 25 923 24 650 13 849 8 926 7 017 459 023 340 591 97 889 233 942 036

Unrealised appreciation/ (depreciation) EUR 25 255 9 632 3 481 (11 206) 2 790 2 628 165 (122) (24) (24) 1 309 453 287 633 (17 700) 12 263 2 313 (98 498) 15 175 (19 507) 3 149 (16 765) (55 449) (25 585) (25 581) 5 635 7 653 (5 623) (29 950) (8 034) 1 807 14 015 8 868 991 327 (12) (24) (11 411) 16 946 567 3 198 368

The accompanying notes form an integral part of these financial statements. Audited annual report

76

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR) 3) JPMorgan Chase Bank NA Commitment of EUR 96 999 994 for the short portfolio composed of 172 equities Commitment of EUR 108 834 511 for the long portfolio composed of 183 equities Market value of EUR 3 935 109 detailed as follows: – unrealised appreciation on short portfolio: EUR 1 411 543 – unrealised appreciation on long portfolio: EUR 224 889 – realised result: EUR 2 298 677 corresponding to the realised gain on securities which is still held at the counterparty (monthly reset) The below table is composed of long and short positions:

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Advertising - 1 Advertising - 2 Aerospace/Defense - 1 Aerospace/Defense - 2 Aerospace/Defense - 3 Aerospace/Defense - 4 Aerospace/Defense - 5 Aerospace/Defense - 6 Agriculture - 1 Airlines - 1 Airlines - 2 Airlines - 3 Airlines - 4 Airlines - 5 Airlines - 6 Airlines - 7 Airlines - 8 Auto Manufacturers - 1 Auto Manufacturers - 2 Auto Manufacturers - 3 Auto Manufacturers - 4 Auto Manufacturers - 5 Auto Manufacturers - 6 Auto Manufacturers - 7 Auto Manufacturers - 8 Auto Parts & Equipment - 1 Auto Parts & Equipment - 2 Auto Parts & Equipment - 3 Auto Parts & Equipment - 4 Auto Parts & Equipment - 5 Auto Parts & Equipment - 6 Auto Parts & Equipment - 7 Banks - 1

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment EUR 1 067 647 13 759 778 649 690 840 595 262 429 413 58 073 35 052 480 308 1 760 517 1 627 692 894 954 291 760 112 792 91 948 60 129 47 994 1 750 996 1 737 401 1 662 624 1 647 301 1 427 382 814 131 195 360 100 433 938 621 679 028 329 338 174 660 98 177 84 766 56 334 1 742 712

Unrealised appreciation/ (depreciation) EUR 67 197 759 23 785 5 613 26 799 (13 585) 506 68 (12 207) 27 274 29 334 8 047 (652) 271 1 171 1 567 (898) (1 183) 110 736 (77 384) 64 420 (88 421) 85 257 954 157 11 926 3 221 (4 058) 10 923 (8 887) (8 867) 600 (179 978)

Merrill Lynch Investment Solutions

77

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Commitment EUR 1 736 182 1 727 085 1 706 784 1 683 866 1 493 326 856 633 842 392 753 685 588 414 541 294 475 417 392 169 241 481 226 439 223 215 131 815 128 903 112 252 112 030 83 172 82 965 71 239 39 722 37 811 32 829 20 673 19 878 16 652 15 484 13 551 1 725 575 1 719 430 707 383 544 570 279 705 361 792 1 749 251 1 494 672 896 028 807 200 128 197 13 646 1 772 196 1 729 248

Industrial classification of investments Banks - 2 Banks - 3 Banks - 4 Banks - 5 Banks - 6 Banks - 7 Banks - 8 Banks - 9 Banks - 10 Banks - 11 Banks - 12 Banks - 13 Banks - 14 Banks - 15 Banks - 16 Banks - 17 Banks - 18 Banks - 19 Banks - 20 Banks - 21 Banks - 22 Banks - 23 Banks - 24 Banks - 25 Banks - 26 Banks - 27 (a) Banks - 28 Banks - 29 Banks - 30 Banks - 31 Beverages - 1 Beverages - 2 Beverages - 3 Beverages - 4 Beverages - 5 Biotechnology - 1 Building Materials - 1 Building Materials - 2 Building Materials - 3 Building Materials - 4 Building Materials - 5 Building Materials - 6 Chemicals - 1 Chemicals - 2

Unrealised appreciation/ (depreciation) EUR 336 787 (42 059) 76 594 (107 045) 193 032 96 883 94 184 104 749 (62 041) 30 290 24 654 (27 932) 14 560 (18 017) 724 4 489 17 808 (9 585) (1 613) (6 606) 584 4 152 4 566 1 064 (1 902) – 1 713 16 652 (27) 357 (15 601) (186 852) (2 661) (8 238) 62 399 14 663 1 561 (14 649) 85 413 23 235 764 172 66 755 239 515

(a) The security inside this contract for difference swap is fair valued. See Notes 2.2.6 and 10. The accompanying notes form an integral part of these financial statements. Audited annual report

78

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Chemicals - 3 Chemicals - 4 Chemicals - 5 Chemicals - 6 Chemicals - 7 Chemicals - 8 Chemicals - 9 Chemicals - 10 Chemicals - 11 Chemicals - 12 Chemicals - 13 Chemicals - 14 Chemicals - 15 Commercial Services - 1 Commercial Services - 2 Commercial Services - 3 Commercial Services - 4 Commercial Services - 5 Commercial Services - 6 Commercial Services - 7 Commercial Services - 8 Commercial Services - 9 Commercial Services - 10 Commercial Services - 11 Computers - 1 Computers - 2 Computers - 3 Computers - 4 Computers - 5 Computers - 6 Cosmetics/Personal Care - 1 Cosmetics/Personal Care - 2 Diversified Financial Services - 1 Diversified Financial Services - 2 Diversified Financial Services - 3 Diversified Financial Services - 4 Diversified Financial Services - 5 Electric - 1 Electric - 2 Electric - 3 Electric - 4 Electric - 5 Electric - 6 Electric - 7 Electric - 8

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment EUR 1 721 459 1 606 033 1 581 451 1 352 301 938 398 590 580 490 829 353 578 121 500 10 726 9 297 7 816 109 1 358 699 1 257 832 770 671 526 020 515 198 430 889 222 462 209 488 37 913 12 540 6 700 1 723 774 681 487 379 245 205 995 176 318 86 510 1 697 623 27 786 551 680 534 596 38 671 14 084 4 311 1 726 154 1 302 229 816 154 641 859 580 239 400 120 356 801 323 805

Unrealised appreciation/ (depreciation) EUR 113 970 (71 594) 49 182 (80 480) (4 354) (28 200) (2 662) 7 520 633 1 380 (7) (144) (3) 56 074 32 337 26 846 3 811 4 606 (20 871) (5 242) 12 710 (6 172) (494) (526) 105 712 (26 085) 2 096 (3 058) 240 (16 673) 88 406 367 43 878 (25 166) 272 1 721 (597) (74 859) (53 288) (27 651) 17 890 22 899 5 129 19 697 (2 492)

Merrill Lynch Investment Solutions

79

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Electric - 9 Electric - 10 Electric - 11 Electric - 12 Electrical Components & Equipment - 1 Electrical Components & Equipment - 2 Electrical Components & Equipment - 3 Electrical Components & Equipment - 4 Electrical Components & Equipment - 5 Electronics - 1 Energy-Alternate Sources - 1 Energy-Alternate Sources - 2 Engineering & Construction - 1 Engineering & Construction - 2 Engineering & Construction - 3 Engineering & Construction - 4 Engineering & Construction - 5 Engineering & Construction - 6 Engineering & Construction - 7 Engineering & Construction - 8 Engineering & Construction - 9 Engineering & Construction - 10 Engineering & Construction - 11 Engineering & Construction - 12 Engineering & Construction - 13 Engineering & Construction - 14 Engineering & Construction - 15 Engineering & Construction - 16 Food - 1 Food - 2 Food - 3 Food - 4 Food - 5 Food - 6 Food - 7 Food - 8 Food - 9 Food - 10 Food - 11 Food - 12 Food - 13 Food - 14 Food - 15 Food - 16 Food - 17

Commitment EUR 254 005 213 834 31 887 – 309 685 275 857 199 084 188 437 144 399 1 756 238 450 486 21 481 1 567 730 1 365 113 547 891 491 007 459 830 338 836 323 756 312 153 266 457 199 080 142 712 141 589 98 665 45 705 39 099 1 056 1 745 621 1 737 763 1 728 024 1 338 324 691 685 531 767 367 084 250 139 239 943 114 984 105 372 104 923 102 825 76 567 52 073 26 290 923

Unrealised appreciation/ (depreciation) EUR (8 687) 14 648 240 – (8 099) 1 113 (9 828) (1 042) 15 889 (7 215) (3 761) 1 764 6 661 (17 149) 8 673 (12 724) 2 797 36 784 (8 587) 2 692 (13 159) (7 679) 11 129 (443) (18 214) 266 18 693 (21) 157 497 (71 246) (18 873) (79 442) 688 (38 693) (23 526) 18 317 (9 965) (806) 6 299 (331) (1 798) (2 501) (35) (15) (25)

The accompanying notes form an integral part of these financial statements. Audited annual report

80

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Forest Products & Paper - 1 Forest Products & Paper - 2 Gas - 1 Gas - 2 Gas - 3 Hand/Machine Tools - 1 Hand/Machine Tools - 2 Healthcare-Products - 1 Healthcare-Products - 2 Healthcare-Products - 3 Healthcare-Products - 4 Healthcare-Products - 5 Healthcare-Products - 6 Healthcare-Products - 7 Healthcare-Products - 8 Healthcare-Products - 9 Healthcare-Products - 10 Healthcare-Products - 11 Healthcare-Services - 1 Healthcare-Services - 2 Healthcare-Services - 3 Healthcare-Services - 4 Holding Companies-Divers - 1 Holding Companies-Divers - 2 Holding Companies-Divers - 3 Home Furnishings - 1 Household Products/Wares - 1 Household Products/Wares - 2 Household Products/Wares - 3 Insurance - 1 Insurance - 2 Insurance - 3 Insurance - 4 Insurance - 5 Insurance - 6 Insurance - 7 Insurance - 8 Insurance - 9 Insurance - 10 Insurance - 11 Insurance - 12 Insurance - 13 Insurance - 14 Insurance - 15 Insurance - 16

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment EUR 908 248 617 080 963 938 798 788 294 408 450 939 129 1 735 607 749 356 702 147 483 258 474 460 279 776 261 537 195 031 75 562 40 285 782 253 623 96 478 58 547 22 577 407 103 319 190 9 936 1 623 841 1 707 922 435 738 18 960 1 738 107 1 717 661 1 706 636 1 439 719 1 297 993 1 282 567 1 276 940 1 250 940 1 225 064 1 205 137 1 027 115 698 628 568 271 510 966 418 215 366 073

Unrealised appreciation/ (depreciation) EUR (40 550) (7 435) (59 643) 19 893 (3 593) (12 992) (7) (153 072) (26 507) (13 420) (18 496) 38 361 (10 581) (5 303) 14 722 15 900 (374) (5) (9 791) 3 161 (21) 666 57 748 (12 972) (206) 9 724 88 196 (11 823) (532) (25 011) (5 292) (98 788) 46 058 (67 363) (18 289) (19 217) 99 900 8 291 (4 089) 91 843 (7 460) 26 015 25 219 (14 905) 30 682

Merrill Lynch Investment Solutions

81

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Insurance - 17 Insurance - 18 Insurance - 19 Insurance - 20 Insurance - 21 Internet - 1 Internet - 2 Internet - 3 Internet - 4 Iron/Steel - 1 Iron/Steel - 2 Iron/Steel - 3 Iron/Steel - 4 Iron/Steel - 5 Iron/Steel - 6 Iron/Steel - 7 Iron/Steel - 8 Leisure Time - 1 Leisure Time - 2 Lodging - 1 Machinery-Construction & Mining - 1 Machinery-Diversified - 1 Machinery-Diversified - 2 Machinery-Diversified - 3 Machinery-Diversified - 4 Machinery-Diversified - 5 Machinery-Diversified - 6 Machinery-Diversified - 7 Media - 1 Media - 2 Media - 3 Media - 4 Media - 5 Media - 6 Media - 7 Media - 8 Media - 9 Media - 10 Media - 11 Metal Fabricate/Hardware - 1 Metal Fabricate/Hardware - 2 Metal Fabricate/Hardware - 3 Metal Fabricate/Hardware - 4 Mining - 1 Mining - 2

Commitment EUR 341 244 152 033 149 195 11 340 15 883 355 760 383 242 209 14 971 996 478 879 475 346 198 333 133 332 847 254 192 24 037 22 875 146 769 29 175 62 628 1 737 214 1 018 413 713 850 692 431 555 768 464 924 419 488 173 823 1 397 605 552 015 500 214 397 799 358 893 219 574 107 924 83 228 64 372 30 436 8 123 879 571 155 032 24 612 297 861 304 210 813

Unrealised appreciation/ (depreciation) EUR (23 812) (2 083) (4 387) 687 (3) (194 831) (7 138) 24 148 (4 147) (133 266) 14 005 20 550 10 396 33 268 20 767 1 374 8 908 (2 003) (1 590) (2 195) (11 232) (72 188) (27 951) (3 803) (34 657) 1 286 (49 857) 17 804 110 467 31 700 4 635 16 250 2 695 (737) (4 808) 105 924 (2 331) (824) 7 279 1 233 (1 519) (20) (23 603) 802

The accompanying notes form an integral part of these financial statements. Audited annual report

82

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Miscellaneous Manufactures - 1 Miscellaneous Manufactures - 2 Miscellaneous Manufactures - 3 Miscellaneous Manufactures - 4 Office/Business Equipment - 1 Oil & Gas - 1 Oil & Gas - 2 Oil & Gas - 3 Oil & Gas - 4 Oil & Gas - 5 Oil & Gas - 6 Oil & Gas - 7 Oil & Gas - 8 Oil & Gas - 9 Oil & Gas Services - 1 Oil & Gas Services - 2 Oil & Gas Services - 3 Oil & Gas Services - 4 Oil & Gas Services - 5 Oil & Gas Services - 6 Oil & Gas Services - 7 Oil & Gas Services - 8 Oil & Gas Services - 9 Packaging & Containers - 1 Pharmaceuticals - 1 Pharmaceuticals - 2 Pharmaceuticals - 3 Pharmaceuticals - 4 Pharmaceuticals - 5 Pharmaceuticals - 6 Pharmaceuticals - 7 Pharmaceuticals - 8 Pharmaceuticals - 9 Pharmaceuticals - 10 Pharmaceuticals - 11 Pharmaceuticals - 12 Pharmaceuticals - 13 Pharmaceuticals - 14 Real Estate - 1 REITS - 1 REITS - 2 REITS - 3 Retail - 1 Retail - 2 Retail - 3

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment EUR 1 727 741 826 759 315 232 39 497 58 325 1 740 922 1 334 052 535 163 264 093 240 536 195 559 62 877 25 644 6 985 1 359 340 898 207 892 500 786 080 631 002 437 759 412 006 14 403 14 073 116 186 1 752 511 1 741 245 1 732 591 1 721 817 1 614 491 1 074 634 901 921 783 311 548 158 496 238 449 573 147 563 26 062 26 018 172 542 1 727 967 40 177 10 894 1 736 167 1 056 808 1 014 687

Unrealised appreciation/ (depreciation) EUR 34 148 11 123 (7 880) (673) (2 314) (83 556) (192) (18 708) (210) (2 935) (7 833) 2 026 1 780 (372) (27 720) (22 982) (112 026) (8 257) 2 768 2 611 3 322 38 (37) 2 010 118 878 116 932 30 761 155 950 141 205 31 026 1 453 60 958 18 080 22 298 (2 644) 2 915 71 – (247) 16 197 1 625 (249) (14 208) 34 193 68 194

Merrill Lynch Investment Solutions

83

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Retail - 4 Retail - 5 Retail - 6 Retail - 7 Retail - 8 Semiconductors - 1 Semiconductors - 2 Semiconductors - 3 Semiconductors - 4 Semiconductors - 5 Software - 1 Software - 2 Software - 3 Software - 4 Software - 5 Telecommunications - 1 Telecommunications - 2 Telecommunications - 3 Telecommunications - 4 Telecommunications - 5 Telecommunications - 6 Telecommunications - 7 Telecommunications - 8 Telecommunications - 9 Telecommunications - 10 Telecommunications - 11 Telecommunications - 12 Telecommunications - 13 Telecommunications - 14 Telecommunications - 15 Telecommunications - 16 Telecommunications - 17 Telecommunications - 18 Telecommunications - 19 Telecommunications - 20 Telecommunications - 21 Telecommunications - 22 Telecommunications - 23 Telecommunications - 24 Transportation - 1 Transportation - 2 Transportation - 3 Transportation - 4 Transportation - 5 Transportation - 6

Commitment EUR 550 542 73 787 2 267 1 137 86 607 056 375 477 288 639 158 249 79 362 845 167 282 363 107 309 67 668 30 469 1 754 673 1 730 104 1 682 893 1 554 503 1 325 251 1 214 621 1 178 303 1 100 699 1 065 421 1 061 566 785 448 724 472 574 474 501 170 452 078 448 711 242 282 187 942 115 802 25 889 8 999 8 739 5 563 101 1 726 589 1 199 731 880 192 717 208 474 861 459 881

Unrealised appreciation/ (depreciation) EUR (10 587) 17 076 13 (18) 3 4 227 (105 990) 5 680 4 450 (5 749) (66 950) 22 911 (1 255) 17 820 2 734 57 201 (116 393) 19 684 (3 931) 8 380 135 410 19 257 17 458 (78 610) 72 339 (25 153) (9 234) 4 747 (14 368) 35 483 1 972 (2 011) 4 405 13 257 7 237 606 (15) 11 6 903 (4 459) 26 567 30 295 57 913 23 691

The accompanying notes form an integral part of these financial statements. Audited annual report

84

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Transportation - 7 Transportation - 8 Transportation - 9 Transportation - 10 Transportation - 11 Transportation - 12 Water - 1 Water - 2

Commitment EUR 398 728 92 672 82 875 39 474 25 679 155 662 294 204 402 205 834 505

Unrealised appreciation/ (depreciation) EUR 24 526 (9) 9 060 5 869 933 6 9 997 (1 423) 1 636 432

4) Morgan Stanley Capital Services Inc. Commitment of EUR 107 359 082 for the short portfolio composed of 329 equities Commitment of EUR 318 for the long portfolio composed of 1 equity Market value of EUR (2 820 388) detailed as follows: – unrealised depreciation on short portfolio: EUR (2 254 157) – unrealised appreciation on long portfolio: EUR 3 – realised result: EUR (566 234) corresponding to the realised loss on securities which is still held at the counterparty (monthly reset) The below table is composed of long and short positions:

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Aerospace/Defense - 1 Agriculture - 1 Airlines - 1 Airlines - 2 Apparel - 1 Apparel - 2 Apparel - 3 Auto Manufacturers - 1 Auto Parts & Equipment - 1 Auto Parts & Equipment - 1 Banks - 1 Banks - 2 Banks - 3 Banks - 4 Banks - 5 Banks - 6 Banks - 7 Banks - 8 Banks - 9

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment EUR 922 348 480 171 35 011 34 175 249 960 31 456 7 527 31 696 1 077 172 40 345 1 075 382 1 071 792 1 059 575 904 739 683 158 680 332 402 106 328 366 150 055

Unrealised appreciation/ (depreciation) EUR (13 954) (14 179) (2 589) (4 027) (5 444) 2 155 (208) (1 750) (38 453) 2 616 (16 517) 8 759 (13 292) 40 990 (71 361) 20 610 (3 677) (11 977) 1 492

Merrill Lynch Investment Solutions

85

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Banks - 10 Banks - 11 Banks - 12 Banks - 13 Banks - 14 Banks - 15 Banks - 16 Beverages - 1 Biotechnology - 1 Biotechnology - 2 Biotechnology - 3 Biotechnology - 4 Biotechnology - 5 Biotechnology - 6 Building Materials - 1 Chemicals - 1 Chemicals - 2 Chemicals - 3 Chemicals - 4 Chemicals - 5 Chemicals - 6 Chemicals - 7 Coal - 1 Commercial Services - 1 Commercial Services - 2 Commercial Services - 3 Commercial Services - 4 Commercial Services - 5 Commercial Services - 6 Commercial Services - 7 Commercial Services - 8 Commercial Services - 9 Commercial Services - 10 Commercial Services - 11 Commercial Services - 12 Commercial Services - 13 Commercial Services - 14 Commercial Services - 15 Computers - 1 Computers - 2 Computers - 3 Computers - 4 Cosmetics/Personal Care - 1 Cosmetics/Personal Care - 2

Commitment EUR 137 634 108 705 50 994 23 606 13 545 11 896 112 731 605 1 090 518 656 359 545 466 87 475 71 850 26 757 66 560 204 572 84 453 71 907 27 832 1 291 104 54 413 906 1 052 539 1 033 666 425 233 360 344 354 389 346 862 303 821 254 483 52 131 48 444 24 195 3 510 286 252 96 844 819 201 206 49 195 4 121 1 066 515 12 217

Unrealised appreciation/ (depreciation) EUR 190 6 642 (55) (111) 18 32 10 (27 765) (76 408) (113 422) (27 210) (15 998) 10 192 (1 068) (199) 8 949 (435) (3 325) (98) 21 4 – 2 100 (164 412) (23 620) 39 780 22 720 9 140 (26 207) (1 321) (28 694) (1 451) 7 1 907 77 2 (41) 10 (59 685) 1 934 679 (477) 72 (242)

The accompanying notes form an integral part of these financial statements. Audited annual report

86

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Distribution/Wholesale - 1 Diversified Financial Services - 1 Diversified Financial Services - 2 Diversified Financial Services - 3 Diversified Financial Services - 4 Diversified Financial Services - 5 Diversified Financial Services - 6 Diversified Financial Services - 7 Diversified Financial Services - 8 Diversified Financial Services - 9 Electric - 1 Electric - 2 Electric - 3 Electric - 4 Electric - 5 Electric - 6 Electric - 7 Electric - 8 Electric - 9 Electric - 10 Electric - 11 Electric - 12 Electric - 13 Electrical Components & Equipment - 1 Electrical Components & Equipment - 2 Electrical Components & Equipment - 3 Electrical Components & Equipment - 4 Electronics - 1 Electronics - 2 Electronics - 3 Electronics - 4 Engineering & Construction - 1 Engineering & Construction - 2 Engineering & Construction - 3 Engineering & Construction - 4 Engineering & Construction - 5 Engineering & Construction - 6 Entertainment - 1 Entertainment - 2 Entertainment - 3 Environmental Control - 1 Equity Fund - 1 Equity Fund - 2 Equity Fund - 3 Equity Fund - 4

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment EUR 679 689 1 083 783 406 755 366 402 289 313 90 448 4 839 4 685 2 940 523 1 075 564 1 008 019 621 210 584 335 276 241 274 962 134 593 109 667 92 688 87 442 34 239 933 305 140 114 13 926 9 412 9 010 61 292 15 897 13 884 5 296 1 079 025 942 543 760 498 624 301 498 670 16 984 523 427 34 976 8 944 1 085 276 365 046 319 237 235 838 86 764

Unrealised appreciation/ (depreciation) EUR (60 754) (87 262) (27 170) 632 (1 109) 198 74 77 (274) (24) (74 496) 11 122 5 397 (5 938) (10 105) (8 816) 58 865 (2 529) (13 128) (527) (331) 18 (15) (27 744) 266 (93) 2 466 (1 169) (728) 58 (18) (61 137) (114 026) 29 825 (12 863) 967 (199) (2 838) (2 038) (128) (72 126) (47 614) (24 765) (25 322) (8 204)

Merrill Lynch Investment Solutions

87

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Food - 1 Food - 2 Food - 3 Food - 4 Food - 5 Food - 6 Food - 7 Gas - 1 Gas - 2 Healthcare-Products - 1 Healthcare-Products - 2 Healthcare-Products - 3 Healthcare-Products - 4 Healthcare-Products - 5 Healthcare-Products - 6 Healthcare-Products - 7 Healthcare-Products - 8 Healthcare-Products - 9 Healthcare-Products - 10 Healthcare-Services - 1 Healthcare-Services - 2 Healthcare-Services - 3 Healthcare-Services - 4 Healthcare-Services - 5 Healthcare-Services - 6 Home Builders - 1 Home Builders - 2 Home Furnishings - 1 Home Furnishings - 2 Household Products/Wares - 1 Insurance - 1 Insurance - 2 Insurance - 3 Internet - 1 Internet - 2 Internet - 3 Internet - 4 Internet - 5 Internet - 6 Internet - 7 Internet - 8 Internet - 9 Investment Companies - 1 Investment Companies - 2 Iron/Steel - 1

Commitment EUR 1 077 923 920 284 806 358 514 642 235 385 168 669 18 592 32 821 7 669 641 393 445 037 441 427 412 621 280 149 129 625 115 788 20 091 12 181 5 467 813 774 378 758 71 497 68 534 50 638 2 024 842 217 163 815 299 527 11 938 295 383 1 059 711 267 212 10 445 704 443 433 997 421 337 194 358 106 564 100 834 37 602 11 989 5 015 11 488 318 1 074 486

Unrealised appreciation/ (depreciation) EUR (132 224) (23 643) 7 662 (8 815) (6 112) 850 (124) (503) 1 096 (3 502) (20 541) (7 013) (3 414) (40 574) 2 382 (82) (28) (375) (234) 5 964 (69 055) 4 519 (1 493) (2 419) (112) (123 069) 5 326 8 165 (89) 9 287 41 612 1 434 (160) (60 024) (36 905) (13 611) (461) (23 213) (3 790) 166 37 52 (47) 2 5 708

The accompanying notes form an integral part of these financial statements. Audited annual report

88

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Iron/Steel - 2 Iron/Steel - 3 Iron/Steel - 4 Iron/Steel - 5 Machinery-Construction & Mining - 1 Machinery-Diversified - 1 Machinery-Diversified - 2 Media - 1 Media - 2 Media - 3 Media - 4 Media - 5 Media - 6 Media - 7 Mining - 1 Mining - 2 Mining - 3 Mining - 4 Mining - 5 Mining - 6 Mining - 7 Mining - 8 Miscellaneous Manufactures - 1 Miscellaneous Manufactures - 2 Miscellaneous Manufactures - 3 Miscellaneous Manufactures - 4 Miscellaneous Manufactures - 5 Oil & Gas - 1 Oil & Gas - 2 Oil & Gas - 3 Oil & Gas - 4 Oil & Gas - 5 Oil & Gas - 6 Oil & Gas - 7 Oil & Gas - 8 Oil & Gas - 9 Oil & Gas - 10 Oil & Gas - 11 Oil & Gas - 12 Oil & Gas - 13 Oil & Gas - 14 Oil & Gas - 15 Oil & Gas - 16 Oil & Gas - 17 Oil & Gas - 18

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment EUR 977 766 860 547 503 149 392 504 1 064 149 39 126 8 270 1 074 695 1 062 978 1 015 692 414 881 61 562 11 063 81 167 848 90 630 82 851 28 009 26 210 2 910 2 525 1 599 599 464 332 573 91 565 18 344 458 1 067 815 1 008 773 1 006 811 978 249 935 657 890 941 831 227 596 861 592 016 584 503 360 236 318 528 293 337 285 044 252 620 219 226 136 239 127 551

Unrealised appreciation/ (depreciation) EUR 53 479 (34 367) (5 820) 100 453 (2 262) (9 119) (1 113) (65 135) (62 941) (46 469) (1 620) (536) (536) (19) 26 147 (861) 5 591 383 (1 208) 1 669 2 068 139 17 427 5 547 (600) 104 (10) (28 699) (9 467) 43 897 26 718 15 914 (61 907) (14 358) (43 963) 42 678 41 314 (21 741) 3 817 3 045 (6 935) (12 136) 2 813 4 049 (8 281)

Merrill Lynch Investment Solutions

89

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Oil & Gas - 19 Oil & Gas - 20 Oil & Gas - 21 Oil & Gas - 22 Oil & Gas - 23 Oil & Gas - 24 Oil & Gas - 25 Oil & Gas Services - 1 Oil & Gas Services - 2 Oil & Gas Services - 3 Oil & Gas Services - 4 Oil & Gas Services - 5 Oil & Gas Services - 6 Oil & Gas Services - 7 Oil & Gas Services - 8 Packaging & Containers - 1 Pharmaceuticals - 1 Pharmaceuticals - 2 Pharmaceuticals - 3 Pharmaceuticals - 4 Pharmaceuticals - 5 Pharmaceuticals - 6 Pharmaceuticals - 7 Pharmaceuticals - 8 Pipelines - 1 Private Equity - 1 Real Estate - 1 Real Estate - 2 REITS - 1 REITS - 2 REITS - 3 REITS - 4 REITS - 5 REITS - 6 REITS - 7 REITS - 8 REITS - 9 REITS - 10 REITS - 11 Retail - 1 Retail - 2 Retail - 3 Retail - 4 Retail - 5 Retail - 6

Commitment EUR 71 254 62 314 49 067 28 067 21 772 18 354 12 121 1 066 386 579 657 473 333 359 067 312 925 137 900 6 852 5 058 399 437 1 050 370 915 830 180 656 38 059 33 509 29 777 8 852 844 173 750 8 967 28 086 306 1 044 309 1 024 017 101 418 88 719 73 988 56 561 55 623 30 338 3 071 654 201 1 085 160 1 081 253 1 073 530 1 070 557 1 068 560 1 064 052

Unrealised appreciation/ (depreciation) EUR (4 658) (873) 1 968 (1 493) 278 (138) (415) (79 860) (44 326) (48 198) 558 519 (2 199) (126) (219) (40 423) 18 427 (48 015) (7 165) (4 941) (12 554) 1 387 (1 237) 24 (9 533) (147) 4 885 (6) (61 944) 33 573 (228) (3 744) 356 (3 166) (1 838) (4 504) 29 (6) (13) (16 774) (13 114) (50 748) (106 137) 35 059 (72 218)

The accompanying notes form an integral part of these financial statements. Audited annual report

90

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Retail - 7 Retail - 8 Retail - 9 Retail - 10 Retail - 11 Retail - 12 Retail - 13 Retail - 14 Retail - 15 Retail - 16 Retail - 17 Retail - 18 Retail - 19 Retail - 20 Retail - 21 Retail - 22 Retail - 23 Retail - 24 Retail - 25 Retail - 26 Retail - 27 Retail - 28 Retail - 29 Retail - 30 Savings & Loans - 1 Semiconductors - 1 Semiconductors - 2 Semiconductors - 3 Semiconductors - 4 Semiconductors - 5 Semiconductors - 6 Semiconductors - 7 Semiconductors - 8 Semiconductors - 9 Semiconductors - 10 Semiconductors - 11 Semiconductors - 12 Semiconductors - 13 Semiconductors - 14 Semiconductors - 15 Software - 1 Software - 2 Software - 3 Software - 4 Software - 5

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment EUR 1 057 603 1 008 747 949 004 700 999 699 520 508 671 463 114 401 766 384 438 244 474 211 737 202 416 195 152 85 050 59 666 49 701 47 409 43 837 26 464 15 649 15 599 12 668 5 451 1 491 1 077 022 1 066 135 498 837 424 132 263 782 258 524 245 413 116 060 98 972 96 595 90 923 85 059 38 454 18 805 12 682 5 618 1 072 354 1 063 811 1 056 869 1 006 114 791 281

Unrealised appreciation/ (depreciation) EUR 7 439 87 163 15 238 (22 518) 6 252 (57 933) (36 410) (36 896) (5 955) 2 355 (29 298) 57 414 (4 077) (3 962) (694) (1 165) (302) (161) (35) (941) 307 (384) 162 5 (6 680) (56 886) 12 585 (3 845) (25 318) (42 048) (19 586) 9 135 (3 720) (1 097) (16 858) (2 011) 2 673 (198) (236) (79) 30 238 32 648 (21 019) 11 665 (61 207)

Merrill Lynch Investment Solutions

91

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Commitment EUR 477 370 213 320 145 314 144 400 97 992 88 140 75 399 47 254 32 079 20 928 10 665 7 660 529 71 909 393 643 926 511 550 480 543 444 626 404 584 213 853 115 540 101 066 74 393 50 794 43 194 42 282 29 538 27 843 27 745 11 836 7 869 60 26 1 083 542 633 364 585 842 215 617 145 444 39 828 24 602 4 795 107 359 400

Industrial classification of investments Software - 6 Software - 7 Software - 8 Software - 9 Software - 10 Software - 11 Software - 12 Software - 13 Software - 14 Software - 15 Software - 16 Software - 17 Software - 18 Software - 19 Telecommunications - 1 Telecommunications - 2 Telecommunications - 3 Telecommunications - 4 Telecommunications - 5 Telecommunications - 6 Telecommunications - 7 Telecommunications - 8 Telecommunications - 9 Telecommunications - 10 Telecommunications - 11 Telecommunications - 12 Telecommunications - 13 Telecommunications - 14 Telecommunications - 15 Telecommunications - 16 Telecommunications - 17 Telecommunications - 18 Telecommunications - 19 Telecommunications - 20 Textiles - 1 Transportation - 1 Transportation - 2 Transportation - 3 Transportation - 4 Transportation - 5 Transportation - 6 Water - 1

Unrealised appreciation/ (depreciation) EUR (41 569) (6 778) (10 092) (6 455) (1 254) (982) (3 297) (1 631) 2 531 (587) (86) 140 (4) (5) 107 271 5 219 (71) (8 728) (767) 3 066 29 244 45 323 67 728 1 669 (504) 5 768 587 8 670 (890) (3 254) (774) (10) (1) 2 3 740 (36 997) 26 473 2 695 2 285 (8 931) (482) 31 (2 254 154)

The total market value of the contracts for difference swaps is EUR 5 668 434. The accompanying notes form an integral part of these financial statements. Audited annual report

92

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund Schedule of Investments as at March 31, 2013 (expressed in EUR) Nominal value/ Quantity

Description

Quotation Currency

Cost EUR

Market value EUR

% of net assets

Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.) Bonds 47 000 750 000 200 000 489 000 12 270 000 9 542 000 11 197 000 99 000 7 034 000 11 713 000 15 276 000 5 374 000 65 000 11 675 000 770 000 758 000 1 578 000

Lehman Brothers Hldg., Inc. (Defaulted) FRN 09/11/2009 Lehman Brothers Hldg., Inc. (Defaulted) FRN 10/05/2012 Lehman Brothers Hldg., Inc. (Defaulted) FRN 17/10/2012 Lehman Brothers Hldg., Inc. Escrow FRN 24/01/2013 Lehman Brothers Hldg., Inc. Escrow FRN 26/09/2014 Lehman Brothers Hldg., Inc. Escrow FRN 04/04/2016 Lehman Brothers Hldg., Inc. Escrow FRN 30/12/2016 Lehman Brothers Hldg., Inc. Escrow FRN 30/12/2016 Lehman Brothers Hldg., Inc. Escrow FRN 02/05/2018 Lehman Brothers Hldg., Inc. Escrow FRN 27/09/2027 Lehman Brothers Hldg., Inc. Escrow FRN Perpetual Lehman Brothers Hldg., Inc. Escrow FRN Perpetual Lehman Brothers Hldg., Inc. Escrow FRN Perpetual Lehman Brothers Hldg., Inc. Escrow FRN Perpetual Lehman Brothers Hldg., Inc. Escrow FRN Perpetual Lehman Brothers Hldg., Inc. Escrow FRN Perpetual Lehman Brothers Hldg., Inc. Escrow FRN Perpetual Total Bonds

EUR EUR EUR USD USD USD USD USD USD USD USD USD USD USD USD USD USD

10 557 168 467 45 352 94 211 2 110 813 1 667 026 1 841 793 17 094 1 069 101 2 041 032 2 089 970 929 943 12 722 2 065 822 131 842 130 857 271 951 14 698 553

13 277 211 875 57 000 101 867 2 591 885 1 987 763 2 310 729 20 431 1 492 692 2 440 020 3 152 513 1 119 497 13 541 2 432 104 158 905 156 429 325 652 18 586 180

0.01 0.09 0.02 0.04 1.05 0.80 0.94 0.01 0.60 0.99 1.28 0.45 0.01 0.98 0.06 0.06 0.13 7.52

Adidas AG Amada Co. Ltd. Anheuser-Busch InBev NV Anheuser-Busch InBev NV - ADR Arnest One Corp. Avago Technologies Ltd. Beam, Inc. Brookdale Senior Living, Inc. Canadian Pacific Railway Ltd. Capmark Financial Group, Inc. CBRE Group, Inc. - A Chemtura Corp. Cheniere Energy, Inc. Commercial Vehicle Group, Inc. CommonWealth REIT Constellation Brands, Inc. - A Copart, Inc. CVR Energy, Inc. (a) Danske Bank A/S DE Master Blenders 1753 NV Deutsche Boerse AG DigitalGlobe, Inc. E.ON SE

EUR JPY EUR USD JPY USD USD USD USD USD USD USD USD USD USD USD USD USD DKK EUR EUR USD EUR

1 056 661 856 529 4 580 890 755 116 3 473 508 2 496 925 1 833 857 4 756 542 1 808 934 0 6 298 438 5 628 320 2 190 363 4 697 209 2 108 763 1 884 969 3 247 471 0 3 051 107 3 523 695 1 826 628 4 441 104 544 171

1 214 100 822 987 5 229 207 799 129 4 007 752 2 581 313 2 226 697 5 427 929 2 540 107 2 118 169 7 385 388 6 394 989 3 831 452 3 492 721 2 156 153 2 099 114 3 336 970 0 3 188 398 4 366 004 1 757 514 4 948 159 531 180

0.49 0.33 2.12 0.32 1.62 1.04 0.90 2.20 1.03 0.86 2.99 2.59 1.55 1.41 0.87 0.85 1.35 0.00 1.29 1.77 0.71 2.00 0.21

Shares 15 000 160 000 67 692 10 308 260 000 92 279 45 000 250 000 25 000 335 795 375 587 380 000 175 713 575 000 123 383 56 580 125 000 47 049 228 548 362 324 37 200 219 783 39 000

(a) This security is fair valued. See Notes 2.2.6 and 10. The accompanying notes form an integral part of these financial statements. Audited annual report

93

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR) Nominal value/ Quantity

Description

Quotation Currency

Cost EUR

Market value EUR

% of net assets

Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.) 90 000 Shares (cont.) 17 500 64 875 550 3 256 155 000 21 561 33 307 32 500 625 096 2 173 44 433 690 958 290 000 116 669 285 000 204 893 189 552 10 346 1 318 478 135 764 88 000 75 000 127 079 232 190 183 373 145 070 36 985

Fortune Brands Home & Security, Inc.

USD

943 127

2 623 395

1.06

Hajime Construction Co. Ltd. Hertz Global Hldg., Inc. Inpex Corp. Jupiter Telecommunications Co. Ltd. Lear Corp. Liberty Global, Inc. - A Liberty Global, Inc. - C Liberty Media Corp. Manitowoc Co, Inc. Motors Liquidation Co. GUC Trust News Corp. - A NovaCopper, Inc. Ocwen Financial Corp. Orient-Express Hotels Ltd. - A Radware Ltd. Realogy Hldg. Corp. Royal Dutch Shell Plc. - A Siemens AG - Reg Sirius XM Radio, Inc. Spectra Energy Corp. ThyssenKrupp AG Tribune Co. TW Telecom, Inc. Tyco International Ltd. UTi Worldwide, Inc. Visteon Corp. Vodafone Group Plc. - ADR Total Shares

JPY USD JPY JPY USD USD USD USD USD USD USD CAD USD USD USD USD EUR EUR USD USD EUR USD USD USD USD USD USD

535 240 1 015 676 2 691 411 2 951 941 5 643 722 1 088 906 1 534 909 2 364 606 6 844 479 0 1 029 273 1 740 461 8 355 076 1 001 938 7 402 397 4 355 412 4 978 403 872 316 2 466 917 3 162 643 1 545 397 2 868 942 2 589 453 4 716 419 1 998 352 5 265 367 757 980 141 781 963

794 328 1 124 615 2 296 013 3 325 283 6 623 203 1 232 442 1 780 127 2 825 307 10 008 552 45 690 1 056 067 1 001 020 8 563 824 895 847 8 374 002 7 792 991 4 774 815 869 374 3 162 460 3 251 106 1 396 120 3 320 421 2 492 891 5 786 219 2 067 785 6 518 608 818 273 165 276 210

0.32 0.45 0.93 1.35 2.68 0.50 0.72 1.14 4.05 0.02 0.43 0.40 3.46 0.36 3.39 3.15 1.93 0.35 1.28 1.31 0.56 1.34 1.01 2.34 0.84 2.64 0.33 66.84

General Motors Co. Call Strike price: 10 10/07/2016 General Motors Co. Call Strike Price: 18.33 10/07/2019 Total Warrants

USD USD

0 0 0

10 479 6 675 17 154

0.01 0.00 0.01

United States Treasury Bill 0% 25/07/2013 Total Supranationals, Governments and Local Public Authorities, Debt Instruments

USD

13 123 976

13 235 781

5.35

13 123 976

13 235 781

5.35

E Fund CSI 100 A-Share ETF Total Investment funds

HKD

6 041 448 6 041 448

6 317 312 6 317 312

2.56 2.56

Warrants 727 727

Supranationals, Governments and Local Public Authorities, Debt Instruments 17 000 000

Investment funds 2 131 000

The accompanying notes form an integral part of these financial statements. Audited annual report

94

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR) Nominal value/ Quantity

Description

Quotation Currency

Cost EUR

Market value EUR

% of net assets

Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.) Other transferable securities Bonds 1 017 000 4 555 000 9 044 000 8 164 000 9 000 000

Capmark Financial Escrow 6.3% 10/05/2017 (a) Capmark Financial Escrow 7.875% 10/05/2012 (a) Capmark Financial Group, Inc. FRN Perpetual (a) Motors Liquidation Co. 8.375% 15/07/2033 (a) Washington Mutual Bank / Debt not acquired by JPMorgan (Defaulted) FRN 01/05/2009 Total Bonds

USD USD USD USD

0 0 0 0

14 256 63 850 126 775 1

0.01 0.02 0.05 0.00

USD

2 793 287 2 793 287

2 172 729 2 377 611

0.88 0.96

Motors Liquidation Co. – Pref (a) Total Shares Total investments

USD

0 0 178 439 227

1 1 205 810 249

0.00 0.00 83.24

Shares 80 923

(a) This security is fair valued. See Notes 2.2.6 and 10.

The accompanying notes form an integral part of these financial statements. Audited annual report

Merrill Lynch Investment Solutions

95

Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR) Industrial classification of investments (as a percentage of net assets as at March 31, 2013) Diversified Financial Services Real Estate Auto Manufacturers/Parts & Equipment Media Beverages Sovereign Oil & Gas Machinery-Diversified Software Telecommunications Chemicals Equity Fund Electronics Healthcare-Services Transportation Retail Pipelines Banks Building Materials Semiconductors Savings & Loans REITS Iron/Steel Apparel Commercial Services Mining Lodging Miscellaneous Manufactures Home Builders Electric

Underlying Currency nature contract Details Futures contracts Index JPY Nikkei 225 Index Index USD S&P 500 E-Mini Index Index JPY Topix Index Total Futures contracts

% 12.63 7.76 6.76 6.76 5.96 5.35 4.41 4.38 3.39 3.34 2.59 2.56 2.34 2.20 1.87 1.35 1.31 1.29 1.06 1.04 0.88 0.87 0.56 0.49 0.45 0.40 0.36 0.35 0.32 0.21 83.24

Market Osaka Securities Exchange Chicago Mercantile Exchange Tokyo Stock Exchange

Geographical classification of investments (as a percentage of net assets as at March 31, 2013) United States Japan Netherlands Israel Hong Kong Belgium Switzerland Germany Canada Denmark Singapore Bermuda United Kingdom

Number of Number of Maturity contracts contracts Date bought sold 14/06/2013 21/06/2013 14/06/2013

25 1 100 30

% 57.49 4.55 3.70 3.39 2.56 2.44 2.34 2.32 1.43 1.29 1.04 0.36 0.33 83.24

Commitment EUR

Unrealised appreciation/ (depreciation) EUR

2 567 691 66 932 910 2 585 500 72 086 101

(130 869) (924 967) (117 783) (1 173 619)

The accompanying notes form an integral part of these financial statements. Audited annual report

96

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR)

Purchase Forward foreign exchange contracts AUD 3 136 731 CAD 5 500 000 CHF 3 499 749 EUR 5 238 580 EUR 211 848 EUR 3 730 879 EUR 3 307 740 EUR 6 863 783 EUR 12 868 043 EUR 194 416 086 GBP 47 650 303 USD 114 316 831 USD 5 950 103 Total Forward foreign exchange contracts

Short/ Long Options Long Long Long Long

Currency USD USD USD USD

Long

USD

Long

USD

Long

USD

Long Long Short Short Short Short Long Long Long Total Options

USD USD USD USD USD USD USD USD USD

Sale EUR EUR EUR CAD CHF DKK GBP HKD JPY USD EUR EUR GBP

Description Agrium, Inc. CSX Corp. Energy Select Sector SPDR J.C. Penney Co, Inc. Morgan Stanley Capital Services Inc. Plains Exploration & Production Co. (Goldman Sachs International) Plains Exploration & Production Co. (Goldman Sachs International) Put JPY/USD Morgan Stanley Capital Services Inc. Put JPY/USD Deutsche Bank AG Put JPY/USD UBS AG S&P 500 Index S&P 500 Index S&P 500 Index S&P 500 Index S&P 500 Index S&P 500 Index S&P 500 Index

Maturity date 2 489 667 4 220 815 2 836 653 7 000 000 261 370 27 809 600 2 809 000 69 101 474 1 604 300 000 252 272 366 55 162 384 88 149 305 3 950 000

Counterparty

19/06/2013 Merrill Lynch International 19/06/2013 State Street Bank and Trust Company 19/06/2013 Merrill Lynch International 19/06/2013 Merrill Lynch International 19/06/2013 Merrill Lynch International 19/06/2013 Merrill Lynch International 19/06/2013 Merrill Lynch International 19/06/2013 Merrill Lynch International 19/06/2013 Merrill Lynch International 19/06/2013 Merrill Lynch International 19/06/2013 Merrill Lynch International 19/06/2013 Merrill Lynch International 19/06/2013 State Street Bank and Trust Company

Unrealised appreciation/ (depreciation) EUR 40 941 (14 526) 42 744 (114 879) (3 192) (1 590) (10 748) (67 283) (420 002) (1 933 968) 1 130 586 826 417 (35 321) (560 821)

Quantity

Market value EUR

Commitment EUR

20/04/2013 18/01/2014 20/04/2013

229 519 423

21 935 125 698 21 412

– – –

10

18/01/2014

94 517

158 386

–

Call

50

17/01/2014

35 500

81 912

–

Call

45

17/01/2014

40 400

161 426

–

Put Put Put Put Put Put Put Put Put Put

100 100 100 1 475 1 465 1 425 1 450 1 500 1 525 1 550

09/04/2013 11/04/2013 12/04/2013 20/04/2013 20/04/2013 20/04/2013 20/04/2013 20/04/2013 20/04/2013 20/04/2013

15 670 000 15 670 000 15 670 000 (150) (150) (275) (175) 275 175 300

871 1 440 1 748 (22 778) (20 442) (19 274) (17 717) 70 672 74 955 237 131 877 375

– – – 17 229 976 17 113 163 30 517 501 19 760 934 – – – 84 621 574

Put/ Call

Strike Price

Maturity

Put Call Put

95 22.5 78

Put

Deutsche Bank AG, Goldman Sachs International, Merrill Lynch Professional Clearing, Morgan Stanley Capital Services Inc. and UBS AG are the counterparties to these options.

The accompanying notes form an integral part of these financial statements. Audited annual report

Merrill Lynch Investment Solutions

97

Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR) Contracts for difference swaps The Sub-Fund Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund entered into contracts for difference swaps with eight counterparties (Barclays Bank Plc., Citibank NA, Credit Suisse Securities (Europe) Limited, Deutsche Bank AG, JPMorgan Chase Bank NA, Merrill Lynch International Bank Ltd, Morgan Stanley Capital Services Inc. and UBS AG) with the following details: 1) Barclays Bank Plc. Commitment of EUR 679 953 for the short portfolio composed of 1 equity Commitment of EUR 2 156 712 for the long portfolio composed of 2 equities Market value of EUR (158 992) detailed as follows: – unrealised on short portfolio: EUR (45 765) – unrealised on long portfolio: EUR (97 506) – realised result: EUR (15 721) corresponding to the realised loss on securities which is still held at the counterparty (monthly reset) The below table is composed of long and short positions:

Underlying nature Equity Equity Equity

Commitment EUR 679 953 1 570 518 586 194 2 836 665

Industrial classification of investments Electric - 1 REITS - 1 Water - 1

Unrealised appreciation/ (depreciation) EUR (45 765) (83 331) (14 175) (143 271)

2) Citibank NA Commitment of EUR 1 613 382 for the short portfolio composed of 1 equity Commitment of EUR 651 904 for the long portfolio composed of 1 equity Market value of EUR 115 043 detailed as follows: – unrealised on short portfolio: EUR 13 695 – unrealised on long portfolio: EUR 28 730 – realised result: EUR 72 618 corresponding to the realised gain on securities which is still held at the counterparty (monthly reset) The below table is composed of long and short positions:

Underlying nature Equity Equity

Industrial classification of investments Banks - 1 Commercial Services - 1

Commitment EUR 651 904 1 613 382 2 265 286

Unrealised appreciation/ (depreciation) EUR 28 730 13 695 42 425

The accompanying notes form an integral part of these financial statements. Audited annual report

98

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR) 3) Credit Suisse Securities (Europe) Limited Commitment of EUR 33 330 148 for the long portfolio composed of 10 equities Market value of EUR 2 674 823 detailed as follows: – unrealised on long portfolio: EUR 2 119 186 – realised result: EUR 555 637 corresponding to the realised gain on securities which is still held at the counterparty (monthly reset) The below table is composed of long positions:

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Electric - 1 Insurance - 1 Insurance - 2 Mining - 1 Oil & Gas - 1 Packaging & Containers - 1 Real Estate - 1 REITS - 1 Software -1 Telecommunications - 1

Commitment EUR 3 082 918 12 394 839 2 315 876 237 520 759 427 513 594 1 371 884 6 917 072 3 257 953 2 479 065 33 330 148

Unrealised appreciation/ (depreciation) EUR (233 288) 1 512 217 (139 592) (303 041) (10 907) 97 120 199 854 440 819 575 243 (19 239) 2 119 186

4) Deutsche Bank AG Commitment of EUR 3 119 870 for the short portfolio composed of 1 equity Commitment of EUR 12 361 425 for the long portfolio composed of 5 equities Market value of EUR 2 087 204 detailed as follows: – unrealised on short portfolio: EUR 46 503 – unrealised on long portfolio: EUR 1 426 148 – realised result: EUR 614 553 corresponding to the realised gain on securities which is still held at the counterparty (monthly reset) The below table is composed of long and short positions:

Underlying nature Equity Equity Equity Equity Equity Equity

Industrial classification of investments Agriculture - 1 Apparel - 1 Apparel - 2 Banks - 1 Insurance - 1 Media - 1

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment EUR 1 431 918 5 841 763 3 119 870 1 631 474 1 080 294 2 375 976 15 481 295

Unrealised appreciation/ (depreciation) EUR (64 061) 494 239 46 503 149 042 57 302 789 626 1 472 651

Merrill Lynch Investment Solutions

99

Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR) 5) JPMorgan Chase Bank NA Commitment of EUR 28 649 731 for the short portfolio composed of 2 equities and 1 index Commitment of EUR 19 198 042 for the long portfolio composed of 4 equities Market value of EUR (69 046) detailed as follows: – unrealised on short portfolio: EUR (833 474) – unrealised on long portfolio: EUR 1 000 257 – realised result: EUR (235 829) corresponding to the realised loss on securities which is still held at the counterparty (monthly reset) The below table is composed of long and short positions:

Underlying nature Equity Equity Equity Equity Equity Equity Index

Commitment EUR 3 596 823 2 183 368 1 524 441 2 538 308 3 364 853 9 698 058 24 941 922 47 847 773

Industrial classification of investments Auto Parts & Equipment - 1 Media - 1 Media - 2 Miscellaneous Manufactures - 1 Pharmaceuticals - 1 Telecommunications - 1 Future Index - 1

Unrealised appreciation/ (depreciation) EUR 254 271 (175 092) (142 138) 146 512 276 667 322 807 (516 244) 166 783

6) Merrill Lynch International Bank Ltd Commitment of EUR 7 340 556 for the short portfolio composed of 1 equity Commitment of EUR 18 484 671 for the long portfolio composed of 6 equities Market value of EUR (1 559 842) detailed as follows: – unrealised on short portfolio: EUR (1 318 423) – unrealised on long portfolio: EUR (441 277) – realised result: EUR 199 858 corresponding to the realised gain on securities which is still held at the counterparty (monthly reset) The below table is composed of long and short positions:

Underlying nature Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Auto Manufacturers - 1 Beverages - 1 Chemicals - 1 Electric - 1 Equity Fund - 1 Insurance - 1 Media - 1

Commitment EUR 6 383 938 2 493 830 1 265 761 2 111 588 7 340 556 2 006 259 4 223 295 25 825 227

Unrealised appreciation/ (depreciation) EUR (99 827) 45 830 (45 742) (192 199) (1 318 423) (190 875) 41 536 (1 759 700)

The accompanying notes form an integral part of these financial statements. Audited annual report

100

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR) 7) Morgan Stanley Capital Services Inc. Commitment of EUR 1 597 028 for the short portfolio composed of 2 equities Commitment of EUR 58 666 227 for the long portfolio composed of 12 equities Market value of EUR 222 886 detailed as follows: – unrealised on short portfolio: EUR 29 985 – unrealised on long portfolio: EUR 36 515 – realised result: EUR 156 386 corresponding to the realised gain on securities which is still held at the counterparty (monthly reset) The below table is composed of long and short positions:

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Auto Manufacturers - 1 Building Materials - 1 Commercial Services - 1 Commercial Services - 2 Electric - 1 Engineering & Construction - 1 Food - 1 Food - 2 Insurance - 1 Iron/Steel - 1 Media - 1 Oil & Gas - 1 Pharmaceuticals - 1 Telecommunications - 1

Commitment EUR 3 668 621 3 019 627 6 714 582 2 613 659 510 208 6 843 927 12 965 330 1 086 820 3 819 110 1 254 055 5 433 739 5 010 139 3 212 773 4 110 665 60 263 255

Unrealised appreciation/ (depreciation) EUR (96 224) (298 301) 1 070 613 6 718 1 835 126 149 (38 561) 28 150 (66 612) (2 269 284) 907 817 287 503 41 733 364 964 66 500

8) UBS AG Commitment of EUR 5 657 894 for the short portfolio composed of 3 equities Commitment of EUR 7 723 164 for the long portfolio composed of 3 equities Market value of EUR (457 409) detailed as follows: – unrealised on short portfolio: EUR (694 647) – unrealised on long portfolio: EUR 308 786 – realised result: EUR (71 548) corresponding to the realised loss on securities which is still held at the counterparty (monthly reset)

The accompanying notes form an integral part of these financial statements. Audited annual report

Merrill Lynch Investment Solutions

101

Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR) The below table is composed of long and short positions:

Underlying nature Equity Equity Equity Equity Equity Equity

Commitment EUR 2 705 622 2 110 916 1 020 500 1 931 772 1 892 248 3 720 000 13 381 058

Industrial classification of investments Banks - 1 Banks - 2 Electric - 1 Mining - 1 Mining - 2 REITS - 1

Unrealised appreciation/ (depreciation) EUR (714 231) 190 085 59 727 (40 143) 120 480 (1 779) (385 861)

The total market value of the contracts for difference swaps is EUR 2 854 667.

The accompanying notes form an integral part of these financial statements. Audited annual report

102

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – CCI Healthcare Long-Short UCITS Fund Schedule of Investments as at March 31, 2013 (expressed in USD)

Quantity

Description

Quotation Currency

Cost USD

Market value USD

% of net assets

Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market Shares 151 828 85 213 97 587 281 437 16 888 686 065 49 631 8 944 113 409 251 768 97 134 36 796 581 771 96 897 50 126 131 468 137 219 603 432 62 832 530 195 220 250 264 839 343 236 391 513 222 926 165 609 236 279 150 269 147 464 133 994 431 545 101 520 24 230 106 733 276 513 205 877 322 264 779 801

Actavis, Inc. Agilent Technologies, Inc. Alexion Pharmaceuticals, Inc. Align Technology, Inc. Amgen, Inc. Ariad Pharmaceuticals, Inc. Baxter International, Inc. Biogen Idec, Inc. BioMarin Pharmaceutical, Inc. Brookdale Senior Living, Inc. Catamaran Corp. Celgene Corp. Celldex Therapeutics, Inc. Cooper, Inc. Covidien Plc. Cyberonics, Inc. Danaher Corp. Elan Corp. Plc. - ADR Eli Lilly & Co. Endologix, Inc. Express Scripts Hldg. Co. Gilead Sciences, Inc. HCA Hldg., Inc. Hologic, Inc. Jazz Pharmaceuticals Plc. Medicines Co. Medivation, Inc. Medtronic, Inc. Mylan, Inc. Onyx Pharmaceuticals, Inc. Orexigen Therapeutics, Inc. Salix Pharmaceuticals Ltd. Sirona Dental Systems, Inc. Team Health Hldg., Inc. ViroPharma, Inc. Volcano Corp. Walgreen Co. Warner Chilcott Plc. - A Total Shares Total investments

The accompanying notes form an integral part of these financial statements. Audited annual report

USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD

13 058 268 3 654 313 9 033 809 8 790 073 1 664 800 14 328 737 3 382 226 1 710 465 6 559 284 6 733 420 5 083 892 3 644 467 4 463 169 10 183 162 3 226 664 6 196 077 8 352 652 6 406 661 3 538 384 7 466 107 12 569 234 11 066 646 12 664 805 8 412 955 11 758 053 5 333 517 12 151 048 6 833 792 4 203 048 10 789 780 2 306 993 4 983 405 1 684 902 3 488 087 7 095 011 5 084 108 14 449 668 10 528 026 272 879 708 272 879 708

13 984 877 3 576 390 8 991 666 9 430 954 1 731 189 12 410 916 3 605 196 1 725 387 7 060 844 7 019 292 5 151 016 4 265 024 6 736 908 10 453 248 3 400 548 6 154 017 8 528 161 7 120 498 3 568 229 8 562 649 12 697 412 12 958 572 13 945 679 8 848 194 12 463 793 5 534 653 11 050 769 7 056 632 4 267 608 11 906 707 2 697 156 5 195 794 1 786 478 3 882 947 6 957 067 4 582 822 15 365 547 10 566 304 285 241 143 285 241 143

4.17 1.07 2.68 2.82 0.52 3.71 1.08 0.51 2.11 2.10 1.54 1.27 2.01 3.12 1.01 1.84 2.55 2.13 1.07 2.56 3.79 3.87 4.16 2.64 3.72 1.65 3.30 2.11 1.27 3.55 0.80 1.55 0.53 1.16 2.08 1.37 4.59 3.15 85.16 85.16

Merrill Lynch Investment Solutions

103

Merrill Lynch Investment Solutions – CCI Healthcare Long-Short UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD) Industrial classification of investments (as a percentage of net assets as at March 31, 2013) Pharmaceuticals Healthcare-Products Biotechnology Healthcare-Services Retail Miscellaneous Manufactures Commercial Services Electronics

Purchase Forward foreign exchange contracts EUR 111 998 122 GBP 17 633 724 USD 5 430 123 USD 981 367 Total Forward foreign exchange contracts

Short/ Long Currency Options Long USD Long USD Long USD Long USD Long USD Long USD Long USD Long USD Long USD Long USD Long USD Long USD Long USD Total Options

Description Abiomed, Inc. Abiomed, Inc. Actavis, Inc. Brookdale Senior Living, Inc. Brookdale Senior Living, Inc. Cyberonics, Inc. Cyberonics, Inc. Davita Healthcare Partners I Jazz Pharmaceuticals Plc. Jazz Pharmaceuticals Plc. Jazz Pharmaceuticals Plc. Resmed, Inc. Unitedhealth Group, Inc.

Geographical classification of investments (as a percentage of net assets as at March 31, 2013) United States Ireland

% 32.69 19.08 16.22 7.80 4.59 2.55 1.16 1.07 85.16

Sale USD USD EUR GBP

Maturity date

Counterparty

30/04/2013 30/04/2013 30/04/2013 30/04/2013

State Street Capital Markets LLC State Street Capital Markets LLC State Street Capital Markets LLC State Street Capital Markets LLC

145 217 654 26 676 691 4 197 034 648 645

Put/ Call

Strike Price

Maturity

Quantity

Call Put Put Call Put Call Put Call Call Put Put Call Call

20 15 90 30 28 50 45 125 60 50 55 45 55

18/05/2013 18/05/2013 20/04/2013 20/04/2013 18/05/2013 20/04/2013 20/04/2013 20/04/2013 20/04/2013 20/04/2013 20/04/2013 20/04/2013 20/04/2013

648 428 769 882 2 369 716 441 1 320 883 259 881 1 096

% 75.15 10.01 85.16

Unrealised appreciation/ (depreciation) USD (1 374 742) 95 282 39 737 (3 425) (1 243 148)

Market value USD

Commitment USD

64 800 16 050 76 900 24 696 260 31 365 107 400 6 615 118 800 44 150 45 325 162 985 287 152 986 498

– – – – – – – – – – – – – –

Merrill Lynch Professional Clearing is the counterparty to these options.

The accompanying notes form an integral part of these financial statements. Audited annual report

104

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – CCI Healthcare Long-Short UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD) Contracts for difference swaps The Sub-Fund Merrill Lynch Investment Solutions – CCI Healthcare Long-Short UCITS Fund entered into contracts for difference swaps with three counterparties (Credit Suisse Securities (Europe) Limited, Merrill Lynch International Bank Ltd and Morgan Stanley Capital Services Inc.) with the following details: 1) Credit Suisse Securities (Europe) Limited Commitment of USD 11 291 276 for the short portfolio composed of 2 equities Market value of USD (597 677) detailed as follows: – unrealised depreciation on short portfolio: USD (300 312) – realised result: USD (297 365) corresponding to the realised loss on securities which is still held at the counterparty (monthly reset) The below table is composed of short positions:

Underlying nature Equity Equity

Industrial classification of investments Equity Fund - 1 Healthcare-Products - 1

Commitment USD 7 762 885 3 528 391 11 291 276

Unrealised appreciation/ (depreciation) USD (183 484) (116 828) (300 312)

2) Merrill Lynch International Bank Ltd Commitment of USD 22 905 979 for the short portfolio composed of 4 equities Commitment of USD 10 453 958 for the long portfolio composed of 1 equity Market value of USD (1 987 672) detailed as follows: – unrealised depreciation on short portfolio: USD (804 821) – unrealised appreciation on long portfolio: USD 196 249 – realised result: USD (1 379 100) corresponding to the realised loss on securities which is still held at the counterparty (monthly reset) The below table is composed of long and short positions:

Underlying nature Equity Equity Equity Equity Equity

Industrial classification of investments Equity Fund - 1 Healthcare-Products - 1 Healthcare-Services - 1 Healthcare-Services - 2 Pharmaceuticals - 1

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment USD 12 053 781 3 495 117 5 644 765 1 712 316 10 453 958 33 359 937

Unrealised appreciation/ (depreciation) USD (334 129) (441 149) (674) (28 869) 196 249 (608 572)

Merrill Lynch Investment Solutions

105

Merrill Lynch Investment Solutions – CCI Healthcare Long-Short UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD) 3) Morgan Stanley Capital Services Inc. Commitment of USD 12 795 786 for the short portfolio composed of 2 equities Market value of USD (485 885) detailed as follows: – unrealised depreciation on short portfolio: USD (401 636) – realised result: USD (84 249) corresponding to the realised loss on securities which is still held at the counterparty (monthly reset) The below table is composed of short positions:

Underlying nature Equity Equity

Commitment USD 6 804 536 5 991 250 12 795 786

Industrial classification of investments Healthcare-Products - 1 Healthcare-Products - 2

Unrealised appreciation/ (depreciation) USD (353 220) (48 416) (401 636)

The total market value of the contracts for difference swaps is USD (3 071 234).

The accompanying notes form an integral part of these financial statements. Audited annual report

106

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Zweig-DiMenna US Long-Short Equity UCITS Fund Schedule of Investments as at March 31, 2013 (expressed in USD) Nominal value/ Quantity

Description

Quotation Currency

Cost USD

Market value USD

% of net assets

Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.) Bonds 88 430 53 000 50 000 100 000

BBVA International Preferred S.A. Unipersonal FRN Perpetual DryShips, Inc. 5% 01/12/2014 Hypo Real Estate International Trust I FRN Perpetual Rede Ferroviaria Nacional E.P. 4% 16/03/2015 Total Bonds

USD USD EUR EUR

67 763 43 697 22 108 119 976 253 544

77 819 45 679 25 040 122 644 271 182

0.74 0.43 0.24 1.16 2.57

ACE Ltd. Advance Auto Parts, Inc. Aegerion Pharmaceuticals, Inc. Air Lease Corp. Allergan, Inc. Allstate Corp. Amazon.com, Inc. American Axle & Manufacturing Hldg., Inc. American International Group, Inc. Anadarko Petroleum Corp. Applied Materials, Inc. Aruba Networks, Inc. Ascena Retail Group, Inc. athenahealth, Inc. Autodesk, Inc. Best Buy Co, Inc. Blackstone Group LP Cardinal Health, Inc. Chicago Bridge & Iron Co. NV Citigroup, Inc. Colony Financial, Inc. Comcast Corp. - A Comcast Corp. - Special A Constellation Brands, Inc. - A Costco Wholesale Corp. E2open, Inc. Electronic Arts, Inc. EOG Resources, Inc. EQT Corp. Equinix, Inc. ExactTarget, Inc. Fortinet, Inc. Gap, Inc. General Electric Co. Genworth Financial, Inc. - A Glencore International Plc.

USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD GBP

28 499 83 132 31 921 77 381 122 788 1 798 119 968 2 226 47 230 128 460 50 655 27 055 38 468 70 276 25 003 33 423 48 269 73 530 75 271 75 707 91 139 46 090 44 671 44 103 109 601 4 856 61 707 121 751 64 469 122 132 49 725 23 656 43 281 128 757 121 761 31 408

33 364 88 436 37 718 104 233 139 872 1 963 130 580 2 594 54 348 152 950 50 011 26 224 41 181 105 191 25 156 34 111 51 527 67 841 85 698 81 977 101 121 54 193 50 317 46 211 120 753 5 484 60 888 138 444 68 089 156 608 50 031 24 272 63 366 127 160 122 300 29 361

0.32 0.84 0.36 0.99 1.33 0.02 1.24 0.02 0.52 1.45 0.47 0.25 0.39 1.00 0.24 0.32 0.49 0.64 0.81 0.78 0.96 0.51 0.48 0.44 1.14 0.05 0.58 1.31 0.65 1.48 0.47 0.23 0.60 1.21 1.16 0.28

Shares 375 1 070 935 3 555 1 253 40 490 190 1 400 1 749 3 710 1 060 2 220 1 084 610 1 540 2 605 1 630 1 380 1 853 4 555 1 290 1 270 970 1 138 275 3 440 1 081 1 005 724 2 150 1 025 1 790 5 500 12 230 5 430

The accompanying notes form an integral part of these financial statements. Audited annual report

Merrill Lynch Investment Solutions

107

Merrill Lynch Investment Solutions – Zweig-DiMenna US Long-Short Equity UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD) Nominal value/ Quantity

Description

Quotation Currency

Cost USD

Market value USD

% of net assets

Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.) Shares (cont.) 180 104 22 270 8 015 785 5 030 1 730 1 500 2 680 547 45 470 3 495 4 440 8 000 2 690 1 680 406 1 070 3 235 180 125 245 690 3 942 219 2 535 140 2 730 1 450 2 275 1 915 275 1 085 2 675 1 150 242 1 821 975 5 180 3 915 362 1 175

Goldman Sachs Group, Inc. Google, Inc. - A Grupo Modelo SAB de CV - C Health Management Associates, Inc. Herbalife Ltd. Hertz Global Hldg., Inc. Home Depot, Inc. Host Hotels & Resorts, Inc. Imax Corp. International Business Machines Corp. International Paper Co. Invesco Mortgage Capital, Inc. Japan Tobacco, Inc. KB Home KKR & Co. LP Las Vegas Sands Corp. Lincoln National Corp. LinkedIn Corp. - A LyondellBasell Industries NV - A M/I Homes, Inc. Mastercard, Inc. - A MetroCorp Bancshares, Inc. MFA Financial, Inc. Monsanto Co. Morgan Stanley Motors Liquidation Co. GUC Trust National Financial Partners Corp. NetSuite, Inc. Newcastle Investment Corp. Noble Corp. Och-Ziff Capital Management Group LLC - A Ocwen Financial Corp. Peabody Energy Corp. Penn National Gaming, Inc. Pentair Ltd. Perrigo Co. priceline.com, Inc. Procter & Gamble Co. QUALCOMM, Inc. Quanta Services, Inc. Radian Group, Inc. Ralph Lauren Corp. Realogy Hldg. Corp.

USD USD MXN USD USD USD USD USD USD USD USD USD JPY USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD

26 611 75 539 200 365 91 114 30 827 100 007 110 678 24 925 62 401 111 940 1 168 9 019 102 114 88 542 120 138 139 738 43 892 62 218 63 834 59 633 93 756 1 251 1 718 62 215 86 643 0 47 495 10 888 29 775 53 269 18 278 68 906 5 860 48 315 125 366 127 883 157 151 132 590 64 839 134 415 34 720 62 253 41 712

26 487 82 579 202 050 103 153 29 398 111 968 120 719 26 235 71 636 116 675 2 096 10 053 111 705 96 659 154 560 151 581 54 785 71 480 67 720 79 096 97 403 1 261 2 283 72 885 86 645 5 913 56 860 11 208 30 494 55 318 21 271 72 617 5 816 59 057 141 106 136 540 166 479 140 326 65 276 148 044 41 930 61 290 57 387

0.25 0.78 1.92 0.98 0.28 1.06 1.14 0.25 0.68 1.11 0.02 0.10 1.06 0.92 1.47 1.44 0.52 0.68 0.64 0.75 0.92 0.01 0.02 0.69 0.82 0.06 0.54 0.11 0.29 0.52 0.20 0.69 0.05 0.56 1.34 1.29 1.58 1.33 0.62 1.40 0.40 0.58 0.54

The accompanying notes form an integral part of these financial statements. Audited annual report

108

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Zweig-DiMenna US Long-Short Equity UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD) Nominal value/ Quantity

Description

Quotation Currency

Cost USD

Market value USD

% of net assets

Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.) Shares (cont.) 2 970 330 550 550 27 160 1 355 4 970 275 1 725 925 2 827 4 465 6 155 1 700 2 555 710 428 1 340 2 406 720 1 755 4 500 1 932 705 650 3 977

Red Hat, Inc. RenaissanceRe Hldg. Ltd. Ross Stores, Inc. SABMiller Plc. Sany Heavy Equipment International Hldg. Co. Ltd. Schlumberger Ltd. Sealed Air Corp. Sensata Technologies Hldg. NV ServiceNow, Inc. Splunk, Inc. Starwood Hotels & Resorts Worldwide, Inc. Starwood Property Trust, Inc. Take-Two Interactive Software, Inc. Teradyne, Inc. Terex Corp. Thermo Fisher Scientific, Inc. TransDigm Group, Inc. Triumph Group, Inc. Tronox Ltd. - A Valeant Pharmaceuticals International, Inc. Valero Energy Corp. Virgin Media, Inc. Visa, Inc. Walter Energy, Inc. Weyerhaeuser Co. Williams Co., Inc. Total Shares

USD USD USD GBP HKD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD

143 819 28 022 31 902 27 695 14 443 96 058 113 077 9 113 59 109 31 264 172 009 115 448 82 278 28 488 78 461 53 436 60 120 86 218 45 601 53 248 55 077 219 419 302 703 23 514 20 139 126 059 7 280 888

150 163 30 357 33 341 28 930 12 561 101 476 119 827 9 039 62 445 37 028 180 165 123 948 99 403 27 574 87 943 54 308 65 450 105 190 47 663 54 014 79 835 220 365 328 131 20 093 20 397 148 978 8 010 241

1.42 0.29 0.32 0.27 0.12 0.96 1.14 0.09 0.59 0.35 1.71 1.17 0.94 0.26 0.83 0.51 0.62 1.00 0.45 0.51 0.76 2.09 3.11 0.19 0.19 1.41 75.94

Citigroup, Inc. Call Strike Price: 106.1 04/01/2019 Citigroup, Inc. Call Strike Price: 178.5 28/10/2018 JPMorgan Chase & Co. Call Strike Price: 42.42 28/10/2018 Kinder Morgan, Inc. Call Strike Price: 40 25/05/2017 Total Warrants

USD USD USD USD

23 645 13 595 24 162 78 474 139 876

11 888 4 003 23 513 110 561 149 965

0.11 0.04 0.22 1.05 1.42

USD USD USD USD USD USD

953 977 1 065 1 247 1 252 1 399

1 091 1 230 1 316 1 460 1 482 1 588

0.01 0.01 0.01 0.01 0.02 0.02

6 893

8 167

0.08

Warrants 23 495 53 370 1 650 21 510

Supranationals, Governments and Local Public Authorities, Debt Instruments 1 000 1 000 1 000 1 000 1 000 1 000

United States Treasury Note/Bond 2.625% 15/11/2020 United States Treasury Note/Bond 4.25% 15/11/2040 United States Treasury Note/Bond 4.75% 15/02/2037 United States Treasury Note/Bond 6.125% 15/11/2027 United States Treasury Note/Bond 6.125% 15/08/2029 United States Treasury Note/Bond 7.625% 15/02/2025 Total Supranationals, Governments and Local Public Authorities, Debt Instruments

The accompanying notes form an integral part of these financial statements. Audited annual report

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109

Merrill Lynch Investment Solutions – Zweig-DiMenna US Long-Short Equity UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD) Nominal value/ Quantity

Description

Quotation Currency

Cost USD

Market value USD

% of net assets

Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.) Other transferable securities Shares 60 Valeant Pharmaceuticals International, Inc. Total Shares Bonds 215 000 Motors Liquidation Co. 8.375% 15/07/2033 (a) Total Bonds Total investments

USD

4 466 4 466

3 795 3 795

0.03 0.03

USD

0 0 7 685 667

0 0 8 443 350

0.00 0.00 80.04

(a) This security is fair valued. See Notes 2.2.6 and 10.

The accompanying notes form an integral part of these financial statements. Audited annual report

110

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Zweig-DiMenna US Long-Short Equity UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD) Industrial classification of investments (as a percentage of net assets at March 31, 2013) Internet Diversified Financial Services Software Retail Oil & Gas Pharmaceuticals Commercial Services Insurance Banks Lodging REITS Beverages Miscellaneous Manufactures Pipelines Telecommunications Private Equity Chemicals Home Builders Aerospace/Defense Transportation Semiconductors Computers Cosmetics/Personal Care Electronics Packaging & Containers Agriculture Media Healthcare-Services Oil & Gas Services Machinery-Construction & Mining Engineering & Construction Apparel Entertainment Real Estate Biotechnology Mining Coal Auto Manufacturers/Parts & Equipment Sovereign Forest Products & Paper

% 6.58 5.53 4.93 4.75 4.69 4.08 3.38 3.23 3.21 3.15 2.98 2.63 2.55 2.46 2.34 1.96 1.78 1.67 1.62 1.59 1.35 1.34 1.33 1.28 1.14 1.06 0.99 0.98 0.96 0.95 0.81 0.58 0.56 0.54 0.36 0.28 0.24 0.08 0.08 0.02 80.04

The accompanying notes form an integral part of these financial statements. Audited annual report

Geographical classification of investments (as a percentage of net assets as at March 31, 2013) United States Switzerland Mexico Canada Portugal Japan Spain Netherlands Marshall Island Bermuda Cayman Islands United Kingdom China

% 69.39 2.46 1.92 1.19 1.16 1.06 0.74 0.73 0.43 0.29 0.28 0.27 0.12 80.04

Merrill Lynch Investment Solutions

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Merrill Lynch Investment Solutions – Zweig-DiMenna US Long-Short Equity UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying Currency nature contract Futures contracts Currency USD Currency USD Currency USD Index USD Interest rate JPY

Maturity Date

Number of Number of contracts contracts bought sold

Commitment USD

Unrealised depreciation USD

Details

Market

British Pound Euro FX Currency Japanese Yen S&P 500 Index 10 Year Japan Government Bond FTSE

Chicago Mercantile Exchange Chicago Mercantile Exchange Chicago Mercantile Exchange Chicago Mercantile Exchange

17/06/2013 17/06/2013 17/06/2013 20/06/2013

6 2 18 7

568 688 320 575 2 392 425 2 734 725

(6 954) (1 026) (37 545) (27 322)

Tokyo Stock Exchange

11/06/2013

1

1 551 372 7 567 785

(11 699) (84 546)

Total Futures contracts

Purchase Forward foreign exchange contracts EUR 1 997 GBP 978 USD 25 USD 11 Total Forward foreign exchange contracts

Short/ Long Currency Options Long USD Short USD Long USD Short USD Long USD Long USD Long USD Total Options

Description Apple, Inc. Apple, Inc. Infosys Technologies iShares Russell 2000 Index iShares Russell 2000 Index Red Hat, Inc. Red Hat, Inc.

Maturity date

Sale USD USD EUR GBP

2 590 1 480 19 7

30/04/2013 30/04/2013 30/04/2013 30/04/2013

Counterparty State Street Capital Markets LLC State Street Capital Markets LLC State Street Capital Markets LLC State Street Capital Markets LLC

Put/ Call

Strike Price

Maturity

Quantity

Call Put Put Put Put Call Call

455 390 50 85 90 60 55

20/07/2013 20/07/2013 20/07/2013 28/06/2013 28/06/2013 22/06/2013 22/06/2013

4 (2) 13 (30) 30 17 45

Unrealised appreciation/ (depreciation) USD (25) 5 – – (20)

Market value USD

Commitment USD

8 900 (1 900) 3 088 (2 460) 5 100 1 020 6 975 20 723

– 78 000 – 255 000 – – – 333 000

Merrill Lynch Professional Clearing is the counterparty to these options.

The accompanying notes form an integral part of these financial statements. Audited annual report

112

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Zweig-DiMenna US Long-Short Equity UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD) Contracts for difference swaps The Sub-Fund Merrill Lynch Investment Solutions – Zweig-DiMenna US Long-Short Equity UCITS Fund entered into contracts for difference swaps with two counterparties (Merrill Lynch International Bank Ltd and Morgan Stanley Capital Services Inc.) with the following details: 1) Merrill Lynch International Bank Ltd Commitment of USD 1 905 861 for the short portfolio composed of 52 equities Commitment of USD 2 026 683 for the long portfolio composed of 17 equities Market value of USD 35 721 detailed as follows: – unrealised depreciation on short portfolio: USD (17 674) – unrealised appreciation on long portfolio: USD 61 362 – realised result: USD (7 967) corresponding to the realised loss on securities which is still held at the counterparty (monthly reset) The below table is composed of long and short positions:

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Aerospace/Defense - 1 Apparel - 1 Apparel - 2 Beverages - 1 Biotechnology - 1 Building Materials - 1 Chemicals - 1 Chemicals - 2 Commercial Services - 1 Commercial Services - 2 Commercial Services - 3 Commercial Services - 4 Commercial Services - 5 Computers - 1 Computers - 2 Computers - 3 Computers - 4 Distribution/Wholesale - 1 Distribution/Wholesale - 2 Diversified Financial Services - 1 Diversified Financial Services - 2 Diversified Financial Services - 3 Electronics - 1 Electronics - 2 Energy-Alternate Sources - 1 Entertainment - 1

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment USD 14 143 679 36 827 31 502 73 251 7 271 42 729 27 530 40 970 39 494 31 651 14 814 452 115 084 67 387 50 926 33 643 20 119 10 143 146 705 12 948 10 311 24 284 20 373 2 249 45 787

Unrealised appreciation/ (depreciation) USD (1) (4 443) (1 573) (4 958) 4 173 39 (994) (188) (1 199) 1 146 (2 038) (82) (29) 503 129 (4 952) (469) 989 648 22 775 (121) (487) 1 283 (225) 1 186 (1 464)

Merrill Lynch Investment Solutions

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Merrill Lynch Investment Solutions – Zweig-DiMenna US Long-Short Equity UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Equity Fund - 1 Healthcare-Products - 1 Healthcare-Products - 2 Healthcare-Products - 3 Home Builders - 1 Home Builders - 2 Home Builders - 3 Insurance - 1 Insurance - 2 Internet - 1 Internet - 2 Iron/Steel - 1 Machinery-Diversified - 1 Machinery-Diversified - 2 Media - 1 Media - 2 Media - 3 Metal Fabricate/Hardware - 1 Mining - 1 Mining - 2 Mining - 3 Miscellaneous Manufactures - 1 Oil & Gas - 1 Pharmaceuticals - 1 REITS - 1 Retail - 1 Retail - 2 Retail - 3 Retail - 4 Retail - 5 Retail - 6 Retail - 7 Semiconductors - 1 Software - 1 Software - 2 Software - 3 Software - 4 Software - 5 Telecommunications - 1 Telecommunications - 2 Telecommunications - 3 Telecommunications - 4 Transportation - 1

Commitment USD 167 942 32 150 27 764 – 150 539 95 128 2 394 186 408 52 658 81 728 8 563 45 045 101 854 25 572 82 575 57 649 2 398 8 055 113 293 92 657 79 554 15 925 107 878 185 846 4 547 186 640 117 622 45 899 42 232 41 412 30 369 21 270 10 732 155 725 82 430 73 919 15 986 5 341 142 600 101 078 41 098 7 609 32 317 3 932 544

Unrealised appreciation/ (depreciation) USD (1 207) 1 101 4 084 – 8 532 (457) 37 7 107 3 714 (5 043) (185) 2 976 (3 107) 753 (832) (748) (104) (686) (9 130) (2 773) 2 066 187 8 091 12 224 213 8 886 4 419 280 972 (2 582) 560 (1 669) (1 277) (810) 1 719 (6 968) (264) (406) 1 096 (3 426) 4 471 (116) 2 342 43 688

The accompanying notes form an integral part of these financial statements. Audited annual report

114

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Zweig-DiMenna US Long-Short Equity UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD) 2) Morgan Stanley Capital Services Inc. Commitment of USD 75 627 for the short portfolio composed of 3 equities and 1 index Commitment of USD 442 748 for the long portfolio composed of 2 equities and 2 indices Market value of USD 1 731 detailed as follows: – unrealised appreciation on short portfolio: USD 291 – unrealised depreciation on long portfolio: USD (868) – realised result: USD 2 308 corresponding to the realised gain on securities which is still held at the counterparty (monthly reset) The below table is composed of long and short positions:

Underlying nature Equity Equity Equity Equity Equity Index Index Index

Industrial classification of investments Auto Manufacturers - 1 Distribution/Wholesale - 1 Electronics - 1 Insurance - 1 REITS - 1 Equity Custom Basket - 1 Equity Custom Basket - 2 Equity Custom Basket - 3

The total market value of the contracts for difference swaps is USD 37 452.

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment USD 54 238 4 135 13 828 17 283 146 916 134 654 106 940 40 381 518 375

Unrealised appreciation/ (depreciation) USD 249 329 1 133 (974) 4 540 2 853 (8 510) (197) (577)

Merrill Lynch Investment Solutions

115

Merrill Lynch Investment Solutions – Theorema European Equity Long-Short UCITS Fund Schedule of Investments as at March 31, 2013 (expressed in EUR) Nominal value/ Quantity

Quotation Currency

Description

Market value EUR

Cost EUR

% of net assets

Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market Shares 45 828

Ocean Rig UDW, Inc. Total Shares

USD

537 712 537 712

574 947 574 947

0.75 0.75

EUR

3 000 000

2 999 955

3.93

3 000 000 3 537 712

2 999 955 3 574 902

3.93 4.68

Supranationals, Governments and Local Public Authorities, Debt Instruments 3 000 000

France Treasury Bill BTF 0% 18/04/2013 Total Supranationals, Governments and Local Public Authorities, Debt Instruments Total investments

Industrial classification of investments (as a percentage of net assets as at March 31, 2013) Sovereign Oil & Gas

Underlying Currency nature contract Details Futures contracts Index EUR Euro Stoxx 50 Index Total Futures contracts

Purchase Forward foreign exchange contracts USD 1 345 000 GBP 533 857 USD 2 347 Total Forward foreign exchange contracts

% 3.93 0.75 4.68

Geographical classification of investments (as a percentage of net assets as at March 31, 2013) France Cyprus

Maturity Date

Number of Number of contracts contracts bought sold

21/06/2013

244

Market Eurex Deutschland

Maturity date

Sale RUB EUR EUR

41 329 160 622 736 1 810

% 3.93 0.75 4.68

Commitment EUR

Unrealised depreciation EUR

6 231 760 6 231 760

221 500 221 500

Counterparty

04/04/2013 Merrill Lynch International 30/04/2013 State Street Capital Markets LLC 30/04/2013 State Street Capital Markets LLC

Unrealised appreciation EUR 12 173 8 344 18 20 535

The accompanying notes form an integral part of these financial statements. Audited annual report

116

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Theorema European Equity Long-Short UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR) Contracts for difference swaps The Sub-Fund Merrill Lynch Investment Solutions – Theorema European Equity Long-Short UCITS Fund entered into contracts for difference swaps with one counterparty (Merrill Lynch International Bank Ltd) with the following details: 1) Merrill Lynch International Bank Ltd Commitment of EUR 51 048 384 for the short portfolio composed of 38 equities and 6 indices Commitment of EUR 96 880 928 for the long portfolio composed of 57 equities Market value of EUR 8 403 827 detailed as follows: – unrealised appreciation on short portfolio: EUR 507 691 – unrealised appreciation on long portfolio: EUR 7 547 345 – realised result: EUR 348 791 corresponding to the realised gain on securities which is still held at the counterparty (monthly reset) The below table is composed of long and short positions:

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Advertising - 1 Advertising - 2 Advertising - 3 Aerospace/Defense - 1 Aerospace/Defense - 2 Aerospace/Defense - 3 Airlines - 1 Airlines - 2 Apparel - 1 Auto Manufacturers - 1 Auto Manufacturers - 2 Auto Manufacturers - 3 Auto Parts & Equipment - 1 Auto Parts & Equipment - 2 Banks - 1 Banks - 2 Banks - 3 Banks - 4 Banks - 5 Banks - 6 Beverages - 1 Beverages - 2 Beverages - 3 Beverages - 4 Beverages - 5 Beverages - 6 Building Materials - 1 Building Materials - 2 Chemicals - 1

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment EUR 1 757 930 1 413 818 489 953 4 031 013 1 334 831 1 255 682 3 244 011 1 559 853 583 682 1 390 286 1 356 297 1 272 436 1 087 913 1 004 392 1 156 596 1 149 800 1 104 692 331 715 310 547 237 056 5 734 864 3 727 773 2 500 519 1 473 217 1 272 462 1 219 868 1 423 139 1 167 922 4 086 634

Unrealised appreciation/ (depreciation) EUR 52 500 121 846 7 740 595 950 195 538 24 519 524 960 483 873 92 594 71 833 (85 519) (26 787) (96 680) (58 973) (53 562) 26 269 (71 066) 29 052 44 671 22 474 987 760 346 261 397 287 (12 867) (59 604) 9 617 (37 090) 72 609 691 623

Merrill Lynch Investment Solutions

117

Merrill Lynch Investment Solutions – Theorema European Equity Long-Short UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Chemicals - 2 Chemicals - 3 Chemicals - 4 Chemicals - 5 Commercial Services - 1 Commercial Services - 2 Commercial Services - 3 Electric - 1 Engineering & Construction - 1 Engineering & Construction - 2 Engineering & Construction - 3 Engineering & Construction - 4 Engineering & Construction - 5 Engineering & Construction - 6 Engineering & Construction - 7 Food - 1 Food - 2 Food - 3 Food - 4 Food - 5 Food - 6 Forest Products & Paper - 1 Home Builders - 1 Household Products/Wares - 1 Insurance - 1 Insurance - 2 Insurance - 3 Insurance - 4 Insurance - 5 Insurance - 6 Insurance - 7 Internet - 1 Lodging - 1 Machinery-Construction & Mining - 1 Machinery-Diversified - 1 Media - 1 Media - 2 Media - 3 Media - 4 Metal Fabricate/Hardware - 1 Mining - 1 Mining - 2 Mining - 3 Miscellaneous Manufactures - 1 Oil & Gas - 1

Commitment EUR 2 649 601 955 018 783 221 504 100 1 238 306 1 161 020 984 146 1 163 164 3 540 039 2 935 623 1 158 278 637 703 588 360 449 035 251 547 1 455 045 1 450 949 1 174 239 1 124 341 833 431 788 557 231 013 566 446 3 555 694 1 339 620 873 874 643 857 570 794 539 121 485 924 119 307 1 574 162 1 551 949 874 604 480 812 4 171 601 1 760 353 1 480 525 798 367 380 844 882 265 862 465 687 853 148 048 2 055 151

Unrealised appreciation/ (depreciation) EUR 153 137 38 899 96 240 (58 911) (162 054) 19 029 68 515 49 251 257 555 516 934 271 718 (17 253) 98 255 15 955 266 627 (77 141) 69 579 (13 205) (37 777) (31 276) (6 880) 4 943 97 855 422 910 108 188 41 654 46 153 (8 265) (2 491) 54 370 (1 623) (296 119) 95 496 35 750 (32 755) 867 517 (8 082) 82 271 79 960 (3 901) 12 808 (7 299) 32 332 (26 946) 22 427

The accompanying notes form an integral part of these financial statements. Audited annual report

118

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Theorema European Equity Long-Short UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Index Index Index Index Index Index

Industrial classification of investments Oil & Gas - 2 Oil & Gas - 3 Oil & Gas - 4 Oil & Gas Services - 1 Pharmaceuticals - 1 Pharmaceuticals - 2 Retail - 1 Retail - 2 Retail - 3 Retail - 4 Telecommunications - 1 Telecommunications - 2 Telecommunications - 3 Telecommunications - 4 Telecommunications - 5 Telecommunications - 6 Transportation - 1 Transportation - 2 Transportation - 3 Transportation - 4 Water - 1 Future Index - 1 Future Index - 2 Future Index - 3 Future Index - 4 Future Index - 5 Future Index - 6

The total market value of the contracts for difference swaps is EUR 8 403 827.

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment EUR 1 769 490 1 249 762 1 164 173 1 278 445 908 997 544 732 2 110 422 1 309 447 1 132 431 886 283 4 515 480 3 125 906 1 443 764 1 360 063 1 131 889 832 790 1 269 600 936 367 494 178 480 454 730 216 9 759 078 2 251 510 1 762 306 1 722 269 1 052 349 1 567 638 147 929 312

Unrealised appreciation/ (depreciation) EUR 4 764 24 212 (362) (58 589) 183 247 (1 977) (43 108) 215 100 (16 028) (25 370) 308 083 (144 298) 155 392 143 899 (170 697) 37 597 44 799 30 166 (25 219) (25 639) (17 728) (202 239) 20 455 (28 623) 11 741 42 806 161 474 8 055 036

Merrill Lynch Investment Solutions

119

Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund Schedule of Investments as at March 31, 2013 (expressed in EUR) Nominal value/ Quantity

Description

Quotation Currency

Cost EUR

Market value EUR

% of net assets

Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.) Shares (cont.) 27 211 45 000 52 000 150 000 34 000 314 000 2 000 000 3 030 000 270 000 364 000 320 000 965 000 66 000 104 000 6 800 14 000 2 310 000 730 000 20 000 292 000 300 205 000 3 475 000 110 25 000 340 000 9 750 15 000 6 000 840 000 23 000 12 000 24 310 18 000 102 000 98 000 116 000 122 000 1 771 000 3 500 8 000 16 500

7 Days Group Hldg. Ltd. - ADR 77 Bank Ltd. Amada Co. Ltd. Aozora Bank Ltd. Arnest One Corp. Beijing Enterprises Water Group Ltd. Bekasi Fajar Industrial Estate Tbk PT China Animal Healthcare Ltd. China Everbright International Ltd. China Forestry Hldg. Co. Ltd. (a) China Longyuan Power Group Corp. - H China Modern Dairy Hldg. Ltd. China Resources Enterprise Ltd. China Unicom Hong Kong Ltd. Chugai Pharmaceutical Co. Ltd. Coca-Cola Central Japan Co. Ltd. CP Pokphand Co. Ltd. CPMC Hldg. Ltd. Credit Saison Co. Ltd. CSG Hldg. Co. Ltd. - B Dai-ichi Life Insurance Co. Ltd. DRB-Hicom Bhd Dyandra Media International Tbk PT Fuji Media Holdings, Inc. FUJIFILM Hldg. Corp. Global Logistic Properties Ltd. GT Capital Hldg., Inc. Guoco Group Ltd. Hajime Construction Co. Ltd. Hengdeli Hldg. Ltd. Hulic Co. Ltd. Iida Home Max Ines Corp. Japan Tobacco, Inc. JX Hldg., Inc. Korea Exchange Bank Leopalace21 Corp. Mitsubishi UFJ Financial Group, Inc. Modern Internasional Tbk PT Nidec Corp. Nikon Corp. Nippon Telegraph & Telephone Corp.

USD JPY JPY JPY JPY HKD IDR SGD HKD HKD HKD HKD HKD HKD JPY JPY HKD HKD JPY HKD JPY MYR IDR JPY JPY SGD PHP HKD JPY HKD JPY JPY JPY JPY JPY KRW JPY JPY IDR JPY JPY JPY

247 574 137 043 278 078 301 232 442 930 77 022 107 504 521 446 102 355 118 350 229 105 189 836 154 824 111 730 107 607 140 833 220 144 444 613 321 649 154 878 312 886 140 120 101 376 145 158 383 013 524 551 115 425 135 470 167 069 205 376 145 278 116 744 120 265 424 332 455 613 517 012 269 336 549 860 92 663 161 638 139 738 533 471

284 591 188 974 267 471 329 244 524 091 72 767 155 471 494 522 150 873 64 562 226 003 250 737 152 287 108 507 117 829 143 791 199 297 452 588 388 301 169 318 311 602 133 016 110 001 148 512 383 911 559 178 136 378 142 656 272 341 182 865 147 071 169 666 143 769 448 021 445 238 506 226 388 169 569 928 141 927 162 924 146 110 560 336

0.96 0.63 0.90 1.10 1.76 0.24 0.52 1.66 0.51 0.22 0.76 0.84 0.51 0.36 0.40 0.48 0.67 1.52 1.30 0.57 1.05 0.45 0.37 0.50 1.29 1.88 0.46 0.48 0.91 0.61 0.49 0.57 0.48 1.50 1.49 1.70 1.30 1.91 0.48 0.55 0.49 1.88

(a) This security is fair valued. See Notes 2.2.6 and 10.

The accompanying notes form an integral part of these financial statements. Audited annual report

120

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR) Nominal value/ Quantity

Description

Quotation Currency

Cost EUR

Market value EUR

% of net assets

Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.) Shares (cont.) 36 000 9 000 39 000 360 4 000 30 000 32 000 59 000 152 275 56 000 63 27 000 10 100 87 000 39 500 26 000

Nissan Motor Co. Ltd. Nomura Real Estate Hldg., Inc. Nomura Research Institute Ltd. NTT DoCoMo, Inc. Olympus Corp. ORIX Corp. PanaHome Corp. Sega Sammy Hldg., Inc. Sprint Nextel Corp. Sumitomo Corp. Tact Home Co. Ltd. Tokyo Tatemono Co. Ltd. Touei Housing Corp. Ube Industries Ltd Unipres Corp. Yamaha Motor Co. Ltd. Total Shares

JPY JPY JPY JPY JPY JPY JPY JPY USD JPY JPY JPY JPY JPY JPY JPY

282 245 151 936 617 272 403 590 52 798 295 175 154 742 820 644 672 114 552 333 61 165 90 290 110 694 140 543 629 848 269 667 15 470 203

270 452 156 546 784 322 416 264 73 684 297 190 177 850 921 180 736 413 548 724 77 751 149 390 133 266 133 313 689 682 272 639 16 789 735

0.91 0.53 2.63 1.40 0.25 1.00 0.60 3.09 2.47 1.84 0.26 0.50 0.45 0.45 2.32 0.92 56.37

USD

1 543 997

1 557 151

5.23

1 543 997 17 014 200

1 557 151 18 346 886

5.23 61.60

Supranationals, Governments and Local Public Authorities, Debt Instruments 2 000 000

United States Treasury Bill 0% 25/07/2013 Total Supranationals, Governments and Local Public Authorities, Debt Instruments Total investments

The accompanying notes form an integral part of these financial statements. Audited annual report

Merrill Lynch Investment Solutions

121

Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR) Industrial classification of investments (as a percentage of net assets as at March 31, 2013) Real Estate Telecommunications Banks Sovereign Leisure Time Auto Manufacturers/Parts & Equipment Diversified Financial Services Software Miscellaneous Manufactures Lodging Agriculture Pharmaceuticals Distribution/Wholesale Packaging & Containers Home Builders Oil & Gas Retail Insurance Machinery-Diversified Media Food Energy-Alternate Sources Environmental Control Building Materials Electrical Components & Equipment Beverages Computers Investment Companies Chemicals Forest Products & Paper

Underlying Currency nature contract Details Futures contracts Index AUD ASX SPI 200 Index Index HKD Hang Seng Index Index JPY Nikkei 225 Index Index JPY Topix Index Total Futures contracts

% 6.96 6.11 5.34 5.23 4.01 3.68 2.78 2.63 2.51 2.26 2.17 2.06 1.84 1.52 1.51 1.49 1.12 1.05 0.90 0.87 0.84 0.76 0.75 0.57 0.55 0.48 0.48 0.46 0.45 0.22 61.60

Market Australian SE Hong Kong Futures Exchange Osaka Securities Exchange Tokyo Stock Exchange

Geographical classification of investments (as a percentage of net assets as at March 31, 2013) Japan United States China Hong Kong Singapore South Korea Indonesia Philippines Malaysia

Number of Number of Maturity contracts contracts Commitment Date bought sold EUR 20/06/2013 29/04/2013 14/06/2013 14/06/2013

6 8 30 36

604 900 895 504 3 081 230 3 102 600 7 684 234

% 38.13 7.70 6.53 3.38 1.88 1.70 1.37 0.46 0.45 61.60

Unrealised appreciation/ (depreciation) EUR 10 595 (6 245) (45 208) (48 562) (89 420)

The accompanying notes form an integral part of these financial statements. Audited annual report

122

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR)

Purchase Forward foreign exchange contracts AUD 737 000 EUR 3 519 309 EUR 11 084 947 EUR 1 055 425 EUR 6 188 918 GBP 8 491 JPY 27 000 000 MYR 5 700 000 TWD 30 000 000 USD 26 390 359 USD 519 793 USD 661 958 USD 1 930 134 USD 451 420 Total Forward foreign exchange contracts

Short/ Long Options Long

Currency JPY

Long

HKD

Short

HKD

Description Fast Retailing (Merrill Lynch International) Hang Seng Index (Merrill Lynch International) Hang Seng Index (Merrill Lynch International)

Sale EUR HKD JPY SGD USD EUR EUR USD USD EUR IDR KRW MYR TWD

585 640 35 300 000 1 379 600 000 1 710 000 8 052 563 9 861 219 843 1 817 138 1 012 061 20 284 011 5 100 000 000 731 000 000 6 050 000 13 400 000

Counterparty

19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013

Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International

Quantity

Commitment EUR

13/06/2013

1 000

10 957

–

22 200

29/04/2013

1 250

41 254

–

21 200

29/04/2013

(1 250)

(10 387) 41 824

2 658 504 2 658 504

Strike Price

Maturity

Put

28 000

Put Put

Merrill Lynch International is the counterparty to these options.

The accompanying notes form an integral part of these financial statements.

8 946 (21 376) (341 961) (17 562) (78 598) 170 3 792 10 897 (5 602) 256 283 121 5 949 (10 464) 2 008 (187 397)

Market value EUR

Put/ Call

Total Options

Audited annual report

Maturity date

Unrealised appreciation/ (depreciation) EUR

Merrill Lynch Investment Solutions

123

Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR) Contracts for difference swaps The Sub-Fund Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund entered into contracts for difference swaps with eight counterparties (Citibank NA, Credit Suisse Securities (Europe) Limited, Deutsche Bank AG, Goldman Sachs International, JPMorgan Chase Bank NA, Merrill Lynch International Bank Ltd, Morgan Stanley Capital Services Inc. and UBS AG) with the following details: 1) Citibank NA Commitment of EUR 137 351 for the short portfolio composed of 1 equity Commitment of EUR 3 122 145 for the long portfolio composed of 4 equities Market value of EUR (232 489) detailed as follows: – unrealised appreciation on short portfolio: EUR 3 974 – unrealised depreciation on long portfolio: EUR (170 209) – realised result: EUR (66 254) corresponding to the realised loss on securities which is still held at the counterparty (monthly reset) The below table is composed of long and short positions:

Underlying nature Equity Equity Equity Equity Equity

Industrial classification of investments Building Materials - 1 Insurance - 1 Lodging - 1 Media - 1 Oil & Gas - 1

Commitment EUR 137 351 546 351 960 631 1 114 215 500 948 3 259 496

Unrealised appreciation/ (depreciation) EUR 3 975 (50 838) (102 492) (1 919) (14 961) (166 235)

2) Credit Suisse Securities (Europe) Limited Commitment of EUR 948 069 for the short portfolio composed of 4 equities Commitment of EUR 1 868 048 for the long portfolio composed of 7 equities Market value of EUR (111 922) detailed as follows: – unrealised depreciation on short portfolio: EUR (148 419) – unrealised appreciation on long portfolio: EUR 33 722 – realised result: EUR 2 775 corresponding to the realised gain on securities which is still held at the counterparty (monthly reset) The below table is composed of long and short positions:

Underlying nature Equity Equity Equity Equity Equity

Industrial classification of investments Banks - 1 Diversified Financial Services - 1 Electronics - 1 Electronics - 2 Engineering & Construction - 1

Commitment EUR 390 868 222 669 215 355 50 784 459 261

Unrealised appreciation/ (depreciation) EUR 45 766 (34 077) (7 715) 376 (107 003)

The accompanying notes form an integral part of these financial statements. Audited annual report

124

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR)

Underlying nature Equity Equity Equity Equity Equity Equity

Industrial classification of investments Engineering & Construction - 2 Engineering & Construction - 3 Insurance - 1 Insurance - 2 Leisure Time - 1 Transportation - 1

Commitment EUR 351 978 175 400 411 540 220 277 229 649 88 336 2 816 117

Unrealised appreciation/ (depreciation) EUR 52 268 437 (56 370) (19 590) 14 969 (3 758) (114 697)

3) Deutsche Bank AG Commitment of EUR 628 090 for the short portfolio composed of 2 equities Commitment of EUR 1 506 114 for the long portfolio composed of 6 equities Market value of EUR 59 202 detailed as follows: – unrealised appreciation on short portfolio: EUR 37 675 – unrealised depreciation on long portfolio: EUR (6 590) – realised result: EUR 28 117 corresponding to the realised gain on securities which is still held at the counterparty (monthly reset) The below table is composed of long and short positions:

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Agriculture - 1 Auto Manufacturers - 1 Banks - 1 Engineering & Construction - 1 Engineering & Construction - 2 Insurance - 1 Real Estate - 1 Transportation - 1

Commitment EUR 455 179 278 652 549 596 260 910 112 334 68 933 367 180 41 420 2 134 204

Unrealised appreciation/ (depreciation) EUR (21 470) (6 328) 17 366 45 129 10 839 (4 202) (7 454) (2 795) 31 085

4) Goldman Sachs International Commitment of EUR 1 315 808 for the short portfolio composed of 7 equities Commitment of EUR 526 272 for the long portfolio composed of 4 equities Market value of EUR 359 034 detailed as follows: – unrealised depreciation on short portfolio: EUR (127 439) – unrealised depreciation on long portfolio: EUR (7 581) – realised result: EUR 494 054 corresponding to the realised gain on securities which is still held at the counterparty (monthly reset)

The accompanying notes form an integral part of these financial statements. Audited annual report

Merrill Lynch Investment Solutions

125

Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR) The below table is composed of long and short positions:

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Airlines - 1 Commercial Services - 1 Commercial Services - 2 Electronics - 1 Healthcare-Products - 1 Home Furnishings - 1 Insurance - 1 Internet - 1 Oil & Gas - 1 Real Estate - 1 Transportation - 1

Commitment EUR 144 619 232 168 224 494 169 281 153 068 303 220 130 789 79 598 63 023 241 529 100 291 1 842 080

Unrealised appreciation/ (depreciation) EUR 7 303 12 754 (20 357) (3 320) (47 356) (16 666) (9 377) (11 469) (7 379) (35 574) (3 579) (135 020)

5) JPMorgan Chase Bank NA Commitment of EUR 127 580 for the long portfolio composed of 1 equity Market value of EUR (29 912) detailed as follows: – unrealised depreciation on long portfolio: EUR (32 543) – realised result: EUR 2 631 corresponding to the realised gain on securities which is still held at the counterparty (monthly reset) The below table is composed of a long position:

Underlying nature Equity

Industrial classification of investments Oil & Gas - 1

Commitment EUR 127 580 127 580

Unrealised appreciation/ (depreciation) EUR (32 543) (32 543)

6) Merrill Lynch International Bank Ltd Commitment of EUR 435 894 for the short portfolio composed of 3 equities Commitment of EUR 180 847 for the long portfolio composed of 2 equities Market value of EUR 26 288 detailed as follows: – unrealised appreciation on short portfolio: EUR 22 643 – unrealised appreciation on long portfolio: EUR 20 158 – realised result: EUR (16 513) corresponding to the realised loss on securities which is still held at the counterparty (monthly reset)

The accompanying notes form an integral part of these financial statements. Audited annual report

126

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR) The below table is composed of long and short positions:

Underlying nature Equity Equity Equity Equity Equity

Industrial classification of investments Electronics - 1 Iron/Steel - 1 Telecommunications - 1 Transportation - 1 Transportation - 2

Commitment EUR 42 320 304 119 89 455 154 355 26 492 616 741

Unrealised appreciation/ (depreciation) EUR (221) 44 395 (21 532) 19 810 349 42 801

7) Morgan Stanley Capital Services Inc. Commitment of EUR 1 679 020 for the short portfolio composed of 6 equities and 1 index Commitment of EUR 3 113 234 for the long portfolio composed of 9 equities Market value of EUR (673 260) detailed as follows: – unrealised depreciation on short portfolio: EUR (42 558) – unrealised depreciation on long portfolio: EUR (518 045) – realised result: EUR (112 657) corresponding to the realised loss on securities which is still held at the counterparty (monthly reset) The below table is composed of long and short positions:

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Index

Industrial classification of investments Airlines - 1 Commercial Services - 1 Diversified Financial Services - 1 Electronics - 1 Engineering & Construction - 1 Food - 1 Insurance - 1 Iron/Steel - 1 Leisure Time - 1 Machinery-Diversified - 1 Machinery-Diversified - 2 Oil & Gas - 1 Oil & Gas - 2 Oil & Gas - 3 Transportation - 1 Future Index - 1

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment EUR 144 619 291 863 384 409 30 470 1 029 846 502 274 137 673 306 408 56 405 496 939 496 066 270 684 111 866 111 582 298 981 122 169 4 792 254

Unrealised appreciation/ (depreciation) EUR 9 537 (12 331) (2 537) (223) 32 556 (55 974) (7 856) (489 398) 4 808 22 180 (40 367) (14 089) (2 520) 6 859 (9 779) (1 469) (560 603)

Merrill Lynch Investment Solutions

127

Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in EUR) 8) UBS AG Commitment of EUR 1 398 574 for the short portfolio composed of 6 equities Commitment of EUR 2 218 152 for the long portfolio composed of 9 equities Market value of EUR (368 637) detailed as follows: – unrealised depreciation on short portfolio: EUR (113 021) – unrealised depreciation on long portfolio: EUR (193 915) – realised result: EUR (61 701) corresponding to the realised loss on securities which is still held at the counterparty (monthly reset) The below table is composed of long and short positions:

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Auto Manufacturers - 1 Banks - 1 Banks - 2 Commercial Services - 1 Commercial Services - 2 Commercial Services - 3 Cosmetics/Personal Care - 1 Diversified Financial Services - 1 Electric - 1 Engineering & Construction - 1 Engineering & Construction - 2 Food - 1 Insurance - 1 Mining - 1 Transportation - 1

Commitment EUR 152 686 552 168 171 433 378 048 58 547 53 006 142 054 192 609 825 209 112 969 110 462 154 859 90 635 345 768 276 273 3 616 726

Unrealised appreciation/ (depreciation) EUR (5 070) (107 125) (5 959) (5 318) 766 1 673 (849) (46 540) (166 817) 27 501 (30 620) 36 820 (7 443) 12 319 (10 274) (306 936)

The total market value of the contracts for difference swaps is EUR (971 696).

The accompanying notes form an integral part of these financial statements. Audited annual report

128

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund Schedule of Investments as at March 31, 2013 (expressed in USD)

Nominal value

Quotation Currency

Description

Market value USD

Cost USD

% of net assets

Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market Bonds 3 000 000

Federal Home Loan Bank Discount Notes 0% 20/05/2013 Total Bonds

USD

2 999 653 2 999 653

2 999 796 2 999 796

4.56 4.56

USD USD USD USD USD

5 024 413 4 499 620 3 999 107 3 999 900 4 999 297

5 021 400 4 499 779 3 999 644 3 999 984 4 999 700

7.63 6.84 6.08 6.08 7.59

22 522 337 25 521 990

22 520 507 25 520 303

34.22 38.78

Supranationals, Governments and Local Public Authorities, Debt Instruments 5 000 000 4 500 000 4 000 000 4 000 000 5 000 000

European Investment Bank 1.25% 17/09/2013 IADB Discount Notes 0% 06/05/2013 IADB Discount Notes 0% 04/06/2013 World Bank Discount Notes 0% 08/04/2013 World Bank Discount Notes 0% 14/05/2013 Total Supranationals, Governments and Local Public Authorities, Debt Instruments Total investments

Industrial classification of investments (as a percentage of net assets as at March 31, 2013) Multi-National Sovereign

Underlying Currency nature contract Details Futures contracts (cont.) Currency USD Australian Dollar Currency USD British Pound Currency USD Canadian Dollar Currency USD Euro Currency USD Japanese Yen Currency USD Swiss Franc Currency USD US Dollar Index AUD ASX SPI 200 Index Index EUR CAC 40 10 Euro Index EUR DAX Index Index USD DJIA E-Mini Index EUR Euro Stoxx 50 Index Index GBP FTSE 100 Index Index HKD Hang Seng Index Index USD MSCI Taiwan Index Index USD Nasdaq 100 E-Mini Index Index JPY Nikkei 225 Index SGX

% 34.22 4.56 38.78

Market Chicago Mercantile Exchange Chicago Mercantile Exchange Chicago Mercantile Exchange Chicago Mercantile Exchange Chicago Mercantile Exchange Chicago Mercantile Exchange ICE Futures US Currencies Australian SE Euronext Paris Eurex Deutschland Chicago Board of Trade Eurex Deutschland Euronext Liffe Hong Kong Futures Exchange Singapore Exchange (was SIMEX) Chicago Mercantile Exchange Singapore Exchange (was SIMEX)

The accompanying notes form an integral part of these financial statements. Audited annual report

Geographical classification of investments (as a percentage of net assets as at March 31, 2013) United States Luxembourg

Number of Number of Maturity contracts contracts Commitment Date bought sold USD 17/06/2013 17/06/2013 18/06/2013 17/06/2013 17/06/2013 17/06/2013 17/06/2013 20/06/2013 19/04/2013 21/06/2013 21/06/2013 21/06/2013 21/06/2013 29/04/2013 29/04/2013

21 1 5

% 31.15 7.63 38.78

Unrealised appreciation/ (depreciation) USD

146 3 40 36 154 172 111 20 6

2 174 130 94 781 491 050 2 564 600 1 063 300 659 125 12 143 550 387 966 1 914 143 9 001 973 11 162 690 5 632 771 10 707 298 2 874 755 168 780

18 785 194 630 24 031 (13 500) 2 025 48 185 (625) (43 834) (231 863) 199 633 (196 813) (121 599) 15 072 60

21/06/2013

137

7 702 140

57 500

13/06/2013

83

5 466 908

313 290

16 8 5

Merrill Lynch Investment Solutions

129

Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying Currency nature contract Details Futures contracts (cont.) Index JPY Nikkei 225 Index YEN Index SEK OMX 30 Index Index USD Russell 2000 Mini Index Index USD S&P 500 E-Mini Index Index USD S&P MidCap 400 E-Mini Index Index CAD S&P TSE 60 Index Index USD SGX CNX Nifty Index Index JPY TOPIX Index Interest rate USD 90 Day Eurodollar Interest rate USD 90 Day Eurodollar Interest rate USD 90 Day Eurodollar Interest rate USD 90 Day Eurodollar Interest rate USD 90 Day Eurodollar Interest rate USD 90 Day Eurodollar Interest rate USD 90 Day Eurodollar Interest rate USD 90 Day Eurodollar Interest rate EUR 3 Month Euribor Interest rate EUR 3 Month Euribor Interest rate EUR 3 Month Euribor Interest rate EUR 3 Month Euribor Interest rate CHF 3 Month Euroswiss Interest rate GBP 3 Month Sterling Interest rate GBP 3 Month Sterling Interest rate GBP 3 Month Sterling Interest rate GBP 3 Month Sterling Interest rate GBP 3 Month Sterling Interest rate USD 5 Year US Treasury Note Interest rate AUD 10 Year Australian Bond Interest rate CAD 10 Year Government of Canada Bond Interest rate JPY 10 Year Japan Government Bond Interest rate JPY 10 Year Mini Japan Government Bond Interest rate USD 30 Year US Treasury Bond Interest rate EUR German Euro BOBL Interest rate EUR German Euro BUND Interest rate EUR German Euro SCHATZ Interest rate GBP UK Long Gilt Bond

Market

Number of Number of Maturity contracts contracts Commitment Date bought sold USD

Chicago Mercantile Exchange 13/06/2013 OMX Nordic Exchange Stockholm 19/04/2013

Unrealised appreciation/ (depreciation) USD

8 22

527 568 402 225

12 031 3 508

ICE Futures US Indices

21/06/2013

153

14 518 170

171 906

Chicago Mercantile Exchange

21/06/2013

208

16 252 080

227 442

Chicago Mercantile Exchange Montreal Exchange Singapore Exchange (was SIMEX) Tokyo Stock Exchange Chicago Mercantile Exchange Chicago Mercantile Exchange Chicago Mercantile Exchange Chicago Mercantile Exchange Chicago Mercantile Exchange Chicago Mercantile Exchange Chicago Mercantile Exchange Chicago Mercantile Exchange Euronext Liffe Euronext Liffe Euronext Liffe Euronext Liffe Chicago Mercantile Exchange Euronext Liffe Euronext Liffe Euronext Liffe Euronext Liffe Euronext Liffe

21/06/2013 20/06/2013 25/04/2013 14/06/2013 16/09/2013 16/12/2013 17/03/2014 16/06/2014 15/09/2014 15/12/2014 16/03/2015 15/06/2015 16/12/2013 17/03/2014 16/06/2014 15/09/2014 17/06/2013 18/09/2013 18/12/2013 19/03/2014 18/06/2014 17/09/2014

9

499

1 035 900 1 003 945 148 772 5 416 392 1 245 375 2 739 000 3 734 250 3 733 125 181 356 975 2 486 375 2 484 750 2 482 625 958 514 958 274 957 985 110 762 455 4 216 672 1 888 880 188 907 188 916 188 907 94 245 610

8 770 (1 574) 532 258 717 (112) (888) (563) (813) (50 025) 538 888 1 425 (32) 176 (144) 930 (1 739) (1 234) (228) (294) 76 (16 764)

Chicago Board of Trade

28/06/2013

147

18 236 039

41 813

Australian Stock Exchange

17/06/2013

4 432 451

(37 191)

Montreal Exchange

19/06/2013

135

17 932 707

167 987

Tokyo Stock Exchange

11/06/2013

8

12 396 472

63 635

Singapore Exchange (was SIMEX) 10/06/2013

58

8 985 592

48 029

55 109 95 124 96

7 945 781 17 711 055 17 722 685 17 620 272 17 319 261

84 406 93 284 215 174 17 394 79 178

Chicago Board of Trade Eurex Deutschland Eurex Deutschland Eurex Deutschland Euronext Liffe

19/06/2013 06/06/2013 06/06/2013 06/06/2013 26/06/2013

7 13 49 5 11 15 15 729 10 10 10 3 3 3 347 16 10 1 1 1

35

The accompanying notes form an integral part of these financial statements. Audited annual report

130

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying Currency nature contract Details Futures contracts (cont.) Interest rate USD US 10 Year Note (CBT) Interest rate USD US 2 Year Note (CBT) Total Futures contracts

Purchase Forward foreign exchange contracts EUR 3 825 639 GBP 36 789 252 USD 77 603 USD 841 896 AUD 23 578 230 CAD 3 154 074 CHF 5 088 690 EUR 4 245 595 GBP 363 055 GBP 2 271 983 JPY 52 060 475 JPY 230 944 400 MXN 119 207 380 NOK 12 699 410 NZD 8 584 221 SEK 4 480 570 USD 14 308 613 USD 26 021 370 USD 13 110 861 USD 14 271 927 USD 21 850 005 USD 7 717 137 USD 46 931 USD 246 412 USD 3 150 119 USD 771 824 Total Forward foreign exchange contracts

Number of Number of Maturity contracts contracts Commitment Date bought sold USD

Market

Chicago Board of Trade

19/06/2013

139

18 345 828

143 312

Chicago Board of Trade

28/06/2013

75

16 533 985 703 514 735

3 578 1 604 299

Sale USD USD EUR GBP USD USD USD USD JPY USD GBP USD USD USD USD USD AUD CAD CHF EUR GBP JPY MXN NOK NZD SEK

4 961 511 55 654 778 59 930 556 086 24 426 059 3 079 018 5 376 011 5 489 839 52 018 345 3 436 585 363 055 2 431 235 9 524 396 2 175 709 7 093 302 693 072 13 918 930 26 743 189 12 458 088 11 040 974 14 602 726 739 479 362 583 700 1 444 390 3 843 669 5 007 160

.

The accompanying notes form an integral part of these financial statements. Audited annual report

Unrealised appreciation/ (depreciation) USD

Maturity date

Counterparty

30/04/2013 30/04/2013 30/04/2013 30/04/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013

State Street Capital Markets LLC State Street Capital Markets LLC State Street Capital Markets LLC State Street Capital Markets LLC Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International

Unrealised appreciation/ (depreciation) USD (55 222) 214 288 745 (2 592) (11 837) 18 584 (7 980) (42 887) (1 719) 12 838 2 167 23 572 52 138 (6 848) 50 537 (5 804) (103 823) (243 027) (31 108) 106 737 (320 487) (143 104) 39 (269) (48 603) 3 784 (539 881)

Merrill Lynch Investment Solutions

131

Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD) Contracts for difference swaps The Sub-Fund Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund entered into contracts for difference swaps with one counterparty (Merrill Lynch International Bank Ltd) with the following details: 1) Merrill Lynch International Bank Ltd Commitment of USD 34 508 191 for the short portfolio composed of 15 indices Commitment of USD 18 447 730 for the long portfolio composed of 8 indices Market value of USD 240 781 detailed as follows: – unrealised appreciation on short portfolio: USD 320 381 – unrealised appreciation on long portfolio: USD 58 062 – realised result: USD (137 662) corresponding to the realised loss on securities which is still held at the counterparty (monthly reset) The below table is composed of long and short positions:

Underlying nature Index Index Index Index Index Index Index Index Index Index Index Index Index Index Index Index Index Index Index Index Index Index Index

Commitment USD 4 311 292 4 144 720 4 106 835 4 070 740 3 829 680 3 580 550 3 211 488 3 208 590 3 040 400 2 458 312 2 295 625 2 147 119 2 104 850 1 924 224 1 757 400 1 661 485 1 403 736 1 020 600 809 200 767 844 660 487 331 494 109 250 52 955 921

Industrial classification of investments Commodities index - 1 Commodities index - 2 Commodities index - 3 Commodities index - 4 Commodities index - 5 Commodities index - 6 Commodities index - 7 Commodities index - 8 Commodities index - 9 Commodities index - 10 Commodities index - 11 Commodities index - 12 Commodities index - 13 Commodities index - 14 Commodities index - 15 Commodities index - 16 Commodities index - 17 Commodities index - 18 Commodities index - 19 Commodities index - 20 Commodities index - 21 Commodities index - 22 Commodities index - 23

Unrealised appreciation/ (depreciation) USD 35 825 32 812 64 693 44 669 26 823 40 005 22 684 (59 419) 187 783 (34 459) (20 383) (9 098) 20 200 (8 272) 79 313 39 954 (20 094) 13 272 (19 975) (15 644) (34 333) (6 431) (1 482) 378 443

The total market value of the contracts for difference swaps is USD 240 781.

The accompanying notes form an integral part of these financial statements. Audited annual report

132

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (expressed in USD) Nominal value/ Quantity

Description

Quotation Currency

Cost USD

Market value USD

% of net assets

Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market Bonds 425 000 550 000 100 000 100 000 100 000 100 000 450 000 100 000 175 000 100 000 150 000 100 000 1 600 000 400 000

Clearwire Communications LLC 12% 01/12/2017 Cobalt International Energy, Inc. 2.625% 01/12/2019 Copano Energy LLC 7.125% 01/04/2021 Exelixis, Inc. 4.25% 15/08/2019 Knight Capital Group, Inc. 3.5% 15/03/2015 MGIC Investment Corp. 2% 01/04/2020 Plains Exploration & Production Co. 6.875% 15/02/2023 Radian Group, Inc. 2.25% 01/03/2019 Salesforce.com, Inc. 0.25% 01/04/2018 Stillwater Mining Co. 1.75% 15/10/2032 Theravance, Inc. 2.125% 15/01/2023 Toll Brothers Finance Corp. 0.5% 15/09/2032 Virgin Media Finance Plc. 4.875% 15/02/2022 Volkswagen International Finance NV 5.5% 09/11/2015 Total Bonds

USD USD USD USD USD USD USD USD USD USD USD USD USD EUR

501 254 546 041 114 738 100 000 97 822 100 000 518 995 100 000 175 000 100 000 150 000 100 000 1 626 917 512 060 4 742 827

497 250 614 281 115 500 99 375 99 250 101 625 509 625 120 500 175 328 119 250 164 344 104 375 1 620 000 523 913 4 864 616

0.12 0.15 0.03 0.02 0.02 0.02 0.12 0.03 0.04 0.03 0.04 0.03 0.38 0.12 1.15

Cliffs Natural Resources, Inc. - Pref CVR Energy, Inc. (a) Dell, Inc. Elan Corp. Plc. - ADR Grupo Modelo SAB de CV - C HJ Heinz Co. Knight Capital Group, Inc. - A MetroPCS Communications, Inc. Sprint Nextel Corp. Total Shares

USD USD USD USD MXN USD USD USD USD

363 750 0 73 818 250 839 4 528 166 182 879 56 721 17 514 659 901 6 133 588

271 648 0 77 382 257 240 4 553 848 183 277 60 264 18 530 730 296 6 152 485

0.06 0.00 0.02 0.06 1.07 0.04 0.02 0.01 0.17 1.45

USD USD

15 992 114 54 971 950

15 997 312 54 978 825

3.76 12.94

70 964 064

70 976 137

16.70

132 770 132 770 81 973 249

161 026 161 026 82 154 264

0.04 0.04 19.34

Shares 14 550 (500) 5 400 21 800 501 926 2 536 16 200 1 700 117 600

Supranationals, Governments and Local Public Authorities, Debt Instruments 16 000 000 55 000 000

United States Treasury Bill 0% 11/07/2013 United States Treasury Bill 0% 29/08/2013 Total Supranationals, Governments and Local Public Authorities, Debt Instruments

Other transferable securities Bonds 100 000

Lufthansa Malta Blues LP 0.75% 05/04/2017 Total Bonds Total investments

(a) This security is fair valued. See Notes 2.2.6 and 10.

The accompanying notes form an integral part of these financial statements. Audited annual report

EUR

Merrill Lynch Investment Solutions

133

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD) Industrial classification of investments (as a percentage of net assets as at March 31, 2013) Sovereign Beverages Telecommunications Oil & Gas Auto Manufacturers/Parts & Equipment Pharmaceuticals Iron/Steel Insurance Airlines Diversified Financial Services Food Software Mining Pipelines Biotechnology Computers Home Builders

Underlying Currency nature contract Details Futures contracts (cont.) Index EUR Amsterdam Index Index AUD ASX SPI 200 Index Index EUR CAC 40 10 Euro Index EUR DAX Index Index USD DJIA E-Mini Index EUR Euro Stoxx 50 Index Index GBP FTSE 100 Index Index ZAR FTSE JSE TOP 40 Index Index EUR FTSE MIB Index Index HKD Hang Seng China Enterprises Index Index HKD Hang Seng Index Index EUR IBEX 35 Index Index USD MSCI Taiwan Index Index USD Nasdaq 100 E-Mini Index Index USD Russell 2000 MIini Index Index USD S&P 500 E-Mini Index

% 16.71 1.07 0.68 0.27 0.12 0.10 0.06 0.05 0.04 0.04 0.04 0.04 0.03 0.03 0.02 0.02 0.02 19.34

Market Nyse Liffe Amsterdam Australian Stock Exchange Euronext Paris Eurex Deutschland Chicago Board of Trade Eurex Deutschland Euronext Liffe

Geographical classification of investments (as a percentage of net assets as at March 31, 2013) United States Mexico United Kingdom Netherlands Ireland Malta

Number of Number of Maturity contracts contracts Date bought sold

% 17.67 1.07 0.38 0.12 0.06 0.04 19.34

Commitment USD

Unrealised appreciation/ (depreciation) USD

3 925 646 8 932 643 12 028 569 6 009 970 5 363 890 12 692 011 17 647 935

(49 964) (93 725) (266 829) (155 360) 58 086 (500 979) (184 036)

11 225 806 5 599 610

(191 920) 304 582

10 236 260 862 437 502 975

(109 086) 483 (42 562)

5 766 650

–

2 754 780

14 051

19/04/2013 20/06/2013 19/04/2013 21/06/2013 21/06/2013 21/06/2013 21/06/2013

44 69 251 24 74 387 183

South Africa Futures Exchange 20/06/2013 Borsa Italiano 21/06/2013

290

Hong Kong Futures Exchange Hong Kong Futures Exchange Meff Renta Variable Madrid Singapore Exchange (was SIMEX)

29/04/2013 29/04/2013 19/04/2013

146 6 5

Chicago Mercantile Exchange

21/06/2013

ICE Futures US Indices

21/06/2013

106

10 058 340

(48 668)

Chicago Mercantile Exchange

21/06/2013

1 596

124 703 460

(1 404 368)

58

29/04/2013

205 49

The accompanying notes form an integral part of these financial statements. Audited annual report

134

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying Currency nature contract Details Futures contracts (cont.) Index USD S&P MidCap 400 E-Mini Index Index CAD S&P TSE 60 Index Index USD SGX CNX Nifty Index Index SGD SGX MSCI Singapore Index Index JPY TOPIX Index Interest rate AUD 90 Day Australian Bank Bill Interest rate AUD 90 Day Australian Bank Bill Interest rate AUD 90 Day Australian Bank Bill Interest rate USD 90 Day Eurodollar Interest rate USD 90 Day Eurodollar Interest rate USD 90 Day Eurodollar Interest rate USD 90 Day Eurodollar Interest rate USD 90 Day Eurodollar Interest rate USD 90 Day Eurodollar Interest rate CAD 3 Month Canada Bankers’ Acceptance Interest rate CAD 3 Month Canada Bankers’ Acceptance Interest rate EUR 3 Month Euribor Interest rate EUR 3 Month Euribor Interest rate EUR 3 Month Euribor Interest rate EUR 3 Month Euribor Interest rate EUR 3 Month Euribor Interest rate EUR 3 Month Euribor Interest rate EUR 3 Month Euribor Interest rate CHF 3 Month Euroswiss Interest rate CHF 3 Month Euroswiss Interest rate GBP 3 Month Sterling Interest rate GBP 3 Month Sterling Interest rate GBP 3 Month Sterling Interest rate GBP 3 Month Sterling Interest rate GBP 3 Month Sterling Interest rate GBP 3 Month Sterling Interest rate GBP 3 Month Sterling Interest rate AUD 3 Year Australian Bond Interest rate USD 5 Year US Treasury Note

Market

37 32

Commitment USD

Unrealised appreciation/ (depreciation) USD

4 258 700 4 591 722

78 966 (32 954)

9 361 192

19 483

5 769 595 11 398 798

52 120 277 792

113 852 295

36 471

18 629 919

1 406

Chicago Mercantile Exchange Montreal Exchange Singapore Exchange (was SIMEX) Singapore Exchange (was SIMEX) Tokyo Stock Exchange

21/06/2013 20/06/2013

Australian Stock Exchange

12/09/2013

Australian Stock Exchange

12/12/2013

18

Australian Stock Exchange Chicago Mercantile Exchange Chicago Mercantile Exchange Chicago Mercantile Exchange Chicago Mercantile Exchange Chicago Mercantile Exchange Chicago Mercantile Exchange

13/03/2014 16/09/2013 16/12/2013 17/03/2014 15/09/2014 15/12/2014 16/03/2015

632 409 229 16 32 43

8 278 951 157 415 400 101 841 000 57 009 550 3 980 400 7 956 400 10 684 425

(810) (70 100) (48 394) (22 675) (453) (200) 775

Montreal Exchange

16/09/2013

14

3 401 644

(1 853)

Montreal Exchange Euronext Liffe Euronext Liffe Euronext Liffe Euronext Liffe Euronext Liffe Euronext Liffe Euronext Liffe Euronext Liffe Euronext Liffe Euronext Liffe Euronext Liffe Euronext Liffe Euronext Liffe Euronext Liffe Euronext Liffe Euronext Liffe

16/12/2013 16/09/2013 16/12/2013 17/03/2014 16/06/2014 15/09/2014 15/12/2014 16/03/2015 16/09/2013 16/12/2013 18/09/2013 18/12/2013 19/03/2014 18/06/2014 17/09/2014 17/12/2014 18/03/2015

116 1

28 185 048 320 078 14 398 445 9 596 555 18 867 543 21 417 251 21 404 345 21 072 165 11 360 183 8 983 368 198 280 241 110 292 666 52 127 235 26 628 880 30 588 734 32 655 896 33 774 880

(18 308) (225) 671 (3 499) 1 252 5 484 7 322 156 (10 212) (11 115) 101 708 84 540 25 574 11 332 21 334 33 501 15 602

Australian Stock Exchange

17/06/2013

6 134 529

(25 515)

Chicago Board of Trade

28/06/2013

9 304 102

12 328

The accompanying notes form an integral part of these financial statements. Audited annual report

Number of Number of Maturity contracts contracts Date bought sold

25/04/2013 29/04/2013 14/06/2013

818 96 103 110

8

45 30 59 67 67 66 43 34 1,050 584 276 141 162 173 179 54 75

Merrill Lynch Investment Solutions

135

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying Currency nature contract Details Futures contracts (cont.) Interest rate AUD 10 Year Australian Bond Interest rate CAD 10 Year Government of Canada Bond Interest rate JPY 10 Year Japan Government Bond FTSE Interest rate JPY 10 Year Mini Japan Government Bond Interest rate USD 30 Year US Treasury Bond Interest rate EUR Euro BUXL 30 Year Bond Interest rate EUR German Euro BOBL Interest rate EUR German Euro BUND Interest rate EUR German Euro SCHATZ Interest rate GBP UK Long Gilt Bond Interest rate USD US 10 Year Note (CBT) Interest rate USD US 2 Year Note (CBT) Total Futures contracts

Purchase Forward foreign exchange contracts (cont.) GBP 525 000 USD 988 CHF 16 584 USD 16 584 AUD 69 244 000 BRL 7 900 000 CAD 20 796 000 CHF 4 162 000 CLP 367 724 000 COP 738 000 000 CZK 62 840 000 EUR 138 285 926 GBP 166 622 259 HUF 3 719 100 000 IDR 2 118 897 000 ILS 22 600 000 INR 652 000 000 JPY 234 517 000

Number of Number of Maturity contracts contracts Date bought sold

Market

14 198 823

180 864

Australian Stock Exchange

17/06/2013

Montreal Exchange

19/06/2013

113

15 017 727

(278 636)

Tokyo Stock Exchange Singapore Exchange (was SIMEX)

11/06/2013

19

29 476 068

(121 783)

10/06/2013

97

15 045 214

72 219

Chicago Board of Trade

19/06/2013

18

2 600 438

14 438

Eurex Deutschland Eurex Deutschland Eurex Deutschland

06/06/2013 06/06/2013 06/06/2013

19 94 185

3 304 938 15 295 779 34 562 366

30 716 66 375 376 344

Eurex Deutschland Euronext Liffe Chicago Board of Trade Chicago Board of Trade

06/06/2013 26/06/2013 19/06/2013 28/06/2013

128

18 214 897 70 882 098 85 789 844 47 10 361 297 1 726 882 606

12 867 (2 195 163) 245 842 (2 113) (3 726 821)

Sale USD EUR EUR EUR USD USD USD USD USD USD USD USD USD USD USD USD USD USD

793 433 750 12 959 12 959 71 207 806 3 983 730 20 307 934 4 450 594 767 561 403 323 3 189 929 180 071 037 251 148 515 16 110 461 216 537 6 091 617 11 789 965 2 466 151

112

Commitment USD

Unrealised appreciation/ (depreciation) USD

393 650

Maturity date

Counterparty

Unrealised appreciation/ (depreciation) USD

03/04/2013 04/05/2013 10/06/2013 10/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013

Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International

3 754 25 880 (65) 566 390 (100 834) 125 895 (51 071) 3 374 (2 298) (55 978) (2 400 001) 1 758 083 (558 643) (659) 109 950 16 852 29 548

The accompanying notes form an integral part of these financial statements. Audited annual report

136

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Purchase Forward foreign exchange contracts (cont.) KRW 17 090 531 000 MXN 334 330 000 MYR 18 574 000 NOK 351 190 000 NZD 71 159 000 PEN 2 000 PHP 25 000 000 PLN 96 370 000 RUB 611 452 000 SEK 343 490 000 SGD 12 600 000 TRY 23 395 000 TWD 26 000 000 USD 14 662 913 USD 16 338 171 USD 17 043 553 USD 31 840 275 USD 11 947 445 USD 44 554 502 USD 80 100 862 USD 4 687 802 USD 9 930 883 USD 4 236 002 USD 10 640 964 USD 4 245 446 USD 76 617 418 USD 1 460 296 USD 1 733 953 USD 2 761 802 USD 30 297 537 USD 25 385 060 USD 169 302 USD 9 452 806 USD 741 900 USD 1 957 125 USD 7 306 304 USD 51 133 368 USD 439 772 USD 8 120 504 USD 3 875 709 USD 33 114 089 USD 28 268 USD 991 USD 28 365

Sale USD USD USD USD USD USD USD USD USD USD USD USD USD AUD BRL CAD CHF CZK EUR GBP HKD HUF IDR ILS INR JPY KRW MXN MYR NOK NZD PEN PHP PLN RUB SEK SGD THB TRY TWD ZAR EUR EUR EUR

15 590 252 26 158 559 5 969 045 61 149 733 58 284 078 772 617 833 30 000 960 19 564 266 53 289 790 10 145 445 12 819 804 872 754 14 491 000 32 757 000 17 581 000 29 953 000 237 000 000 34 377 125 53 245 955 36 345 000 2 340 000 000 41 754 267 000 39 910 000 238 568 000 7 169 803 000 1 630 000 000 21 656 000 8 650 000 175 872 000 30 929 000 439 000 385 300 000 2 400 000 61 274 000 47 154 000 63 746 000 13 126 000 14 839 000 114 885 000 306 419 000 22 000 750 22 000

The accompanying notes form an integral part of these financial statements. Audited annual report

Maturity date

Counterparty

Unrealised appreciation/ (depreciation) USD

19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 09/06/2014 04/07/2014 09/06/2015

Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International

(293 387) 739 482 (2 521) (1 118 043) 1 041 688 (2) (4 864) (549 044) (146 227) (547 496) 12 558 (24 626) (1 849) (357 594) 237 914 (231 266) 177 887 127 802 386 453 (718 191) 4 027 145 922 (18 022) (310 566) (74 690) 317 346 1 367 (8 349) (16 836) 234 341 (400 669) 146 5 707 8 430 11 232 65 889 (258 059) (6 321) 4 768 27 480 60 464 (102) 23 (121)

Merrill Lynch Investment Solutions

137

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Purchase Forward foreign exchange contracts (cont.) USD 993 USD 11 906 USD 996 USD 1 002 Total Forward foreign exchange contracts

Short/ Long Currency Options Short USD Short USD Short USD Short USD Short USD Short USD Short USD Long USD Long USD Short USD Long USD Total Options

Sale EUR EUR EUR EUR

Description Dell, Inc. Dell, Inc. Dell, Inc. Elan Corp. Plc. HJ Heinz Co. Knight Capital Group, Inc. Knight Capital Group, Inc. Knight Capital Group, Inc. Knight Capital Group, Inc. Sprint Nextel Corp. Sprint Nextel Corp.

750 9 222 750 750

Maturity date

Counterparty

04/07/2015 09/11/2015 04/05/2016 04/05/2017

Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International

Put/ Call

Strike Price

Maturity

Quantity

Call Call Call Call Call Call Call Put Put Call Put

13 14 14 11 75 4 5 5 4 10 10

18/05/2013 18/05/2013 20/04/2013 20/04/2013 21/09/2013 20/07/2013 20/07/2013 20/07/2013 20/07/2013 18/01/2014 18/01/2014

(127) (113) (40) (218) (659) (40) (14) 14 40 (531) 531

Unrealised appreciation/ (depreciation) USD 22 (61) 21 21 (2 032 714)

Market value Commitment USD USD (17 780) (5 650) (1 600) (17 440) (9 885) (420) (49) 2 121 2 320 (3 717) 262 845 210 745

165 100* 158 200* 56 000* 239 800* 4 942 500* 16 000* 7 000* – – 531 000* – 6 115 600

* The commitment on short call positions is unlimited.

Merrill Lynch Professional Clearing is the counterparty to these options.

Notional Pay Credit default swaps (400 000) Markit CDX North America High Yield 19 v1 (1 000 000) Markit CDX North America High Yield 19 v1 (1 100 000) Markit CDX North America High Yield 19 v1 (18 350 000) Markit CDX North America High Yield 19 v1 Total Credit default swaps

Receive Fixed 5.000% Fixed 5.000% Fixed 5.000% Fixed 5.000%

Currency USD USD USD USD

Maturity Date

Unrealised appreciation/ (depreciation) Counterparty USD

20/12/2017 Deutsche Bank 20/12/2017 Deutsche Bank 20/12/2017 Morgan Stanley 20/12/2017 Morgan Stanley

10 635 15 337 56 746 797 527 880 245

Commitment USD 400 000 1 000 000 1 100 000 18 350 000 20 850 000

The accompanying notes form an integral part of these financial statements. Audited annual report

138

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD) Contracts for difference swaps The Sub-Fund Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund entered into contracts for difference swaps with four counterparties (Deutsche Bank AG, Merrill Lynch International Bank Ltd, Morgan Stanley Capital Services Inc. and Morgan Stanley International Plc.) with the following details: 1) Deutsche Bank AG Commitment of USD 174 306 573 for the short portfolio composed of 103 equities Commitment of USD 217 055 462 for the long portfolio composed of 60 bonds and 65 equities Market value of USD 1 859 870 detailed as follows: – unrealised depreciation on short portfolio: USD (25 039 920) – unrealised appreciation on long portfolio: USD 27 892 759 – realised result: USD (992 969) corresponding to the realised loss on securities which is still held at the counterparty (monthly reset) The below table is composed of long and short positions:

Underlying nature Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond

Industrial classification of investments Aerospace/Defense - 1 Agriculture - 1 Biotechnology - 1 Biotechnology - 2 Biotechnology - 3 Building Materials - 1 Building Materials - 2 Commercial Services - 1 Commercial Services - 2 Commercial Services - 3 Commercial Services - 4 Computers - 1 Computers - 2 Computers - 3 Diversified Financial Services - 1 Electrical Components & Equipment - 1 Food -1 Food -2 Healthcare-Products - 1 Home Builders - 1 Home Builders - 2 Home Builders - 3 Home Builders - 4 Home Builders - 5 Home Builders - 6 Insurance - 1

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment USD 657 312 378 750 4 121 250 2 224 891 2 204 391 8 405 812 616 562 12 368 125 7 797 375 5 829 187 357 297 2 999 219 2 675 437 349 781 359 844 5 457 812 2 911 219 1 331 437 550 000 5 425 000 3 581 500 2 404 172 1 591 406 223 562 182 656 493 750

Unrealised appreciation/ (depreciation) USD 22 794 1 232 408 886 1 046 225 599 342 436 431 102 017 (325 205) 1 960 857 2 411 931 22 965 (370 003) 434 114 1 996 12 246 735 760 (37 713) 189 426 (8 544) 2 012 684 1 281 089 441 067 225 108 17 344 7 815 (125 478)

Merrill Lynch Investment Solutions

139

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Insurance - 2 Internet - 1 Internet - 2 Internet - 3 Investment Companies - 1 Iron/Steel - 1 Iron/Steel - 2 Lodging - 1 Lodging - 2 Machinery-Diversified - 1 Media - 1 Mining - 1 Oil & Gas - 1 Oil & Gas - 2 Pharmaceuticals - 1 Pharmaceuticals - 2 REITS - 1 REITS - 2 REITS - 3 REITS - 4 REITS - 5 REITS - 6 REITS - 7 REITS - 8 REITS - 9 Semiconductors - 1 Semiconductors - 2 Semiconductors - 3 Semiconductors - 4 Software - 1 Software - 2 Telecommunications - 1 Telecommunications - 2 Telecommunications - 3 Advertising - 1 Aerospace/Defense - 1 Aerospace/Defense - 2 Aerospace/Defense - 3 Aerospace/Defense - 4 Agriculture - 1 Agriculture - 2 Agriculture - 3 Airlines - 1

Commitment USD 299 688 12 225 469 7 445 641 227 312 623 875 546 328 513 125 6 387 937 2 171 250 2 132 156 6 287 040 1 419 086 2 702 344 1 455 500 2 382 125 1 502 500 5 580 000 3 209 625 2 875 141 2 350 250 1 506 500 1 267 062 750 828 412 250 259 062 8 546 484 7 668 000 988 500 277 250 3 155 625 1 653 000 6 636 016 784 740 159 480 372 824 322 528 175 460 173 007 126 425 497 265 292 329 39 801 99 650

Unrealised appreciation/ (depreciation) USD 49 809 1 954 977 3 123 982 56 153 65 946 (41 850) (183 328) 2 567 886 (29 795) 320 211 1 076 555 (403 583) 627 791 715 114 225 412 229 185 359 456 354 704 269 794 92 457 215 887 106 296 (35 697) (73 068) 3 577 853 217 692 519 226 103 (76 075) 756 340 (110 300) 2 684 374 51 621 (53 610) (11 018) 10 275 (4 646) (17 592) 1 129 6 274 (4 196) (3 869) (21 688)

The accompanying notes form an integral part of these financial statements. Audited annual report

140

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Apparel - 1 Auto Manufacturers - 1 Auto Parts & Equipment - 1 Banks - 1 Banks - 2 Banks - 3 Banks - 4 Banks - 5 Banks - 6 Beverages - 1 Beverages - 2 Biotechnology - 1 Biotechnology - 2 Biotechnology - 3 Biotechnology - 4 Building Materials - 1 Chemicals - 1 Chemicals - 2 Commercial Services - 1 Commercial Services - 2 Commercial Services - 3 Commercial Services - 4 Commercial Services - 5 Commercial Services - 6 Commercial Services - 7 Commercial Services - 8 Commercial Services - 9 Commercial Services - 10 Commercial Services - 11 Commercial Services - 12 Computers - 1 Computers - 2 Distribution/Wholesale - 1 Distribution/Wholesale - 2 Diversified Financial Services - 1 Diversified Financial Services - 2 Diversified Financial Services - 3 Diversified Financial Services - 4 Diversified Financial Services - 5 Electric - 1 Electric - 2 Electric - 3 Electric - 4

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment USD 1 983 735 396 877 1 731 239 1 857 060 1 448 567 834 392 696 864 659 586 274 722 2 331 667 774 967 3 159 031 2 098 461 2 033 716 71 310 6 298 944 510 385 298 014 10 278 180 6 928 390 5 717 103 2 764 201 2 200 111 1 726 053 910 539 817 124 481 861 299 880 246 395 40 016 2 499 042 1 976 361 2 373 818 1 825 857 994 731 961 711 750 099 264 438 28 858 2 276 044 1 380 141 822 000 682 777

Unrealised appreciation/ (depreciation) USD 164 192 10 882 (67 417) (39 956) 19 558 (21 023) (54 955) (33 529) (13 019) (4 712) (23 156) (443 787) (893 040) (508 784) 1 007 (463 157) (2 276) (8 472) 364 830 (1 682 557) (2 141 458) (4 755) (13 460) 186 941 1 034 241 (24 219) 3 022 (6 484) 433 (475 895) 38 323 (21 878) (25 435) 125 026 116 160 (46 738) 5 871 (1 617) 118 984 (102 272) 30 598 (29 812)

Merrill Lynch Investment Solutions

141

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Electric - 5 Electric - 6 Electrical Components & Equipment - 1 Entertainment - 1 Food - 1 Food - 2 Food - 3 Food - 4 Food - 5 Food - 6 Food - 7 Food - 8 Food Service - 1 Forest Products & Paper - 1 Gas - 1 Gas - 2 Healthcare-Products - 1 Holding Companies-Divers - 1 Home Builders - 1 Home Builders - 2 Home Builders - 3 Home Builders - 4 Home Builders - 5 Household Products/Wares - 1 Insurance - 1 Insurance - 2 Insurance - 3 Insurance - 4 Insurance - 5 Insurance - 6 Insurance - 7 Insurance - 8 Internet - 1 Internet - 2 Internet - 3 Investment Companies - 1 Iron/Steel - 1 Iron/Steel - 2 Iron/Steel - 3 Iron/Steel - 4 Leisure Time - 1 Lodging - 1 Lodging - 2

Commitment USD 76 863 72 475 3 881 022 1 855 268 2 643 472 1 455 826 1 290 590 867 657 698 353 520 592 426 203 155 045 59 078 894 426 191 620 163 849 248 819 579 321 8 251 575 3 385 233 395 376 144 089 91 113 156 248 1 503 258 1 213 121 666 266 552 671 294 241 272 336 170 685 55 257 9 987 569 7 029 859 220 138 171 389 185 994 57 817 11 532 2 781 1 015 653 6 315 696 594 617

Unrealised appreciation/ (depreciation) USD 844 2 236 (753 773) (188 085) (190 004) 29 973 (306 952) (2 414) 24 539 8 970 (2 242) 1 580 (141) 22 782 7 515 7 887 6 875 16 482 (1 692 560) (731 608) 49 165 (17 241) (365) 132 5 530 7 286 31 280 960 (26 921) (5 421) (113 414) (23 136) (1 943 023) (2 953 722) (40 146) 637 13 879 4 274 1 576 (349) 8 376 (2 296 503) (59 161)

The accompanying notes form an integral part of these financial statements. Audited annual report

142

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Lodging - 3 Lodging - 4 Machinery-Diversified - 1 Machinery-Diversified - 2 Media - 1 Media - 2 Media - 3 Media - 4 Media - 5 Mining - 1 Mining - 2 Mining - 3 Mining - 4 Mining - 5 Mining - 6 Mining - 7 Mining - 8 Mining - 9 Mining - 10 Miscellaneous Manufactures - 1 Miscellaneous Manufactures - 2 Miscellaneous Manufactures - 3 Miscellaneous Manufactures - 4 Miscellaneous Manufactures - 5 Oil & Gas - 1 Oil & Gas - 2 Oil & Gas - 3 Oil & Gas - 4 Oil & Gas - 5 Oil & Gas - 6 Oil & Gas - 7 Oil & Gas - 8 Oil & Gas - 9 Oil & Gas - 10 Oil & Gas - 11 Oil & Gas - 12 Oil & Gas Services - 1 Oil & Gas Services - 2 Oil & Gas Services - 3 Pharmaceuticals - 1 Pharmaceuticals - 2 Pharmaceuticals - 3 Pharmaceuticals - 4

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment USD 421 656 151 179 3 051 771 1 506 028 5 526 068 487 552 478 631 193 862 144 296 1 495 086 1 472 281 1 162 137 664 740 446 543 306 902 216 046 193 827 103 247 86 825 1 358 385 360 119 310 846 221 658 69 954 3 531 061 1 569 093 1 450 039 794 696 631 323 416 154 409 155 332 506 277 812 255 315 157 568 136 419 870 916 629 607 527 731 1 947 963 1 140 125 738 682 112 219

Unrealised appreciation/ (depreciation) USD 639 177 226 557 (220 859) (837 960) (9 043) (11 582) 3 198 (2 589) 94 676 (93 051) 57 257 9 446 37 212 38 783 (23 175) 53 220 31 801 (9 944) 41 958 (37 585) 8 241 (7 866) (3 951) (849 220) 77 134 (665 552) 9 872 (55 379) 6 380 (10 142) (17 319) (140) (2 008) (2 379) (10 730) (13 196) (3 996) 37 846 (220 088) (138 844) 4 055 (3 995)

Merrill Lynch Investment Solutions

143

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Pharmaceuticals - 5 Pharmaceuticals - 6 REITS - 1 REITS - 2 REITS - 3 REITS - 4 REITS - 5 REITS - 6 REITS - 7 REITS - 8 Retail - 1 Retail - 2 Retail - 3 Retail - 4 Retail - 5 Semiconductors - 1 Semiconductors - 2 Semiconductors - 3 Semiconductors - 4 Semiconductors - 5 Software - 1 Software - 2 Telecommunications - 1 Telecommunications - 2 Telecommunications - 3 Telecommunications - 4 Telecommunications - 5 Transportation - 1 Water - 1 Water - 2

Commitment USD 33 734 33 668 4 052 905 2 271 059 2 148 426 1 685 431 1 458 978 636 002 313 690 25 742 1 432 249 1 419 286 767 840 217 648 3 658 6 968 924 6 352 137 2 362 080 646 983 219 408 3 016 683 519 837 6 240 345 1 757 835 384 032 165 761 4 811 22 178 220 783 93 414 391 362 035

Unrealised appreciation/ (depreciation) USD (1 042) (2 551) (391 906) (34 900) (189 872) (172 970) (141 848) (39 636) 12 485 (769) 76 153 29 477 1 067 12 724 (31) (599 034) (539 228) 70 300 (209 377) 37 918 (775 454) 55 136 (2 925 150) 45 158 (16 262) (1 466) 103 1 415 (8 641) 3 230 2 852 839

2) Merrill Lynch International Bank Ltd Commitment of USD 300 195 500 for the short portfolio composed of 261 equities and 17 indices Commitment of USD 267 701 527 for the long portfolio composed of 326 equities and 7 indices Market value of USD (208 549) detailed as follows: – unrealised appreciation on short portfolio: USD 1 534 865 – unrealised depreciation on long portfolio: USD (2 800 266) – realised result: USD 1 056 852 corresponding to the realised gain on securities which is still held at the counterparty (monthly reset)

The accompanying notes form an integral part of these financial statements. Audited annual report

144

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD) The below table is composed of long and short positions:

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Advertising - 1 Advertising - 2 Advertising - 3 Aerospace/Defense - 1 Aerospace/Defense - 2 Aerospace/Defense - 3 Aerospace/Defense - 4 Aerospace/Defense - 5 Aerospace/Defense - 6 Agriculture - 1 Agriculture - 2 Airlines - 1 Airlines - 2 Airlines - 3 Airlines - 4 Apparel - 1 Apparel - 2 Apparel - 3 Apparel - 4 Apparel - 5 Apparel - 6 Apparel - 7 Auto Manufacturers - 1 Auto Manufacturers - 2 Auto Manufacturers - 3 Auto Manufacturers - 4 Auto Manufacturers - 5 Auto Manufacturers - 6 Auto Manufacturers - 7 Auto Manufacturers - 8 Auto Manufacturers - 9 Auto Manufacturers - 10 Auto Manufacturers - 11 Auto Manufacturers - 12 Auto Manufacturers - 13 Auto Manufacturers - 14 Auto Manufacturers - 15 Auto Manufacturers - 16 Auto Manufacturers - 17 Auto Manufacturers - 18 Auto Manufacturers - 19 Auto Manufacturers - 20

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment USD 1 291 568 137 096 768 1 266 101 1 007 238 297 064 245 527 105 445 73 973 1 610 849 384 532 793 172 706 970 148 564 44 229 2 151 496 1 175 571 599 604 484 376 406 594 219 685 95 377 1 962 830 1 784 673 1 673 091 1 582 845 1 329 159 1 202 955 1 037 367 918 528 883 916 819 469 566 879 548 077 516 911 514 784 503 253 488 774 476 656 456 596 393 661 193 874

Unrealised appreciation/ (depreciation) USD (74 780) (2 175) (10) 41 866 (44 527) (425) 2 642 (1 894) 90 (2 680) (7 033) (26 812) (7 305) (9 955) (1 803) (68 289) (10 632) (11 401) (7 372) (2 009) 6 458 (1 142) (56 023) 74 771 (28 185) (86 721) 26 170 (42 901) 39 104 (30 738) (1 141) 29 706 (19 996) 29 004 10 769 33 695 (6 277) 1 290 (8 153) (13 533) 3 233 6 019

Merrill Lynch Investment Solutions

145

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Auto Parts & Equipment - 1 Auto Parts & Equipment - 2 Auto Parts & Equipment - 3 Auto Parts & Equipment - 4 Auto Parts & Equipment - 5 Auto Parts & Equipment - 6 Auto Parts & Equipment - 7 Auto Parts & Equipment - 8 Auto Parts & Equipment - 9 Auto Parts & Equipment - 10 Auto Parts & Equipment - 11 Auto Parts & Equipment - 12 Auto Parts & Equipment - 13 Auto Parts & Equipment - 14 Auto Parts & Equipment - 15 Auto Parts & Equipment - 16 Auto Parts & Equipment - 17 Auto Parts & Equipment - 18 Auto Parts & Equipment - 19 Auto Parts & Equipment - 20 Auto Parts & Equipment - 21 Auto Parts & Equipment - 22 Auto Parts & Equipment - 23 Banks - 1 Banks - 2 Banks - 3 Banks - 4 Banks - 5 Banks - 6 Banks - 7 Banks - 8 Banks - 9 Banks - 10 Banks - 11 Banks - 12 Banks - 13 Banks - 14 Banks - 15 Banks - 16 Banks - 17 Banks - 18 Banks - 19 Banks - 20 Banks - 21

Commitment USD 2 206 970 1 966 353 1 464 773 1 160 154 1 034 619 966 911 933 886 845 680 839 262 818 973 737 393 695 724 639 375 608 807 483 663 415 443 377 404 290 396 274 601 55 105 31 659 25 727 14 458 3 381 126 1 384 705 1 164 168 1 163 003 1 115 375 1 098 665 1 077 567 785 397 717 126 558 608 539 566 535 035 517 100 323 548 228 535 201 234 180 387 168 953 160 350 109 096 81 004

Unrealised appreciation/ (depreciation) USD 30 529 (46 659) 10 775 (14 883) 3 554 53 233 44 799 3 680 (6 001) 7 288 1 834 (3 361) 10 976 (9 955) 4 914 – 1 096 (2 021) 7 259 (1 615) (164) (199) (490) 5 429 (2 946) (16 008) (44 641) (9 031) 16 312 14 468 (7 296) (33 188) 378 2 425 (12 540) (16 151) 957 (10 233) 7 488 23 144 (1 117) 1 543 78 (745)

The accompanying notes form an integral part of these financial statements. Audited annual report

146

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Banks - 22 Banks - 23 Beverages - 1 Beverages - 2 Beverages - 3 Beverages - 4 Beverages - 5 Beverages - 6 Biotechnology - 1 Building Materials - 1 Building Materials - 2 Building Materials - 3 Building Materials - 4 Building Materials - 5 Building Materials - 6 Building Materials - 7 Building Materials - 8 Building Materials - 9 Building Materials - 10 Building Materials - 11 Building Materials - 12 Building Materials - 13 Building Materials - 14 Building Materials - 15 Chemicals - 1 Chemicals - 2 Chemicals - 3 Chemicals - 4 Chemicals - 5 Chemicals - 6 Chemicals - 7 Chemicals - 8 Chemicals - 9 Chemicals - 10 Chemicals - 11 Chemicals - 12 Chemicals - 13 Chemicals - 14 Chemicals - 15 Chemicals - 16 Chemicals - 17 Chemicals - 18 Chemicals - 19 Chemicals - 20

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment USD 5 392 337 871 542 531 828 401 776 364 745 225 992 50 925 2 555 940 1 885 221 1 863 638 1 757 115 1 538 768 733 950 707 295 687 400 647 511 573 155 429 962 314 139 299 813 135 730 96 235 16 288 2 929 709 2 732 993 2 725 227 1 534 918 1 139 609 1 131 608 1 093 189 1 027 257 1 005 204 953 116 935 833 915 380 850 815 850 670 841 991 809 232 771 865 690 572 632 802 626 743

Unrealised appreciation/ (depreciation) USD 96 12 20 533 1 879 (8 775) (4 765) 1 454 1 532 63 510 33 254 50 772 (17 290) – – 21 033 24 401 (7 743) 8 168 (14 071) 5 040 17 754 (987) (1 851) (49) 6 056 (120 847) (16 512) 28 083 (60 689) (11 430) 5 691 (13 230) 23 521 10 062 – 46 331 14 614 15 093 1 149 (14 678) (2 917) (19 942) (15 741) (2 688)

Merrill Lynch Investment Solutions

147

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Chemicals - 21 Chemicals - 22 Chemicals - 23 Chemicals - 24 Chemicals - 25 Chemicals - 26 Chemicals - 27 Chemicals - 28 Chemicals - 29 Chemicals - 30 Chemicals - 31 Chemicals - 32 Chemicals - 33 Chemicals - 34 Chemicals - 35 Chemicals - 36 Chemicals - 37 Chemicals - 38 Chemicals - 39 Chemicals - 40 Chemicals - 41 Commercial Services - 1 Commercial Services - 2 Commercial Services - 3 Commercial Services - 4 Commercial Services - 5 Commercial Services - 6 Commercial Services - 7 Commercial Services - 8 Commercial Services - 9 Commercial Services - 10 Commercial Services - 11 Commercial Services - 12 Commercial Services - 13 Computers - 1 Computers - 2 Computers - 3 Computers - 4 Computers - 5 Computers - 6 Computers - 7 Computers - 8 Computers - 9 Computers - 10

Commitment USD 615 317 581 238 560 689 440 013 413 316 395 029 388 385 368 858 275 499 244 266 187 460 138 093 114 359 83 472 65 273 52 117 46 006 43 289 35 929 21 346 18 265 1 334 668 1 294 119 784 535 628 271 532 359 517 408 481 727 162 840 154 880 97 416 51 600 25 019 12 763 2 041 917 1 816 656 1 362 500 1 187 939 932 372 480 606 479 149 401 606 143 427 130 002

Unrealised appreciation/ (depreciation) USD 9 232 14 976 (6 850) 10 051 (26 218) (7 438) (18 877) 14 465 (4 768) (1 495) (1 330) 7 828 2 978 (638) (1 617) 1 276 (285) (3 042) 511 957 (774) (33 057) 22 284 8 278 (18 251) 14 416 (843) (7 126) 84 532 94 (263) (234) 271 (36 556) (31 467) (112 031) 50 628 15 950 7 416 (9 313) 11 678 (3 547) 2 950

The accompanying notes form an integral part of these financial statements. Audited annual report

148

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Cosmetics/Personal Care - 1 Cosmetics/Personal Care - 2 Cosmetics/Personal Care - 3 Cosmetics/Personal Care - 4 Cosmetics/Personal Care - 5 Distribution/Wholesale - 1 Distribution/Wholesale - 2 Distribution/Wholesale - 3 Distribution/Wholesale - 4 Distribution/Wholesale - 5 Distribution/Wholesale - 6 Distribution/Wholesale - 7 Diversified Financial Services - 1 Diversified Financial Services - 2 Diversified Financial Services - 3 Diversified Financial Services - 4 Diversified Financial Services - 5 Electric - 1 Electric - 2 Electric - 3 Electric - 4 Electric - 5 Electric - 6 Electric - 7 Electric - 8 Electric - 9 Electric - 10 Electric - 11 Electric - 12 Electric - 13 Electric - 14 Electric - 15 Electric - 16 Electric - 17 Electric - 18 Electrical Components & Equipment - 1 Electrical Components & Equipment - 2 Electrical Components & Equipment - 3 Electrical Components & Equipment - 4 Electrical Components & Equipment - 5 Electrical Components & Equipment - 6 Electrical Components & Equipment - 7 Electrical Components & Equipment - 8 Electrical Components & Equipment - 9

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment USD 633 982 585 237 71 439 61 979 29 704 1 035 512 1 009 317 828 456 374 927 87 990 83 769 13 104 1 667 643 1 246 561 1 207 531 469 425 186 981 1 896 253 1 737 537 1 464 371 1 268 420 1 093 002 983 059 761 016 509 847 399 421 364 466 267 518 267 499 235 258 201 904 112 234 104 344 78 059 74 644 3 598 426 1 342 398 1 265 986 1 090 228 1 021 485 862 380 540 278 525 750 519 592

Unrealised appreciation/ (depreciation) USD 10 625 (7 700) 1 953 (9) (420) (72 114) (53 606) (9 712) (10 202) (5 207) (5 733) (655) (139 701) 79 973 18 321 41 116 3 669 (44 688) (10 632) (143 373) 37 782 5 617 (986) 7 632 (50 927) (26 267) 815 (26 473) (462) (437) (2 572) (3 933) (1 389) (844) 1 426 6 403 (80 293) (44 054) (40 599) 119 868 (17 422) (34 643) (8 394) 17 571

Merrill Lynch Investment Solutions

149

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Electrical Components & Equipment - 10 Electrical Components & Equipment - 11 Electrical Components & Equipment - 12 Electrical Components & Equipment - 13 Electrical Components & Equipment - 14 Electrical Components & Equipment - 15 Electronics - 1 Electronics - 2 Electronics - 3 Electronics - 4 Electronics - 5 Electronics - 6 Electronics - 7 Electronics - 8 Electronics - 9 Electronics - 10 Electronics - 11 Electronics - 12 Electronics - 13 Electronics - 14 Electronics - 15 Electronics - 16 Electronics - 17 Electronics - 18 Electronics - 19 Electronics - 20 Energy-Alternate Sources - 1 Engineering & Construction - 1 Engineering & Construction - 2 Engineering & Construction - 3 Engineering & Construction - 4 Engineering & Construction - 5 Engineering & Construction - 6 Engineering & Construction - 7 Engineering & Construction - 8 Engineering & Construction - 9 Engineering & Construction - 10 Engineering & Construction - 11 Engineering & Construction - 12 Engineering & Construction - 13 Engineering & Construction - 14 Engineering & Construction - 15 Engineering & Construction - 16

Commitment USD 482 956 348 043 242 182 180 638 150 959 120 335 2 123 548 2 083 472 1 751 489 1 538 998 1 219 230 829 659 805 329 764 550 429 409 424 114 397 362 316 103 283 514 248 117 232 912 153 765 139 970 65 784 9 828 587 358 290 2 871 458 2 507 849 1 804 403 1 699 666 1 595 044 1 521 698 1 485 322 945 295 915 053 762 756 588 545 573 311 570 448 438 712 389 854 296 666

Unrealised appreciation/ (depreciation) USD 13 071 (12 806) (7 179) 2 522 (1 574) (5 102) (80 983) 178 358 76 314 (29 000) 26 505 (25 038) 22 846 (22 410) (25 495) 3 182 (5 105) (851) – 1 809 (3 429) (1 622) 745 851 511 (5) 5 388 7 175 (93 810) (34 567) 6 293 (21 315) (17 353) (52 340) 5 945 (35 921) – (16 156) (24 149) 42 514 12 336 546 (11 488)

The accompanying notes form an integral part of these financial statements. Audited annual report

150

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Engineering & Construction - 17 Engineering & Construction - 18 Engineering & Construction - 19 Engineering & Construction - 20 Engineering & Construction - 21 Engineering & Construction - 22 Engineering & Construction - 23 Engineering & Construction - 24 Entertainment - 1 Entertainment - 2 Entertainment - 3 Environmental Control - 1 Food - 1 Food - 2 Food - 3 Food - 4 Food - 5 Food - 6 Food - 7 Food - 8 Food - 9 Food - 10 Food - 11 Food - 12 Food - 13 Food - 14 Food - 15 Food - 16 Food - 17 Food - 18 Food - 19 Food - 20 Food - 21 Food - 22 Forest Products & Paper - 1 Forest Products & Paper - 2 Forest Products & Paper - 3 Forest Products & Paper - 4 Forest Products & Paper - 5 Gas - 1 Gas - 2 Gas - 3 Gas - 4 Gas - 5

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment USD 278 451 186 927 147 707 141 978 49 859 36 309 6 552 4 605 802 595 271 432 100 835 341 185 3 452 276 1 536 613 1 376 172 1 145 692 1 088 092 1 047 600 710 612 540 736 482 896 371 605 270 368 258 158 220 294 212 101 185 067 184 963 184 642 184 150 179 375 145 118 114 470 38 888 1 406 606 441 926 220 889 207 738 73 719 1 631 738 1 586 822 598 187 387 918 292 576

Unrealised appreciation/ (depreciation) USD (2 712) (293) (4 337) (5 286) (42) (368) 32 53 9 381 – (3 356) (1 147) 88 662 (15 346) (13 648) 8 296 (1 820) – (2 828) (13 518) 3 444 1 360 (5 669) (5 275) (5 105) 4 718 (3 127) (8 055) 9 828 1 052 (4 084) 2 680 3 590 1 735 43 538 (762) 4 393 (18 044) 586 22 485 19 304 2 141 (6 320) (11 253)

Merrill Lynch Investment Solutions

151

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Gas - 6 Hand/Machine Tools - 1 Hand/Machine Tools - 2 Hand/Machine Tools - 3 Hand/Machine Tools - 4 Hand/Machine Tools - 5 Hand/Machine Tools - 6 Hand/Machine Tools - 7 Hand/Machine Tools - 8 Healthcare-Products - 1 Healthcare-Products - 2 Healthcare-Products - 3 Healthcare-Products - 4 Healthcare-Products - 5 Healthcare-Products - 6 Healthcare-Products - 7 Healthcare-Products - 8 Healthcare-Products - 9 Healthcare-Services - 1 Healthcare-Services - 2 Healthcare-Services - 3 Holding Companies-Divers - 1 Holding Companies-Divers - 2 Home Builders - 1 Home Furnishings - 1 Home Furnishings - 2 Home Furnishings - 3 Home Furnishings - 4 Household Products/Wares - 1 Household Products/Wares - 2 Household Products/Wares - 3 Insurance - 1 Insurance - 2 Insurance - 3 Insurance - 4 Insurance - 5 Insurance - 6 Insurance - 7 Insurance - 8 Insurance - 9 Insurance - 10 Insurance - 11 Insurance - 12 Insurance - 13

Commitment USD 271 889 2 501 468 1 856 286 698 596 540 889 194 780 164 700 119 921 73 647 2 059 597 1 880 592 1 605 377 1 180 260 891 890 299 431 237 961 120 602 67 146 599 005 470 828 455 701 471 773 111 740 1 399 404 1 607 791 1 144 171 658 175 219 343 1 003 200 154 373 139 040 2 398 581 1 071 396 984 655 600 463 554 808 519 147 435 699 387 710 374 904 313 482 313 088 285 424 164 110

Unrealised appreciation/ (depreciation) USD 2 753 134 971 (19 400) 17 007 2 040 840 (576) (4 797) 147 (82 217) (28 069) 5 983 (61 902) (30 499) 4 384 (7 892) (8 860) (223) (2 731) 4 693 1 516 6 514 1 651 58 083 (61 092) 61 257 26 177 (19 241) 5 759 2 796 (1 988) 52 154 17 696 (11 197) (687) 15 908 (5 337) (14 654) 3 164 670 7 420 15 583 1 821 (425)

The accompanying notes form an integral part of these financial statements. Audited annual report

152

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Insurance - 14 Insurance - 15 Insurance - 16 Insurance - 17 Internet - 1 Internet - 2 Internet - 3 Internet - 4 Internet - 5 Internet - 6 Internet - 7 Internet - 8 Internet - 9 Internet - 10 Iron/Steel - 1 Iron/Steel - 2 Iron/Steel - 3 Iron/Steel - 4 Iron/Steel - 5 Iron/Steel - 6 Iron/Steel - 7 Iron/Steel - 8 Iron/Steel - 9 Iron/Steel - 10 Iron/Steel - 11 Leisure Time - 1 Leisure Time - 2 Leisure Time - 3 Leisure Time - 4 Leisure Time - 5 Lodging - 1 Machinery-Construction & Mining - 1 Machinery-Construction & Mining - 2 Machinery-Construction & Mining - 3 Machinery-Construction & Mining - 4 Machinery-Diversified - 1 Machinery-Diversified - 2 Machinery-Diversified - 3 Machinery-Diversified - 4 Machinery-Diversified - 5 Machinery-Diversified - 6 Machinery-Diversified - 7 Machinery-Diversified - 8 Machinery-Diversified - 9

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment USD 160 602 85 829 64 029 3 098 3 500 771 2 016 736 1 924 220 1 362 085 1 016 895 676 175 601 744 164 837 148 312 143 318 2 128 887 1 984 429 1 606 876 1 270 155 727 960 658 410 649 422 474 182 280 717 201 680 168 475 1 190 906 825 418 576 184 468 160 359 413 465 229 1 194 562 2 638 655 437 793 211 646 2 365 508 2 350 551 2 281 378 2 137 874 1 809 668 1 488 264 1 040 680 1 036 330 931 249

Unrealised appreciation/ (depreciation) USD (1 820) (881) 1 646 9 87 428 63 175 30 066 (29 919) 7 660 (16 975) 29 852 4 786 8 061 (5 820) 53 669 – 29 378 32 228 (64 178) 13 280 (23 932) (10 932) 9 368 2 425 1 434 (21 481) 24 124 (12 636) 15 603 (17 783) 4 807 (24 537) 120 530 (15 417) 9 582 (14 108) 2 649 (70 032) (104 518) (69 847) (44 154) 6 576 (17 486) (55 222)

Merrill Lynch Investment Solutions

153

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Machinery-Diversified - 10 Machinery-Diversified - 11 Machinery-Diversified - 12 Machinery-Diversified - 13 Machinery-Diversified - 14 Machinery-Diversified - 15 Machinery-Diversified - 16 Machinery-Diversified - 17 Machinery-Diversified - 18 Machinery-Diversified - 19 Media - 1 Media - 2 Media - 3 Media - 4 Media - 5 Media - 6 Media - 7 Media - 8 Media - 9 Metal Fabricate/Hardware - 1 Metal Fabricate/Hardware - 2 Metal Fabricate/Hardware - 3 Metal Fabricate/Hardware - 4 Metal Fabricate/Hardware - 5 Metal Fabricate/Hardware - 6 Metal Fabricate/Hardware - 7 Metal Fabricate/Hardware - 8 Metal Fabricate/Hardware - 9 Mining - 1 Mining - 2 Mining - 3 Mining - 4 Mining - 5 Mining - 6 Mining - 7 Mining - 8 Mining - 9 Mining - 10 Miscellaneous Manufactures - 1 Miscellaneous Manufactures - 2 Miscellaneous Manufactures - 3 Miscellaneous Manufactures - 4 Miscellaneous Manufactures - 5 Miscellaneous Manufactures - 6

Commitment USD 921 313 893 533 851 266 838 832 712 718 634 801 627 515 514 479 478 536 346 650 1 899 611 1 432 656 1 432 014 1 237 333 686 843 647 492 495 980 249 012 225 016 3 186 958 2 070 343 1 816 727 1 001 117 864 968 823 845 775 824 394 342 150 151 2 146 947 1 260 349 1 161 594 650 862 535 375 368 375 167 672 130 627 109 445 73 282 1 638 872 1 570 065 872 431 790 945 732 580 526 815

Unrealised appreciation/ (depreciation) USD (44 170) 23 080 (36 418) (59 434) 15 683 (42 991) 6 977 13 530 25 867 3 318 9 275 (38 672) 55 348 (10 338) 4 962 25 720 (21 378) (3 927) (1 212) 47 167 (43 428) (6 877) (15 954) (33 481) (10 438) (5 775) (17 145) 3 591 (98 617) (2 403) (7 824) 17 996 (3 318) (13 163) (1 526) 1 640 (2 234) (2 489) (6 062) (148 984) 34 422 (17 389) (7 785) 10 972

The accompanying notes form an integral part of these financial statements. Audited annual report

154

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Miscellaneous Manufactures - 7 Miscellaneous Manufactures - 8 Miscellaneous Manufactures - 9 Office/Business Equipment - 1 Office/Business Equipment - 2 Office/Business Equipment - 3 Oil & Gas - 1 Oil & Gas - 2 Oil & Gas - 3 Oil & Gas - 4 Oil & Gas - 5 Oil & Gas - 6 Oil & Gas - 7 Oil & Gas - 8 Oil & Gas - 9 Oil & Gas - 10 Oil & Gas - 11 Oil & Gas - 12 Oil & Gas - 13 Oil & Gas - 14 Oil & Gas Services - 1 Oil & Gas Services - 2 Oil & Gas Services - 3 Oil & Gas Services - 4 Oil & Gas Services - 5 Oil & Gas Services - 6 Oil & Gas Services - 7 Oil & Gas Services - 8 Packaging & Containers - 1 Packaging & Containers - 2 Pharmaceuticals - 1 Pharmaceuticals - 2 Pharmaceuticals - 3 Pharmaceuticals - 4 Pharmaceuticals - 5 Pharmaceuticals - 6 Pharmaceuticals - 7 Pharmaceuticals - 8 Pharmaceuticals - 9 Pharmaceuticals - 10 Pharmaceuticals - 11 Pharmaceuticals - 12 Pharmaceuticals - 13 Pharmaceuticals - 14

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment USD 481 139 316 671 262 265 1 615 293 1 255 988 146 777 1 323 063 887 387 796 820 769 687 509 292 305 552 260 965 257 307 249 985 241 709 188 141 147 724 59 415 58 950 1 971 264 1 730 458 1 178 711 729 486 655 696 340 748 327 105 75 794 712 925 188 896 2 633 588 2 561 822 2 459 667 2 341 989 1 964 226 1 942 842 1 651 754 1 586 467 1 147 779 1 070 469 993 882 974 197 681 493 656 371

Unrealised appreciation/ (depreciation) USD 13 227 (4 747) 8 770 3 283 43 182 2 127 (33 963) (1 885) 4 517 (9 169) 8 515 3 676 5 923 (2 042) (8 987) (220) 1 819 (3 074) 2 480 (1 436) 21 662 (1 403) 19 645 (1 978) 9 840 (3 879) (892) (389) (33 608) 1 968 78 314 25 502 71 987 (86 156) 12 471 – 28 121 (65 976) 13 613 1 558 2 195 (22 676) (19 955) (7 403)

Merrill Lynch Investment Solutions

155

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Pharmaceuticals - 15 Pharmaceuticals - 16 Pharmaceuticals - 17 Pharmaceuticals - 18 Pharmaceuticals - 19 Pharmaceuticals - 20 Pharmaceuticals - 21 Pharmaceuticals - 22 Pharmaceuticals - 23 Pharmaceuticals - 24 Pharmaceuticals - 25 Pharmaceuticals - 26 Retail - 1 Retail - 2 Retail - 3 Retail - 4 Retail - 5 Retail - 6 Retail - 7 Retail - 8 Retail - 9 Retail - 10 Retail - 11 Retail - 12 Retail - 13 Retail - 14 Retail - 15 Retail - 16 Retail - 17 Retail - 18 Retail - 19 Retail - 20 Retail - 21 Retail - 22 Retail - 23 Retail - 24 Retail - 25 Retail - 26 Semiconductors - 1 Semiconductors - 2 Semiconductors - 3 Semiconductors - 4 Semiconductors - 5 Semiconductors - 6

Commitment USD 566 044 408 063 356 605 325 528 313 072 180 648 159 094 73 516 71 070 70 735 3 622 2 118 2 789 375 1 854 865 1 584 636 1 369 496 1 325 463 1 271 980 1 058 839 1 013 657 938 003 855 851 832 046 630 632 628 356 620 187 523 731 521 836 441 098 405 896 296 932 258 479 234 617 221 702 191 002 136 018 55 614 494 3 245 739 1 841 877 591 211 585 083 267 358 144 996

Unrealised appreciation/ (depreciation) USD 9 535 1 585 (4 914) (19 008) 11 912 2 696 (5 743) 1 276 1 521 247 101 66 (12 974) (70 566) (4 371) 77 728 (57 009) 43 501 (37 609) (1 404) (44 480) (52 776) (8 482) 22 399 (3 246) (32 014) (30 615) (33 287) (2 451) 9 814 (691) (1 331) (2 589) (2 827) (4 914) 675 (3 430) 12 46 895 20 711 83 969 (17 975) 9 716 1 303

The accompanying notes form an integral part of these financial statements. Audited annual report

156

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Semiconductors - 7 Shipbuilding - 1 Software - 1 Software - 2 Software - 3 Software - 4 Software - 5 Software - 6 Software - 7 Telecommunications - 1 Telecommunications - 2 Telecommunications - 3 Telecommunications - 4 Telecommunications - 5 Telecommunications - 6 Telecommunications - 7 Telecommunications - 8 Telecommunications - 9 Telecommunications - 10 Telecommunications - 11 Telecommunications - 12 Telecommunications - 13 Telecommunications - 14 Telecommunications - 15 Telecommunications - 16 Telecommunications - 17 Telecommunications - 18 Telecommunications - 19 Telecommunications - 20 Telecommunications - 21 Telecommunications - 22 Textiles - 1 Textiles - 2 Textiles - 3 Toys/Games/Hobbies - 1 Toys/Games/Hobbies - 2 Toys/Games/Hobbies - 3 Transportation - 1 Transportation - 2 Transportation - 3 Transportation - 4 Transportation - 5 Transportation - 6 Transportation - 7 Transportation - 8

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment USD 122 889 755 797 619 994 490 167 392 529 372 955 241 305 133 386 11 782 2 553 321 1 552 602 1 378 930 1 329 161 1 049 887 617 785 562 256 449 283 355 349 337 758 225 688 179 896 146 192 137 789 133 589 121 789 96 408 95 080 94 314 75 636 30 913 22 974 263 816 256 977 80 781 1 580 196 500 580 64 773 1 832 893 1 378 798 1 313 789 1 148 990 863 274 725 907 646 220 617 869

Unrealised appreciation/ (depreciation) USD (2 666) (71 134) 3 438 22 708 (2 587) 6 059 (11 840) (619) 1 170 (19 013) 111 006 24 315 (12 842) (21 977) (49 333) 15 425 30 306 (2 226) 10 527 (13 903) 775 19 069 (7 265) 4 765 4 833 (1 417) (931) 2 722 3 670 168 2 340 – (15 348) (3 350) (33 317) 4 807 (1 276) (13 766) 1 332 (20 835) 2 542 (2 234) 50 397 (7 819) 33 993

Merrill Lynch Investment Solutions

157

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Index Index Index Index Index Index Index Index Index Index Index Index Index Index Index Index Index Index Index Index Index Index Index Index

Industrial classification of investments Transportation - 9 Transportation - 10 Transportation - 11 Transportation - 12 Transportation - 13 Transportation - 14 Transportation - 15 Transportation - 16 Transportation - 17 Transportation - 18 Transportation - 19 Transportation - 20 Transportation - 21 Transportation - 22 Transportation - 23 Water - 1 Water - 2 Commodities Index - 1 Commodities Index - 2 Commodities Index - 3 Commodities Index - 4 Commodities Index - 5 Commodities Index - 6 Commodities Index - 7 Commodities Index - 8 Commodities Index - 9 Commodities Index - 10 Commodities Index - 11 Commodities Index - 12 Commodities Index - 13 Commodities Index - 14 Commodities Index - 15 Commodities Index - 16 Commodities Index - 17 Commodities Index - 18 Commodities Index - 19 Commodities Index - 20 Commodities Index - 21 Commodities Index - 22 Commodities Index - 23 Commodities Index - 24

Commitment USD 580 302 514 997 402 042 379 834 363 752 339 521 313 018 276 072 202 557 192 193 144 735 126 122 115 891 62 221 20 506 1 692 052 1 630 184 27 765 180 15 152 805 11 890 250 11 729 662 9 054 000 5 901 660 5 549 150 5 110 087 4 375 350 4 281 810 4 268 794 4 178 366 4 145 900 4 050 001 3 441 581 2 821 000 2 303 532 2 194 818 1 820 700 1 341 112 1 193 725 599 472 309 610 236 781 567 897 027

Unrealised appreciation/ (depreciation) USD – (11 487) (12 508) (14 167) 25 463 31 340 1 276 (10 972) 2 905 (6 637) (2 042) (2 808) 1 479 (1 010) 1 446 5 102 9 445 187 200 263 220 (277 240) (278 239) 267 988 (19 440) 62 350 (277 613) (97 708) 23 612 (48 244) 7 754 43 035 73 433 60 413 (52 000) (46 910) 14 454 (59 400) 77 025 (7 543) 11 556 (6 545) 4 552 (1 265 401)

The accompanying notes form an integral part of these financial statements. Audited annual report

158

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD) 3) Morgan Stanley Capital Services Inc. Commitment of USD 407 426 613 for the short portfolio composed of 398 equities Commitment of USD 418 783 736 for the long portfolio composed of 472 equities Market value of USD 2 975 954 detailed as follows: – unrealised depreciation on short portfolio: USD (2 157 905) – unrealised appreciation on long portfolio: USD 3 394 134 – realised result: USD 1 739 725 corresponding to the realised gain on securities which is still held at the counterparty (monthly reset) The below table is composed of long and short positions:

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Advertising - 1 Advertising - 2 Advertising - 3 Aerospace/Defense - 1 Aerospace/Defense - 2 Aerospace/Defense - 3 Aerospace/Defense - 4 Aerospace/Defense - 5 Aerospace/Defense - 6 Aerospace/Defense - 7 Aerospace/Defense - 8 Aerospace/Defense - 9 Aerospace/Defense - 10 Aerospace/Defense - 11 Agriculture - 1 Agriculture - 2 Agriculture - 3 Agriculture - 4 Agriculture - 5 Agriculture - 6 Agriculture - 7 Airlines - 1 Airlines - 2 Airlines - 3 Airlines - 4 Airlines - 5 Airlines - 6 Airlines - 7 Airlines - 8 Airlines - 9 Airlines - 10 Airlines - 11

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment USD 1 385 089 1 210 389 482 980 3 114 660 2 416 269 1 256 088 575 320 489 345 380 754 329 700 325 566 296 244 218 484 74 744 2 475 782 1 016 820 524 193 347 339 250 317 112 080 31 143 2 370 836 1 355 952 1 232 385 934 260 777 465 102 448 6 628 674 1 815 494 1 792 000 1 174 299 984 096

Unrealised appreciation/ (depreciation) USD (9 567) (30 129) (410) 76 368 72 336 5 174 (4 332) (3 819) 4 428 (504) 4 698 (2 964) 675 528 76 336 (28 476) (11 005) 9 292 (6 345) (1 500) 1 274 34 464 71 656 (31 185) – 54 275 6 992 (95 472) (214 508) (34 650) (96 515) (96 120)

Merrill Lynch Investment Solutions

159

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Airlines - 12 Airlines - 13 Airlines - 14 Airlines - 15 Auto Manufacturers - 1 Auto Manufacturers - 2 Auto Manufacturers - 3 Auto Parts & Equipment - 1 Auto Parts & Equipment - 2 Auto Parts & Equipment - 3 Auto Parts & Equipment - 4 Auto Parts & Equipment - 5 Auto Parts & Equipment - 6 Auto Parts & Equipment - 7 Auto Parts & Equipment - 8 Banks - 1 Banks - 2 Banks - 3 Banks - 4 Banks - 5 Banks - 6 Banks - 7 Banks - 8 Banks - 9 Banks - 10 Banks - 11 Banks - 12 Banks - 13 Banks - 14 Banks - 15 Banks - 16 Banks - 17 Banks - 18 Banks - 19 Banks - 20 Banks - 21 Banks - 22 Banks - 23 Banks - 24 Banks - 25 Banks - 26 Banks - 27 Banks - 28 Banks - 29

Commitment USD 964 782 595 608 67 724 26 622 1 441 569 259 189 237 632 3 023 034 1 715 337 1 495 546 981 788 850 740 693 000 542 478 534 900 2 315 720 2 244 102 2 219 980 1 999 180 1 561 434 1 503 960 1 330 150 1 253 070 1 184 412 1 002 320 947 849 928 440 867 692 849 121 832 331 813 780 546 771 521 290 475 228 472 560 465 660 413 840 394 240 346 086 333 418 283 136 249 111 244 644 226 100

Unrealised appreciation/ (depreciation) USD (64 449) (3 640) (36) (156) 87 987 (9 211) (1 128) (29 308) (5 103) (94 880) 4 686 13 640 (52 416) (13 938) 1 200 50 160 25 144 11 716 (65 213) (67 445) (22 650) 8 140 (12 240) 35 488 (24 120) – 1 350 (9 044) 6 708 (15 073) (16 940) 12 141 (6 710) (11 780) (11 460) 4 378 (2 240) 1 155 (2 040) (9 682) 12 800 3 293 (5 476) 850

The accompanying notes form an integral part of these financial statements. Audited annual report

160

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Banks - 30 Banks - 31 Banks - 32 Banks - 33 Banks - 34 Banks - 35 Banks - 36 Banks - 37 Beverages - 1 Beverages - 2 Beverages - 3 Beverages - 4 Beverages - 5 Beverages - 6 Beverages - 7 Biotechnology - 1 Biotechnology - 2 Biotechnology - 3 Biotechnology - 4 Biotechnology - 5 Biotechnology - 6 Biotechnology - 7 Biotechnology - 8 Biotechnology - 9 Building Materials - 1 Building Materials - 2 Building Materials - 3 Building Materials - 4 Building Materials - 5 Building Materials - 6 Chemicals - 1 Chemicals - 2 Chemicals - 3 Chemicals - 4 Chemicals - 5 Chemicals - 6 Chemicals - 7 Chemicals - 8 Chemicals - 9 Chemicals - 10 Chemicals - 11 Chemicals - 12 Chemicals - 13 Chemicals - 14

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment USD 200 896 179 336 119 754 109 170 106 038 98 208 55 891 26 936 4 921 092 1 794 312 1 209 156 458 304 276 885 220 665 76 248 3 239 316 2 789 010 2 562 068 2 527 121 641 434 354 160 323 150 73 044 57 955 2 122 016 1 786 179 700 650 571 410 212 382 139 923 5 531 546 1 967 712 1 960 811 1 844 140 1 705 220 1 425 760 1 394 583 1 352 064 1 296 400 1 216 044 1 159 080 964 875 928 895 728 460

Unrealised appreciation/ (depreciation) USD 4 096 580 3 696 1 575 (1 152) (558) (1 309) (364) (147 390) 31 104 (50 232) 3 648 (8 505) 12 220 672 382 992 (235 410) 168 226 227 809 (3 973) 720 8 550 (1 200) 2 005 39 104 60 249 (1 038) (1 890) 4 712 7 707 (40 204) 88 374 (120 510) (32 200) (440) 22 800 (74 550) 38 272 (49 175) 47 328 89 388 (29 450) (5 500) (17 253)

Merrill Lynch Investment Solutions

161

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Chemicals - 15 Chemicals - 16 Chemicals - 17 Chemicals - 18 Chemicals - 19 Chemicals - 20 Chemicals - 21 Chemicals - 22 Chemicals - 23 Chemicals - 24 Chemicals - 25 Chemicals - 26 Chemicals - 27 Chemicals - 28 Coal - 1 Coal - 2 Coal - 3 Coal - 4 Coal - 5 Commercial Services - 1 Commercial Services - 2 Commercial Services - 3 Commercial Services - 4 Commercial Services - 5 Commercial Services - 6 Commercial Services - 7 Commercial Services - 8 Commercial Services - 9 Commercial Services - 10 Commercial Services - 11 Commercial Services - 12 Commercial Services - 13 Commercial Services - 14 Commercial Services - 15 Commercial Services - 16 Commercial Services - 17 Commercial Services - 18 Commercial Services - 19 Commercial Services - 20 Commercial Services - 21 Commercial Services - 22 Commercial Services - 23 Commercial Services - 24 Commercial Services - 25

Commitment USD 637 637 511 596 486 684 481 404 453 024 413 608 368 082 302 952 279 447 215 845 199 342 148 740 137 424 125 766 3 634 200 1 864 491 1 609 652 1 176 681 1 065 960 2 773 376 2 241 582 2 232 978 1 702 232 1 610 848 1 390 650 1 316 651 1 246 553 1 232 426 1 222 754 1 171 310 1 082 050 886 890 819 279 815 262 735 588 734 792 656 058 593 069 531 588 521 847 343 914 291 081 264 741 221 640

Unrealised appreciation/ (depreciation) USD (22 981) (5 832) 5 445 616 9 360 6 724 4 785 2 730 12 152 (9 751) (2 652) (5 295) 1 428 (5 328) 123 120 (102 195) 47 442 69 344 48 888 (68 228) (99 693) (136 620) (60 568) 19 312 (28 470) 47 220 (40 964) 30 388 2 872 406 49 300 (17 850) 18 834 25 333 39 396 20 988 20 704 13 080 13 764 1 437 9 116 (10 665) (36 863) 3 780

The accompanying notes form an integral part of these financial statements. Audited annual report

162

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Commercial Services - 26 Commercial Services - 27 Commercial Services - 28 Commercial Services - 29 Commercial Services - 30 Computers - 1 Computers - 2 Computers - 3 Computers - 4 Computers - 5 Computers - 6 Computers - 7 Computers - 8 Computers - 9 Computers - 10 Computers - 11 Computers - 12 Computers - 13 Computers - 14 Computers - 15 Computers - 16 Computers - 17 Computers - 18 Computers - 19 Computers - 20 Computers - 21 Computers - 22 Computers - 23 Computers - 24 Computers - 25 Computers - 26 Cosmetics/Personal Care - 1 Cosmetics/Personal Care - 2 Cosmetics/Personal Care - 3 Cosmetics/Personal Care - 4 Distribution/Wholesale - 1 Distribution/Wholesale - 2 Distribution/Wholesale - 3 Distribution/Wholesale - 4 Distribution/Wholesale - 5 Distribution/Wholesale - 6 Distribution/Wholesale - 7 Distribution/Wholesale - 8 Distribution/Wholesale - 9

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment USD 218 504 212 872 110 934 71 656 23 035 3 382 500 3 238 124 3 235 088 2 510 616 2 317 908 2 239 965 2 232 360 2 065 640 1 991 835 1 547 522 1 147 147 1 069 224 1 004 907 987 567 693 315 617 848 608 504 557 888 551 859 538 560 369 408 328 091 149 310 129 808 105 868 86 805 2 238 840 562 538 313 747 141 636 3 317 210 2 790 624 1 342 740 1 212 587 1 182 042 791 292 663 000 287 232 247 478

Unrealised appreciation/ (depreciation) USD 10 560 16 016 3 420 4 368 (1 547) (36 285) (117 852) (137 057) (28 032) 31 348 41 405 21 870 71 755 58 905 20 200 (12 684) 29 502 16 638 5 642 (465) 27 494 (16 432) 27 048 26 796 (23 664) (7 956) 8 023 (63) 190 (2 508) (3 015) (57 240) 6 570 (7 791) 6 924 (56 525) (49 630) 73 809 70 307 (8 439) (16 920) 19 380 (11 352) (1 870)

Merrill Lynch Investment Solutions

163

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Distribution/Wholesale - 10 Diversified Financial Services - 1 Diversified Financial Services - 2 Diversified Financial Services - 3 Diversified Financial Services - 4 Diversified Financial Services - 5 Diversified Financial Services - 6 Diversified Financial Services - 7 Diversified Financial Services - 8 Diversified Financial Services - 9 Diversified Financial Services - 10 Diversified Financial Services - 11 Diversified Financial Services - 12 Diversified Financial Services - 13 Diversified Financial Services - 14 Electric - 1 Electric - 2 Electric - 3 Electric - 4 Electric - 5 Electric - 6 Electric - 7 Electric - 8 Electric - 9 Electric - 10 Electric - 11 Electric - 12 Electric - 13 Electric - 14 Electric - 15 Electric - 16 Electric - 17 Electric - 18 Electric - 19 Electric - 20 Electric - 21 Electric - 22 Electric - 23 Electric - 24 Electric - 25 Electric - 26 Electric - 27 Electric - 28 Electric - 29

Commitment USD 166 056 5 241 547 3 704 595 2 842 856 1 497 612 1 372 704 1 288 192 1 138 024 1 104 966 813 012 778 030 726 748 603 240 305 712 227 232 2 075 696 1 663 572 1 640 432 1 243 788 961 217 947 428 863 328 828 363 773 217 733 068 721 412 714 080 695 640 567 322 565 531 496 858 378 040 341 960 321 402 290 435 280 738 269 892 266 904 255 432 184 176 181 460 154 530 147 660 141 459

Unrealised appreciation/ (depreciation) USD 5 661 (8 889) (26 156) 38 040 (37 296) 2 370 22 015 (2 432) 103 914 29 782 (11 616) (11 454) (10 480) (21 186) 7 104 (65 016) (23 864) (5 868) 40 768 (34 998) (23 326) (29 624) 11 862 14 946 (22 050) 17 922 (28 720) (13 420) 12 642 14 859 16 756 15 210 (7 636) 4 554 145 10 856 (5 076) 4 576 (6 438) (6 804) (1 935) 5 490 (4 761) (2 135)

The accompanying notes form an integral part of these financial statements. Audited annual report

164

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Electric - 30 Electric - 31 Electric - 32 Electric - 33 Electric - 34 Electric - 35 Electric - 36 Electric - 37 Electric - 38 Electric - 39 Electrical Components & Equipment - 1 Electrical Components & Equipment - 2 Electrical Components & Equipment - 3 Electrical Components & Equipment - 4 Electrical Components & Equipment - 5 Electrical Components & Equipment - 6 Electrical Components & Equipment - 7 Electrical Components & Equipment - 8 Electronics - 1 Electronics - 2 Electronics - 3 Electronics - 4 Electronics - 5 Electronics - 6 Electronics - 7 Electronics - 8 Electronics - 9 Electronics - 10 Electronics - 11 Electronics - 12 Electronics - 13 Electronics - 14 Electronics - 15 Electronics - 16 Electronics - 17 Electronics - 18 Electronics - 19 Electronics - 20 Engineering & Construction - 1 Engineering & Construction - 2 Engineering & Construction - 3 Engineering & Construction - 4 Engineering & Construction - 5 Engineering & Construction - 6

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment USD 115 414 72 913 68 310 67 762 51 733 49 080 38 616 16 590 12 474 2 794 802 197 679 770 644 160 514 004 462 336 458 758 208 050 47 696 2 301 104 2 124 800 2 088 740 1 906 212 1 740 870 1 643 656 1 464 081 1 215 354 1 206 400 1 183 320 1 177 946 1 157 016 813 685 655 452 557 256 380 132 293 865 289 893 121 713 13 216 2 300 136 1 790 880 1 383 641 1 114 857 847 735 53 064

Unrealised appreciation/ (depreciation) USD 3 496 2 975 1 840 1 632 2 519 (1 528) 656 525 (329) 74 30 441 4 690 18 260 9 752 (7 224) 28 290 (5 640) (825) (6 808) 43 824 1 731 (87 678) 6 090 11 760 (136 746) 26 106 6 500 (2 880) (4 774) 4 656 (23 762) (2 772) 1 860 (14 351) 5 694 213 1 682 (528) 25 095 26 754 (33 993) 41 817 10 388 (2 224)

Merrill Lynch Investment Solutions

165

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Engineering & Construction - 7 Engineering & Construction - 8 Entertainment - 1 Entertainment - 2 Entertainment - 3 Entertainment - 4 Entertainment - 5 Entertainment - 6 Entertainment - 7 Entertainment - 8 Environmental Control - 1 Environmental Control - 2 Environmental Control - 3 Environmental Control - 4 Environmental Control - 5 Environmental Control - 6 Environmental Control - 7 Equity Fund - 1 Food - 1 Food - 2 Food - 3 Food - 4 Food - 5 Food - 6 Food - 7 Food - 8 Food - 9 Food - 10 Food - 11 Food - 12 Food - 13 Food - 14 Food - 15 Food - 16 Food - 17 Food - 18 Food - 19 Food - 20 Food - 21 Forest Products & Paper - 1 Forest Products & Paper - 2 Forest Products & Paper - 3 Gas - 1 Gas - 2

Commitment USD 39 368 37 928 966 642 436 240 397 440 365 073 329 904 235 950 234 920 119 746 486 204 447 293 382 800 338 212 286 686 211 928 30 225 19 353 672 2 097 049 1 685 056 1 334 368 1 314 372 891 768 840 435 838 916 830 088 794 400 550 124 420 144 380 144 376 005 362 251 356 976 213 295 190 512 181 815 180 246 177 120 78 075 809 490 372 576 102 476 345 024 241 857

Unrealised appreciation/ (depreciation) USD 1 533 1 368 (8 184) (7 350) 21 600 15 987 (7 656) (10 868) 5 600 (1 826) 21 452 (12 859) (10 788) 282 (13 716) (4 484) (315) (226 200) 82 331 113 238 (34 592) (43 860) (57 670) (46 827) 18 252 (94 248) – 24 568 15 888 21 344 8 190 (14 317) 10 008 (8 555) 14 952 10 419 2 805 180 288 (30 774) (2 496) 2 618 12 240 9 009

The accompanying notes form an integral part of these financial statements. Audited annual report

166

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Gas - 3 Gas - 4 Gas - 5 Gas - 6 Gas - 7 Gas - 8 Gas - 9 Hand/Machine Tools - 1 Hand/Machine Tools - 2 Hand/Machine Tools - 3 Hand/Machine Tools - 4 Healthcare-Products - 1 Healthcare-Products - 2 Healthcare-Products - 3 Healthcare-Products - 4 Healthcare-Products - 5 Healthcare-Products - 6 Healthcare-Products - 7 Healthcare-Products - 8 Healthcare-Products - 9 Healthcare-Products - 10 Healthcare-Products - 11 Healthcare-Products - 12 Healthcare-Products - 13 Healthcare-Products - 14 Healthcare-Products - 15 Healthcare-Products - 16 Healthcare-Products - 17 Healthcare-Products - 18 Healthcare-Products - 19 Healthcare-Products - 20 Healthcare-Products - 21 Healthcare-Products - 22 Healthcare-Products - 23 Healthcare-Products - 24 Healthcare-Products - 25 Healthcare-Products - 26 Healthcare-Products - 27 Healthcare-Products - 28 Healthcare-Products - 29 Healthcare-Services - 1 Healthcare-Services - 2 Healthcare-Services - 3 Healthcare-Services - 4

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment USD 155 215 152 568 95 634 63 258 61 740 34 152 31 976 1 497 945 851 810 530 140 511 424 2 554 188 2 183 253 1 317 600 1 288 960 1 218 564 1 185 000 1 121 952 1 109 430 1 087 933 971 768 833 940 820 832 769 780 644 784 637 650 616 923 520 812 460 782 433 656 384 180 339 248 295 431 264 252 194 019 169 056 120 315 95 610 70 546 24 648 2 402 673 2 312 505 1 891 193 1 730 877

Unrealised appreciation/ (depreciation) USD (3 293) 6 448 2 538 2 236 630 1 416 472 (7 770) 15 656 (12 610) 28 820 (29 484) 10 811 8 784 57 000 32 076 54 036 39 416 28 035 68 257 (37 000) (21 771) (42 262) 23 320 (11 400) 7 475 24 163 (35 292) (828) 11 628 (13 490) 2 392 14 413 (15 789) (2 520) (6 660) 3 666 3 760 (420) (285) 154 635 25 545 (73 639) 52 303

Merrill Lynch Investment Solutions

167

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Healthcare-Services - 5 Healthcare-Services - 6 Healthcare-Services - 7 Healthcare-Services - 8 Healthcare-Services - 9 Healthcare-Services - 10 Healthcare-Services - 11 Healthcare-Services - 12 Healthcare-Services - 13 Healthcare-Services - 14 Healthcare-Services - 15 Healthcare-Services - 16 Healthcare-Services - 17 Healthcare-Services - 18 Holding Companies-Divers - 1 Home Builders - 1 Home Builders - 2 Home Builders - 3 Home Builders - 4 Home Builders - 5 Home Furnishings - 1 Home Furnishings - 2 Home Furnishings - 3 Household Products/Wares - 1 Household Products/Wares - 2 Household Products/Wares - 3 Household Products/Wares - 4 Household Products/Wares - 5 Household Products/Wares - 6 Household Products/Wares - 7 Housewares - 1 Insurance - 1 Insurance - 2 Insurance - 3 Insurance - 4 Insurance - 5 Insurance - 6 Insurance - 7 Insurance - 8 Insurance - 9 Insurance - 10 Insurance - 11 Insurance - 12 Insurance - 13

Commitment USD 1 667 679 1 313 090 892 476 823 548 785 862 749 844 507 416 495 864 414 920 379 032 366 925 332 990 256 838 165 575 1 076 628 1 888 392 1 016 260 352 672 313 470 108 011 2 890 424 1 999 424 54 593 1 340 536 960 204 924 422 430 643 371 826 259 440 180 894 1 357 200 2 486 568 2 349 522 2 098 975 1 973 872 1 803 375 1 802 034 1 577 754 1 575 063 1 564 485 1 210 040 1 165 944 1 076 537 1 042 899

Unrealised appreciation/ (depreciation) USD (118 119) (23 750) (34 476) 25 993 3 276 (5 764) (7 280) (5 335) (8 372) 12 138 6 045 (42 350) (7 261) (4 200) (30 615) (47 583) 2 450 1 236 645 3 316 88 328 (20 160) (3 597) 69 208 49 784 69 460 6 935 (19 362) 11 220 1 386 32 240 (33 456) 54 288 66 127 21 128 (8 750) (12 986) 23 643 (10 626) (3 195) 26 026 3 432 15 246 (22 542)

The accompanying notes form an integral part of these financial statements. Audited annual report

168

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Insurance - 14 Insurance - 15 Insurance - 16 Insurance - 17 Insurance - 18 Insurance - 19 Insurance - 20 Insurance - 21 Insurance - 22 Insurance - 23 Insurance - 24 Insurance - 25 Insurance - 26 Insurance - 27 Insurance - 28 Insurance - 29 Insurance - 30 Insurance - 31 Insurance - 32 Insurance - 33 Insurance - 34 Insurance - 35 Insurance - 36 Insurance - 37 Internet - 1 Internet - 2 Internet - 3 Internet - 4 Internet - 5 Internet - 6 Internet - 7 Internet - 8 Internet - 9 Internet - 10 Internet - 11 Internet - 12 Internet - 13 Internet - 14 Internet - 15 Investment Companies - 1 Iron/Steel - 1 Iron/Steel - 2 Iron/Steel - 3 Iron/Steel - 4

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment USD 1 030 342 940 612 879 000 823 526 695 400 618 372 589 900 553 850 544 180 515 235 483 644 456 289 433 440 360 715 317 952 279 247 231 165 218 894 196 800 174 781 141 288 103 275 57 681 26 010 4 800 120 2 803 648 2 357 779 1 877 856 1 733 584 1 728 288 1 051 144 879 417 756 723 700 335 676 104 340 938 317 612 203 401 59 642 296 840 3 049 204 2 313 025 2 159 907 1 431 255

Unrealised appreciation/ (depreciation) USD 30 623 13 560 (38 676) (9 196) 25 275 18 335 4 100 5 016 10 374 12 705 (8 832) (9 334) 2 016 11 115 27 264 (1 475) 5 005 4 316 8 128 2 337 (6 832) 4 300 1 872 (900) 310 080 19 312 (109 000) 66 960 61 692 (127 584) 13 688 28 380 9 768 13 509 (29 315) (6 876) 5 504 12 300 (4 521) 984 442 704 70 525 68 050 (27 993)

Merrill Lynch Investment Solutions

169

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Iron/Steel - 5 Iron/Steel - 6 Iron/Steel - 7 Iron/Steel - 8 Iron/Steel - 9 Leisure Time - 1 Leisure Time - 2 Leisure Time - 3 Leisure Time - 4 Leisure Time - 5 Lodging - 1 Lodging - 2 Lodging - 3 Lodging - 4 Lodging - 5 Lodging - 6 Machinery-Construction & Mining - 1 Machinery-Construction & Mining - 2 Machinery-Construction & Mining - 3 Machinery-Diversified - 1 Machinery-Diversified - 2 Machinery-Diversified - 3 Machinery-Diversified - 4 Machinery-Diversified - 5 Machinery-Diversified - 6 Machinery-Diversified - 7 Machinery-Diversified - 8 Machinery-Diversified - 9 Machinery-Diversified - 10 Machinery-Diversified - 11 Machinery-Diversified - 12 Machinery-Diversified - 13 Machinery-Diversified - 14 Media - 1 Media - 2 Media - 3 Media - 4 Media - 5 Media - 6 Media - 7 Media - 8 Media - 9 Media - 10 Media - 11

Commitment USD 1 160 586 1 144 650 826 085 671 832 492 528 1 378 101 992 496 945 375 564 980 336 140 3 076 710 1 579 760 878 384 579 915 344 142 250 320 2 661 282 1 464 192 351 084 1 539 944 1 504 188 1 158 100 1 031 976 432 854 342 940 315 462 284 347 275 697 267 685 247 500 167 710 58 762 42 990 2 990 310 2 902 452 2 083 696 1 574 800 1 218 440 1 095 084 973 896 759 320 758 889 754 822 723 695

Unrealised appreciation/ (depreciation) USD (3 294) (35 807) 1 790 (48 888) (41 664) 54 385 22 040 (4 500) 12 614 (3 724) (156 156) 47 530 (48 464) 5 292 8 370 (10 100) 73 134 56 334 10 506 15 729 13 724 (5 000) (39 402) (9 622) (10 816) (672) 5 586 5 562 (3 410) (440) 140 737 2 920 250 902 34 236 81 344 (26 600) (85 656) 29 982 (46 221) 44 526 (5 899) (18 340) 2 325

The accompanying notes form an integral part of these financial statements. Audited annual report

170

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Media - 12 Media - 13 Media - 14 Media - 15 Media - 16 Metal Fabricate/Hardware - 1 Metal Fabricate/Hardware - 2 Metal Fabricate/Hardware - 3 Metal Fabricate/Hardware - 4 Mining - 1 Mining - 2 Mining - 3 Miscellaneous Manufactures - 1 Miscellaneous Manufactures - 2 Miscellaneous Manufactures - 3 Miscellaneous Manufactures - 4 Miscellaneous Manufactures - 5 Miscellaneous Manufactures - 6 Miscellaneous Manufactures - 7 Miscellaneous Manufactures - 8 Miscellaneous Manufactures - 9 Miscellaneous Manufactures - 10 Miscellaneous Manufactures - 11 Miscellaneous Manufactures - 12 Miscellaneous Manufactures - 13 Miscellaneous Manufactures - 14 Miscellaneous Manufactures - 15 Miscellaneous Manufactures - 16 Miscellaneous Manufactures - 17 Miscellaneous Manufactures - 18 Miscellaneous Manufactures - 19 Miscellaneous Manufactures - 20 Miscellaneous Manufactures - 21 Miscellaneous Manufactures - 22 Miscellaneous Manufactures - 23 Office/Business Equipment - 1 Office/Business Equipment - 2 Oil & Gas - 1 Oil & Gas - 2 Oil & Gas - 3 Oil & Gas - 4 Oil & Gas - 5 Oil & Gas - 6 Oil & Gas - 7

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment USD 670 500 585 494 517 188 403 280 322 896 2 896 896 948 100 585 522 534 718 3 495 360 568 080 2 556 2 051 873 1 234 506 1 226 754 1 183 608 996 513 795 117 783 090 720 986 705 166 593 385 568 512 550 614 459 300 330 616 307 665 212 620 141 141 107 041 88 396 81 594 73 332 54 846 7 288 600 344 573 620 3 225 392 3 145 181 2 162 524 2 049 300 2 037 420 1 886 319 1 863 750

Unrealised appreciation/ (depreciation) USD 5 340 5 915 (7 980) (213) 22 878 (45 056) 21 650 34 020 (13 260) 45 408 (7 632) 12 (1 119) (10 166) (3 884) 35 904 (30 429) 5 457 (4 284) 4 410 (34 650) 338 (18 576) (23 472) 16 650 (1 859) (720) 1 800 2 340 518 1 694 612 1 442 (1 242) 101 17 372 (4 002) 46 168 271 216 (5 642) 77 550 (65 736) (6 417) 41 100

Merrill Lynch Investment Solutions

171

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Oil & Gas - 8 Oil & Gas - 9 Oil & Gas - 10 Oil & Gas - 11 Oil & Gas - 12 Oil & Gas - 13 Oil & Gas - 14 Oil & Gas - 15 Oil & Gas - 16 Oil & Gas - 17 Oil & Gas - 18 Oil & Gas - 19 Oil & Gas - 20 Oil & Gas - 21 Oil & Gas - 22 Oil & Gas - 23 Oil & Gas - 24 Oil & Gas - 25 Oil & Gas - 26 Oil & Gas - 27 Oil & Gas - 28 Oil & Gas - 29 Oil & Gas - 30 Oil & Gas - 31 Oil & Gas - 32 Oil & Gas - 33 Oil & Gas - 34 Oil & Gas - 35 Oil & Gas - 36 Oil & Gas - 37 Oil & Gas - 38 Oil & Gas - 39 Oil & Gas - 40 Oil & Gas - 41 Oil & Gas - 42 Oil & Gas - 43 Oil & Gas - 44 Oil & Gas - 45 Oil & Gas - 46 Oil & Gas - 47 Oil & Gas - 48 Oil & Gas - 49 Oil & Gas - 50 Oil & Gas - 51

Commitment USD 1 790 250 1 750 706 1 672 512 1 600 368 1 587 601 1 497 655 1 394 320 1 382 187 1 239 825 1 227 854 1 213 030 1 113 396 1 075 635 1 023 015 945 720 937 326 841 205 832 016 810 790 801 990 653 157 650 624 462 960 399 196 396 484 342 495 323 918 319 788 306 064 305 349 301 385 300 716 300 643 291 360 279 128 257 620 174 876 149 200 147 150 129 612 109 018 75 600 63 680 36 407

Unrealised appreciation/ (depreciation) USD (15 250) (90 152) (62 496) (40 348) 38 390 42 300 22 040 61 851 (23 058) (31 794) (33 325) 1 314 34 809 (11 025) (33 840) 3 349 37 765 (48 860) (31 506) 1 596 (4 386) (6 624) (8 640) 26 341 5 896 22 905 (49 147) 2 322 4 884 5 434 7 110 26 (28 826) 9 120 10 064 7 436 (9 126) 1 680 1 620 2 996 2 184 15 456 (740) (1 372)

The accompanying notes form an integral part of these financial statements. Audited annual report

172

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Oil & Gas - 52 Oil & Gas - 53 Oil & Gas - 54 Oil & Gas - 55 Oil & Gas Services - 1 Oil & Gas Services - 2 Oil & Gas Services - 3 Oil & Gas Services - 4 Oil & Gas Services - 5 Oil & Gas Services - 6 Oil & Gas Services - 7 Oil & Gas Services - 8 Oil & Gas Services - 9 Oil & Gas Services - 10 Oil & Gas Services - 11 Oil & Gas Services - 12 Oil & Gas Services - 13 Oil & Gas Services - 14 Oil & Gas Services - 15 Oil & Gas Services - 16 Oil & Gas Services - 17 Oil & Gas Services - 18 Oil & Gas Services - 19 Packaging & Containers - 1 Packaging & Containers - 2 Packaging & Containers - 3 Packaging & Containers - 4 Packaging & Containers - 5 Packaging & Containers - 6 Packaging & Containers - 7 Packaging & Containers - 8 Pharmaceuticals - 1 Pharmaceuticals - 2 Pharmaceuticals - 3 Pharmaceuticals - 4 Pharmaceuticals - 5 Pharmaceuticals - 6 Pharmaceuticals - 7 Pharmaceuticals - 8 Pharmaceuticals - 9 Pharmaceuticals - 10 Pharmaceuticals - 11 Pharmaceuticals - 12 Pharmaceuticals - 13

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment USD 23 511 23 144 5 162 2 139 2 429 874 2 099 454 1 986 048 1 879 605 1 445 377 1 248 508 1 190 038 1 187 472 869 424 847 245 594 027 338 552 326 280 291 424 254 506 191 025 169 520 165 623 99 548 2 367 602 1 766 895 1 036 089 456 768 436 113 134 610 17 495 12 108 3 921 288 3 211 350 2 243 997 2 097 096 2 094 424 2 006 256 1 833 848 1 723 212 1 663 947 1 662 342 1 568 208 1 435 424 1 417 335

Unrealised appreciation/ (depreciation) USD (1 239) 4 180 (184) (105) (76 860) (104 220) (12 384) 12 555 27 985 48 504 26 055 (14 532) 25 134 (70 371) 4 704 (18 855) 840 16 128 3 234 3 834 520 (5 092) (1 476) (8 838) (23 205) 28 635 16 992 16 967 5 610 535 474 (219 912) (85 320) (28 917) (53 100) (35 502) (69 776) 93 152 19 479 62 409 (20 826) 82 584 86 304 (57 645)

Merrill Lynch Investment Solutions

173

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Pharmaceuticals - 14 Pharmaceuticals - 15 Pharmaceuticals - 16 Pharmaceuticals - 17 Pharmaceuticals - 18 Pharmaceuticals - 19 Pharmaceuticals - 20 Pharmaceuticals - 21 Pharmaceuticals - 22 Pharmaceuticals - 23 Pharmaceuticals - 24 Pharmaceuticals - 25 Pipelines - 1 Pipelines - 2 Pipelines - 3 Private Equity - 1 Real Estate - 1 Real Estate - 2 Real Estate - 3 REITS - 1 REITS - 2 Retail - 1 Retail - 2 Retail - 3 Retail - 4 Retail - 5 Retail - 6 Retail - 7 Retail - 8 Retail - 9 Retail - 10 Retail - 11 Retail - 12 Retail - 13 Retail - 14 Retail - 15 Retail - 16 Retail - 17 Retail - 18 Retail - 19 Retail - 20 Retail - 21 Retail - 22 Retail - 23

Commitment USD 1 354 775 1 266 111 1 119 768 930 311 928 126 680 943 627 504 497 333 473 261 447 920 362 304 313 845 877 128 423 298 233 700 4 121 628 1 967 139 397 640 3 649 914 238 30 096 4 144 584 3 948 990 3 943 027 2 835 540 2 653 570 2 643 640 2 490 035 2 479 827 2 359 136 2 246 920 2 176 608 2 092 530 1 885 178 1 782 384 1 776 500 1 733 732 1 646 080 1 639 830 1 528 722 1 469 314 1 458 600 1 400 300 1 353 235

Unrealised appreciation/ (depreciation) USD (36 190) (14 014) 31 816 15 857 (100 573) (19 093) 6 936 (16 592) (6 420) 27 500 (4 032) 19 215 (54 096) 25 651 (15 124) (72 012) (57 564) 3 640 23 21 996 1 608 (42 316) (13 258) (69 212) (84 105) 2 396 150 520 (40 893) (78 126) 144 001 77 720 (47 068) (162 255) 151 650 11 076 68 400 130 988 47 360 10 105 33 082 – (85 470) 82 346 (136 795)

The accompanying notes form an integral part of these financial statements. Audited annual report

174

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Retail - 24 Retail - 25 Retail - 26 Retail - 27 Retail - 28 Retail - 29 Retail - 30 Retail - 31 Retail - 32 Retail - 33 Retail - 34 Retail - 35 Retail - 36 Retail - 37 Retail - 38 Retail - 39 Retail - 40 Retail - 41 Retail - 42 Retail - 43 Retail - 44 Retail - 45 Retail - 46 Retail - 47 Retail - 48 Retail - 49 Retail - 50 Retail - 51 Retail - 52 Retail - 53 Retail - 54 Retail - 55 Retail - 56 Retail - 57 Retail - 58 Retail - 59 Retail - 60 Retail - 61 Retail - 62 Retail - 63 Retail - 64 Retail - 65 Retail - 66 Retail - 67

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment USD 1 272 154 1 239 750 1 217 304 1 204 740 1 192 342 1 153 250 996 240 952 290 937 416 917 056 845 579 821 796 821 440 810 560 755 508 754 528 716 214 701 820 697 830 656 019 629 090 622 134 604 827 569 432 508 485 484 210 483 348 459 330 451 737 431 235 429 624 417 375 409 754 397 733 380 970 341 426 332 640 317 370 293 125 244 272 198 385 153 698 110 770 108 297

Unrealised appreciation/ (depreciation) USD 25 980 29 250 (20 648) (1 746) 16 819 60 250 (62 858) 1 890 (2 529) 106 266 29 154 (71 170) (35 636) (89 250) 54 912 (40 880) 63 042 11 550 (7 840) 18 207 – 30 381 25 251 424 (18 312) (902) (1 269) 26 108 (29 601) (10 647) 13 000 (16 650) (17 466) 35 329 25 330 (13 250) 16 416 894 670 (23 991) 2 650 2 814 (1 995) (3 629)

Merrill Lynch Investment Solutions

175

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Retail - 68 Retail - 69 Retail - 70 Retail - 71 Retail - 72 Retail - 73 Semiconductors - 1 Semiconductors - 2 Semiconductors - 3 Semiconductors - 4 Semiconductors - 5 Semiconductors - 6 Semiconductors - 7 Semiconductors - 8 Semiconductors - 9 Semiconductors - 10 Semiconductors - 11 Semiconductors - 12 Semiconductors - 13 Semiconductors - 14 Semiconductors - 15 Semiconductors - 16 Semiconductors - 17 Semiconductors - 18 Semiconductors - 19 Semiconductors - 20 Semiconductors - 21 Semiconductors - 22 Semiconductors - 23 Semiconductors - 24 Semiconductors - 25 Semiconductors - 26 Semiconductors - 27 Semiconductors - 28 Semiconductors - 29 Semiconductors - 30 Semiconductors - 31 Semiconductors - 32 Semiconductors - 33 Semiconductors - 34 Semiconductors - 35 Software - 1 Software - 2 Software - 3 Software - 4

Commitment USD 82 040 47 664 21 355 20 682 7 194 91 3 052 920 2 840 892 2 281 407 1 570 926 1 566 112 1 468 458 1 433 760 1 389 920 1 288 368 1 234 525 1 173 318 1 048 640 1 028 475 1 012 506 1 004 955 989 147 959 078 936 672 869 196 838 566 740 786 736 008 626 637 593 446 518 316 488 145 405 328 362 336 300 960 270 235 256 120 155 712 36 764 17 335 6 056 3 469 302 2 847 398 2 053 872 1 826 356

Unrealised appreciation/ (depreciation) USD (1 448) (540) (380) 1 841 283 (2) (108 984) (51 972) (50 457) 6 951 28 776 (37 674) (30 900) 37 814 14 004 (33 335) (10 046) (44 296) 7 875 5 742 39 410 (20 654) 76 880 (22 704) 18 306 16 059 (2 076) 819 (25 691) 10 488 (10 434) 17 220 (3 430) (2 080) (3 420) 7 105 8 170 2 976 (182) 40 (42) (91 180) (221 527) (4 080) 35 112

The accompanying notes form an integral part of these financial statements. Audited annual report

176

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Software - 5 Software - 6 Software - 7 Software - 8 Software - 9 Software - 10 Software - 11 Software - 12 Software - 13 Software - 14 Software - 15 Software - 16 Software - 17 Software - 18 Software - 19 Software - 20 Software - 21 Software - 22 Software - 23 Software - 24 Software - 25 Software - 26 Software - 27 Software - 28 Software - 29 Software - 30 Software - 31 Software - 32 Telecommunications - 1 Telecommunications - 2 Telecommunications - 3 Telecommunications - 4 Telecommunications - 5 Telecommunications - 6 Telecommunications - 7 Telecommunications - 8 Telecommunications - 9 Telecommunications - 10 Telecommunications - 11 Telecommunications - 12 Telecommunications - 13 Telecommunications - 14 Telecommunications - 15 Telecommunications - 16 Telecommunications - 17

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment USD 1 678 689 1 125 664 1 047 058 1 023 910 963 295 764 896 763 750 737 772 716 576 713 226 691 675 689 388 628 350 569 940 479 412 422 047 401 520 306 123 303 316 268 060 265 188 158 805 96 064 84 258 52 520 50 980 36 425 8 583 2 699 993 2 493 792 1 994 475 1 844 730 1 733 301 1 699 259 1 362 500 1 093 488 1 092 543 1 032 645 981 924 966 042 949 501 920 919 829 892 815 584 779 375

Unrealised appreciation/ (depreciation) USD 131 977 (23 664) 53 110 (42 478) 52 890 318 25 051 23 604 (26 264) (4 089) (26 499) 33 408 35 855 (9 450) 17 949 (23 765) 7 536 201 2 808 7 865 (30 340) 3 330 (817) (992) 192 (100) (500) (153) 315 238 86 688 18 270 166 165 (67 860) (103 753) 81 250 (31 392) (28 923) 63 210 282 (35 112) (16 037) 13 554 34 454 (35 904) 8 600

Merrill Lynch Investment Solutions

177

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Telecommunications - 18 Telecommunications - 19 Telecommunications - 20 Telecommunications - 21 Telecommunications - 22 Telecommunications - 23 Telecommunications - 24 Telecommunications - 25 Telecommunications - 26 Telecommunications - 27 Telecommunications - 28 Telecommunications - 29 Telecommunications - 30 Telecommunications - 31 Telecommunications - 32 Telecommunications - 33 Telecommunications - 34 Telecommunications - 35 Textiles - 1 Textiles - 2 Toys/Games/Hobbies - 1 Toys/Games/Hobbies - 2 Transportation - 1 Transportation - 2 Transportation - 3 Transportation - 4 Transportation - 5 Transportation - 6 Transportation - 7 Transportation - 8 Transportation - 9 Transportation - 10 Transportation - 11 Transportation - 12 Transportation - 13 Transportation - 14 Transportation - 15 Transportation - 16 Transportation - 17 Transportation - 18 Transportation - 19 Transportation - 20 Trucking&Leasing - 1 Water - 1

Commitment USD 774 330 764 764 761 577 734 160 680 561 624 292 577 220 570 140 493 135 368 291 273 676 240 372 162 320 132 570 103 082 82 680 46 655 13 959 961 520 366 279 796 978 395 460 2 503 680 1 819 476 1 183 050 1 137 283 925 665 828 679 765 960 751 716 687 600 596 357 525 228 377 960 320 264 201 250 199 500 142 426 133 080 118 224 107 912 25 250 509 306 327 376 826 210 349

Unrealised appreciation/ (depreciation) USD – (91 520) (24 567) (7 455) (22 287) 23 303 (56 420) 4 640 67 194 (11 858) (4 826) 3 663 1 040 (2 550) (2 072) 8 424 1 680 459 (7 140) (11 205) 36 400 15 480 (34 882) (8 262) (20 790) (75 905) 14 300 6 497 (70 902) 51 186 14 580 41 249 6 992 2 068 (1 634) 5 875 3 800 (2 537) (3 492) 3 312 2 758 (1 280) (5 586) 9 638 1 236 229

The accompanying notes form an integral part of these financial statements. Audited annual report

178

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD) 4) Morgan Stanley International Plc. Commitment of USD 48 338 911 for the short portfolio composed of 12 equities and 3 indices Commitment of USD 140 490 735 for the long portfolio composed of 226 equities and 1 index Market value of USD 642 974 detailed as follows: – unrealised appreciation on short portfolio: USD 383 597 – unrealised appreciation on long portfolio: USD 132 911 – realised result: USD 126 466 corresponding to the realised gain on securities which is still held at the counterparty (monthly reset) The below table is composed of long and short positions:

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Agriculture - 1 Airlines - 1 Airlines - 2 Airlines - 3 Auto Manufacturers - 1 Auto Manufacturers - 2 Auto Manufacturers - 3 Auto Manufacturers - 4 Auto Manufacturers - 5 Auto Parts & Equipment - 1 Banks - 1 Banks - 2 Banks - 3 Banks - 4 Banks - 5 Banks - 6 Banks - 7 Banks - 8 Banks - 9 Banks - 10 Banks - 11 Banks - 12 Banks - 13 Banks - 14 Banks - 15 Banks - 16 Banks - 17 Banks - 18 Banks - 19 Banks - 20 Banks - 21 Banks - 22 Banks - 23

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment USD 5 711 863 966 69 332 118 751 248 342 615 246 541 204 413 46 234 317 958 6 843 325 4 221 745 4 213 039 843 578 835 344 543 817 453 336 411 943 318 620 317 199 312 797 308 400 241 514 215 448 202 068 191 986 186 096 155 213 147 189 116 235 102 960 97 432 70 657

Unrealised appreciation/ (depreciation) USD 73 21 850 5 512 (2) 13 587 20 657 (25 250) 7 996 (341) (9 062) 8 691 (94 498) 87 811 25 574 25 856 21 332 22 385 20 014 (4 833) 12 543 4 349 6 863 4 025 2 543 (5 886) 8 441 3 134 9 884 141 4 739 3 408 (2 194) 6 147

Merrill Lynch Investment Solutions

179

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Banks - 24 Banks - 25 Banks - 26 Banks - 27 Banks - 28 Banks - 29 Banks - 30 Banks - 31 Banks - 32 Banks - 33 Beverages - 1 Beverages - 2 Beverages - 3 Beverages - 4 Beverages - 5 Building Materials - 1 Chemicals - 1 Chemicals - 2 Chemicals - 3 Chemicals - 4 Chemicals - 5 Chemicals - 6 Coal - 1 Commercial Services - 1 Commercial Services - 2 Commercial Services - 3 Commercial Services - 4 Computers - 1 Computers - 2 Computers - 3 Computers - 4 Computers - 5 Computers - 6 Computers - 7 Computers - 8 Cosmetics/Personal Care - 1 Diversified Financial Services - 1 Diversified Financial Services - 2 Diversified Financial Services - 3 Diversified Financial Services - 4 Diversified Financial Services - 5 Diversified Financial Services - 6 Diversified Financial Services - 7 Diversified Financial Services - 8 Diversified Financial Services - 9

Commitment USD 51 120 42 029 36 283 24 249 17 678 11 371 8 984 8 361 2 249 113 431 766 273 090 261 768 196 524 136 200 4 022 157 387 135 378 134 810 71 715 8 868 69 397 586 5 291 670 134 465 56 857 1 771 1 776 232 706 221 367 354 254 587 222 684 184 830 2 616 827 303 673 4 808 632 3 579 060 1 080 178 667 316 336 374 285 676 225 138 197 447 163 080

Unrealised appreciation/ (depreciation) USD 72 1 665 653 326 (1 051) (412) 295 291 (59) 2 (7 242) 41 4 011 3 384 3 600 (308) 5 190 (4 093) (1 542) (3 137) (98) (2) (1 227) (4 589) 6 297 (945) 24 19 832 9 039 11 005 12 466 7 076 2 562 78 18 2 921 72 697 (67 859) 1 377 689 588 (2 632) 3 834 4 746 (8 096)

The accompanying notes form an integral part of these financial statements. Audited annual report

180

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Diversified Financial Services - 10 Diversified Financial Services - 11 Diversified Financial Services - 12 Diversified Financial Services - 13 Diversified Financial Services - 14 Diversified Financial Services - 15 Diversified Financial Services - 16 Diversified Financial Services - 17 Diversified Financial Services - 18 Diversified Financial Services - 19 Diversified Financial Services - 20 Electric - 1 Electric - 2 Electric - 3 Electric - 4 Electric - 5 Electric - 6 Electric - 7 Electrical Components & Equipment - 1 Electrical Components & Equipment - 2 Electrical Components & Equipment - 3 Electronics - 1 Electronics - 2 Electronics - 3 Electronics - 4 Electronics - 5 Engineering & Construction - 1 Engineering & Construction - 2 Engineering & Construction - 3 Engineering & Construction - 4 Food - 1 Food - 2 Food - 3 Food - 4 Food - 5 Food - 6 Forest Products & Paper - 1 Gas - 1 Gas - 2 Healthcare-Services - 1 Healthcare-Services - 2 Holding Companies-Divers - 1 Holding Companies-Divers - 2 Holding Companies-Divers - 3 Home Furnishings - 1

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment USD 108 416 59 529 49 786 30 328 15 200 1 067 423 399 376 68 34 3 670 668 603 758 407 144 392 496 330 111 137 775 117 073 181 515 81 490 50 163 4 477 683 497 818 302 013 64 777 977 440 270 408 095 94 813 34 518 4 815 784 967 208 649 237 549 694 319 680 103 196 115 872 490 144 52 698 6 840 843 2 889 916 349 528 226 627 116 128 196 715

Unrealised appreciation/ (depreciation) USD (455) (681) (349) (1 234) (928) 28 15 4 14 1 – 6 127 (60 630) 19 455 12 036 (18 966) 13 598 (1 396) 2 766 (2 956) 2 143 (85 267) 4 492 4 968 1 393 67 10 419 920 1 523 (498) (13 654) (55 109) 20 211 (4 045) (2 040) (2 257) 8 160 49 149 (1 867) 41 307 (31 262) 5 899 17 916 3 297 (3 608)

Merrill Lynch Investment Solutions

181

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Home Furnishings - 2 Household Products/Wares - 1 Household Products/Wares - 2 Household Products/Wares - 3 Insurance - 1 Insurance - 2 Insurance - 3 Insurance - 4 Insurance - 5 Insurance - 6 Insurance - 7 Insurance - 8 Insurance - 9 Insurance - 10 Internet - 1 Internet - 2 Internet - 3 Iron/Steel - 1 Iron/Steel - 2 Iron/Steel - 3 Iron/Steel - 4 Leisure Time - 1 Lodging - 1 Lodging - 2 Machinery-Diversified - 1 Machinery-Diversified - 2 Machinery-Diversified - 3 Machinery-Diversified - 4 Media - 1 Media - 2 Media - 3 Media - 4 Media - 5 Metal Fabricate/Hardware - 1 Metal Fabricate/Hardware - 2 Mining - 1 Mining - 2 Mining - 3 Mining - 4 Mining - 5 Mining - 6 Mining - 7 Mining - 8 Mining - 9 Mining - 10

Commitment USD 17 875 1 929 166 299 764 102 063 4 397 369 3 022 511 502 197 464 398 277 620 200 491 191 328 121 045 113 017 194 1 932 705 707 880 117 635 617 332 429 780 392 264 220 4 273 423 1 935 538 1 803 641 2 549 685 1 840 721 1 766 313 430 220 2 306 055 1 134 984 793 020 251 757 149 016 33 258 72 2 516 119 2 300 509 1 853 475 1 208 016 807 506 449 763 278 285 139 084 106 044 105 984

Unrealised appreciation/ (depreciation) USD 1 343 (21 568) 27 778 1 274 (26 125) 25 956 (13 597) (7 740) (3 621) 4 807 (988) (513) 6 142 4 (2 418) 8 239 (7 849) 1 199 (4 160) 6 479 (8) 17 899 3 767 (51 219) 12 556 3 956 (3 594) 163 2 351 (36 650) (32 330) (15 096) 2 352 1 449 (1) 15 692 24 437 (100 003) (749) 88 190 5 843 15 512 5 146 2 617 716

The accompanying notes form an integral part of these financial statements. Audited annual report

182

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Mining - 11 Mining - 12 Mining - 13 Mining - 14 Miscellaneous Manufactures - 1 Oil & Gas - 1 Oil & Gas - 2 Oil & Gas - 3 Oil & Gas - 4 Oil & Gas - 5 Oil & Gas - 6 Oil & Gas - 7 Oil & Gas - 8 Oil & Gas - 9 Oil & Gas - 10 Oil & Gas - 11 Oil & Gas Services - 1 Pharmaceuticals - 1 Pharmaceuticals - 2 Real Estate - 1 Real Estate - 2 Real Estate - 3 Real Estate - 4 Real Estate - 5 Real Estate - 6 Real Estate - 7 Real Estate - 8 Real Estate - 9 Real Estate - 10 Real Estate - 11 REITS - 1 Retail - 1 Retail - 2 Retail - 3 Retail - 4 Retail - 5 Retail - 6 Retail - 7 Retail - 8 Retail - 9 Retail - 10 Savings&Loans - 1 Semiconductors - 1 Semiconductors - 2 Semiconductors - 3

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment USD 95 016 54 516 29 371 28 480 286 933 3 228 144 987 234 555 350 382 707 315 684 224 894 210 912 133 311 63 501 25 810 22 127 310 008 135 870 19 141 220 543 111 817 98 576 77 506 46 959 33 909 20 154 11 290 11 153 9 438 7 513 1 853 058 1 649 249 773 107 552 322 338 223 316 701 219 326 129 162 114 317 90 323 60 329 6 839 182 3 630 238 764 955 98 033

Unrealised appreciation/ (depreciation) USD 1 194 1 785 (2 069) (1 982) 6 171 35 539 9 983 14 442 4 070 14 715 (15 453) (4 528) (5 586) 1 752 (920) (828) 15 562 (3 024) (479) 3 039 9 662 (2 573) 1 869 (142) 1 471 2 619 (473) 546 922 451 (34 575) 5 931 21 025 – 4 705 (11 581) (3) (34) 7 206 220 2 254 16 689 93 945 (2 225) 1 476

Merrill Lynch Investment Solutions

183

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Index Index Index Index

Commitment USD 16 153 6 518 168 87 263 709 713 3 934 911 2 935 311 1 839 202 903 210 333 030 309 487 282 340 280 444 266 910 248 150 243 432 190 736 149 408 149 097 46 469 15 848 4 030 408 559 695 448 662 10 476 790 6 334 200 5 929 804 3 574 085 188 829 646

Industrial classification of investments Semiconductors - 4 Semiconductors - 5 Semiconductors - 6 Shipbuilding - 1 Software - 1 Telecommunications - 1 Telecommunications - 2 Telecommunications - 3 Telecommunications - 4 Telecommunications - 5 Telecommunications - 6 Telecommunications - 7 Telecommunications - 8 Telecommunications - 9 Telecommunications - 10 Telecommunications - 11 Telecommunications - 12 Telecommunications - 13 Telecommunications - 14 Telecommunications - 15 Telecommunications - 16 Telecommunications - 17 Telecommunications - 18 Transportation - 1 Water - 1 Future Index - 1 Future Index - 2 Future Index - 3 Future Index - 4

Unrealised appreciation/ (depreciation) USD 549 347 11 (1 835) 23 279 (1 299) 70 093 15 959 7 310 (21 490) (14 578) 12 001 11 798 3 012 2 286 11 124 22 659 896 9 220 (2 052) (465) (83) 4 (37 293) 18 894 498 687 (379 746) (76 068) (22 800) 516 508

The total market value of the contracts for difference swaps is USD 5 270 249.

The accompanying notes form an integral part of these financial statements. Audited annual report

184

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at March 31, 2013 (expressed in USD) Nominal value/ Quantity

Description

Quotation Currency

Cost USD

Market value USD

% of net assets

Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.) Bonds 650 000 660 000 800 000 665 000 3 250 000 4 141 000 8 650 000 1 250 000 1 917 000 107 500 000

AG2R La Mondiale Vie FRN Perpetual AG2R La Mondiale Vie FRN Perpetual Credit Logement S.A. FRN Perpetual Credit Logement S.A. FRN Perpetual Credit Logement S.A. FRN Perpetual Credit Suisse Group Guernsey V Ltd. 4% 29/03/2013 Groupama S.A. FRN Perpetual Groupama S.A. FRN 27/10/2039 Takko Luxembourg 2 S.C.A 9.875% 15/04/2019 TUI AG 5.5% 17/11/2014 Vedanta Resources Jersey Ltd. 5.5% 13/07/2016 Total Bonds

EUR EUR EUR EUR EUR CHF EUR EUR EUR EUR USD

540 446 702 908 756 501 508 139 2 553 974 5 159 829 5 742 220 1 032 475 2 402 382 6 453 606 328 20 011 655

617 652 775 468 731 937 608 422 2 604 153 6 731 295 7 086 559 1 505 606 2 396 385 122 508 000 23 565 599

0.27 0.33 0.32 0.26 1.12 2.90 3.06 0.65 1.03 0.00 0.22 10.16

44 921 315 685 1 511 131 176 608 70 637 12 200 40 721 752 000 54 000 48 245

Beam, Inc. Cimpor Cimentos de Portugal SGPS S.A. Coal of Africa Ltd. Entertainment One Ltd. Genel Energy Plc. Koninklijke Philips Electronics NV Ophir Energy Plc. Phoenix Group Hldg. Pirelli & C. SpA Ryanair Hldg. Plc. - ADR Total Shares

USD EUR GBP GBP GBP EUR GBP GBP EUR USD

2 765 114 1 363 433 978 564 424 111 1 144 525 309 307 165 298 5 520 782 617 369 1 782 106 15 070 609

2 854 280 1 366 100 321 241 499 468 868 796 361 650 286 348 7 627 724 567 559 2 015 676 16 768 842

1.23 0.59 0.14 0.22 0.37 0.16 0.12 3.29 0.24 0.87 7.23

EUR EUR EUR

178 554 3 848 768 590 164

189 633 3 769 705 659 147

0.08 1.63 0.29

EUR EUR USD USD USD USD USD USD USD USD USD USD USD USD

122 303 107 555 5 999 175 2 999 277 11 997 372 16 993 598 33 987 562 9 992 905 18 985 622 8 991 275 20 978 608 941 6 998 748 945

139 643 118 613 5 999 478 2 999 694 11 998 332 16 997 127 33 990 786 9 996 430 18 990 747 8 995 149 20 983 641 1 091 7 005 740 1 092

0.06 0.05 2.59 1.29 5.17 7.33 14.66 4.31 8.19 3.88 9.05 0.00 3.02 0.00

Shares

Supranationals, Governments and Local Public Authorities, Debt Instruments 167 000 3 336 000 550 000 124 000 100 000 6 000 000 3 000 000 12 000 000 17 000 000 34 000 000 10 000 000 19 000 000 9 000 000 21 000 000 1 000 7 000 000 1 000

Autonomous Community of Andalusia Spain 4.85% 17/03/2020 Autonomous Community of Catalonia 4.95% 11/02/2020 Autonomous Community of Valencia Spain 4% 02/11/2016 Autonomous Community of Valencia Spain 4.9% 17/03/2020 Junta Comunidades de Castilla-La Mancha 6% 15/01/2021 United States Treasury Bill 0% 23/05/2013 United States Treasury Bill 0% 30/05/2013 United States Treasury Bill 0% 20/06/2013 United States Treasury Bill 0% 27/06/2013 United States Treasury Bill 0% 01/08/2013 United States Treasury Bill 0% 22/08/2013 United States Treasury Bill 0% 19/09/2013 United States Treasury Bill 0% 17/10/2013 United States Treasury Bill 0% 12/12/2013 United States Treasury Note/Bond 2.625% 15/11/2020 United States Treasury Note/Bond 0.25% 31/01/2014 United States Treasury Note/Bond 2.625% 15/08/2020

The accompanying notes form an integral part of these financial statements. Audited annual report

Merrill Lynch Investment Solutions

185

Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD) Nominal value/ Quantity

Quotation Currency

Description

Market value USD

Cost USD

% of net assets

Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.) Supranationals, Governments and Local Public Authorities, Debt Instruments (cont.) 1 000 1 000 1 000 1 000

United States Treasury Note/Bond 3.375% 15/11/2019 United States Treasury Note/Bond 3.5% 15/05/2020 United States Treasury Note/Bond 3.625% 15/02/2020 United States Treasury Note/Bond 3.625% 15/02/2021 Total Supranationals, Governments and Local Public Authorities, Debt Instruments Total investments

Industrial classification of investments (as a percentage of net assets as at March 31, 2013) Sovereign Insurance Diversified Financial Services Municipal Beverages Apparel Airlines Building Materials Oil & Gas Auto Manufacturers/Parts & Equipment Distribution/Wholesale Mining Electronics Coal

Underlying Currency nature contract Details Futures contracts (cont.) Index EUR Amsterdam Index Index EUR CAC 40 10 Euro Index EUR DAX Index Index GBP FTSE 100 Index Index EUR IBEX 35 Index Index SEK OMX 30 Index

% 59.49 7.60 4.60 2.11 1.23 1.03 0.87 0.59 0.49 0.24 0.22 0.22 0.16 0.14 78.99

Market Nyse Liffe Amsterdam Euronext Paris Eurex Deutschland Euronext Liffe Meff Renta Variable Madrid OMX Nordic Exchange Stockholm

USD USD USD USD

1 004 1 006 1 018 1 006

1 145 1 155 1 162 1 165

0.00 0.00 0.00 0.00

142 777 406 177 859 670

142 840 675 183 175 116

61.60 78.99

Geographical classification of investments (as a percentage of net assets as at March 31, 2013) United States France Jersey Guernsey Spain Luxembourg Ireland Portugal Italy Canada Netherlands Australia United Kingdom

% 60.72 6.01 3.88 2.90 2.11 1.03 0.87 0.59 0.24 0.22 0.16 0.14 0.12 78.99

Maturity Date

Number of Number of contracts contracts bought sold

Commitment USD

Unrealised appreciation/ (depreciation) USD

19/04/2013 19/04/2013 21/06/2013 21/06/2013 19/04/2013

6 84 35 50 26

535 315 4 025 497 8 764 539 4 821 840 2 615 472

5 393 (555) 231 218 58 970 180 328

19/04/2013

111

2 031 529

427

The accompanying notes form an integral part of these financial statements. Audited annual report

186

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying Currency nature contract Details Futures contracts (cont.) Interest rate USD 5 Year US Treasury Note Interest rate EUR German Euro BOBL Total Futures contracts

Purchase Forward foreign exchange contracts USD 524 528 USD 3 010 344 USD 1 214 804 USD 6 153 445 USD 5 201 809 USD 31 305 USD 530 563 USD 5 899 289 USD 976 518 USD 35 237 USD 895 180 USD 779 104 USD 1 374 408 USD 85 380 USD 580 670 USD 5 227 732 USD 3 932 375 USD 216 946 USD 953 721 USD 6 083 986 USD 6 190 723 USD 423 031 USD 102 621 USD 156 266 USD 1 030 524 CHF 2 730 543 EUR 105 204 339 GBP 36 302 915 USD 1 325 504 USD 3 861 555 USD 28 228 104 USD 1 232 745 USD 641 992 Total Forward foreign exchange contracts

Market

Chicago Board of Trade Eurex Deutschland

Sale EUR EUR GBP CHF EUR PLN CHF EUR GBP NOK GBP SEK CHF HUF SEK EUR GBP ZAR CHF EUR GBP CHF NOK AUD EUR USD USD USD CHF EUR EUR GBP EUR

400 000 2 300 000 800 000 5 800 000 4 000 000 100 000 500 000 4 500 000 650 000 200 000 600 000 5 000 000 1 300 000 20 150 000 3 700 000 4 000 000 2 600 000 2 000 000 900 000 4 700 000 4 100 000 400 000 600 000 150 000 800 000 2 900 605 136 440 404 54 919 056 1 263 096 3 000 000 22 057 031 815 411 500 000

The accompanying notes form an integral part of these financial statements. Audited annual report

Maturity Date

Number of Number of contracts contracts bought sold

28/06/2013 06/06/2013

1 1

Commitment USD

Unrealised appreciation/ (depreciation) USD

124 054 162 721 23 080 967

(92) (886) 474 803

Maturity date

Counterparty

02/04/2013 04/04/2013 04/04/2013 08/04/2013 08/04/2013 08/04/2013 11/04/2013 11/04/2013 11/04/2013 11/04/2013 12/04/2013 12/04/2013 15/04/2013 15/04/2013 15/04/2013 19/04/2013 19/04/2013 19/04/2013 22/04/2013 22/04/2013 22/04/2013 25/04/2013 25/04/2013 26/04/2013 29/04/2013 30/04/2013 30/04/2013 30/04/2013 30/04/2013 30/04/2013 30/04/2013 30/04/2013 03/05/2013

Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International State Street Capital Markets LLC State Street Capital Markets LLC State Street Capital Markets LLC State Street Capital Markets LLC Merrill Lynch International State Street Capital Markets LLC State Street Capital Markets LLC Merrill Lynch International

Unrealised appreciation/ (depreciation) USD 10 888 56 895 50 28 141 65 238 574 2 500 120 530 (10 432) 957 (15 846) 10 262 1 376 515 11 765 90 780 (15 250) (578) 3 079 47 946 (34 276) 508 (162) 151 3 064 (16 133) (1 322 972) 196 964 (8 799) 8 556 (100 474) (5 232) (188) (869 603)

Merrill Lynch Investment Solutions

187

Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Short/ Long Currency Options Long EUR Short GBP Long GBP Short EUR Long EUR Long EUR Long EUR Long GBP Long GBP Short GBP Short GBP Long GBP Long GBP Long CHF Long CHF Long EUR Short EUR Long EUR Long EUR Short EUR Long EUR Long GBP Long GBP Short GBP Short GBP Long GBP Total Options

Description Adidas AG Barclays Plc. Barclays Plc. DAX Index DAX Index Deutsche Post AG Deutsche Post AG Imperial Tobacco Group Plc. Imperial Tobacco Group Plc. (a) Imperial Tobacco Group Plc. Imperial Tobacco Group Plc. Imperial Tobacco LN Imperial Tobacco LN (a) Novartis AG Novartis AG Philips Electronics Philips Electronics Technip S.A. TUI AG UniCredit SpA UniCredit SpA Vodafone Group Plc. Vodafone Group Plc. Vodafone Group Plc. Vodafone Group Plc. Vodafone Group Plc.

Put/ Call

Strike Price

Maturity

Quantity

Call Call Call Put Put Call Call Call Call Put Put Call Call Call Call Call Put Call Put Call Call Call Call Put Put Call

84 3.45 3.15 7 400 7 900 20 20 26 27 20 20 26 27 62 62 24 20 88 3 5 5 1.8 1.7 1.5 1.55 1.75

19/12/2014 17/05/2013 17/05/2013 21/06/2013 21/06/2013 19/06/2015 19/12/2014 21/06/2013 21/06/2013 20/09/2013 21/06/2013 20/09/2013 20/09/2013 20/12/2013 19/12/2014 20/12/2013 20/12/2013 20/12/2013 21/06/2013 21/06/2013 21/06/2013 20/09/2013 20/09/2013 20/09/2013 20/09/2013 20/09/2013

36 (1 043) 1 043 (1 502) 1 002 360 720 27 72 (87) (50) 26 62 1 070 1 374 1 786 (1 786) 31 125 (174) 331 748 1 601 (3 098) (1 319) 1 319

Market value USD 33 792 (18 256) 88 612 (1 162 052) 1 862 451 44 378 73 964 7 175 14 652 (34 347) (2 657) 12 633 26 227 766 102 1 107 093 259 154 (217 873) 14 012 161 (1 184) 6 163 141 975 467 975 (70 562) (45 064) 275 390 3 649 914

Commitment USD – 5 463 917* – 71 362 532 – – – – – 2 642 104 1 518 451 – – – – – 4 586 803 – – 1 117 166* – – – 7 056 240 3 104 397 – 96 851 610

* The commitment on short call positions is unlimited. (a) This option is fair valued. See Notes 2.2.6 and 10.

Merrill Lynch Professional Clearing is the counterparty to these options.

Notional Pay Credit default swaps 130 000 Fixed 5.000% 200 000 Fixed 1.000% 300 000 Fixed 1.000% 100 000 Fixed 5.000% 200 000 Fixed 5.000% 200 000 Fixed 5.000%

Receive Banco Popolare SC 4.125% 22/10/2014 Banco Popolare SC 4.125% 22/10/2014 Banco Popolare SC 4.125% 22/10/2014 British Airways Plc. 8.75% 23/08/2016 British Airways Plc. 8.75% 23/08/2016 British Airways Plc. 8.75% 23/08/2016

Currency

Maturity Date

Unrealised appreciation/ (depreciation) Commitment Counterparty USD USD

EUR

20/06/2014

Deutsche Bank

(162)

–

EUR

20/06/2014

Merrill Lynch Intl

1 271

–

EUR GBP GBP EUR

20/06/2014 20/09/2014 20/09/2014 20/09/2014

Merrill Lynch Intl Barclays Bank Plc. Barclays Bank Plc. Credit Suisse

9 478 (3 139) (3 156) (26 224)

– – – –

The accompanying notes form an integral part of these financial statements. Audited annual report

188

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Notional Pay Credit default swaps 65 000 Fixed 5.000% 50 000 Fixed 5.000% 100 000 Fixed 5.000% 50 000 Fixed 5.000% 450 000 Fixed 1.000% 13 892 000 1 091 000 2 333 000 3 032 000 2 492 000 222 000 148 000 100 000 100 000 50 000 100 000 100 000

Fixed 5.000% Fixed 5.000% Fixed 5.000% Fixed 5.000% Fixed 5.000% Fixed 1.000% Fixed 1.000% Fixed 5.000% Fixed 5.000% Fixed 5.000% Fixed 5.000% Fixed 5.000%

100 000 Fixed 5.000% 259 000 Fixed 1.000% Total Credit default swaps

Receive British Airways Plc. 8.75% 23/08/2016 British Airways Plc. 8.75% 23/08/2016 British Airways Plc. 8.75% 23/08/2016 British Airways Plc. 8.75% 23/08/2016 Glencore Finance Europe S.A. 5.25% 11/10/2013 iTraxx-FinSub 19V1 Index iTraxx-FinSub 19V1 Index iTraxx-FinSub 19V1 Index iTraxx-FinSub 19V1 Index iTraxx-FinSub 19V1 Index Next Plc. 5.25% 30/09/2013 PPR 3.75% 08/04/2015 TUI AG 5.125% 10/12/2012 TUI AG 5.125% 10/12/2012 TUI AG 5.125% 10/12/2012 TUI AG 5.125% 10/12/2012 Vedanta Resources Plc. 9.5% 18/07/2018 Vedanta Resources Plc. 9.5% 18/07/2018 WPP 2008 Ltd. 6% 04/04/2017

The accompanying notes form an integral part of these financial statements. Audited annual report

Currency

Maturity Date

Unrealised appreciation/ (depreciation) Commitment Counterparty USD USD

GBP GBP GBP GBP USD

20/09/2014 20/09/2014 20/09/2014 20/09/2014 20/12/2014

Merrill Lynch Intl Merrill Lynch Intl Merrill Lynch Intl Merrill Lynch Intl Merrill Lynch Intl

EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR USD

20/06/2018 20/06/2018 20/06/2018 20/06/2018 20/06/2018 20/06/2018 20/06/2018 20/12/2014 20/12/2014 20/12/2014 20/03/2015 20/09/2014

JPMorgan Chase Bank Deutsche Bank Deutsche Bank Deutsche Bank Morgan Stanley Morgan Stanley Morgan Stanley Merrill Lynch Intl Merrill Lynch Intl Merrill Lynch Intl Barclays Bank Plc. Merrill Lynch Intl

USD

20/09/2014

Merrill Lynch Intl

EUR

20/06/2018

Morgan Stanley

(7 876) (6 601) (1 950) (163)

– – – –

(18 754) 247 412 19 430 33 877 36 071 32 914 (635) (580) (8 887) (4 527) (3 499) (13 029)

– – – – – – – – – – – –

(3 998)

–

(1 555) (271) 275 447

– – –

Merrill Lynch Investment Solutions

189

Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD) Contracts for difference swaps The Sub-Fund Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund entered into contracts for difference swaps with eleven counterparties (Barclays Bank Plc., Citibank NA, Credit Suisse Securities (Europe) Limited, Credit Suisse International, Deutsche Bank AG, Goldman Sachs International, HSBC Bank Plc., JPMorgan Chase Bank NA, Merrill Lynch International Bank Ltd, Morgan Stanley Capital Services Inc. and UBS AG) with the following details: 1) Barclays Bank Plc. Commitment of USD 2 974 634 for the short portfolio composed of 5 equities Commitment of USD 28 855 520 for the long portfolio composed of 15 equities Market value of USD 1 657 863 detailed as follows: – unrealised depreciation on short portfolio: USD (69 268) – unrealised appreciation on long portfolio: USD 1 931 076 – realised result: USD (203 945) corresponding to the realised loss on securities which is still held at the counterparty (monthly reset) The below table is composed of long and short positions:

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Aerospace/Defense - 1 Aerospace/Defense - 2 Airlines - 1 Apparel - 1 Auto Manufacturers - 1 Banks - 1 Banks - 2 Banks - 3 Banks - 4 Building Materials - 1 Distribution/Wholesale - 1 Electric - 1 Hand/Machine Tools - 1 Insurance - 1 Machinery-Construction & Mining - 1 Machinery-Diversified - 1 Oil & Gas - 1 Oil & Gas - 2 Oil & Gas - 3 Telecommunications - 1

Commitment USD 7 675 406 84 484 1 378 994 73 167 5 034 472 1 091 408 831 415 511 879 18 226 1 726 461 1 016 419 30 533 362 505 1 667 578 1 424 688 657 336 2 942 303 1 487 422 163 131 3 652 327 31 830 154

Unrealised appreciation/ (depreciation) USD 1 166 138 (105) 114 457 5 324 (26 168) (143 012) 60 514 (46 002) 26 903 222 867 85 022 1 868 161 190 768 (14 582) (35 749) (471 544) 140 257 (31 506) 616 197 1 861 808

The accompanying notes form an integral part of these financial statements. Audited annual report

190

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD) 2) Citibank NA Commitment of USD 6 112 110 for the short portfolio composed of 5 equities Commitment of USD 7 459 798 for the long portfolio composed of 1 bond and 4 equities Market value of USD (7 386) detailed as follows: – unrealised appreciation on short portfolio: USD 78 133 – unrealised depreciation on long portfolio: USD (94 443) – realised result: USD 8 924 corresponding to the realised gain on securities which is still held at the counterparty (monthly reset) The below table is composed of long and short positions:

Underlying nature Bond Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Banks - 1 Aerospace/Defense - 1 Aerospace/Defense - 2 Banks - 1 Banks - 2 Beverages - 1 Engineering & Construction - 1 Retail - 1 Telecommunications - 1 Transportation - 1

Commitment USD 2 997 858 211 740 167 781 1 648 367 1 310 359 1 611 988 86 798 1 471 433 1 033 805 3 031 779 13 571 908

Unrealised appreciation/ (depreciation) USD (65 004) (1 953) (1 337) (23 144) 1 888 (16 773) 6 597 (11 210) 11 815 82 811 (16 310)

3) Credit Suisse Securities (Europe) Limited Commitment of USD 44 936 663 for the short portfolio composed of 21 bonds and 23 equities Commitment of USD 41 871 230 for the long portfolio composed of 2 bonds and 15 equities Market value of USD 412 587 detailed as follows: – unrealised depreciation on short portfolio: USD (835 877) – unrealised appreciation on long portfolio: USD 505 669 – realised result: USD 742 795 corresponding to the realised gain on securities which is still held at the counterparty (monthly reset) The below table is composed of long and short positions:

Underlying nature Bond Bond Bond Bond Bond Bond

Industrial classification of investments Apparel - 1 Banks - 1 Banks - 2 Banks - 3 Banks - 4 Banks - 5

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment USD 618 474 600 390 542 074 464 032 338 794 193 047

Unrealised appreciation/ (depreciation) USD (27 743) 6 945 12 449 (696) 3 262 1 523

Merrill Lynch Investment Solutions

191

Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Banks - 6 Banks - 7 Banks - 8 Banks - 9 Leisure Time - 1 Mining - 1 Mining - 2 Oil & Gas Services - 1 Sovereign - 1 Sovereign - 2 Sovereign - 3 Sovereign - 4 Sovereign - 5 Sovereign - 6 Sovereign - 7 Sovereign - 8 Transportation - 1 Aerospace/Defense - 1 Aerospace/Defense - 2 Airlines - 1 Apparel - 1 Auto Parts & Equipment - 1 Banks - 1 Banks - 2 Banks - 3 Banks - 4 Banks - 5 Banks - 6 Banks - 7 Banks - 8 Beverages - 1 Distribution/Wholesale - 1 Electric - 1 Electronics - 1 Engineering & Construction - 1 Insurance - 1 Insurance - 2 Insurance - 3 Leisure Time - 1 Machinery-Diversified - 1 Metal Fabricate/Hardware - 1 Mining - 1 Mining - 2 Mining - 3

Commitment USD 150 983 149 678 148 233 139 467 2 276 938 708 300 210 000 340 587 2 301 645 2 272 059 2 171 874 1 163 066 1 090 930 355 489 67 518 64 894 2 319 391 2 136 723 89 400 1 842 743 95 516 567 559 14 430 525 8 439 816 2 421 492 911 345 419 031 382 123 193 846 5 799 1 460 854 489 524 533 871 834 818 453 248 6 318 925 2 170 972 176 185 1 100 470 458 257 172 704 6 524 272 6 116 862 133 886

Unrealised appreciation/ (depreciation) USD 198 3 930 4 585 (464) 675 401 (24 336) (9 075) 1 492 88 426 43 537 (1 458) (2 727) 1 664 (382) 1 408 1 619 (19 579) (6 325) (2 340) (189 732) 12 934 28 348 294 988 (1 454 141) 224 569 (4 214) 84 946 69 029 3 633 9 947 389 70 945 (17 037) 38 851 (20 261) (311 020) 76 718 3 566 (152 244) 24 291 (2 984) 389 743 (346 254) (50 068)

The accompanying notes form an integral part of these financial statements. Audited annual report

192

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Miscellaneous Manufactures - 1 (a) Oil & Gas - 1 Oil & Gas - 2 Oil & Gas Services - 1 Oil & Gas Services - 2 Real Estate - 1 Real Estate - 2 Telecommunications - 1 Telecommunications - 2 Telecommunications - 3 Telecommunications - 4

Commitment USD 54 138 158 897 31 921 2 522 019 15 919 1 709 738 252 2 930 019 896 208 749 642 170 511 86 807 893

Unrealised appreciation/ (depreciation) USD 3 103 2 123 6 905 61 268 293 19 552 (2) 215 265 58 829 (201 779) (32 021) (330 208)

4) Credit Suisse International Commitment of USD 6 309 694 for the short portfolio composed of 4 indices Market value of USD (37 126) detailed as follows: – unrealised depreciation on short portfolio: USD (45 172) – realised result: USD 8 046 corresponding to the realised gain on securities which is still held at the counterparty (monthly reset) The below table is composed of short positions:

Underlying nature Index Index Index Index

Industrial classification of investments Commodities Index - 1 Commodities Index - 2 Commodities Index - 3 Commodities Index - 4

Commitment USD 3 092 951 1 770 912 1 334 354 111 477 6 309 694

Unrealised appreciation/ (depreciation) USD (103 467) 80 760 (20 607) (1 858) (45 172)

5) Deutsche Bank AG Commitment of USD 26 690 602 for the short portfolio composed of 10 equities and 6 indices Commitment of USD 47 921 347 for the long portfolio composed of 1 bond and 20 equities Market value of USD 446 465 detailed as follows: – unrealised depreciation on short portfolio: USD (528 181) – unrealised appreciation on long portfolio: USD 719 868 – realised result: USD 254 778 corresponding to the realised gain on securities which is still held at the counterparty (monthly reset)

(a) The security inside this contract for difference swap is fair valued. See Notes 2.2.6 and 10. The accompanying notes form an integral part of these financial statements. Audited annual report

Merrill Lynch Investment Solutions

193

Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD) The below table is composed of long and short positions:

Underlying nature Bond Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Index Index Index Index Index Index

Industrial classification of investments Airlines - 1 Agriculture - 1 Airlines - 1 Airlines - 2 Auto Manufacturers - 1 Auto Manufacturers - 2 Auto Parts & Equipment - 1 Auto Parts & Equipment - 2 Auto Parts & Equipment - 3 Auto Parts & Equipment - 4 Banks - 1 Banks - 2 Banks - 3 Building Materials - 1 Coal - 1 Distribution/Wholesale - 1 Diversified Financial Services - 1 Engineering & Construction - 1 Healthcare-Products - 1 Insurance - 1 Insurance - 2 Leisure Time - 1 Mining - 1 Miscellaneous Manufactures - 1 Oil & Gas - 1 Oil & Gas - 2 Oil & Gas - 3 Pharmaceuticals - 1 Retail - 1 Semiconductors - 1 Telecommunications - 1 Commodities Index - 1 Commodities Index - 2 Commodities Index - 3 Commodities Index - 4 Commodities Index - 5 Commodities Index - 6

Commitment USD 2 271 073 2 201 548 2 661 659 1 489 451 2 529 512 186 806 5 356 970 878 737 281 275 31 658 6 369 843 1 358 411 3 314 5 208 382 350 095 103 382 1 269 220 2 062 618 234 878 750 045 602 235 753 132 43 722 5 176 100 886 803 534 287 196 732 3 334 845 7 315 698 1 709 600 451 830 5 133 518 4 813 815 3 603 008 3 255 783 1 123 105 78 859 74 611 949

Unrealised appreciation/ (depreciation) USD 378 615 (84 220) 258 946 (378 773) 182 075 25 624 113 473 (91 836) 12 326 115 (248 744) 177 999 6 708 291 256 (899 311) 6 930 (79 995) 5 127 7 681 (13 217) 151 460 (269 548) (27 982) 350 564 106 057 51 311 (20 100) 14 636 409 736 (65 688) 15 818 36 507 (97 824) (44 255) (147 654) 58 027 (157) 191 687

The accompanying notes form an integral part of these financial statements. Audited annual report

194

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD) 6) Goldman Sachs International Commitment of USD 18 823 368 for the short portfolio composed of 3 equities and 3 indices Commitment of USD 24 076 475 for the long portfolio composed of 10 equities Market value of USD 488 088 detailed as follows: – unrealised depreciation on short portfolio: USD (1 337 131) – unrealised appreciation on long portfolio: USD 1 655 122 – realised result: USD 170 097 corresponding to the realised gain on securities which is still held at the counterparty (monthly reset) The below table is composed of long and short positions:

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Index Index Index

Industrial classification of investments Agriculture - 1 Auto Parts & Equipment - 1 Auto Parts & Equipment - 2 Banks - 1 Banks - 2 Banks - 3 Distribution/Wholesale - 1 Electric - 1 Insurance - 1 Mining - 1 Miscellaneous Manufactures - 1 Oil & Gas - 1 Semiconductors - 1 Commodities Index - 1 Commodities Index - 2 Commodities Index - 3

Commitment USD 266 705 3 826 289 1 041 981 12 903 455 12 522 358 8 425 124 562 59 444 222 888 727 613 4 578 642 1 683 254 64 720 3 202 198 1 162 774 504 535 42 899 843

Unrealised appreciation/ (depreciation) USD (13 676) 122 592 56 964 (1 554 839) 1 750 374 18 280 (470) 3 646 56 056 (449 216) 361 225 (186 676) 11 267 144 707 (2 949) 706 317 991

7) HSBC Bank Plc. Commitment of USD 2 638 404 for the short portfolio composed of 3 equities Commitment of USD 9 643 886 for the long portfolio composed of 9 equities Market value of USD (167 095) detailed as follows: – unrealised depreciation on short portfolio: USD (30 981) – unrealised appreciation on long portfolio: USD 186 795 – realised result: USD (322 909) corresponding to the realised loss on securities which is still held at the counterparty (monthly reset)

The accompanying notes form an integral part of these financial statements. Audited annual report

Merrill Lynch Investment Solutions

195

Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD) The below table is composed of long and short positions:

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Commitment USD 1 416 978 506 602 186 806 35 765 1 943 173 62 419 3 913 881 86 798 355 893 911 2 552 549 1 220 515 12 282 290

Industrial classification of investments Agriculture - 1 Agriculture - 2 Auto Manufacturers - 1 Banks - 1 Diversified Financial Services - 1 Electric - 1 Electronics - 1 Engineering & Construction - 1 Food - 1 Real Estate - 1 Telecommunications - 1 Telecommunications - 2

Unrealised appreciation/ (depreciation) USD (9 605) 1 746 (9 456) (61 837) (31 242) 3 828 186 101 (6 597) 10 695 (7) 93 557 (21 369) 155 814

8) JPMorgan Chase Bank NA Commitment of USD 17 614 342 for the short portfolio composed of 12 equities and 4 indices Commitment of USD 16 702 531 for the long portfolio composed of 15 equities Market value of USD 241 769 detailed as follows: – unrealised appreciation on short portfolio: USD 301 731 – unrealised appreciation on long portfolio: USD 132 694 – realised result: USD (192 656) corresponding to the realised loss on securities which is still held at the counterparty (monthly reset) The below table is composed of long and short positions:

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Aerospace/Defense - 1 Agriculture - 1 Auto Parts & Equipment - 1 Auto Parts & Equipment - 2 Banks - 1 Banks - 2 Banks - 3 Banks - 4 Banks - 5 Chemicals - 1 Insurance - 1

Commitment USD 2 193 054 3 069 977 318 141 7 441 4 935 335 1 652 731 1 126 942 1 111 471 244 451 224 062 1 446 215

Unrealised appreciation/ (depreciation) USD 23 610 (27 029) 17 622 (75) (147 543) 53 235 27 251 (16 175) 15 262 (10 354) 77 433

The accompanying notes form an integral part of these financial statements. Audited annual report

196

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Index Index Index Index

Industrial classification of investments Insurance - 2 Insurance - 3 Leisure Time - 1 Leisure Time - 2 Machinery-Diversified - 1 Mining - 1 Mining - 2 Miscellaneous Manufactures - 1 Oil & Gas - 1 Oil & Gas - 2 Oil & Gas Services - 1 Oil & Gas Services - 2 Pharmaceuticals - 1 Semiconductors - 1 Telecommunications - 1 Telecommunications - 2 Commodities Index - 1 Commodities Index - 2 Commodities Index - 3 Commodities Index - 4

Commitment USD 1 149 671 602 235 1 271 898 1 222 972 479 009 10 224 3 136 438 841 1 251 592 99 289 240 653 193 696 253 176 1 396 227 2 066 765 500 613 4 135 274 1 862 566 571 145 238 071 34 316 873

Unrealised appreciation/ (depreciation) USD 114 541 151 460 19 336 (62 467) 25 353 2 417 146 24 405 100 733 17 923 (9) (6 882) (4 536) (116 052) 35 918 35 433 144 886 (69 275) (12 736) 20 594 434 425

9) Merrill Lynch International Bank Ltd Commitment of USD 42 512 946 for the short portfolio composed of 8 equities and 11 indices Commitment of USD 11 204 440 for the long portfolio composed of 1 bond and 5 equities Market value of USD 522 751 detailed as follows: – unrealised depreciation on short portfolio: USD (10 111) – unrealised appreciation on long portfolio: USD 376 059 – realised result: USD 156 803 corresponding to the realised gain on securities which is still held at the counterparty (monthly reset) The below table is composed of long and short positions:

Underlying nature Bond Equity Equity Equity Equity Equity

Industrial classification of investments Banks - 1 Banks - 2 Chemicals - 1 Insurance - 1 Mining - 1 Mining - 2

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment USD 568 599 1 445 224 062 928 298 16 207 2 361

Unrealised appreciation/ (depreciation) USD (4 355) 38 10 855 124 040 7 172 (93)

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Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Index Index Index Index Index Index Index Index Index Index Index

Commitment USD 171 2 721 659 5 859 677 476 400 301 1 126 035 2 539 679 506 432 14 426 137 8 569 848 4 439 227 3 319 336 2 663 823 1 334 354 1 232 348 1 193 616 767 755 430 119 369 497 53 717 386

Industrial classification of investments Mining - 3 (a) Oil & Gas - 1 Oil & Gas Services - 1 Oil & Gas Services - 2 Real Estate - 1 Semiconductors - 1 Telecommunications - 1 Telecommunications - 2 Commodities Index - 1 Commodities Index - 2 Commodities Index - 3 Commodities Index - 4 Commodities Index - 5 Commodities Index - 6 Commodities Index - 7 Commodities Index - 8 Commodities Index - 9 Commodities Index - 10 Commodities Index - 11

Unrealised appreciation/ (depreciation) USD (74) 629 924 (433 217) (85 401) (2) 59 741 (33 993) (1 838) (77 090) 269 098 (18 512) 96 179 (195 425) (104 128) 6 661 5 281 51 878 70 663 (11 454) 365 948

10) Morgan Stanley Capital Services Inc. Commitment of USD 55 655 401 for the short portfolio composed of 6 equities and 10 indices Commitment of USD 27 729 107 for the long portfolio composed of 13 equities Market value of USD 152 408 detailed as follows: – unrealised depreciation on short portfolio: USD (2 291 004) – unrealised appreciation on long portfolio: USD 2 420 643 – realised result: USD 22 769 corresponding to the realised gain on securities which is still held at the counterparty (monthly reset) The below table is composed of long and short positions:

Underlying nature Equity Equity Equity Equity Equity Equity Equity

Commitment USD 787 934 719 539 121 632 5 144 198 12 971 523 12 764 672 113 544

Industrial classification of investments Aerospace/Defense - 1 Airlines - 1 Apparel - 1 Banks - 1 Food - 1 Food - 2 Healthcare-Products - 1

Unrealised appreciation/ (depreciation) USD 8 250 (36 873) 6 318 (345 941) 3 318 713 (2 985 385) 41

(a) The security inside this contract for difference swap is fair valued. See Notes 2.2.6 and 10. The accompanying notes form an integral part of these financial statements. Audited annual report

198

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Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Index Index Index Index Index Index Index Index Index Index

Industrial classification of investments Insurance - 1 Leisure Time - 1 Leisure Time - 2 Mining - 1 Oil & Gas - 1 Oil & Gas - 2 Oil & Gas - 3 Oil & Gas - 4 Oil & Gas Services - 1 Semiconductors - 1 Telecommunications - 1 Telecommunications - 2 Commodities Index - 1 Commodities Index - 2 Commodities Index - 3 Commodities Index - 4 Commodities Index - 5 Commodities Index - 6 Commodities Index - 7 Commodities Index - 8 Future Index - 1 Future Index - 2

Commitment USD 665 793 192 217 184 543 141 528 5 051 709 286 057 236 791 972 817 121 1 409 215 978 223 70 129 7 110 976 5 027 131 4 007 449 2 608 430 2 586 258 1 884 386 787 356 702 158 14 751 648 1 261 376 83 384 508

Unrealised appreciation/ (depreciation) USD 93 363 3 466 (9 887) (42 568) (616 064) (20 700) 156 225 216 (76 103) (103 761) (64 056) 1 897 241 969 (269 544) (51 746) 34 718 23 462 65 545 (38 101) 2 000 961 484 (127 299) 129 639

11) UBS AG Commitment of USD 7 111 181 for the short portfolio composed of 9 equities and 5 indices Commitment of USD 55 605 754 for the long portfolio composed of 24 equities Market value of USD (236 426) detailed as follows: – unrealised appreciation on short portfolio: USD 11 148 – unrealised appreciation on long portfolio: USD 834 357 – realised result: USD (1 081 931) corresponding to the realised loss on securities which is still held at the counterparty (monthly reset) The below table is composed of long and short positions:

Underlying nature Equity Equity Equity Equity Equity Equity

Industrial classification of investments Agriculture - 1 Agriculture - 2 Airlines - 1 Auto Manufacturers - 1 Auto Manufacturers - 2 Auto Parts & Equipment - 1

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment USD 5 753 522 117 394 776 172 6 666 690 2 990 920 794 368

Unrealised appreciation/ (depreciation) USD (186 711) (1 044) 4 033 (139 226) 28 068 26 298

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Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Index Index Index Index Index

Commitment USD 461 980 38 565 328 923 324 401 227 259 1 530 696 384 900 2 314 085 1 205 827 776 428 9 426 560 22 444 116 643 17 363 1 659 833 2 361 171 5 442 2 041 902 1 693 735 40 539 31 921 5 556 706 99 132 3 732 753 4 060 380 3 853 259 3 401 432 1 340 721 592 550 236 061 92 897 62 716 935

Industrial classification of investments Auto Parts & Equipment - 2 Auto Parts & Equipment - 3 Banks - 1 Banks - 2 Distribution/Wholesale - 1 Diversified Financial Services - 1 Electric - 1 Electronics - 1 Engineering & Construction - 1 Engineering & Construction - 2 Food - 1 Leisure Time - 1 Machinery-Diversified - 1 Metal Fabricate/Hardware - 1 Mining - 1 Mining - 2 Mining - 3 (a) Miscellaneous Manufactures - 1 (a) Oil & Gas - 1 Oil & Gas - 2 Oil & Gas - 3 Oil & Gas - 4 Oil & Gas Services - 1 Oil & Gas Services - 2 Semiconductors - 1 Telecommunications - 1 Telecommunications - 2 Commodities Index - 1 Commodities Index - 2 Commodities Index - 3 Commodities Index - 4 Commodities Index - 5

Unrealised appreciation/ (depreciation) USD 18 054 1 364 32 328 (27 812) 6 549 (26 228) 18 872 166 636 (37 892) 58 979 435 831 (1 058) (2 222) (231) (638 140) 87 (105) 243 (226 092) 794 175 3 047 6 677 (38 142) 10 318 (198 673) 487 274 293 841 (40 466) (230) 15 962 (25) 1 166 845 505

The total market value of the contracts for difference swaps is USD 3 473 898.

(a) The security inside this contract for difference swap is fair valued. See Notes 2.2.6 and 10. The accompanying notes form an integral part of these financial statements. Audited annual report

200

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Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund Schedule of Investments as at March 31, 2013 (expressed in USD) Nominal value/ Quantity

Description

Quotation Currency

Cost USD

Market value USD

% of net assets

Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.) Bonds 276 000 149 000 127 000 98 000 42 000 110 000

American Airlines, Inc. (Defaulted) 10.5% 15/03/2016 American Airlines, Inc. (Defaulted) 7.5% 15/10/2012 Elan Finance Plc. 6.25% 15/10/2019 McMoRan Exploration Co. 11.875% 15/11/2014 MetroPCS Wireless, Inc. 6.625% 15/11/2020 Nortel Networks Ltd. (Defaulted) 10.75% 15/07/2016 Total Bonds

USD USD USD USD USD USD

310 058 176 220 146 198 103 800 46 447 122 650 905 373

316 710 176 937 148 273 103 390 43 890 125 675 914 875

1.80 1.00 0.84 0.59 0.25 0.71 5.19

500 500 1 165 12 300 2 200 4 849 3 615 1 700 2 500 3 300 10 000 6 300 7 700 11 700 7 713 900 13 143 6 000 12 500 4 074 18 500 317 19 300 5 700 12 600 1 390 500 207 19 700 19 400 3 925 8 600 245 9 100

Abbott Laboratories AbbVie, Inc. Alterra Capital Hldg. Ltd. American International Group, Inc. Anadarko Petroleum Corp. Astral Media, Inc. - A (Traded in Canada) Astral Media, Inc. - A (Traded in the United States) (a) AT&T, Inc. BB&T Corp. Berry Petroleum Co. - A BP Plc. - ADR CBS Corp. - B CenturyLink, Inc. Chesapeake Energy Corp. Citizens Republic Bancorp, Inc. Clearwire Corp. - A Comcast Corp. - A Constellation Brands, Inc. - A Corrections Corp. of America Coventry Health Care, Inc. Dean Foods Co. Discovery Communications, Inc. - C Dole Food Co., Inc. Eli Lilly & Co. Fifth Third Bancorp Focus Media Hldg. Ltd. - ADR Freeport-McMoRan Copper & Gold, Inc. Gardner Denver, Inc. General Motors Co. Genworth Financial, Inc. - A GMAC Capital Trust I - Pref Hess Corp. HJ Heinz Co. Huntsman Corp.

USD USD USD USD USD CAD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD

16 147 17 457 32 737 401 824 162 878 227 705 171 450 58 617 75 400 149 617 436 896 264 998 310 463 232 641 154 615 2 974 451 747 266 419 427 541 181 811 294 188 20 643 243 916 305 229 194 040 36 169 16 590 14 454 563 311 173 660 86 236 452 000 17 641 138 318

17 660 20 390 36 698 477 486 192 390 234 062 172 576 62 373 78 475 152 757 423 500 294 147 270 501 238 797 173 928 2 916 520 726 285 840 488 375 191 600 335 405 22 044 210 370 323 703 205 506 37 266 16 550 15 548 548 054 194 000 106 760 615 846 17 706 169 169

0.10 0.12 0.21 2.71 1.09 1.33 0.98 0.35 0.45 0.87 2.40 1.67 1.54 1.36 0.99 0.02 2.96 1.62 2.77 1.09 1.90 0.12 1.19 1.84 1.17 0.21 0.09 0.09 3.11 1.10 0.61 3.50 0.10 0.96

Shares

(a) This security is fair valued. See Notes 2.2.6 and 10.

The accompanying notes form an integral part of these financial statements. Audited annual report

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Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD) Nominal value/ Quantity

Description

Quotation Currency

Cost USD

Market value USD

% of net assets

Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.) 743 Shares (cont.) 1 400 4 842 24 200 1 100 8 000 14 400 6 200 3 600 300 12 100 2 029 007 9 600 15 300 53 977 500 11 935 3 300 5 900 4 546 6 300

Impregilo SpA

EUR

3 852

3 818

0.02

Ingersoll-Rand Plc. Intermec, Inc. KeyCorp Lamar Advertising Co. - A McGraw-Hill Co., Inc. McMoRan Exploration Co. Murphy Oil Corp. Navistar International Corp. News Corp. - A OfficeMax, Inc. PCD Stores Group Ltd. Pfizer, Inc. SLM Corp. Sprint Nextel Corp. Tyco International Ltd. Uranium One, Inc. Valero Energy Corp. Verizon Communications, Inc. Virgin Media, Inc. Williams Co., Inc. Total Shares

USD USD USD USD USD USD USD USD USD USD HKD USD USD USD USD USD USD USD USD USD

76 725 47 500 199 377 35 946 360 496 220 392 353 786 80 961 7 260 144 188 301 564 252 064 264 198 306 416 18 137 32 346 123 913 254 902 210 930 212 287 10 107 572

77 014 47 597 241 032 53 471 416 640 235 440 395 126 124 452 9 156 140 481 305 815 277 056 313 344 335 197 16 000 32 583 150 117 289 985 222 618 235 998 11 076 064

0.44 0.27 1.37 0.30 2.37 1.34 2.24 0.71 0.05 0.80 1.74 1.57 1.78 1.90 0.09 0.18 0.85 1.65 1.26 1.34 62.89

USD

5 436 5 436 11 018 381

5 287 5 287 11 996 226

0.03 0.03 68.11

Other transferable securities Bonds 5 000

Sealy Mattress Co. 10.875% 15/04/2016 Total Bonds Total investments

The accompanying notes form an integral part of these financial statements. Audited annual report

202

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD) Industrial classification of investments (as a percentage of net assets as at March 31, 2013) Oil & Gas Media Telecommunications Banks Pharmaceuticals Insurance Auto Manufacturers/Parts & Equipment Food Airlines REITS Retail Diversified Financial Services Beverages Pipelines Healthcare-Services Chemicals Advertising Miscellaneous Manufactures Machinery-Diversified Mining Electronics Engineering & Construction

Purchase Forward foreign exchange contracts (cont.) USD 597 965 JPY 19 680 000 USD 235 905 USD 48 852 USD 182 571 EUR 108 440 USD 205 741 EUR 3 146 931 GBP 899 395 USD 114 640 USD 10 800 AUD 1 828 USD 492 256 USD 3 303 USD 86 403 USD 412 293

% 14.24 9.48 7.68 4.59 4.47 4.02 3.82 3.19 2.80 2.77 2.54 1.78 1.62 1.34 1.09 0.96 0.51 0.47 0.36 0.27 0.09 0.02 68.11

Sale GBP USD JPY EUR GBP USD EUR USD USD EUR GBP USD AUD MYR EUR CAD

400 851 208 904 19 680 000 37 188 121 000 141 617 158 022 4 081 286 1 360 605 88 504 7 137 1 857 480 375 10 356 67 200 421 590

The accompanying notes form an integral part of these financial statements. Audited annual report

Geographical classification of investments (as a percentage of net assets as at March 31, 2013) United States Canada United Kingdom China Ireland Bermuda Hong Kong Switzerland Italy

% 58.96 3.20 2.40 1.74 1.28 0.21 0.21 0.09 0.02 68.11

Maturity date

Counterparty

Unrealised appreciation/ (depreciation) USD

12/04/2013 15/04/2013 15/04/2013 25/04/2013 25/04/2013 26/04/2013 26/04/2013 30/04/2013 30/04/2013 30/04/2013 30/04/2013 08/05/2013 08/05/2013 15/05/2013 22/05/2013 12/06/2013

Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International State Street Capital Markets LLC State Street Capital Markets LLC State Street Capital Markets LLC State Street Capital Markets LLC Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International

(10 677) 431 26 570 1 091 (1 139) (2 348) 2 793 (39 578) 4 881 971 (37) 44 (7 251) (31) 83 (2 019)

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Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Purchase Forward foreign exchange contracts (cont.) USD 76 932 USD 257 463 USD 17 017 USD 319 288 Total Forward foreign exchange contracts

Short/ Long Currency Options (cont.) Short USD Long USD Short USD Long USD Short USD Short USD Short USD Short USD Long USD Long USD Long USD Short USD Short USD Short USD Short USD Long USD Long USD Long USD Long USD Short USD Short USD Long USD Long USD Short USD Long USD Short USD Long USD Short USD Short USD Long USD Short USD Long USD

Sale CAD AUD HKD HKD

Description Abbott Laboratories Abbott Laboratories AbbVie, Inc. AbbVie, Inc. Aetna, Inc. American International Group, Inc. American International Group, Inc. American International Group, Inc. American International Group, Inc. American International Group, Inc. American International Group, Inc. Anadarko Petroleum Corp. Anadarko Petroleum Corp. Anadarko Petroleum Corp. Anadarko Petroleum Corp. Anadarko Petroleum Corp. Anadarko Petroleum Corp. Anadarko Petroleum Corp. Anadarko Petroleum Corp. AT&T, Inc. AT&T, Inc. AT&T, Inc. AT&T, Inc. BB&T Corp. BB&T Corp. Berry Petroleum Co. Berry Petroleum Co. BP Plc. BP Plc. - ADR BP Plc. - ADR CBS Corp. CBS Corp.

78 929 250 263 131 865 2 475 388

Maturity date

Counterparty

13/06/2013 10/07/2013 17/07/2013 21/08/2013

Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International

Unrealised appreciation/ (depreciation) USD (633) (1 537) 22 203 (28 161)

Put/ Call

Strike Price

Maturity

Quantity

Market value USD

Call Put Call Put Call Call Call Call Put Put Put Call Call Call Call Put Put Put Put Call Call Put Put Call Put Call Put Call Call Put Call Put

34 29 35 30 42 36 37 35 32 30 31 80 75 72.5 75 62.5 65 60 72.5 35 36 30 31 30 26 45 40 44 43 38 40 35

18/05/2013 18/05/2013 18/05/2013 18/05/2013 20/04/2013 18/05/2013 20/04/2013 18/05/2013 20/04/2013 18/05/2013 18/05/2013 18/05/2013 17/08/2013 18/05/2013 18/05/2013 18/05/2013 18/05/2013 17/08/2013 18/05/2013 20/04/2013 22/06/2013 20/04/2013 22/06/2013 22/06/2013 22/06/2013 20/04/2013 20/04/2013 20/04/2013 20/04/2013 20/04/2013 22/06/2013 22/06/2013

(5) 5 (5) 5 (72) (84) (28) (11) 28 11 84 (12) (5) (3) (2) 3 2 5 12 (13) (4) 3 4 (25) 13 (33) 33 (61) (39) 66 (62) 31

(795) 20 (2 875) 13 (63 720) (25 620) (5 628) (4 653) 56 66 756 (11 040) (7 925) (4 575) (2 665) 30 30 165 432 (2 340) (460) 3 44 (4 075) 176 (5 610) 83 (1 037) (1 560) 396 (43 710) 310

Commitment USD 17 000* – 17 500* – 302 400* 302 400* 103 600* 38 500* – – – 96 000* 37 500* 21 750* 15 000* – – – – 45 500* 14 400* – – 75 000* – 148 500* – 268 400* 167 700* – 248 000* –

The accompanying notes form an integral part of these financial statements. Audited annual report

204

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Short/ Long Currency Options (cont.) Short USD Long USD Short USD Short USD Long USD Long USD Short USD Short USD Long USD Long USD Short USD Short USD Short USD Short USD Long USD Long USD Short USD Short USD Short USD Long USD Long USD Short USD Short USD Short USD Long USD Long USD Short USD Long USD Long USD Short USD Long USD Short USD Short USD Long USD Short USD Short USD Short USD Short USD Short USD Long USD Long USD Long USD Long USD Long USD Short USD

Description CenturyLink, Inc. CenturyLink, Inc. Chesapeake Energy Corp. Chesapeake Energy Corp. Chesapeake Energy Corp. Citigroup, Inc. Clearwire Corp. Constellation Brands, Inc. Constellation Brands, Inc. Constellation Brands, Inc. Corrections Corp. of America Corrections Corp. of America Corrections Corp. of America Corrections Corp. of America Corrections Corp. of America Corrections Corp. of America Dean Foods Co. Dean Foods Co. Dean Foods Co. Dean Foods Co. Dean Foods Co. Dole Food Co., Inc. Dole Food Co., Inc. Dole Food Co., Inc. Dole Food Co., Inc. Dole Food Co., Inc. Eli Lilly & Co. Eli Lilly & Co. Eli Lilly & Co. Fifth Third Bancorp Financial Select Sector Freeport-McMoRan Copper & Gold, Inc. Freeport-McMoRan Copper & Gold, Inc. Freeport-McMoRan Copper & Gold, Inc. General Motors Co. General Motors Co. General Motors Co. General Motors Co. General Motors Co. General Motors Co. General Motors Co. General Motors Co. General Motors Co. General Motors Co. Genworth Financial, Inc.

Put/ Call

Strike Price

Maturity

Quantity

Market value USD

Call Put Call Call Put Put Call Call Put Put Call Call Call Call Put Put Call Call Call Put Put Call Call Call Put Put Call Put Put Call Put Call Call Put Call Call Call Call Call Put Put Put Put Put Call

34 29 17 18 15 33 3 45 35 37.5 33 34 37 35 28 28 16 17 15 12 14 10 10 11 9 8 52.5 49 44 16 18 31 31 27 25 27 29 26 27 22 20 19 21 21 8

20/07/2013 20/07/2013 20/04/2013 20/04/2013 20/04/2013 20/04/2013 22/06/2013 20/07/2013 20/04/2013 20/04/2013 22/06/2013 22/06/2013 21/09/2013 22/06/2013 21/09/2013 22/06/2013 22/06/2013 22/06/2013 22/06/2013 22/06/2013 22/06/2013 20/07/2013 20/04/2013 20/04/2013 20/04/2013 20/07/2013 20/04/2013 20/04/2013 20/04/2013 18/05/2013 20/04/2013 18/05/2013 22/06/2013 22/06/2013 22/06/2013 21/09/2013 22/06/2013 22/06/2013 22/06/2013 22/06/2013 22/06/2013 22/06/2013 22/06/2013 21/09/2013 22/06/2013

(77) 77 (62) (55) 117 27 (9) (55) 5 19 (59) (31) (26) (9) 13 9 (84) (75) (26) 110 75 (142) (34) (17) 51 142 (57) 13 38 (126) 21 (48) (5) 4 (85) (26) (55) (16) (15) 15 23 78 55 26 (194)

(13 321) 1 732 (21 390) (13 640) 468 41 (270) (28 985) 150 760 (35 990) (15 810) (7 670) (3 663) 422 472 (21 000) (13 125) (8 710) 275 937 (18 460) (3 060) (340) 255 1 420 (24 282) 52 57 (8 946) 399 (12 144) (1 365) 84 (27 625) (6 721) (4 785) (3 952) (2 760) 225 253 546 605 858 (41 322)

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment USD 261 800* – 105 400* 99 000* – – 2 700* 247 500* – – 194 700* 105 400* 96 200* 31 500* – – 134 400* 127 500* 39 000* – – 142 000* 34 000* 18 700* – – 299 250* – – 201 600* – 148 800* 15 500* – 212 500* 70 200* 159 500* 41 600* 40 500* – – – – – 155 200*

Merrill Lynch Investment Solutions

205

Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Short/ Long Currency Options (cont.) Long USD Short USD Long USD Long USD Short USD Short USD Short USD Short USD Short USD Short USD Long USD Long USD Long USD Long USD Short USD Long USD Short USD Short USD Long USD Short USD Long USD Short USD Short USD Short USD Short USD Short USD Short USD Long USD Long USD Short USD Long USD Short USD Short USD Short USD Short USD Short USD Long USD Long USD Short USD Long USD Long USD Short USD Short USD Short USD

Description Genworth Financial, Inc. Hess Corp. Hess Corp. Hess Corp. HJ Heinz Co. HJ Heinz Co. Huntsman Corp. Huntsman Corp. Huntsman Corp. Huntsman Corp. Huntsman Corp. Huntsman Corp. Huntsman Corp. Huntsman Corp. Ingersoll-Rand Plc. Ingersoll-Rand Plc. Intercontinental Exchange, Inc. KeyCorp KeyCorp Lamar Advertising Co. Lamar Advertising Co. Liberty Global, Inc. (a) Liberty Global, Inc. (a) M&T Bank Corp. M&T Bank Corp. McGraw-Hill Co., Inc. McGraw-Hill Co., Inc. McGraw-Hill Co., Inc. McGraw-Hill Co., Inc. McMoRan Exploration Co. Merck & Co., Inc MetroPCS Communications, Inc. MetroPCS Communications, Inc. MetroPCS Communications, Inc. Murphy Oil Corp. Murphy Oil Corp. Murphy Oil Corp. Murphy Oil Corp. Navistar International Corp. Navistar International Corp. News Corp. - A News Corp. - A OfficeMax, Inc. OfficeMax, Inc.

Put/ Call

Strike Price

Maturity

Quantity

Market value USD

Put Call Put Put Call Call Call Call Call Call Put Put Put Put Call Put Call Call Put Call Put Call Call Call Call Call Call Put Put Call Put Call Call Call Call Call Put Put Call Put Put Call Call Call

4 65 52.5 57.5 75 75 17 16 18 18 12 15 13 14 52.5 40 110 9 7 37 31 60 55 95 85 40 42.5 35 37.5 16 35 10 9 10 55 60 55 45 16 12 20 24 11 12

22/06/2013 18/05/2013 18/05/2013 18/05/2013 22/06/2013 21/09/2013 18/05/2013 18/05/2013 17/08/2013 18/05/2013 18/05/2013 18/05/2013 18/05/2013 17/08/2013 21/09/2013 21/09/2013 22/06/2013 22/06/2013 22/06/2013 20/07/2013 20/07/2013 20/07/2013 20/07/2013 20/04/2013 20/04/2013 18/05/2013 18/05/2013 18/05/2013 18/05/2013 18/05/2013 20/04/2013 18/05/2013 18/05/2013 17/08/2013 20/04/2013 20/04/2013 20/04/2013 20/04/2013 20/04/2013 20/04/2013 20/04/2013 20/04/2013 17/08/2013 17/08/2013

194 (86) 9 77 (72) (6) (49) (15) (14) (13) 36 13 49 14 (14) 14 (13) (242) 242 (11) 5 (18) (8) (13) (1) (58) (22) 15 39 (144) 40 (387) (173) (116) (55) (7) 7 55 (36) 36 65 (3) (89) (32)

776 (69 402) 81 1 424 (720) (90) (9 800) (3 675) (2 730) (1 755) 90 260 367 385 (6 300) 560 (68 640) (25 168) 242 (13 640) 100 (16 020) (7 680) (10 595) (1 775) (70 180) (21 560) 75 390 (7 776) 20 (48 375) (37 022) (17 400) (46 750) (2 730) 14 138 (64 440) 90 163 (1 830) (11 570) (2 400)

Commitment USD – 559 000* – – 540 000* 45 000* 83 300* 24 000* 25 200* 23 400* – – – – 73 500* – 143 000* 217 800* – 40 700* – 108 000* 44 000* 123 500* 8 500* 232 000* 93 500* – – 230 400* – 387 000* 155 700* 116 000* 302 500* 42 000* – – 57 600* – – 7 200* 97 900* 38 400*

(a) This option is fair valued. See Notes 2.2.6 and 10. The accompanying notes form an integral part of these financial statements. Audited annual report

206

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Short/ Long Currency Options (cont.) Long USD Long USD Short USD Short USD Short USD Long USD Long USD Short USD Short USD Short USD Long USD Long USD Long USD Short USD Long USD Short USD Short USD Long USD Long USD Short EUR Short USD Long USD Short USD Short USD Short USD Long USD Long USD Long USD Short USD Short USD Short USD Long USD Short EUR Long EUR Short USD Long USD Short GBP Total Options

Description OfficeMax, Inc. OfficeMax, Inc. Pfizer, Inc. Pfizer, Inc. Pfizer, Inc. Pfizer, Inc. Pfizer, Inc. SLM Corp. SLM Corp. SLM Corp. SLM Corp. SLM Corp. SLM Corp. SPDR S&P 500 ETF Trust SPDR S&P 500 ETF Trust Sprint Nextel Corp. Sprint Nextel Corp. Sprint Nextel Corp. Sprint Nextel Corp. TNT Express NV (JPMorgan Chase Bank NA) Tyco International Ltd. Tyco International Ltd. Valero Energy Corp. Valero Energy Corp. Valero Energy Corp. Valero Energy Corp. Valero Energy Corp. Valero Energy Corp. Verizon Communications, Inc. Verizon Communications, Inc. Verizon Communications, Inc. Verizon Communications, Inc. Vivendi (JPMorgan Chase Bank NA) Vivendi (JPMorgan Chase Bank NA) Williams, Inc. Williams, Inc. Xstrata (JPMorgan Chase Bank NA)

Put/ Call

Strike Price

Maturity

Quantity

Put Put Call Call Call Put Put Call Call Call Put Put Put Put Put Call Put Put Put Call Call Put Call Call Call Put Put Put Call Call Call Put Call Put Call Put Call

9 10 27 27 26 22 24 16 17 18 15 12 13 148 155 5.5 4 10 10 5.6 29 24 32 39 42 28 34 38 42 45 43 38 16 12 34 28 1 100

18/05/2013 18/05/2013 22/06/2013 20/04/2013 20/04/2013 20/04/2013 20/04/2013 20/04/2013 20/04/2013 20/07/2013 20/04/2013 20/04/2013 20/07/2013 18/05/2013 18/05/2013 18/05/2013 18/01/2014 18/01/2014 17/08/2013 19/04/2013 20/04/2013 20/04/2013 22/06/2013 22/06/2013 22/06/2013 22/06/2013 22/06/2013 22/06/2013 20/07/2013 20/07/2013 20/07/2013 20/07/2013 17/05/2013 17/05/2013 18/05/2013 18/05/2013 19/04/2013

89 32 (45) (48) (3) 3 48 (90) (36) (27) 35 90 27 (29) 46 (84) (43) 86 126 (8 900) (5) 5 (15) (9) (9) 30 9 9 (25) (29) (5) 8 (4 200) 4 200 (63) 63 (11 000)

Market value USD 223 320 (9 225) (9 168) (843) 3 72 (40 050) (11 340) (7 277) 70 90 229 (2 262) 9 798 (5 880) (645) 42 570 59 850 (2 455) (1 538) 8 (20 513) (6 435) (4 095) 135 194 639 (17 750) (12 296) (3 050) 104 (4 046) 67 (24 507) 252 (2 211) (1 150 843)

* The commitment on short call positions is unlimited.

JPMorgan Chase Bank N.A. and Merrill Lynch Professional Clearing are the counterparties to these options.

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment USD – – 121 500* 129 600* 7 800* – – 144 000* 61 200* 48 600* – – – 429 200 – 46 200* 17 200 – – 64 000* 14 500* – 48 000* 35 100* 37 800* – – – 105 000* 130 500* 21 500* – 86 291* – 214 200* – 18 373 253* 28 858 144

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Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD) Contracts for difference swaps The Sub-Fund Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund entered into contracts for difference swaps with two counterparties (JPMorgan Chase Bank NA and Merrill Lynch International Bank Ltd) with the following details: 1) JPMorgan Chase Bank NA Commitment of USD 2 421 547 for the short portfolio composed of 11 equities Commitment of USD 4 435 099 for the long portfolio composed of 15 equities Market value of USD (21 371) detailed as follows: – unrealised depreciation on short portfolio: USD (177 533) – unrealised appreciation on long portfolio: USD 156 162 – realised result: USD (19 319) corresponding to the realised loss on securities which is still held at the counterparty (monthly reset) The below table is composed of long and short positions:

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Agriculture - 1 Banks - 1 Banks - 2 Beverages - 1 Diversified Financial Services - 1 Diversified Financial Services - 2 Engineering & Construction - 1 Healthcare-Services - 1 Healthcare-Services - 2 Insurance - 1 Investment Companies - 1 Media - 1 Media - 2 Media - 3 Media - 4 Media - 5 Mining - 1 Mining - 2 Mining - 3 Pipelines - 1 Pipelines - 2 Savings & Loans - 1 Telecommunications - 1 Telecommunications - 2 Transportation - 1 Transportation - 2

Commitment USD 259 357 499 913 171 350 396 225 691 888 258 140 43 959 948 736 113 793 25 175 160 706 342 087 244 094 215 574 66 983 52 408 531 642 392 809 158 880 115 962 115 847 647 387 248 082 86 912 65 348 3 389 6 856 646

Unrealised appreciation/ (depreciation) USD (5 963) (6 387) (15 330) 4 458 63 500 (57 575) (1 011) 88 663 (14 510) (3 430) (2 649) (38 435) (53 224) 15 013 (8 901) (5 339) 32 547 (30 598) 335 (6 949) 5 786 2 053 21 662 (751) (4 462) 126 (21 371)

The accompanying notes form an integral part of these financial statements. Audited annual report

208

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD) 2) Merrill Lynch International Bank Ltd Commitment of USD 1 145 949 for the short portfolio composed of 8 equities Commitment of USD 3 787 218 for the long portfolio composed of 12 equities Market value of USD (70 186) detailed as follows: – unrealised on short portfolio: USD (57 337) – unrealised on long portfolio: USD 18 138 – realised result: USD (30 987) corresponding to the realised loss on securities which is still held at the counterparty (monthly reset) The below table is composed of long and short positions:

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity

Industrial classification of investments Auto Manufacturers - 1 Banks - 1 Commercial Services - 1 Diversified Financial Services - 1 Electronics - 1 Food - 1 Investment Companies - 1 Leisure Time - 1 Machinery-Diversified - 1 Media - 1 Media - 2 Media - 3 Media - 4 Media - 5 Media - 6 Mining - 1 Mining - 2 Semiconductors - 1 Telecommunications - 1 Telecommunications - 2

The total market value of the contracts for difference swaps is USD (110 876).

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment USD 274 534 3 306 452 061 35 875 703 932 549 975 313 412 386 116 263 002 218 452 27 953 7 924 7 560 5 285 2 643 308 124 43 165 572 984 737 276 19 588 4 933 167

Unrealised appreciation/ (depreciation) USD (14 026) (440) 626 (6 607) 7 622 (2 206) 7 253 2 119 (40 949) (24 544) (1 266) 662 (170) (174) 120 218 954 (10 110) 41 226 493 (39 199)

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Merrill Lynch Investment Solutions – QFS Currency UCITS Fund Schedule of Investments as at March 31, 2013 (expressed in USD)

Nominal value

Quotation Currency

Description

Cost USD

Market value USD

% of net assets

Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market Supranationals, Governments and Local Public Authorities, Debt Instruments 800 000 United States Treasury Bill 0% 04/04/2013 1 000 000 United States Treasury Bill 0% 30/05/2013 1 700 000 United States Treasury Bill 0% 27/06/2013 100 000 United States Treasury Bill 0% 25/07/2013 1 750 000 United States Treasury Bill 0% 08/08/2013 1 500 000 United States Treasury Bill 0% 05/09/2013 Total Supranationals, Governments and Local Public Authorities, Debt Instruments Total investments

Industrial classification of investments (as a percentage of net assets as at March 31, 2013) Government

% 87.26

USD USD USD USD USD USD

799 971 999 746 1 699 320 99 954 1 749 342 1 499 300

799 999 999 898 1 699 713 99 977 1 749 452 1 499 395

10.19 12.74 21.66 1.28 22.29 19.10

6 847 633 6 847 633

6 848 434 6 848 434

87.26 87.26

Geographical classification of investments (as a percentage of net assets as at March 31, 2013) United States

87.26

Purchase

Sale

Forward foreign exchange contracts (cont.) CNY 28 065 550 USD 4 469 439 EUR 4 212 415 GBP 1 409 339 USD 96 846 USD 17 464 AUD 1 650 242 AUD 200 000 AUD 17 306 475 CAD 5 095 761 CHF 1 226 299 CHF 141 901 CHF 639 223 EUR 500 000 EUR 200 000 EUR 700 000 EUR 200 000 GBP 100 000 GBP 100 000 GBP 1 100 000

USD CNY USD USD EUR GBP EUR JPY USD USD EUR GBP USD AUD CHF JPY USD CHF JPY USD

4 456 921 28 065 550 5 461 494 2 132 041 74 789 11 557 1 300 000 19 883 400 17 798 273 5 035 444 1 000 000 100 000 694 015 649 512 244 451 86 469 420 267 961 141 025 14 335 000 1 667 581

% 87.26 87.26

Maturity date

Counterparty

Unrealised appreciation/ (depreciation) USD

08/04/2013 08/04/2013 30/04/2013 30/04/2013 30/04/2013 30/04/2013 21/05/2013 21/05/2013 21/05/2013 21/05/2013 21/05/2013 21/05/2013 21/05/2013 21/05/2013 21/05/2013 21/05/2013 21/05/2013 21/05/2013 21/05/2013 21/05/2013

Merrill Lynch International Merrill Lynch International State Street Capital Markets LLC State Street Capital Markets LLC State Street Capital Markets LLC State Street Capital Markets LLC Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International

57 567 (45 050) (59 176) 8 216 930 (84) 45 000 (3 761) 160 889 (27 646) 10 440 (2 213) (19 964) (32 670) (1 235) (21 051) (11 426) 3 137 (495) 2 718

The accompanying notes form an integral part of these financial statements. Audited annual report

210

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – QFS Currency UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Purchase

Sale

Forward foreign exchange contracts (cont.) JPY 18 517 720 JPY 122 952 830 JPY 30 455 174 MXN 11 582 278 NZD 5 256 691 USD 5 079 775 USD 2 900 000 USD 200 000 USD 2 073 867 USD 5 304 377 USD 100 000 USD 2 393 533 USD 2 879 381 USD 1 500 071 ZAR 2 702 366 INR 44 126 000 CNY 24 902 990 Total Forward foreign exchange contracts

AUD EUR USD USD USD AUD CAD CHF EUR GBP JPY MXN NZD ZAR USD USD USD

200 000 1 000 000 323 328 900 000 4 363 583 5 000 000 2 963 895 188 022 1 550 000 3 475 665 9 611 500 30 573 105 3 500 000 13 779 772 300 000 794 920 3 965 415

The accompanying notes form an integral part of these financial statements. Audited annual report

Maturity date

Counterparty

21/05/2013 21/05/2013 21/05/2013 21/05/2013 21/05/2013 21/05/2013 21/05/2013 21/05/2013 21/05/2013 21/05/2013 21/05/2013 21/05/2013 21/05/2013 21/05/2013 21/05/2013 06/06/2013 10/07/2013

Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International

Unrealised appreciation/ (depreciation) USD (10 752) 23 965 323 32 909 19 562 (108 792) (12 734) 1 734 85 722 26 738 (2 143) (69 019) (38 996) 10 838 (7 945) 6 231 20 220 41 987

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Merrill Lynch Investment Solutions – TRG Emerging Markets Opportunity UCITS Fund Schedule of Investments as at March 31, 2013 (expressed in USD)

Nominal value

Quotation Currency

Description

Cost USD

Market value USD

% of net assets

Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market Bonds 113 000 330 000

Banco do Brasil S.A. FRN Perpetual Petroleos de Venezuela S.A. 5.375% 12/04/2027 Total Bonds

USD USD

138 032 235 130 373 162

135 035 227 700 362 735

1.04 1.74 2.78

RUB USD USD USD USD USD USD

494 980 949 880 899 861 899 848 799 838 1 199 670 849 759

482 377 949 903 899 913 899 895 799 889 1 199 797 849 857

3.69 7.27 6.89 6.88 6.12 9.18 6.50

USD

175 754

174 975

1.34

6 269 590 6 642 752

6 256 606 6 619 341

47.87 50.65

Supranationals, Governments and Local Public Authorities, Debt Instruments 14 260 000 950 000 900 000 900 000 800 000 1 200 000 850 000 150 000

Russian Federal Bond - OFZ 7.5% 27/02/2019 United States Treasury Bill 0% 30/05/2013 United States Treasury Bill 0% 06/06/2013 United States Treasury Bill 0% 13/06/2013 United States Treasury Bill 0% 20/06/2013 United States Treasury Bill 0% 27/06/2013 United States Treasury Bill 0% 11/07/2013 Venezuela Government International Bond 12.75% 23/08/2022 Total Supranationals, Governments and Local Public Authorities, Debt Instruments Total investments

Industrial classification of investments (as a percentage of net assets as at March 31, 2013) Government Energy Financial

Purchase Forward foreign exchange contracts (cont.) JPY 21 161 150 USD 230 000 TWD 15 584 625 USD 525 000 BRL 9 500 527 BRL 1 091 695 INR 45 658 200 USD 4 773 018 USD 544 170 USD 841 301 EUR 2 287 898

% 47.87 1.74 1.04 50.65

Geographical classification of investments (as a percentage of net assets as at March 31, 2013) United States Russia Venezuela Brazil

Sale USD JPY USD TWD USD USD USD BRL BRL INR USD

230 766 21 161 150 525 266 15 584 625 4 785 293 548 873 840 000 9 500 526 1 091 695 45 658 200 2 937 016

% 42.84 3.69 3.08 1.04 50.65

Maturity date

Counterparty

Unrealised appreciation/ (depreciation) USD

29/03/2013 29/03/2013 01/04/2013 01/04/2013 02/04/2013 02/04/2013 02/04/2013 02/04/2013 02/04/2013 02/04/2013 04/04/2013

Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Merrill Lynch International Deutsche Bank AG London Deutsche Bank AG London Merrill Lynch International Deutsche Bank AG London Deutsche Bank AG London

(5 695) 4 929 (4 084) 3 819 (73 549) (7 452) 77 61 274 2 749 1 223 892

The accompanying notes form an integral part of these financial statements. Audited annual report

212

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – TRG Emerging Markets Opportunity UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Purchase Forward foreign exchange contracts (cont.) INR 71 400 RUB 14 209 400 THB 64 174 375 USD 3 001 255 USD 1 299 USD 920 000 USD 1 052 238 EUR 460 000 INR 12 113 200 MXN 21 378 754 RUB 14 232 860 TRY 2 557 682 USD 1 105 809 USD 220 000 USD 460 348 ZAR 15 096 893 ARS 2 800 556 CLP 219 328 000 KRW 1 197 790 000 RUB 29 340 800 TWD 74 274 941 USD 1 100 000 USD 2 502 173 CLP 314 416 373 CNY 7 641 600 USD 111 000 USD 1 201 169 IDR 21 692 000 000 KRW 347 600 000 PHP 35 806 650 USD 2 183 074 USD 326 996 USD 881 967 KRW 359 370 000 MXN 6 939 150 USD 330 329 INR 36 308 800 KRW 361 680 000 USD 660 924 USD 331 377 CNY 4 143 480 INR 38 505 280 MYR 1 714 075

Sale USD USD USD EUR INR RUB THB HUF USD USD USD USD EUR INR RUB USD USD USD USD USD USD KRW TWD USD USD CLP CNY USD USD USD IDR KRW PHP USD USD KRW USD USD INR KRW USD USD USD

1 300 460 000 2 151 804 2 287 898 71 400 28 403 850 31 350 375 139 988 120 220 721 1 731 122 460 000 1 403 342 861 000 12 113 200 14 232 860 1 622 653 534 696 460 000 1 103 787 950 000 2 503 803 1 197 790 000 74 274 941 660 813 1 200 000 52 947 000 7 641 600 2 202 783 326 385 885 373 21 692 000 000 347 600 000 35 806 650 330 000 542 558 359 370 000 660 000 330 000 36 308 800 361 680 000 660 000 704 000 550 000

The accompanying notes form an integral part of these financial statements. Audited annual report

Maturity date

Counterparty

Unrealised appreciation/ (depreciation) USD

04/04/2013 04/04/2013 04/04/2013 04/04/2013 04/04/2013 04/04/2013 04/04/2013 05/04/2013 05/04/2013 05/04/2013 05/04/2013 05/04/2013 05/04/2013 05/04/2013 05/04/2013 05/04/2013 08/04/2013 08/04/2013 08/04/2013 08/04/2013 08/04/2013 08/04/2013 08/04/2013 09/04/2013 09/04/2013 09/04/2013 09/04/2013 10/04/2013 10/04/2013 10/04/2013 10/04/2013 10/04/2013 10/04/2013 11/04/2013 11/04/2013 11/04/2013 12/04/2013 12/04/2013 12/04/2013 12/04/2013 15/04/2013 15/04/2013 15/04/2013

Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Merrill Lynch International Deutsche Bank AG London Merrill Lynch International Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Merrill Lynch International Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London

13 (3 082) 39 168 63 347 (14) 6 644 (18 093) 409 2 057 979 (2 395) 8 990 185 (2 779) 2 743 22 437 8 336 4 513 (27 634) (7 079) (19 516) 23 847 17 885 4 989 29 121 (1 119) (27 952) 27 153 (14 118) (7 787) (46 863) 14 729 4 381 (7 178) 19 329 7 507 6 771 (5 120) (5 848) 6 498 6 235 2 655 3 008

Merrill Lynch Investment Solutions

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Merrill Lynch Investment Solutions – TRG Emerging Markets Opportunity UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Purchase Forward foreign exchange contracts (cont.) PHP 17 877 200 TWD 16 310 250 USD 705 196 USD 550 088 USD 440 108 USD 550 371 THB 13 107 600 USD 442 004 AUD 55 000 EUR 1 185 461 GBP 932 030 IDR 2 151 600 000 INR 29 476 700 JPY 159 951 456 KRW 365 310 000 PHP 142 303 240 SGD 676 998 THB 13 054 800 TWD 16 326 750 USD 1 408 746 USD 1 410 777 USD 440 000 USD 2 141 352 USD 330 769 USD 1 646 234 USD 3 029 611 USD 440 535 USD 550 185 KRW 244 200 000 MYR 1 618 155 PHP 22 381 700 THB 13 017 400 USD 220 000 USD 518 340 USD 549 635 USD 442 658 INR 90 138 400 KRW 493 328 000 MYR 4 832 135 PHP 80 585 921 THB 16 304 750 TWD 16 390 000 USD 1 648 548

Sale USD USD INR MYR PHP TWD USD THB USD USD USD USD USD USD USD USD USD USD USD EUR GBP IDR JPY KRW PHP SGD THB TWD USD USD USD USD KRW MYR PHP THB USD USD USD USD USD USD INR

440 000 550 000 38 505 280 1 714 075 17 877 200 16 310 250 440 000 13 107 600 57 407 1 524 606 1 409 572 220 000 540 163 1 699 183 330 000 3 499 758 544 911 440 000 550 000 1 100 000 932 030 4 283 400 000 202 347 508 365 310 000 67 062 050 3 762 062 13 054 800 16 326 750 220 197 518 390 550 000 440 000 244 200 000 1 618 155 22 381 700 13 017 400 1 649 059 440 000 1 541 266 1 981 216 550 000 551 841 90 138 400

Maturity date

Counterparty

Unrealised appreciation/ (depreciation) USD

15/04/2013 15/04/2013 15/04/2013 15/04/2013 15/04/2013 15/04/2013 17/04/2013 17/04/2013 18/04/2013 18/04/2013 18/04/2013 18/04/2013 18/04/2013 18/04/2013 18/04/2013 18/04/2013 18/04/2013 18/04/2013 18/04/2013 18/04/2013 18/04/2013 18/04/2013 18/04/2013 18/04/2013 18/04/2013 18/04/2013 18/04/2013 18/04/2013 19/04/2013 19/04/2013 19/04/2013 19/04/2013 19/04/2013 19/04/2013 19/04/2013 19/04/2013 22/04/2013 22/04/2013 22/04/2013 22/04/2013 22/04/2013 22/04/2013 22/04/2013

Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London

(1 795) (4 383) (1 459) (2 920) 1 904 4 754 7 150 (5 147) (130) (2 202) 5 554 954 452 2 255 (1 968) (11 381) 807 5 322 (3 795) (3 906) (4 348) 125 (11 061) 2 738 2 295 (2 934) (4 787) 3 980 (928) 3 524 (1 329) 4 019 732 (3 575) 964 (1 361) 2 710 2 889 16 948 (5 570) 6 047 (3 472) (3 220)

The accompanying notes form an integral part of these financial statements. Audited annual report

214

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – TRG Emerging Markets Opportunity UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Purchase Forward foreign exchange contracts (cont.) USD 441 366 USD 1 540 211 USD 1 864 707 USD 558 765 USD 550 000 USD 89 000 ZAR 5 860 190 RUB 16 611 142 INR 12 040 600 KRW 861 520 000 THB 6 429 500 USD 220 040 USD 770 485 USD 220 037 CNY 1 379 840 HKD 4 250 931 IDR 6 468 000 000 KRW 369 369 000 THB 3 218 050 USD 1 210 000 USD 331 928 IDR 5 381 750 000 KRW 573 726 450 MYR 2 389 794 THB 15 152 830 USD 550 000 USD 220 000 USD 550 000 IDR 10 957 006 760 INR 59 990 700 JPY 2 826 471 KRW 366 861 000 PHP 22 456 500 THB 16 168 075 USD 1 688 235 USD 1 100 524 USD 1 429 139 USD 220 000 USD 330 000 USD 550 000 PHP 27 010 500 USD 220 000 BRL 5 884 122

Sale KRW MYR PHP THB TWD ZAR USD USD USD USD USD INR KRW THB USD USD USD USD USD IDR KRW USD USD USD USD IDR KRW MYR USD USD USD USD USD USD IDR INR JPY KRW MYR IDR USD PHP USD

493 328 000 4 832 135 76 051 250 16 304 750 16 390 000 796 310 656 215 534 688 220 000 770 000 220 000 12 040 600 861 520 000 6 429 500 220 000 548 224 660 000 330 000 110 000 11 856 350 000 369 369 000 549 158 517 000 769 957 517 000 5 381 750 000 244 065 800 1 708 234 1 120 673 1 100 000 30 000 330 000 550 000 550 000 16 519 400 000 59 990 700 132 394 978 245 124 000 1 024 650 5 376 250 000 660 000 8 982 600 2 923 304

The accompanying notes form an integral part of these financial statements. Audited annual report

Maturity date

Counterparty

Unrealised appreciation/ (depreciation) USD

22/04/2013 22/04/2013 22/04/2013 22/04/2013 22/04/2013 22/04/2013 22/04/2013 24/04/2013 25/04/2013 25/04/2013 25/04/2013 25/04/2013 25/04/2013 25/04/2013 26/04/2013 26/04/2013 26/04/2013 26/04/2013 26/04/2013 26/04/2013 26/04/2013 29/04/2013 29/04/2013 29/04/2013 29/04/2013 29/04/2013 29/04/2013 29/04/2013 30/04/2013 30/04/2013 30/04/2013 30/04/2013 30/04/2013 30/04/2013 30/04/2013 30/04/2013 30/04/2013 30/04/2013 30/04/2013 01/05/2013 02/05/2013 02/05/2013 03/05/2013

Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London

(1 522) (18 004) 234 2 717 1 631 2 427 (19 107) (2 129) 501 3 309 (772) (460) (2 823) 810 1 728 (543) 3 528 1 531 (280) (6 298) 397 2 720 (2 132) 299 (458) (1 878) 973 (582) 2 781 (2 553) 68 (793) 648 1 117 (5 548) 3 077 20 715 35 (232) (1 171) 2 346 (270) (14 420)

Merrill Lynch Investment Solutions

215

Merrill Lynch Investment Solutions – TRG Emerging Markets Opportunity UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Purchase Forward foreign exchange contracts (cont.) BRL 1 091 695 INR 12 071 400 USD 2 937 577 USD 330 000 CLP 327 736 200 CNY 3 448 957 KRW 967 668 175 MYR 8 461 732 THB 22 445 938 TWD 16 176 401 USD 2 173 016 CNH 7 135 695 PLN 1 751 241 USD 1 134 000 CZK 10 942 576 RON 1 862 644 ILS 2 022 919 INR 58 570 000 PEN 1 412 190 USD 1 032 935 INR 56 820 000 USD 1 000 000 HUF 124 257 878 TRY 970 135 COP 984 405 940 TWD 30 250 500 USD 1 050 000 PHP 17 912 400 USD 440 000 IDR 6 520 140 000 INR 60 750 000 USD 660 134 USD 1 000 496 INR 60 680 000 USD 1 005 121 INR 57 670 000 USD 1 000 000 PHP 44 462 000 USD 1 097 559 CNY 7 797 600 USD 1 227 005 CNY 11 439 450 USD 1 800 299

Sale USD USD EUR INR USD USD USD USD USD USD MYR USD USD CNH USD USD USD USD USD INR USD INR USD USD USD USD TWD USD PHP USD USD IDR INR USD INR USD INR USD PHP USD CNY USD CNY

542 367 220 000 2 287 898 18 074 100 690 844 548 367 864 460 2 711 719 754 069 541 053 6 765 000 1 134 000 559 596 7 135 695 580 217 565 881 546 661 1 000 000 547 891 58 570 000 955 279 56 820 000 520 678 531 565 537 780 1 055 495 30 250 500 440 000 17 912 400 660 000 1 000 000 6 520 140 000 60 750 000 1 000 000 60 680 000 989 873 57 670 000 1 097 550 44 462 000 1 223 630 7 797 600 1 800 000 11 439 450

Maturity date

Counterparty

Unrealised appreciation/ (depreciation) USD

03/05/2013 03/05/2013 03/05/2013 03/05/2013 08/05/2013 08/05/2013 08/05/2013 08/05/2013 08/05/2013 08/05/2013 08/05/2013 13/05/2013 13/05/2013 13/05/2013 15/05/2013 15/05/2013 16/05/2013 16/05/2013 16/05/2013 16/05/2013 17/05/2013 17/05/2013 28/05/2013 31/05/2013 04/06/2013 14/06/2013 14/06/2013 21/06/2013 21/06/2013 26/06/2013 26/06/2013 26/06/2013 26/06/2013 27/06/2013 27/06/2013 08/07/2013 08/07/2013 09/07/2013 09/07/2013 15/10/2013 15/10/2013 29/10/2013 29/10/2013

Merrill Lynch International Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Deutsche Bank AG London Deutsche Bank AG London Merrill Lynch International Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Merrill Lynch International Deutsche Bank AG London Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London

(2 676) 689 (907) (430) 261 5 479 3 517 13 942 10 676 344 (6 100) 13 176 (22 923) (13 176) (34 617) (27 238) 9 031 67 939 (3 370) (35 004) 80 540 (35 819) 55 456 (2 158) (42 341) 36 846 (809) 809 3 659 98 555 (3 526) (98 060) 97 069 (91 949) 50 565 (40 438) (7 440) 7 449 18 754 (15 379) 21 609 (21 309)

The accompanying notes form an integral part of these financial statements. Audited annual report

216

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – TRG Emerging Markets Opportunity UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Purchase Forward foreign exchange contracts (cont.) CNY 6 354 000 USD 1 003 967 CNY 6 645 450 USD 1 050 747 KRW 2 296 035 000 USD 2 105 692 TWD 30 045 750 USD 1 056 090 PHP 22 352 000 USD 554 090 Total Forward foreign exchange contracts

Short/ Long Currency Options Short USD Long USD Short USD Long USD Long USD Short USD Short USD Long USD Long USD Long USD Long AUD Short EUR Short USD Short USD Long USD Long USD Long USD Long USD Total Options

Sale USD CNY USD CNY USD KRW USD TWD USD PHP

Description Call USD/CLP (Deutsche Bank AG) Call USD/CLP (Deutsche Bank AG) Call USD/JPY (Deutsche Bank AG) Call USD/JPY (Deutsche Bank AG) Call USD/JPY (Deutsche Bank AG) Call USD/MYR (Deutsche Bank AG) Call USD/MYR (Deutsche Bank AG) Call USD/MYR (Deutsche Bank AG) Call USD/MYR (Deutsche Bank AG) Call USD/SGD (Deutsche Bank AG) Put AUD/USD (Deutsche Bank AG) Put EUR/HUF (Deutsche Bank AG) Put USD/CLP (Deutsche Bank AG) Put USD/CNY (Deutsche Bank AG) Put USD/CNY (Deutsche Bank AG) Put USD/CNY (Deutsche Bank AG) Put USD/PHP (Deutsche Bank AG) S+P 500 Index

1 000 000 6 354 000 1 050 000 6 645 450 2 100 000 2 296 035 000 1 050 000 30 045 750 550 000 22 352 000

Maturity date

Counterparty

12/11/2013 12/11/2013 03/12/2013 03/12/2013 13/12/2013 13/12/2013 16/12/2013 16/12/2013 09/01/2014 09/01/2014

Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London Deutsche Bank AG London

Put/ Call

Strike Price

Maturity

Quantity

Call Call Call Call Call Call Call Call Call Call Put Put Put Put Put Put Put Put

495 480 99 100 97 3.14 3.2 3.26 3.14 1.25 1.025 301 465 6.2 6.23 6.2875 40 1 520

06/05/2013 06/05/2013 11/04/2013 11/04/2013 11/04/2013 04/04/2013 04/04/2013 04/04/2013 04/04/2013 29/04/2013 13/05/2013 10/04/2013 06/05/2013 03/04/2013 03/04/2013 12/09/2013 20/06/2013 05/04/2013

(460 000) 460 000 (2 200 000) 1 100 000 1 100 000 (1 100 000) (4 200 000) 2 100 000 2 100 000 2 200 000 1 100 000 (230 000) (460 000) (100 000) 50 000 1 100 000 2 200 000 15

* The commitment on short call positions is unlimited.

Deutsche Bank AG London and Merrill Lynch Professional Clearing are the counterparties to these options.

The accompanying notes form an integral part of these financial statements. Audited annual report

Unrealised appreciation/ (depreciation) USD 11 236 (7 269) 6 727 (5 980) (56 880) 62 572 (39 976) 46 065 (2 504) 6 595 143 941

Market value USD

Commitment USD

(383) 1 694 (665) 129 1 726 (354) (21) – 675 5 865 5 712 (595) (384) (24) 173 4 357 4 582 1 575 24 062

227 700 000* – 217 800 000* – – 3 454 000* 13 440 000* – – – – 88 898 192 213 900 000 620 000 – – – – 765 812 192

Merrill Lynch Investment Solutions

217

Merrill Lynch Investment Solutions – TRG Emerging Markets Opportunity UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Notional Pay Credit default swaps (31 000) Brazilian Government International Bond 12.25% 06/03/2030 (363 000) Brazilian Government International Bond 12.25% 06/03/2030 (463 000) Brazilian Government International Bond 12.25% 06/03/2030 (175 000) Brazilian Government International Bond 12.25% 06/03/2030 (750 000) Brazilian Government International Bond 12.25% 06/03/2030 448 000 China Government International Bond 4.25% 28/10/2014 600 000 China Government International Bond 4.25% 28/10/2014 675 000 China Government International Bond 4.25% 28/10/2014 Total Credit default swaps

Notional Pay Interest rate swaps 9 847 045 Fixed 7.525% 6 676 022 Fixed 7.530% 6 563 000 Fixed 7.620% 4 566 069 Floating (BZDIOVRA Index) 3 152 110 Floating (BZDIOVRA Index) 3 016 000 Floating (BZDIOVRA Index) 1 698 000 Floating (BZDIOVRA Index) 2 580 000 Floating (BZDIOVRA Index) 1 738 000 000 Fixed 2.675% 33 880 000 Floating (THFX6M Index) 782 000 Fixed 3.400% 828 000 Fixed 3.350% 572 000 000 Floating 2.810% Total Interest rate swaps

Receive

Currency

Maturity Date

Unrealised appreciation/ (depreciation) Counterparty USD

Commitment USD

Fixed 1.000%

USD

20/12/2017

Barclays Bank Plc.

(201)

31 000

Fixed 1.000%

USD

20/12/2017

Barclays Bank Plc.

(3 335)

363 000

Fixed 1.000%

USD

20/12/2017

JPMorgan Chase Bank

(3 792)

463 000

Fixed 1.000%

USD

20/03/2018

JPMorgan Chase Bank

(419)

175 000

Fixed 1.000%

USD

20/06/2018

Barclays Bank Plc.

(3 188)

750 000

Fixed 1.000%

USD

20/06/2018

JPMorgan Chase Bank

1 414

–

Fixed 1.000%

USD

20/06/2018

Deutsche Bank

2 513

–

Fixed 1.000%

USD

20/06/2018

Deutsche Bank

2 479

–

(4 529)

1 782 000

Unrealised appreciation/ (depreciation) Counterparty USD

Commitment USD

Receive Floating (BZDIOVRA Index) Floating (BZDIOVRA Index) Floating (BZDIOVRA Index) Fixed 8.200% Fixed 8.180% Fixed 8.240% Fixed 8.600% Fixed 8.655% Floating 2.810% Fixed 2.900% Floating (WIBOR 6M Index) Floating (WIBOR 6M Index) Fixed 2.975%

Currency BRL BRL BRL BRL BRL BRL BRL BRL KRW THB PLN PLN KRW

Maturity Date 02/01/2014 02/01/2014 02/01/2014 02/01/2015 02/01/2015 02/01/2015 02/01/2015 02/01/2015 18/03/2016 28/03/2016 19/03/2018 22/03/2018 18/03/2023

JPMorgan Chase Bank Citibank Deutsche Bank JPMorgan Chase Bank Citibank Deutsche Bank Barclays Bank Plc. Deutsche Bank Citibank JPMorgan Chase Bank JPMorgan Chase Bank Barclays Bank Plc. Citibank

5 740 9 847 045 3 755 6 676 022 1 428 6 563 000 (7 843) 4 566 069 (5 962) 3 152 110 (4 273) 3 016 000 2 072 1 698 000 4 332 2 580 000 (5 793) 1 738 000 000 238 33 880 000 (1 401) 782 000 (937) 828 000 8 111 572 000 000 (533) 2 383 588 246

The accompanying notes form an integral part of these financial statements. Audited annual report

218

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – TRG Emerging Markets Opportunity UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD) Contracts for difference swaps The Sub-Fund Merrill Lynch Investment Solutions – TRG Emerging Markets Opportunity UCITS Fund entered into contracts for difference swaps with one counterparty (Merrill Lynch International Bank Ltd) with the following details: 1) Merrill Lynch International Bank Ltd No commitment* Market value of USD (59) detailed as follows: – realised result: USD (59) corresponding to the realised loss on securities which is still held at the counterparty (monthly reset) The total market value of the contracts for difference swaps is USD (59).

* No commitment as no portfolio held at year-end. The accompanying notes form an integral part of these financial statements. Audited annual report

Merrill Lynch Investment Solutions

219

Merrill Lynch Investment Solutions – Fulcrum Alpha Macro UCITS Fund Schedule of Investments as at March 31, 2013 (expressed in USD)

Nominal value

Quotation Currency

Description

Market value USD

Cost USD

% of net assets

Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market Supranationals, Governments and Local Public Authorities, Debt Instruments 900 000 German Treasury Bill 0% 15/05/2013 1 800 000 German Treasury Bill 0% 30/10/2013 1 250 000 United Kingdom Gilt 2.25% 07/03/2014 671 000 United Kingdom Gilt 8% 27/09/2013 10 000 United States Treasury Bill 0% 04/04/2013 10 000 United States Treasury Bill 0% 02/05/2013 10 000 United States Treasury Bill 0% 30/05/2013 1 750 000 United States Treasury Bill 0% 20/06/2013 10 000 United States Treasury Bill 0% 18/07/2013 10 000 United States Treasury Bill 0% 29/08/2013 Total Supranationals, Governments and Local Public Authorities, Debt Instruments Total investments

Industrial classification of investments (as a percentage of net assets as at March 31, 2013) Sovereign

Underlying Currency nature contract Details Futures contracts (cont.) Currency USD Australian Dollar Currency USD British Pound Currency USD Canadian Dollar Currency USD Euro Currency USD Japanese Yen Currency USD Mexican Peso Currency USD New Zealand Dollar Currency USD Swiss Franc Index EUR DAX Index Index GBP FTSE 100 Index Index HKD Hang Seng Index Index JPY Nikkei 225 Index SGX Index USD S&P 500 E-Mini Index Index USD SGX CNX Nifty Index Interest rate AUD 10 Year Australian Bond Interest rate CAD 10 Year Government of Canada Bond

% 68.59 68.59

Market

EUR EUR GBP GBP USD USD USD USD USD USD

1 152 278 2 359 760 1 918 788 1 109 749 10 000 9 999 9 997 1 749 617 9 997 9 996

1 155 542 2 310 449 1 933 633 1 057 272 10 000 10 000 9 999 1 749 757 9 998 9 996

9.60 19.20 16.07 8.78 0.08 0.08 0.08 14.54 0.08 0.08

8 340 181 8 340 181

8 256 646 8 256 646

68.59 68.59

Geographical classification of investments (as a percentage of net assets as at March 31, 2013) Germany United Kingdom United States

% 28.80 24.85 14.94 68.59

Unrealised Number of Number of appreciation/ Maturity contracts contracts Commitment (depreciation) Date bought sold USD USD

Chicago Mercantile Exchange Chicago Mercantile Exchange Chicago Mercantile Exchange Chicago Mercantile Exchange Chicago Mercantile Exchange Chicago Mercantile Exchange Chicago Mercantile Exchange Chicago Mercantile Exchange Eurex Deutschland Euronext Liffe Hong Kong Futures Exchange Singapore Exchange (was SIMEX) Chicago Mercantile Exchange Singapore Exchange (was SIMEX) Australian Stock Exchange

17/06/2013 17/06/2013 18/06/2013 17/06/2013 17/06/2013 17/06/2013 17/06/2013 17/06/2013 21/06/2013 21/06/2013 29/04/2013 13/06/2013 21/06/2013 25/04/2013 17/06/2013

Montreal Exchange

19/06/2013

19

16

1 967 070 1 706 063 2 357 040 3 045 462 1 063 300 643 200 665 680 1 581 900 751 246 192 873 431 219 593 491 2 656 590 343 320 1 610 864

8 455 (28 175) 5 800 22 612 (21 350) 4 000 9 320 (5 550) (7 640) (600) 2 357 1 649 15 397 3 962 (23 503)

27

3 588 306

(3 051)

18 24 19 8 16 8 12 3 2 3 9 34 30

The accompanying notes form an integral part of these financial statements. Audited annual report

220

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Fulcrum Alpha Macro UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Underlying Currency nature contract Details Futures contracts (cont.) Interest rate EUR German Euro Bund Interest rate GBP UK Long Gilt Bond Interest rate USD US 10 Year Note (CBT) Total Futures contracts

Purchase Forward foreign exchange contracts USD 1 154 812 BRL 1 672 735 CLP 390 896 200 HUF 9 251 553 IDR 7 086 489 900 INR 44 413 280 KRW 768 395 200 NOK 5 186 122 RUB 19 118 869 SGD 210 635 TRY 1 129 889 USD 617 192 USD 460 233 USD 611 786 USD 441 925 USD 444 336 USD 670 984 USD 1 151 656 USD 2 363 042 USD 1 916 913 Total Forward foreign exchange contracts

Unrealised Number of Number of appreciation/ Maturity contracts contracts Commitment (depreciation) Date bought sold USD USD

Market Eurex Deutschland Euronext Liffe Chicago Board of Trade

Sale EUR USD USD USD USD USD USD USD USD USD USD CZK PHP PLN SEK TWD ZAR GBP EUR GBP

900 000 832 455 819 490 38 804 715 594 807 001 686 669 890 031 610 729 168 488 615 244 12 188 128 18 660 137 1 973 669 2 853 757 13 192 327 6 263 237 723 583 1 800 000 1 276 138

The accompanying notes form an integral part of these financial statements. Audited annual report

06/06/2013 26/06/2013 19/06/2013

10 36 47

1 868 236 6 493 017 6 203 266 37 762 143

Maturity date

Counterparty

15/05/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 19/06/2013 27/09/2013 30/10/2013 07/03/2014

Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International Merrill Lynch International

(29 753) 33 081 34 813 21 824

Unrealised appreciation/ (depreciation) USD (1 213) (10 296) 25 (118) 6 395 (2 738) 1 083 (3 526) (3 566) 1 325 2 714 9 347 2 708 8 607 3 735 2 441 (4 635) 53 741 47 593 (19 159) 94 463

Merrill Lynch Investment Solutions

221

Merrill Lynch Investment Solutions – Fulcrum Alpha Macro UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Short/ Long Currency Options Long USD Long USD Short USD Long USD Total Options

Description 10 Year US Treasury Note British Pound Currency Future British Pound Currency Future S&P 500 E-Mini Index

Put/ Call

Strike Price

Maturity

Quantity

Put Call Put Put

131 152 145 1 450

26/04/2013 03/05/2013 03/05/2013 19/04/2013

45 25 (26) 39

Market value USD

Commitment USD

6 328 18 125 (1 463) 2 828 25 818

– – 2 356 250 – 2 356 250

Merrill Lynch International is the counterparty to these options.

Notional Pay Total return swaps (cont.) 560 000 0.003% 290 000 0.140% 470 000 0.180% 260 000 0.188% 300 000 0.190% 560 000 240 000 410 000 280 000 440 000 560 000 380 000

0.210% 0.300% 0.315% 0.315% 0.315% 0.315% 0.315%

250 000 0.315% 170 000 0.315% 150 000 280 000 120 000 260 000 100 000 250 000 380 000 360 000 240 000 260 000 470 000

0.353% 0.353% 0.410% 0.410% 0.420% 0.420% S&P GSCI Aluminum Official Close Index ER S&P GSCI Coffee "C" Arabica index S&P GSCI Coffee Official Close Index S&P GSCI Coffee Official Close Index S&P GSCI Copper Official Close Index ER

Receive S&P GSCI Corn ER Index S&P GSCI Silver Official Close Index ER S&P GSCI Copper Official Close Index ER S&P GSCI Unleaded Gasoline Index ER S&P GSCI Nickel Official Close Index ER S&P GSCI Brent Crude Index ER S&P GSCI Brent Crude Oil Index S&P GSCI Corn ER Index S&P GSCI Cotton Index ER S&P GSCI Soybean Index ER S&P GSCI Soybean Index ER S&P GSCI Sugar Official Close Index S&P GSCI Sugar Official Close Index S&P GSCI Wheat Official Close Index ER S&P GSCI Cocoa Index ER S&P GSCI Cocoa Index ER S&P GSCI Corn ER Index S&P GSCI Corn ER Index S&P GSCI Soybeans Index ER S&P GSCI Soybeans Index ER 0.190% 0.430% 0.338% 0.338% 0.180%

Currency

Unrealised appreciation/ Maturity (depreciation) Commitment Date Counterparty USD USD

USD

11/04/2013 Credit Suisse

(16 609)

1 660 874

USD

11/04/2013 Credit Suisse

(5 238)

523 840

USD

11/04/2013 Credit Suisse

(15 885)

1 588 509

USD

11/04/2013 Credit Suisse

6 000

599 975

USD USD USD USD USD USD USD

11/04/2013 11/04/2013 11/04/2013 11/04/2013 11/04/2013 11/04/2013 11/04/2013

Credit Suisse Credit Suisse Credit Suisse Credit Suisse Credit Suisse Credit Suisse Credit Suisse

(10 084) 7 084 3 218 (22 309) (8 225) (660) (12 063)

1 008 396 708 350 321 790 2 230 878 822 541 65 969 1 206 340

USD

11/04/2013 Credit Suisse

(13 520)

1 351 964

USD

11/04/2013 Credit Suisse

(15 689)

1 568 851

USD USD USD USD USD USD USD

11/04/2013 11/04/2013 11/04/2013 11/04/2013 11/04/2013 11/04/2013 11/04/2013

Credit Suisse Credit Suisse Credit Suisse Credit Suisse Credit Suisse Credit Suisse Credit Suisse

(11 156) 5 061 2 320 (3 950) (14 749) (2 046) (2 239)

1 115 647 506 079 232 037 395 006 1 474 889 204 628 223 918

USD USD USD USD USD

11/04/2013 11/04/2013 11/04/2013 11/04/2013 11/04/2013

Credit Suisse Credit Suisse Credit Suisse Credit Suisse Credit Suisse

13 496 (1 228) (7 323) 4 621 (537)

1 349 547 122 804 732 273 462 089 53 658

The accompanying notes form an integral part of these financial statements. Audited annual report

222

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Fulcrum Alpha Macro UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD)

Notional Pay Total return swaps (cont.) 410 000 S&P GSCI Corn ER Index 310 000 S&P GSCI Corn ER Index 570 000 S&P GSCI Cotton ER Index 280 000 S&P GSCI Cotton ER Index 180 000 S&P GSCI Energy Index ER 340 000 S&P GSCI Heating Oil Index 560 000 S&P GSCI Heating Oil Official Close Index ER 440 000 S&P GSCI Light Energy ER 2 610 000 S&P GSCI Light Energy ER 110 000 S&P GSCI Live Cattle ER CFD 430 000 S&P GSCI Natural Gas Official Close Index ER 300 000 S&P GSCI Nickel Official Close Index ER 310 000 S&P GSCI Silver Official Close Index ER 440 000 S&P GSCI Soybean Index ER 350 000 S&P GSCI Soybeans ER 630 000 S&P GSCI Sugar Official Close Index 370 000 S&P GSCI Zinc Official Close Index ER Total Total return swaps

Receive

Currency

0.315% 0.410% 0.315% 0.315% 0.188% 0.270%

USD USD USD USD USD USD

11/04/2013 11/04/2013 11/04/2013 11/04/2013 11/04/2013 11/04/2013

Credit Suisse Credit Suisse Credit Suisse Credit Suisse Credit Suisse Credit Suisse

21 237 17 599 14 824 (6 054) (5 877) (3 116)

2 123 718 1 759 896 1 482 366 605 413 587 708 311 626

0.188% 0.287% 0.287% 0.353%

USD USD USD USD

11/04/2013 11/04/2013 11/04/2013 11/04/2013

Credit Suisse Credit Suisse Credit Suisse Credit Suisse

(6 341) (1 338) 20 155 (1 109)

634 096 133 769 2 015 528 110 879

0.180% 0.190% 0.140% 0.315% 0.420% 0.315% 0.188%

USD USD USD USD USD USD USD

11/04/2013 11/04/2013 11/04/2013 11/04/2013 11/04/2013 11/04/2013 11/04/2013

Credit Suisse Credit Suisse Credit Suisse Credit Suisse Credit Suisse Credit Suisse Credit Suisse

(19 697) (2 067) 5 192 6 507 7 782 21 646 15 408 (36 959)

1 969 679 206 714 519 200 650 739 778 243 2 164 633 1 540 778 38 125 837

The accompanying notes form an integral part of these financial statements. Audited annual report

Unrealised appreciation/ Maturity (depreciation) Commitment Date Counterparty USD USD

Merrill Lynch Investment Solutions

223

Merrill Lynch Investment Solutions – Fulcrum Alpha Macro UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD) Contracts for difference swaps The Sub-Fund Merrill Lynch Investment Solutions – Fulcrum Alpha Macro UCITS Fund entered into contracts for difference swaps with one counterparty (Merrill Lynch International Bank Ltd) with the following details: 1) Merrill Lynch International Bank Ltd Commitment of USD 711 576 for the long portfolio composed of 1 index Market value of USD (12 324) detailed as follows: – unrealised depreciation on long portfolio: USD (12 324) The below table is composed of a long position:

Underlying nature Index

Commitment USD 711 576 711 576

Industrial classification of investments Future Index - 1

Unrealised appreciation/ (depreciation) USD (12 324) (12 324)

The total market value of the contracts for difference swaps is USD (12 324).

The accompanying notes form an integral part of these financial statements. Audited annual report

224

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Van Eck Commodities Long-Short Equity UCITS Fund Schedule of Investments as at March 31, 2013 (expressed in USD) Nominal value/ Quantity

Description

Quotation Currency

Cost USD

Market value USD

% of net assets

Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market Certificates 7 500

Gold Bullion Securities Ltd. Total Certificates

USD

1 163 905 1 163 905

1 154 100 1 154 100

5.94 5.94

Anadarko Petroleum Corp. Archer-Daniels-Midland Co. Cameron International Corp. Cimarex Energy Co. Cloud Peak Energy, Inc. Concho Resources, Inc. Diamondback Energy, Inc. First Quantum Minerals Ltd. Goldcorp, Inc. Green Plains Renewable Energy, Inc. Gulfport Energy Corp. Halcon Resources Corp. Halliburton Co. HollyFrontier Corp. Louisiana-Pacific Corp. Marathon Oil Corp. New Gold, Inc. Newfield Exploration Co. Pioneer Natural Resources Co. Schlumberger Ltd. Seadrill Ltd. SM Energy Co. Tesoro Corp. United States Steel Corp. Whiting Petroleum Corp. Total Shares

USD USD USD USD USD USD USD CAD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD

392 407 193 075 207 256 330 087 393 316 282 486 198 024 712 108 165 510 48 087 247 291 205 159 197 462 328 420 264 498 581 996 275 221 704 543 551 501 198 095 187 218 594 740 415 913 957 386 243 547 8 875 346

445 995 222 618 221 680 407 376 426 306 311 776 254 980 640 862 154 698 67 496 288 729 207 214 218 214 355 005 293 760 610 332 242 060 564 984 608 825 202 203 182 329 639 576 538 660 778 050 274 536 9 158 264

2.29 1.15 1.14 2.10 2.19 1.60 1.31 3.30 0.80 0.35 1.49 1.07 1.12 1.83 1.51 3.14 1.24 2.91 3.13 1.04 0.94 3.29 2.77 4.00 1.41 47.12

USD USD USD USD USD USD USD USD

699 985 1 999 787 1 999 722 499 811 499 762 499 716 499 663 499 593

699 994 1 999 856 1 999 808 499 884 499 821 499 757 499 731 499 654

3.60 10.29 10.29 2.57 2.57 2.57 2.57 2.57

7 198 039 17 237 290

7 198 505 17 510 869

37.03 90.09

Shares 5 100 6 600 3 400 5 400 22 700 3 200 9 500 33 700 4 600 5 900 6 300 26 600 5 400 6 900 13 600 18 100 26 600 25 200 4 900 2 700 4 900 10 800 9 200 39 900 5 400

Supranationals, Governments and Local Public Authorities, Debt Instruments 700 000 2 000 000 2 000 000 500 000 500 000 500 000 500 000 500 000

United States Treasury Bill 0% 11/04/2013 United States Treasury Bill 0% 16/05/2013 United States Treasury Bill 0% 06/06/2013 United States Treasury Bill 0% 25/07/2013 United States Treasury Bill 0% 22/08/2013 United States Treasury Bill 0% 19/09/2013 United States Treasury Bill 0% 17/10/2013 United States Treasury Bill 0% 14/11/2013 Total Supranationals, Governments and Local Public Authorities, Debt Instruments Total investments

The accompanying notes form an integral part of these financial statements. Audited annual report

Merrill Lynch Investment Solutions

225

Merrill Lynch Investment Solutions – Van Eck Commodities Long-Short Equity UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD) Industrial classification of investments (as a percentage of net assets as at March 31, 2013) Sovereign Oil & Gas Commodity Fund Mining Iron/Steel Oil & Gas Services Coal Building Materials Agriculture Energy-Alternate Sources

Purchase Forward foreign exchange contracts EUR 3 205 511 USD 75 912 Total Forward foreign exchange contracts

% 37.03 29.28 5.94 5.34 4.00 3.30 2.19 1.51 1.15 0.35 90.09

Maturity date

Sale USD EUR

Geographical classification of investments (as a percentage of net assets as at March 31, 2013) United States Jersey Canada Bermuda

4 157 259 58 606

Counterparty

30/04/2013 State Street Capital Markets LLC 30/04/2013 State Street Capital Markets LLC

% 77.87 5.94 5.34 0.94 90.09

Unrealised appreciation/ (depreciation) USD (40 315) 643 (39 672)

The accompanying notes form an integral part of these financial statements. Audited annual report

226

Merrill Lynch Investment Solutions

Merrill Lynch Investment Solutions – Van Eck Commodities Long-Short Equity UCITS Fund Schedule of Investments as at March 31, 2013 (cont.) (expressed in USD) Contracts for difference swaps The Sub-Fund Merrill Lynch Investment Solutions – Van Eck Commodities Long-Short Equity UCITS Fund entered into contracts for difference swaps with one counterparty (Merrill Lynch International Bank Ltd) with the following details: 1) Merrill Lynch International Bank Ltd Commitment of USD 6 246 351 for the short portfolio composed of 8 equities and 2 indices Commitment of USD 1 355 205 for the long portfolio composed of 3 equities Market value of USD 10 290 detailed as follows: – unrealised on short portfolio: USD 76 894 – unrealised on long portfolio: USD 7 798 – realised result: USD (74 402) corresponding to the realised loss on securities which is still held at the counterparty (monthly reset) The below table is composed of long and short positions:

Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Index Index

Industrial classification of investments Chemicals - 1 Iron/Steel - 1 Machinery-Construction & Mining - 1 Machinery-Construction & Mining - 2 Mining - 1 Mining - 2 Mining - 3 Oil & Gas - 1 Oil & Gas - 2 Oil & Gas - 3 Oil & Gas - 4 Commodities Index - 1 Commodities Index - 2

The total market value of the contracts for difference swaps is USD 10 290.

The accompanying notes form an integral part of these financial statements. Audited annual report

Commitment USD 144 452 941 460 269 607 151 448 504 384 494 620 175 884 515 864 402 670 372 600 344 721 1 696 758 1 587 088 7 601 556

Unrealised appreciation/ (depreciation) USD 2 156 9 180 5 766 (528) 6 512 (44 692) 4 086 64 402 (6 901) 11 948 (11 912) 6 539 38 136 84 692

Merrill Lynch Investment Solutions

227

Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund Schedule of Investments as at March 31, 2013 (expressed in USD) Nominal value/ Quantity

Quotation Currency

Description

Cost USD

Market value USD

% of net assets

Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market Bonds 150 000 150 000 150 000 150 000 150 000 150 000 150 000 150 000

Caesars Operating Escrow LLC 9% 15/02/2020 Innovation Ventures LLC 9.5% 15/08/2019 Kinetic Concepts, Inc. 10.5% 01/11/2018 Kinetic Concepts, Inc. 12.5% 01/11/2019 Momentive Performance Materials, Inc. 8.875% 15/10/2020 Reynolds Group Issuer, Inc. 9.875% 15/08/2019 Samson Investment Co. 9.75% 15/02/2020 Sorenson Communications, Inc. 10.5% 01/02/2015 Total Bonds

USD USD USD USD USD USD USD USD

151 500 128 250 163 875 148 875 154 875 165 188 160 125 129 750 1 202 438

150 938 126 375 162 375 147 750 154 500 164 437 159 375 129 375 1 195 125

2.52 2.11 2.71 2.46 2.58 2.74 2.66 2.16 19.94

American International Group, Inc. Dana Hldg. Corp. Liberty Global, Inc. - A ProSiebenSat.1 Media AG - Pref Total Shares Total investments

USD USD USD EUR

99 989 99 712 99 996 99 884 399 581 1 602 019

101 320 99 046 100 558 99 597 400 521 1 595 646

1.69 1.66 1.68 1.66 6.69 26.63

Shares 2 610 5 555 1 370 2 785

Industrial classification of investments (as a percentage of net assets as at March 31, 2013) Healthcare-Products Media Household Products/Wares Oil & Gas Chemicals Lodging Telecommunications Beverages Insurance Auto Manufacturers/Parts & Equipment

% 5.17 3.34 2.74 2.66 2.58 2.52 2.16 2.11 1.69 1.66 26.63

Geographical classification of investments (as a percentage of net assets as at March 31, 2013) United States Germany

% 24.97 1.66 26.63

The accompanying notes form an integral part of these financial statements. Audited annual report

228

Merrill Lynch Investment Solutions

Notes to the financial statements as at March 31, 2013 Note 1 – Activity Merrill Lynch Investment Solutions (the “SICAV”) has been incorporated on November 5, 2007 under Luxembourg laws as a “Société d’Investissement à Capital Variable” (SICAV) for an unlimited period of time. The SICAV is governed by the provisions of Part I and it fulfils the provisions of Article 27, of the Luxembourg Law of December 17, 2010 relating to undertakings for collective investment, as may be amended from time to time. The Articles of Incorporation created on November 5, 2007 and amended on December 22, 2011 are deposited with the Register of Commerce and Companies of Luxembourg and have been published in the Memorial C, “Recueil des Sociétés et Associations” (the “Memorial”) on November 30, 2007. The SICAV is registered with the Register of Commerce and Companies of Luxembourg under the number B 133.445. As at March 31, 2013, fieen Sub-Funds are available to investors: Sub-Funds Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund Merrill Lynch Investment Solutions – CCI Healthcare Long-Short UCITS Fund Merrill Lynch Investment Solutions – Zweig-DiMenna US Long-Short Equity UCITS Fund Merrill Lynch Investment Solutions – Theorema European Equity Long-Short UCITS Fund Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund Merrill Lynch Investment Solutions – QFS Currency UCITS Fund Merrill Lynch Investment Solutions – TRG Emerging Markets Opportunity UCITS Fund Merrill Lynch Investment Solutions – Fulcrum Alpha Macro UCITS Fund Merrill Lynch Investment Solutions – Van Eck Commodities Long-Short Equity UCITS Fund Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund

Launch Date November 23, 2007 July 29, 2009 January 29, 2010 October 29, 2010 June 16, 2010 November 3, 2010 November 15, 2010 December 1, 2010 February 22, 2011 June 24, 2011 November 23, 2011 December 16, 2011 June 15, 2012 December 19, 2012 March 25, 2013

Merrill Lynch Investment Solutions – GLG European Opportunity UCITS Fund was liquidated on May 21, 2012 and Merrill Lynch Investment Solutions – TT Financials UCITS Fund was liquidated on July 31, 2012. On October 30, 2012 Merrill Lynch Investment Solutions – TRG Global Emerging Markets UCITS Fund changed its name to Merrill Lynch Investment Solutions – TRG Emerging Markets Opportunity UCITS Fund. As at March 31, 2013, the following Classes of Shares have been issued: Sub-Funds Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral)

Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund

Merrill Lynch Investment Solutions – CCI Healthcare Long-Short UCITS Fund Merrill Lynch Investment Solutions – Zweig-DiMenna US long-Short Equity UCITS Fund

Audited annual report

Classes of Shares EUR A (acc), EUR A (inc), EUR B (acc), EUR C (acc), EUR G (acc), GBP A (inc), GBP B (acc), GBP B (inc), GBP C (acc), GBP C (inc), GBP G (acc), GBP Management (inc), USD A (acc), USD B (acc), USD C (acc), USD G (acc) CHF F (acc), EUR A (acc), EUR B (acc), EUR C (acc), EUR D (acc), EUR E (acc), EUR F (acc), EUR Z (acc), GBP A (acc), GBP A (inc), GBP B (acc), GBP B (inc), GBP C (inc), GBP D (acc), GBP E (acc), GBP F (acc), GBP Z (acc), USD A (acc), USD B (acc), USD C (acc), USD D (acc), USD E (acc), USD F (acc) EUR B (acc), EUR C (acc), EUR D (acc), EUR Z (acc), GBP B (acc), GBP B (inc), GBP C (acc), GBP C (inc), GBP Z (acc), USD B (acc), USD C (acc), USD D (acc) EUR B (acc), EUR D (acc), GBP C (acc), USD Management (acc)

Merrill Lynch Investment Solutions

229

Notes to the financial statements as at March 31, 2013 (cont.) Note 1 – Activity (cont.) Sub-Funds Merrill Lynch Investment Solutions – Theorema European Equity Lon-Short UCITS Fund Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund Merrill Lynch Investment Solutions – QFS Currency UCITS Fund Merrill Lynch Investment Solutions – TRG Emerging Markets Opportunity UCITS Fund Merrill Lynch Investment Solutions – Fulcrum Alpha Macro UCITS Fund Merrill Lynch Investment Solutions – Van Eck Commodities Long-Short Equity UCITS Fund Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund

Classes of Shares EUR B (acc), EUR C (acc), EUR D (acc), EUR Management (acc), EUR Z (acc), GBP B (acc), GBP C (acc), GBP Management (acc), GBP Z (acc), USD B (acc), USD D (acc) EUR B (acc), EUR C (acc), EUR D (acc), GBP C (acc), USD A (acc), USB B (acc), USD C (acc), USD D (acc) EUR B (acc), EUR C (acc), EUR D (acc), GBP B (acc), GBP C (acc), GBP D (acc), USD B (acc), USD C (acc), USD D (acc), USD Management (acc) EUR A (acc), EUR A (inc), EUR C (acc), EUR D (acc), GBP A (acc), GBP C (acc), GBP D (acc), USD A (acc), USD D (acc) CHF B (acc), CHF C (acc), EUR B (acc), EUR C (acc), EUR Z (acc), GBP B (acc), GBP C (acc), GBP Z (acc), USD B (acc), USD C (acc) EUR B (acc), EUR C (acc), EUR D (acc), GBP B (acc), GBP B (inc), GBP C (acc), GBP D (acc), USD B (acc), USD C (acc), USD D (acc), USD Management (acc) EUR B (acc), EUR C (acc), EUR D (acc), GBP B (acc), GBP B (inc), GBP C (acc), GBP D (acc), GBP D (inc), USD B (acc), USD C (acc), USD D (acc), USD Management (acc) USD B (acc), USD C (acc), USD Management (acc) USD B (acc), USD C (acc), USD Management (acc) EUR D (acc), USD B (acc), USD C (acc), USD D (acc), USD Management (acc) USD Management (acc)

The accounting year of the SICAV ends on March 31 every year. The accounts for the annual report are based on the valuations as at the last preceding Valuation Date March 28, 2013. Note 2 – Principal accounting policies 2.1 Presentation of financial statements The financial statements are prepared in accordance with Luxembourg regulations relating to undertakings for collective investment. 2.2 Valuation of investment in securities 2.2.1 Securities or money market instruments quoted or traded on an official stock exchange or any other regulated market, are valued on the basis of the last known price, and if the securities or money market instruments are listed on several stock exchanges or regulated markets, the last known price of the stock exchange which is the principal market for security or money market in question, unless these prices are not representative. 2.2.2 For securities or money market instruments not quoted or traded on an official stock exchange or any other regulated market, and for quoted securities or money market instruments, but for which the last known price is not representative, valuation is based on the probable sales price estimated prudently and in good faith by the Board of Directors of the SICAV. 2.2.3 Liquid assets and money market instruments with a maturity of less than 12 months may be valued at nominal value plus any accrued interest or using an amortised cost method. 2.2.4 Investments in other open-ended UCIs are valued on the basis of the respective last available net asset value of such UCIs at each Valuation Day. 2.2.5 Units or shares of a closed-ended UCI are valued in accordance with the valuation rules set out in items 2.2.1 and 2.2.2.

Audited annual report

230

Merrill Lynch Investment Solutions

Notes to the financial statements as at March 31, 2013 (cont.) Note 2 – Principal accounting policies (cont.) 2.2 Valuation of investment in securities (cont.) 2.2.6 Any of the above mentioned assets for which the valuation in accordance with the above paragraphs is not possible, practicable or representative of their fair value are valued at fair market value, as determined in good faith by the Board of Directors of the SICAV. 2.3 Valuation of swaps The valuation of the swaps is resultant from the sum of the unrealised appreciation/depreciation, realised gains/losses and other interest or fees on contracts for difference swaps. Upfront payments, which represent a risk premium, are amortised straight-line over the contract term. 2.4 Valuation of futures and options contracts Initial margin deposits on open futures at the year-end are included in “Cash at bank”. Unrealised appreciations or depreciations are recorded as follows: – –

in “Unrealised appreciation/(depreciation) on futures contracts”, in the “Statement of Net Assets”; in “Change in net unrealised appreciation/(depreciation) on financial futures contracts”, in the “Statement of Operations and Changes in Net Assets”.

Futures contracts are valued at their liquidation value based on the closing price on the market on which these futures are quoted. The liquidating value of options contracts traded on exchanges or on other organised markets is based upon the last available settlement prices of these contracts on exchanges and organised markets on which the particular options contracts are traded by the SICAV; provided that if an options contract could not be liquidated on the day with respect to which net assets are being determined, the basis for determining the liquidating value of such contract is such value as the Board of Directors may deem fair and reasonable. 2.5 Valuation of forward foreign exchange contracts Forward foreign exchange contracts are valued at the forward rates applicable at the statement of net assets date for the remaining period until maturity. Gains or losses resulting from forward foreign exchange contracts are recognised in the “Statement of Operations and Changes in Net Assets”. 2.6 Net realised gains or losses resulting from investments The realised gains or losses resulting from the sales of investments are calculated on an average cost basis. 2.7 Foreign exchange translation The accounts of each Sub-Fund are maintained in the reference currency of the Sub-Fund and the financial statements are expressed in that currency. The acquisition cost of securities expressed in a currency other than the reference currency is translated into the reference currency at the exchange rates prevailing on the date of purchase. Income and expenses expressed in other currencies than the reference currency are converted at exchange rates ruling at the transaction date. Assets and liabilities expressed in other currencies than the reference currency are converted at exchange rates ruling at the year-end. The realised gains and losses or unrealised appreciation and depreciations on foreign exchange translation are recognised in the “Statement of Operations and Changes in Net Assets” in determining the increase or decrease in net assets. The following exchange rates (against EUR) as at 5 p.m. Central European Time have been used to convert the investments and other assets and liabilities denominated in currencies other than EUR for all Sub-Funds denominated in EUR:

Audited annual report

Merrill Lynch Investment Solutions

231

Notes to the financial statements as at March 31, 2013 (cont.) Note 2 – Principal accounting policies (cont.) 2.7 Foreign exchange translation (cont.) Currency AUD BRL CAD CHF DKK GBP HKD HUF IDR ILS JPY KRW MXN MYR NOK NZD PHP RUB SEK SGD THB TRY TWD USD ZAR

March 31, 2013 1.231691 2.589194 1.304581 1.215978 7.454838 0.845664 9.968013 304.419870 12 478.234518 4.666738 120.731012 1 428.688832 15.844693 3.976213 7.489509 1.532337 52.404091 39.915455 8.349213 1.593054 37.604847 2.323578 38.397778 1.284099 11.780904

The following exchange rates (against USD) as at 5 p.m. Central European Time have been used to convert the investments and other assets and liabilities denominated in currencies other than USD for all Sub-Funds denominated in USD except for Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund and Merrill Lynch Investment Solutions – QFS Currency UCITS Fund: Currency ARS AUD BRL CAD CHF CLP CNH CNY COP CZK DKK EUR GBP HKD HUF IDR

March 31, 2013 5.121150 0.959187 2.016350 1.015950 0.946950 471.750000 6.207500 6.214300 1 828.000000 20.062300 5.805500 0.778756 0.658566 7.762650 237.068800 9 717.500000

Audited annual report

232

Merrill Lynch Investment Solutions

Notes to the financial statements as at March 31, 2013 (cont.) Note 2 – Principal accounting policies (cont.) 2.7 Foreign exchange translation (cont.) Currency ILS INR JPY KRW MXN MYR NOK NZD PEN PHP PLN RON RUB SEK SGD THB TRY TWD ZAR

March 31, 2013 3.634250 54.350000 94.020000 1 112.600000 12.339150 3.096500 5.832500 1.193317 2.590000 40.810000 3.252450 3.439150 31.084400 6.502000 1.240600 29.285000 1.809500 29.902500 9.174450

The following exchange rates (against USD) as at 9 p.m. Central European Time have been used to convert the investments and other assets and liabilities denominated in currencies other than USD for Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund and Merrill Lynch Investment Solutions – QFS Currency UCITS Fund: Currency AUD CAD CHF CNY COP EUR GBP HKD INR JPY MXN NOK NZD SEK ZAR

March 31, 2013 0.960200 1.016450 0.948900 6.214300 1 825.500000 0.779879 0.658393 7.762750 54.350000 94.130000 12.357350 5.837750 1.195457 6.508800 9.193050

The following exchange rate (against EUR) has been used to calculate the combined total in the Statement of Net Assets and in the Statement of Operations and Statement of Changes in Net Assets for all Sub-Funds denominated in USD except for Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund and Merrill Lynch Investment Solutions – QFS Currency UCITS Fund: Currency USD

Audited annual report

March 31, 2013 1.28409925573607

Merrill Lynch Investment Solutions

233

Notes to the financial statements as at March 31, 2013 (cont.) Note 2 – Principal accounting policies (cont.) 2.7 Foreign exchange translation (cont.) The following exchange rate (against EUR) has been used to calculate the combined total in the Statement of Net Assets and in the Statement of Operations and Statement of Changes in Net Assets for Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund and Merrill Lynch Investment Solutions – QFS Currency UCITS Fund: Currency USD

March 31, 2013 1.28225019522259

2.8 Income Dividends are credited to income on the date upon which the relevant securities are first listed as “ex-dividend”. Interest income is accrued on a daily basis. 2.9 Formation expenses Formation expenses and those of the launch of new Sub-Funds are born by Merrill Lynch International. Note 3 – Investment management, distribution and performance fees The investment management fees which are payable to the Investment Manager in connection with the services to be provided by them, and distribution fees which are payable to the Investment Manager or Merrill Lynch International pursuant to the relevant agreements between each of them, are payable monthly in arrears and calculated on each banking day (as defined in the Prospectus) on the net assets of each Share Class and at the combined annual rates mentioned below. The performance fees which are payable to the Investment Manager, are payable annually or on crystallisation, and are calculated on each banking day (as defined in the Prospectus) at the combined annual rates mentioned below.

Sub-Funds Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral)

Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund

Merrill Lynch Investment Solutions – GLG European Opportunity UCITS Fund* Merrill Lynch Investment Solutions – CCI Healthcare Long-Short UCITS Fund

Class Class A Class B Class C Class G Class Management Class Z Class A Class B Class C Class D Class E Class F Class Z Class B Class C Class B Class C Class D Class Management Class Z

Combined investment management and distribution fee 1.75% 1.50% 2.25% 1.50% 0.60% 1.50% 1.50% 1.50% 2.50% 1.00% 1.50% 2.50% 1.50% 2.00% 2.75% 2.00% 2.75% 1.50% 0.00% 2.00%

Performance fee 25% 20% 20% 20% 10% 20% 25% 15% 15% 10% 20% 20% 20% 20% 20% 20% 20% 15% 0% 20%

* Liquidated on May 21, 2012

Audited annual report

234

Merrill Lynch Investment Solutions

Notes to the financial statements as at March 31, 2013 (cont.) Note 3 – Investment management, distribution and performance fees (cont.)

Sub-Funds Merrill Lynch Investment Solutions – Zweig-DiMenna US Long-Short Equity UCITS Fund

Merrill Lynch Investment Solutions – Theorema European Equity Long-Short UCITS Fund

Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund

Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund

Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund

Merrill Lynch Investment Solutions – TT Financials UCITS Fund***

Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund

Merrill Lynch Investment Solutions – QFS Currency UCITS Fund

Class Class B Class C Class D Class Management Class Z Class B Class C Class D Class Management Class Z Class A Class B Class C Class D Class Z Class B Class C Class D Class Management Class Z Class A Class C Class D Class Management Class Z Class B Class C Class Management Class Z Class B Class C Class D Class Management Class B Class C Class D Class Management Class Z Class B Class C Class D Class Management Class Z

** The rate of performance fees changed from 15% to 10% in the Prospectus of March 2013. *** Liquidated on July 31, 2012

Audited annual report

Combined investment management and distribution fee 2.00% 2.75% 1.50% 0.00% 2.00% 2.00% 2.75% 1.50% 2.00% 2.00% 2.00% 2.00% 2.75% 1.50% 2.00% 2.00% 2.75% 1.50% 0.00% 2.00% 1.00% 2.00% 1.00% 0.00% 1.00% 2.00% 2.75% 0.00% 2.00% 1.60% 2.50% 1.20% 0.00% 1.50% 2.25% 1.20% 0.00% 1.50% 2.00% 2.75% 1.00% 0.00% 2.00%

Performance fee 20% 20% 20% 0% 20% 20% 20% 15% 0% 20% 25% 20% 20% 15% 20% 20% 20% 20% 0% 20% 10%** 10%** 10%** 0% 10% 20% 20% 0% 20% 20% 20% 20% 0% 20% 20% 15% 0% 20% 20% 20% 20% 0% 20%

Merrill Lynch Investment Solutions

235

Notes to the financial statements as at March 31, 2013 (cont.) Note 3 – Investment management, distribution and performance fees (cont.)

Sub-Funds Merrill Lynch Investment Solutions – TRG Emerging Markets Opportunity UCITS Fund

Merrill Lynch Investment Solutions – Fulcrum Alpha Macro UCITS Fund******

Merrill Lynch Investment Solutions – Van Eck Commodities Long-Short Equity UCITS Fund*******

Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund********

Class Class B Class C Class D Class Management Class Z Class B Class C Class D Class Management Class Z Class B Class C Class D Class Management Class Z Class B Class C Class D Class Management Class Z

Combined investment management and distribution fee 1.50%**** 2.25%**** 1.00% 0.00% 1.50% 2.00% 2.75% 1.50% 0.00% 2.00% 1.50% 2.25% 1.05% 0.00% 1.50% 1.50% 2.25% 1.00% 0.00% 1.50%

Performance fee 20% 20% 20%***** 0% 20% 20% 20% 20% 0% 20% 20% 20% 10% 0% 20% 20% 20% 10% 0% 20%

**** The rate of combined investment management and distribution fees changed from 2.00% to 1.50% for Class B and from 2.75% to 2.25% for Class C in the Prospectus of November 2012. ***** The rate of performance fees changed from 10% to 20% in the Prospectus of November 2012. ****** Launched on June 15, 2012 ******* Launched on December 19, 2012 ******** Launched on March 25, 2013

Note 4 – Operating and administrative fee In respect of each Sub-Fund, the SICAV shall pay to Merrill Lynch International an operating and administrative fee equal to a certain percentage of the Net Asset Value of the relevant Share Class calculated in the same manner as for the calculation of the investment management fee. The operating and administrative fee shall be calculated and accrued as an expense of the relevant Share Class and shall be payable monthly in arrears. Note 5 – Custodian, Administrator, Registrar Agent fee Each of the Custodian, the Administrator and the Registrar Agent are entitled to receive from Merrill Lynch International fees pursuant to the relevant agreements between each of them and the SICAV in accordance with usual market practice. In addition, reasonable disbursements and out-of-pocket expenses incurred by such parties are charged to Merrill Lynch International as appropriate.

Audited annual report

236

Merrill Lynch Investment Solutions

Notes to the financial statements as at March 31, 2013 (cont.) Note 6 – Transaction Costs For the year from April 1, 2012 to March 31, 2013, the SICAV incurred transaction costs related to purchase or sale of securities and trading of financial instruments such as Options and Futures as follows: Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund Merrill Lynch Investment Solutions – GLG European Opportunity UCITS Fund* Merrill Lynch Investment Solutions – CCI Healthcare Long-Short UCITS Fund Merrill Lynch Investment Solutions – Zweig-DiMenna US Long-Short Equity UCITS Fund Merrill Lynch Investment Solutions – Theorema European Equity Long-Short UCITS Fund Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Merrill Lynch Investment Solutions – TT Financials UCITS Fund** Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund Merrill Lynch Investment Solutions – QFS Currency UCITS Fund Merrill Lynch Investment Solutions – TRG Emerging Markets Opportunity UCITS Fund Merrill Lynch Investment Solutions – Fulcrum Alpha Macro UCITS Fund*** Merrill Lynch Investment Solutions – Van Eck Commodities Long-Short Equity UCITS Fund**** Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund*****

EUR EUR EUR USD USD EUR EUR USD USD USD USD USD USD USD USD USD USD

(406 071) (2 347 033) (7 321) (4 210 808) (130 348) (58 065) (445 262) (200 233) (301 947) (1 257 165) (25 256) (125 819) (9 158) (109 266) (7 207) (7 650) (393)

* Liquidated on May 21, 2012 ** Liquidated on July 31, 2012 *** Launched on June 15, 2012 **** Launched on December 19, 2012 ***** Launched on March 25, 2013

The transaction costs include broker fees and fees charged by the custodian for securities and derivatives transactions. The broker fees are included in the cost of securities and derivatives purchased and sold. The fees charged by the custodian for securities and derivatives transactions are recorded under the caption “Interest and bank charges and transaction costs”.

Note 7 – Taxation The SICAV’s assets are subject to tax (“Taxe d’abonnement”) in the Grand Duchy of Luxembourg of 0.05% of the net assets p.a. (except Sub-Funds or Classes of Shares reserved to Institutional Investors that can benefit from the reduced tax rate of 0.01% of the net assets p.a. as stipulated in the Prospectus) payable quarterly. The SICAV’s income is not taxable in Luxembourg. No tax will be deducted at source from any dividends paid by the SICAV. Income received from the SICAV may be subject to withholding taxes in the country of origin of the issuer of the security, in respect of which such income is paid. No duty or tax is payable in Luxembourg in connection with the issue of Shares of the SICAV, except for one lump sum capital levy of EUR 1 250 which is payable at incorporation. Investment income from dividends and interest received by the SICAV may be subject to withholding taxes at varying rates. Such withholding taxes are usually not recoverable.

Audited annual report

Merrill Lynch Investment Solutions

237

Notes to the financial statements as at March 31, 2013 (cont.) Note 8 – Cash collateral information The table below provides the cash collateral balances due from / (due to) the brokers in relations to the following investments held as at March 31, 2013. Due from / (due to) Sub-Funds brokers Counterparty Merrill Lynch Investment Solutions – Marshall Due from JPMorgan Securities Ltd Wace TOPS UCITS Fund (Market Neutral) Due from Morgan Stanley International Merrill Lynch Investment Solutions – York Due from Barclays Event-Driven UCITS Fund Due from Citi Due from Credit Suisse First Boston Europe Due from Deutsche Bank Due from JPMorgan Chase Bank Due from Merrill Lynch International Bank Ltd Due from Morgan Stanley Capital Services Due from UBS Merrill Lynch Investment Solutions – CCI Due from Credit Suisse First Healthcare Long-Short UCITS Fund Boston Europe Due from Merrill Lynch International Bank Ltd Due from Morgan Stanley Capital Services Merrill Lynch Investment Solutions – Zweig- Due from Merrill Lynch DiMenna US Long-Short Equity UCITS Fund International Bank Ltd Merrill Lynch Investment Solutions Due from Goldman Sachs – Theorema European Equity Long-Short Due from Merrill Lynch UCITS Fund International Bank Ltd Merrill Lynch Investment Solutions – York Due from Citi Asian Event-Driven UCITS Fund Due from Credit Suisse First Boston Europe Due from Deutsche Bank Due from Goldman Sachs Due from JPMorgan Chase Bank Due from Morgan Stanley International Due from UBS Merrill Lynch Investment Solutions – Graham Due from Merrill Lynch Capital Systematic Macro UCITS Fund International Bank Ltd Merrill Lynch Investment Solutions – AQR Due from Deutsche Bank Global Relative Value UCITS Fund Due from Merrill Lynch International Bank Ltd Due from Morgan Stanley Capital Services Due from Morgan Stanley International

Investment type Swap contracts

Currency EUR

Cash collateral balances 2 000 278

Swap contracts Options and swap contracts Options and swap contracts

EUR EUR EUR

8 423 200 810 500 247 670

Options and swap contracts Options and swap contracts Options and swap contracts

EUR EUR EUR

2 542 440 1 660 001 10 445 134

Options and swap contracts

EUR

793

Options and swap contracts Options and swap contracts

EUR EUR

8 800 030 3 245 003

Swap contracts

USD

1 300 000

Swap contracts

USD

12 401 000

Swap contracts

USD

4 770 000

Swap contracts Swap contracts

USD EUR

634 223 2 000 000

Swap contracts Options and swap contracts

EUR EUR

10 129 868 1 003 585

Options and swap contracts Options and swap contracts Options and swap contracts Options and swap contracts

EUR EUR EUR EUR

1 231 079 395 430 417 389 13

Options and swap contracts Options and swap contracts

EUR EUR

1 930 085 2 257 900

Swap contracts Swap contracts

USD USD

9 001 000 21 240 201

Swap contracts

USD

25 553 415

Swap contracts

USD

47 890 000

Swap contracts

USD

29 890 000

Audited annual report

238

Merrill Lynch Investment Solutions

Notes to the financial statements as at March 31, 2013 (cont.) Note 8 – Cash collateral information (cont.) Due from / (due to) Sub-Funds brokers Counterparty Merrill Lynch Investment Solutions – Och-Ziff Due from Barclays European Multi-Strategy UCITS Fund Due from Credit Suisse First Boston Europe Due from Credit Suisse First Boston International Due from Deutsche Bank Due from Goldman Sachs Due from HSBC Due from JPMorgan Chase Bank Due to

Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund Merrill Lynch Investment Solutions – TRG Emerging Markets Opportunity UCITS Fund

Due from Due from Due from Due from Due from Due from Due from Due from

Due from Due from Merrill Lynch Investment Solutions – Fulcrum Due from Alpha Macro UCITS Fund Merrill Lynch Investment Solutions – Van Eck Due from Commodities Long-Short Equity UCITS Fund

Morgan Stanley Capital Services UBS JPMorgan Chase Bank Merrill Lynch International Bank Ltd Barclays Citi Deutsche Bank JPMorgan Chase Bank Merrill Lynch International Bank Ltd Standard Chartered UBS Credit Suisse First Boston International Merrill Lynch International Bank Ltd

Cash collateral balances 2 157 385

Investment type Swap contracts

Currency USD

Swap contracts

USD

8 365 828

Swap contracts Swap contracts Swap contracts Swap contracts Swap contracts

USD USD USD USD USD

890 517 1 210 024 5 414 318 1 365 021 3 903 192

Swap contracts Swap contracts Options and swap contracts

USD USD USD

150 000 12 210 000 1 470 000

Options and swap contracts Options and swap contracts Options and swap contracts Options and swap contracts Options and swap contracts

USD USD USD USD USD

754 749 540 237 80 111 3 280 546 380 000

Options and swap contracts Options and swap contracts Options and swap contracts

USD USD USD

1 000 4 500 153 455

Swap contracts

USD

625 005

Swap contracts

USD

1 197 910

Note 9 – Stock collateral information The table below provides the stock collateral information as at March 31, 2013.

Sub-Funds Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund

Merrill Lynch Investment Solutions – QFS Currency UCITS Fund Merrill Lynch Investment Solutions – Fulcrum Alpha Macro UCITS Fund

Audited annual report

Counterparty

Security name

Currency

Merrill Lynch International

United States Treasury Bill 0% 25/07/2013

USD

Nominal value 17 000 000

Merrill Lynch International

United States Treasury Bill 0% 25/07/2013

USD

2 000 000

Deutsche Bank AG

United States Treasury Bill 0% 19/09/2013

USD

19 000 000

Merrill Lynch International

United States Treasury Bill 0% 17/10/2013

USD

9 000 000

Morgan Stanley

United States Treasury Bill 0% 22/08/2013

USD

10 000 000

Morgan Stanley

United States Treasury Bill 0% 12/12/2013

USD

21 000 000

Merrill Lynch International

United States Treasury Bill 0% 27/06/2013

USD

1 700 000

Merrill Lynch International

United States Treasury Bill 0% 20/06/2013

USD

1 750 000

Merrill Lynch Investment Solutions

239

Notes to the financial statements as at March 31, 2013 (cont.) Note 10 – Fair valuation The following table sets forth the securities where a competent person appointed by the Directors was used to determine value as at March 31, 2013.

Sub-Funds Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral)

Currency

Number of assets valued

% of Value net assets

EUR

5

(451)

(0.00)

Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund

EUR

6

204 883

0.08

Merrill Lynch Investment Solutions – Zweig-DiMenna US Long-Short Equity UCITS Fund

USD

1

0

0.00

Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund

EUR

1

64 562

0.22

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund

USD

1

0

0.00

Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund

USD

6

41 048

0.02

Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund

USD

3

148 876

0.85

Note 11 – Directors fees The two independent Directors were paid USD 35 000 each during the year ended March 31, 2013. Note 12 – Subsequent events The Board of Directors of Merrill Lynch Investment Solutions approved the merger of Torrus Funds and BofAML Invest Funds Plc. into Merrill Lynch Investment Solutions on April 24, 2013.

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Merrill Lynch Investment Solutions

Global Risk Management (Unaudited Information) The reference portfolio used by each Sub-Fund is set out in the table below. In terms of risk management, the Board of Directors choose the absolute VaR approach in order to determine the global risk for:

Sub-Funds Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund Merrill Lynch Investment Solutions – GLG European Opportunity UCITS Fund* Merrill Lynch Investment Solutions – CCI Healthcare Long-Short UCITS Fund Merrill Lynch Investment Solutions – ZweigDiMenna US Long-Short Equity UCITS Fund Merrill Lynch Investment Solutions – Theorema European Equity Long-Short UCITS Fund Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Merrill Lynch Investment Solutions – TT Financials UCITS Fund** Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund Merrill Lynch Investment Solutions – QFS Currency UCITS Fund Merrill Lynch Investment Solutions – TRG Emerging Markets Opportunity UCITS Fund Merrill Lynch Investment Solutions – Fulcrum Alpha Macro UCITS Fund*** Merrill Lynch Investment Solutions – Van Eck Commodities Long-Short Equity UCITS Fund**** Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund*****

Highest Lowest Average VaR Confidence Days Historical VaR VaR VaR Methodology Level Horizon Observations 2.68%

1.44%

1.93%

Parametric

99% 20 days

3 years

13.40%

4.32%

8.65%

Parametric

99% 20 days

3 years

5.03%

0.00%

3.18%

Parametric

99% 20 days

3 years

11.62%

5.08%

8.24%

Parametric

99% 20 days

3 years

11.48%

3.51%

6.61%

Parametric

99% 20 days

3 years

6.65%

3.23%

4.98%

Parametric

99% 20 days

3 years

6.47%

3.38%

4.94%

Parametric

99% 20 days

3 years

10.32%

4.45%

7.50%

99% 20 days

3 years

7.87%

2.59%

4.05%

99% 20 days

3 years

7.11%

2.38%

4.39%

Parametric Monte Carlo Simulation Monte Carlo Simulation

99% 20 days

3 years

8.13%

0.00%

4.65%

99% 20 days

3 years

7.49%

1.71%

3.35%

99% 20 days

3 years

14.01%

3.28%

9.92%

99% 20 days

3 years

6.80%

0.87%

3.88%

99% 20 days

3 years

14.09%

2.72%

5.68%

99% 20 days

3 years

7.68%

0.00%

5.11%

99% 20 days

3 years

1.17%

0.35%

0.76%

99% 20 days

3 years

Parametric Monte Carlo Simulation Parametric Monte Carlo Simulation Monte Carlo Simulation Monte Carlo Simulation Monte Carlo Simulation

Period 30/03/12 to 28/03/13 30/03/12 to 28/03/13 30/03/12 to 18/05/12 30/03/12 to 28/03/13 30/03/12 to 28/03/13 30/03/12 to 28/03/13 30/03/12 to 28/03/13 30/03/12 to 28/03/13 30/03/12 to 28/03/13 30/03/12 to 28/03/13 30/03/12 to 31/07/12 30/03/12 to 28/03/13 30/03/12 to 28/03/13 30/03/12 to 28/03/13 18/06/12 to 28/03/13 19/12/12 to 28/03/13 27/03/13 to 28/03/13

* Liquidated on May 21, 2012 ** Liquidated on July 31, 2012 *** Launched on June 15, 2012 **** Launched on December 19, 2012 ***** Launched on March 25, 2013

The lowest, highest and average utilisation of the VaR limit during the year from April 1, 2012 to March 31, 2013 as calculated on a daily basis. The level of leverage for the year ended March 31, 2013 is calculated by the sum of notionals approach.

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Global Risk Management (Unaudited Information) (cont.) The lowest, highest and average sum of the notionals of each Sub-Fund during the year from April 1, 2012 to March 31, 2013 as calculated on a biweekly basis.

Sub-Funds Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund Merrill Lynch Investment Solutions – GLG European Opportunity UCITS Fund* Merrill Lynch Investment Solutions – CCI Healthcare Long-Short UCITS Fund Merrill Lynch Investment Solutions – Zweig-DiMenna US Long-Short Equity UCITS Fund Merrill Lynch Investment Solutions – Theorema European Equity Long-Short UCITS Fund Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Merrill Lynch Investment Solutions – TT Financials UCITS Fund** Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund Merrill Lynch Investment Solutions – QFS Currency UCITS Fund Merrill Lynch Investment Solutions – TRG Emerging Markets Opportunity UCITS Fund Merrill Lynch Investment Solutions – Fulcrum Alpha Macro UCITS Fund*** Merrill Lynch Investment Solutions – Van Eck Commodities Long-Short Equity UCITS Fund**** Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund*****

Minimum leverage 213.43% 136.73% 64.35% 12.61% 18.24% 157.56% 149.94% 2057.14% 1091.15% 165.94% 5.64% 70.43% 246.76% 133.58% 348.93% 0.00% 0.00%

Maximum leverage 312.65% 235.56% 91.84% 42.57% 113.40% 242.60% 216.54% 4270.41% 1877.79% 293.51% 71.25% 133.00% 1206.09% 559.05% 651.31% 43.79% 0.00%

Average leverage 266.50% 193.54% 77.18% 27.83% 55.81% 191.41% 183.57% 2976.99% 1499.48% 236.46% 55.32% 103.50% 575.60% 327.06% 500.68% 35.22% 0.00%

* Liquidated on May 21, 2012 ** Liquidated on July 31, 2012 *** Launched on June 15, 2012 **** Launched on December 19, 2012 ***** Launched on March 25, 2013

Audited annual report

PRISMA 13/1143 MLIS AR ENG 0313