Idea Transcript
Merrill Lynch Investment Solutions Unaudited semi-annual report as at September 30, 2016 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 key investor information documents, the latest available annual report of the fund and the latest semi-annual report if published thereafter.
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
Statements of Net Assets as at September 30, 2016
12
Statistical information
16
Schedule of Investments as at September 30, 2016
34
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral)
34
Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund
66
Merrill Lynch Investment Solutions – CCI Healthcare Long-Short UCITS Fund
73
Merrill Lynch Investment Solutions – Theorema European Equity Long-Short UCITS Fund
77
Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund
81
Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund
90
Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund
109
Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund
128
Merrill Lynch Investment Solutions – Merrill Lynch WNT Diversified Futures UCITS Fund
134
Merrill Lynch Investment Solutions – Merrill Lynch Enhanced Equity Volatility Premium Fund
142
Merrill Lynch Investment Solutions – Merrill Lynch MLCX Commodity Enhanced Beta Fund
144
Merrill Lynch Investment Solutions – Merrill Lynch MLCX Commodity Enhanced Beta ex Agriculture Fund
146
Merrill Lynch Investment Solutions – Merrill Lynch MLCX Commodity Alpha Fund
147
Merrill Lynch Investment Solutions – Fenician Equity Long Short UCITS Fund
149
Merrill Lynch Investment Solutions – Zeal Greater China Long Short UCITS Fund
152
Merrill Lynch Investment Solutions – Gotham U.S. Equity Long/Short UCITS Fund
155
Merrill Lynch Investment Solutions – Merrill Lynch Credit Fund 2016
170
Merrill Lynch Investment Solutions – Passport Capital Global Equity Long Short UCITS Fund
173
Merrill Lynch Investment Solutions – Willowbridge-Praxis Global Macro UCITS Fund
176
Merrill Lynch Investment Solutions – Ramius Merger Arbitrage UCITS Fund
178
Merrill Lynch Investment Solutions – Merrill Lynch Enhanced Cross-Asset Volatility Premium Fund
182
Notes to the financial statements as at September 30, 2016
183
Unaudited semi-annual report
2
Merrill Lynch Investment Solutions
Management and Administration Board of Directors of the SICAV
Board of Directors of the Management Company
Chairman Mr Jean-Claude Wolter, Avocat Honoraire, 11 B boulevard Joseph II, L-1840 Luxembourg, Grand Duchy of Luxembourg
Chairman Mr Patrick Schegin, Managing Director, Merrill Lynch International, 2 King Edward Street, London EC1A 1HQ, United Kingdom
Directors Mr Paul Guillaume, Managing Partner, Altra Partners S.A., 370 route de Longwy, L-1940 Luxembourg, Grand Duchy of Luxembourg Mr Patrick Schegin1, Managing Director, Merrill Lynch International, 2 King Edward Street, London EC1A 1HQ, United Kingdom Mr James Munce2, COO of Fund Solutions Group and CM Investment Solutions Limited, 2 King Edward Street, London EC1A 1HQ, United Kingdom Mr Thomas Nummer, Carne Global Financial Services (Luxembourg) S.à r.l., European Bank and Business Centre, 6B route de Trèves, L-2633 Senningerberg, Grand Duchy of Luxembourg Resigned on July 26, 2016 2 Appointed on July 26, 2016 1
Unaudited semi-annual report
Directors Mr Gavin Lay, Managing Director, Merrill Lynch International, 2 King Edward Street, London EC1A 1HQ, United Kingdom Mr Philippe Lopategui, Managing Director, Merrill Lynch International, 2 King Edward Street, London EC1A 1HQ, United Kingdom Management Company CM Investment Solutions Limited, Bank of America Merrill Lynch Financial Centre, 2 King Edward Street, London EC1A 1HQ, United Kingdom, Registered Office of the SICAV 49 avenue J. F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg Depository and Paying Agent State Street Bank Luxembourg S.C.A., 49 avenue J. F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg
Merrill Lynch Investment Solutions
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Management and Administration (cont.) Registrar and Transfer Agent State Street Bank Luxembourg S.C.A., 49 avenue J. F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg Administrative, Corporate and Domiciliary Agent State Street Bank Luxembourg S.C.A., 49 avenue J. F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg Global Distributor Merrill Lynch International, 2 King Edward Street, London EC1A 1HQ, United Kingdom
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 Fifth Avenue, 17th Floor New York 10153, USA
Legal Adviser Linklaters LLP, 35 avenue J. F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg
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
Auditor PricewaterhouseCoopers, Société coopérative, 2, rue Gerhard Mercator, B.P. 1443, L-1014 Luxembourg, Grand Duchy of Luxembourg
For the Sub-Fund Merrill Lynch Investment Solutions – Theorema European Equity Long-Short UCITS Fund: Theorema Advisors UK LLP, 20 Balderton Street, London W1K 6TL, United Kingdom For the Sub-Fund Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund1: Graham Capital Management L.P., Rock Ledge Financial Center, 40 Highland Avenue, Rowayton CT 06853, USA 1
raham Capital Systematic Macro UCITS Fund was liquidated G on May 11, 2016.
Unaudited semi-annual report
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Merrill Lynch Investment Solutions
Management and Administration (cont.) Investment Managers (cont.) 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
Investment Managers (cont.) For the Sub-Fund Merrill Lynch Investment Solutions – Fenician Equity Long Short UCITS Fund: Fenician Capital Management LLP, 23 Buckingham Gate, London SW1E 6LB, United Kingdom
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 – Zeal Greater China Long Short UCITS Fund: Zeal Asset Management Limited, Suite 2605, Tower 1, Lippo Centre, 89 Queensway, Hong Kong
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
For the Sub-Fund Merrill Lynch Investment Solutions – Gotham U.S. Equity Long/Short UCITS Fund: Gotham Asset Management, LLC, 535 Madison Avenue, 30th Floor, New York, NY 10022, USA
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
For the Sub-Funds Merrill Lynch Investment Solutions – Passport Capital Global Equity Long Short UCITS Fund: Passport Capital LLC, One Market Street, Steuart Tower, Ste 2200 San Francisco, CA 94105 USA
For the Sub-Funds Merrill Lynch Investment Solutions – Merrill Lynch WNT Diversified Futures UCITS Fund, Merrill Lynch Dynamic Capital Protection UCITS Fund2, Merrill Lynch Enhanced Equity Volatility Premium Fund, Merrill Lynch MLCX Commodity Enhanced Beta Fund, Merrill Lynch MLCX Commodity Enhanced Beta ex Agriculture Fund, Merrill Lynch Credit Fund 2016 and Merrill Lynch MLCX Commodity Alpha Fund: CM Investment Solutions Limited, Bank of America Merrill Lynch Financial Centre, 2 King Edward Street, London EC1A 1HQ, United Kingdom,
For the Sub-Funds Merrill Lynch Investment Solutions – Willowbridge-Praxis Global Macro Ucits Fund: Willowbridge Associates Inc., 101 Morgan Lane, Suite 180, Plainsboro, NJ 08536 USA
Unaudited semi-annual report
2
redit Fund 2016 and MLCX Commodity Alpha Fund were launched C on July 8, 2016.
Merrill Lynch Investment Solutions
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Management and Administration (cont.) Investment Managers (cont.) For the Sub-Funds Merrill Lynch Investment Solutions – Ramius Merger Arbitrage Ucits Fund1: Ramius LLC, 599 Lexington Avenue, New York, NY 10022, USA For the Sub-Funds Merrill Lynch Investment Solutions – Merrill Lynch Enhanced Cross-Asset Volatility Premium Fund2: CM Investment Solutions Limited, Bank of America Merrill Lynch Financial Centre, 2 King Edward Street, London EC1A 1HQ, United Kingdom,
Investment Advisors 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 For the Sub-Fund Merrill Lynch Investment Solutions – Merrill Lynch Dynamic Capital Protection UCITS Fund: Koris International, Espace Saint-Philippe, Immeuble NERI, 200 avenue de Roumanille, 06410 Biot, France For the Sub-Fund Merrill Lynch Investment Solutions – Merrill Lynch Enhanced Volatility Premium Fund, Merrill Lynch Enhanced Cross-Asset Volatility Premium Fund2: Union Investment Institutional GmbH, Product Management, Wiesenhüttenstraße 10, 60329 Frankfurt am Main, Germany 1 2
amius Merger Arbitrage Ucits Fund was launched on July 8, 2016. R Merrill Lynch Enhanced Cross-Asset Volatility Premium Fund was launched on September 16, 2016.
Unaudited semi-annual report
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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 website www.funds-invest.baml.com/ 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 September 30, 2016, is available at the registered office of the SICAV. The Total Expense Ratios (TER) calculated for the last 12 months are the following: Sub-Funds Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral)
Unaudited semi-annual report
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 EUR Z (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 GBP Z (acc) Class USD A (acc) Class USD B (acc) Class USD C (acc) Class USD G (acc)
Currency EUR EUR EUR EUR EUR EUR EUR EUR GBP GBP GBP GBP GBP GBP GBP GBP USD USD USD USD
TER % 2.07 2.07 1.82 1.82 2.70 2.70 1.85 1.95 2.07 1.82 1.82 2.71 2.72 1.86 0.94 1.96 2.07 1.82 2.71 1.86
Merrill Lynch Investment Solutions
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Information to the Shareholders (cont.) Sub-Funds Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund
Share Class Class AUD E (acc) Class CHF A (acc) Class CHF E (acc) 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 USD A (acc) Class USD B (acc) Class USD C (acc) Class USD D (acc) Class USD E (acc) Class USD F (acc) Class USD Z (acc)
Currency AUD CHF CHF CHF EUR EUR EUR EUR EUR EUR EUR GBP GBP GBP GBP GBP GBP GBP GBP GBP GBP USD USD USD USD USD USD USD
TER % 1.73 1.74 1.76 2.79 1.68 1.70 2.73 1.47 1.69 2.73 1.73 1.76 1.76 1.79 1.81 2.69 1.51 1.76 1.76 2.79 1.79 1.74 1.76 2.76 1.54 1.75 2.79 1.79
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 C (acc) Class GBP C (inc) Class GBP Z (acc) Class USD B (acc) Class USD C (acc) Class USD Z (acc)
EUR EUR EUR EUR GBP GBP GBP GBP USD USD USD
1.98 2.76 1.98 2.01 1.97 2.76 2.77 2.01 1.92 2.71 1.96
Merrill Lynch Investment Solutions – Theorema European Equity Long-Short UCITS Fund
Class EUR B (acc) Class EUR C (acc) Class EUR I (inc) Class EUR Management (acc) Class USD B (acc) Class USD C (acc)
EUR EUR EUR EUR USD USD
2.44 3.23 2.19 2.48 2.50 3.29
Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund
Class CHF D (acc) Class EUR B (acc) Class EUR C (acc) Class EUR D (acc) Class GBP C (acc) Class USD A (acc) Class USD B (acc) Class USD C (acc) Class USD D (acc)
CHF EUR EUR EUR GBP USD USD USD USD
1.74 1.93 2.73 1.68 2.80 1.97 1.99 2.86 1.74
Unaudited semi-annual report
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Merrill Lynch Investment Solutions
Information to the Shareholders (cont.) Sub-Funds Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund1
Share Class Class EUR B (acc) Class EUR C (acc) Class GBP B (acc) Class GBP C (acc) Class USD C (acc)
Currency EUR EUR GBP GBP USD
Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund
Class CHF A (acc) Class EUR A (acc) Class EUR A (inc) Class EUR C (acc) Class EUR Z (acc) Class GBP A (acc) Class GBP A2 (acc) Class GBP C (acc) Class GBP D (acc) Class GBP Z (acc) Class USD A (acc) Class USD C (acc) Class USD D (acc)
CHF EUR EUR EUR EUR GBP GBP GBP GBP GBP USD USD USD
1.17 1.18 1.17 2.22 1.24 1.18 1.18 2.24 1.18 1.22 1.17 2.23 1.17
Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund
Class CHF B (acc)2 Class CHF C (acc) Class EUR B (acc) Class EUR B2 (acc)3 Class EUR C (acc) Class EUR Z (acc) Class GBP B (acc) Class GBP B (inc) Class GBP C (acc) Class GBP Z (acc) Class USD B (acc) Class USD C (acc) Class USD Management (acc)
CHF CHF EUR EUR EUR EUR GBP GBP GBP GBP USD USD USD
1.93 2.79 2.00 2.09 2.80 2.08 2.03 2.04 2.83 2.07 1.97 2.76 0.51
Liquidated on May 11, 2016 Launched on April 27, 2016 and liquidated on June 08, 2016 3 Launched on May 25, 2016 1 2
Unaudited semi-annual report
TER % 1.79 2.24 1.79 2.52 2.50
Merrill Lynch Investment Solutions
9
Information to the Shareholders (cont.) Sub-Funds Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund
Share Class Class EUR B (acc) Class EUR C (acc) Class EUR D (acc) Class EUR X (inc) Class EUR Z (acc) Class GBP B (acc) Class GBP B (inc) Class GBP X (inc) Class USD B (acc) Class USD C (acc) Class USD D (acc) Class USD Management (acc)
Currency EUR EUR EUR EUR EUR GBP GBP GBP USD USD USD USD
TER % 2.00 2.78 1.49 1.49 2.04 2.00 1.99 1.55 1.94 2.74 1.44 0.45
Merrill Lynch Investment Solutions – Merrill Lynch WNT Diversified Futures UCITS Fund
Class EUR B (acc) Class EUR D (acc) Class GBP Z (acc) Class USD B (acc) Class USD C (acc)
EUR EUR GBP USD USD
1.93 1.88 1.95 1.87 2.68
Merrill Lynch Investment Solutions – Merrill Lynch Dynamic Capital Protection UCITS Fund1
Class EUR B (acc)
EUR
0.97
Merrill Lynch Investment Solutions – Merrill Lynch Enhanced Equity Volatility Premium Fund
Class EUR A (acc) Class EUR B (acc)
EUR EUR
0.81 1.31
Merrill Lynch Investment Solutions – Merrill Lynch MLCX Commodity Enhanced Beta Fund
Class EUR B (acc) Class EUR C (acc) Class EUR E (acc) Class GBP B (acc) Class SEK C (acc) Class USD B (acc) Class USD C (acc)
EUR EUR EUR GBP SEK USD USD
0.97 2.03 0.82 0.97 2.22 0.91 1.96
Merrill Lynch Investment Solutions – Merrill Lynch MLCX Commodity Enhanced Beta ex Agriculture Fund
Class EUR D (acc) Class USD B (acc)
EUR USD
0.83 0.91
Merrill Lynch Investment Solutions – Fenician Equity Long Short UCITS Fund
Class EUR B (acc) Class EUR D (acc) Class EUR I (acc) Class EUR Inst Seed (acc) Class EUR Management (acc) Class EUR Retail Seed (acc) Class EUR Z (acc) Class GBP B (acc)2 Class GBP C (acc) Class GBP Management (acc) Class USD D (acc) Class USD I (acc)3 Class USD Inst Seed (acc)
EUR EUR EUR EUR EUR EUR EUR GBP GBP GBP USD USD USD
1.92 1.42 1.90 1.42 0.46 1.45 1.97 1.98 2.78 0.52 1.48 1.96 1.48
Liquidated on July 08, 2016 Liquidated on June 22, 2016 3 Liquidated on April 22, 2016 1 2
Unaudited semi-annual report
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Merrill Lynch Investment Solutions
Information to the Shareholders (cont.) Sub-Funds Merrill Lynch Investment Solutions – Zeal Greater China Long Short UCITS Fund
Share Class Class EUR D (acc)1 Class USD B (acc) Class USD D (acc)2 Class USD Management (acc) Class USD Z (acc)
Currency EUR USD USD USD USD
Merrill Lynch Investment Solutions – Gotham U.S. Equity Long/Short UCITS Fund
Class EUR B (acc) Class EUR C (acc) Class EUR D (acc) Class EUR X (acc)3 Class GBP X (inc)4 Class USD B (acc) Class USD C (acc) Class USD D (acc) Class USD X (acc)5
EUR EUR EUR EUR GBP USD USD USD USD
1.99 2.78 1.74 1.73 1.73 1.93 2.72 1.68 1.67
Merrill Lynch Investment Solutions – Passport Capital Global Equity Long Short UCITS Fund
Class CHF C (acc) Class CHF D (acc)6 Class EUR B (acc)7 Class EUR D (acc) Class USD B (acc) Class USD C (acc) Class USD D (acc) Class USD Management (acc)
CHF CHF EUR EUR USD USD USD USD
2.51 1.43 1.73 1.42 1.66 2.78 1.36 0.45
Merrill Lynch Investment Solutions – Willowbridge-Praxis Global Macro 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
1.48 1.90 2.57 1.42 0.28
Class EUR B (inc)
EUR
0.17
Merrill Lynch Investment Solutions – MLCX Commodity Alpha Fund
Class EUR B-5 (acc) Class EUR C-5 (acc) Class EUR E-5 (acc) Class GBP B-5 (acc) Class USD B-5 (acc) Class USD C-5 (acc)
EUR EUR EUR GBP USD USD
1.07 2.11 0.82 1.07 1.01 2.05
Merrill Lynch Investment Solutions – Ramius Merger Arbitrage UCITS Fund8
Class USD B (acc) Class USD C (acc) Class USD D (acc) Class USD Management (acc)
USD USD USD USD
1.46 2.27 1.42 0.46
Class EUR A (acc)
EUR
0.75
Merrill Lynch Investment Solutions – Merrill Lynch Credit Fund 2016
Merrill Lynch Investment Solutions – Merrill Lynch Enhanced Cross-Asset Volatility Premium Fund9 Liquidated on June 30, 2016 and relaunched on August 31, 2016 Launched on July 18, 2016 3 Liquidated on September 27, 2016 4 Liquidated on July 22, 2016 5 Liquidated on September 06, 2016
TER % 1.75 2.17 1.68 0.46 2.21
Launched on May 06, 2016 Launched on May 20, 2016 8 Launched on July 08, 2016 9 Launched on September 16, 2016
1
6
2
7
The Total Expense Ratio includes all fees but excludes transaction costs and performance fees. For classes launched during the year, fees have been annualised.
Unaudited semi-annual report
Merrill Lynch Investment Solutions
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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 available free of charge upon request at the office of the German Paying and Information Agent. 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. Fiscal information on taxable income 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.funds-invest.baml.com/.
Unaudited semi-annual report
Merrill Lynch Investment Solutions
Net assets at the end of period
Liabilities Payable for Fund shares redeemed Payable on securities purchased Payable on options purchased Payable on swaps purchased Payable on spot exchange Investment management and distributor fees payable Performance fees payable “Taxe d’abonnement” payable Operating and administrative fees payable Interest payable on swaps contracts Bank overdraft Due to broker Unrealised depreciation on futures contracts Unrealised depreciation on forward foreign exchange contracts Options sold at market value Unrealised depreciation on swaps contracts 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 Due from broker Receivable for Fund shares issued Receivable on securities sold Receivable on options sold Receivable on spot exchange Dividends receivable Upfront payments paid on swap transactions Interest receivable on bonds Interest receivable on swaps contracts Unrealised appreciation on futures contracts Unrealised appreciation on forward foreign exchange contracts Options bought at market value Unrealised appreciation on swaps contracts Contracts for difference swaps at market value Other assets Total Assets
Sub-Funds
2.9 7 2.5 2.7 2.6 2.3 2.3 2.4
3 3 6 4
2.10 2.3 2.10 2.10 2.5 2.7 2.6 2.3 2.4
2.2 2.9 7
Notes
(expressed in the Sub-Fund’s currency)
3 153 544 377
3 956 959 326 766 908 – – 22 824 892 4 173 421 5 060 149 138 075 814 685 – 13 985 860 27 000 001 574 402 4 064 905 – – – 52 264 955 – 461 625 212
1 615 557 562 1 661 910 485 1 026 883 908 515 426 386 1 950 564 324 113 936 – 22 819 902 554 067 – 8 890 – 121 600 18 737 755 – – 42 642 096 – 3 615 169 589
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) USD
153 983 379
1 184 910 17 264 415 – – 622 565 248 594 90 15 165 52 327 – 1 028 052 1 426 803 547 029 576 928 424 – – 1 346 240 17 723 24 331 265
102 441 954 111 532 336 39 909 348 19 701 417 46 668 850 061 – 622 244 131 797 – 45 304 – 23 418 844 895 1 405 108 – 3 202 048 – 178 314 644
Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund EUR
Statements of Net Assets as at September 30, 2016
12
159 290 592
6 853 775 9 347 923 – – – 264 015 – 14 657 55 656 – 210 – – 23 763 – – – 703 072 7 895 17 270 966
117 066 808 117 128 034 2 753 084 29 485 839 773 26 811 415 – – 41 159 – – – – 22 474 32 130 – 286 650 – 176 561 558
Merrill Lynch Investment Solutions – CCI Healthcare LongShort UCITS Fund USD
100 829 596
792 100 3 499 994 – – 251 909 107 049 – 2 591 33 559 – 651 286 1 425 310 21 066 383 847 – – – 1 372 676 3 263 8 544 650
59 545 071 60 590 736 12 176 779 27 593 701 – 4 026 455 – 251 339 109 834 – – 3 555 277 222 663 85 920 377 054 – 384 488 – 109 374 246
Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund EUR
1 482 353 429
1 509 022 5 992 452 – 1 502 301 121 360 503 1 219 713 98 895 40 657 179 753 – 5 583 192 6 077 997 4 402 118 13 119 306 – 700 423 3 875 415 14 077 676 – 179 739 423
900 386 363 918 319 174 244 962 315 334 332 742 753 708 8 126 769 – 121 432 438 111 093 4 908 291 223 612 24 355 8 639 341 16 185 739 – 282 613 3 790 662 – 1 662 092 852
Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund USD
149 286 434
2 068 917 116 361 031 – 536 022 192 281 – 4 744 50 105 8 162 11 8 611 839 316 306 301 127 1 907 673 96 872 407 870 4 634 827 11 208 18 359 262
96 394 709 92 025 882 11 672 546 52 128 566 885 1 032 220 – 534 323 7 093 111 982 243 806 – 9 913 650 838 6 159 122 67 910 2 999 237 1 373 167 645 696
Merrill Lynch Investment Solutions – OchZiff European Multi-Strategy UCITS Fund USD
Unaudited semi-annual report
The accompanying notes form an integral part of these financial statements.
65 764 135
6 010 340 917 – – – 108 864 – 4 652 22 194 – 7 143 8 377 168 – – – – – – 209 8 867 157
36 564 119 36 087 855 6 223 689 30 678 809 – – – – 1 166 – 10 622 – – 746 15 – 1 628 390 – 74 631 292
Merrill Lynch Investment Solutions – Theorema European Equity Long-Short UCITS Fund EUR
2.9 7 2.5 2.7 2.6 2.3 2.3 2.4
3 3 6 4
2.10 2.3 2.10 2.10 2.5 2.7 2.6 2.3 2.4
2.2 2.9 7
Notes
Unaudited semi-annual report
142 911 380
7 911 407 2 576 106 – – 19 437 169 973 1 313 081 4 221 49 461 2 100 – – – 85 337 32 796 70 329 – – 201 442 12 435 690
138 059 042 135 380 448 10 608 934 3 240 341 – 3 148 879 – 19 435 3 257 – 2 613 980 – – 181 481 150 315 – – – 155 347 070
Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund USD
The accompanying notes form an integral part of these financial statements.
Net assets at the end of period
Liabilities Payable for Fund shares redeemed Payable on securities purchased Payable on options purchased Payable on swaps purchased Payable on spot exchange Investment management and distributor fees payable Performance fees payable “Taxe d’abonnement” payable Operating and administrative fees payable Interest payable on swaps contracts Bank overdraft Due to broker Unrealised depreciation on futures contracts Unrealised depreciation on forward foreign exchange contracts Options sold at market value Unrealised depreciation on swaps contracts 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 Due from broker Receivable for Fund shares issued Receivable on securities sold Receivable on options sold Receivable on spot exchange Dividends receivable Upfront payments paid on swap transactions Interest receivable on bonds Interest receivable on swaps contracts Unrealised appreciation on futures contracts Unrealised appreciation on forward foreign exchange contracts Options bought at market value Unrealised appreciation on swaps contracts Contracts for difference swaps at market value Other assets Total Assets
Sub-Funds
(expressed in the Sub-Fund’s currency)
264 767 544
1 549 910 – – – 5 994 499 280 717 29 6 879 85 893 – 48 763 – 2 107 595 386 537 – – – 452 890 39 860 10 953 572
209 906 840 209 928 773 14 541 424 39 111 700 1 029 500 – – 5 995 612 – – 88 – 4 089 253 1 024 766 – – – – 275 721 116
Merrill Lynch Investment Solutions – Merrill Lynch WNT Diversified Futures UCITS Fund USD
88 792 828
– – – – – 30 368 – 2 265 29 764 – – – – – 969 488 – – – – 1 031 885
79 401 023 79 368 435 4 803 053 5 285 000 – – 347 937 – – – 121 – – – 20 167 – – – 89 824 713
Merrill Lynch Investment Solutions – Merrill Lynch Enhanced Equity Volatility Premium Fund EUR
Statements of Net Assets as at September 30, 2016 (cont.)
19 881 264
504 – – – – 12 360 – 787 2 388 – – – – 741 – – 35 054 – 2 414 54 248
18 003 077 18 004 860 993 308 560 000 – – – – – – 88 – – 22 080 – 355 176 – – 19 935 512
Merrill Lynch Investment Solutions – Merrill Lynch MLCX Commodity Enhanced Beta Fund USD
77 079 943
– – – – – 39 784 – 1 961 9 807 – – – – 1 181 – – 275 437 – 11 643 339 813
68 390 563 68 394 801 3 598 597 2 950 000 – – – – – – 87 – – 104 956 – 2 371 315 – – 77 419 756
Merrill Lynch Investment Solutions – Merrill Lynch MLCX Commodity Enhanced Beta ex Agriculture Fund USD
21 554 467
– – – – – 13 478 – 603 2 595 – 94 – – 6 124 – 197 317 – – 2 682 222 893
19 453 086 19 454 670 1 023 450 1 260 000 – – – – – 21 058 87 – – 18 095 – – – – 21 777 360
Merrill Lynch Investment Solutions – Merrill Lynch MLCX Commodity Alpha Fund USD
13
36 953 257
166 962 253 538 – – – 31 465 – 1 351 107 220 – 72 019 581 711 12 106 63 539 – – – 544 129 463 699 2 297 739
20 226 559 20 400 158 1 189 154 17 157 620 – 475 855 – – 5 745 – – – 21 295 1 169 – – – – 39 250 996
Merrill Lynch Investment Solutions – Fenician Equity Long Short UCITS Fund EUR
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions
1
Launched on July 8, 2016
Net assets at the end of period
2
Launched on September 16, 2016
Liabilities Payable for Fund shares redeemed Payable on securities purchased Payable on options purchased Payable on swaps purchased Payable on spot exchange Investment management and distributor fees payable Performance fees payable “Taxe d’abonnement” payable Operating and administrative fees payable Interest payable on swaps contracts Bank overdraft Due to broker Unrealised depreciation on futures contracts Unrealised depreciation on forward foreign exchange contracts Options sold at market value Unrealised depreciation on swaps contracts 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 Due from broker Receivable for Fund shares issued Receivable on securities sold Receivable on options sold Receivable on spot exchange Dividends receivable Upfront payments paid on swap transactions Interest receivable on bonds Interest receivable on swaps contracts Unrealised appreciation on futures contracts Unrealised appreciation on forward foreign exchange contracts Options bought at market value Unrealised appreciation on swaps contracts Contracts for difference swaps at market value Other assets Total Assets
Sub-Funds
2.9 7 2.5 2.7 2.6 2.3 2.3 2.4
3 3 6 4
2.10 2.3 2.10 2.10 2.5 2.7 2.6 2.3 2.4
2.2 2.9 7
Notes
(expressed in the Sub-Fund’s currency)
35 863 875
– 518 003 – – – 11 879 57 974 3 917 11 818 – – 260 – 500 – – – 15 934 41 620 326
24 873 215 28 097 338 3 350 984 4 556 541 – 240 554 – – 87 235 – – – 56 273 – – – 95 276 – 36 484 201
Merrill Lynch Investment Solutions – Zeal Greater China Long Short UCITS Fund USD
46 890 579
– 918 133 – – – 53 484 – 1 284 16 452 – 2 290 776 – – 4 375 – – – 1 074 958 1 718 4 361 180
42 933 687 43 908 283 – 3 828 681 – 3 481 616 – – 33 179 – – – – – – – – – 51 251 759
Merrill Lynch Investment Solutions – Gotham U.S. Equity Long/Short UCITS Fund USD
112 960 278
– – – – – 34 554 – 2 824 69 106 – – – – – – – – – 6 005 715 6 112 199
111 507 123 107 947 634 8 612 373 – – – – – – – 1 148 094 275 450 – – – 1 088 926 – – 119 072 477
Merrill Lynch Investment Solutions – Merrill Lynch Credit Fund 2016 EUR
Statements of Net Assets as at September 30, 2016 (cont.)
14
43 991 070
1 317 391 1 003 – – – 13 403 – 4 115 8 049 – 276 97 962 148 300 405 010 – – – – 150 159 2 145 668
27 553 112 27 385 234 4 465 595 13 594 362 – – – – 1 601 – 9 – 173 692 516 245 – – – – 46 136 738
Merrill Lynch Investment Solutions – Willowbridge-Praxis Global Macro UCITS Fund USD
19 401 671
– 2 069 966 – – – 3 939 7 180 2 067 6 275 – 19 493 – – – 30 158 – – – – 2 139 078
13 897 829 14 065 734 2 292 729 4 134 563 – 886 665 – – 211 – 2 528 – – – 54 402 – 103 917 – 21 540 749
Merrill Lynch Investment Solutions – Ramius Merger Arbitrage UCITS Fund1 USD
50 455 511
– – – – – 9 641 – 1 288 3 452 – – – – – – – – – 100 158 114 539
47 628 081 47 602 560 2 536 294 – – – – – – 801 121 – – – – 305 076 – 125 198 50 570 050
Merrill Lynch Investment Solutions – Merrill Lynch Enhanced Cross-Asset Volatility Premium Fund2 EUR
Unaudited semi-annual report
The accompanying notes form an integral part of these financial statements.
40 677 669
– – – – 27 440 32 849 255 1 130 13 195 – 18 324 – – 15 883 306 – – 76 358 4 823 190 563
30 330 458 32 035 016 5 419 693 3 357 647 – – – 27 421 21 545 – – – – – 6 910 – – – 40 868 232
Merrill Lynch Investment Solutions – Passport Capital Global Equity Long Short UCITS Fund USD
2.9 7 2.5 2.7 2.6 2.3 2.3 2.4
3 3 6 4
2.10 2.3 2.10 2.10 2.5 2.7 2.6 2.3 2.4
2.2 2.9 7
Notes
Unaudited semi-annual report
The accompanying notes form an integral part of these financial statements.
Net assets at the end of period
Liabilities Payable for Fund shares redeemed Payable on securities purchased Payable on options purchased Payable on swaps purchased Payable on spot exchange Investment management and distributor fees payable Performance fees payable “Taxe d’abonnement” payable Operating and administrative fees payable Interest payable on swaps contracts Bank overdraft Due to broker Unrealised depreciation on futures contracts Unrealised depreciation on forward foreign exchange contracts Options sold at market value Unrealised depreciation on swaps contracts 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 Due from broker Receivable for Fund shares issued Receivable on securities sold Receivable on options sold Receivable on spot exchange Dividends receivable Upfront payments paid on swap transactions Interest receivable on bonds Interest receivable on swaps contracts Unrealised appreciation on futures contracts Unrealised appreciation on forward foreign exchange contracts Options bought at market value Unrealised appreciation on swaps contracts Contracts for difference swaps at market value Other assets Total Assets
Sub-Funds
(expressed in the Sub-Fund’s currency)
5 643 992 392
22 706 162 332 008 081 321 259 1 336 805 135 028 936 6 337 838 5 817 462 230 436 1 479 868 9 132 21 287 774 48 995 595 7 927 340 17 410 493 2 723 723 947 625 4 087 716 64 488 767 6 976 853 683 491 865
3 414 073 288 3 476 555 647 1 261 219 056 997 344 216 3 370 596 332 672 209 347 937 135 087 075 1 014 194 4 486 769 3 956 687 3 852 399 11 915 419 34 270 003 7 499 869 4 132 046 49 633 715 126 420 6 327 484 257
Combined EUR
Statements of Net Assets as at September 30, 2016 (cont.)
Merrill Lynch Investment Solutions
15
16
Merrill Lynch Investment Solutions
Statistical information Year ending as of: September 30, 2016 Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Total Net Assets USD 3 153 544 377 Class EUR A (acc) Number of shares 316 740.326 Net asset value per share EUR 138.26 Class EUR A (inc) Number of shares 10 221.761 Net asset value per share EUR 140.30 Class EUR B (acc) Number of shares 10 387 673.902 Net asset value per share EUR 137.83 Class EUR B (inc) Number of shares 1 962 257.807 Net asset value per share EUR 118.58 Class EUR C (acc) Number of shares 2 591 371.543 Net asset value per share EUR 132.18 Class EUR C (inc) Number of shares 183 150.505 Net asset value per share EUR 115.76 Class EUR G (acc) Number of shares 369 929.755 Net asset value per share EUR 131.83 Class EUR Z (acc) Number of shares 115 738.438 Net asset value per share EUR 118.18 Class GBP A (inc) Number of shares 2 004.961 Net asset value per share GBP 137.60 Class GBP B (acc) Number of shares 1 151 971.450 Net asset value per share GBP 141.15 Class GBP B (inc) Number of shares 87 855.379 Net asset value per share GBP 139.90 Class GBP C (acc) Number of shares 17 157.621 Net asset value per share GBP 127.49 Class GBP C (inc) Number of shares 2 419.225 Net asset value per share GBP 133.88 Class GBP G (acc) Number of shares 114 708.252 Net asset value per share GBP 134.25 Class GBP Management (inc) Number of shares 590.788 Net asset value per share GBP 169.96
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
March 31, 2016
March 31, 2015
3 289 710 868
2 136 898 753
339 465.171 138.15
234 456.833 131.02
14 028.691 140.21
4 734.872 133.02
10 709 719.371 137.50
8 089 760.213 129.57
1 923 656.344 118.29
293 893.601 111.47
2 665 287.886 132.43
1 673 336.675 125.73
186 378.856 115.94
158 625.933 110.04
479 231.343 131.54
468 169.456 123.98
116 795.112 117.97
14 695.596 111.27
2 004.961 137.09
1 208.905 129.18
1 124 284.778 140.39
920 587.240 131.46
80 241.563 139.15
205 455.291 130.24
18 290.247 127.27
238 023.964 120.03
1 709.128 133.69
3 608.238 126.04
189 614.252 133.55
267 568.909 125.07
1 262.086 168.30
964.976 155.07
Merrill Lynch Investment Solutions
17
Statistical information (cont.) Year ending as of: September 30, 2016 March 31, 2016 Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) (cont.) Class GBP Z (acc) Number of shares 5 138.596 3 490.534 Net asset value per share GBP 116.15 115.64 Class USD A (acc) Number of shares 50 630.385 50 600.847 Net asset value per share USD 137.10 136.32 Class USD B (acc) Number of shares 3 033 570.572 2 990 928.412 Net asset value per share USD 142.49 141.40 Class USD C (acc) Number of shares 416 030.295 418 046.064 Net asset value per share USD 128.72 128.20 Class USD G (acc) Number of shares 66 561.677 109 487.731 Net asset value per share USD 133.50 132.51 Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund Total Net Assets EUR Class AUD E (acc) Number of shares Net asset value per share AUD 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
March 31, 2015
900.000 108.46 36 619.588 128.60 2 037 103.687 132.60 285 860.065 121.02 91 029.081 124.24
153 983 379
260 023 569
984 767 656
2 802.833 83.32
155 421.150 78.55
48 405.070 105.65
50.000 80.72
851.162 77.31
1 027.155 106.32
8 561.914 85.60
9 586.265 81.98
25 935.812 112.70
99 901.937 100.48
124 266.198 96.74
172 148.388 134.37
2 236.292 117.49
20 502.475 112.18
16 803.250 152.68
3 333.867 124.77
3 333.867 119.13
222 360.805 161.99
7 767.612 116.21
12 025.241 111.54
18 429.451 153.31
10.000 132.69
10.757 126.51
43 395.926 171.13
124 783.465 110.47
669 787.109 105.48
2 173 398.930 143.47
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
18
Merrill Lynch Investment Solutions
Statistical information (cont.) Year ending as of: September 30, 2016 Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund (cont.) Class EUR F (acc) Number of shares 179 601.995 Net asset value per share EUR 103.00 Class EUR Z (acc) Number of shares 36 230.104 Net asset value per share EUR 104.22 Class GBP A (acc) Number of shares 1 297.516 Net asset value per share GBP 118.56 Class GBP A (inc) Number of shares 7 306.000 Net asset value per share GBP 118.44 Class GBP B (acc) Number of shares 10.000 Net asset value per share GBP 125.19 Class GBP B (inc) Number of shares 10.000 Net asset value per share GBP 125.68 Class GBP C (inc) Number of shares 10.000 Net asset value per share GBP 117.93 Class GBP D (acc) Number of shares 1 455.537 Net asset value per share GBP 133.75 Class GBP E (acc) Number of shares 3 132.860 Net asset value per share GBP 110.42 Class GBP E (inc) Number of shares 12 755.496 Net asset value per share GBP 103.71 Class GBP F (acc) Number of shares 11 810.000 Net asset value per share GBP 100.64 Class GBP Z (acc) Number of shares 25 798.346 Net asset value per share GBP 103.65 Class SEK E (acc) Number of shares – Net asset value per share SEK – Class USD A (acc) Number of shares 19 288.473 Net asset value per share USD 118.13 Class USD B (acc) Number of shares 61 344.000 Net asset value per share USD 126.26
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
March 31, 2016
March 31, 2015
247 445.035 98.86
424 153.380 135.87
64 968.942 99.53
50 194.401 135.40
1 490.883 112.98
2 611.964 153.74
8 005.000 112.87
17 209.859 153.59
10.000 119.28
35 412.471 162.30
10.000 119.78
10.000 162.90
10.007 112.89
100.497 155.25
1 455.537 127.30
1 455.537 172.38
13 885.640 105.22
430 375.185 143.20
19 671.648 98.83
58 968.288 134.50
18 320.086 96.41
55 051.288 132.56
57 386.898 98.79
193 057.109 134.51
– –
18 805.954 608.85
45 951.674 112.16
63 693.480 152.84
64 776.298 119.88
70 888.298 163.35
Merrill Lynch Investment Solutions
19
Statistical information (cont.) Year ending as of: September 30, 2016 Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund (cont.) Class USD C (acc) Number of shares 10.000 Net asset value per share USD 117.56 Class USD D (acc) Number of shares 66 223.862 Net asset value per share USD 134.38 Class USD E (acc) Number of shares 86 145.662 Net asset value per share USD 110.52 Class USD F (acc) Number of shares 768 807.486 Net asset value per share USD 104.49 Class USD Z (acc) Number of shares 23 900.41 Net asset value per share USD 79.65 Merrill Lynch Investment Solutions – CCI Healthcare Long-Short UCITS Fund Total Net Assets USD 159 290 592 Class EUR B (acc) Number of shares 190 236.440 Net asset value per share EUR 123.75 Class EUR C (acc) Number of shares 57 295.432 Net asset value per share EUR 118.25 Class EUR D (acc) Number of shares 1 090.000 Net asset value per share EUR 132.33 Class EUR Z (acc) Number of shares 5 261.295 Net asset value per share EUR 106.82 Class GBP B (acc) Number of shares 2 346.821 Net asset value per share GBP 129.22 Class GBP B (inc) Number of shares – Net asset value per share GBP – Class GBP C (acc) Number of shares 5 728.024 Net asset value per share GBP 122.15 Class GBP C (inc) Number of shares 639.000 Net asset value per share GBP 124.98
March 31, 2016
March 31, 2015
10 263.000 112.19
12 498.000 154.47
1 935.607 127.43
1 935.607 172.78
126 455.792 104.93
1 087 205.857 143.00
1 060 906.330 99.73
1 556 581.665 137.32
30 882.125 75.64
97 229.513 103.10
306 261 657
607 022 016
712 131.022 121.01
1 662 774.359 153.46
87 814.818 116.08
117 147.764 148.54
1 040.000 129.39
7 116.000 163.74
10 213.852 104.46
1 970.508 133.56
20 044.422 125.85
38 008.240 159.35
– –
10.000 159.81
8 684.725 119.44
9 784.378 152.22
751.000 122.21
18 304.672 155.66
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
20
Merrill Lynch Investment Solutions
Statistical information (cont.) Year ending as of: September 30, 2016 Merrill Lynch Investment Solutions – CCI Healthcare Long-Short UCITS Fund (cont.) Class GBP Z (acc) Number of shares 66 532.550 Net asset value per share GBP 109.87 Class USD B (acc) Number of shares 219 375.816 Net asset value per share USD 128.43 Class USD C (acc) Number of shares 651 091.506 Net asset value per share USD 120.73 Class USD D (acc) Number of shares – Net asset value per share USD – Class USD Z (acc) Number of shares 74 401.249 Net asset value per share USD 90.68 Merrill Lynch Investment Solutions – Theorema European Equity Long-Short UCITS Fund Total Net Assets EUR 65 764 135 Class EUR B (acc) Number of shares 216 100.053 Net asset value per share EUR 109.62 Class EUR C (acc) Number of shares 437.000 Net asset value per share EUR 105.21 Class EUR D (acc) Number of shares – Net asset value per share EUR – Class EUR I (inc) Number of shares 130 000.000 Net asset value per share EUR 94.91 Class EUR Management (acc) Number of shares 237 421.092 Net asset value per share EUR 119.43 Class GBP C (acc) Number of shares – Net asset value per share GBP – Class USD B (acc) Number of shares 6 705.000 Net asset value per share USD 112.47 Class USD C (acc) Number of shares 8 022.649 Net asset value per share USD 93.17 Class USD D (acc) Number of shares – Net asset value per share USD –
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
March 31, 2016
March 31, 2015
113 396.951 107.03
101 344.528 135.41
531 360.740 124.60
759 006.038 157.79
843 138.574 117.59
992 408.070 150.03
– –
10.000 166.67
79 940.429 88.00
74 217.696 111.56
74 198 367
66 317 975
277 671.251 112.06
291 337.668 117.83
437.000 107.98
1 319.322 114.41
– –
10.000 123.00
130 000.000 96.90
130 000.000 101.67
237 421.092 122.12
135 294.956 128.87
– –
1 946.671 115.46
7 775.000 114.13
7 821.345 119.87
8 022.649 94.92
– –
– –
10.000 125.00
Merrill Lynch Investment Solutions
21
Statistical information (cont.) Year ending as of: September 30, 2016 Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund Total Net Assets EUR 100 829 596 Class CHF D (acc) Number of shares 25 000.000 Net asset value per share CHF 96.91 Class EUR B (acc) Number of shares 8 117.593 Net asset value per share EUR 103.70 Class EUR C (acc) Number of shares 10.001 Net asset value per share EUR 99.95 Class EUR D (acc) Number of shares 676 950.838 Net asset value per share EUR 109.04 Class GBP C (acc) Number of shares 80.000 Net asset value per share GBP 104.46 Class USD A (acc) Number of shares 10.000 Net asset value per share USD 106.32 Class USD B (acc) Number of shares 102 790.521 Net asset value per share USD 105.71 Class USD C (acc) Number of shares 10.002 Net asset value per share USD 103.09 Class USD D (acc) Number of shares 145 100.475 Net asset value per share USD 110.51 Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund Total Net Assets USD – 1 Class EUR B (acc) Number of shares – Net asset value per share EUR – Class EUR C (acc) 1 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) 1 Number of shares – Net asset value per share GBP – Class GBP C (acc) 1 Number of shares – Net asset value per share GBP – 1
March 31, 2016
March 31, 2015
159 561 271
20 330 945
25 000.000 99.67
– –
6 660.875 106.41
62 637.386 111.50
1 359.428 102.96
10.001 109.80
1 224 144.382 111.76
18 908.033 116.59
80.000 107.33
80.000 112.02
10.000 108.54
10.000 112.46
116 074.143 107.92
100 000.602 111.95
10.002 105.68
6 835.350 110.42
87 152.387 112.68
10.000 116.75
8 154 558
86 740 197
18 915.870 101.05
23 584.037 111.80
854.611 102.02
1 243.228 113.86
– –
10.000 120.64
19 613.923 104.49
444 102.094 114.76
17 295.279 104.17
14 967.436 115.51
Liquidated on May 11, 2016
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
22
Merrill Lynch Investment Solutions
Statistical information (cont.) Year ending as of: September 30, 2016 March 31, 2016 Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund (cont.) 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)1 Number of shares – 2 787.850 Net asset value per share USD – 123.33 Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Total Net Assets USD 1 482 353 429 Class CHF A (acc) Number of shares 235 423.584 Net asset value per share CHF 109.45 Class EUR A (acc) Number of shares 5 537 019.858 Net asset value per share EUR 119.94 Class EUR A (inc) Number of shares 1 968 347.751 Net asset value per share EUR 119.72 Class EUR C (acc) Number of shares 35 605.782 Net asset value per share EUR 114.27 Class EUR D (acc) Number of shares – Net asset value per share EUR – Class EUR Z (acc) Number of shares 13 815.314 Net asset value per share EUR 97.72 Class GBP A (acc) Number of shares 1 717 580.287 Net asset value per share GBP 122.78 Class GBP A2 (acc) Number of shares 483 167.614 Net asset value per share GBP 114.83 Class GBP C (acc) Number of shares 45.010 Net asset value per share GBP 104.84 Class GBP D (acc) Number of shares 989.805 Net asset value per share GBP 125.28 Class GBP Z (acc) Number of shares 7 006.370 Net asset value per share GBP 104.60 1
Liquidated on May 11, 2016
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
March 31, 2015
10.000 121.31 40 161.436 111.03 7 715.320 137.28
1 202 298 491
880 471 678
76 251.299 111.44
35 700.000 105.97
3 861 248.195 121.79
2 264 864.790 115.08
1 944 439.791 121.69
1 774 023.176 114.97
22 741.343 116.64
11 457.717 111.23
– –
9.995 117.18
3 267.000 99.34
– –
1 455 249.505 123.82
1 504 001.566 115.81
470 261.820 115.81
601 163.227 108.64
45.010 106.27
10.007 113.30
989.805 126.34
999.805 118.18
6 431.476 105.51
– –
Merrill Lynch Investment Solutions
23
Statistical information (cont.) Year ending as of: September 30, 2016 Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund (cont.) Class USD A (acc) Number of shares 573 031.851 Net asset value per share USD 120.94 Class USD C (acc) Number of shares 189 897.821 Net asset value per share USD 111.79 Class USD D (acc) Number of shares 7 115.780 Net asset value per share USD 122.25 Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Total Net Assets USD 149 286 434 1 Class CHF B (acc) Number of shares – Net asset value per share CHF – Class CHF C (acc) Number of shares 170.001 Net asset value per share CHF 104.93 Class EUR B (acc) Number of shares 256 806.091 Net asset value per share EUR 106.63 Class EUR B2 (acc) 2 Number of shares 55 578.757 Net asset value per share EUR 487.28 Class EUR C (acc) Number of shares 26 574.376 Net asset value per share EUR 102.96 Class EUR Z (acc) Number of shares 11 763.232 Net asset value per share EUR 100.35 Class GBP B (acc) Number of shares 700.000 Net asset value per share GBP 108.87 Class GBP B (inc) Number of shares 469.000 Net asset value per share GBP 97.74 Class GBP C (acc) Number of shares 5 466.286 Net asset value per share GBP 104.10 Class GBP Z (acc) Number of shares 3 680.291 Net asset value per share GBP 104.15 Class USD B (acc) Number of shares 723 340.371 Net asset value per share USD 109.25 1 2
March 31, 2016
March 31, 2015
364 093.872 122.11
37 545.781 114.78
6 559.062 113.60
503.854 107.93
7 115.780 123.44
139 387.033 116.01
277 361 444
305 586 369
– –
– –
680.001 106.41
844.001 113.72
1 433 371.536 107.39
1 485 782.032 113.17
– –
– –
57 182.109 104.11
36 222.001 110.60
8 229.230 101.10
5 759.164 106.58
950.000 109.21
7 183.437 114.53
469.000 98.05
6 569.000 102.78
5 554.960 104.84
6 359.626 110.79
3 988.566 104.49
18 932.722 109.59
816 218.641 109.18
964 618.920 114.54
Relaunched on April 27 and liquidated on June 8, 2016 Launched on May 25, 2016
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
24
Merrill Lynch Investment Solutions
Statistical information (cont.) Year ending as of: September 30, 2016 March 31, 2016 Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund (cont.) Class USD C (acc) Number of shares 30 663.748 31 889.517 Net asset value per share USD 104.88 105.23 Class USD Management (acc) Number of shares 200.000 200.000 Net asset value per share USD 101.07 100.26 Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund 1 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 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 Class USD Management (acc) Number of shares Net asset value per share USD 1
Liquidated on March 31, 2016
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
March 31, 2015
27 707.931 111.30 200.000 103.20
–
7 343 220
10 691 494
– –
– –
10.000 109.21
– –
109.216 100.12
69.700 108.12
– –
– –
10.000 111.56
– –
– –
10.000 110.39
– –
– –
10.000 110.34
– –
– –
10.000 108.21
– –
– –
10.000 112.13
– –
83.000 103.32
26 750.000 110.19
– –
– –
28.689 107.58
– –
– –
10.000 112.91
– –
65 806.670 111.27
65 806.670 117.36
Merrill Lynch Investment Solutions
25
Statistical information (cont.) Year ending as of: September 30, 2016 March 31, 2016 Merrill Lynch Investment Solutions – Van Eck Commodities Long-Short Equity UCITS Fund 1 Total Net Assets USD – – Class EUR D (acc) Number of shares – – Net asset value per share EUR – – 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 – Beach Point Diversified Credit UCITS Fund Total Net Assets USD 142 911 380 Class EUR B (acc) Number of shares 664 308.436 Net asset value per share EUR 103.43 Class EUR C (acc) Number of shares 13 130.944 Net asset value per share EUR 101.23 Class EUR D (acc) Number of shares 32 354.699 Net asset value per share EUR 113.68 Class EUR X (inc) Number of shares 182 630.000 Net asset value per share EUR 104.61 Class EUR Z (acc) Number of shares 2 385.000 Net asset value per share EUR 108.03 Class GBP B (acc) Number of shares 26 897.588 Net asset value per share GBP 102.82 Class GBP B (inc) Number of shares 21 383.746 Net asset value per share GBP 102.84 Class GBP C (acc) Number of shares – Net asset value per share GBP – Class GBP X (inc) Number of shares 6 087.011 Net asset value per share GBP 103.63 1
March 31, 2015 9 942 307 7 435.000 89.00 10.000 89.30 10.000 87.71 100 000.000 92.30
186 458 516
191 879 123
833 114.861 97.18
620 788.748 101.89
18 076.091 94.50
22 457.150 99.83
85 670.991 105.75
268 811.311 110.29
540 830.000 97.320
589 380.000 101.500
3 885.000 100.95
3 885.000 105.87
21 608.879 96.21
10.000 100.49
547.523 96.27
10.000 100.49
– –
10.000 99.83
2 907.692 96.97
2 276.940 100.52
Liquidated on July 7, 2015
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
26
Merrill Lynch Investment Solutions
Statistical information (cont.) Year ending as of: September 30, 2016 Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund (cont.) Class USD B (acc) Number of shares 236 339.251 Net asset value per share USD 113.05 Class USD C (acc) Number of shares 5 635.870 Net asset value per share USD 103.20 Class USD D (acc) Number of shares 13 557.570 Net asset value per share USD 116.59 Class USD Management (acc) Number of shares 17 426.919 Net asset value per share USD 123.97 Merrill Lynch Investment Solutions – Merrill Lynch WNT Diversified Futures UCITS Fund Total Net Assets USD 264 767 544 Class EUR B (acc) Number of shares 244 023.025 Net asset value per share EUR 105.42 Class EUR D (acc) Number of shares 1 847 795.818 Net asset value per share EUR 113.06 Class GBP Z (acc) Number of shares 3 445.238 Net asset value per share GBP 107.17 Class USD B (acc) Number of shares 500.000 Net asset value per share USD 102.80 Class USD C (acc) Number of shares 5 346.812 Net asset value per share USD 102.67 Merrill Lynch Investment Solutions – Castlerigg Equity Event and Arbitrage UCITS Fund 1 Total Net Assets USD – Class EUR B (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 C (acc) Number of shares – Net asset value per share GBP – 1
Liquidated on February 5, 2016
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
March 31, 2016
March 31, 2015
96 064.179 105.71
71 874.141 110.12
5 034.920 96.60
18 277.926 101.42
13 557.570 107.78
60 702.577 111.67
52 280.749 113.48
69 707.664 116.45
265 628 967
219 870 073
273 480.620 102.44
275 867.078 110.42
1 867 536.203 109.83
1 472 188.055 118.29
4 237.232 103.68
400.000 111.06
500.000 99.15
500.000 106.46
2 183.187 99.97
– –
–
128 690 816
– –
2 175.000 98.35
– –
279 307.165 124.49
– –
5 400.000 100.27
– –
2 016.157 115.87
Merrill Lynch Investment Solutions
27
Statistical information (cont.) Year ending as of: September 30, 2016 March 31, 2016 Merrill Lynch Investment Solutions – Castlerigg Equity Event and Arbitrage UCITS Fund 1 (cont.) 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 D (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 – Merrill Lynch Dynamic Capital Protection UCITS Fund Total Net Assets EUR – Class EUR B (acc) 2 Number of shares – Net asset value per share EUR –
211 886.436 126.30 10 000.001 101.45 174 888.199 126.83 208 141.970 129.93
27 403 795
49 357 814
281 626.003 97.31
474 601.290 104.00
88 053 215
68 976 668
787 373.000 100.81
489 844.000 103.19
86 546.774 100.29
178 623.527 103.18
–
–
9 840 509
– –
– –
40 818.211 105.66
– –
– –
20 000.000 107.32
– –
– –
21 380.000 107.33
– –
– –
9 750.000 111.44
Merrill Lynch Investment Solutions – Merrill Lynch Enhanced Equity Volatility Premium Fund Total Net Assets EUR 88 792 828 Class EUR A (acc) Number of shares 792 269.000 Net asset value per share EUR 110.27 Class EUR B (acc) Number of shares 13 064.062 Net asset value per share EUR 109.44 Merrill Lynch Investment Solutions – Multi-Strategy Fund of UCITS Fund 3 Total Net Assets EUR Class EUR B (inc) Number of shares Net asset value per share EUR Class EUR C (acc) Number of shares Net asset value per share EUR Class EUR C (inc) Number of shares Net asset value per share EUR Class EUR D (inc) Number of shares Net asset value per share EUR
March 31, 2015
Liquidated on February 5, 2016 Liquidated on July 8, 2016 3 Liquidated on July 2, 2015 1 2
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
28
Merrill Lynch Investment Solutions
Statistical information (cont.) Year ending as of: September 30, 2016 March 31, 2016 Merrill Lynch Investment Solutions – Merrill Lynch MLCX Commodity Enhanced Beta Fund Total Net Assets USD 19 881 264 18 872 835 Class EUR B (acc) Number of shares 14 222.353 15 789.074 Net asset value per share EUR 60.10 56.39 Class EUR C (acc) Number of shares 146.336 146.336 Net asset value per share EUR 56.50 53.30 Class EUR E (acc) Number of shares 118 584.573 98 826.861 Net asset value per share EUR 113.38 106.30 Class GBP B (acc) Number of shares 1 608.390 3 561.781 Net asset value per share GBP 56.03 52.48 Class GBP C (acc) Number of shares – – Net asset value per share GBP – – Class GBP E (acc) Number of shares – – Net asset value per share GBP – – Class SEK C (acc) Number of shares 4 115.625 3 317.117 Net asset value per share SEK 539.87 510.97 Class USD B (acc) Number of shares 14 921.254 56 950.498 Net asset value per share USD 63.29 58.87 Class USD C (acc) Number of shares 42 384.538 37 412.833 Net asset value per share USD 58.53 54.73 Class USD E (acc) Number of shares – – Net asset value per share USD – – Merrill Lynch Investment Solutions – Merrill Lynch MLCX Commodity Enhanced Beta ex Agriculture Fund Total Net Assets USD 77 079 943 72 173 576 Class EUR B (acc) Number of shares – – Net asset value per share EUR – – Class EUR D (acc) Number of shares 885 573.000 848 729.000 Net asset value per share EUR 77.36 69.16 Class USD B (acc) Number of shares 1 500.000 98 000.000 Net asset value per share USD 60.85 53.95
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
March 31, 2015 91 561 693 95 640.164 70.47 242.336 67.30 66 359.878 69.31 5 770.173 65.18 10.000 68.34 10.000 70.08 3 146.882 648.99 105 581.025 72.81 43 490.976 68.40 949 034.913 71.55
26 126 748 10.000 70.08 125 700.000 91.24 196 010.000 70.45
Merrill Lynch Investment Solutions
29
Statistical information (cont.) Year ending as of: September 30, 2016 Merrill Lynch Investment Solutions – Merrill Lynch MLCX Commodity Alpha Fund Total Net Assets USD 21 554 467 Class EUR B-5 (acc) Number of shares 7 537.216 Net asset value per share EUR 119.91 Class EUR C-5 (acc) Number of shares 2 678.284 Net asset value per share EUR 109.14 Class EUR E-5 (acc) Number of shares 78 313.960 Net asset value per share EUR 99.38 Class GBP B-5 (acc) Number of shares 56 303.770 Net asset value per share GBP 123.21 Class USD B-5 (acc) Number of shares 18 328.555 Net asset value per share USD 122.18 Class USD C-5 (acc) Number of shares 1 943.314 Net asset value per share USD 109.90 Merrill Lynch Investment Solutions – Fenician Equity Long Short UCITS Fund Total Net Assets EUR 36 953 257 Class EUR B (acc) Number of shares 6 553.527 Net asset value per share EUR 96.99 Class EUR C (acc) Number of shares – Net asset value per share EUR – Class EUR D (acc) Number of shares 227 378.673 Net asset value per share EUR 98.01 Class EUR I (acc) Number of shares 107.931 Net asset value per share EUR 97.51 Class EUR Inst Seed (acc) Number of shares 20 088.256 Net asset value per share EUR 98.64 Class EUR Management (acc) Number of shares 3 023.300 Net asset value per share EUR 101.32 Class EUR Retail Seed (acc) Number of shares 12 052.228 Net asset value per share EUR 98.55
March 31, 2016
March 31, 2015
22 436 362
–
7 537.216 121.42
– –
3 269.798 111.10
– –
73 350.458 100.50
– –
56 706.057 124.06
– –
18 328.555 122.83
– –
1 943.314 111.06
– –
67 257 596
69 118 049
5 490.831 99.11
10.000 105.35
– –
17 510.000 104.84
285 065.276 99.90
58 542.210 105.67
150 850.082 99.66
375 492.405 105.73
20 088.256 100.55
20 088.256 106.42
3 023.300 102.78
1 500.000 107.90
21 421.658 100.46
27 377.340 106.37
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
30
Merrill Lynch Investment Solutions
Statistical information (cont.) Year ending as of: September 30, 2016 Merrill Lynch Investment Solutions – Fenician Equity Long Short UCITS Fund (cont.) Class EUR Z (acc) Number of shares 22 854.796 Net asset value per share EUR 91.12 1 Class GBP B (acc) Number of shares – Net asset value per share GBP – Class GBP C (acc) Number of shares 650.000 Net asset value per share GBP 93.25 Class GBP Management (acc) Number of shares 2 683.050 Net asset value per share GBP 102.22 Class USD D (acc) Number of shares 9 630.492 Net asset value per share USD 93.68 Class USD I (acc) 2 Number of shares – Net asset value per share USD – Class USD Inst Seed (acc) Number of shares 82 212.330 Net asset value per share USD 99.42 Merrill Lynch Investment Solutions – APQ Emerging Markets UCITS Fund 3 Total Net Assets USD Class CAD Management (acc) Number of shares Net asset value per share USD Class USD B (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, 2016
March 31, 2015
20 678.517 93.13
– –
22 000.000 93.81
– –
650.000 95.32
– –
2 782.896 103.32
2 000.073 108.09
13 577.195 94.89
– –
61 068.166 99.87
41 207.240 105.61
82 212.330 100.71
119 569.328 106.26
–
–
18 182 407
– –
– –
74 712.780 88.81
– –
– –
10.000 87.14
– –
– –
149 999.000 86.28
28 818 083
20 340 116
14 064.741 96.83
– –
859.313 97.80
10.000 111.66
Merrill Lynch Investment Solutions – Zeal Greater China Long Short UCITS Fund Total Net Assets USD 35 863 875 Class EUR D (acc) 4 Number of shares 8 082.519 Net asset value per share EUR 101.25 Class USD B (acc) Number of shares 859.313 Net asset value per share USD 105.12 Liquidated on June 22, 2016 Liquidated on April 22, 2016 3 Liquidated on September 9, 2015 4 Liquidated on June 30, 2016 and relaunched on August 31, 2016 1 2
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Merrill Lynch Investment Solutions
31
Statistical information (cont.) Year ending as of: September 30, 2016 Merrill Lynch Investment Solutions – Zeal Greater China Long Short UCITS Fund (cont.) Class USD D (acc) 1 Number of shares 52 481.179 Net asset value per share USD 106.00 Class USD Management (acc) Number of shares 264 606.428 Net asset value per share USD 110.50 Class USD Z (acc) Number of shares 500.000 Net asset value per share USD 104.58 Merrill Lynch Investment Solutions – Gotham U.S. Equity Long/Short UCITS Fund Total Net Assets USD 46 890 579 Class EUR B (acc) Number of shares 904.981 Net asset value per share EUR 103.21 Class EUR C (acc) Number of shares 4 272.124 Net asset value per share EUR 90.45 Class EUR D (acc) Number of shares 57 441.737 Net asset value per share EUR 89.85 Class EUR X (acc) 2 Number of shares – Net asset value per share CHF – Class GBP X (inc) 3 Number of shares – Net asset value per share GBP – Class USD B (acc) Number of shares 71 634.812 Net asset value per share USD 90.17 Class USD C (acc) Number of shares 5 223.312 Net asset value per share USD 91.65 Class USD D (acc) Number of shares 371 251.310 Net asset value per share USD 90.54 Class USD Management (acc) Number of shares – Net asset value per share USD – Class USD X (acc) 4 Number of shares – Net asset value per share USD –
March 31, 2016
March 31, 2015
– –
– –
269 606.428 100.64
182 325.472 111.26
500.000 96.10
500.000 107.95
85 183 091
54 934 874
767.266 105.15
– –
4 600.459 92.52
4 003.307 98.93
80 326.064 91.42
74 073.162 96.74
267 638.790 91.58
10.000 96.90
1 038.230 92.13
10.000 97.03
59 089.010 91.15
10.000 96.26
2 500.000 93.01
2 500.000 98.90
460 829.989 91.40
312 711.000 96.19
– –
50 000.000 99.36
4 653.963 92.21
118 674.521 97.03
Launched on July 18, 2016 Liquidated on September 27, 2016 3 Liquidated on July 22, 2016 4 Liquidated on September 6, 2016 1 2
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
32
Merrill Lynch Investment Solutions
Statistical information (cont.) Year ending as of: September 30, 2016 Merrill Lynch Investment Solutions – Merrill Lynch Credit Fund 2016 Total Net Assets EUR 112 960 278 Class EUR B (inc) Number of shares 1 200 000.000 Net asset value per share EUR 94.13 Merrill Lynch Investment Solutions – Passport Capital Global Equity Long Short UCITS Fund Total Net Assets USD 40 677 669 Class CHF C (acc) Number of shares 1 450.000 Net asset value per share CHF 96.25 Class CHF D (acc) 1 Number of shares 20 000.000 Net asset value per share CHF 98.76 Class EUR B (acc) 2 Number of shares 5 000.000 Net asset value per share EUR 99.49 Class EUR D (acc) Number of shares 233 912.738 Net asset value per share EUR 94.32 Class USD B (acc) Number of shares 74 156.436 Net asset value per share USD 100.32 Class USD C (acc) Number of shares 8.000 Net asset value per share USD 99.39 Class USD D (acc) Number of shares 51 741.510 Net asset value per share USD 95.33 Class USD Management (acc) Number of shares 7 983.118 Net asset value per share USD 96.39 Merrill Lynch Investment Solutions – Willowbridge-Praxis Global Macro UCITS Fund Total Net Assets USD 43 991 070 Class EUR D (acc) Number of shares 85 930.855 Net asset value per share EUR 95.13 Class USD B (acc) Number of shares 10.000 Net asset value per share USD 95.39 Class USD C (acc) Number of shares 2 110.000 Net asset value per share USD 94.61 1 2
Launched on May 6, 2016 Launched on May 20, 2016
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
March 31, 2016
March 31, 2015
113 068 868
–
1 200 000.000 94.22
– –
41 421 742
–
2 500.000 97.61
– –
– –
– –
– –
– –
298 682.144 94.86
– –
50 328.000 100.32
– –
8.000 99.89
– –
32 206.364 95.16
– –
7 983.118 95.77
– –
44 441 650
–
108 432.134 98.61
– –
10.000 98.35
– –
10.000 97.97
– –
Merrill Lynch Investment Solutions
33
Statistical information (cont.) Year ending as of: September 30, 2016 March 31, 2016 Merrill Lynch Investment Solutions – Willowbridge-Praxis Global Macro UCITS Fund (cont.) Class USD D (acc) Number of shares 57 292.927 25 249.984 Net asset value per share USD 96.54 99.35 Class USD Management (acc) Number of shares 302 511.518 302 511.518 Net asset value per share USD 96.11 98.33 Merrill Lynch Investment Solutions – Ramius Merger Arbitrage UCITS Fund 1 Total Net Assets USD 19 401 671 Class USD B (acc) 1 Number of shares 10.000 Net asset value per share USD 102.15 1 Class USD C (acc) Number of shares 10.000 Net asset value per share USD 102.00 Class USD D (acc) Number of shares 38 721.294 Net asset value per share USD 102.41 Class USD Management (acc) Number of shares 149 970.000 Net asset value per share USD 102.91 Merrill Lynch Investment Solutions – Merrill Lynch Enhanced Cross-Asset Volatility Premium Fund 2 Total Net Assets EUR 50 455 511 Class EUR A (acc) Number of shares 501 790.000 Net asset value per share EUR 100.55 1 2
March 31, 2015
– – – –
–
–
– –
– –
– –
– –
– –
– –
– –
– –
–
–
– –
– –
Launched on July 8, 2016 Launched on September 16, 2016
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
34
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at September 30, 2016 (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 (cont.) Shares (cont.) 123 696 14 384 760 640 140 97 4 939 58 895 49 113 2 833 22 850 7 957 48 995 168 964 1 943 207 249 412 72 415 142 880 25 505 786 117 309 78 906 118 614 140 699 2 185 50 383 908 58 085 1 565 148 562 147 290 3 868 154 578 21 418 54 6 384 6 267 52 088 54 538 29 849 573 488 477 543 979
8Point3 Energy Partners LP 8x8, Inc. A2A SpA AAR Corp. ABIOMED, Inc. AC Immune S.A. Acacia Research Corp. Acadia Healthcare Co, Inc. Achillion Pharmaceuticals, Inc. Activision Blizzard, Inc. adidas AG - ADR Adobe Systems, Inc. Advance Auto Parts, Inc. Advanced Micro Devices, Inc. Advantage Oil & Gas Ltd. AES Corp. Affiliated Managers Group, Inc. Agilent Technologies, Inc. Agios Pharmaceuticals, Inc. Air Lease Corp. Air Products & Chemicals, Inc. Akamai Technologies, Inc. Alaska Air Group, Inc. Alder Biopharmaceuticals, Inc. Alere, Inc. Alexion Pharmaceuticals, Inc. Alimentation Couche-Tard, Inc. - B Alkermes Plc. Allegion Plc. Allison Transmission Hldg., Inc. Allscripts Healthcare Solutions, Inc. Alpek SAB de CV Alphabet, Inc. - A Alphabet, Inc. - C Alsea SAB de CV Amazon.com, Inc. AMC Networks, Inc. - A Amedisys, Inc. American Axle & Manufacturing Hldg., Inc. American Eagle Outfitters, Inc. American Homes 4 Rent - A American Woodmark Corp. Amgen, Inc.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
USD USD EUR USD USD USD USD USD USD USD USD USD USD USD CAD USD USD USD USD USD USD USD USD USD USD USD CAD USD USD USD USD MXN USD USD MXN USD USD USD USD USD USD USD USD
1 812 146 217 339 1 027 244 3 990 8 524 77 345 339 824 2 456 668 23 259 928 652 667 309 4 707 447 26 510 387 11 755 348 1 350 029 937 774 22 547 711 1 016 023 34 637 3 303 600 11 916 878 6 145 657 9 205 936 71 432 2 091 769 113 035 2 449 427 74 350 10 078 898 4 076 062 50 438 263 065 16 603 669 42 192 22 984 4 800 419 2 723 115 2 706 948 497 809 10 180 10 642 746 44 123 167 187
1 781 222 221 945 1 074 493 4 385 12 472 81 345 383 995 2 433 549 22 947 1 012 255 691 463 5 317 917 25 195 912 13 427 560 1 745 931 930 533 20 674 736 1 201 030 41 517 3 352 691 11 862 728 6 285 356 9 266 436 71 602 2 178 561 111 266 2 810 001 73 602 10 237 407 4 224 277 50 942 262 935 17 221 357 41 974 21 698 5 247 422 2 701 284 2 587 283 514 000 10 234 10 570 642 43 750 163 307
0.06 0.01 0.03 0.00 0.00 0.00 0.01 0.08 0.00 0.03 0.02 0.17 0.80 0.43 0.06 0.03 0.66 0.04 0.00 0.11 0.38 0.20 0.29 0.00 0.07 0.00 0.09 0.00 0.32 0.13 0.00 0.01 0.55 0.00 0.00 0.17 0.09 0.08 0.02 0.00 0.34 0.00 0.01
Merrill Lynch Investment Solutions
35
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at September 30, 2016 (cont.) (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 (cont.) Shares (cont.) 15 026 45 605 159 394 128 146 8 368 559 12 800 5 425 768 868 547 746 257 790 187 27 325 627 970 39 079 5 867 42 639 6 630 36 925 23 547 464 315 263 1 755 816 1 723 901 9 227 4 318 6 874 4 600 338 303 33 391 27 652 38 063 155 236 1 312 247 638 8 125 6 845 8 577 27 262 36 237 87 543
AMN Healthcare Services, Inc. Amplifon SpA Anadarko Petroleum Corp. Anima Hldg. SpA 144A Apple, Inc. Arch Capital Group Ltd. Aritzia, Inc. (a) Array BioPharma, Inc. Ashland Global Hldg., Inc. Aspen Technology, Inc. Assicurazioni Generali SpA Assured Guaranty Ltd. Astronics Corp. At Home Group, Inc. Atlantia SpA Atlas Air Worldwide Hldg., Inc. Atlassian Corp. Plc. - A Autogrill SpA AutoZone, Inc. Avery Dennison Corp. Avexis, Inc. Axalta Coating Systems Ltd. Baker Hughes, Inc. Banca Popolare dell'Emilia Romagna SC Banca Popolare di Milano Scarl Bank of New York Mellon Corp. Bank of NT Butterfield & Son Ltd. Barracuda Networks, Inc. Barrick Gold Corp. (traded in Canada) Barrick Gold Corp. (traded in United States) Bats Global Markets, Inc. Baxter International, Inc. Baytex Energy Corp. Beacon Roofing Supply, Inc. BeiGene Ltd. - ADR Beni Stabili SpA SIIQ BGC Partners, Inc. - A BioMarin Pharmaceutical, Inc. BJ's Restaurants, Inc. BlackBerry Ltd. Blackhawk Network Hldg., Inc. Bloomin' Brands, Inc. BMC Stock Hldg., Inc.
USD EUR USD EUR USD USD CAD USD USD USD EUR USD USD USD EUR USD USD EUR USD USD USD USD USD EUR EUR USD USD USD CAD USD USD USD CAD USD USD EUR USD USD USD CAD USD USD USD
490 017 478 935 8 802 599 783 115 946 397 43 859 155 529 33 906 89 473 39 274 6 885 494 6 662 917 7 733 406 491 16 158 274 1 641 387 180 643 370 339 5 055 000 2 835 886 812 372 13 132 435 12 922 6 669 865 733 650 363 526 104 169 134 751 81 449 6 800 608 904 504 1 290 069 184 723 6 492 552 39 754 149 389 72 12 014 315 428 68 508 833 674 638 165 1 750 860
478 879 468 433 10 099 204 626 446 946 002 44 306 155 830 36 619 89 050 40 614 6 684 949 7 153 673 8 424 413 974 15 942 050 1 673 363 175 834 361 300 5 094 094 2 872 396 970 372 13 126 185 13 274 6 535 192 692 011 367 973 106 914 175 150 81 307 5 994 729 1 006 071 1 316 235 161 317 6 530 779 40 423 147 775 70 11 565 243 340 68 264 822 495 624 726 1 552 137
0.02 0.02 0.32 0.02 0.03 0.00 0.01 0.00 0.00 0.00 0.21 0.23 0.00 0.01 0.51 0.05 0.01 0.01 0.16 0.09 0.03 0.42 0.00 0.21 0.02 0.01 0.00 0.01 0.00 0.19 0.03 0.04 0.01 0.21 0.00 0.00 0.00 0.00 0.01 0.00 0.03 0.02 0.05
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
36
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at September 30, 2016 (cont.) (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 (cont.) Shares (cont.) 233 149 387 531 378 386 2 210 185 212 590 2 919 4 371 1 590 293 642 18 352 304 037 26 730 131 477 582 525 5 122 4 415 33 614 9 867 5 827 866 322 212 12 654 83 531 271 412 595 8 625 23 602 34 367 58 234 37 443 4 482 8 121 56 583 50 420 687 7 752 142 388 49 874 42 766 343 694 3 767
Booz Allen Hamilton Hldg. Corp. Boston Scientific Corp. Boyd Gaming Corp. Braskem S.A. - ADR Bright Horizons Family Solutions, Inc. Bristol-Myers Squibb Co. Broadcom Ltd. Brookfield Asset Management, Inc. - A Brookfield Infrastructure Partners LP Bruker Corp. Buffalo Wild Wings, Inc. Builders FirstSource, Inc. Callaway Golf Co. Callidus Software, Inc. Callon Petroleum Co. Campbell Soup Co. Canadian Tire Corp. Ltd. - A CARBO Ceramics, Inc. CarMax, Inc. Cascades, Inc. Casey's General Stores, Inc. Catalent, Inc. Cavium, Inc. CBOE Hldg., Inc. CBS Corp. - B CDK Global, Inc. Celanese Corp. - A Celgene Corp. Cenovus Energy, Inc. (traded in Canada) Cenovus Energy, Inc. (traded in United States) Cerved Information Solutions SpA Charter Communications, Inc. - A Check Point Software Technologies Ltd. Cheesecake Factory, Inc. Chesapeake Energy Corp. Cia Cervecerias Unidas S.A. - ADR Cia Paranaense de Energia - ADR Cimarex Energy Co. Cintas Corp. Citrix Systems, Inc. Clorox Co. CME Group, Inc. Cobalt International Energy, Inc.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
USD USD USD USD USD USD USD CAD CAD USD USD USD USD USD USD USD CAD USD USD CAD USD USD USD USD USD USD USD USD CAD USD EUR USD USD USD USD USD USD USD USD USD USD USD USD
6 748 142 9 152 258 6 749 220 27 681 12 352 12 655 288 494 407 146 866 54 902 7 350 903 2 706 494 3 289 124 231 653 2 375 224 6 834 312 293 579 471 808 446 397 536 914 56 189 102 556 7 686 097 680 765 5 584 950 13 706 243 34 219 555 707 2 490 939 486 774 813 919 308 492 1 017 189 614 481 2 897 217 353 990 14 066 82 456 17 200 800 5 711 375 3 470 541 42 837 72 577 10 935
7 369 840 9 223 238 7 484 475 33 990 12 375 11 462 853 503 586 153 422 54 998 6 650 991 2 582 860 3 499 466 310 335 2 412 603 9 145 643 280 173 441 349 367 737 526 404 56 884 104 050 8 325 958 736 463 5 416 985 14 857 093 34 129 574 080 2 467 117 492 395 836 823 316 851 1 210 006 630 271 2 832 545 316 133 13 871 80 388 19 132 676 5 615 812 3 644 519 42 937 72 537 4 671
0.23 0.29 0.24 0.00 0.00 0.36 0.02 0.01 0.00 0.21 0.08 0.11 0.01 0.08 0.29 0.01 0.01 0.01 0.02 0.00 0.00 0.26 0.02 0.17 0.47 0.00 0.02 0.08 0.02 0.03 0.01 0.04 0.02 0.09 0.01 0.00 0.00 0.61 0.18 0.12 0.00 0.00 0.00
Merrill Lynch Investment Solutions
37
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at September 30, 2016 (cont.) (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 (cont.) Shares (cont.) 804 101 158 2 462 1 782 2 945 1 629 451 409 43 217 172 807 14 587 29 654 39 291 554 584 48 992 58 926 1 486 50 932 58 154 46 798 78 255 272 779 68 749 79 16 602 235 480 22 007 29 634 83 046 54 384 99 262 5 398 84 176 2 264 199 704 840 415 124 429 46 282 128 658 181 256 7 094 8 218 42 937
Coca-Cola Femsa SAB de CV- ADR Cognizant Technology Solutions Corp. - A Colfax Corp. Collegium Pharmaceutical, Inc. Columbia Sportswear Co. Comfort Systems USA, Inc. CommScope Hldg. Co., Inc. ConAgra Foods, Inc. CONSOL Energy, Inc. Constellation Brands, Inc. - A Constellium NV - A Continental Building Products, Inc. Controladora Vuela Cia de Aviacion SAB de CV Controladora Vuela Cia de Aviacion SAB de CV - ADR Cooper Tire & Rubber Co. Corrections Corp. of America Cosan Ltd. - A Coty, Inc. - A CR Bard, Inc. Crescent Point Energy Corp. (traded in Canada) Crescent Point Energy Corp. (traded in United States) CSX Corp. Cvent, Inc. CVS Health Corp. CyberArk Software Ltd. CyrusOne, Inc. Dana, Inc. Darden Restaurants, Inc. Dave & Buster's Entertainment, Inc. Davide Campari-Milano SpA DaVita, Inc. De' Longhi SpA Dell Technologies, Inc. - V Delphi Automotive Plc. Delta Air Lines, Inc. Denbury Resources, Inc. Dentsply Sirona, Inc. Devon Energy Corp. DH Corp. Diamond Offshore Drilling, Inc. Diamondback Energy, Inc. DiaSorin SpA Diebold, Inc.
USD USD USD USD USD USD USD USD USD USD USD USD MXN USD USD USD USD USD USD CAD USD USD USD USD USD USD USD USD USD EUR USD EUR USD USD USD USD USD USD CAD USD USD EUR USD
58 575 4 811 515 72 149 25 215 164 243 51 901 13 405 353 1 873 064 2 962 505 2 408 534 569 983 735 170 992 741 890 404 2 120 687 23 333 356 154 1 355 716 10 326 156 998 3 513 6 992 889 2 254 725 7 124 831 501 12 001 065 332 446 1 833 597 3 161 283 611 268 6 413 206 135 981 4 032 402 157 350 7 552 217 3 368 101 7 605 786 1 980 618 3 280 781 3 973 715 667 675 507 388 1 098 692
60 300 4 826 248 77 381 34 321 167 099 47 746 13 591 925 2 035 953 3 317 894 2 428 590 213 509 824 718 967 409 851 971 2 240 367 20 611 364 164 1 366 619 10 495 855 1 027 3 366 8 319 760 2 180 031 7 030 822 961 11 201 784 343 089 1 817 157 3 253 742 613 001 6 558 240 130 668 4 023 613 161 468 7 860 349 2 714 540 7 394 815 2 041 499 2 776 291 3 191 918 684 855 528 264 1 064 408
0.00 0.15 0.00 0.00 0.01 0.00 0.43 0.06 0.11 0.08 0.01 0.03 0.03 0.03 0.07 0.00 0.01 0.04 0.33 0.00 0.00 0.26 0.07 0.00 0.03 0.36 0.01 0.06 0.10 0.02 0.21 0.00 0.13 0.01 0.25 0.09 0.23 0.06 0.09 0.10 0.02 0.02 0.03
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
38
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at September 30, 2016 (cont.) (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 (cont.) Shares (cont.) 210 1 746 24 176 44 176 1 755 3 311 2 578 213 898 16 006 16 998 115 091 2 602 195 4 798 82 6 486 8 895 468 199 574 4 617 1 946 123 400 47 828 301 721 208 252 47 633 254 143 16 77 467 11 929 6 810 33 571 47 199 1 449 172 200 61 813 1 111 2 399 101 652 102 165 99 678 15 228 390
Dillard's, Inc. - A Discovery Communications, Inc. - A DISH Network Corp. - A Dollarama, Inc. Dominion Diamond Corp. Domino's Pizza, Inc. DR Horton, Inc. Dr Pepper Snapple Group, Inc. DSW, Inc. - A Dycom Industries, Inc. Dynegy, Inc. Eaton Corp. Plc. Ebix, Inc. Eclipse Resources Corp. Ecolab, Inc. Edwards Lifesciences Corp. El Puerto de Liverpool SAB de CV - C1 elf Beauty, Inc. Enav SpA 144A Energen Corp. Energy Recovery, Inc. Enerplus Corp. (traded in Canada) Enerplus Corp. (traded in United States) Eni SpA Ensco Plc. - A EOG Resources, Inc. Estee Lauder Cos, Inc. - A Esterline Technologies Corp. Euronav NV Everest Re Group Ltd. Evolent Health, Inc. - Class A EXOR SpA Expedia, Inc. Express Scripts Hldg. Co. Extended Stay America, Inc. F5 Networks, Inc. Fabrinet Facebook, Inc. - A Fairmount Santrol Hldg., Inc. Ferro Corp. FinecoBank Banca Fineco SpA First Hawaiian, Inc. First Majestic Silver Corp. (traded in Canada)
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
USD USD USD CAD USD USD USD USD USD USD USD USD USD USD USD USD MXN USD EUR USD USD CAD USD EUR USD USD USD USD USD USD USD EUR USD USD USD USD USD USD USD USD EUR USD CAD
12 944 45 449 1 248 023 3 111 284 17 097 504 135 78 470 19 893 903 331 294 1 437 950 1 465 698 166 779 10 988 16 793 9 875 762 234 92 970 11 720 780 388 245 236 23 475 704 622 294 544 4 346 109 1 737 537 4 490 754 22 769 084 1 207 675 394 2 257 491 160 912 1 277 151 5 100 975 101 599 2 457 294 6 804 644 48 866 308 938 604 829 1 239 089 591 487 404 990 4 063
13 232 47 002 1 324 361 3 442 989 17 094 502 775 77 856 19 531 026 327 803 1 390 096 1 425 978 170 977 11 086 15 785 9 981 781 952 93 410 13 160 820 421 266 493 31 097 790 586 306 577 4 346 930 1 770 142 4 606 587 22 506 904 1 217 591 073 2 266 152 167 662 1 360 062 5 509 067 102 198 2 445 240 7 704 372 49 539 307 720 862 009 1 410 899 577 454 409 024 4 015
0.00 0.00 0.04 0.11 0.00 0.02 0.00 0.62 0.01 0.04 0.05 0.01 0.00 0.00 0.00 0.03 0.00 0.00 0.03 0.01 0.00 0.03 0.01 0.14 0.06 0.15 0.71 0.00 0.02 0.07 0.01 0.04 0.17 0.00 0.08 0.24 0.00 0.01 0.03 0.04 0.02 0.01 0.00
Merrill Lynch Investment Solutions
39
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at September 30, 2016 (cont.) (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 (cont.) Shares (cont.) 4 489 172 722 16 504 68 110 7 305 158 133 51 245 28 280 90 778 145 948 112 907 233 300 41 441 3 096 15 252 31 649 145 294 14 190 6 365 2 312 239 148 142 998 4 910 9 078 15 844 323 232 260 221 430 958 11 009 971 8 431 405 579 7 659 97 405 212 3 571 869 499 1 381 36 766 10 300 46 827 29 848 10 178
First Majestic Silver Corp. (traded in United States) First Quantum Minerals Ltd. FirstEnergy Corp. Fiserv, Inc. Fitbit, Inc. - A Five9, Inc. FleetCor Technologies, Inc. Fleetmatics Group Plc. FLIR Systems, Inc. FMC Technologies, Inc. Fortinet, Inc. Fortive Corp. Francesca's Hldg. Corp. G&K Services Inc - A G-III Apparel Group Ltd. GameStop Corp. - A GCP Applied Technologies, Inc. General Cable Corp. General Electric Co. GenMark Diagnostics, Inc. Genworth Financial, Inc. - A Gilead Sciences, Inc. Global Brass & Copper Hldg., Inc. Globus Medical, Inc. - A GoDaddy, Inc. - A Goodyear Tire & Rubber Co. Graphic Packaging Hldg. Co. Great Plains Energy, Inc. Green Plains, Inc. Greenhill & Co., Inc. Gridsum Hldg., Inc. - ADR Gruma SAB de CV - B Grupo Aeroportuario del Pacifico SAB de CV - ADR Grupo Aeroportuario del Pacifico SAB de CV - B Grupo Aeroportuario del Sureste SAB de CV - ADR Grupo Aeroportuario del Sureste SAB de CV - B Grupo Lala SAB de CV Halliburton Co. Hartford Financial Services Group, Inc. Hasbro, Inc. Hawaiian Hldg., Inc. HD Supply Hldg., Inc. Healthcare Services Group, Inc.
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 MXN USD MXN USD MXN MXN USD USD USD USD USD USD
47 553 1 449 112 539 723 6 959 115 110 124 2 237 294 7 650 129 1 695 157 2 819 440 3 955 509 3 993 057 11 745 639 637 589 296 829 445 249 899 332 3 779 104 209 394 189 425 27 355 643 877 11 630 060 140 655 205 065 542 681 9 648 505 3 101 226 11 463 647 272 347 22 812 132 788 5 670 951 695 577 894 769 31 027 51 620 1 732 343 61 088 1 543 610 824 676 2 066 168 947 438 393 754
46 237 1 427 248 545 952 6 774 902 108 406 2 479 525 8 902 794 1 696 234 2 852 245 4 330 277 4 169 656 11 874 970 639 435 295 637 444 596 873 196 4 114 726 212 566 188 531 27 282 1 186 174 11 314 002 141 850 204 890 547 093 10 440 394 3 640 492 11 760 844 288 436 22 886 142 062 5 342 616 727 375 926 615 31 041 52 452 1 659 162 61 979 1 574 320 817 099 2 275 792 954 539 402 845
0.00 0.05 0.02 0.22 0.00 0.08 0.28 0.05 0.09 0.14 0.13 0.38 0.02 0.01 0.01 0.03 0.13 0.01 0.01 0.00 0.04 0.36 0.00 0.01 0.02 0.33 0.12 0.37 0.01 0.00 0.00 0.17 0.02 0.03 0.00 0.00 0.05 0.00 0.05 0.03 0.07 0.03 0.01
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
40
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at September 30, 2016 (cont.) (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 (cont.) Shares (cont.) 644 50 299 242 096 34 007 929 687 72 399 151 337 17 002 144 883 164 962 14 273 93 089 22 303 133 028 19 773 8 758 39 356 17 780 237 595 125 582 129 100 8 306 94 411 57 893 152 279 999 293 236 605 6 204 58 699 61 980 39 961 712 271 37 852 5 954 17 755 1 986 641 751 070 104 672 2 191 24 540 94 667 552
HEICO Corp. Helix Energy Solutions Group, Inc. Hera SpA Hess Corp. Hewlett Packard Enterprise Co. Hill-Rom Hldg., Inc. Hilton Worldwide Hldg., Inc. Hologic, Inc. Honda Motor Co. Ltd. - ADR Hormel Foods Corp. Host Hotels & Resorts, Inc. Houghton Mifflin Harcourt Co. Humana, Inc. Hyatt Hotels Corp. - A ICON Plc. ICU Medical, Inc. Illumina, Inc. Imperva, Inc. INC Research Hldg., Inc. - A Incyte Corp. Independence Realty Trust, Inc. Industria Macchine Automatiche SpA Infoblox, Inc. Infrastrutture Wireless Italiane SpA 144A Ingersoll-Rand Plc. Ingram Micro, Inc. - A Instructure, Inc. Integrated Device Technology, Inc. InterContinental Hotels Group Plc. - ADR InterDigital, Inc. Interface, Inc. Interfor Corp. Interpublic Group of Cos, Inc. Interpump Group SpA Intersil Corp. - A InterXion Hldg. NV Intesa Sanpaolo SpA Intesa Sanpaolo SpA - Rsp Intuit, Inc. IPG Photonics Corp. Iridium Communications, Inc. Italcementi SpA Italmobiliare SpA
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
USD USD EUR USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD EUR USD EUR USD USD USD USD USD USD USD CAD USD EUR USD USD EUR EUR USD USD USD EUR EUR
44 585 374 387 644 984 1 688 646 17 266 639 3 803 663 3 512 280 652 266 4 291 657 6 080 281 223 826 1 590 497 3 692 135 6 667 525 1 498 213 930 256 6 761 792 934 842 10 430 856 9 967 246 1 161 900 499 846 1 446 683 288 132 9 867 9 671 670 7 495 4 773 977 254 314 3 978 009 1 010 797 456 659 15 662 941 578 420 130 791 656 979 4 559 593 1 653 363 11 362 478 184 217 193 371 1 108 384 27 685
44 565 408 931 652 418 1 823 455 21 150 379 4 487 290 3 470 157 660 188 4 190 016 6 257 009 222 231 1 248 323 3 945 178 6 547 638 1 529 837 1 106 836 7 149 411 954 964 10 591 985 11 841 127 1 161 900 551 656 2 489 618 284 833 10 327 9 984 764 7 433 5 465 576 258 273 4 648 961 1 034 446 452 440 15 919 257 645 303 130 571 643 086 4 407 127 1 573 314 11 514 967 180 429 199 019 1 125 572 27 878
0.00 0.01 0.02 0.06 0.67 0.14 0.11 0.02 0.13 0.20 0.01 0.04 0.13 0.21 0.05 0.04 0.23 0.03 0.34 0.38 0.04 0.02 0.08 0.01 0.00 0.32 0.00 0.17 0.01 0.15 0.03 0.01 0.51 0.02 0.00 0.02 0.14 0.05 0.37 0.01 0.01 0.04 0.00
Merrill Lynch Investment Solutions
41
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at September 30, 2016 (cont.) (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 (cont.) Shares (cont.) 4 306 21 591 10 311 93 630 635 4 951 46 072 311 862 327 45 665 32 474 262 556 132 091 567 659 622 957 184 966 9 499 22 646 10 650 58 302 132 050 6 148 5 926 2 411 13 721 407 523 63 950 4 622 1 468 98 904 16 565 4 830 214 577 440 36 917 340 226 363 25 080 5 178 1 867 000 206 478 273 284 88 619
ITT, Inc. Ixia Jabil Circuit, Inc. Jazz Pharmaceuticals Plc. JB Hunt Transport Services, Inc. JetBlue Airways Corp. Johnson & Johnson Johnson Controls International Plc. Jones Lang LaSalle, Inc. Joy Global, Inc. KapStone Paper and Packaging Corp. Kate Spade & Co. KBR, Inc. Kinross Gold Corp. (traded in Canada) Kinross Gold Corp. (traded in United States) KLA-Tencor Corp. KLX, Inc. Kraft Heinz Co. Lam Research Corp. Lantheus Hldg., Inc. Laredo Petroleum, Inc. Lear Corp. Legg Mason, Inc. Leidos Hldg., Inc. Lennar Corp. - A Level 3 Communications, Inc. Lexmark International, Inc. - A LHC Group, Inc. Liberty Global Plc. - C Liberty Interactive Corp. QVC Group - A Liberty Media Corp. - A Liberty Media Corp. - C Liberty Ventures - A Lincoln Electric Hldg., Inc. LinkedIn Corp. - A Lithia Motors, Inc. - A Live Nation Entertainment, Inc. LKQ Corp. LogMeIn, Inc. Longfor Properties Co. Ltd. Louisiana-Pacific Corp. Lowe's Cos, Inc. Lumentum Hldg., Inc.
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 USD USD HKD USD USD USD
154 138 250 157 225 140 12 301 427 50 934 85 132 5 436 469 14 181 556 36 702 1 254 594 617 858 4 915 875 2 005 554 2 180 655 2 601 606 12 848 341 319 090 1 965 673 989 035 466 416 1 541 446 695 926 197 225 105 614 588 718 20 006 061 2 273 869 166 575 47 084 1 935 118 453 042 129 417 7 806 269 27 567 7 103 972 31 778 6 069 361 887 350 324 682 2 920 500 3 856 177 20 485 226 2 154 069
154 327 269 888 224 986 11 374 172 51 524 85 355 5 442 485 14 510 939 37 209 1 266 747 614 408 4 497 584 1 998 537 2 388 552 2 622 649 12 893 980 334 365 2 027 043 1 008 662 482 741 1 703 445 745 261 198 402 104 348 580 947 18 900 917 2 555 442 170 459 48 503 1 979 069 474 587 135 916 8 555 185 27 553 7 055 577 32 477 6 220 455 889 337 468 039 2 864 549 3 887 981 19 733 838 3 701 616
0.01 0.01 0.01 0.36 0.00 0.00 0.17 0.46 0.00 0.04 0.02 0.14 0.06 0.08 0.08 0.41 0.01 0.06 0.03 0.02 0.05 0.02 0.01 0.00 0.02 0.60 0.08 0.01 0.00 0.06 0.02 0.00 0.27 0.00 0.22 0.00 0.20 0.03 0.01 0.09 0.12 0.63 0.12
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
42
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at September 30, 2016 (cont.) (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 (cont.) Shares (cont.) 227 388 2 336 64 580 305 811 56 233 51 477 62 627 35 180 164 530 12 620 76 046 15 784 564 705 15 580 412 141 62 519 107 761 780 205 94 603 4 019 10 147 19 627 63 420 3 166 558 168 59 061 312 095 9 831 1 062 14 747 9 580 7 375 267 845 7 515 1 459 224 322 236 531 24 523 769 34 581 130 495 183 882 1 102
Lundin Mining Corp. Luxoft Hldg., Inc. Luxottica Group SpA LyondellBasell Industries NV - A MACOM Technology Solutions Hldg., Inc. Magna International, Inc. Maire Tecnimont SpA Manhattan Associates, Inc. Manitowoc Foodservice, Inc. Marathon Petroleum Corp. Marriott International, Inc. - A Martin Marietta Materials, Inc. Marvell Technology Group Ltd. Masco Corp. MBIA, Inc. Mead Johnson Nutrition Co. MedEquities Realty Trust, Inc. Mediaset SpA Mediobanca SpA Medpace Hldg., Inc. Medtronic Plc. MeetMe, Inc. Merck & Co., Inc. Methanex Corp. MGIC Investment Corp. MGM Growth Properties LLC - A Michaels Cos, Inc. MicroStrategy, Inc. - A Mimecast Ltd. MINDBODY, Inc. - A Minerals Technologies, Inc. Minerva Neurosciences, Inc. Mobile TeleSystems PJSC - ADR Mohawk Industries, Inc. Molina Healthcare, Inc. Molson Coors Brewing Co. - B Moncler SpA Mondelez International, Inc. - A Monolithic Power Systems, Inc. Monsanto Co. Moody's Corp. MSG Networks, Inc. - A Murphy Oil Corp.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
CAD USD EUR USD USD CAD EUR USD USD USD USD USD USD USD USD USD USD EUR EUR USD USD USD USD CAD USD USD USD USD USD USD USD USD USD USD USD USD EUR USD USD USD USD USD USD
704 489 123 638 3 151 692 24 307 526 2 210 619 2 075 682 172 207 2 071 341 2 851 713 528 107 5 192 872 2 877 274 6 005 553 548 001 2 817 378 4 945 474 1 249 682 2 609 684 654 883 119 944 874 301 126 392 3 964 336 101 981 3 919 081 1 511 439 8 443 085 1 696 135 17 523 263 063 502 538 85 664 2 140 082 1 517 923 83 930 22 362 071 3 959 045 1 061 636 57 370 3 531 701 13 335 380 3 069 537 33 606
897 960 123 458 3 085 889 24 666 715 2 380 905 2 205 961 154 977 2 027 072 2 668 677 512 246 5 120 177 2 827 072 7 493 635 534 550 3 210 578 4 939 626 1 266 192 2 449 764 615 563 120 007 876 701 121 687 3 958 042 112 596 4 465 344 1 539 720 7 543 336 1 646 103 20 316 289 926 677 210 104 098 2 043 657 1 505 555 85 089 24 630 556 4 037 708 1 076 560 61 905 3 534 178 14 129 999 3 422 044 33 501
0.03 0.00 0.10 0.78 0.08 0.07 0.01 0.06 0.08 0.02 0.16 0.09 0.24 0.02 0.10 0.16 0.04 0.08 0.02 0.00 0.03 0.00 0.13 0.00 0.14 0.05 0.24 0.05 0.00 0.01 0.02 0.00 0.07 0.05 0.00 0.78 0.13 0.03 0.00 0.11 0.45 0.11 0.00
Merrill Lynch Investment Solutions
43
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at September 30, 2016 (cont.) (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 (cont.) Shares (cont.) 249 199 59 600 911 58 985 35 759 45 355 31 372 166 651 16 286 12 306 47 802 820 903 82 407 258 280 103 23 471 158 609 34 747 3 562 2 081 46 501 783 4 972 84 42 105 170 305 14 239 256 226 52 211 216 3 897 544 17 295 54 991 6 069 133 826 1 199 28 612 103 540 138 214 1 984 5 299
Nabors Industries Ltd. National Storage Affiliates Trust Navigant Consulting, Inc. NCI Building Systems, Inc. NetApp, Inc. NetSuite, Inc. New Relic, Inc. Newell Brands, Inc. Newfield Exploration Co. Nexstar Broadcasting Group, Inc. - A NextEra Energy Partners LP Noble Corp. Plc. Nomad Foods Ltd. Nordic American Tankers Ltd. Norfolk Southern Corp. Novo Nordisk A/S - ADR NRG Energy, Inc. Nuance Communications, Inc. Nutanix, Inc. - A NuVasive, Inc. NVIDIA Corp. NVR, Inc. NXP Semiconductors NV NxStage Medical, Inc. O'Reilly Automotive, Inc. Office Depot, Inc. OHL Mexico SAB de CV Ollie's Bargain Outlet Hldg., Inc. Omnicom Group, Inc. ON Semiconductor Corp. OneMain Hldg., Inc. Open Text Corp. PACCAR, Inc. Paylocity Hldg. Corp. PayPal Hldg., Inc. Penn National Gaming, Inc. Penumbra, Inc. PerkinElmer, Inc. Petroleo Brasileiro S.A. - ADR Petroleo Brasileiro S.A. - ADR - Pref Philip Morris International, Inc. Phillips 66 Photronics, Inc.
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 MXN USD USD USD USD CAD USD USD USD USD USD USD USD USD USD USD USD
2 567 705 1 230 516 17 209 954 727 1 180 045 4 965 637 1 128 764 8 665 966 679 989 711 610 1 383 234 6 593 033 758 812 2 582 773 8 831 988 241 2 125 630 502 992 131 794 137 843 2 846 669 1 285 993 474 653 2 063 11 483 640 1 038 766 18 213 6 660 526 4 377 2 206 684 118 403 35 358 1 003 988 2 323 234 229 751 1 984 884 90 141 1 586 094 510 541 691 082 195 329 397 2 747
3 030 260 1 248 024 18 420 860 591 1 280 887 5 020 345 1 202 175 8 775 842 707 790 710 179 1 337 022 5 204 525 974 051 2 611 211 9 997 976 159 1 778 007 503 832 131 794 138 719 3 186 249 1 284 018 507 194 2 099 11 794 032 607 989 18 923 6 715 683 4 420 2 602 181 120 612 35 175 1 016 600 2 444 900 248 647 1 816 019 91 112 1 605 419 966 028 1 148 558 192 884 403 3 083
0.10 0.04 0.00 0.03 0.04 0.16 0.04 0.28 0.02 0.02 0.04 0.17 0.03 0.08 0.00 0.03 0.06 0.02 0.00 0.00 0.10 0.04 0.02 0.00 0.37 0.02 0.00 0.21 0.00 0.08 0.00 0.00 0.03 0.08 0.01 0.06 0.00 0.05 0.03 0.04 0.01 0.00 0.00
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
44
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at September 30, 2016 (cont.) (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 (cont.) Shares (cont.) 45 738 1 651 183 651 3 924 000 147 809 8 378 558 196 800 32 654 2 210 147 270 1 076 451 4 059 81 726 23 465 35 149 312 88 20 163 55 598 21 695 5 435 78 081 104 775 577 1 512 15 262 4 144 15 396 11 159 941 4 606 130 663 88 652 11 647 417 119 1 244 253 23 600 13 759 243 557 40 094
Piaggio & C SpA Pioneer Natural Resources Co. Planet Fitness, Inc. - A Postal Savings Bank of China Co. Ltd. - H 144A PRA Health Sciences, Inc. Precision Drilling Corp. Premier, Inc. - A ProMetic Life Sciences, Inc. Promotora y Operadora de Infraestructura SAB de CV Providence Service Corp. Prysmian SpA PVH Corp. QEP Resources, Inc. QUALCOMM, Inc. Quanta Services, Inc. Quest Diagnostics, Inc. Quintiles Transnational Hldg., Inc. Rackspace Hosting, Inc. Ralph Lauren Corp. Rambus, Inc. Range Resources Corp. Realogy Hldg. Corp. Red Hat, Inc. Red Rock Resorts, Inc. - A Rexnord Corp. Reynolds American, Inc. RingCentral, Inc. - A Ritchie Bros Auctioneers, Inc. (traded in Canada) Ritchie Bros Auctioneers, Inc. (traded in United States) Robert Half International, Inc. Rogers Corp. Ross Stores, Inc. Rowan Cos Plc. - A S&P Global, Inc. Sage Therapeutics, Inc. Saipem SpA salesforce.com, Inc. Sanchez Energy Corp. Schlumberger Ltd. SciClone Pharmaceuticals, Inc. Sealed Air Corp. Secure Energy Services, Inc. SEI Investments Co.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
EUR USD USD HKD USD CAD USD CAD MXN USD EUR USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD CAD USD USD USD USD USD USD USD EUR USD USD USD USD USD CAD USD
83 243 299 939 3 499 883 2 432 656 7 222 057 32 110 17 600 451 238 353 673 104 557 3 574 066 104 267 7 883 278 658 2 131 001 1 929 769 2 779 4 708 022 8 755 279 258 2 156 399 580 790 435 915 1 645 439 2 189 999 28 790 33 465 497 757 141 998 580 311 652 9 039 206 70 082 14 035 355 3 219 024 5 109 455 8 709 3 405 19 910 239 540 643 331 1 474 004 1 841 211
85 530 306 508 3 685 876 2 413 306 8 352 687 34 934 18 046 437 250 351 030 107 472 3 859 507 118 898 8 808 278 042 2 287 511 1 985 843 2 837 4 731 697 8 900 252 038 2 154 423 561 033 439 311 1 841 931 2 243 233 27 206 35 774 533 836 145 330 582 893 672 10 284 206 69 827 16 536 709 4 082 425 4 930 765 8 488 10 997 19 896 241 900 630 437 1 717 918 1 828 687
0.00 0.01 0.12 0.08 0.27 0.00 0.00 0.01 0.01 0.00 0.12 0.00 0.00 0.01 0.07 0.06 0.00 0.15 0.00 0.01 0.07 0.02 0.01 0.06 0.07 0.00 0.00 0.02 0.00 0.02 0.00 0.33 0.00 0.52 0.13 0.16 0.00 0.00 0.00 0.01 0.02 0.05 0.06
Merrill Lynch Investment Solutions
45
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at September 30, 2016 (cont.) (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 (cont.) Shares (cont.) 284 133 110 118 72 715 1 429 241 799 129 2 903 611 37 348 303 806 100 929 15 756 212 279 115 269 8 508 255 765 17 553 29 398 1 208 294 801 2 100 178 572 52 580 2 669 103 740 62 634 7 131 5 646 8 797 27 814 5 697 4 262 11 880 23 781 353 5 183 797 30 793 15 896 6 533 98 760 100 184 24 415 7 026 40 862
Service Corp. International ServiceMaster Global Hldg., Inc. Sherwin-Williams Co. Shutterfly, Inc. Signet Jewelers Ltd. SINA Corp Sinclair Broadcast Group, Inc. - A Skyworks Solutions, Inc. SM Energy Co. Snam SpA Sonic Corp. Southern Copper Corp. Southwest Airlines Co. Spirit AeroSystems Hldg., Inc. - A SS&C Technologies Hldg., Inc. St Jude Medical, Inc. Stanley Black & Decker, Inc. Starbucks Corp. STERIS Plc. Summit Materials, Inc. - A SunEdison Semiconductor Ltd. Superior Energy Services, Inc. Surge Energy, Inc. Synergy Resources Corp. Syngenta AG - ADR T-Mobile US, Inc. Tabula Rasa HealthCare, Inc. Take-Two Interactive Software, Inc. Taser International, Inc. Tech Data Corp. Teck Resources Ltd. - B (traded in Canada) Teck Resources Ltd. - B (traded in United States) Tegna, Inc. Telecom Italia SpA Telecom Italia SpA - Rsp Tenaris S.A. - ADR Tenet Healthcare Corp. Terex Corp. Tesoro Corp. Tessera Technologies, Inc. TETRA Technologies, Inc. Teva Pharmaceutical Industries Ltd. - ADR Texas Roadhouse, Inc.
USD USD USD USD USD USD USD USD USD EUR USD USD USD USD USD USD USD USD USD USD USD USD CAD USD USD USD USD USD USD USD CAD USD USD EUR EUR USD USD USD USD USD USD USD USD
7 688 792 3 736 727 20 473 913 63 768 20 899 025 9 984 83 507 46 182 1 287 170 1 682 507 2 791 293 407 863 8 108 641 5 345 381 275 686 20 037 828 2 134 205 1 625 861 86 804 5 782 440 23 963 2 752 554 108 686 18 484 8 234 462 2 873 755 106 109 255 252 231 070 2 372 961 104 694 78 016 253 091 19 062 059 3 512 088 806 475 356 021 163 387 7 870 870 3 004 274 146 687 324 873 1 727 692
7 540 890 3 708 774 20 117 332 63 791 18 021 279 9 524 83 839 46 522 1 440 886 1 685 235 2 642 321 414 383 8 255 530 5 134 081 273 532 20 399 816 2 158 668 1 591 608 88 305 5 468 559 23 919 3 196 439 108 421 18 496 9 087 624 2 926 260 102 116 254 522 251 682 2 356 124 102 518 76 844 259 697 19 750 134 3 518 633 874 521 360 203 166 004 7 857 346 3 851 073 149 176 323 266 1 594 844
0.24 0.12 0.64 0.00 0.57 0.00 0.00 0.00 0.05 0.05 0.08 0.01 0.26 0.16 0.01 0.65 0.07 0.05 0.00 0.17 0.00 0.10 0.00 0.00 0.29 0.09 0.00 0.01 0.01 0.07 0.00 0.00 0.01 0.63 0.11 0.03 0.01 0.01 0.25 0.12 0.00 0.01 0.05
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
46
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at September 30, 2016 (cont.) (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 (cont.) Shares (cont.) 457 106 884 42 580 28 136 461 3 635 59 049 86 606 189 1 910 3 685 205 032 3 793 245 5 311 497 33 422 966 345 7 989 2 247 1 474 153 063 17 192 908 1 373 23 705 7 805 63 680 23 075 3 574 2 570 208 692 22 133 291 7 114 146 154 174 734 70 848 28 134 12 453 157
TJX Cos, Inc. TopBuild Corp. Total System Services, Inc. Tourmaline Oil Corp. Tower Semiconductor Ltd. Tractor Supply Co. Transocean Ltd. TransUnion Travelers Cos, Inc. Tribune Media Co. - A Tricon Capital Group, Inc. Trinseo S.A. Tronox Ltd. - A TrueBlue, Inc. TrueCar, Inc. Twenty-First Century Fox, Inc. - A Twenty-First Century Fox, Inc. - B Ulta Salon Cosmetics & Fragrance, Inc. Ultimate Software Group, Inc. Ultratech, Inc. Unit Corp. United Continental Hldg., Inc. Universal Health Services, Inc. - B Universal Insurance Hldg., Inc. US Concrete, Inc. Vail Resorts, Inc. Valero Energy Corp. Valspar Corp. Valvoline, Inc. VCA, Inc. Veresen, Inc. Verisk Analytics, Inc. Viacom, Inc. - B VimpelCom Ltd. - ADR Vista Outdoor, Inc. Visteon Corp. Vonage Hldg. Corp. Voya Financial, Inc. Vulcan Materials Co. VWR Corp. WABCO Hldg., Inc. Wabtec Corp. Waste Connections, Inc. (traded in Canada)
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
USD USD USD CAD 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 CAD USD USD USD USD USD USD USD USD USD USD USD CAD
34 355 3 787 586 2 107 257 749 1 903 202 247 439 584 245 2 743 808 21 584 67 967 26 633 9 523 224 21 044 5 376 45 322 12 000 831 517 224 975 71 921 194 133 40 921 78 614 19 114 029 345 008 42 475 216 014 1 299 409 828 425 1 506 212 1 567 847 21 46 824 93 967 730 422 872 504 20 847 45 335 4 214 210 20 048 356 1 955 300 2 876 650 973 708 11 664
34 174 3 548 549 2 007 647 757 2 071 478 244 817 629 462 2 987 907 21 650 69 753 25 964 11 596 610 35 540 5 552 50 136 12 037 826 860 229 889 70 515 184 386 41 794 77 341 18 860 423 433 238 41 827 215 396 1 256 365 827 876 1 495 843 1 614 789 31 46 655 97 917 726 248 882 221 20 853 47 024 4 212 158 19 872 498 2 009 249 3 194 053 1 016 787 11 689
0.00 0.11 0.06 0.00 0.07 0.01 0.02 0.09 0.00 0.00 0.00 0.37 0.00 0.00 0.00 0.00 0.03 0.01 0.00 0.01 0.00 0.00 0.60 0.01 0.00 0.01 0.04 0.03 0.05 0.05 0.00 0.00 0.00 0.02 0.03 0.00 0.00 0.13 0.63 0.06 0.10 0.03 0.00
47
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at September 30, 2016 (cont.) (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 (cont.) Shares (cont.) 1 773 17 257 204 867 12 174 1 95 857 1 468 152 102 1 122 35 829 363 75 067 104 096 99 555 57 048 119 611 17 466 1 589 14 433 2 272 398 601
Waste Connections, Inc. (traded in United States) Waste Management, Inc. Weatherford International Plc. WebMD Health Corp. WestJet Airlines Ltd. Westlake Chemical Corp. Whirlpool Corp. Whiting Petroleum Corp. Winpak Ltd. WisdomTree Investments, Inc. Wix.com Ltd. World Wrestling Entertainment, Inc. - A WPX Energy, Inc. Wright Medical Group NV Wyndham Worldwide Corp. Xactly Corp. Yahoo!, Inc. Yirendai Ltd. - ADR Yum! Brands, Inc. Zimmer Biomet Hldg., Inc. Zoetis, Inc. Total Shares
USD USD USD USD CAD USD USD USD CAD USD USD USD USD USD USD USD USD USD USD USD USD
130 016 1 096 682 1 245 418 644 107 19 4 892 654 238 517 1 441 303 37 329 367 926 15 824 1 530 097 962 785 1 871 184 3 951 821 1 663 920 751 159 40 273 1 303 560 294 056 18 871 935 1 526 364 908
132 443 1 100 306 1 151 353 605 048 17 5 128 350 238 051 1 329 371 37 419 368 680 15 765 1 598 927 1 373 026 2 442 084 3 841 042 1 760 674 752 785 37 628 1 310 661 295 405 20 731 238 1 567 990 412
0.00 0.04 0.04 0.02 0.00 0.16 0.01 0.04 0.00 0.01 0.00 0.05 0.04 0.08 0.12 0.06 0.02 0.00 0.04 0.01 0.66 49.72
USD
89 126 000 89 126 000
93 853 419 93 853 419
2.98 2.98
USD GBP
66 654 0 66 654 1 615 557 562
66 654 0 66 654 1 661 910 485
0.00 0.00 0.00 52.70
Other transferable securities Investment funds 839 589
Marshall Wace UCITS Funds Plc. – MW Liquid Alpha Fund – C2 (a) Total Investment funds
Shares 26 450 158
Contra Leap Wireless (a) Kenmare Resources (a) Total Shares Total Investments
(a) These securities are fair valued. See Notes 2.2.6 and 9.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
48
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD) Industrial classification of investments (as a percentage of net assets as at September 30, 2016) (cont.) % Retail 4.61 Commercial Services 3.46 Chemicals 3.08 Oil & Gas 3.08 Equity Fund 2.97 Pharmaceuticals 2.53 Healthcare-Products 2.28 Telecommunications 2.22 Software 2.07 Semiconductors 1.83 Internet 1.70 Computers 1.51 Beverages 1.50 Electronics 1.43 Building Materials 1.24 Healthcare-Services 1.23 Biotechnology 1.19 Diversified Financial Services 1.10 Media 1.00 Insurance 0.98 Lodging 0.93 Airlines 0.93 REITS 0.88 Auto Parts & Equipment 0.76 Cosmetics/Personal Care 0.75 Electric 0.64 Food 0.62 Distribution/Wholesale 0.60 Banks 0.56 Advertising 0.51 Mining 0.48
Industrial classification of investments (as a percentage of net assets as at September 30, 2016) (cont.) % Oil & Gas Services 0.47 Transportation 0.41 Miscellaneous Manufacturing 0.40 Engineering & Construction 0.30 Housewares 0.28 Aerospace/Defense 0.17 Apparel 0.17 Auto Manufacturers 0.16 Leisure Time 0.16 Packaging & Containers 0.16 Electrical Components & Equipment 0.13 Entertainment 0.13 Machinery-Diversified 0.13 Real Estate 0.12 Coal 0.11 Metal Fabricate/Hardware 0.10 Hand/Machine Tools 0.09 Household Products/Wares 0.09 Textiles 0.06 Home Builders 0.06 Energy-Alternate Sources 0.05 Investment Companies 0.05 Machinery-Construction & Mining 0.05 Gas 0.05 Environmental Control 0.04 Toys/Games/Hobbies 0.03 Office Furnishings 0.03 Agriculture 0.01 Forest Products & Paper 0.01 Home Furnishings 0.01 52.70
Geographical classification of investments (as a percentage of net assets as at September 30, 2016) (cont.) % United States 42.36 Ireland 3.78 Italy 3.02 Canada 1.07 Bermuda 0.54 Mexico 0.35 Switzerland 0.35 United Kingdom 0.28 China 0.17 Netherlands 0.15 Japan 0.13 Israel 0.13 Brazil 0.08
Geographical classification of investments (as a percentage of net assets as at September 30, 2016) (cont.) % Norway 0.08 Russia 0.07 Denmark 0.03 Luxembourg 0.03 Singapore 0.02 Belgium 0.02 Germany 0.02 Australia 0.01 Peru 0.01 Chile 0.00 Thailand 0.00 52.70
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Merrill Lynch Investment Solutions
49
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Underlying Currency nature contract Futures contracts Index EUR Index EUR Index EUR Index EUR Index GBP Index USD Index Index
EUR HKD
Index
HKD
Index
SGD
Index
USD
Index
JPY
Index
SEK
Index Index
USD USD
Index
USD
Index Index
CAD AUD
Details
Market
Amsterdam Index CAC 40 10 Euro Index DAX Index Euro Stoxx 50 Index FTSE 100 Index FTSE China Index
NYSE Liffe Amsterdam Euronext Paris Eurex Deutschland Eurex Deutschland ICE Futures Europe Singapore Exchange (was SIMEX) FTSE MIB Index Borsa Italiana H-Shares Index Hong Kong Futures Exchange Hang Seng Index Hong Kong Futures Exchange MSCI Singapore Index Singapore Exchange (was SIMEX) Nasdaq 100 E-Mini Index 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 TSX 60 Index Montreal Exchange SPI 200 Index Australian Stock Exchange
Number of Number of Maturity contracts contracts date bought sold 21/10/2016 21/10/2016 16/12/2016 16/12/2016 16/12/2016
– – – – –
2 76 1 365 5
203 228 3 795 140 295 349 12 280 999 445 395
(3 933) (29 844) (2 386) 59 385 (6 354)
28/10/2016 16/12/2016
– –
114 10
1 090 695 919 100
2 132 (4 371)
28/10/2016
–
42
2 599 295
28 836
28/10/2016
123
–
18 485 801
(142 471)
28/10/2016
276
–
6 379 508
30 293
16/12/2016
8
–
779 240
954
08/12/2016
49
–
3 960 549
(30 440)
21/10/2016 16/12/2016
– –
134 65
2 249 912 8 113 950
(19 509) (88 988)
16/12/2016
–
229
24 736 580
(184 351)
16/12/2016 15/12/2016
– –
6 2
929 760 260 285
(4 879) (495)
15/12/2016
–
36
3 730 136 91 254 922
(56 381) (452 802)
Total Futures contracts
Purchase Sale Forward foreign exchange contracts (cont.) EUR 2 134 200 000 USD GBP 192 797 000 USD USD 10 187 612 EUR USD 129 578 GBP CAD 6 000 000 USD JPY 1 100 000 000 USD KRW 10 000 000 000 USD TWD 800 000 000 USD USD 41 636 691 CAD USD 27 541 745 CNH
2 380 326 615 252 719 378 9 100 000 100 000 4 606 683 10 853 298 9 022 484 25 465 012 55 000 000 185 000 000
Unrealised appreciation/ Commitment (depreciation) USD USD
Maturity date
Counterparty
Unrealised appreciation/ (depreciation) USD
04/10/2016 04/10/2016 04/10/2016 04/10/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016
State Street Bank London State Street Bank London State Street Bank London State Street Bank London State Street Bank London State Street Bank London Morgan Stanley Co., Inc. Morgan Stanley Co., Inc. State Street Bank London Morgan Stanley Co., Inc.
18 087 479 (2 276 094) (38 970) (322) (38 700) 46 817 53 361 112 017 (236 486) (53 727)
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
50
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Purchase Sale Forward foreign exchange contracts (cont.) USD 121 012 920 EUR USD 9 145 990 GBP USD 16 136 352 INR USD 7 948 451 JPY USD 9 624 148 MXN KRW 22 000 000 000 USD USD 69 298 494 CNH USD 75 919 651 KRW Total forward foreign exchange contracts
108 000 000 7 000 000 1 100 000 000 800 000 000 190 000 000 19 821 761 465 000 000 84 000 000 000
Maturity date
Counterparty
21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 15/03/2017 15/03/2017 15/03/2017
State Street Bank London State Street Bank London Morgan Stanley Co., Inc. State Street Bank London State Street Bank London Morgan Stanley Co., Inc. Morgan Stanley Co., Inc. Morgan Stanley Co., Inc.
Unrealised appreciation/ (depreciation) USD (810 210) 38 017 (169 808) 21 095 (108 900) 148 828 230 141 (331 688) 14 672 850
The maximum individual counterparty exposure for OTC Derivatives as at September 30, 2016 is 1.81% of the NAV. 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 eight counterparties (Credit Suisse Securities (Europe) Limited, Deutsche Bank AG, Goldman Sachs International, JPMorgan Chase Bank NA, Merrill Lynch International Bank Ltd, Morgan Stanley International Plc., Morgan Stanley Capital Services Inc. and UBS AG.) with the following details: 1) Credit Suisse Securities (Europe) Limited Commitment of USD 174 858 641 for the short portfolio composed of 37 equities Commitment of USD 234 551 068 for the long portfolio composed of 50 equities Market value of USD 8 699 787 detailed as follows: – unrealised depreciation of short portfolio: USD (3 077 666) – unrealised appreciation of long portfolio: USD 8 526 446 – realised result: USD 3 251 007 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:
Industrial sector Advertising Aerospace/Defense Airlines Apparel Auto Manufacturers Auto Parts&Equipment Banks Banks Beverages Building Materials
Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity
Long/Short Short Long Short Long Long Long Long Short Short Long
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Commitment USD 10 755 836 2 505 876 5 666 734 11 340 752 310 481 11 032 335 46 142 607 50 660 787 10 319 431 2 136 881
Unrealised appreciation/ (depreciation) USD (65 880) 7 325 (4 128) 10 330 5 054 1 428 363 1 554 432 (1 877 785) (44 121) 83 428
Merrill Lynch Investment Solutions
51
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Industrial sector Building Materials Chemicals Commercial Services Commercial Services Computers Cosmetics/Personal Care Distribution/Wholesale Distribution/Wholesale Diversified Financial Services Diversified Financial Services Electrical Compo&Equip Electric Electric Electronics Engineering&Construction Entertainment Food Food Gas Home Builders Home Builders Insurance Insurance Investment Companies Iron/Steel Lodging Lodging Machinery-Diversified Machinery-Diversified Media Media Mining Oil&Gas Services Oil&Gas Oil&Gas Pharmaceuticals Pharmaceuticals REITS Retail Retail Software Telecommunications Transportation Transportation Water Total
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
Long/Short Short Long Long Short Long Short Long Short Long Short Long Long Short Short Long Long Long Short Short Long Short Long Short Short Long Long Short Long Short Long Short Long Long Long Short Long Short Short Long Short Long Long Long Short Long
Commitment USD 295 164 4 170 384 7 397 760 2 603 271 673 761 1 738 898 2 136 368 178 030 4 960 658 566 741 7 974 874 25 188 766 5 389 057 12 546 7 149 007 1 586 023 12 702 221 13 641 621 400 752 3 180 3 180 33 561 823 6 673 286 570 270 1 788 790 102 021 571 003 981 832 5 323 806 132 753 1 883 163 10 455 051 1 661 902 1 630 842 26 117 808 3 388 579 17 905 398 7 394 168 5 074 390 6 133 910 7 054 613 20 658 942 53 781 53 781 593 815 409 409 709
Unrealised appreciation/ (depreciation) USD 635 107 624 6 578 221 801 8 043 (9 621) 42 912 (8 161) (101 485) (9 332) (118 243) 615 348 253 807 490 319 168 (423) (215 445) (1 470 237) 2 618 62 5 2 677 040 29 843 (14 852) 139 250 1 069 3 067 21 326 105 633 1 040 (66 215) 1 260 185 133 523 25 531 20 096 92 524 (162 663) 55 099 (164 525) (37 664) 190 142 388 793 747 (101) 6 730 5 448 780
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
52
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD) 2) Deutsche Bank AG Commitment of USD 1 511 891 604 for the short portfolio composed of 631 equities and 1 derivative Commitment of USD 1 547 564 282 for the long portfolio composed of 793 equities Market value of USD (3 830 311) detailed as follows: – unrealised depreciation of short portfolio: USD (14 929 309) – unrealised appreciation of long portfolio: USD 15 997 829 – realised result: USD (4 898 831) 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:
Industrial sector Swap Index - Diversified Advertising Aerospace/Defense Aerospace/Defense Agriculture Agriculture Airlines Airlines Apparel Apparel Auto Manufacturers Auto Manufacturers Auto Parts&Equipment Auto Parts&Equipment Banks Banks Beverages Beverages Biotechnology Biotechnology Building Materials Building Materials Chemicals Chemicals Coal Commercial Services Commercial Services Computers Computers Cosmetics/Personal Care Cosmetics/Personal Care Distribution/Wholesale Distribution/Wholesale
Underlying nature Derivatives Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity
Long/Short Short Long Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Long Short Long Short Long Short Long Short
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Commitment USD 98 474 2 122 451 4 152 840 6 739 743 22 519 064 2 638 591 882 145 15 404 154 2 469 014 3 496 936 55 242 879 57 650 423 31 884 895 34 209 016 139 609 821 142 177 243 62 821 729 3 780 730 2 742 510 19 114 675 50 207 627 9 531 154 119 172 364 14 778 681 6 393 776 31 594 517 11 321 238 14 983 844 40 430 309 61 934 502 6 639 861 20 189 242 34 010 064
Unrealised appreciation/ (depreciation) USD 902 (112 980) 292 670 (23 223) 777 095 94 383 (13 488) 475 174 (17 006) 93 621 215 425 809 398 (472 491) (535 902) (4 813 799) (1 416 025) 1 147 356 (85 577) 211 824 573 368 1 455 379 227 064 3 092 207 123 123 265 387 (354 562) 303 226 622 611 (2 597 745) 2 868 945 (48 257) 1 441 381 (903 146)
Merrill Lynch Investment Solutions
53
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Industrial sector Diversified Financial Services Diversified Financial Services Electrical Compo&Equip Electrical Compo&Equip Electric Electric Electronics Electronics Energy-Alternate Sources Energy-Alternate Sources Engineering&Construction Engineering&Construction Entertainment Entertainment Environmental Control Environmental Control Food Service Food Food Forest Products&Paper Forest Products&Paper Gas Gas Hand/Machine Tools Hand/Machine Tools Healthcare-Products Healthcare-Products Healthcare-Services Healthcare-Services Holding Companies-Divers Holding Companies-Divers Home Builders Home Builders Home Furnishings Home Furnishings Household Products/Wares Insurance Insurance Internet Internet Investment Companies Investment Companies Iron/Steel Iron/Steel Leisure Time
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
Long/Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Long Short Long Short Long Short Long Short Long
Commitment USD 76 353 461 44 375 462 15 946 700 20 471 016 1 505 882 19 032 651 33 249 942 59 188 279 2 399 603 2 807 552 50 131 975 26 557 865 11 226 986 6 102 515 200 835 3 566 738 444 56 145 710 63 307 518 6 574 574 781 897 83 742 30 808 765 9 186 794 10 703 170 18 061 467 10 318 103 2 766 208 6 453 384 17 677 880 41 839 320 16 270 402 214 818 7 151 620 53 283 880 569 049 43 028 006 25 046 878 64 736 321 24 797 625 2 272 754 147 875 27 885 188 29 647 274 1 328 014
Unrealised appreciation/ (depreciation) USD 3 104 487 19 712 937 911 827 785 (124 824) (62 811) 801 286 (730 113) (91 857) 286 343 (131 831) (2 108 822) 810 755 532 (1 018) 8 52 595 1 136 816 (2 077 075) (46 096) (5 969) (4 942) (726 762) 91 296 (294 297) 65 721 (532 799) 240 648 173 245 768 790 (667 414) (547 943) (510) 54 084 (130 240) 2 423 (1 235 856) 294 356 1 736 830 351 893 (75 606) 5 503 (244 191) (104 956) (32 439)
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
54
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Industrial sector Leisure Time Lodging Lodging Machinery-Constr&Mining Machinery-Constr&Mining Machinery-Diversified Machinery-Diversified Media Media Metal Fabricate/Hardware Metal Fabricate/Hardware Mining Mining Miscellaneous Manufactur Miscellaneous Manufactur Office/Business Equip Office/Business Equip Oil&Gas Oil&Gas Packaging&Containers Packaging&Containers Pharmaceuticals Pharmaceuticals Pipelines Private Equity Real Estate Real Estate REITS REITS Retail Retail Semiconductors Semiconductors Shipbuilding Software Software Telecommunications Telecommunications Textiles Toys/Games/Hobbies Toys/Games/Hobbies Transportation Transportation Water Total
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
Long/Short Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Short Long Long Short Long Short Long Short Long Short Short Long Short Long Short Long Long Short Long Short Long
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Commitment USD 36 222 182 10 606 430 41 124 631 1 336 166 27 509 247 14 165 295 29 226 490 8 604 479 17 228 942 1 420 009 4 860 643 35 780 929 59 031 375 34 784 080 5 039 404 947 968 14 366 136 30 449 009 26 186 254 4 857 593 2 638 968 52 941 616 13 914 193 123 318 69 679 64 235 861 33 609 485 3 757 506 40 732 330 28 343 558 82 936 967 40 269 164 36 981 738 4 927 588 25 424 892 17 489 927 55 315 882 110 496 252 1 733 660 4 202 701 5 466 32 981 091 28 590 922 1 660 378 3 059 455 886
Unrealised appreciation/ (depreciation) USD (2 138 319) 28 362 (2 573 896) (13 403) (160 537) (363 834) 808 630 332 093 (745 439) 32 078 (72 538) 958 176 (1 773 039) 1 636 869 94 047 (77 264) 17 736 502 515 (549 563) 200 197 96 016 772 556 (611 259) (33) (1 199) (1 401 653) (338 288) 106 554 868 012 (366 939) 2 759 500 601 551 (1 060 184) 157 937 883 905 (2 914 373) (736 088) 1 873 875 142 458 (57 862) 146 (949 994) (328 325) (51 649) 1 068 521
Merrill Lynch Investment Solutions
55
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD) 3) Goldman Sachs International Commitment of USD 1 398 282 370 for the short portfolio composed of 468 equities Commitment of USD 730 563 for the long portfolio composed of 4 equities Market value of USD (48 229 916) detailed as follows: – unrealised depreciation of short portfolio: USD (34 829 184) – realised result: USD (13 400 732) 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:
Industrial sector Aerospace/Defense Airlines Apparel Auto Manufacturers Auto Parts&Equipment Banks Beverages Biotechnology Building Materials Chemicals Commercial Services Commercial Services Computers Cosmetics/Personal Care Distribution/Wholesale Diversified Financial Services Electrical Compo&Equip Electric Electric Electronics Energy-Alternate Sources Engineering&Construction Entertainment Environmental Control Food Forest Products&Paper Gas Healthcare-Products Healthcare-Products Healthcare-Services Home Builders Home Furnishings Household Products/Wares Housewares
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
Long/Short Short Short Short Short Short Short Short Short Short Short Long Short Short Short Short Short Short Long Short Short Short Short Short Short Short Short Short Long Short Short Short Short Short Short
Commitment USD 7 436 432 10 974 934 40 955 934 5 644 457 3 088 958 72 963 525 1 171 747 44 569 729 3 774 882 20 356 045 277 411 15 714 015 52 246 287 4 925 660 4 369 554 48 666 850 8 033 174 260 960 64 898 493 12 538 688 10 036 699 3 215 170 2 100 848 2 037 640 33 355 234 817 752 1 323 853 57 832 6 153 991 13 853 651 9 147 582 1 931 872 43 877 271 877
Unrealised appreciation/ (depreciation) USD 107 778 (171 980) 1 152 264 (1 678 398) (450 004) (1 779 612) (23 498) (3 518 788) (16 961) 633 350 – (947 698) (1 961 892) (99 070) 193 140 (1 455 603) (168 251) – 1 532 137 (1 256 480) (155 112) (4 991) 56 144 (21 785) 834 682 (23 130) 61 039 – (172 459) 45 151 (90 568) 39 853 3 074 (1 201)
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
56
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Industrial sector Insurance Internet Iron/Steel Leisure Time Lodging Machinery-Constr&Mining Machinery-Diversified Media Metal Fabricate/Hardware Mining Miscellaneous Manufactur Miscellaneous Manufactur Oil&Gas Services Oil&Gas Packaging&Containers Pharmaceuticals Pipelines Private Equity Real Estate REITS Retail Savings&Loans Semiconductors Software Telecommunications Textiles Total
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
Long/Short Short Short Short Short Short Short Short Short Short Short Long Short Short Short Short Short Short Short Short Short Short Short Short Short Short Short
Commitment USD 20 327 312 81 768 491 14 138 505 25 816 887 58 261 439 284 984 41 120 558 13 509 181 147 085 20 123 135 134 360 6 319 848 8 874 287 77 155 077 1 776 934 68 901 651 3 401 467 564 787 81 899 95 096 939 144 269 668 2 292 524 29 216 740 71 402 989 67 174 361 10 813 1 399 012 933
Unrealised appreciation/ (depreciation) USD (309 078) (3 734 762) (1 377 088) 291 050 (3 103 447) (9 749) (3 169 735) (130 858) 424 (144 408) – (47 036) (699 856) (3 059 303) (30 395) (297 830) (47 328) (54 000) 957 1 335 844 2 902 735 (10 977) (3 824 077) (5 279 018) (3 731 905) (54) (34 829 186)
4) JPMorgan Chase Bank NA Commitment of USD 915 882 232 for the short portfolio composed of 300 equities Commitment of USD 792 960 544 for the long portfolio composed of 367 equities Market value of USD 16 360 369 detailed as follows: – unrealised depreciation of short portfolio: USD (13 605 004) – unrealised appreciation of long portfolio: USD 25 176 864 – realised result: USD 4 788 509 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. Unaudited semi-annual report
Merrill Lynch Investment Solutions
57
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD) The below table is composed of long and short positions:
Industrial sector Advertising Advertising Aerospace/Defense Agriculture Airlines Airlines Apparel Apparel Auto Manufacturers Auto Manufacturers Auto Parts&Equipment Auto Parts&Equipment Banks Banks Beverages Beverages Biotechnology Biotechnology Building Materials Building Materials Chemicals Chemicals Commercial Services Commercial Services Computers Computers Cosmetics/Personal Care Distribution/Wholesale Diversified Financial Services Diversified Financial Services Electrical Compo&Equip Electrical Compo&Equip Electric Electric Electronics Electronics Energy-Alternate Sources Engineering&Construction Engineering&Construction Entertainment Entertainment Food Service Food
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
Long/Short Long Short Short Long Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Long Long Short Long Short Long Short Long Short Long Long Short Long Short Short Long
Commitment USD 879 108 8 679 394 30 211 061 32 676 764 2 508 138 28 236 483 37 528 27 748 932 169 337 49 430 690 25 552 729 4 897 525 75 805 870 135 673 011 26 588 787 15 104 743 1 550 052 1 145 453 3 501 601 5 004 866 78 965 412 37 153 577 41 577 903 12 146 484 1 798 431 8 641 729 10 441 977 896 526 8 323 638 2 481 332 11 266 098 1 163 325 14 223 526 24 193 981 5 491 059 2 390 818 16 709 229 9 333 090 8 230 367 4 269 442 4 432 015 13 230 782 8 486 905
Unrealised appreciation/ (depreciation) USD (10 729) (135 587) (20 089) 1 033 483 (85 678) 1 744 120 1 964 (5 219 666) 14 869 (132 661) 162 215 (50 219) 2 107 965 1 310 671 58 550 (570 948) 75 753 (20 124) 25 836 (443 354) 3 930 563 (2 107 129) 342 642 (209 084) 45 444 135 351 (71 891) (55 822) 248 388 9 676 1 831 666 16 719 510 480 (449 176) 129 814 (2 648) 2 836 864 361 442 (683 658) 74 065 (29 951) (302 124) 121 659
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
58
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Industrial sector Food Forest Products&Paper Forest Products&Paper Fund - Equity Gas Gas Hand/Machine Tools Hand/Machine Tools Healthcare-Products Healthcare-Products Healthcare-Services Healthcare-Services Holding Companies-Divers Home Builders Home Builders Home Furnishings Household Products/Wares Insurance Insurance Internet Internet Investment Companies Investment Companies Iron/Steel Iron/Steel Leisure Time Leisure Time Lodging Lodging Machinery-Constr&Mining Machinery-Constr&Mining Machinery-Diversified Machinery-Diversified Media Media Metal Fabricate/Hardware Metal Fabricate/Hardware Mining Mining Miscellaneous Manufactur Miscellaneous Manufactur Oil&Gas Services Oil&Gas Services Oil&Gas Oil&Gas
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
Long/Short Short Long Short Short Long Short Long Short Long Short Long Short Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Commitment USD 78 280 627 17 547 954 79 899 58 891 18 514 497 7 038 196 5 149 141 344 850 14 446 362 3 383 355 30 623 132 3 566 002 894 741 10 968 392 1 076 536 13 798 112 4 243 541 21 872 626 15 493 970 9 119 991 17 660 205 373 254 942 289 10 264 358 1 349 169 11 691 172 576 615 978 736 10 266 630 2 032 240 1 166 331 9 315 125 8 240 323 34 830 935 8 860 538 6 726 087 4 306 998 25 879 650 16 074 919 11 616 758 1 143 140 17 446 879 6 615 689 3 984 809 32 639 695
Unrealised appreciation/ (depreciation) USD (2 062 051) 1 198 030 3 019 (7 718) 259 628 (11 319) 105 527 18 117 185 583 (38 770) 210 770 3 460 27 669 1 191 310 1 618 (40 008) (37 583) 196 119 (291 032) 245 867 500 053 3 198 13 806 371 212 (66 984) 652 707 (36 131) 41 986 (138 329) 16 285 (40 723) 454 944 46 305 598 398 (1 035 965) 457 047 (139 583) 3 344 165 (877 956) 659 802 (10 576) 1 169 405 (151 967) 64 879 (1 025 311)
Merrill Lynch Investment Solutions
59
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Industrial sector Packaging&Containers Packaging&Containers Pharmaceuticals Pharmaceuticals Pipelines Private Equity Real Estate Real Estate REITS REITS Retail Retail Semiconductors Semiconductors Software Software Telecommunications Telecommunications Transportation Transportation Water Total
Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity
Long/Short Long Short Long Short Long Long Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long
Commitment USD 2 919 575 64 597 34 102 793 61 119 461 2 459 337 5 201 467 3 315 492 13 508 020 2 399 116 14 903 490 41 251 974 69 605 163 4 847 016 14 921 068 5 398 550 26 936 626 21 881 740 61 624 101 9 887 758 8 699 990 1 062 364 1 708 842 775
Unrealised appreciation/ (depreciation) USD 73 702 (228) (1 012 171) 1 442 085 45 074 711 582 (38 829) 385 810 65 321 (177 455) (204 563) 154 468 519 005 (1 692 335) 261 063 (1 108 438) (579 434) (131 314) 216 031 40 234 43 687 11 571 859
5) Merrill Lynch International Bank Ltd Commitment of USD 105 442 698 for the short portfolio composed of 41 equities Commitment of USD 135 318 438 for the long portfolio composed of 44 equities Market value of USD 4 453 081 detailed as follows: – unrealised appreciation of short portfolio: USD 1 165 334 – unrealised appreciation of long portfolio: USD 2 948 263 – realised result: USD 339 484 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:
Industrial sector Advertising Aerospace/Defense Airlines Apparel Auto Manufacturers Auto Parts&Equipment
Underlying nature Equity Equity Equity Equity Equity Equity
Long/Short Short Short Short Short Long Long
Commitment USD 1 566 994 10 068 692 2 041 751 573 599 246 009 15 220 503
Unrealised appreciation/ (depreciation) USD 71 303 (403 491) 1 118 172 (10 392) 1 984 330 499
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
60
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Industrial sector Beverages Biotechnology Building Materials Building Materials Chemicals Chemicals Commercial Services Commercial Services Computers Computers Cosmetics/Personal Care Cosmetics/Personal Care Distribution/Wholesale Diversified Financial Services Diversified Financial Services Electrical Compo&Equip Engineering&Construction Engineering&Construction Entertainment Food Service Food Food Healthcare-Products Healthcare-Services Healthcare-Services Holding Companies-Divers Home Builders Home Furnishings Household Products/Wares Insurance Internet Machinery-Constr&Mining Media Media Metal Fabricate/Hardware Oil&Gas Pharmaceuticals Pharmaceuticals Real Estate REITS REITS Retail Semiconductors Software Telecommunications
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
Long/Short Long Short Long Short Long Short Long Short Long Short Long Short Long Long Short Long Long Short Long Long Long Short Long Long Short Short Long Long Long Long Long Short Long Short Short Long Long Short Short Long Short Long Short Long Short
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Commitment USD 95 022 95 788 8 600 329 1 118 464 62 728 145 645 1 007 570 2 895 766 14 731 241 7 289 173 21 244 908 14 665 752 956 796 429 885 3 344 1 772 222 252 971 3 408 423 219 595 858 995 364 727 6 486 589 16 486 161 893 822 279 936 1 007 598 184 866 360 354 627 005 20 318 029 844 853 3 962 415 1 192 549 395 753 1 027 011 11 041 926 414 686 25 350 551 4 658 696 1 300 325 8 799 465 173 533 2 147 257 1 285 004 6 795 377
Unrealised appreciation/ (depreciation) USD (562) 13 812 465 154 (10 014) (706) (13 858) (16 359) (329 018) 729 897 925 388 (388 136) 32 105 (16 570) 70 918 (6) 237 579 2 524 (39 652) 1 599 11 933 3 003 724 670 308 999 69 208 (1 911) (21 740) 23 266 39 564 48 972 218 423 58 833 (125 150) 97 988 (103) (17 732) 107 807 11 999 (600 537) 15 549 40 778 187 326 (4 956) (104 660) (28 043) (259 833)
Merrill Lynch Investment Solutions
61
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Industrial sector Transportation Water Total
Underlying nature Equity Equity
Long/Short Short Long
Commitment USD 658 659 14 131 824 240 761 136
Unrealised appreciation/ (depreciation) USD 15 105 522 668 4 113 596
6) Morgan Stanley International Plc. Commitment of USD 193 170 626 for the short portfolio composed of 135 equities and 1 derivative Commitment of USD 120 136 931 for the long portfolio composed of 141 equities Market value of USD 7 967 288 detailed as follows: – unrealised appreciation of short portfolio: USD 2 857 938 – unrealised appreciation of long portfolio: USD 2 298 857 – realised result: USD 2 810 493 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:
Industrial sector Auto Parts&Equipment Auto Parts&Equipment Banks Banks Commercial Services Diversified Financial Services Diversified Financial Services Electric Engineering&Construction Engineering&Construction Food Food Healthcare-Products Media Mining Miscellaneous Manufactur Miscellaneous Manufactur Textiles Swap Index - Diversified Advertising Aerospace/Defense Agriculture Airlines Airlines Apparel Auto Manufacturers
Underlying nature Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Derivatives Equity Equity Equity Equity Equity Equity Equity
Long/Short Long Short Long Short Short Long Short Long Long Short Long Short Short Long Long Long Short Long Short Long Short Long Long Short Short Long
Commitment USD 1 518 674 189 586 1 296 011 11 974 777 23 823 1 135 113 8 905 502 52 470 1 142 746 29 811 39 830 509 818 853 933 670 574 140 434 13 212 13 212 348 704 253 292 60 019 4 472 247 11 110 001 813 196 2 476 511 817 962 613 635
Unrealised appreciation/ (depreciation) USD 19 859 (2 082) (30 123) 64 222 448 (33 902) 161 092 (152) (43 039) (39) 58 20 672 30 093 8 102 1 211 (699) (35) (3 080) 172 1 696 (16 799) 615 247 9 305 307 165 26 511 18 046
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
62
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Industrial sector Auto Manufacturers Auto Parts&Equipment Banks Banks Banks Beverages Beverages Biotechnology Building Materials Chemicals Chemicals Coal Commercial Services Commercial Services Computers Computers Diversified Financial Services Diversified Financial Services Electrical Compo&Equip Electrical Compo&Equip Electric Electric Electronics Electronics Engineering&Construction Engineering&Construction Food Food Forest Products&Paper Forest Products&Paper Gas Gas Hand/Machine Tools Healthcare-Products Healthcare-Services Home Builders Home Furnishings Home Furnishings Household Products/Wares Insurance Insurance Iron/Steel Iron/Steel Leisure Time
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
Long/Short Short Long Long Long Short Long Short Short Short Long Short Long Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Short Short Long Short Long Short Long Long Short Long Short Long
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Commitment USD 4 033 510 23 79 613 3 659 618 36 861 741 390 594 5 246 236 3 107 755 172 476 9 131 969 4 084 203 496 477 1 015 882 2 749 087 2 425 353 3 831 936 6 769 775 14 291 371 252 702 3 878 522 8 631 131 1 078 859 195 472 1 954 722 2 302 811 1 082 049 2 852 051 3 299 519 6 495 116 899 1 109 744 648 925 1 239 113 534 488 235 847 48 623 3 118 355 2 404 190 1 161 770 2 184 727 219 629 1 196 316 16 987 547 1 679 151
Unrealised appreciation/ (depreciation) USD 130 964 5 324 197 772 430 704 16 475 167 645 64 847 4 246 (130 743) 226 643 10 055 9 899 47 768 (153 987) 13 736 16 238 271 341 (4 642) 190 079 51 269 (16 462) (1 372) 108 804 48 482 (20 997) (21 564) 25 923 (14) 5 742 46 551 7 762 (23 485) 9 803 (2 356) 1 506 261 480 42 549 (19 716) (29 228) 400 4 210 436 306 67 615
Merrill Lynch Investment Solutions
63
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Industrial sector Machinery-Diversified Machinery-Diversified Media Media Metal Fabricate/Hardware Mining Mining Miscellaneous Manufactur Miscellaneous Manufactur Oil&Gas Oil&Gas Pharmaceuticals Pharmaceuticals Pipelines Pipelines Real Estate Real Estate REITS Retail Retail Semiconductors Software Software Telecommunications Telecommunications Textiles Transportation Total
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
Long/Short Long Short Long Short Long Long Short Long Short Long Short Long Short Long Short Long Short Short Long Short Short Long Short Long Short Long Long
Commitment USD 8 869 699 1 094 651 3 310 796 5 932 851 62 719 90 043 5 133 598 6 272 332 3 827 793 20 632 101 6 280 261 6 709 617 1 395 147 3 452 144 1 917 247 1 404 542 1 204 702 3 454 201 105 978 10 088 985 1 459 051 1 300 258 269 009 15 417 12 721 255 17 310 43 479 313 307 555
Unrealised appreciation/ (depreciation) USD (114 078) 7 691 (42 405) 229 562 95 1 611 101 265 (242 421) 13 533 1 296 992 27 703 578 816 24 253 (1 510) 3 703 (34 065) 15 935 (7 019) (6 366) (191 332) (55 446) (67 048) (1 406) 38 (27 748) (807) 722 5 156 794
7) Morgan Stanley Capital Services Inc. Commitment of USD 6 159 833 for the short portfolio composed of 6 equities Commitment of USD 796 734 for the long portfolio composed of 4 equities Market value of USD (204 726) detailed as follows: – unrealised depreciation of short portfolio: USD (35 498) – unrealised appreciation of long portfolio: USD 13 704 – realised result: USD (182 932) 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. Unaudited semi-annual report
64
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD) The below table is composed of long and short positions:
Industrial sector Cosmetics/Personal Care Electric Entertainment Insurance Investment Companies Mining Oil&Gas Services Oil&Gas REITS Total
Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity
Long/Short Short Long Long Short Long Short Short Long Short
Commitment USD 4 389 134 40 806 141 506 7 983 476 746 149 634 80 108 137 676 1 532 974 6 956 567
Unrealised appreciation/ (depreciation) USD (18 202) 62 (419) 388 4 475 (8 697) 817 9 586 (9 804) (21 794)
8) UBS AG Commitment of USD 49 267 033 for the short portfolio composed of 17 equities Commitment of USD 41 081 536 for the long portfolio composed of 7 equities Market value of USD 5 161 572 detailed as follows: – unrealised depreciation of short portfolio: USD (1 214 318) – unrealised appreciation of long portfolio: USD 1 211 378 – realised result: USD 5 164 512 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:
Industrial sector Agriculture Airlines Auto Manufacturers Banks Beverages Beverages Electric Food Holding Companies-Divers Lodging Lodging Media Media Miscellaneous Manufactur Oil&Gas Services Oil&Gas Retail
Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity
Long/Short Short Short Long Short Long Short Short Short Short Long Short Long Short Long Long Short Long
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Commitment USD 708 903 1 573 477 122 858 28 812 306 29 386 542 11 341 439 340 600 121 995 40 326 1 129 166 233 557 17 575 3 973 188 12 086 7 760 191 241 998 2 653 118
Unrealised appreciation/ (depreciation) USD 2 071 119 033 1 754 (1 043 132) 798 953 (296 469) (740) (5 025) (176) 6 210 3 238 (2 825) (107 729) – 412 557 4 236 (5 271)
Merrill Lynch Investment Solutions
65
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Industrial sector Telecommunications Transportation Total
Underlying nature Equity Equity
Long/Short Short Short
Commitment USD 1 143 322 735 922 90 348 569
Unrealised appreciation/ (depreciation) USD 106 120 4 255 (2 940)
The total market value of the contracts for difference swaps is USD (9 622 859).
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
66
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund Schedule of Investments as at September 30, 2016 (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 1 601 000 892 000 260 000 47 000 750 000 200 000 7 479 000 13 350 000 99 000 3 836 000 6 986 000 13 770 000 12 194 000 1 578 000 758 000 770 000 13 410 000 3 777 000 65 000 4 188 000 11 776 000
Energy Future Intermediate Hldg. Co. LLC (Defaulted) 144A FRN 01/12/2018 GenOn Energy, Inc. 9.500% 15/10/2018 GenOn Energy, Inc. 9.875% 15/10/2020 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 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 Lehman Brothers Hldg., Inc. Escrow FRN Perpetual Lehman Brothers Hldg., Inc. Escrow FRN Perpetual Total Bonds
USD USD USD EUR EUR EUR USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD
1 127 559 625 485 162 929 416 0 0 429 414 65 0 0 985 196 323 330 (13) 36 891 5 987 6 081 104 914 29 749 513 238 295 64 224 4 141 035
1 417 508 627 051 172 362 4 183 66 750 17 680 502 460 915 897 6 651 257 713 477 420 928 783 819 227 106 716 50 925 52 073 900 921 252 741 4 367 281 361 791 144 8 653 933
0.92 0.41 0.11 0.00 0.04 0.01 0.33 0.60 0.01 0.17 0.31 0.60 0.53 0.07 0.03 0.03 0.59 0.17 0.00 0.18 0.51 5.62
Akzo Nobel NV Alere, Inc. Allergan Plc. American Capital Ltd. AP Moeller - Maersk A/S - A AP Moeller - Maersk A/S - B Aritzia, Inc. Biogen, Inc. Cabela’s, Inc. Callidus Software, Inc. CBS Corp. - B Coca-Cola European Partners Plc. Comcast Corp. - A Cornerstone OnDemand, Inc. Coty, Inc. - A Dycom Industries, Inc. Edgewell Personal Care Co. EME Reorganization Trust FireEye, Inc. Fleetmatics Group Plc.
EUR USD USD USD DKK DKK CAD USD USD USD USD USD USD USD USD USD USD USD USD USD
3 342 117 572 325 3 123 220 1 008 912 85 109 897 233 23 154 802 888 822 600 317 679 666 188 1 050 060 2 912 059 346 460 3 809 457 1 319 347 551 907 2 543 210 422 807 274
3 233 473 552 716 3 052 970 1 056 010 87 427 905 917 23 270 821 711 873 415 310 128 666 349 1 087 824 3 216 351 361 614 3 789 631 2 884 204 568 273 92 188 850 808 433
2.10 0.36 1.98 0.69 0.06 0.59 0.02 0.53 0.57 0.20 0.43 0.71 2.09 0.23 2.46 1.87 0.37 0.00 0.12 0.53
Shares 53 632 14 365 14 897 70 180 70 694 2 148 2 950 17 869 18 993 13 680 30 639 54 485 8 844 181 225 39 634 8 031 22 369 14 408 15 147
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
67
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund Schedule of Investments as at September 30, 2016 (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.) 31 234 3 864 001 11 688 6 510 238 786 39 857 2 585 12 147 21 028 50 902 511 324 46 087 50 419 4 600 9 964 5 237 16 278 19 478 11 700 2 903 14 702 81 943 105 200 45 728 41 159 21 112 116 228 38 999
Getinge AB - B Globalstar, Inc. Humana, Inc. Imperva, Inc. ITC Hldg. Corp. Johnson Controls International Plc. Linde AG Lowe’s Cos, Inc. Mondelez International, Inc. - A Monsanto Co. NTT Urban Development Corp. NXP Semiconductors NV Outfront Media, Inc. Proofpoint, Inc. PTC, Inc. Qualys, Inc. Shire Plc. - ADR Sony Corp. Svenska Cellulosa AB SCA - B Swisscom AG - Reg Syngenta AG - Reg T-Mobile US, Inc. ThyssenKrupp AG Twitter, Inc. Viacom, Inc. - B Walgreens Boots Alliance, Inc. WhiteWave Foods Co. Yahoo!, Inc. Total Shares
SEK USD USD USD USD USD EUR USD USD USD JPY USD USD USD USD USD USD JPY SEK CHF CHF USD EUR USD USD USD USD USD
638 903 6 171 715 1 638 573 302 707 8 135 356 1 653 959 385 160 806 077 806 297 4 909 211 4 239 673 3 057 086 1 004 554 284 056 355 578 161 414 2 709 382 470 081 309 391 1 285 021 5 180 344 2 929 924 1 866 704 912 507 1 353 225 1 536 236 5 859 679 1 173 382 82 807 149
539 488 4 160 385 1 839 731 311 134 9 876 110 1 650 246 391 111 780 508 821 435 4 629 101 4 371 803 4 183 426 1 061 051 306 380 392 868 177 969 2 808 020 563 622 309 633 1 230 311 5 735 526 3 406 635 2 232 344 937 916 1 395 407 1 514 548 5 629 373 1 495 690 87 240 429
0.35 2.70 1.19 0.20 6.41 1.07 0.25 0.51 0.53 3.01 2.84 2.72 0.69 0.20 0.26 0.12 1.82 0.37 0.20 0.80 3.72 2.21 1.45 0.61 0.91 0.98 3.66 0.97 56.66
USD
15 123 411
15 121 573
9.82
15 123 411
15 121 573
9.82
Supranationals, Governments and Local Public Authorities, Debt Instruments 17 000 000
United States Treasury Bill 0.000% 15/12/2016 Total Supranationals, Governments and Local Public Authorities, Debt Instruments
Other transferable securities Bonds 3 060 000 8 164 000
GCB Jefferson Smurfit 8.250% Perpetual Motors Liquidation Co. 8.375% 15/07/2033 Total Bonds
USD USD
0 0 0
1 361 1 1 362
0.00 0.00 0.00
AMR Corp. Motors Liquidation Co. - Pref Total Shares Total Investments
USD USD
370 359 0 370 359 102 441 954
515 038 1 515 039 111 532 336
0.33 0.00 0.33 72.43
Shares 711 931 80 923
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
68
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in EUR) Industrial classification of investments (as a percentage of net assets as at September 30, 2016) Sovereign Chemicals Electric Telecommunications Food Diversified Finan Serv Pharmaceuticals Media Cosmetics/Personal Care Real Estate Semiconductors Retail Engineering & Construction Internet Iron/Steel Healthcare-Services Software Electronics Beverages Healthcare-Products Investment Companies REITS Computers Transportation Biotechnology Home Furnishings Airlines Apparel
Underlying Currency nature contract Details Futures contracts Index EUR Euro Stoxx 50 Index Index USD S&P 500 E-Mini Index Index JPY Topix Index Total Futures contracts
Purchase Forward foreign exchange contracts AUD 233 520
% 9.82 9.08 7.85 5.71 4.19 4.18 3.80 3.43 3.03 2.84 2.72 2.06 1.87 1.70 1.45 1.19 1.09 1.07 0.71 0.71 0.69 0.69 0.65 0.65 0.53 0.37 0.33 0.02 72.43
Number of Number of Maturity contracts contracts date bought sold
Market Eurex Deutschland Chicago Mercantile Exchange Osaka Exchange
Sale EUR
156 645
% 55.72 4.82 4.52 3.21 1.7 0.71 0.65 0.55 0.53 0.02 72.43
Unrealised appreciation/ Commitment (depreciation) EUR EUR
16/12/2016
–
128
3 832 320
(37 610)
16/12/2016 08/12/2016
– –
258 13
24 799 038 1 511 314 30 142 672
(509 419) 23 418 (523 611)
Maturity date
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Geographical classification of investments (as a percentage of net assets as at September 30, 2016) United States Netherlands Switzerland Japan Germany Britain Denmark Sweden Ireland Canada
21/12/2016
Unrealised appreciation/ Counterparty (depreciation) EUR State Street Bank and Trust Co.
1 509
Merrill Lynch Investment Solutions
69
Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in EUR)
Purchase Sale CHF 10 889 372 EUR EUR 4 420 924 CAD EUR 1 534 628 CHF EUR 3 923 843 GBP EUR 6 591 730 JPY EUR 545 471 SEK EUR 126 988 584 USD GBP 7 675 809 EUR USD 119 394 779 EUR Total forward foreign exchange contracts
Short/ Long Currency Options Long USD Long USD Short USD Short USD Long USD Long USD Total Options
Description Apple, Inc. Dish Network Corp. Monsanto Co. Monsanto Co. S&P 500 Index S&P 500 Index
9 958 457 6 570 000 1 676 054 3 349 075 760 000 000 5 200 000 142 418 827 9 057 661 106 116 817
Maturity date 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016
Counterparty State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co.
Put/ Call
Strike Price
Maturity date
Quantity
Call Call Call Call Put Put
100.000 50.000 115.000 115.000 2 150.000 2 125.000
20/01/2017 20/01/2017 21/10/2016 20/01/2017 21/10/2016 21/10/2016
539 981 (44) (7) 18 18
Unrealised appreciation/ (depreciation) EUR 47 503 (13 432) (5 454) 60 685 (84 726) 5 254 729 944 (203 617) (269 699) 267 967
Market value EUR 685 860 672 157 (157) (268) 27 870 19 221 1 404 683
Commitment EUR – – 450 258* 71 632* – – 521 890
* The commitment on short call positions is unlimited.
Merrill Lynch Professional Clearing is the counterparty to these options. The maximum individual counterparty exposure for OTC Derivatives as at September 30, 2016 is 1.75% of the NAV. Contracts for difference swaps The Sub-Fund Merrill Lynch Investment Solutions - York Event-Driven UCITS Fund entered into contracts for difference swaps with six counterparties (Bank of America N.A., Deutsche Bank AG, Goldman Sachs International, JPMorgan Chase Bank NA, Morgan Stanley Capital Services Inc. and UBS AG.) with the following details: 1) Bank of America N.A. Commitment of EUR 1 251 370 for the short portfolio composed of 2 equities Market value of EUR 141 715 detailed as follows: – unrealised appreciation of short portfolio: EUR 143 721 – realised result: EUR (2 006) corresponding to the realised loss on securities which is still held at the counterparty (monthly reset) The below table is composed of short positions:
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
70
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in EUR)
Industrial sector Real Estate Total
Underlying nature Equity
Long/Short Short
Commitment EUR 1 251 370 1 251 370
Unrealised appreciation/ (depreciation) EUR 143 721 143 721
2) Deutsche Bank AG Commitment of EUR 596 067 for the short portfolio composed of 1 derivative Market value of EUR 53 847 detailed as follows: – unrealised appreciation of short portfolio: EUR 54 079 – realised result: EUR (232) corresponding to the realised loss on securities which is still held at the counterparty (monthly reset) The below table is composed of short positions:
Industrial sector Swap Index - Diversified Total
Underlying nature Derivatives
Long/Short Short
Commitment EUR 596 067 596 067
Unrealised appreciation/ (depreciation) EUR 54 079 54 079
3) Goldman Sachs International Commitment of EUR 786 683 for the long portfolio composed of 1 equity Market value of EUR (8 986) detailed as follows: – unrealised depreciation of long portfolio: EUR (8 972) – realised result: EUR (14) corresponding to the realised loss on securities which is still held at the counterparty (monthly reset) The below table is composed of long positions:
Industrial sector Agriculture Total
Underlying nature Equity
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Long/Short Long
Commitment EUR 786 683 786 683
Unrealised appreciation/ (depreciation) EUR (8 972) (8 972)
Merrill Lynch Investment Solutions
71
Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in EUR) 4) JPMorgan Chase Bank NA Commitment of EUR 101 844 for the short portfolio composed of 1 equity Commitment of EUR 1 440 433 for the long portfolio composed of 1 equity Market value of EUR 309 390 detailed as follows: – unrealised depreciation of short portfolio: EUR (3 058) – unrealised appreciation of long portfolio: EUR 301 775 – realised result: EUR 10 673 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:
Industrial sector Insurance Real Estate Total
Underlying nature Equity Equity
Long/Short Long Short
Commitment EUR 1 440 433 101 844 1 542 277
Unrealised appreciation/ (depreciation) EUR 301 775 (3 058) 298 717
5) Morgan Stanley Capital Services Inc. Commitment of EUR 20 421 216 for the short portfolio composed of 2 derivatives and 12 equities Commitment of EUR 42 225 757 for the long portfolio composed of 9 equities Market value of EUR 2 697 102 detailed as follows: – unrealised depreciation of short portfolio: EUR (323 413) – unrealised appreciation of long portfolio: EUR 3 239 775 – realised result: EUR (219 260) 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:
Industrial sector Swap Index - Diversified Banks Beverages Chemicals Computers Distribution/Wholesale Electric Engineering&Construction Healthcare-Products Healthcare-Products Home Builders Internet Investment Companies
Underlying nature Derivatives Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity
Long/Short Short Short Long Long Long Short Short Long Long Short Short Long Short
Commitment EUR 9 728 634 1 010 091 15 188 841 5 517 149 1 795 243 870 710 5 129 457 925 478 3 105 728 1 433 939 75 263 8 420 130 467 524
Unrealised appreciation/ (depreciation) EUR 443 762 1 840 1 856 531 432 690 794 282 (5 325) (710 852) 37 250 47 166 (60 804) (4 032) (59 917) (20 934)
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
72
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in EUR)
Industrial sector Machinery-Diversified Media Media REITS Retail Semiconductors Telecommunications Telecommunications Total
Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity
Long/Short Short Long Short Short Short Long Long Short
Commitment EUR 693 059 3 909 521 374 143 264 483 153 821 2 973 429 390 238 220 092 62 646 973
Unrealised appreciation/ (depreciation) EUR (19 888) (518 832) 54 988 (503) (2 250) 706 092 (55 487) 585 2 916 362
6) UBS AG Commitment of EUR 821 233 for the long portfolio composed of 2 equities Market value of EUR (1 337 253) detailed as follows: – unrealised depreciation of long portfolio: EUR (1 332 640) – realised result: EUR (4 613) corresponding to the realised loss on securities which is still held at the counterparty (monthly reset) The below table is composed of long positions:
Industrial sector Aerospace/Defense Oil&Gas Total
Underlying nature Equity Equity
Long/Short Long Long
The total market value of the contracts for difference swaps is EUR 1 855 808.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Commitment EUR 590 427 230 806 821 233
Unrealised appreciation/ (depreciation) EUR 17 666 (1 350 306) (1 332 640)
73
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – CCI Healthcare Long-Short UCITS Fund Schedule of Investments as at September 30, 2016 (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 (cont.) Shares (cont.) 57 950 93 892 50 694 5 228 77 122 46 904 30 279 50 067 12 327 33 563 9 188 13 582 70 373 22 951 9 622 51 407 8 862 48 099 65 411 19 945 60 715 36 883 14 041 212 895 32 259 16 588 72 209 35 434 44 260 81 746 6 350 141 339 Investment funds 47 242
Agilent Technologies, Inc. Agios Pharmaceuticals, Inc. Alexion Pharmaceuticals, Inc. Allergan Plc. BioMarin Pharmaceutical, Inc. Bluebird Bio, Inc. Celgene Corp. Charles River Laboratories International, Inc. Cigna Corp. Danaher Corp. DexCom, Inc. Edwards Lifesciences Corp. Eli Lilly & Co. Henry Schein, Inc. Humana, Inc. Incyte Corp. Intuitive Surgical, Inc. Jazz Pharmaceuticals Plc. Juno Therapeutics, Inc. Medtronic Plc. Novartis AG - ADR Shire Plc. - ADR Stryker Corp. Tenet Healthcare Corp. Thermo Fisher Scientific, Inc. Universal Health Services, Inc. - B Valeant Pharmaceuticals International, Inc. Vertex Pharmaceuticals, Inc. Walgreens Boots Alliance, Inc. Wright Medical Group NV Zimmer Biomet Hldg., Inc. Zoetis, Inc. Total Shares
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
2 596 084 4 082 404 6 741 744 1 293 622 7 002 758 2 604 546 3 267 100 4 214 377 1 603 483 2 630 796 817 861 1 576 702 5 567 100 3 829 189 1 689 695 4 465 119 6 135 280 6 597 397 2 051 621 1 712 835 4 923 749 7 060 793 1 613 055 5 413 330 4 872 395 2 119 062 1 894 540 3 295 816 3 664 302 1 982 453 824 421 7 230 559 115 374 188
2 728 866 4 959 375 6 212 043 1 204 061 7 135 327 3 179 153 3 165 064 4 172 584 1 606 455 2 631 004 805 420 1 637 446 5 648 137 3 740 554 1 702 036 4 847 166 6 423 443 5 843 067 1 962 984 1 723 248 4 794 056 7 150 138 1 634 513 4 824 201 5 131 117 2 043 973 1 772 731 3 090 199 3 568 241 2 005 229 825 627 7 351 041 115 518 499
1.71 3.11 3.90 0.76 4.48 2.00 1.99 2.62 1.01 1.65 0.50 1.03 3.55 2.35 1.07 3.04 4.03 3.67 1.23 1.08 3.01 4.49 1.03 3.03 3.22 1.28 1.11 1.94 2.24 1.26 0.52 4.61 72.52
iPATH S&P 500 VIX Short-Term Futures ETN Total Investment funds Total Investments
USD
1 692 620 1 692 620 117 066 808
1 609 535 1 609 535 117 128 034
1.01 1.01 73.53
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
74
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – CCI Healthcare Long-Short UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD) Industrial classification of investments (as a percentage of net assets as at September 30, 2016) Pharmaceuticals Biotechnology Healthcare-Products Healthcare-Services Retail Electronics Diversified Financial Services
Purchase Sale Forward foreign exchange contracts EUR 32 058 002 USD GBP 8 819 595 USD USD 1 332 796 EUR USD 598 954 GBP Total forward foreign exchange contracts
Short/ Long Currency Options Long USD Total Options
Description Varian Medical Systems, Inc.
% 24.81 21.20 16.17 6.39 2.24 1.71 1.01 73.53
36 093 303 11 440 823 1 186 689 461 820
Geographical classification of investments (as a percentage of net assets as at September 30, 2016) United States Ireland Switzerland Netherlands
Maturity date
Counterparty
31/10/2016 31/10/2016 31/10/2016 31/10/2016
State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co.
Put/ Call
Strike Price
Maturity date
Quantity
Call
100.000
21/10/2016
238
% 64.51 4.75 3.01 1.26 73.53
Unrealised appreciation/ (depreciation) USD (19 934) 22 474 (2 530) (1 299) (1 289)
Market value USD
Commitment USD
32 130 32 130
– –
Merrill Lynch Professional Clearing is the counterparty to these options. The maximum individual counterparty exposure for OTC Derivatives as at September 30, 2016 is 4.71% of the NAV. Contracts for difference swaps The Sub-Fund Merrill Lynch Investment Solutions - CCI Healthcare Long-Short UCITS Fund entered into contracts for difference swaps with four counterparties (Credit Suisse Securities (Europe) Limited, Goldman Sachs International, Merrill Lynch International Bank Ltd and Morgan Stanley Capital Services Inc..) with the following details: 1) Credit Suisse Securities (Europe) Limited Commitment of USD 7 463 292 for the short portfolio composed of 4 equities Market value of USD 10 342 detailed as follows: – unrealised appreciation of short portfolio: USD 60 771 – realised result: USD (50 429) 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. Unaudited semi-annual report
Merrill Lynch Investment Solutions
75
Merrill Lynch Investment Solutions – CCI Healthcare Long-Short UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD) The below table is composed of short positions:
Industrial sector Miscellaneous Manufactur Pharmaceuticals Retail Total
Underlying nature Equity Equity Equity
Long/Short Short Short Short
Commitment USD 3 495 698 2 367 910 1 599 684 7 463 292
Unrealised appreciation/ (depreciation) USD 7 696 (10 340) 63 415 60 771
2) Goldman Sachs International Commitment of USD 6 967 636 for the short portfolio composed of 7 equities Commitment of USD 10 479 289 for the long portfolio composed of 2 equities Market value of USD (315 911) detailed as follows: – unrealised depreciation of short portfolio: USD (48 205) – unrealised appreciation of long portfolio: USD 44 756 – realised result: USD (312 462) 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:
Industrial sector Banks Biotechnology Healthcare-Products Healthcare-Services Healthcare-Services Pharmaceuticals Pharmaceuticals Total
Underlying nature Equity Equity Equity Equity Equity Equity Equity
Long/Short Short Short Short Long Short Long Short
Commitment USD 3 190 485 8 696 1 210 376 4 835 740 2 074 508 5 643 549 483 571 17 446 925
Unrealised appreciation/ (depreciation) USD (41 838) (780) (29 507) 112 773 42 102 (68 017) (18 182) (3 449)
3) Merrill Lynch International Bank Ltd Commitment of USD 22 554 027 for the short portfolio composed of 1 derivative and 11 equities Market value of USD (387 159) detailed as follows: – unrealised depreciation of short portfolio: USD (248 539) – realised result: USD (138 620) 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. Unaudited semi-annual report
76
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – CCI Healthcare Long-Short UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD) The below table is composed of short positions:
Industrial sector Swap Index - Diversified Biotechnology Diversified Financial Services Electronics Healthcare-Products Healthcare-Services Pharmaceuticals Total
Underlying nature Derivatives Equity Equity Equity Equity Equity Equity
Long/Short Short Short Short Short Short Short Short
Commitment USD 3 978 775 5 016 741 3 262 749 1 637 963 3 820 165 1 626 591 3 211 043 22 554 027
Unrealised appreciation/ (depreciation) USD (28 956) (91 284) (23 415) (89 733) (85 680) (8 082) 78 611 (248 539)
4) Morgan Stanley Capital Services Inc. Commitment of USD 11 668 885 for the short portfolio composed of 6 equities Market value of USD 276 307 detailed as follows: – unrealised appreciation of short portfolio: USD 64 284 – realised result: USD 212 023 corresponding to the realised gain on securities which is still held at the counterparty (monthly reset) The below table is composed of short positions:
Industrial sector Biotechnology Healthcare-Products Healthcare-Services REITS Software Total
Underlying nature Equity Equity Equity Equity Equity
Long/Short Short Short Short Short Short
The total market value of the contracts for difference swaps is USD (416 422).
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Commitment USD 1 657 961 1 230 589 2 008 484 5 564 145 1 207 706 11 668 885
Unrealised appreciation/ (depreciation) USD 15 662 (58 235) (12 926) 103 499 16 284 64 284
Merrill Lynch Investment Solutions
77
Merrill Lynch Investment Solutions – Theorema European Equity Long-Short UCITS Fund Schedule of Investments as at September 30, 2016 (expressed in EUR) Nominal value/ Quantity
Quotation Currency
Description
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 Shares 80 629 4 000 17 448 32 400 73 620 139 000 351 000 74 619 207 18 500 252 124 1 700 240 49 278 30 200
Cerved Information Solutions SpA Charter Communications, Inc. - A Ei Towers SpA ERG SpA Infrastrutture Wireless Italiane SpA 144A Intesa Sanpaolo SpA Iren SpA Italcementi SpA Italia Independent Group Recordati SpA Snam SpA Telecom Italia SpA - Rsp Vittoria Assicurazioni SpA Yahoo!, Inc. Total Shares
EUR USD EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR USD
587 381 815 820 859 342 338 524 317 113 384 771 520 492 745 723 38 479 439 927 1 256 787 1 629 649 439 816 1 179 711 9 553 535
607 136 960 918 818 311 330 804 322 308 274 386 537 732 789 469 923 529 285 1 244 484 1 026 945 477 997 1 158 231 9 078 929
0.92 1.46 1.24 0.50 0.49 0.42 0.82 1.20 0.00 0.81 1.89 1.56 0.73 1.76 13.80
EUR EUR
5 008 000 22 002 584
5 005 890 22 003 036
7.61 33.46
27 010 584 36 564 119
27 008 926 36 087 855
41.07 54.87
Supranationals, Governments and Local Public Authorities, Debt Instruments 5 000 000 22 000 000
France Government Bond 0.250% 25/11/2016 Italy Buoni Ordinari del Tesoro BOT 0.000% 14/10/2016 Total Supranationals, Governments and Local Public Authorities, Debt Instruments Total Investments
Industrial classification of investments (as a percentage of net assets as at September 30, 2016) Sovereign Telecommunications Gas Internet Media Electric Building Materials Commercial Services Pharmaceuticals Insurance Banks Retail
% 41.07 3.29 1.89 1.76 1.46 1.32 1.20 0.92 0.81 0.73 0.42 0.00 54.87
Geographical classification of investments (as a percentage of net assets as at September 30, 2016) Italy France United States
% 44.04 7.61 3.22 54.87
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
78
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Theorema European Equity Long-Short UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in EUR)
Purchase Sale Forward foreign exchange contracts EUR 6 004 USD USD 1 519 157 EUR Total forward foreign exchange contracts
Short/ Long Currency Options Long EUR Total Options
Description Euro Stoxx 50 Index
6 749 1 349 317
Maturity date
Counterparty
31/10/2016 31/10/2016
State Street Bank and Trust Co. State Street Bank and Trust Co.
Put/ Call
Strike Price
Maturity date
Quantity
Call
3 050.000
30/09/2016
150
Unrealised appreciation/ (depreciation) EUR 6 740 746
Market value EUR
Commitment EUR
15 15
– –
Merrill Lynch International Ltd. is the counterparty to this option. The maximum individual counterparty exposure for OTC Derivatives as at September 30, 2016 is 3.21% of the NAV. 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 24 208 441 for the short portfolio composed of 64 equities and 2 derivatives Commitment of EUR 34 514 612 for the long portfolio composed of 51 equities Market value of EUR 1 628 386 detailed as follows: – unrealised depreciation of short portfolio: EUR (38 013) – unrealised appreciation of long portfolio: EUR 1 761 056 – realised result: EUR (94 657) 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:
Industrial sector Swap Index - Diversified Swap Index - Industrial Aerospace/Defense Aerospace/Defense Agriculture Airlines Airlines Auto Manufacturers
Underlying nature Derivatives Derivatives Equity Equity Equity Equity Equity Equity
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Long/Short Short Short Long Short Long Long Short Long
Commitment EUR 329 258 848 654 2 649 286 1 109 329 831 327 1 840 826 470 192 1 437 181
Unrealised appreciation/ (depreciation) EUR (3 081) (70 783) (95 875) (28 513) (18 197) (295 276) (10 183) (14 666)
Merrill Lynch Investment Solutions
79
Merrill Lynch Investment Solutions – Theorema European Equity Long-Short UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in EUR)
Industrial sector Auto Manufacturers Auto Parts&Equipment Banks Banks Beverages Beverages Chemicals Chemicals Commercial Services Commercial Services Computers Computers Cosmetics/Personal Care Distribution/Wholesale Diversified Financial Services Electrical Compo&Equip Electric Electronics Engineering&Construction Engineering&Construction Food Food Gas Hand/Machine Tools Healthcare-Products Healthcare-Services Healthcare-Services Home Builders Household Products/Wares Insurance Insurance Internet Internet Lodging Machinery-Constr&Mining Machinery-Constr&Mining Media Media Miscellaneous Manufactur Oil&Gas Services Oil&Gas Pharmaceuticals Real Estate REITS
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
Long/Short Short Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Long Long Short Long Short Short Long Short Long Short Long Long Long Short Long Short Long Long Short Long Short Short Short Short Short Long Long
Commitment EUR 1 379 959 267 986 621 963 427 015 321 619 669 834 2 171 349 963 966 250 900 131 657 704 714 519 906 336 200 296 436 2 450 251 289 590 508 932 167 646 2 283 964 623 846 1 962 621 2 457 310 846 072 1 042 010 713 161 667 408 257 668 756 726 707 247 3 469 158 1 251 706 3 030 217 1 052 823 653 146 197 938 352 770 1 171 516 369 250 779 245 414 508 386 386 534 560 671 689 368 876
Unrealised appreciation/ (depreciation) EUR 75 914 (33 332) (18 571) 63 155 (3 135) (1 599) 274 043 (126 482) (4 650) (3 554) 92 045 28 364 2 431 (41 440) 72 851 4 383 4 723 39 869 420 288 (64 217) 76 690 (94 261) (20 965) 64 315 9 660 1 966 9 989 (162 784) (20 921) 281 171 2 996 607 697 57 094 30 713 12 963 (53 691) 3 185 (1 753) (48 262) (100 654) (29 031) 112 812 (5 371) (10 221)
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
80
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Theorema European Equity Long-Short UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in EUR)
Industrial sector REITS Retail Retail Semiconductors Semiconductors Software Software Telecommunications Transportation Water Total
Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity
Long/Short Short Long Short Long Short Long Short Short Short Short
The total market value of the contracts for difference swaps is EUR 1 628 390.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Commitment EUR 719 686 641 752 1 833 567 1 254 150 522 575 1 344 000 66 268 2 987 660 5 658 329 940 58 723 053
Unrealised appreciation/ (depreciation) EUR 676 10 693 50 829 164 427 (41 577) 250 654 (4 337) 328 973 (63) (5 079) 1 723 045
Merrill Lynch Investment Solutions
81
Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund Schedule of Investments as at September 30, 2016 (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.) 38 174 1 206 813 11 355 2 195 673 364 000 522 000 2 650 907 1 315 195 34 053 156 945 44 000 99 286 207 884 62 788 102 941 89 394 68 300 1 712 918 7 619 27 634 24 813 113 100 1 297 000 55 600 5 388 93 344 5 370 73 652 1 281 401 131 000 435 453 48 568 210 101 300 17 635 318 750 1 140 901 308 660 858 000 1 421 000 143 224 9 072 178 372 5 036 500
Asahi Intecc Co. Ltd. Brilliance China Automotive Hldg. Ltd. China Biologic Products, Inc. China Construction Bank Corp. - H China Forestry Hldg. Co. Ltd. (a) China Life Insurance Co. Ltd. - H China Unicom Hong Kong Ltd. Chongqing Changan Automobile Co. Ltd. - B Ctrip.com International Ltd. - ADR ENN Energy Hldg. Ltd. HIS Co. Ltd. Hitachi High-Technologies Corp. Hokkaido Electric Power Co, Inc. Japan Airlines Co. Ltd. Japan Aviation Electronics Industry Ltd. Keisei Electric Railway Co. Ltd. Kirin Hldg. Co. Ltd. Li Ning Co. Ltd. LIG Nex1 Co. Ltd. LIXIL Group Corp. Matsumotokiyoshi Hldg. Co. Ltd. Metropolitan Bank & Trust Co. NagaCorp Ltd. Nikon Corp. Nintendo Co. Ltd. Nisshin Steel Co. Ltd. NongShim Co. Ltd. Parco Co. Ltd. PICC Property & Casualty Co. Ltd. Ping An Insurance Group Co. of China Ltd. - H Prada SpA Puradelta Lestari Tbk PT Recruit Hldg. Co. Ltd. Secom Co. Ltd. Showa Shell Sekiyu KK SIIC Environment Hldg. Ltd. Siloam International Hospitals Tbk PT Sino Biopharmaceutical Ltd. Sinotrans Ltd. - H Sumco Corp. Syngenta AG - Reg TonenGeneral Sekiyu KK WH Group Ltd. 144A
JPY HKD USD HKD HKD HKD HKD HKD USD HKD JPY JPY JPY JPY JPY JPY JPY HKD KRW JPY JPY PHP HKD JPY JPY JPY KRW JPY HKD HKD HKD IDR JPY JPY JPY SGD IDR HKD HKD JPY CHF JPY HKD
1 581 572 1 248 901 1 140 098 1 404 742 118 350 1 280 896 2 742 385 1 816 681 1 392 107 703 292 1 041 624 3 247 953 1 564 927 1 725 995 1 411 794 2 058 002 1 016 214 965 358 514 041 537 027 1 037 032 178 654 751 389 752 795 1 131 905 1 041 353 1 522 221 555 238 1 894 285 634 353 1 141 766 819 538 3 348 259 1 198 652 2 538 003 578 981 223 497 513 071 630 866 1 006 013 3 310 552 1 381 211 3 453 077
1 544 717 1 204 579 1 257 760 1 448 476 0 1 197 778 2 831 523 1 907 274 1 411 148 679 736 1 018 790 3 502 879 1 570 982 1 632 575 1 420 168 1 974 013 1 003 180 1 043 535 510 315 523 776 1 133 794 177 021 758 903 734 809 1 259 628 1 117 979 1 362 353 612 895 1 887 670 604 190 1 238 993 814 619 3 658 498 1 163 460 2 618 867 461 648 216 763 512 863 612 996 1 033 262 3 539 158 1 598 742 3 605 698
1.53 1.19 1.25 1.44 0.00 1.19 2.81 1.89 1.40 0.67 1.01 3.47 1.56 1.62 1.41 1.96 0.99 1.03 0.51 0.52 1.12 0.18 0.75 0.73 1.25 1.11 1.35 0.61 1.87 0.60 1.23 0.81 3.63 1.15 2.60 0.46 0.21 0.51 0.61 1.02 3.51 1.59 3.58
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
82
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in EUR) Nominal value/ Quantity
Quotation Currency
Description
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.) 617 904
Yahoo Japan Corp. Total Shares Total Investments
JPY
2 390 401 59 545 071 59 545 071
2 182 723 60 590 736 60 590 736
2.16 60.09 60.09
(a) This security is fair value. See Notes 2.2.6 and 9.
Industrial classification of investments (as a percentage of net assets as at September 30, 2016) Food Electronics Commercial Services Oil&Gas Insurance Internet Chemicals Auto Manufacturers Telecommunications Retail Transportation Airlines Banks Electric Healthcare-Products Toys/Games/Hobbies Biotechnology Apparel Iron/Steel Semiconductors Leisure Time Beverages Real Estate Lodging Miscellaneous Manufactur Gas Building Materials Aerospace/Defense Pharmaceuticals Environmental Control Healthcare-Services
% 4.93 4.88 4.78 4.19 3.66 3.56 3.51 3.08 2.81 2.76 2.57 1.62 1.62 1.56 1.53 1.25 1.25 1.23 1.11 1.02 1.01 0.99 0.81 0.75 0.73 0.67 0.52 0.51 0.51 0.46 0.21 60.09
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Geographical classification of investments (as a percentage of net assets as at September 30, 2016) Japan China Hong Kong Switzerland South Korea Italy Indonesia Cambodia Singapore Philippines
% 31.04 11.95 8.09 3.51 1.86 1.23 1.02 0.75 0.46 0.18 60.09
Merrill Lynch Investment Solutions
83
Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in EUR)
Underlying Currency nature contract Details Futures contracts Index USD FTSE China Index Index HKD H-Shares Index Index HKD Hang Seng Index Index JPY Nikkei 225 Index Index JPY Topix Index Total Futures contracts
Number of Number of Maturity contracts contracts Commitment date bought sold EUR
Market Singapore Exchange (was SIMEX) Hong Kong Futures Exchange Hong Kong Futures Exchange Osaka Exchange Osaka Exchange
Purchase Sale Forward foreign exchange contracts CHF 2 433 410 EUR EUR 17 982 CHF EUR 685 GBP EUR 10 471 062 HKD EUR 51 965 498 JPY EUR 560 882 SGD EUR 27 928 924 USD GBP 8 938 EUR JPY 510 838 600 EUR JPY 226 549 340 USD KRW 831 025 000 USD TWD 104 197 500 USD USD 1 205 468 AUD USD 26 939 548 EUR USD 8 772 156 HKD USD 450 000 JPY USD 2 174 706 KRW USD 3 300 000 TWD Total forward foreign exchange contracts
28/10/2016 28/10/2016 28/10/2016 08/12/2016 08/12/2016
Maturity date 2 225 349 19 667 581 91 455 306 5 941 295 266 860 000 31 464 726 10 547 4 500 000 2 250 000 750 000 3 301 568 1 599 352 23 951 067 68 000 000 46 244 655 2 419 825 000 104 197 500
21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016
– – – – –
397 25 15 43 51
3 379 869 1 376 757 2 006 021 6 215 641 5 929 002 18 907 290
Unrealised appreciation/ (depreciation) EUR 52 548 42 846 42 077 85 192 (21 066) 201 597
Unrealised appreciation/(depreciation) Counterparty EUR State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co. Merrill Lynch International Bank Ltd. Merrill Lynch International Bank Ltd. State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co. Merrill Lynch International Bank Ltd. Merrill Lynch International Bank Ltd.
10 647 (89) 15 9 184 (227 658) 1 441 34 484 (237) (12 379) (4 501) 3 765 26 384 (14 492) (68 335) (1 963) (7 312) (19 107) (27 774) (297 927)
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
84
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in EUR)
Short/ Long Currency Options Long HKD Long KRW Long JPY Long JPY Long USD Total Options
Description
Put/ Call
Strike Price
Maturity date
Quantity
HSCEI KOSPI Topix Index Topix Index USD/CNH
Call Put Call Call Call
10 000.000 250.000 1 400.000 1 400.000 6.550
28/10/2016 13/10/2016 14/10/2016 14/10/2016 20/10/2016
3 750 34 000 000 280 000 670 000 18 100 000
Market value EUR
Commitment EUR
34 766 13 769 1 340 3 205 323 974 377 054
– – – – – –
JP Morgan Chase Bank N.A., Merrill Lynch International Ltd., Morgan Stanley and Co. and UBS AG are the counterparties to these options. The maximum individual counterparty exposure for OTC Derivatives as at September 30, 2016 is 5.90% of the NAV. 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 (Bank of America N.A., Citibank NA, Credit Suisse Securities (Europe) Limited, Deutsche Bank AG, Goldman Sachs International, JPMorgan Chase Bank NA, Morgan Stanley Capital Services Inc. and UBS AG.) with the following details: 1) Bank of America N.A. Commitment of EUR 3 870 930 for the short portfolio composed of 5 equities Commitment of EUR 9 112 440 for the long portfolio composed of 2 equities Market value of EUR (100 929) detailed as follows: – unrealised appreciation of short portfolio: EUR 33 180 – unrealised depreciation of long portfolio: EUR (186 575) – realised result: EUR 52 466 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. Unaudited semi-annual report
Merrill Lynch Investment Solutions
85
Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in EUR) The below table is composed of long and short positions:
Industrial sector Airlines Auto Manufacturers Auto Parts&Equipment Food Insurance Real Estate Total
Underlying nature Equity Equity Equity Equity Equity Equity
Long/Short Short Short Long Short Long Short
Commitment EUR 1 653 632 736 330 7 098 005 522 348 2 014 435 958 620 12 983 370
Unrealised appreciation/ (depreciation) EUR 21 373 30 144 (96 308) (20 457) (90 267) 2 120 (153 395)
2) Citibank NA Commitment of EUR 5 554 456 for the short portfolio composed of 8 equities Commitment of EUR 4 969 143 for the long portfolio composed of 3 equities and 1 derivative Market value of EUR (41 801) detailed as follows: – unrealised appreciation of short portfolio: EUR 187 053 – unrealised depreciation of long portfolio: EUR (184 835) – realised result: EUR (44 019) 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:
Industrial sector Swap Index - Diversified Auto Manufacturers Banks Building Materials Entertainment Healthcare-Products Home Furnishings Insurance Media Real Estate Telecommunications Total
Underlying nature Derivatives Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity
Long/Short Long Long Short Long Short Short Long Short Short Short Short
Commitment EUR 959 856 2 302 955 1 660 869 237 148 1 708 656 137 893 1 469 184 1 493 151 296 657 50 877 206 353 10 523 599
Unrealised appreciation/ (depreciation) EUR (59 367) (84 990) 16 872 (13 556) 135 062 5 269 (26 922) 27 337 (2 616) 821 4 308 2 218
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
86
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in EUR) 3) Credit Suisse Securities (Europe) Limited Commitment of EUR 5 176 145 for the short portfolio composed of 5 equities Commitment of EUR 2 441 532 for the long portfolio composed of 2 equities and 1 derivative Market value of EUR (420 074) detailed as follows: – unrealised depreciation of short portfolio: EUR (454 798) – unrealised appreciation of long portfolio: EUR 33 243 – realised result: EUR 1 481 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:
Industrial sector Swap Index - Diversified Banks Beverages Building Materials Commercial Services Real Estate Retail Total
Underlying nature Derivatives Equity Equity Equity Equity Equity Equity
Long/Short Long Short Long Long Short Short Short
Commitment EUR 10 614 894 396 2 193 770 237 148 848 367 1 558 207 1 875 175 7 617 677
Unrealised appreciation/ (depreciation) EUR (96) (127 197) 47 274 (13 935) (71 191) (136 411) (119 999) (421 555)
4) Deutsche Bank AG Commitment of EUR 1 000 811 for the short portfolio composed of 1 equity Market value of EUR 25 916 detailed as follows: – unrealised appreciation of short portfolio: EUR 26 029 – realised result: EUR (113) corresponding to the realised loss on securities which is still held at the counterparty (monthly reset) The below table is composed of short positions:
Industrial sector Telecommunications Total
Underlying nature Equity
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Long/Short Short
Commitment EUR 1 000 811 1 000 811
Unrealised appreciation/ (depreciation) EUR 26 029 26 029
Merrill Lynch Investment Solutions
87
Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in EUR) 5) Goldman Sachs International Commitment of EUR 4 834 196 for the short portfolio composed of 4 equities Commitment of EUR 3 746 867 for the long portfolio composed of 2 equities Market value of EUR (290 285) detailed as follows: – unrealised depreciation of short portfolio: EUR (168 703) – realised result: EUR (121 582) 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:
Industrial sector Aerospace/Defense Banks Electronics Engineering&Construction Oil&Gas Total
Underlying nature Equity Equity Equity Equity Equity
Long/Short Short Short Long Long Short
Commitment EUR 1 541 718 1 524 741 2 314 171 1 432 696 1 767 737 8 581 063
Unrealised appreciation/ (depreciation) EUR (147 071) (22 379) – – – (169 450)
6) JPMorgan Chase Bank NA Commitment of EUR 6 533 767 for the short portfolio composed of 10 equities Market value of EUR (318 981) detailed as follows: – unrealised depreciation of short portfolio: EUR (175 550) – realised result: EUR (143 431) corresponding to the realised loss on securities which is still held at the counterparty (monthly reset) The below table is composed of short positions:
Industrial sector Auto Parts&Equipment Coal Electrical Compo&Equip Electric Engineering&Construction Food Gas Real Estate Total
Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity
Long/Short Short Short Short Short Short Short Short Short
Commitment EUR 1 025 315 492 525 592 782 1 468 999 519 641 514 659 700 187 1 219 659 6 533 767
Unrealised appreciation/ (depreciation) EUR (129 769) (32 001) 87 922 3 305 (4 339) (3 575) (91 409) (5 684) (175 550)
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
88
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in EUR) 7) Morgan Stanley Capital Services Inc. Commitment of EUR 11 468 638 for the short portfolio composed of 9 equities and 2 derivatives Commitment of EUR 10 069 432 for the long portfolio composed of 5 equities Market value of EUR (385 127) detailed as follows: – unrealised depreciation of short portfolio: EUR (295 057) – unrealised appreciation of long portfolio: EUR 54 124 – realised result: EUR (144 194) 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:
Industrial sector Swap Index - Diversified Auto Manufacturers Banks Beverages Building Materials Building Materials Cosmetics/Personal Care Electric Fund - Equity Home Furnishings Internet Real Estate REITS Total
Underlying nature Derivatives Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity
Long/Short Short Short Short Long Long Short Short Short Short Long Short Long Short
Commitment EUR 1 541 126 757 307 17 778 1 891 831 2 402 889 1 913 835 538 376 970 020 3 666 591 1 422 847 1 001 881 4 351 865 1 061 724 21 538 070
Unrealised appreciation/ (depreciation) EUR 1 365 (31 919) 723 53 555 (41 237) 55 907 (12 196) (53 848) (237 304) (47 647) 1 539 89 453 (19 324) (240 933)
8) UBS AG Commitment of EUR 7 618 141 for the short portfolio composed of 11 equities Commitment of EUR 7 385 319 for the long portfolio composed of 4 equities Market value of EUR 358 573 detailed as follows: – unrealised depreciation of short portfolio: EUR (103 893) – unrealised appreciation of long portfolio: EUR 582 554 – realised result: EUR (120 088) 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. Unaudited semi-annual report
Merrill Lynch Investment Solutions
89
Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in EUR) The below table is composed of long and short positions:
Industrial sector Auto Parts&Equipment Banks Chemicals Electric Engineering&Construction Food Food Healthcare-Products Internet Leisure Time Media Office/Business Equip Oil&Gas Real Estate Semiconductors Total
Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity
Long/Short Short Short Long Short Short Long Short Short Short Long Long Short Short Short Short
Commitment EUR 508 122 345 071 2 100 202 646 851 776 219 3 900 016 736 422 617 251 253 872 1 253 334 131 767 506 082 1 477 888 767 511 982 852 15 003 460
Unrealised appreciation/ (depreciation) EUR (8 615) 18 358 412 965 (24 927) 25 375 194 304 (82 810) 62 443 (1 605) (25 379) 664 421 (119 420) (15 109) 41 996 478 661
The total market value of the contracts for difference swaps is EUR (988 188).
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
90
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at September 30, 2016 (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 375 000 2 275 000 3 025 000 782 500 900 000 900 000 1 050 000 13 975 000 4 900 000 3 250 000 8 050 000 1 425 000 3 000 000 1 241 000
Allegheny Technologies, Inc. 4.750% 01/07/2022 Chesapeake Energy Corp. 5.500% 15/09/2026 DISH Network Corp. 144A 3.375% 15/08/2026 Fiat Chrysler Automobiles NV 7.875% 15/12/2016 Lennar Corp. 3.250% 15/11/2021 Meritor, Inc. 7.875% 01/03/2026 NuVasive, Inc. 144A 2.250% 15/03/2021 NVIDIA Corp. 1.000% 01/12/2018 Sabine Oil & Gas Corp. (Defaulted) FRN 15/06/2019 SunEdison, Inc. (Defaulted) 144A FRN 15/01/2020 SunEdison, Inc. (Defaulted) FRN 01/10/2018 SunEdison, Inc. (Defaulted) FRN 01/01/2021 Weatherford International Ltd. 5.875% 01/07/2021 Whiting Petroleum Corp. 1.250% 05/06/2020 Total Bonds
USD USD USD USD USD USD USD USD USD USD USD USD USD USD
375 000 2 279 219 3 024 433 542 973 1 749 508 1 227 793 1 050 000 27 800 275 2 274 012 563 211 1 892 705 212 519 3 567 775 1 125 901 47 685 324
528 984 2 280 687 3 312 375 501 289 1 621 125 1 210 500 1 328 250 47 549 937 82 688 186 875 462 875 81 938 3 365 625 1 191 360 63 704 508
0.04 0.15 0.22 0.03 0.11 0.08 0.09 3.21 0.01 0.01 0.03 0.01 0.23 0.08 4.30
Alere, Inc. Allergan Plc. - A - Pref Apollo Education Group, Inc. Cepheid CST Brands, Inc. Cvent, Inc. Dell Technologies, Inc. - V DISH Network Corp. - A DTE Energy Co. - Pref 144A DTS, Inc. Dynegy, Inc. - Pref Empire District Electric Co. EverBank Financial Corp. Fleetmatics Group Plc. G&K Services Inc - A Herbalife Ltd. Humana, Inc. inContact, Inc. Ingram Micro, Inc. - A Interactive Intelligence Group, Inc. Intersil Corp. - A Italcementi SpA Joy Global, Inc. KUKA AG Lexmark International, Inc. - A LinkedIn Corp. - A
USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD EUR USD EUR USD USD
1 930 596 2 850 000 2 234 606 10 524 221 15 488 264 2 452 424 850 561 163 087 571 250 287 970 3 517 840 5 254 787 5 403 149 5 391 696 8 992 529 530 158 1 051 652 3 121 102 3 162 432 607 376 5 169 079 125 807 3 525 306 6 405 044 841 224 3 676 922
1 677 539 2 341 646 2 097 600 10 585 316 15 658 152 2 233 621 902 082 162 642 594 100 289 868 2 693 250 5 392 550 5 461 049 5 420 033 8 887 636 543 156 956 621 3 146 674 3 160 688 609 639 5 219 055 131 454 3 532 162 6 471 790 884 914 3 649 054
0.11 0.16 0.14 0.71 1.06 0.15 0.06 0.01 0.04 0.02 0.18 0.36 0.37 0.37 0.60 0.04 0.06 0.21 0.21 0.04 0.35 0.01 0.24 0.44 0.06 0.25
Shares 38 796 2 850 263 849 200 898 325 601 70 439 18 872 2 969 11 425 6 814 33 250 157 954 282 079 90 364 93 074 8 762 5 408 225 084 88 634 10 137 237 987 11 056 127 331 53 496 22 145 19 093
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
91
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at September 30, 2016 (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.) 125 745 60 393 45 715 42 147 7 250 87 590 289 135 1 296 431 121 624 67 475 65 875 235 184 25 300 67 910 33 089 61 122 214 791
Mandatory Exchangeable Trust - Pref 144A (a) Monsanto Co. NetSuite, Inc. Piedmont Natural Gas Co., Inc. Post Hldg., Inc. - Pref Press Ganey Hldg., Inc. Rackspace Hosting, Inc. Rite Aid Corp. Rofin-Sinar Technologies, Inc. Southwestern Energy Co. - B T-Mobile US, Inc. - Pref Talen Energy Corp. Teva Pharmaceutical Industries Ltd. - Pref Valspar Corp. Virgin America, Inc. Vitae Pharmaceuticals, Inc. WhiteWave Foods Co. Total Shares
USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD
12 676 251 6 431 767 4 956 488 2 421 368 750 142 3 540 488 9 105 863 10 272 774 3 816 804 3 421 933 3 302 607 3 243 089 21 450 443 7 151 998 1 807 658 1 274 774 11 932 095 201 685 624
16 229 907 6 172 165 5 060 193 2 530 506 1 063 031 3 538 636 9 162 688 9 969 554 3 913 860 2 130 186 5 142 861 3 257 298 20 576 723 7 203 214 1 770 592 1 278 672 11 691 074 203 393 451
1.09 0.42 0.34 0.17 0.07 0.24 0.62 0.67 0.26 0.14 0.35 0.22 1.39 0.49 0.12 0.09 0.79 13.72
USD USD USD USD USD USD USD USD USD USD USD
57 275 954 39 986 433 30 269 371 27 979 536 59 545 986 73 981 018 54 925 354 42 334 316 89 836 875 63 694 019 108 849 828
57 278 484 39 993 160 30 277 368 27 993 168 59 557 565 74 009 785 54 938 730 42 350 312 89 874 450 63 733 276 108 893 667
3.86 2.70 2.04 1.89 4.02 4.99 3.71 2.86 6.06 4.30 7.34
648 678 690
648 899 965
43.77
2 336 725 2 336 725 900 386 363
2 321 250 2 321 250 918 319 174
0.16 0.16 61.95
Supranationals, Governments and Local Public Authorities, Debt Instruments 57 279 000 40 000 000 30 284 000 28 000 000 59 600 000 74 064 000 55 000 000 42 402 000 90 000 000 63 853 000 109 112 000
United States Treasury Bill 0.000% 06/10/2016 United States Treasury Bill 0.000% 03/11/2016 United States Treasury Bill 0.000% 17/11/2016 United States Treasury Bill 0.000% 25/11/2016 United States Treasury Bill 0.000% 05/01/2017 United States Treasury Bill 0.000% 12/01/2017 United States Treasury Bill 0.000% 02/02/2017 United States Treasury Bill 0.000% 09/02/2017 United States Treasury Bill 0.000% 23/02/2017 United States Treasury Bill 0.000% 16/03/2017 United States Treasury Bill 0.000% 23/03/2017 Total Supranationals, Governments and Local Public Authorities, Debt Instruments
Other transferable securities Shares 46 425
Great Plains Energy, Inc. - Pref (a) Total Shares Total Investments
USD
(a) These securities are fair valued. See Notes 2.2.6 and 10.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
92
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD) Industrial classification of investments (as a percentage of net assets as at September 30, 2016) Sovereign Semiconductors Retail Pharmaceuticals Software Investment Companies Electric Chemicals Healthcare-Products Food Textiles Computers Hand/Machine Tools Oil & Gas Savings & Loans Telecommunications Electronics Internet Machinery-Constr & Mining Media Oil & Gas Services Distribution/Wholesale Gas Commercial Services Airlines Home Builders Auto Parts & Equipment Healthcare-Services Energy-Alternate Sources Iron/Steel Auto Manufacturers Home Furnishings Building Materials
Underlying Currency nature contract Details Futures contracts (cont.) Index EUR Amsterdam Index Index TRY BIST 30 Index Index EUR CAC 40 10 Euro Index Index EUR DAX Index Index USD DJIA Mini Index Index EUR Euro Stoxx 50 Index
% 43.78 3.56 1.73 1.68 1.60 1.09 0.96 0.91 0.91 0.86 0.60 0.49 0.44 0.38 0.37 0.35 0.26 0.25 0.24 0.23 0.23 0.21 0.17 0.14 0.12 0.11 0.08 0.06 0.05 0.03 0.03 0.02 0.01 61.95
Market
Number of Number of Maturity contracts contracts date bought sold
% 59.32 1.39 0.53 0.44 0.23 0.03 0.01 61.95
Commitment USD
Unrealised appreciation/ (depreciation) USD
NYSE Liffe Amsterdam Borsa Istanbul
21/10/2016 31/10/2016
– 326
79 –
8 027 506 1 023 130
(103 524) (11 365)
Euronext Paris Eurex Deutschland Chicago Board of Trade Eurex Deutschland
21/10/2016 16/12/2016 16/12/2016 16/12/2016
– 356 158 –
414 – – 228
20 673 527 105 144 139 14 393 010 7 671 419
(411 777) 1 223 804 60 400 (29 016)
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Geographical classification of investments (as a percentage of net assets as at September 30, 2016) United States Israel Ireland Germany Bermuda Netherlands Italy
Merrill Lynch Investment Solutions
93
Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Underlying Currency nature contract Details Futures contracts (cont.) Index GBP FTSE 100 Index Index ZAR FTSE JSE TOP 40 Index Index MYR FTSE KLCI Index Index EUR FTSE MIB Index Index HKD H-Shares Index Index HKD Hang Seng Index Index EUR IBEX 35 Index Index MXN Mexican Bolsa Index Index
USD
Index
USD
Index
SGD
Index
USD
Index
USD
Index Index
JPY SEK
Index
USD
Index
USD
Index
USD
Index Index Index
CAD THB USD
Index Index Interest rate
AUD JPY AUD
Interest rate
CAD
Interest rate
JPY
Interest rate Interest rate
USD USD
Interest rate
CAD
Mini MSCI EAFE Index MSCI Emerging Markets Mini Index MSCI Singapore Index MSCI Taiwan Index Nasdaq 100 E-Mini Index Nikkei 225 Index OMX 30 Index Russell 2000 Mini Index S&P 500 E-Mini Index S&P MidCap 400 E-Mini Index S&P TSX 60 Index SET 50 Index SGX Nifty 50 Index SPI 200 Index Topix Index 10 Year Australian Treasury Bond 10 Year Government of Canada Bond 10 Year Japan Government Bond 10 Year US Treasury 2 Year US Treasury Note 3 Month Canadian Banker’s Acceptance
Market
Number of Number of Maturity contracts contracts date bought sold
Commitment USD
Unrealised appreciation/ (depreciation) USD
ICE Futures Europe
16/12/2016
633
–
56 386 955
1 681 913
South African Futures Exchange Bursa Malaysia Borsa Italiana Hong Kong Futures Exchange Hong Kong Futures Exchange Meff Renta Variable Madrid Mercado Mexicano de Derivados
15/12/2016 31/10/2016 16/12/2016 28/10/2016 28/10/2016 21/10/2016
– 7 – 71 1 112
414 – 115 – – –
13 826 945 139 983 10 569 649 4 394 046 150 291 11 029 100
421 697 (1 017) 166 940 (40 279) (954) (10 275)
16/12/2016
–
26
633 949
(11 798)
ICE Futures US Indices
16/12/2016
22
–
1 877 370
22 242
ICE Futures US Indices Singapore Exchange (was SIMEX) Singapore Exchange (was SIMEX)
16/12/2016
197
–
8 988 125
(121 714)
28/10/2016
–
157
3 628 923
(36 925)
28/10/2016
98
–
3 348 660
(14 700)
Chicago Mercantile Exchange Osaka Exchange OMX Nordic Exchange Stockholm
16/12/2016 08/12/2016
245 –
– 18
23 864 225 2 924 011
650 035 97 230
21/10/2016
167
–
2 803 995
56 256
ICE Futures US Indices
16/12/2016
–
220
27 462 600
(503 816)
Chicago Mercantile Exchange
16/12/2016
–
321
34 674 420
(272 998)
Chicago Mercantile Exchange Montreal Exchange Thailand Futures Exchange Singapore Exchange (was SIMEX) Australian Stock Exchange Osaka Exchange
16/12/2016 15/12/2016 29/12/2016
50 117 –
– – 393
7 748 000 15 226 692 2 144 317
36 940 32 779 825
27/10/2016 15/12/2016 08/12/2016
36 – 64
– 143 –
622 872 14 816 929 8 361 428
(9 994) (605 370) (28 530)
Australian Stock Exchange
15/12/2016
–
651
48 863 783
(478 546)
Montreal Exchange
19/12/2016
–
888
99 269 515
(353 808)
Osaka Exchange Chicago Board of Trade
13/12/2016 20/12/2016
– 657
91 –
136 897 670 86 149 125
(632 499) (24 695)
Chicago Board of Trade
30/12/2016
–
342
74 716 313
(48 816)
Montreal Exchange
19/12/2016
–
48
9 049 876
(4 873)
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
94
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Underlying Currency nature contract Details Futures contracts (cont.) Interest rate CAD 3 Month Canadian Banker’s Acceptance Interest rate CAD 3 Month Canadian Banker’s Acceptance Interest rate CAD 3 Month Canadian Banker’s 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 CHF 3 Month Euroswiss Interest rate AUD 3 Month New Zealand Bank Bill Interest rate AUD 3 Year Australian Treasury Bond Interest rate USD 5 Year US Treasury Note 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 USD 90 Day Eurodollar Interest rate GBP 90 Day Sterling Interest rate GBP 90 Day Sterling Interest rate GBP 90 Day Sterling Interest rate GBP 90 Day Sterling Interest rate GBP 90 Day Sterling Interest rate GBP 90 Day Sterling Interest rate GBP 90 Day Sterling Interest rate GBP 90 Day Sterling Interest rate EUR Euro BTP Interest rate EUR Euro OAT
Market
Commitment USD
Unrealised appreciation/ (depreciation) USD
Montreal Exchange
19/06/2017
–
214
40 355 507
(17 674)
Montreal Exchange
18/09/2017
–
87
16 406 211
(2 701)
Montreal Exchange ICE Futures Europe ICE Futures Europe ICE Futures Europe ICE Futures Europe ICE Futures Europe ICE Futures Europe ICE Futures Europe ICE Futures Europe ICE Futures Europe ICE Futures Europe
13/03/2017 13/03/2017 19/06/2017 18/09/2017 18/12/2017 19/03/2018 18/06/2018 17/09/2018 13/03/2017 19/06/2017 18/09/2017
– 725 759 888 334 383 353 315 – – –
299 – – – – – – – 60 40 29
56 381 720 204 330 380 213 955 419 250 356 806 94 179 811 108 007 370 99 547 263 88 831 127 15 601 919 10 402 311 7 541 675
(30 402) (12 280) (44 329) (50 515) 11 547 66 332 20 509 9 693 (4 539) (3 610) (2 966)
Australian Stock Exchange
09/03/2017
446
– 33 563 602 444
18 071
Australian Stock Exchange
15/12/2016
–
341
25 716 657
(116 557)
Chicago Board of Trade
30/12/2016
350
–
42 530 469
(1 257)
Australian Stock Exchange
08/06/2017
463
– 34 857 105 012
44 836
Australian Stock Exchange Chicago Mercantile Exchange Chicago Mercantile Exchange Chicago Mercantile Exchange Chicago Mercantile Exchange Chicago Mercantile Exchange Chicago Mercantile Exchange Chicago Mercantile Exchange ICE Futures Europe ICE Futures Europe ICE Futures Europe ICE Futures Europe ICE Futures Europe ICE Futures Europe ICE Futures Europe ICE Futures Europe Eurex Deutschland Eurex Deutschland
07/09/2017 13/03/2017 19/06/2017 18/09/2017 18/12/2017 19/03/2018 18/06/2018 17/09/2018 21/12/2016 15/03/2017 21/06/2017 20/09/2017 20/12/2017 21/03/2018 20/06/2018 19/09/2018 08/12/2016 08/12/2016
518 – – – – 57 102 119 291 1,486 1,536 1,275 569 532 513 499 200 169
– 39 005 725 822 2,016 499 237 200 1,872 463 390 200 1,725 426 851 250 62 15 334 925 – 14 095 388 – 25 215 675 – 29 407 875 – 47 092 830 – 240 565 364 – 248 709 638 – 206 469 133 – 92 151 150 – 86 158 896 – 83 073 463 – 80 798 248 – 32 160 910 – 30 410 344
30 605 108 875 129 767 (72 831) (5 261) (2 311) (3 673) (7 601) (25 145) (15 034) 31 836 (26 175) 120 158 117 502 100 088 28 448 (28 545) 219 175
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Number of Number of Maturity contracts contracts date bought sold
Merrill Lynch Investment Solutions
95
Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Underlying Currency nature contract Details Futures contracts (cont.) Interest rate EUR German Euro BOBL Interest rate EUR German Euro BUND Interest rate EUR German Euro BUXL Interest rate EUR German Euro SCHATZ Interest rate GBP Long Gilt Interest rate USD US Long Bond Interest rate USD US Ultra Long Bond Total Futures contracts
Purchase Sale Forward foreign exchange contracts (cont.) CNY 122 000 USD AUD 308 730 000 USD BRL 200 722 000 USD CAD 122 150 000 USD CHF 25 976 026 USD CLP 821 127 000 USD CNH 678 000 USD COP 9 973 122 000 USD CZK 59 850 000 USD EUR 1 008 693 169 USD GBP 325 420 592 USD HKD 46 200 000 USD HUF 5 797 071 000 USD IDR 130 050 262 000 USD ILS 15 293 000 USD INR 2 069 954 000 USD JPY 39 216 897 000 USD KRW 49 520 080 000 USD MXN 1 062 453 000 USD MYR 14 080 000 USD NOK 632 847 000 USD NZD 306 185 000 USD PHP 234 452 000 USD PLN 284 105 000 USD SEK 21 548 000 USD SGD 2 542 000 USD TRY 265 201 000 USD
Commitment USD
Unrealised appreciation/ (depreciation) USD
111 480 505 205 207 464 3 671 522
435 551 1 565 746 5 462
– 121 228 662 726 122 835 379 – 5 717 313 – 7 538 875 112 766 882 630
160 715 963 364 (35 751) (135 672) 4 237 223
Number of Number of Maturity contracts contracts date bought sold
Market Eurex Deutschland Eurex Deutschland Eurex Deutschland
08/12/2016 08/12/2016 08/12/2016
751 1,102 17
Eurex Deutschland ICE Futures Europe Chicago Board of Trade Chicago Board of Trade
08/12/2016 28/12/2016 20/12/2016 20/12/2016
962 – 34 41
18 180 233 531 461 59 862 141 94 056 207 26 839 677 1 234 643 101 026 3 380 944 2 483 309 1 136 738 145 427 813 591 5 961 571 21 235 061 9 696 652 4 076 111 30 515 676 385 828 931 44 837 829 54 589 579 3 472 358 76 966 553 223 344 568 5 023 401 73 654 135 2 553 077 1 875 224 88 072 773
– – –
Maturity date
Counterparty
Unrealised appreciation/ (depreciation) USD
11/10/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016
Citibank Citibank Citibank Citibank Citibank Citibank Citibank Citibank Citibank Citibank Citibank Citibank Citibank Citibank Citibank Citibank Citibank Citibank Citibank Citibank Citibank Citibank Citibank Citibank Citibank Citibank Citibank
108 2 314 121 524 932 (1 059 686) 84 009 3 400 108 35 595 18 165 1 059 629 (4 396 178) (161) (145 751) 151 662 6 804 168 872 2 778 966 105 827 (163 757) (80 843) 2 233 570 (1 356 091) (199 132) 466 284 (27 983) (9 972) (1 063 882)
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
96
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Purchase Sale Forward foreign exchange contracts (cont.) TWD 827 548 000 USD USD 26 894 388 AUD USD 22 784 677 BRL USD 126 558 247 CAD USD 166 813 339 CHF USD 43 459 943 CLP USD 4 722 354 CNH USD 70 453 COP USD 13 434 021 CZK USD 210 279 732 EUR USD 225 174 250 GBP USD 318 402 HKD USD 21 216 933 HUF USD 34 039 IDR USD 39 684 445 ILS USD 470 991 INR USD 121 395 496 JPY USD 6 685 833 KRW USD 49 423 693 MXN USD 10 204 444 MYR USD 11 686 365 NOK USD 105 562 303 NZD USD 6 894 829 PHP USD 20 624 018 PLN USD 200 812 968 SEK USD 62 625 465 SGD USD 54 484 975 TRY USD 857 140 TWD USD 8 886 548 ZAR ZAR 679 417 000 USD EUR 750 USD USD 1 002 EUR Total forward foreign exchange contracts
26 418 505 35 978 000 75 597 000 166 665 000 161 410 000 29 464 113 000 31 782 000 211 924 000 322 000 000 186 690 053 172 072 460 2 467 000 5 859 509 000 449 148 000 148 667 000 31 955 000 12 330 655 000 7 492 477 000 956 682 000 42 148 000 96 492 000 145 554 000 330 672 000 80 245 000 1 694 759 000 85 191 000 164 875 000 26 847 000 126 595 000 47 109 736 834 750
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Maturity date
Counterparty
21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 05/04/2017 05/04/2017
Citibank Citibank Citibank Citibank Citibank Citibank Citibank Citibank Citibank Citibank Citibank Citibank Citibank Citibank Citibank Citibank Citibank Citibank Citibank Citibank Citibank Citibank Citibank Citibank Citibank Citibank Citibank Citibank Citibank Citibank Credit Suisse International Credit Suisse International
Unrealised appreciation/ (depreciation) USD 39 269 (589 991) 41 372 (328 901) (485 236) (964 166) (18 398) (2 147) (24 199) (305 145) 1 284 067 73 (99 522) 27 (6 577) (2 703) (791 374) (114 223) 416 156 52 059 (389 506) 33 585 90 661 (311 175) 2 213 269 114 580 391 699 (1 193) (181 414) 1 556 702 16 152 3 066 433
Merrill Lynch Investment Solutions
97
Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Notional Pay Credit default swaps 5 450 000 Fixed 5%
Receive
Currency
Maturity date
Markit CDX North America Investment Grade Index 27v1
USD
21/12/2021
Markit iTraxx Europe Crossover Index 26v1
EUR
21/12/2021
USD
21/12/2021
EUR
21/12/2021
45 100 000 Fixed 5%
(143 100 000) Markit CDX North America Investment Grade Index 27v1 Fixed 1% (190 600 000) Markit iTraxx Europe Index 26v1 Fixed 1% Total Credit default swaps
Unrealised appreciation/ (depreciation) Counterparty USD Merrill Lynch, Pierce, Fenner and Smith, Inc. Merrill Lynch, Pierce, Fenner and Smith, Inc. Merrill Lynch, Pierce, Fenner and Smith, Inc. Merrill Lynch, Pierce, Fenner and Smith, Inc.
Commitment USD
(538 695)
5 450 000
(107 240)
45 100 000
282 613
143 100 000
(54 488) (417 810)
190 600 000 384 250 000
The maximum individual counterparty exposure for OTC Derivatives as at September 30, 2016 is 3.50% of the NAV. Contracts for difference swaps The Sub-Fund Merrill Lynch Investment Solutions - AQR Global Relative Value UCITS Fund entered into contracts for difference swaps with six counterparties (Bank of America N.A., Deutsche Bank AG, Goldman Sachs International, Merrill Lynch International Bank Ltd, Morgan Stanley Capital Services Inc. and Morgan Stanley International Plc..) with the following details: 1) Bank of America N.A. Commitment of USD 29 322 415 for the short portfolio composed of 2 equities and 1 derivative Commitment of USD 20 290 512 for the long portfolio composed of 2 equities and 3 derivatives Market value of USD (189 401) detailed as follows: – unrealised depreciation of short portfolio: USD (443 529) – unrealised depreciation of long portfolio: USD (64 674) – realised result: USD 318 802 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. Unaudited semi-annual report
98
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD) The below table is composed of long and short positions:
Industrial sector Swap Index - Diversified Swap Index - Diversified Swap Index - Diversified Banks Fund - Equity Pharmaceuticals Software Total
Underlying nature Derivatives Derivatives Derivatives Equity Equity Equity Equity
Long/Short Long Long Short Long Long Short Short
Commitment USD 12 840 501 1 059 270 8 813 091 4 659 023 1 731 718 2 465 156 18 044 168 49 612 927
Unrealised appreciation/ (depreciation) USD (18 235) (6 379) 70 714 (29 997) (10 063) (271 739) (242 504) (508 203)
2) Deutsche Bank AG Commitment of USD 478 154 090 for the short portfolio composed of 146 equities Commitment of USD 524 727 558 for the long portfolio composed of 136 equities Market value of USD (12 342 993) detailed as follows: – unrealised depreciation of short portfolio: USD (56 126 795) – unrealised appreciation of long portfolio: USD 44 394 582 – realised result: USD (610 780) 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:
Industrial sector Agriculture Auto Manufacturers Biotechnology Building Materials Coal Commercial Services Computers Diversified Financial Services Electrical Compo&Equip Electric Electronics Engineering&Construction Healthcare-Products Healthcare-Services Home Builders Home Builders Internet Investment Companies Iron/Steel
Underlying nature Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Long/Short Long Long Long Long Long Long Long Long Long Long Long Long Long Long Long Short Long Long Long
Commitment USD 1 566 641 9 212 572 7 093 547 5 878 704 500 5 489 125 2 339 531 5 339 313 2 694 890 4 530 640 3 315 750 4 647 486 4 934 495 25 753 019 2 063 922 1 621 125 58 001 546 518 766 3 032 844
Unrealised appreciation/ (depreciation) USD 17 421 (7 341 778) (480 773) 416 317 (75 750) 261 934 500 269 (188 424) (752 374) (294 008) 193 361 283 419 738 408 674 506 274 321 214 131 12 772 615 (8 313) 399 079
Merrill Lynch Investment Solutions
99
Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Industrial sector Mining Oil&Gas Services Oil&Gas Pharmaceuticals REITS Semiconductors Software Telecommunications Telecommunications Transportation Advertising Aerospace/Defense Aerospace/Defense Agriculture Agriculture Airlines Airlines Apparel Auto Manufacturers Auto Parts&Equipment Auto Parts&Equipment Banks Banks Beverages Biotechnology Building Materials Chemicals Chemicals Commercial Services Commercial Services Computers Distribution/Wholesale Distribution/Wholesale Diversified Financial Services Diversified Financial Services Electrical Compo&Equip Electric Electronics Electronics Engineering&Construction Engineering&Construction Entertainment Entertainment Food Service Food
Underlying nature 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 Equity Equity Equity Equity Equity Equity Equity Equity
Long/Short Long Long Long Long Long Long Long Long Short Long Long Long Short Long Short Long Short Short Short Long Short Long Short Long Short Short Long Short Long Short Short Long Short Long Short Short Short Long Short Long Short Long Short Long Long
Commitment USD 2 722 875 9 190 453 903 984 6 833 469 9 322 031 108 234 095 6 319 219 13 976 881 423 600 3 144 937 3 136 444 958 678 1 897 201 8 605 946 6 339 943 2 149 679 1 307 596 1 966 476 7 010 368 1 120 284 642 758 6 343 410 5 468 143 20 397 404 3 724 095 2 700 783 17 148 644 2 712 451 4 084 382 15 771 663 2 440 454 5 197 344 135 588 10 508 181 13 107 218 764 539 4 858 474 333 589 5 229 027 396 942 2 511 055 1 251 861 748 931 705 084 33 293 303
Unrealised appreciation/ (depreciation) USD (78 270) (117 026) 111 730 132 207 398 115 30 091 705 1 210 225 (105 436) (5 400) (539 606) 29 886 (32 932) 35 548 (389 692) (64 521) (29 176) 67 782 (68 449) 1 725 620 9 685 (167 894) (8 829) 108 835 305 899 214 340 221 372 (79 718) 8 942 (27 796) 1 055 379 (392 502) (20 324) 1 546 (171 860) 3 587 95 923 944 426 (2 543) (449 979) (1 716) (168 113) 14 153 57 661 7 546 9 365 511
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
100
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Industrial sector Food Forest Products&Paper Gas Healthcare-Products Healthcare-Products Healthcare-Services Healthcare-Services Home Builders Home Builders Home Furnishings Household Products/Wares Insurance Insurance Internet Internet Investment Companies Iron/Steel Leisure Time Leisure Time Lodging Machinery-Diversified Media Media Mining Mining Miscellaneous Manufactur Oil&Gas Services Oil&Gas Services Oil&Gas Oil&Gas Packaging&Containers Pharmaceuticals Pharmaceuticals Private Equity Real Estate REITS REITS Retail Retail Semiconductors Software Software Telecommunications
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
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Long/Short Short Long Long Long Short Long Short Long Short Long Long Long Short Long Short Long Short Long Short Short Short Long Short Long Short Short Long Short Long Short Long Long Short Long Long Long Short Long Short Short Long Short Long
Commitment USD 32 177 243 3 200 154 2 576 095 936 883 4 138 690 5 696 744 23 868 735 17 841 006 2 177 845 151 783 2 842 023 3 576 528 10 277 442 142 947 59 308 780 55 028 2 589 196 2 056 208 674 871 3 401 008 3 393 099 1 382 217 8 048 043 334 855 17 740 606 2 677 920 3 804 887 5 572 345 11 947 672 7 808 651 650 786 14 597 028 30 936 239 3 303 687 1 154 365 2 142 910 6 398 283 6 426 215 3 698 546 134 814 996 5 744 285 6 193 477 9 413 152
Unrealised appreciation/ (depreciation) USD (8 046 363) (89 466) 42 571 2 259 (583 544) (415 113) 721 895 482 874 49 575 492 21 220 (89 189) (10 824) (1 743) (9 776 764) 1 919 (336 807) 65 604 33 768 109 988 (224 973) (34 472) (165 864) 35 036 (1 114 028) (33 803) 214 654 240 615 (1 932 551) (483 626) 134 924 (2 351 257) 3 617 709 (68 424) (116 564) 74 484 (16 288) 14 533 29 107 (39 679 880) 63 297 (1 153 317) 991 310
Merrill Lynch Investment Solutions
101
Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Industrial sector Telecommunications Transportation Transportation Water Total
Underlying nature Equity Equity Equity Equity
Long/Short Short Long Short Short
Commitment USD 24 782 519 2 057 689 1 479 573 4 614 495 1 002 881 647
Unrealised appreciation/ (depreciation) USD (2 747 195) (113 783) 57 296 (51 705) (11 732 211)
3) Goldman Sachs International Commitment of USD 1 719 290 952 for the short portfolio composed of 644 equities and 1 derivative Commitment of USD 2 078 761 502 for the long portfolio composed of 725 equities and 4 derivatives Market value of USD 371 021 detailed as follows: – unrealised depreciation of short portfolio: USD (9 788 495) – unrealised appreciation of long portfolio: USD 7 217 188 – realised result: USD 2 942 328 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:
Industrial sector Swap Index - Diversified Swap Index - Diversified Swap Index - Diversified Advertising Advertising Aerospace/Defense Aerospace/Defense Agriculture Airlines Airlines Apparel Apparel Auto Manufacturers Auto Manufacturers Auto Parts&Equipment Auto Parts&Equipment Banks Banks Beverages Beverages Biotechnology Biotechnology
Underlying nature Derivatives Derivatives Derivatives Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity
Long/Short Long Long Short Long Short Long Short Long Long Short Long Short Long Short Long Short Long Short Long Short Long Short
Commitment USD 14 347 780 5 490 059 1 401 462 4 371 803 23 331 44 408 432 43 426 656 5 736 410 21 051 320 4 849 992 16 968 298 14 837 018 16 824 046 5 627 779 20 537 931 9 236 992 99 880 221 115 398 251 19 967 211 10 252 498 37 818 090 26 994 286
Unrealised appreciation/ (depreciation) USD (151 847) (33 935) 25 518 (57 021) 2 245 (259 091) (1 114 581) (326 107) 814 646 (128 146) (1 526 026) 923 964 174 529 47 818 1 231 295 (356 789) 1 111 149 (1 725 122) 422 806 436 254 (790 316) (1 101 373)
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
102
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Industrial sector Building Materials Building Materials Chemicals Chemicals Coal Coal Commercial Services Commercial Services Computers Computers Cosmetics/Personal Care Cosmetics/Personal Care Distribution/Wholesale Distribution/Wholesale Diversified Financial Services Diversified Financial Services Electrical Compo&Equip Electrical Compo&Equip Electric Electric Electronics Electronics Energy-Alternate Sources Energy-Alternate Sources Engineering&Construction Engineering&Construction Entertainment Entertainment Environmental Control Environmental Control Food Food Forest Products&Paper Forest Products&Paper Gas Gas Hand/Machine Tools Healthcare-Products Healthcare-Products Healthcare-Services Healthcare-Services Holding Companies-Divers Holding Companies-Divers Home Builders Home Builders
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
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Long/Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Long Short Long Short Long Short Long Short
Commitment USD 20 025 364 6 754 997 110 744 336 75 746 566 2 681 054 1 403 944 50 493 789 42 973 588 73 871 654 33 784 583 11 163 325 3 886 419 6 239 335 12 936 121 88 298 173 84 862 538 5 610 148 11 306 673 151 911 717 98 715 478 38 593 322 39 038 450 888 003 2 963 276 9 331 043 10 688 360 18 301 080 16 993 876 14 714 631 18 673 303 68 616 459 51 546 403 7 187 513 332 361 33 141 454 12 526 094 16 287 679 96 788 426 66 641 345 84 430 713 56 356 267 1 483 355 2 462 600 17 368 552 14 603 491
Unrealised appreciation/ (depreciation) USD (221 308) 225 666 352 818 640 478 64 086 (109 636) 169 607 423 494 2 697 564 (462 747) 96 480 (60 153) 29 721 220 590 1 636 808 (427 634) (123 163) 591 775 (1 982 540) 894 935 869 527 (202 552) (84 690) 65 823 (100 806) 934 581 650 854 (201 346) (298 163) 277 009 (1 992 067) 1 806 167 149 569 (18 501) (334 494) 398 001 (133 010) 585 142 192 895 92 406 (558 146) (8 825) (6 529) (11 812) 910 109
Merrill Lynch Investment Solutions
103
Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Industrial sector Home Furnishings Home Furnishings Household Products/Wares Household Products/Wares Housewares Housewares Insurance Insurance Internet Internet Investment Companies Investment Companies Iron/Steel Iron/Steel Leisure Time Leisure Time Lodging Lodging Machinery-Constr&Mining Machinery-Constr&Mining Machinery-Diversified Machinery-Diversified Media Media Metal Fabricate/Hardware Metal Fabricate/Hardware Mining Mining Miscellaneous Manufactur Miscellaneous Manufactur Office Furnishings Office/Business Equip Oil&Gas Services Oil&Gas Services Oil&Gas Oil&Gas Packaging&Containers Packaging&Containers Pharmaceuticals Pharmaceuticals Pipelines Pipelines Real Estate Real Estate REITS
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
Long/Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Long Long Short Long Short Long Short Long Short Long Short Long Short Long
Commitment USD 15 708 989 2 176 214 15 237 259 4 164 021 5 146 123 7 240 778 113 393 100 57 328 799 30 796 642 44 643 193 3 017 234 2 461 952 20 918 436 7 564 465 5 581 600 14 995 499 6 867 303 3 888 166 3 719 787 5 166 414 23 100 831 45 872 851 18 143 632 32 770 392 4 141 223 671 748 9 479 997 20 587 745 44 067 698 26 694 447 4 257 167 6 020 300 11 748 573 30 265 271 60 606 784 64 059 100 21 511 665 22 223 760 72 191 112 41 354 332 15 795 868 32 340 703 3 127 947 7 545 859 10 267 685
Unrealised appreciation/ (depreciation) USD (1 097 150) 461 567 (183 777) (196 271) (4 186) 10 255 1 760 277 (762 934) 1 195 607 (1 097 707) 72 632 (25 654) 5 800 (393 462) 185 875 551 872 (602 550) 148 945 172 779 (284 008) 235 153 (1 612 980) (227 984) 404 468 172 611 44 569 (624 210) 238 025 305 305 263 868 (697 904) 237 788 20 333 (908 362) 989 668 (2 930 198) 634 067 (703 818) (1 265 426) 555 189 318 493 (758 287) (13 418) (30 157) (150 597)
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
104
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Industrial sector REITS Retail Retail Savings&Loans Savings&Loans Semiconductors Semiconductors Shipbuilding Shipbuilding Software Software Telecommunications Telecommunications Textiles Toys/Games/Hobbies Toys/Games/Hobbies Transportation Transportation Trucking&Leasing Water Water Total
Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity
Long/Short Short Long Short Long Short Long Short Long Short Long Short Long Short Long Long Short Long Short Long Long Short
Commitment USD 13 586 110 101 686 054 118 803 021 5 097 629 541 772 77 754 476 72 187 192 16 100 355 2 623 039 71 352 332 68 031 791 24 212 187 36 108 343 4 354 991 2 178 481 384 647 10 542 387 34 886 038 3 145 031 1 917 897 878 293 3 798 052 454
Unrealised appreciation/ (depreciation) USD 170 772 (1 213 299) 712 297 (11 935) (7 977) 3 090 015 (3 494 175) (1 179 325) (60 025) 1 800 215 (1 931 960) 263 388 (446 475) (191 421) (39 726) 42 682 737 352 (257 346) (225 035) 33 986 (35 274 (2 571 307)
4) Merrill Lynch International Bank Ltd Commitment of USD 625 410 669 for the short portfolio composed of 350 equities Commitment of USD 670 770 935 for the long portfolio composed of 380 equities Market value of USD 3 378 754 detailed as follows: – unrealised depreciation of short portfolio: USD (5 280 376) – unrealised appreciation of long portfolio: USD 11 435 265 – realised result: USD (2 776 135) 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:
Industrial sector Advertising Advertising Aerospace/Defense Aerospace/Defense Agriculture Agriculture Airlines
Underlying nature Equity Equity Equity Equity Equity Equity Equity
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Long/Short Long Short Long Short Long Short Long
Commitment USD 606 936 2 559 506 8 626 193 7 659 261 4 396 338 223 715 4 839 102
Unrealised appreciation/ (depreciation) USD 35 910 84 275 172 198 (447 683) 161 843 (4 637) (224 403)
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Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Industrial sector Airlines Apparel Apparel Auto Manufacturers Auto Manufacturers Auto Parts&Equipment Auto Parts&Equipment Banks Banks Beverages Beverages Biotechnology Building Materials Building Materials Chemicals Chemicals Commercial Services Commercial Services Computers Computers Cosmetics/Personal Care Cosmetics/Personal Care Distribution/Wholesale Distribution/Wholesale Diversified Financial Services Diversified Financial Services Electrical Compo&Equip Electrical Compo&Equip Electric Electric Electronics Electronics Energy-Alternate Sources Energy-Alternate Sources Engineering&Construction Engineering&Construction Entertainment Entertainment Environmental Control Food Service Food Food Forest Products&Paper Forest Products&Paper Gas
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
Long/Short Short Long Short Long Short Long Short Long Short Long Short Long Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Long Long Short Long Short Long
Commitment USD 908 144 1 538 831 10 230 057 29 206 130 27 135 536 37 307 852 12 812 651 42 725 038 52 010 351 4 671 408 15 762 174 1 486 611 5 475 381 9 701 760 55 510 623 33 316 279 13 484 948 12 257 973 25 842 920 2 453 173 9 647 596 12 414 718 9 184 883 990 826 7 541 991 13 615 556 14 523 811 11 690 771 25 944 806 20 894 861 14 685 556 25 106 823 3 172 338 698 093 28 384 348 5 320 635 2 854 249 2 786 344 731 645 879 960 38 602 003 36 853 652 4 630 727 57 575 7 738 358
Unrealised appreciation/ (depreciation) USD 21 167 10 356 430 978 (175 386) 66 600 845 960 168 550 (968 144) 325 772 150 343 53 626 24 782 61 020 (122 265) 1 337 288 136 290 (39 557) (380 155) 860 691 112 829 130 417 (447 802) 342 904 (33 691) 280 098 1 075 401 820 314 (367 222) 528 770 (183 144) 580 973 (1 030 154) (37 003) (35 895) 767 478 61 757 (141 445) (74 514) 31 531 15 891 493 419 574 881 44 864 1 457 129 968
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
106
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Industrial sector Gas Hand/Machine Tools Hand/Machine Tools Healthcare-Products Healthcare-Products Healthcare-Services Healthcare-Services Holding Companies-Divers Home Builders Home Builders Home Furnishings Household Products/Wares Household Products/Wares Insurance Insurance Internet Internet Iron/Steel Iron/Steel Leisure Time Leisure Time Lodging Lodging Machinery-Constr&Mining Machinery-Constr&Mining Machinery-Diversified Machinery-Diversified Media Media Metal Fabricate/Hardware Metal Fabricate/Hardware Mining Mining Miscellaneous Manufactur Miscellaneous Manufactur Office/Business Equip Office/Business Equip Oil&Gas Services Oil&Gas Services Oil&Gas Oil&Gas Packaging&Containers Pharmaceuticals Pharmaceuticals Pipelines
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
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Long/Short Short Long Short Long Short Long Short Short Long Short Long Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Long Short Short
Commitment USD 2 169 442 2 155 726 7 664 828 5 408 411 10 840 724 2 451 659 2 614 764 1 555 302 153 424 1 460 326 13 111 029 1 209 921 235 517 47 376 910 15 590 839 172 183 21 835 109 3 759 139 14 535 215 3 620 106 9 513 040 123 619 4 138 490 5 149 084 2 996 953 11 573 767 16 702 609 12 198 917 13 580 456 3 680 796 12 989 539 2 585 734 5 080 233 4 586 235 4 892 061 4 393 814 6 627 693 1 208 208 9 269 463 5 724 160 10 057 753 2 350 115 46 379 594 12 646 053 1 720 607
Unrealised appreciation/ (depreciation) USD (11 364) (7 092) (55 365) (300 060) (352 835) 45 031 (175 682) 111 005 (2 862) (63 937) (148 941) (13 326) (5 937) 1 263 583 (175 383) 1 754 (537 286) 156 366 (24 382) 82 507 (265 088) (1 604) (129 561) (10 298) (87 058) 281 131 (361 319) 115 222 (493 284) 177 026 (288 724) 214 497 (310 183) (42 274) 19 170 87 628 131 466 (86 602) 56 015 153 403 (249 838) (58 401) 897 203 (412 603) (76 718)
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Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Industrial sector Retail Retail Semiconductors Semiconductors Software Software Storage/Warehousing Telecommunications Telecommunications Toys/Games/Hobbies Toys/Games/Hobbies Transportation Transportation Water Total
Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity
Long/Short Long Short Long Short Long Short Short Long Short Long Short Long Short Long
Commitment USD 17 891 154 49 000 791 8 015 273 5 532 921 14 196 084 9 648 142 1 776 764 17 807 377 27 844 827 6 364 080 814 452 19 800 491 24 615 322 3 083 342 1 296 181 603
Unrealised appreciation/ (depreciation) USD 310 796 (13 986) 387 884 221 216 859 970 (989 244) 82 042 269 588 (515 673) 440 126 (133 625) (84 180) (158 636) 206 108 6 154 887
5) Morgan Stanley Capital Services Inc. Commitment of USD 160 343 for the short portfolio composed of 1 equity Commitment of USD 3 097 983 for the long portfolio composed of 3 equities Market value of USD 40 904 detailed as follows: – unrealised depreciation of long portfolio: USD (23 983) – realised result: USD 64 887 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:
Industrial sector Banks Commercial Services Lodging Telecommunications Total
Underlying nature Equity Equity Equity Equity
Long/Short Long Long Long Short
Commitment USD 1 805 418 818 823 473 742 160 343 3 258 326
Unrealised appreciation/ (depreciation) USD (55 303) 38 924 (7 604) – (23 983)
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
108
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD) 6) Morgan Stanley International Plc. Commitment of USD 53 819 985 for the short portfolio composed of 8 equities and 2 derivatives Commitment of USD 137 479 609 for the long portfolio composed of 20 equities and 9 derivatives Market value of USD (1 545 284) detailed as follows: – unrealised appreciation of short portfolio: USD 22 161 – unrealised depreciation of long portfolio: USD (792 394) – realised result: USD (775 051) 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:
Industrial sector Swap Index - Diversified Swap Index - Diversified Swap Index - Diversified Swap Index - Diversified Banks Banks Building Materials Chemicals Computers Diversified Financial Services Diversified Financial Services Electric Food Fund - Equity Oil&Gas Services Pharmaceuticals Semiconductors Software Telecommunications Telecommunications Total
Underlying nature Derivatives Derivatives Derivatives Derivatives Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity
Long/Short Long Long Short Short Long Short Long Long Long Long Short Short Short Long Short Long Long Short Long Short
The total market value of the contracts for difference swaps is USD (10 287 014).
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Commitment USD 59 993 778 29 259 205 25 041 866 7 837 806 8 566 591 2 669 324 717 241 544 074 747 595 2 368 339 1 631 691 6 416 347 49 070 1 033 290 1 996 740 1 361 799 23 320 748 2 739 797 9 566 949 5 437 344 191 299 594
Unrealised appreciation/ (depreciation) USD (640 719) (60 840) 105 152 146 273 (56 529) (22 041) – (3 841) 12 570 3 144 37 899 (56 270) 1 463 (4 100) (112 127) (120 390) 38 357 (48 801) 39 954 (29 387) (770 233)
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109
Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at September 30, 2016 (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 50 000 1 600 000 782 900 600 000 100 000 2 185 210 1 277 000 1 400 000 1 900 000 700 000 270 300 2 250 000 350 000
Areva S.A. 3.500% 22/03/2021 Areva S.A. 4.875% 23/09/2024 Ausy 3.250% 01/01/2021 (a) Banca Monte dei Paschi di Siena SpA 7.000% 04/03/2019 CMA CGM S.A. - Reg 7.750% 15/01/2021 Co-Operative Bank Plc. 11.000% 20/12/2023 KCA Deutag UK Finance Plc. 144A 7.250% 15/05/2021 Klockner & Co Financial Services S.A. 2.000% 08/09/2023 (a) Matalan Finance Plc. - Reg 6.875% 01/06/2019 Outokumpu OYJ 3.250% 26/02/2020 Pierre & Vacances S.A. 3.500% 01/10/2019 Siemens Financieringsmaatschappij NV 1.650% 16/08/2019 (a) Swiss Prime Site AG 0.250% 16/06/2023 Total Bonds
EUR EUR EUR EUR EUR GBP USD
46 442 1 470 124 564 909 429 854 83 592 3 820 325 1 007 359
54 237 1 817 679 532 469 438 274 85 128 2 334 602 1 047 140
0.04 1.22 0.36 0.29 0.06 1.56 0.70
EUR GBP EUR EUR
1 621 208 2 312 994 798 649 126 114
1 578 827 1 949 799 800 426 122 265
1.06 1.30 0.54 0.08
USD CHF
2 396 333 357 175 15 035 078
2 257 650 362 492 13 380 988
1.51 0.24 8.96
ALSO Hldg. AG - Reg BCA Marketplace Plc. Capgemini S.A. CIMPOR Cimentos de Portugal SGPS S.A. Eurazeo S.A. FMC Technologies, Inc. International Game Technology Plc. Telecom Italia SpA Telefonica S.A. Total Shares
CHF GBP EUR EUR EUR USD USD EUR EUR
62 254 1 454 040 1 587 981 1 363 433 1 426 602 928 182 1 036 415 361 080 1 249 793 9 469 780
65 846 1 531 044 1 689 445 110 332 1 323 153 1 059 575 1 374 154 249 146 888 170 8 290 865
0.04 1.03 1.13 0.07 0.89 0.71 0.92 0.17 0.59 5.55
Ausy Call Strike Price 17.000 20/10/2016 (a) Piraeus Bank S.A. Call Strike Price 195.500 02/01/2018 Siemens AG Call Strike Price 104.002 16/08/2017 Siemens AG Call Strike Price 104.002 16/08/2019 Siemens AG Call Strike Price 97.139 16/08/2017 (a) Total Warrants
EUR EUR EUR EUR EUR
4 298 1 510 626 0 0 0 1 514 924
4 379 1 760 216 332 278 141 65 187 565 799
0.00 0.00 0.15 0.19 0.04 0.38
Shares 747 654 796 17 244 315 685 22 800 35 712 56 364 300 000 87 668 Warrants 102 1 566 480 11 9 5
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
110
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at September 30, 2016 (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.) Supranationals, Governments and Local Public Authorities, Debt Instruments 2 100 000 United States Treasury Bill 0.000% 13/10/2016 8 600 000 United States Treasury Bill 0.000% 17/11/2016 4 900 000 United States Treasury Bill 0.000% 08/12/2016 3 100 000 United States Treasury Bill 0.000% 05/01/2017 9 700 000 United States Treasury Bill 0.000% 02/02/2017 5 700 000 United States Treasury Bill 0.000% 23/02/2017 10 100 000 United States Treasury Bill 0.000% 02/03/2017 11 600 000 United States Treasury Bill 0.000% 30/03/2017 10 000 000 United States Treasury Bill 0.000% 27/04/2017 525 100 United States Treasury Note/Bond 2.000% 28/02/2021 1 153 800 United States Treasury Note/Bond 2.000% 30/11/2022 1 000 United States Treasury Note/Bond 2.625% 15/08/2020 1 000 United States Treasury Note/Bond 2.625% 15/11/2020 1 000 United States Treasury Note/Bond 3.375% 15/11/2019 1 000 United States Treasury Note/Bond 3.500% 15/05/2020 1 000 United States Treasury Note/Bond 3.625% 15/02/2020 1 000 United States Treasury Note/Bond 3.625% 15/02/2021 Total Supranationals, Governments and Local Public Authorities, Debt Instruments
USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD
2 099 650 8 595 078 4 894 447 3 094 957 9 682 419 5 689 554 10 072 143 11 570 369 9 969 667 543 623 1 192 713 971 968 1 002 1 003 1 009 1 003
2 099 901 8 598 117 4 898 363 3 097 793 9 689 194 5 692 049 10 084 648 11 574 990 9 973 350 544 606 1 198 870 1 059 1 062 1 075 1 088 1 088 1 106
1.41 5.76 3.28 2.08 6.49 3.81 6.76 7.75 6.68 0.37 0.80 0.00 0.00 0.00 0.00 0.00 0.00
67 410 576
67 458 359
45.19
659 843 2 304 508 2 964 351 96 394 709
582 598 1 747 273 2 329 871 92 025 882
0.39 1.17 1.56 61.64
Other transferable securities Bonds 440 351 1 546 081
TIG Finco Plc. - Reg FRN 02/03/2020 TIG Finco Plc. 144A 8.750% 02/04/2020 Total Bonds Total Investments
(a) These securities are fair valued. See Notes 2.2.6 and 10.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
GBP GBP
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Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD) Industrial classification of investments (as a percentage of net assets as at September 30, 2016) Sovereign Computers Banks Insurance Miscellaneous Manufacturing Oil & Gas Services Distribution/Wholesale Machinery-Construction & Mining Metal Fabricate/Hardware Commercial Services Private Equity Telecommunications Iron/Steel Electronics Real Estate Lodging Building Materials Transportation
Underlying Currency nature contract Futures contracts Equity EUR Equity EUR Index EUR Index Index Index Index Index
EUR EUR GBP EUR SEK
Index
USD
Interest rate
USD
Interest rate EUR Total Futures contracts
% 45.19 2.41 1.85 1.56 1.51 1.41 1.34 1.26 1.06 1.03 0.89 0.76 0.54 0.38 0.24 0.08 0.07 0.06 61.64
Geographical classification of investments (as a percentage of net assets as at September 30, 2016) United States United Kingdom France Netherlands Luxembourg Spain Finland Italy Germany Switzerland Portugal Greece
Commitment USD
Unrealised appreciation/ (depreciation) USD
– –
338 357 89 534
5 864 4 049
– – – – –
99 7 389 22 42
4 943 670 2 067 441 13 088 517 1 959 736 3 860 219
(63 421) (37 687) (80 261) (32 501) (31 215)
21/10/2016
–
120
2 014 847
(36 683)
Chicago Mercantile Exchange
16/12/2016
–
9
972 180
(19 985)
Chicago Board of Trade Eurex Deutschland
30/12/2016 08/12/2016
– –
1 30
121 516 4 453 282 33 909 299
(56) (14 497) (306 393)
Maturity date
Number of Number of contracts contracts bought sold
Details
Market
Repsol S.A. Telefonica S.A. CAC 40 10 Euro Index DAX Index Euro Stoxx 50 Index FTSE 100 Index FTSE MIB Index OMX 30 Index
Meff Renta Variable Madrid Meff Renta Variable Madrid
16/12/2016 15/12/2017
360 132
Euronext Paris Eurex Deutschland Eurex Deutschland ICE Futures Europe Borsa Italiana OMX Nordic Exchange Stockholm
21/10/2016 16/12/2016 16/12/2016 16/12/2016 16/12/2016
S&P 500 E-Mini Index 5 Year US Treasury Note German Euro BOBL
% 46.82 6.15 3.78 1.51 1.06 0.59 0.54 0.46 0.38 0.28 0.07 0.00 61.64
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
112
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Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Purchase Sale Forward foreign exchange contracts USD 534 390 CAD DKK 2 000 000 USD EUR 800 000 USD MXN 20 300 000 USD USD 150 770 AUD USD 665 209 CHF USD 18 061 682 EUR USD 11 166 347 GBP USD 644 756 HKD USD 45 896 HUF EUR 295 702 USD CNH 107 224 000 USD CHF 18 063 USD EUR 59 077 703 USD GBP 1 111 381 USD USD 534 403 CAD USD 59 CHF USD 158 713 EUR USD 33 514 GBP CNH 47 632 593 USD USD 7 013 560 CNH CNH 8 300 000 USD USD 5 029 496 CNH USD 15 510 635 CNH Total forward foreign exchange contracts
Short/ Long Currency Options (cont.) Long CHF Long EUR Long EUR Short EUR Long EUR Short EUR Long EUR Long EUR Long EUR Long EUR Long EUR Short EUR Long EUR Long EUR
Description ABB Ltd. Airbus Group Airbus Group Altice NV Altice NV Altice NV Altice NV BASF SE BASF SE BASF SE Cie de Saint-Gobain Daimler AG Daimler AG Daimler AG
700 000 301 259 895 510 1 074 853 200 000 650 000 16 100 000 8 400 000 5 000 000 12 700 000 332 993 15 996 420 18 678 66 514 108 1 441 689 700 000 57 141 246 25 839 7 202 359 47 632 593 1 238 067 33 370 000 102 973 626
Counterparty
03/10/2016 06/10/2016 06/10/2016 06/10/2016 06/10/2016 06/10/2016 06/10/2016 06/10/2016 06/10/2016 06/10/2016 14/10/2016 25/10/2016 31/10/2016 31/10/2016 31/10/2016 31/10/2016 31/10/2016 31/10/2016 31/10/2016 22/02/2017 22/02/2017 19/04/2017 19/04/2017 27/04/2017
State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co.
Put/ Call
Strike Price
Maturity date
Quantity
Market value USD
Call Call Put Call Call Put Put Put Put Put Call Put Put Put
22.000 60.000 52.000 13.540 20.000 10.000 13.540 60.000 68.000 60.000 48.000 52.000 48.000 52.000
17/03/2017 20/12/2019 20/12/2019 18/12/2020 18/12/2020 18/12/2020 18/12/2020 20/12/2019 20/12/2019 18/12/2020 21/12/2018 16/12/2016 18/12/2020 18/12/2020
275 40 40 (162 000) 232 000 (232 000) 162 000 55 176 301 263 (440) 268 578
28 652 29 983 51 110 (1 180 441) 1 010 049 (539 771) 678 863 46 048 221 721 337 249 52 905 (24 724) 271 061 719 059
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Maturity date
Unrealised appreciation/ (depreciation) USD 1 767 613 3 615 (26 204) (2 277) (5 384) (33 201) 254 220 76 (282) (525) 55 567 (16) (36 734) 2 832 1 658 0 (224) (70) (119 808) (68 991) (7 411) 81 668 248 822 349 711
Commitment USD – – – 2 465 033* – 2 607 216 – – – – – 2 571 254 – –
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Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Short/ Long Currency Options (cont.) Long EUR Long EUR Long EUR Long EUR Long EUR Long EUR Long EUR Long EUR Long EUR Long EUR Long EUR Long EUR Short EUR Short EUR Long EUR Long EUR Short EUR Long GBP Long GBP Short EUR Long EUR Long EUR Long CHF Long EUR Long EUR Long EUR Long EUR Long EUR Long EUR Long EUR Long EUR Long EUR Long CHF Short EUR Long EUR Long EUR Short EUR Long EUR Long EUR Long EUR Long EUR Long GBP Total Options
Description Deutsche Lufthansa AG Deutsche Post AG Deutsche Post AG Deutsche Post AG Enel SpA Enel SpA Enel SpA Enel SpA Enel SpA Enel SpA ENI SpA Eni SpA Eurazeo S.A. Eurazeo S.A. Euro Stoxx 50 Index Evonik Industries AG Fonciere des Regions J Sainsbury Plc. J Sainsbury Plc. KPN KPN LVMH Moet Hennessy Louis Vuitton SE Roche Holding AG Salzgitter AG Salzgitter AG Siemens AG Siemens AG Siemens AG Siemens AG Siemens AG Siemens AG Siemens AG Swiss Life Hldg. AG Telecom Italia SpA Telecom Italia SpA Telecom Italia SpA Telefonica S.A. Telefonica S.A. Telefonica S.A. Telefonica S.A. Total S.A. Vodafone Group Plc.
Put/ Call
Strike Price
Maturity date
Quantity
Put Put Put Put Call Call Put Put Put Put Call Call Call Call Put Call Put Put Put Call Call Call Call Put Put Call Call Call Put Put Put Put Call Put Put Put Call Call Put Call Put Call
11.000 18.000 20.000 20.000 4.800 4.000 3.800 4.800 4.000 4.000 14.000 13.500 56.000 56.000 2 400.000 32.000 72.000 1.600 1.800 4.010 3.270 160.000 300.000 20.000 24.000 110.000 100.000 100.000 84.000 88.000 76.000 76.000 240.000 0.800 0.520 0.680 11.860 9.640 9.890 9.890 40.000 2.400
16/06/2017 21/12/2018 21/12/2018 20/12/2019 15/12/2016 16/12/2016 15/12/2016 15/12/2016 16/12/2016 20/12/2018 16/12/2016 16/12/2016 21/10/2016 18/11/2016 20/12/2019 17/03/2017 16/12/2016 18/09/2020 19/03/2021 21/12/2018 21/12/2018 16/12/2016 16/12/2016 15/12/2017 21/12/2018 16/12/2016 15/12/2017 21/12/2018 16/12/2016 16/06/2017 21/12/2018 20/12/2019 15/12/2017 16/12/2016 16/12/2016 16/12/2016 15/09/2017 15/09/2017 15/09/2017 15/09/2017 15/12/2017 16/12/2016
1 403 42 223 490 210 242 550 210 242 315 61 53 (104) (124) 151 397 (54) 180 180 (257 235) 257 235 90 500 105 53 100 120 50 50 38 75 142 21 (798) 533 1 039 (2 254) 2 254 106 415 3 846 120 107 000
Market value USD 293 265 4 248 34 083 115 639 413 22 165 36 004 98 942 26 951 138 855 6 454 9 831 (351) (2 787) 474 973 46 399 (3 763) 46 179 67 808 (48 064) 81 139 28 421 6 189 14 042 22 812 19 891 148 207 73 159 2 472 14 690 46 357 124 632 55 804 (84 747) 5 930 45 421 (23 025) 127 919 224 949 183 345 61 899 2 935 4 251 449
Commitment USD – – – – – – – – – – – – 654 501* 780 367* – – 436 933 – – 1 159 214* – – – – – – – – – – – – – 717 434 – – 3 034 234* – – – – – 14 426 186
* The commitment on short call positions is unlimited. Bank of America N.A., Goldman Sachs Capital Markets and Merrill Lynch Professional Clearing are the counterparties to these options. The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
114
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Notional Pay Credit default swaps (cont.) 430 000 Fixed 1%
258 000 Fixed 1%
510 000 Fixed 1%
360 000 Fixed 1%
260 000 Fixed 1%
230 000 Fixed 1%
913 000 Fixed 1% 1 113 000 Fixed 1%
1 226 000 Fixed 1%
1 426 000 Fixed 1% 350 000 Fixed 1% 490 000 Fixed 1% 1 226 000 Fixed 1% 695 000 Fixed 5% 202 000 Fixed 5% 217 000 Fixed 5% 112 000 Fixed 5% 1 271 787 Fixed 5% 37 000 Fixed 5% 684 000 Fixed 5%
Receive Hungary Government Bond 4.750% 03/02/20151 Hungary Government Bond 6.250% 29/01/2020 Hungary Government Bond 4.750% 03/02/20151 Hungary Government Bond 4.750% 03/02/20151 Hungary Government Bond 4.750% 03/02/20151 Hungary Government Bond 4.750% 03/02/20151 BP Cap Markets America 4.200% 15/06/2018 Repsol International Finance BV 4.875% 19/02/2019 Shell International Finance BV 5.200% 22/03/2017 Statoil ASA 3.125% 17/08/2017 Technip 5.000% 12/08/20161 Technip 5.000% 12/08/20161 Total Capital S.A. 4.875% 28/01/2019 Beni Stabili SpA SIIQ 4.125% 22/01/2018 New Look Senior Issuer Plc. 8.000% 01/07/2023 New Look Senior Issuer Plc. 8.000% 01/07/2023 New Look Senior Issuer Plc. 8.000% 01/07/2023 Markit iTraxx Europe Crossover Index 26v1 Beni Stabili SpA SIIQ 4.125% 22/01/2018 Alcatel-Lucent 8.500% 15/01/20161
Currency
USD
21/06/2019
Barclays Bank Plc.
(4 849)
430 000
USD
21/06/2019
Barclays Bank Plc.
(2 362)
258 000
USD
21/06/2019
Barclays Bank Plc.
(11 426)
510 000
USD
21/06/2019
Barclays Bank Plc.
(7 738)
360 000
USD
21/06/2019 JP Morgan Chase Bank N.A.
(5 515)
260 000
USD
21/06/2019 JP Morgan Chase Bank N.A.
(4 578)
230 000
EUR
21/12/2021
Société Générale
(3 167)
913 000
EUR
21/12/2021
Société Générale
(8 791)
1 113 000
EUR
21/12/2021
Bank of America N.A.
(5 225)
1 226 000
EUR
21/12/2021
Bank of America N.A.
(3 808)
1 426 000
EUR
21/12/2021
Bank of America N.A.
(2 781)
350 000
EUR
21/12/2021
Barclays Bank Plc.
(3 893)
490 000
EUR
21/12/2021
Bank of America N.A.
(5 398)
1 226 000
EUR
21/06/2021 Credit Suisse International
14 706
695 000
EUR
21/06/2021 Credit Suisse International
17 203
202 000
EUR
21/06/2021
Goldman Sachs
23 497
217 000
EUR
21/06/2021
10 205
112 000
EUR
21/12/2021
(7 294)
1 271 787
EUR
21/03/2018
2 299
37 000
EUR
21/03/2019
Goldman Sachs Merrill Lynch, Pierce, Fenner and Smith, Inc. Morgan Stanley Capital Services LLC Credit Suisse Securities Ltd.
(14 825)
684 000
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Maturity date
Unrealised appreciation/ (depreciation) Commitment Counterparty USD USD
Merrill Lynch Investment Solutions
115
Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Notional Pay Receive Credit default swaps (cont.) (500 000) Siemens Financieringsmaatschappij NV 5.625% 11/06/2018 Fixed 1% (500 000) Siemens Financieringsmaatschappij NV 5.625% 11/06/2018 Fixed 1% Total Credit default swaps
Currency
Maturity date
Unrealised appreciation/ (depreciation) Commitment Counterparty USD USD
USD
21/12/2019 Credit Suisse International
USD
21/12/2019
Credit Suisse Securities Ltd.
(2 963)
500 000
(2 259) (28 962)
500 000 13 010 787
When the underlying of the credit default swap matures, it will roll into the next available version of the credit protection. The maximum individual counterparty exposure for OTC Derivatives as at September 30, 2016 is 4.63% of the NAV.
1
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 thirteen counterparties (Bank of America N.A., Barclays Bank Plc., BNP Paribas, Citibank NA, Credit Suisse Securities (Europe) Limited, Credit Suisse International, Deutsche Bank AG, Goldman Sachs International, HSBC Bank Plc., JPMorgan Chase Bank NA, Morgan Stanley Capital Services Inc., Societe Generale and UBS AG.) with the following details: 1) Bank of America N.A. Commitment of USD 17 870 604 for the short portfolio composed of 29 equities Commitment of USD 28 090 789 for the long portfolio composed of 9 equities Market value of USD 1 130 444 detailed as follows: – unrealised appreciation of short portfolio: USD 430 478 – unrealised appreciation of long portfolio: USD 489 963 – realised result: USD 210 003 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:
Industrial sector Diversified Financial Services Food Mining Real Estate Telecommunications Aerospace/Defense Airlines Airlines Banks Biotechnology Electric Food
Underlying nature Bond Bond Bond Bond Bond Equity Equity Equity Equity Equity Equity Equity
Long/Short Long Long Long Long Long Short Long Short Short Short Short Short
Commitment USD 2 532 596 882 476 1 728 494 3 669 311 7 419 227 2 057 6 049 087 130 628 105 322 23 640 52 452 407 152
Unrealised appreciation/ (depreciation) USD (43 154) 45 956 (172 413) 6 956 (140 166) (22) 74 283 35 931 84 491 6 635 (8 830) 32 280
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
116
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Industrial sector Hand/Machine Tools Healthcare-Products Insurance Internet Investment Companies Investment Companies Iron/Steel Machinery-Constr&Mining Oil&Gas Services Oil&Gas Pharmaceuticals Pharmaceuticals Real Estate Retail Retail Semiconductors Software Telecommunications Total
Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity
Long/Short Short Short Short Short Long Short Short Short Short Short Long Short Short Long Short Short Short Short
Commitment USD 23 446 2 227 627 153 310 12 551 965 778 57 624 376 979 119 452 23 680 263 349 26 363 891 547 2 063 571 4 817 457 5 582 354 478 60 678 5 292 707 45 961 393
Unrealised appreciation/ (depreciation) USD 6 166 (54 364) (6 608) 2 462 (12 270) 18 916 17 106 24 887 1 687 71 224 (288) 42 189 (117 548) 731 059 (492 859) (45) 4 164 762 616 920 441
2) Barclays Bank Plc. Commitment of USD 3 758 863 for the short portfolio composed of 13 equities Commitment of USD 5 655 618 for the long portfolio composed of 5 equities Market value of USD (95 156) detailed as follows: – unrealised depreciation of short portfolio: USD (58 835) – unrealised appreciation of long portfolio: USD 119 796 – realised result: USD (156 117) 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:
Industrial sector Airlines Banks Banks Chemicals Computers Diversified Financial Services Energy-Alternate Sources Hand/Machine Tools Insurance
Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Long/Short Short Long Short Short Short Short Long Short Long
Commitment USD 4 946 175 19 980 1 716 978 15 555 66 719 1 858 680 30 217 20 218
Unrealised appreciation/ (depreciation) USD 3 190 – (41) (126 630) 11 5 992 61 996 33 033 5 346
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Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Industrial sector Insurance Internet Metal Fabricate/Hardware Oil&Gas Services Oil&Gas Pharmaceuticals Software Total
Underlying nature Equity Equity Equity Equity Equity Equity Equity
Long/Short Short Short Short Short Long Long Short
Commitment USD 891 691 6 278 952 395 25 626 238 771 3 537 774 28 478 9 414 481
Unrealised appreciation/ (depreciation) USD (100 013) 1 231 91 585 29 831 23 729 28 725 2 976 60 961
3) BNP Paribas Commitment of USD 2 632 157 for the short portfolio composed of 7 equities Commitment of USD 5 219 634 for the long portfolio composed of 5 equities Market value of USD 195 528 detailed as follows: – unrealised appreciation of short portfolio: USD 4 318 – unrealised appreciation of long portfolio: USD 43 276 – realised result: USD 147 934 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:
Industrial sector Apparel REITS Sovereign Telecommunications Computers Investment Companies Mining Oil&Gas Services Oil&Gas Telecommunications Total
Underlying nature Bond Bond Bond Bond Equity Equity Equity Equity Equity Equity
Long/Short Short Long Long Long Short Short Short Short Short Short
Commitment USD 503 2 012 320 1 117 788 2 089 526 990 114 80 663 6 066 205 052 4 368 1 345 391 7 851 791
Unrealised appreciation/ (depreciation) USD 15 (15 833) (54 632) 113 741 2 421 31 774 1 842 10 021 1 938 (43 693) 47 594
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
118
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD) 4) Citibank NA Commitment of USD 22 790 907 for the short portfolio composed of 25 equities Commitment of USD 23 524 480 for the long portfolio composed of 13 equities Market value of USD 617 163 detailed as follows: – unrealised depreciation of short portfolio: USD (625 457) – unrealised appreciation of long portfolio: USD 1 363 854 – realised result: USD (121 234) 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:
Industrial sector Airlines Computers Hand/Machine Tools Lodging Oil&Gas Telecommunications Airlines Auto Manufacturers Banks Biotechnology Chemicals Chemicals Computers Electric Food Fund - Equity Hand/Machine Tools Home Furnishings Internet Iron/Steel Lodging Machinery-Constr&Mining Mining Oil&Gas Services Oil&Gas Services Oil&Gas Real Estate REITS Semiconductors Software Telecommunications Total
Underlying nature 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
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Long/Short Long Long Long Long Long Long Short Long Short Short Long Short Short Short Short Short Short Long Short Short Long Short Short Long Short Short Short Short Short Short Short
Commitment USD 1 392 803 255 665 451 872 145 469 863 065 17 350 405 242 924 1 785 305 175 790 23 640 816 327 3 573 483 259 733 1 403 659 546 765 3 784 041 14 600 192 724 23 889 17 276 6 762 206 001 77 629 264 083 59 200 188 544 231 332 554 2 388 29 700 11 828 860 46 315 387
Unrealised appreciation/ (depreciation) USD (184 572) 9 552 20 233 (11 746) 179 389 1 240 889 42 139 86 542 (2 260) 7 544 22 251 (7 364) 1 621 (9 549) 28 078 (190 796) 9 294 (4 535) 23 688 (10 213) (119) 61 158 (33 775) 5 970 3 677 14 591 (2) 33 162 (223) 2 729 (598 956) 738 397
Merrill Lynch Investment Solutions
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Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD) 5) Credit Suisse Securities (Europe) Limited Commitment of USD 43 867 425 for the short portfolio composed of 47 equities Commitment of USD 14 548 306 for the long portfolio composed of 14 equities Market value of USD (1 070 264) detailed as follows: – unrealised depreciation of short portfolio: USD (704 477) – unrealised depreciation of long portfolio: USD (134 140) – realised result: USD (231 647) 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:
Industrial sector Apparel Auto Parts&Equipment Chemicals Coal Computers Computers Hand/Machine Tools Holding Companies-Divers Home Furnishings Insurance Machinery-Constr&Mining Miscellaneous Manufactur Office/Business Equip Oil&Gas Real Estate Real Estate REITS REITS Retail Telecommunications Water Airlines Auto Manufacturers Auto Parts&Equipment Banks Banks Biotechnology Building Materials Chemicals Diversified Financial Services Electrical Compo&Equip Electric Electric
Underlying nature 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 Equity Equity Equity
Long/Short Short Short Short Short Long Short Short Short Long Short Short Short Short Short Long Short Long Short Short Short Short Long Long Long Long Short Short Short Long Short Short Long Short
Commitment USD 1 348 710 855 000 1 335 000 1 745 441 2 238 679 2 957 376 9 937 1 051 227 3 261 942 257 572 1 727 843 1 451 188 424 549 758 125 463 568 3 787 262 883 400 1 187 317 447 614 3 733 026 403 122 2 726 106 7 118 266 467 1 300 942 2 766 058 23 640 75 984 372 665 1 702 108 944 1 515 168 687 773
Unrealised appreciation/ (depreciation) USD 51 931 (8 500) 7 388 (44 963) 21 317 (66 807) 20 22 589 (142 076) (4 793) (43 087) (23 403) (11 718) 17 191 19 013 30 769 7 811 (6 089) 2 071 (3 447) 4 607 (232 142) (409) 14 185 (8 324) (21 091) 7 544 (1 348) 1 117 183 (4 719) 153 531 4 019
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
120
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Industrial sector Hand/Machine Tools Home Furnishings Insurance Investment Companies Investment Companies Machinery-Constr&Mining Machinery-Diversified Mining Miscellaneous Manufactur Oil&Gas Oil&Gas Private Equity Real Estate REITS REITS Telecommunications Water Total
Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity
Long/Short Long Short Short Long Short Short Short Short Short Long Short Short Short Long Short Short Long
Commitment USD 128 478 2 608 384 1 030 906 731 267 1 738 330 4 453 839 3 149 588 36 765 2 559 922 311 634 191 384 294 634 424 867 260 002 139 765 94 631 80 870 58 415 731
Unrealised appreciation/ (depreciation) USD (210) 123 504 (145 374) 37 328 (88 112) (230 843) (334 083) 11 165 15 191 (16 097) 8 761 25 733 (7 868) 8 445 6 961 2 141 2 371 (838 617)
6) Credit Suisse International Commitment of USD 1 231 214 for the short portfolio composed of 1 derivative Market value of USD 8 610 detailed as follows: – unrealised appreciation of short portfolio: USD 25 473 – realised result: USD (16 863) corresponding to the realised loss on securities which is still held at the counterparty (monthly reset) The below table is composed of short positions:
Industrial sector Swap Index - Diversified Total
Underlying nature Derivatives
Long/Short Short
Commitment USD 1 231 214 1 231 214
Unrealised appreciation/ (depreciation) USD 25 473 25 473
7) Deutsche Bank AG Commitment of USD 1 848 527 for the short portfolio composed of 17 equities Commitment of USD 8 740 597 for the long portfolio composed of 6 equities Market value of USD 81 089 detailed as follows: – unrealised depreciation of short portfolio: USD (108 862) – unrealised appreciation of long portfolio: USD 237 598 – realised result: USD (47 647) 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. Unaudited semi-annual report
Merrill Lynch Investment Solutions
121
Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD) The below table is composed of long and short positions:
Industrial sector Banks Building Materials Chemicals Chemicals Diversified Financial Services Internet Investment Companies Investment Companies Media Oil&Gas Services Oil&Gas Services Oil&Gas Real Estate Real Estate Retail Retail Telecommunications Transportation Total
Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity
Long/Short Short Short Long Short Long Short Long Short Short Long Short Short Long Short Long Short Short Short
Commitment USD 433 459 135 837 28 985 28 985 6 628 360 509 923 57 624 240 879 29 613 1 073 378 59 200 803 779 075 15 213 173 175 173 175 189 354 32 086 10 589 124
Unrealised appreciation/ (depreciation) USD 3 262 998 884 (884) 431 354 (36 049) (18 916) (68 590) 735 (82 056) 4 217 (36) (92 800) (549) (868) 868 (8 531) (4 303) 128 736
8) Goldman Sachs International Commitment of USD 13 046 295 for the short portfolio composed of 11 equities and 1 derivative Commitment of USD 16 512 837 for the long portfolio composed of 7 equities Market value of USD (518 730) detailed as follows: – unrealised depreciation of short portfolio: USD (225 780) – unrealised depreciation of long portfolio: USD (206 338) – realised result: USD (86 612) 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:
Industrial sector Swap Index - Diversified Airlines Auto Manufacturers Banks Banks Gas Hand/Machine Tools Healthcare-Products
Underlying nature Derivatives Equity Equity Equity Equity Equity Equity Equity
Long/Short Short Long Long Long Short Short Short Short
Commitment USD 365 297 1 041 606 2 656 866 7 731 077 7 585 780 695 043 2 483 469 1 225 278
Unrealised appreciation/ (depreciation) USD 1 868 (66 747) 12 177 (228 967) (166 718) 5 734 (43 178) 2 318
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
122
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Industrial sector Insurance Insurance Lodging Machinery-Diversified Oil&Gas Services Oil&Gas Pharmaceuticals Real Estate Semiconductors Total
Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity
Long/Short Long Short Short Long Short Short Long Short Short
Commitment USD 1 614 329 557 561 89 897 3 449 626 34 168 1 456 19 333 5 958 2 388 29 559 132
Unrealised appreciation/ (depreciation) USD 162 246 (41 326) 6 519 (58 028) 1 986 7 368 (27 019) (128) (223) (432 118)
9) HSBC Bank Plc. Commitment of USD 4 645 455 for the short portfolio composed of 4 equities Commitment of USD 20 449 692 for the long portfolio composed of 9 equities Market value of USD (1 122 099) detailed as follows: – unrealised depreciation of short portfolio: USD (16 922) – unrealised depreciation of long portfolio: USD (972 171) – realised result: USD (133 006) 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:
Industrial sector Aerospace/Defense Apparel Commercial Services Food Home Furnishings Mining Oil&Gas Oil&Gas Retail Telecommunications Total
Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Long/Short Short Short Long Long Long Short Long Short Long Long
Commitment USD 995 273 366 128 3 663 759 2 059 163 2 811 247 36 942 10 276 3 247 112 9 673 131 2 232 116 25 095 147
Unrealised appreciation/ (depreciation) USD (48 584) (32 512) (343 159) (37 064) 9 500 (8 206) (4 558) 72 380 (391 113) (205 778) (989 094)
Merrill Lynch Investment Solutions
123
Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD) 10) JPMorgan Chase Bank NA Commitment of USD 11 551 035 for the short portfolio composed of 17 equities and 2 derivatives Commitment of USD 21 869 109 for the long portfolio composed of 25 equities and 1 derivative Market value of USD 324 190 detailed as follows: – unrealised depreciation of short portfolio: USD (476 536) – unrealised appreciation of long portfolio: USD 894 465 – realised result: USD (93 739) 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:
Industrial sector Miscellaneous Manufactur Fund - Equity Swap Index - Diversified Swap Index - Diversified Swap Index - Diversified Airlines Auto Manufacturers Banks Banks Chemicals Chemicals Commercial Services Distribution/Wholesale Diversified Financial Services Diversified Financial Services Electrical Compo&Equip Electric Electronics Food Food Hand/Machine Tools Healthcare-Products Insurance Insurance Internet Investment Companies Iron/Steel Mining Oil&Gas Services Oil&Gas Oil&Gas REITS Semiconductors
Underlying nature Bond Derivatives Derivatives Derivatives Derivatives Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity
Long/Short Short Short Long Short Short Long Long Long Short Long Short Long Short Long Short Long Long Long Long Short Short Long Long Short Long Long Long Long Long Long Short Short Long
Commitment USD 2 031 662 696 449 533 634 897 475 390 611 100 397 3 646 710 214 540 1 820 958 337 271 337 271 510 402 323 853 1 882 012 1 664 479 4 068 169 1 133 525 3 381 494 238 239 1 794 168 7 620 87 050 2 373 307 1 416 594 2 380 031 80 663 156 119 170 979 296 597 119 387 28 931 140 964 7 640
Unrealised appreciation/ (depreciation) USD (32 149) (42 295) 1 776 (13 607) (35 439) 1 742 (22 350) (105 551) (44 390) 337 271 (337 271) (616) (35 449) (78 678) (18 576) 567 446 791 78 499 (1 250) 55 836 12 119 21 592 177 917 (52 772) 131 624 (31 774) 94 004 48 639 (88 986) (231 044) 74 186 (6 729) 713
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
124
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Industrial sector Software Transportation Total
Underlying nature Equity Equity
Long/Short Long Long
Commitment USD 118 857 32 086 33 420 144
Unrealised appreciation/ (depreciation) USD (11 603) 4 303 417 929
11) Morgan Stanley Capital Services Inc. Commitment of USD 12 575 570 for the short portfolio composed of 10 equities and 2 derivatives Commitment of USD 8 095 036 for the long portfolio composed of 14 equities Market value of USD (1 514 718) detailed as follows: – unrealised appreciation of short portfolio: USD 88 033 – unrealised depreciation of long portfolio: USD (1 502 595) – realised result: USD (100 156) 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:
Industrial sector Swap Index - Diversified Airlines Banks Chemicals Chemicals Diversified Financial Services Electric Electric Engineering&Construction Food Fund - Equity Healthcare-Products Insurance Internet Investment Companies Machinery-Constr&Mining Media Metal Fabricate/Hardware Mining Oil&Gas Services Oil&Gas Real Estate Telecommunications Total
Underlying nature Derivatives Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Long/Short Short Short Long Long Short Long Long Short Long Long Short Short Short Long Long Long Long Long Short Long Long Short Short
Commitment USD 2 548 498 127 782 10 358 1 429 235 1 454 272 3 572 167 97 410 1 403 717 247 103 354 804 3 644 751 957 564 1 321 651 43 935 240 879 439 903 650 748 580 274 643 125 319 687 108 533 190 075 284 135 20 670 606
Unrealised appreciation/ (depreciation) USD (62 890) 43 609 (125) (8 285) (188 641) (1 286 071) 20 461 (39 763) (26 480) (45 170) 11 952 (40 341) 81 317 (8 619) 68 590 (64 195) (35 735) (68 353) 195 306 (22 322) (26 291) (5 795) 93 279 (1 414 562)
Merrill Lynch Investment Solutions
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Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD) 12) Societe Generale Commitment of USD 20 719 626 for the short portfolio composed of 37 equities Commitment of USD 36 907 754 for the long portfolio composed of 23 equities Market value of USD (313 859) detailed as follows: – unrealised depreciation of short portfolio: USD (138 775) – unrealised depreciation of long portfolio: USD (504 409) – realised result: USD 329 325 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:
Industrial sector Apparel Computers Food Holding Companies-Divers Lodging Machinery-Diversified Office/Business Equip Oil&Gas Real Estate REITS Telecommunications Transportation Water Airlines Apparel Banks Commercial Services Computers Electric Engineering&Construction Food Healthcare-Products Internet Iron/Steel Iron/Steel Lodging Machinery-Diversified Metal Fabricate/Hardware Office/Business Equip Oil&Gas Services Oil&Gas Oil&Gas Pharmaceuticals Real Estate
Underlying nature 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
Long/Short Long Long Long Long Long Long Long Long Long Long Long Long Long Short Short Short Short Short Short Short Short Short Short Long Short Short Short Short Short Short Long Short Short Long
Commitment USD 2 980 026 942 151 137 328 973 750 652 621 455 589 1 426 751 858 302 752 473 969 705 16 519 400 5 094 793 1 784 058 232 156 3 132 778 112 728 38 587 259 842 88 943 179 331 118 261 87 050 28 954 98 229 138 843 207 189 94 002 236 946 250 552 912 845 3 256 654 338 148 19 333 5 924
Unrealised appreciation/ (depreciation) USD 732 386 31 908 (12 947) 41 491 (31 508) (36 599) (225 490) (18 915) 27 898 (58 459) (760 317) (109 404) (24 463) 63 924 (696 086) 19 480 21 970 (2 153) (8 489) 16 635 12 117 (21 592) 49 029 12 805 (68 557) 10 295 12 102 27 911 (26 013) (35 914) (72 630) 61 006 15 199 (166)
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
126
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Industrial sector Real Estate Semiconductors Telecommunications Transportation Water Total
Underlying nature Equity Equity Equity Equity Equity
Long/Short Short Short Short Short Short
Commitment USD 211 104 2 388 9 999 932 3 756 071 273 644 57 627 381
Unrealised appreciation/ (depreciation) USD 5 144 (223) 397 705 16 157 (8 422) (643 185)
13) UBS AG Commitment of USD 13 957 962 for the short portfolio composed of 23 equities Commitment of USD 20 466 466 for the long portfolio composed of 11 equities Market value of USD 637 594 detailed as follows: – unrealised appreciation of short portfolio: USD 29 231 – unrealised appreciation of long portfolio: USD 585 967 – realised result: USD 22 396 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:
Industrial sector Aerospace/Defense Airlines Banks Biotechnology Chemicals Commercial Services Diversified Financial Services Electric Electric Energy-Alternate Sources Engineering&Construction Engineering&Construction Entertainment Food Fund - Equity Hand/Machine Tools Insurance Internet Machinery-Constr&Mining Metal Fabricate/Hardware Mining Mining
Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Long/Short Short Long Short Long Long Short Long Long Short Short Long Short Long Short Short Short Long Short Short Short Long Short
Commitment USD 2 765 668 416 276 802 600 70 920 5 371 496 38 587 319 569 7 979 357 2 021 476 383 916 718 887 67 772 1 417 112 45 281 673 234 51 625 2 378 805 6 282 114 449 106 382 1 882 67 174
Unrealised appreciation/ (depreciation) USD 61 156 (19 244) (75 321) (21 722) 79 119 21 970 79 923 341 832 (14 579) (23 368) 70 356 12 230 242 095 (4 978) (13 096) 75 032 (234 954) 1 230 45 564 12 531 86 (14 172)
Merrill Lynch Investment Solutions
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Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Industrial sector Miscellaneous Manufactur Oil&Gas Services Oil&Gas Services Oil&Gas Real Estate Total
Underlying nature Equity Equity Equity Equity Equity
Long/Short Short Long Short Short Short
Commitment USD 4 927 684 1 792 162 1 333 846 313 668 238 318 34 424 428
Unrealised appreciation/ (depreciation) USD 42 511 48 476 (75 582) (9 966) (11 931) 615 198
The total market value of the contracts for difference swaps is USD (1 635 590).
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
128
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund Schedule of Investments as at September 30, 2016 (expressed in USD)
Nominal value
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 (cont.) 4 327 703 2 165 000 440 000 455 000 1 255 000 3 605 000 1 675 000 1 015 000 800 000 675 000 2 055 000 140 000 1 170 000 1 290 000 1 215 000 655 000 2 150 000 2 377 000 1 015 000 2 965 000 1 185 000 730 000 185 000 1 305 000 1 700 000 300 000 1 520 000 790 000 1 005 000 1 065 000 1 690 000 725 000 915 000 780 000 720 000 1 010 000 185 000 670 000 2 800 000
21st Century Oncology, Inc. 144A 11.000% 01/05/2023 24 Hour Hldg. III LLC 144A 8.000% 01/06/2022 Accudyne Industries Borrower 144A 7.750% 15/12/2020 Aleris International, Inc. 144A 9.500% 01/04/2021 Algeco Scotsman Global Finance Plc. 144A 8.500% 15/10/2018 Altice Financing S.A. 144A 7.500% 15/05/2026 Altice Finco S.A. 144A 7.625% 15/02/2025 Antero Midstream PartnersAntero Midstream Finance Corp. 144A 5.375% 15/09/2024 Banco Espirito Santo S.A. FRN 28/11/2023 BCD Acquisition, Inc. 144A 9.625% 15/09/2023 BreitBurn Energy Partners LP FRN 15/04/2022 BreitBurn Energy Partners LP FRN 15/10/2020 BWAY Hldg. Co. 144A 9.125% 15/08/2021 Caesars Entertainment Resort Properties LLC 8.000% 01/10/2020 Callon Petroleum Co. 144A 6.125% 01/10/2024 Carolina Beverage Group LLC 144A 10.625% 01/08/2018 CCO Hldg. LLC 144A 5.750% 15/02/2026 Choctaw Resort Development Enterprise 144A 7.250% 15/11/2019 Cincinnati Bell, Inc. 144A 7.000% 15/07/2024 Citgo Hldg., Inc. 144A 10.750% 15/02/2020 CITGO Petroleum Corp. 144A 6.250% 15/08/2022 Cloud Crane LLC 144A 10.125% 01/08/2024 Co-Operative Bank Plc. FRN 01/07/2025 CommScope Technologies Finance LLC 144A 6.000% 15/06/2025 Constellis Hldg. LLC 144A 9.750% 15/05/2020 Crimson Merger Sub, Inc. 144A 6.625% 15/05/2022 CSC Holdings LLC 144A 10.875% 15/10/2025 CVR Partners LP 144A 9.250% 15/06/2023 Dakota Merger Sub, Inc. 144A 7.750% 01/09/2023 Dakota Merger Sub, Inc. 144A 10.750% 01/09/2024 Digicel Ltd. 144A 6.750% 01/03/2023 DISH DBS Corp. 5.875% 15/11/2024 DJO Finco, Inc. 144A 8.125% 15/06/2021 Donnelley Financial Solutions, Inc. 144A 8.250% 15/10/2024 Engility Corp. 144A 8.875% 01/09/2024 Extraction Oil & Gas Hldg. LLC 144A 7.875% 15/07/2021 FBM Finance, Inc. 144A 8.250% 15/08/2021 First Data Corp. 144A 7.000% 01/12/2023 Frontier Communications Corp. 11.000% 15/09/2025
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
USD USD USD USD
4 076 216 1 813 736 381 113 459 151
3 683 957 1 759 062 348 700 490 263
2.58 1.23 0.24 0.34
USD USD USD
1 137 817 3 615 781 1 575 153
1 135 398 3 753 706 1 683 375
0.79 2.63 1.18
USD EUR USD USD USD USD
1 015 000 801 543 675 000 815 170 23 241 1 099 004
1 027 688 5 664 705 375 1 048 050 71 400 1 213 875
0.72 0.00 0.49 0.73 0.05 0.85
USD USD USD USD
1 293 316 1 215 000 670 073 2 150 000
1 333 537 1 257 525 610 788 2 279 000
0.93 0.88 0.43 1.59
USD USD USD USD USD GBP
2 359 414 1 015 000 2 912 318 1 148 776 731 000 290 801
2 377 000 1 040 375 2 972 412 1 155 375 757 375 175 430
1.66 0.73 2.08 0.81 0.53 0.12
USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD
1 268 775 1 614 739 241 872 1 536 041 771 114 1 005 000 1 051 207 1 541 326 703 821 923 916 780 000 723 539 1 022 100 185 000 696 005 2 957 116
1 391 456 1 670 250 264 750 1 778 400 764 325 1 006 256 1 043 700 1 491 425 715 938 848 663 789 750 729 000 1 050 400 193 325 708 525 2 922 500
0.97 1.17 0.19 1.24 0.53 0.70 0.73 1.04 0.50 0.59 0.55 0.51 0.74 0.14 0.50 2.04
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Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (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 (cont.) Bonds (cont.) 955 000 357 000 215 000 1 710 000 2 085 000 1 065 000 1 570 000 415 000 1 000 000 3 300 000 2 529 000 900 000 3 165 000 2 030 000 2 823 000 1 230 000 445 000 620 000 320 000 95 000 30 000 470 000 3 040 000 1 855 000 1 935 000 2 175 000 985 000 395 000 1 060 000 2 390 000 695 000 1 722 000 1 475 000 1 575 000 1 015 000 460 000 2 000 000 1 225 000 1 075 000 1 645 000 1 010 000 450 000 990 000
Genworth Holdings, Inc. 4.800% 15/02/2024 Genworth Holdings, Inc. 4.900% 15/08/2023 Genworth Holdings, Inc. 6.500% 15/06/2034 GEO Group, Inc. 6.000% 15/04/2026 Harland Clarke Hldg. Corp. 144A 9.250% 01/03/2021 HC2 Hldg., Inc. 144A 11.000% 01/12/2019 HCA, Inc. 4.500% 15/02/2027 HCA, Inc. 5.250% 15/06/2026 Hexion, Inc. 6.625% 15/04/2020 Horizon Pharma, Inc. 6.625% 01/05/2023 HRG Group, Inc. 7.750% 15/01/2022 IDH Finance Plc. 6.250% 15/08/2022 Immucor, Inc. 11.125% 15/08/2019 IMS Health, Inc. 144A 5.000% 15/10/2026 Innovation Ventures LLC 144A 9.500% 15/08/2019 Jac Hldg. Corp. 144A 11.500% 01/10/2019 Jefferies Finance LLC 144A 7.375% 01/04/2020 Jefferies Finance LLC 144A 7.500% 15/04/2021 Kinder Morgan Energy Partners LP 6.375% 01/03/2041 Kinder Morgan Energy Partners LP 6.500% 01/09/2039 Kinder Morgan Energy Partners LP 6.550% 15/09/2040 Kinder Morgan Energy Partners LP 6.950% 15/01/2038 Kinetic Concepts, Inc. 10.500% 01/11/2018 Kinetic Concepts, Inc.KCI USA, Inc. 144A 9.625% 01/10/2021 Kronos Acquisition Hldg., Inc. 144A 9.000% 15/08/2023 Level 3 Financing, Inc. 144A 5.250% 15/03/2026 LTF Merger Sub, Inc. 144A 8.500% 15/06/2023 MGM Resorts International 4.625% 01/09/2026 Momentive Performance Materials, Inc. 3.880% 24/10/2021 NANA Development Corp. 144A 9.500% 15/03/2019 NBTY, Inc. 144A 7.625% 15/05/2021 NeuStar, Inc. 4.500% 15/01/2023 Nexstar Escrow Corp. 144A 5.625% 01/08/2024 NRG Yield Operating LLC 144A 5.000% 15/09/2026 PDC Energy, Inc. 144A 6.125% 15/09/2024 Platform Specialty Products Corp. 144A 6.500% 01/02/2022 Prime Security Services Borrower LLC 144A 9.250% 15/05/2023 PriSo Acquisition Corp. 144A 9.000% 15/05/2023 Reynolds Group Issuer, Inc. 144A 5.125% 15/07/2023 Rite Aid Corp. 144A 6.125% 01/04/2023 Sabine Pass Liquefaction LLC 144A 5.000% 15/03/2027 Sabine Pass Liquefaction LLC 144A 5.875% 30/06/2026 SBA Communications Corp. 144A 4.875% 01/09/2024
USD USD USD USD USD USD USD USD USD USD USD GBP USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD
747 719 283 799 159 482 1 717 141 2 087 512 1 061 762 1 570 000 436 542 917 108 2 992 169 2 533 379 1 177 560 2 952 179 2 030 000 2 766 490 1 235 612 410 539 608 212 312 125 90 922 25 355 412 446 3 019 212 1 855 000 1 816 747 2 175 000 982 508 395 000 863 969 2 350 684 699 977 1 528 128 1 475 000 1 575 000 1 015 000 413 518
785 488 297 203 175 225 1 453 500 1 772 250 1 043 700 1 579 812 440 938 880 000 3 110 250 2 620 676 1 140 574 2 983 012 2 111 200 2 968 384 1 298 880 433 875 602 950 345 796 102 285 32 264 533 571 3 195 800 1 855 000 1 994 250 2 245 687 1 014 550 385 125 883 775 2 127 100 710 512 1 541 190 1 478 687 1 543 500 1 050 525 447 350
0.55 0.21 0.12 1.02 1.24 0.73 1.11 0.31 0.62 2.18 1.83 0.80 2.09 1.48 2.08 0.91 0.30 0.42 0.24 0.07 0.02 0.37 2.24 1.30 1.40 1.57 0.71 0.27 0.62 1.49 0.50 1.08 1.03 1.08 0.74 0.31
USD USD USD USD USD USD USD
2 015 938 1 219 188 1 111 721 1 764 275 1 010 000 450 000 981 992
2 180 000 1 188 250 1 109 937 1 775 235 1 035 250 489 094 997 425
1.53 0.83 0.78 1.24 0.72 0.34 0.70
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
130
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Nominal value
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 (cont.) 1 830 000 985 000 1 255 000 1 450 000 660 000 995 000 2 445 000 145 000 2 785 000 1 660 000 310 000 120 000 2 135 000 810 000 2 020 000 225 000 380 000 180 000 390 000 615 000 965 000 665 000 1 455 000 325 000 1 830 000
SFR Group S.A. 144A 7.375% 01/05/2026 Sinclair Television Group, Inc. 144A 5.125% 15/02/2027 Sinclair Television Group, Inc. 144A 5.625% 01/08/2024 Speedy Cash Intermediate Hldg. Corp. 144A 10.750% 15/05/2018 SPL Logistics Escrow LLC 144A 8.875% 01/08/2020 Tallgrass Energy Partners LP 144A 5.500% 15/09/2024 TerraForm Power Operating LLC 144A FRN 01/02/2023 TerraForm Power Operating LLC 144A FRN 15/06/2025 Transworld Systems, Inc. 144A 9.500% 15/08/2021 Tribune Media Co. 5.875% 15/07/2022 TVL Finance Plc. 144A 8.500% 15/05/2023 TVL Finance Plc. 8.500% 15/05/2023 Universal Health Services, Inc. 144A 5.000% 01/06/2026 Valeant Pharmaceuticals International, Inc. 144A 5.500% 01/03/2023 Valeant Pharmaceuticals International, Inc. 144A 5.625% 01/12/2021 Valeant Pharmaceuticals International, Inc. 144A 6.125% 15/04/2025 Valeant Pharmaceuticals International, Inc. 144A 6.375% 15/10/2020 Valeant Pharmaceuticals International, Inc. 144A 7.000% 01/10/2020 Warren Resources, Inc. FRN 01/08/2022 Weatherford International LLC 6.800% 15/06/2037 Weatherford International Ltd. 7.000% 15/03/2038 WFS Global Hldg. SAS 144A 9.500% 15/07/2022 WMG Acquisition Corp. 144A 5.000% 01/08/2023 Xerium Technologies, Inc. 144A 9.500% 15/08/2021 Zayo Group LLC 6.375% 15/05/2025 Total Bonds
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
USD USD USD
1 830 000 985 000 1 224 069
1 870 608 962 838 1 283 237
1.31 0.67 0.90
USD USD USD USD USD USD USD GBP GBP USD
1 455 560 540 969 995 000 2 114 935 117 495 2 565 583 1 641 199 454 959 177 454 2 135 000
1 044 000 537 900 1 002 463 2 512 237 152 250 1 503 900 1 679 712 422 663 163 612 2 223 069
0.73 0.38 0.70 1.76 0.11 1.05 1.18 0.30 0.11 1.56
USD
702 668
692 550
0.48
USD
1 757 603
1 802 850
1.26
USD
184 081
193 781
0.14
USD
338 476
356 250
0.25
USD USD USD USD EUR USD USD USD
166 607 385 249 424 326 660 896 750 797 1 455 000 320 255 1 791 108 128 715 393
174 600 3 900 442 800 709 275 737 752 1 476 825 329 063 1 939 800 128 432 003
0.12 0.00 0.31 0.50 0.52 1.03 0.23 1.36 89.87
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131
Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund Schedule of Investments as at September 30, 2016 (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 6 100 320 160 19 400 78 150 32 161 5 051 20 241 20 624 8 158 46 865 451 84 33 583 92 771 63 143 7 998
Celesio AG Continental Resources, Inc. Diamondback Energy, Inc. Federal National Mortgage Association - O - Pref 0.000% Federal National Mortgage Association - P - Pref 0.000% Horizon Pharma Plc. Kabel Deutschland Hldg. AG Liberty Global Plc. - A Liberty Global Plc. - C MGM Growth Properties LLC MGM Resorts International Parsley Energy, Inc. - A Pioneer Natural Resources Co. SFR Group S.A. Watchstone Group Plc. Whiting Petroleum Corp. Wincor Nixdorf AG Total Shares
EUR USD USD USD USD USD EUR USD USD USD USD USD USD EUR GBP USD EUR
172 777 15 082 15 130 330 093 649 933 451 337 593 203 744 590 719 236 179 094 1 066 921 15 043 15 073 1 283 826 1 239 114 1 344 877 481 760 9 317 089
176 829 16 627 15 446 102 354 207 098 583 079 625 814 691 837 681 417 212 679 1 219 896 15 113 15 595 989 181 245 538 551 870 598 072 6 948 445
0.12 0.01 0.01 0.07 0.15 0.41 0.44 0.48 0.48 0.15 0.85 0.01 0.01 0.69 0.17 0.39 0.42 4.86
USD
26 560 26 560 138 059 042
0 0 135 380 448
0.00 0.00 94.73
Other transferable securities Bonds 270 000
MPM Escrow LLC 8.875% 15/10/2020 Total Bonds Total Investments
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
132
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD) Industrial classification of investments (as a percentage of net assets as at September 30, 2016) Media Telecommunications Healthcare-Products Oil&Gas Healthcare-Services Pharmaceuticals Lodging Pipelines Diversified Finan Serv Commercial Services Engineering&Construction Entertainment Software Beverages Chemicals Retail Leisure Time Energy-Alternate Sources Computers Holding Companies-Divers Packaging&Containers Household Product/Wares Internet REITS Electric Miscellaneous Manufactur Transportation Insurance Oil&Gas Services Storage/Warehouse Machinery-Diversified Mining Aerospace/Defense Sovereign Banks Energy Materials
% 14.32 8.16 7.21 6.44 5.56 5.46 3.89 3.18 3.13 2.70 2.70 2.69 2.53 2.51 2.08 2.07 1.94 1.87 1.83 1.83 1.63 1.40 1.36 1.17 1.08 0.91 0.90 0.88 0.81 0.79 0.76 0.34 0.24 0.22 0.12 0.02 0 94.73
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Geographical classification of investments (as a percentage of net assets as at September 30, 2016) United States Luxembourg United Kingdom France Canada Bermuda Germany Jersey Portugal
% 80.51 4.05 2.84 2.52 1.88 1.54 0.98 0.41 0.00 94.73
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133
Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Purchase Sale Forward foreign exchange contracts EUR 2 148 000 USD GBP 411 000 USD USD 5 677 595 EUR USD 2 452 145 GBP EUR 96 933 964 USD GBP 5 704 796 USD USD 4 734 615 EUR USD 164 914 GBP USD 385 766 GBP Total forward foreign exchange contracts
Short/ Long Currency Options Short USD Long USD Total Options
Description SPDR S&P 500 ETF SPDR S&P 500 ETF
2 395 912 538 750 5 008 000 1 816 000 109 135 527 7 400 290 4 225 403 127 156 289 000
Maturity date
Counterparty
20/10/2016 20/10/2016 20/10/2016 20/10/2016 31/10/2016 31/10/2016 31/10/2016 31/10/2016 20/01/2017
State Street Bank and Trust Co State Street Bank and Trust Co State Street Bank and Trust Co State Street Bank and Trust Co State Street Bank and Trust Co State Street Bank and Trust Co State Street Bank and Trust Co State Street Bank and Trust Co State Street Bank and Trust Co
Put/ Call
Strike Price
Maturity date
Quantity
Put Put
197.000 207.000
21/10/2016 21/10/2016
(2 733) 2 733
Unrealised appreciation/ (depreciation) USD 19 852 (4 672) 45 311 92 326 (60 275) 14 537 (20 033) (357) 9 455 96 144
Market value USD
Commitment USD
(32 796) 150 315 117 519
53 840 000 – 32 796
State Street Global Markets is the counterparty to these options.
Notional Pay Credit default swaps 16 800 000 USD Total Credit default swaps
Receive Morgan Stanley
Currency
Maturity date
USD
22/09/2023
Unrealised appreciation/ (depreciation) Commitment Counterparty USD USD (70 329) (70 329)
7 032 950 7 032 950
The maximum individual counterparty exposure for OTC Derivatives as at September 30, 2016 is 0.62% of the NAV.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
134
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Merrill Lynch WNT Diversified Futures UCITS Fund Schedule of Investments as at September 30, 2016 (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 19 000 000 Inter-American Development Bank 0.000% 05/10/2016 26 000 000 Inter-American Development Bank 0.000% 03/11/2016 19 000 000 Inter-American Development Bank 0.000% 17/11/2016 20 000 000 Inter-American Development Bank 0.000% 01/12/2016 22 000 000 International Bank for Reconstruction and Development 0.000% 20/10/2016 20 000 000 International Bank for Reconstruction and Development 0.000% 25/11/2016 20 000 000 International Bank for Reconstruction and Development 0.000% 08/12/2016 20 000 000 International Bank for Reconstruction and Development 0.000% 21/12/2016 26 000 000 International Bank for Reconstruction and Development 0.000% 04/01/2017 18 000 000 International Bank for Reconstruction and Development 0.000% 11/01/2017 1 000 United States Treasury Note/Bond 6.000% 15/02/2026 1 000 United States Treasury Note/Bond 6.500% 15/11/2026 1 000 United States Treasury Note/Bond 6.750% 15/08/2026 1 000 United States Treasury Note/Bond 6.875% 15/08/2025 1 000 United States Treasury Note/Bond 7.500% 15/11/2024 1 000 United States Treasury Note/Bond 7.625% 15/02/2025 Total Supranationals, Governments and Local Public Authorities, Debt Instruments Total Investments
Industrial classification of investments (as a percentage of net assets as at September 30, 2016) Sovereign
% 79.29 79.29
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
USD USD USD USD
18 999 346 25 991 897 18 993 054 19 992 206
18 999 791 25 995 086 18 994 775 19 991 480
7.18 9.82 7.18 7.55
USD
21 996 981
21 998 020
8.31
USD
19 990 833
19 993 520
7.55
USD
19 988 667
19 990 460
7.55
USD
19 983 244
19 988 580
7.55
USD
25 976 752
25 981 852
9.81
USD USD USD USD USD USD USD
17 985 720 1 293 1 347 1 364 1 354 1 383 1 399
17 986 500 1 386 1 456 1 472 1 446 1 464 1 485
6.79 0.00 0.00 0.00 0.00 0.00 0.00
209 906 840 209 906 840
209 928 773 209 928 773
79.29 79.29
Geographical classification of investments (as a percentage of net assets as at September 30, 2016) United States
% 79.29 79.29
Merrill Lynch Investment Solutions
135
Merrill Lynch Investment Solutions – Merrill Lynch WNT Diversified Futures UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Underlying Currency nature contract Details Futures contracts (cont.) Currency USD Australian Dollar Currency USD Canadian Dollar Currency USD Euro Currency USD Japanese Yen Currency USD Mexican Peso (a) Currency USD New Zealand Dollar Currency USD Pound Sterling Currency USD Swiss Franc Index EUR Amsterdam Index Index EUR CAC 40 10 Euro Index Index EUR DAX Index Index USD DJIA Mini Index Index EUR Euro Stoxx 50 Index Index GBP FTSE 100 Index Index USD FTSE China A50 Index
Market Chicago Mercantile Exchange Chicago Mercantile Exchange Chicago Mercantile Exchange Chicago Mercantile Exchange Chicago Mercantile Exchange Chicago Mercantile Exchange Chicago Mercantile Exchange Chicago Mercantile Exchange NYSE Liffe Amsterdam Euronext Paris Eurex Deutschland Chicago Board of Trade Eurex Deutschland ICE Futures Europe Singapore Exchange (was SIMEX) South African Futures Exchange Borsa Italiana Hong Kong Futures Exchange Hong Kong Futures Exchange
Index
ZAR
FTSE JSE TOP 40 Index
Index Index Index Index
EUR HKD HKD USD
Index
SGD
Index
USD
Index
USD
Index Index
JPY SEK
FTSE MIB Index H-Shares Index Hang Seng Index MSCI Emerging Markets Mini Index ICE Futures US Indices MSCI Singapore Index Singapore Exchange (was SIMEX) MSCI Taiwan Index Singapore Exchange (was SIMEX) Nasdaq 100 E-Mini Index Chicago Mercantile Exchange Nikkei 225 Index Osaka Exchange 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 TSX 60 Index Montreal Exchange SGX CNX Nifty Index Singapore Exchange (was SIMEX) SPI 200 Index Australian Stock Exchange Topix Index Osaka Exchange 10 Year Australian Treasury Bond Australian Stock Exchange 10 Year Government of Canada Bond Montreal Exchange
Index Index Index
USD USD USD
Index Index
CAD USD
Index Index Interest rate
AUD JPY AUD
Interest rate
CAD
Unrealised Number of Number of appreciation/ Maturity contracts contracts Commitment (depreciation) date bought sold USD USD 19/12/2016 20/12/2016 19/12/2016 19/12/2016 19/12/2016 19/12/2016 19/12/2016 19/12/2016 21/10/2016 21/10/2016 16/12/2016 16/12/2016 16/12/2016 16/12/2016
86 – – 494 – 28 – – 7 42 27 54 281 102
– 99 427 – 156 – 494 15 – – – – – –
6 578 140 7 552 215 60 190 988 61 073 838 3 988 140 2 033 920 40 128 238 1 940 625 711 298 2 097 314 7 974 415 4 919 130 9 454 687 9 086 050
93 065 (32 560) (25 994) 261 725 35 940 (4 090) 832 019 (8 087) 12 609 23 622 67 639 23 110 18 059 236 223
28/10/2016
101
–
966 318
(10 748)
15/12/2016 16/12/2016 28/10/2016 28/10/2016
– – 62 90
13 2 – –
434 179 183 820 3 837 054 13 526 196
(1 380) 877 (84 999) (136 295)
16/12/2016
187
–
8 531 875
118 610
28/10/2016
13
–
300 484
1 247
28/10/2016
87
–
2 972 790
(23 560)
16/12/2016 08/12/2016
317 11
– –
30 877 385 1 786 896
518 376 (30 316)
21/10/2016 16/12/2016 16/12/2016
83 179 –
– – 365
1 393 602 22 344 570 39 427 300
18 256 363 165 (442 903)
16/12/2016 15/12/2016
16 20
– –
2 479 360 2 602 853
30 875 42 814
27/10/2016 15/12/2016 08/12/2016
82 75 8
– – –
1 418 764 7 771 117 1 045 178
(35 276) 156 762 (8 493)
15/12/2016
169
–
17 719 942
141 228
19/12/2016
31
–
3 465 490
4 938
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
136
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Merrill Lynch WNT Diversified Futures UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Underlying Currency nature contract Details Futures contracts (cont.) Interest rate JPY 10 Year Japan Government Bond Interest rate USD 10 Year US Treasury Note Interest rate USD 2 Year US Treasury Note Interest rate CAD 3 Month Canadian Banker’s Acceptance Interest rate CAD 3 Month Canadian Banker’s 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 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 NZD 3 Month New Zealand Bank Bill Interest rate AUD 3 Month New Zealand Bank Bill Interest rate NZD 3 Month New Zealand Bank Bill Interest rate AUD 3 Year Australian Treasury Bond Interest rate USD 5 Year US Treasury Note 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 USD 90 Day Eurodollar Interest rate USD 90 Day Eurodollar Interest rate USD 90 Day Eurodollar Interest rate USD 90 Day Eurodollar
Market
Osaka Exchange
13/12/2016
15
–
22 565 546
94 603
Chicago Board of Trade Chicago Board of Trade
20/12/2016 30/12/2016
304 –
– 146
39 862 000 31 896 438
86 109 (40 641)
Montreal Exchange
19/12/2016
–
19
3 582 243
(856)
Montreal Exchange ICE Futures Europe ICE Futures Europe ICE Futures Europe ICE Futures Europe ICE Futures Europe ICE Futures Europe ICE Futures Europe ICE Futures Europe ICE Futures Europe ICE Futures Europe ICE Futures Europe ICE Futures Europe
13/03/2017 17/09/2018 19/06/2017 18/09/2017 18/12/2017 19/03/2018 18/06/2018 17/12/2018 18/03/2019 17/06/2019 16/09/2019 13/03/2017 19/12/2016
– 198 161 190 209 211 213 175 160 145 95 – –
11 – – – – – – – – – – 4 9
2 074 244 55 836 708 45 384 483 53 567 335 58 932 876 59 502 755 60 066 762 49 345 710 45 111 582 40 876 261 26 775 660 1 040 128 2 339 592
(856) 2 992 (17 349) (17 826) (14 342) (6 982) (3 821) 5 155 9 735 11 210 3 245 (232) 181
Australian Stock Exchange
14/12/2016
–
1
723 436
0
Australian Stock Exchange
09/03/2017
72
–
54 873 415
1 309
Australian Stock Exchange
15/03/2017
13
–
9 406 974
(3 392)
Australian Stock Exchange Chicago Board of Trade
15/12/2016 30/12/2016
217 –
– 67
18 816 219 8 141 547
12 897 (25 000)
Australian Stock Exchange
08/12/2016
47
–
35 815 749
(2 732)
Australian Stock Exchange
08/06/2017
47
–
35 823 665
4 266
Australian 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 Chicago Mercantile Exchange Chicago Mercantile Exchange
07/09/2017 19/06/2017 18/09/2017 18/12/2017 19/03/2018 18/06/2018 17/09/2018 17/12/2018 18/03/2019 17/06/2019 16/09/2019
52 175 189 202 195 195 180 159 141 127 84
– – – – – – – – – – –
39 636 640 43 319 063 46 768 050 49 962 175 48 221 063 48 206 438 44 482 500 39 274 988 34 819 950 31 353 125 20 730 150
786 (81 688) (86 088) (89 375) (78 462) (72 975) (65 012) (54 125) (46 037) (32 575) (5 587)
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Unrealised Number of Number of appreciation/ Maturity contracts contracts Commitment (depreciation) date bought sold USD USD
Merrill Lynch Investment Solutions
137
Merrill Lynch Investment Solutions – Merrill Lynch WNT Diversified Futures UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Underlying Currency nature contract Details Futures contracts (cont.) Interest rate GBP 90 Day Sterling Interest rate GBP 90 Day Sterling Interest rate GBP 90 Day Sterling Interest rate GBP 90 Day Sterling Interest rate GBP 90 Day Sterling Interest rate GBP 90 Day Sterling Interest rate GBP 90 Day Sterling Interest rate GBP 90 Day Sterling Interest rate GBP 90 Day Sterling Interest rate GBP 90 Day Sterling Interest rate EUR Euro BTP Interest rate EUR Euro OAT Interest rate EUR German Euro BOBL Interest rate EUR German Euro BUND Interest rate EUR German Euro BUXL Interest rate EUR German Euro SCHATZ Interest rate GBP Long Gilt Interest rate EUR Short Euro BTP Interest rate USD US Long Bond Interest rate USD US Ultra Long Bond Total Futures contracts
Unrealised Number of Number of appreciation/ Maturity contracts contracts Commitment (depreciation) date bought sold USD USD
Market ICE Futures Europe ICE Futures Europe ICE Futures Europe ICE Futures Europe ICE Futures Europe ICE Futures Europe ICE Futures Europe ICE Futures Europe ICE Futures Europe ICE Futures Europe Eurex Deutschland Eurex Deutschland Eurex Deutschland Eurex Deutschland Eurex Deutschland Eurex Deutschland ICE Futures Europe Eurex Deutschland Chicago Board of Trade Chicago Board of Trade
21/06/2017 20/09/2017 20/12/2017 21/03/2018 20/06/2018 19/09/2018 19/12/2018 20/03/2019 19/06/2019 18/09/2019 08/12/2016 08/12/2016 08/12/2016 08/12/2016 08/12/2016 08/12/2016 28/12/2016 08/12/2016 20/12/2016 20/12/2016
167 194 212 212 212 196 171 155 138 89 40 46 430 276 1 634 62 22 141 88
– – – – – – – – – – – – – – – – – – – –
27 040 696 31 415 696 34 333 996 34 333 996 34 330 554 31 736 386 27 682 824 25 087 585 22 329 321 14 396 459 6 432 182 8 277 372 63 830 383 51 394 973 215 972 79 894 981 10 490 074 2 788 822 23 710 031 16 181 000 2 135 852 944
21 271 26 841 32 459 36 843 34 245 33 433 32 848 32 572 22 944 4 725 (17 531) 34 894 182 325 283 928 3 551 72 727 (68 977) (34) (208 336) (222 063) 1 981 658
(a) This security is fair valued. See Notes 2.2.6 and 9
Purchase Sale Forward foreign exchange contracts (cont.) BRL 54 801 841 USD USD 16 800 000 BRL CLP 1 999 700 000 USD INR 1 639 370 050 USD PHP 81 842 100 USD USD 600 000 PHP CNY 40 194 573 USD EUR 236 209 959 USD GBP 378 405 USD IDR 64 689 200 000 USD KRW 1 212 561 000 USD MYR 1 649 500 USD RUB 135 679 000 USD USD 1 600 000 CNY USD 1 070 082 EUR
16 800 000 54 617 425 3 000 000 24 100 000 1 700 000 29 068 500 6 000 000 265 942 887 490 869 4 900 000 1 100 000 400 000 2 100 000 10 662 740 953 674
Maturity date
Counterparty
Unrealised appreciation/ (depreciation) USD
04/10/2016 04/10/2016 28/10/2016 28/10/2016 28/10/2016 28/10/2016 31/10/2016 31/10/2016 31/10/2016 31/10/2016 31/10/2016 31/10/2016 31/10/2016 31/10/2016 31/10/2016
Merrill Lynch International Bank Ltd. Merrill Lynch International Bank Ltd. Merrill Lynch International Bank Ltd. Merrill Lynch International Bank Ltd. Merrill Lynch International Bank Ltd. Merrill Lynch International Bank Ltd. Merrill Lynch International Bank Ltd. State Street Bank and Trust Co. State Street Bank and Trust Co. Merrill Lynch International Bank Ltd. Merrill Lynch International Bank Ltd. Merrill Lynch International Bank Ltd. Merrill Lynch International Bank Ltd. Merrill Lynch International Bank Ltd. State Street Bank and Trust Co.
68 074 (11 310) 28 821 416 198 (13 436) 970 20 176 (146 878) 964 36 976 781 (1 744) 40 315 2 979 (3 043)
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
138
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Merrill Lynch WNT Diversified Futures UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Purchase Sale Forward foreign exchange contracts (cont.) USD 10 688 GBP USD 100 000 IDR USD 200 000 MYR USD 900 000 TWD BRL 43 220 135 USD USD 100 000 BRL PHP 81 933 000 USD CNY 30 872 000 USD INR 175 856 500 USD AUD 600 000 NZD EUR 100 000 NOK EUR 6 900 000 SEK HUF 1 924 759 974 EUR ILS 751 039 USD NOK 16 368 192 EUR NOK 21 000 000 SEK NZD 3 190 683 AUD PLN 36 582 357 EUR SEK 2 882 258 EUR SEK 1 049 428 NOK SGD 3 137 170 USD TRY 28 278 593 USD USD 200 000 ILS USD 900 000 SGD USD 800 000 TRY ZAR 56 101 636 USD INR 40 674 000 USD Total forward foreign exchange contracts
8 241 1 296 000 000 828 300 28 189 500 13 200 000 326 600 1 700 000 4 600 000 2 600 000 632 222 931 172 65 857 809 6 200 000 200 000 1 800 000 21 725 367 3 100 000 8 400 000 300 000 1 000 000 2 300 000 9 400 000 753 459 1 224 918 2 424 629 3 900 000 600 000
Maturity date
Counterparty
31/10/2016 31/10/2016 31/10/2016 31/10/2016 03/11/2016 03/11/2016 29/11/2016 30/11/2016 30/11/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 21/12/2016 23/12/2016
State Street Bank and Trust Co. Merrill Lynch International Bank Ltd. Merrill Lynch International Bank Ltd. Merrill Lynch International Bank Ltd. Merrill Lynch International Bank Ltd. Merrill Lynch International Bank Ltd. Merrill Lynch International Bank Ltd. Merrill Lynch International Bank Ltd. Merrill Lynch International Bank Ltd. Merrill Lynch International Bank Ltd. Merrill Lynch International Bank Ltd. Merrill Lynch International Bank Ltd. Merrill Lynch International Bank Ltd. Merrill Lynch International Bank Ltd. Merrill Lynch International Bank Ltd. Merrill Lynch International Bank Ltd. Merrill Lynch International Bank Ltd. Merrill Lynch International Bank Ltd. Merrill Lynch International Bank Ltd. Merrill Lynch International Bank Ltd. Merrill Lynch International Bank Ltd. Merrill Lynch International Bank Ltd. Merrill Lynch International Bank Ltd. Merrill Lynch International Bank Ltd. Merrill Lynch International Bank Ltd. Merrill Lynch International Bank Ltd. Merrill Lynch International Bank Ltd.
Unrealised appreciation/ (depreciation) USD (23) 1 091 15 36 (12 341) 345 (12 998) 18 631 15 509 (17) (3 736) 65 622 8 582 512 18 076 82 248 (54 867) 68 873 (641) (2 172) 1 972 (122 173) (1 158) 1 188 4 512 118 544 2 756 638 229
The maximum individual counterparty exposure for OTC Derivatives as at September 30, 2016 is 0.54% of the NAV. The Sub-Fund Merrill Lynch Investment Solutions – Merrill Lynch WNT Diversified Futures UCITS Fund entered into contracts for difference swaps with two counterparties (Morgan Stanley Capital Services Inc. and Morgan Stanley International Plc..) with the following details: 1) Morgan Stanley Capital Services Inc. Commitment of USD 5 664 884 for the short portfolio composed of 52 equities Commitment of USD 1 560 001 for the long portfolio composed of 24 equities Market value of USD (289 612) detailed as follows: – unrealised depreciation of short portfolio: USD (332 860) – unrealised appreciation of long portfolio: USD 12 302 – realised result: USD 30 946 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. Unaudited semi-annual report
Merrill Lynch Investment Solutions
139
Merrill Lynch Investment Solutions – Merrill Lynch WNT Diversified Futures UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD) The below table is composed of long and short positions:
Industrial sector Shipbuilding Software Software Telecommunications Telecommunications Textiles Toys/Games/Hobbies Transportation Transportation Total
Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity
Long/Short Long Long Short Long Short Short Short Long Short
Commitment USD 742 246 208 1 876 773 553 057 2 281 608 88 033 268 978 759 994 1 149 492 7 224 885
Unrealised appreciation/ (depreciation) USD – (23 954) (163 905) 93 454 (87 711) (3 569) 23 364 (57 198) (101 039) (320 558)
2) Morgan Stanley International Plc. Commitment of USD 22 658 920 for the short portfolio composed of 179 equities Commitment of USD 79 179 429 for the long portfolio composed of 311 equities Market value of USD (452 890) detailed as follows: – unrealised depreciation of short portfolio: USD (72 167) – unrealised depreciation of long portfolio: USD (411 669) – realised result: USD 30 946 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:
Industrial sector Advertising Aerospace/Defense Aerospace/Defense Agriculture Airlines Airlines Apparel Apparel Auto Manufacturers Auto Manufacturers Auto Parts&Equipment Banks Banks Beverages Biotechnology Biotechnology
Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity
Long/Short Long Long Short Long Long Short Long Short Long Short Long Long Short Long Long Short
Commitment USD 1 462 183 817 480 656 386 1 162 822 574 070 80 057 505 007 240 160 967 453 9 213 168 086 4 509 421 1 014 071 2 064 770 1 597 782 616 721
Unrealised appreciation/ (depreciation) USD (26 730) (645) 2 369 (45 896) (6 039) (2 917) (29 046) 7 935 (40 843) 44 7 082 (88 503) 11 637 (7 921) (17 962) 5 764
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
140
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Merrill Lynch WNT Diversified Futures UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Industrial sector Building Materials Building Materials Chemicals Chemicals Commercial Services Commercial Services Computers Cosmetics/Personal Care Distribution/Wholesale Distribution/Wholesale Diversified Financial Services Diversified Financial Services Electrical Compo&Equip Electrical Compo&Equip Electric Electric Electronics Electronics Energy-Alternate Sources Engineering&Construction Environmental Control Food Food Forest Products&Paper Gas Gas Hand/Machine Tools Hand/Machine Tools Healthcare-Products Healthcare-Products Healthcare-Services Healthcare-Services Holding Companies-Divers Home Builders Home Builders Home Furnishings Home Furnishings Household Products/Wares Housewares Insurance Insurance Internet Internet Iron/Steel Leisure Time
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
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Long/Short Long Short Long Short Long Short Long Long Long Short Long Short Long Short Long Short Long Short Long Long Long Long Short Short Long Short Long Short Long Short Long Short Short Long Short Long Short Long Short Long Short Long Short Long Long
Commitment USD 228 436 192 539 2 336 430 277 735 1 538 816 460 705 4 022 050 959 649 507 726 36 424 3 292 152 752 924 308 378 119 456 698 260 2 133 327 1 232 953 338 012 24 286 393 795 528 135 2 200 552 263 292 204 875 70 257 819 827 138 588 245 345 2 531 684 2 374 297 778 093 69 565 181 584 941 047 228 214 321 698 37 834 1 338 151 103 424 6 301 686 657 547 1 972 462 434 490 407 567 639 714
Unrealised appreciation/ (depreciation) USD (7 789) (2 094) 6 818 1 028 (36 532) 2 860 251 057 9 848 (9 014) 943 (46 871) (13 623) 10 258 (2 981) (7 224) 1 858 8 390 (3 509) 1 223 (3 438) (5 179) (55 190) 10 060 2 144 223 (23 597) (1 127) 1 124 38 539 (27 200) 3 259 (1 046) 977 (46 903) 10 214 (32 236) (98) (26 804) (2 264) (46 756) 56 68 795 (5 040) 7 927 (56)
Merrill Lynch Investment Solutions
141
Merrill Lynch Investment Solutions – Merrill Lynch WNT Diversified Futures UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Industrial sector Leisure Time Lodging Lodging Machinery-Constr&Mining Machinery-Diversified Machinery-Diversified Media Media Mining Mining Miscellaneous Manufactur Miscellaneous Manufactur Office/Business Equip Oil&Gas Services Oil&Gas Services Oil&Gas Oil&Gas Packaging&Containers Pharmaceuticals Pharmaceuticals Pipelines Real Estate REITS REITS Retail Retail Savings&Loans Semiconductors Semiconductors Software Software Telecommunications Telecommunications Textiles Toys/Games/Hobbies Transportation Transportation Total
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
Long/Short Short Long Short Short Long Short Long Short Long Short Long Short Long Long Short Long Short Short Long Short Short Short Long Short Long Short Short Long Short Long Short Long Short Long Long Long Short
Commitment USD 63 208 303 793 137 460 2 841 812 758 112 231 1 995 882 35 143 80 191 59 018 1 181 088 495 812 143 432 144 048 793 515 1 231 706 1 557 920 615 062 2 611 147 952 822 473 395 222 805 2 425 632 1 406 016 10 407 659 570 059 9 239 4 532 878 96 783 2 568 519 1 731 146 2 135 964 123 870 55 895 629 364 377 833 652 549 101 838 346
Unrealised appreciation/ (depreciation) USD (2 277) (14 182) (11 112) (219) 22 142 (2 260) (7 866) 36 1 122 (1 042) (22 310) (1 117) 1 774 7 194 (20 907) 2 930 13 789 (11 328) (108 541) 24 196 (72 080) 14 617 (21 517) 18 650 (182 985) 27 947 251 172 842 (4 560) (53 502) (1 666) 7 390 10 937 (3 349) (43 978) 6 452 (28 667) (483 837)
The total market value of the contracts for difference swaps is USD (452 890).
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
142
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Merrill Lynch Enhanced Equity Volatility Premium Fund Schedule of Investments as at September 30, 2016 (expressed in EUR)
Nominal value
Quotation Currency
Description
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 Supranationals, Governments and Local Public Authorities, Debt Instruments 1 000 Bundesrepublik Deutschland 1.500% 15/02/2023 1 000 Bundesrepublik Deutschland 1.500% 15/05/2023 1 000 Bundesrepublik Deutschland 2.000% 15/08/2023 1 000 Bundesrepublik Deutschland 5.625% 04/01/2028 1 000 Bundesrepublik Deutschland 6.250% 04/01/2024 1 000 Bundesrepublik Deutschland 6.500% 04/07/2027 8 200 000 France Treasury Bill BTF 0.000% 12/10/2016 8 500 000 France Treasury Bill BTF 0.000% 01/02/2017 9 000 000 France Treasury Bill BTF 0.000% 01/03/2017(a) 8 000 000 France Treasury Bill BTF 0.000% 29/03/2017 8 000 000 German Treasury Bill 0.000% 16/11/2016 6 000 000 German Treasury Bill 0.000% 07/12/2016 8 500 000 German Treasury Bill 0.000% 11/01/2017 6 000 000 German Treasury Bill 0.000% 25/01/2017 8 000 000 German Treasury Bill 0.000% 15/02/2017 9 000 000 German Treasury Bill 0.000% 15/03/2017 Total Supranationals, Governments and Local Public Authorities, Debt Instruments Total Investments
EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR
985 981 1 010 1 314 1 292 1 391 8 201 799 8 522 220 9 027 984 8 029 629 8 008 555 6 009 352 8 520 847 6 017 636 8 024 791 9 031 237
1 130 1 135 1 174 1 653 1 497 1 725 8 201 230 8 519 456 9 023 742 8 023 200 8 007 176 6 007 134 8 516 932 6 013 086 8 021 264 9 026 901
0.00 0.00 0.00 0.00 0.00 0.00 9.24 9.60 10.16 9.04 9.02 6.77 9.59 6.77 9.03 10.17
79 401 023 79 401 023
79 368 435 79 368 435
89.39 89.39
(a) This security is fair valued. See Notes 2.2.6 and 9.
Industrial classification of investments (as a percentage of net assets as at September 30, 2016) Sovereign
% 89.39 89.39
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Geographical classification of investments (as a percentage of net assets as at September 30, 2016) Germany France
% 51.35 38.04 89.39
Merrill Lynch Investment Solutions
143
Merrill Lynch Investment Solutions – Merrill Lynch Enhanced Equity Volatility Premium Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in EUR)
Short/ Long Currency Options Short EUR Long EUR Short EUR Short EUR Long EUR Short EUR Long EUR Short EUR Long EUR Short EUR Long EUR Short EUR Long EUR Short EUR Long EUR Total Options
Description Euro Stoxx 50 Index Euro Stoxx 50 Index Euro Stoxx 50 Index Euro Stoxx 50 Index Euro Stoxx 50 Index Euro Stoxx 50 Index Euro Stoxx 50 Index Euro Stoxx 50 Index Euro Stoxx 50 Index Euro Stoxx 50 Index Euro Stoxx 50 Index Euro Stoxx 50 Index Euro Stoxx 50 Index Euro Stoxx 50 Index Euro Stoxx 50 Index
Put/ Call
Strike Price
Maturity date
Quantity
Call Call Call Call Call Call Call Put Put Put Put Put Put Put Put
3 206.882 3 453.565 3 092.721 3 173.758 3 417.893 3 111.243 3 350.570 2 960.198 2 651.844 2 854.819 2 557.442 2 929.622 2 624.453 2 871.917 2 572.759
06/10/2016 06/10/2016 13/10/2016 20/10/2016 20/10/2016 27/10/2016 27/10/2016 06/10/2016 06/10/2016 13/10/2016 13/10/2016 20/10/2016 20/10/2016 27/10/2016 27/10/2016
(11 039) 11 039 (11 650) (10 819) 10 819 (11 077) 11 077 (11 039) 11 039 (11 650) 11 650 (10 819) 10 819 (11 077) 11 077
Market value EUR (10) – (60 180) (12 103) 9 (161 202) 642 (144 122) 1 (55 007) 92 (316 983) 11 561 (219 880) 7 861 (949 321)
Commitment EUR 35 400 766* – 36 030 197* 34 336 884* – 34 463 241* – 32 677 630 – 33 258 644 – 31 695 585 – 31 812 222 – 269 675 169
* The commitment on short call positions is unlimited.
Merrill Lynch International Bank Ltd is the counterparty to these options. The maximum individual counterparty exposure for OTC Derivatives as at September 30, 2016 is 4.88% of the NAV.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
144
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Merrill Lynch MLCX Commodity Enhanced Beta Fund Schedule of Investments as at September 30, 2016 (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 1 700 000 United States Treasury Bill 0.000% 06/10/2016 1 300 000 United States Treasury Bill 0.000% 13/10/2016 1 100 000 United States Treasury Bill 0.000% 20/10/2016 1 800 000 United States Treasury Bill 0.000% 27/10/2016 1 300 000 United States Treasury Bill 0.000% 03/11/2016 1 600 000 United States Treasury Bill 0.000% 10/11/2016 1 900 000 United States Treasury Bill 0.000% 17/11/2016 1 800 000 United States Treasury Bill 0.000% 25/11/2016 1 500 000 United States Treasury Bill 0.000% 01/12/2016 1 600 000 United States Treasury Bill 0.000% 08/12/2016 1 200 000 United States Treasury Bill 0.000% 15/12/2016 1 200 000 United States Treasury Bill 0.000% 22/12/2016 1 000 United States Treasury Note/Bond 6.000% 15/02/2026 1 000 United States Treasury Note/Bond 6.500% 15/11/2026 1 000 United States Treasury Note/Bond 6.750% 15/08/2026 1 000 United States Treasury Note/Bond 6.875% 15/08/2025 1 000 United States Treasury Note/Bond 7.500% 15/11/2024 1 000 United States Treasury Note/Bond 7.625% 15/02/2025 Total Supranationals, Governments and Local Public Authorities, Debt Instruments Total Investments
Industrial classification of investments (as a percentage of net assets as at September 30, 2016) Sovereign
Purchase Sale Forward foreign exchange contracts EUR 14 315 827 USD GBP 91 924 USD SEK 2 241 581 USD USD 64 642 EUR USD 2 670 GBP USD 3 224 SEK Total forward foreign exchange contracts
% 90.56 90.56
16 087 114 119 223 262 641 57 528 2 059 27 517
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD
1 699 932 1 299 879 1 099 854 1 799 720 1 299 696 1 599 518 1 899 318 1 799 174 1 499 276 1 599 108 1 199 663 1 199 481 1 345 1 410 1 426 1 404 1 426 1 447
1 699 985 1 299 939 1 099 930 1 799 768 1 299 778 1 599 667 1 899 584 1 799 561 1 499 554 1 599 465 1 199 550 1 199 370 1 386 1 456 1 472 1 446 1 464 1 485
8.55 6.54 5.53 9.05 6.54 8.05 9.55 9.05 7.54 8.04 6.03 6.03 0.01 0.01 0.01 0.01 0.01 0.01
18 003 077 18 003 077
18 004 860 18 004 860
90.56 90.56
Geographical classification of investments (as a percentage of net assets as at September 30, 2016) United States
Maturity date
Counterparty
31/10/2016 31/10/2016 31/10/2016 31/10/2016 31/10/2016 31/10/2016
State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co.
% 90.56 90.56
Unrealised appreciation/ (depreciation) USD 21 817 255 (644) (91) (6) 8 21 339
Merrill Lynch Investment Solutions
145
Merrill Lynch Investment Solutions – Merrill Lynch MLCX Commodity Enhanced Beta Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Notional Pay Equity swaps (19 464 842) Merrill Lynch eXtra Commodity 03 Total Return Index Total Equity swaps
Receive
USD 1 month LIBOR
Currency
USD
Maturity date
09/02/2017
Unrealised appreciation/ (depreciation) Commitment Counterparty USD USD Merrill Lynch International Bank Ltd
355 176 355 176
19 464 842 19 464 842
The maximum individual counterparty exposure for OTC Derivatives as at September 30, 2016 is 4.43% of the NAV.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
146
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Merrill Lynch MLCX Commodity Enhanced Beta ex Agriculture Fund Schedule of Investments as at September 30, 2016 (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 8 000 000 United States Treasury Bill 0.000% 06/10/2016 5 500 000 United States Treasury Bill 0.000% 13/10/2016 5 500 000 United States Treasury Bill 0.000% 20/10/2016 7 500 000 United States Treasury Bill 0.000% 27/10/2016 5 000 000 United States Treasury Bill 0.000% 03/11/2016 6 500 000 United States Treasury Bill 0.000% 10/11/2016 3 000 000 United States Treasury Bill 0.000% 17/11/2016 7 500 000 United States Treasury Bill 0.000% 25/11/2016 7 200 000 United States Treasury Bill 0.000% 01/12/2016 6 500 000 United States Treasury Bill 0.000% 08/12/2016 6 200 000 United States Treasury Bill 0.000% 22/12/2016 1 000 United States Treasury Note/Bond 6.000% 15/02/2026 1 000 United States Treasury Note/Bond 6.500% 15/11/2026 1 000 United States Treasury Note/Bond 6.750% 15/08/2026 1 000 United States Treasury Note/Bond 6.875% 15/08/2025 1 000 United States Treasury Note/Bond 7.500% 15/11/2024 1 000 United States Treasury Note/Bond 7.625% 15/02/2025 Total Supranationals, Governments and Local Public Authorities, Debt Instruments Total Investments Industrial classification of investments (as a percentage of net assets as at September 30, 2016) Sovereign
Purchase Sale Forward foreign exchange contracts EUR 70 281 029 USD USD 2 634 239 EUR Total forward foreign exchange contracts
Notional Pay Total return swaps (74 727 629) The official settlement price for the Merrill Lynch Commodity index eXtra UCITS Total Return Total return swaps
7 999 681 5 499 501 5 499 270 7 498 836 4 998 785 6 498 086 2 998 976 7 496 849 7 196 523 6 498 281 6 197 317 1 345 1 410 1 426 1 404 1 426 1 447
7 999 928 5 499 742 5 499 648 7 499 032 4 999 145 6 498 648 2 999 343 7 498 170 7 197 862 6 497 829 6 196 745 1 386 1 456 1 472 1 446 1 464 1 485
10.38 7.14 7.13 9.73 6.49 8.43 3.89 9.73 9.34 8.43 8.04 0.00 0.00 0.00 0.00 0.00 0.00
68 390 563 68 390 563
68 394 801 68 394 801
88.73 88.73
Geographical classification of investments (as a percentage of net assets as at September 30, 2016) United States
% 88.73 88.73
78 978 995 2 342 069
Receive
USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD
Currency
USD 1 month LIBOR
USD
Maturity date
Counterparty
31/10/2016 31/10/2016
State Street Bank and Trust Co State Street Bank and Trust Co
Maturity date
09/02/2017
Unaudited semi-annual report
Unrealised appreciation/ (depreciation) USD 104 956 (1 181) 103 775
Unrealised appreciation/ (depreciation) Commitment Counterparty USD USD
Merrill Lynch International Bank Ltd.
2 371 315 2 371 315
The maximum individual counterparty exposure for OTC Derivatives as at September 30, 2016 is 6.22% of the NAV. The accompanying notes form an integral part of these financial statements.
% 88.73 88.73
74 727 629 74 727 629
Merrill Lynch Investment Solutions
147
Merrill Lynch Investment Solutions – Merrill Lynch MLCX Commodity Alpha Fund Schedule of Investments as at September 30, 2016 (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 1 800 000 United States Treasury Bill 0.000% 06/10/2016 1 800 000 United States Treasury Bill 0.000% 13/10/2016 1 400 000 United States Treasury Bill 0.000% 20/10/2016 1 700 000 United States Treasury Bill 0.000% 27/10/2016 1 800 000 United States Treasury Bill 0.000% 03/11/2016 1 700 000 United States Treasury Bill 0.000% 10/11/2016 1 800 000 United States Treasury Bill 0.000% 17/11/2016 1 600 000 United States Treasury Bill 0.000% 25/11/2016 1 600 000 United States Treasury Bill 0.000% 01/12/2016 1 600 000 United States Treasury Bill 0.000% 08/12/2016 1 450 000 United States Treasury Bill 0.000% 15/12/2016 1 200 000 United States Treasury Bill 0.000% 22/12/2016 1 000 United States Treasury Note/Bond 6.000% 15/02/2026 1 000 United States Treasury Note/Bond 6.500% 15/11/2026 1 000 United States Treasury Note/Bond 6.750% 15/08/2026 1 000 United States Treasury Note/Bond 6.875% 15/08/2025 1 000 United States Treasury Note/Bond 7.500% 15/11/2024 1 000 United States Treasury Note/Bond 7.625% 15/02/2025 Total Supranationals, Governments and Local Public Authorities, Debt Instruments Total Investments
Industrial classification of investments (as a percentage of net assets as at September 30, 2016) Sovereign
Purchase Sale Forward foreign exchange contracts EUR 9 009 392 USD GBP 7 101 243 USD USD 74 506 EUR USD 241 893 GBP Total forward foreign exchange contracts
% 90.26 90.26
10 143 449 9 211 768 66 217 186 504
USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD
1 799 940 1 799 865 1 399 832 1 699 716 1 799 563 1 699 500 1 799 385 1 599 328 1 599 214 1 599 108 1 449 592 1 199 481 1 364 1 430 1 445 1 421 1 441 1 461
1 799 984 1 799 915 1 399 910 1 699 781 1 799 692 1 699 646 1 799 606 1 599 610 1 599 525 1 599 466 1 449 456 1 199 370 1 386 1 456 1 472 1 446 1 464 1 485
8.35 8.35 6.49 7.89 8.35 7.88 8.35 7.42 7.42 7.42 6.72 5.56 0.01 0.01 0.01 0.01 0.01 0.01
19 453 086 19 453 086
19 454 670 19 454 670
90.26 90.26
Geographical classification of investments (as a percentage of net assets as at September 30, 2016) United States
Maturity date
Counterparty
31/10/2016 31/10/2016 31/10/2016 31/10/2016
State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co.
% 90.26 90.26
Unrealised appreciation/ (depreciation) USD (5 602) 18 095 (5) (517) 11 971
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
148
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Merrill Lynch MLCX Commodity Alpha Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Notional Pay Total return swaps (21 703 124) Merrill Lynch Commodity Index eXtra Alpha 5 Long Short Total return swaps
Receive
Currency
USD 1 month LIBOR
USD
Maturity date
22/02/2017
Unrealised appreciation/ (depreciation) Commitment Counterparty USD USD Merrill Lynch International Ltd.
(197 317) (197 317)
The maximum individual counterparty exposure for OTC Derivatives as at September 30, 2016 is 3.68% of the NAV.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
21 703 124 21 703 124
Merrill Lynch Investment Solutions
149
Merrill Lynch Investment Solutions – Fenician Equity Long Short UCITS Fund Schedule of Investments as at September 30, 2016 (expressed in EUR) Nominal value/ Quantity
Quotation Currency
Description
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 Shares 7 000 225 500 175 704 194 117 15 600 350 000 46 600 53 000 7 500 40 000 320 000 945 000
Anheuser-Busch InBev S.A./NV Banca Popolare dell’Emilia Romagna SC Banco Popolare SC Buzzi Unicem SpA - Rsp Cover 50 SpA Italcementi SpA Koninklijke Ahold Delhaize NV Koninklijke Philips NV Monsanto Co. Porsche Automobil Hldg. SE - Pref Telecom Italia SpA Telecom Italia SpA - Rsp Total Shares
EUR EUR EUR EUR EUR EUR EUR EUR USD EUR EUR EUR
802 499 765 746 364 043 1 612 826 289 865 3 699 236 987 749 1 242 995 731 499 1 891 066 238 262 591 375 13 217 161
816 200 746 856 368 275 1 960 582 147 030 3 703 000 945 514 1 398 140 682 061 1 817 400 236 480 570 780 13 392 318
2.21 2.02 1.00 5.30 0.40 10.02 2.56 3.78 1.85 4.92 0.64 1.54 36.24
EUR
7 009 398
7 007 840
18.97
7 009 398 20 226 559
7 007 840 20 400 158
18.97 55.21
Supranationals, Governments and Local Public Authorities, Debt Instruments 7 000 000
Italy Buoni Ordinari del Tesoro BOT 0.000% 31/03/2017 Total Supranationals, Governments and Local Public Authorities, Debt Instruments Total Investments
Industrial classification of investments (as a percentage of net assets as at September 30, 2016) Sovereign Building Materials Auto Manufacturers Electronics Banks Food Beverages Telecommunications Chemicals Apparel
% 18.97 15.32 4.92 3.78 3.02 2.56 2.21 2.18 1.85 0.40 55.21
Geographical classification of investments (as a percentage of net assets as at September 30, 2016) Italy Netherlands Germany Belgium United States
% 39.89 6.34 4.92 2.21 1.85 55.21
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
150
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Fenician Equity Long Short UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in EUR)
Underlying Currency nature contract Futures contracts Index EUR Index USD Index EUR
Unrealised Number of Number of appreciation/ Maturity contracts contracts Commitment (depreciation) date bought sold EUR EUR
Details
Market
Euro Stoxx 50 Index S&P 500 E-Mini Index Stoxx Europe 600 Industrial Goods
Eurex Deutschland Chicago Mercantile Exchange
16/12/2016 16/12/2016
31 –
– 19
928 140 1 826 286
20 770 (12 106)
Eurex Deutschland
16/12/2016
–
35
772 800 3 527 226
525 9 189
Total Futures contracts
Purchase Sale Forward foreign exchange contracts EUR 20 159 GBP EUR 185 467 USD GBP 355 515 EUR USD 9 425 684 EUR Total forward foreign exchange contracts
16 979 207 723 422 674 8 438 732
Maturity date
Counterparty
05/10/2016 05/10/2016 05/10/2016 05/10/2016
State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co.
Unrealised appreciation/ (depreciation) EUR 534 635 (11 744) (51 795) (62 370)
The maximum individual counterparty exposure for OTC Derivatives as at September 30, 2016 is 6.19% of the NAV. Contracts for difference swaps The Sub-Fund Merrill Lynch Investment Solutions - Fenician 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 11 763 595 for the short portfolio composed of 15 equities Commitment of EUR 14 052 486 for the long portfolio composed of 14 equities Market value of EUR (544 127) detailed as follows: – unrealised depreciation of short portfolio: EUR (727 485) – unrealised appreciation of long portfolio: EUR 253 383 – realised result: EUR (70 025) 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. Unaudited semi-annual report
Merrill Lynch Investment Solutions
151
Merrill Lynch Investment Solutions – Fenician Equity Long Short UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in EUR) The below table is composed of long and short positions:
Industrial sector Airlines Apparel Auto Manufacturers Banks Beverages Building Materials Building Materials Chemicals Food Food Fund - Equity Household Products/Wares Insurance Insurance Leisure Time Media Media Mining Mining Oil&Gas Pharmaceuticals Pharmaceuticals Retail Telecommunications Total
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
Long/Short Long Short Short Short Long Long Short Long Long Short Short Short Long Short Long Long Short Long Short Short Long Short Short Long
Commitment EUR 969 120 386 250 1 782 270 1 151 877 4 614 702 744 125 1 688 125 363 766 1 153 250 860 690 1 652 605 571 037 1 575 632 1 569 632 810 281 2 013 272 552 818 465 062 544 065 388 325 953 236 259 973 355 928 390 040 25 816 081
Unrealised appreciation/ (depreciation) EUR 36 651 (11 612) 39 136 (737) 155 534 46 076 (381 830) (10 965) 27 123 (49 571) (163 351) 1 291 (185 680) (20 187) 3 109 2 360 15 749 94 388 (179 986) 3 693 74 963 6 553 13 367 9 824 (474 102)
The total market value of the contracts for difference swaps is EUR (544 129).
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
152
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Zeal Greater China Long Short UCITS Fund Schedule of Investments as at March 31, 2016 (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 Shares 459 000 24 221 262 000 608 000 1 968 000 193 000 1 080 000 1 065 500 1 198 000 780 000 626 000 23 766 21 353 1 013 000 181 600 165 500 405 000 24 000 1 082 000 124 000 28 061 127 200
Aerospace Industrial Development Corp. Alibaba Group Hldg. Ltd. - ADR ANTA Sports Products Ltd. Brilliance China Automotive Hldg. Ltd. China Hongqiao Group Ltd. China Medical System Hldg. Ltd. CSPC Pharmaceutical Group Ltd. Kingboard Laminates Hldg. Ltd. Lee & Man Paper Manufacturing Ltd. Luye Pharma Group Ltd. Minth Group Ltd. Momo, Inc. - ADR New Oriental Education & Technology Group, Inc. - ADR Nine Dragons Paper Hldg. Ltd. Sands China Ltd. Shanghai Fosun Pharmaceutical Group Co. Ltd. - H Shenzhou International Group Hldg. Ltd. Silergy Corp. Sino Biopharmaceutical Ltd. Taiwan Semiconductor Manufacturing Co. Ltd. Universal Display Corp. Wynn Macau Ltd. Total Shares
TWD USD HKD HKD HKD HKD HKD HKD HKD HKD HKD USD USD HKD HKD HKD HKD TWD HKD TWD USD HKD
556 394 2 003 265 720 332 700 002 1 166 159 312 098 1 000 285 662 847 933 555 513 234 1 928 585 561 154 897 938 824 118 704 396 511 150 2 050 876 363 913 706 446 726 342 1 483 234 223 502 19 549 825
630 392 2 562 339 711 080 682 005 1 771 110 324 489 1 080 564 972 639 1 087 413 510 885 2 199 408 534 735 989 925 946 918 787 891 514 257 2 819 771 354 501 726 825 721 954 1 557 666 210 580 22 697 347
1.76 7.15 1.98 1.90 4.94 0.91 3.01 2.71 3.03 1.43 6.13 1.49 2.76 2.64 2.20 1.43 7.86 0.99 2.03 2.01 4.34 0.59 63.29
CICC Financial Trading Ltd. Call Strike Price 3.700 30/09/2019 (a) CICC Financial Trading Ltd. Call Strike Price 5.250 06/05/2018 (a) CICC Financial Trading Ltd. Call Strike Price 6.000 07/07/2018 (a) Total Warrants
USD USD USD
699 069 1 543 790 1 017 777 3 260 636
706 925 1 622 357 1 007 971 3 337 253
1.97 4.52 2.81 9.30
HKD
2 062 754
2 062 738
5.75
2 062 754 24 873 215
2 062 738 28 097 338
5.75 78.34
Warrants 184 692 442 220 248 914
Supranationals, Governments and Local Public Authorities, Debt Instruments 16 000 000
Hong Kong Treasury Bill 0.000% 19/10/2016 Total Supranationals, Governments and Local Public Authorities, Debt Instruments Total Investments
(a) These securities are fair valued. See Notes 2.2.6 and 9.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Merrill Lynch Investment Solutions
153
Merrill Lynch Investment Solutions – Zeal Greater China Long Short UCITS Fund Schedule of Investments as at March 31, 2016 (cont.) (expressed in USD) Industrial classification of investments (as a percentage of net assets as at September 30, 2016) Diversified Financial Services Pharmaceuticals Apparel Internet Auto Parts & Equipment Sovereign Mining Electrical Components & Equipment Packaging & Containers Lodging Commercial Services Chemicals Forest Products & Paper Semiconductors Retail Auto Manufacturers Aerospace/Defense Software Electronics Healthcare-Products
Underlying Currency nature contract Details Futures contracts Index HKD H-Shares Index Total Futures contracts
Purchase Sale Forward foreign exchange contracts EUR 825 968 USD Total forward foreign exchange contracts
% 9.30 7.90 7.86 7.15 6.13 5.75 4.94 4.34 3.03 2.79 2.76 2.71 2.64 2.01 1.98 1.90 1.76 1.49 0.99 0.91 78.34
Geographical classification of investments (as a percentage of net assets as at September 30, 2016) China Hong Kong United States Taiwan Macau
% 40.08 27.36 4.34 3.77 2.79 78.34
Unrealised Number of Number of appreciation/ Maturity contracts contracts Commitment (depreciation) date bought sold USD USD
Market Hong Kong Futures Exchange
929 923
28/10/2016
–
43
2 661 183 2 661 183
Maturity date
Counterparty
31/10/2016
State Street Bank and Trust Co.
56 273 56 273
Unrealised appreciation/ (depreciation) USD (500) (500)
The maximum individual counterparty exposure for OTC Derivatives as at September 30, 2016 is 2.75% of the NAV.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
154
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Zeal Greater China Long Short UCITS Fund Schedule of Investments as at March 31, 2016 (cont.) (expressed in USD) Contracts for difference swaps The Sub-Fund Merrill Lynch Investment Solutions - Zeal Voyage Greater China UCITS Fund entered into contracts for difference swaps with two counterparties (Merrill Lynch International Bank Ltd and Morgan Stanley International Plc..) with the following details: 1) Merrill Lynch International Bank Ltd Commitment of USD 3 838 563 for the short portfolio composed of 10 equities Commitment of USD 1 083 186 for the long portfolio composed of 2 equities Market value of USD 95 275 detailed as follows: – unrealised appreciation of short portfolio: USD 106 010 – unrealised appreciation of long portfolio: USD 24 552 – realised result: USD (35 287) 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:
Industrial sector Computers Electric Electronics Internet Metal Fabricate/Hardware Real Estate Semiconductors Total
Underlying nature Equity Equity Equity Equity Equity Equity Equity
Long/Short Short Short Short Long Short Long Short
Commitment USD 221 236 519 653 1 465 430 395 817 592 701 687 369 1 039 543 4 921 749
Unrealised appreciation/ (depreciation) USD 22 937 (13 976) 199 184 61 899 (40 775) (37 347) (61 360) 130 562
2) Morgan Stanley International Plc. Commitment of USD 494 008 for the short portfolio composed of 1 equity Market value of USD (15 934) detailed as follows: – unrealised depreciation of short portfolio: USD (30 971) – realised result: USD 15 037 corresponding to the realised gain on securities which is still held at the counterparty (monthly reset) The below table is composed of short positions:
Industrial sector Electric Total
Underlying nature Equity
Long/Short Short
The total market value of the contracts for difference swaps is USD 79 342.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Commitment USD 494 008 494 008
Unrealised appreciation/ (depreciation) USD (30 971) (30 971)
Merrill Lynch Investment Solutions
155
Merrill Lynch Investment Solutions – Gotham U.S. Equity Long/Short UCITS Fund Schedule of Investments as at September 30, 2016 (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 (cont.) Shares (cont.) 234 1 359 4 3 079 6 1 307 15 45 399 2 757 5 2 749 1 582 1 056 259 6 2 637 918 1 847 2 170 381 1 046 1 726 1 975 1 551 2 655 498 192 1 1 984 318 5 923 58 8 685 1 031 2 157 772 532 7 945 3 840 7 793 2 591 899
3M Co. Aaron's, Inc. Abaxis, Inc. AbbVie, Inc. ABM Industries, Inc. Accenture Plc. - A Acorda Therapeutics, Inc. Actuant Corp. - A Advanced Drainage Systems, Inc. Agilent Technologies, Inc. Air Products & Chemicals, Inc. Akamai Technologies, Inc. Akorn, Inc. Alaska Air Group, Inc. Alexion Pharmaceuticals, Inc. Allegiant Travel Co. Altria Group, Inc. AMAG Pharmaceuticals, Inc. AMC Networks, Inc. - A American Airlines Group, Inc. American Renal Associates Hldg., Inc. American Woodmark Corp. AmerisourceBergen Corp. AMETEK, Inc. Amgen, Inc. Analog Devices, Inc. Analogic Corp. AngioDynamics, Inc. ANSYS, Inc. Apple, Inc. Applied Industrial Technologies, Inc. Applied Materials, Inc. Archer-Daniels-Midland Co. Archrock, Inc. Argan, Inc. Armstrong World Industries, Inc. Asbury Automotive Group, Inc. Ascena Retail Group, Inc. Aspen Technology, Inc. AT&T, Inc. Atwood Oceanics, Inc. Automatic Data Processing, Inc. AutoNation, Inc.
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
40 282 34 009 183 185 638 238 144 863 315 1 043 10 689 129 574 752 140 071 46 600 72 813 33 941 792 171 212 17 683 106 946 78 196 8 224 75 805 144 266 93 129 234 279 154 812 40 154 3 275 92 218 597 14 874 174 432 2 445 86 505 50 154 92 267 42 467 3 035 290 734 160 364 88 247 233 349 43 207
41 238 34 546 206 194 193 238 159 676 313 1 046 9 600 129 827 752 145 670 43 125 69 548 31 738 792 166 737 22 500 95 785 79 444 6 961 84 276 139 426 94 365 258 722 171 115 44 123 3 368 93 224 291 14 863 178 578 2 446 113 600 61 025 89 127 42 977 2 974 371 747 155 942 67 721 228 526 43 790
0.09 0.07 0.00 0.41 0.00 0.34 0.00 0.00 0.02 0.28 0.00 0.31 0.09 0.15 0.07 0.00 0.36 0.05 0.20 0.17 0.01 0.18 0.30 0.20 0.55 0.36 0.09 0.01 0.00 0.48 0.03 0.38 0.01 0.24 0.13 0.19 0.09 0.01 0.79 0.33 0.14 0.49 0.09
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
156
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Gotham U.S. Equity Long/Short UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (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 (cont.) Shares (cont.) 199 7 287 2 459 2 866 228 2 305 1 388 2 092 2 777 4 986 843 5 904 610 1 838 3 598 5 545 1 695 2 340 1 871 6 857 5 034 64 251 2 690 2 887 117 2 366 82 707 34 3 435 1 099 1 470 7 437 439 9 647 2 137 1 212 4 795 1 603 1 435 1 353 3 431
AutoZone, Inc. Avon Products, Inc. AVX Corp. B&G Foods, Inc. Barnes Group, Inc. Baxter International, Inc. Bed Bath & Beyond, Inc. Benchmark Electronics, Inc. Best Buy Co., Inc. Big Lots, Inc. Biogen, Inc. Bloomin' Brands, Inc. Bojangles', Inc. BorgWarner, Inc. Briggs & Stratton Corp. Brinker International, Inc. Broadridge Financial Solutions, Inc. Brown-Forman Corp. - B Buckle, Inc. CA, Inc. Cabot Corp. Calavo Growers, Inc. Caleres, Inc. Campbell Soup Co. Cardinal Health, Inc. CarMax, Inc. Carnival Corp. Cato Corp. -A Cavco Industries, Inc. CBIZ, Inc. CBS Corp. - B CDK Global, Inc. Celgene Corp. Cenovus Energy, Inc. Central Garden & Pet Co. - A CenturyLink, Inc. CGI Group, Inc. - A CH Robinson Worldwide, Inc. Chart Industries, Inc. Cheesecake Factory, Inc. Chemed Corp. Chemtura Corp. Chicago Bridge & Iron Co. NV
The accompanying notes form an integral part of these financial statements. Unaudited semi-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 USD USD USD USD USD
150 691 40 731 33 768 136 673 9 221 101 097 66 547 44 788 88 863 221 885 227 737 102 344 10 706 55 509 75 307 252 573 116 716 114 980 73 454 205 761 220 822 4 355 6 279 170 178 234 251 6 571 114 778 2 951 67 811 392 187 188 63 348 153 632 110 450 10 439 266 388 90 098 86 227 120 416 82 390 186 999 40 298 146 248
152 900 41 244 33 910 140 950 9 245 109 718 59 837 52 195 106 026 238 081 263 884 101 785 9 736 64 661 67 103 279 634 114 904 111 010 44 960 226 830 263 832 4 188 6 348 147 143 224 320 6 242 115 508 2 697 70 028 380 188 032 63 039 153 659 106 870 10 887 264 617 101 785 85 398 157 420 80 246 202 435 44 392 96 171
0.33 0.09 0.07 0.30 0.02 0.23 0.13 0.11 0.23 0.51 0.56 0.22 0.02 0.14 0.14 0.60 0.25 0.24 0.10 0.48 0.56 0.01 0.01 0.31 0.48 0.01 0.25 0.01 0.15 0.00 0.40 0.13 0.33 0.23 0.02 0.56 0.22 0.18 0.34 0.17 0.43 0.09 0.21
Merrill Lynch Investment Solutions
157
Merrill Lynch Investment Solutions – Gotham U.S. Equity Long/Short UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (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 (cont.) Shares (cont.) 3 422 1 408 8 1 453 11 611 1 961 802 2 366 1 153 2 244 5 241 1 311 426 4 266 4 549 7 728 4 210 301 3 839 290 451 5 584 5 478 1 484 1 973 3 003 2 864 352 5 120 1 662 2 256 8 912 1 2 043 4 333 1 768 1 853 5 276 2 014 175 1 310 5 721 2 145
Chico's FAS, Inc. Church & Dwight Co., Inc. Churchill Downs, Inc. Cimpress NV Cisco Systems, Inc. Citrix Systems, Inc. Clorox Co. Coach, Inc. Coca-Cola Co. Comcast Corp. - A CommScope Hldg. Co., Inc. Community Health Systems, Inc. Computer Programs & Systems, Inc. ConAgra Foods, Inc. Continental Building Products, Inc. Convergys Corp. Cooper Tire & Rubber Co. Copart, Inc. Cotiviti Hldg., Inc. Crown Hldg., Inc. CSG Systems International, Inc. CSRA, Inc. CSX Corp. Cummins, Inc. CVS Health Corp. Danaher Corp. Darden Restaurants, Inc. DaVita, Inc. Dean Foods Co. Deere & Co. Delphi Automotive Plc. Delta Air Lines, Inc. Denny's Corp. DeVry Education Group, Inc. Diamond Offshore Drilling, Inc. Dillard's, Inc. - A DineEquity, Inc. Discovery Communications, Inc. - A Dollar General Corp. Dollar Tree, Inc. Dover Corp. DR Horton, Inc. Dr Pepper Snapple Group, Inc.
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
42 360 68 074 1 180 121 155 328 134 137 461 104 526 91 121 49 832 144 894 153 758 16 273 21 243 194 607 101 407 195 514 164 131 16 128 79 712 15 772 19 178 140 514 151 765 184 392 197 598 240 530 177 639 23 506 84 741 135 944 147 531 374 888 11 37 282 98 666 126 945 158 771 150 381 178 763 13 913 86 497 190 749 196 392
40 722 67 471 1 171 147 015 368 301 167 116 100 394 86 501 48 795 148 867 157 807 15 129 11 102 200 971 95 484 235 086 160 064 16 122 128 722 16 556 18 640 150 210 167 079 190 175 175 577 235 405 175 620 23 257 83 968 141 852 160 898 350 776 11 47 112 76 304 111 402 146 739 142 030 140 960 13 813 96 468 172 774 195 860
0.09 0.14 0.00 0.31 0.79 0.36 0.21 0.18 0.10 0.32 0.34 0.03 0.02 0.43 0.20 0.50 0.34 0.03 0.27 0.04 0.04 0.32 0.36 0.41 0.37 0.50 0.37 0.05 0.18 0.30 0.34 0.75 0.00 0.10 0.16 0.24 0.31 0.30 0.30 0.03 0.21 0.37 0.42
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
158
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Gotham U.S. Equity Long/Short UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (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 (cont.) Shares (cont.) 132 1 288 223 792 2 805 2 178 528 5 131 723 195 2 155 619 4 466 21 1 537 9 141 176 4 243 2 162 2 706 586 448 3 1 173 449 762 1 173 3 400 2 151 1 153 880 11 208 583 25 596 7 670 1 693 79 4 636 413 1 969 2 303 3 754
Drew Industries, Inc. Dril-Quip, Inc. Dun & Bradstreet Corp. Dycom Industries, Inc. Eagle Materials, Inc. EarthLink Hldg. Corp. Eaton Corp. Plc. eBay, Inc. Edgewell Personal Care Co. Eldorado Resorts, Inc. Electronic Arts, Inc. Emergent BioSolutions, Inc. Emerson Electric Co. Enbridge, Inc. EnerSys Ensco Plc. - A Estee Lauder Cos, Inc. - A Expeditors International of Washington, Inc. Express Scripts Hldg. Co. Express, Inc. F5 Networks, Inc. Fair Isaac Corp. FibroGen, Inc. Fidelity National Information Services, Inc. Finish Line, Inc. - A Fiserv, Inc. FLIR Systems, Inc. Flowers Foods, Inc. FMC Corp. Foot Locker, Inc. Fortive Corp. Frank's International NV Fresh Del Monte Produce, Inc. FTD Cos, Inc. FTI Consulting, Inc. Gap, Inc. Garmin Ltd. General Mills, Inc. General Motors Co. Gentex Corp. Genuine Parts Co. Gibraltar Industries, Inc. Gilead Sciences, Inc.
The accompanying notes form an integral part of these financial statements. Unaudited semi-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 USD USD USD USD USD
12 751 71 100 25 135 65 729 216 517 13 674 33 689 127 846 56 281 2 776 166 914 19 525 237 059 935 103 006 70 920 15 840 204 568 166 753 52 865 58 251 57 496 62 93 884 10 300 79 423 37 860 51 797 95 491 71 092 43 786 175 522 34 292 594 25 919 196 525 69 275 5 058 139 892 6 684 191 873 69 459 350 919
12 939 71 793 30 466 64 770 216 826 13 504 34 695 168 810 57 493 2 742 184 037 19 517 243 442 929 106 345 77 698 15 587 218 599 152 486 31 904 73 039 55 816 62 90 356 10 363 75 796 36 856 51 408 103 979 78 081 44 792 145 704 34 922 514 26 558 170 581 81 450 5 047 147 286 7 252 197 786 85 556 297 016
0.03 0.15 0.07 0.14 0.46 0.03 0.07 0.36 0.12 0.01 0.39 0.04 0.52 0.00 0.23 0.17 0.03 0.47 0.33 0.07 0.16 0.12 0.00 0.19 0.02 0.16 0.08 0.11 0.22 0.17 0.10 0.31 0.07 0.00 0.06 0.36 0.17 0.01 0.31 0.02 0.42 0.18 0.63
Merrill Lynch Investment Solutions
159
Merrill Lynch Investment Solutions – Gotham U.S. Equity Long/Short UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (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 (cont.) Shares (cont.) 393 8 318 68 253 2 235 1 020 4 313 1 525 2 215 2 532 131 1 163 2 688 1 946 4 3 928 9 218 1 508 391 578 1 299 254 2 497 450 20 922 385 935 1 014 9 745 553 1 153 5 107 566 1 220 1 253 316 492 4 367 481 606 2 392 1 619 860
Global Brass & Copper Hldg., Inc. Globus Medical, Inc. - A Gorman-Rupp Co. Graham Hldg. Co. - B Greif, Inc. - A Group 1 Automotive, Inc. Halyard Health, Inc. Harley-Davidson, Inc. Harman International Industries, Inc. Harris Corp. Harsco Corp. Hawaiian Hldg., Inc. HCA Hldg., Inc. Headwaters, Inc. Heartland Express, Inc. Herman Miller, Inc. Hewlett Packard Enterprise Co. Hibbett Sports, Inc. Hill-Rom Hldg., Inc. Hillenbrand, Inc. HMS Hldg. Corp. Hologic, Inc. Home Depot, Inc. Hormel Foods Corp. HP, Inc. HSN, Inc. Hub Group, Inc. - A Huntington Ingalls Industries, Inc. Huntsman Corp. ICU Medical, Inc. Illinois Tool Works, Inc. IMS Health Hldg., Inc. INC Research Hldg., Inc. - A Incyte Corp. Ingram Micro, Inc. - A Innophos Hldg., Inc. Insteel Industries, Inc. Insys Therapeutics, Inc. Integer Hldg. Corp. Intel Corp. Inteliquent, Inc. InterDigital, Inc. International Business Machines 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
10 724 197 283 1 808 160 452 81 504 61 462 136 378 71 953 186 479 206 069 1 400 41 120 198 035 35 578 76 120 194 167 136 53 173 22 802 18 389 28 805 9 749 331 599 16 918 266 629 15 563 36 537 127 857 160 872 56 793 120 239 131 715 23 263 100 651 31 397 12 725 16 954 107 797 11 138 25 584 44 782 84 509 135 032
11 354 187 737 1 741 121 787 110 834 65 158 149 489 80 200 187 057 231 957 1 301 56 522 203 293 32 926 76 112 341 209 709 60 169 24 234 18 288 28 799 9 863 321 314 17 068 324 919 15 323 38 111 155 568 158 551 69 888 138 176 160 053 25 232 115 034 44 682 12 333 17 830 51 487 10 433 22 876 38 607 128 225 136 611
0.02 0.40 0.00 0.26 0.24 0.14 0.32 0.17 0.40 0.49 0.00 0.12 0.43 0.07 0.00 0.24 0.45 0.13 0.05 0.04 0.06 0.02 0.69 0.04 0.69 0.03 0.08 0.33 0.34 0.15 0.29 0.34 0.05 0.25 0.10 0.03 0.04 0.11 0.02 0.05 0.08 0.27 0.29
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
160
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Gotham U.S. Equity Long/Short UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (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 (cont.) Shares (cont.) 525 2 308 3 4 480 3 109 1 411 958 1 017 1 363 3 021 3 437 35 17 077 821 5 309 1 151 1 231 2 877 4 038 98 977 664 10 345 3 197 567 1 524 2 262 1 895 1 134 2 471 45 2 339 297 1 198 140 4 8 040 3 183 272 2 620 2 153 1 1 001
Interpublic Group of Cos, Inc. Intuit, Inc. Ironwood Pharmaceuticals, Inc. j2 Global, Inc. Jacobs Engineering Group, Inc. Jazz Pharmaceuticals Plc. JB Hunt Transport Services, Inc. JM Smucker Co. Johnson & Johnson Johnson Controls International Plc. Juniper Networks, Inc. Kansas City Southern KBR, Inc. Kellogg Co. Kennametal, Inc. Kimberly-Clark Corp. Kindred Healthcare, Inc. KLA-Tencor Corp. Kohl's Corp. Koppers Hldg., Inc. Kraft Heinz Co. L-3 Communications Hldg., Inc. La Quinta Hldg., Inc. La-Z-Boy, Inc. Laboratory Corp. of America Hldg. Lam Research Corp. Lannett Co., Inc. Lear Corp. Leggett & Platt, Inc. Level 3 Communications, Inc. Lexmark International, Inc. - A Liberty Interactive Corp. QVC Group - A Ligand Pharmaceuticals, Inc. Linear Technology Corp. Lithia Motors, Inc. - A Loral Space & Communications, Inc. Louisiana-Pacific Corp. Lowe's Cos, Inc. Lydall, Inc. Macy's, Inc. Mallinckrodt Plc. Manhattan Associates, Inc. ManpowerGroup, Inc.
The accompanying notes form an integral part of these financial statements. Unaudited semi-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 USD USD USD USD USD
11 676 249 079 47 268 217 160 351 187 136 78 834 129 889 165 445 136 457 85 385 3 138 275 250 66 571 186 559 151 898 12 928 198 947 179 729 3 112 84 155 80 947 199 485 85 632 70 732 140 054 72 231 215 658 58 724 125 193 1 634 46 342 36 863 55 733 11 721 146 156 346 248 198 11 392 108 667 152 091 58 69 823
11 734 253 903 48 298 413 160 797 171 408 77 732 137 844 161 011 140 567 82 694 3 266 258 375 63 603 154 067 145 187 12 581 200 556 176 662 3 154 87 451 100 085 115 657 78 518 77 951 144 338 60 101 229 712 51 688 114 605 1 798 46 803 30 312 71 029 13 373 156 151 393 229 844 13 907 97 071 150 236 58 72 332
0.03 0.54 0.00 0.64 0.34 0.37 0.17 0.29 0.34 0.30 0.18 0.01 0.55 0.14 0.33 0.31 0.03 0.43 0.38 0.01 0.19 0.21 0.25 0.17 0.17 0.31 0.13 0.49 0.11 0.24 0.00 0.10 0.06 0.15 0.03 0.00 0.32 0.49 0.03 0.21 0.32 0.00 0.15
Merrill Lynch Investment Solutions
161
Merrill Lynch Investment Solutions – Gotham U.S. Equity Long/Short UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (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 (cont.) Shares (cont.) 111 4 069 320 1 897 821 78 61 1 575 10 854 1 223 1 226 664 11 813 1 890 2 822 3 822 1 535 1 157 796 1 361 100 440 2 749 784 93 58 3 015 83 1 409 201 974 469 2 268 3 654 4 909 286 743 1 204 1 575 254 1 851 27 59
Marathon Petroleum Corp. Marriott International, Inc. - A Marten Transport Ltd. Masco Corp. MasterCard, Inc. - A Matson, Inc. Matthews International Corp. - A Maxim Integrated Products, Inc. MaxLinear, Inc. - A McDonald's Corp. McKesson Corp. Mead Johnson Nutrition Co. Mentor Graphics Corp. Meridian Bioscience, Inc. Meritor, Inc. Michael Kors Hldg. Ltd. MicroStrategy, Inc. - A Minerals Technologies, Inc. Mistras Group, Inc. Mondelez International, Inc. - A Monotype Imaging Hldg., Inc. Moog, Inc. - A MSG Networks, Inc. - A MTS Systems Corp. Mueller Water Products, Inc. - A Multi Packaging Solutions International Ltd. Myriad Genetics, Inc. National Beverage Corp. National Oilwell Varco, Inc. National Presto Industries, Inc. Natus Medical, Inc. NetApp, Inc. NETGEAR, Inc. New York Times Co. - A News Corp. - A NIC, Inc. Nike, Inc. - B Noble Corp. Plc. Norfolk Southern Corp. Northrop Grumman Corp. Nutrisystem, Inc. NVR, Inc. O'Reilly Automotive, Inc.
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
4 557 278 047 6 283 62 831 77 961 2 950 3 706 63 334 211 003 146 125 218 892 52 785 212 090 37 210 30 451 190 961 308 831 68 374 19 350 59 513 2 114 25 683 49 169 37 398 1 123 817 90 122 3 936 46 173 18 012 32 021 13 818 107 147 50 501 53 913 6 366 41 107 8 408 140 733 55 120 52 983 46 997 16 775
4 505 273 979 6 720 65 086 83 553 3 111 3 706 62 890 220 011 141 085 204 435 52 463 312 336 36 458 31 409 178 831 257 020 81 788 18 682 59 748 2 211 26 198 51 159 36 088 1 167 836 62 049 3 656 51 767 17 646 38 268 16 800 137 191 43 665 68 628 6 721 39 119 7 633 152 869 54 343 54 956 44 276 16 526
0.01 0.58 0.01 0.14 0.18 0.01 0.01 0.13 0.47 0.30 0.44 0.11 0.67 0.08 0.07 0.38 0.55 0.17 0.04 0.13 0.00 0.06 0.11 0.08 0.00 0.00 0.13 0.01 0.11 0.04 0.08 0.04 0.29 0.09 0.15 0.01 0.08 0.02 0.33 0.12 0.12 0.09 0.04
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
162
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Gotham U.S. Equity Long/Short UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (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 (cont.) Shares (cont.) 1 886 2 646 1 127 928 1 458 4 809 77 2 942 2 334 297 1 751 807 371 1 357 1 525 1 056 4 733 3 393 3 683 5 178 4 137 1 417 1 047 8 4 288 182 489 6 1 534 2 688 2 311 1 290 2 102 3 430 8 127 814 366 2 445 228 252 741 1 039 2 990
Oceaneering International, Inc. Omnicom Group, Inc. ONEOK, Inc. Open Text Corp. OPKO Health, Inc. Oracle Corp. OSI Systems, Inc. PACCAR, Inc. Packaging Corp. of America PAREXEL International Corp. Parker-Hannifin Corp. Patterson Cos, Inc. Paychex, Inc. Pegasystems, Inc. Pentair Plc. PepsiCo, Inc. Pfizer, Inc. Photronics, Inc. Pilgrim's Pride Corp. Pinnacle Entertainment, Inc. Pitney Bowes, Inc. Plantronics, Inc. Post Hldg., Inc. PPG Industries, Inc. PRA Health Sciences, Inc. Prestige Brands Hldg., Inc. Procter & Gamble Co. Progress Software Corp. PVH Corp. Quad/Graphics, Inc. Qualcomm, Inc. Quanta Services, Inc. Quest Diagnostics, Inc. Quintiles Transnational Hldg., Inc. Rackspace Hosting, Inc. Ralph Lauren Corp. Raven Industries, Inc. Rayonier Advanced Materials, Inc. Regal Beloit Corp. Regeneron Pharmaceuticals, Inc. Repligen Corp. Republic Services, Inc. ResMed, Inc.
The accompanying notes form an integral part of these financial statements. Unaudited semi-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 USD USD USD USD USD
57 483 221 083 54 803 45 163 13 973 189 412 5 034 159 206 151 030 20 422 198 774 38 801 21 366 33 885 95 115 114 379 151 710 33 737 91 193 57 477 78 008 64 880 86 883 828 175 555 8 687 42 713 163 156 456 58 207 121 977 33 007 156 762 201 595 188 170 73 198 8 574 33 831 13 855 105 033 23 190 49 028 174 038
51 884 224 910 57 917 60 190 15 440 188 898 5 034 172 931 189 661 20 627 219 803 37 074 21 470 40 018 97 966 114 861 160 307 34 982 77 785 63 897 75 128 73 627 80 797 827 242 315 8 785 43 888 163 169 507 71 823 158 303 36 107 177 892 278 036 257 545 82 328 8 429 32 690 13 564 101 309 22 371 52 418 193 722
0.11 0.48 0.12 0.13 0.03 0.40 0.01 0.37 0.40 0.04 0.47 0.08 0.05 0.09 0.21 0.25 0.34 0.07 0.17 0.14 0.16 0.16 0.17 0.00 0.52 0.02 0.09 0.00 0.36 0.15 0.34 0.08 0.38 0.59 0.55 0.18 0.02 0.07 0.03 0.22 0.05 0.11 0.41
Merrill Lynch Investment Solutions
163
Merrill Lynch Investment Solutions – Gotham U.S. Equity Long/Short UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (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 (cont.) Shares (cont.) 11 2 659 2 002 1 095 57 3 219 14 056 824 545 1 222 160 299 908 966 2 395 1 818 758 4 491 1 232 5 795 508 2 735 4 971 28 487 8 4 718 4 939 2 338 78 117 5 496 298 178 9 904 13 724 5 563 2 276 4 288 3 089 2 997 2 551 8 655
RetailMeNot, Inc. Reynolds American, Inc. Robert Half International, Inc. Rockwell Automation, Inc. Roper Technologies, Inc. Ross Stores, Inc. Rowan Cos Plc. - A RPM International, Inc. Sanderson Farms, Inc. Sanmina Corp. ScanSource, Inc. Scholastic Corp. Schweitzer-Mauduit International, Inc. Scotts Miracle-Gro Co. - A Scripps Networks Interactive, Inc. - A Seagate Technology Plc. Signet Jewelers Ltd. Skechers U.S.A., Inc. - A Skyworks Solutions, Inc. Smith & Wesson Hldg. Corp. Snap-on, Inc. Sonic Corp. Southwest Airlines Co. SpartanNash Co. Spectrum Brands Hldg., Inc. Speedway Motorsports, Inc. Spirit AeroSystems Hldg., Inc. - A SPX Corp. Stamps.com, Inc. Standex International Corp. Stanley Black & Decker, Inc. Staples, Inc. STERIS Plc. Sturm Ruger & Co., Inc. SUPERVALU, Inc. Swift Transportation Co. Symantec Corp. Synaptics, Inc. Sysco Corp. Target Corp. TE Connectivity Ltd. Teekay Corp. Tegna, Inc.
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
132 131 625 90 419 124 368 10 373 173 058 241 917 42 896 51 736 32 227 6 131 11 892 34 557 78 887 151 568 59 765 69 000 108 092 88 688 163 746 79 177 75 019 204 565 802 63 853 143 235 073 78 733 191 488 6 853 11 980 52 734 21 197 10 459 49 917 231 781 104 967 136 401 212 967 245 575 183 848 24 666 214 664
109 125 372 75 796 133 962 10 401 206 982 213 089 44 265 52 500 34 790 5 840 11 769 35 012 80 439 152 059 70 084 56 494 102 844 93 804 154 089 77 196 71 602 193 322 810 67 055 143 210 140 99 471 220 964 7 244 14 389 46 991 21 784 10 281 49 421 294 654 139 631 133 328 210 155 212 153 192 947 19 668 189 198
0.00 0.27 0.16 0.29 0.02 0.44 0.45 0.09 0.11 0.07 0.01 0.03 0.07 0.17 0.32 0.15 0.12 0.22 0.20 0.33 0.16 0.15 0.41 0.00 0.14 0.00 0.45 0.21 0.47 0.02 0.03 0.10 0.05 0.02 0.11 0.63 0.30 0.28 0.45 0.45 0.41 0.04 0.40
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
164
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Gotham U.S. Equity Long/Short UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (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 (cont.) Shares (cont.) 5 438 2 852 93 4 377 1 839 117 764 1 890 1 042 1 193 1 134 555 609 2 059 2 976 72 3 253 1 088 675 10 779 477 1 762 1 530 3 024 2 852 1 476 2 688 430 3 626 1 098 2 068 997 152 3 402 1 080 3 886 344 2 472 2 054 190 4 374 60 276
Teradata Corp. Teradyne, Inc. Terex Corp. Tessera Technologies, Inc. Tetra Tech, Inc. Texas Instruments, Inc. Tiffany & Co. Time Warner, Inc. Timken Co. TJX Cos, Inc. Tractor Supply Co. TransCanada Corp. Travelport Worldwide Ltd. Trinseo S.A. Triumph Group, Inc. tronc, Inc. TrueBlue, Inc. TTM Technologies, Inc. Tupperware Brands Corp. Twenty-First Century Fox, Inc. - A Tyson Foods, Inc. - A UniFirst Corp. Union Pacific Corp. United Continental Hldg., Inc. United Natural Foods, Inc. United Parcel Service, Inc. - B United Rentals, Inc. United Technologies Corp. United Therapeutics Corp. Universal Corp. Universal Health Services, Inc. - B Urban Outfitters, Inc. US Ecology, Inc. USG Corp. Vail Resorts, Inc. Valero Energy Corp. Vector Group Ltd. VeriSign, Inc. Verisk Analytics, Inc. - A Veritiv Corp. Verizon Communications, Inc. Verso Corp. - A Vertex Pharmaceuticals, Inc.
The accompanying notes form an integral part of these financial statements. Unaudited semi-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 USD USD USD USD USD
178 448 58 407 2 254 169 096 63 961 7 087 53 438 145 166 34 968 91 299 86 737 22 454 8 097 114 878 110 203 1 228 64 801 10 187 37 310 311 402 27 272 202 902 128 333 163 216 110 043 157 236 162 636 41 762 548 251 60 972 272 422 29 939 6 733 89 051 154 169 209 252 7 327 208 666 167 192 9 421 227 540 458 24 660
168 578 61 546 2 363 168 252 65 229 8 211 55 489 150 463 36 616 89 213 76 375 26 396 9 153 116 457 82 971 1 215 73 713 12 458 44 125 261 067 35 618 232 337 149 221 158 669 114 194 161 415 210 981 43 688 428 158 63 926 254 819 34 416 6 816 87 942 169 430 205 958 7 401 193 409 166 949 9 532 227 361 387 24 070
0.36 0.13 0.01 0.36 0.14 0.02 0.12 0.32 0.08 0.19 0.16 0.06 0.02 0.25 0.18 0.00 0.16 0.03 0.09 0.56 0.08 0.50 0.32 0.34 0.24 0.34 0.45 0.09 0.91 0.14 0.54 0.07 0.01 0.19 0.36 0.44 0.02 0.41 0.36 0.02 0.49 0.00 0.05
Merrill Lynch Investment Solutions
165
Merrill Lynch Investment Solutions – Gotham U.S. Equity Long/Short UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (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 (cont.) Shares (cont.) 3 363 98 2 600 3 679 2 905 2 427 2 185 4 312 1 564 1 988 245 235 13 988 4 358 645 2 679 527 5 249 1 136 509 2 501 1 241 4 447 508 1 573
Viacom, Inc. - B Visa, Inc. - A Vishay Intertechnology, Inc. Visteon Corp. VMware, Inc. - A Wal-Mart Stores, Inc. Walgreens Boots Alliance, Inc. Walt Disney Co. Waste Management, Inc. Waters Corp. WebMD Health Corp. Weight Watchers International, Inc. Wesco Aircraft Hldg., Inc. West Corp. Western Union Co. WestRock Co. Whirlpool Corp. Whole Foods Market, Inc. Winnebago Industries, Inc. World Fuel Services Corp. WR Grace & Co. WW Grainger, Inc. Wyndham Worldwide Corp. Xencor, Inc. Xilinx, Inc. Yum! Brands, Inc. Zimmer Biomet Hldg., Inc. Total Shares Total Investments
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
145 297 7 685 36 128 214 36 079 201 705 198 726 213 461 255 47 242 81 180 21 480 3 354 5 334 274 261 199 264 120 343 79 280 12 289 224 209 87 797 114 568 195 660 26 667 206 421 42 623 181 754 42 933 687 42 933 687
128 130 8 105 36 634 215 49 805 209 509 195 665 202 899 255 49 449 77 731 20 516 3 290 5 189 291 230 211 276 104 593 75 950 12 421 242 819 83 837 114 444 168 392 30 392 241 650 46 131 204 521 43 908 283 43 908 283
0.27 0.02 0.08 0.00 0.11 0.45 0.42 0.43 0.00 0.11 0.17 0.04 0.01 0.01 0.62 0.45 0.22 0.16 0.03 0.52 0.18 0.24 0.36 0.06 0.52 0.10 0.44 93.64 93.64
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
166
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Gotham U.S. Equity Long/Short UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD) Industrial classification of investments (as a percentage of net assets as at September 30, 2016) Retail Software Pharmaceuticals Computers Semiconductors Commercial Services Media Biotechnology Telecommunications Food Healthcare-Products Transportation Healthcare-Services Miscellaneous Manufacturing Airlines Internet Electronics Building Materials Chemicals Aerospace/Defense Oil & Gas Machinery-Diversified Engineering & Construction Auto Parts & Equipment Electrical Components & Equipment Lodging Packaging & Containers Geographical classification of investments (as a percentage of net assets as at September 30, 2016) United States United Kingdom Netherlands Ireland Canada Switzerland Bermuda
% 11.68 6.71 4.99 4.59 4.20 4.03 3.90 3.85 3.77 3.70 2.98 2.95 2.07 2.07 1.94 1.88 1.84 1.78 1.76 1.64 1.62 1.53 1.41 1.38 1.20 1.19 1.13
% 89.65 1.19 0.83 0.71 0.64 0.58 0.04 93.64
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Industrial classification of investments (as a percentage of net assets as at September 30, 2016) (cont.) % Home Furnishings 1.08 Beverages 1.02 Oil & Gas Services 0.92 Apparel 0.86 Household Products/Wares 0.82 Agriculture 0.80 Auto Manufacturers 0.68 Home Builders 0.64 Hand/Machine Tools 0.55 Advertising 0.51 Entertainment 0.51 Textiles 0.50 Leisure Time 0.42 Distribution/Wholesale 0.37 Cosmetics/Personal Care 0.33 Shipbuilding 0.33 Environmental Control 0.26 Housewares 0.26 Office Furnishings 0.24 Diversified Financial Services 0.20 Pipelines 0.18 Office/Business Equipment 0.16 Metal Fabricate/Hardware 0.12 Forest Products & Paper 0.07 Machinery-Construction & Mining 0.01 Storage/Warehousing 0.01 93.64
Merrill Lynch Investment Solutions
167
Merrill Lynch Investment Solutions – Gotham U.S. Equity Long/Short UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Purchase Sale Forward foreign exchange contracts EUR 5 825 258 USD USD 229 265 EUR Total forward foreign exchange contracts
6 558 513 204 414
Maturity date
Counterparty
31/10/2016 31/10/2016
State Street Bank and Trust Co. State Street Bank and Trust Co.
Unrealised appreciation/ (depreciation) USD (3 622) (753) (4 375)
The maximum individual counterparty exposure for OTC Derivatives as at September 30, 2016 is 3.72% of the NAV. Contracts for difference swaps The Sub-Fund Merrill Lynch Investment Solutions - Gotham U.S. Equity Long/Short UCITS Fund entered into contracts for difference swaps with one counterparty (Morgan Stanley Capital Services Inc..) with the following details: 1) Morgan Stanley Capital Services Inc. Commitment of USD 29 444 767 for the short portfolio composed of 401 equities Commitment of USD 10 355 335 for the long portfolio composed of 165 equities Market value of USD (1 074 957) detailed as follows: – unrealised depreciation of short portfolio: USD (1 131 579) – unrealised depreciation of long portfolio: USD (172 258) – realised result: USD 228 880 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:
Industrial sector Advertising Aerospace/Defense Aerospace/Defense Agriculture Agriculture Airlines Airlines Apparel Apparel Auto Manufacturers Auto Parts&Equipment Auto Parts&Equipment Banks Banks Beverages Beverages Biotechnology Biotechnology
Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity
Long/Short Long Long Short Long Short Long Short Long Short Long Long Short Long Short Long Short Long Short
Commitment USD 343 183 253 508 257 6 529 45 395 12 220 187 878 112 453 122 063 9 687 258 189 803 104 774 762 739 55 320 104 461 762 410 1 361 563
Unrealised appreciation/ (depreciation) USD 4 6 563 (27 534) 787 (8 660) 25 989 (65) 61 (1 614) 285 7 16 128 4 382 (82 704) (1 356) 1 175 (77 145) (32 154)
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
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Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Gotham U.S. Equity Long/Short UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Industrial sector Building Materials Building Materials Chemicals Chemicals Commercial Services Commercial Services Computers Computers Cosmetics/Personal Care Distribution/Wholesale Diversified Financial Services Diversified Financial Services Electrical Compo&Equip Electrical Compo&Equip Electric Electronics Electronics Energy-Alternate Sources Engineering&Construction Engineering&Construction Entertainment Entertainment Environmental Control Environmental Control Food Service Food Food Forest Products&Paper Hand/Machine Tools Healthcare-Products Healthcare-Products Healthcare-Services Healthcare-Services Home Builders Home Builders Home Furnishings Home Furnishings Household Products/Wares Household Products/Wares Housewares Internet Internet Leisure Time Leisure Time Lodging
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
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Long/Short Long Short Long Short Long Short Long Short Short Short Long Short Long Short Short Long Short Short Long Short Long Short Long Short Short Long Short Short Short Long Short Long Short Long Short Long Short Long Short Short Long Short Long Short Long
Commitment USD 208 263 555 826 407 555 1 184 220 948 375 1 160 614 632 432 332 854 361 837 612 431 250 884 101 496 40 054 63 029 207 901 1 182 557 363 199 361 174 099 753 322 13 621 207 013 6 078 288 927 50 868 326 154 1 107 722 227 213 130 906 228 410 1 271 654 240 011 688 983 13 873 307 789 121 332 39 265 459 946 9 413 23 203 108 447 555 166 368 61 574 151 183
Unrealised appreciation/ (depreciation) USD (10 335) 5 335 29 330 (30 258) 14 531 (6 969) (3 364) (11 672) 9 566 115 905 (589) 7 835 7 381 (2 464) 1 366 (1 781) (16 306) 1 968 (26 947) 7 655 – 3 542 349 4 447 (821) (6 161) (62 913) (77 524) 5 228 2 157 (62 368) (8 207) (96 881) (887) 87 590 (709) (8 592) (53 581) 217 (296) (5 293) (27 123) (2) (5 838) 6 497
Merrill Lynch Investment Solutions
169
Merrill Lynch Investment Solutions – Gotham U.S. Equity Long/Short UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Industrial sector Lodging Machinery-Diversified Machinery-Diversified Media Media Metal Fabricate/Hardware Mining Miscellaneous Manufactur Miscellaneous Manufactur Office Furnishings Office/Business Equip Oil&Gas Services Oil&Gas Oil&Gas Packaging&Containers Packaging&Containers Pharmaceuticals Pharmaceuticals Pipelines Real Estate Retail Retail Semiconductors Semiconductors Shipbuilding Software Software Telecommunications Telecommunications Textiles Toys/Games/Hobbies Transportation Transportation Total
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
Long/Short Short Long Short Long Short Short Short Long Short Short Short Short Long Short Long Short Long Short Short Short Long Short Long Short Long Long Short Long Short Short Short Long Short
Commitment USD 493 593 222 213 1 054 159 492 717 1 257 829 21 838 85 866 82 013 196 164 94 451 305 789 515 324 25 593 354 433 84 607 347 116 812 422 1 395 737 41 588 15 077 902 551 2 073 249 593 705 1 185 559 742 246 208 1 876 773 553 057 2 281 608 88 033 268 978 759 994 1 149 492 39 800 101
Unrealised appreciation/ (depreciation) USD (9 704) (63 279) (31 728) (28 824) (172 155) (953) (4 342) 631 (5 503) (7 733) (121 176) (25 437) 39 873 (6 372) (1 193) (88 577) (15 574) 41 009 (429) 2 617 (16 324) (31 226) (1 837) (42 211) – (23 954) (163 905) 93 454 (87 711) (3 569) 23 364 (57 198) (101 039) (1 303 838)
The total market value of the contracts for difference swaps is USD (1 074 958).
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
170
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Merrill Lynch Investment Solutions – Merrill Lynch Credit Fund 2016 Schedule of Investments as at September 30, 2016 (expressed in EUR)
Nominal value/
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 2 000 000 12 150 000 1 000 000 3 900 000 1 350 000 4 200 000 1 200 000
C10-EUR Capital SPV Ltd. FRN Perpetual Fiat Chrysler Finance North America, Inc. 5.625% 12/06/2017 Gazprom OAO Via Gaz Capital S.A. 4.364% 21/03/2025 Hema Bondco I BV FRN 15/06/2019 Novo Banco S.A. 3.500% 23/01/2043 Shell International Finance BV 0.750% 15/08/2028 Telecom Italia SpA 7.000% 20/01/2017 Total Bonds
EUR EUR EUR EUR EUR EUR EUR
1 640 000 12 924 562 1 065 658 2 905 500 688 500 4 131 750 1 255 680 24 611 650
1 569 794 12 538 800 1 081 210 2 854 800 654 966 4 184 057 1 224 921 24 108 548
1.39 11.10 0.96 2.53 0.58 3.70 1.08 21.34
EUR
9 991 000
9 990 580
8.84
EUR EUR EUR EUR EUR
10 912 000 2 087 500 264 758 734 555 8 656 000
10 365 600 2 077 500 266 084 738 942 8 141 824
9.18 1.84 0.24 0.65 7.21
32 645 813
31 580 530
27.96
5 832 382 1 875 780 2 703 000 1 093 560 1 640 000 2 559 421 1 711 962 1 839 850 3 688 436 3 422 400 1 550 783 2 375 000 3 421 408 3 276 969 4 089 600 6 686 609 5 107 500 52 874 660
5 197 500 1 925 000 2 789 205 331 500 1 500 000 2 228 057 1 711 962 1 839 850 1 367 100 3 520 000 2 175 000 2 232 500 3 656 250 4 063 884 3 600 000 7 513 248 5 107 500 50 758 556
4.60 1.70 2.47 0.29 1.33 1.97 1.51 1.63 1.21 3.12 1.92 1.98 3.24 3.60 3.19 6.65 4.52 44.93
Supranationals, Governments and Local Public Authorities, Debt Instruments 10 000 000 10 000 000 2 000 000 246 000 600 000 8 000 000
Italy Buoni Poliennali del Tesoro Coupon Strip 0.000% 01/11/2018 Morocco Government International Bond 5.375% 27/06/2017 Poland Government International Bond 0.875% 14/10/2021 Poland Government International Bond 1.500% 09/09/2025 Poland Government International Bond 4.500% 18/01/2022 Turkey Government International Bond 5.500% 16/02/2017 Total Supranationals, Governments and Local Public Authorities, Debt Instruments
Asset Backed & Mortgage Backed Securities 15 750 000 2 500 000 3 000 000 1 950 000 2 000 000 4 740 546 2 022 401 3 016 147 9 114 000 4 000 000 2 500 000 4 750 000 4 500 000 4 104 934 6 000 000 7 576 894 6 000 000
Cadogan Square CLO III BV - M FRN 17/01/2023 (a) Carnuntum High Grade I Ltd. - A2 FRN 22/06/2090 (a) CELF Loan Partners IV Plc. - C FRN 03/05/2023 (a) Clavos Euro CDO Ltd. FRN 18/04/2023 (a) Dekania Europe CDO II Plc. - A2A FRN 27/09/2037 (a) Dekania Europe CDO II Plc. - C FRN 27/09/2037 (a) Duchess VII CLO BV - O 0.000% 28/02/2023 (a) Eaton Vance CDO X Plc. - E1 FRN 22/02/2027 (a) Harvest CLO III Plc. - F FRN 08/06/2021 (a) Highlander Euro CDO BV - D FRN 06/09/2022 (a) Highlander Euro CDO III BV - D FRN 01/05/2023 (a) Highlander Euro CDO III BV - F1 FRN 01/05/2023 (a) Jubilee CLO 2013-X BV FRN 15/08/2025 (a) Leopard CLO III BV - D 144A FRN 21/04/2020 (a) North Westerly CLO II BV - R 0.250% 08/10/2022 (a) Queen Street CLO II BV - A2 FRN 15/08/2024 (a) SLM Student Loan Trust - A6 144A FRN 25/07/2039 (a) Total Asset Backed & Mortgage Backed Securities
(a) These securities are fair valued. See Notes 2.2.6 and 9.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR
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Merrill Lynch Investment Solutions – Merrill Lynch Credit Fund 2016 Schedule of Investments as at September 30, 2016 (cont.) (expressed in EUR)
Nominal value/
Quotation Currency
Description
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 2 500 000
ESPRI Ltd. FRN 15/12/2021 (a) Total Bonds Total Investments
EUR
1 375 000 1 375 000 111 507 123
1 500 000 1 500 000 107 947 634
1.33 1.33 95.56
(a) These securities are fair valued. See Notes 2.2.6 and 9.
Industrial classification of investments (as a percentage of net assets as at September 30, 2016) Other ABS Sovereign Auto Manufacturers Oil & Gas Student Loan ABS Retail Building Materials Diversified Financial Services Telecommunications Banks Banks
% 40.41 27.96 11.10 4.66 4.52 2.53 1.39 1.33 1.08 0.58 95.56
Geographical classification of investments (as a percentage of net assets as at September 30, 2016) Netherlands United States Italy Morocco Ireland Turkey Poland Jersey British Virgin Islands Cayman Islands Luxembourg Portugal
% 36.04 15.62 9.92 9.18 8.90 7.21 2.73 1.70 1.39 1.33 0.96 0.58 95.56
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
172
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Merrill Lynch Credit Fund 2016 Schedule of Investments as at September 30, 2016 (cont.) (expressed in EUR)
Notional Pay Total return swaps (142 670 922) Bank of America Merrill Lynch US Banking Total Return Index
Quantity (2 000 000) (15 750 000) (2 500 000) (3 000 000) (1 950 000) (2 000 000) (4 740 546) (2 022 401) (3 016 147) (2 500 000) (12 150 000) (1 000 000) (9 114 000) (3 900 000) (4 000 000) (2 500 000) (4 750 000) (10 000 000) (4 500 000) (4 104 934) (10 000 000) (6 000 000) (1 350 000) (2 000 000) (246 000) (600 000) (7 576 894) (4 200 000) (6 000 000) (1 200 000) (8 000 000)
Receive
Currency
EUR 3 months EURIBOR
Basket composed of: Description C10-EUR Capital SPV Ltd. FRN Perpetual Cadogan Square CLO III BV - M FRN 17/01/2023 Carnuntum High Grade I Ltd. - A2 FRN 22/06/2090 CELF Loan Partners IV Plc. - C FRN 03/05/2023 Clavos Euro CDO Ltd. FRN 18/04/2023 Dekania Europe CDO II Plc. - A2A FRN 27/09/2037 Dekania Europe CDO II Plc. - C FRN 27/09/2037 Duchess VII CLO BV - O 0.000% 28/02/2023 Eaton Vance CDO X Plc. - E1 FRN 22/02/2027 ESPRI Ltd. FRN 15/12/2021 Fiat Chrysler Finance North America, Inc. 5.625% 12/06/2017 Gazprom OAO Via Gaz Capital S.A. 4.364% 21/03/2025 Harvest CLO III Plc. - F FRN 08/06/2021 Hema Bondco I BV FRN 15/06/2019 Highlander Euro CDO BV - D FRN 06/09/2022 Highlander Euro CDO III BV - D FRN 01/05/2023 Highlander Euro CDO III BV - F1 FRN 01/05/2023 Italy Buoni Poliennali del Tesoro Coupon Strip 0.000% 01/11/2018 Jubilee CLO 2013-X BV FRN 15/08/2025 Leopard CLO III BV - D 144A FRN 21/04/2020 Morocco Government International Bond 5.375% 27/06/2017 North Westerly CLO II BV - R 0.250% 08/10/2022 Novo Banco S.A. 3.500% 23/01/2043 Poland Government International Bond 0.875% 14/10/2021 Poland Government International Bond 1.500% 09/09/2025 Poland Government International Bond 4.500% 18/01/2022 Queen Street CLO II BV - A2 FRN 15/08/2024 Shell International Finance BV 0.750% 15/08/2028 SLM Student Loan Trust - A6 144A FRN 25/07/2039 Telecom Italia SpA 7.000% 20/01/2017 Turkey Government International Bond 5.500% 16/02/2017
EUR
Maturity date
Unrealised appreciation/ (depreciation) Commitment EUR Counterparty EUR
15/12/2016 Merrill Lynch International Bank Ltd.
1 088 926
Currency EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR
The maximum individual counterparty exposure for OTC Derivatives as at September 30, 2016 is 2.80% of the NAV. The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
142 670 922
Merrill Lynch Investment Solutions
173
Merrill Lynch Investment Solutions – Passport Capital Global Equity Long Short UCITS Fund Schedule of Investments as at September 30, 2016 (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 2 806 7 044 16 508 7 013 1 046 37 393 7 515 25 091 16 285 72 576 50 112 7 918 9 780 4 245 6 449 4 985 32 813 43 161 39 928 129 388 27 922 19 600 20 978 42 718 5 593 19 224 15 835 33 245 42 834 7 437
Affiliated Managers Group, Inc. Albemarle Corp. Alibaba Group Hldg. Ltd. - ADR Allergan Plc. Alphabet, Inc. - C AngloGold Ashanti Ltd. - ADR ASML Hldg. NV - Reg British American Tobacco Plc. Cabot Oil & Gas Corp. Cemex SAB de CV - ADR China Mobile Ltd. Concho Resources, Inc. Constellation Brands, Inc. - A Crown Castle International Corp. Dollar Tree, Inc. Facebook, Inc. - A Flex Ltd. Johnson Controls International Plc. Liberty Global Plc. - C Marvell Technology Group Ltd. Microsoft Corp. Molson Coors Brewing Co. - B Newmont Mining Corp. Pfizer, Inc. Schlumberger Ltd. Sempra Energy Silver Wheaton Corp. Symantec Corp. Tencent Hldg. Ltd. Visa, Inc. - A Total Shares
USD USD USD USD USD USD USD GBP USD USD HKD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD HKD USD
402 819 587 667 1 487 265 1 667 606 804 367 620 537 821 646 1 564 955 398 461 606 913 584 044 869 106 1 529 086 411 658 510 292 539 877 412 316 2 021 419 1 187 678 1 647 775 1 509 815 1 913 970 862 355 1 370 673 413 313 1 923 423 346 950 800 252 920 471 604 785 29 341 494
406 028 602 192 1 746 381 1 615 164 813 045 595 297 823 494 1 606 845 420 153 576 253 606 375 1 087 537 1 628 272 399 921 509 020 639 426 446 913 2 008 281 1 319 221 1 716 979 1 608 307 2 152 080 824 226 1 446 859 439 834 2 060 621 428 020 834 449 1 176 341 615 040 31 152 574
1.00 1.48 4.29 3.97 2.00 1.46 2.03 3.95 1.03 1.42 1.49 2.67 4.00 0.98 1.25 1.57 1.10 4.94 3.24 4.22 3.96 5.29 2.03 3.56 1.08 5.07 1.05 2.05 2.89 1.51 76.58
290 923
Alinma Bank Call Strike Price 3.410 06/08/2020 (a) Total Warrants Total Investments
USD
988 964 988 964 30 330 458
882 442 882 442 32 035 016
2.17 2.17 78.75
Warrants
(a) This security is fair valued. See Notes 2.2.6 and 9.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
174
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Passport Capital Global Equity Long Short UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD) Industrial classification of investments (as a percentage of net assets as at September 30, 2016) Internet Beverages Pharmaceuticals Semiconductors Electronics Gas Mining Software Agriculture Oil & Gas Media Diversified Financial Services Banks Telecommunications Chemicals Building Materials Retail Oil & Gas Services REITS
Purchase Sale Forward foreign exchange contracts CHF 2 124 968 USD EUR 22 586 170 USD USD 8 681 CHF USD 1 179 EUR Total forward foreign exchange contracts
Short/ Long Currency Options Long USD Short USD Long USD Total Options
Description Nasdaq 100 Stock Index Russell 2000 Index Russell 2000 Index
Geographical classification of investments (as a percentage of net assets as at September 30, 2016) United States United Kingdom China Bermuda Netherlands Hong Kong South Africa Mexico Canada
% 12.80 9.29 7.53 6.25 6.04 5.07 4.54 3.96 3.95 3.70 3.24 2.51 2.17 1.49 1.48 1.42 1.25 1.08 0.98 78.75
2 197 357 25 429 201 8 412 1 050
Maturity date
Counterparty
31/10/2016 31/10/2016 31/10/2016 31/10/2016
State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co.
Put/ Call
Strike Price
Maturity date
Quantity
Put Put Put
4 575.000 1 170.000 1 220.000
21/10/2016 30/09/2016 30/09/2016
10 (51) 46
(1 829) (14 041) (11) (2) (15 883)
Commitment USD
6 680 (306) 230 6 604
– 5 967 000 – 5 967 000
The maximum individual counterparty exposure for OTC Derivatives as at September 30, 2016 is 2.44% of the NAV.
Unaudited semi-annual report
Unrealised appreciation/ (depreciation) USD
Market value USD
Merrill Lynch Professional Clearing is the counterparty to these options.
The accompanying notes form an integral part of these financial statements.
% 50.54 9.36 7.18 4.22 2.03 1.49 1.46 1.42 1.05 78.75
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Merrill Lynch Investment Solutions – Passport Capital Global Equity Long Short UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD) Contracts for difference swaps The Sub-Fund Passport Capital Global Equity Long Short UCITS Fund entered into contracts for difference swaps with one counterparty (Morgan Stanley International Plc..) with the following details: 1) Morgan Stanley International Plc. Commitment of USD 9 366 893 for the short portfolio composed of 24 equities Commitment of USD 790 089 for the long portfolio composed of 4 equities Market value of USD (76 359) detailed as follows: – unrealised depreciation of short portfolio: USD (25 835) – unrealised depreciation of long portfolio: USD (6 233) – realised result: USD (44 291) 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:
Industrial sector Auto Parts&Equipment Banks Distribution/Wholesale Electric Engineering&Construction Food Healthcare-Services Home Builders Machinery-Constr&Mining Machinery-Diversified Media Pharmaceuticals Retail Software Telecommunications Total
Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity
Long/Short Short Short Short Short Long Short Short Short Long Long Short Short Short Short Short
Commitment USD 461 583 1 366 437 782 216 387 343 198 612 788 148 499 867 372 126 401 041 190 436 384 626 394 629 1 941 396 793 210 1 195 312 10 156 982
Unrealised appreciation/ (depreciation) USD (14 303) 62 006 (3 326) (3 807) (5 524) (32 609) 1 594 23 467 6 743 (7 452) (1 491) 1 752 (51 348) (5 415) (2 355) (32 068)
The total market value of the contracts for difference swaps is USD (76 358).
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
176
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Willowbridge-Praxis Global Macro UCITS Fund Schedule of Investments as at September 30, 2016 (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 Shares 15 000 1 100 4 000
Corning, Inc. FANUC Corp. National Bank of Greece S.A. - ADR Total Shares
USD JPY USD
284 850 165 985 44 175 495 010
354 750 184 773 820 540 343
0.81 0.42 0.00 1.23
CAD CAD CAD USD USD USD
8 338 125 10 048 435 8 668 538 1 001 1 003 1 000
8 367 700 9 885 242 8 588 946 1 001 1 002 1 000
19.02 22.47 19.53 0.00 0.00 0.00
27 058 102 27 553 112
26 844 891 27 385 234
61.02 62.25
Supranationals, Governments and Local Public Authorities, Debt Instruments 11 000 000 13 000 000 11 300 000 1 000 1 000 1 000
Canadian Treasury Bill 0.000% 20/10/2016 Canadian Treasury Bill 0.000% 17/11/2016 Canadian Treasury Bill 0.000% 15/12/2016 European Investment Bank 1.125% 15/12/2016 European Investment Bank 1.125% 15/09/2017 European Investment Bank 1.250% 14/10/2016 Total Supranationals, Governments and Local Public Authorities, Debt Instruments Total Investments
Industrial classification of investments (as a percentage of net assets as at September 30, 2016) Sovereign Electronics Machinery-Diversified
Underlying Currency nature contract Futures contracts Interest rate USD Interest rate USD Interest rate USD Interest rate
USD
% 61.02 0.81 0.42 62.25
Details
Market
90 Day Eurodollar 90 Day Eurodollar 90Day EUR Futr Dec17
Chicago Mercantile Exchange Chicago Mercantile Exchange Merrill Lynch Pierce Fenner + Smith Inc Merrill Lynch Pierce Fenner + Smith Inc
90Day EUR Futr Dec17
Total Futures contracts
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Geographical classification of investments (as a percentage of net assets as at September 30, 2016) Canada United States Japan Greece
% 61.02 0.81 0.42 0.00 62.25
Unrealised Number of Number of appreciation/ Maturity contracts contracts Commitment (depreciation) date bought sold USD USD 17/12/2018 18/03/2019
– –
250 250
61 753 125 61 737 500
95 080 78 612
18/12/2017
250
–
61 834 375
(74 600)
19/03/2018
250
–
61 821 875 247 146 875
(73 700) 25 392
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Merrill Lynch Investment Solutions – Willowbridge-Praxis Global Macro UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Purchase Sale Forward foreign exchange contracts USD 8 352 316 CAD EUR 9 452 277 USD USD 1 388 286 EUR USD 10 054 138 CAD CNH 7 990 000 USD USD 1 203 422 CNH CNH 7 990 000 USD USD 1 203 313 CNH USD 8 692 308 CAD CNH 16 019 000 USD USD 2 412 500 CNH USD 2 441 728 SAR CNH 16 362 000 USD USD 2 416 839 CNH THB 220 749 000 USD USD 6 051 234 THB Total forward foreign exchange contracts
11 000 000 10 642 082 1 238 411 13 000 000 1 207 040 7 990 000 1 206 675 7 990 000 11 300 000 2 382 298 16 019 000 9 187 000 2 452 339 16 362 000 6 144 830 220 749 000
Maturity date
Counterparty
21/10/2016 31/10/2016 31/10/2016 18/11/2016 23/11/2016 23/11/2016 28/11/2016 28/11/2016 16/12/2016 23/12/2016 23/12/2016 04/01/2017 23/01/2017 23/01/2017 01/02/2017 01/02/2017
State Street Bank and Trust Co State Street Bank and Trust Co State Street Bank and Trust Co State Street Bank and Trust Co Merrill Lynch International Ltd. Merrill Lynch International Ltd. Merrill Lynch International Ltd. Merrill Lynch International Ltd. State Street Bank and Trust Co Merrill Lynch International Ltd. Merrill Lynch International Ltd. Merrill Lynch International Ltd. Merrill Lynch International Ltd. Merrill Lynch International Ltd. Merrill Lynch International Ltd. Merrill Lynch International Ltd.
Unrealised appreciation/ (depreciation) USD (18 715) (5 878) (5 240) 159 127 (13 221) 9 603 (13 238) 9 876 89 601 6 930 23 272 (1 786) (15 769) (19 731) 217 836 (311 432) 111 235
The maximum individual counterparty exposure for OTC Derivatives as at September 30, 2016 is 4.70% of the NAV.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
178
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Ramius Merger Arbitrage UCITS Fund Schedule of Investments as at September 30, 2016 (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 233 000 Shares 29 984 14 762 7 551 12 020 2 786 13 691 19 328 35 860 22 538 4 911 9 877 1 216 21 398 10 047 67 783 21 767 5 200 1 160
Rackspace Hosting, Inc. 144A 6.500% 15/01/2024 Total Bonds
USD
256 883 256 883
255 717 255 717
1.32 1.32
Astoria Financial Corp. Chemtura Corp. Cynapsus Therapeutics, Inc. EverBank Financial Corp. Imperva, Inc. Infoblox, Inc. Ingram Micro, Inc. - A Intersil Corp. - A Joy Global, Inc. Lexmark International, Inc. - A LinkedIn Corp. - A Monsanto Co. Rackspace Hosting, Inc. Rite Aid Corp. SunEdison Semiconductor Ltd. Syngenta AG - ADR Talen Energy Corp. Twitter, Inc. Total Shares
USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD
453 607 483 711 302 720 221 582 136 137 352 699 676 671 761 469 617 719 179 525 1 895 615 125 309 674 379 81 656 775 039 1 806 275 71 890 26 679 9 642 682
437 766 484 341 303 701 232 707 149 636 361 032 689 237 786 410 625 204 196 244 1 887 692 124 275 678 103 77 262 772 048 1 906 789 72 020 26 738 9 811 205
2.26 2.50 1.57 1.20 0.77 1.86 3.55 4.05 3.22 1.01 9.73 0.64 3.49 0.40 3.98 9.83 0.37 0.14 50.57
USD
3 998 264
3 998 812
20.61
3 998 264 13 897 829
3 998 812 14 065 734
20.61 72.50
Supranationals, Governments and Local Public Authorities, Debt Instruments 4 000 000
United States Treasury Bill 0.000% 01/12/2016 Total Supranationals, Governments and Local Public Authorities, Debt Instruments Total Investments
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
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Merrill Lynch Investment Solutions – Ramius Merger Arbitrage UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD) Industrial classification of investments (as a percentage of net assets as at September 30, 2016) Sovereign Chemicals Internet Semiconductors Software Distribution/Wholesale Savings & Loans Machinery-Construction & Mining Telecommunications Pharmaceuticals Computers Retail Electric
Short/ Long Currency Options (cont.) Long USD Short 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 Long USD Long USD Long USD Long USD Long USD Long USD Long USD Long USD Long USD Long USD Long USD Short USD Short USD
Description Abbott Laboratories Alibaba Group Hldg. Ltd. Alibaba Group Hldg. Ltd. Apollo Education Group, Inc. Apollo Education Group, Inc. CBOE Hldg., Inc. CBOE Hldg., Inc. CBOE Hldg., Inc. EI du Pont de Nemours & Co. EI du Pont de Nemours & Co. Imperva, Inc. Imperva, Inc. Intersil Corp. Intersil Corp. Lexmark International, Inc. Lexmark International, Inc. LinkedIn Corp. Lions Gate Entertainment Corp. Lions Gate Entertainment Corp. Lions Gate Entertainment Corp. Medivation, Inc. Medivation, Inc. Medivation, Inc. Monsanto Co. Northstar Realty Finance Corp. S&P 500 Index S&P 500 Index
% 20.61 12.97 9.87 8.03 5.58 3.55 3.46 3.22 1.86 1.57 1.01 0.40 0.37 72.50
Geographical classification of investments (as a percentage of net assets as at September 30, 2016) United States Switzerland Canada
Put/ Call
Strike Price
Maturity date
Quantity
Market value USD
Call Call Call Put Put Call Call Call Put Put Call Put Call Call Put Put Call Call Call Call Put Put Put Call Put Put Put
45.000 115.000 110.000 5.000 8.000 72.500 72.500 70.000 62.500 60.000 55.000 45.000 21.000 20.000 30.000 29.000 200.000 23.000 22.000 23.000 55.000 55.000 50.000 110.000 11.000 2 060.000 2 070.000
18/11/2016 21/10/2016 21/10/2016 20/01/2017 20/01/2017 16/12/2016 20/01/2017 20/01/2017 21/10/2016 21/10/2016 21/10/2016 21/10/2016 21/10/2016 20/01/2017 21/10/2016 21/10/2016 19/01/2018 21/10/2016 16/12/2016 16/12/2016 30/09/2016 21/10/2016 21/10/2016 20/01/2017 16/12/2016 21/10/2016 21/10/2016
7 (2) 30 30 47 23 17 12 3 6 40 35 17 23 23 25 1 8 9 14 174 1 2 24 130 (20) (2)
231 (68) 3 390 1 110 4 700 575 765 1 020 78 96 6 000 875 1 700 4 428 115 125 35 80 630 735 174 1 2 2 232 2 925 (8 000) (1 000)
% 61.10 9.83 1.57 72.50
Commitment USD – 23 000* – – – – – – – – – – – – – – – – – – – – – – – 4 120 000 414 000
* The commitment on short call positions is unlimited. The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
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Merrill Lynch Investment Solutions – Ramius Merger Arbitrage UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD)
Short/ Long Currency Options (cont.) Long USD Long USD Long USD Long USD Long USD Short USD Long USD Long USD Total Options
Description S&P 500 Index S&P 500 Index S&P 500 Index S&P 500 Index Whitewawe Foods Co. Whitewawe Foods Co. Whitewawe Foods Co. Whitewawe Foods Co.
Put/ Call
Strike Price
Maturity date
Quantity
Put Put Put Put Put Call Call Put
1 990.000 1 980.000 2 150.000 2 140.000 52.500 50.000 55.000 52.500
21/10/2016 21/10/2016 21/10/2016 21/10/2016 21/10/2016 20/01/2017 20/01/2017 20/01/2017
1 10 1 10 12 (37) 37 6
Market value USD 160 1 250 1 740 14 720 240 (21 090) 3 700 570 24 244
Commitment USD – – – – – 185 000* – – 4 742 000
* The commitment on short call positions is unlimited.
Merrill Lynch Professional Clearing is the counterparty to these options. The maximum individual counterparty exposure for OTC Derivatives as at September 30, 2016 is 0.54% of the NAV. Contracts for difference swaps The Sub-Fund Merrill Lynch Investment Solutions – Ramius Merger Arbitrage UCITS Fund entered into contracts for difference swaps with one counterparty (Morgan Stanley Capital Services Inc..) with the following details: 1) Morgan Stanley Capital Services Inc. Commitment of USD 7 532 772 for the short portfolio composed of 19 equities Commitment of USD 11 503 914 for the long portfolio composed of 16 equities Market value of USD 103 914 detailed as follows: – unrealised depreciation of short portfolio: USD (151 657) – unrealised appreciation of long portfolio: USD 271 999 – realised result: USD (16 428) 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. Unaudited semi-annual report
Merrill Lynch Investment Solutions
181
Merrill Lynch Investment Solutions – Ramius Merger Arbitrage UCITS Fund Schedule of Investments as at September 30, 2016 (cont.) (expressed in USD) The below table is composed of long and short positions:
Industrial sector Aerospace/Defense Banks Beverages Chemicals Chemicals Diversified Finan Serv Diversified Financial Services Electronics Entertainment Entertainment Fund - Equity Healthcare-Products Healthcare-Products Healthcare-Services Healthcare-Services Internet Internet Investment Companies Investment Companies Media Media Pipelines Pipelines REITS REITS Semiconductors Semiconductors Software Telecommunications Telecommunications Total
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
Long/Short Long Short Long Long Short Long Short Short Long Short Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Short Long Short
Commitment USD 878 412 426 672 1 930 900 20 732 20 895 192 832 132 878 6 436 577 854 641 702 1 211 064 1 859 206 856 542 1 110 000 1 034 795 794 807 783 481 919 870 407 247 853 585 333 795 580 673 591 134 897 804 844 614 876 958 221 192 3 171 10 281 17 154 19 036 686
Unrealised appreciation/ (depreciation) USD 116 662 19 775 45 440 (58) 48 1 175 2 130 (70) (6 314) (758) 5 014 (7 012) (767) (11 861) 20 212 16 873 (65 949) 47 675 (31 529) 29 385 (31 975) (5 110) 7 302 30 976 (65 574) 14 384 (9 826) 2 (216) 308 120 342
The total market value of the contracts for difference swaps is USD 103 917.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
182
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Merrill Lynch Enhanced Cross-Asset Volatility Premium Fund Schedule of Investments as at September 30, 2016 (expressed in EUR)
Nominal value
Quotation Currency
Description
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 Supranationals, Governments and Local Public Authorities, Debt Instruments 1 000 Bundesrepublik Deutschland 1.500% 15/02/2023 1 000 Bundesrepublik Deutschland 1.500% 15/05/2023 1 000 Bundesrepublik Deutschland 2.000% 15/08/2023 1 000 Bundesrepublik Deutschland 5.625% 04/01/2028 1 000 Bundesrepublik Deutschland 6.250% 04/01/2024 1 000 Bundesrepublik Deutschland 6.500% 04/07/2027 4 800 000 France Treasury Bill BTF 0.000% 12/10/2016 4 800 000 France Treasury Bill BTF 0.000% 01/02/2017 4 800 000 France Treasury Bill BTF 0.000% 01/03/2017 4 700 000 France Treasury Bill BTF 0.000% 29/03/2017 4 800 000 German Treasury Bill 0.000% 16/11/2016 4 700 000 German Treasury Bill 0.000% 07/12/2016 4 800 000 German Treasury Bill 0.000% 11/01/2017 4 700 000 German Treasury Bill 0.000% 25/01/2017 4 700 000 German Treasury Bill 0.000% 15/02/2017 4 700 000 German Treasury Bill 0.000% 15/03/2017 Total Supranationals, Governments and Local Public Authorities, Debt Instruments Total Investments
Industrial classification of investments (as a percentage of net assets as at September 30, 2016) Sovereign
Notional Pay Total return swaps (50 179 570) BofAML Short Synthetic Variance Index Total return swaps
Receive
EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR
1 125 1 128 1 167 1 637 1 489 1 707 4 802 122 4 812 531 4 814 876 4 717 407 4 806 911 4 708 619 4 812 674 4 713 557 4 714 645 4 716 486
1 130 1 135 1 173 1 653 1 497 1 725 4 800 720 4 810 987 4 812 662 4 713 630 4 804 306 4 705 588 4 809 562 4 710 251 4 712 493 4 714 048
0.00 0.00 0.00 0.00 0.00 0.01 9.52 9.54 9.54 9.34 9.52 9.33 9.53 9.34 9.34 9.34
47 628 081 47 628 081
47 602 560 47 602 560
94.35 94.35
Geographical classification of investments (as a percentage of net assets as at September 30, 2016) Germany France
% 94.35 94.35
Currency
EUR 3 months EURIBOR
EUR
Maturity date
15/09/2017
Unrealised appreciation/ (depreciation) Commitment Counterparty EUR EUR Merrill Lynch International Bank Ltd
305 076 305 076
The maximum individual counterparty exposure for OTC Derivatives as at September 30, 2016 is 0.61% of the NAV.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
% 56.41 37.94 94.35
50 179 570 50 179 570
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Notes to the financial statements as at September 30, 2016 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 Mémorial C, “Recueil des Sociétés et Associations” (the “Mémorial”) on November 30, 2007 and February 21, 2012 respectively. The SICAV is registered with the Register of Commerce and Companies of Luxembourg under the number B 133.445. As at September 30, 2016, twenty-one 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 – Theorema European Equity Long-Short UCITS Fund Merrill Lynch Investment Solutions – York Asian Event-Driven 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 – Beach Point Diversified Credit UCITS Fund Merrill Lynch Investment Solutions – Merrill Lynch WNT Diversified Futures UCITS Fund Merrill Lynch Investment Solutions – Merrill Lynch Enhanced Equity Volatility Premium Fund Merrill Lynch Investment Solutions – Merrill Lynch MLCX Commodity Enhanced Beta Fund Merrill Lynch Investment Solutions – Merrill Lynch MLCX Commodity Enhanced Beta ex Agriculture Fund Merrill Lynch Investment Solutions – Fenician Equity Long Short UCITS Fund Merrill Lynch Investment Solutions – Zeal Greater China Long Short UCITS Fund Merrill Lynch Investment Solutions – Gotham U.S. Equity Long/Short UCITS Fund Merrill Lynch Investment Solutions – Passport Capital Global Equity Long Short UCITS Fund Merrill Lynch Investment Solutions – Willowbridge-Praxis Global Macro UCITS Fund Merrill Lynch Investment Solutions – Merrill Lynch Credit Fund 2016 Merrill Lynch Investment Solutions – Merrill Lynch MLCX Commodity Alpha Fund Merrill Lynch Investment Solutions – Ramius Merger Arbitrage UCITS Fund Merrill Lynch Investment Solutions – Merrill Lynch Enhanced Cross-Asset Volatility Premium Fund
Launch Date November 23, 2007 July 29, 2009 January 29, 2010 June 16, 2010 November 3, 2010 December 1, 2010 February 22, 2011 March 25, 2013 October 23, 2013 November 27, 2013 May 7, 2014 June 5, 2014 July 15, 2014 August 29, 2014 December 15, 2014 July 20, 2015 September 22, 2015 February 19, 2016 February 19, 2016 July 8, 2016 September 16, 2016
Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund was liquidated on May 11, 2016. Merrill Lynch Investment Solutions – Merrill Lynch Dynamic Capital Protection UCITS Fund was liquidated on July 8, 2016. Merrill Lynch Investment Solutions – Ramius Merger Arbitrage UCITS Fund was launched on July 8, 2016. Merrill Lynch Investment Solutions – Merrill Lynch Enhanced Cross-Asset Volatility Premium Fund was launched on September 16, 2016.
Unaudited semi-annual report
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Merrill Lynch Investment Solutions
Notes to the financial statements as at September 30, 2016 (cont.) Note 1 – Activity (cont.) As September 30, 2016, 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 – Theorema European Equity Long-Short UCITS Fund Merrill Lynch Investment Solutions – York Asian Event-Driven 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 – Beach Point Diversified Credit UCITS Fund Merrill Lynch Investment Solutions – Merrill Lynch WNT Diversified Futures UCITS Fund Merrill Lynch Investment Solutions – Merrill Lynch Enhanced Equity Volatility Premium Fund Merrill Lynch Investment Solutions – Merrill Lynch MLCX Commodity Enhanced Beta Fund Merrill Lynch Investment Solutions – Merrill Lynch MLCX Commodity Enhanced Beta ex Agriculture Fund Merrill Lynch Investment Solutions – Fenician Equity Long Short UCITS Fund
Merrill Lynch Investment Solutions – Zeal Greater China Long Short UCITS Fund Merrill Lynch Investment Solutions – Gotham U.S. Equity Long/Short UCITS Fund Merrill Lynch Investment Solutions – Passport Capital Global Equity Long Short UCITS Fund Merrill Lynch Investment Solutions – Willowbridge-Praxis Global Macro UCITS Fund Merrill Lynch Investment Solutions – Merrill Lynch Credit Fund 2016 Merrill Lynch Investment Solutions – MLCX Commodity Alpha Fund
Unaudited semi-annual report
Classes of Shares EUR A (acc), EUR A (inc), EUR B (acc), EUR B (inc), EUR C (acc), EUR C (inc), EUR G (acc), EUR Z (acc), GBP A (inc), GBP B (acc), GBP B (inc), GBP C (acc), GBP C (inc), GBP G (acc), GBP Management (inc), GBP Z (acc), USD A (acc), USD B (acc), USD C (acc), USD G (acc) AUD E (acc), CHF A (acc), CHF E (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 E (inc), GBP F (acc), GBP Z (acc), USD A (acc), USD B (acc), USD C (acc), USD D (acc), USD E (acc), USD F (acc), USD Z (acc) EUR B (acc), EUR C (acc), EUR D (acc), EUR Z (acc), GBP B (acc), GBP C (acc), GBP C (inc), GBP Z (acc), USD B (acc), USD C (acc), USD Z (acc) EUR B (acc), EUR C (acc), EUR I (inc), EUR Management (acc), USD B (acc), USD C (acc) CHF D (acc), EUR B (acc), EUR C (acc), EUR D (acc), GBP C (acc), USD A (acc), USD B (acc), USD C (acc), USD D (acc) CHF A (acc), EUR A (acc), EUR A (inc), EUR C (acc), EUR Z (acc), GBP A (acc), GBP A2 (acc), GBP C (acc), GBP D (acc), GBP Z (acc), USD A (acc), USD C (acc), USD D (acc) CHF C (acc), EUR B (acc), EUR B2 (acc), EUR C (acc), EUR Z (acc), GBP B (acc), GBP B (inc), GBP C (acc), GBP Z (acc), USD B (acc), USD C (acc), USD Management (acc) EUR B (acc), EUR C (acc), EUR D (acc), EUR X (inc), EUR Z (acc), GBP B (acc), GBP B (inc), GBP X (inc), USD B (acc), USD C (acc), USD D (acc), USD Management (acc) EUR B (acc), EUR D (acc), GBP Z (acc), USD B (acc), USD C (acc) EUR A (acc), EUR B (acc) EUR B (acc), EUR C (acc), EUR E (acc), GBP B (acc), SEK C (acc), USD B (acc), USD C (acc) EUR D (acc), USD B (acc) EUR B (acc), EUR D (acc), EUR I (acc), EUR Institutional Seed (acc), EUR Management (acc), EUR Retail Seed (acc), EUR Z (acc), GBP C (acc), GBP Management (acc), USD D (acc), USD Institutional Seed (acc) EUR D (acc), USD B (acc), USD D (acc), USD Management (acc), USD Z (acc) EUR B (acc), EUR C (acc), EUR D (acc), USD B (acc), USD C (acc), USD D (acc) CHF C (acc), CHF D (acc), EUR B (acc), EUR D (acc), USD B (acc), USD C (acc), USD D (acc), USD Management (acc) EUR D (acc), USD B (acc), USD C (acc), USD D (acc), USD Management (acc) EUR B (inc) EUR B-5 (acc), EUR C-5 (acc), EUR E-5 (acc), GBP B-5 (acc), USD B-5 (acc), USD C-5 (acc)
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Notes to the financial statements as at September 30, 2016 (cont.) Note 1 – Activity (cont.) Sub-Funds Merrill Lynch Investment Solutions – Ramius Merger Arbitrage UCITS Fund Merrill Lynch Investment Solutions – Merrill Lynch Enhanced Cross-Asset Volatility Premium Fund
Classes of Shares USD B (acc), USD C (acc), USD D (acc), USD Management (acc) EUR A (acc)
The accounting year of the SICAV ends on March 31 every year. 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. 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 2.3.1 Credit default swap A credit default swap is a credit derivative transaction in which two parties enter into an agreement, whereby one party (the protection buyer) pays the other (the protection seller) a fixed periodic coupon for the specified life of the agreement in return for a payment contingent on a credit event related to the underlying reference obligation. If a credit event occurs, the protection seller would be obligated to make a payment, which may be either: (i) a net cash settlement equal to the notional amount of the swap less the auction value of the reference obligation or (ii) the notional amount of the swap in exchange for the delivery of the reference obligation. Selling protection effectively adds leverage to a sub-fund’s portfolio up to the notional amount of swap agreements. The notional amount represents the maximum potential liability under a contract and is not reflected in the statement of net assets. Potential liabilities under these contracts may be reduced by: the auction rates of the underlying reference obligations; upfront payments received at the inception of a swap; and net amounts received from credit default swaps purchased with the identical reference obligation.
Unaudited semi-annual report
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Merrill Lynch Investment Solutions
Notes to the financial statements as at September 30, 2016 (cont.) Note 2 – Principal accounting policies (cont.) 2.3 Valuation of swaps (cont.) 2.3.1 Credit default swap (cont.) Credit default swaps are marked to market at each NAV calculation date. The market value is based on the valuation elements laid down in the contracts, and is obtained from third party pricing agents, market makers or internal models. The unrealised appreciation/(depreciation) is disclosed in the statement of net assets under “Unrealised appreciation/(depreciation) on swap contracts”. Realised gains/(losses) and change in unrealised appreciation/depreciation resulting there from are included in the statement of operations and changes in net assets respectively under the heading “Net realised gains/(losses) on swap contracts” and “Change in net unrealized appreciation/depreciation on swap contracts”. 2.3.2 Total return swap A total return swap is a bilateral agreement in which each party agrees to exchange payments based on the performance of an underlying instrument represented by a security, commodity, basket or index thereof for a fixed or variable rate. One party pays out the total return of a specific reference asset, and in return, receives a regular stream of payments. The total performance will include gains and losses on the underlying, as well as any interest or dividends during the contract period according to the type of underlying. The cash flows to be exchanged are calculated by reference to an agreed upon notional amount or quantity. To the extent the total return of the reference asset underlying the transaction exceeds or falls short of the offsetting payment, the Fund will receive a payment from or make a payment to the counterparty. Total return swaps are marked to market at each NAV calculation date. The estimated market value is based on the valuation elements laid down in the contracts, and is obtained from third party pricing agents, market makers or internal models. The unrealised appreciation/(depreciation) is disclosed in the statement of net assets under “Unrealised appreciation/(depreciation) on swap contracts”. Realised gains/(losses) and changes in unrealised appreciation/depreciation as a result thereof are included in the statement of operations and changes in net assets respectively under “Net realised gain/(loss) on swap contracts” and “Net change in unrealised appreciation/depreciation on swaps contracts.” 2.3.3 Gap risk swap Gap risk swaps are valued based on the objective to limit the maximum cumulative loss over a predetermined period (a Floor NAV). In case the NAV of the Sub-Fund goes beyond the Floor NAV (a Gap Event), the counterparty of the swap will pay the Sub-Fund a value which will bring the NAV per share to the Floor NAV. The unrealised appreciation/(depreciation) is disclosed in the statement of net assets under “Unrealised appreciation/(depreciation) on swap contracts”. Realised gains/(losses) and changes in unrealised appreciation/depreciation as a result thereof are included in the statement of operations and changes in net assets respectively under “Net realised gain/(loss) on swap contracts” and “Net change in unrealised appreciation/depreciation on swaps contracts.” 2.4 Valuation of contracts for difference swaps Contracts for differences are contracts entered into between a broker and the sub-fund under which the parties agree to make payments to each other so as to replicate the economic consequences of holding a long or short position in the underlying security. Contracts for differences also mirror any corporate actions that take place. Contracts for differences are valued based on the closing market price of the underlying security, less any financing charges attributable to each contract. Upon entering into contracts for differences, the sub- fund may be required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount (“initial margin”). Subsequently, payments known as “variation margin” are made or received by the sub-fund periodically, depending on fluctuations in the value of the underlying security. The unrealised appreciation/(depreciation) is disclosed in the statement of net assets under “Unrealised appreciation/(depreciation) on contracts for differences”. Realised gains/(losses) and changes in unrealised appreciation/depreciation as a result thereof are included in the statement of operations and changes in net assets respectively under “Net realised gain/(loss) on contracts for differences” and “Net change in unrealized appreciation/depreciation on contracts for differences”.
Unaudited semi-annual report
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Notes to the financial statements as at September 30, 2016 (cont.) Note 2 – Principal accounting policies (cont.) 2.5 Valuation of futures contracts Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the sub-fund is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount which is referred to as the initial margin account. Subsequent payments, referred to as variation margin, are made or received by the subfund periodically and are based on changes in the market Value of open futures contracts. The unrealised appreciation/(depreciation) on future contracts is disclosed in the statement of net assets under “Unrealised appreciation/(depreciation) on futures contracts”. Changes in the market value of open futures contracts are recorded as unrealised appreciation/depreciation in the statement of operations and changes in net assets under “Change in net unrealised appreciation/ depreciation on futures contracts”. Realised gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported at the closing or expiration of futures contracts in the statement of operations and changes in net assets under “Net realized gains/ (losses) on futures contracts”. Securities deposited as initial margin are designated in the statement of investments and cash deposited is recorded in the statement of net assets. A receivable and/ or a payable to brokers for the daily variation margin is also recorded in the statement of net assets. 2.6 Valuation of options contracts A purchaser of a put option has the right, but not the obligation, to sell the underlying instrument at an agreed upon price (“strike price”) to the option seller. A purchaser of a call option has the right, but not the obligation, to purchase the underlying instrument at the strike price from the option seller. Purchased Options – Premiums paid by the sub–fund for purchased options are included in the statement of net assets as an investment. The option is adjusted daily to reflect the current market value of the option and the change is recorded as unrealised appreciation or depreciation. If the option is allowed to expire, the Fund will lose the entire premium it paid and record a realised loss for the premium amount. Premiums paid for purchased options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realised gain/loss or cost basis of the security. Written Options – Premiums received by the sub-fund for written options are included in the statement of net assets. The amount of the liability is adjusted daily to reflect the current market value of the written option and the change in market value is recorded as unrealised appreciation or depreciation. Premiums received from written options that expire are treated as realised gains. The sub-fund records a realised gain or loss on written options based on whether the cost of the closing transaction exceeds the premium received. If a call option is exercised by the option buyer, the premium received by the sub-fund is added to the proceeds from the sale of the underlying security to the option buyer and compared to the cost of the closing transaction to determine whether there has been a realised gain or loss. If a put option is exercised by an option buyer, the premium received by the option seller reduces the cost basis of the purchased security. Written uncovered call options subject the sub-fund to unlimited risk of loss. Written covered call options limit the upside potential of a security above the strike price. Written put options subject the Fund to risk of loss if the value of the security declines below the exercise price minus the put premium. The sub-fund is not subject to credit risk on written options as the counterparty has already performed its obligation by paying the premium at the inception of the contract. Outstanding options traded on a regulated market are valued based on the closing price or the last available market price of the instruments. OTC options are marked to market based upon prices obtained from third party pricing agents and verified against the value from the counterparty. The market value of options is included in the statement of net assets under the heading “Options bought/ (written) at market value”. The realised gains/(losses) and change in unrealised appreciation/depreciation on options are disclosed in the statement of operations and changes in net assets respectively under the headings “Net realised gains/(losses) on options” and “Change in net unrealised appreciation/depreciation on options.”
Unaudited semi-annual report
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Merrill Lynch Investment Solutions
Notes to the financial statements as at September 30, 2016 (cont.) Note 2 – Principal accounting policies (cont.) 2.7 Valuation of forward foreign exchange contracts Forward foreign exchange contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Non-deliverable forward foreign exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The values of the forward foreign exchange contracts are adjusted daily based on the applicable exchange rate of the underlying currency. Changes in the value of these contracts are recorded as unrealised appreciation or depreciation until the contract settlement date. When the forward contract is closed, the sub-fund records a realised gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed. The unrealised appreciation/(depreciation) on forward foreign exchange contracts is disclosed in the statement of net assets under “Unrealised appreciation/(depreciation) on forward foreign exchange contracts”. Realised gains/(losses) and change in unrealised appreciation/depreciation resulting there from are included in the statement of operations and changes in net assets respectively under “Net realised gains/(losses) on forward foreign exchange contracts” and “Change in net unrealised appreciation/depreciation on forward foreign exchange contracts”. 2.8 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. 2.9 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 EUR 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 yearend. The realised gains and losses or unrealised appreciation and depreciations on foreign exchange translation are recognized 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: Currency AUD CAD CHF CZK DKK GBP HKD HUF IDR JPY KRW MXN MYR NOK NZD
Unaudited semi-annual report
September 30, 2016 1.468539 1.476954 1.089412 27.021997 7.446243 0.865127 8.716137 309.065021 14666.714615 113.801613 1237.697199 21.749465 4.647475 8.981747 1.545380
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Notes to the financial statements as at September 30, 2016 (cont.) Note 2 – Principal accounting policies (cont.) 2.9 Foreign exchange translation (cont.) Currency PHP PLN SEK SGD THB TRY TWD USD ZAR
September 30, 2016 54.498684 4.301176 9.628045 1.532245 38.939672 3.372187 35.226075 1.123800 15.453656
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 the Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund: Currency AUD BRL CAD CHF CLP CNH CNY COP CZK DKK EUR GBP HKD HUF IDR ILS INR JPY KRW MXN MYR NOK NZD PHP PLN RUB SAR SEK SGD THB TRY TWD ZAR
September 30, 2016 1.30676 3.24885 1.31425 0.96940 658.91000 6.67345 6.67000 2880.00000 24.04520 6.62595 0.88984 0.76982 7.75595 275.01780 13051.00000 3.75210 66.58000 101.26500 1101.35000 19.35350 4.13550 7.99230 1.37514 48.49500 3.82735 63.02125 3.75175 8.56740 1.36345 34.65000 3.00070 31.34550 13.75125
Unaudited semi-annual report
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Merrill Lynch Investment Solutions
Notes to the financial statements as at September 30, 2016 (cont.) Note 2 – Principal accounting policies (cont.) 2.9 Foreign exchange translation (cont.) 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 the Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund: Currency AUD CAD CHF EUR GBP HKD JPY MXN NOK NZD SEK
September 30, 2016 1.304972 1.311600 0.970550 0.889798 0.770505 7.756000 101.405000 19.387300 7.998200 1.372307 8.575200
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 Changes in Net Assets for all Sub-Funds denominated in USD except for the Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund: Currency USD
September 30, 2016 1.123800062
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 Changes in Net Assets for the Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund: Currency USD
September 30, 2016 1.123850582
2.10 Income Dividend income and dividend expense are recorded on the ex-dividend date and interest income and interest expense are accrued over the life of the investment. Interest income includes accretion of market discount, original issue discounts and amortisation of premiums and is recorded into income over the life of the underlying investment. Interest income and dividend income are recognised on a gross basis before withholding tax, if any. Interest income is accrued on a daily basis. 2.11 Formation expenses Formation expenses and those of the launch of new Sub-Funds are born by CM Investment Solutions Limited.
Unaudited semi-annual report
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191
Notes to the financial statements as at September 30, 2016 (cont.) 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 CM Investment Solutions Limited 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 – CCI Healthcare Long-Short 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 Fund3 Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund
Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund
Class Class A Class B Class C Class G Management Class Class Z Class A Class B Class C Class D Class E Class F Class Z Class B Class C Class D Class Z Class B Class C Class I Management Class Class A Class B Class C Class D Class B Class C Class A Class A2 Class C Class D Class Z Class B Class B2 Class C Management Class Class Z
Combined investment management and distribution fee 1.75% 1.50% 2.25% 1.50% 0.60% 1.50% 1.25%1 1.25%1 2.25%2 1.00% 1.25%1 2.25%2 1.25%1 1.50% 2.25% 1.50% 1.50% 2.00% 2.75% 1.75% 2.00% 1.50% 1.50% 2.25% 1.25% 1.35% 2.10% 1.00% 1.00% 2.00% 1.00% 1.00% 2.00% 2.00%4 2.75% 0.00% 2.00%
Performance fee 25% 20% 20% 20% 10% 20% 25% 15% 15% 10% 20% 20% 20% 20% 20% 15% 20% 20% 20% 20% 0% 25% 20% 20% 10% 20% 20% 10% 15% 10% 10% 10% 20% 20% 20% 0% 20%
The rate of combined Investment management and distribution fee changed from 1.50% to 1.25% in the Prospectus of August 2016. The rate of combined Investment management and distribution fee changed from 2.50% to 2.25% in the Prospectus of August 2016. 3 Liquidated on May 11, 2016 4 The rate of combined Investment management and distribution fee changed from 2.75% to 2.00% in the Prospectus of August 2016. 1 2
Unaudited semi-annual report
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Notes to the financial statements as at September 30, 2016 (cont.) Note 3 – Investment management, distribution and performance fees (cont.)
Sub-Funds Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund
Merrill Lynch Investment Solutions – Merrill Lynch WNT Diversified Futures UCITS Fund
Merrill Lynch Investment Solutions – Merrill Lynch Dynamic Capital Protection UCITS Fund5 Merrill Lynch Investment Solutions – Merrill Lynch Enhanced Equity Volatility Premium Fund Merrill Lynch Investment Solutions – Merrill Lynch MLCX Commodity Enhanced Beta Fund Merrill Lynch Investment Solutions – Merrill Lynch MLCX Commodity Enhanced Beta ex Agriculture Fund Merrill Lynch Investment Solutions – Fenician Equity Long Short UCITS Fund
Merrill Lynch Investment Solutions – Zeal Greater China Long Short UCITS Fund
Merrill Lynch Investment Solutions – Gotham U.S. Equity Long/Short UCITS Fund
Merrill Lynch Investment Solutions – Passport Capital Global Equity Long Short UCITS Fund
Merrill Lynch Investment Solutions – Willowbridge-Praxis Global Macro UCITS Fund
Merrill Lynch Investment Solutions – Merrill Lynch Credit Fund 2016 5
Liquidated on July 8, 2016
Unaudited semi-annual report
Class Class B Class C Class D Management Class Class X Class Z Class B Class C Class D Class Z
Combined investment management and distribution fee 1.50% 2.25% 1.00% 0.00% 1.50% 1.50% 1.35% 2.10% 1.30% 1.35%
Performance fee 20% 20% 10% 0% 20% 20% 20% 20% 20% 20%
Class B Class A Class B Class B Class C Class E Class B
0.80% 0.40% 0.90% 0.75% 1.75% 0.60% 0.75%
0% 0% 0% 0% 0% 0% 0%
Class D Class B Class C Class D Class I Class Institutional Seed Management Class Class Retail Seed Class Z Class B Class D Management Class Class Z Class B Class C Class D Class X Class B Class C Class D Management Class Class B Class C Class D Management Class
0.60% 1.50% 2.25% 1.00% 1.50% 1.00% 0.00% 1.00% 1.50% 1.75% 1.25% 0.00% 1.75% 1.50% 2.25% 1.25% 1.50% 1.25% 2.00% 0.95% 0.00% 1.25% 2.00% 1.00% 0.00%
0% 20% 20% 15% 20% 10% 0% 10% 20% 15% 15% 0% 15% 15% 15% 15% 15% 15% 15% 10% 0% 15% 15% 10% 0%
Class B
0.05%
0%
Merrill Lynch Investment Solutions
193
Notes to the financial statements as at September 30, 2016 (cont.) Note 3 – Investment management, distribution and performance fees (cont.)
Sub-Funds Merrill Lynch Investment Solutions – Merrill Lynch MLCX Commodity Alpha Fund Merrill Lynch Investment Solutions – Ramius Merger Arbitrage UCITS Fund6
Class Class B-5 Class C-5 Class E-5 Class B Class C Class D Management Class
Combined investment management and distribution fee 0.85% 1.85% 0.60% 1.25% 2.00% 1.00% 0.00%
Performance fee 0% 0% 0% 20% 20% 10% 0%
Class A
0.50%
0%
Merrill Lynch Investment Solutions – Merrill Lynch Enhanced Cross-Asset Volatility Premium Fund7 Launched on July 8, 2016 7 Launched on September 16, 2016 6
Note 4 – Operating and administrative fees In respect of each Sub-Fund, the SICAV shall pay to CM Investment Solutions Limited 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 fees Each of the Custodian, the Administrator and the Registrar Agent are entitled to receive from CM Investment Solutions Limited 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 CM Investment Solutions Limited as appropriate. Note 6 – 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 75 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.
Unaudited semi-annual report
194
Merrill Lynch Investment Solutions
Notes to the financial statements as at September 30, 2016 (cont.) Note 7 – Cash collateral information The table below provides the cash collateral balances due from / due to the brokers in relations to the Swaps, Forward foreign exchange contracts, OTC Options contracts and Contracts for difference swaps held as at September 30, 2016. The cash collateral balances are included in the Statement of Net Assets respectively under “Due from Broker” and “Due to Broker”.
Sub-Funds Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral)
Due from / (due to) brokers Due from Due from Due from Due to Due from Due from Due from Due to
Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund
Due from Due from Due from Due from Due from Due from Due from Due from Due to Due from Due from
Unaudited semi-annual report
Counterparty BNP Paribas Deutsche Bank AG Goldman Sachs International JPMorgan Chase Bank NA Merrill Lynch International Bank Ltd Morgan Stanley Capital Services Inc. Morgan Stanley International Plc. State Street Bank and Trust Co. Bank of America Citibank NA Credit Suisse Securities (Europe) Limited Goldman Sachs International JPMorgan Chase Bank NA Merrill Lynch International Bank Ltd Merrill Lynch Professional Clearing Corp. Morgan Stanley Capital Services Inc. Morgan Stanley Capital Services Inc. State Street Bank and Trust Co. UBS AG
Currency USD USD
Cash collateral balances 401 738 502 11 750 000
USD
40 000 000
USD
(17 000 000)
USD
(1)
USD
1 238 520
USD
48 114 588
USD EUR EUR
(10 000 000) 980 633 66
EUR
89 581
EUR EUR
231 358 250 000
EUR
85 620
EUR
1 683 412
EUR
10 500 035
EUR
(150)
EUR EUR
104 504 1 901 414
Merrill Lynch Investment Solutions
195
Notes to the financial statements as at September 30, 2016 (cont.) Note 7 – Cash collateral information (cont.)
Sub-Funds Merrill Lynch Investment Solutions – CCI Healthcare Long-Short UCITS Fund
Merrill Lynch Investment Solutions – Theorema European Equity Long Short UCITS Fund
Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund
Due from / (due to) brokers Counterparty Due from Credit Suisse Securities (Europe) Limited Due from Goldman Sachs International Due from JPMorgan Chase Bank NA Due from Merrill Lynch International Bank Ltd Due from Merrill Lynch Professional Clearing Corp. Due from Morgan Stanley Capital Services Inc. Due from State Street Bank and Trust Co. Due from JPMorgan Chase Bank NA Due from Merrill Lynch International Bank Ltd Due to Merrill Lynch International Bank Ltd Due from Bank of America Due from Citibank NA Due from Credit Suisse Securities (Europe) Limited Due from Deutsche Bank AG Due from Goldman Sachs International Due from JPMorgan Chase Bank NA Due to JPMorgan Chase Bank NA Due from Merrill Lynch International Bank Ltd Due from Merrill Lynch Professional Clearing Corp. Due from Morgan Stanley International Plc. Due from State Street Bank and Trust Co. Due from UBS AG
Currency
Cash collateral balances
USD
2 142 724
USD
7 811 376
USD
642
USD
9 767 396
USD
173 702
USD
6 290 000
USD
3 300 000
EUR
11 700 968
EUR
17 044 907
EUR EUR EUR
(7 063 416) 4 516 180 2 666 148
EUR EUR
1 653 330 267 016
EUR
1 591 441
EUR
2 705 723
EUR
(34)
EUR
45 459
EUR
110 645
EUR
6 330 068
EUR EUR
1 337 848 3 204 309
Unaudited semi-annual report
196
Merrill Lynch Investment Solutions
Notes to the financial statements as at September 30, 2016 (cont.) Note 7 – Cash collateral information (cont.)
Sub-Funds Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund
Due from / (due to) brokers Due from Due from Due from Due from Due from Due to Due from Due from Due from
Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund
Due from Due from Due from Due from Due from Due from Due from Due to Due from Due from Due from Due to Due to Due from Due from Due to Due from Due from
Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund
Due from Due from Due from
Unaudited semi-annual report
Counterparty Bank of America Citibank NA Deutsche Bank AG Goldman Sachs International Merrill Lynch International Bank Ltd Merrill Lynch International Bank Ltd Merrill Lynch Professional Clearing Corp. Morgan Stanley Capital Services Inc. Morgan Stanley International Plc. Bank of America Barclays Bank Plc. BNP Paribas Citibank NA Credit Suisse International Credit Suisse Securities (Europe) Limited Deutsche Bank AG Deutsche Bank AG Goldman Sachs International HSBC Bank Plc. JPMorgan Chase Bank NA JPMorgan Chase Bank NA Merrill Lynch International Bank Ltd Merrill Lynch Professional Clearing Corp. Morgan Stanley Capital Services Inc. Morgan Stanley Capital Services Inc. Société Générale State Street Bank and Trust Co. UBS AG Merrill Lynch International Bank Ltd State Street Bank and Trust Co.
Currency USD USD USD
Cash collateral balances 3 839 981 48 803 592 12 847 452
USD
152 970 000
USD
26 732 712
USD
(3 664)
USD
8 457 560
USD
1 200 000
USD USD USD USD USD USD
39 400 000 5 933 543 907 587 910 000 3 738 911 418 709
USD USD USD
6 713 746 280 067 (18 802)
USD USD USD USD
4 095 820 4 097 949 3 174 148 (109)
USD
(6 300 000)
USD
182 411
USD
1 410 000
USD USD
(1 800 000) 4 660 000
USD USD
2 088 577 5 040 000
USD
2 450 341
USD
790 000
Merrill Lynch Investment Solutions
197
Notes to the financial statements as at September 30, 2016 (cont.) Note 7 – Cash collateral information (cont.)
Sub-Funds Merrill Lynch Investment Solutions – Merrill Lynch WNT Diversified Futures UCITS Fund
Merrill Lynch Investment Solutions – Merrill Lynch Enhanced Volatility Premium Fund Merrill Lynch Investment Solutions – Merrill Lynch MLCX Commodity Enhanced Beta Fund Merrill Lynch Investment Solutions – Merrill Lynch MLCX Commodity Enhanced Beta ex Agriculture Fund Merrill Lynch Investment Solutions – Fenician Equity Long Short UCITS Fund
Merrill Lynch Investment Solutions – Zeal Greater China Long Short UCITS Fund
Merrill Lynch Investment Solutions – Gotham U.S. Equity Long/Short UCITS Fund
Merrill Lynch Investment Solutions – Passport Capital Global Equity Long Short UCITS Fund
Merrill Lynch Investment Solutions – Willowbridge-Praxis Global Macro UCITS Fund
Due from / (due to) brokers Counterparty Due from Merrill Lynch International Bank Ltd Due from Morgan Stanley Capital Services Inc. Due from State Street Bank and Trust Co. Due from Merrill Lynch International Bank Ltd Due from Merrill Lynch International Bank Ltd Due from Merrill Lynch International Bank Ltd Due from State Street Bank and Trust Co. Due from JPMorgan Chase Bank NA Due from Merrill Lynch International Bank Ltd Due to Merrill Lynch International Bank Ltd Due from State Street Bank and Trust Co. Due from Merrill Lynch International Bank Ltd Due from Morgan Stanley International Plc. Due from Royal Bank of Scotland Plc. Due from Morgan Stanley Capital Services Inc. Due from Morgan Stanley International Plc. Due from State Street Bank and Trust Co. Due from Merrill Lynch Professional Clearing Corp. Due from Morgan Stanley Capital Services Inc. Due from Morgan Stanley International Plc. Due from Merrill Lynch International Bank Ltd Due from State Street Bank and Trust Co.
Currency
Cash collateral balances
USD
22 650 000
USD
1 230 000
USD
1 020 000
EUR
5 285 000
USD
560 000
USD
2 700 000
USD EUR
250 000 2 487 787
EUR
7 538 294
EUR
(206 189)
EUR
1 600 000
USD
2 404 499
USD
1 342 498
USD
809 544
USD
2 820 000
USD
8 681
USD
1 000 000
USD
75 289
USD
1 070 000
USD
2 212 358
USD
5 893 267
USD
1 850 000
Unaudited semi-annual report
198
Merrill Lynch Investment Solutions
Notes to the financial statements as at September 30, 2016 (cont.) Note 7 – Cash collateral information (cont.)
Sub-Funds Merrill Lynch Investment Solutions – Merrill Lynch MLCX Commodity Alpha Fund
Merrill Lynch Investment Solutions – Ramius Merger Arbitrage Ucits Fund
Due from / (due to) brokers Counterparty Due from Merrill Lynch International Bank Ltd Due from State Street Bank and Trust Co. Due from Merrill Lynch International Bank Ltd Due from Morgan Stanley International Plc.
Currency
Cash collateral balances
USD
970 000
USD
290 000
USD
3 721 932
USD
412 631
The table below provides the margin cash balances due from / due to the brokers in relations to the futures contracts held as at September 30, 2016. The margin cash balances are included in the Statement of Net Assets respectively under “Due from Broker” and “Due to Broker”.
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 – Theorema European Equity Long-Short UCITS Fund Merrill Lynch Investment Solutions – York Asian Event-Driven 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 – Merrill Lynch WNT Diversified Futures UCITS Fund Merrill Lynch Investment Solutions – Fenician Equity Long Short UCITS Fund Merrill Lynch Investment Solutions – Zeal Greater Long Short China UCITS Fund Merrill Lynch Investment Solutions – Willowbridge-Praxis Global Macro Ucits Fund
Unaudited semi-annual report
Due from / (due to) brokers Due from
Counterparty UBS AG
Due from Due to Due from Due to
Merrill Lynch International Bank Ltd Merrill Lynch International Bank Ltd Merrill Lynch International Bank Ltd Merrill Lynch International Bank Ltd
Due from Due to Due from Due to Due from Due to Due from
Merrill Lynch International Bank Ltd Merrill Lynch International Bank Ltd Merrill Lynch International Bank Ltd Merrill Lynch International Bank Ltd Merrill Lynch International Bank Ltd Merrill Lynch International Bank Ltd Merrill Lynch International Bank Ltd
Due from Due to Due to
Merrill Lynch International Bank Ltd Merrill Lynch International Bank Ltd Merrill Lynch International Bank Ltd
Due from Due to
Merrill Lynch International Bank Ltd Merrill Lynch International Bank Ltd
Currency
Margin cash balances
USD EUR EUR EUR
12 584 776 2 990 775 (542 633) 1 671 523
EUR EUR EUR USD USD USD USD
(1 052 342) 3 165 534 (1 425 276) 37 226 786 (3 219 674) 8 134 965 (150 794)
USD EUR EUR
14 211 700 5 247 422 (91 405)
USD USD USD
(260) 5 851 095 (97 962)
Merrill Lynch Investment Solutions
199
Notes to the financial statements as at September 30, 2016 (cont.) Note 8 – Stock collateral information The table below provides the stock collateral information as at September 30, 2016.
Sub-Funds Counterparty Merrill Lynch Investment Solutions – Goldman Sachs AQR Global Relative Value UCITS Fund International Goldman Sachs International Merrill Lynch International Ltd. Deutsche Bank AG Deutsche Bank AG
Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund
Goldman Sachs International Merrill Lynch International Ltd. Morgan Stanley International Deutsche Bank AG Deutsche Bank AG Deutsche Bank AG
Merrill Lynch Investment Solutions – Merrill Lynch WNT Diversified Futures UCITS Fund
Bank of New York Mellon
Bank of New York Mellon Merrill Lynch Investment Solutions – Gotham U.S. Equity Long/Short UCITS Fund
Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon
Security name United States Treasury Bill 0% 02/02/2017 United States Treasury Bill 0% 06/10/2016 United States Treasury Bill 0% 08/09/2016 United States Treasury Bill 0% 12/01/2017 United States Treasury Bill 0% 17/11/2016 United States Treasury Bill 0% 22/09/2016 United States Treasury Bill 0% 25/11/2016 United States Treasury Bill 0% 27/04/2017 United States Treasury Bill 0% 05/01/2017 United States Treasury Bill 0% 02/02/2017 United States Treasury Bill 0% 30/03/2017 International Bank for Reconstruction and Development 0% 20/10/2016 Inter-American Development Bank 0% 03/11/2016 AbbVie, Inc. Amgen, Inc. Apple, Inc. Aspen Technology, Inc. Big Lots, Inc. Biogen, Inc. Brinker International, Inc. CA, Inc. Cabot Corp. Cardinal Health, Inc. CBS Corp. - B CenturyLink, Inc. Chicago Bridge & Iron Co. NV Cisco Systems, Inc. Citrix Systems, Inc. ConAgra Foods, Inc. Convergys Corp. Cummins, Inc. CVS Health Corp. Danaher Corp. Darden Restaurants, Inc.
Type of collateral
Currency
Nominal value
Bond
USD
26 420 000
Bond
USD
49 050 000
Bond
USD
26 000 000
Bond
USD
52 710 000
Bond
USD
21 930 000
Bond
USD
69 250 000
Bond
USD
8 000 000
Bond
USD
3 286 000
Bond
USD
83 000
Bond
USD
1 197 800
Bond
USD
1 280 000
Bond
USD
24 000 000
Bond Stock Stock Stock Stock Stock Stock Stock Stock Stock Stock Stock Stock Stock Stock Stock Stock Stock Stock Stock Stock Stock
USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD
19 000 000 3 200 1 379 1 879 8 030 5 420 800 5 470 4 500 5 180 2 020 2 050 9 660 180 12 230 1 980 4 079 7 186 1 360 1 750 2 830 2 020
Unaudited semi-annual report
200
Merrill Lynch Investment Solutions
Notes to the financial statements as at September 30, 2016 (cont.) Note 8 – Stock collateral information (cont.)
Sub-Funds Merrill Lynch Investment Solutions – Gotham U.S. Equity Long/Short UCITS Fund (cont.)
Counterparty Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon
Unaudited semi-annual report
Security name Delta Air Lines, Inc. Discovery Communications, Inc. - A eBay, Inc. Emerson Electric Co. Express Scripts Hldg. Co. Gilead Sciences, Inc. HCA Hldg., Inc. Hewlett Packard Enterprise Co. Home Depot, Inc. HP, Inc. Huntington Ingalls Industries, Inc. Intuit, Inc. j2 Global, Inc. JM Smucker Co. KBR, Inc. Lowe's Cos, Inc. McKesson Corp. Medivation, Inc. Mentor Graphics Corp. Michael Kors Hldg. Ltd. MicroStrategy, Inc. - A Oracle Corp. Packaging Corp. of America Pfizer, Inc. Qualcomm, Inc. Quintiles Transnational Hldg., Inc. Rackspace Hosting, Inc. Robert Half International, Inc. Southwest Airlines Co. Spirit AeroSystems Hldg., Inc. - A Stanley Black & Decker, Inc. Staples, Inc. Swift Transportation Co. Symantec Corp. Target Corp. Tegna, Inc. Twenty-First Century Fox, Inc. - A Tyson Foods, Inc. - A United Natural Foods, Inc. United Rentals, Inc. United Technologies Corp. United Therapeutics Corp.
Type of collateral Stock
Currency USD
Nominal value 9 145
Stock Stock Stock Stock Stock Stock Stock Stock Stock
USD USD USD USD USD USD USD USD USD
4 969 6 330 3 140 1 449 3 500 1 040 9 739 2 360 18 720
Stock Stock Stock Stock Stock Stock Stock Stock Stock Stock Stock Stock Stock Stock Stock
USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD
760 2 272 4 120 770 17 347 3 030 560 1 819 11 440 3 200 1 370 3 050 2 718 4 170 2 640
Stock Stock Stock Stock
USD USD USD USD
3 440 7 560 925 4 190
Stock Stock Stock Stock Stock Stock Stock
USD USD USD USD USD USD USD
3 019 94 5 340 13 410 5 397 3 005 9 190
Stock Stock Stock Stock Stock Stock
USD USD USD USD USD USD
11 610 662 3 775 2 900 160 3 580
Merrill Lynch Investment Solutions
201
Notes to the financial statements as at September 30, 2016 (cont.) Note 8 – Stock collateral information (cont.)
Sub-Funds Merrill Lynch Investment Solutions – Gotham U.S. Equity Long/Short UCITS Fund (cont.)
Merrill Lynch Investment Solutions – RAMIUS MERGER ARB UCITS Fund
Counterparty Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon Bank of New York Mellon
Security name Universal Health Services, Inc. - B Urban Outfitters, Inc. Verizon Communications, Inc. Wal-Mart Stores, Inc. Walt Disney Co. Wyndham Worldwide Corp. Xilinx, Inc. Zimmer Biomet Hldg., Inc. Astoria Financial Corp. EverBank Financial Corp. Ingram Micro, Inc. - A Joy Global, Inc. Lexmark International, Inc. - A LinkedIn Corp. - A Syngenta AG - ADR
Type of collateral Stock Stock Stock Stock Stock Stock Stock Stock Stock Stock Stock Stock Stock Stock Stock
Currency
Nominal value
USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD
2 010 860 3 100 2 470 2 320 1 720 4 240 1 776 20 000 10 000 8 000 4 000 6 000 1 000 1 500
Note 9 – Fair valuation The Directors have appointed CM Investment Solutions Limited to act as the competent person. The following table sets forth the securities where a competent person was used to determine the value as at September 30, 2016.
Sub-Funds Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund
Currency
Number of assets valued
Value
% of net assets
USD
6 93 966 116
2.98
EUR
4
516 401
0.34
Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund
EUR
1
–
0.00
Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund
USD
5 15 025 972
1.01
Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund
USD
10
7 296 864
4.89
Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund
USD
1
–
0.00
Merrill Lynch Investment Solutions – Merrill Lynch WNT Diversified Futures UCITS Fund
USD
2
4 501 169
1.70
Merrill Lynch Investment Solutions – Merrill Lynch Enhanced Equity Volatility Premium Fund Merrill Lynch Investment Solutions – Zeal Greater China Long Short UCITS Fund
EUR
1
9 023 391
10.16
USD
3
3 337 253
9.31
1
882 442
2.17
18 52 258 449
46.26
Merrill Lynch Investment Solutions – Passport Capital Global Equity Long Short UCITS Fund Merrill Lynch Investment Solutions – Credit Fund 2016
USD EUR
Note 10 – Directors fees Unaffiliated directors were each paid a quarterly gross fee of USD 11,250 during the period ended September 30, 2016, which were borne by the SICAV.
Unaudited semi-annual report
Merrill Lynch Investment Solutions Unaudited semi-annual report as at September 30, 2016