Idea Transcript
Merrill Lynch Investment Solutions Unaudited semi-annual report as at September 30, 2015 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
12
Statements of Net Assets as at September 30, 2015
13
Statistical information
17
Schedule of Investments as at September 30, 2015
35
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral)
35
Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund
60
Merrill Lynch Investment Solutions – CCI Healthcare Long-Short UCITS Fund
67
Merrill Lynch Investment Solutions – Theorema European Equity Long-Short UCITS Fund
71
Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund
75
Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund
84
Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund
101
Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund
121
Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund
142
Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund
152
Merrill Lynch Investment Solutions – Merrill Lynch Diversified Futures UCITS Fund
162
Merrill Lynch Investment Solutions – Castlerigg Equity Event and Arbitrage UCITS Fund
167
Merrill Lynch Investment Solutions – Merrill Lynch Dynamic Capital Protection UCITS Fund
172
Merrill Lynch Investment Solutions – Merrill Lynch Enhanced Volatility Premium Fund
174
Merrill Lynch Investment Solutions – Merrill Lynch MLCX Commodity Enhanced Beta Fund
176
Merrill Lynch Investment Solutions – Merrill Lynch MLCX Commodity Enhanced Beta ex Agriculture Fund
177
Merrill Lynch Investment Solutions – Fenician Equity Long Short UCITS Fund
178
Merrill Lynch Investment Solutions – Zeal Voyage Greater China UCITS Fund
181
Merrill Lynch Investment Solutions – Gotham U.S. Equity Long/Short UCITS Fund
184
Merrill Lynch Investment Solutions – Passport Capital Global Equity Long Short UCITS Fund
196
Merrill Lynch Investment Solutions – Willowbridge-Praxis Global Macro UCITS Fund
199
Notes to the Financial Statements as at September 30, 2015
201
Unaudited semi-annual report
2
Merrill Lynch Investment Solutions
Management and Administration Board of Directors of the SICAV Chairman Mr Jean-Claude Wolter, Avocat Honoraire, 11 B boulevard Joseph II, L-1840 Luxembourg, Grand Duchy of Luxembourg Directors Mr Paul Guillaume, Managing Partner, Altra Partners S.A., 370 route de Longwy, L-1940 Luxembourg, Grand Duchy of Luxembourg 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 Mr Patrick Schegin, Managing Director, Merrill Lynch International, 2 King Edward Street, London EC1A 1HQ, United Kingdom Board of Directors of the Management Company Chairman Mr Patrick Schegin, Managing Director, Merrill Lynch International, 2 King Edward Street, London EC1A 1HQ, United Kingdom
Unaudited semi-annual report
Directors Gavin Lay, Managing Director, Merrill Lynch International, 2 King Edward Street, London EC1A 1HQ, United Kingdom 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 Custodian and Paying Agent State Street Bank Luxembourg S.C.A.1, 49 avenue J. F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg 1
reviously State Street Bank Luxembourg S.A. prior to change of legal P structure from S.A. to S.C.A.
Merrill Lynch Investment Solutions
3
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 Legal Adviser Linklaters LLP, 35 avenue J. F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg Listing Agent State Street Bank Luxembourg S.C.A., 49 avenue J. F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg Auditor PricewaterhouseCoopers, Société coopérative, 2, rue Gerhard Mercator, B.P. 1443, L-1014 Luxembourg, Grand Duchy of Luxembourg
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 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 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 Fund: Graham Capital Management LP, Rock Ledge Financial Center, 40 Highland Avenue, Rowayton CT 06853, USA
Unaudited semi-annual report
4
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 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 – Westchester Merger Arbitrage UCITS Fund: Westchester Capital Management LLC, 100 Summit Lake Drive, Valhalla, New York 10595, USA For the Sub-Fund Merrill Lynch Investment Solutions – Van Eck Commodities Long-Short Equity UCITS Fund1: Van Eck Absolute Return Advisers Corporation, 335 Madison Avenue, 19th Floor, New York, NY 10017, 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
Investment Managers (cont.) For the Sub-Funds Merrill Lynch Investment Solutions – Merrill Lynch Diversified Futures UCITS Fund, Merrill Lynch Dynamic Capital Protection UCITS Fund, Merrill Lynch Enhanced Volatility Premium Fund, Merrill Lynch MLCX Commodity Enhanced Beta Fund and Merrill Lynch MLCX Commodity Enhanced Beta ex Agriculture Fund: CM Investment Solutions Limited, Bank of America Merrill Lynch Financial Centre, 2 King Edward Street, London EC1A 1HQ, United Kingdom, For the Sub-Fund Merrill Lynch Investment Solutions – Castlerigg Equity Event and Arbitrage UCITS Fund: Sandell Investment Services LLC, 540 Madison Avenue, 36th Floor, New York, NY 10022, USA For the Sub-Fund Merrill Lynch Investment Solutions – Multi-Strategy Fund of UCITS Fund2: Deka Investment GmbH, 1 Taunusanlage, 60329 Frankfurt am Main, Germany 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 – APQ Emerging Markets UCITS Fund3: APQ Partners LLP, 22-23 Old Burlington Street, London W1S 2JJ, United Kingdom an Eck Commodities Long-Short Equity UCITS Fund was liquidated on V July 6, 2015. 2 Multi-Strategy Fund of UCITS Fund was liquidated on July 1, 2015. 3 APQ Emerging Markets UCITS Fund was liquidated on September 8, 2015. 1
Unaudited semi-annual report
Merrill Lynch Investment Solutions
5
Management and Administration (cont.) Investment Managers (cont.) For the Sub-Fund Merrill Lynch Investment Solutions – Zeal Voyage Greater China UCITS Fund: Zeal Asset Management Limited, Suite 2605, Tower 1, Lippo Centre, 89 Queensway, Hong Kong
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
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
Marshall Wace North America L.P., 55 Railroad Avenue, Greenwich, Connecticut, USA
For the Sub-Fund Merrill Lynch Investment Solutions – Passport Capital Global Equity Long Short UCITS Fund1: Passport Capital LLC, One Market Street, Steuart Tower, Ste 2200 San Francisco, CA 94105 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 – Willowbridge-Praxis Global Macro UCITS Fund2: Willowbridge Associates Inc. 101 Morgan Lane, Suite 180, Plainsboro, NJ 08536 USA assport Capital Global Equity Long Short UCITS Fund was launched on P July 20, 2015. 2 Willowbridge-Praxis Global Macro UCITS Fund was launched on September 22, 2015. 1
For the Sub-Fund Merrill Lynch Investment Solutions – Merrill Lynch Enhanced Volatility Premium Fund: Union Investment Institutional GmbH, Product Management, Wiesenhüttenstraße 10, 60329 Frankfurt am Main, Germany
Unaudited semi-annual report
6
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 March 31, 2015, 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 % 2.09 2.08 1.84 1.83 2.74 2.74 1.88 1.99 2.11 1.84 1.84 2.58 2.73 1.89 0.96 1.99 2.10 1.83 2.74 1.89
Merrill Lynch Investment Solutions
7
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 SEK E (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 SEK USD USD USD USD USD USD USD
TER % 1.97 1.97 1.97 3.01 1.91 1.91 2.95 1.41 1.91 2.95 1.95 1.97 1.97 1.97 1.92 3.01 1.47 1.97 1.97 2.99 2.01 1.97 1.97 1.97 3.00 1.47 1.97 3.00 2.00
Merrill Lynch Investment Solutions – CCI Healthcare Long-Short UCITS Fund
Class EUR B (acc) Class EUR C (acc) Class EUR D (acc) Class EUR Z (acc) Class GBP B (acc) Class GBP B (inc) 1 Class GBP C (acc) Class GBP C (inc) Class GBP Z (acc) Class USD B (acc) Class USD C (acc) Class USD D (acc) 2 Class USD Z (acc)
EUR EUR EUR EUR GBP GBP GBP GBP GBP USD USD USD USD
2.48 3.27 1.98 2.52 2.48 2.55 3.27 3.27 2.52 2.42 3.21 1.90 2.47
Merrill Lynch Investment Solutions – Theorema European Equity Long-Short UCITS Fund
Class EUR B (acc) Class EUR C (acc) Class EUR D (acc) 3 Class EUR I (inc) Class EUR Management (acc) Class GBP C (acc) Class USD B (acc) Class USD C (acc) 4 Class USD D (acc) 3
EUR EUR EUR EUR EUR GBP USD USD USD
2.41 3.20 1.76 2.16 2.45 3.26 2.48 3.32 1.86
Liquidated on July 1, 2015 Liquidated on April 23, 2015 3 Liquidated on April 20, 2015 4 Launched on April 30, 2015 1 2
Unaudited semi-annual report
8
Merrill Lynch Investment Solutions
Information to the Shareholders (cont.) Sub-Funds Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund
Share Class 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)
Currency EUR EUR EUR GBP USD USD USD USD
Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund
Class EUR B (acc) Class EUR C (acc) Class EUR D (acc) 1 Class GBP B (acc) Class GBP C (acc) Class GBP D (acc) 1 Class USD B (acc) Class USD C (acc)
EUR EUR EUR GBP GBP GBP USD USD
1.82 2.57 1.67 1.82 2.62 1.81 1.76 2.55
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 D (acc) 2 Class GBP A (acc) Class GBP A2 (acc) Class GBP C (acc) Class GBP D (acc) Class GBP Z (acc) 3 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
1.16 1.16 1.16 2.20 1.33 1.16 1.16 2.19 1.16 1.20 1.16 2.20 1.15
Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund
Class CHF C (acc) Class EUR B (acc) 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 EUR EUR EUR GBP GBP GBP GBP USD USD USD
3.26 2.48 3.27 2.52 2.47 2.47 3.27 2.50 2.42 3.20 0.46
Liquidated on April 20, 2015 Liquidated on April 23, 2015 3 Launched on April 22, 2015 1 2
Unaudited semi-annual report
TER % 2.35 2.98 1.68 3.12 2.17 2.33 3.18 1.77
Merrill Lynch Investment Solutions
9
Information to the Shareholders (cont.) Sub-Funds Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund
Share Class Class EUR B (acc) 1 Class EUR C (acc) Class EUR D (acc) 1 Class GBP B (acc) 1 Class GBP B (inc) 1 Class GBP C (acc) 1 Class GBP D (acc) 1 Class USD B (acc) Class USD C (acc) 1 Class USD D (acc) 2 Class USD Management (acc)
Currency EUR EUR EUR GBP GBP GBP GBP USD USD USD USD
TER % 2.37 2.57 2.03 2.55 2.59 3.41 2.27 1.92 2.71 1.80 0.53
Merrill Lynch Investment Solutions – Van Eck Commodities Long-Short Equity UCITS Fund
Class EUR D (acc) 3 Class USD B (acc) 2 Class USD C (acc) 2 Class USD Management (acc) 3
EUR USD USD USD
1.53 1.63 2.48 0.46
Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund
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 C (acc) 4 Class GBP X (inc) Class USD B (acc) Class USD C (acc) Class USD D (acc) Class USD Management (acc)
EUR EUR EUR EUR EUR GBP GBP GBP GBP USD USD USD USD
1.97 2.75 1.47 1.47 2.01 1.97 1.97 2.66 1.51 1.91 2.70 1.41 0.45
Merrill Lynch Investment Solutions – Merrill Lynch Diversified Futures UCITS Fund
Class EUR B (acc) Class EUR D (acc) Class GBP B (acc) Class GBP Z (acc) Class USD B (acc) 5
EUR EUR GBP GBP USD
1.82 1.77 1.82 1.86 1.76
Merrill Lynch Investment Solutions – Castlerigg Equity Event and Arbitrage UCITS Fund
Class EUR B (acc) 6 Class EUR D (acc) Class GBP B (acc) 7 Class GBP C (acc) Class GBP D (acc) Class USD B (acc) 8 Class USD D (acc) Class USD Management (acc)
EUR EUR GBP GBP GBP USD USD USD
1.95 1.47 1.86 2.68 1.47 1.97 1.41 0.46
1
Liquidated on July 29, 2015 Liquidated on April 20, 2015 3 Liquidated on July 7, 2015 4 Liquidated on July 2, 2015
5
2
6
Launched on May 20, 2015 Liquidated on June 25, 2015 7 Liquidated on September 24, 2015 8 Liquidated on May 28, 2015
Unaudited semi-annual report
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Merrill Lynch Investment Solutions
Information to the Shareholders (cont.) Sub-Funds Merrill Lynch Investment Solutions – Merrill Lynch Dynamic Capital Protection UCITS Fund
Share Class
Currency
Class EUR B (acc)
EUR
1.01
Merrill Lynch Investment Solutions – Merrill Lynch Enhanced Volatility Premium Fund
Class EUR A (acc) Class EUR B (acc)
EUR EUR
0.81 1.31
Merrill Lynch Investment Solutions – Multi-Strategy Fund of UCITS Fund 1
Class EUR B (inc) Class EUR C (acc) Class EUR C (inc) Class EUR D (inc)
EUR EUR EUR EUR
1.16 1.80 1.80 1.01
Merrill Lynch Investment Solutions – Merrill Lynch MLCX Commodity Enhanced Beta Fund
Class EUR B (acc) Class EUR C (acc) Class EUR E (acc) 2 Class GBP B (acc) Class GBP C (acc) 3 Class GBP E (acc) 3 Class SEK C (acc) Class USD B (acc) Class USD C (acc) Class USD E (acc) 4
EUR EUR EUR GBP GBP GBP SEK USD USD USD
0.97 2.01 0.82 0.97 1.70 0.66 2.21 0.91 1.95 0.75
Merrill Lynch Investment Solutions – Merrill Lynch MLCX Commodity Enhanced Beta ex Agriculture Fund
Class EUR B (acc) 3 Class EUR D (acc) Class EUR H (acc) 5 Class USD B (acc)
EUR EUR EUR USD
0.91 0.83 0.65 0.92
Merrill Lynch Investment Solutions – Fenician Equity Long Short UCITS Fund
Class EUR B (acc) Class EUR C (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) 6 Class GBP B (acc) 7 Class GBP Management (acc) Class USD D (acc) 8 Class USD I (acc) Class USD Inst Seed (acc)
EUR EUR EUR EUR EUR EUR EUR EUR GBP GBP USD USD USD
1.93 2.70 1.43 1.93 1.42 0.46 1.46 2.08 1.97 0.52 1.51 2.01 1.47
Merrill Lynch Investment Solutions – APQ Emerging Markets UCITS Fund
Class CAD Management (acc) 2 Class USD B (acc) 9 Class USD Management (acc) 2
CAD USD USD
0.47 2.04 0.43
1
Liquidated on July 2, 2015 Liquidated on September 9, 2015 3 Liquidated on June 26, 2015 4 Liquidated on April 29, 2015 5 Launched on June 17, 2015 and liquidated on August 18, 2015
6
2
7
Unaudited semi-annual report
Launched on August 19, 2015 Launched on May 21, 2015 8 Launched on July 10, 2015 9 Liquidated on September 1, 2015
TER %
Merrill Lynch Investment Solutions
11
Information to the Shareholders (cont.) Sub-Funds Merrill Lynch Investment Solutions – Zeal Voyage Greater China UCITS Fund
Share Class Class USD B (acc) Class USD Management (acc) Class USD Z (acc)
Currency USD USD USD
Merrill Lynch Investment Solutions – Gotham U.S. Equity Long/Short UCITS Fund
Class EUR C (acc) Class EUR D (acc) Class EUR X (acc) Class GBP B (acc) 1 Class GBP X (inc) Class USD B (acc) Class USD C (acc) Class USD D (acc) Class USD Management (acc) 2 Class USD X (acc)
EUR EUR EUR GBP GBP USD USD USD USD USD
2.76 1.72 1.72 1.97 1.73 1.92 2.69 1.66 0.40 1.66
Merrill Lynch Investment Solutions – Passport Capital Global Equity Long Short UCITS Fund 3
Class CHF D (acc) 3 Class EUR D (acc) 4 Class USD B (acc) 5 Class USD C (acc) 5 Class USD D (acc) 4 Class USD Management (acc) 5
CHF EUR USD USD USD USD
1.42 1.42 1.57 2.43 1.37 0.46
Class USD Management (acc) 6
USD
0.98
Merrill Lynch Investment Solutions – Willowbridge-Praxis Global Macro UCITS Fund
TER % 2.12 0.45 2.21
Launched on May 21, 2015 Liquidated on June 2, 2015 3 Launched on July 27, 2015 4 Launched on July 20, 2015 5 Launched on August 21, 2015 6 Launched on September 22, 2015 1 2
The Total Expense Ratio includes all fees but excludes transaction costs and performance fees. For classes launched during the period, fees have been annualised.
Unaudited semi-annual report
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Merrill Lynch Investment Solutions
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
2.3 2.3 2.4
2.5 2.6 2.5
3 3 6 4
2.3 2.4
2.5 2.6 2.5
2.3
2.2 2.5
Notes
Unaudited semi-annual report
2 754 645 183
– – 4 980 649 – 534 072 864
1 531 262 267 277 974 – – 51 958 001 3 977 254 62 189 986 122 373 778 645 – 126 151 794 240 182 14 864 744 –
– 186 127 807 – 3 288 718 047
1 288 579 545 1 217 913 599 1 572 687 818 5 454 709 250 623 576 – – 51 955 250 679 368 – 2 167 – 1 557 655 1 716 098 –
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) 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 on swaps Bank overdraft Unrealised depreciation on futures contracts Unrealised depreciation on forward foreign exchange contracts Options sold at market value Unrealised depreciation on credit default swaps, gap risk swaps, interest rate swaps and total return swaps Upfront payments received on swap transactions Contracts for difference swaps at market value Other liabilities Total Liabilities
Assets Investments in securities at cost Investments in securities at market value Cash at bank Receivable for Fund shares issued Receivable on securities sold Receivable on options sold Receivable on swaps sold Receivable on spot exchange Dividends receivable Upfront payments paid on swap transactions Interest on bonds Interest on swaps Unrealised appreciation on futures contracts Unrealised appreciation on forward foreign exchange contracts Options bought at market value Unrealised appreciation on credit default swaps, gap risk swaps, interest rate swaps and total return swaps Contracts for difference swaps at market value Other assets Total Assets
Sub-Funds
(expressed in the Sub-Fund’s currency)
821 799 893
– – 73 339 121 210 800 124 365 646
– 7 228 489 156 708 – 12 000 000 1 428 170 – 50 974 319 396 – 16 883 416 3 970 253 8 425 161 353 158
– 4 813 951 – 946 165 539
544 035 770 578 865 319 235 447 643 – 91 561 378 32 668 – 11 906 038 10 168 138 – – – 125 260 1 572 107 11 673 037
Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund EUR
Statements of Net Assets as at September 30, 2015
502 720 820
– – – 190 794 26 202 893
– 23 892 091 – – – 1 070 872 – 32 105 192 037 – – – 824 994 –
– 17 271 606 – 528 923 713
348 652 612 284 060 998 202 299 652 – 25 128 926 – – – 60 169 – – – – 37 901 64 461
Merrill Lynch Investment Solutions – CCI Healthcare LongShort UCITS Fund USD
65 106 873
– – – 887 4 990 900
1 045 242 446 43 326 – – 115 569 66 539 3 522 23 552 – 4 463 702 – 1 224 29 088
– 1 935 627 – 70 097 773
22 552 882 24 131 177 43 697 248 358 276 960 – – – 10 049 – – – 9 900 3 262 33 192
Merrill Lynch Investment Solutions – Theorema European Equity Long-Short UCITS Fund EUR
50 467 597
– – 31 108 10 521 1 669 105
– 921 593 – – 8 245 60 133 20 419 1 255 18 282 – 321 641 – 247 629 28 279
– 1 445 428 – 52 136 702
40 919 391 36 538 685 10 612 032 – 946 844 – – 8 196 2 226 124 – – – 160 600 74 486 124 307
Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund EUR
84 699 069
4 153 696 – – 43 996 7 062 012
– – – – – 106 744 – 2 740 30 530 – 1 184 582 269 094 1 270 630 –
5 694 812 – – 91 761 081
39 994 862 39 996 625 43 601 462 83 – – – – – – – – 1 860 811 607 288 –
Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund USD
13
1 138 336 784
7 822 217 267 1 254 811 – 126 240 941
– 3 877 166 – – 95 678 609 974 956 6 872 943 29 405 145 624 7 928 1 918 423 6 299 254 8 956 733 –
80 692 48 751 701 – 1 264 577 725
317 047 838 316 380 594 783 062 183 – 20 633 – – 95 700 424 45 141 8 168 359 796 – 8 853 254 11 315 139 –
Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund USD
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions
Net assets at the end of 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 on swaps Bank overdraft Unrealised depreciation on futures contracts Unrealised depreciation on forward foreign exchange contracts Options sold at market value Unrealised depreciation on credit default swaps, gap risk swaps, interest rate swaps and total return swaps Upfront payments received on swap transactions Contracts for difference swaps at market value Other liabilities Total Liabilities
Assets Investments in securities at cost Investments in securities at market value Cash at bank Receivable for Fund shares issued Receivable on securities sold Receivable on options sold Receivable on swaps sold Receivable on spot exchange Dividends receivable Upfront payments paid on swap transactions Interest on bonds Interest on swaps Unrealised appreciation on futures contracts Unrealised appreciation on forward foreign exchange contracts Options bought at market value Unrealised appreciation on credit default swaps, gap risk swaps, interest rate swaps and total return swaps Contracts for difference swaps at market value Other assets Total Assets
Sub-Funds
2.3 2.3 2.4
2.5 2.6 2.5
3 3 6 4
2.3 2.4
2.5 2.6 2.5
2.3
2.2 2.5
Notes
(expressed in the Sub-Fund’s currency)
372 580 304
87 898 332 621 23 128 305 85 668 35 408 116
– 2 090 286 156 266 38 380 – 687 560 617 10 823 135 937 3 720 7 002 479 648 863 345 783 563
27 695 950 764 – 407 988 420
267 790 036 259 763 809 140 783 988 – 220 048 77 731 100 003 – 38 838 50 756 489 599 – 778 714 239 098 4 467 377
Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund USD
7 882 899
– – 566 276 1 415 846 733
– 86 717 2 236 – – 635 – 922 2 884 – – – 10 016 175 632
– – – 8 729 632
5 069 541 4 367 302 3 892 309 – 125 475 10 763 – – 5 406 – 17 556 – – 17 523 293 298
Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund USD
205 966 884
582 432 – – 150 822 6 874 406
– 4 595 296 – – 18 752 235 755 – 6 587 75 795 – – – 868 782 340 185
– – – 212 841 290
170 686 990 155 394 748 49 829 145 – 2 047 512 – – 18 770 26 421 1 166 861 3 372 746 28 528 – 372 203 584 356
Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund USD
Statements of Net Assets as at September 30, 2015 (cont.)
14
96 250 185
– – 2 549 578 52 839 3 325 416
– – – – – 54 567 – 6 629 37 539 – 17 380 – 239 795 367 089
– 1 666 901 – 99 575 601
70 355 601 58 821 136 36 910 736 – 28 154 – – – 7 560 – – – – 34 040 2 107 074
Merrill Lynch Investment Solutions – Castlerigg Equity Event and Arbitrage UCITS Fund USD
41 898 554
34 290 – – – 1 105 047
– – – – 1 025 496 31 407 – 1 070 7 852 – – – 4 932 –
– – 672 43 003 601
39 743 634 39 562 743 394 719 – 2 018 322 – – 1 020 259 – – – – – 6 886 –
Merrill Lynch Investment Solutions – Merrill Lynch Dynamic Capital Protection UCITS Fund EUR
115 155 796
– – – – 15 562 478
– 12 027 611 – – – 51 257 – 2 903 41 390 – – – – 3 439 317
– – – 130 718 274
106 625 498 106 561 042 22 904 314 877 575 – – – – – – 121 – – – 375 222
Merrill Lynch Investment Solutions – Merrill Lynch Enhanced Volatility Premium Fund EUR
Unaudited semi-annual report
The accompanying notes form an integral part of these financial statements.
250 248 526
6 045 874 – – 69 613 7 124 365
– – – – – 290 763 – 6 461 88 907 – – – 622 747 –
– – – 257 372 891
132 981 866 132 988 195 123 152 049 – – – – – – 1 232 001 117 – – 529 –
Merrill Lynch Investment Solutions – Merrill Lynch Diversified Futures UCITS Fund USD
Launched on July 20, 2015
2
Launched on September 22, 2015
2.3 2.3 2.4
2.5 2.6 2.5
3 3 6 4
2.3 2.4
2.5 2.6 2.5
2.3
2.2 2.5
Notes
Unaudited semi-annual report
9 646 394
34 863 4 – 2 855 56 449
– – – – – 9 610 – 581 1 314 – – – 7 222 –
– – – 9 702 843
8 108 644 8 108 804 1 592 611 – – – – – – – 88 – – 1 340 –
Merrill Lynch Investment Solutions – Merrill Lynch MLCX Commodity Enhanced Beta Fund USD
The accompanying notes form an integral part of these financial statements.
1
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 on swaps Bank overdraft Unrealised depreciation on futures contracts Unrealised depreciation on forward foreign exchange contracts Options sold at market value Unrealised depreciation on credit default swaps, gap risk swaps, interest rate swaps and total return swaps Upfront payments received on swap transactions Contracts for difference swaps at market value Other liabilities Total Liabilities
Assets Investments in securities at cost Investments in securities at market value Cash at bank Receivable for Fund shares issued Receivable on securities sold Receivable on options sold Receivable on swaps sold Receivable on spot exchange Dividends receivable Upfront payments paid on swap transactions Interest on bonds Interest on swaps Unrealised appreciation on futures contracts Unrealised appreciation on forward foreign exchange contracts Options bought at market value Unrealised appreciation on credit default swaps, gap risk swaps, interest rate swaps and total return swaps Contracts for difference swaps at market value Other assets Total Assets
Sub-Funds
(expressed in the Sub-Fund’s currency)
61 136 904
1 305 572 – – 11 084 1 482 907
– – – – – 35 156 – 1 561 8 375 – – – 121 159 –
– – – 62 619 811
47 557 394 47 559 775 15 053 674 – – – – – – 63 87 – – 6 212 –
Merrill Lynch Investment Solutions – Merrill Lynch MLCX Commodity Enhanced Beta ex Agriculture Fund USD
67 756 561
– – – 202 355 2 482 844
32 305 880 343 – – – 82 115 617 773 2 411 122 160 – 296 697 4 810 241 875 –
– 1 295 831 – 70 239 405
42 121 007 42 684 527 26 018 061 – – – – – – – – – 234 408 6 578 –
Merrill Lynch Investment Solutions – Fenician Equity Long Short UCITS Fund EUR
Statements of Net Assets as at September 30, 2015 (cont.)
26 213 669
– – 410 621 – 1 209 765
– 785 146 – – – 516 722 3 300 9 460 – – – – –
– – – 27 423 434
17 995 655 15 851 337 11 552 830 – – – – – 19 267 – – – – – –
Merrill Lynch Investment Solutions – Zeal Voyage Greater China UCITS Fund USD
108 509 242
– – – 10 627 4 649 503
882 665 3 427 675 – – – 126 074 – 2 829 39 525 – – – 160 108 –
– 6 375 521 – 113 158 745
112 743 560 100 332 942 4 720 658 – 1 667 719 – – – 61 293 – – – – 612 –
Merrill Lynch Investment Solutions – Gotham U.S. Equity Long/Short UCITS Fund EUR
43 195 792
– – – 4 221 156 725
– – – – – 36 023 – 1 199 15 507 – – – 99 775 –
– 1 184 502 – 43 352 517
36 729 087 33 006 884 8 793 106 – – – – – 17 004 – – – – 580 350 441
Merrill Lynch Investment Solutions – Passport Capital Global Equity Long Short UCITS Fund1 USD
15
10 014 364
– – 2 315 – 1 459 569
– – – – 1 410 644 – – 1 281 874 – 5 – – 44 450
– – – 11 473 933
8 355 359 8 279 494 1 632 545 – – – – 1 412 663 – – 11 – 8 569 52 101 88 550
Merrill Lynch Investment Solutions – Willowbridge-Praxis Global Macro UCITS Fund2 USD
Merrill Lynch Investment Solutions
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 on swaps Bank overdraft Unrealised depreciation on futures contracts Unrealised depreciation on forward foreign exchange contracts Options sold at market value Unrealised depreciation on credit default swaps, gap risk swaps, interest rate swaps and total return swaps Upfront payments received on swap transactions Contracts for difference swaps at market value Other liabilities Total Liabilities
Assets Investments in securities at cost Investments in securities at market value Cash at bank Receivable for Fund shares issued Receivable on securities sold Receivable on options sold Receivable on swaps sold Receivable on spot exchange Dividends receivable Upfront payments paid on swap transactions Interest on bonds Interest on swaps Unrealised appreciation on futures contracts Unrealised appreciation on forward foreign exchange contracts Options bought at market value Unrealised appreciation on credit default swaps, gap risk swaps, interest rate swaps and total return swaps Contracts for difference swaps at market value Other assets Total Assets
Sub-Funds
2.3 2.3 2.4
2.5 2.6 2.5
3 3 6 4
2.3 2.4
2.5 2.6 2.5
2.3
2.2 2.5
Notes
(expressed in the Sub-Fund’s currency)
6 243 507 888
10 979 010 492 625 102 837 255 983 509 827 596 893
2 195 883 295 461 706 342 029 34 383 146 575 566 8 582 948 62 576 439 267 103 1 932 807 10 435 144 047 781 10 075 048 34 819 785 5 382 581
5 197 464 244 499 931 672 7 071 104 781
3 369 470 891 3 231 762 522 3 026 244 604 5 764 647 345 519 874 111 946 89 588 146 495 221 13 264 752 2 201 881 3 800 496 25 557 12 228 719 14 564 108 19 332 799
Combined EUR
Statements of Net Assets as at September 30, 2015 (cont.)
16
Unaudited semi-annual report
The accompanying notes form an integral part of these financial statements.
Merrill Lynch Investment Solutions
17
Statistical information Period/year ending as at: September 30, 2015 Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Total Net Assets USD* 2 754 645 183 Class EUR A (acc) Number of shares 248 727.339 Net asset value per share EUR 137.92 Class EUR A (inc) Number of shares 6 904.691 Net asset value per share EUR 140.07 Class EUR B (acc) Number of shares 9 296 040.581 Net asset value per share EUR 137.04 Class EUR B (inc) Number of shares 1 599 004.140 Net asset value per share EUR 117.90 Class EUR C (acc) Number of shares 1 882 761.117 Net asset value per share EUR 132.50 Class EUR C (inc) Number of shares 180 381.543 Net asset value per share EUR 115.97 Class EUR G (acc) Number of shares 422 782.410 Net asset value per share EUR 131.11 Class EUR Z (acc) Number of shares 57 427.855 Net asset value per share EUR 117.68 Class GBP A (inc) Number of shares 911.905 Net asset value per share GBP 136.36 Class GBP B (acc) Number of shares 1 003 808.740 Net asset value per share GBP 139.44 Class GBP B (inc) Number of shares 375 387.714 Net asset value per share GBP 138.18 Class GBP C (acc) Number of shares 28 962.881 Net asset value per share GBP 126.86 Class GBP C (inc) Number of shares 2 887.094 Net asset value per share GBP 133.23 Class GBP G (acc) Number of shares 268 568.909 Net asset value per share GBP 132.64
March 31, 2015 2 136 898 753
March 31, 2014 1 478 960 073**
234 456.833 131.02
620 214.776 121.22
4 734.872 133.02
1 928.872 123.13
8 089 760.213 129.57
6 049 386.068 119.06
293 893.601 111.47
239 299.601 102.36
1 673 336.675 125.73
1 624 858.479 116.36
158 625.933 110.04
165 792.876 101.84
468 169.456 123.98
372 679.878 113.96
14 695.596 111.27
3 550.000 102.39
1 208.905 129.18
3 224.864 119.23
920 587.240 131.46
1 032 933.189 120.49
205 455.291 130.24
112 078.840 119.36
238 023.964 120.03
184 383.804 110.81
3 608.238 126.04
20 615.162 116.33
267 568.909 125.07
253 936.909 114.69
* The Sub-Fund was converted from EUR to USD on February 2, 2015. ** The TNA is expressed in EUR.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
18
Merrill Lynch Investment Solutions
Statistical information (cont.) Period/year ending as at: September 30, 2015 March 31, 2015 Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) (cont.) Class GBP Management (inc) Number of shares 964.976 964.976 Net asset value per share GBP 166.35 155.07 Class GBP Z (acc) Number of shares 900.000 900.000 Net asset value per share GBP 114.98 108.46 Class USD A (acc) Number of shares 39 340.140 36 619.588 Net asset value per share USD 135.61 128.60 Class USD B (acc) Number of shares 2 157 702.454 2 037 103.687 Net asset value per share USD 140.49 132.60 Class USD C (acc) Number of shares 307 695.196 285 860.065 Net asset value per share USD 127.79 121.02 Class USD G (acc) Number of shares 94 737.700 91 029.081 Net asset value per share USD 131.60 124.24 Class USD Management (acc) Number of shares – – Net asset value per share USD – – 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
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
March 31, 2014
1 510.748 139.47 – – 52 063.445 119.08 1 625 587.818 121.88 324 860.191 112.04 59 938.951 114.29 1 197.600 101.42
821 799 893
984 767 656
523 729 634
219 532.903 87.39
48 405.070 105.65
– –
774.884 87.15
1 027.155 106.32
776.000 99.01
27 910.265 92.41
25 935.812 112.70
1 900.000 104.99
194 129.958 109.61
172 148.388 134.37
60 499.189 125.96
21 839.577 125.91
16 803.250 152.68
3 676.890 142.48
186 865.865 133.71
222 360.805 161.99
230 939.608 149.62
27 422.853 125.84
18 429.451 153.31
9 826.420 143.29
Merrill Lynch Investment Solutions
19
Statistical information (cont.) Period/year ending as at: September 30, 2015 Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund (cont.) Class EUR D (acc) Number of shares 42 424.926 Net asset value per share EUR 141.60 Class EUR E (acc) Number of shares 2 657 187.965 Net asset value per share EUR 118.39 Class EUR F (acc) Number of shares 509 882.586 Net asset value per share EUR 111.54 Class EUR Z (acc) Number of shares 88 208.664 Net asset value per share EUR 111.73 Class GBP A (acc) Number of shares 1 657.404 Net asset value per share GBP 126.59 Class GBP A (inc) Number of shares 15 398.659 Net asset value per share GBP 126.47 Class GBP B (acc) Number of shares 33 276.221 Net asset value per share GBP 133.62 Class GBP B (inc) Number of shares 10.000 Net asset value per share GBP 134.16 Class GBP C (inc) Number of shares 100.497 Net asset value per share GBP 127.16 Class GBP D (acc) Number of shares 1 455.537 Net asset value per share GBP 142.27 Class GBP E (acc) Number of shares 219 208.828 Net asset value per share GBP 117.89 Class GBP E (inc) Number of shares 56 328.845 Net asset value per share GBP 110.73 Class GBP F (acc) Number of shares 29 261.881 Net asset value per share GBP 108.58 Class GBP Z (acc) Number of shares 267 110.055 Net asset value per share GBP 110.70 Class SEK E (acc) Number of shares 18 805.954 Net asset value per share SEK 500.71
March 31, 2015
March 31, 2014
43 395.926 171.13
46 059.926 156.64
2 173 398.930 143.47
1 156 475.564 133.50
424 153.380 135.87
202 438.299 127.39
50 194.401 135.40
29 529.890 126.00
2 611.964 153.74
1 297.516 143.29
17 209.859 153.59
17 790.859 143.03
35 412.471 162.30
33 276.221 149.73
10.000 162.90
745.715 150.27
100.497 155.25
100.497 144.50
1 455.537 172.38
1 455.537 157.57
430 375.185 143.20
370 015.012 132.77
58 968.288 134.50
78 306.042 124.74
55 051.288 132.56
57 226.385 123.94
193 057.109 134.51
78 642.603 124.95
18 805.954 608.85
23 160.000 563.83
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
20
Merrill Lynch Investment Solutions
Statistical information (cont.) Period/year ending as at: September 30, 2015 Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund (cont.) Class USD A (acc) Number of shares 66 689.400 Net asset value per share USD 125.69 Class USD B (acc) Number of shares 64 776.298 Net asset value per share USD 134.34 Class USD C (acc) Number of shares 12 498.000 Net asset value per share USD 126.38 Class USD D (acc) Number of shares 1 935.607 Net asset value per share USD 142.45 Class USD E (acc) Number of shares 827 578.026 Net asset value per share USD 117.59 Class USD F (acc) Number of shares 1 567 223.234 Net asset value per share USD 112.34 Class USD Z (acc) Number of shares 120 807.453 Net asset value per share USD 84.76 Merrill Lynch Investment Solutions – CCI Healthcare Long-Short UCITS Fund Total Net Assets USD 502 720 820 Class EUR B (acc) Number of shares 1 424 692.215 Net asset value per share EUR 134.86 Class EUR C (acc) Number of shares 128 134.007 Net asset value per share EUR 129.88 Class EUR D (acc) Number of shares 6 857.000 Net asset value per share EUR 143.96 Class EUR Z (acc) Number of shares 9 766.752 Net asset value per share EUR 116.45 Class GBP B (acc) Number of shares 22 619.884 Net asset value per share GBP 139.80 Class GBP B (inc) 1 Number of shares – Net asset value per share GBP – Class GBP C (acc) Number of shares 11 102.352 Net asset value per share GBP 133.21 1
Liquidated on July 1, 2015
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
March 31, 2015
March 31, 2014
63 693.480 152.84
34 683.513 143.32
70 888.298 163.35
73 603.298 151.17
12 498.000 154.47
12 687.332 144.22
1 935.607 172.78
1 935.607 158.44
1 087 205.857 143.00
1 360 989.249 133.06
1 556 581.665 137.32
449 666.896 129.04
97 229.513 103.10
– –
607 022 016
566 673 787
1 662 774.359 153.46
1 048 143.568 135.24
117 147.764 148.54
249 759.465 131.45
7 116.000 163.74
69 028.899 143.03
1 970.508 133.56
9 213.172 117.27
38 008.240 159.35
51 593.025 140.05
10.000 159.81
10.000 140.44
9 784.378 152.22
12 959.739 134.47
Merrill Lynch Investment Solutions
21
Statistical information (cont.) Period/year ending as at: September 30, 2015 Merrill Lynch Investment Solutions – CCI Healthcare Long-Short UCITS Fund (cont.) Class GBP C (inc) Number of shares 14 639.000 Net asset value per share GBP 136.28 Class GBP Z (acc) Number of shares 121 520.806 Net asset value per share GBP 118.92 Class USD B (acc) Number of shares 668 025.636 Net asset value per share USD 138.51 Class USD C (acc) Number of shares 1 009 425.839 Net asset value per share USD 131.24 1 Class USD D (acc) Number of shares – Net asset value per share USD – Class USD Z (acc) Number of shares 105 864.339 Net asset value per share USD 97.85 Merrill Lynch Investment Solutions – Theorema European Equity Long-Short UCITS Fund Total Net Assets EUR 65 106 873 Class EUR B (acc) Number of shares 283 207.752 Net asset value per share EUR 116.57 Class EUR C (acc) Number of shares 1 307.322 Net asset value per share EUR 112.76 Class EUR D (acc) 2 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 100.69 Class EUR Management (acc) Number of shares 135 294.956 Net asset value per share EUR 127.07 Class EUR Z (acc) Number of shares – Net asset value per share EUR – Class GBP B (acc) Number of shares – Net asset value per share GBP – 1 2
March 31, 2015
March 31, 2014
18 304.672 155.66
32 633.867 137.66
101 344.528 135.41
71 455.608 118.87
759 006.038 157.79
1 101 475.837 138.86
992 408.070 150.03
913 203.479 132.95
10.000 166.67
10.000 145.23
74 217.696 111.56
– –
66 317 975
85 092 227
291 337.668 117.83
460 233.639 114.91
1 319.322 114.41
1 771.322 112.32
10.000 123.00
10.000 119.23
130 000.000 101.67
130 000.000 98.89
135 294.956 128.87
135 998.906 125.20
– –
5 871.981 101.28
– –
87.002 117.13
Liquidated on April 23, 2015 Liquidated on April 20, 2015
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
22
Merrill Lynch Investment Solutions
Statistical information (cont.) Period/year ending as at: September 30, 2015 March 31, 2015 Merrill Lynch Investment Solutions – Theorema European Equity Long-Short UCITS Fund (cont.) Class GBP C (acc) Number of shares 1 936.671 1 946.671 Net asset value per share GBP 113.80 115.46 Class GBP Z (acc) Number of shares – – Net asset value per share GBP – – Class USD B (acc) Number of shares 6 170.003 7 821.345 Net asset value per share USD 118.51 119.87 Class USD C (acc) Number of shares 8 022.649 – Net asset value per share USD 98.96 – 1 Class USD D (acc) Number of shares – 10.000 Net asset value per share USD – 125.00 Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund Total Net Assets EUR 50 467 597 Class EUR B (acc) Number of shares 17 802.416 Net asset value per share EUR 111.72 Class EUR C (acc) Number of shares 1 574.428 Net asset value per share EUR 108.59 Class EUR D (acc) Number of shares 320 891.660 Net asset value per share EUR 117.30 Class GBP C (acc) Number of shares 80.000 Net asset value per share GBP 112.70 Class USD A (acc) Number of shares 10.000 Net asset value per share USD 113.54 Class USD B (acc) Number of shares 100 000.602 Net asset value per share USD 112.86 Class USD C (acc) Number of shares 980.002 Net asset value per share USD 111.01 Class USD D (acc) Number of shares 4 207.448 Net asset value per share USD 117.96 1
Liquidated on April 20, 2015
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
March 31, 2014
1 946.671 112.95 2 580.000 102.16 10 947.371 117.46 – – 10.000 120.95
20 330 945
40 191 477
62 637.386 111.50
133 880.882 102.49
10.001 109.80
10.000 101.76
18 908.033 116.59
26 022.033 106.46
80.000 112.02
80.000 103.42
10.000 112.46
10.000 101.57
100 000.602 111.95
271 908.182 103.27
6 835.350 110.42
6 104.242 102.01
10.000 116.75
36 982.558 106.72
Merrill Lynch Investment Solutions
23
Statistical information (cont.) Period/year ending as at: September 30, 2015 Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund Total Net Assets USD 84 699 069 Class EUR B (acc) Number of shares 15 135.103 Net asset value per share EUR 105.02 Class EUR C (acc) Number of shares 475.569 Net asset value per share EUR 106.44 Class EUR D (acc) 1 Number of shares – Net asset value per share EUR – Class GBP B (acc) Number of shares 450 259.195 Net asset value per share GBP 108.15 Class GBP C (acc) Number of shares 29 622.299 Net asset value per share GBP 108.27 Class GBP D (acc) 1 Number of shares – Net asset value per share GBP – Class USD B (acc) Number of shares 36 978.726 Net asset value per share USD 104.34 Class USD C (acc) Number of shares 4 136.635 Net asset value per share USD 128.29 Class USD D (acc) Number of shares – Net asset value per share USD – Class USD Management (acc) Number of shares – Net asset value per share USD – Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Total Net Assets USD 1 138 336 784 Class CHF A (acc) Number of shares 35 700.000 Net asset value per share CHF 111.36 Class EUR A (acc) Number of shares 3 473 635.053 Net asset value per share EUR 121.42 Class EUR A (inc) Number of shares 1 778 008.125 Net asset value per share EUR 121.33 Class EUR C (acc) Number of shares 11 447.717 Net asset value per share EUR 116.84 1
March 31, 2015
March 31, 2014
86 740 197
80 215 593
23 584.037 111.80
73 014.735 74.46
1 243.228 113.86
4 484.001 73.66
10.000 120.64
13 447.635 76.75
444 102.094 114.76
479 613.026 76.16
14 967.436 115.51
10.000 74.60
10.000 121.31
10.000 77.44
40 161.436 111.03
61 029.498 75.39
7 715.320 137.28
10.003 74.09
– –
10.000 77.42
– –
66 174.512 80.83
880 471 678
717 249 680
35 700.000 105.97
– –
2 264 864.790 115.08
844 019.384 105.90
1 774 023.176 114.97
1 331 236.271 105.76
11 457.717 111.23
11 439.679 103.31
Liquidated on April 20, 2015
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
24
Merrill Lynch Investment Solutions
Statistical information (cont.) Period/year ending as at: September 30, 2015 Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund (cont.) Class EUR D (acc) 1 Number of shares – Net asset value per share EUR – Class GBP A (acc) Number of shares 1 628 690.846 Net asset value per share GBP 122.66 Class GBP A2 (acc) Number of shares 547 641.077 Net asset value per share GBP 114.730 Class GBP C (acc) Number of shares 45.012 Net asset value per share GBP 105.78 Class GBP D (acc) Number of shares 989.805 Net asset value per share GBP 125.18 Class GBP Z (acc) 2 Number of shares 6 431.477 Net asset value per share GBP 104.57 Class USD A (acc) Number of shares 125 044.342 Net asset value per share USD 121.22 Class USD C (acc) Number of shares 503.854 Net asset value per share USD 113.45 Class USD D (acc) Number of shares 56 683.268 Net asset value per share USD 122.52 Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Total Net Assets USD 372 580 304 Class CHF B (acc) Number of shares – Net asset value per share CHF – Class CHF C (acc) Number of shares 860.001 Net asset value per share CHF 111.55 Class EUR B (acc) Number of shares 2 020 667.904 Net asset value per share EUR 111.87 Class EUR C (acc) Number of shares 61 101.025 Net asset value per share EUR 108.84 1 2
Liquidated on April 23, 2015 Launched on April 22, 2015
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
March 31, 2015
March 31, 2014
9.995 117.18
9.995 108.55
1 504 001.566 115.81
1 515 974.711 106.27
601 163.227 108.640
646 482.940 100.100
10.007 113.30
10.001 104.64
999.805 118.18
999.805 108.26
– –
– –
37 545.781 114.78
59 203.441 105.86
503.854 107.93
503.854 100.47
139 387.033 116.01
144 076.145 106.98
305 586 369
620 770 646
– –
13 454.705 114.70
844.001 113.72
9 506.001 116.20
1 485 782.032 113.17
1 937 061.447 114.29
36 222.001 110.60
71 775.899 112.32
Merrill Lynch Investment Solutions
25
Statistical information (cont.) Period/year ending as at: September 30, 2015 March 31, 2015 Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund (cont.) Class EUR Z (acc) Number of shares 5 749.116 5 759.164 Net asset value per share EUR 105.30 106.58 Class GBP B (acc) Number of shares 950.001 7 183.437 Net asset value per share GBP 113.33 114.53 Class GBP B (inc) Number of shares 469.000 6 569.000 Net asset value per share GBP 101.71 102.78 Class GBP C (acc) Number of shares 5 554.960 6 359.626 Net asset value per share GBP 109.19 110.79 Class GBP Z (acc) Number of shares 5 173.362 18 932.722 Net asset value per share GBP 108.42 109.59 Class USD B (acc) Number of shares 940 751.829 964 618.920 Net asset value per share USD 113.25 114.54 Class USD C (acc) Number of shares 31 856.679 27 707.931 Net asset value per share USD 109.59 111.30 Class USD Management (acc) Number of shares 200.000 200.000 Net asset value per share USD 103.04 103.20 Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund Total Net Assets USD 7 882 899 Class EUR B (acc) 1 Number of shares – Net asset value per share EUR – Class EUR C (acc) Number of shares 129.216 Net asset value per share EUR 99.78 Class EUR D (acc) 1 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 B (inc) 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, 2014
12 863.847 107.43 319 329.704 115.02 45 790.131 103.22 18 568.154 112.13 57 324.752 110.10 1 772 195.652 115.28 108 232.143 112.90 – –
10 691 494
13 152 942
10.000 109.21
25 110.000 107.18
69.700 108.12
10.017 106.63
10.000 111.56
10.000 109.00
10.000 110.39
10.000 108.04
10.000 110.34
10.000 108.09
10.000 108.21
10.000 106.57
Liquidated on April 20, 2015
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
26
Merrill Lynch Investment Solutions
Statistical information (cont.) Period/year ending as at: September 30, 2015 Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund (cont.) Class GBP D (acc) 1 Number of shares – Net asset value per share GBP – Class USD B (acc) Number of shares 6 495.000 Net asset value per share USD 102.14 Class USD C (acc) 2 Number of shares – Net asset value per share USD – Class USD D (acc) 1 Number of shares – Net asset value per share USD – Class USD Management (acc) Number of shares 65 806.670 Net asset value per share USD 109.49
March 31, 2015
March 31, 2014
10.000 112.13
10.000 109.32
26 750.000 110.19
18 510.000 108.08
28.689 107.58
10.000 106.24
10.000 112.91
10.000 110.03
65 806.670 117.36
65 806.670 112.91
–
10 977 594
– –
10.000 94.61
– –
10.000 93.56
– –
118 218.144 92.84
–
–
45 262 048
– –
– –
63 225.305 94.49
– –
– –
170 998.668 98.55
– –
– –
68 151.831 95.57
Merrill Lynch Investment Solutions – TRG Emerging Markets Opportunity UCITS Fund 3 Total Net Assets USD – Class USD B (acc) Number of shares – Net asset value per share USD – Class USD C (acc) Number of shares – Net asset value per share USD – Class USD Management (acc) Number of shares – Net asset value per share USD – Merrill Lynch Investment Solutions – Fulcrum Alpha Macro UCITS Fund 4 Total Net Assets USD Class EUR B (acc) Number of shares Net asset value per share EUR Class GBP Management (acc) Number of shares Net asset value per share GBP Class USD B (acc) Number of shares Net asset value per share USD Liquidated on April 20, 2015 Liquidated on July 29, 2015 3 Liquidated on June 2, 2014 4 Liquidated on January 23, 2015 1 2
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Merrill Lynch Investment Solutions
27
Statistical information (cont.) Period/year ending as at: September 30, 2015 Merrill Lynch Investment Solutions – Fulcrum Alpha Macro UCITS Fund 1 (cont.) Class USD C (acc) Number of shares – Net asset value per share USD – Class USD Management (acc) Number of shares – Net asset value per share USD – Merrill Lynch Investment Solutions – Van Eck Commodities Long-Short Equity UCITS Fund Total Net Assets USD – Class EUR D (acc) 2 Number of shares – Net asset value per share EUR – 3 Class USD B (acc) Number of shares – Net asset value per share USD – Class USD C (acc) 3 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) 2 Number of shares – Net asset value per share USD – Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund Total Net Assets USD 205 966 884 Class EUR B (acc) Number of shares 819 585.247 Net asset value per share EUR 97.44 Class EUR C (acc) Number of shares 19 663.061 Net asset value per share EUR 95.13 Class EUR D (acc) Number of shares 174 032.198 Net asset value per share EUR 105.77 Class EUR X (inc) Number of shares 585 380.000 Net asset value per share EUR 97.33 Class EUR Z (acc) Number of shares 3 885.000 Net asset value per share EUR 101.24
March 31, 2015
March 31, 2014
– –
10.000 94.53
– –
23 918.438 101.20
9 942 307
17 278 899
7 435.000 89.00
16 775.000 98.41
10.000 89.30
10.000 98.50
10.000 87.71
10.000 97.56
– –
50 000.000 99.06
100 000.000 92.30
100 000.000 100.49
191 879 123
108 686 159
620 788.748 101.89
161 021.792 101.98
22 457.150 99.83
6 844.202 100.72
268 811.311 110.29
421 370.165 109.65
589 380.000 101.500
– –
3 885.000 105.87
1 500.000 105.99
Liquidated on January 23, 2015 Liquidated on July 7, 2015 3 Liquidated on April 20, 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.) Period/year ending as at: September 30, 2015 Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund (cont.) Class GBP B (acc) Number of shares 21 608.879 Net asset value per share GBP 96.14 Class GBP B (inc) Number of shares 1 639.891 Net asset value per share GBP 96.20 Class GBP C (acc) 1 Number of shares – Net asset value per share GBP – Class GBP X (inc) Number of shares 2 266.940 Net asset value per share GBP 96.68 Class USD B (acc) Number of shares 116 987.520 Net asset value per share USD 105.56 Class USD C (acc) Number of shares 23 115.026 Net asset value per share USD 96.84 Class USD D (acc) Number of shares 37 299.164 Net asset value per share USD 107.35 Class USD Management (acc) Number of shares 69 707.664 Net asset value per share USD 112.49 Merrill Lynch Investment Solutions – Merrill Lynch Diversified Futures UCITS Fund Total Net Assets USD 250 248 526 Class EUR B (acc) Number of shares 346 937.354 Net asset value per share EUR 102.31 Class EUR D (acc) Number of shares 1 692 474.973 Net asset value per share EUR 109.67 Class GBP B (acc) 2 Number of shares 22 000.000 Net asset value per share GBP 95.44 Class GBP Z (acc) Number of shares 1 358.222 Net asset value per share GBP 103.02 Class USD B (acc) Number of shares 500.000 Net asset value per share USD 98.65 1 2
Liquidated on July 2, 2015 Launched on May 20, 2015
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
March 31, 2015
March 31, 2014
10.000 100.49
– –
10.000 100.49
– –
10.000 99.83
– –
2 276.940 100.52
– –
71 874.141 110.12
10.000 110.25
18 277.926 101.42
39 301.316 101.91
60 702.577 111.67
83 288.463 110.81
69 707.664 116.45
69 707.664 114.36
219 870 073
145 308 724
275 867.078 110.42
– –
1 472 188.055 118.29
1 040 534.700 101.32
– –
– –
400.000 111.06
– –
500.000 106.46
– –
Merrill Lynch Investment Solutions
29
Statistical information (cont.) Period/year ending as at: September 30, 2015 Merrill Lynch Investment Solutions – Castlerigg Equity Event and Arbitrage UCITS Fund Total Net Assets USD 96 250 185 Class EUR B (acc) 1 Number of shares – Net asset value per share EUR – Class EUR D (acc) Number of shares 133 104.495 Net asset value per share EUR 102.28 Class GBP B (acc) 2 Number of shares – Net asset value per share GBP – Class GBP C (acc) Number of shares 1 512.167 Net asset value per share GBP 94.60 Class GBP D (acc) Number of shares 176 016.822 Net asset value per share GBP 103.74 Class USD B (acc) 3 Number of shares – Net asset value per share USD – Class USD D (acc) Number of shares 111 944.335 Net asset value per share USD 104.10 Class USD Management (acc) Number of shares 387 521.162 Net asset value per share USD 107.15 Merrill Lynch Investment Solutions – Merrill Lynch Dynamic Capital Protection UCITS Fund Total Net Assets EUR 41 898 554 Class EUR B (acc) Number of shares 425 898.389 Net asset value per share EUR 98.38 Merrill Lynch Investment Solutions – Merrill Lynch Enhanced Volatility Premium Fund Total Net Assets EUR 115 155 796 Class EUR A (acc) Number of shares 898 403.000 Net asset value per share EUR 103.72 Class EUR B (acc) Number of shares 212 425.507 Net asset value per share EUR 103.45
March 31, 2015
March 31, 2014
128 690 816
204 149 259
2 175.000 98.35
– –
279 307.165 124.49
293 441.807 120.21
5 400.000 100.27
– –
2 016.157 115.87
930.540 113.49
211 886.436 126.30
470 012.940 121.64
10 000.001 101.45
– –
174 888.199 126.83
280 372.600 122.34
208 141.970 129.93
208 141.970 123.68
49 357 814
12 116 836
474 601.290 104.00
120 000.000 100.97
68 976 668
67 545 848
489 844.000 103.19
554 894.000 103.20
178 623.527 103.18
99 150.000 103.71
Liquidated on June 25, 2015 Liquidated on September 24, 2015 3 Liquidated on May 28, 2015 1 2
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
30
Merrill Lynch Investment Solutions
Statistical information (cont.) Period/year ending as at: September 30, 2015 Merrill Lynch Investment Solutions – Multi-Strategy Fund of UCITS Fund 1 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 – Merrill Lynch Investment Solutions – Merrill Lynch MLCX Commodity Enhanced Beta Fund Total Net Assets USD 9 646 394 Class EUR B (acc) Number of shares 30 018.074 Net asset value per share EUR 62.40 Class EUR C (acc) Number of shares 146.336 Net asset value per share EUR 59.28 2 Class EUR E (acc) Number of shares – Net asset value per share EUR – Class GBP B (acc) Number of shares 3 561.781 Net asset value per share GBP 57.95 Class GBP C (acc) 3 Number of shares – Net asset value per share GBP – 3 Class GBP E (acc) Number of shares – Net asset value per share GBP – Class SEK C (acc) Number of shares 3 436.247 Net asset value per share SEK 570.34 Class USD B (acc) Number of shares 60 578.571 Net asset value per share USD 64.81 Class USD C (acc) Number of shares 50 748.671 Net asset value per share USD 60.56 Liquidated on July 2, 2015 Liquidated on September 9, 2015 3 Liquidated on June 26, 2015 1 2
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
March 31, 2015
March 31, 2014
9 840 509
–
40 818.211 105.66
– –
20 000.000 107.32
– –
21 380.000 107.33
– –
9 750.000 111.44
– –
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
– –
Merrill Lynch Investment Solutions
31
Statistical information (cont.) Period/year ending as at: September 30, 2015 March 31, 2015 Merrill Lynch Investment Solutions – Merrill Lynch MLCX Commodity Enhanced Beta Fund (cont.) Class USD E (acc) 1 Number of shares – 949 034.913 Net asset value per share USD – 71.55 Merrill Lynch Investment Solutions – Merrill Lynch MLCX Commodity Enhanced Beta ex Agriculture Fund Total Net Assets USD 61 136 904 26 126 748 Class EUR B (acc) 2 Number of shares – 10.000 Net asset value per share EUR – 70.08 Class EUR D (acc) Number of shares 558 887.000 125 700.000 Net asset value per share EUR 78.78 91.24 3 Class EUR H (acc) Number of shares – – Net asset value per share EUR – – Class USD B (acc) Number of shares 196 000.000 196 010.000 Net asset value per share USD 61.16 70.45 Merrill Lynch Investment Solutions – Fenician Equity Long Short UCITS Fund Total Net Assets EUR 67 756 561 Class EUR B (acc) Number of shares 4 533.527 Net asset value per share EUR 105.21 Class EUR C (acc) Number of shares 12 245.000 Net asset value per share EUR 104.32 Class EUR D (acc) Number of shares 149 667.102 Net asset value per share EUR 105.69 Class EUR I (acc) Number of shares 243 866.205 Net asset value per share EUR 105.55 Class EUR Inst Seed (acc) Number of shares 20 088.256 Net asset value per share EUR 106.43 Class EUR Management (acc) Number of shares 1 500.000 Net asset value per share EUR 108.41 Class EUR Retail Seed (acc) Number of shares 26 746.770 Net asset value per share EUR 106.36
March 31, 2014
– –
– – – – – – – – –
69 118 049
–
10.000 105.35
– –
17 510.000 104.84
– –
58 542.210 105.67
– –
375 492.405 105.73
– –
20 088.256 106.420
– –
1 500.000 107.90
– –
27 377.340 106.37
– –
Liquidated on April 29, 2015 Liquidated on June 25, 2015 3 Launched on June 17, 2015 and liquidated on August 18, 2015 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.) Period/year ending as at: September 30, 2015 Merrill Lynch Investment Solutions – Fenician Equity Long Short UCITS Fund (cont.) Class EUR Z (acc) 1 Number of shares 19 108.390 Net asset value per share EUR 98.97 2 Class GBP B (acc) Number of shares 22 000.000 Net asset value per share GBP 99.33 Class GBP Management (acc) Number of shares 2 782.896 Net asset value per share GBP 108.60 Class USD D (acc) 3 Number of shares 5 000.000 Net asset value per share USD 100.16 Class USD I (acc) Number of shares 61 007.353 Net asset value per share USD 105.40 Class USD Inst Seed (acc) Number of shares 82 212.328 Net asset value per share USD 106.22 Merrill Lynch Investment Solutions – APQ Emerging Markets UCITS Fund Total Net Assets USD Class CAD Management (acc) 4 Number of shares Net asset value per share CAD Class USD B (acc) 5 Number of shares Net asset value per share USD Class USD Management (acc) 4 Number of shares Net asset value per share USD
March 31, 2015
March 31, 2014
– –
– –
– –
– –
2 000.073 108.09
– –
– –
– –
41 207.240 105.61
– –
119 569.328 106.26
– –
–
18 182 407
–
– –
74 712.780 88.81
– –
– –
10.000 87.14
– –
– –
149 999.000 86.28
– –
20 340 116
–
10.000 111.66
– –
182 325.472 111.26
– –
Merrill Lynch Investment Solutions – Zeal Voyage Greater China UCITS Fund Total Net Assets USD 26 213 669 Class USD B (acc) Number of shares 16.377 Net asset value per share USD 95.76 Class USD Management (acc) Number of shares 269 606.427 Net asset value per share USD 97.05 Launched on August 19, 2015 Launched on May 21, 2015 3 Launched on July 10, 2015 4 Liquidated on September 9, 2015 5 Liquidated on September 1, 2015 1 2
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Merrill Lynch Investment Solutions
33
Statistical information (cont.) Period/year ending as at: September 30, 2015 Merrill Lynch Investment Solutions – Zeal Voyage Greater China UCITS Fund (cont.) Class USD Z (acc) Number of shares 500.000 Net asset value per share USD 93.48 Merrill Lynch Investment Solutions – Gotham U.S. Equity Long/Short UCITS Fund Total Net Assets USD 108 509 242 Class EUR C (acc) Number of shares 4 598.692 Net asset value per share EUR 90.76 Class EUR D (acc) Number of shares 82 812.102 Net asset value per share EUR 89.22 Class EUR X (acc) Number of shares 463 850.435 Net asset value per share EUR 89.36 Class GBP B (acc) 1 Number of shares 22 000.000 Net asset value per share GBP 91.41 Class GBP X (inc) Number of shares 6 319.568 Net asset value per share GBP 89.65 Class USD B (acc) Number of shares 62 898.000 Net asset value per share USD 88.80 Class USD C (acc) Number of shares 2 500.000 Net asset value per share USD 90.89 Class USD D (acc) Number of shares 462 390.000 Net asset value per share USD 88.85 Class USD Management (acc) 2 Number of shares – Net asset value per share USD – Class USD X (acc) Number of shares 30 413.382 Net asset value per share USD 89.64 Merrill Lynch Investment Solutions – Passport Capital Global Equity Long Short UCITS Fund Total Net Assets USD 43 195 792 Class CHF D (acc) 3 Number of shares 5 195.756 Net asset value per share CHF 95.28
March 31, 2015
March 31, 2014
500.000 107.95
– –
54 934 874
–
4 003.307 98.93
– –
74 073.162 96.74
– –
10.000 96.90
– –
– –
– –
10.000 97.03
– –
10.000 96.26
– –
2 500.000 98.90
– –
312 711.000 96.19
– –
50 000.000 99.36
– –
118 674.521 97.03
– –
–
–
– –
– –
Launched on May 21, 2015 Liquidated on June 2, 2015 3 Launched on July 27, 2015 1 2
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
34
Merrill Lynch Investment Solutions
Statistical information (cont.) Period/year ending as at: September 30, 2015 March 31, 2015 Merrill Lynch Investment Solutions – Passport Capital Global Equity Long Short UCITS Fund (cont.) Class EUR D (acc) 1 Number of shares 382 462.512 – Net asset value per share EUR 93.81 – 2 Class USD B (acc) Number of shares 10.000 – Net asset value per share USD 98.92 – Class USD C (acc) 2 Number of shares 10.000 – Net asset value per share USD 98.84 – Class USD D (acc) 1 Number of shares 18 138.298 – Net asset value per share USD 93.70 – 1 Class USD Management (acc) Number of shares 9 978.898 – Net asset value per share USD 93.87 – Merrill Lynch Investment Solutions – Willowbridge-Praxis Global Macro UCITS Fund Total Net Assets USD 10 014 364 Class USD Management (acc) 3 Number of shares 100 000.000 Net asset value per share USD 100.14 Launched on July 20, 2015 Launched on August 21, 2015 3 Launched on September 22, 2015 1 2
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
March 31, 2014
– – – – – – – – – –
–
–
– –
– –
Merrill Lynch Investment Solutions
35
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at September 30, 2015 (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.) 70 288 258 339 4 396 33 988 4 154 88 931 141 039 23 880 5 611 79 761 19 910 342 610 28 373 24 353 28 623 1 943 19 398 20 804 118 975 8 914 10 766 57 337 1 884 77 319 90 857 80 016 123 173 24 655 17 424 280 025 33 514 23 798 25 768 8 202 10 570 3 730 5 425 264 705 454 033 10 112 162 769 7 831 5 991
2U, Inc. Abbott Laboratories AbbVie, Inc. ABIOMED, Inc. Accenture Plc. - A Achillion Pharmaceuticals, Inc. Activision Blizzard, Inc. Advantage Oil & Gas Ltd. AerCap Hldg. NV Aerojet Rocketdyne Hldg., Inc. Aetna, Inc. Agilent Technologies, Inc. Airgas, Inc. Alcoa, Inc. Alder Biopharmaceuticals, Inc. Alexander & Baldwin, Inc. Allergan Plc. Allison Transmission Hldg., Inc. Allstate Corp. AMAG Pharmaceuticals, Inc. Amazon.com, Inc. American International Group, Inc. American Water Works Co., Inc. Ameriprise Financial, Inc. AmerisourceBergen Corp. Anima Hldg. SpA 144A Ansaldo STS SpA Apartment Investment & Management Co. - A Apple, Inc. Applied Materials, Inc. AptarGroup, Inc. ARC Resources Ltd. Arca Continental SAB de CV ArcBest Corp. Archer-Daniels-Midland Co. Arista Networks, Inc. Aspen Insurance Hldg. Ltd. Assicurazioni Generali SpA Assured Guaranty Ltd. AtriCure, Inc. Autogrill SpA AutoZone, Inc. Avid Technology, Inc.
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 EUR EUR USD USD USD USD CAD MXN USD USD USD USD EUR USD USD EUR USD USD
2 389 792 10 957 160 252 027 2 829 989 406 810 823 193 3 711 254 131 369 213 827 1 505 484 2 215 296 12 892 551 2 712 856 238 243 1 124 884 76 578 5 677 510 543 783 6 864 259 367 541 5 351 265 3 332 008 99 785 8 509 383 8 789 388 787 951 1 253 196 894 975 1 857 531 5 400 227 2 261 606 322 866 158 576 234 275 437 955 232 448 252 350 5 122 432 11 560 220 246 179 1 477 280 5 818 056 51 013
2 523 339 10 390 395 239 186 3 152 727 408 172 614 513 4 356 695 124 147 214 565 1 290 533 2 178 353 11 761 801 2 534 560 235 250 937 689 66 703 5 272 570 555 259 6 929 104 354 153 5 511 008 3 257 888 103 771 8 437 822 8 630 506 697 572 1 303 422 912 728 1 921 867 4 113 567 2 210 583 313 118 144 724 211 366 438 126 228 239 252 100 4 834 001 11 350 825 221 554 1 478 963 5 668 313 47 688
0.09 0.38 0.01 0.11 0.02 0.02 0.16 0.00 0.01 0.05 0.08 0.43 0.09 0.01 0.03 0.00 0.19 0.02 0.25 0.01 0.20 0.12 0.00 0.31 0.31 0.03 0.05 0.03 0.07 0.15 0.08 0.01 0.01 0.01 0.02 0.01 0.01 0.18 0.41 0.01 0.05 0.21 0.00
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, 2015 (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.) 88 942 318 318 18 131 62 100 24 961 1 768 29 553 85 830 6 194 343 916 7 642 141 996 10 962 396 262 6 385 128 028 83 413 62 117 2 186 24 918 660 242 835 250 24 906 157 628 169 839 26 601 1 376 107 222 6 900 26 809 34 097 333 647 208 107 73 410 31 434 65 464 9 067 1 9 220 206 382 24 748 33 009 1 587
Azimut Hldg. SpA B/E Aerospace, Inc. Baxalta, Inc. Baytex Energy Corp. BB&T Corp. Biogen, Inc. BioMarin Pharmaceutical, Inc. BJ's Restaurants, Inc. BorgWarner, Inc. Boston Scientific Corp. Brink's Co. Bristol-Myers Squibb Co. Broadridge Financial Solutions, Inc. Brocade Communications Systems, Inc. Brunswick Corp. Buzzi Unicem SpA Cablevision Systems Corp. - A Cabot Oil & Gas Corp. Caesarstone Sdot-Yam Ltd. CalAmp Corp. California Resources Corp. Calpine Corp. Cambrex Corp. Camden Property Trust Canadian Oil Sands Ltd. Canadian Pacific Railway Ltd. Capella Education Co. Cardinal Health, Inc. Carlisle Cos, Inc. Carpenter Technology Corp. CBOE Hldg., Inc. CBS Corp. - B Celanese Corp. - A Central Pacific Financial Corp. Cerved Information Solutions SpA CF Industries Hldg., Inc. Cheesecake Factory, Inc. Chesapeake Lodging Trust Ciena Corp. Cisco Systems, Inc. Citizens Financial Group, Inc. Citrix Systems, Inc. Clearwater Paper Corp.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
EUR USD USD CAD USD USD USD USD USD USD USD USD USD USD USD EUR USD USD USD USD USD USD USD USD CAD CAD USD USD USD USD USD USD USD USD EUR USD USD USD USD USD USD USD USD
2 033 306 14 023 318 685 385 265 577 875 241 584 560 3 546 950 4 377 752 246 905 5 649 714 208 876 8 428 035 597 073 4 094 655 298 442 2 029 865 2 727 020 1 432 344 104 826 404 085 2 816 701 13 382 268 1 086 119 12 207 722 863 278 3 894 456 73 125 8 675 045 600 620 920 825 1 960 779 16 809 068 12 705 659 1 636 932 231 107 2 992 778 511 834 34 187 419 5 783 472 586 634 2 270 527 72 251
1 904 219 13 974 160 571 308 197 782 888 612 515 920 3 112 522 3 693 265 257 608 5 643 662 206 410 8 406 163 606 747 4 113 200 305 778 2 135 093 2 708 420 1 357 878 66 454 400 931 1 716 629 12 194 650 988 270 11 648 709 799 347 3 800 370 68 140 8 236 794 602 922 798 104 2 287 227 13 312 515 12 313 691 1 539 408 231 231 2 939 334 489 255 26 191 038 5 417 527 590 487 2 286 864 74 970
0.07 0.51 0.02 0.01 0.03 0.02 0.11 0.13 0.01 0.21 0.01 0.31 0.02 0.15 0.01 0.08 0.10 0.05 0.00 0.01 0.06 0.44 0.04 0.42 0.03 0.14 0.00 0.30 0.02 0.03 0.08 0.48 0.45 0.06 0.01 0.11 0.02 0.00 0.01 0.20 0.02 0.08 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, 2015 (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.) 9 119 73 199 16 125 144 369 109 054 959 84 981 33 432 19 064 135 303 48 731 35 488 207 211 131 425 3 560 29 654 85 776 142 404 909 263 075 516 639 19 653 184 45 346 103 134 5 587 89 330 2 214 101 642 1 416 2 118 923 112 568 86 201 116 553 5 705 25 317 4 370 128 088 119 957 4 069 67 646 44 168 2 948
Clubcorp Hldg., Inc. CME Group, Inc. Coach, Inc. Coca-Cola Enterprises, Inc. Cognizant Technology Solutions Corp. - A Columbia Sportswear Co. Comcast Corp. - A Comcast Corp. - A Special CommScope Hldg. Co., Inc. Computer Sciences Corp. Con-way, Inc. ConAgra Foods, Inc. Concordia Healthcare Corp. CONSOL Energy, Inc. Consolidated Communications Holdings, Inc. Constellium NV - A Continental Building Products, Inc. Covanta Hldg. Corp. CR Bard, Inc. Crew Energy, Inc. CSX Corp. Curtiss-Wright Corp. Cvent, Inc. CVR Energy, Inc. CVS Health Corp. CyberArk Software Ltd. Cyberonics, Inc. Delphi Automotive Plc. Delta Air Lines, Inc. Deluxe Corp. Denbury Resources, Inc. Depomed, Inc. DexCom, Inc. DH Corp. DHT Holdings, Inc. DiamondRock Hospitality Co. DiaSorin SpA Digital Realty Trust, Inc. Discover Financial Services Domino's Pizza, Inc. Domtar Corp. Dunkin' Brands Group, Inc. Dynegy, Inc.
USD USD USD USD USD USD USD USD USD USD USD USD CAD USD USD USD USD USD USD CAD USD USD USD USD USD USD USD USD USD USD USD USD USD CAD USD USD EUR USD USD USD USD USD USD
212 475 6 860 698 496 982 6 988 066 6 658 837 65 858 4 802 974 1 989 399 556 609 8 663 230 2 311 541 1 418 676 13 396 417 1 697 580 68 000 569 983 1 780 861 2 827 937 160 362 1 133 761 14 541 370 1 403 572 5 888 1 761 741 10 693 307 270 929 5 713 925 167 298 4 582 488 76 634 9 837 003 2 079 809 7 358 501 3 728 862 41 704 350 373 195 233 8 661 100 6 591 784 438 909 2 639 205 2 148 352 57 294
195 694 6 788 475 466 496 6 980 241 6 827 871 56 380 4 833 719 1 913 648 572 492 8 304 898 2 312 286 1 437 619 8 800 324 1 287 965 68 601 179 703 1 761 839 2 484 950 169 356 800 586 13 897 589 1 226 740 6 193 1 861 453 9 950 368 280 132 5 429 477 168 353 4 560 677 78 928 5 170 172 2 121 907 7 401 218 3 405 222 42 331 279 753 190 828 8 366 708 6 236 564 439 086 2 418 344 2 164 232 60 935
0.01 0.25 0.02 0.25 0.25 0.00 0.18 0.07 0.02 0.30 0.08 0.05 0.32 0.05 0.00 0.01 0.06 0.09 0.01 0.03 0.50 0.04 0.00 0.07 0.36 0.01 0.20 0.01 0.17 0.00 0.19 0.08 0.27 0.12 0.00 0.01 0.01 0.30 0.23 0.02 0.09 0.08 0.00
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, 2015 (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.) 141 389 12 356 12 636 8 547 35 819 212 493 141 765 38 661 5 301 1 291 740 269 204 11 740 25 633 2 403 198 542 36 793 350 704 43 846 124 011 139 244 141 366 44 244 137 683 172 192 54 909 32 521 2 906 72 3 800 7 887 102 840 259 240 105 583 22 319 3 453 165 446 33 826 124 775 28 385 84 323 5 452 142 088 119 285
Eagle Materials, Inc. East West Bancorp, Inc. Eastman Chemical Co. Edwards Lifesciences Corp. EI du Pont de Nemours & Co. Electronic Arts, Inc. Eli Lilly & Co. EMC Corp. Endo International Plc. Enel SpA Eni SpA Entergy Corp. EQT Corp. Equifax, Inc. Essent Group Ltd. Everest Re Group Ltd. Exelon Corp. Expedia, Inc. Express, Inc. F5 Networks, Inc. Fabrinet Ferro Corp. Finisar Corp. Finmeccanica SpA First American Financial Corp. Flexion Therapeutics, Inc. Flotek Industries, Inc. Fluor Corp. Fortinet, Inc. Forum Energy Technologies, Inc. Franklin Street Properties Corp. Freeport-McMoRan, Inc. Freescale Semiconductor Ltd. Genworth MI Canada, Inc. Gigamon, Inc. Gilead Sciences, Inc. GlaxoSmithKline Plc. - ADR Globus Medical, Inc. - A Glu Mobile, Inc. GNC Holdings, Inc. - A Google, Inc. - A Great Western Bancorp, Inc. Greif, Inc. - A
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
USD USD USD USD USD USD USD USD USD EUR EUR USD USD USD USD USD USD USD USD USD USD USD USD EUR USD USD USD USD USD USD USD USD USD CAD USD USD USD USD USD USD USD USD USD
11 258 386 470 305 975 238 1 263 714 2 313 728 15 020 744 12 466 016 951 250 374 723 5 613 758 4 389 719 742 950 1 835 989 230 629 5 445 103 6 629 943 10 308 456 5 309 745 2 402 911 17 254 334 2 556 706 529 739 1 613 645 2 208 024 2 158 219 723 592 44 847 3 139 162 953 104 392 1 067 479 2 600 189 3 932 472 472 368 80 343 18 117 538 1 371 161 3 146 113 187 518 3 745 955 3 270 289 3 489 049 3 918 582
9 673 835 474 718 817 802 1 215 127 1 726 476 14 396 401 11 864 313 934 050 367 253 5 750 314 4 222 009 764 274 1 660 249 233 524 4 933 769 6 377 699 10 415 909 5 159 797 2 216 077 16 124 455 2 591 239 484 472 1 532 412 2 150 821 2 145 295 483 262 48 530 3 049 161 424 96 300 1 105 530 2 512 036 3 862 226 478 609 69 095 16 245 143 1 300 610 2 577 851 124 042 3 408 336 3 480 393 3 604 773 3 806 384
0.35 0.02 0.03 0.04 0.06 0.52 0.43 0.03 0.01 0.21 0.15 0.03 0.06 0.01 0.18 0.23 0.38 0.19 0.08 0.59 0.09 0.02 0.06 0.08 0.08 0.02 0.00 0.00 0.01 0.00 0.04 0.09 0.14 0.02 0.00 0.59 0.05 0.09 0.00 0.12 0.13 0.13 0.14
Merrill Lynch Investment Solutions
39
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at September 30, 2015 (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.) 4 626 16 745 13 856 112 130 56 845 153 713 81 532 21 500 1 085 139 816 296 013 12 828 8 372 17 001 1 320 000 74 015 19 023 230 719 1 540 65 677 72 058 2 477 27 205 193 968 195 460 1 509 457 5 318 24 706 19 341 94 648 21 095 151 324 310 289 25 612 161 873 28 193 6 024 4 500 56 313 14 383 57 730 1 700 55 047
H&E Equipment Services, Inc. Harman International Industries, Inc. Harris Corp. HD Supply Hldg., Inc. HealthEquity, Inc. Home Properties, Inc. Honeywell International, Inc. Hornbeck Offshore Services, Inc. Hortonworks, Inc. Host Hotels & Resorts, Inc. Houghton Mifflin Harcourt Co. Huntington Ingalls Industries, Inc. ICON Plc. ICU Medical, Inc. Imperial Pacific International Hldg. Ltd. INC Research Holdings, Inc. - A Infinera Corp. Infraestructura Energetica Nova Integra LifeSciences Hldg. Corp. Integrated Device Technology, Inc. InterActiveCorp Intercontinental Exchange, Inc. International Business Machines Corp. International Paper Co. Interpublic Group of Cos, Inc. Intesa Sanpaolo SpA Intra-Cellular Therapies, Inc. Intuit, Inc. Intuitive Surgical, Inc. Invesco Ltd. Investment Technology Group, Inc. Italcementi SpA Janus Capital Group, Inc. JB Hunt Transport Services, Inc. Johnson & Johnson Juniper Networks, Inc. KeyCorp Keyera Corp. Kirby Corp. KLA-Tencor Corp. Knight Transportation, Inc. Korn/Ferry International Krispy Kreme Doughnuts, Inc.
USD USD USD USD USD USD USD USD USD USD USD USD USD USD HKD USD USD MXN USD USD USD USD USD USD USD EUR USD USD USD USD USD EUR USD USD USD USD USD CAD USD USD USD USD USD
77 259 1 514 503 1 043 910 3 336 604 1 676 927 11 470 477 7 910 506 320 570 26 930 2 293 269 6 536 051 1 505 903 673 887 2 012 064 36 474 3 100 339 396 886 997 201 100 163 1 288 767 4 893 070 585 685 3 991 820 7 548 687 3 931 937 5 623 062 231 333 2 086 813 10 421 919 3 660 468 410 551 1 630 607 4 586 358 1 858 935 15 187 096 774 742 90 947 121 019 3 769 141 701 543 1 476 005 53 344 861 859
77 347 1 607 353 1 013 566 3 209 161 1 679 770 11 490 047 7 720 265 290 895 23 751 2 210 491 6 012 024 1 374 520 594 161 1 861 609 28 784 2 960 600 372 090 939 935 91 707 1 333 243 4 703 226 582 070 3 943 909 7 330 051 3 739 150 5 317 641 212 933 2 192 657 8 888 737 2 955 857 281 407 1 674 796 4 219 930 1 828 697 15 110 845 724 842 78 372 123 350 3 488 590 719 150 1 385 520 56 219 805 338
0.00 0.06 0.04 0.12 0.06 0.42 0.28 0.01 0.00 0.08 0.22 0.05 0.02 0.07 0.00 0.11 0.01 0.03 0.00 0.05 0.17 0.02 0.14 0.27 0.14 0.19 0.01 0.08 0.32 0.11 0.01 0.06 0.15 0.07 0.55 0.03 0.00 0.00 0.13 0.03 0.05 0.00 0.03
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, 2015 (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.) 5 365 7 003 1 534 24 272 2 279 275 504 4 656 471 186 020 39 647 3 240 170 059 99 893 63 906 110 933 31 700 198 397 223 297 70 006 57 963 87 665 16 500 5 816 2 051 225 8 756 68 542 47 992 119 286 9 962 1 821 1 57 574 46 829 381 566 5 161 47 833 27 893 9 893 242 314 10 247 5 561 22 033
Kroger Co. L-3 Communications Hldg., Inc. Lannett Co., Inc. Las Vegas Sands Corp. LaSalle Hotel Properties Legg Mason, Inc. Lennox International, Inc. Level 3 Communications, Inc. Lexmark International, Inc. - A Liberty Global Plc. - A Liberty Interactive Corp. - A Lincoln National Corp. Liquidity Services, Inc. Loblaw Ltd. LogMeIn, Inc. Lundin Mining Corp. LyondellBasell Industries NV - A Macy's, Inc. Madison Square Garden Co. - A Maire Tecnimont SpA Mallinckrodt Plc. Manulife Financial Corp. Maple Leaf Foods, Inc. Marathon Petroleum Corp. Markel Corp. Marriott International, Inc. - A Marvell Technology Group Ltd. Masco Corp. MasterCard, Inc. - A MBIA, Inc. McGraw-Hill Co., Inc. Medical Properties Trust, Inc. Medivation, Inc. Medtronic Plc. Memorial Resource Development Corp. Meredith Corp. Methode Electronics, Inc. MetLife, Inc. Mexichem SAB de CV MGIC Investment Corp. Micron Technology, Inc. MicroStrategy, Inc. - A Minerals Technologies, 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 CAD USD CAD USD USD USD EUR USD CAD CAD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD MXN USD USD USD USD
193 627 714 554 86 604 939 546 67 426 12 913 862 548 582 20 298 8 140 583 1 809 846 100 927 8 274 018 732 604 3 320 927 5 968 576 102 699 17 878 511 11 657 955 5 143 904 173 426 5 436 690 253 276 95 936 96 568 179 754 623 241 616 834 1 221 884 10 686 391 59 663 185 374 12 3 173 933 3 116 775 6 765 327 223 371 1 555 866 1 299 888 24 666 2 245 567 153 236 1 084 889 1 128 085
193 516 731 954 63 692 921 608 64 701 11 463 721 527 664 20 578 5 390 860 1 702 442 84 985 8 071 000 738 209 3 275 141 7 561 193 89 139 16 538 374 11 459 602 5 050 233 160 459 5 605 300 254 017 95 567 95 023 180 418 597 159 620 305 1 208 439 10 750 054 60 569 157 516 11 2 446 895 3 134 733 6 707 930 219 755 1 525 873 1 315 155 24 232 2 243 828 153 500 1 092 570 1 061 109
0.01 0.03 0.00 0.03 0.00 0.42 0.02 0.00 0.20 0.06 0.00 0.29 0.03 0.12 0.27 0.00 0.60 0.42 0.18 0.01 0.20 0.01 0.00 0.00 0.01 0.02 0.02 0.04 0.39 0.00 0.01 0.00 0.09 0.11 0.24 0.01 0.06 0.05 0.00 0.08 0.01 0.04 0.04
Merrill Lynch Investment Solutions
41
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at September 30, 2015 (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.) 25 313 165 721 66 087 9 687 44 910 32 249 1 788 7 780 411 867 54 447 112 833 278 674 114 936 101 773 22 682 19 513 52 652 65 532 65 876 36 000 879 136 22 345 64 703 300 684 43 619 77 416 2 887 29 978 6 381 147 925 7 051 114 165 1 183 15 049 65 619 330 887 55 579 47 909 88 259 120 419 3 192 71 812 6 265
Molson Coors Brewing Co. - B Moncler SpA Monogram Residential Trust, Inc. Monster Worldwide, Inc. Moody's Corp. Murphy USA, Inc. Mylan NV Nautilus, Inc. NetApp, Inc. Netflix, Inc. Newfield Exploration Co. Newmont Mining Corp. NextEra Energy Partners NIKE, Inc. - B Noble Corp. Plc. Noble Energy, Inc. Norfolk Southern Corp. Northrop Grumman Corp. Northstar Realty Finance NorthWestern Corp. NRG Energy, Inc. NuVasive, Inc. Oasis Petroleum, Inc. Olin Corp. Open Text Corp. Open Text Corp. Owens Corning Owens-Illinois, Inc. Pacira Pharmaceuticals, Inc. Pandora Media, Inc. Patterson, Inc. Paylocity Hldg. Corp. PDC Energy, Inc. Pentair Plc. Petroleo Brasileiro S.A. - ADR Petroleo Brasileiro S.A. - ADR - Pref Pfizer, Inc. Pilgrim's Pride Corp. Pioneer Natural Resources Co. Pitney Bowes, Inc. Platform Specialty Products Corp. PolyOne Corp. Potash Corp. of Saskatchewan, Inc.
USD EUR USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD CAD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD
1 833 688 3 172 316 611 635 61 489 4 731 949 1 724 377 88 247 115 515 12 527 835 5 410 758 3 796 745 4 841 934 2 996 030 11 417 119 250 291 626 514 4 109 456 11 304 241 781 201 1 879 200 16 590 919 1 201 672 593 876 5 309 910 1 804 984 3 398 353 124 866 641 579 332 662 2 550 283 334 317 3 394 331 59 822 765 966 422 837 1 890 552 1 809 162 1 002 791 10 208 845 2 351 706 76 304 2 411 493 127 105
2 101 485 2 959 776 615 270 62 191 4 410 162 1 772 083 71 985 116 700 12 191 263 5 622 197 3 712 206 4 478 291 2 505 605 12 515 026 247 461 588 902 4 022 613 10 875 035 813 569 1 937 880 13 055 170 1 077 476 561 622 5 054 498 1 951 950 3 450 720 120 994 621 144 262 259 3 156 719 304 956 3 423 808 62 711 768 101 285 443 1 217 664 1 745 736 995 549 10 735 825 2 390 317 40 379 2 106 964 128 746
0.08 0.11 0.02 0.00 0.16 0.06 0.00 0.00 0.44 0.20 0.14 0.16 0.09 0.45 0.01 0.02 0.15 0.40 0.03 0.07 0.47 0.04 0.02 0.18 0.07 0.13 0.00 0.02 0.01 0.12 0.01 0.12 0.00 0.03 0.01 0.04 0.06 0.04 0.39 0.09 0.00 0.08 0.01
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, 2015 (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.) 5 500 83 745 2 625 4 615 428 96 508 11 190 27 502 529 228 39 322 230 675 9 635 116 246 3 140 148 276 33 928 3 039 13 286 156 584 74 395 17 237 12 661 7 401 27 434 23 531 331 846 36 100 59 876 18 544 62 034 219 32 111 16 628 43 705 1 166 508 96 123 9 3 457 442 175 70 439 177 619 12 772 27 117
Potash Corp. of Saskatchewan, Inc. PPG Industries, Inc. PrairieSky Royalty Ltd. Precision Castparts Corp. PrivateBancorp, Inc. Prosperity Bancshares, Inc. PVH Corp. Q2 Holdings, Inc. QEP Resources, Inc. QLIK Technologies, Inc. QUALCOMM, Inc. Qualys, Inc. Radian Group, Inc. Ralph Lauren Corp. Range Resources Corp. Recordati SpA Regeneron Pharmaceuticals, Inc. Rexnord Corp. Ritchie Bros Auctioneers, Inc. Ritchie Bros Auctioneers, Inc. Robert Half International, Inc. RPC, Inc. Ryman Hospitality Properties Sally Beauty Holdings, Inc. SanDisk Corp. Saras SpA Sealed Air Corp. Sherwin-Williams Co. Signet Jewelers Ltd. Silicon Motion Technology Corp. - ADR Simon Property Group, Inc. Sirius XM Hldg., Inc. Skyworks Solutions, Inc. SM Energy Co. Snam SpA Societa Cattolica di Assicurazioni SCRL Sorin SpA Sotheby's Southwest Airlines Co. Southwestern Energy Co. Sportsman's Warehouse Holdings, Inc. SPX Corp. St Jude Medical, Inc.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
CAD USD CAD USD USD USD USD USD USD USD USD USD USD USD USD EUR USD USD CAD USD USD USD USD USD USD EUR USD USD USD USD USD USD USD USD EUR EUR EUR USD USD USD USD USD USD
111 424 8 080 233 48 688 907 092 16 568 5 244 906 1 099 030 698 180 7 506 338 1 480 159 14 046 535 280 220 1 908 578 365 272 5 273 782 814 256 1 388 203 254 062 4 484 206 2 136 692 909 835 117 233 389 230 699 567 1 312 212 710 918 1 711 907 15 603 242 2 523 866 1 513 783 39 904 123 570 1 590 160 1 433 268 5 712 140 802 123 26 111 171 15 904 288 903 385 2 166 515 151 771 1 843 947
112 527 7 343 599 49 653 1 060 112 16 405 4 739 508 1 140 709 679 849 6 631 227 1 433 287 12 394 168 274 212 1 849 474 371 022 4 762 625 781 302 1 413 560 225 596 4 029 349 1 925 343 881 845 112 050 364 351 651 557 1 278 439 703 804 1 692 368 13 339 175 2 524 395 1 694 149 40 235 120 095 1 400 244 1 400 308 5 981 912 675 973 26 110 555 16 820 337 893 871 2 188 266 152 242 1 710 812
0.00 0.27 0.00 0.04 0.00 0.17 0.04 0.03 0.24 0.05 0.45 0.01 0.07 0.01 0.17 0.03 0.05 0.01 0.15 0.07 0.03 0.00 0.01 0.02 0.05 0.03 0.06 0.48 0.09 0.06 0.00 0.00 0.05 0.05 0.22 0.02 0.00 0.00 0.61 0.03 0.08 0.01 0.06
Merrill Lynch Investment Solutions
43
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at September 30, 2015 (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.) 8 060 107 830 209 53 447 32 838 163 169 36 835 8 435 7 295 62 112 29 800 62 810 85 474 69 181 51 200 18 834 78 507 22 025 55 165 2 265 101 760 17 093 5 732 78 155 218 190 121 792 8 840 40 542 12 875 102 381 2 247 68 987 35 404 164 336 8 656 42 088 198 143 16 048 85 217 125 660 36 589 75 703 39 912
Stamps.com, Inc. Staples, Inc. Starbucks Corp. Starwood Hotels & Resorts Worldwide, Inc. Starwood Waypoint Residential Trust Steel Dynamics, Inc. Steelcase, Inc. - A Steiner Leisure Ltd. Stryker Corp. Summit Materials, Inc. - A Sun Life Financial, Inc. SunOpta, Inc. SunTrust Banks, Inc. Superior Energy Services, Inc. Surge Energy, Inc. Surgical Care Affiliates, Inc. SVB Financial Group Symantec Corp. Take-Two Interactive Software, Inc. Tallgrass Energy GP LP Talmer Bancorp, Inc. Tanger Factory Outlet Centers, Inc. Taro Pharmaceutical Industries Ltd. Taser International, Inc. Terex Corp. Tessera Technologies, Inc. Teva Pharmaceutical Industries Ltd. - ADR Third Point Reinsurance Ltd. Thoratec Corp. Time Warner, Inc. TransForce, Inc. Transocean Ltd. TransUnion Travelers Cos, Inc. Twenty First Century Fox, Inc. - A Twenty First Century Fox, Inc. - B Tyco International Plc. Unione di Banche Italiane SCpA Unipol Gruppo Finanziario SpA United Continental Hldg., Inc. United Technologies Corp. Universal Insurance Hldg., Inc. Valero Energy Corp.
USD USD USD USD USD USD USD USD USD USD CAD USD USD USD CAD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD CAD USD USD USD USD USD USD EUR EUR USD USD USD USD
679 444 1 389 991 11 652 3 839 147 812 535 3 029 122 658 519 537 585 709 893 1 602 037 1 003 543 376 860 3 240 809 984 068 106 117 683 674 9 299 304 500 370 1 578 446 71 923 1 592 214 561 709 816 892 1 907 216 3 988 027 4 146 487 494 497 568 399 808 286 7 667 059 39 848 863 185 939 976 16 786 003 288 710 1 337 652 6 944 751 131 613 420 112 7 145 674 3 254 007 2 042 510 2 406 115
596 521 1 264 846 11 880 3 553 157 782 530 2 803 243 678 132 532 923 686 459 1 165 842 956 658 305 257 3 268 526 873 756 103 110 615 683 9 070 699 428 827 1 584 890 45 006 1 694 304 563 556 819 045 1 721 364 3 914 329 3 947 279 499 106 545 290 814 472 7 038 694 40 039 891 312 889 348 16 356 362 233 539 1 139 322 6 629 865 113 572 373 645 6 666 263 3 256 055 2 236 267 2 398 711
0.02 0.05 0.00 0.13 0.03 0.10 0.03 0.02 0.03 0.04 0.04 0.01 0.12 0.03 0.00 0.02 0.33 0.02 0.06 0.00 0.06 0.02 0.03 0.06 0.14 0.14 0.02 0.02 0.03 0.26 0.00 0.03 0.03 0.59 0.01 0.04 0.24 0.00 0.01 0.24 0.12 0.08 0.09
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, 2015 (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.) 21 417 59 067 34 195 71 910 20 167 127 357 22 574 70 215 15 091 187 821 44 401 5 046 4 390 16 327 3 778 17 961 5 762 51 383 467 497 156 553 544 893 2 603 95 910 17 109 9 766 126 598 1 009 649 80 443 17 964 149 935 28 443 25 380 10 880 114 259 6 497 23 064 204 217
Validus Hldg. Ltd. VeriFone Systems, Inc. Verint Systems, Inc. Verizon Communications, Inc. Vertex Pharmaceuticals, Inc. VF Corp. Viacom, Inc. - B Virgin America, Inc. Visa, Inc. - A VMware, Inc. - A Voya Financial, Inc. VWR Corp. Walgreens Boots Alliance, Inc. WCI Communities, Inc. Web.com Group, Inc. WESCO International, Inc. West Fraser Timber Co. Ltd. Western Digital Corp. Western Union Co. Westlake Chemical Corp. Weyerhaeuser Co. Whirlpool Corp. Whitecap Resources, Inc. Whiting Petroleum Corp. World Duty Free SpA World Wrestling Entertainment, Inc. - A WPX Energy, Inc. WR Berkley Corp. WuXi PharmaTech Cayman, Inc. - ADR Yoox SpA YRC Worldwide, Inc. Yum! Brands, Inc. YY, Inc. - ADR Zeltiq Aesthetics, Inc. Zendesk, Inc. Zions Bancorporation Zoetis, Inc. Total Shares
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 CAD USD USD USD USD USD CAD USD EUR USD USD USD USD EUR USD USD USD USD USD USD USD
943 992 1 580 090 1 439 499 3 173 423 2 078 824 9 240 083 1 026 764 2 327 654 1 028 493 15 148 069 2 019 980 134 241 361 579 417 155 79 694 839 925 219 253 4 057 727 9 350 610 10 753 499 15 821 526 392 537 798 320 296 582 110 116 2 332 077 8 249 584 4 387 881 776 713 4 836 913 570 282 2 058 898 689 344 3 307 540 138 806 631 464 9 276 755 1 269 131 998
965 264 1 637 928 1 475 514 3 128 804 2 100 191 8 687 021 974 068 2 403 459 1 051 239 14 798 417 1 721 427 129 632 364 809 369 480 79 640 834 648 182 225 4 081 866 8 583 245 8 123 535 14 897 375 383 318 754 003 261 254 111 520 2 139 506 6 683 876 4 373 686 776 224 4 502 115 377 154 2 029 131 593 395 3 659 716 128 056 635 183 8 409 656 1 198 163 227
0.04 0.06 0.05 0.11 0.08 0.32 0.04 0.09 0.04 0.54 0.06 0.01 0.01 0.01 0.00 0.03 0.01 0.15 0.31 0.30 0.54 0.01 0.03 0.01 0.00 0.08 0.24 0.16 0.03 0.16 0.01 0.07 0.02 0.13 0.00 0.02 0.31 43.49
45
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at September 30, 2015 (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.) Warrants 1 801 479
Sirius Minerals Plc. Call Strike Price: 18 30/10/2015 (a) Total Warrants
GBP
0 0
27 288 27 288
0.00 0.00
USD
19 255 000 19 255 000
19 527 651 19 527 651
0.71 0.71
USD CAD GBP
66 654 125 893 0 192 547 1 288 579 545
66 654 128 778 1 195 433 1 217 913 599
0.00 0.01 0.00 0.01 44.21
Other transferable securities Investment funds 192 550
Marshall Wace UCITS Funds Plc. – MW Liquid Alpha Fund – C2 (a) Total Investment funds
Shares 26 450 3 900 31 605
Contra Leap Wireless (a) EMERA, Inc. Kenmare Resources (a) Total Shares Total Investments
(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
46
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD) Industrial classification of investments (as a percentage of net assets as at September 30, 2015) Pharmaceuticals Insurance Chemicals Oil & Gas REITS Retail Software Computers Internet Diversified Financial Services Electric Commercial Services Media Healthcare-Products Biotechnology Aerospace/Defense Transportation Banks Airlines Semiconductors Electronics Apparel Telecommunications Equity Fund Building Materials Forest Products & Paper Beverages
% 3.60 3.01 2.72 2.51 1.95 1.90 1.90 1.88 1.88 1.73 1.63 1.62 1.55 1.49 1.36 1.27 1.20 1.15 1.11 1.10 1.07 0.89 0.73 0.71 0.65 0.37 0.34
Geographical classification of investments (as a percentage of net assets as at September 30, 2015) United States Italy Canada Bermuda Ireland Britain Thailand Israel
% 38.57 1.76 1.43 1.00 0.87 0.16 0.09 0.06
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, 2015) (cont.) % Mining 0.27 Food 0.23 Miscellaneous Manufacturing 0.23 Gas 0.22 Packaging & Containers 0.22 Entertainment 0.18 Lodging 0.18 Distribution/Wholesale 0.15 Advertising 0.14 Machinery-Construction & Mining 0.14 Iron/Steel 0.13 Healthcare-Services 0.12 Energy-Alternate Sources 0.10 Environmental Control 0.09 Office/Business Equip 0.09 Home Furnishings 0.07 Coal 0.05 Metal Fabricate/Hardware 0.05 Shipbuilding 0.05 Auto Parts & Equipment 0.04 Leisure Time 0.04 Oil & Gas Services 0.04 Office Furnishings 0.03 Agriculture 0.02 Home Builders 0.01 44.21
Geographical classification of investments (as a percentage of net assets as at September 30, 2015) (cont.) % Taiwan 0.06 Brazil 0.05 China 0.05 Mexico 0.04 Switzerland 0.03 Bahamas 0.02 Netherlands 0.02 44.21
Merrill Lynch Investment Solutions
47
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Underlying Currency nature contract Futures contracts Index EUR Index EUR Index USD
Details
Market
Amsterdam Index DAX Index DJIA Mini Index
NYSE Liffe Amsterdam Eurex Deutschland Chicago Board of Trade Eurex Deutschland ICE Futures Europe Singapore Exchange (was SIMEX) Borsa Italiana Hong Kong Futures Exchange Hong Kong Futures Exchange Singapore Exchange (was SIMEX) Singapore Exchange (was SIMEX) Chicago Mercantile Exchange Singapore Exchange (was SIMEX) ICE Futures US Indices OMX Nordic Exchange Stockholm Chicago Mercantile Exchange Chicago Mercantile Exchange Montreal Exchange Australian Stock Exchange
Index Index Index
EUR GBP USD
Euro Stoxx 50 Index FTSE 100 Index FTSE China Index
Index Index
EUR HKD
FTSE MIB Index H-Shares Index
Index
HKD
Hang Seng Index
Index
SGD
MSCI Singapore Index
Index
USD
MSCI Taiwan Index
Index
USD
Nasdaq 100 E-Mini Index
Index
JPY
Nikkei 225 Index
Index Index
SEK USD
OMX 30 Index Russell 2000 Mini Index
Index
USD
S&P 500 E-Mini Index
Index
USD
S&P MidCap 400 E-Mini Index S&P TSX 60 Index SPI 200 Index
Index Index
CAD AUD
Total Futures contracts
Number of Number of Maturity contracts contracts date bought sold
Unrealised appreciation/ Commitment (depreciation) USD USD
16/10/2015 18/12/2015
43 2
– –
4 043 893 539 121
41 806 0
18/12/2015 18/12/2015 18/12/2015
– 26 –
4 – 164
323 440 897 085 14 951 096
7 634 11 667 (158 791)
29/10/2015 18/12/2015
– 15
356 –
3 277 870 1 778 102
11 634 40 855
29/10/2015
13
–
786 453
20 318
29/10/2015
–
38
5 097 361
43 413
29/10/2015
–
7
307 687
3 242
29/10/2015
286
–
8 622 900
65 660
18/12/2015
–
110
9 158 600
244 078
10/12/2015 16/10/2015
– –
49 24
3 543 105 405 053
83 986 7 198
18/12/2015
–
231
25 315 290
941 130
18/12/2015
–
144
13 742 640
(28 299)
18/12/2015 17/12/2015
– –
25 19
3 407 250 2 210 785
3 159 (53 092)
17/12/2015
–
71
6 241 196 104 648 927
31 875 1 317 473
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, 2015 (cont.) (expressed in USD)
Purchase Sale Forward foreign exchange contracts (cont.) EUR 1 856 200 000 USD GBP 237 800 000 USD USD 1 013 697 EUR USD 2 764 946 GBP USD 45 129 805 CAD USD 88 388 888 EUR USD 1 543 020 GBP KRW 20 000 000 000 USD TWD 1 480 000 000 USD USD 6 903 958 CNH USD 10 082 736 TWD Total forward foreign exchange contracts
2 080 894 813 365 616 646 900 000 1 800 000 60 000 000 78 000 000 1 000 000 16 963 868 45 391 811 45 000 000 330 000 000
Maturity date
Counterparty
02/10/2015 02/10/2015 02/10/2015 02/10/2015 16/12/2015 16/12/2015 16/12/2015 16/03/2016 16/03/2016 16/03/2016 16/03/2016
State Street Bank London State Street Bank London State Street Bank London State Street Bank London State Street Bank London State Street Bank London State Street Bank London Morgan Stanley Co., Inc. Morgan Stanley Co., Inc. Morgan Stanley Co., Inc. Morgan Stanley Co., Inc.
Unrealised appreciation/ (depreciation) USD (8 912 343) (5 409 126) 9 072 38 396 391 697 1 210 507 28 730 (149 808) (341 326) (52 141) 37 696 (13 148 646)
The maximum individual counterparty exposure for OTC Derivatives as at September 30, 2015 is 1.11% 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 seven counterparties (Credit Suisse Securities (Europe) Limited, Deutsche Bank AG, Goldman Sachs Bank USA, JP Morgan Securities Ltd., Merrill Lynch International Ltd., Morgan Stanley & Co. International Plc. and Morgan Stanley Capital Services Inc..) with the following details: 1) Credit Suisse Securities (Europe) Limited Commitment of USD 97 199 539 for the short portfolio composed of 35 equities Commitment of USD 232 110 024 for the long portfolio composed of 45 equities Market value of USD (4 980 649) detailed as follows: – unrealised appreciation of short portfolio: USD 5 569 639 – unrealised depreciation of long portfolio: USD (13 602 717) – realised result: USD 3 052 429 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
49
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD) The below table is composed of long and short positions:
Industrial sector Airlines Auto Manufacturers Auto Parts&Equipment Banks Banks Basic Materials Chemicals Commercial Services Commercial Services Communications Communications Consumer, Cyclical Consumer, Cyclical Consumer, Non-cyclical Consumer, Non-cyclical Diversified Finan Serv Financial Financial Food Food Holding Companies-Divers Industrial Industrial Insurance Iron/Steel Lodging Media Mining Oil&Gas Services Oil&Gas Packaging&Containers Pharmaceuticals Technology Telecommunications Utilities Utilities 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
Long/Short Short Short Long Long Short Short Short Long Short Long Short Long Short Long Short Long Long Short Long Short Short Long Short Long Short Long Long Short Long Long Long Short Long Long Long Short Long
Commitment USD 569 042 4 252 113 16 224 446 12 382 131 30 527 672 1 282 276 154 900 9 549 284 237 583 15 585 743 1 357 495 21 627 247 11 756 201 29 715 949 6 853 674 5 524 707 28 376 615 9 940 213 496 381 8 836 470 1 127 998 16 373 077 15 165 777 12 342 491 6 629 2 805 392 4 300 583 1 071 716 332 667 4 283 383 1 463 675 368 064 3 743 961 16 583 840 29 518 286 3 691 716 880 166 329 309 563
Unrealised appreciation/ (depreciation) USD 1 539 1 139 669 (1 144 148) (525 624) 3 277 783 112 478 14 804 (50 372) 81 450 (855 088) 223 255 (142 395) (208 865) (981 652) (68 324) (830 470) (1 568 869) 246 160 17 257 620 654 59 543 (1 100 674) 70 148 (87 941) (509) (208 468) 91 795 41 071 8 613 (1 049 089) (92 266) (3 336) (129 225) (1 122 427) (3 768 792) (37 881) (62 882) (8 033 078)
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, 2015 (cont.) (expressed in USD) 2) Deutsche Bank AG Commitment of USD 1 102 528 589 for the short portfolio composed of 1 derivative and 540 equities Commitment of USD 1 136 257 876 for the long portfolio composed of 576 equities Market value of USD 30 482 471 detailed as follows: – unrealised appreciation of short portfolio: USD 86 115 224 – unrealised depreciation of long portfolio: USD (61 122 888) – realised result: USD 5 490 135 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 Future Index - Diversified Agriculture Agriculture Airlines Airlines Apparel Apparel Auto Manufacturers Auto Manufacturers Auto Parts&Equipment Auto Parts&Equipment Banks Banks Basic Materials Basic Materials Beverages Beverages Biotechnology Building Materials Building Materials (a) Chemicals Chemicals Coal Commercial Services Commercial Services Communications Communications Computers Computers Consumer, Cyclical (a) Consumer, Cyclical Consumer, Non-cyclical
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
Long/Short Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Long Short Long Short Short Long Short Long Short Long Short Long Short Long
(a) A portion of securities inside these contracts for difference swap 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
Commitment USD 638 961 369 365 7 993 622 1 292 680 3 639 078 380 978 2 271 447 31 740 284 51 914 804 3 574 300 38 667 259 39 816 776 40 683 647 16 764 594 44 219 673 3 031 083 1 132 526 393 258 21 758 074 1 108 902 22 471 671 5 521 279 682 669 16 914 450 2 950 759 90 829 991 35 646 744 14 622 119 7 524 920 69 423 630 109 490 404 86 657 363
Unrealised appreciation/ (depreciation) USD 17 213 (16 288) 776 341 (15 625) (37 707) 3 397 83 698 (2 055 419) 7 898 890 (68 178) 2 890 414 (5 645 834) 5 009 507 (1 771 373) 4 427 071 275 758 55 082 (2 132) (3 020 436) (80 245) (1 917 375) 689 183 560 418 274 849 398 593 (1 965 850) 1 519 775 256 381 (52 429) (4 508 003) 1 937 929 785 649
Merrill Lynch Investment Solutions
51
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Industrial sector Consumer, Non-cyclical Cosmetics/Personal Care Cosmetics/Personal Care Distribution/Wholesale Diversified Finan Serv Diversified Finan Serv Diversified Diversified Electrical Compo&Equip Electric Electric Electronics Electronics Energy-Alternate Sources Engineering&Construction Engineering&Construction Entertainment (a) Environmental Control (a) Financial (a) Financial (a) Food Food Forest Products&Paper Forest Products&Paper Gas Gas Healthcare-Products Healthcare-Products Healthcare-Services Healthcare-Services Holding Companies-Divers Home Builders Home Furnishings Industrial (a) Industrial Insurance Insurance Internet Internet Investment Companies Iron/Steel Leisure Time Lodging Machinery-Constr&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 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 Long Short Long Short Long Long Short Short Short Long Short Long Short Long Short Long Short Long Short Long Short Short Long Long Long Short Long Short Long Short Long Short Long Short Long
Commitment USD 68 364 527 4 138 019 1 184 920 39 695 540 11 743 061 22 031 944 2 030 587 15 707 005 272 713 1 471 556 2 511 019 29 534 078 16 352 541 13 956 13 856 932 15 267 642 25 026 206 3 613 145 635 553 98 573 195 694 477 19 201 883 907 162 301 799 5 678 309 8 408 541 8 419 385 4 653 906 5 956 337 220 694 4 367 981 18 325 992 592 475 86 590 162 108 940 314 22 113 859 3 332 343 62 643 852 4 006 900 3 057 696 38 347 517 4 941 999 4 286 242 16 523 761
Unrealised appreciation/ (depreciation) USD 3 070 229 (853 823) (19 033) 8 173 478 (1 485 050) 1 814 003 45 692 1 636 914 6 557 10 815 266 612 (3 209 222) 2 186 191 (30) (540 297) 2 053 449 3 005 132 77 (8 029 115) 4 597 534 (34 199) 1 167 813 (22 732) 7 159 (174 494) 398 245 (1 303 085) (24 357) (15 128) 703 305 394 (1 119 509) (2 008) (4 847 523) 5 130 779 (1 950 105) 29 910 (2 958 649) 323 596 (54 311) 8 004 050 109 009 927 362 (2 101 674)
(a) A portion of securities inside these contracts for difference swap 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
52
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Industrial sector Machinery-Constr&Mining Machinery-Diversified Machinery-Diversified Media Media Metal Fabricate/Hardware Mining (a) Mining Miscellaneous Manufacturing Office/Business Equip Office/Business Equip Oil&Gas Services Oil&Gas (a) Oil&Gas Packaging&Containers Pharmaceuticals Pharmaceuticals Private Equity Real Estate (a) Real Estate REITS REITS Retail Retail Semiconductors Semiconductors Shipbuilding Software Software Technology Technology Telecommunications Telecommunications Toys/Games/Hobbies Toys/Games/Hobbies Transportation Transportation (a) Utilities Utilities 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
Long/Short Short Long Short Long Short Short Long Short Long Long Short Short Long Short Long Long Short Long Long Short Long Short Long Short Long Short Short Long Short Long Short Long Short Long Short Long Short Long Short Long
(a) A portion of securities inside these contracts for difference swap 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
Commitment USD 1 320 916 1 600 334 1 772 522 979 756 226 649 149 944 731 795 52 093 058 1 259 554 1 449 441 16 348 977 970 740 14 476 006 37 052 594 6 308 677 23 411 277 20 204 278 5 156 598 65 224 723 17 968 640 14 632 015 7 284 503 22 461 896 31 183 880 1 837 505 1 042 700 267 830 9 698 476 865 695 35 955 192 44 622 546 29 800 831 1 905 573 3 566 434 418 737 21 139 999 5 042 839 10 998 355 6 913 002 386 475 2 238 786 465
Unrealised appreciation/ (depreciation) USD 762 151 (130 998) 174 366 55 194 26 742 7 029 (50 138) 5 472 631 (46 565) (172 333) (75 931) 1 139 317 (1 010 737) 3 763 397 (161 562) (1 909 760) 2 655 256 (313 175) (3 081 136) 1 418 892 (361 998) (162 780) (2 362 319) (495 015) (190 022) 143 344 19 411 268 995 192 603 (499 854) 2 015 877 (980 084) 92 985 39 472 (92) (2 107 763) 206 506 (217 237) (390 438) 28 492 24 992 336
Merrill Lynch Investment Solutions
53
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD) 3) Goldman Sachs Bank USA Commitment of USD 996 891 734 for the short portfolio composed of 370 equities Commitment of USD 597 004 for the long portfolio composed of 2 equities Market value of USD 110 533 786 detailed as follows: – unrealised appreciation of short portfolio: USD 90 128 610 – unrealised appreciation of long portfolio: USD 53 771 – realised result: USD 20 351 405 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 Basic Materials Communications Consumer, Cyclical Consumer, Non-cyclical Diversified Electronics Energy-Alternate Sources Engineering&Construction Financial Gas (a) Healthcare-Products Healthcare-Services Home Builders Household Products/Wares Industrial Internet Lodging Media Mining Mining Oil&Gas Pharmaceuticals Retail Technology Telecommunications Transportation Utilities Utilities 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
Long/Short Short Short Short Short Short Short Short Short Short Short Short Short Short Short Short Short Short Short Long Short Short Short Short Short Short Short Long Short
Commitment USD 28 899 216 72 934 163 182 836 975 166 547 888 1 844 572 5 448 855 7 616 386 4 429 564 111 148 709 2 594 842 1 150 249 2 389 234 8 892 862 11 318 690 148 322 845 652 406 265 549 119 259 70 147 70 045 91 402 249 2 514 107 3 150 140 77 602 900 6 511 887 2 553 339 526 857 55 674 803 997 488 738
Unrealised appreciation/ (depreciation) USD 5 718 554 8 532 417 16 116 691 10 281 437 37 318 (696 823) 1 341 587 3 518 007 5 593 462 732 929 1 440 466 57 011 1 154 916 859 835 14 110 391 60 714 43 807 (8 922) 5 275 49 718 15 131 320 359 606 74 374 3 829 501 1 618 723 (18 404) 48 496 189 975 90 182 381
(a) A portion of securities inside these contracts for difference swap 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
54
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD) 4) JP Morgan Securities Ltd. Commitment of USD 804 298 999 for the short portfolio composed of 267 equities Commitment of USD 655 920 177 for the long portfolio composed of 262 equities Market value of USD 31 725 024 detailed as follows: – unrealised appreciation of short portfolio: USD 45 873 204 – unrealised depreciation of long portfolio: USD (20 933 901) – realised result: USD 6 785 721 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 Airlines Auto Manufacturers Auto Manufacturers Auto Parts&Equipment Banks Banks (a) Basic Materials Basic Materials Beverages Biotechnology Biotechnology Building Materials Building Materials Chemicals Chemicals Commercial Services Commercial Services Communications Communications Computers Consumer, Cyclical Consumer, Cyclical Consumer, Non-cyclical Consumer, Non-cyclical Diversified Finan Serv Diversified Finan Serv Diversified Electrical Compo&Equip Electrical Compo&Equip Electric
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 Long Long Short Short Long Short Short Long Short Long Short Short Long Short Long Short Long Short Long Short Long Short Short Long Short Long Short Long Short Long Long Short Short
(a) A portion of securities inside these contracts for difference swap 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
Commitment USD 1 297 357 1 178 464 364 966 1 598 906 4 352 206 13 195 717 1 993 652 26 699 698 44 315 156 24 549 124 51 141 241 2 199 381 906 723 936 041 1 746 338 4 370 732 5 550 769 30 331 691 21 685 812 675 059 84 446 147 9 355 148 7 892 500 77 554 694 54 656 327 65 911 896 132 444 887 1 306 297 225 624 220 667 182 634 1 368 434 23 988 766
Unrealised appreciation/ (depreciation) USD (106 416) (168 395) 10 085 (42 840) (1 194 861) 1 649 876 12 924 (4 126 716) 2 708 292 (1 797 980) 2 803 009 18 994 (168 094) 153 161 (128 560) (59 161) (382 256) 1 697 745 (1 244 604) (3 469) 1 114 840 227 399 738 823 (937 132) (1 010 932) (680 357) (738 794) (27 196) 627 (9 071) 10 782 85 659 3 466 442
Merrill Lynch Investment Solutions
55
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Industrial sector Electronics Energy-Alternate Sources Engineering&Construction Engineering&Construction Financial Financial Food Forest Products&Paper Forest Products&Paper Fund - Equity Gas Hand/Machine Tools Healthcare-Products Healthcare-Products Healthcare-Services Healthcare-Services Holding Companies-Divers Holding Companies-Divers Household Products/Wares Industrial Industrial Insurance Insurance Internet Investment Companies Iron/Steel Machinery-Diversified Machinery-Diversified Media Media Mining Miscellaneous Manufacturing Oil&Gas Services Oil&Gas Services Oil&Gas Oil&Gas Packaging&Containers Pharmaceuticals Pharmaceuticals Real Estate Real Estate REITS Retail Retail Semiconductors
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 Short Long Short Short Long Short Long Short Long Short Long Short Short Long Short Long Short Long Short Short Long Short Long Short Long Short Long Short Long Short Long Long Short Long Short Short Long Short Long
Commitment USD 1 538 081 14 288 676 2 339 835 3 111 674 72 948 216 86 332 987 21 081 156 1 461 109 74 709 250 236 2 138 410 10 965 042 4 127 017 398 048 625 816 17 814 346 1 594 095 4 897 225 12 797 057 35 348 433 73 588 495 3 407 618 15 185 542 3 637 290 1 698 504 9 513 868 200 352 7 413 490 2 214 782 945 338 2 800 910 4 511 791 1 493 188 12 809 706 34 781 187 31 212 356 1 325 763 48 386 779 160 283 1 160 136 13 877 875 200 255 10 370 058 20 261 344 4 528 065
Unrealised appreciation/ (depreciation) USD 193 094 247 826 (35 548) 1 048 858 (1 158 010) 6 830 821 1 475 876 (73 685) 2 176 18 253 30 738 1 100 417 78 332 8 284 8 406 1 616 066 (184 302) (96 945) 1 256 599 (223 861) 5 056 854 (408 688) 339 926 226 944 (316 190) 2 038 422 (47 319) 1 437 670 22 403 (34 389) (109 551) 89 171 (29 527) 1 279 858 (1 625 160) 4 521 731 25 399 (2 708 270) 5 195 91 977 (520 150) 9 254 (651 351) 1 860 943 (896 265)
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, 2015 (cont.) (expressed in USD)
Industrial sector Semiconductors Software Software Technology Technology Telecommunications Telecommunications Transportation Transportation Utilities Utilities Total
Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity
Long/Short Short Long Short Long Short Long Short Long Short Long Short
Commitment USD 16 491 948 1 449 064 4 728 930 18 524 966 8 665 864 7 048 377 20 991 569 15 694 192 1 862 518 46 437 017 19 864 534 1 460 219 176
Unrealised appreciation/ (depreciation) USD 2 043 010 191 104 373 048 (149 850) 531 516 58 493 2 938 193 (1 380 206) (32 796) (2 387 914) (919 401) 24 939 303
5) Merrill Lynch International Ltd. Commitment of USD 108 438 922 for the short portfolio composed of 30 equities Commitment of USD 81 043 222 for the long portfolio composed of 35 equities Market value of USD 5 483 993 detailed as follows: – unrealised appreciation of short portfolio: USD 8 033 412 – unrealised depreciation of long portfolio: USD (3 433 346) – realised result: USD 883 927 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 Apparel Auto Parts&Equipment Basic Materials Beverages Building Materials Commercial Services Communications Communications Computers Consumer, Cyclical Consumer, Cyclical Consumer, Non-cyclical Consumer, Non-cyclical
Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity
Long/Short Long Long Short Short Short Short Long Long Long Long Short Long Long Short Long Short
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Commitment USD 18 114 782 323 669 3 124 005 15 321 307 641 199 2 954 207 2 985 378 2 013 112 1 486 763 12 536 832 912 846 17 322 356 2 459 885 15 572 616 284 304 12 937 239
Unrealised appreciation/ (depreciation) USD (2 452 512) (27 830) 414 016 (216 419) 49 927 594 690 196 599 (106 146) 7 187 424 342 58 349 (356 726) (21 190) 1 468 237 (1 626) 763 201
Merrill Lynch Investment Solutions
57
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Industrial sector Cosmetics/Personal Care Diversified Finan Serv Electrical Compo&Equip Financial Financial Food Household Products/Wares Industrial Industrial Insurance Internet Media Metal Fabricate/Hardware Oil&Gas Pharmaceuticals Real Estate REITS Semiconductors Technology Technology Telecommunications 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
Long/Short Short Long Long Long Short Short Long Long Short Long Long Long Short Short Long Long Long Short Long Short Short Short
Commitment USD 7 430 954 503 885 609 259 1 534 734 451 767 11 035 388 747 873 267 599 20 110 508 3 596 123 1 540 539 433 913 2 583 767 969 935 12 203 395 779 107 732 329 2 209 201 567 385 4 561 775 1 578 667 6 043 541 189 482 144
Unrealised appreciation/ (depreciation) USD (462 488) (38 940) (1 975) 10 483 2 072 2 697 104 (33 372) (57 493) 651 856 53 527 (22 170) (30 506) 1 163 910 (21 150) (732 331) (34 292) (9 703) 284 971 (198 672) 150 675 9 400 425 061 4 600 066
6) Morgan Stanley & Co. International Plc. Commitment of USD 88 504 182 for the short portfolio composed of 42 equities Commitment of USD 34 981 495 for the long portfolio composed of 13 equities Market value of USD 6 308 769 detailed as follows: – unrealised appreciation of short portfolio: USD 7 551 084 – unrealised depreciation of long portfolio: USD (2 188 860) – realised result: USD 946 545 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 Parts&Equipment Banks Basic Materials
Underlying nature Equity Equity Equity Equity Equity
Long/Short Long Short Short Short Short
Commitment USD 5 462 305 – 3 688 483 6 633 077 3 434 619
Unrealised appreciation/ (depreciation) USD 131 792 77 111 161 506 (232 905) 274 520
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, 2015 (cont.) (expressed in USD)
Industrial sector Beverages Biotechnology (a) Chemicals Communications Computers Consumer, Cyclical Consumer, Non-cyclical Diversified Finan Serv Diversified Electric Electronics Environmental Control Financial Forest Products&Paper Industrial Insurance Internet Leisure Time Metal Fabricate/Hardware Mining Oil&Gas Oil&Gas Pharmaceuticals Semiconductors Semiconductors Shipbuilding Technology Telecommunications Telecommunications 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
Long/Short Short Short Long Short Short Short Short Short Short Short Short Long Short Short Short Long Short Long Long Short Long Short Short Long Short Short Long Long Short Short
(a) A portion of securities inside these contracts for difference swap 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
Commitment USD 9 482 156 – 1 218 066 5 096 325 3 194 812 4 206 599 5 069 116 1 489 659 132 141 678 161 2 887 044 5 395 412 16 050 615 133 884 384 080 14 333 836 982 383 1 845 744 2 927 264 1 995 377 474 146 3 884 875 2 114 977 1 218 562 1 138 642 8 581 056 751 110 1 355 050 7 223 403 22 698 123 485 677
Unrealised appreciation/ (depreciation) USD (105 977) 635 281 868 985 049 132 665 148 349 (1 224) 73 425 (73) 458 765 (5 780) (353 534) (78 506) 12 592 286 (2 375 222) 190 855 (72 305) 266 682 807 428 (8 109) 1 132 730 152 543 (66 875) 131 343 2 298 262 (80 833) 87 676 935 742 1 743 5 362 224
Merrill Lynch Investment Solutions
59
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD) 7) Morgan Stanley Capital Services Inc. Commitment of USD 32 158 358 for the short portfolio composed of 6 equities Commitment of USD 15 367 883 for the long portfolio composed of 7 equities Market value of USD 1 593 764 detailed as follows: – unrealised appreciation of short portfolio: USD 3 392 944 – unrealised depreciation of long portfolio: USD (2 592 294) – realised result: USD 793 114 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 Energy-Alternate Sources Financial Financial Industrial Oil & Gas Services Oil&Gas Private Equity Total
Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity
Long/Short Short Short Long Short Short Short Long Short
Commitment USD 16 141 956 311 563 13 721 190 1 263 488 30 766 103 092 1 646 693 14 307 493 47 526 241
Unrealised appreciation/ (depreciation) USD 2 260 336 (4 905) (2 419 643) 40 091 5 323 9 743 (172 651) 1 082 356 800 650
The total market value of the contracts for difference swaps is USD 181 147 158.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
60
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund Schedule of Investments as at September 30, 2015 (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 8 001 000 1 121 905 47 000 750 000 200 000 9 801 000 99 000 3 836 000 7 034 000 11 713 000 12 270 000 1 578 000 3 777 000 11 776 000 758 000 770 000 11 675 000 65 000
Energy Future Intermediate Hldg. Co. LLC (Defaulted) 144A FRN 01/12/2018 Energy Future Intermediate Hldg. Co. LLC (Defaulted) 144A FRN 01/03/2022 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 04/04/2016 Lehman Brothers Hldg., Inc. Escrow FRN 30/12/2016 Lehman Brothers Hldg., Inc. Escrow FRN 30/12/2016 Lehman Brothers Hldg., Inc. Escrow FRN 02/05/2018 Lehman Brothers Hldg., Inc. Escrow FRN 27/09/2027 Lehman Brothers Hldg., Inc. Escrow FRN Perpetual Lehman Brothers Hldg., Inc. Escrow FRN Perpetual Lehman Brothers Hldg., Inc. Escrow FRN Perpetual Lehman Brothers Hldg., Inc. Escrow FRN Perpetual Lehman Brothers Hldg., Inc. Escrow FRN Perpetual Lehman Brothers Hldg., Inc. Escrow FRN Perpetual Lehman Brothers Hldg., Inc. Escrow FRN Perpetual Lehman Brothers Hldg., Inc. Escrow FRN Perpetual Total Bonds
USD
5 160 916
7 777 011
0.95
USD EUR EUR EUR USD USD USD USD USD USD USD USD USD USD USD USD USD
1 109 353 0 0 0 (23) 0 0 (325) 9 65 84 426 (81) (393) 0 0 (2 951) 0 6 350 996
1 070 395 5 640 90 000 26 500 899 980 8 980 347 946 661 653 1 123 819 1 154 177 145 607 346 824 1 068 148 68 755 71 051 1 072 061 5 969 15 944 516
0.13 0.00 0.01 0.00 0.11 0.00 0.04 0.08 0.14 0.14 0.02 0.04 0.13 0.01 0.01 0.13 0.00 1.94
EUR USD JPY USD HKD USD USD JPY USD USD USD USD EUR USD CAD USD USD USD USD JPY USD
12 286 402 12 472 405 916 708 99 16 990 417 4 697 209 13 697 788 1 178 659 539 492 13 204 797 7 391 620 29 539 508 3 990 212 8 229 846 10 616 992 2 543 3 365 235 9 053 204 13 305 519 3 435 271 10 313 904
11 439 455 12 155 551 903 389 156 069 10 240 834 2 075 925 13 451 293 1 480 174 504 457 12 791 705 6 869 432 77 429 540 2 099 391 7 115 888 9 676 231 100 3 372 584 9 090 629 11 287 126 3 427 361 13 412 099
1.39 1.48 0.11 0.02 1.25 0.25 1.64 0.18 0.06 1.56 0.84 9.42 0.26 0.87 1.18 0.00 0.41 1.11 1.37 0.42 1.63
Shares 197 266 457 781 43 600 49 492 6 160 873 575 000 500 000 91 400 15 000 530 808 900 000 1 194 454 273 465 97 342 794 787 22 369 26 147 73 735 8 025 000 177 802 737 500
Akzo Nobel NV Aramark Bandai Namco Holdings, Inc. Bluestem Group, Inc. China Resources Enterprise Ltd. Commercial Vehicle Group, Inc. CommScope Hldg. Co., Inc. Credit Saison Co. Ltd. Criteo S.A. - ADR CSX Corp. Cypress Semiconductor Corp. Dycom Industries, Inc. E.ON SE Edgewell Personal Care Co. Element Financial Corp. EME Reorganization Trust FedEx Corp. FleetCor Technologies, Inc. Globalstar, Inc. Hitachi High-Technologies Corp. Integrated Device Technology, Inc.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
61
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund Schedule of Investments as at September 30, 2015 (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.) 362 568 87 621 163 349 447 350 172 649 550 000 261 842 160 754 200 917 829 190 1 269 590 145 869 465 000 10 702 1 472 000 90 961 147 875 325 786 364 207 237 690 454 994
InterXion Hldg. NV Intrexon Corp. Koninklijke DSM NV Liberty TripAdvisor - A Molson Coors Brewing Co. - B NTT Urban Development Corp. NXP Semiconductors NV Park City Group, Inc. Paypal Hldg., Inc. Sony Corp. Sony Financial Hldg., Inc. Springleaf Hldg., Inc. SunEdison Semiconductor Ltd. Swisscom AG TDC A/S Time Warner Cable, Inc. Union Pacific Corp. West Corp. WhiteWave Foods Co. Yum! Brands, Inc. Zoetis, Inc. Total Shares
USD USD EUR USD USD JPY USD USD USD JPY JPY USD USD CHF DKK USD USD USD USD USD USD
9 140 511 2 304 138 8 618 055 10 901 199 10 476 704 4 500 916 15 836 898 1 839 357 4 800 560 16 970 726 15 621 927 6 452 912 7 566 547 4 737 271 9 846 674 15 307 163 11 587 765 8 525 276 15 711 876 18 859 434 18 034 814 392 868 553
8 795 830 2 496 169 6 729 162 8 884 885 12 840 605 4 513 133 20 424 270 1 522 213 5 586 980 17 977 783 18 594 519 5 713 232 4 390 685 4 770 672 6 781 696 14 616 511 11 712 102 6 537 612 13 100 037 17 024 253 16 785 362 418 776 944
1.07 0.30 0.82 1.08 1.56 0.55 2.49 0.19 0.68 2.19 2.26 0.69 0.53 0.58 0.82 1.78 1.42 0.80 1.59 2.07 2.04 50.96
Piraeus Bank S.A. Call Strike Price 1.734 02/01/2018 Total Warrants
EUR
346 665 346 665
4 906 4 906
0.00 0.00
USD USD
54 968 133 89 131 064
53 755 183 89 585 162
6.54 10.90
144 099 197
143 340 345
17.44
Warrants 545 138
Supranationals, Governments and Local Public Authorities, Debt Instruments 60 000 000 100 000 000
United States Treasury Bill 0.000% 10/12/2015 United States Treasury Bill 0.000% 31/12/2015 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 (a) Motors Liquidation Co. 8.375% 15/07/2033 (a) Total Bonds
USD USD
0 0 0
1 371 1 1 372
0.00 0.00 0.00
AMR Corp. (a) Motors Liquidation Co. - Pref (a) Total Shares Total Investments
USD USD
370 359 0 370 359 544 035 770
797 235 1 797 236 578 865 319
0.10 0.00 0.10 70.44
Shares 711 931 80 923
(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
62
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in EUR) Industrial classification of investments (as a percentage of net assets as at September 30, 2015) Sovereign Engineering & Construction Semiconductors Telecommunications Transportation Retail Commercial Services Diversified Financial Services Insurance Chemicals Home Furnishings Pharmaceuticals Media Food Beverages Electric Software Leisure Time Cosmetics/Personal Care Real Estate Electronics Biotechnology Auto Parts & Equipment Toys/Games/Hobbies Airlines Internet
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
% 17.44 9.42 5.49 5.23 3.39 3.32 3.27 2.91 2.26 2.21 2.19 2.04 1.78 1.59 1.56 1.34 1.26 1.08 0.87 0.55 0.42 0.30 0.25 0.11 0.10 0.06 70.44
Market Eurex Deutschland Chicago Mercantile Exchange Osaka Exchange
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, 2015) United States Netherlands Japan Hong Kong Canada Denmark Switzerland Germany France
Number of Number of Maturity contracts contracts date bought sold
% 54.81 5.77 5.71 1.25 1.18 0.82 0.58 0.26 0.06 70.44
Unrealised appreciation/ Commitment (depreciation) EUR EUR
18/12/2015
–
188
5 811 080
125 260
18/12/2015 10/12/2015
– –
3 850 274
329 160 034 28 929 452 363 900 566
(3 942 588) (27 665) (3 844 993)
Merrill Lynch Investment Solutions
63
Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in EUR)
Purchase Sale Forward foreign exchange contracts AUD 25 944 236 EUR CHF 27 538 308 EUR EUR 2 156 064 AUD EUR 12 789 643 CAD EUR 9 382 398 CHF EUR 9 025 059 DKK EUR 10 550 137 GBP EUR 21 382 570 HKD EUR 50 473 349 JPY EUR 92 484 SEK EUR 690 266 015 USD GBP 79 167 481 EUR SEK 10 233 046 EUR USD 439 951 097 EUR USD 9 531 869 JPY Total forward foreign exchange contracts
Short/ Long Currency Options (cont.) Short USD Long USD Long USD Short USD Long USD Long USD Long USD Long USD Long USD Short GBP Long GBP Short GBP Long GBP Long USD Long USD Long USD Long USD Short USD Long USD Long USD Short USD Long USD
16 170 255 25 303 361 3 465 789 19 000 000 10 230 730 67 300 000 7 795 893 186 000 000 6 835 000 000 873 903 778 565 655 108 482 106 1 089 782 392 243 930 1 150 000 000
Description American Airlines Group, Inc. American Airlines Group, Inc. Avago Technologies Ltd. Delta Air Lines, Inc. Delta Air Lines, Inc. Ebay, Inc. Ebay, Inc. FedEx Corp. iShares MSCI Emerging Markets ETF Lloyds Banking Group Plc. Lloyds Banking Group Plc. Lloyds Banking Group Plc. Lloyds Banking Group Plc. Macy's, Inc. Molson Coors Brewing Co. NXP Semiconductors NV Paypal Hldg., Inc. S+P 500 Index S+P 500 Index S+P 500 Index S+P 500 Index S+P 500 Index
Maturity date
Counterparty
16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015
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 EUR
Call Put Call Call Call Call Call Call Put Put Put Put Put Call Call Call Call Put Put Put Put Put
46.000 40.000 120.000 60.000 50.000 50.000 50.000 145.000 33.000 0.620 0.720 0.640 0.740 75.000 70.000 87.500 35.000 1 750.000 1 850.000 1 900.000 1 750.000 1 850.000
16/10/2015 16/10/2015 15/01/2016 18/12/2015 18/12/2015 15/01/2016 15/01/2016 15/01/2016 16/10/2015 20/11/2015 20/11/2015 18/12/2015 18/12/2015 15/01/2016 16/10/2015 15/01/2016 16/10/2015 16/10/2015 16/10/2015 16/10/2015 20/11/2015 20/11/2015
(1 956) 1 956 1 451 (919) 1 077 53 200 231 000 2 605 5 297 (1 722) 1 722 (2 583) 2 583 936 1 050 1 687 2 149 (141) 141 564 (141) 141
(7 009) 343 450 1 572 865 (16 466) 95 519 355 639 1 544 222 2 023 324 441 318 (11 684) 40 893 (35 051) 105 154 21 802 1 279 284 947 592 21 177 (46 737) 217 263 1 558 738 (236 211) 488 842
Unrealised appreciation/ (depreciation) EUR 66 341 (17 972) (12 920) 114 108 (11 352) (1 057) (12 215) (91 272) (652 597) (909) (6 330 001) (1 221 168) 3 812 1 387 846 (73 698) (6 853 054)
Commitment EUR 8 060 563* – – 4 939 756* – – – – – 1 448 787 – 2 243 283 – – – – – 22 105 271 – – 22 105 271 –
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
64
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in EUR)
Short/ Long Currency Options (cont.) Long USD Long USD Long USD Long USD Total Options
Description Starwood Hotels & Resorts Worldwide, Inc. Time Warner, Inc. Time Warner, Inc. Yum! Brands, Inc.
Put/ Call
Strike Price
Maturity date
Quantity
Call Call Call Call
75.000 70.000 72.500 87.500
16/10/2015 16/10/2015 15/01/2016 15/01/2016
883 1 335 1 335 711
Market value EUR
Commitment EUR
26 896 126 773 295 404 166 882 11 319 879
– – – – 60 902 931
* The commitment on short call positions is unlimited.
Goldman Sachs International, Morgan Stanley and Co. and Merrill Lynch Professional Clearing are the counterparties to these options. The maximum individual counterparty exposure for OTC Derivatives as at September 30, 2015 is 1.34% 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 four counterparties (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. No commitment Market value of EUR 54 540 detailed as follows: – realised result: EUR 54 540 corresponding to the realised gain on securities which is still held at the counterparty (monthly reset) 2) Barclays Bank Plc. No commitment Market value of EUR 42 023 detailed as follows: – realised result: EUR 42 023 corresponding to the realised gain on securities which is still held at the counterparty (monthly reset) 3) Credit Suisse Securities (Europe) Limited No commitment Market value of EUR 14 detailed as follows: – realised result: EUR 14 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
65
Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in EUR) 4) Goldman Sachs International Commitment of EUR 10 480 435 for the short portfolio composed of 1 equity Market value of EUR 4 717 374 detailed as follows: – unrealised appreciation of short portfolio: EUR 4 717 373 – realised result: EUR 1 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 Internet Total
Underlying nature Equity
Long/Short Short
Commitment EUR 10 480 435 10 480 435
Unrealised appreciation/ (depreciation) EUR 4 717 373 4 717 373
5) JPMorgan Chase Bank NA Commitment of EUR 7 064 716 for the long portfolio composed of 1 equity Market value of EUR (4 250 836) detailed as follows: – unrealised appreciation of long portfolio: EUR 395 557 – realised result: EUR (4 646 393) 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 Pharmaceuticals Total
Underlying nature Equity
Long/Short Long
Commitment EUR 7 064 716 7 064 716
Unrealised appreciation/ (depreciation) EUR 395 557 395 557
6) Morgan Stanley Capital Services Inc. Commitment of EUR 25 612 711 for the short portfolio composed of 1 derivative and 4 equities Commitment of EUR 280 373 546 for the long portfolio composed of 14 equities Market value of EUR (64 111 952) detailed as follows: – unrealised depreciation of short portfolio: EUR (108 559) – unrealised depreciation of long portfolio: EUR (30 836 871) – realised result: EUR (33 166 522) 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
66
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in EUR) The below table is composed of long and short positions:
Industrial sector Swap Index - Diversified Airlines Beverages Chemicals Commercial Services Diversified Financial Services Diversified Financial Services Food Healthcare-Products Lodging Media Pharmaceuticals Pharmaceuticals Semiconductors Telecommunications Total
Underlying nature Derivatives Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity
Long/Short Short Long Long Long Long Long Short Long Long Long Long Long Short Long Short
Commitment EUR 6 088 777 8 588 590 25 523 182 16 560 776 14 325 457 9 427 039 1 358 925 27 663 893 40 096 320 17 937 017 15 747 233 83 770 773 8 516 476 20 733 266 9 648 533 305 986 257
Unrealised appreciation/ (depreciation) EUR (192 669) (1 315 949) 985 070 (1 242 425) (4 106 858) (1 272 400) 19 660 4 839 492 (6 287 466) (3 516 626) (2 780 188) (15 543 582) (16 266) (595 939) 80 716 (30 945 430)
7) UBS AG Commitment of EUR 2 300 244 for the long portfolio composed of 1 equity Market value of EUR (4 976 333) detailed as follows: – unrealised depreciation of long portfolio: EUR (4 332 287) – realised result: EUR (644 046) 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 Oil&Gas Total
Underlying nature Equity
Long/Short Long
The total market value of the contracts for difference swaps is EUR (68 525 170).
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Commitment EUR 2 300 244 2 300 244
Unrealised appreciation/ (depreciation) EUR (4 332 287) (4 332 287)
67
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – CCI Healthcare Long-Short UCITS Fund Schedule of Investments as at September 30, 2015 (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.) 187 582 65 429 48 326 45 172 8 684 59 309 63 690 237 538 58 150 321 421 112 683 34 067 31 787 185 573 185 223 86 708 61 143 64 459 32 455 77 683 263 882 160 882 67 737 50 167 372 463 351 122 24 004 307 646 358 989 69 867 272 534 75 970 87 308 42 320 98 367 214 897 59 724
Alere, Inc. Alexion Pharmaceuticals, Inc. Allegran Plc. Amgen, Inc. Biogen, Inc. BioMarin Pharmaceutical, Inc. Bluebird Bio, Inc. Brookdale Senior Living, Inc. Celgene Corp. Celldex Therapeutics, Inc. Cigna Corp. Danaher Corp. DexCom, Inc. Eli Lilly & Co. GNC Hldg., Inc. - A HCA Hldg., Inc. Incyte Corp. Intercept Pharmaceuticals, Inc. Intuitive Surgical, Inc. Jazz Pharmaceuticals Plc. LDR Hldg. Corp. Mylan NV Novartis AG - ADR Puma Biotechnology, Inc. Relypsa, Inc. Sangamo BioSciences, Inc. Shire Plc. - ADR Spectranetics Corp. Tenet Healthcare Corp. TESARO, Inc. Teva Pharmaceutical Industries Ltd. - ADR United Therapeutics Corp. Universal Health Services, Inc. - B Valeant Pharmaceuticals International, Inc. Vertex Pharmaceuticals, Inc. Wright Medical Group, Inc. Zoetis, Inc. Total Shares Exchange Traded Notes 105 737 iPATH S&P 500 VIX Short-Term Futures ETN Total Exchange Traded Notes 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 USD USD USD USD USD USD USD USD USD USD
9 909 860 12 003 507 14 289 085 7 108 309 2 519 338 7 483 088 9 192 485 7 311 840 7 369 664 6 529 495 16 158 152 3 031 300 3 003 877 15 764 033 8 871 880 7 246 085 7 024 110 13 849 884 16 929 782 13 452 225 10 508 095 9 151 626 6 777 229 7 052 483 11 935 179 4 627 195 6 091 085 7 105 457 17 770 450 3 826 572 17 909 139 12 457 717 11 943 363 9 189 704 12 022 121 5 687 785 2 895 991 345 999 190
9 032 073 10 232 441 13 135 490 6 248 191 2 534 078 6 246 424 5 448 680 5 453 872 6 290 086 3 387 777 15 214 459 2 902 849 2 729 232 15 530 604 7 486 714 6 707 731 6 745 907 10 691 170 14 915 669 10 317 079 9 111 845 6 477 109 6 226 385 3 780 585 6 894 290 1 980 328 4 926 341 3 627 146 13 253 874 2 801 667 15 387 270 9 970 303 10 896 912 7 549 042 10 243 939 4 517 135 2 459 434 281 354 131
1.80 2.04 2.61 1.24 0.50 1.24 1.08 1.09 1.25 0.67 3.03 0.58 0.54 3.09 1.49 1.33 1.34 2.13 2.97 2.05 1.81 1.29 1.24 0.75 1.37 0.39 0.98 0.72 2.64 0.56 3.06 1.98 2.17 1.50 2.04 0.90 0.49 55.96
USD
2 653 422 2 653 422 348 652 612
2 706 867 2 706 867 284 060 998
0.54 0.54 56.50
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
68
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – CCI Healthcare Long-Short UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD) Industrial classification of investments (as a percentage of net assets as at September 30, 2015) Pharmaceuticals Biotechnology Healthcare-Products Healthcare-Services Retail Diversified Financial Services
Purchase Sale Forward foreign exchange contracts EUR 225 052 597 USD GBP 22 631 495 USD USD 13 136 321 EUR USD 1 963 274 GBP Total forward foreign exchange contracts
Short/ Long Currency Options Long USD Long USD Long USD Long USD Total Options
Description Agilent Technologies, Inc. PerkinElmer, Inc. Puma Biotechnology, Inc. Waters Corp.
% 18.78 16.65 10.26 8.78 1.49 0.54 56.50
251 925 822 34 496 056 11 737 339 1 290 412
Geographical classification of investments (as a percentage of net assets as at September 30, 2015) United States Israel Ireland Switzerland
Maturity date
Counterparty
30/10/2015 30/10/2015 30/10/2015 30/10/2015
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
40.000 50.000 110.000 130.000
16/10/2015 16/10/2015 16/10/2015 16/10/2015
812 542 542 704
Unrealised appreciation/ (depreciation) USD (605 465) (219 529) 29 020 8 881 (787 093)
Market value USD
Commitment USD
15 428 14 905 13 008 21 120 64 461
– – – – –
Merrill Lynch Professional Clearing is the counterparty to these options. The maximum individual counterparty exposure for OTC Derivatives as at September 30, 2015 is 5.92% of the NAV.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
% 49.17 3.06 3.03 1.24 56.50
Merrill Lynch Investment Solutions
69
Merrill Lynch Investment Solutions – CCI Healthcare Long-Short UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD) Contracts for difference swaps The Sub-Fund Merrill Lynch Investment Solutions – CCI Healthcare Long-Short UCITS Fund entered into contracts for difference swaps with three counterparties (Credit Suisse Securities (Europe) Limited, Merrill Lynch International Ltd. and Morgan Stanley Capital Services Inc..) with the following details: 1) Credit Suisse Securities (Europe) Limited Commitment of USD 32 613 824 for the short portfolio composed of 7 equities Commitment of USD 10 238 877 for the long portfolio composed of 1 equity Market value of USD 1 704 689 detailed as follows: – unrealised appreciation of short portfolio: USD 1 239 569 – unrealised depreciation of long portfolio: USD (265 495) – realised result: USD 730 615 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 Fund - Equity Healthcare-Services Pharmaceuticals Pharmaceuticals Total
Underlying nature Equity Equity Equity Equity
Long/Short Short Short Long Short
Commitment USD 7 570 947 11 361 381 10 238 877 13 681 496 42 852 701
Unrealised appreciation/ (depreciation) USD 247 156 19 391 (265 495) 973 022 974 074
2) Merrill Lynch International Ltd. Commitment of USD 199 151 334 for the short portfolio composed of 6 derivatives and 3 equities Commitment of USD 27 356 431 for the long portfolio composed of 3 equities Market value of USD 15 564 878 detailed as follows: – unrealised appreciation of short portfolio: USD 9 412 735 – unrealised depreciation of long portfolio: USD (919 506) – realised result: USD 7 071 649 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 - Biotechnology Swap Index - Diversified Biotechnology
Underlying nature Derivatives Derivatives Equity
Long/Short Short Short Long
Commitment USD 41 721 583 132 244 466 13 238 644
Unrealised appreciation/ (depreciation) USD 3 099 451 4 752 566 (373 886)
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
70
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – CCI Healthcare Long-Short UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Industrial sector Electronics Fund - Equity Healthcare-Services Pharmaceuticals Pharmaceuticals Total
Underlying nature Equity Equity Equity Equity Equity
Long/Short Short Short Long Long Short
Commitment USD 2 884 947 20 221 191 10 202 780 3 915 007 2 079 147 226 507 765
Unrealised appreciation/ (depreciation) USD 57 776 1 323 858 (347 889) (197 731) 179 084 8 493 229
3) Morgan Stanley Capital Services Inc. Commitment of USD 27 446 835 for the short portfolio composed of 6 equities Commitment of USD 31 898 539 for the long portfolio composed of 3 equities Market value of USD 2 039 detailed as follows: – unrealised appreciation of short portfolio: USD 959 659 – unrealised depreciation of long portfolio: USD (1 899 508) – realised result: USD 941 888 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 Chemicals Healthcare-Products Healthcare-Services Healthcare-Services Pharmaceuticals Pharmaceuticals Total
Underlying nature Equity Equity Equity Equity Equity Equity
Long/Short Short Long Long Short Long Short
The total market value of the contracts for difference swaps is USD 17 271 606.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Commitment USD 3 888 038 16 156 705 13 222 124 17 119 431 2 519 710 6 439 366 59 345 374
Unrealised appreciation/ (depreciation) USD 6 665 (1 243 403) (562 540) 67 042 (93 565) 885 952 (939 849)
Merrill Lynch Investment Solutions
71
Merrill Lynch Investment Solutions – Theorema European Equity Long-Short UCITS Fund Schedule of Investments as at September 30, 2015 (expressed in EUR)
Quantity
Description
Quotation Currency
Cost EUR
Market value EUR
% of net assets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market Shares 129 997 60 762 238 037 42 467 110 745 13 005 101 782 431 636 87 931 3 258 44 972 50 851 71 322 9 355 1 139 456 21 697 167 436 142 930
Anima Hldg. SpA 144A Assicurazioni Generali SpA Banca Carige SpA Buzzi Unicem SpA Cerved Information Solutions SpA Fiat Chrysler Automobiles NV Infrastrutture Wireless Italiane SpA 144A Intesa Sanpaolo SpA Italcementi SpA Italia Independent Group Moncler SpA Pirelli & C. SpA Recordati SpA T-Mobile US, Inc. Telecom Italia SpA - Rsp Time Warner Cable, Inc. UnipolSai SpA World Duty Free SpA Total Shares
EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR USD EUR USD EUR EUR
680 287 1 010 397 406 259 661 586 740 517 167 832 395 730 1 242 243 874 872 98 875 515 680 788 266 1 046 355 327 534 1 011 637 3 085 530 372 963 1 126 232 14 552 795
1 015 277 994 066 344 678 634 457 729 809 150 988 445 805 1 243 112 871 836 96 046 719 552 761 239 1 471 373 333 637 1 044 881 3 486 488 325 663 1 462 174 16 131 081
1.56 1.53 0.53 0.97 1.12 0.23 0.68 1.91 1.34 0.15 1.11 1.17 2.26 0.51 1.60 5.35 0.50 2.25 24.77
EUR
8 000 087
8 000 096
12.29
8 000 087 22 552 882
8 000 096 24 131 177
12.29 37.06
Supranationals, Governments and Local Public Authorities, Debt Instruments 8 000 000
Italy Buoni Ordinari del Tesoro BOT 0.000% 14/10/2015 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
72
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Theorema European Equity Long-Short UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in EUR) Industrial classification of investments (as a percentage of net assets as at September 30, 2015) Sovereign Media Telecommunications Banks Retail Building Materials Pharmaceuticals Insurance Diversified Financial Services Auto Parts & Equipment Commercial Services Apparel Auto Manufacturers
Underlying Currency nature contract Details Futures contracts Index EUR Euro Stoxx 50 Index Total Futures contracts
Purchase Sale Forward foreign exchange contracts EUR 4 134 GBP GBP 225 424 EUR USD 1 538 181 EUR Total forward foreign exchange contracts
Short/ Long Currency Options Short EUR Long EUR Total Options
Description Euro Stoxx 50 Index Euro Stoxx 50 Index
Geographical classification of investments (as a percentage of net assets as at September 30, 2015) Italy United States United Kingdom
% 12.29 5.35 2.79 2.44 2.40 2.31 2.26 2.03 1.56 1.17 1.12 1.11 0.23 37.06
Number of Number of Maturity contracts contracts date bought sold
Market Eurex Deutschland
18/12/2015
3 028 306 955 1 374 178
18
–
Unrealised appreciation/ Commitment (depreciation) EUR EUR 556 380 556 380
Maturity date
Counterparty
30/10/2015 30/10/2015 30/10/2015
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 Put
3 300.000 2 800.000
20/11/2015 20/11/2015
(72) 72
Market value EUR (29 088) 33 192 4 104
* The commitment on short call positions is unlimited.
Merrill Lynch International Ltd. is the counterparty to these options. The maximum individual counterparty exposure for OTC Derivatives as at September 30, 2015 is 6.53% of the NAV. The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
% 30.97 5.86 0.23 37.06
9 900 9 900
Unrealised appreciation/ (depreciation) EUR 28 (1 224) 3 234 2 038
Commitment EUR 2 376 000* – 2 376 000
Merrill Lynch Investment Solutions
73
Merrill Lynch Investment Solutions – Theorema European Equity Long-Short UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in EUR) Contracts for difference swaps The Sub-Fund Merrill Lynch Investment Solutions – Theorema European Equity Long-Short UCITS Fund entered into contracts for difference swaps with one counterparty (Merrill Lynch International Ltd.) with the following details: 1) Merrill Lynch International Ltd. Commitment of EUR 21 104 020 for the short portfolio composed of 43 equities and 2 derivatives and 4 equities Commitment of EUR 33 303 672 for the long portfolio composed of 45 equities Market value of EUR 1 935 627 detailed as follows: – unrealised appreciation of short portfolio: EUR 1 905 891 – unrealised depreciation of long portfolio: EUR (741 419) – realised result: EUR 771 155 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 - Healthcare-Services Aerospace/Defense Agriculture Airlines Apparel Auto Manufacturers Auto Manufacturers Banks Beverages Beverages Building Materials Chemicals Commercial Services Commercial Services Computers Distribution/Wholesale Diversified Financial Services Diversified Financial Services Electric Electric Engineering&Construction Engineering&Construction Entertainment Food Food Hand/Machine Tools
Underlying nature 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
Long/Short Short Short Long Long Long Short Long Short Short Long Short Long Short Long Short Short Long Long Short Long Short Long Short Long Long Short Short
Commitment EUR 396 236 742 500 5 186 741 775 766 1 814 090 143 294 689 634 689 900 220 014 732 229 509 607 904 399 331 402 480 773 2 348 293 798 715 482 999 4 341 431 2 587 457 1 030 991 558 815 1 529 248 953 323 556 285 2 260 588 995 886 685 059
Unrealised appreciation/ (depreciation) EUR (6 316) 9 044 (146 787) (15 235) 367 607 (1 964) (642 753) 1 760 132 895 (6 981) 3 074 (92 461) 120 271 59 829 297 798 85 696 (14 765) (130 800) 196 581 24 887 31 118 187 775 190 265 (2 416) 45 523 92 709 125 406
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
74
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Theorema European Equity Long-Short UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in EUR)
Industrial sector Healthcare-Products Healthcare-Services Household Products/Wares Insurance Insurance Machinery-Diversified Media Miscellaneous Manufacturing Miscellaneous Manufacturing Oil&Gas Packaging & Containers Pharmaceuticals Retail Retail Semiconductors Telecommunications 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 Long Short Long Long Short Short Long Short Long Short Long Long Long Short Long Long Short Long
The total market value of the contracts for difference swaps is EUR 1 935 627.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Commitment EUR 876 861 208 619 2 421 326 724 578 964 727 326 264 893 301 1 166 050 182 464 359 662 391 320 2 386 755 439 554 2 003 777 625 087 3 205 562 4 114 420 371 690 54 407 692
Unrealised appreciation/ (depreciation) EUR (65 457) 8 051 (15 474) (27 548) 26 265 50 619 45 097 168 527 (55 313) 33 130 (49 361) (10 014) (7 318) 93 260 (116 107) (59 469) 247 702 (13 878) 1 164 472
75
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund Schedule of Investments as at September 30, 2015 (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.) 30 300 266 000 57 928 952 250 129 417 1 818 536 364 000 593 000 626 374 3 090 174 815 895 67 680 69 300 17 686 409 688 162 300 104 841 21 387 17 007 66 535 631 000 98 400 1 983 389 208 713 2 831 432 172 485 63 800 788 12 800 522 000 206 907 940 745 213 712 1 387 478 1 913 27 200 165 216 97 899 89 934 39 100 893 653 42 500
Alps Electric Co. Ltd. Ascendas Real Estate Investment Trust Bandai Namco Holdings, Inc. Bank Mandiri Persero Tbk PT Blue Bird Tbk PT China Everbright Water Ltd. China Forestry Hldg. Co. Ltd. (a) China Longyuan Power Group Corp. Ltd. - H China Resources Enterprise Ltd. China Telecom Corp. Ltd. - H China Unicom Hong Kong Ltd. CK Hutchison Hldg. Ltd. Credit Saison Co. Ltd. Electric Power Development Co. Ltd. Fujitsu Ltd. Gudang Garam Tbk PT Hitachi High-Technologies Corp. Homeinns Hotel Group - ADR JD.com, Inc. - ADR Keisei Electric Railway Co. Ltd. Keppel REIT Kirin Hldg. Co. Ltd. Melco Crown Philippines Resorts Corp. NTT Urban Development Corp. Perusahaan Gas Negara Persero Tbk PT Ping An Insurance Group Co. of China Ltd. - H Prada SpA Samsung Electronics Co. Ltd. Seven & I Hldg. Co. Ltd. Shinsei Bank Ltd. Showa Shell Sekiyu KK SIIC Environment Hldg. Ltd. Sinopharm Group Co. Ltd. - H Sinotrans Ltd. - H SK Hldg. Co. Ltd. Sompo Japan Nipponkoa Holdings, Inc. Sony Corp. Sony Financial Hldg., Inc. SouFun Hldg. Ltd. - ADR Square Enix Hldg. Co. Ltd. SSI Group, Inc. Tencent Hldg. Ltd. Total Shares
JPY SGD JPY IDR IDR SGD HKD HKD HKD HKD HKD HKD JPY JPY JPY IDR JPY USD USD JPY SGD JPY PHP JPY IDR HKD HKD KRW JPY JPY JPY SGD HKD HKD KRW JPY JPY JPY USD JPY PHP HKD
791 127 385 303 1 180 945 543 715 55 560 984 379 118 350 596 835 1 750 234 1 578 679 1 003 780 834 280 1 278 780 525 639 1 917 936 509 908 2 144 164 516 675 396 104 723 280 383 300 1 265 095 350 261 1 801 925 614 613 803 383 264 186 726 613 499 805 991 081 1 677 222 575 477 756 305 740 984 401 937 782 086 3 986 169 1 608 991 539 259 890 342 134 803 638 493 38 268 003
760 403 392 163 1 200 265 461 478 52 232 693 181 32 861 570 312 1 041 182 1 332 373 925 204 783 903 1 122 277 482 210 1 588 952 416 840 2 020 944 550 650 397 046 651 476 379 667 1 152 277 141 797 1 712 635 438 054 764 629 219 034 675 382 521 239 956 633 1 456 376 497 876 669 472 580 589 352 789 703 156 3 582 071 1 433 837 531 749 866 012 104 484 635 216 33 850 926
1.51 0.78 2.38 0.91 0.10 1.37 0.07 1.13 2.06 2.64 1.83 1.55 2.22 0.96 3.15 0.83 4.00 1.09 0.79 1.29 0.75 2.28 0.28 3.39 0.87 1.51 0.43 1.34 1.03 1.90 2.89 0.99 1.33 1.15 0.70 1.39 7.10 2.84 1.05 1.72 0.21 1.26 67.07
(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
76
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund Schedule of Investments as at September 30, 2015 (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.) Supranationals, Governments and Local Public Authorities, Debt Instruments 3 000 000 United States Treasury Bill 0.000% 10/12/2015 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
USD
2 651 388
2 687 759
5.33
2 651 388 40 919 391
2 687 759 36 538 685
5.33 72.40
Merrill Lynch Investment Solutions
77
Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in EUR) Industrial classification of investments (as a percentage of net assets as at September 30, 2015) Home Furnishings Insurance Electronics Sovereign Telecommunications Computers Retail Real Estate Internet Oil & Gas Banks Transportation Toys/Games/Hobbies Environmental Control Beverages Diversified Financial Services Software REITS Semiconductors Pharmaceuticals Energy-Alternate Sources Lodging Food Electric Gas Agriculture Apparel Entertainment Forest Products & Paper
Underlying Currency nature contract Details Futures contracts Index HKD H-Shares Index Index HKD Hang Seng Index Index SGD MSCI Taiwan Index Index AUD SPI 200 Index Index JPY Topix Index Total Futures contracts
% 7.10 5.74 5.51 5.33 4.47 3.85 3.82 3.39 3.10 2.89 2.81 2.54 2.38 2.36 2.28 2.22 1.72 1.53 1.34 1.33 1.13 1.09 1.03 0.96 0.87 0.83 0.43 0.28 0.07 72.40
Market Hong Kong Futures Exchange Hong Kong Futures Exchange Singapore Exchange (was SIMEX) Australian Stock Exchange Osaka Exchange
Geographical classification of investments (as a percentage of net assets as at September 30, 2015) Japan China Hong Kong United States Indonesia Singapore South Korea Philippines Italy
Number of Number of Maturity contracts contracts Commitment date bought sold EUR 29/10/2015 29/10/2015 29/10/2015 17/12/2015 10/12/2015
– – – – –
6 15 19 1 31
325 177 1 802 568 748 175 78 750 3 273 040 6 227 710
% 40.05 13.39 5.44 5.33 2.71 2.52 2.04 0.49 0.43 72.40
Unrealised appreciation/ (depreciation) EUR 2 462 73 666 16 696 1 117 66 659 160 600
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
78
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in EUR)
Purchase Sale Forward foreign exchange contracts AUD 103 384 EUR EUR 10 822 072 HKD EUR 22 652 060 JPY EUR 43 404 NZD EUR 549 636 SGD EUR 14 985 848 USD GBP 9 001 EUR JPY 74 229 705 EUR KRW 293 575 000 USD USD 11 871 625 EUR USD 600 000 HKD USD 3 242 803 JPY USD 1 380 587 KRW USD 353 190 PHP USD 1 545 418 SGD USD 150 000 TWD Total forward foreign exchange contracts
Short/ Long Currency Options Short HKD Long HKD Short HKD Long HKD Short JPY Long JPY Total Options
Description China Unicom Hong Kong Ltd. China Unicom Hong Kong Ltd. Hang Seng China Enterprises Index Hang Seng China Enterprises Index Topix Index Topix Index
64 309 93 500 000 3 047 791 055 76 590 880 000 16 820 116 12 333 550 699 250 000 10 582 817 4 650 437 390 000 000 1 660 390 000 16 691 760 2 200 000 4 884 000
Maturity date
Counterparty
16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015
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 Ltd. 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. State Street Bank and Trust Co. Merrill Lynch International Ltd.
Put/ Call
Strike Price
Maturity date
Quantity
Call Call Call Call Put Put
13.580 11.490 14 400.000 13 200.000 1 350.000 1 450.000
30/03/2016 30/03/2016 30/12/2015 30/12/2015 09/10/2015 09/10/2015
(870 000) 870 000 (1 100) 1 100 (220 000) 220 000
Market value EUR (14 610) 41 060 (153) 647 (13 516) 82 600 96 028
* The commitment on short call positions is unlimited.
Bank of America NA, 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, 2015 is 4.05% of the NAV.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Unrealised appreciation/ (depreciation) EUR 392 27 426 (145 483) (197) (2 746) (63 397) (138) 4 541 (2 599) 38 929 (66) (15 817) (15 145) (2 041) 1 757 1 441 (173 143)
Commitment EUR 1 365 854* – 1 831 004* – 2 221 597 – 5 418 455
Merrill Lynch Investment Solutions
79
Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in EUR) Contracts for difference swaps The Sub-Fund Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund entered into contracts for difference swaps with eight counterparties (Bank of America N.A., Citibank NA, Credit Suisse Securities (Europe) Limited, Goldman Sachs International, JPMorgan Chase Bank NA, Macquarie Bank Limited, Morgan Stanley & Co. International Plc. and UBS AG.) with the following details: 1) Bank of America N.A. Commitment of EUR 117 979 for the long portfolio composed of 1 equity Market value of EUR 21 027 detailed as follows: – unrealised depreciation of long portfolio: EUR (10 902) – realised result: EUR 31 929 corresponding to the realised gain on securities which is still held at the counterparty (monthly reset) The below table is composed of long positions:
Industrial sector Diversified Total
Underlying nature Equity
Long/Short Long
Commitment EUR 117 979 117 979
Unrealised appreciation/ (depreciation) EUR (10 902) (10 902)
2) Barclays No commitment Market value of EUR 2 554 detailed as follows: – realised result: EUR 2 554 corresponding to the realised gain on securities which is still held at the counterparty (monthly reset) 3) Citibank NA Commitment of EUR 505 255 for the short portfolio composed of 2 equities Commitment of EUR 560 188 for the long portfolio composed of 2 equities Market value of EUR (29 588) detailed as follows: – unrealised appreciation of short portfolio: EUR 49 224 – unrealised depreciation of long portfolio: EUR (96 124) – realised result: EUR 17 312 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 Diversified Financial Services
Underlying nature Equity Equity
Long/Short Long Short
Commitment EUR 293 120 238 484
Unrealised appreciation/ (depreciation) EUR (19 070) 44 518
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
80
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in EUR)
Industrial sector Home Furnishings Miscellaneous Manufacturing Total
Underlying nature Equity Equity
Long/Short Long Short
Commitment EUR 267 068 266 771 1 065 443
Unrealised appreciation/ (depreciation) EUR (77 054) 4 706 (46 900)
4) Credit Suisse Securities (Europe) Limited Commitment of EUR 1 659 620 for the short portfolio composed of 3 equities Commitment of EUR 1 080 712 for the long portfolio composed of 2 equities Market value of EUR 199 167 detailed as follows: – unrealised appreciation of short portfolio: EUR 109 033 – unrealised appreciation of long portfolio: EUR 14 704 – realised result: EUR 75 430 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 (a) Diversified Financial Services Diversified Financial Services Engineering & Construction Transportation Total
Underlying nature Equity Equity Equity Equity Equity
Long/Short Long Long Short Short Short
Commitment EUR 32 799 1 047 913 607 667 499 830 552 123 2 740 332
Unrealised appreciation/ (depreciation) EUR (332) 15 036 47 705 9 131 52 197 123 737
(a) A portion of securities inside these contracts for difference swap are fair valued. See Notes 2.2.6 and 9.
5) Deutsche Bank AG No commitment Market value of EUR (81) detailed as follows: – realised result: EUR (81) corresponding to the realised gain on securities which is still held at the counterparty (monthly reset) 6) Goldman Sachs International Commitment of EUR 3 605 718 for the short portfolio composed of 7 equities Commitment of EUR 259 311 for the long portfolio composed of 1 equity Market value of EUR 570 893 detailed as follows: – unrealised depreciation of long portfolio: EUR (17 888) – unrealised appreciation of short portfolio: EUR 264 099 – realised result: EUR 324 682 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
81
Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in EUR) The below table is composed of long and short positions:
Industrial sector Computers Computers Diversified Financial Services Food Miscellaneous Manufacturing Oil&Gas Telecommunications Total
Underlying nature Equity Equity Equity Equity Equity Equity Equity
Long/Short Long Short Short Short Short Short Short
Commitment EUR 259 311 532 229 518 781 301 000 319 381 1 415 506 518 821 3 865 029
Unrealised appreciation/ (depreciation) EUR (17 888) (20 786) (10 200) 3 638 40 506 259 892 (8 951) 246 211
7) JPMorgan Chase Bank NA Commitment of EUR 303 818 for the short portfolio composed of 1 derivative Market value of EUR 214 774 detailed as follows: – unrealised appreciation of short portfolio: EUR 41 958 – realised result: EUR 172 816 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 Swap Index - Diversified Total
Underlying nature Derivatives
Long/Short Short
Commitment EUR 303 818 303 818
Unrealised appreciation/ (depreciation) EUR 41 958 41 958
8) Macquarie Bank Limited Commitment of EUR 336 901 for the short portfolio composed of 4 equities Commitment of EUR 253 091 for the long portfolio composed of 1 equity Market value of EUR (1 438) detailed as follows: – unrealised appreciation of short portfolio: EUR 19 384 – unrealised depreciation of long portfolio: EUR (8 235) – realised result: EUR (12 587) 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
82
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in EUR) The below table is composed of long and short positions:
Industrial sector Diversified Financial Services Diversified Financial Services Electric Total
Underlying nature Equity Equity Equity
Long/Short Long Short Short
Commitment EUR 253 091 106 964 229 937 589 992
Unrealised appreciation/ (depreciation) EUR (8 235) 8 784 10 600 11 149
9) Morgan Stanley & Co. International Plc. Commitment of EUR 5 967 558 for the short portfolio composed of 1 derivative and 7 equities Commitment of EUR 1 772 289 for the long portfolio composed of 2 equities Market value of EUR 312 225 detailed as follows: – unrealised appreciation of short portfolio: EUR 110 048 – unrealised appreciation of long portfolio: EUR 91 367 – realised result: EUR 110 810 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 Beverages Diversified Financial Services Diversified Electronics Entertainment Miscellaneous Manufacturing Telecommunications Toys/Games/Hobbies Total
Underlying nature Derivatives Equity Equity Equity Equity Equity Equity Equity Equity
Long/Short Short Long Short Short Short Short Short Short Long
Commitment EUR 804 027 1 057 720 117 565 2 854 384 484 392 772 904 430 724 503 562 714 569 7 739 847
Unrealised appreciation/ (depreciation) EUR (30 997) (9 935) 11 503 158 898 47 871 (27 017) (32 604) (17 606) 101 302 201 415
10) UBS AG Commitment of EUR 761 047 for the short portfolio composed of 3 equities Commitment of EUR 2 237 420 for the long portfolio composed of 6 equities Market value of EUR 124 788 detailed as follows: – unrealised appreciation of short portfolio: EUR 100 214 – unrealised depreciation of long portfolio: EUR (81 924) – realised result: EUR 106 498 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
83
Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in EUR) The below table is composed of long and short positions:
Industrial sector Diversified Financial Services Diversified Financial Services Diversified Electric Retail Telecommunications Transportation (a) Total
Underlying nature Equity Equity Equity Equity Equity Equity Equity
Long/Short Long Short Short Long Long Long Long
Commitment EUR 337 442 339 913 421 134 610 887 620 823 173 489 494 779 2 998 467
Unrealised appreciation/ (depreciation) EUR (48 082) 96 347 3 867 8 530 (40 838) (8 891) 7 357 18 290
(a) A portion of securities inside these contracts for difference swap are fair valued. See Notes 2.2.6 and 9.
The total market value of the contracts for difference swaps is EUR 1 414 321.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
84
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund Schedule of Investments as at September 30, 2015 (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 5 000 000 Inter-American Development Bank Discount Notes 0.000% 06/10/2015 5 000 000 Inter-American Development Bank Discount Notes 0.000% 22/10/2015 5 000 000 Inter-American Development Bank Discount Notes 0.000% 28/10/2015 5 000 000 Inter-American Development Bank Discount Notes 0.000% 04/11/2015 5 000 000 Inter-American Development Bank Discount Notes 0.000% 17/11/2015 5 000 000 Inter-American Development Bank Discount Notes 0.000% 02/12/2015 5 000 000 Inter-American Development Bank Discount Notes 0.000% 07/12/2015 5 000 000 World Bank Discount Notes 0.000% 20/11/2015 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, 2015) Sovereign
Underlying Currency nature contract Details Futures contracts (cont.) 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 HKD Hang Seng Index Index USD MSCI Taiwan Index Index USD Nasdaq 100 E-Mini Index Index JPY Nikkei 225 Index Index SEK OMX 30 Index Index USD Russell 2000 Mini Index
% 47.22 47.22
Market
4 999 986
4 999 980
5.91
USD
4 999 854
4 999 910
5.91
USD
4 999 775
4 999 885
5.90
USD
4 999 622
4 999 695
5.90
USD
4 999 347
4 999 575
5.90
USD
4 998 622
4 999 055
5.90
USD USD
4 998 697 4 998 959
4 998 975 4 999 550
5.90 5.90
39 994 862 39 994 862
39 996 625 39 996 625
47.22 47.22
Geographical classification of investments (as a percentage of net assets as at September 30, 2015) United States
Number of Number of Maturity contracts contracts Commitment date bought sold USD
% 47.22 47.22
Unrealised appreciation/ (depreciation) USD
Euronext Paris Eurex Deutschland Chicago Board of Trade Eurex Deutschland ICE Futures Europe Hong Kong Futures Exchange Singapore Exchange (was SIMEX)
16/10/2015 18/12/2015 18/12/2015 18/12/2015 18/12/2015 29/10/2015 29/10/2015
8 – – – – – 4
– 8 33 28 43 28 –
397 626 2 157 063 2 668 380 966 351 3 912 986 3 755 950 120 600
1 099 42 122 (265) (7 604) 67 594 58 800 360
Chicago Mercantile Exchange Osaka Exchange ICE Futures US Indices OMX Nordic Exchange Stockholm
18/12/2015 10/12/2015 16/10/2015
46 1 4
– – –
3 829 960 144 959 67 533
(95 557) (1 125) (1 494)
18/12/2015
–
8
876 720
5 420
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
USD
Merrill Lynch Investment Solutions
85
Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Underlying Currency nature contract Details Futures contracts (cont.) Index USD S&P 500 E-Mini Index Index CAD S&P TSX 60 Index Index USD SGX CNX Nifty Index Index JPY Topix Index Interest rate AUD 10 Year Australian Treasury Bond Interest rate CAD 10 Year Government of Canada Bond Interest rate JPY 10 Year Japan Government Bond Interest rate JPY 10 Year JGB Mini Interest rate USD 10 Year US Treasury Note Interest rate USD 2 Year US Treasury Note Interest rate EUR 3 Month Euribor Interest rate USD 5 Year US Treasury Note Interest rate USD 90 Day Eurodollar Interest rate GBP 90 Day Sterling Interest rate EUR German Euro BOBL Interest rate EUR German Euro BUND Interest rate GBP Long Gilt Interest rate USD US Long Bond Total Futures contracts
Number of Number of Maturity contracts contracts Commitment date bought sold USD
Market
Unrealised appreciation/ (depreciation) USD
Chicago Mercantile Exchange Montreal Exchange Singapore Exchange (was SIMEX) Osaka Exchange
18/12/2015 17/12/2015 29/10/2015 10/12/2015
5 1 – 37
– – 22 –
477 175 116 858 350 944 4 353 395
1 075 (1 948) (8 498) (52 824)
Australian Stock Exchange
15/12/2015
29
–
1 980 181
23 621
Montreal Exchange
18/12/2015
191
–
20 286 820
(99 779)
Osaka Exchange 14/12/2015 Singapore Exchange (was SIMEX) 11/12/2015
22 16
– –
27 170 594 1 976 576
79 523 3 918
Chicago Board of Trade
21/12/2015
105
–
13 517 109
121 000
Chicago Board of Trade ICE Futures Europe
31/12/2015 13/03/2017
63 356
– –
13 798 969 99 392 820
14 375 68 151
Chicago Board of Trade Chicago Mercantile Exchange ICE Futures Europe Eurex Deutschland Eurex Deutschland ICE Futures Europe Chicago Board of Trade
31/12/2015 13/03/2017 15/03/2017 08/12/2015 08/12/2015 29/12/2015 21/12/2015
428 691 468 405 122 63 6
– – – – – – –
51 580 687 170 901 575 87 532 054 58 343 196 21 276 060 11 341 174 944 063 604 238 378
218 531 344 763 102 570 281 627 318 954 94 183 13 125 1 591 717
Purchase Sale Forward foreign exchange contracts (cont.) EUR 1 672 165 USD GBP 53 598 501 USD USD 31 125 EUR USD 2 331 635 GBP AUD 7 570 000 USD CAD 4 075 000 USD CHF 246 000 USD EUR 4 838 000 USD GBP 3 521 000 USD JPY 61 327 000 USD MXN 13 731 000 USD NOK 3 084 000 USD NZD 986 000 USD
1 871 839 81 697 580 27 762 1 528 279 5 339 954 3 048 129 252 119 5 486 351 5 464 633 511 498 807 940 372 302 619 901
Maturity date
Counterparty
Unrealised appreciation/ (depreciation) USD
30/10/2015 30/10/2015 30/10/2015 30/10/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015
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 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
(3 984) (667 408) 114 21 183 (52 165) 3 450 827 (77 603) (142 538) 354 (1 669) (11 017) 6 898
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
86
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Purchase Sale Forward foreign exchange contracts (cont.) USD 18 974 991 AUD USD 16 329 028 CAD USD 19 414 055 CHF USD 15 133 342 EUR USD 15 016 819 GBP USD 25 502 568 JPY USD 7 240 656 MXN USD 1 257 503 NOK USD 8 133 080 NZD USD 20 334 SEK Total forward foreign exchange contracts
Notional Pay Total return swaps (cont.) 45 543 123 0% 2 496 167 0% 1 205 799 0% 1 037 675 0% 772 945 0% 489 231 0% 477 229 0% 381 770 0% 260 203 0% 8 751 789 0% 3 876 713 0% 2 823 879 0% 2 822 240 0% 1
26 997 000 21 654 000 18 847 000 13 501 000 9 807 000 3 075 685 000 122 756 000 10 361 000 13 024 000 171 000
Receive Morgan Stanley Balanced ex Energy ER Index Morgan Stanley Balanced ex Energy ER Index Morgan Stanley Balanced ex Energy ER Index Morgan Stanley Balanced ex Energy ER Index Morgan Stanley Balanced ex Energy ER Index Morgan Stanley Balanced ex Energy ER Index Morgan Stanley Balanced ex Energy ER Index Morgan Stanley Balanced ex Energy ER Index Morgan Stanley Balanced ex Energy ER Index Morgan Stanley Balanced ex Grains ER Index Morgan Stanley Balanced ex Grains ER Index Morgan Stanley Balanced ex Grains ER Index Morgan Stanley Balanced ex Grains ER Index
Maturity date
Counterparty
16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015
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
Currency
Maturity date1
Unrealised appreciation/ (depreciation) USD 117 072 113 348 34 915 39 603 193 252 (167 895) 32 540 43 732 (146 253) (98) (663 342)
Unrealised appreciation/ (depreciation) Commitment Counterparty USD USD
USD
30/09/2015
Morgan Stanley
(239 060)
–
USD
30/09/2015
Morgan Stanley
6 024
–
USD
30/09/2015
Morgan Stanley
(8 386)
–
USD
30/09/2015
Morgan Stanley
(2 293)
–
USD
30/09/2015
Morgan Stanley
(4 647)
–
USD
30/09/2015
Morgan Stanley
1 350
–
USD
30/09/2015
Morgan Stanley
590
–
USD
30/09/2015
Morgan Stanley
(2 144)
–
USD
30/09/2015
Morgan Stanley
(225)
–
USD
30/09/2015
Morgan Stanley
(259 623)
–
USD
30/09/2015
Morgan Stanley
(39 573)
–
USD
30/09/2015
Morgan Stanley
(25 029)
–
USD
30/09/2015
Morgan Stanley
(69 914)
–
ue to operational timing constraint, total return swaps with a maturity date as at September 30, 2015 were maintained in the Schedule of Investments of the D Sub-Fund for an additional day. The maturity of these swaps has been rolled-forward to October 31, 2015.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Merrill Lynch Investment Solutions
87
Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Notional Pay Total return swaps (cont.) 2 539 606 0% 2 312 433 0% 1 966 945 0% 1 935 829 0% 1 639 641 0% 1 390 121 0% 1 361 908 0% 1 165 528 0% 881 915 0% 809 206 0% 354 607 0% 290 993 0% 36 822 225 0% 2 667 280 0% 1 916 590 0% 532 177 0% 378 736 0% 158 734 0% 137 007 0% 121 817 0% 51 203 010 0% 2 343 226 0% 1
Receive Morgan Stanley Balanced ex Grains ER Index Morgan Stanley Balanced ex Grains ER Index Morgan Stanley Balanced ex Grains ER Index Morgan Stanley Balanced ex Grains ER Index Morgan Stanley Balanced ex Grains ER Index Morgan Stanley Balanced ex Grains ER Index Morgan Stanley Balanced ex Grains ER Index Morgan Stanley Balanced ex Grains ER Index Morgan Stanley Balanced ex Grains ER Index Morgan Stanley Balanced ex Grains ER Index Morgan Stanley Balanced ex Grains ER Index Morgan Stanley Balanced ex Grains ER Index Morgan Stanley Balanced ex Industrial Metals ER Index Morgan Stanley Balanced ex Industrial Metals ER Index Morgan Stanley Balanced ex Industrial Metals ER Index Morgan Stanley Balanced ex Industrial Metals ER Index Morgan Stanley Balanced ex Industrial Metals ER Index Morgan Stanley Balanced ex Industrial Metals ER Index Morgan Stanley Balanced ex Industrial Metals ER Index Morgan Stanley Balanced ex Industrial Metals ER Index Morgan Stanley Balanced ex Precious Metals ER Index Morgan Stanley Balanced ex Precious Metals ER Index
Currency
Maturity date1
Unrealised appreciation/ (depreciation) Commitment Counterparty USD USD
USD
30/09/2015
Morgan Stanley
(42 198)
–
USD
30/09/2015
Morgan Stanley
(11 669)
–
USD
30/09/2015
Morgan Stanley
(33 442)
–
USD
30/09/2015
Morgan Stanley
(51 495)
–
USD
30/09/2015
Morgan Stanley
(42 017)
–
USD
30/09/2015
Morgan Stanley
(24 169)
–
USD
30/09/2015
Morgan Stanley
1 504
–
USD
30/09/2015
Morgan Stanley
(11 293)
–
USD
30/09/2015
Morgan Stanley
(13 454)
–
USD
30/09/2015
Morgan Stanley
2 677
–
USD
30/09/2015
Morgan Stanley
(7 010)
–
USD
30/09/2015
Morgan Stanley
(1 398)
–
USD
30/09/2015
Morgan Stanley
(796 206)
–
USD
30/09/2015
Morgan Stanley
(7 590)
–
USD
30/09/2015
Morgan Stanley
(4 307)
–
USD
30/09/2015
Morgan Stanley
(6 007)
–
USD
30/09/2015
Morgan Stanley
(2 243)
–
USD
30/09/2015
Morgan Stanley
(2 362)
–
USD
30/09/2015
Morgan Stanley
(477)
–
USD
30/09/2015
Morgan Stanley
(665)
–
USD
30/09/2015
Morgan Stanley
(1 097 436)
–
USD
30/09/2015
Morgan Stanley
(13 872)
–
ue to operational timing constraint, total return swaps with a maturity date as at September 30, 2015 were maintained in the Schedule of Investments of the D Sub-Fund for an additional day. The maturity of these swaps has been rolled-forward to October 31, 2015.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
88
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Notional Pay Total return swaps (cont.) 1 514 877 0% 1 456 067 0% 1 341 329 0% 1 011 529 0% 654 754 0% 629 534 0% 438 055 0% 397 770 0% 341 574 0% 218 756 0% 11 397 933 0% 644 829 0% 370 132 0% 285 005 0% 273 486 0% 262 722 0% 206 867 0% 189 409 0% 89 593 0% 54 745 0% 37 411 0% 4 832 0% 1
Receive Morgan Stanley Balanced ex Precious Metals ER Index Morgan Stanley Balanced ex Precious Metals ER Index Morgan Stanley Balanced ex Precious Metals ER Index Morgan Stanley Balanced ex Precious Metals ER Index Morgan Stanley Balanced ex Precious Metals ER Index Morgan Stanley Balanced ex Precious Metals ER Index Morgan Stanley Balanced ex Precious Metals ER Index Morgan Stanley Balanced ex Precious Metals ER Index Morgan Stanley Balanced ex Precious Metals ER Index Morgan Stanley Balanced ex Precious Metals ER Index Morgan Stanley Balanced ex Softs ER Index Morgan Stanley Balanced ex Softs ER Index Morgan Stanley Balanced ex Softs ER Index Morgan Stanley Balanced ex Softs ER Index Morgan Stanley Balanced ex Softs ER Index Morgan Stanley Balanced ex Softs ER Index Morgan Stanley Balanced ex Softs ER Index Morgan Stanley Balanced ex Softs ER Index Morgan Stanley Balanced ex Softs ER Index Morgan Stanley Balanced ex Softs ER Index Morgan Stanley Balanced ex Softs ER Index Morgan Stanley Balanced ex Softs ER Index
Currency
Maturity date1
Unrealised appreciation/ (depreciation) Commitment Counterparty USD USD
USD
30/09/2015
Morgan Stanley
(15 107)
–
USD
30/09/2015
Morgan Stanley
(16 338)
–
USD
30/09/2015
Morgan Stanley
(22 674)
–
USD
30/09/2015
Morgan Stanley
(15 631)
–
USD
30/09/2015
Morgan Stanley
(7 312)
–
USD
30/09/2015
Morgan Stanley
4 001
–
USD
30/09/2015
Morgan Stanley
2 815
–
USD
30/09/2015
Morgan Stanley
1 588
–
USD
30/09/2015
Morgan Stanley
(4 005)
–
USD
30/09/2015
Morgan Stanley
(2 992)
–
USD
30/09/2015
Morgan Stanley
(298 998)
–
USD
30/09/2015
Morgan Stanley
1 144
–
USD
30/09/2015
Morgan Stanley
(2 553)
–
USD
30/09/2015
Morgan Stanley
282
–
USD
30/09/2015
Morgan Stanley
(1 876)
–
USD
30/09/2015
Morgan Stanley
(1 456)
–
USD
30/09/2015
Morgan Stanley
(1 937)
–
USD
30/09/2015
Morgan Stanley
(95)
–
USD
30/09/2015
Morgan Stanley
(1 355)
–
USD
30/09/2015
Morgan Stanley
(143)
–
USD
30/09/2015
Morgan Stanley
65
–
USD
30/09/2015
Morgan Stanley
15
–
ue to operational timing constraint, total return swaps with a maturity date as at September 30, 2015 were maintained in the Schedule of Investments of the D Sub-Fund for an additional day. The maturity of these swaps has been rolled-forward to October 31, 2015.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Merrill Lynch Investment Solutions
89
Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Notional Pay Total return swaps (cont.) 1 122 100 0% 322 530 0% 321 297 0% 162 611 0% 159 911 0% 1 975 822 0% 1 516 179 0% 1 328 900 0% 1 150 488 0% 1 087 014 0% 857 848 0% 842 934 0% 837 259 0% 622 920 0% 414 141 0% 11 203 200 0% 939 953 0% 361 412 0% 185 558 0% 180 762 0% 2 548 841 0% 1 045 307 0% 1
Receive Morgan Stanley DISCO Aluminium ER Index Morgan Stanley DISCO Aluminium ER Index Morgan Stanley DISCO Aluminium ER Index Morgan Stanley DISCO Aluminium ER Index Morgan Stanley DISCO Aluminium ER Index Morgan Stanley DISCO Brent ER Index Morgan Stanley DISCO Brent ER Index Morgan Stanley DISCO Brent ER Index Morgan Stanley DISCO Brent ER Index Morgan Stanley DISCO Brent ER Index Morgan Stanley DISCO Brent ER Index Morgan Stanley DISCO Brent ER Index Morgan Stanley DISCO Brent ER Index Morgan Stanley DISCO Brent ER Index Morgan Stanley DISCO Brent ER Index Morgan Stanley DISCO Cocoa ER Index Morgan Stanley DISCO Coffee ER Index Morgan Stanley DISCO Coffee ER Index Morgan Stanley DISCO Coffee ER Index Morgan Stanley DISCO Coffee ER Index Morgan Stanley DISCO Copper ER Index Morgan Stanley DISCO Copper ER Index
Currency
Maturity date1
Unrealised appreciation/ (depreciation) Commitment Counterparty USD USD
USD
30/09/2015
Morgan Stanley
(11 274)
–
USD
30/09/2015
Morgan Stanley
752
–
USD
30/09/2015
Morgan Stanley
400
–
USD
30/09/2015
Morgan Stanley
(1 644)
–
USD
30/09/2015
Morgan Stanley
(379)
–
USD
30/09/2015
Morgan Stanley
(2 365)
–
USD
30/09/2015
Morgan Stanley
(9 321)
–
USD
30/09/2015
Morgan Stanley
(7 782)
–
USD
30/09/2015
Morgan Stanley
(10 720)
–
USD
30/09/2015
Morgan Stanley
(9 530)
–
USD
30/09/2015
Morgan Stanley
(13 799)
–
USD
30/09/2015
Morgan Stanley
(1 821)
–
USD
30/09/2015
Morgan Stanley
(12 061)
–
USD
30/09/2015
Morgan Stanley
(8 374)
–
USD
30/09/2015
Morgan Stanley
(1 934)
–
USD
30/09/2015
Morgan Stanley
(207 302)
–
USD
30/09/2015
Morgan Stanley
(6 592)
–
USD
30/09/2015
Morgan Stanley
(4 123)
–
USD
30/09/2015
Morgan Stanley
1 271
–
USD
30/09/2015
Morgan Stanley
(29)
–
USD
30/09/2015
Morgan Stanley
(30 427)
–
USD
30/09/2015
Morgan Stanley
6 716
–
ue to operational timing constraint, total return swaps with a maturity date as at September 30, 2015 were maintained in the Schedule of Investments of the D Sub-Fund for an additional day. The maturity of these swaps has been rolled-forward to October 31, 2015.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
90
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Notional Pay Total return swaps (cont.) 1 042 732 0% 1 027 000 0% 513 243 0% 512 547 0% 505 512 0% 675 642 0% 444 862 0% 226 717 0% 148 396 0% 75 653 0% 630 000 0% 591 092 0% 392 807 0% 194 556 0% 190 078 0% 3 582 965 0% 1 787 870 0% 1 335 533 0% 1 308 912 0% 901 582 0% 890 263 0% 448 680 0% 1
Receive Morgan Stanley DISCO Copper ER Index Morgan Stanley DISCO Copper ER Index Morgan Stanley DISCO Copper ER Index Morgan Stanley DISCO Copper ER Index Morgan Stanley DISCO Copper ER Index Morgan Stanley DISCO Corn ER Index Morgan Stanley DISCO Corn ER Index Morgan Stanley DISCO Corn ER Index Morgan Stanley DISCO Corn ER Index Morgan Stanley DISCO Corn ER Index Morgan Stanley DISCO Cotton ER Index Morgan Stanley DISCO Gasoil ER Index Morgan Stanley DISCO Gasoil ER Index Morgan Stanley DISCO Gasoil ER Index Morgan Stanley DISCO Gasoil ER Index Morgan Stanley DISCO Gold ER Index Morgan Stanley DISCO Gold ER Index Morgan Stanley DISCO Gold ER Index Morgan Stanley DISCO Gold ER Index Morgan Stanley DISCO Gold ER Index Morgan Stanley DISCO Gold ER Index Morgan Stanley DISCO Gold ER Index
Currency
Maturity date1
Unrealised appreciation/ (depreciation) Commitment Counterparty USD USD
USD
30/09/2015
Morgan Stanley
(2 895)
–
USD
30/09/2015
Morgan Stanley
978
–
USD
30/09/2015
Morgan Stanley
(7 314)
–
USD
30/09/2015
Morgan Stanley
(8 274)
–
USD
30/09/2015
Morgan Stanley
2 006
–
USD
30/09/2015
Morgan Stanley
736
–
USD
30/09/2015
Morgan Stanley
1 494
–
USD
30/09/2015
Morgan Stanley
(1 360)
–
USD
30/09/2015
Morgan Stanley
272
–
USD
30/09/2015
Morgan Stanley
(889)
–
USD
30/09/2015
Morgan Stanley
(18 827)
–
USD
30/09/2015
Morgan Stanley
3 424
–
USD
30/09/2015
Morgan Stanley
(4 317)
–
USD
30/09/2015
Morgan Stanley
(1 432)
–
USD
30/09/2015
Morgan Stanley
249
–
USD
30/09/2015
Morgan Stanley
(20 370)
–
USD
30/09/2015
Morgan Stanley
(11 235)
–
USD
30/09/2015
Morgan Stanley
(13 986)
–
USD
30/09/2015
Morgan Stanley
(4 511)
–
USD
30/09/2015
Morgan Stanley
(8 495)
–
USD
30/09/2015
Morgan Stanley
339
–
USD
30/09/2015
Morgan Stanley
137
–
ue to operational timing constraint, total return swaps with a maturity date as at September 30, 2015 were maintained in the Schedule of Investments of the D Sub-Fund for an additional day. The maturity of these swaps has been rolled-forward to October 31, 2015.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Merrill Lynch Investment Solutions
91
Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Notional Pay Total return swaps (cont.) 439 568 0% 2 265 588 0% 1 384 539 0% 1 144 119 0% 1 126 749 0% 902 045 0% 551 527 0% 275 337 0% 291 536 0% 96 153 0% 319 557 0% 1 221 512 0% 997 609 0% 988 982 0% 479 576 0% 264 203 0% 1 406 810 0% 862 663 0% 580 753 0% 296 483 0% 7 615 300 0% 175 032 0% 1
Receive Morgan Stanley DISCO Gold ER Index Morgan Stanley DISCO Heating Oil ER Index Morgan Stanley DISCO Heating Oil ER Index Morgan Stanley DISCO Heating Oil ER Index Morgan Stanley DISCO Heating Oil ER Index Morgan Stanley DISCO Heating Oil ER Index Morgan Stanley DISCO Heating Oil ER Index Morgan Stanley DISCO Heating Oil ER Index Morgan Stanley DISCO Kansas City Wheat ER Index Morgan Stanley DISCO Kansas City Wheat ER Index Morgan Stanley DISCO Natural Gas ER Index Morgan Stanley DISCO RBOB ER Index Morgan Stanley DISCO RBOB ER Index Morgan Stanley DISCO RBOB ER Index Morgan Stanley DISCO RBOB ER Index Morgan Stanley DISCO RBOB ER Index Morgan Stanley DISCO Silver ER Index Morgan Stanley DISCO Silver ER Index Morgan Stanley DISCO Silver ER Index Morgan Stanley DISCO Silver ER Index Morgan Stanley DISCO Soybeans ER Index Morgan Stanley DISCO Soybeans ER Index
Currency
Maturity date1
Unrealised appreciation/ (depreciation) Commitment Counterparty USD USD
USD
30/09/2015
Morgan Stanley
1 175
–
USD
30/09/2015
Morgan Stanley
15 523
–
USD
30/09/2015
Morgan Stanley
458
–
USD
30/09/2015
Morgan Stanley
8 294
–
USD
30/09/2015
Morgan Stanley
(8 234)
–
USD
30/09/2015
Morgan Stanley
(7 239)
–
USD
30/09/2015
Morgan Stanley
(1 077)
–
USD
30/09/2015
Morgan Stanley
1 451
–
USD
30/09/2015
Morgan Stanley
(423)
–
USD
30/09/2015
Morgan Stanley
326
–
USD
30/09/2015
Morgan Stanley
(7 187)
–
USD
30/09/2015
Morgan Stanley
4 877
–
USD
30/09/2015
Morgan Stanley
7 770
–
USD
30/09/2015
Morgan Stanley
5 624
–
USD
30/09/2015
Morgan Stanley
1 295
–
USD
30/09/2015
Morgan Stanley
(399)
–
USD
30/09/2015
Morgan Stanley
(7 636)
–
USD
30/09/2015
Morgan Stanley
(5 826)
–
USD
30/09/2015
Morgan Stanley
(7 458)
–
USD
30/09/2015
Morgan Stanley
1 090
–
USD
30/09/2015
Morgan Stanley
(159 996)
–
USD
30/09/2015
Morgan Stanley
978
–
ue to operational timing constraint, total return swaps with a maturity date as at September 30, 2015 were maintained in the Schedule of Investments of the D Sub-Fund for an additional day. The maturity of these swaps has been rolled-forward to October 31, 2015.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
92
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Notional Pay Total return swaps (cont.) 354 915 0% 311 799 0% 249 445 0% 156 086 0% 52 810 0% 52 736 0% 51 591 0% 49 762 0% 573 783 0% 96 050 0% 1 183 953 0% 1 000 209 0% 831 292 0% 809 324 0% 808 357 0% 756 861 0% 573 539 0% 559 119 0% 395 900 0% 393 851 0% 191 357 0% 187 579 0% 1
Receive Morgan Stanley DISCO Sugar ER Index Morgan Stanley DISCO Sugar ER Index Morgan Stanley DISCO Sugar ER Index Morgan Stanley DISCO Sugar ER Index Morgan Stanley DISCO Sugar ER Index Morgan Stanley DISCO Sugar ER Index Morgan Stanley DISCO Sugar ER Index Morgan Stanley DISCO Sugar ER Index Morgan Stanley DISCO Wheat ER Index Morgan Stanley DISCO Wheat ER Index Morgan Stanley DISCO WTI ER Index Morgan Stanley DISCO WTI ER Index Morgan Stanley DISCO WTI ER Index Morgan Stanley DISCO WTI ER Index Morgan Stanley DISCO WTI ER Index Morgan Stanley DISCO WTI ER Index Morgan Stanley DISCO WTI ER Index Morgan Stanley DISCO WTI ER Index Morgan Stanley DISCO WTI ER Index Morgan Stanley DISCO WTI ER Index Morgan Stanley DISCO WTI ER Index Morgan Stanley DISCO WTI ER Index
Currency
Maturity date1
Unrealised appreciation/ (depreciation) Commitment Counterparty USD USD
USD
30/09/2015
Morgan Stanley
10 708
–
USD
30/09/2015
Morgan Stanley
6 427
–
USD
30/09/2015
Morgan Stanley
587
–
USD
30/09/2015
Morgan Stanley
2 867
–
USD
30/09/2015
Morgan Stanley
421
–
USD
30/09/2015
Morgan Stanley
119
–
USD
30/09/2015
Morgan Stanley
677
–
USD
30/09/2015
Morgan Stanley
1 016
–
USD
30/09/2015
Morgan Stanley
1 295
–
USD
30/09/2015
Morgan Stanley
477
–
USD
30/09/2015
Morgan Stanley
(15 568)
–
USD
30/09/2015
Morgan Stanley
(5 089)
–
USD
30/09/2015
Morgan Stanley
(3 135)
–
USD
30/09/2015
Morgan Stanley
1 990
–
USD
30/09/2015
Morgan Stanley
(1 835)
–
USD
30/09/2015
Morgan Stanley
(10 209)
–
USD
30/09/2015
Morgan Stanley
1 291
–
USD
30/09/2015
Morgan Stanley
(9 402)
–
USD
30/09/2015
Morgan Stanley
2 086
–
USD
30/09/2015
Morgan Stanley
(575)
–
USD
30/09/2015
Morgan Stanley
(2 309)
–
USD
30/09/2015
Morgan Stanley
(2 110)
–
ue to operational timing constraint, total return swaps with a maturity date as at September 30, 2015 were maintained in the Schedule of Investments of the D Sub-Fund for an additional day. The maturity of these swaps has been rolled-forward to October 31, 2015.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Merrill Lynch Investment Solutions
93
Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Notional Pay Total return swaps (cont.) 176 862 0% 36 415 014 0% 34 842 903 0% 35 208 900 0% 52 486 050 0% 12 291 759 0% 10 182 399 0% (2 936 601) Morgan Stanley Balanced ex Energy ER Index (2 438 458) Morgan Stanley Balanced ex Energy ER Index (2 323 743) Morgan Stanley Balanced ex Energy ER Index (2 161 436) Morgan Stanley Balanced ex Energy ER Index (1 309 311) Morgan Stanley Balanced ex Energy ER Index (1 026 842) Morgan Stanley Balanced ex Energy ER Index (863 105) Morgan Stanley Balanced ex Energy ER Index (821 926) Morgan Stanley Balanced ex Energy ER Index (279 979) Morgan Stanley Balanced ex Energy ER Index (226 786) Morgan Stanley Balanced ex Energy ER Index (165 117) Morgan Stanley Balanced ex Energy ER Index (887 487) Morgan Stanley Balanced ex Grains ER Index (381 876) Morgan Stanley Balanced ex Grains ER Index (1 883 282) Morgan Stanley Balanced ex Industrial Metals ER Index (781 048) Morgan Stanley Balanced ex Industrial Metals ER Index 1
Receive Morgan Stanley DISCO Zinc ER Index Morgan Stanley Balanced ex Energy ER Index Morgan Stanley Balanced ex Grains ER Index Morgan Stanley Balanced ex Industrial Metals ER Index Morgan Stanley Balanced ex Precious Metals ER Index Morgan Stanley Balanced ex Softs ER Index Morgan Stanley DISCO Cocoa ER Index
Currency
Maturity date1
Unrealised appreciation/ (depreciation) Commitment Counterparty USD USD
USD
30/09/2015
Morgan Stanley
1 189
–
USD
30/10/2015
Morgan Stanley
–
–
USD
30/10/2015
Morgan Stanley
–
–
USD
30/10/2015
Morgan Stanley
–
–
USD
30/10/2015
Morgan Stanley
16
–
USD
30/10/2015
Morgan Stanley
–
–
USD
30/10/2015
Morgan Stanley
–
–
0%
USD
30/09/2015
Morgan Stanley
(3 026)
2 936 601
0%
USD
30/09/2015
Morgan Stanley
(4 317)
2 438 458
0%
USD
30/09/2015
Morgan Stanley
(5 808)
2 323 743
0%
USD
30/09/2015
Morgan Stanley
(15 378)
2 161 436
0%
USD
30/09/2015
Morgan Stanley
7 354
1 309 311
0%
USD
30/09/2015
Morgan Stanley
6 533
1 026 842
0%
USD
30/09/2015
Morgan Stanley
5 454
863 105
0%
USD
30/09/2015
Morgan Stanley
2 617
821 926
0%
USD
30/09/2015
Morgan Stanley
(3 000)
279 979
0%
USD
30/09/2015
Morgan Stanley
1 775
226 786
0%
USD
30/09/2015
Morgan Stanley
1 455
165 117
0%
USD
30/09/2015
Morgan Stanley
13 692
887 487
0%
USD
30/09/2015
Morgan Stanley
(599)
381 876
0%
USD
30/09/2015
Morgan Stanley
8 121
1 883 282
0%
USD
30/09/2015
Morgan Stanley
(2 259)
781 048
ue to operational timing constraint, total return swaps with a maturity date as at September 30, 2015 were maintained in the Schedule of Investments of the D Sub-Fund for an additional day. The maturity of these swaps has been rolled-forward to October 31, 2015.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
94
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Notional Pay Total return swaps (cont.) (772 433) Morgan Stanley Balanced ex Industrial Metals ER Index (662 065) Morgan Stanley Balanced ex Industrial Metals ER Index (498 778) Morgan Stanley Balanced ex Industrial Metals ER Index (378 485) Morgan Stanley Balanced ex Industrial Metals ER Index (378 379) Morgan Stanley Balanced ex Industrial Metals ER Index (241 032) Morgan Stanley Balanced ex Industrial Metals ER Index (2 672 684) Morgan Stanley Balanced ex Precious Metals ER Index (2 006 565) Morgan Stanley Balanced ex Precious Metals ER Index (1 639 631) Morgan Stanley Balanced ex Precious Metals ER Index (1 340 221) Morgan Stanley Balanced ex Precious Metals ER Index (1 100 294) Morgan Stanley Balanced ex Precious Metals ER Index (555 062) Morgan Stanley Balanced ex Precious Metals ER Index (327 090) Morgan Stanley Balanced ex Precious Metals ER Index (488 971) Morgan Stanley Balanced ex Softs ER Index (311 189) Morgan Stanley Balanced ex Softs ER Index (136 476) Morgan Stanley Balanced ex Softs ER Index (116 505) Morgan Stanley Balanced ex Softs ER Index (38 858) Morgan Stanley Balanced ex Softs ER Index (20 839 000) Morgan Stanley DISCO Aluminium ER Index (163 226) Morgan Stanley DISCO Aluminium ER Index (18 455 200) Morgan Stanley DISCO Aluminium ER Index (16 616 600) Morgan Stanley DISCO Brent ER Index 1
Receive
Currency
Maturity date1
Unrealised appreciation/ (depreciation) Commitment Counterparty USD USD
0%
USD
30/09/2015
Morgan Stanley
(1 806)
772 433
0%
USD
30/09/2015
Morgan Stanley
3 472
662 065
0%
USD
30/09/2015
Morgan Stanley
1 072
498 778
0%
USD
30/09/2015
Morgan Stanley
3 013
378 485
0%
USD
30/09/2015
Morgan Stanley
1 675
378 379
0%
USD
30/09/2015
Morgan Stanley
(593)
241 032
0%
USD
30/09/2015
Morgan Stanley
6 185
2 672 684
0%
USD
30/09/2015
Morgan Stanley
(14 160)
2 006 565
0%
USD
30/09/2015
Morgan Stanley
10 852
1 639 631
0%
USD
30/09/2015
Morgan Stanley
10 454
1 340 221
0%
USD
30/09/2015
Morgan Stanley
3 909
1 100 294
0%
USD
30/09/2015
Morgan Stanley
(2 985)
555 062
0%
USD
30/09/2015
Morgan Stanley
(2 793)
327 090
0%
USD
30/09/2015
Morgan Stanley
5 271
488 971
0%
USD
30/09/2015
Morgan Stanley
5 004
311 189
0%
USD
30/09/2015
Morgan Stanley
1 073
136 476
0%
USD
30/09/2015
Morgan Stanley
1 523
116 505
0%
USD
30/09/2015
Morgan Stanley
624
38 858
0%
USD
30/09/2015
Morgan Stanley
462 659
20 839 000
0%
USD
30/09/2015
Morgan Stanley
1 920
163 226
0%
USD
30/10/2015
Morgan Stanley
2
18 455 200
0%
USD
30/09/2015
Morgan Stanley
577 884
16 616 600
ue to operational timing constraint, total return swaps with a maturity date as at September 30, 2015 were maintained in the Schedule of Investments of the D Sub-Fund for an additional day. The maturity of these swaps has been rolled-forward to October 31, 2015.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Merrill Lynch Investment Solutions
95
Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Notional Pay Total return swaps (cont.) (1 459 334) Morgan Stanley DISCO Brent ER Index (433 316) Morgan Stanley DISCO Brent ER Index (212 443) Morgan Stanley DISCO Brent ER Index (8 295 560) Morgan Stanley DISCO Brent ER Index (605 579) Morgan Stanley DISCO Cocoa ER Index (247 575) Morgan Stanley DISCO Cocoa ER Index (246 562) Morgan Stanley DISCO Cocoa ER Index (123 308) Morgan Stanley DISCO Cocoa ER Index (20 654 328) Morgan Stanley DISCO Coffee ER Index (364 230) Morgan Stanley DISCO Coffee ER Index (361 997) Morgan Stanley DISCO Coffee ER Index (19 215 152) Morgan Stanley DISCO Coffee ER Index (18 486 000) Morgan Stanley DISCO Copper ER Index (3 051 276) Morgan Stanley DISCO Copper ER Index (3 014 783) Morgan Stanley DISCO Copper ER Index (510 475) Morgan Stanley DISCO Copper ER Index (16 898 001) Morgan Stanley DISCO Copper ER Index (3 371 048) Morgan Stanley DISCO Corn ER Index (2 560 573) Morgan Stanley DISCO Corn ER Index (2 550 000) Morgan Stanley DISCO Corn ER Index (1 832 567) Morgan Stanley DISCO Corn ER Index (1 485 081) Morgan Stanley DISCO Corn ER Index 1
Receive
Currency
Maturity date1
Unrealised appreciation/ (depreciation) Commitment Counterparty USD USD
0%
USD
30/09/2015
Morgan Stanley
(3 902)
1 459 334
0%
USD
30/09/2015
Morgan Stanley
(3 519)
433 316
0%
USD
30/09/2015
Morgan Stanley
1 513
212 443
0%
USD
30/10/2015
Morgan Stanley
–
8 295 560
0%
USD
30/09/2015
Morgan Stanley
6 172
605 579
0%
USD
30/09/2015
Morgan Stanley
2 023
247 575
0%
USD
30/09/2015
Morgan Stanley
3 630
246 562
0%
USD
30/09/2015
Morgan Stanley
1 915
123 308
0%
USD
30/09/2015
Morgan Stanley
527 948
20 654 328
0%
USD
30/09/2015
Morgan Stanley
1 674
364 230
0%
USD
30/09/2015
Morgan Stanley
2 778
361 997
0%
USD
30/10/2015
Morgan Stanley
2
19 215 152
0%
USD
30/09/2015
Morgan Stanley
210 075
18 486 000
0%
USD
30/09/2015
Morgan Stanley
(24 763)
3 051 276
0%
USD
30/09/2015
Morgan Stanley
(22 223)
3 014 783
0%
USD
30/09/2015
Morgan Stanley
4 812
510 475
0%
USD
30/10/2015
Morgan Stanley
–
16 898 001
0%
USD
30/09/2015
Morgan Stanley
(14 616)
3 371 048
0%
USD
30/09/2015
Morgan Stanley
6 031
2 560 573
0%
USD
30/09/2015
Morgan Stanley
35 333
2 550 000
0%
USD
30/09/2015
Morgan Stanley
11 249
1 832 567
0%
USD
30/09/2015
Morgan Stanley
(8 556)
1 485 081
ue to operational timing constraint, total return swaps with a maturity date as at September 30, 2015 were maintained in the Schedule of Investments of the D Sub-Fund for an additional day. The maturity of these swaps has been rolled-forward to October 31, 2015.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
96
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Notional Pay Total return swaps (cont.) (1 094 581) Morgan Stanley DISCO Corn ER Index (1 029 941) Morgan Stanley DISCO Corn ER Index (295 663) Morgan Stanley DISCO Corn ER Index (73 446) Morgan Stanley DISCO Corn ER Index (13 381 600) Morgan Stanley DISCO Corn ER Index (616 440) Morgan Stanley DISCO Cotton ER Index (609 019) Morgan Stanley DISCO Cotton ER Index (495 231) Morgan Stanley DISCO Cotton ER Index (251 807) Morgan Stanley DISCO Cotton ER Index (249 567) Morgan Stanley DISCO Cotton ER Index (122 628) Morgan Stanley DISCO Cotton ER Index (121 556) Morgan Stanley DISCO Cotton ER Index (1 829 999) Morgan Stanley DISCO Cotton ER Index (8 487 600) Morgan Stanley DISCO Gasoil ER Index (395 828) Morgan Stanley DISCO Gasoil ER Index (387 652) Morgan Stanley DISCO Gasoil ER Index (382 782) Morgan Stanley DISCO Gasoil ER Index (374 359) Morgan Stanley DISCO Gasoil ER Index (198 400) Morgan Stanley DISCO Gasoil ER Index (196 331) Morgan Stanley DISCO Gasoil ER Index (8 236 800) Morgan Stanley DISCO Gasoil ER Index (54 885 600) Morgan Stanley DISCO Gold ER Index 1
Receive
Currency
Maturity date1
Unrealised appreciation/ (depreciation) Commitment Counterparty USD USD
0%
USD
30/09/2015
Morgan Stanley
(6 037)
1 094 581
0%
USD
30/09/2015
Morgan Stanley
9 769
1 029 941
0%
USD
30/09/2015
Morgan Stanley
637
295 663
0%
USD
30/09/2015
Morgan Stanley
761
73 446
0%
USD
30/10/2015
Morgan Stanley
–
13 381 600
0%
USD
30/09/2015
Morgan Stanley
(1 951)
616 440
0%
USD
30/09/2015
Morgan Stanley
(1 641)
609 019
0%
USD
30/09/2015
Morgan Stanley
6 708
495 231
0%
USD
30/09/2015
Morgan Stanley
204
251 807
0%
USD
30/09/2015
Morgan Stanley
3 159
249 567
0%
USD
30/09/2015
Morgan Stanley
1 037
122 628
0%
USD
30/09/2015
Morgan Stanley
173
121 556
0%
USD
30/10/2015
Morgan Stanley
–
1 829 999
0%
USD
30/09/2015
Morgan Stanley
149 177
8 487 600
0%
USD
30/09/2015
Morgan Stanley
2 187
395 828
0%
USD
30/09/2015
Morgan Stanley
(3 811)
387 652
0%
USD
30/09/2015
Morgan Stanley
6 161
382 782
0%
USD
30/09/2015
Morgan Stanley
7 106
374 359
0%
USD
30/09/2015
Morgan Stanley
1 025
198 400
0%
USD
30/09/2015
Morgan Stanley
2 609
196 331
0%
USD
30/10/2015
Morgan Stanley
–
8 236 800
0%
USD
30/09/2015
Morgan Stanley
1 089 835
54 885 600
ue to operational timing constraint, total return swaps with a maturity date as at September 30, 2015 were maintained in the Schedule of Investments of the D Sub-Fund for an additional day. The maturity of these swaps has been rolled-forward to October 31, 2015.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Merrill Lynch Investment Solutions
97
Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Notional Pay Total return swaps (cont.) (3 130 424) Morgan Stanley DISCO Gold ER Index (1 782 211) Morgan Stanley DISCO Gold ER Index (1 347 992) Morgan Stanley DISCO Gold ER Index (453 691) Morgan Stanley DISCO Gold ER Index (49 579 200) Morgan Stanley DISCO Gold ER Index (14 969 068) Morgan Stanley DISCO Heating Oil ER Index (1 098 497) Morgan Stanley DISCO Heating Oil ER Index (289 129) Morgan Stanley DISCO Heating Oil ER Index (7 686 504) Morgan Stanley DISCO Heating Oil ER Index (6 575 600) Morgan Stanley DISCO Kansas City Wheat ER Index (293 990) Morgan Stanley DISCO Kansas City Wheat ER Index (6 629 652) Morgan Stanley DISCO Kansas City Wheat ER Index (4 561 200) Morgan Stanley DISCO Natural Gas ER Index (2 539 253) Morgan Stanley DISCO Natural Gas ER Index (1 655 769) Morgan Stanley DISCO Natural Gas ER Index (1 352 915) Morgan Stanley DISCO Natural Gas ER Index (1 221 518) Morgan Stanley DISCO Natural Gas ER Index (1 208 445) Morgan Stanley DISCO Natural Gas ER Index (1 043 812) Morgan Stanley DISCO Natural Gas ER Index (895 774) Morgan Stanley DISCO Natural Gas ER Index (869 191) Morgan Stanley DISCO Natural Gas ER Index (772 168) Morgan Stanley DISCO Natural Gas ER Index 1
Receive
Currency
Maturity date1
Unrealised appreciation/ (depreciation) Commitment Counterparty USD USD
0%
USD
30/09/2015
Morgan Stanley
18 122
3 130 424
0%
USD
30/09/2015
Morgan Stanley
20 342
1 782 211
0%
USD
30/09/2015
Morgan Stanley
17 357
1 347 992
0%
USD
30/09/2015
Morgan Stanley
2 661
453 691
0%
USD
30/10/2015
Morgan Stanley
–
49 579 200
0%
USD
30/09/2015
Morgan Stanley
458 173
14 969 068
0%
USD
30/09/2015
Morgan Stanley
(4 008)
1 098 497
0%
USD
30/09/2015
Morgan Stanley
787
289 129
0%
USD
30/10/2015
Morgan Stanley
–
7 686 504
0%
USD
30/09/2015
Morgan Stanley
98 734
6 575 600
0%
USD
30/09/2015
Morgan Stanley
(757)
293 990
0%
USD
30/10/2015
Morgan Stanley
3
6 629 652
0%
USD
30/09/2015
Morgan Stanley
117 802
4 561 200
0%
USD
30/09/2015
Morgan Stanley
31 708
2 539 253
0%
USD
30/09/2015
Morgan Stanley
34 672
1 655 769
0%
USD
30/09/2015
Morgan Stanley
32 477
1 352 915
0%
USD
30/09/2015
Morgan Stanley
14 481
1 221 518
0%
USD
30/09/2015
Morgan Stanley
33 423
1 208 445
0%
USD
30/09/2015
Morgan Stanley
27 029
1 043 812
0%
USD
30/09/2015
Morgan Stanley
26 047
895 774
0%
USD
30/09/2015
Morgan Stanley
15 040
869 191
0%
USD
30/09/2015
Morgan Stanley
20 566
772 168
ue to operational timing constraint, total return swaps with a maturity date as at September 30, 2015 were maintained in the Schedule of Investments of the D Sub-Fund for an additional day. The maturity of these swaps has been rolled-forward to October 31, 2015.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
98
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Notional Pay Total return swaps (cont.) (633 426) Morgan Stanley DISCO Natural Gas ER Index (544 015) Morgan Stanley DISCO Natural Gas ER Index (450 894) Morgan Stanley DISCO Natural Gas ER Index (111 567) Morgan Stanley DISCO Natural Gas ER Index (107 300) Morgan Stanley DISCO Natural Gas ER Index (16 550 400) Morgan Stanley DISCO Natural Gas ER Index (4 694 256) Morgan Stanley DISCO RBOB ER Index (474 658) Morgan Stanley DISCO RBOB ER Index (252 142) Morgan Stanley DISCO RBOB ER Index (245 491) Morgan Stanley DISCO RBOB ER Index (239 872) Morgan Stanley DISCO RBOB ER Index (235 675) Morgan Stanley DISCO RBOB ER Index (1 813 729) Morgan Stanley DISCO RBOB ER Index (13 385 080) Morgan Stanley DISCO Silver ER Index (2 017 591) Morgan Stanley DISCO Silver ER Index (1 957 500) Morgan Stanley DISCO Silver ER Index (1 425 119) Morgan Stanley DISCO Silver ER Index (872 330) Morgan Stanley DISCO Silver ER Index (854 288) Morgan Stanley DISCO Silver ER Index (590 253) Morgan Stanley DISCO Silver ER Index (291 986) Morgan Stanley DISCO Silver ER Index (20 402 200) Morgan Stanley DISCO Silver ER Index 1
Receive
Currency
Maturity date1
Unrealised appreciation/ (depreciation) Commitment Counterparty USD USD
0%
USD
30/09/2015
Morgan Stanley
18 362
633 426
0%
USD
30/09/2015
Morgan Stanley
17 426
544 015
0%
USD
30/09/2015
Morgan Stanley
10 255
450 894
0%
USD
30/09/2015
Morgan Stanley
434
111 567
0%
USD
30/09/2015
Morgan Stanley
1 234
107 300
0%
USD
30/10/2015
Morgan Stanley
3
16 550 400
0%
USD
30/09/2015
Morgan Stanley
109 781
4 694 256
0%
USD
30/09/2015
Morgan Stanley
(1 654)
474 658
0%
USD
30/09/2015
Morgan Stanley
(1 862)
252 142
0%
USD
30/09/2015
Morgan Stanley
(1 742)
245 491
0%
USD
30/09/2015
Morgan Stanley
1 962
239 872
0%
USD
30/09/2015
Morgan Stanley
1 154
235 675
0%
USD
30/10/2015
Morgan Stanley
–
1 813 729
0%
USD
30/09/2015
Morgan Stanley
230 225
13 385 080
0%
USD
30/09/2015
Morgan Stanley
8 346
2 017 591
0%
USD
30/09/2015
Morgan Stanley
28 696
1 957 500
0%
USD
30/09/2015
Morgan Stanley
(2 893)
1 425 119
0%
USD
30/09/2015
Morgan Stanley
4 951
872 330
0%
USD
30/09/2015
Morgan Stanley
5 545
854 288
0%
USD
30/09/2015
Morgan Stanley
(375)
590 253
0%
USD
30/09/2015
Morgan Stanley
2 926
291 986
0%
USD
30/10/2015
Morgan Stanley
–
20 402 200
ue to operational timing constraint, total return swaps with a maturity date as at September 30, 2015 were maintained in the Schedule of Investments of the D Sub-Fund for an additional day. The maturity of these swaps has been rolled-forward to October 31, 2015.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Merrill Lynch Investment Solutions
99
Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Notional Pay Total return swaps (cont.) (5 177 507) Morgan Stanley DISCO Soybeans ER Index (3 618 906) Morgan Stanley DISCO Soybeans ER Index (3 527 817) Morgan Stanley DISCO Soybeans ER Index (2 633 364) Morgan Stanley DISCO Soybeans ER Index (2 622 407) Morgan Stanley DISCO Soybeans ER Index (1 935 172) Morgan Stanley DISCO Soybeans ER Index (1 563 418) Morgan Stanley DISCO Soybeans ER Index (1 405 612) Morgan Stanley DISCO Soybeans ER Index (354 706) Morgan Stanley DISCO Soybeans ER Index (348 745) Morgan Stanley DISCO Soybeans ER Index (347 463) Morgan Stanley DISCO Soybeans ER Index (176 555) Morgan Stanley DISCO Soybeans ER Index (16 270 200) Morgan Stanley DISCO Soybeans ER Index (6 376 116) Morgan Stanley DISCO Sugar ER Index (153 824) Morgan Stanley DISCO Sugar ER Index (104 171) Morgan Stanley DISCO Sugar ER Index (51 275) Morgan Stanley DISCO Sugar ER Index (5 526 260) Morgan Stanley DISCO Sugar ER Index (10 158 752) Morgan Stanley DISCO Wheat ER Index (97 634) Morgan Stanley DISCO Wheat ER Index (94 998) Morgan Stanley DISCO Wheat ER Index (93 036) Morgan Stanley DISCO Wheat ER Index 1
Receive
Currency
Maturity date1
Unrealised appreciation/ (depreciation) Commitment Counterparty USD USD
0%
USD
30/09/2015
Morgan Stanley
13 099
5 177 507
0%
USD
30/09/2015
Morgan Stanley
15 817
3 618 906
0%
USD
30/09/2015
Morgan Stanley
(11 960)
3 527 817
0%
USD
30/09/2015
Morgan Stanley
35 489
2 633 364
0%
USD
30/09/2015
Morgan Stanley
20 070
2 622 407
0%
USD
30/09/2015
Morgan Stanley
22 493
1 935 172
0%
USD
30/09/2015
Morgan Stanley
9 921
1 563 418
0%
USD
30/09/2015
Morgan Stanley
12 997
1 405 612
0%
USD
30/09/2015
Morgan Stanley
2 261
354 706
0%
USD
30/09/2015
Morgan Stanley
(3 361)
348 745
0%
USD
30/09/2015
Morgan Stanley
5 417
347 463
0%
USD
30/09/2015
Morgan Stanley
1 621
176 555
0%
USD
30/10/2015
Morgan Stanley
–
16 270 200
0%
USD
30/09/2015
Morgan Stanley
(58 800)
6 376 116
0%
USD
30/09/2015
Morgan Stanley
(3 006)
153 824
0%
USD
30/09/2015
Morgan Stanley
(705)
104 171
0%
USD
30/09/2015
Morgan Stanley
(534)
51 275
0%
USD
30/10/2015
Morgan Stanley
–
5 526 260
0%
USD
30/09/2015
Morgan Stanley
80 051
10 158 752
0%
USD
30/09/2015
Morgan Stanley
(446)
97 634
0%
USD
30/09/2015
Morgan Stanley
52
94 998
0%
USD
30/09/2015
Morgan Stanley
52
93 036
ue to operational timing constraint, total return swaps with a maturity date as at September 30, 2015 were maintained in the Schedule of Investments of the D Sub-Fund for an additional day. The maturity of these swaps has been rolled-forward to October 31, 2015.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
100
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Notional Pay Total return swaps (cont.) (10 175 752) Morgan Stanley DISCO Wheat ER Index (11 395 440) Morgan Stanley DISCO WTI ER Index (759 365) Morgan Stanley DISCO WTI ER Index (581 931) Morgan Stanley DISCO WTI ER Index (575 641) Morgan Stanley DISCO WTI ER Index (5 970 360) Morgan Stanley DISCO WTI ER Index (9 771 300) Morgan Stanley DISCO Zinc ER Index (1 266 652) Morgan Stanley DISCO Zinc ER Index (711 518) Morgan Stanley DISCO Zinc ER Index (523 416) Morgan Stanley DISCO Zinc ER Index (366 441) Morgan Stanley DISCO Zinc ER Index (182 837) Morgan Stanley DISCO Zinc ER Index (11 592 000) Morgan Stanley DISCO Zinc ER Index Total return swaps 1
Receive
Currency
Maturity date1
Unrealised appreciation/ (depreciation) Commitment Counterparty USD USD
0%
USD
30/10/2015
Morgan Stanley
3
10 175 752
0%
USD
30/09/2015
Morgan Stanley
314 355
11 395 440
0%
USD
30/09/2015
Morgan Stanley
(803)
759 365
0%
USD
30/09/2015
Morgan Stanley
7 247
581 931
0%
USD
30/09/2015
Morgan Stanley
5 279
575 641
0%
USD
30/10/2015
Morgan Stanley
–
5 970 360
0%
USD
30/09/2015
Morgan Stanley
327 614
9 771 300
0%
USD
30/09/2015
Morgan Stanley
27 164
1 266 652
0%
USD
30/09/2015
Morgan Stanley
18 596
711 518
0%
USD
30/09/2015
Morgan Stanley
(1 286)
523 416
0%
USD
30/09/2015
Morgan Stanley
1 304
366 441
0%
USD
30/09/2015
Morgan Stanley
3 038
182 837
0%
USD
30/10/2015
Morgan Stanley
– 11 592 000 1 541 116 582 538 125
ue to operational timing constraint, total return swaps with a maturity date as at September 30, 2015 were maintained in the Schedule of Investments of the D Sub-Fund for an additional day. The maturity of these swaps has been rolled-forward to October 31, 2015.
The maximum individual counterparty exposure for OTC Derivatives as at September 30, 2015 is 6.39% of the NAV.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Merrill Lynch Investment Solutions
101
Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at September 30, 2015 (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 2 200 000 2 150 000 3 427 500 475 000 975 000 4 900 000 1 175 000
Cheniere Energy, Inc. 4.250% 15/03/2045 Extra Space Storage LP 144A 3.125% 01/10/2035 (a) Fiat Chrysler Automobiles NV 7.875% 15/12/2016 Medicines Co. 144A 2.500% 15/01/2022 NRG Yield, Inc. 144A 3.250% 01/06/2020 (a) Sabine Oil & Gas Corp. (Defaulted) FRN 15/06/2019 Starwood Property Trust, Inc. 3.750% 15/10/2017 Total Bonds
USD USD USD USD USD USD USD
1 760 000 2 156 340 3 464 646 475 000 975 000 1 300 242 1 160 313 11 291 541
1 373 625 2 164 781 4 065 872 618 094 837 890 686 000 1 165 453 10 911 715
0.12 0.19 0.36 0.06 0.07 0.06 0.10 0.96
AGL Resources, Inc. Allergan Plc. - A - Pref Avolon Hldg. Ltd. Con-way, Inc. Cytec Industries, Inc. Dealertrack Technologies, Inc. Dot Hill Systems Corp. Dycom Industries, Inc. HCC Insurance Hldg., Inc. Herbalife Ltd. Humana, Inc. IPC Healthcare, Inc. JetBlue Airways Corp. KYTHERA Biopharmaceuticals, Inc. Mitel Networks Corp. OM Group, Inc. Post Holdings, Inc. - Pref Solera Holdings, Inc. Southwestern Energy Co. - B - Pref StanCorp Financial Group, Inc. Steiner Leisure Ltd. Stericycle, Inc. - Pref Strategic Hotels & Resorts, Inc. Symetra Financial Corp. T-Mobile US, Inc. - Pref Thoratec Corp. WPX Energy, Inc. - A - Pref Xoom Corp. 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
183 930 2 850 000 975 547 5 750 601 1 912 280 1 234 106 2 639 725 316 309 825 452 222 376 1 051 652 2 257 715 130 053 2 290 196 540 011 3 821 240 750 142 541 252 3 879 628 956 746 706 260 847 500 1 747 469 929 186 3 302 608 2 527 451 491 250 4 176 629 47 857 314
183 120 2 688 861 978 798 5 749 469 1 914 709 1 233 325 2 651 785 313 536 828 232 296 480 968 032 2 216 185 513 338 2 299 636 366 212 3 755 249 822 875 535 194 2 377 620 958 481 694 538 862 077 1 720 261 938 506 4 549 327 2 560 006 342 991 4 173 769 47 492 612
0.02 0.24 0.09 0.50 0.17 0.11 0.23 0.03 0.07 0.03 0.08 0.19 0.05 0.20 0.03 0.33 0.07 0.05 0.21 0.08 0.06 0.08 0.15 0.08 0.40 0.22 0.03 0.37 4.17
Shares 3 000 2 850 32 155 121 169 25 927 19 527 272 537 4 333 10 691 5 440 5 408 28 526 19 920 30 670 56 777 114 176 7 250 9 911 76 500 8 393 10 993 8 475 124 747 29 662 65 875 40 468 9 825 167 756
(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
102
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD) Nominal value/ Quantity
Quotation Currency
Description
Cost USD
Market value USD
% of net assets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.) Supranationals, Governments and Local Public Authorities, Debt Instruments 28 000 000 United States Treasury Bill 0.000% 27/11/2015 8 000 000 United States Treasury Bill 0.000% 03/12/2015 81 000 000 United States Treasury Bill 0.000% 07/01/2016 55 000 000 United States Treasury Bill 0.000% 04/02/2016 86 000 000 United States Treasury Bill 0.000% 24/03/2016 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, 2015) Sovereign Chemicals Transportation REITS Oil & Gas Telecommunications Commercial Services Auto Manufacturers Pharmaceuticals Healthcare-Services Biotechnology Insurance Computers Healthcare-Products Software Diversified Financial Services Environmental Control Electric Food Leisure Time Airlines Engineering & Construction Gas
% 22.66 0.50 0.50 0.44 0.42 0.40 0.37 0.36 0.27 0.27 0.26 0.23 0.23 0.22 0.19 0.09 0.08 0.07 0.07 0.06 0.05 0.03 0.02 27.79
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
USD USD USD USD USD
27 996 232 7 998 999 80 981 698 54 969 085 85 952 969
28 000 448 8 000 176 80 998 623 54 996 370 85 980 650
2.46 0.70 7.12 4.83 7.55
257 898 983 317 047 838
257 976 267 316 380 594
22.66 27.79
Geographical classification of investments (as a percentage of net assets as at September 30, 2015) United States Netherlands Ireland Bahamas Canada
% 27.01 0.36 0.33 0.06 0.03 27.79
Merrill Lynch Investment Solutions
103
Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
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 Index GBP FTSE 100 Index Index USD FTSE China 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 Index
USD USD
Index Index Index
JPY SEK USD
Index
USD
Index
USD
Index Index Index Index Index Interest rate
CAD THB USD AUD JPY AUD
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 CNX Nifty Index SPI 200 Index Topix Index 10 Year Australian Treasury Bond 10 Year Government of Canada Bond
Market
Number of Number of Maturity contracts contracts date bought sold
Commitment USD
Unrealised appreciation/ (depreciation) USD
NYSE Liffe Amsterdam Borsa Istanbul
16/10/2015 30/10/2015
6 266
– –
564 264 808 257
835 (10 256)
Euronext Paris Eurex Deutschland Chicago Board of Trade Eurex Deutschland ICE Futures Europe Singapore Exchange (was SIMEX) South African Futures Exchange Bursa Malaysia Borsa Italiana Hong Kong Futures Exchange Hong Kong Futures Exchange Meff Renta Variable Madrid Mercado Mexicano de Derivados OMX Nordic Exchange Stockholm OMX Nordic Exchange Stockholm
16/10/2015 18/12/2015 18/12/2015 18/12/2015 18/12/2015 29/10/2015
378 77 – 605 – 20
– – 54 – 142 –
18 782 763 20 756 145 4 366 440 20 874 481 12 945 462 184 150
(97 934) (870 256) 222 (512 799) (16 591) (5 100)
17/12/2015 30/10/2015 18/12/2015 29/10/2015 29/10/2015 16/10/2015
– – – 14 – –
122 202 77 – 41 181
3 996 521 3 682 023 9 127 590 846 949 5 499 784 19 275 334
(108 719) (48 029) 119 377 (7 181) 137 541 409 169
18/12/2015
–
77
1 937 364
9 110
18/12/2015
–
10
824 750
30 550
18/12/2015
–
66
2 610 630
29 496
Singapore Exchange (was SIMEX) 29/10/2015 Singapore Exchange (was SIMEX) 29/10/2015
82 –
– 87
3 604 332 2 623 050
(37 485) 15 660
Chicago Mercantile Exchange Osaka Exchange ICE Futures US Indices OMX Nordic Exchange Stockholm
18/12/2015 10/12/2015 16/10/2015
– – –
21 3 16
1 748 460 435 603 270 035
(19 779) 1 603 (2 820)
18/12/2015
–
708
77 589 720
3 429 139
Chicago Mercantile Exchange
18/12/2015
–
747
71 289 945
(387 144)
Chicago Mercantile Exchange Montreal Exchange Thailand Futures Exchange Singapore Exchange (was SIMEX) Australian Stock Exchange Osaka Exchange
18/12/2015 17/12/2015 29/12/2015 29/10/2015 17/12/2015 10/12/2015
– – – – – 599
12 51 962 71 742 –
1 635 480 5 934 214 4 528 649 1 132 592 65 224 889 70 595 624
38 001 65 446 86 282 (12 222) (16 408) (1 352 240)
Australian Stock Exchange
15/12/2015
–
1 720
117 604 288
(1 398 499)
Montreal Exchange
18/12/2015
447
–
47 273 909
109 233
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, 2015 (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 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 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 GBP 90 Day Sterling Interest rate GBP 90 Day Sterling Interest rate GBP 90 Day Sterling
Market
Commitment USD
Unrealised appreciation/ (depreciation) USD
Osaka Exchange
14/12/2015
–
142
175 666 638
(397 779)
Chicago Board of Trade
21/12/2015
532
–
68 486 687
51 055
Chicago Board of Trade
31/12/2015
488
–
106 887 250
171 045
Montreal Exchange
14/12/2015
–
8
1 480 495
149
Montreal Exchange
14/03/2016
152
–
28 137 913
(28 493)
Montreal Exchange
13/06/2016
–
20
3 702 357
(3 517)
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 Euronext Liffe
19/09/2016 14/03/2016 13/06/2016 19/09/2016 19/12/2016 13/03/2017 19/06/2017 18/09/2017 14/03/2016 13/06/2016 19/09/2016
160 – – – 171 204 229 136 3 8 13
– 255 321 323 – – – – – – –
29 608 414 71 203 607 89 637 255 90 191 236 47 741 143 56 940 114 63 895 703 37 931 612 773 718 2 063 658 3 353 444
(24 017) (35 190) (67 742) (46 073) 26 036 33 767 37 715 24 845 102 230 1 637
Australian Stock Exchange
15/12/2015
311
–
21 451 228
43 047
Chicago Board of Trade
31/12/2015
407
–
49 049 859
239 445
Australian Stock Exchange
10/03/2016
–
110
7 577 981 400
(15 161)
Australian Stock Exchange
09/06/2016
93
–
6 410 104 236
3 260
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
08/09/2016 14/03/2016 13/06/2016 19/09/2016 19/12/2016 13/03/2017 19/06/2017 18/09/2017 16/12/2015 16/03/2016 15/06/2016
26 92 57 175 219 204 193 185 25 1 384 1 468
– – – – – – – – – – –
1 792 072 152 22 880 400 14 158 088 43 404 375 54 232 613 50 454 300 47 671 000 45 639 500 4 705 192 260 348 392 275 955 315
3 071 5 500 5 190 81 662 171 175 182 712 193 500 117 435 3 654 467 736 648 009
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
105
Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at September 30, 2015 (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 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 USD US Long Bond Interest rate USD US Ultra Long Bond Total Futures contracts
Purchase Sale Forward foreign exchange contracts (cont.) EUR 9 222 USD USD 11 906 EUR AUD 51 260 000 USD BRL 84 501 000 USD CAD 31 125 000 USD CHF 3 960 764 USD CLP 314 957 000 USD COP 1 866 938 000 USD CZK 434 840 000 USD EUR 701 689 422 USD GBP 270 622 187 USD HKD 27 282 000 USD HUF 1 540 000 000 USD ILS 5 527 000 USD INR 641 200 000 USD JPY 27 731 755 000 USD KRW 23 000 000 000 USD MXN 260 748 000 USD MYR 2 006 000 USD NOK 98 074 000 USD
Number of Number of Maturity contracts contracts date bought sold
Market
Commitment USD
Unrealised appreciation/ (depreciation) USD
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
21/09/2016 21/12/2016 15/03/2017 21/06/2017 20/09/2017 08/12/2015 08/12/2015 08/12/2015 08/12/2015 08/12/2015
1 119 237 216 207 200 146 94 441 – 23
– – – – – – – – 315 –
210 138 259 44 457 132 40 472 905 38 743 420 37 395 388 22 211 514 15 909 102 63 512 168 54 919 312 3 998 428
388 552 136 119 132 787 135 425 73 081 339 239 186 693 202 767 (669 225) 81 263
Eurex Deutschland ICE Futures Europe Chicago Board of Trade Chicago Board of Trade
08/12/2015 29/12/2015 21/12/2015 21/12/2015
241 811 87 69
– – – –
29 954 948 146 260 703 13 688 906 11 068 031 18 879 113 207
430 162 851 20 406 (108 595) 2 554 000
11 512 9 222 36 217 480 20 915 736 23 521 762 4 087 547 453 509 593 232 18 085 262 786 392 666 413 070 094 3 520 005 5 543 824 1 407 102 9 530 137 230 898 467 19 396 565 15 405 446 450 534 11 693 888
Maturity date
Counterparty
Unrealised appreciation/ (depreciation) USD
09/11/2015 09/11/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015
Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International
(1 212) 1 606 (362 696) (239 950) (313 869) (22 875) (5 133) 6 084 (179 659) (2 134 361) (3 269 656) 59 (56 564) 2 492 113 205 944 729 (37 974) (110 083) 3 661 (209 858)
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, 2015 (cont.) (expressed in USD)
Purchase Sale Forward foreign exchange contracts (cont.) NZD 54 307 000 USD PHP 119 088 000 USD PLN 49 460 000 USD SEK 213 605 000 USD SGD 51 013 000 USD TRY 170 354 000 USD TWD 610 046 000 USD USD 22 764 368 AUD USD 16 680 117 BRL USD 94 126 417 CAD USD 68 048 716 CHF USD 10 857 009 CLP USD 550 739 COP USD 4 637 723 CZK USD 33 859 031 EUR USD 93 516 877 GBP USD 5 402 505 HKD USD 8 261 420 HUF USD 5 696 386 IDR USD 15 952 050 ILS USD 2 549 939 INR USD 21 594 688 JPY USD 59 328 270 KRW USD 103 636 884 MXN USD 1 861 483 MYR USD 161 462 319 NOK USD 37 227 239 NZD USD 6 046 193 PHP USD 451 388 PLN USD 8 228 269 SEK USD 18 739 422 SGD USD 9 755 793 TRY USD 2 301 131 TWD USD 20 154 520 ZAR ZAR 168 432 000 USD EUR 750 USD USD 996 EUR
34 429 426 2 534 059 13 081 217 25 637 227 36 007 884 55 580 134 18 710 695 32 481 000 63 809 000 124 705 000 65 988 000 7 593 438 000 1 700 000 000 112 130 000 30 217 219 61 019 660 41 880 000 2 310 679 000 84 209 401 000 62 860 000 171 696 000 2 587 198 000 70 744 710 000 1 759 840 000 7 740 000 1 335 157 000 58 860 000 285 700 000 1 700 000 69 196 000 26 500 000 30 100 000 74 845 000 278 954 000 12 145 849 818 750
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Maturity date
Counterparty
Unrealised appreciation/ (depreciation) USD
16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 17/12/2015 17/12/2015 05/04/2016 05/04/2016
Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International Credit Suisse International
123 703 1 978 (102 231) (123 326) (218 679) (606 519) (175 775) 44 914 1 067 269 1 141 988 329 568 46 931 5 012 20 495 86 105 1 115 423 (1 067) 28 110 127 093 (79 621) (32 287) (34 821) (215 985) 405 444 109 006 5 121 360 (222 761) (37 928) 5 285 (36 800) 147 809 42 456 27 129 245 880 (125 043) 22 156
Merrill Lynch Investment Solutions
107
Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Purchase Sale Forward foreign exchange contracts (cont.) EUR 750 USD USD 1 002 EUR Total forward foreign exchange contracts
Notional Pay Credit default swaps (4 800 000) Fixed 5%
3 025 000 Fixed 5%
834 750
Receive Markit CDX North America High Yield Index 24v1 Markit CDX North America High Yield Index 25v1
Maturity date
Counterparty
05/04/2017 05/04/2017
Credit Suisse International Credit Suisse International
Currency
Maturity date
USD
23/06/2020
USD
22/12/2020
Unrealised appreciation/ (depreciation) Counterparty USD Merrill Lynch, Pierce, Fenner and Smith, Inc. Merrill Lynch, Pierce, Fenner and Smith, Inc.
Total Credit default swaps
Unrealised appreciation/ (depreciation) USD 16 151 2 358 406
Commitment USD
80 692
4 800 000
(7 822) 72 870
3 025 000 7 825 000
The maximum individual counterparty exposure for OTC Derivatives as at September 30, 2015 is 6.74% 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 Ltd., Morgan Stanley Capital Services Inc. and Morgan Stanley & Co. International Plc.) with the following details: 1) Bank of America N.A. Commitment of USD 12 727 047 for the short portfolio composed of 1 equity and 1 derivative Commitment of USD 20 370 506 for the long portfolio composed of 2 derivatives Market value of USD 619 434 detailed as follows: – unrealised appreciation of short portfolio: USD 948 028 – unrealised depreciation of long portfolio: USD (445 471) – realised result: USD 116 877 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
108
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD) The below table is composed of long and short positions:
Industrial sector Index Future Swap - Diversified Index Future Swap - Diversified Pharmaceuticals Total
Underlying nature Derivatives Derivatives Equity
Long/Short Long Short Short
Commitment USD 20 370 506 11 302 962 1 424 085 33 097 553
Unrealised appreciation/ (depreciation) USD (445 471) 1 031 644 (83 616) 502 557
2) Deutsche Bank AG Commitment of USD 389 118 701 for the short portfolio composed of 139 equities Commitment of USD 493 614 187 for the long portfolio composed of 125 equities and 46 bonds Market value of USD 13 300 794 detailed as follows: – unrealised appreciation of short portfolio: USD 14 156 269 – unrealised depreciation of long portfolio: USD (10 024 917) – realised result: USD 9 169 434 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 Manufacturers Auto Parts&Equipment Biotechnology Building Materials Coal Commercial Services Computers Diversified Financial Services Electrical Compo&Equip Electric Electronics Energy-Alternate Sources Healthcare-Products Healthcare-Services Home Builders Insurance Internet Investment Companies Iron/Steel Mining Pharmaceuticals REITS
Underlying nature Bond Bond Bond 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 Long Long Long Long Long Long Long
Commitment USD 6 347 656 1 220 625 3 001 312 3 244 000 3 500 12 613 125 10 923 000 472 500 707 203 2 248 438 1 032 750 1 850 469 1 450 844 7 940 006 6 183 688 8 690 250 50 155 750 276 719 1 263 047 586 141 2 647 500 9 640 828
Unrealised appreciation/ (depreciation) USD 873 071 (259 149) (34 965) (718 236) (72 750) 791 908 (4 967 029) (54 579) (350 870) (834 502) (562 119) (1 797 037) 295 822 920 155 1 920 723 107 946 13 422 930 3 414 (382 555) (62 623) (146 692) (581 420)
Merrill Lynch Investment Solutions
109
Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Industrial sector Semiconductors Software Telecommunications Transportation Advertising Aerospace/Defense Aerospace/Defense (a) Agriculture Agriculture Airlines Apparel Auto Manufacturers (a) Auto Parts&Equipment Auto Parts&Equipment Banks Banks Beverages Beverages Biotechnology Building Materials Chemicals Chemicals Commercial Services Commercial Services Computers Computers Distribution/Wholesale Diversified Financial Services Diversified Financial Services 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
Underlying nature 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 Equity Equity Equity Equity
Long/Short Long Long Long Long Long Long Short Long Short Short Short Short Long Short Long Short Long Short Short Short Long Short Long Short Long Short Long Long Short Short Long Short Long Short Long Short Long Short Long Short Long Short Long
Commitment USD 84 689 570 2 226 156 465 470 2 013 609 1 997 165 1 671 520 1 122 995 10 887 399 3 700 253 826 063 5 187 241 21 979 762 1 748 598 581 992 954 777 5 035 780 6 663 225 6 169 925 3 220 108 491 425 5 675 454 3 239 942 11 458 221 9 652 271 28 242 934 14 395 001 5 842 566 22 352 938 21 534 140 327 143 22 441 967 14 305 916 1 481 256 1 348 120 7 068 172 3 160 198 1 994 641 113 941 385 906 442 292 2 260 727 2 134 508 420 434
Unrealised appreciation/ (depreciation) USD (1 749 218) 557 588 67 619 (118 940) 20 364 13 441 25 246 (197 349) 151 544 (304 825) 98 588 1 261 296 (110 919) 195 774 (11 185) 487 082 197 675 41 818 111 806 21 176 (94 577) 102 056 (38 607) 346 226 (2 673 551) 1 208 786 (248 218) (789 370) 747 319 58 813 (968 688) 712 839 (288 201) 568 042 (6 722 835) 4 144 403 (56 820) 1 314 (11 423) 17 562 (12 124) 11 638 7 586
(a) A portion of securities inside these contracts for difference swap 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
110
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Industrial sector Food (a) Food Forest Products&Paper Gas Gas Healthcare-Products Healthcare-Services Healthcare-Services Holding Companies-Divers Holding Companies-Divers Home Builders Home Builders Home Furnishings Household Products/Wares Insurance Insurance Internet Investment Companies Leisure Time Lodging Machinery-Diversified Media Media Mining Mining (a) Miscellaneous Manufacturing Oil&Gas Services Oil&Gas Services Oil&Gas (a) Oil&Gas Packaging&Containers Packaging&Containers Pharmaceuticals Pharmaceuticals Private Equity Real Estate Real Estate REITS REITS Retail Retail Semiconductors Semiconductors
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 Long Long Short Short Long Short Long Short Long Short Long Long Long Short Short Short Short Short Short Long Short Long Short Short Long Short Long Short Long Short Long Short Long Long Short Long Short Long Short Long Short
(a) A portion of securities inside these contracts for difference swap 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
Commitment USD 12 945 366 21 386 990 3 589 305 878 082 4 709 447 1 415 332 4 894 554 8 354 220 664 159 1 519 950 13 722 926 6 164 683 1 396 902 1 464 884 2 826 732 18 480 680 45 050 865 5 614 109 136 229 086 2 513 770 1 616 528 2 315 839 417 663 4 377 141 2 012 919 258 437 5 545 550 25 167 400 11 930 500 4 101 986 1 768 346 14 783 884 10 222 426 793 397 7 067 454 3 821 778 3 773 861 5 585 585 5 949 568 9 205 360 698 266 74 541 018
Unrealised appreciation/ (depreciation) USD 650 038 (1 624 695) (108 372) 65 266 59 587 (295 733) 713 244 (17 807) (43 737) 175 666 (394 951) (1 264 341) 7 178 30 340 (40 240) 983 951 (9 271 093) 414 3 490 7 172 244 931 (8 509) (21 273) (72 705) 1 032 734 191 656 (91 577) 388 522 (2 932 144) 4 547 858 (170 761) 206 213 (905 791) 772 390 (13 782) (408 109) 144 746 (376 630) 264 539 (58 489) 33 669 (30 171) 8 255 933
Merrill Lynch Investment Solutions
111
Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Industrial sector Software Software Telecommunications Telecommunications Transportation Transportation Water Water Total
Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity
Long/Short Long Short Long Short Long Short Long Short
Commitment USD 2 124 488 2 020 636 28 744 677 25 098 865 115 152 1 194 936 176 460 569 013 882 732 888
Unrealised appreciation/ (depreciation) USD (66 742) (377 996) (57 438) (499 231) (3 206) 227 568 8 680 (21 104) 4 131 352
3) Goldman Sachs International Commitment of USD 85 829 828 for the short portfolio composed of 108 equities Commitment of USD 92 965 159 for the long portfolio composed of 84 equities and 1 derivative and 47 equities Market value of USD (1 254 811) detailed as follows: – unrealised appreciation of short portfolio: USD 3 737 461 – unrealised depreciation of long portfolio: USD (3 215 985) – realised result: USD (1 776 287) 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 Index Future Swap - Diversified Aerospace/Defense Agriculture Airlines Apparel Auto Manufacturers Auto Manufacturers Auto Parts&Equipment Auto Parts&Equipment Banks Banks Beverages Building Materials Building Materials Chemicals Chemicals Coal
Underlying nature Derivatives Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity
Long/Short Long Long Long Long Long Long Short Long Short Long Short Short Long Short Long Short Long
Commitment USD 725 957 57 606 341 566 4 060 060 767 992 3 034 846 7 086 639 1 571 568 1 006 633 3 702 760 6 849 496 49 930 120 247 1 361 717 5 555 232 5 233 885 406 377
Unrealised appreciation/ (depreciation) USD (7 329) (3 040) (13 292) (80 243) 22 680 136 375 (280 377) (69 348) 42 406 (258 529) 219 130 119 (6 132) 98 864 (234 700) 184 490 (30 890)
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
112
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Industrial sector Commercial Services Computers Computers Cosmetics/Personal Care Distribution/Wholesale Diversified Financial Services Diversified Financial Services (a) Electrical Compo&Equip Electrical Compo&Equip Electric Electric Electronics Electronics Engineering&Construction Engineering&Construction Food Food Forest Products&Paper Gas Healthcare-Products Holding Companies-Divers Holding Companies-Divers Home Builders Household Products/Wares Insurance Internet Internet Investment Companies Iron/Steel Iron/Steel Lodging Machinery-Constr&Mining Metal Fabricate/Hardware Mining Mining Miscellaneous Manufacturing Miscellaneous Manufacturing Oil&Gas Services Oil&Gas Oil&Gas Packaging&Containers Pharmaceuticals (a) Pharmaceuticals
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 Long Short Long Long Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Long Short Long Long Long Long Short Long Long Short Short Long Long Long Short Long Short Short Long Short Long Long Short
(a) A portion of securities inside these contracts for difference swap 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
Commitment USD 584 844 2 618 653 6 659 645 1 313 541 120 373 6 135 370 7 071 074 2 532 268 622 033 5 891 850 1 686 411 2 948 400 2 234 725 3 651 409 3 032 356 5 157 215 4 157 644 391 486 2 744 602 190 689 297 788 1 186 603 536 540 223 072 4 712 909 1 977 699 1 606 128 60 453 76 514 407 931 2 822 560 2 322 732 1 945 330 1 639 001 4 511 792 777 466 1 164 888 2 410 870 4 544 252 1 748 115 97 031 3 544 833 1 018 493
Unrealised appreciation/ (depreciation) USD (36 633) (158 028) 287 479 83 987 (5 550) (405 164) 356 010 26 632 43 604 (409 303) 41 725 (370 143) 28 314 (164 993) 252 461 93 195 79 112 1 391 156 929 (11 911) (9 529) 20 356 (56 943) (9 513) (212 753) (27 503) 17 107 60 453 (6 405) 40 990 247 170 49 860 (85 021) (115 770) 441 067 (121 543) (1 302) 264 760 (269 798) 108 410 (1 889) (65 731) 35 700
Merrill Lynch Investment Solutions
113
Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Industrial sector Retail Retail Semiconductors Semiconductors Shipbuilding Telecommunications Telecommunications Transportation Transportation (a) Water Water Total
Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity
Long/Short Long Short Long Short Short Long Short Long Short Long Short
Commitment USD 8 439 284 908 389 3 441 753 2 610 482 3 964 085 4 202 167 6 578 798 661 479 2 309 420 1 584 547 2 784 484 178 794 987
Unrealised appreciation/ (depreciation) USD (24 416) 38 439 (263 818) 415 054 404 888 (190 184) 65 988 (60 797) (35 151) 96 283 163 719 521 476
(a) A portion of securities inside these contracts for difference swap are fair valued. See Notes 2.2.6 and 9.
4) Merrill Lynch International Ltd. Commitment of USD 492 654 770 for the short portfolio composed of 304 equities Commitment of USD 573 041 089 for the long portfolio composed of 403 equities Market value of USD 10 771 294 detailed as follows: – unrealised appreciation of short portfolio: USD 7 140 905 – unrealised depreciation of long portfolio: USD (8 344 021) – realised result: USD 11 974 410 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 Advertising Aerospace/Defense Aerospace/Defense Agriculture Airlines Apparel Auto Manufacturers Auto Manufacturers Auto Parts&Equipment Auto Parts&Equipment Banks Banks Beverages
Underlying nature 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
Commitment USD 1 219 072 572 994 5 803 612 3 187 096 3 840 687 12 851 921 7 508 903 14 748 548 30 070 761 24 567 069 13 521 804 39 166 529 41 129 629 724 538
Unrealised appreciation/ (depreciation) USD (23 419) 1 979 (168 392) 12 210 (286 219) (446 780) 29 396 (76 625) 695 924 (108 379) 209 081 (411 971) 634 399 13 056
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
114
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Industrial sector Beverages 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 Engineering&Construction Engineering&Construction Entertainment Environmental Control Food Food Forest Products&Paper Forest Products&Paper Gas Hand/Machine Tools Hand/Machine Tools Healthcare-Products Healthcare-Products Healthcare-Services Healthcare-Services Holding Companies-Divers Holding Companies-Divers Home Builders Home Furnishings Household Products/Wares Household Products/Wares Insurance Insurance
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 Long Short Long Short Long Short Long Short Long Short Long Short Long Short Short Long Short Long Long Long Short Long Short Long Long Short Long Short Long Short Long Short Long Long Long Short Long Short
Commitment USD 14 846 397 5 598 793 16 916 220 30 029 091 18 192 464 14 536 441 7 395 603 25 949 085 7 480 550 2 386 106 2 301 324 3 500 798 365 035 17 242 677 17 756 671 7 889 393 14 498 670 18 884 826 16 946 144 10 851 082 22 930 615 3 977 693 25 794 781 6 630 735 3 005 140 1 427 608 24 281 195 14 251 606 5 230 856 611 331 11 652 194 4 119 612 5 813 082 3 678 678 13 769 907 2 282 958 403 711 1 828 837 1 202 185 3 557 775 13 130 014 3 510 139 161 486 25 258 789 6 503 395
Unrealised appreciation/ (depreciation) USD (236 972) (75 397) 482 981 (522 212) 388 646 (110 695) (43 722) (626 630) (9 130) 53 908 94 994 (158 269) 40 715 (337 799) 192 151 47 860 464 032 (140 490) 88 924 (396 207) 923 379 (78 257) (298 463) 25 244 (54 784) 18 035 (109 241) 24 778 (84 545) 42 984 (107 466) (173 893) 18 257 (43 656) 265 609 (27 666) 11 564 95 915 30 124 (45 826) 23 953 28 875 (2 160) (117 845) 89 415
Merrill Lynch Investment Solutions
115
Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Industrial sector Internet Internet Iron/Steel Iron/Steel Leisure Time Leisure Time Lodging Machinery-Constr&Mining Machinery-Constr&Mining Machinery-Diversified Machinery-Diversified Media Media Metal Fabricate/Hardware Metal Fabricate/Hardware Mining Mining Miscellaneous Manufacturing Miscellaneous Manufacturing Office/Business Equip Office/Business Equip Oil&Gas Services Oil&Gas Services Oil&Gas Oil&Gas Packaging&Containers Pharmaceuticals Pharmaceuticals Real Estate Retail Retail Semiconductors Semiconductors Software Software Storage/Warehousing Telecommunications Telecommunications Textiles Toys/Games/Hobbies Transportation Transportation 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 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 Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Long Short Long Long Short Long Short Long Short Short Long Short Short Long Long Short Long Short
Commitment USD 9 085 430 19 109 383 2 582 609 10 027 672 2 927 308 1 709 102 1 100 524 4 184 197 1 965 368 10 960 476 17 626 557 14 976 111 3 346 193 4 945 670 5 253 797 6 229 355 3 479 264 11 680 301 7 732 804 1 159 271 7 420 199 475 423 11 521 134 5 832 982 8 691 520 1 539 132 38 345 025 13 864 451 56 507 24 551 670 37 963 109 4 138 460 4 048 241 1 959 963 7 557 424 853 906 22 884 876 24 483 857 1 109 961 9 869 348 23 342 145 11 824 596 2 765 985 3 019 698 1 065 695 859
Unrealised appreciation/ (depreciation) USD (141 071) (74 434) (365 539) 670 679 (80 248) 40 145 18 316 (148 638) 87 458 (346 564) 162 636 (161 979) 94 437 30 346 110 427 70 408 261 420 (303 520) (147 852) (85 897) 255 656 3 714 (702 851) 38 804 206 710 (21 920) (1 439 453) 695 607 2 221 (255 772) (563 637) (47 818) 77 365 (35 861) (83 889) 40 162 (186 403) 1 023 312 52 240 (284 197) 88 226 507 889 (1 593) 12 564 (1 203 116)
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
116
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD) 5) Morgan Stanley Capital Services Inc. Commitment of USD 1 145 037 938 for the short portfolio composed of 489 equities Commitment of USD 1 279 834 200 for the long portfolio composed of 477 equities Market value of USD 22 035 944 detailed as follows: – unrealised appreciation of short portfolio: USD 92 371 822 – unrealised depreciation of long portfolio: USD (66 659 475) – realised result: USD (3 676 403) 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 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 Equity Equity Equity Equity Equity Equity Equity Equity 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 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
Commitment USD 5 457 535 4 773 143 32 316 499 19 325 188 16 164 648 18 178 593 2 993 210 21 778 933 15 266 967 1 487 419 9 463 149 24 314 425 8 802 716 49 635 019 30 775 191 18 959 611 21 182 697 32 200 947 33 459 108 6 903 679 8 490 929 33 544 643 37 225 981 4 415 919 36 451 549 63 385 137 76 552 387 84 414 984 8 442 102 111 910 8 396 875 8 345 912
Unrealised appreciation/ (depreciation) USD (327 114) 290 875 (857 803) 1 837 404 (481 048) (1 752 806) 231 574 (554 995) 1 037 174 (159 091) 924 556 (1 011 749) 632 122 (1 769 548) 375 870 41 530 1 116 902 (5 401 376) 7 211 902 (649 583) 1 024 599 (3 290 342) 3 101 808 1 680 753 (1 380 304) 3 545 190 (3 869 320) 3 447 543 117 633 28 236 (691 685) 505 257
Merrill Lynch Investment Solutions
117
Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at September 30, 2015 (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 Engineering&Construction Engineering&Construction Entertainment Entertainment Environmental Control 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 Holding Companies-Divers Home Builders Home Builders Home Furnishings Home Furnishings Household Products/Wares Household Products/Wares Housewares Insurance Insurance Internet Internet Iron/Steel Iron/Steel Leisure Time Leisure Time Lodging 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
Long/Short Long Short Long Short Long Short Long Short 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 Long Short Long Short Long Short Long Short Long Short
Commitment USD 36 706 422 49 004 254 4 455 192 3 070 404 62 023 084 27 187 106 42 259 914 31 720 965 5 625 444 4 225 950 2 564 141 3 193 026 12 745 798 10 365 044 6 164 671 27 899 710 40 215 230 1 686 412 7 104 445 2 464 811 4 371 624 1 292 239 32 542 532 35 993 581 48 287 962 37 232 211 90 581 545 156 3 156 376 11 899 094 17 835 113 1 331 669 6 876 575 1 880 794 1 014 117 56 224 322 23 466 369 20 314 228 30 410 550 9 067 784 4 035 566 12 888 105 3 321 703 10 584 635 16 533 817
Unrealised appreciation/ (depreciation) USD (901 920) 2 185 578 (449 512) 216 876 1 589 786 (747 280) (1 053 843) 1 517 165 3 486 522 (163 158) 106 792 (185 172) 664 523 (6 922) 180 861 (1 581 031) 3 306 949 (152 684) 206 534 98 720 (345 086) 145 890 (1 526 521) 2 139 308 (4 456 856) 5 965 436 (1 603) 4 305 (277 294) 1 258 122 (1 987 260) 132 365 (161 972) 52 084 (53 358) (592 292) 484 271 (1 956 295) 1 383 855 (580 828) 890 121 (843 540) 182 447 (1 122 974) 3 576 561
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
118
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Industrial sector Machinery-Constr&Mining Machinery-Constr&Mining Machinery-Diversified Machinery-Diversified Media Media Metal Fabricate/Hardware Metal Fabricate/Hardware Mining Mining Miscellaneous Manufacturing Miscellaneous Manufacturing Office Furnishings Office/Business Equip Office/Business Equip Oil&Gas Services 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 (a) Textiles Toys/Games/Hobbies Toys/Games/Hobbies Transportation Transportation Trucking&Leasing Trucking&Leasing 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
Long/Short Long Short Long Short Long Short Long Short Long Short Long Short Long Long Short Long Short Long Short Long Short Long Short Short Short Long Short Long Short Long Long Short Long Short Long Long Short Long Short Long Short
(a) A portion of securities inside these contracts for difference swap 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
Commitment USD 499 546 3 042 107 4 516 473 15 066 003 14 568 920 35 008 439 4 019 097 196 166 218 702 8 015 657 17 861 324 11 073 748 62 591 5 123 348 949 933 10 143 054 23 533 447 74 158 205 61 490 365 7 382 547 4 324 430 70 534 140 31 459 239 17 400 946 3 026 051 108 938 049 63 199 345 33 159 902 31 766 029 7 393 779 49 375 793 47 324 581 28 854 028 51 275 678 6 552 257 2 691 471 4 871 473 17 270 517 29 628 069 2 552 440 1 248 518 2 424 872 138
Unrealised appreciation/ (depreciation) USD (66 494) 725 378 441 565 1 176 457 (795 793) 2 003 627 (231 757) 61 060 (6 566) 1 747 121 (2 456 170) 1 074 309 (4 479) (431 662) 69 371 (1 666 436) 2 462 377 (3 879 716) 7 227 589 (518 442) 370 565 (7 919 380) 6 240 574 1 859 961 108 178 (4 227 847) 2 451 934 (542 796) 1 453 351 (561 003) (1 597 025) 2 660 365 (1 198 902) 3 108 357 (907 563) (200 349) 640 740 (1 309 339) 2 595 570 62 081 111 702 25 712 347
Merrill Lynch Investment Solutions
119
Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD) 6) Morgan Stanley & Co. International Plc. Commitment of USD 153 890 719 for the short portfolio composed of 33 equities and 5 derivatives Commitment of USD 372 820 788 for the long portfolio composed of 67 equities and 2 derivatives Market value of USD 2 024 235 detailed as follows: – unrealised appreciation of short portfolio: USD 4 183 208 – unrealised depreciation of long portfolio: USD (6 738 543) – realised result: USD 4 579 570 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 Index Future Swap - Diversified Index Future Swap - Diversified Aerospace/Defense Auto Parts&Equipment Banks Banks Biotechnology Building Materials Chemicals Computers Computers Cosmetics/Personal Care Diversified Financial Services Diversified Financial Services Electric Electric Entertainment Entertainment Gas Healthcare-Products Healthcare-Products Healthcare-Services Healthcare-Services Home Builders Home Builders Internet Media Miscellaneous Manufacturing Oil&Gas Services Oil&Gas Services Pharmaceuticals (a)
Underlying nature 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 Equity
Long/Short Long Short Long Long Long Short Long Long Long Long Short Long Long Short Long Short Long Short Long Long Short Long Short Long Short Short Long Long Long Short Long
Commitment USD 1 854 117 30 115 329 13 805 341 1 407 271 10 626 601 29 158 004 1 034 914 2 384 318 21 129 208 25 293 930 12 705 685 474 166 68 327 469 10 765 027 31 890 006 6 616 719 884 814 660 082 4 847 186 2 106 588 4 442 667 21 976 903 7 551 284 1 653 008 1 671 744 1 556 934 8 279 540 15 418 531 19 217 132 14 949 607 7 252 021
Unrealised appreciation/ (depreciation) USD (21 292) (562 004) 28 846 (6 580) (61 509) (260 739) (175 715) (33 159) (135 682) (400 912) 518 119 (5 839) (38 351) (208 125) 355 158 78 003 (79 748) 36 227 8 888 (384 240) 368 360 (1 039 557) 680 502 (193 522) 196 078 72 986 (510 057) (105 301) (1 203 081) 1 324 713 (157 884)
(a) A portion of securities inside these contracts for difference swap 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
120
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Industrial sector Pharmaceuticals Real Estate REITS Retail Retail Savings&Loans Semiconductors (a) Semiconductors Software Software Telecommunications Telecommunications Transportation Total
Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity
Long/Short Short Short Long Long Short Long Long Short Long Short Long Short Long
(a) A portion of securities inside these contracts for difference swap are fair valued. See Notes 2.2.6 and 9.
The total market value of the contracts for difference swaps is USD 47 496 890. .
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Commitment USD 1 139 232 100 797 92 379 15 598 445 3 627 186 21 231 309 36 435 369 21 990 421 10 651 366 355 943 12 744 463 6 484 058 16 204 393 526 711 507
Unrealised appreciation/ (depreciation) USD 100 806 5 419 (4 367) (1 547 842) 640 762 1 190 457 (1 147 464) 808 737 59 530 38 630 (129 313) 344 734 (1 000 007) (2 555 335)
Merrill Lynch Investment Solutions
121
Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at September 30, 2015 (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 800 000 500 000 532 000 1 685 000 850 000 1 082 610 5 777 500 1 914 000 774 700 100 000 377 000 754 000 100 000 376 000 550 000 1 300 000
Abengoa S.A. 5.125% 05/03/2017 (a) Aroundtown Property Hldg. Plc. 3.000% 09/12/2021 CGG S.A. 5.875% 15/05/2020 Co-Operative Bank Plc. 2.375% 23/10/2015 Co-Operative Bank Plc. 5.125% 20/09/2017 Co-Operative Bank Plc. 11.000% 20/12/2023 Etablissements Maurel et Prom 2.750% 01/07/2021 Manutencoop Facility Management SpA 8.500% 01/08/2020 Misarte 3.250% 01/01/2016 Salzgitter Finance BV 0.000% 05/06/2022 (a) SSE Plc. FRN Perpetual Telecom Italia SpA 3.250% 16/01/2023 Telecom Italia SpA 4.500% 25/01/2021 Telecom Italia SpA 4.875% 25/09/2020 Telecom Italia SpA 5.250% 10/02/2022 Vedanta Resources Jersey Ltd. 5.500% 13/07/2016 Total Bonds
USD EUR EUR EUR GBP GBP EUR
400 340 516 335 513 349 1 889 277 1 406 806 2 018 518 1 066 087
351 920 518 331 417 235 1 874 376 1 255 461 1 813 388 497 228
0.10 0.14 0.11 0.50 0.34 0.49 0.13
EUR EUR EUR GBP EUR EUR EUR EUR USD
2 092 232 1 369 791 106 012 588 842 843 640 122 149 466 790 698 376 1 267 777 15 366 321
1 948 575 1 367 010 95 116 570 638 817 827 120 027 462 281 681 888 1 187 875 13 979 176
0.52 0.37 0.03 0.15 0.22 0.03 0.12 0.18 0.32 3.75
Allergan Plc. Aroundtown Property Hldg. Plc. BCA Marketplace Plc. Cap Gemini S.A. Charter Communications, Inc. - A CIMPOR Cimentos de Portugal SGPS S.A. CK Hutchison Hldg. Ltd. Endo International Plc. International Game Technology Kering Nokia OYJ Perrigo Co. Plc. Snam SpA Telecom Italia SpA Telefonica S.A. Time Warner Cable, Inc. Volkswagen AG - Pref Walgreens Boots Alliance, Inc. Total Shares
USD EUR GBP EUR USD EUR HKD USD USD EUR EUR USD EUR EUR EUR USD EUR USD
7 099 245 537 189 2 593 750 1 646 636 1 965 005 1 363 433 3 620 990 4 914 282 5 205 043 1 188 414 1 824 590 10 234 978 921 851 361 080 1 249 793 1 422 832 25 826 10 616 676 56 791 613
6 833 847 575 239 3 021 060 1 581 989 1 949 649 211 430 3 128 806 4 105 464 4 305 798 1 222 293 1 977 280 8 304 957 948 689 369 032 1 059 817 1 468 861 10 911 10 941 029 52 016 151
1.83 0.15 0.81 0.43 0.52 0.06 0.84 1.10 1.16 0.33 0.53 2.23 0.26 0.10 0.28 0.39 0.00 2.94 13.96
Piraeus Bank S.A. Call Strike Price 1.734 02/01/2018 Total Warrants
EUR
1 510 627 1 510 627
15 737 15 737
0.01 0.01
Shares 25 142 152 465 1 168 040 17 800 11 087 315 685 242 000 59 259 280 874 7 500 290 149 52 807 185 000 300 000 87 668 8 189 100 131 661 Warrants 1 566 480
(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
122
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at September 30, 2015 (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 3 000 000 United States Treasury Bill 0.000% 31/12/2015 36 500 000 United States Treasury Bill 0.000% 04/02/2016 12 000 000 United States Treasury Bill 0.000% 03/03/2016 12 500 000 United States Treasury Bill 0.000% 31/03/2016 10 500 000 United States Treasury Bill 0.000% 28/04/2016 45 000 000 United States Treasury Bill 0.000% 23/06/2016 23 000 000 United States Treasury Bill 0.000% 18/08/2016 10 000 000 United States Treasury Bill 0.000% 15/09/2016 36 000 000 United States Treasury Note/Bond 0.375% 31/05/2016 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
2 999 204 36 470 064 11 987 295 12 484 359 10 486 984 44 922 417 22 923 570 9 968 160 36 018 639 964 961 1 002 1 004 1 012 1 004
2 999 982 36 497 591 11 998 656 12 495 263 10 495 947 44 944 740 22 942 132 9 970 350 36 029 520 1 058 1 057 1 086 1 096 1 099 1 110
0.80 9.80 3.22 3.35 2.82 12.06 6.16 2.68 9.67 0.00 0.00 0.00 0.00 0.00 0.00
188 266 639
188 380 687
50.56
Other transferable securities Bonds 172 558 3 587 613
TIG Finco Plc. FRN 02/03/2020 TIG Finco Plc. 144A 8.750% 02/04/2020 Total Bonds
GBP GBP
248 273 5 491 352 5 739 625
272 177 4 986 004 5 258 181
0.07 1.34 1.41
TIG Finco Plc. (a) Total Shares Total Investments
GBP
115 211 115 211 267 790 036
113 877 113 877 259 763 809
0.03 0.03 69.72
Shares 108 955
(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
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Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD) Industrial classification of investments (as a percentage of net assets as at September 30, 2015) Sovereign Pharmaceuticals Retail Telecommunications Insurance Banks Commercial Services Entertainment Media Computers Holding Companies-Divers Mining Real Estate Gas Electric Oil & Gas Oil & Gas Services Engineering & Construction Building Materials Iron/Steel
Underlying Currency nature contract Futures contracts Currency USD Currency USD Index EUR Index Index Index Index Index Interest rate
EUR EUR GBP EUR SEK USD
Total Futures contracts
% 50.56 5.16 4.11 1.46 1.44 1.34 1.33 1.16 0.91 0.43 0.37 0.32 0.29 0.26 0.15 0.13 0.11 0.10 0.06 0.03 69.72
Geographical classification of investments (as a percentage of net assets as at September 30, 2015) United States United Kingdom Ireland Italy France Hong Kong Finland Spain Jersey Cyprus Portugal Netherlands Greece
Maturity date
% 57.4 3.73 3.33 1.43 1.37 0.84 0.53 0.38 0.32 0.29 0.06 0.03 0.01 69.72
Commitment USD
Unrealised appreciation/ (depreciation) USD
185 26
25 851 437 2 455 863
80 961 39 650
– – – – – –
101 1 751 20 45 63
5 018 675 269 560 25 911 959 1 823 304 5 334 306 1 063 264
88 220 578 498 109 23 233 16 479 31 485
–
1
120 516 67 848 884
(649) 778 066
Number of Number of contracts contracts bought sold
Details
Market
Euro Pound Sterling CAC 40 10 Euro Index DAX Index Euro Stoxx 50 Index FTSE 100 Index FTSE MIB Index OMX 30 Index 5 Year US Treasury Note
Chicago Mercantile Exchange Chicago Mercantile Exchange
14/12/2015 14/12/2015
– –
Euronext Paris Eurex Deutschland Eurex Deutschland ICE Futures Europe Borsa Italiana ICE Futures US Indices
16/10/2015 18/12/2015 18/12/2015 18/12/2015 18/12/2015 16/10/2015
Chicago Board of Trade
31/12/2015
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, 2015 (cont.) (expressed in USD)
Purchase Sale Forward foreign exchange contracts EUR 3 000 000 USD NOK 3 200 000 USD USD 104 832 AUD USD 3 025 264 CHF USD 4 079 651 EUR USD 3 033 986 GBP USD 3 690 161 HKD USD 46 295 HUF EUR 2 050 000 USD GBP 9 050 000 USD USD 1 350 827 EUR GBP 2 000 000 USD USD 6 166 039 EUR USD 13 889 669 GBP USD 373 877 CAD CHF 99 976 USD EUR 238 981 782 USD GBP 1 375 988 USD USD 5 258 CHF USD 9 186 570 EUR USD 101 446 GBP SEK 12 500 000 USD Total forward foreign exchange contracts
Short/ Long Currency Options (cont.) Long EUR Long EUR Long EUR Long EUR Long EUR Long EUR Short GBP Long GBP Short EUR Long EUR Short EUR Long EUR Long EUR Long EUR Long EUR
Description Adidas AG Adidas AG Adidas AG Adidas AG Adidas AG Airbus Group SE Barclays Plc. Barclays Plc. Bayerische Motoren Werke AG Bayerische Motoren Werke AG Cap Gemini S.A. Cap Gemini S.A. Cap Gemini S.A. Cap Gemini S.A. Daimler AG
3 372 830 377 967 150 000 2 950 000 3 650 000 2 000 000 28 600 000 13 000 000 2 306 840 13 872 221 1 200 000 3 024 926 5 500 000 9 050 000 500 000 102 300 267 511 506 2 097 349 5 136 8 228 489 66 817 1 492 933
Counterparty
09/10/2015 09/10/2015 09/10/2015 09/10/2015 09/10/2015 09/10/2015 09/10/2015 09/10/2015 16/10/2015 16/10/2015 16/10/2015 21/10/2015 21/10/2015 21/10/2015 29/10/2015 30/10/2015 30/10/2015 30/10/2015 30/10/2015 30/10/2015 30/10/2015 02/11/2015
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 Call Call Put Call Call Call Call Call Call Call Call Call Put
100.000 92.000 68.000 84.000 63.000 72.000 2.950 2.650 98.000 90.000 84.000 92.000 60.000 60.000 44.000
18/12/2015 18/12/2015 18/12/2015 16/12/2016 16/12/2016 18/03/2016 20/11/2015 20/11/2015 20/11/2015 20/11/2015 18/12/2015 18/12/2015 18/12/2015 18/12/2015 21/12/2018
67 67 29 19 38 53 (1 286) 1 286 (552) 552 (178) 178 89 178 87
150 598 19 196 6 787 18 791 1 656 (14 610) 82 789 (8 626) 57 304 (61 793) 22 055 201 076 401 160 46 323
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Maturity date
Unrealised appreciation/ (depreciation) USD (23 751) (2 866) (463) 5 477 4 939 4 606 (88) (26) (18 058) (164 700) 11 052 4 294 24 934 182 449 986 112 (636 174) (13 347) (3) (2 335) 249 (1 534) (624 247)
Commitment USD – – – – – – 5 746 507* – 6 038 464* – 1 669 016* – – – –
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Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Short/ Long Currency Options (cont.) Long EUR Long EUR Long EUR Long EUR Long EUR Long EUR Long EUR Long GBP Long GBP Long GBP Long GBP Long GBP Short EUR Long EUR Long GBP Long CHF Short EUR Short EUR Short EUR Short EUR Short EUR Short EUR Short EUR Short EUR Long EUR Long EUR Long CHF Long CHF Long CHF Long GBP Long EUR Long EUR Long EUR Long EUR Long EUR Long EUR Short EUR Short EUR Long EUR Short EUR Long EUR Long EUR Long EUR Long EUR Long CHF
Description DAX Index Deutsche Post AG Enel SpA Enel SpA Enel SpA Enel SpA Evonik Industries AG FTSE 100 Index FTSE 100 Index GlaxoSmithKline Plc. GlaxoSmithKline Plc. HSBC Holdings Plc. Kering Kering Lloyds Banking Group Plc. Meyer Burger Technology AG Nokia OYJ Nokia OYJ Nokia OYJ Nokia OYJ Nokia OYJ Nokia OYJ Nokia OYJ Nokia OYJ Repsol S.A. Repsol S.A. Roche Holding AG Roche Holding AG Roche Holding AG SABMiller Plc. SAP SE Siemens AG Siemens AG Siemens AG Siemens AG Siemens AG Snam SpA Snam SpA Snam SpA Snam SpA Snam SpA Snam SpA Snam SpA Suez Environnement Co. Swiss Life Holding AG
Strike Price
Maturity date
Quantity
Market value USD
Call 10 950.000 Put 20.000 Call 4.800 Call 4.000 Put 4.800 Put 4.000 Put 20.000 Call 6 525.000 Call 6 550.000 Call 14.000 Call 15.000 Call 6.800 Call 150.000 Call 175.000 Call 78.000 Put 9.000 Call 5.800 Call 6.000 Call 5.800 Put 5.800 Put 6.000 Put 5.800 Put 5.800 Put 5.600 Put 18.500 Put 18.000 Call 290.000 Call 295.000 Call 270.000 Call 38.000 Call 72.000 Call 110.000 Call 100.000 Call 120.000 Call 100.000 Put 76.000 Call 4.600 Call 4.400 Call 4.800 Call 4.400 Call 4.600 Call 4.200 Put 4.400 Call 15.000 Call 240.000
16/10/2015 15/12/2017 15/12/2016 16/12/2016 15/12/2016 16/12/2016 16/12/2016 16/10/2015 16/10/2015 16/10/2015 16/10/2015 18/12/2015 18/12/2015 18/12/2015 18/12/2015 18/12/2015 18/12/2015 18/12/2015 18/12/2015 18/12/2015 18/12/2015 18/12/2015 18/03/2016 18/03/2016 16/12/2016 16/12/2016 18/12/2015 18/12/2015 18/12/2015 20/11/2015 16/10/2015 16/12/2016 16/12/2016 16/12/2016 21/12/2018 21/12/2018 17/12/2015 17/12/2015 17/12/2015 18/12/2015 18/12/2015 18/12/2015 15/10/2015 18/12/2015 18/12/2015
388 82 210 242 210 242 143 153 330 118 241 892 (75) 174 4 423 66 (125 875) (96 014) (68 260) (123 526) (672) (79 036) (112 560) (83 528) 200 832 171 465 912 27 404 50 50 525 50 75 (89) (7) 134 (137 284) 68 642 68 642 161 80 43
2 165 15 927 16 467 54 783 125 704 73 503 8 141 3 476 7 498 6 256 7 301 3 378 (70 575) 27 192 133 995 19 859 (93 740) (59 881) (50 833) (50 176) (33 755) (32 104) (66 139) (41 041) 199 362 783 839 30 451 61 391 551 624 80 978 451 3 739 8 428 16 995 21 934 117 708 (15 498) (2 145) 11 742 (44 855) 13 023 34 225 3 774 14 288 6 073
Put/ Call
Commitment USD – – – – – – – – – – – – 1 255 781* – – – 814 946* 643 054* 441 932* 799 738 450 072 511 699 728 741 522 133 – – – – – – – – – – – – 456 993* 34 380* – 674 270* – – – – –
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, 2015 (cont.) (expressed in USD)
Short/ Long Currency Options (cont.) Long CHF Short EUR Short EUR Long EUR Long EUR Short EUR Long EUR Long GBP Long GBP Long EUR Long USD Long USD Long USD Long EUR Short EUR Long EUR Total Options
Description Swiss Life Holding AG Telecom Italia SpA Telecom Italia SpA Telecom Italia SpA Telecom Italia SpA Telefonica S.A. Telefonica S.A. Tesco Plc. Tesco Plc. UniCredit SpA USD/SAR USD/SAR USD/SAR Volkswagen AG Volkswagen AG Volkswagen AG
Put/ Call
Strike Price
Maturity date
Quantity
Call Put Put Put Put Call Put Call Call Call Call Call Call Call Call Put
240.000 0.800 0.760 0.640 0.680 12.360 11.370 2.350 2.250 7.200 3.760 3.760 3.760 145.000 170.000 145.000
17/06/2016 16/12/2016 16/12/2016 16/12/2016 16/12/2016 16/06/2017 18/03/2016 18/12/2015 18/12/2015 15/06/2017 20/01/2016 20/01/2016 04/02/2016 16/10/2015 18/12/2015 18/12/2015
13 (1 125) (375) 450 1 377 (868) 1 302 1 476 1 264 168 1 957 349 3 917 693 1 905 000 49 (1) 138
Market value USD 6 227 (62 663) (17 372) 10 850 41 655 (57 737) 209 908 22 358 28 720 67 136 4 635 9 278 5 697 109 (18) 737 247 3 683 814
Commitment USD – 1 004 625 318 131 – – 1 209 542* – – – – – – – – 18 976* – 23 339 000
* The commitment on short call positions is unlimited.
Citibank International, Deutsche Bank AG, Goldman Sachs Bank USA, JPMorgan Chase Bank NA, Merrill Lynch International Bank Ltd., Merrill Lynch, Pierce, Fenner and Smith, Inc. and Société Générale are the counterparties to these options.
Notional Pay Credit default swaps (cont.) (200 000) Fixed 1% (129 000) Fixed 1%
(617 000) Fixed 1%
(187 500) Fixed 5%
(100 000) Fixed 5% (100 000) Fixed 5% (100 000) Fixed 5% (100 000) Fixed 5%
Receive CaixaBank SA 2.500% 18/04/2017 Hungary Government Bond 4.750% 03/02/2015 Hungary Government Bond 6.250% 29/01/2020 Melia Hotels International S.A. 4.500% 04/04/2018 Beni Stabili SpA SIIQ 4.125% 22/01/2018 Beni Stabili SpA SIIQ 4.125% 22/01/2018 Beni Stabili SpA SIIQ 4.125% 22/01/2018 Beni Stabili SpA SIIQ 4.125% 22/01/2018
Currency
EUR
21/12/2016
JPMorgan Chase Bank NA
2 437
200 000
USD
21/06/2019
Barclays Bank Plc.
(1 057)
129 000
USD
21/06/2019
Deutsche Bank AG
(10 952)
617 000
EUR
21/12/2015 Credit Suisse International
6 979
187 500
EUR
21/03/2018
1 671
100 000
EUR
21/03/2018
1 817
100 000
EUR
21/03/2018
2 147
100 000
EUR
21/03/2018
2 275
100 000
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Maturity date
Unrealised appreciation/ (depreciation) Commitment Counterparty USD USD
Barclays Bank Plc. Morgan Stanley Capital Services Inc. Credit Suisse Securities (Europe) Limited Morgan Stanley Capital Services Inc.
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Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Notional Pay Credit default swaps (cont.) (217 000) Fixed 5% (706 000) Fixed 5% (100 000) Fixed 5% (100 000) Fixed 5% (213 108) Fixed 5% (100 000) Fixed 5% (86 892) Fixed 5% (200 000) Fixed 5% (270 000) Fixed 5%
Receive Alcatel-Lucent 8.500% 15/01/2016 Alcatel-Lucent 8.500% 15/01/2016 Astaldi SpA 7.125% 01/12/2020 Astaldi SpA 7.125% 01/12/2020 Air France-KLM 3.875% 18/06/2021 Air France-KLM 3.875% 18/06/2021 Air France-KLM 3.875% 18/06/2021 Beni Stabili SpA SIIQ 4.125% 22/01/2018 Beni Stabili SpA SIIQ 4.125% 22/01/2018
500 000 Siemens Financieringsmaatschappij NV 5.625% 11/06/2018 Fixed 1% 500 000 Siemens Financieringsmaatschappij NV 5.625% 11/06/2018 Fixed 1% 879 000 Telecom Italia SpA 5.375% 29/11/2019 Fixed 1% Total Credit default swaps
Currency
Maturity date
EUR
21/03/2019
Unrealised appreciation/ (depreciation) Commitment Counterparty USD USD
(13 642)
217 000
EUR
21/03/2019
Citibank NA Credit Suisse Securities (Europe) Limited
(37 324)
706 000
EUR
21/03/2019 Credit Suisse International
(1 972)
100 000
EUR
21/06/2019 Credit Suisse International
5 032
100 000
EUR
21/12/2019 Credit Suisse International
(2 632)
213 108
EUR
21/12/2019 Credit Suisse International
550
100 000
EUR
(6 043)
86 892
809
200 000
EUR
21/12/2019 Credit Suisse International Credit Suisse Securities 21/12/2020 (Europe) Limited Goldman Sachs Capital 21/12/2020 Markets LP
3 980
270 000
USD
21/12/2019 Credit Suisse International
(1 010)
500 000
USD
21/12/2019
Credit Suisse Securities (Europe) Limited
(306)
500 000
EUR
21/12/2020 Credit Suisse International
(12 962) (60 203)
879 000 5 405 500
EUR
The maximum individual counterparty exposure for OTC Derivatives as at September 30, 2015 is 4.11% of the NAV.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
128
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD) Contracts for difference swaps The Sub-Fund Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund entered into contracts for difference swaps with thirteen counterparties (Bank of America N.A., Barclays Bank Plc., Citibank NA, Credit Suisse Capital LLC., 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., Société Générale and UBS AG.) with the following details: 1) Bank of America N.A. Commitment of USD 25 223 986 for the short portfolio composed of 2 derivatives and 22 equities Commitment of USD 35 577 383 for the long portfolio composed of 13 equities Market value of USD (540 518) detailed as follows: – unrealised appreciation of short portfolio: USD 1 642 144 – unrealised depreciation of long portfolio: USD (2 148 130) – realised result: USD (34 532) 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 Aerospace/Defense Aerospace/Defense Airlines Airlines Banks Beverages Computers Diversified Financial Services Diversified Financial Services Electric Electric Engineering & Construction Entertainment (a) Insurance Insurance Lodging Mining Miscellaneous Manufacturing Oil&Gas Services Oil&Gas Services Oil&Gas Pharmaceuticals Pharmaceuticals Real Estate
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
Long/Short Short Long Short Long Short Short Long Short Long Short Long Short Short Long Long Short Short Short Short Long Short Short Long Short Long
(a) A portion of securities inside these contracts for difference swap 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
Commitment USD 13 076 838 95 678 899 876 9 082 009 226 903 1 248 088 790 571 446 867 175 795 216 911 487 302 29 746 282 950 1 1 908 338 286 899 1 796 631 7 756 210 989 3 539 019 287 278 732 854 15 592 672 913 618 3 720 243
Unrealised appreciation/ (depreciation) USD 942 708 (16 982) 59 993 1 273 624 (3 741) 361 553 (11 438) (5 651) (32 575) 15 096 (15 567) (251) 137 561 1 (294 926) 5 215 (155 293) 39 975 6 929 (548 849) 25 621 155 494 (2 267 890) (10 325) (224 573)
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Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Industrial sector Semiconductors Telecommunications Telecommunications Total
Underlying nature Equity Equity Equity
Long/Short Short Long Short
Commitment USD 11 318 185 755 4 548 464 60 801 369
Unrealised appreciation/ (depreciation) USD 8 221 (8 955) 59 039 (505 986)
2) Barclays Bank Plc. Commitment of USD 12 792 375 for the short portfolio composed of 19 equities Commitment of USD 18 726 000 for the long portfolio composed of 15 equities Market value of USD (3 003 033) detailed as follows: – unrealised appreciation of short portfolio: USD 282 955 – unrealised depreciation of long portfolio: USD (2 887 032) – realised result: USD (398 956) 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 Beverages Building Materials Building Materials Computers Diversified Financial Services Electric Engineering & Construction Engineering & Construction Entertainment Gas Hand/Machine Tools Iron/Steel Iron/Steel Mining Mining Oil&Gas Services Oil&Gas Pharmaceuticals Real Estate Retail Semiconductors Software
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 Short Long Long Long Short Short Short Short Long Short Long Long Short Long Short Long Short Short Long Long Short Long Short Short
Commitment USD 2 662 903 174 3 096 695 440 224 1 146 689 69 571 17 788 4 764 341 38 612 4 043 1 235 342 56 526 4 789 954 49 828 7 817 1 759 298 1 498 135 834 353 6 703 673 60 222 2 579 154 15 502 41 864
Unrealised appreciation/ (depreciation) USD 196 664 (1 598) 91 280 (20 757) 32 405 17 359 36 (87 818) 309 655 1 (3 226) 6 225 (2 660 084) 14 715 (58 998) (62 840) 149 181 (164 536) 9 513 2 688 (78 936) 11 507 14 046
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
130
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Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Industrial sector Telecommunications Total
Underlying nature Equity
Long/Short Short
Commitment USD 645 666 31 518 375
Unrealised appreciation/ (depreciation) USD (11 868) (2 604 077)
3) Citibank NA Commitment of USD 29 862 480 for the short portfolio composed of 22 equities Commitment of USD 46 883 672 for the long portfolio composed of 11 bonds and 17 equities Market value of USD 950 762 detailed as follows: – unrealised appreciation of short portfolio: USD 3 301 192 – unrealised depreciation of long portfolio: USD (1 278 854) – realised result: USD (1 071 576) 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 (a) Computers (a) Diversified Financial Services Hand/Machine Tools Investment Companies Lodging Real Estate Telecommunications Airlines Auto Manufacturers Biotechnology Chemicals Commercial Services Diversified Financial Services Engineering & Construction Engineering & Construction Entertainment Fund - Closed-end Funds (a) Fund - Closed-end Funds Hand/Machine Tools Iron/Steel Lodging Machinery-Constr&Mining Mining
Underlying nature Bond Bond Bond Bond Bond Bond Bond Bond 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 Short Long Long Short Long Short Long Long Short Short Short Long Short Long
(a) A portion of securities inside these contracts for difference swap 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
Commitment USD 3 683 199 209 297 825 991 797 214 1 250 897 1 897 736 357 200 30 377 892 68 464 126 753 155 338 268 146 2 034 445 67 056 807 966 74 693 0 1 783 982 1 168 857 63 068 103 242 103 880 158 200 494 525
Unrealised appreciation/ (depreciation) USD (1 811 271) (18 976) 25 752 87 927 (57 724) 174 302 (683 773) 800 436 (12 932) (11 754) 5 684 526 142 606 (952) (24 665) 17 886 – 184 670 (77 828) 6 975 16 038 (13 008) 107 164 (34 254)
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Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Industrial sector Mining Miscellaneous Manufacturing Miscellaneous Manufacturing Oil&Gas Real Estate REITS REITS Retail Semiconductors Software Telecommunications Telecommunications Textiles Total
Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity
Long/Short Short Long Short Short Short Long Short Long Long Short Long Short Short
Commitment USD 77 430 40 216 68 654 2 429 558 374 753 541 737 610 305 183 563 4 502 50 237 1 026 067 24 383 563 77 526 76 746 152
Unrealised appreciation/ (depreciation) USD 11 208 (5 303) 5 523 848 456 273 665 73 620 (5 625) (42 677) (4 679) 16 089 (47 677) 2 066 612 10 297 2 022 338
4) Credit Suisse Capital LLC Commitment of USD 355 080 for the short portfolio composed of 1 equity Commitment of USD 3 695 777 for the long portfolio composed of 1 equity Market value of USD (236 713) detailed as follows: – unrealised appreciation of short portfolio: USD 48 718 – unrealised depreciation of long portfolio: USD (288 152) – realised result: USD 2 721 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 Beverages Electric Total
Underlying nature Equity Equity
Long/Short Long Short
Commitment USD 3 695 777 355 080 4 050 857
Unrealised appreciation/ (depreciation) USD (288 152) 48 718 (239 434)
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
132
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD) 5) Credit Suisse Securities (Europe) Limited Commitment of USD 53 895 276 for the short portfolio composed of 23 bonds and 28 equities Commitment of USD 72 041 124 for the long portfolio composed of 42 equities Market value of USD (2 601 996) detailed as follows: – unrealised depreciation of short portfolio: USD (428 437) – unrealised depreciation of long portfolio: USD (2 195 345) – realised result: USD 21 786 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 Banks (a) Computers Electric Engineering&Construction Food Hand/Machine Tools Healthcare-Services Holding Companies-Divers Insurance Mining Miscellaneous Manufacturing Real Estate REITS Water Airlines Apparel Auto Manufacturers Banks Beverages Chemicals Commercial Services Commercial Services Distribution/Wholesale Diversified Financial Services Diversified Financial Services (a) Diversified Electric Electric Electronics Engineering & Construction Engineering & Construction
Underlying nature Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Bond Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity
Long/Short Short Short Short Short Short Short Short Short Short Short Short Short Short Short Short Long Long Long Short Long Long Long Short Long Long Short Long Long Short Long Long Short
(a) A portion of securities inside these contracts for difference swap 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
Commitment USD 1 529 574 1 772 980 5 216 741 6 446 073 647 425 825 467 9 922 1 172 062 2 978 779 1 007 074 1 196 055 3 536 209 148 506 911 955 1 194 479 372 788 373 612 7 311 1 592 772 4 193 576 354 539 43 723 1 816 144 593 964 19 705 896 8 184 004 19 940 3 542 468 200 887 92 835 1 994 348 223 215
Unrealised appreciation/ (depreciation) USD 37 577 24 386 (513 147) 55 657 11 143 2 232 (1 027) (60 277) 51 148 11 217 127 345 181 528 (5 032) (113 284) (30 188) 68 040 11 140 (2 103) 151 313 (189 097) (7 484) (3 857) (111 282) (965) (80 239) 221 666 (110) (16 932) 7 056 1 331 (65 468) 5 946
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Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Industrial sector Entertainment (a) Food Fund - Closed-end Funds Gas Healthcare-Services Home Builders Insurance Investment Companies Investment Companies Lodging Mining Miscellaneous Manufacturing (a) Miscellaneous Manufacturing Oil&Gas Services Oil&Gas Services Oil&Gas Oil&Gas Pharmaceuticals Private Equity Real Estate Real Estate REITS REITS Retail Retail Semiconductors Telecommunications Telecommunications 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
Long/Short Short Long Short Long Long Short Long Long Short Long Short Short Long Long Short Long Short Long Long Long Short Long Short Long Short Short Long Short Long
Commitment USD – 515 605 214 889 1 032 861 833 483 4 208 612 1 175 499 506 699 2 113 619 137 273 1 668 548 157 416 1 024 777 30 393 445 707 1 878 444 1 957 439 22 631 652 296 153 11 571 41 547 236 501 1 345 408 9 233 392 146 850 4 429 907 545 980 489 294 276 125 936 400
Unrealised appreciation/ (depreciation) USD – 14 062 (12 176) 25 180 1 825 (939 176) (33 599) (59 279) 106 053 (15 940) 117 591 10 114 (114 996) (21 176) 168 974 (69 280) 60 020 (1 938 901) (811) 295 7 317 3 976 (15 983) 380 575 34 432 3 474 (49 852) (23 054) (31 680) (2 623 782)
(a) A portion of securities inside these contracts for difference swap are fair valued. See Notes 2.2.6 and 9.
6) Credit Suisse International Commitment of USD 1 501 705 for the short portfolio composed of 3 derivatives Market value of USD (11 280) detailed as follows: – unrealised appreciation of short portfolio: USD 90 587 – realised result: USD (101 867) 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
134
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD) The below table is composed of short positions:
Industrial sector Swap Index - Diversified Swap Index - Healthcare-Services Swap Index - Leisure Time Total
Underlying nature Derivatives Derivatives Derivatives
Long/Short Short Short Short
Commitment USD 808 659 524 129 168 917 1 501 705
Unrealised appreciation/ (depreciation) USD 30 902 53 243 6 442 90 587
7) Deutsche Bank AG Commitment of USD 6 475 553 for the short portfolio composed of 1 derivative and 12 equities Commitment of USD 19 494 046 for the long portfolio composed of 9 equities Market value of USD (580 438) detailed as follows: – unrealised appreciation of short portfolio: USD 368 471 – unrealised depreciation of long portfolio: USD (1 241 497) – realised result: USD 292 588 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 - Healthcare-Services Airlines Airlines Beverages Diversified Financial Services Diversified Financial Services Electric Engineering & Construction Insurance Iron/Steel Mining Miscellaneous Manufacturing Oil&Gas Pharmaceuticals Semiconductors Telecommunications Telecommunications Total
Underlying nature Derivatives 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 Short Long Long Short Short Short Short Short Long Short
Commitment USD 1 807 020 138 694 1 288 849 12 119 127 372 828 167 643 893 280 621 053 3 268 490 1 852 496 114 258 68 654 114 789 2 158 098 8 039 849 131 127 150 25 969 599
Unrealised appreciation/ (depreciation) USD 14 873 10 654 (7 371) (248 958) (24 651) 3 740 (39 446) 75 233 (394 338) (558 096) 8 008 5 523 2 849 249 380 6 305 13 338 9 931 (873 026)
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Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD) 8) Goldman Sachs International Commitment of USD 36 995 511 for the short portfolio composed of 4 derivatives and 11 equities Commitment of USD 20 308 260 for the long portfolio composed of 10 equities Market value of USD (344 980) detailed as follows: – unrealised appreciation of short portfolio: USD 710 107 – unrealised depreciation of long portfolio: USD (3 493 758) – realised result: USD 2 438 671 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 - Financial Swap Index - Leisure Time Swap Index - Industrial Aerospace/Defense Banks (a) Beverages Building Materials Commercial Services Diversified Financial Services Diversified Financial Services Electrical Components & Equipment Electric Engineering & Construction Insurance Iron/Steel Media Mining Oil&Gas Services Oil&Gas Pharmaceuticals Retail Retail Telecommunications Total
Underlying nature Derivatives Derivatives Derivatives Derivatives 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 Long Short Short Long Short Short Long Long Short Long Short Long Long Short Long Long Short Long
Commitment USD 2 766 688 333 424 2 179 054 2 780 415 7 793 322 861 394 135 864 8 067 635 3 479 364 586 668 1 457 197 1 614 018 62 657 4 768 613 1 548 623 3 036 455 1 046 918 76 393 135 166 7 667 24 765 8 914 592 3 059 792 2 567 087 57 303 771
Unrealised appreciation/ (depreciation) USD 110 390 12 380 95 867 (59 498) 11 405 78 154 388 175 565 (77 849) (115 908) 169 904 49 865 (387) (622 885) 115 220 (1 532 366) 37 922 (4 202) (111 632) 3 235 (21 275) (852 926) (12 453) (232 565) (2 783 651)
(a) A portion of securities inside these contracts for difference swap 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
136
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD) 9) HSBC Bank Plc. Commitment of USD 23 803 689 for the short portfolio composed of 13 equities Commitment of USD 45 558 643 for the long portfolio composed of 15 equities Market value of USD (998 724) detailed as follows: – unrealised depreciation of short portfolio: USD (342 973) – unrealised depreciation of long portfolio: USD (574 059) – realised result: USD (81 692) 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 Apparel Auto Parts&Equipment Beverages Building Materials Diversified Financial Services Electronics Engineering & Construction Fund - Equity Healthcare-Products Healthcare-Services Internet Iron/Steel Mining Mining Miscellaneous Manufacturing Oil&Gas Real Estate Retail Retail Semiconductors 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
Long/Short Short Short Long Short Long Short Short Long Long Short Short Long Short Long Short Long Short Long Long Short Short Long
Commitment USD 149 008 8 198 033 4 374 524 1 975 804 11 181 586 16 765 41 083 321 286 4 818 355 3 889 090 1 325 502 7 270 070 15 487 49 566 31 418 480 577 8 058 829 116 332 9 551 559 72 486 30 184 7 394 788 69 362 332
Unrealised appreciation/ (depreciation) USD 12 405 (455 523) 103 759 (86 402) (846 446) 1 625 (25 680) (98 216) 171 764 (24 106) 9 962 1 431 967 1 604 (42 905) 2 091 (10 395) 192 450 (14 805) (81 159) 10 683 17 918 (1 187 623) (917 032)
10) JPMorgan Chase Bank NA Commitment of USD 36 428 735 for the short portfolio composed of 1 bond and 2 derivatives and 12 equities Commitment of USD 63 353 268 for the long portfolio composed of 1 bond and 1 derivative and 30 equities Market value of USD (4 677 874) detailed as follows: – unrealised appreciation of short portfolio: USD 595 424 – unrealised depreciation of long portfolio: USD (6 018 773) – realised result: USD 745 475 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
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Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD) The below table is composed of long and short positions:
Industrial sector Computers Miscellaneous Manufacturing Swap Index - Diversified Swap Index - Financial Swap Index - Communications Aerospace/Defense Airlines Auto Parts&Equipment Banks Beverages Beverages Commercial Services Diversified Financial Services Electric Engineering&Construction Engineering&Construction Gas Hand/Machine Tools Home Builders Insurance Iron/Steel Lodging Mining Mining Miscellaneous Manufacturing Oil&Gas Services Oil&Gas Oil&Gas Pharmaceuticals Real Estate Retail Retail Semiconductors Semiconductors Software Telecommunications Textiles Total
Underlying nature Bond Bond 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 Equity Equity Equity Equity
Long/Short Long Short Short Short Long Short Long Long Long Long Short Long Long Long Long Short Long Short Short Long Long Long Long Short Long Long Long Short Long Short Long Short Long Short Long Long Long
Commitment USD 437 674 3 763 725 21 172 713 1 867 173 762 651 2 285 184 2 338 896 2 723 328 561 417 13 118 636 468 649 118 814 419 103 1 338 209 273 621 2 453 885 1 665 416 14 255 4 234 287 15 093 373 195 441 16 102 028 115 235 16 522 416 950 104 483 402 258 21 935 1 761 20 774 6 192 138 108 729 41 502 904 92 101 373 078 465 155 99 782 003
Unrealised appreciation/ (depreciation) USD 44 933 232 202 838 568 53 741 (34 234) (9 371) (430 650) 175 904 (5 956) (445 774) (35 695) (1 485) (3 230) (46 278) (97 274) 283 102 (25 230) 5 329 (908 452) (3 271 090) (12 127) (1 113 435) (15 589) 14 302 (33 723) (21 137) (43 720) 100 355 (3 919) 4 786 (460 378) 16 025 (24 637) 532 (30 135) (57 826) (61 783) (5 423 349)
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
138
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD) 11) Merrill Lynch International Ltd. No commitment Market value of USD (10 002) detailed as follows: – realised result: USD (10 002) corresponding to the realised loss on securities which is still held at the counterparty (monthly reset) 12) Morgan Stanley Capital Services Inc. Commitment of USD 63 092 095 for the short portfolio composed of 4 derivatives and 15 equities Commitment of USD 34 188 542 for the long portfolio composed of 14 equities Market value of USD (3 169 988) detailed as follows: – unrealised appreciation of short portfolio: USD 2 610 532 – unrealised depreciation of long portfolio: USD (5 892 509) – realised result: USD 111 989 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 - Healthcare-Services Swap Index - Financial Airlines Airlines Banks Beverages Biotechnology Diversified Financial Services Diversified Financial Services Electric Electronics Engineering & Construction Fund - Equity Hand/Machine Tools Healthcare-Products Insurance Iron/Steel Machinery-Constr&Mining Miscellaneous Manufacturing Oil&Gas Services Oil&Gas Pharmaceuticals Retail Semiconductors
Underlying nature 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
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Long/Short Short Short Short Long Short Long Long Long Long Short Long Long Short Short Short Short Long Long Long Short Short Long Long Short Long
Commitment USD 2 924 601 26 720 163 833 798 2 422 460 477 666 8 966 021 2 598 329 24 054 13 001 299 11 015 792 180 427 41 083 119 048 14 298 350 76 881 3 034 575 5 305 313 41 299 304 688 20 108 59 704 261 335 1 017 862 512 670 24 372
Unrealised appreciation/ (depreciation) USD (33 104) 1 227 789 133 154 173 876 60 517 (1 254 126) (229 785) (46) (3 559 239) 220 347 1 704 25 680 2 365 1 016 885 1 474 89 653 (715 096) (6 415) (227 198) 2 626 13 955 (96 586) 13 360 (23 421) (18 638)
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Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Industrial sector Telecommunications Textiles Total
Underlying nature Equity Equity
Long/Short Short Short
Commitment USD 2 611 110 387 629 97 280 637
Unrealised appreciation/ (depreciation) USD (153 194) 51 486 (3 281 977)
13) Société Générale Commitment of USD 23 793 403 for the short portfolio composed of 25 equities Commitment of USD 29 328 111 for the long portfolio composed of 1 bond and 15 equities Market value of USD (2 348 495) detailed as follows: – unrealised appreciation of short portfolio: USD 3 264 163 – unrealised depreciation of long portfolio: USD (6 663 688) – realised result: USD 1 051 030 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 Miscellaneous Manufacturing Airlines Airlines Auto Manufacturers Beverages Commercial Services Commercial Services Diversified Financial Services Diversified Financial Services Electric Electric Engineering&Construction Engineering&Construction Hand/Machine Tools Iron/Steel Iron/Steel Mining Miscellaneous Manufacturing Oil&Gas Oil&Gas Pharmaceuticals REITS (a) Retail
Underlying nature Bond Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity
Long/Short Long Long Short Short Short Long Short Long Short Long Short Short Long Short Long Short Short Short Long Short Short Long Short
Commitment USD 1 679 737 343 341 91 928 9 207 970 9 349 397 571 966 398 984 11 052 367 82 746 121 613 65 441 935 478 807 886 20 405 1 189 810 87 037 1 053 600 205 962 8 058 829 78 404 24 765 1 395 512 36 713
Unrealised appreciation/ (depreciation) USD (286 502) (1 365) 787 2 975 749 16 098 (6 809) 9 787 (6 113 657) (351) (3 471) (837) 195 628 (79 132) 7 236 (29 660) (3 910) 63 747 12 961 (192 450) 6 343 9 535 (2 080) 8 245
(a) A portion of securities inside these contracts for difference swap 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
140
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Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Industrial sector Telecommunications Telecommunications Total
Underlying nature Equity Equity
Long/Short Long Short
Commitment USD 4 107 050 2 154 573 53 121 514
Unrealised appreciation/ (depreciation) USD 51 438 (36 855) (3 399 525)
14) UBS AG Commitment of USD 18 227 960 for the short portfolio composed of 2 derivatives and 25 equities Commitment of USD 34 214 151 for the long portfolio composed of 14 equities Market value of USD (4 604 262) detailed as follows: – unrealised appreciation of short portfolio: USD 277 634 – unrealised depreciation of long portfolio: USD (3 768 492) – realised result: USD (1 113 404) 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 - Insurance Swap Index - Diversified Airlines Airlines Apparel Banks Beverages Building Materials Chemicals Chemicals Commercial Services Computers Diversified Financial Services Diversified Financial Services Engineering & Construction Engineering & Construction Fund - Closed-end Funds Hand/Machine Tools Healthcare-Services Insurance Iron/Steel Iron/Steel Machinery-Constr&Mining Mining Miscellaneous Manufacturing
Underlying nature 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
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Long/Short Short Short Long Short Short Long Long Long Long Short Short Long Long Short Long Short Short Short Short Long Long Short Short Short Short
Commitment USD 5 104 216 672 747 2 409 266 30 640 2 954 428 2 322 050 2 851 493 6 658 11 361 185 54 300 59 407 1 915 238 958 993 1 258 423 87 924 4 208 097 381 112 99 137 544 105 1 169 589 724 021 10 325 87 892 57 129 205 962
Unrealised appreciation/ (depreciation) USD 122 603 59 252 (68 832) 344 11 236 (117 846) 93 412 (802) (1 841 999) (1 574) 743 (610 303) (247 622) (24 992) 3 526 (193 765) (4 844) 28 861 1 815 (80 991) (167 153) 1 604 71 046 4 676 5 744
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Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Industrial sector Oil&Gas Services Oil&Gas Pharmaceuticals Pharmaceuticals Real Estate Retail Retail Telecommunications Total
Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity
Long/Short Short Short Long Short Short Long Short Short
Commitment USD 50 067 450 105 5 422 778 880 16 619 4 984 956 1 296 807 685 562 52 442 111
Unrealised appreciation/ (depreciation) USD (95) 73 430 (410 489) 1 960 1 904 (319 393) 38 325 79 361 (3 490 858)
The total market value of the contracts for difference swaps is USD (22 177 543).
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
142
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund Schedule of Investments as at September 30, 2015 (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 116 000 142 023 192 000 120 000 111 000 76 000 42 000
CHS/Community Health Systems, Inc. 8.000% 15/11/2019 Energy Future Intermediate Hldg. Co. LLC (Defaulted) 144A FRN 01/03/2022 Manitowoc Co., Inc. 5.875% 15/10/2022 NCR Corp. 5.000% 15/07/2022 Pinnacle Entertainment, Inc. 7.500% 15/04/2021 Roofing Supply Group LLC 144A 10.000% 01/06/2020 SunGard Data Systems, Inc. 7.625% 15/11/2020 Total Bonds
USD
121 738
120 713
1.53
USD USD USD USD USD USD
168 331 206 083 118 279 117 425 82 050 43 996 857 902
151 254 204 000 113 700 115 718 81 700 43 575 830 660
1.92 2.59 1.44 1.47 1.04 0.55 10.54
Air Products & Chemicals, Inc. American International Group, Inc. Baker Hughes, Inc. BP Plc. - ADR Cablevision Systems Corp. - A Care Capital Properties, Inc. REIT Cigna Corp. Citigroup, Inc. Computer Sciences Corp. Cytec Industries, Inc. Dealertrack Technologies, Inc. DISH Network Corp. - A Dow Chemical Co. eBay, Inc. Edgewell Personal Care Co. General Electric Co. Health Net, Inc. Hennessy Capital Acquisition Corp. II Hertz Global Hldg., Inc. Hess Corp. Hewlett-Packard Co. Humana, Inc. Huntsman Corp. Johnson Controls, Inc. Liberty Global Plc. - C McDonald's Corp. Microsoft Corp. Mylan NV Northstar Realty Finance REIT Packaging Corp of America PartnerRe Ltd. PayPal Hldg., Inc. Perrigo Co. Plc.
USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD
65 543 240 957 12 866 95 118 8 479 19 472 98 900 82 256 224 206 93 885 75 207 95 960 168 642 16 089 120 956 175 804 79 434 28 530 10 158 13 708 44 891 17 446 4 150 60 135 175 156 360 92 542 199 931 261 579 37 448 48 422 23 705 74 720
63 790 232 962 10 408 70 288 8 377 17 288 81 012 79 376 202 554 94 011 76 487 81 268 161 120 17 108 97 920 166 452 72 264 28 131 8 348 10 012 40 976 17 900 1 812 62 040 164 157 648 97 372 112 728 172 468 30 080 49 025 21 728 62 279
0.81 2.96 0.13 0.89 0.11 0.22 1.03 1.01 2.57 1.19 0.97 1.03 2.04 0.22 1.24 2.11 0.92 0.36 0.11 0.13 0.52 0.23 0.02 0.79 0.00 2.00 1.23 1.43 2.19 0.38 0.62 0.28 0.79
Shares 500 4 100 200 2 300 258 525 600 1 600 3 300 1 273 1 211 1 393 3 800 700 1 200 6 600 1 200 2 853 499 200 1 600 100 187 1 500 4 1 600 2 200 2 800 13 965 500 353 700 396
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
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Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD) Nominal value/ Quantity
Description
Quotation Currency
Cost USD
Market value USD
% of net assets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.) Shares (cont.) 1 900 1 100 29 799 16 780 155 2 767 2 200 2 200 8 4 136 548 1 259 88 2 100 1 000 3 395 1 606 3 800 1 700
Pfizer, Inc. Procter & Gamble Co. SFX Entertainment, Inc. Sirius XM Hldg., Inc. SLM Corp. - Pref Solera Hldg., Inc. SPX Corp. SPX Flow, Inc. StanCorp Financial Group, Inc. Strategic Hotels & Resorts, Inc. Symetra Financial Corp. Thoratec Corp. Time Warner Cable, Inc. Ventas, Inc. WestRock Co. Williams Partners LP Winthrop Realty Trust REIT Yahoo!, Inc. Zoetis, Inc. Total Shares
USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD
61 037 89 540 136 717 60 502 7 388 148 778 36 688 108 784 905 57 739 17 141 79 290 15 130 134 483 61 879 192 528 21 955 153 137 76 138 4 207 433
59 679 79 134 15 194 62 757 6 851 149 418 26 224 75 746 914 57 035 17 339 79 644 15 785 117 726 51 440 108 368 23 062 109 858 70 006 3 531 576
0.76 1.00 0.19 0.80 0.09 1.90 0.33 0.96 0.01 0.72 0.22 1.01 0.20 1.49 0.65 1.37 0.29 1.39 0.89 44.80
USD USD
3 866 340 4 206 5 069 541
4 726 340 5 066 4 367 302
0.06 0.00 0.06 55.40
Other transferable securities Shares 3 781 135
AMR Corp. (a) Contra Leap Wireless (a) Total Shares Total Investments
(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
144
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD) Industrial classification of investments (as a percentage of net assets as at September 30, 2015) Computers REITS Software Chemicals Pharmaceuticals Insurance Healthcare-Services Miscellaneous Manufacturing Machinery-Diversified Cosmetics/Personal Care Media Retail Electric Internet Entertainment Pipelines Building Materials Packaging & Containers Oil & Gas Banks Healthcare-Products Auto Parts & Equipment Commercial Services Holding Companies-Divers Oil & Gas Services Diversified Financial Services Airlines
Purchase Sale Forward foreign exchange contracts (cont.) AUD 57 509 USD USD 45 027 AUD GBP 131 427 USD USD 203 774 GBP EUR 13 297 USD USD 746 EUR USD 18 764 EUR USD 46 839 GBP USD 149 435 EUR USD 146 505 EUR USD 64 441 AUD
% 5.08 4.91 4.10 4.06 3.87 3.81 3.71 3.40 2.59 2.24 2.14 2.00 1.92 1.61 1.47 1.37 1.04 1.03 1.02 1.01 1.01 0.79 0.58 0.36 0.13 0.09 0.06 55.40
41 116 57 509 206 932 131 427 14 885 664 16 608 30 282 131 952 130 648 89 823
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, 2015) United States United Kingdom Ireland Bermuda
% 53.10 0.89 0.79 0.62 55.40
Maturity date
Counterparty
Unrealised appreciation/ (depreciation) USD
21/10/2015 21/10/2015 22/10/2015 22/10/2015 30/10/2015 30/10/2015 18/11/2015 04/12/2015 10/12/2015 16/12/2015 07/01/2016
J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp. State Street Bank and Trust Co. State Street Bank and Trust Co. J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp.
(773) 4 683 (7 872) 4 714 (36) 5 212 983 1 976 483 1 682
Merrill Lynch Investment Solutions
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Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Purchase Sale Forward foreign exchange contracts (cont.) USD 79 728 EUR USD 23 AUD USD 48 408 GBP GBP 129 USD USD 88 931 GBP USD 60 317 EUR USD 75 976 GBP Total forward foreign exchange contracts
Short/ Long Currency Options (cont.) Short USD Long USD Short USD Short USD Long USD Long USD Short USD Long USD Short USD Short USD Short USD Short USD Short USD Long USD Long USD Long USD Long USD Short EUR Short EUR Long EUR Long EUR Short USD Long USD Short USD Long USD Long USD Short USD Long USD Short USD Short USD
Description Aetna, Inc. Aetna, Inc. Air Products & Chemicals, Inc. Air Products & Chemicals, Inc. Air Products & Chemicals, Inc. Air Products & Chemicals, Inc. America Movil SAB de CV America Movil SAB de CV American International Group, Inc. American International Group, Inc. Anadarko Petroleum Corp. Anadarko Petroleum Corp. Anadarko Petroleum Corp. Anadarko Petroleum Corp. Anadarko Petroleum Corp. Anadarko Petroleum Corp. Avago Technologies Ltd. BAY BAY BAY BAY BP Plc. BP Plc. CBS Corp. CBS Corp. CBS Corp. Charter Communications, Inc. Charter Communications, Inc. Cigna Corp. Citigroup, Inc.
72 469 31 31 517 199 58 632 53 512 49 156
Maturity date
Counterparty
20/01/2016 10/02/2016 23/02/2016 23/03/2016 23/03/2016 21/04/2016 21/04/2016
J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp.
Put/ Call
Strike Price
Maturity date
Quantity
Market value USD
Call Call Call Call Put Put Call Put Call Call Call Call Call Put Put Put Call Call Call Put Put Call Put Call Put Put Call Put Call Call
100.000 145.000 120.000 125.000 110.000 110.000 18.000 17.000 52.500 60.000 75.000 77.500 82.500 70.000 70.000 70.000 175.000 115.000 120.000 110.000 105.000 40.000 37.000 47.500 40.000 37.500 210.000 210.000 150.000 45.000
15/01/2016 15/01/2016 20/11/2015 18/12/2015 20/11/2015 18/12/2015 20/11/2015 20/11/2015 20/11/2015 20/11/2015 16/10/2015 20/11/2015 20/11/2015 16/10/2015 20/11/2015 20/11/2015 15/01/2016 20/11/2015 20/11/2015 20/11/2015 20/11/2015 16/10/2015 16/10/2015 18/12/2015 18/12/2015 18/12/2015 15/01/2016 15/01/2016 16/10/2015 20/11/2015
(2) 2 (1) (4) 1 3 (34) 32 (37) (4) (10) (900) (1 900) 7 700 14 2 (800) (300) 300 700 (23) 19 (45) 4 18 (2) 2 (5) (16)
(2 670) 80 (1 050) (3 160) 154 684 (2 550) 1 600 (16 539) (344) (30) (224) (209) 7 294 7 356 15 260 170 (4 846) (1 062) 1 337 2 030 (23) 12 825 (1 755) 1 200 3 618 (400) 7 750 (30) (7 680)
Unrealised appreciation/ (depreciation) USD (1 331) 1 693 (4) 176 341 1 574 7 507
Commitment USD 20 000* – 12 000* 50 000* – – 61 200* – 194 250* 24 000* 75 000* 69 750* 156 750* – – – – 102 695* 40 185* – – 92 000* – 213 750* – – 42 000* – 75 000* 72 000*
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
146
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Short/ Long Currency Options (cont.) Short USD Short USD Long USD Short USD Short USD Short USD Long USD Long USD Long USD Long USD Short USD Short USD Long USD Long USD Short USD Long USD Short USD Short USD Short USD Short USD Short USD Short USD Short USD Long USD Long USD Long USD Long USD Long USD Short USD Short USD Short USD Short USD Short USD Short USD Short USD Long USD Long USD Short USD Short USD Long USD Long USD Short USD Short USD Short USD Short USD
Description Computer Sciences Corp. Computer Sciences Corp. Computer Sciences Corp. DISH Network Corp. DISH Network Corp. DISH Network Corp. DISH Network Corp. DISH Network Corp. DISH Network Corp. DISH Network Corp. Dow Chemical Co. Dow Chemical Co. Dow Chemical Co. Dow Chemical Co. eBay, Inc. eBay, Inc. Edgewell Personal Care Co. Equinix, Inc. General Electric Co. General Electric Co. General Electric Co. General Electric Co. General Electric Co. General Electric Co. General Electric Co. General Electric Co. General Electric Co. General Electric Co. Halliburton Co. Health Net, Inc. Health Net, Inc. Health Net, Inc. Hertz Global Hldg., Inc. Hertz Global Hldg., Inc. Hertz Global Hldg., Inc. Hertz Global Hldg., Inc. Hertz Global Hldg., Inc. Hess Corp. Hewlett-Packard Co. Hewlett-Packard Co. Hewlett-Packard Co. Humana, Inc. Humana, Inc. Humana, Inc. Humana, Inc.
Put/ Call
Strike Price
Maturity date
Quantity
Market value USD
Call Call Put Call Call Call Put Put Put Put Call Call Put Put Call Put Call Call Call Call Call Call Call Put Put Put Put Put Call Call Call Call Call Call Call Put Put Call Call Put Put Call Call Call Call
65.000 62.500 55.000 60.000 62.500 67.500 60.000 575.000 525.000 55.000 46.000 45.000 40.000 38.000 57.500 50.000 80.000 250.000 24.000 25.000 26.000 24.000 33.000 20.000 23.000 24.000 21.000 29.000 42.000 60.000 65.000 62.500 20.000 19.000 20.000 15.000 16.000 52.500 26.000 23.000 23.000 170.000 175.000 180.000 190.000
18/12/2015 18/12/2015 18/12/2015 18/12/2015 18/12/2015 18/12/2015 16/10/2015 16/10/2015 18/12/2015 18/12/2015 16/10/2015 18/12/2015 16/10/2015 18/12/2015 16/10/2015 16/10/2015 20/11/2015 15/01/2016 20/11/2015 20/11/2015 20/11/2015 18/12/2015 18/12/2015 20/11/2015 20/11/2015 20/11/2015 18/12/2015 18/12/2015 16/10/2015 16/10/2015 16/10/2015 16/10/2015 16/10/2015 20/11/2015 20/11/2015 20/11/2015 20/11/2015 16/10/2015 16/10/2015 02/10/2015 16/10/2015 16/10/2015 16/10/2015 20/11/2015 20/11/2015
(22) (11) 27 (8) (3) (2) 5 29 2 6 (26) (12) 21 6 (7) 5 (12) (2) (6) (7) (8) (65) (112) 5 3 5 49 68 (2) (3) (6) (3) (32) (59) (59) 40 47 (2) (16) 1 12 (1) (1) (2) (3)
(4 015) (3 108) 5 130 (3 040) (885) (320) 1 500 4 930 420 1 740 (416) (1 860) 1 365 765 (448) 140 (5 040) (5 940) (966) (714) (408) (10 920) (6 944) 50 105 255 1 274 10 744 (6) (720) (405) (225) (160) (2 655) (1 770) 2 320 3 995 (120) (752) 1 156 (1 075) (600) (1 120) (1 110)
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Commitment USD 143 000* 68 750* – 48 000* 18 750* 13 500* – – – – 119 600* 54 000* – – 40 250* – 96 000* 50 000* 14 400* 17 500* 20 800* 156 000* 369 600* – – – – – 8 400* 18 000* 39 000* 18 750* 64 000* 112 100* 118 000* – – 10 500* 41 600* – – 17 000* 17 500* 36 000* 57 000*
Merrill Lynch Investment Solutions
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Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Short/ Long Currency Options (cont.) Short USD Short USD Short USD Long USD Long USD Long USD Short USD Long USD Short USD Short USD Short USD Short USD Short USD Long USD Long USD Long USD Long USD Short USD Long USD Short USD Short USD Long USD Long USD Short USD Short USD Long USD Long USD Short USD Short USD Short USD Long USD Long USD Short USD Long USD Long USD Short USD Long USD Short USD Long USD Short USD Long USD Short USD Short USD Short USD
Description Huntsman Corp. Huntsman Corp. Huntsman Corp. Huntsman Corp. Huntsman Corp. Huntsman Corp. International Paper Co. International Paper Co. Johnson Controls, Inc. Johnson Controls, Inc. Johnson Controls, Inc. Johnson Controls, Inc. Johnson Controls, Inc. Johnson Controls, Inc. Johnson Controls, Inc. Johnson Controls, Inc. Johnson Controls, Inc. Manitowoc Co, Inc. Manitowoc Co, Inc. McDonald’s Corp. McDonald’s Corp. McDonald’s Corp. McDonald’s Corp. Microsoft Corp. Microsoft Corp. Microsoft Corp. Microsoft Corp. Mylan NV Mylan NV Mylan NV Mylan NV Mylan NV Northstar Realty Finance REIT Northstar Realty Finance REIT Northstar Realty Finance REIT Occidental Petroleum Corp. Occidental Petroleum Corp. Packaging Corp. of America Packaging Corp. of America Perrigo Co. Plc. Perrigo Co. Plc. Pfizer, Inc. Pfizer, Inc. Procter & Gamble Co.
Put/ Call
Strike Price
Maturity date
Quantity
Market value USD
Call Call Call Put Put Put Call Put Call Call Call Call Call Put Put Put Put Call Put Call Call Put Put Call Call Put Put Call Call Call Put Put Call Put Put Call Put Call Put Call Put Call Call Call
18.000 17.000 20.000 11.000 12.000 15.000 49.000 44.000 43.000 45.000 48.000 38.000 40.000 42.000 40.000 36.000 36.000 16.000 14.000 95.000 95.000 87.500 87.500 45.000 44.000 42.000 41.000 55.000 67.500 50.000 60.000 55.000 17.000 13.000 15.000 75.000 67.500 62.500 55.000 185.000 160.000 29.000 30.000 70.000
20/11/2015 20/11/2015 20/11/2015 20/11/2015 20/11/2015 20/11/2015 16/10/2015 16/10/2015 16/10/2015 16/10/2015 16/10/2015 20/11/2015 15/01/2016 16/10/2015 16/10/2015 20/11/2015 15/01/2016 18/12/2015 18/12/2015 16/10/2015 18/12/2015 16/10/2015 18/12/2015 16/10/2015 20/11/2015 16/10/2015 20/11/2015 16/10/2015 16/10/2015 16/10/2015 16/10/2015 16/10/2015 18/12/2015 18/12/2015 18/12/2015 20/11/2015 20/11/2015 16/10/2015 16/10/2015 20/11/2015 20/11/2015 20/11/2015 18/12/2015 20/11/2015
(92) (44) (46) 32 54 56 (51) 42 (28) (6) (5) (2) (13) 5 22 2 10 (77) 77 (10) (6) 7 4 (17) (5) 14 5 (23) (3) (2) 3 16 (19) 40 70 (15) 12 (5) 4 (4) 3 (6) (13) (11)
(460) (220) (115) 6 400 14 742 30 800 (306) 26 145 (840) (36) (25) (580) (2 938) 675 1 232 150 1 350 (5 005) 6 738 (4 100) (3 408) 84 440 (884) (910) 434 590 (69) (10) (10) 5 970 24 480 (475) 6 800 24 920 (450) 6 000 (300) 224 (280) 3 600 (1 707) (2 834) (3 190)
Commitment USD 165 600* 74 800* 92 000* – – – 249 900* – 120 400* 27 000* 24 000* 7 600* 52 000* – – – – 123 200* – 95 000* 57 000* – – 76 500* 22 000* – – 126 500* 20 250* 10 000* – – 32 300* – – 112 500* – 31 250* – 74 000* – 17 400* 39 000* 77 000*
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
148
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Short/ Long Currency Options (cont.) Long USD Short GBP Short USD Short USD Short USD Short USD Long USD Short USD Long USD Long USD Short USD Short USD Short USD Long USD Long USD Long USD Short USD Short EUR Short EUR Short EUR Short USD Long USD Short USD Short USD Short USD Long USD Short USD Short USD Long USD Long USD Short USD Short USD Long USD Total Options
Description Procter & Gamble Co. Royal Dutch Shell Plc. Sirius XM Holdings, Inc. Sirius XM Holdings, Inc. Solera Holdings, Inc. SPDR S&P 500 ETF Trust SPDR S&P 500 ETF Trust SPDR S&P 500 ETF Trust SPDR S&P 500 ETF Trust SPDR S&P 500 ETF Trust SPX Corp. SPX Corp. SPX Corp. SPX Corp. SPX Corp. SPX Corp. Time Warner Cable Inc Vivendi Vivendi Vivendi Vodafone Group Plc. Vodafone Group Plc. Williams Partners LP Williams Partners LP Williams Partners LP Williams Partners LP WR Grace & Co. WR Grace & Co. WR Grace & Co. WR Grace & Co. Yahoo!, Inc. Zoetis, Inc. Zoetis, Inc.
Put/ Call
Strike Price
Maturity date
Quantity
Put 65.000 Call 2 000.000 Call 4.000 Call 4.000 Call 55.000 Put 190.000 Put 194.000 Put 180.000 Put 172.000 Put 188.000 Call 39.000 Call 40.000 Call 60.000 Put 34.000 Put 36.000 Put 45.000 Call 175.000 Call 22.000 Call 23.000 Call 19.500 Call 36.000 Put 33.000 Call 40.000 Call 65.000 Call 42.500 Put 55.000 Call 100.000 Call 97.500 Put 90.000 Put 87.500 Call 23.000 Call 46.000 Put 42.000
20/11/2015 18/12/2015 20/11/2015 18/12/2015 16/10/2015 16/10/2015 16/10/2015 20/11/2015 20/11/2015 20/11/2015 20/11/2015 20/11/2015 18/12/2015 20/11/2015 20/11/2015 18/12/2015 16/10/2015 16/10/2015 16/10/2015 20/11/2015 16/10/2015 16/10/2015 16/10/2015 16/10/2015 18/12/2015 16/10/2015 18/12/2015 18/12/2015 18/12/2015 18/12/2015 20/11/2015 16/10/2015 16/10/2015
9 (1 000) (88) (41) (1) (10) 14 (13) 2 11 (58) (34) (22) 44 30 19 (1) (1 600) (2 300) (2 200) (18) 14 (9) (4) (30) 3 (19) (1) 1 15 (10) (17) 16
Market value USD 540 (24) (440) (328) (20) (3 230) 7 000 (3 588) 312 5 346 (15 254) (6 562) (1 210) 2 596 2 745 4 845 (450) (381) (131) (5 039) (180) 2 282 (189) (80) (1 200) 1 095 (2 755) (243) 345 4 650 (6 250) (612) 3 520 117 666
* The commitment on short call positions is unlimited.
JPMorgan Chase Bank NA and Merrill Lynch Professional Clearing are the counterparties to these options. The maximum individual counterparty exposure for OTC Derivatives as at September 30, 2015 is 9.21% of the NAV.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Commitment USD – 3 029 500* 35 200* 16 400* 5 500* 190 000 – 234 000 – – 226 200* 136 000* 132 000* – – – 17 500* 39 292* 59 049* 47 887* 64 800* – 36 000* 26 000* 127 500* – 190 000* 9 750* – – 23 000* 78 200* – 9 539 558
Merrill Lynch Investment Solutions
149
Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD) Contracts for difference swaps The Sub-Fund Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund entered into contracts for difference swaps with four counterparties (Bank of America N.A., Goldman Sachs International, JPMorgan Chase Bank NA and Merrill Lynch International Ltd.) with the following details: 1) Bank of America N.A. Commitment of USD 20 778 for the short portfolio composed of 1 equity Commitment of USD 323 057 for the long portfolio composed of 6 equities Market value of USD (53 958) detailed as follows: – unrealised depreciation of short portfolio: USD (882) – unrealised depreciation of long portfolio: USD (62 398) – realised result: USD 9 322 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 Chemicals Diversified Financial Services Diversified Financial Services Internet Miscellaneous Manufacturing REITS Total
Underlying nature Equity Equity Equity Equity Equity Equity
Long/Short Long Long Short Long Long Long
Commitment USD 190 122 067 20 778 1 786 52 668 146 346 343 835
Unrealised appreciation/ (depreciation) USD 190 2 314 (882) 1 786 (43 047) (23 641) (63 280)
2) Goldman Sachs International Commitment of USD 37 984 for the short portfolio composed of 1 equity Commitment of USD 713 766 for the long portfolio composed of 5 equities Market value of USD (41 179) detailed as follows: – unrealised depreciation of short portfolio: USD (710) – unrealised depreciation of long portfolio: USD (97 161) – realised result: USD 56 692 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 Forest Products&Paper Fund - Closed-end Funds
Underlying nature Equity Equity Equity
Long/Short Long Long Long
Commitment USD 153 879 192 729 75 534
Unrealised appreciation/ (depreciation) USD 791 (90 147) (4 743)
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
150
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Industrial sector REITS Telecommunications Telecommunications Total
Underlying nature Equity Equity Equity
Long/Short Long Long Short
Commitment USD 235 354 56 270 37 984 751 750
Unrealised appreciation/ (depreciation) USD 9 954 (13 016) (710) (97 871)
3) JPMorgan Chase Bank NA Commitment of USD 498 976 for the short portfolio composed of 8 equities Commitment of USD 1 667 970 for the long portfolio composed of 18 equities Market value of USD (40 030) detailed as follows: – unrealised appreciation of short portfolio: USD 105 637 – unrealised depreciation of long portfolio: USD (129 557) – realised result: USD (16 110) 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 Auto Parts&Equipment Auto Parts&Equipment Chemicals (a) Commercial Services Computers Diversified Financial Services Diversified Financial Services Financial Internet (a) Media Media Pharmaceuticals (a) Semiconductors Semiconductors Telecommunications 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 Long Long Short Long Short Long Long Short Long Long Long Short Long Long Short Long Short Long
(a) A portion of securities inside these contracts for difference swap 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
Commitment USD 353 983 70 384 70 087 161 10 149 69 847 2 068 6 835 148 045 1 518 35 400 38 377 140 530 323 958 149 637 395 793 223 891 126 283 2 166 946
Unrealised appreciation/ (depreciation) USD 363 139 1 643 161 1 009 (9 628) (35) (156) 452 1 518 4 545 3 207 (18 359) (13 944) 16 207 (85 372) 83 727 (9 397) (23 920)
Merrill Lynch Investment Solutions
151
Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD) 4) Merrill Lynch International Ltd. Commitment of USD 1 258 684 for the short portfolio composed of 10 equities Commitment of USD 5 292 611 for the long portfolio composed of 31 equities Market value of USD (431 109) detailed as follows: – unrealised appreciation of short portfolio: USD 53 299 – unrealised depreciation of long portfolio: USD (483 038) – realised result: USD (1 370) 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 Manufacturers Auto Parts & Equipment Auto Parts&Equipment Banks Chemicals Commercial Services Computers Diversified Financial Services Diversified Financial Services Electric (a) Fund - Telecommunications Healthcare-Services Media Media Miscellaneous Manufacturing Miscellaneous Manufactur Oil&Gas Services Oil&Gas Services Oil&Gas Oil&Gas Savings&Loans 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
Long/Short Long Long Long Short Long Long Long Long Short Long Long Long Long Short Long Long Long Short Long Short Long Long Short
Commitment USD 561 374 179 585 78 457 339 387 371 090 243 572 54 918 332 244 137 729 11 812 404 868 162 532 830 148 129 992 129 000 305 784 270 727 212 612 555 779 147 830 336 790 463 931 291 134 6 551 295
Unrealised appreciation/ (depreciation) USD (32 725) 1 739 (1 839) (2 672) (301 319) (87 596) (1 727) (1 530) 2 776 (1 599) 111 667 (9 064) (1 860) (118) (30 596) (8 402) (23 410) 25 503 (121 824) 23 170 23 181 3 866 4 640 (429 739)
(a) A portion of securities inside these contracts for difference swap are fair valued. See Notes 2.2.6 and 9.
The total market value of the contracts for difference swaps is USD (566 276).
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
152
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund Schedule of Investments as at September 30, 2015 (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.) 1 400 000 1 155 000 200 000 725 000 1 457 000 200 000 450 000 1 910 000 535 000 1 635 000 400 000 1 735 000 1 088 476 185 000 3 642 000 315 003 1 895 000 800 000 380 000 660 000 145 000 1 450 000 115 000 280 000 1 290 000 585 000 655 000 4 344 000 3 150 000 705 000 655 000 500 000 465 000 1 275 000
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 Alphabet Hldg. Co., Inc. FRN 01/11/2017 Altegrity, Inc. (Defaulted) 144A 9.500% 01/07/2019 Altice Finco S.A. 144A 7.625% 15/02/2025 Altice S.A. 144A 7.625% 15/02/2025 Altice S.A. 144A 7.750% 15/05/2022 AMAG Pharmaceuticals, Inc. 144A 7.875% 01/09/2023 American Energy-Permian Basin LLC 144A 7.125% 01/11/2020 American Energy-Permian Basin LLC 144A 7.375% 01/11/2021 American Energy-Permian Basin LLC 144A FRN 01/05/2022 Annington Finance No 5 Plc. 144A FRN 15/01/2023 Apex Tool Group LLC 144A 7.000% 01/02/2021 Artesyn Embedded Technologies, Inc. 144A 9.750% 15/10/2020 Artsonig Pty Ltd. 144A FRN 01/04/2019 Atlas Energy Hldg. Operating Co. LLC 9.250% 15/08/2021 Banco Espirito Santo S.A. FRN 28/11/2023 Boparan Finance Plc. 144A 5.500% 15/07/2021 BreitBurn Energy Partners LP 7.875% 15/04/2022 Builders FirstSource, Inc. 144A 10.750% 15/08/2023 Cable One, Inc. 144A 5.750% 15/06/2022 Caesars Entertainment Operating Co., Inc. (Defaulted) FRN 15/02/2020 Caesars Entertainment Operating Co., Inc. (Defaulted) ''Series *'' FRN 15/02/2020 Caesars Entertainment Resort Properties LLC 8.000% 01/10/2020 Caesars Entertainment Resort Properties LLC 11.000% 01/10/2021 Carolina Beverage Group LLC 144A 10.625% 01/08/2018 Choctaw Resort Development Enterprise 144A 7.250% 15/11/2019 Citgo Hldg., Inc. 144A 10.750% 15/02/2020 Co-Operative Bank Plc. FRN 01/07/2025 Cognita Financing Plc. - Reg 7.750% 15/08/2021 CommScope Technologies Finance LLC 144A 6.000% 15/06/2025 Community Choice Financial, Inc. 10.750% 01/05/2019 Constellis Hldg. LLC 144A 9.750% 15/05/2020
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
USD USD USD USD USD USD USD USD USD
1 400 000 993 044 179 066 655 757 1 438 879 200 000 450 000 1 935 453 535 000
1 309 000 889 350 173 500 705 062 1 380 507 186 500 397 406 1 738 100 512 262
0.64 0.43 0.09 0.34 0.67 0.09 0.19 0.84 0.25
USD
1 464 500
956 475
0.47
USD USD GBP USD
400 000 1 665 600 2 121 910 170 941
232 000 433 750 1 929 060 151 700
0.11 0.21 0.94 0.07
USD USD USD EUR GBP USD USD USD
3 629 679 310 803 1 967 789 770 571 536 378 573 793 149 370 1 450 000
3 642 000 12 600 795 900 21 521 503 942 235 950 144 819 1 428 975
1.77 0.01 0.39 0.01 0.25 0.12 0.07 0.69
USD
112 135
94 012
0.05
USD
273 543
229 600
0.11
USD
1 294 146
1 225 500
0.60
USD USD
543 609 670 113
530 887 655 000
0.26 0.32
USD USD GBP GBP
4 301 542 3 043 561 1 108 189 1 022 128
4 278 840 3 079 125 1 006 484 1 007 044
2.08 1.50 0.49 0.49
USD USD USD
500 000 448 463 1 263 997
479 690 153 450 1 160 250
0.23 0.08 0.56
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Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund Schedule of Investments as at September 30, 2015 (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.) 280 000 510 000 790 000 1 540 000 243 849 4 520 000 460 000 200 000 1 805 000 2 120 000 355 000 1 355 000 1 250 000 1 315 000 170 000 865 000 1 085 000 4 085 000 1 235 000 770 000 170 000 1 085 000 6 474 000 2 015 000 6 853 000 265 000 505 000 1 470 000 940 000 1 280 000 1 190 000 1 175 000 1 505 000 510 000 2 165 000 528 000 50 000 200 000 425 000 800 000 53 000 305 000
CSC Hldg. LLC 5.250% 01/06/2024 (traded in Germany) CSC Hldg. LLC 5.250% 01/06/2024 (traded in United States) CSI Compressco LP 7.250% 15/08/2022 DaVita HealthCare Partners, Inc. 5.000% 01/05/2025 Denver Parent Corp. FRN 15/08/2018 Digicel Group Ltd. 144A 7.125% 01/04/2022 Digicel Group Ltd. 144A 8.250% 30/09/2020 Digicel Ltd. 144A 6.750% 01/03/2023 DJO Finco, Inc. 144A 8.125% 15/06/2021 DuPont Fabros Technology LP 5.625% 15/06/2023 Eletson Hldg. 144A 9.625% 15/01/2022 Ephios Bondco Plc. 144A 6.250% 01/07/2022 (a) Ephios Holdco II Plc. 144A 8.250% 01/07/2023 (a) Equinix, Inc. 5.375% 01/01/2022 Frontier Communications Corp. 144A 8.875% 15/09/2020 Frontier Communications Corp. 144A 10.500% 15/09/2022 Frontier Communications Corp. 144A 11.000% 15/09/2025 Harland Clarke Hldg. Corp. 144A 9.250% 01/03/2021 HC2 Hldg., Inc. 144A 11.000% 01/12/2019 Hexion, Inc. 6.625% 15/04/2020 Hexion, Inc. 8.875% 01/02/2018 Horizon Pharma Financing, Inc. 144A 6.625% 01/05/2023 HRG Group, Inc. 7.750% 15/01/2022 Hunt Cos, Inc. 144A 9.625% 01/03/2021 Innovation Ventures LLC 144A 9.500% 15/08/2019 International Game Technology Plc. 144A 6.500% 15/02/2025 Intrepid Aviation Group Hldg. LLC 144A 6.875% 15/02/2019 Jac Hldg. Corp. 144A 11.500% 01/10/2019 Jefferies Finance LLC 144A 7.500% 15/04/2021 Jo-Ann Stores Hldg., Inc. 144A FRN 15/10/2019 Jo-Ann Stores LLC 144A 8.125% 15/03/2019 Jupiter Resources, Inc. 144A 8.500% 01/10/2022 Kirk Beauty One GmbH 144A 8.750% 15/07/2023 Kirk Beauty One GmbH - Reg 8.750% 15/07/2023 Kronos Acquisition Hldg., Inc. 144A 9.000% 15/08/2023 Lehman Brothers Hldg., Inc. 0.000% 06/01/2020 Lehman Brothers Hldg., Inc. 0.000% 14/09/2021 Lehman Brothers Hldg., Inc. 0.000% 30/01/2023 Lehman Brothers Hldg., Inc. 0.000% 06/02/2023 Lehman Brothers Hldg., Inc. 0.000% Perpetual Lehman Brothers Hldg., Inc. 1.000% Perpetual Lehman Brothers Hldg., Inc. 1.000% Perpetual
USD USD USD USD USD USD USD USD USD USD USD EUR EUR USD USD USD USD USD USD USD USD USD USD USD USD
215 662 412 649 754 481 1 540 000 240 674 4 296 874 448 469 185 011 1 827 434 2 112 629 353 937 1 473 048 1 372 313 1 315 000 170 000 865 000 1 085 000 4 089 922 1 230 056 723 561 154 811 979 212 6 487 333 2 036 586 6 667 910
220 850 402 262 643 850 1 478 400 6 096 3 898 500 425 500 180 000 1 759 875 2 130 600 321 275 1 512 518 1 360 987 1 308 425 166 600 843 375 1 049 737 3 395 656 1 179 425 654 500 136 000 957 512 6 352 612 1 894 100 7 058 590
0.11 0.20 0.31 0.72 0.00 1.89 0.21 0.09 0.86 1.04 0.16 0.74 0.66 0.64 0.08 0.41 0.51 1.65 0.57 0.32 0.07 0.47 3.09 0.92 3.43
USD USD USD USD USD USD USD EUR EUR USD USD USD USD USD USD USD USD
265 000 472 080 1 478 949 918 181 1 244 278 1 191 673 1 093 499 1 676 645 568 165 1 945 463 20 113 2 972 7 680 19 203 78 515 3 279 18 664
238 500 454 500 1 444 275 878 900 1 024 000 1 100 750 660 937 1 658 956 562 171 1 937 675 52 800 5 125 20 000 42 500 80 000 5 366 30 500
0.12 0.22 0.70 0.43 0.50 0.54 0.32 0.81 0.27 0.94 0.03 0.00 0.01 0.02 0.04 0 0.02
(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
154
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund Schedule of Investments as at September 30, 2015 (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.) 4 000 7 000 1 000 4 000 17 000 21 000 3 000 17 000 4 000 1 000 12 000 72 000 13 000 8 000 19 000 12 000 22 000 35 000 5 000 8 000 13 000 40 000 1 000 177 000 19 000 12 000 131 000 7 000 3 000 14 000 4 000 49 000 6 000 8 000 15 000 11 000 4 000 4 000 1 000 73 000 28 000 28 000 6 000
Lehman Brothers Hldg., Inc. 4.000% Perpetual Lehman Brothers Hldg., Inc. 4.500% Perpetual Lehman Brothers Hldg., Inc. 4.800% Perpetual Lehman Brothers Hldg., Inc. 5.000% 03/08/2014 Lehman Brothers Hldg., Inc. 5.000% Perpetual Lehman Brothers Hldg., Inc. 5.000% Perpetual Lehman Brothers Hldg., Inc. 5.000% Perpetual Lehman Brothers Hldg., Inc. 5.150% Perpetual Lehman Brothers Hldg., Inc. 5.200% Perpetual Lehman Brothers Hldg., Inc. 5.250% Perpetual Lehman Brothers Hldg., Inc. 5.250% Perpetual Lehman Brothers Hldg., Inc. 5.250% Perpetual Lehman Brothers Hldg., Inc. 5.375% Perpetual Lehman Brothers Hldg., Inc. 5.400% Perpetual Lehman Brothers Hldg., Inc. 5.400% Perpetual Lehman Brothers Hldg., Inc. 5.450% Perpetual Lehman Brothers Hldg., Inc. 5.450% Perpetual Lehman Brothers Hldg., Inc. 5.450% Perpetual Lehman Brothers Hldg., Inc. 5.500% Perpetual Lehman Brothers Hldg., Inc. 5.500% Perpetual Lehman Brothers Hldg., Inc. 5.500% Perpetual Lehman Brothers Hldg., Inc. 5.500% Perpetual Lehman Brothers Hldg., Inc. 5.500% Perpetual Lehman Brothers Hldg., Inc. 5.500% Perpetual Lehman Brothers Hldg., Inc. 5.500% Perpetual Lehman Brothers Hldg., Inc. 5.500% Perpetual Lehman Brothers Hldg., Inc. 5.500% Perpetual Lehman Brothers Hldg., Inc. 5.500% Perpetual Lehman Brothers Hldg., Inc. 5.500% Perpetual Lehman Brothers Hldg., Inc. 5.500% Perpetual Lehman Brothers Hldg., Inc. 5.550% Perpetual Lehman Brothers Hldg., Inc. 5.550% Perpetual Lehman Brothers Hldg., Inc. 5.550% Perpetual Lehman Brothers Hldg., Inc. 5.550% Perpetual Lehman Brothers Hldg., Inc. 5.600% Perpetual Lehman Brothers Hldg., Inc. 5.600% Perpetual Lehman Brothers Hldg., Inc. 5.600% Perpetual Lehman Brothers Hldg., Inc. 5.650% Perpetual Lehman Brothers Hldg., Inc. 5.650% Perpetual Lehman Brothers Hldg., Inc. 5.700% Perpetual Lehman Brothers Hldg., Inc. 5.700% Perpetual Lehman Brothers Hldg., Inc. 5.700% Perpetual Lehman Brothers Hldg., Inc. 5.750% Perpetual
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
257 450 64 257 1 090 1 351 193 1 086 255 64 766 4 602 835 512 1 212 767 1 403 2 235 321 512 834 2 566 64 11 292 1 212 765 8 377 449 192 900 256 3 135 384 510 959 704 257 256 64 4 651 1 784 1 785 386
400 700 100 400 1 700 2 100 300 1 700 400 100 1 200 7 200 1 300 800 1 900 1 200 2 200 3 500 500 800 1 300 4 000 100 17 700 1 900 1 200 13 100 700 300 1 400 400 4 900 600 800 1 500 1 100 400 400 100 7 300 2 800 2 800 600
0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0.01 0 0 0.01 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Merrill Lynch Investment Solutions
155
Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund Schedule of Investments as at September 30, 2015 (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.) 58 000 11 000 12 000 21 000 13 000 1 000 45 000 11 000 13 000 58 000 16 000 14 000 37 000 9 000 9 000 50 000 56 000 50 000 28 000 1 040 000 57 000 23 000 9 000 49 000 53 000 9 000 95 000 24 000 62 000 3 000 17 000 50 000 60 000 21 000 6 000 3 000 44 000 65 000 4 000 2 000 57 000 5 000
Lehman Brothers Hldg., Inc. 5.750% Perpetual Lehman Brothers Hldg., Inc. 5.750% Perpetual Lehman Brothers Hldg., Inc. 5.750% Perpetual Lehman Brothers Hldg., Inc. 5.750% Perpetual Lehman Brothers Hldg., Inc. 5.750% Perpetual Lehman Brothers Hldg., Inc. 5.750% Perpetual Lehman Brothers Hldg., Inc. 5.750% Perpetual Lehman Brothers Hldg., Inc. 5.800% Perpetual Lehman Brothers Hldg., Inc. 5.850% Perpetual Lehman Brothers Hldg., Inc. 5.900% Perpetual Lehman Brothers Hldg., Inc. 5.950% Perpetual Lehman Brothers Hldg., Inc. 6.000% Perpetual Lehman Brothers Hldg., Inc. 6.000% Perpetual Lehman Brothers Hldg., Inc. 6.000% Perpetual Lehman Brothers Hldg., Inc. 6.000% Perpetual Lehman Brothers Hldg., Inc. 6.000% Perpetual Lehman Brothers Hldg., Inc. 6.000% Perpetual Lehman Brothers Hldg., Inc. 6.500% Perpetual Lehman Brothers Hldg., Inc. 6.500% Perpetual Lehman Brothers Hldg., Inc. 6.500% Perpetual Lehman Brothers Hldg., Inc. 6.500% Perpetual Lehman Brothers Hldg., Inc. 6.500% Perpetual Lehman Brothers Hldg., Inc. 6.600% Perpetual Lehman Brothers Hldg., Inc. 6.625% Perpetual Lehman Brothers Hldg., Inc. 6.750% Perpetual Lehman Brothers Hldg., Inc. 6.750% Perpetual Lehman Brothers Hldg., Inc. 6.750% Perpetual Lehman Brothers Hldg., Inc. 6.800% Perpetual Lehman Brothers Hldg., Inc. 6.850% Perpetual Lehman Brothers Hldg., Inc. 6.850% Perpetual Lehman Brothers Hldg., Inc. 7.000% Perpetual Lehman Brothers Hldg., Inc. 7.000% Perpetual Lehman Brothers Hldg., Inc. 7.000% Perpetual Lehman Brothers Hldg., Inc. 7.000% Perpetual Lehman Brothers Hldg., Inc. 7.000% Perpetual Lehman Brothers Hldg., Inc. 7.000% Perpetual Lehman Brothers Hldg., Inc. 7.100% Perpetual Lehman Brothers Hldg., Inc. 7.350% 06/05/2038 Lehman Brothers Hldg., Inc. 9.550% Perpetual (a) Lehman Brothers Hldg., Inc. 10.000% Perpetual (a) Lehman Brothers Hldg., Inc. 21.500% Perpetual (a) Lehman Brothers Hldg., Inc. FRN Perpetual
USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD
3 710 701 767 1 352 833 64 2 875 706 835 3 732 1 021 893 2 365 573 572 3 057 3 592 2 908 1 718 98 593 3 626 1 463 542 3 096 3 255 579 5 769 1 541 3 946 192 1 028 2 932 3 641 1 331 379 189 2 810 3 945 279 135 4 567 299
5 800 1 100 1 200 2 100 1 300 103 4 500 1 100 1 300 5 800 1 600 1 400 3 700 900 900 5 125 5 600 5 000 2 800 104 000 5 843 2 300 900 5 023 5 433 900 9 737 2 460 6 355 300 1 743 5 125 6 150 2 153 615 308 4 400 6 663 290 145 4 133 500
0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0.05 0 0 0 0 0 0 0.01 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
(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
156
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund Schedule of Investments as at September 30, 2015 (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.) 2 000 11 000 60 000 340 000 1 000 267 000 1 000 49 000 9 000 8 000 115 000 93 000 8 000 5 000 57 000 57 000 63 000 6 000 12 000 25 000 31 000 2 000 4 000 575 000 50 000 121 000 2 500 000 520 000 530 000 45 000 2 481 000 54 000 80 000 74 000 150 000 73 000 59 000 72 000 235 000 236 000 236 000 200 000 62 000
Lehman Brothers Hldg., Inc. FRN Perpetual Lehman Brothers Hldg., Inc. FRN Perpetual Lehman Brothers Hldg., Inc. FRN Perpetual Lehman Brothers Hldg., Inc. FRN Perpetual Lehman Brothers Hldg., Inc. (Defaulted) 0.000% 15/08/2010 Lehman Brothers Hldg., Inc. (Defaulted) 0.000% 21/12/2010 Lehman Brothers Hldg., Inc. (Defaulted) 0.000% Perpetual Lehman Brothers Hldg., Inc. (Defaulted) 0.000% Perpetual Lehman Brothers Hldg., Inc. (Defaulted) 0.000% Perpetual Lehman Brothers Hldg., Inc. (Defaulted) 0.000% Perpetual Lehman Brothers Hldg., Inc. (Defaulted) 0.000% Perpetual (a) Lehman Brothers Hldg., Inc. (Defaulted) 0.000% Perpetual (a) Lehman Brothers Hldg., Inc. (Defaulted) 0.000% Perpetual Lehman Brothers Hldg., Inc. (Defaulted) 0.000% Perpetual (a) Lehman Brothers Hldg., Inc. (Defaulted) 0.000% Perpetual (a) Lehman Brothers Hldg., Inc. (Defaulted) 0.000% Perpetual (a) Lehman Brothers Hldg., Inc. (Defaulted) 0.000% Perpetual (a) Lehman Brothers Hldg., Inc. (Defaulted) 0.000% Perpetual Lehman Brothers Hldg., Inc. (Defaulted) 0.000% Perpetual (a) Lehman Brothers Hldg., Inc. (Defaulted) 0.000% Perpetual (a) Lehman Brothers Hldg., Inc. (Defaulted) 0.000% Perpetual Lehman Brothers Hldg., Inc. (Defaulted) FRN 30/12/2016 Lehman Brothers Hldg., Inc. (Defaulted) FRN Perpetual Lehman Brothers Hldg., Inc. Escrow 0.000% 15/11/2008 (a) Lehman Brothers Hldg., Inc. Escrow 0.000% 01/08/2015 Lehman Brothers Hldg., Inc. Escrow 0.000% 30/12/2016 Lehman Brothers Hldg., Inc. Escrow 0.000% 30/12/2016 Lehman Brothers Hldg., Inc. Escrow 0.000% 30/12/2016 Lehman Brothers Hldg., Inc. Escrow 0.000% 29/06/2022 Lehman Brothers Hldg., Inc. Escrow 0.000% 06/03/2023 Lehman Brothers Hldg., Inc. Escrow 0.250% 08/05/2010 (a) Lehman Brothers Hldg., Inc. Escrow 4.700% Perpetual Lehman Brothers Hldg., Inc. Escrow 5.000% Perpetual Lehman Brothers Hldg., Inc. Escrow 5.000% Perpetual Lehman Brothers Hldg., Inc. Escrow 5.000% Perpetual Lehman Brothers Hldg., Inc. Escrow 5.100% Perpetual Lehman Brothers Hldg., Inc. Escrow 5.350% Perpetual Lehman Brothers Hldg., Inc. Escrow 5.350% Perpetual Lehman Brothers Hldg., Inc. Escrow 5.350% Perpetual Lehman Brothers Hldg., Inc. Escrow 5.450% Perpetual Lehman Brothers Hldg., Inc. Escrow 5.550% Perpetual Lehman Brothers Hldg., Inc. Escrow 5.600% Perpetual Lehman Brothers Hldg., Inc. Escrow 5.625% Perpetual
(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
USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD
129 699 3 640 13 042 45 9 095 54 2 737 440 465 9 550 10 345 559 414 4 383 5 282 5 799 277 956 1 961 2 031 105 245 21 249 3 023 7 161 250 376 51 034 33 055 2 776 0 1 772 3 633 3 647 8 467 3 733 2 875 3 405 10 899 11 280 11 225 8 980 2 912
200 1 100 6 000 34 850 100 26 700 100 4 900 900 800 8 338 9 068 800 381 4 133 4 133 4 568 600 870 1 594 3 100 200 405 40 250 5 125 12 402 253 125 52 000 53 000 4 500 179 872 5 400 8 000 7 400 15 000 7 300 5 900 7 200 23 500 23 600 23 600 20 000 6 200
0 0 0 0.02 0 0.01 0 0 0 0 0 0.01 0 0 0 0 0 0 0 0 0 0 0 0.02 0 0.01 0.12 0.03 0.03 0 0.09 0 0 0 0.01 0 0 0 0.01 0.01 0.01 0.01 0
Merrill Lynch Investment Solutions
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Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund Schedule of Investments as at September 30, 2015 (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.) 69 000 94 000 221 000 203 000 96 000 59 000 68 000 737 000 76 000 98 000 168 000 1 355 730 109 000 293 000 50 000 900 000 1 000 548 000 790 000 100 000 350 000 200 000 300 000 650 000 70 000 240 000 75 000 60 000 70 000 70 000 120 000 425 000 366 000 1 000 7 000 704 000 65 000 78 000 403 000 70 000 50 000 134 000 75 000
Lehman Brothers Hldg., Inc. Escrow 5.650% Perpetual Lehman Brothers Hldg., Inc. Escrow 5.700% Perpetual Lehman Brothers Hldg., Inc. Escrow 5.750% 14/09/2029 Lehman Brothers Hldg., Inc. Escrow 5.750% Perpetual Lehman Brothers Hldg., Inc. Escrow 5.900% Perpetual Lehman Brothers Hldg., Inc. Escrow 6.000% Perpetual Lehman Brothers Hldg., Inc. Escrow 6.000% Perpetual Lehman Brothers Hldg., Inc. Escrow 6.000% Perpetual Lehman Brothers Hldg., Inc. Escrow 6.050% Perpetual Lehman Brothers Hldg., Inc. Escrow 6.150% Perpetual Lehman Brothers Hldg., Inc. Escrow 6.500% Perpetual Lehman Brothers Hldg., Inc. Escrow FRN 15/08/2010 Lehman Brothers Hldg., Inc. Escrow FRN 27/02/2013 (a) Lehman Brothers Hldg., Inc. Escrow FRN 29/05/2015 Lehman Brothers Hldg., Inc. Escrow FRN 07/12/2016 Lehman Brothers Hldg., Inc. Escrow FRN 30/12/2016 Lehman Brothers Hldg., Inc. Escrow FRN 30/12/2016 Lehman Brothers Hldg., Inc. Escrow FRN 30/12/2016 Lehman Brothers Hldg., Inc. Escrow FRN 30/12/2016 Lehman Brothers Hldg., Inc. Escrow FRN 30/12/2016 (a) Lehman Brothers Hldg., Inc. Escrow FRN 30/12/2016 (a) Lehman Brothers Hldg., Inc. Escrow FRN 30/12/2016 Lehman Brothers Hldg., Inc. Escrow FRN 30/12/2016 (a) Lehman Brothers Hldg., Inc. Escrow FRN 30/12/2016 (a) Lehman Brothers Hldg., Inc. Escrow FRN 22/11/2019 Lehman Brothers Hldg., Inc. Escrow FRN 30/12/2019 Lehman Brothers Hldg., Inc. Escrow FRN 24/02/2020 Lehman Brothers Hldg., Inc. Escrow FRN 27/07/2020 Lehman Brothers Hldg., Inc. Escrow FRN 17/05/2021 Lehman Brothers Hldg., Inc. Escrow FRN 27/04/2022 Lehman Brothers Hldg., Inc. Escrow FRN 17/10/2022 Lehman Brothers Hldg., Inc. Escrow FRN 27/02/2023 Lehman Brothers Hldg., Inc. Escrow FRN 26/06/2023 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 Lehman Brothers Hldg., Inc. Escrow FRN Perpetual
USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD
3 186 4 549 9 896 9 097 4 443 2 859 3 056 31 392 3 739 4 902 9 375 83 615 10 698 18 376 2 272 40 457 51 23 120 77 533 9 814 34 350 19 629 29 443 63 793 3 140 14 730 3 370 3 631 4 282 3 153 7 357 19 048 21 642 64 447 44 167 2 954 3 679 18 153 4 306 2 971 8 564 3 421
6 900 9 400 22 100 20 300 9 600 5 900 6 800 73 700 7 600 9 800 16 800 137 268 7 903 29 300 5 000 91 125 100 55 485 79 000 6 750 25 375 20 000 21 375 46 312 7 000 24 000 7 500 6 150 7 000 7 000 12 000 42 500 36 600 100 700 70 400 6 663 7 995 41 307 7 000 5 063 13 400 7 500
0 0.01 0.01 0.01 0.01 0 0 0.04 0 0.01 0.01 0.07 0 0.01 0 0.05 0.00 0.03 0.04 0.00 0.01 0.01 0.01 0.02 0.00 0.01 0.00 0.00 0.00 0.00 0.01 0.02 0.02 0.00 0.00 0.04 0.00 0.00 0.02 0.00 0.00 0.01 0.00
(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
158
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund Schedule of Investments as at September 30, 2015 (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.) 41 000 92 000 101 000 87 000 2 300 000 580 000 1 660 000 1 745 000 615 000 2 390 000 885 000 2 645 000 3 667 000 1 386 537 170 000 370 000 1 050 000 1 600 000 4 035 000 954 139 1 345 000 1 090 000 1 825 000 660 000 2 560 000 2 300 000 1 450 000 2 960 000 100 000 390 000 4 785 000 7 035 000 2 765 000 390 000 975 000 330 000
Lehman Brothers Hldg., Inc. Escrow (Defaulted) FRN 28/03/2012 (a) Lehman Brothers Hldg., Inc. Escrow (Defaulted) FRN 31/03/2013 (a) Lehman Brothers Hldg., Inc. Escrow (Defaulted) FRN 30/12/2016 (a) Lehman Brothers Hldg., Inc. Escrow (Defaulted) FRN Perpetual (a) Level 3 Communications, Inc. 5.750% 01/12/2022 Lonestar Resources America, Inc. 144A 8.750% 15/04/2019 LTF Merger Sub, Inc. 144A 8.500% 15/06/2023 Memorial Resource Development Corp. 5.875% 01/07/2022 Midstates Petroleum Co., Inc. 144A 10.000% 01/06/2020 NANA Development Corp. 144A 9.500% 15/03/2019 Natural Resource Partners LP 9.125% 01/10/2018 Neptune Finco Corp. 144A 10.875% 15/10/2025 NeuStar, Inc. 4.500% 15/01/2023 New Cotai LLC 144A FRN 01/05/2019 Northern Oil and Gas, Inc. 8.000% 01/06/2020 Northern Oil and Gas, Inc. - ''Series *'' 8.000% 01/06/2020 Numericable-SFR SAS 144A 6.000% 15/05/2022 ONEOK, Inc. 7.500% 01/09/2023 Outerwall, Inc. 5.875% 15/06/2021 Peterborough Progress Health Plc. 5.581% 02/10/2042 Premier Foods Finance Plc. 144A 6.500% 15/03/2021 PriSo Acquisition Corp. 144A 9.000% 15/05/2023 Rapid Hldg. GmbH - Reg 6.625% 15/11/2020 Rite Aid Corp. 144A 6.125% 01/04/2023 Sinclair Television Group, Inc. 144A 5.625% 01/08/2024 Spanish Broadcasting System, Inc. 144A 12.500% 15/04/2017 Speedy Cash Intermediate Hldg. Corp. 144A 10.750% 15/05/2018 Sprint Corp. 7.125% 15/06/2024 Sprint Corp. 7.875% 15/09/2023 Titan International, Inc. 6.875% 01/10/2020 Transworld Systems, Inc. 144A 9.500% 15/08/2021 Visant Corp. 10.000% 01/10/2017 VIVUS, Inc. 144A 4.500% 01/05/2020 Warren Resources, Inc. 9.000% 01/08/2022 WFS Global Hldg. SAS 144A 9.500% 15/07/2022 (a) Whiting Petroleum Corp. 5.750% 15/03/2021 Total Bonds
(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
USD
3 169
2 973
0.00
USD
5 523
6 670
0.00
USD
4 602
7 070
0.00
USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD GBP GBP USD EUR USD USD
8 135 2 300 000 583 250 1 655 800 1 745 000 623 684 2 334 606 890 650 2 647 000 3 265 558 1 411 186 147 550 352 867 1 050 000 1 611 934 3 683 716 1 435 747 1 970 233 1 086 550 1 982 954 660 000 2 533 869
8 483 2 256 875 379 900 1 568 700 1 587 950 445 875 2 127 100 619 500 2 671 450 3 080 280 1 130 028 126 437 275 187 1 011 937 1 540 992 3 777 769 1 457 465 1 817 347 1 057 300 1 955 669 655 050 2 326 400
0.00 1.10 0.19 0.76 0.77 0.22 1.03 0.30 1.30 1.50 0.55 0.06 0.13 0.49 0.75 1.84 0.71 0.88 0.51 0.95 0.32 1.13
USD
2 437 186
2 346 000
1.14
USD USD USD USD USD USD USD USD EUR USD
1 459 004 2 896 038 105 334 345 801 4 408 012 6 398 200 2 057 096 385 377 1 104 578 308 732 146 939 735
1 145 500 2 278 016 80 937 326 869 2 536 050 5 751 112 1 824 900 85 800 1 099 227 285 615 133 080 583
0.56 1.11 0.04 0.16 1.23 2.79 0.89 0.04 0.53 0.14 64.61
Merrill Lynch Investment Solutions
159
Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund Schedule of Investments as at September 30, 2015 (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 1 300 5 955 8 749 14 023 12 851 41 387 22 454 19 400 78 150 38 978 31 910 8 200 35 395 1 713 1 466 34 270 29 336 39 029 464 852 39 218 685 970 17 871 27 961 76 348 30 303 150 538 6 115 24 738 29 346
Allergan Plc. - A - Pref American Airlines Group, Inc. American Capital Ltd. Cheniere Energy, Inc. Delta Air Lines, Inc. Deutsche Pfandbriefbank AG E*TRADE Financial Corp. Federal National Mortgage Association - O - Pref Federal National Mortgage Association - P - Pref General Motors Co. Hoegh LNG Hldg. Ltd. Horizon Pharma Plc. InterXion Hldg. NV Liberty Global Plc. LiLAC - A Liberty Global Plc. LiLAC - C Liberty Global Plc. - A Liberty Global Plc. - C MGM Resorts International Premier Foods Plc. ProSiebenSat.1 Media AG - Reg Quindell Plc. Sanderson Farms, Inc. Sinclair Broadcast Group, Inc. - A StealthGas, Inc. Telecity Group Plc. Tetragon Financial Group Ltd. Time Warner Cable, Inc. Whiting Petroleum Corp. Zayo Group Hldg., Inc. Total Shares
USD USD USD USD USD EUR USD USD USD USD NOK USD USD USD USD USD USD USD GBP EUR GBP USD USD USD GBP USD USD USD USD
1 310 400 287 596 132 680 549 832 572 110 515 240 481 909 330 093 649 932 1 348 731 427 712 211 304 926 801 60 530 60 024 1 443 729 1 178 228 898 220 268 053 1 636 916 1 078 857 1 441 287 821 662 670 294 514 447 1 593 280 839 599 702 819 802 980 21 755 265
1 226 498 231 233 106 388 677 311 576 624 480 461 591 214 171 690 285 247 1 170 120 430 205 162 524 958 497 57 711 50 196 1 471 554 1 203 363 720 085 225 323 1 919 187 1 054 659 1 225 414 707 972 342 802 499 408 1 452 692 1 096 848 377 749 744 215 20 217 190
0.60 0.11 0.05 0.33 0.28 0.23 0.29 0.08 0.14 0.57 0.21 0.08 0.47 0.03 0.02 0.72 0.58 0.35 0.11 0.93 0.51 0.60 0.34 0.17 0.24 0.71 0.53 0.18 0.36 9.82
USD
1 581 639
1 624 974
0.79
USD
410 351
472 001
0.23
1 991 990 170 686 990
2 096 975 155 394 748
1.02 75.45
Other transferable securities Supranationals, Governments and Local Public Authorities, Debt Instruments 1 970 000 Buckeye Tobacco Settlement Financing Authority - A2 5.875% 01/06/2047 575 000 Golden State Tobacco Securitization Corp. - A1 5.125% 01/06/2047 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
160
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD) Industrial classification of investments (as a percentage of net assets as at September 30, 2015) Telecommunications Media Oil & Gas Retail Commercial Services Holding Companies-Divers Beverages Healthcare-Services Diversified Financial Services Advertising Entertainment Electrical Components & Equipment Real Estate Food REITS Pharmaceuticals Lodging Leisure Time Transportation Engineering & Construction Municipal Household Products/Wares Healthcare-Products Investment Companies Pipelines Banks Miscellaneous Manufacturing Airlines Auto Manufacturers Internet Software Chemicals Oil & Gas Services Coal Biotechnology Sovereign Auto Parts & Equipment Aerospace/Defense Building Materials Hand/Machine Tools
% 10.76 6.91 5.18 4.79 3.93 3.90 3.75 3.47 3.10 2.79 2.75 2.72 1.86 1.84 1.68 1.57 1.37 1.19 1.07 1.03 1.02 0.94 0.86 0.77 0.75 0.73 0.70 0.61 0.57 0.51 0.47 0.39 0.31 0.30 0.25 0.22 0.16 0.09 0.07 0.07 75.45
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, 2015) United States United Kingdom Germany Bermuda Luxembourg France Guernsey Ireland Netherlands Canada Norway Greece Liberia Australia Portugal
% 57.69 7.49 3.19 2.19 1.21 1.02 0.71 0.60 0.47 0.32 0.21 0.17 0.16 0.01 0.01 75.45
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Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Purchase Sale Forward foreign exchange contracts EUR 11 501 000 USD GBP 2 263 000 USD NOK 3 188 000 USD USD 23 259 825 EUR USD 7 725 157 GBP USD 416 101 NOK EUR 164 645 812 USD GBP 2 564 262 USD USD 5 462 110 EUR USD 111 457 GBP USD 5 546 782 GBP USD 513 526 NOK Total forward foreign exchange contracts
Short/ Long Currency Options Short USD Short USD Long USD Short USD Long USD Total Options
Description Horizon Pharma Plc. Michael Kors Hldg. Ltd. Michael Kors Hldg. Ltd. SPDR S&P 500 ETF SPDR S&P 500 ETF
12 806 891 3 451 755 395 099 21 143 000 5 019 000 3 233 000 184 306 168 3 908 577 4 898 154 73 195 3 562 000 4 188 000
Maturity date
Counterparty
20/10/2015 20/10/2015 20/10/2015 20/10/2015 20/10/2015 20/10/2015 30/10/2015 30/10/2015 30/10/2015 30/10/2015 20/01/2016 20/01/2016
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. 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 Put Put
37.000 60.000 50.000 183.000 190.000
20/11/2015 20/11/2015 20/11/2015 20/11/2015 20/11/2015
(82) (695) 695 (973) 973
Market value USD (1 025) (3 475) 37 530 (335 685) 546 826 244 171
Unrealised appreciation/ (depreciation) USD 34 521 (24 178) (21 469) (347 338) 123 297 37 197 (443 175) (24 874) (7 748) 599 153 264 23 325 (496 579)
Commitment USD 303 400* 4 170 000* – 17 805 900 – 22 279 300
* The commitment on short call positions is unlimited.
Merrill Lynch Professional Clearing is the counterparty to these options.
Notional Pay Receive Credit default swaps (20 540 000) Markit CDX North America High Yield Index 24v1 Fixed 5% Total Credit default swaps
Currency
USD
Maturity date
23/06/2020
Unrealised appreciation/ (depreciation) Commitment Counterparty USD USD Merrill Lynch, Pierce, Fenner and Smith, Inc.
(582 432) (582 432)
20 540 000 20 540 000
The maximum individual counterparty exposure for OTC Derivatives as at September 30, 2015 is 1.61% of the NAV.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
162
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Merrill Lynch Diversified Futures UCITS Fund Schedule of Investments as at September 30, 2015 (expressed in USD)
Nominal value
Quotation Currency
Description
Cost USD
Market value USD
% of net assets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market Bonds 20 000 000 19 000 000 25 000 000 20 000 000 24 000 000 25 000 000
World Bank Discount Notes 0.000% 13/10/2015 World Bank Discount Notes 0.000% 27/10/2015 World Bank Discount Notes 0.000% 19/11/2015 World Bank Discount Notes 0.000% 02/12/2015 World Bank Discount Notes 0.000% 08/12/2015 World Bank Discount Notes 0.000% 07/01/2016 Total Bonds
Supranationals, Governments and Local Public Authorities, Debt Instruments 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, 2015) Sovereign
Purchase Sale Forward foreign exchange contracts EUR 222 533 460 USD GBP 2 286 993 USD USD 3 634 428 EUR USD 98 396 GBP Total forward foreign exchange contracts
% 53.14 53.14
249 102 602 3 485 948 3 259 173 64 618
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
USD USD USD USD USD USD
19 999 600 18 999 177 24 995 406 19 995 178 23 993 653 24 990 472 132 973 486
19 999 800 18 999 582 24 997 800 19 996 220 23 995 008 24 991 150 132 979 560
7.99 7.59 9.99 7.99 9.59 9.99 53.14
USD USD USD USD USD USD
1 325 1 382 1 401 1 394 1 431 1 447
1 367 1 434 1 453 1 436 1 462 1 483
0.00 0.00 0.00 0.00 0.00 0.00
8 380 132 981 866
8 635 132 988 195
0.00 53.14
Geographical classification of investments (as a percentage of net assets as at September 30, 2015) United States
Maturity date
Counterparty
30/10/2015 30/10/2015 30/10/2015 30/10/2015
State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co.
% 53.14 53.14
Unrealised appreciation/ (depreciation) USD (595 412) (22 184) (5 151) 529 (622 218)
Merrill Lynch Investment Solutions
163
Merrill Lynch Investment Solutions – Merrill Lynch Diversified Futures UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Notional Pay Total return swaps 2 099 575 0.2% 1
Receive
Currency
MLI Winton Underlying Basket composed of:1
USD
Maturity date
31/12/2050
Unrealised appreciation/ (depreciation) Commitment Counterparty USD USD Merrill Lynch International Ltd.
(6 045 874)
–
Cash is a part of underlying basket of this Total Return Swap.
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 Currency USD New Zealand Dollar Currency USD Pound Sterling Currency USD Swiss Franc Currency USD US Dollar 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 Index Index
ZAR
Index Index Index
HKD HKD USD
Index
SGD
Index
USD
Index
USD
Index Index Index
JPY SEK USD
Index Index
USD USD
Index
CAD
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 ICE Futures US Currencies NYSE Liffe Amsterdam Euronext Paris Eurex Deutschland Chicago Board of Trade Eurex Deutschland ICE Futures Europe Singapore Exchange (was SIMEX) FTSE JSE TOP 40 Index South African Futures Exchange Hang Seng Index Hong Kong Futures Exchange H-Shares Index Hong Kong Futures Exchange MSCI Emerging Markets OMX Nordic Exchange Mini Index Stockholm 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 ICE Futures US Indices Russell 2000 Mini Index OMX Nordic Exchange Stockholm 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
Maturity date
Number of contracts bought
Number of contracts sold
14/12/2015 15/12/2015 14/12/2015 14/12/2015 14/12/2015 14/12/2015 14/12/2015 14/12/2015 14/12/2015 16/10/2015 16/10/2015 18/12/2015 18/12/2015 18/12/2015 18/12/2015
– – – – 52 – 10 – 5 – – – – – –
220 224 196 73 – 29 – 75 – 2 8 12 8 66 20
29/10/2015
9
–
17/12/2015 29/10/2015 29/10/2015
– – –
19 30 30
18/12/2015
–
58
29/10/2015
–
14
29/10/2015
–
12
18/12/2015 10/12/2015 16/10/2015
3 – –
– 1 23
18/12/2015 18/12/2015
– –
39 14
18/12/2015 17/12/2015
– –
2 3
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
164
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Merrill Lynch Diversified Futures UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Underlying Currency nature contract Details Futures contracts (cont.) Index USD SGX CNX Nifty Index Index Interest rate
AUD AUD
Interest rate
CAD
Interest rate
JPY
Interest rate
USD
Interest rate Interest rate
USD CAD
Interest rate
CAD
Interest rate Interest rate Interest rate Interest rate Interest rate Interest rate Interest rate Interest rate Interest rate Interest rate Interest rate Interest rate Interest rate Interest rate Interest rate Interest rate Interest rate
EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR CHF CHF JPY JPY JPY JPY NZD
Interest rate
NZD
Interest rate
AUD
Interest rate Interest rate
USD AUD
Interest rate
AUD
Interest rate
AUD
Interest rate
AUD
SPI 200 Index 10 Year Australian Treasury Bond 10 Year Government of Canada Bond 10 Year Japan Government Bond 10 Year US Treasury Note 2 Year US Treasury Note 3 Month Canadian Banker’s Acceptance 3 Month Canadian Banker’s Acceptance 3 Month Euribor 3 Month Euribor 3 Month Euribor 3 Month Euribor 3 Month Euribor 3 Month Euribor 3 Month Euribor 3 Month Euribor 3 Month Euribor 3 Month Euribor 3 Month Euroswiss 3 Month Euroswiss 3 Month Euroyen 3 Month Euroyen 3 Month Euroyen 3 Month Euroyen 3 Month New Zealand Bank Bill 3 Month New Zealand Bank Bill 3 Year Australian Treasury Bond 5 Year US Treasury Note 90 Day Australian Bank Bill 90 Day Australian Bank Bill 90 Day Australian Bank Bill 90 Day Australian Bank Bill
Maturity date
Number of contracts bought
Number of contracts sold
Singapore Exchange (was SIMEX) Australian Stock Exchange
29/10/2015 17/12/2015
– –
50 13
Australian Stock Exchange
15/12/2015
55
–
Montreal Exchange
18/12/2015
30
–
Osaka Exchange
14/12/2015
70
–
Chicago Board of Trade Chicago Board of Trade
21/12/2015 31/12/2015
115 417
– –
Montreal Exchange
14/12/2015
45
–
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 Tokyo Financial Exchange Tokyo Financial Exchange Tokyo Financial Exchange Tokyo Financial Exchange
14/03/2016 19/12/2016 18/12/2017 13/06/2016 19/06/2017 18/06/2018 13/03/2017 19/03/2018 19/09/2016 18/09/2017 17/09/2018 14/12/2015 14/03/2016 19/12/2016 13/06/2016 14/03/2016 16/09/2016
47 254 273 243 262 281 258 277 248 266 281 2 4 31 20 17 24
– – – – – – – – – – – – – – – – –
Australian Stock Exchange
16/12/2015
30
–
Australian Stock Exchange
16/03/2016
22
–
Australian Stock Exchange Chicago Board of Trade
15/12/2015 31/12/2015
124 414
– –
Australian Stock Exchange
10/12/2015
80
–
Australian Stock Exchange
09/06/2016
56
–
Australian Stock Exchange
10/03/2016
85
–
Australian Stock Exchange
08/09/2016
47
–
Market
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Merrill Lynch Investment Solutions
165
Merrill Lynch Investment Solutions – Merrill Lynch Diversified Futures UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Underlying Currency nature contract Details Futures contracts (cont.) Interest rate USD 90 Day Euro Interest rate USD 90 Day Euro Interest rate USD 90 Day Euro Interest rate USD 90 Day Euro Interest rate USD 90 Day Euro Interest rate USD 90 Day Euro Interest rate USD 90 Day Euro Interest rate USD 90 Day Euro Interest rate USD 90 Day Euro Interest rate USD 90 Day Euro Interest rate USD 90 Day Euro 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 USD US Long Bond Interest rate USD US Ultra Long Bond
Purchase Sale Forward foreign exchange contracts (cont.) BRL 25 012 485 USD USD 7 000 000 BRL CLP 622 780 000 USD CNY 66 393 937 USD IDR 25 821 600 000 USD INR 551 139 688 USD KRW 355 950 000 USD MYR 5 970 250 USD PHP 69 919 000 USD RUB 46 908 500 USD TWD 3 300 000 USD
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 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 ICE Futures Europe ICE Futures Europe Eurex Deutschland Eurex Deutschland Eurex Deutschland Eurex Deutschland Eurex Deutschland Eurex Deutschland ICE Futures Europe Chicago Board of Trade Chicago Board of Trade
Maturity date
Number of contracts bought
Number of contracts sold
19/12/2016 18/12/2017 17/12/2018 13/06/2016 19/06/2017 18/06/2018 13/03/2017 19/03/2018 19/09/2016 18/09/2017 17/09/2018 21/12/2016 20/12/2017 15/06/2016 21/06/2017 20/06/2018 15/03/2017 21/03/2018 21/09/2016 20/09/2017 19/09/2018 08/12/2015 08/12/2015 08/12/2015 08/12/2015 08/12/2015 08/12/2015 29/12/2015 21/12/2015 21/12/2015
416 403 66 358 407 398 409 399 425 406 397 223 217 221 221 215 222 213 221 217 216 35 36 520 228 1 632 69 35 23
– – – – – – – – – – – – – – – – – – – – – – – – – – – – – –
Maturity date 7 000 000 27 950 288 900 000 10 700 000 1 800 000 8 400 000 300 000 1 400 000 1 500 000 700 000 100 000
02/10/2015 02/10/2015 30/10/2015 30/10/2015 30/10/2015 30/10/2015 30/10/2015 30/10/2015 30/10/2015 30/10/2015 30/10/2015 The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
166
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Merrill Lynch Diversified Futures UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Purchase Sale Forward foreign exchange contracts (cont.) USD 10 700 000 CNY USD 200 000 IDR USD 900 000 INR USD 2 400 000 KRW USD 2 100 000 TWD BRL 24 109 155 USD USD 1 400 000 BRL USD 1 900 000 KRW CNY 61 182 560 USD IDR 17 790 000 000 USD INR 471 706 125 USD USD 9 900 000 CNY USD 700 000 INR USD 1 800 000 TWD AUD 3 000 000 NZD EUR 1 200 000 HUF EUR 9 600 000 NOK EUR 600 000 PLN EUR 9 000 000 SEK HUF 1 064 749 380 EUR ILS 391 662 USD NOK 13 206 354 EUR NOK 2 000 000 SEK NZD 442 666 AUD PLN 28 806 568 EUR SEK 18 721 275 EUR SEK 24 199 659 NOK SGD 282 657 USD TRY 20 567 912 USD USD 1 200 000 ILS USD 3 900 000 SGD USD 700 000 TRY USD 900 000 ZAR ZAR 5 616 879 USD CNY 56 173 600 USD INR 300 292 000 USD USD 9 100 000 CNY CNY 64 866 640 USD USD 5 800 000 CNY CNY 28 084 300 USD USD 800 000 CNY CNY 23 474 400 USD USD 800 000 CNY Total return swaps
Maturity date 65 783 860 2 989 500 000 60 134 000 2 834 340 000 68 507 000 5 900 000 5 714 350 2 220 569 000 9 900 000 1 200 000 7 100 000 63 563 475 47 171 000 58 637 000 3 344 135 377 648 580 89 252 938 2 547 348 84 691 658 3 400 000 100 000 1 400 000 1 982 014 400 000 6 800 000 2 000 000 24 000 000 200 000 6 600 000 4 709 739 5 558 853 2 180 860 12 623 322 400 000 9 100 000 4 500 000 58 891 672 10 500 000 37 847 626 4 300 000 5 208 675 3 600 000 5 178 125
30/10/2015 30/10/2015 30/10/2015 30/10/2015 30/10/2015 04/11/2015 04/11/2015 25/11/2015 27/11/2015 27/11/2015 27/11/2015 27/11/2015 27/11/2015 27/11/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 16/12/2015 17/12/2015 17/12/2015 23/12/2015 23/12/2015 23/12/2015 29/01/2016 29/01/2016 26/02/2016 26/02/2016 31/03/2016 31/03/2016 (6 045 874)
The maximum individual counterparty exposure for OTC Derivatives as at September 30, 2015 is 1.82% of the NAV. The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
–
Merrill Lynch Investment Solutions
167
Merrill Lynch Investment Solutions – Castlerigg Equity Event and Arbitrage UCITS Fund Schedule of Investments as at September 30, 2015 (expressed in USD) Nominal value/ Quantity
Quotation Currency
Description
Cost USD
Market value USD
% of net assets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market Shares 118 080 154 600 125 428 120 302 303 329 64 200 193 898 184 915 22 644 47 300 12 400 275 030 554 200 150 700
Akorn, Inc. Ally Financial, Inc. Avolon Hldg. Ltd. Bob Evans Farms, Inc. Brookdale Senior Living, Inc. Cablevision Systems Corp. - A Ethan Allen Interiors, Inc. Hudson's Bay Co. Integrated Silicon Solution, Inc. Solera Holdings, Inc. StanCorp Financial Group, Inc. SunEdison, Inc. Viavi Solutions, Inc. Vivint Solar, Inc. Total Shares
USD USD USD USD USD USD USD CAD USD USD USD USD USD USD
5 496 524 3 244 016 3 702 529 5 830 746 9 973 857 2 105 664 5 425 348 4 075 234 504 728 2 641 985 1 405 441 5 436 011 3 140 644 2 373 111 55 355 838
3 365 870 3 150 748 3 818 028 5 215 092 6 964 434 2 084 574 5 120 846 3 114 329 486 620 2 554 200 1 416 080 1 974 715 2 976 054 1 579 336 43 820 926
3.50 3.27 3.97 5.42 7.24 2.17 5.32 3.24 0.50 2.65 1.47 2.05 3.09 1.64 45.53
USD USD
5 000 000 9 999 763
5 000 050 10 000 160
5.19 10.39
14 999 763 70 355 601
15 000 210 58 821 136
15.58 61.11
Supranationals, Governments and Local Public Authorities, Debt Instruments 5 000 000 10 000 000
United States Treasury Bill 0.000% 22/10/2015 United States Treasury Bill 0.000% 27/11/2015 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, 2015) Sovereign Retail Diversified Financial Services Healthcare-Services Home Furnishings Energy-Alternate Sources Pharmaceuticals Telecommunications Software Media Insurance Semiconductors
% 15.58 8.66 7.24 7.24 5.32 3.69 3.50 3.09 2.65 2.17 1.47 0.50 61.11
Geographical classification of investments (as a percentage of net assets as at September 30, 2015) United States Ireland Canada
% 53.90 3.97 3.24 61.11
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
168
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Castlerigg Equity Event and Arbitrage UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Purchase Sale Forward foreign exchange contracts EUR 320 000 USD USD 3 180 653 CAD USD 869 026 GBP USD 417 732 JPY EUR 14 529 444 USD GBP 20 436 619 USD USD 1 013 057 EUR USD 3 040 653 GBP Total forward foreign exchange contracts
Short/ Long Currency Options Long USD Long USD Short USD Long USD Long USD Long USD Short USD Long USD Total Options
359 776 4 250 000 570 000 50 000 000 16 264 405 31 150 516 902 090 2 000 057
Description Bob Evans Farms, Inc. QUALCOMM, Inc. QUALCOMM, Inc. Russell 2000 Index Russell 2000 Index S&P 500 E-Mini Index S&P 500 E-Mini Index Viavi Solutions, Inc.
Maturity date
Counterparty
26/10/2015 26/10/2015 26/10/2015 26/10/2015 30/10/2015 30/10/2015 30/10/2015 30/10/2015
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 Put Put Put Put Put Put Call
55.000 62.500 55.000 1 170.000 1 150.000 2 000.000 1 800.000 7.000
18/12/2015 15/01/2016 15/01/2016 31/12/2015 31/12/2015 31/12/2015 31/12/2015 15/01/2016
128 600 22 500 (22 500) 4 400 8 500 5 750 (5 750) 758 400
Market value USD 41 795 220 907 (97 617) 405 273 677 323 712 139 (269 472) 49 637 1 739 985
Unrealised appreciation/ (depreciation) USD (2 448) 11 048 5 717 131 (39 109) (198 238) 5 677 11 467 (205 755)
Commitment USD – – 1 237 500 – – – 10 350 000 – 11 587 500
Barclays Bank Plc. is the counterparty to these options. The maximum individual counterparty exposure for OTC Derivatives as at September 30, 2015 is 8.43% of the NAV. Contracts for difference swaps The Sub-Fund Merrill Lynch Investment Solutions – Castlerigg Equity Event and Arbitrage UCITS Fund entered into contracts for difference swaps with five counterparties (Bank of America N.A., Barclays Bank Plc., Credit Suisse Securities (Europe) Limited, Citibank NA and SEB AG.) with the following details: 1) Bank of America N.A. Commitment of USD 5 506 360 for the short portfolio composed of 8 equities Commitment of USD 16 777 185 for the long portfolio composed of 6 equities Market value of USD 1 610 447 detailed as follows: – unrealised appreciation of short portfolio: USD 464 846 – unrealised appreciation of long portfolio: USD 363 645 – realised result: USD 781 956 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
169
Merrill Lynch Investment Solutions – Castlerigg Equity Event and Arbitrage UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD) The below table is composed of long and short positions:
Industrial sector Airlines Communications Consumer, Cyclical Consumer, Non-cyclical Consumer, Non-cyclical Financial Technology Technology Total
Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity
Long/Short Short Long Long Long Short Long Long Short
Commitment USD 970 582 3 068 408 3 629 170 3 911 042 4 397 329 3 945 013 2 223 552 138 449 22 283 545
Unrealised appreciation/ (depreciation) USD 324 381 640 723 (1 090) (68 404) 154 792 (154 837) (52 747) (14 327) 828 491
2) Barclays Bank Plc. Commitment of USD 7 376 154 for the short portfolio composed of 1 derivative and 2 equities Commitment of USD 21 284 236 for the long portfolio composed of 7 equities Market value of USD (582 813) detailed as follows: – unrealised appreciation of short portfolio: USD 616 538 – unrealised depreciation of long portfolio: USD (1 228 778) – realised result: USD 29 427 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 Airlines Airlines Consumer, Non-cyclical Energy Financial Industrial Technology Technology Total
Underlying nature Derivatives Equity Equity Equity Equity Equity Equity Equity Equity
Long/Short Short Long Short Long Long Long Long Long Short
Commitment USD 2 662 204 3 583 797 2 908 931 1 983 000 2 908 500 4 242 784 4 249 635 4 316 520 1 805 019 28 660 390
Unrealised appreciation/ (depreciation) USD (81 695) (665 110) 470 054 (45 060) (263 928) 5 679 10 360 (270 719) 228 179 (612 240)
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
170
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Castlerigg Equity Event and Arbitrage UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD) 3) Citibank NA Commitment of USD 19 054 391 for the short portfolio composed of 7 derivatives and 3 equities Commitment of USD 27 548 030 for the long portfolio composed of 10 equities Market value of USD (543 869) detailed as follows: – unrealised appreciation of short portfolio: USD 1 343 188 – unrealised depreciation of long portfolio: USD (1 943 406) – realised result: USD 56 349 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 Future Index - Diversified Swap Index - Healthcare-Services Swap Index - Biotechnology Swap Index - Diversified Airlines Basic Materials Communications Consumer, Cyclical Consumer, Non-cyclical Consumer, Non-cyclical Financial Financial (a) Industrial Utilities Total
Underlying nature Derivatives Derivatives Derivatives Derivatives Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity
Long/Short Short Short Short Short Long Long Long Long Long Short Long Short Long Long
Commitment USD 6 873 660 3 713 532 1 313 370 2 067 768 3 404 402 2 274 459 3 484 303 4 195 499 2 996 460 1 533 928 6 494 200 3 552 133 2 050 123 2 648 584 46 602 421
Unrealised appreciation/ (depreciation) USD 706 281 8 109 340 000 87 831 (1 322 100) (5 936) (35 245) (377 196) (106 408) 101 094 (49 856) 99 873 (19 171) (27 494) (600 218)
(a) A portion of securities inside these contracts for difference swap are fair valued. See Notes 2.2.6 and 9.
4) Credit Suisse International No commitment Market value of USD 4 090 detailed as follows: – realised result: USD 4 090 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
171
Merrill Lynch Investment Solutions – Castlerigg Equity Event and Arbitrage UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD) 5) Credit Suisse Securities (Europe) Limited Commitment of USD 3 623 376 for the short portfolio composed of 2 equities Commitment of USD 19 979 772 for the long portfolio composed of 8 equities Market value of USD (1 399 638) detailed as follows: – unrealised appreciation of short portfolio: USD 222 001 – unrealised depreciation of long portfolio: USD (1 616 488) – realised result: USD (5 151) 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 Basic Materials Communications Energy Energy Technology Utilities Total
Underlying nature Equity Equity Equity Equity Equity Equity Equity
Long/Short Short Long Long Long Short Long Long
Commitment USD 1 134 042 1 562 275 5 362 928 3 091 141 2 489 334 7 332 604 2 630 824 23 603 148
Unrealised appreciation/ (depreciation) USD (3 870) (64 082) (1 186 261) (196 032) 225 871 (131 414) (38 699) (1 394 487)
6) SEB AG Commitment of USD 4 290 685 for the long portfolio composed of 1 equity Market value of USD 29 106 detailed as follows: – unrealised depreciation of long portfolio: USD (17 825) – realised result: USD 46 931 corresponding to the realised gain on securities which is still held at the counterparty (monthly reset) The below table is composed of long positions:
Industrial sector Basic Materials Total
Underlying nature Equity
Long/Short Long
Commitment USD 4 290 685 4 290 685
Unrealised appreciation/ (depreciation) USD (17 825) (17 825)
The total market value of the contracts for difference swaps is USD (882 677).
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 Dynamic Capital Protection UCITS Fund Schedule of Investments as at September 30, 2015 (expressed in EUR)
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 Investment funds 6 771 854 285 69 2 074 7 511 833 948 302 116
Aviva Monétaire ISR - I Carmignac Court Terme - A CPR Cash - P LFP - LFP Tresorerie - I LFP S&P Capital IQ Fund - LFP R2P Global Credit - IC Lyxor Ucits ETF MSCI Europe ERC Pioneer Funds - Euro High Yield - I SCOR Euro High Yield Swiss Life Asset Management Swiss Life Fund F Money Market Euro - I Swiss Life Funds Lux - Equity USA - IA Total Investment funds Total Investments
Industrial classification of investments (as a percentage of net assets as at September 30, 2015) Money Market Fund Equity Fund Debt Fund
Purchase Sale Forward foreign exchange contracts EUR 2 735 747 USD USD 1 412 858 EUR Total forward foreign exchange contracts
% 61.18 21.06 12.19 94.43
3 060 567 1 258 302
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
EUR EUR EUR EUR EUR EUR EUR EUR
7 008 045 3 217 876 6 434 075 7 487 748 2 237 082 1 288 781 1 481 598 1 484 341
7 008 256 3 217 846 6 434 083 7 489 674 2 238 199 1 257 792 1 444 489 1 425 271
16.73 7.68 15.36 17.88 5.34 3.00 3.45 3.40
EUR USD
7 565 436 1 538 652 39 743 634 39 743 634
7 567 822 1 479 311 39 562 743 39 562 743
18.06 3.53 94.43 94.43
Geographical classification of investments (as a percentage of net assets as at September 30, 2015) France Luxembourg
Maturity date
Counterparty
30/10/2015 30/10/2015
State Street Bank and Trust Co. State Street Bank and Trust Co.
% 64.58 29.85 94.43
Unrealised appreciation/ (depreciation) EUR (4 932) 6 886 1 954
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173
Merrill Lynch Investment Solutions – Merrill Lynch Dynamic Capital Protection UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in EUR)
Notional Description Gap risk swaps 10 000 000 Gap risk swap composed of:
Currency
Description Aviva Monétaire ISR - I Carmignac Court Terme - A CPR Cash - P LFP - LFP Tresorerie - I LFP S&P Capital IQ Fund - LFP R2P Global Credit - IC Lyxor Ucits ETF MSCI Europe ERC Pioneer Funds - Euro High Yield - I SCOR Euro High Yield Swiss Life Asset Management Swiss Life Fund F Money Market Euro - I 116 Swiss Life Funds Lux - Equity USA - IA Total Gap risk swaps
Currency EUR EUR EUR EUR EUR EUR EUR EUR
Quantity 6 771 854 285 69 2 074 7 511 833 948 302
EUR
Maturity date
Counterparty
23/11/2015 Merrill Lynch International Ltd.
Unrealised depreciation Commitment EUR EUR
(34 290)
10 000 000
(34 290)
10 000 000
EUR USD
The maximum individual counterparty exposure for OTC Derivatives as at September 30, 2015 is 0.02% of the NAV.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
174
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Merrill Lynch Enhanced Volatility Premium Fund Schedule of Investments as at September 30, 2015 (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 12 500 000 German Treasury Bill 0.000% 14/10/2015 12 000 000 German Treasury Bill 0.000% 28/10/2015 14 000 000 German Treasury Bill 0.000% 11/11/2015 14 000 000 German Treasury Bill 0.000% 09/12/2015 14 000 000 German Treasury Bill 0.000% 13/01/2016 14 000 000 German Treasury Bill 0.000% 27/01/2016 14 000 000 German Treasury Bill 0.000% 10/02/2016 12 000 000 German Treasury Bill 0.000% 24/02/2016 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, 2015) Sovereign
% 92.54 92.54
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
983 978 1 011 1 342 1 332 1 428 12 502 266 12 004 476 14 007 470 14 013 177 14 018 023 14 023 279 14 022 122 12 027 611
1 091 1 092 1 132 1 570 1 483 1 656 12 500 738 12 001 524 14 002 870 14 005 600 14 009 170 14 010 444 14 011 620 12 011 052
0.00 0.00 0.00 0.00 0.00 0.00 10.86 10.42 12.16 12.16 12.17 12.17 12.17 10.43
106 625 498 106 625 498
106 561 042 106 561 042
92.54 92.54
Geographical classification of investments (as a percentage of net assets as at September 30, 2015) Germany
% 92.54 92.54
Merrill Lynch Investment Solutions
175
Merrill Lynch Investment Solutions – Merrill Lynch Enhanced Volatility Premium Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in EUR)
Short/ Long Currency Options Short EUR Long 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 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 Euro Stoxx 50 Index
Put/ Call
Strike Price
Maturity date
Quantity
Call Call Call Call Call Call Call Call Put Put Put Put Put Put Put Put
3 433.595 3 695.202 3 382.200 3 639.890 3 403.409 3 663.872 3 169.166 3 410.713 3 139.286 2 812.277 3 060.080 2 770.180 3 096.580 2 799.979 2 850.146 2 596.632
01/10/2015 01/10/2015 08/10/2015 08/10/2015 15/10/2015 15/10/2015 22/10/2015 22/10/2015 01/10/2015 01/10/2015 08/10/2015 08/10/2015 15/10/2015 15/10/2015 22/10/2015 22/10/2015
(12 926) 12 926 (13 506) 13 506 (13 679) 13 679 (14 164) 14 164 (12 926) 12 926 (13 506) 13 506 (13 679) 13 679 (14 164) 14 164
Market value EUR – – (7 080) 7 (20 146) 69 (789 852) 47 750 (619 420) 378 (586 958) 47 108 (1 044 764) 181 538 (371 096) 98 371 (3 064 095)
Commitment EUR 44 382 643* – 45 679 993* – 46 555 229* – 44 888 060* – 40 578 416 – 41 329 440 – 42 358 112 – 40 369 474 – 346 141 367
* The commitment on short call positions is unlimited.
Merrill Lynch International Ltd. is the counterparty to these options. The maximum individual counterparty exposure for OTC Derivatives as at September 30, 2015 is 1.55% of the NAV.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
176
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Merrill Lynch MLCX Commodity Enhanced Beta Fund Schedule of Investments as at September 30, 2015 (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 1 550 000 United States Treasury Bill 0.000% 01/10/2015 1 550 000 United States Treasury Bill 0.000% 15/10/2015 2 000 000 United States Treasury Bill 0.000% 12/11/2015 1 000 000 United States Treasury Bill 0.000% 27/11/2015 1 000 000 United States Treasury Bill 0.000% 03/12/2015 1 000 000 United States Treasury Bill 0.000% 10/12/2015 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, 2015) Sovereign
Purchase Sale Forward foreign exchange contracts EUR 1 896 416 USD GBP 211 092 USD SEK 2 010 809 USD USD 29 653 EUR USD 8 947 GBP USD 7 507 SEK Total forward foreign exchange contracts
Notional Pay Total return swaps (9 691 960) Merrill Lynch eXtra Commodity 03 Total Return Index Total return swaps
1 550 000 1 549 986 1 999 976 999 992 999 974 999 985 1 382 1 451 1 470 1 449 1 478 1 501
1 550 000 1 550 031 2 000 030 1 000 016 1 000 022 1 000 070 1 367 1 434 1 453 1 436 1 462 1 483
16.07 16.07 20.73 10.37 10.37 10.37 0.01 0.01 0.01 0.01 0.02 0.02
8 108 644 8 108 644
8 108 804 8 108 804
84.06 84.06
Geographical classification of investments (as a percentage of net assets as at September 30, 2015) United States
% 84.06 84.06
2 122 867 321 757 238 605 26 591 5 875 63 160
Receive
USD USD USD USD USD USD USD USD USD USD USD USD
Currency
USD 1 month LIBOR
USD
Maturity date
Counterparty
30/10/2015 30/10/2015 30/10/2015 30/10/2015 30/10/2015 30/10/2015
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.
Maturity date
09/01/2016
Unaudited semi-annual report
Unrealised appreciation/ (depreciation) USD (5 104) (2 048) 1 292 (42) 48 (28) (5 882)
Unrealised appreciation/ (depreciation) Commitment Counterparty USD USD Merrill Lynch International Ltd.
(34 863) (34 863)
The maximum individual counterparty exposure for OTC Derivatives as at September 30, 2015 is 0.78% of the NAV. The accompanying notes form an integral part of these financial statements.
% 84.06 84.06
9 691 960 9 691 960
Merrill Lynch Investment Solutions
177
Merrill Lynch Investment Solutions – Merrill Lynch MLCX Commodity Enhanced Beta ex Agriculture Fund Schedule of Investments as at September 30, 2015 (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 8 250 000 United States Treasury Bill 0.000% 01/10/2015 8 500 000 United States Treasury Bill 0.000% 15/10/2015 6 300 000 United States Treasury Bill 0.000% 12/11/2015 8 000 000 United States Treasury Bill 0.000% 27/11/2015 8 500 000 United States Treasury Bill 0.000% 03/12/2015 8 000 000 United States Treasury Bill 0.000% 10/12/2015 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, 2015) Sovereign
Purchase Sale Forward foreign exchange contracts EUR 45 012 172 USD USD 1 432 464 EUR Total forward foreign exchange contracts
Notional Pay Total return swaps (62 160 046) Merrill Lynch eXtra Commodity 03 Total Return Index Total return swaps
50 387 075 1 277 182
USD 1 month LIBOR
8 250 000 8 499 974 6 299 390 7 999 937 8 499 479 7 999 883 1 382 1 451 1 470 1 449 1 478 1 501
8 250 000 8 500 170 6 300 094 8 000 128 8 500 187 8 000 560 1 367 1 434 1 453 1 436 1 463 1 483
13.50 13.90 10.31 13.09 13.90 13.09 0.00 0.00 0.00 0.00 0.00 0.00
47 557 394 47 557 394
47 559 775 47 559 775
77.79 77.79
Geographical classification of investments (as a percentage of net assets as at September 30, 2015) United States
% 77.79 77.79
Receive
USD USD USD USD USD USD USD USD USD USD USD USD
Currency
USD
Maturity date
Counterparty
30/10/2015 30/10/2015
State Street Bank and Trust Co. State Street Bank and Trust Co.
Maturity date
09/01/2016
% 77.79 77.79
Unrealised appreciation/ (depreciation) USD (121 159) 6 212 (114 947)
Unrealised appreciation/ (depreciation) Commitment Counterparty USD USD Merrill Lynch International Ltd.
(1 305 572) (1 305 572)
62 160 046 62 160 046
The maximum individual counterparty exposure for OTC Derivatives as at September 30, 2015 is 1.32% 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 – Fenician Equity Long Short UCITS Fund Schedule of Investments as at September 30, 2015 (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 1 008 000 406 500 602 000 340 500 21 700 14 500 79 000 503 000 407 000 230 000 1 590 000 110 000 280 500 4 077 423 20 000
Banca Monte dei Paschi di Siena SpA Banca Popolare dell'Emilia Romagna SC Banca Popolare di Sondrio Scarl Buzzi Unicem SpA - Rsp Cover 50 SpA HUGO BOSS AG Koninklijke Philips NV Mediaset SpA Nokia OYJ Pirelli & C. SpA RCS MediaGroup SpA Royal Bank of Scotland Group Plc. Societa Cattolica di Assicurazioni SCRL Telecom Italia SpA - Rsp WhiteWave Foods Co. Total Shares
EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR GBP EUR EUR USD
1 757 008 2 683 195 2 513 398 2 291 006 403 210 1 442 087 1 693 668 2 045 456 2 397 852 3 441 361 1 830 323 519 156 1 605 416 3 932 570 566 405 29 122 111
1 604 736 2 995 905 2 464 588 3 064 500 323 330 1 455 800 1 662 555 2 067 330 2 484 735 3 443 100 1 421 460 470 200 1 767 150 3 738 997 719 373 29 683 759
2.37 4.42 3.64 4.52 0.48 2.15 2.45 3.05 3.67 5.08 2.10 0.69 2.61 5.52 1.06 43.81
EUR EUR
11 498 805 1 500 091
11 500 805 1 499 963
16.97 2.22
12 998 896 42 121 007
13 000 768 42 684 527
19.19 63.00
Supranationals, Governments and Local Public Authorities, Debt Instruments 11 500 000 1 500 000
Italy Buoni Ordinari del Tesoro BOT 0.000% 31/12/2015 (a) Italy Buoni Ordinari del Tesoro BOT 0.000% 29/02/2016 (a) Total Supranationals, Governments and Local Public Authorities, Debt Instruments Total Investments
(a) A portion of securities inside these contracts for difference swap are fair valued. See Notes 2.2.6 and 9.
Industrial classification of investments (as a percentage of net assets as at September 30, 2015) Sovereign Banks Telecommunications Media Auto Parts & Equipment Building Materials Insurance Electronics Retail Food Apparel
% 19.19 11.12 9.19 5.15 5.08 4.52 2.61 2.45 2.15 1.06 0.48 63.00
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, 2015) Italy Finland Netherlands Germany United States United Kingdom
% 52.98 3.67 2.45 2.15 1.06 0.69 63.00
Merrill Lynch Investment Solutions
179
Merrill Lynch Investment Solutions – Fenician Equity Long Short UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in EUR)
Underlying Currency nature contract Futures contracts Index GBP Index EUR Index USD Index EUR
Unrealised Number of Number of appreciation/ Maturity contracts contracts Commitment (depreciation) date bought sold EUR EUR
Details
Market
FTSE 100 Index IBEX 35 Index S&P 500 E-Mini Index Stoxx Europe 600 Industrial Goods
ICE Futures Europe Meff Renta Variable Madrid Chicago Mercantile Exchange
18/12/2015 16/10/2015 18/12/2015
– – –
14 30 78
1 143 394 2 862 090 6 668 697
(475) 62 010 172 398
Eurex Deutschland
18/12/2015
–
34
678 470 11 352 651
(4 335) 229 598
Total Futures contracts
Purchase Sale Forward foreign exchange contracts EUR 167 391 GBP EUR 630 063 USD EUR 3 075 648 USD GBP 2 626 990 EUR USD 19 230 806 EUR Total forward foreign exchange contracts
120 717 700 000 3 454 616 3 690 370 17 324 378
Maturity date
Counterparty
05/10/2015 05/10/2015 05/10/2015 05/10/2015 05/10/2015
State Street Bank and Trust Co. State Street Bank London State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co.
Unrealised appreciation/ (depreciation) EUR 3 588 2 990 (19 064) (125 757) (97 054) (235 297)
The maximum individual counterparty exposure for OTC Derivatives as at September 30, 2015 is 9.06% 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 Ltd.) with the following details: 1) Merrill Lynch International Ltd. Commitment of EUR 18 418 852 for the short portfolio composed of 13 equities Commitment of EUR 16 782 826 for the long portfolio composed of 10 equities Market value of EUR 1 295 831 detailed as follows: – unrealised appreciation of short portfolio: EUR 1 317 799 – unrealised appreciation of long portfolio: EUR 106 586 – realised result: EUR (128 554) 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
180
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Fenician Equity Long Short UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in EUR) The below table is composed of long and short positions:
Industrial sector Banks Banks Building Materials Commercial Services Communications Consumer, Non-cyclical Consumer, Non-cyclical Diversified Financial Services Diversified Financial Services Electric Fund - Equity Industrial (a) Industrial Machinery-Diversified Miscellaneous Manufacturing Oil&Gas Telecommunications 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 Long Long Short Long Short Long Short Long Short Long Short Short Short
(a) A portion of securities inside these contracts for difference swap are fair valued. See Notes 2.2.6 and 9.
The total market value of the contracts for difference swaps is EUR 1 295 831.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Commitment EUR 3 482 168 3 195 598 3 158 316 2 841 165 584 658 1 394 554 1 260 000 1 697 985 991 600 4 420 889 945 591 688 544 1 413 300 1 672 863 2 238 320 2 846 827 2 369 300 35 201 678
Unrealised appreciation/ (depreciation) EUR (331 935) 546 712 (791 479) 586 552 17 357 53 019 89 190 (445 143) (32 414) 278 556 310 592 (2 604) 48 008 (49 216) 440 865 560 552 145 773 1 424 385
Merrill Lynch Investment Solutions
181
Merrill Lynch Investment Solutions – Zeal Voyage Greater China UCITS Fund Schedule of Investments as at September 30, 2015 (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 459 000 2 026 000 1 200 000 584 000 1 300 000 1 690 000 537 000 918 500 339 000 380 000 1 410 000 270 000 360 000 412 200 1 221 000 60 000 477 000 110 300 33 298 490 000 74 486 171 000 299 000 110 000
Aerospace Industrial Development Corp. Agricultural Bank of China Ltd. - H Bank of China Ltd. - H Brilliance China Automotive Hldg. Ltd. CGN Power Co. Ltd. - H 144A China Construction Bank Corp. - H China High Speed Transmission Equipment Group Co. Ltd. China Hongqiao Group Ltd. China Life Insurance Co. Ltd. - H China Machinery Engineering Corp. - H China Petroleum & Chemical Corp. - H China Taiping Insurance Hldg. Co. Ltd. China Vanke Co. Ltd. - H Chongqing Changan Automobile Co. Ltd. - B CITIC Telecom International Hldg. Ltd. CK Hutchison Hldg. Ltd. CNOOC Ltd. Dalian Wanda Commercial Properties Co. Ltd. - H 144A Hollysys Automation Technologies Ltd. Huaneng Power International, Inc. - H Lao Feng Xiang Co. Ltd. - B Shenzhou International Group Hldg. Ltd. Sinopharm Group Co. Ltd. - H Techtronic Industries Co. Ltd. Total Shares Total Investments
TWD HKD HKD HKD HKD HKD HKD HKD HKD HKD HKD HKD HKD HKD HKD HKD HKD HKD USD HKD USD HKD HKD HKD
556 393 812 216 558 961 949 984 529 772 1 387 600 471 576 731 567 1 285 480 404 872 937 647 816 458 866 113 989 462 510 984 813 493 537 101 677 607 794 957 588 956 237 386 808 479 1 315 659 412 932 17 995 655 17 995 655
548 528 765 954 515 610 690 246 541 803 1 123 025 521 060 430 211 1 172 276 326 553 856 911 837 865 768 305 696 215 417 500 775 737 488 075 631 908 582 049 526 667 303 009 880 368 1 045 529 405 933 15 851 337 15 851 337
2.09 2.92 1.97 2.63 2.07 4.28 1.99 1.64 4.47 1.24 3.27 3.20 2.93 2.66 1.59 2.96 1.86 2.41 2.22 2.01 1.16 3.36 3.99 1.55 60.47 60.47
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
182
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Zeal Voyage Greater China UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD) Industrial classification of investments (as a percentage of net assets as at September 30, 2015) Banks Insurance Real Estate Auto Manufacturers Oil & Gas Retail Electric Pharmaceuticals Apparel Machinery-Diversified Aerospace/Defense Electrical Components & Equipment Mining Telecommunications Hand/Machine Tools Engineering & Construction
% 9.17 7.67 5.34 5.29 5.13 4.12 4.08 3.99 3.36 2.22 2.09 1.99 1.64 1.59 1.55 1.24 60.47
Geographical classification of investments (as a percentage of net assets as at September 30, 2015) China Hong Kong Taiwan
% 44.46 13.92 2.09 60.47
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 Ltd. and Morgan Stanley & Co. International Plc.) with the following details: 1) Merrill Lynch International Ltd. Commitment of USD 3 730 673 for the short portfolio composed of 13 equities Commitment of USD 927 755 for the long portfolio composed of 1 equity Market value of USD (72 165) detailed as follows: – unrealised appreciation of short portfolio: USD 163 218 – unrealised depreciation of long portfolio: USD (281 571) – realised result: USD 46 188 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 Communications Consumer, Cyclical Energy Food Industrial Technology Total
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 Short Short Short Short Short
Commitment USD 927 755 975 255 1 011 771 247 678 415 017 659 289 421 663 4 658 428
Unrealised appreciation/ (depreciation) USD (281 571) 37 994 106 875 10 493 (10 692) (10 324) 28 872 (118 353)
Merrill Lynch Investment Solutions
183
Merrill Lynch Investment Solutions – Zeal Voyage Greater China UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD) 2) Morgan Stanley & Co. International Plc. Commitment of USD 1 850 688 for the long portfolio composed of 4 equities Market value of USD (338 456) detailed as follows: – unrealised depreciation of long portfolio: USD (313 100) – realised result: USD (25 356) 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 Consumer, Cyclical Food Insurance Pharmaceuticals Total
Underlying nature Equity Equity Equity Equity
Long/Short Long Long Long Long
Commitment USD 402 825 394 222 516 475 537 166 1 850 688
Unrealised appreciation/ (depreciation) USD (831) (90 737) 60 288 (281 820) (313 100)
The total market value of the contracts for difference swaps is USD (410 621).
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
184
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Gotham U.S. Equity Long/Short UCITS Fund Schedule of Investments as at September 30, 2015 (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.) 12 584 7 882 449 891 4 117 4 632 21 153 101 12 754 992 5 637 4 133 51 6 238 7 341 3 876 1 194 5 264 2 563 5 334 26 462 3 669 5 916 11 849 2 740 6 606 234 97 6 505 110 190 6 164 6 181 8 035 2 384 8 361 3 456 2 858 5 637 406 1 587 1 242 7 253 352
Aaron's, Inc. Abbott Laboratories Accenture Plc. - A Advance Auto Parts, Inc. Aetna, Inc. AGL Resources, Inc. Alcoa, Inc. Allegiant Travel Co. Allison Transmission Hldg., Inc. Altria Group, Inc. AMAG Pharmaceuticals, Inc. Ambarella, Inc. AMC Entertainment Hldg., Inc. - A AMC Networks, Inc. - A American Airlines Group, Inc. Amgen, Inc. Analog Devices, Inc. Anixter International, Inc. Anthem, Inc. Apple, Inc. Applied Materials, Inc. Arthur J Gallagher & Co. Asbury Automotive Group, Inc. Ascena Retail Group, Inc. Ashland, Inc. Aspen Technology, Inc. AT&T, Inc. AutoZone, Inc. Avnet, Inc. Avon Products, Inc. AVX Corp. Baker Hughes, Inc. Barnes Group, Inc. BCE, Inc. Bed Bath & Beyond, Inc. Bemis Co., Inc. Berry Plastics Group, Inc. Best Buy Co., Inc. Biogen, Inc. Black Hills Corp. BlackRock, Inc. Bloomin' Brands, Inc. Blue Buffalo Pet Products, 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
457 293 330 232 42 887 143 920 475 226 222 172 202 008 20 608 392 927 51 572 352 276 240 149 1 258 467 383 300 640 593 557 64 606 323 992 416 048 648 648 444 700 167 485 499 475 174 887 309 307 257 190 7 813 71 197 281 205 732 390 85 868 368 435 323 160 102 427 595 979 153 500 85 570 190 460 114 896 64 590 435 608 154 207 6 319
454 408 317 014 44 119 168 871 450 441 282 737 204 338 21 841 340 404 53 965 223 958 238 846 1 285 456 434 285 051 536 128 67 354 304 154 358 820 588 340 388 727 151 456 480 083 164 820 275 699 250 433 7 624 70 212 277 633 358 118 80 687 321 659 289 662 97 649 476 744 136 754 85 940 209 245 118 475 65 607 369 458 131 860 6 304
0.42 0.29 0.04 0.16 0.42 0.26 0.19 0.02 0.31 0.05 0.21 0.22 0.00 0.42 0.26 0.49 0.06 0.28 0.33 0.54 0.36 0.14 0.44 0.15 0.25 0.23 0.01 0.06 0.26 0.33 0.07 0.30 0.27 0.09 0.44 0.13 0.08 0.19 0.11 0.06 0.34 0.12 0.01
Merrill Lynch Investment Solutions
185
Merrill Lynch Investment Solutions – Gotham U.S. Equity Long/Short UCITS Fund Schedule of Investments as at September 30, 2015 (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.) 17 777 8 188 8 490 55 758 12 016 9 370 3 667 5 455 15 740 9 803 989 82 85 7 666 5 741 7 676 10 856 8 071 11 733 7 059 3 420 11 9 269 8 298 30 650 1 726 16 176 2 293 21 205 4 337 3 471 10 287 9 216 5 729 5 167 9 907 14 542 11 047 16 102 12 221 1 680 8 582 627
Boyd Gaming Corp. Brinker International, Inc. Broadridge Financial Solutions, Inc. Brocade Communications Systems, Inc. Brown & Brown, Inc. Brunswick Corp. Buckle, Inc. BWX Technologies, Inc. CA, Inc. Cabot Corp. CACI International, Inc. - A Campbell Soup Co. Cardinal Health, Inc. Carnival Corp. Carpenter Technology Corp. Caterpillar, Inc. CBS Corp. - B Centene Corp. CenturyLink, Inc. CGI Group, Inc. - A CH Robinson Worldwide, Inc. Chemed Corp. Chemtura Corp. Chicago Bridge & Iron Co. NV Chico's FAS, Inc. Churchill Downs, Inc. Ciena Corp. Cigna Corp. Cisco Systems, Inc. CLARCOR, Inc. Clorox Co. CMS Energy Corp. Coach, Inc. Colfax Corp. Comcast Corp. - A Computer Sciences Corp. Con-way, Inc. ConAgra Foods, Inc. Convergys Corp. Copart, Inc. CoreLogic, Inc. Crane Co. Crown Media Hldg., Inc. - A
USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD
300 131 462 700 474 542 654 269 387 600 489 297 170 895 142 651 483 529 426 446 80 180 3 861 6 533 387 440 217 114 569 367 577 267 525 054 402 881 300 324 238 449 1 524 257 397 376 536 517 877 232 642 362 649 328 350 589 768 204 542 388 990 341 911 297 989 171 432 307 300 649 045 617 339 472 836 414 051 442 685 64 995 534 670 3 245
289 765 431 262 469 922 578 768 372 136 448 729 135 569 143 794 429 702 309 383 73 156 4 156 6 530 381 000 170 910 501 703 433 154 437 690 294 733 255 606 231 808 1 468 265 279 329 099 482 125 230 956 335 167 309 601 556 631 206 788 401 005 363 337 266 619 171 354 293 899 608 092 690 018 447 514 372 117 402 071 62 546 400 007 3 354
0.27 0.40 0.43 0.53 0.34 0.41 0.12 0.13 0.40 0.29 0.07 0.00 0.01 0.35 0.16 0.46 0.40 0.40 0.27 0.24 0.21 0.00 0.24 0.30 0.44 0.21 0.31 0.29 0.51 0.19 0.37 0.33 0.25 0.16 0.27 0.56 0.64 0.41 0.34 0.37 0.06 0.37 0.00
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
186
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Gotham U.S. Equity Long/Short UCITS Fund Schedule of Investments as at September 30, 2015 (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.) 2 254 4 392 2 858 7 545 3 639 28 814 2 599 3 263 13 622 6 322 14 137 2 336 113 13 056 276 54 8 637 10 284 5 360 17 317 4 913 13 218 13 409 319 6 587 11 156 5 518 8 812 3 792 1 829 8 590 9 666 3 323 19 155 12 796 849 9 344 14 338 3 769 68 14 941 7 082 807
CSX Corp. Cummins, Inc. Curtiss-Wright Corp. CVR Energy, Inc. Darden Restaurants, Inc. Darling Ingredients, Inc. DaVita HealthCare Partners, Inc. Deere & Co. Delta Air Lines, Inc. Deluxe Corp. DeVry Education Group, Inc. Dillard's, Inc. - A DineEquity, Inc. Discovery Communications, Inc. - A Donaldson Co., Inc. Dorman Products, Inc. Dover Corp. DR Horton, Inc. Dril-Quip, Inc. DSW, Inc. - A Eastman Chemical Co. Eaton Vance Corp. eBay, Inc. Edgewell Personal Care Co. Electronic Arts, Inc. Emerson Electric Co. Evercore Partners, Inc. - A Expeditors International of Washington, Inc. Express Scripts Hldg. Co. F5 Networks, Inc. Fastenal Co. Federated Investors, Inc. - B FEI Co. Flowers Foods, Inc. Fluor Corp. Ford Motor Co. Fossil Group, Inc. Franklin Resources, Inc. Fresh Del Monte Produce, Inc. GameStop Corp. - A Gap, Inc. Garmin Ltd. General Mills, 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
62 081 582 263 193 099 302 722 257 048 375 551 208 966 293 667 594 571 407 919 458 664 266 060 10 832 400 829 7 652 2 715 607 886 294 172 387 085 492 602 377 153 516 210 366 819 25 663 384 200 554 398 299 514 415 655 329 307 214 926 355 984 312 629 262 517 417 626 712 968 11 152 757 535 726 162 146 630 2 749 505 427 264 137 46 212
60 633 476 883 178 396 309 722 249 417 323 869 187 986 241 462 611 219 352 388 384 668 204 143 10 358 339 848 7 750 2 748 493 864 301 938 312 059 438 293 317 969 441 746 327 716 26 030 446 269 492 761 277 224 414 605 307 000 211 798 314 480 279 347 242 712 473 895 541 911 11 521 522 143 534 234 148 913 2 802 425 819 254 102 45 297
0.06 0.44 0.16 0.29 0.23 0.30 0.17 0.22 0.56 0.32 0.35 0.19 0.01 0.31 0.01 0.00 0.46 0.28 0.29 0.40 0.29 0.41 0.30 0.02 0.41 0.45 0.26 0.38 0.28 0.20 0.29 0.26 0.22 0.44 0.50 0.01 0.48 0.49 0.14 0.00 0.39 0.23 0.04
Merrill Lynch Investment Solutions
187
Merrill Lynch Investment Solutions – Gotham U.S. Equity Long/Short UCITS Fund Schedule of Investments as at September 30, 2015 (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.) 12 696 28 519 6 006 6 155 9 233 3 353 730 2 091 18 772 468 9 506 10 866 10 627 6 499 6 364 1 639 3 621 7 102 21 122 3 154 720 2 781 1 978 132 4 342 7 632 25 131 19 694 155 2 117 3 446 7 156 12 212 231 9 925 18 474 9 574 7 652 19 216 12 121 16 105 3 532 18 966
General Motors Co. Gentex Corp. Genuine Parts Co. Gilead Sciences, Inc. GNC Hldg., Inc. - A Graco, Inc. Graham Hldg. Co. - B Group 1 Automotive, Inc. Guess?, Inc. Hain Celestial Group, Inc. Halliburton Co. Harley-Davidson, Inc. HD Supply Hldg., Inc. Health Net, Inc. Heartland Express, Inc. HEICO Corp. Helen of Troy Ltd. Helmerich & Payne, Inc. Hewlett-Packard Co. Home Depot, Inc. Honeywell International, Inc. Hormel Foods Corp. Hubbell, Inc. - B Humana, Inc. Huntington Ingalls Industries, Inc. Hyatt Hotels Corp. - A Ingram Micro, Inc. - A Intel Corp. Intercontinental Exchange, Inc. InterDigital, Inc. International Business Machines Corp. International Paper Co. Invesco Ltd. IPG Photonics Corp. Jacobs Engineering Group, Inc. Janus Capital Group, Inc. JetBlue Airways Corp. Johnson Controls, Inc. Juniper Networks, Inc. KAR Auction Services, Inc. KBR, Inc. Kellogg Co. Kennametal, 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
395 023 490 142 544 025 621 097 412 011 237 928 471 566 181 901 418 921 24 827 381 576 635 646 340 621 439 804 129 707 81 710 343 420 381 335 675 602 360 409 67 443 160 353 185 293 24 318 542 998 436 949 628 192 620 872 35 634 105 769 561 149 367 306 471 302 17 304 408 782 286 167 214 380 343 877 489 929 441 902 291 789 240 092 667 716
381 134 442 045 497 837 604 359 373 198 224 752 421 210 178 049 400 970 24 149 336 037 596 543 304 145 391 370 126 898 80 114 323 355 335 641 540 934 364 255 68 177 176 065 168 031 23 628 465 245 359 467 684 568 593 577 36 423 107 120 499 567 270 425 381 381 17 549 371 493 251 246 246 722 316 487 494 043 430 296 268 309 235 055 472 064
0.35 0.41 0.46 0.56 0.34 0.21 0.39 0.16 0.37 0.02 0.31 0.55 0.28 0.36 0.12 0.07 0.30 0.31 0.50 0.34 0.06 0.16 0.15 0.02 0.43 0.33 0.63 0.55 0.03 0.10 0.46 0.25 0.35 0.02 0.34 0.23 0.23 0.29 0.46 0.40 0.25 0.22 0.43
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
188
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Gotham U.S. Equity Long/Short UCITS Fund Schedule of Investments as at September 30, 2015 (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.) 9 364 11 948 152 284 8 834 21 985 3 141 6 933 6 826 10 622 13 100 8 938 8 833 5 255 8 058 10 868 8 947 1 308 5 351 3 554 4 950 339 2 883 11 121 978 3 327 1 982 2 761 9 956 3 178 6 888 14 630 678 32 230 3 648 1 823 7 358 1 524 4 306 5 457 2 323 8 915 7 405 849
Keurig Green Mountain, Inc. Keysight Technologies, Inc. Kinross Gold Corp. KLA-Tencor Corp. La Quinta Hldg., Inc. Laclede Group, Inc. Lam Research Corp. Landstar System, Inc. Lannett Co., Inc. Legg Mason, Inc. Lexmark International, Inc. - A Liberty Interactive Corp. - A LifePoint Health, Inc. Lincoln Electric Hldg., Inc. Linear Technology Corp. LKQ Corp. Loral Space & Communications, Inc. Lowe's Cos, Inc. LyondellBasell Industries NV - A Madison Square Garden Co. - A Marathon Petroleum Corp. Masco Corp. Maxim Integrated Products, Inc. McDonald's Corp. McGraw Hill Financial, Inc. McKesson Corp. Mead Johnson Nutrition Co. Men's Wearhouse, Inc. Mentor Graphics Corp. Meredith Corp. Michael Kors Hldg. Ltd. Microchip Technology, Inc. Micron Technology, Inc. Microsoft Corp. MicroStrategy, Inc. - A Molina Healthcare, Inc. Moody's Corp. Moog, Inc. - A MSC Industrial Direct Co., Inc. - A Nasdaq, Inc. National Oilwell Varco, Inc. NCR Corp. New Jersey Resources Corp.
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
502 429 407 802 329 111 475 048 442 513 167 982 501 638 463 524 651 035 690 304 375 185 253 410 386 981 513 307 469 844 264 123 91 566 382 701 348 702 409 664 16 484 75 509 370 346 94 448 317 598 426 971 213 160 465 104 84 630 350 483 826 150 28 137 843 999 162 378 373 982 508 229 165 705 312 002 381 359 118 078 424 518 176 491 23 736
488 239 368 476 261 929 441 700 346 923 171 279 452 933 433 246 441 025 545 091 259 023 231 690 372 580 422 481 438 524 253 737 61 581 368 791 296 261 357 093 15 706 72 594 371 441 96 362 287 786 366 729 194 374 423 329 78 274 293 291 617 971 29 215 482 805 161 461 358 165 506 598 149 657 232 825 333 041 123 886 335 650 168 464 25 495
0.45 0.34 0.24 0.41 0.32 0.16 0.42 0.40 0.41 0.50 0.24 0.21 0.34 0.39 0.40 0.23 0.06 0.34 0.27 0.33 0.01 0.07 0.34 0.09 0.27 0.34 0.18 0.39 0.07 0.27 0.57 0.03 0.44 0.15 0.33 0.47 0.14 0.21 0.31 0.11 0.31 0.16 0.02
Merrill Lynch Investment Solutions
189
Merrill Lynch Investment Solutions – Gotham U.S. Equity Long/Short UCITS Fund Schedule of Investments as at September 30, 2015 (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.) 17 916 20 594 15 615 28 783 1 311 2 091 438 7 724 9 273 1 436 12 558 5 032 9 073 7 068 13 812 8 953 4 827 592 5 365 2 069 5 213 5 372 5 641 3 625 30 279 9 402 18 304 8 079 11 019 15 051 223 165 1 843 11 863 13 863 5 561 20 795 85 3 828 17 986 5 549 15 436 8 342
New York Times Co. - A Newmont Mining Corp. NiSource, Inc. Noble Corp. Plc. Nordson Corp. Norfolk Southern Corp. Northrop Grumman Corp. Nucor Corp. NVIDIA Corp. Oceaneering International, Inc. Oil States International, Inc. Omnicom Group, Inc. One Gas, Inc. Oracle Corp. Owens & Minor, Inc. PACCAR, Inc. Packaging Corp. of America Papa John's International, Inc. Parker-Hannifin Corp. Paychex, Inc. Penske Automotive Group, Inc. Pentair Plc. Pfizer, Inc. Philip Morris International, Inc. Pilgrim's Pride Corp. Pinnacle Entertainment, Inc. Pitney Bowes, Inc. Plantronics, Inc. PolyOne Corp. Potash Corp. of Saskatchewan, Inc. PRA Health Sciences, Inc. PriceSmart, Inc. PVH Corp. QUALCOMM, Inc. Quality Systems, Inc. Quest Diagnostics, Inc. Questar Corp. Quintiles Transnational Hldg., Inc. Ralph Lauren Corp. Regal Entertainment Group - A Reliance Steel & Aluminum Co. Ritchie Bros Auctioneers, Inc. Robert Half International, 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
248 741 445 972 264 610 396 308 84 098 179 765 73 184 355 773 198 058 61 944 496 554 374 520 400 916 292 993 480 493 567 645 342 794 41 945 633 323 98 408 263 844 317 755 184 947 308 795 756 406 354 397 406 543 459 354 370 553 395 420 8 917 13 073 201 776 773 621 310 698 403 546 450 661 5 855 493 281 355 832 351 327 430 433 459 733
211 588 330 946 289 658 314 023 82 514 159 752 72 686 290 036 228 579 56 406 328 141 331 609 411 279 255 296 441 155 467 078 290 392 40 540 522 015 98 546 252 518 274 187 177 184 287 571 629 198 318 164 363 334 410 817 323 297 309 298 8 659 12 761 187 875 637 399 335 623 341 835 403 631 5 913 452 317 336 158 299 702 399 484 426 777
0.19 0.30 0.27 0.29 0.08 0.15 0.07 0.27 0.21 0.05 0.30 0.31 0.38 0.24 0.41 0.43 0.27 0.04 0.48 0.09 0.23 0.25 0.16 0.27 0.58 0.29 0.33 0.38 0.30 0.28 0.01 0.01 0.17 0.59 0.31 0.31 0.37 0.01 0.42 0.31 0.28 0.37 0.39
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
190
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Gotham U.S. Equity Long/Short UCITS Fund Schedule of Investments as at September 30, 2015 (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.) 4 631 2 304 1 099 17 36 631 1 568 8 543 1 043 2 348 8 827 10 261 8 091 2 923 313 13 385 882 12 631 24 948 77 147 25 699 5 838 13 905 7 320 7 459 5 044 9 428 14 581 16 078 17 536 1 038 12 254 5 963 5 403 5 004 5 160 15 103 1 183 2 351 28 708 6 166 1 591 14 347 861
Rockwell Automation, Inc. Rockwell Collins, Inc. Ross Stores, Inc. Royal Gold, Inc. RPC, Inc. Ryman Hospitality Properties Sally Beauty Hldg., Inc. Schlumberger Ltd. Scotts Miracle-Gro Co. - A Scripps Networks Interactive, Inc. - A Service Corp. International ServiceMaster Global Hldg., Inc. Shaw Communications, Inc. - B Signet Jewelers Ltd. Southwest Airlines Co. Southwest Gas Corp. Spirit AeroSystems Hldg., Inc. - A Superior Energy Services, Inc. SUPERVALU, Inc. Symantec Corp. SYNNEX Corp. Sysco Corp. T Rowe Price Group, Inc. Target Corp. TE Connectivity Ltd. Tech Data Corp. Tegna, Inc. Teradata Corp. Teradyne, Inc. Tesoro Corp. Tessera Technologies, Inc. Texas Instruments, Inc. Thor Industries, Inc. Tiffany & Co. Time Warner, Inc. Timken Co. Toro Co. Towers Watson & Co. - A Transocean Ltd. Trimble Navigation Ltd. Triumph Group, Inc. Twenty First Century Fox, Inc. - A Tyco International Plc.
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
529 532 195 458 53 524 758 435 616 83 089 265 835 76 601 153 141 589 857 278 191 291 400 60 497 43 025 529 718 49 324 649 498 458 973 735 227 593 518 431 857 518 809 584 440 587 814 304 382 575 132 404 711 589 299 337 648 99 499 473 407 314 323 277 009 437 258 404 954 479 379 84 329 306 626 439 120 106 667 80 983 457 327 29 284
469 908 188 559 53 269 799 324 184 77 193 202 896 71 936 142 805 434 200 278 073 271 453 56 706 42 609 509 165 51 438 610 583 315 093 553 915 500 360 496 580 541 878 508 740 586 725 302 085 645 818 326 469 465 619 315 823 100 935 397 152 295 288 279 875 386 409 354 750 415 182 83 449 275 960 370 907 101 246 66 949 387 082 28 809
0.43 0.17 0.05 0.00 0.30 0.07 0.19 0.07 0.13 0.40 0.26 0.25 0.05 0.04 0.47 0.05 0.56 0.29 0.51 0.46 0.46 0.50 0.47 0.54 0.28 0.60 0.30 0.43 0.29 0.09 0.37 0.27 0.26 0.36 0.33 0.38 0.08 0.25 0.34 0.09 0.06 0.36 0.03
Merrill Lynch Investment Solutions
191
Merrill Lynch Investment Solutions – Gotham U.S. Equity Long/Short UCITS Fund Schedule of Investments as at September 30, 2015 (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.) 4 701 8 572 2 139 1 108 5 827 1 530 2 319 3 386 1 536 12 841 3 663 5 722 5 267 5 601 10 620 10 274 3 627 16 731 6 619 1 589 5 209 5 299 40 337 2 376 2 068 8 417 6 993 25 012 3 580 15 545 6 370 11 196 1 626 20 664 12 984 4 402 5 432 11 675 32 214
Tyson Foods, Inc. - A Ubiquiti Networks, Inc. UniFirst Corp. Union Pacific Corp. United Continental Hldg., Inc. United Parcel Service, Inc. - B United Technologies Corp. United Therapeutics Corp. UnitedHealth Group, Inc. Urban Outfitters, Inc. Vail Resorts, Inc. Valero Energy Corp. Valmont Industries, Inc. Varian Medical Systems, Inc. Verizon Communications, Inc. Viacom, Inc. - B Visteon Corp. Waddell & Reed Financial, Inc. - A Wal-Mart Stores, Inc. Walt Disney Co. Waste Connections, Inc. Waste Management, Inc. Weatherford International Plc. WellCare Health Plans, Inc. WESCO International, Inc. West Corp. Western Digital Corp. Western Union Co. Westlake Chemical Corp. Weyerhaeuser Co. WGL Hldg., Inc. Whole Foods Market, Inc. Willis Group Hldg. Plc. WisdomTree Investments, Inc. Wolverine World Wide, Inc. World Fuel Services Corp. Wyndham Worldwide Corp. Xilinx, Inc. Yamana Gold, 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 USD USD USD USD USD USD USD USD USD USD USD USD
196 134 273 508 248 607 105 838 333 625 153 445 239 480 562 403 181 620 400 726 399 939 363 749 659 944 443 293 522 029 596 963 367 071 792 459 511 113 168 079 261 097 260 224 456 013 206 660 137 120 261 529 647 931 503 295 199 478 476 111 353 072 423 578 74 403 361 310 359 313 178 311 440 033 512 988 71 736 112 743 560 112 743 560
202 613 290 505 228 467 97 958 309 122 150 996 206 368 444 379 178 191 377 269 383 443 343 892 499 786 413 242 462 076 443 323 367 198 581 737 429 176 162 396 253 053 263 943 342 058 204 764 96 100 188 541 555 524 459 220 185 766 425 000 367 358 354 353 66 617 333 310 280 974 157 592 390 561 495 020 54 764 100 332 942 100 332 942
0.19 0.27 0.21 0.09 0.28 0.14 0.19 0.41 0.16 0.35 0.35 0.32 0.46 0.38 0.43 0.41 0.34 0.54 0.40 0.15 0.23 0.24 0.32 0.19 0.09 0.17 0.51 0.42 0.17 0.39 0.34 0.33 0.06 0.31 0.26 0.15 0.36 0.46 0.05 92.46 92.46
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
192
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Gotham U.S. Equity Long/Short UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD) Industrial classification of investments (as a percentage of net assets as at September 30, 2015) Retail Semiconductors Computers Commercial Services Diversified Financial Services Media Food Healthcare-Services Telecommunications Software Electronics Oil & Gas Services Distribution/Wholesale Miscellaneous Manufacturing Transportation Pharmaceuticals Chemicals Gas Airlines Biotechnology Oil & Gas Leisure Time Machinery-Diversified Aerospace/Defense Entertainment Engineering & Construction Apparel Internet Lodging Geographical classification of investments (as a percentage of net assets as at September 30, 2015) United States Canada Switzerland United Kingdom Bermuda Netherlands Ireland
% 9.23 5.44 4.69 4.54 4.36 4.07 3.85 3.46 3.34 2.74 2.59 2.54 2.46 2.19 2.19 2.10 2.09 1.85 1.82 1.78 1.65 1.63 1.51 1.49 1.49 1.39 1.25 0.96 0.96
% 88.12 1.32 1.17 1.17 0.34 0.30 0.04 92.46
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, 2015) (cont.) % Auto Parts & Equipment 0.94 Metal Fabricate/Hardware 0.84 Hand/Machine Tools 0.82 Auto Manufacturers 0.79 Mining 0.78 Iron/Steel 0.71 Household Products/Wares 0.67 Electrical Components & Equipment 0.60 Home Builders 0.54 Insurance 0.54 Packaging & Containers 0.48 Environmental Control 0.47 Machinery-Construction & Mining 0.46 Beverages 0.45 Shipbuilding 0.43 Electric 0.39 REITS 0.39 Healthcare-Products 0.38 Cosmetics/Personal Care 0.35 Office/Business Equipment 0.33 Agriculture 0.32 Advertising 0.31 Forest Products & Paper 0.25 Housewares 0.21 Textiles 0.21 Building Materials 0.07 Real Estate 0.07 92.46
Merrill Lynch Investment Solutions
193
Merrill Lynch Investment Solutions – Gotham U.S. Equity Long/Short UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Purchase Sale Forward foreign exchange contracts EUR 49 676 010 USD GBP 2 633 560 USD USD 908 951 EUR USD 113 781 GBP Total forward foreign exchange contracts
55 607 818 4 014 204 814 714 74 721
Maturity date
Counterparty
30/10/2015 30/10/2015 30/10/2015 30/10/2015
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) USD (133 707) (25 546) (855) 612 (159 496)
The maximum individual counterparty exposure for OTC Derivatives as at September 30, 2015 is 6.45% 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 68 055 752 for the short portfolio composed of 349 equities Commitment of USD 22 278 917 for the long portfolio composed of 219 equities Market value of USD 6 375 521 detailed as follows: – unrealised appreciation of short portfolio: USD 7 741 723 – unrealised depreciation of long portfolio: USD (2 728 710) – realised result: USD 1 362 508 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 Advertising Aerospace/Defense Aerospace/Defense Agriculture Airlines Airlines Apparel Apparel Auto Manufacturers Auto Manufacturers Auto Parts&Equipment Auto Parts&Equipment Basic Materials Beverages
Underlying nature 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
Commitment USD 78 289 32 819 234 276 276 075 12 931 555 089 493 008 353 520 2 004 304 52 587 780 423 83 406 319 290 300 986 408 138
Unrealised appreciation/ (depreciation) USD (8 612) 18 356 (33 135) 31 689 (683) 7 896 227 935 (9 936) 18 374 (7 037) 112 242 (7 578) 42 048 (51 931) (11 638)
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, 2015 (cont.) (expressed in USD)
Industrial sector Biotechnology Biotechnology Building Materials Chemicals Commercial Services Commercial Services Communications Communications Computers Computers Consumer, Cyclical Consumer, Cyclical Consumer, Non-cyclical Consumer, Non-cyclical Cosmetics/Personal Care Cosmetics/Personal Care Distribution/Wholesale Distribution/Wholesale Diversified Finan Serv Diversified Finan Serv Electrical Compo&Equip Electrical Compo&Equip Electric Electronics Electronics Energy-Alternate Sources Energy Energy Engineering&Construction Engineering&Construction Entertainment Environmental Control Financial Financial Food Food Fund - Equity Gas Hand/Machine Tools Healthcare-Products Healthcare-Services Healthcare-Services Home Builders Household Products/Wares
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
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Long/Short Long Short Short Long Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Long Short Short Long Short Short Long Short Long Short Short Short Long Short Long Short Short Long Long Short Long Short Short Short
Commitment USD 279 538 1 229 833 383 055 162 804 640 698 2 777 676 470 447 1 865 293 1 074 108 1 877 754 1 294 609 5 325 990 1 891 189 8 571 114 21 492 283 345 466 149 417 118 1 314 360 382 053 219 322 284 340 327 797 306 567 649 325 392 818 41 993 436 966 708 086 15 242 361 144 252 710 166 462 617 666 877 286 2 000 171 151 251 285 586 254 445 2 625 796 543 038 1 266 611 1 721 437 332 042
Unrealised appreciation/ (depreciation) USD (19 574) 233 358 1 162 (44 745) (90 188) 234 672 (53 479) 224 643 (138 258) 319 210 (63 685) 358 196 (139 410) 707 556 (10 055) 10 426 (87 251) 27 908 (288 537) 49 315 (22 690) 167 587 38 462 (20 321) 109 744 340 001 (11 605) 161 240 (133 761) 4 370 16 709 23 849 (13 286) 38 575 (95 605) 41 468 (151 251) (27 622) (78 582) 99 343 (71 923) 239 633 103 511 34 295
Merrill Lynch Investment Solutions
195
Merrill Lynch Investment Solutions – Gotham U.S. Equity Long/Short UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Industrial sector Housewares Industrial Industrial Insurance Internet Internet Leisure Time Leisure Time Lodging Lodging Machinery-Constr&Mining Machinery-Diversified Machinery-Diversified Media Media Metal Fabricate/Hardware Miscellaneous Manufacturing Miscellaneous Manufacturing Office Furnishings Office/Business Equip Oil&Gas Services Oil&Gas Packaging&Containers Pharmaceuticals Pharmaceuticals Real Estate Retail Retail Semiconductors Semiconductors Shipbuilding Software Software Technology Technology Telecommunications Telecommunications Textiles Transportation Transportation Utilities 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
Long/Short Short Long Short Long Long Short Long Short Long Short Long Long Short Long Short Long Long Short Short Long Long Long Long Long Short Short Long Short Long Short Long Long Short Long Short Long Short Long Long Short Long
Commitment USD 298 143 372 804 5 946 252 47 787 107 576 2 538 211 176 943 648 437 316 620 809 629 237 518 401 189 808 233 1 545 157 205 918 101 383 528 386 512 579 375 722 31 581 297 688 221 729 1 865 150 421 903 601 58 968 1 346 673 2 137 864 1 127 197 1 144 007 126 866 456 340 4 150 594 867 421 4 593 354 584 248 2 339 744 58 425 443 199 1 721 892 40 638 90 334 669
Unrealised appreciation/ (depreciation) USD 9 389 (20 273) 657 622 (2 389) (11 049) 461 005 (9 377) (104 186) (55 021) 418 862 (39 599) (70 074) 183 638 (289 767) 15 754 (16 035) (115 932) 66 371 35 568 (3 008) (57 978) (16 925) (398) (52 561) 151 345 (58 968) (116 777) 129 694 (241 312) 112 624 (16 836) (22 358) 398 011 (2 175) 570 449 (61 369) 244 295 (5 004) 17 039 577 262 2 061 5 013 013
The total market value of the contracts for difference swaps is USD 6 375 521.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
196
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Passport Capital Global Equity Long Short UCITS Fund Schedule of Investments as at September 30, 2015 (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 5 075 2 893 10 774 5 387 1 514 7 323 41 937 3 538 52 087 6 322 11 431 4 334 30 540 17 541 34 781 14 157 4 229 2 849 3 790 4 897 2 270 4 662 29 783 2 449 16 962 4 318 19 811 67 535 10 238 4 185 3 865 4 781 13 270 6 339 14 534 9 215 12 465 78 621 6 055 13 534 4 839
Advance Auto Parts, Inc. Amgen, Inc. Anheuser-Busch InBev SA/NV - ADR Apple, Inc. Biogen, Inc. Bristol-Myers Squibb Co. Brookdale Senior Living, Inc. Celgene Corp. CF Industries Hldg., Inc. Cigna Corp. Coca-Cola Co. CVS Health Corp. Delta Air Lines, Inc. Dollar Tree, Inc. Energy Transfer Equity LP Facebook, Inc. - A Gilead Sciences, Inc. Google, Inc. - A Home Depot, Inc. Humana, Inc. Illumina, Inc. Johnson & Johnson Liberty Global Plc. - C LinkedIn Corp. - A Marathon Petroleum Corp. McGraw Hill Financial Co., Inc. Microsoft Corp. Mitsubishi UFJ Financial Group, Inc. Mondelez International, Inc. - A Moody's Corp. NIKE, Inc. - B PepsiCo, Inc. Pfizer, Inc. Procter & Gamble Co. Sempra Energy SolarCity Corp. Starbucks Corp. Tencent Hldg. Ltd. UnitedHealth Group, Inc. Visa, Inc. - A Walgreens Boots Alliance, Inc. Total Shares
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 JPY USD USD USD USD USD USD USD USD USD HKD USD USD USD
867 895 435 171 1 315 159 659 589 539 074 446 589 1 291 564 436 625 3 183 216 879 567 444 536 439 422 1 360 279 1 319 908 1 026 188 1 343 281 493 669 1 914 649 444 132 882 487 501 517 440 335 1 442 594 528 877 886 415 438 633 912 261 473 250 441 974 458 473 444 467 443 968 438 994 444 301 1 333 117 510 806 702 682 1 493 944 723 276 988 492 439 002 34 210 378
961 865 400 160 1 145 492 594 186 441 800 433 522 962 874 382 705 2 338 706 853 596 458 612 418 144 1 370 330 1 169 283 723 793 1 272 714 415 245 1 818 716 437 707 876 563 399 111 435 198 1 221 699 465 628 785 849 373 507 876 835 403 975 428 665 410 967 475 279 450 848 416 811 456 028 1 405 728 393 573 708 511 1 311 694 702 441 942 778 402 121 30 943 259
2.23 0.93 2.65 1.38 1.02 1.00 2.23 0.89 5.41 1.98 1.06 0.97 3.17 2.71 1.68 2.95 0.96 4.21 1.01 2.03 0.92 1.01 2.83 1.08 1.82 0.86 2.03 0.93 0.99 0.95 1.10 1.04 0.96 1.06 3.25 0.91 1.64 3.04 1.63 2.18 0.93 71.63
Merrill Lynch Investment Solutions
197
Merrill Lynch Investment Solutions – Passport Capital Global Equity Long Short UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Quantity
Quotation Currency
Description
Cost USD
Market value USD
% of net assets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.) Warrants 235 194 70 036
Alinma Bank Call Strike Price 17.540 16/04/2018 National Commercial Bank Call Strike Price 11.990 20/11/2017 Total Warrants Total Investments
Industrial classification of investments (as a percentage of net assets as at September 30, 2015) Internet Retail Healthcare-Services Banks Chemicals Beverages Biotechnology Gas Airlines Pharmaceuticals Media Diversified Financial Services Software Oil & Gas Commercial Services Pipelines Computers Apparel Cosmetics/Personal Care Food Energy-Alternate Sources
Purchase Sale Forward foreign exchange contracts CHF 516 101 USD EUR 36 775 620 USD USD 15 861 CHF USD 529 948 EUR Total forward foreign exchange contracts
% 11.28 9.49 7.87 5.71 5.41 4.75 4.72 3.25 3.17 2.97 2.83 2.18 2.03 1.82 1.81 1.68 1.38 1.10 1.06 0.99 0.91 76.41
528 099 41 166 996 15 518 475 231
USD
1 302 010
1 056 107
2.45
USD
1 216 699 2 518 709 36 729 087
1 007 518 2 063 625 33 006 884
2.33 4.78 76.41
Geographical classification of investments (as a percentage of net assets as at September 30, 2015) United States United Kingdom China Belgium Curacao Japan
Maturity date
Counterparty
30/10/2015 30/10/2015 30/10/2015 30/10/2015
State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co. State Street Bank and Trust Co.
% 62.18 5.16 3.04 2.65 2.45 0.93 76.41
Unrealised appreciation/ (depreciation) USD 580 (98 988) (36) (751) (99 195)
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
198
Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Passport Capital Global Equity Long Short UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Short/ Long Currency Options Long USD Total Options
Put/ Call
Description Russell 2000 Index
Strike Price
Maturity date
Quantity
Put 1 130.000
16/10/2015
91
Market value USD
Commitment USD
350 441 350 441
– –
Merrill Lynch Professional Clearing is the counterparty to these options. The maximum individual counterparty exposure for OTC Derivatives as at September 30, 2015 is 2.74% of the NAV. 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 Capital Services LLC.) with the following details: 1) Morgan Stanley Capital Services LLC. Commitment of USD 15 981 521 for the short portfolio composed of 27 equities Market value of USD 1 184 502 detailed as follows: – unrealised appreciation of short portfolio: USD 1 226 810 – realised result: USD (42 308) 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 Basic Materials Communications Consumer, Cyclical Consumer, Non-cyclical Energy Financial Fund - Equity Industrial Technology Total
Underlying nature Equity Equity Equity Equity Equity Equity Equity Equity Equity
Long/Short Short Short Short Short Short Short Short Short Short
The total market value of the contracts for difference swaps is USD 1 184 502.
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Commitment USD 3 083 714 303 052 2 779 351 371 187 1 966 180 1 069 005 2 802 573 1 529 983 2 076 476 15 981 521
Unrealised appreciation/ (depreciation) USD 527 137 4 262 80 281 25 507 143 193 28 733 232 854 200 683 (15 840) 1 226 810
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Merrill Lynch Investment Solutions – Willowbridge-Praxis Global Macro UCITS Fund Schedule of Investments as at September 30, 2015 (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 4 000
National Bank of Greece S.A. - ADR Total Shares
USD
2 500 2 500
1 844 1 844
0.02 0.02
CAD CAD CAD USD USD USD
2 784 126 2 783 279 2 782 396 1 007 1 008 1 043
2 759 090 2 758 207 2 757 296 1 006 1 008 1 043
27.55 27.54 27.54 0.01 0.01 0.01
8 352 859 8 355 359
8 277 650 8 279 494
82.66 82.68
Supranationals, Governments and Local Public Authorities, Debt Instruments 3 700 000 3 700 000 3 700 000 1 000 1 000 1 000
Canadian Treasury Bill 0.000% 22/10/2015 Canadian Treasury Bill 0.000% 19/11/2015 Canadian Treasury Bill 0.000% 17/12/2015 European Investment Bank 1.125% 15/12/2016 European Investment Bank 1.250% 14/10/2016 European Investment Bank 5.125% 13/09/2016 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, 2015) Sovereign Banks
Underlying Currency nature contract Futures contracts Index HKD Interest rate EUR Interest rate USD Total Futures contracts
% 82.66 0.02 82.68
% 82.63 0.03 0.02 82.68
Unrealised Number of Number of appreciation/ Maturity contracts contracts Commitment (depreciation) date bought sold USD USD
Details
Market
Hang Seng Index German Euro BUND US Long Bond
Hong Kong Futures Exchange Eurex Deutschland Chicago Board of Trade
Purchase Sale Forward foreign exchange contracts USD 2 773 646 CAD USD 2 064 629 HKD USD 2 774 173 CAD USD 2 772 175 CAD USD 3 113 772 SAR Total forward foreign exchange contracts
Geographical classification of investments (as a percentage of net assets as at September 30, 2015) Canada Supranational Greece
3 697 880 16 000 000 3 699 027 3 696 696 11 700 000
29/10/2015 08/12/2015 21/12/2015
– 2 7
4 – –
536 564 348 694 1 101 407 1 986 665
Maturity date
Counterparty
22/10/2015 26/10/2015 19/11/2015 17/12/2015 09/05/2016
State Street Bank and Trust Co. Merrill Lynch International Ltd. State Street Bank and Trust Co. State Street Bank and Trust Co. Merrill Lynch International Ltd.
7 123 446 1 000 8 569
Unrealised appreciation/ (depreciation) USD 15 759 181 15 787 15 796 4 578 52 101
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
200
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Merrill Lynch Investment Solutions – Willowbridge-Praxis Global Macro UCITS Fund Schedule of Investments as at September 30, 2015 (cont.) (expressed in USD)
Short/ Long Currency Options Long USD Short USD Short USD Total Options
Description
Put/ Call
Strike Price
Maturity date
Quantity
Call Put Call
98.500 98.125 99.000
19/12/2016 19/12/2016 19/12/2016
56 (56) (56)
90 Day Eurodollar 90 Day Eurodollar 90 Day Eurodollar
Market value USD 88 550 (4 550) (39 900) 44 100
Commitment USD – 13 737 500 13 860 000* 27 597 500
* 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, 2015 is 0.47% of the NAV. Contracts for difference swaps The Sub-Fund Willowbridge-Praxis Global Macro UCITS Fund entered into contracts for difference swaps with one counterparty (Merrill Lynch International Ltd.) with the following details: 1) Merrill Lynch International Ltd. Commitment of USD 2 295 940 for the short portfolio composed of 1 Commitment of USD 1 728 262 for the long portfolio composed of 1 Market value of USD (2 315) detailed as follows: – unrealised depreciation of short portfolio: USD (19 327) – unrealised appreciation of long portfolio: USD 17 012 The below table is composed of long and short positions:
Industrial sector Swap Index - Energy Swap Index - Energy Total
Underlying nature Derivative Derivative
Long/Short Long Short
The total market value of the contracts for difference swaps is USD (2 315).
The accompanying notes form an integral part of these financial statements. Unaudited semi-annual report
Commitment USD 1 728 262 2 295 940 4 024 202
Unrealised appreciation/ (depreciation) USD 17 012 (19 327) (2 315)
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201
Notes to the financial statements as at September 30, 2015 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, 2015, 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 – Graham Capital Systematic Macro UCITS Fund Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund Merrill Lynch Investment Solutions – Merrill Lynch Diversified Futures UCITS Fund Merrill Lynch Investment Solutions – Castlerigg Equity Event and Arbitrage UCITS Fund Merrill Lynch Investment Solutions – Merrill Lynch Dynamic Capital Protection 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 Voyage Greater China 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
Launch Date November 23, 2007 July 29, 2009 January 29, 2010 June 16, 2010 November 3, 2010 November 15, 2010 December 1, 2010 February 22, 2011 June 24, 2011 March 25, 2013 October 23, 2013 March 14, 2014 November 20, 2013 November 27, 2013 May 07, 2014 June 05, 2014 July 15, 2014 August 29, 2014 December 15, 2014 July 20, 2015 September 22, 2015
Merrill Lynch Investment Solutions – Van Eck Commodities Long-Short Equity UCITS Fund was liquidated on July 7, 2015. Merrill Lynch Investment Solutions – Multi-Strategy Fund of UCITS Fund was liquidated on July 2, 2015. Merrill Lynch Investment Solutions – APQ Emerging Markets UCITS Fund was liquidated on September 9. Merrill Lynch Investment Solutions – Passport Capital Global Equity Long Short UCITS Fund was launched on July 20, 2015. Merrill Lynch Investment Solutions – Willowbridge-Praxis Global Macro UCITS Fund was launched on September 22, 2015.
Unaudited semi-annual report
202
Merrill Lynch Investment Solutions
Notes to the financial statements as at September 30, 2015 (cont.) Note 1 – Activity (cont.) As September 30, 2015, 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 – Graham Capital Systematic Macro UCITS Fund Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund Merrill Lynch Investment Solutions – Merrill Lynch Diversified Futures UCITS Fund Merrill Lynch Investment Solutions – Castlerigg Equity Event and Arbitrage UCITS Fund Merrill Lynch Investment Solutions – Merrill Lynch Dynamic Capital Protection 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 Voyage Greater China UCITS Fund Merrill Lynch Investment Solutions – Gotham U.S. Equity Long/Short UCITS 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), SEK E (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), GBP C (acc), USD B (acc), USD C (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) EUR B (acc), EUR C (acc), GBP B (acc), GBP C (acc), USD B (acc), USD C (acc) CHF A (acc), EUR A (acc), EUR A (inc), EUR C (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 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 C (acc), USD B (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 B (acc), GBP Z (acc), USD B (acc) EUR D (acc), GBP C (acc), GBP D (acc), USD D (acc), USD Management (acc) EUR B (acc) EUR A (acc), EUR B (acc) EUR B (acc), EUR C (acc), GBP B (acc), SEK C (acc), USD B (acc), USD C (acc)
EUR D (acc), USD B (acc) EUR B (acc), EUR C (acc), EUR D (acc), EUR I (acc), EUR Institutional Seed (acc), EUR Management (acc), EUR Retail Seed (acc), EUR Z (acc), GBP B (acc), GBP Management (acc), USD D (acc), USD I (acc), USD Institutional Seed (acc) USD B (acc), USD Management (acc), USD Z (acc) EUR C (acc), EUR D (acc), EUR X (acc), GBP B (acc), GBP X (inc), USD B (acc), USD C (acc), USD D (acc), USD X (acc)
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Notes to the financial statements as at September 30, 2015 (cont.) Note 1 – Activity (cont.) Sub-Funds Merrill Lynch Investment Solutions – Passport Capital Global Equity Long Short UCITS Fund Merrill Lynch Investment Solutions – Willowbridge-Praxis Global Macro UCITS Fund
Classes of Shares CHF D (acc), EUR D (acc), USD B (acc), USD C (acc), USD D (acc), USD Management (acc) USD Management (acc)
The accounting year of the SICAV ends on March 31 every year. 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 The valuation of the swaps is resultant from the sum of the unrealised appreciation/depreciation, realised gains/losses and other interest or fees on contracts for difference swaps. Upfront payments, which represent a risk premium, are amortised straight-line over the contract term. 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.
Unaudited semi-annual report
204
Merrill Lynch Investment Solutions
Notes to the financial statements as at September 30, 2015 (cont.) Note 2 – Principal accounting policies (cont.) 2.4 Valuation of contracts for difference swaps Contracts for difference swaps use the same pricing methodology as the underlying securities. The realised result on Contracts for difference swaps corresponding to the realized gain on securities which is still held at the counterparty (monthly reset). 2.5 Valuation of futures and options contracts Initial margin deposits on open futures at the period-end are included in “Cash at bank”. Unrealised appreciations or depreciations are recorded as follows: – in “Unrealised appreciation/(depreciation) on futures contracts”, in the Statement of Net Assets; – in “Change in net unrealised appreciation/(depreciation) on financial futures contracts”, in the Statement of Operations and Changes in Net Assets. Futures contracts are valued at their liquidation value based on the closing price on the market on which these futures are quoted. The liquidating value of options contracts traded on exchanges or on other organised markets is based upon the last available settlement prices of these contracts on exchanges and organised markets on which the particular options contracts are traded by the SICAV; provided that if an options contract could not be liquidated on the day with respect to which net assets are being determined, the basis for determining the liquidating value of such contract is such value as the Board of Directors may deem fair and reasonable. Unrealised appreciations or depreciations are recorded as follows: – Through the Options bought/sold at market value in the Statement of Net Assets; – in “Change in net unrealised appreciation/(depreciation) on Options”, in the Statement of Operations and Changes in Net Assets. 2.6 Valuation of forward foreign exchange contracts Forward foreign exchange contracts are valued at the forward rates applicable at the statement of net assets date for the remaining period until maturity. Gains or losses resulting from forward foreign exchange contracts are recognised in the Statement of Operations and Changes in Net Assets. 2.7 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. 2.8 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 year-end. 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:
Unaudited semi-annual report
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205
Notes to the financial statements as at September 30, 2015 (cont.) Note 2 – Principal accounting policies (cont.) 2.8 Foreign exchange translation (cont.) Currency AUD CAD CHF CZK DKK GBP HKD HUF IDR JPY KRW MXN MYR NOK NZD PHP SEK SGD THB TWD USD ZAR
September 30, 2015 1.589533 1.496556 1.090687 27.174984 7.460175 0.736920 8.650990 313.219911 16 353.056347 133.687631 1 323.090627 18.916803 4.906754 9.521609 1.744958 52.173505 9.362041 1.587195 40.514279 36.755308 1.116250 15.434383
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 COP CZK DKK EUR GBP HKD HUF IDR ILS INR JPY KRW MXN
September 30, 2015 1.423994 3.981950 1.340700 0.977100 697.670000 6.365250 3 087.125000 24.344900 6.683250 0.895857 0.660175 7.750050 280.600250 14 650.000000 3.924900 65.640000 119.765000 1 185.300000 16.946750
Unaudited semi-annual report
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Merrill Lynch Investment Solutions
Notes to the financial statements as at September 30, 2015 (cont.) Note 2 – Principal accounting policies (cont.) 2.8 Foreign exchange translation (cont.) Currency MYR NOK NZD PHP PLN RUB SAR SEK SGD THB TRY TWD ZAR
September 30, 2015 4.395750 8.530000 1.563233 46.740000 3.802550 65.605900 3.750250 8.387050 1.421900 36.295000 3.027750 32.927500 13.827000
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, 2015 1.425923 1.334950 0.975200 0.895616 0.661376 7.750050 119.965000 16.929500 8.526150 1.564578 8.384050
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, 2015 1.116249580
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
Unaudited semi-annual report
September 30, 2015 1.116549950
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Notes to the financial statements as at September 30, 2015 (cont.) Note 2 – Principal accounting policies (cont.) 2.9 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. 2.10 Formation expenses Formation expenses and those of the launch of new Sub-Funds are born by CM Investment Solutions Limited. Note 3 – Investment management, distribution and performance fees The investment management fees which are payable to the Investment Manager in connection with the services to be provided by them, and distribution fees which are payable to the Investment Manager or Merrill Lynch International pursuant to the relevant agreements between each of them, are payable monthly in arrears and calculated on each banking day (as defined in the Prospectus) on the net assets of each Share Class and at the combined annual rates mentioned below. The performance fees which are payable to the Investment Manager, are payable annually or on crystallisation, and are calculated on each banking day (as defined in the Prospectus) at the combined annual rates mentioned below.
Sub-Funds Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral)
Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund
Merrill Lynch Investment Solutions – 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
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 D Class I Management Class Class A Class B Class C Class D
Combined investment management and distribution fee 1.75% 1.50% 2.25% 1.50% 0.60% 1.50% 1.50% 1.50% 2.50% 1.00% 1.50% 2.50% 1.50% 2.00% 2.75% 1.50% 2.00% 2.00% 2.75% 1.50% 1.75% 2.00% 1.50%1 1.50%1 2.25%2 1.25%3
Performance fee 25% 20% 20% 20% 10% 20% 25% 15% 15% 10% 20% 20% 20% 20% 20% 15% 20% 20% 20% 15% 20% 0% 25% 20% 20% 10%4
The rate of combined Investment management and distribution fee changed from 2.00% to 1.50% in the Prospectus of August 2015. The rate of combined Investment management and distribution fee changed from 2.75% to 2.25% in the Prospectus of August 2015. 3 The rate of combined Investment management and distribution fee changed from 1.50% to 1.25% in the Prospectus of August 2015. 4 The rate of performance fees changed from 15% to 10% in the Prospectus of August 2015. 1 2
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Notes to the financial statements as at September 30, 2015 (cont.) Note 3 – Investment management, distribution and performance fees (cont.)
Sub-Funds Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund
Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund
Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund
Merrill Lynch Investment Solutions – Van Eck Commodities Long-Short Equity UCITS Fund5
Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund
Merrill Lynch Investment Solutions – Merrill Lynch Diversified Futures UCITS Fund Merrill Lynch Investment Solutions – Castlerigg Equity Event and Arbitrage UCITS Fund
Merrill Lynch Investment Solutions – Merrill Lynch Dynamic Capital Protection UCITS Fund Merrill Lynch Investment Solutions – Merrill Lynch Enhanced Volatility Premium Fund Merrill Lynch Investment Solutions – Multi-Strategy Fund of UCITS Fund8 Merrill Lynch Investment Solutions – Merrill Lynch MLCX Commodity Enhanced Beta Fund Merrill Lynch Investment Solutions – Merrill Lynch MLCX Commodity Enhanced Beta ex Agriculture Fund
Class Class B Class C Class D Class A Class A2 Class C Class D Class Z Class B Class C Management Class Class Z Class B Class C Class D Management Class Class B Class C Class D Management Class Class B Class C Class D Management Class Class X Class Z Class B Class D Class Z Class B Class C Class D Management Class Class B Class A Class B Class B Class C Class D Class B Class C Class E Class B Class D Class H
Combined investment management and distribution fee 1.35% 2.10% 1.35% 1.00% 1.00% 2.00% 1.00% 1.00% 2.00% 2.75% 0.00% 2.00% 1.50% 2.25% 1.20% 0.00% 1.50% 2.25% 1.05% 0.00% 1.50% 2.25% 1.00% 0.00% 1.50% 1.50% 1.35% 1.30% 1.30% 1.50% 2.00%6 1.00% 0.00% 0.80% 0.40% 0.90% 0.90% 1.50% 0.75% 0.75% 1.75% 0.60% 0.75% 0.60% 0.40%
Liquidated on July 7, 2015 The rate of combined Investment management and distribution fee changed from 2.25% to 2% in the Prospectus of August 2015. 7 The rate of performance fees changed from 20% to 15% in the Prospectus of August 2015. 8 Liquidated on July 2, 2015 5 6
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Performance fee 20% 20% 20% 10% 15% 10% 10% 10% 20% 20% 0% 20% 20% 20% 15% 0% 20% 20% 10% 0% 20% 20% 10% 0% 20% 20% 20% 20% 20% 20% 15%7 10% 0% 0% 0% 0% 10% 10% 10% 0% 0% 0% 0% 0% 0%
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209
Notes to the financial statements as at September 30, 2015 (cont.) Note 3 – Investment management, distribution and performance fees (cont.)
Sub-Funds Merrill Lynch Investment Solutions – Fenician Equity Long Short UCITS Fund
Merrill Lynch Investment Solutions – APQ Emerging Markets UCITS Fund9 Merrill Lynch Investment Solutions – Zeal Voyage Greater China 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 Fund10
Merrill Lynch Investment Solutions – Willowbridge-Praxis Global Macro UCITS Fund11
Class Class B Class C Class D Class I Class Institutional Seed Management Class Class Retail Seed Class Z Class B Management Class Class B Management Class Class Z Class B Class C Class D Management Class Class X Class B Class C Class D Management Class
Combined investment management and distribution fee 1.50% 2.25% 1.00% 1.50% 1.00% 0.00% 1.00% 1.50% 1.50% 0.00% 1.75% 0.00% 1.75% 1.50% 2.25% 1.25% 0.00% 1.50% 1.25% 2.00% 0.95% 0.00%
Performance fee 20% 20% 15% 20% 10% 0% 10% 20% 15% 0% 15% 0% 15% 15% 15% 15% 0% 15% 15% 15% 10% 0%
Management Class
0.00%
0%
Liquidated on September 9, 2015 Launched on July 20, 2015 11 Launched on September 22, 2015 9
10
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
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Notes to the financial statements as at September 30, 2015 (cont.) Note 6 – Taxation (cont.) 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. Note 7 – Cash collateral information The table below provides the cash collateral balances due from / due to the brokers in relations to the following investments held as at September 30, 2015.
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
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Due from / (due to) brokers Counterparty Due from Credit Suisse Securities (Europe) Limited Due to Goldman Sachs Bank USA Due to JP Morgan Securities Ltd. Due from State Street Bank and Trust Co. Due from Bank of America N.A. Due from Citibank NA Due from Credit Suisse Securities (Europe) Limited Due from Goldman Sachs International Due from JPMorgan Chase Bank NA Due from Morgan Stanley Capital Services Inc. Due from State Street Bank and Trust Co. Due from UBS AG Due from Credit Suisse Securities (Europe) Limited Due from Merrill Lynch International Ltd. Due from Morgan Stanley Capital Services Inc. Due from State Street Bank and Trust Co. Due from Merrill Lynch International Ltd.
Investment type
Currency
Cash collateral balances
Swaps
USD
9 000 000
Swaps
USD
100 000 000
Swaps Forward foreign exchange contracts Swaps Swaps
USD
20 000 000
USD EUR EUR
10 000 000 20 54
Swaps
EUR
95
Options contracts, swaps
EUR
564 544
Swaps
EUR
15 222 088
Swaps Forward foreign exchange contracts Swaps
EUR
113 397 985
EUR EUR
6 270 999 11 100 659
Swaps
USD
2 140 967
Swaps
USD
44 308 290
Swaps Forward foreign exchange contracts
USD
27 100 000
USD
6 230 000
Swaps
EUR
9 498 457
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211
Notes to the financial statements as at September 30, 2015 (cont.) Note 7 – Cash collateral information (cont.)
Sub-Funds Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund
Due from / (due to) brokers Due from Due from Due from Due from Due from Due from Due from
Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund
Due from Due from Due from Due from Due from Due from 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 from Due from Due from Due from
Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund
Due from Due from Due from Due from
Counterparty Bank of America N.A. Citibank NA Credit Suisse Securities (Europe) Limited Deutsche Bank AG Goldman Sachs International JPMorgan Chase Bank NA Morgan Stanley & Co. International Plc. UBS AG Morgan Stanley Capital Services Inc. State Street Bank and Trust Co. Bank of America N.A. Credit Suisse International Deutsche Bank AG Goldman Sachs International Morgan Stanley Capital Services Inc. Morgan Stanley & Co. International Plc. Barclays Bank Plc. Citibank NA Credit Suisse International Credit Suisse Securities (Europe) Limited Deutsche Bank AG Goldman Sachs International HSBC Bank Plc. JPMorgan Chase Bank NA Morgan Stanley Capital Services Inc. Société Générale State Street Bank and Trust Co. UBS AG Goldman Sachs International JPMorgan Chase Bank NA Merrill Lynch International Ltd.
Investment type Options contracts, swaps Swaps
Currency EUR EUR
Cash collateral balances 241 996 555 598
Swaps Swaps
EUR EUR
101 505 353
Swaps
EUR
725 801
Options contracts, swaps
EUR
70 723
Swaps Options contracts, swaps
EUR EUR
1 730 069 594 309
Swaps Forward foreign exchange contracts Swaps Forward foreign exchange contracts Swaps
USD
10 353 641
USD USD
2 630 000 4 102 047
USD USD
48 402 768 47 495 603
Swaps
USD
15 507 835
Swaps
USD
120 810 000
Swaps Swaps Options contracts, swaps
USD USD USD
65 740 000 7 061 545 4 838 768
Swaps
USD
1 236 774
Options contracts, swaps Options contracts, swaps
USD USD
16 590 539 1 490 142
Swaps Swaps
USD USD
13 518 139 16 312 378
Options contracts, swaps
USD
16 623 060
Swaps Options contracts, swaps Forward foreign exchange contracts Swaps
USD USD
1 020 000 7 160 000
USD USD
3 800 086 12 920 000
Swaps
USD
140 000
Options contracts, Swaps
USD
760 000
Swaps
USD
865 749
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Merrill Lynch Investment Solutions
Notes to the financial statements as at September 30, 2015 (cont.) Note 7 – Cash collateral information (cont.) Due from / (due to) Sub-Funds brokers Counterparty Merrill Lynch Investment Solutions – Due from State Street Bank and Beach Point Diversified Credit UCITS Fund Trust Co. Merrill Lynch Investment Solutions – Due from Merrill Lynch Merrill Lynch Diversified Futures UCITS Fund International Ltd. Due from State Street Bank and Trust Co. Merrill Lynch Investment Solutions – Due from Bank of America N.A. Castlerigg Equity Event and Arbitrage Due from Barclays Bank Plc. UCITS Fund Due from Citibank NA Due from Credit Suisse Securities (Europe) Limited Due from Skandinaviska Enskilda Banken AB Due from State Street Bank and Trust Co. Merrill Lynch Investment Solutions – Due from State Street Bank and Merrill Lynch Dynamic Capital Protection Trust Co. UCITS Fund Merrill Lynch Investment Solutions – Due from Merrill Lynch Merrill Lynch Enhanced Volatility International Ltd. Premium Fund Merrill Lynch Investment Solutions – Due from Merrill Lynch Merrill Lynch MLCX Commodity International Ltd. Enhanced Beta Fund Merrill Lynch Investment Solutions – Due from Merrill Lynch Merrill Lynch MLCX Commodity International Ltd. Enhanced Beta ex Agriculture Fund Due from State Street Bank and Trust Co. Merrill Lynch Investment Solutions – Due from Merrill Lynch Fenician Equity Long Short UCITS Fund International Ltd. Due from State Street Bank and Trust Co. Merrill Lynch Investment Solutions – Due from Merrill Lynch Zeal Voyage Greater China UCITS Fund International Ltd. Due from Morgan Stanley & Co. International Plc. Merrill Lynch Investment Solutions – Due from Morgan Stanley Capital Gotham U.S. Equity Long/Short UCITS Fund Services Inc. Due from Morgan Stanley International Plc. Due from State Street Bank and Trust Co. Merrill Lynch Investment Solutions – Due from Morgan Stanley Passport Capital Global Equity Long Short International Plc. UCITS Fund Due from State Street Bank and Trust Co. Merrill Lynch Investment Solutions – Due from Merrill Lynch Willowbridge – Praxis Global Macro International Ltd. UCITS Fund
Unaudited semi-annual report
Cash collateral balances
Investment type Forward foreign exchange contracts
Currency USD
3 820 000
Swaps Forward foreign exchange contracts Swaps Options contracts, swaps Swaps
USD
43 929 000
USD USD USD USD
5 170 000 6 506 555 6 911 969 7 877 223
Swaps
USD
8 520 048
Swaps Forward foreign exchange contracts Forward foreign exchange contracts
USD
260 000
USD
980 000
EUR
10 000
Swaps
EUR
4 845 000
Swaps
USD
110 000
Swaps Forward foreign exchange contracts
USD
1 700 000
USD
920 000
Swaps Forward foreign exchange contracts
EUR
11 951 060
EUR
816 000
Swaps
USD
2 240 000
Swaps
USD
1 340 000
Swaps
USD
620 000
Swap Forward foreign exchange contracts
USD
441 587
USD
1 770 000
Swaps Forward foreign exchange contracts
USD
2 200 000
USD
780 000
Swaps
USD
1 029 940
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Notes to the financial statements as at September 30, 2015 (cont.) Note 7 – Cash collateral information (cont.) 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, 2015.
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 – Graham Capital Systematic Macro UCITS Fund Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund Merrill Lynch Investment Solutions – Beach Point Diversified Credit UCITS Fund Merrill Lynch Investment Solutions – Fenician Equity Long Short UCITS Fund Merrill Lynch Investment Solutions – Zeal Voyage Greater China UCITS Fund Merrill Lynch Investment Solutions – Willowbridge-Praxis Global Macro UCITS Fund
Due from / due to brokers Due from Due from
Counterparty Merrill Lynch International Ltd. UBS AG
Currency USD USD
Margin cash balances 6 082 43 668 623
Due from
Merrill Lynch International Ltd.
EUR
57 733 916
Due from
Merrill Lynch International Ltd.
EUR
285 662
Due from
Merrill Lynch International Ltd.
EUR
1 858 663
Due from
Merrill Lynch International Ltd.
USD
10 400 626
Due from
Merrill Lynch International Ltd.
USD
38 174 786
Due from
Merrill Lynch International Ltd.
USD
12 528 346
Due from
Merrill Lynch International Ltd.
USD
673 908
Due from
Merrill Lynch International Ltd.
EUR
5 246 268
Due from
Merrill Lynch International Ltd.
USD
1 264 350
Due from
Merrill Lynch International Ltd.
USD
82 163
Note 8 – Stock collateral information The table below provides the stock collateral information as at September 30, 2015.
Sub-Funds Counterparty Merrill Lynch Investment Solutions – Merrill Lynch AQR Global Relative Value UCITS Fund International Merrill Lynch International Morgan Stanley International Merrill Lynch Investment Solutions – Morgan Stanley Och-Ziff European Multi-Strategy International UCITS Fund Deutsche Bank AG
Security name United States Treasury Bill 0% 27/11/2015 United States Treasury Bill 0% 07/01/2016 United States Treasury Bill 0% 07/01/2016 United States Treasury Bill 0% 04/02/2016 United States Treasury Bill 0% 28/04/2016
Type of collateral
Currency
Nominal value
Bond
USD
26 000 000
Bond
USD
8 000 000
Bond
USD
37 000 000
Bond
USD
13 097 100
Bond
USD
4 082 700
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Notes to the financial statements as at September 30, 2015 (cont.) Note 9 – Fair valuation The Directors have appointed Merrill Lynch International to act as the competent person. As at September 30, 2015, there was no security where a competent person was used to determine the value. Note 10 – Directors fees Unaffiliated directors were each paid a gross fee of USD 22 500 during the period ended September 30, 2015, which were borne by the SICAV.
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