CIGOGNE UCITS Société d'investissement à Capital Variable with multiple sub-funds Luxembourg

Transcription

1 Annual report including audited financial statements CIGOGNE UCITS Société d'investissement à Capital Variable with multiple sub-funds Luxembourg R.C.S. Luxembourg B

2 Subscriptions may be made only on the basis of the prospectus, including the articles of incorporation and the fact sheets of each of the sub-funds and the key investor information document ("KIID"). The prospectus may only be distributed if accompanied by the most recent annual report and the most recent half-year report, if the half-year report is more recent than the annual report.

3 Contents Organisation... 2 General information... 5 Report on activities of the Board of Directors... 7 Report of the réviseur d'entreprises agréé... 8 Combined statement of net assets...10 Combined statement of operations and other changes in net assets...11 CIGOGNE UCITS - M&A Arbitrage...12 Statement of net assets...12 Statement of operations and other changes in net assets...13 Statistical information...14 Statement of investments and other net assets...15 Industrial and geographical classification of investments...17 CIGOGNE UCITS - Long Short Arbitrage...19 Statement of net assets...19 Statement of operations and other changes in net assets...20 Statistical information...21 Statement of investments and other net assets...22 Industrial and geographical classification of investments...23 Notes to the financial statements...24 Additional information (unaudited)

4 Organisation Registered Office 9, Boulevard Prince Henri L-1724 LUXEMBOURG Board of Directors Chairman Directors Georges VANDERMARLIERE CM-CIC Market Solutions Responsable des Solutions de Placement CREDIT INDUSTRIEL ET COMMERCIAL (CIC) 6, Avenue de Provence F PARIS Guillaume BINNENDIJK Directeur Délégué, Responsable de la Gestion des Risques CIGOGNE MANAGEMENT S.A. 9, Boulevard Prince Henri L-1724 LUXEMBOURG Joffrey CZURDA Directeur Délégué, Responsable des Investissements CIGOGNE MANAGEMENT S.A. 9, Boulevard Prince Henri L-1724 LUXEMBOURG Management Company CIGOGNE MANAGEMENT S.A. 9, Boulevard Prince Henri L-1724 LUXEMBOURG Board of Directors Chairman Olivier VAILLANT Président CM-CIC Asset Management 4, Rue Gaillon F PARIS (since 22nd December 2016) Philippe VIDAL Directeur Général Adjoint CIC 6, Avenue de Provence F PARIS (until 22nd December 2016) Directors Hervé BRESSAN Directeur Financier CIC 6, Avenue de Provence F PARIS (until 22nd December 2016) 2

5 Organisation (continued) Ruth BÛLTMANN BÜLTMANN ADVISORY 40, Rue d Ernster L-6977 OBERANVEN (since 22nd December 2016) Hugues DUBLY DUBLY DOUILHET GESTION 50, Boulevard de la Liberté F LILLE (since 22nd December 2016) Georges ENGEL CONVENTUM ASSET MANAGEMENT 9, Boulevard Prince Henri L-1724 LUXEMBOURG (since 22nd December 2016) Fernand REINERS Membre du Comité de Direction BANQUE DE LUXEMBOURG Société Anonyme 14, Boulevard Royal L-2449 LUXEMBOURG (until 22nd December 2016) Olivier VAILLANT Président CM-CIC Asset Management 4, Rue Gaillon F PARIS (until 22nd December 2016) Georges VANDERMARLIERE CM-CIC Market Solutions Responsable des Solutions de Placement CREDIT INDUSTRIEL ET COMMERCIAL (CIC) 6, Avenue de Provence F PARIS (until 22nd December 2016) Conducting Persons of the Management Company Guillaume BINNENDIJK CIGOGNE MANAGEMENT S.A. 9, Boulevard Prince Henri L-1724 LUXEMBOURG Joffrey CZURDA CIGOGNE MANAGEMENT S.A. 9, Boulevard Prince Henri L-1724 LUXEMBOURG 3

6 Organisation (continued) Georges VANDERMARLIERE Administrateur Délégué CIGOGNE MANAGEMENT S.A. 9, Boulevard Prince Henri L-1724 LUXEMBOURG (until 22nd December 2016) Domiciliary Agent CIGOGNE MANAGEMENT S.A. 9, Boulevard Prince Henri L-1724 LUXEMBOURG Depositary, Primary Paying Agent and Central Administration BANQUE DE LUXEMBOURG Société Anonyme 14, Boulevard Royal L-2449 LUXEMBOURG Central Administration s Subcontractor EUROPEAN FUND ADMINISTRATION S.A. 2, Rue d Alsace L-1122 LUXEMBOURG Cabinet de révision agréé DELOITTE Audit Société à responsabilité limitée 560, Rue de Neudorf L-2220 LUXEMBOURG Investment Advisor CRÉDIT INDUSTRIEL ET COMMERCIAL (CIC) 6, Avenue de Provence F PARIS 4

7 General information CIGOGNE UCITS (the "SICAV") is an investment company with variable capital with multiple sub-funds incorporated under Luxembourg law, subject to Part I of the amended Law of 17th December 2010 ("Law of 2010").The Directive 2014/91/EU of the European Parliament and of the Council of 23rd July 2014 amending the Directive 2009/65/EC had been transposed by the law of 10th May 2016 coming into force on 1st June 2016 and amending the amended law of 17th December The SICAV has been incorporated for an unlimited duration as at 14th February 2013 and the articles of incorporation were published on 27th February The following sub-funds are currently offered for subscription: - CIGOGNE UCITS - M&A Arbitrage in EUR - CIGOGNE UCITS - Long Short Arbitrage in EUR. The Management Company resolved with effect on 31st July 2015 to create a Master Feeder Structure, as follows: Feeder (French-domiciled funds) CM-CIC M&A ARBITRAGE CM-CIC LONG SHORT ARBITRAGE Master (Luxembourg-domiciled funds) CIGOGNE UCITS - M&A Arbitrage CIGOGNE UCITS - Long Short Arbitrage The following share classes may be issued for the sub-funds currently open to subscribers: - C1 shares: accumulation shares expressed in the reference currency of the sub-fund, which in theory do not grant their holder the right to receive a dividend, but for which the holder s entitlement on the amount to be distributed is reinvested in the sub-fund in which the accumulation shares are held. - C2 shares: accumulation shares that are different from C1 shares by a different structure of fees and commissions and minimum subscription amount, as specified in the fact sheets of each sub-fund. - C3 shares: accumulation shares that are different from C1 shares because they are expressed in a currency other than the reference currency of the sub-fund. The Board of Directors of the SICAV or any other entitled entity shall put in place arrangements so as to minimise currency risk exposure for class C3 shares. The SICAV intends to minimise the exposure by the use of hedging and other techniques and instruments, notably through forward rate agreements, currency term contracts, currency futures and currency options. Due to the volatility of the underlying portfolio, the SICAV does not guarantee that C3 shares are totally hedged against all currency risk. A remaining currency risk exposure can thus not be prevented. Shareholders are informed that the currency hedging of C3 shares will be performed as long as the Board of Directors of the SICAV or any other entitled entity finds counterparties for the hedging transactions. - C4 shares: accumulation shares expressed in the reference currency of the sub-fund that differ from C1 shares by having a different fee structure and by being reserved to investment funds managed by CIGOGNE MANAGEMENT S.A. which are institutional investors within the meaning of article 174(2) of the amended Law of Access to this class is subject to the approval of the SICAV s Board of Directors. C4 shares may be subscribed by financial institutions providing the institutions in question confirm, respectively, to the SICAV, depositary or transfer agent that they are, as regards the subscription and/or conversion orders in question, acting exclusively on behalf of CIGOGNE MANAGEMENT S.A. At the date of the report, all the share classes are active. 5

8 General information (continued) The valuation of the net asset of each sub-fund of the SICAV and the determination of the Net Asset Value ("NAV") per share is calculated once a week on Friday ("Valuation Day"). If that day is not a full Luxembourg bank business day, the calculation will be performed on the previous full Luxembourg bank business day. The financial year end is 31st December of each year. The combined accounts of the SICAV are expressed in EUR. The net asset value, the issue price, the redemption and conversion price of each class of shares are available on each Luxembourg bank business day at the registered office of the SICAV. The following documents are made available to the public at the registered office of the SICAV and at the registered office of the Management Company: the prospectus of the SICAV, including the articles of incorporation and the fact sheets, the KIID document of the SICAV, (also published on the financial reports of the SICAV. A copy of the agreements contracted with the Management Company and the Investment Advisor of the SICAV are available free of charge at the SICAV s registered office. 6

9 Report on activities of the Board of Directors The Board of Directors of CIGOGNE UCITS examined the SICAV s financial statements for The SICAV successfully achieved its objectives and at the end of 2016, assets under management reached EUR 693 million (+200% over one year). In line with previous years, the last 12 months proved to be challenging as the majority of expectations were not met (Brexit, US election, Italian referendum). Against a backdrop of low interest rates and abundant liquidity, our performance can be explained by the good orientation of all our sub-funds. The ECB again played a key role in our results by pursuing its accommodative monetary policy and the announcement last March of the launch of the new corporate sector purchase program (CSPP) was the central contributing factor to the strong performance of credit assets. The year was also marked by the rise in commodity prices (the Bloomberg Commodity Index was up 11.40% over the year) and the historic agreement between oil producing countries OPEC members and non-opec members to reduce their production. The alternative management industry, in turn, posted a USD 70 billion increase in assets under management in 2016 for a total AUM of USD 3,220 billion (source: Preqin). Globally, 2016 was a difficult year and only 56% of hedge funds reported positive returns, as illustrated by the HFRX Global Hedge Fund EUR Index (a diversified index weighted by assets designed to represent the global composition of the alternative funds universe), which registered a 0.70% performance over the full year. In this context, our main objective throughout 2016 has been to increase portfolio diversification by developing new strategies and multiplying individual positions, so as to continue to reduce volatility while remaining decorrelated from the evolution of traditional markets. Nevertheless the performances of our sub-funds were disparate: After two more difficult years (2014 & 2015), the performance of the Long-Short Arbitrage sub-fund for 2016 is very good (+4.21%). This validates the new model implemented in October 2015 which included some new specialties and diluted or removed the historical ones. These new specialties played an important role in the good figures, mainly Share Class arbitrage (dealing with various share categories and dual listing) and Capital Increases strategies (ArcelorMittal and Air Liquide were the major contributors for 2016). The profits stemming from our Event Driven portfolio and specifically from Merger and Arbitrage related strategies (wide discounts, terminated operations) also helped to strengthen global performance was a busy year for mergers and acquisitions activity with over billion dollars in volume, and the activity remained relatively high throughout the period. This figure must be viewed in context, however, as the weighting of jumbo deals stayed high. Despite many complex operations, the search for external development in a period of low growth and record levels of cash available in many companies enabled the sub-fund to close the year on an increase of 5.92%. After a bullish activity in Europe, mostly during the first semester (BG Group / Royal Dutch Shell and SabMiller / AB InBev operations for example), the second half of the year saw its flow focus on the United- States. The SanDisk / Western Digital, St Jude Medical / Abbott Laboratories and Ingram Micro positions mainly enhanced the annual performance was also successful for the Small Caps Arbitrage strategies. This specialty benefited from an increased number of deals and several bid improvements. Regarding our outlook for 2017, we are working on implementing a new UCITS sub-fund based on credit strategies. We are confident of our ability to continue raising funds and to offer increasingly comprehensive investment solutions to our investors (direct investment, through life insurance contracts, via structured products). Still with respect to our outlook for 2017, we will continue to improve our internal control processes and work towards compliance with regulatory changes (UCITS V). Luxembourg, 25th April 2017 The Board of Directors Note: The information in this report represents historical data and is not an indication of future results. 7

10 Deloitte Audit Société à responsabilité limitée 560, rue de Neudorf L-2220 Luxembourg BP 1173 L-1011 Luxembourg Tel: Report of the réviseur d'entreprises agréé To the Shareholders of CIGOGNE UCITS Following our appointment by the general meeting of the shareholders, we have audited the accompanying financial statements of CIGOGNE UCITS and of each of its sub-funds, which comprise the statement of net assets and the statement of investments and other net assets as at 31st December 2016 and the statement of operations and other changes in net assets for the year then ended, and a summary of significant accounting policies and other explanatory notes to the financial statements. Responsibility of the Board of Directors of the SICAV for the financial statements The Board of Directors of the SICAV is responsible for the preparation and fair presentation of these financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements and for such internal control as the Board of Directors of the SICAV determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. Responsibility of the réviseur d entreprises agréé Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with International Standards on Auditing as adopted for Luxembourg by the Commission de Surveillance du Secteur Financier. Those standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the réviseur d entreprises agréé s judgement, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the réviseur d entreprises agréé considers internal control relevant to the entity s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity s internal control. Société à responsabilité limitée au capital de RCS Luxembourg B Autorisation d établissement

11 Deloitte Report of the reviseur d'entreprises agree (continued) An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by the Board of Directors of the SICAV, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements give a true and fair view of the financial position of CIGOGNE UCITS and of each of its sub-funds, and of the results of their operations and changes in their net assets for the year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements. Other information The Board of Directors of the SICAV is responsible for the other information. The other information comprises the information included in the annual report but does not include the financial statements and our report of reviseur d'entreprises agree thereon. Our opinion on the financial statements does not cover the other information and we do not express any form of assurance conclusion thereon. In connection with our audit of the financial statements, our responsibility is to read the other information and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit or otherwise appears to be materially misstated. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report this fact. We have nothing to report in this regard. For Deloitte Audit, Cabinet de revision aai=ef Ma ~-Rf!1tttW~\'i!v;si!z"Ir71-emf?eli~ Partner 28th April , rue de Neudorf L-2220 LUXEMBOURG 9

12 Combined statement of net assets Assets Securities portfolio at market value 239,671, Deposits on reverse-repurchase agreements 98,707, Guarantee deposits on securities borrowing 221,156, Cash at banks 128,173, Other liquid assets 6,680, Receivable on sales of securities 13,152, Receivable on swaps contracts 229, Receivable on treasury transactions Margins on swaps contracts receivable 4,430, Receivable on issues of shares 20,999, Income receivable on portfolio 15, Interest receivable on swaps contracts 3, Interest receivable on bank accounts Result on underlying of swaps contracts receivable 82, Other receivables 1, Total assets 733,305, Liabilities Bank overdrafts 14,966, Short option contracts at market value 81, Payable on purchases of securities 12,678, Payable on swaps contracts 205, Payable on treasury transactions Payable on redemptions of shares 2,079, Interest payable on swaps contracts 257, Interest payable on bank overdrafts 2, Interest payable on repurchase agreements 18, Unrealised loss on swaps contracts 4,457, Unrealised loss on forward foreign exchange contracts 214, Expenses payable 4,873, Rebate/fees on securities borrowing, net 44, Result on underlying of swaps contracts payable 36, Other liabilities 1, Total liabilities 39,918, Net assets at the end of the year 693,386, The accompanying notes are an integral part of these financial statements. 10

13 Combined statement of operations and other changes in net assets from 1st January 2016 to 31st December 2016 Income Dividends, net 648, Interest on bank accounts 11, Interest on repurchase agreements 2, Other commissions received 142, Total income 806, Expenses Management fees 3,338, Performance fees 3,319, Depositary fees 299, Banking charges and other fees 79, Transaction fees 77, Rebate/fees on securities borrowing 288, Central administration costs 299, Professional fees 40, Other administration costs 54, Subscription duty ("taxe d'abonnement") 183, Bank interest paid 35, Interest paid on bank deposits 79, Interest paid on reverse-repurchase agreements 62, Other expenses 9, Total expenses 8,168, Net investment loss -7,362, Net realised gain/(loss) - on securities portfolio 14,621, on option contracts -6,852, on swaps contracts 19,378, on forward foreign exchange contracts -15,488, on foreign exchange 9,968, Realised result 14,264, Net variation of the unrealised gain/(loss) - on securities portfolio 4,653, on option contracts 143, on swaps contracts -3,505, on forward foreign exchange contracts -82, Result of operations 15,474, Subscriptions 540,462, Redemptions -72,086, Total changes in net assets 483,851, Total net assets at the beginning of the year 209,535, Total net assets at the end of the year 693,386, The accompanying notes are an integral part of these financial statements. 11

14 - M&A Arbitrage Statement of net assets Assets Securities portfolio at market value 228,099, Deposits on reverse-repurchase agreements 80,524, Guarantee deposits on securities borrowing 163,264, Cash at banks 111,040, Other liquid assets 5,131, Receivable on sales of securities 13,152, Receivable on swaps contracts 214, Receivable on treasury transactions Margins on swaps contracts receivable 3,270, Receivable on issues of shares 12,244, Income receivable on portfolio 15, Interest receivable on swaps contracts 3, Result on underlying of swaps contracts receivable 59, Other receivables 1, Total assets 617,023, Liabilities Bank overdrafts 14,752, Short option contracts at market value 81, Payable on purchases of securities 12,678, Payable on swaps contracts 203, Payable on redemptions of shares 2,079, Interest payable on swaps contracts 180, Interest payable on bank overdrafts 2, Interest payable on repurchase agreements 14, Unrealised loss on swaps contracts 3,397, Unrealised loss on forward foreign exchange contracts 195, Expenses payable 4,413, Rebate/fees on securities borrowing, net 35, Other liabilities 1, Total liabilities 38,035, Net assets at the end of the year 578,988, Number of Class C1 shares outstanding 254, Net asset value per Class C1 share 1, Number of Class C2 shares outstanding 241, Net asset value per Class C2 share 1, Number of Class C3 shares outstanding 1, Net asset value per Class C3 share USD 1, The accompanying notes are an integral part of these financial statements. 12

15 - M&A Arbitrage Statement of operations and other changes in net assets from 1st January 2016 to 31st December 2016 Income Dividends, net 645, Interest on bank accounts 7, Interest on repurchase agreements Other commissions received 64, Total income 717, Expenses Management fees 2,820, Performance fees 3,080, Depositary fees 232, Banking charges and other fees 48, Transaction fees 69, Rebate/fees on securities borrowing 174, Central administration costs 211, Professional fees 20, Other administration costs 31, Subscription duty ("taxe d'abonnement") 146, Bank interest paid 23, Interest paid on bank deposits 67, Interest paid on reverse-repurchase agreements 29, Other expenses 6, Total expenses 6,962, Net investment loss -6,244, Net realised gain/(loss) - on securities portfolio 13,565, on option contracts -4,912, on swaps contracts 13,957, on forward foreign exchange contracts -15,388, on foreign exchange 10,018, Realised result 10,996, Net variation of the unrealised gain/(loss) - on securities portfolio 4,052, on option contracts 108, on swaps contracts -2,517, on forward foreign exchange contracts -63, Result of operations 12,576, Subscriptions 484,659, Redemptions -67,978, Total changes in net assets 429,257, Total net assets at the beginning of the year 149,731, Total net assets at the end of the year 578,988, The accompanying notes are an integral part of these financial statements. 13

16 - M&A Arbitrage Statistical information Total net assets - as at ,988, as at ,731, as at ,146, Number of Class C1 shares - outstanding at the beginning of the year 87, issued 197, redeemed -29, outstanding at the end of the year 254, Net asset value per Class C1 share - as at , as at , as at , Number of Class C2 shares - outstanding at the beginning of the year 30, issued 221, redeemed -9, outstanding at the end of the year 241, Net asset value per Class C2 share - as at , as at , as at , Number of Class C3 shares - outstanding at the beginning of the year 2, issued 1, redeemed -2, outstanding at the end of the year 1, Net asset value per Class C3 share - as at USD 1, as at USD 1, as at USD 1, Number of Class C4 shares - outstanding at the beginning of the year 16, issued redeemed -16, outstanding at the end of the year Net asset value per Class C4 share - as at as at , as at , The accompanying notes are an integral part of these financial statements. 14

17 - M&A Arbitrage Statement of investments and other net assets Currency Number / nominal value Investments in securities Description Cost Market value % of total net assets Transferable securities admitted to an official stock exchange listing Shares CAD 6,250,000 Canexus Corp 7,357, ,201, CAD 42,800 DirectCash Payments Inc 584, , ,941, ,775, EUR 6,979 Ausy 382, , EUR 40,300 Conwert Immobilien Invest SE 650, , EUR 90,000 Delta Lloyd NV 476, , EUR 115,871 KUKA AG 13,263, ,307, EUR 680,927 Telegraaf Media Group 3,316, ,234, EUR 1 Total SA EUR 25,146 Zetes Industries SA 1,358, ,357, ,448, ,415, GBP 2,427,755 Brammer Plc 4,761, ,700, GBP 70,692 MP Evans Group Plc 542, , GBP 7,273,586 Sepura Plc 1,663, ,619, GBP 40,000 Sky Plc 488, , ,456, ,309, HKD 6,500,000 West China Cement Ltd 1,233, , JPY 335,000 Calsonic Kansei Corp 4,785, ,872, SEK 300,000 Haldex AB 3,647, ,645, SEK 28,794 Rezidor Hotel Group AB 105, , SEK 855,104 Transcom WorldWide AB 7,782, ,803, ,535, ,555, USD 23,644 Apollo Education Group Inc A 223, , USD 112,471 Blue Nile Inc 4,225, ,333, USD 5,299 Cabela's Inc 318, , USD 129,300 Calamos Asset Management Inc A 1,034, ,048, USD 50,600 China Cord Blood Corporation 232, , USD 451,000 Datalink Corp 4,597, ,815, USD 514,586 Digi International Inc 6,560, ,709, USD 62,854 Fidelity & Gty Life 1,289, ,412, USD 379,290 Gas Natural Inc 4,379, ,513, USD 204,722 Harman Intl Industries Inc 21,247, ,578, USD 2,524 Hill International Inc 6, , USD 87,100 ikang Healthcare Group Inc A spons ADR repr 1/2 Sh A 1,345, ,371, USD 335,055 Joy Global Inc 8,990, ,895, USD 342,700 Jumei Intl Holding Ltd spon ADR repr 1 Share A 1,448, ,494, USD 477,378 LifeLock Inc 10,879, ,827, USD 1,060,066 Lionbridge Technologies Inc 5,823, ,830, USD 66,494 Monsanto Co 6,291, ,633, USD 109,479 NXP Semiconductor NV 10,252, ,174, USD 1,217,416 Rite Aid Corp 9,518, ,512, USD 379,282 SciClone Pharmaceuticals Inc 3,655, ,884, USD 231,700 Sinovac Biotech Ltd 1,278, ,296, USD 106,696 St Jude Medical Inc 7,578, ,112, USD 12,815 Syngenta AG Reg 4,906, ,808, USD 59,275 Team Health Hgs Inc 2,283, ,442, USD 709,000 Universal American Corp 6,665, ,689, USD 20,000 Valspar Corp 1,893, ,964, USD 390,584 Whitewave Foods Company (The) 19,810, ,592, ,739, ,729, Total shares 199,140, ,350, Warrants and rights CAD 50,000 Boralex Inc Droits d'attribut , , Total warrants and rights 588, , The accompanying notes are an integral part of these financial statements. 15

18 - M&A Arbitrage Statement of investments and other net assets (continued) Currency Number / nominal value Description Cost Market value % of total net assets Other transferable securities Warrants and rights EUR 36,700,000 Total SA Droits d'attribut ,101, ,075, USD 125,000 Albertson's Holdings LLC Droits d'attribut CasaLey Perpetual 21, USD 125,000 Albertson's Holdings LLC Droits d'attribut For PDC Perpetual 1, USD 260,441 H Lundbeck AS Droits d'attribut CVR USD 87,000 Valeant Pharm Intl Inc Droits d'attribut SynerUSA Perpetual , Total warrants and rights 25,124, ,075, Total investments in securities 224,853, ,099, Reverse-repurchase agreements Transferable securities admitted to an official stock exchange listing Reverse-repurchase agreements EUR 5,000,000 Danone FRN EMTN Sen 15/ ,010, ,010, EUR 9,250,000 Iceland 2.5% EMTN Reg S Sen 14/ ,971, ,971, EUR 8,500,000 Portugal 3.875% 14/ ,451, ,451, EUR 5,000,000 Slovakia 0.625% Ser / ,851, ,851, EUR 5,000,000 Slovakia 1.625% Reg S Ser / ,195, ,195, EUR 5,000,000 Ste de Financement Local 0.125% EMTN Sen 16/ ,838, ,838, EUR 4,000,000 Volkswagen Intl Finance NV FRN EMTN Sen 15/ ,996, ,996, Total reverse-repurchase agreements 42,315, ,315, Transferable securities dealt in on another regulated market Reverse-repurchase agreements EUR 38,000,000 Solvay SA FRN Reg S Sen 15/ ,209, ,209, Total reverse-repurchase agreements 38,209, ,209, Total reverse-repurchase agreements 80,524, ,524, Short options Listed financial instruments Options on transferable securities USD -5,349 AVG Technologies NV PUT 03/17 OPRA , USD -334 Harman Intl Industries Inc CALL 01/17 OPRA , , USD -1,466 Joy Global Inc PUT 01/18 CBOE 27-44, , USD -4 LifeLock Inc CALL 02/17 OPRA USD -200 LifeLock Inc CALL 05/17 OPRA 24-3, Total short options -210, , Cash at banks Term deposits EUR 95,000, CM-CIC Banques % ,000, ,000, Total term deposits 95,000, ,000, Current accounts at bank 16,040, ,040, Total cash at banks 111,040, ,040, Bank overdrafts -14,752, Other net assets/(liabilities) 174,157, Total 578,988, The accompanying notes are an integral part of these financial statements. 16

19 - M&A Arbitrage Industrial and geographical classification of investments Industrial classification (long exposure on transferable securities and through equity swaps contracts, in percentage of net assets) Automobiles & Parts 2.01% Banks 2.10% Chemicals 2.62% Construction & Materials 0.91% Financial Services 2.45% Food & Beverage 5.69% Health Care 10.32% Industrial Goods & Services 10.21% Insurance 0.33% Media 1.52% Oil & Gas 6.58% Personal & Household Goods 5.21% Real Estate 0.11% Retail 4.68% Technology 4.83% Telecommunications 0.05% Travel & Leisure 0.25% Utilities 0.78% Total 60.65% 17

20 - M&A Arbitrage Industrial and geographical classification of investments (continued) Geographical classification (long exposure on transferable securities by domicile of the issuer - and through equity swaps contracts by domicile of the underlying issuer, in percentage of net assets) Austria 0.11% Australia 0.17% Belgium 0.25% Canada 3.29% Switzerland 1.38% China 1.79% Germany 2.30% France 0.61% United Kingdom 1.48% Hong Kong 0.25% Ireland 0.39% Japan 1.08% Luxembourg 0.21% The Netherlands 2.40% Sweden 2.26% Singapore 0.29% United States of America 42.38% Total 60.65% 18

21 - Long Short Arbitrage Statement of net assets Assets Securities portfolio at market value 11,571, Deposits on reverse-repurchase agreements 18,183, Guarantee deposits on securities borrowing 57,892, Cash at banks 17,133, Other liquid assets 1,548, Receivable on swaps contracts 15, Margins on swaps contracts receivable 1,160, Receivable on issues of shares 8,754, Interest receivable on bank accounts Result on underlying of swaps contracts receivable 22, Total assets 116,281, Liabilities Bank overdrafts 214, Short option contracts at market value 0.00 Payable on swaps contracts 2, Payable on treasury transactions Interest payable on swaps contracts 77, Interest payable on bank overdrafts Interest payable on repurchase agreements 4, Unrealised loss on swaps contracts 1,060, Unrealised loss on forward foreign exchange contracts 18, Expenses payable 459, Rebate/fees on securities borrowing, net 9, Result on underlying of swaps contracts payable 36, Total liabilities 1,883, Net assets at the end of the year 114,398, Number of Class C1 shares outstanding 7, Net asset value per Class C1 share 1, Number of Class C2 shares outstanding 104, Net asset value per Class C2 share 1, The accompanying notes are an integral part of these financial statements. 19

22 - Long Short Arbitrage Statement of operations and other changes in net assets from 1st January 2016 to 31st December 2016 Income Dividends, net 3, Interest on bank accounts 4, Interest on repurchase agreements 1, Other commissions received 78, Total income 88, Expenses Management fees 517, Performance fees 239, Depositary fees 67, Banking charges and other fees 31, Transaction fees 8, Rebate/fees on securities borrowing 113, Central administration costs 88, Professional fees 20, Other administration costs 23, Subscription duty ("taxe d'abonnement") 37, Bank interest paid 11, Interest paid on bank deposits 11, Interest paid on reverse-repurchase agreements 33, Other expenses 3, Total expenses 1,206, Net investment loss -1,118, Net realised gain/(loss) - on securities portfolio 1,055, on option contracts -1,939, on swaps contracts 5,420, on forward foreign exchange contracts -100, on foreign exchange -49, Realised result 3,268, Net variation of the unrealised gain/(loss) - on securities portfolio 601, on option contracts 34, on swaps contracts -987, on forward foreign exchange contracts -18, Result of operations 2,897, Subscriptions 55,803, Redemptions -4,107, Total changes in net assets 54,593, Total net assets at the beginning of the year 59,804, Total net assets at the end of the year 114,398, The accompanying notes are an integral part of these financial statements. 20

23 - Long Short Arbitrage Statistical information Total net assets - as at ,398, as at ,804, as at ,751, Number of Class C1 shares - outstanding at the beginning of the year 1, issued 7, redeemed outstanding at the end of the year 7, Net asset value per Class C1 share - as at , as at as at Number of Class C2 shares - outstanding at the beginning of the year 60, issued 47, redeemed -3, outstanding at the end of the year 104, Net asset value per Class C2 share - as at , as at as at The accompanying notes are an integral part of these financial statements. 21

24 - Long Short Arbitrage Statement of investments and other net assets Currency Number / nominal value Description Cost Market value % of total net assets Investments in securities Transferable securities admitted to an official stock exchange listing Shares USD 35,000 BHP Billiton Plc spons ADR repr 2 Shares 873, ,044, USD 5,100 Boardwalk Pipeline Partners LP Uts 74, , USD 42,000 Carnival Plc spons ADR repr 1 Shares 2,022, ,038, USD 11,871 CNA Financial Corp 392, , USD 8,536 Coty Inc A 154, , USD 8,500 Monsanto Co 778, , USD 66,000 Rite Aid Corp 400, , USD 2,300 Syngenta AG Reg 901, , USD 23,400 Unilever Plc spons ADR repr 1 Share 882, , USD 9,226 WebMD Health Corp A 463, , Total shares 6,943, ,345, Warrants and rights CAD 50,000 Boralex Inc Droits d'attribut , , Total warrants and rights 598, , Other transferable securities Warrants and rights EUR 5,000,000 Total SA Droits d'attribut ,406, ,552, Total warrants and rights 3,406, ,552, Total investments in securities 10,948, ,571, Reverse-repurchase agreements Transferable securities admitted to an official stock exchange listing Reverse-repurchase agreements EUR 10,000,000 Peugeot SA 7.375% EMTN 13/ ,440, ,440, EUR 6,750,000 Volkswagen Intl Finance NV FRN EMTN Sen 15/ ,743, ,743, Total reverse-repurchase agreements 18,183, ,183, Short options Listed financial instruments Options on transferable securities USD -1,300 AVG Technologies NV PUT 03/17 OPRA , Total short options -34, Cash at banks Term deposits EUR 11,000, CM-CIC Banques % ,000, ,000, Total term deposits 11,000, ,000, Current accounts at bank 6,133, ,133, Total cash at banks 17,133, ,133, Bank overdrafts -214, Other net assets/(liabilities) 67,724, Total 114,398, The accompanying notes are an integral part of these financial statements. 22

25 - Long Short Arbitrage Industrial and geographical classification of investments Industrial classification (long exposure on transferable securities and through equity swaps contracts, in percentage of net assets) Automobiles & Parts 0.88% Banks 0.09% Basic Resources 1.21% Chemicals 1.50% Construction & Materials 1.58% Financial Services 7.03% Food & Beverage 2.47% Health Care 5.21% Industrial Goods & Services 3.06% Insurance 1.79% Media 8.12% Oil & Gas 2.55% Personal & Household Goods 7.76% Real Estate 0.10% Retail 1.62% Technology 4.59% Telecommunications 4.85% Travel & Leisure 3.17% Utilities 2.29% Total 59.87% Geographical classification (long exposure on transferable securities by domicile of the issuer - and through equity swaps contracts by domicile of the underlying issuer, in percentage of net assets) Austria 0.11% Australia 0.96% Belgium 0.55% Canada 0.88% Switzerland 6.71% Germany 7.42% Denmark 0.75% Spain 0.42% Finland 0.21% France 5.40% Gabon 0.05% United Kingdom 5.98% Ireland 1.14% Italy 3.24% Luxembourg 0.13% The Netherlands 5.55% Norway 0.04% Portugal 0.18% Sweden 0.49% United States of America 19.67% 59.87% 23

26 Notes to the financial statements Note 1: Significant accounting policies a) Presentation of the financial statements The financial statements of the SICAV are established in accordance with the Luxembourg legal and regulatory requirements concerning Undertakings for Collective Investment ("UCI"). b) Valuation of the assets 1. The value of cash on hand or on deposit, bills and notes due on demand, accounts receivable, prepaid expenses, dividends, and interest declared or due but not yet received consists of the nominal value of these assets, unless it is unlikely that this value will be received, in which event, the value is determined by deducting an amount which the SICAV deems adequate to reflect the real value of these assets. 2. The value of all transferable securities, money-market instruments and financial derivative instruments that are listed on a stock exchange or traded on another regulated market that operates regularly, and is recognised and open to the public, is determined based on the most recent available price. 3. The financial derivative instruments that are not listed on an official stock exchange or traded on any another regulated operating market that is recognised and open to the public, shall be valued in accordance with market practices as may be described in greater detail in the Prospectus. 4. The value of securities representative of an open-ended undertaking for collective investment is determined according to the last official net asset value per unit or according to the last estimated net asset value if it is more recent than the official net asset value, and provided that the SICAV is assured that the valuation method used for this estimate is consistent with that used for the calculation of the official net asset value. 5. In the case of investments that are listed on a stock exchange or traded on another regulated market that operates regularly, is recognised and open to the public and traded by market makers outside the stock exchange on which the investments are listed or of the market on which they are traded, the Board of Directors may determine the main market for the investments in question that will be then evaluated at the last available price on that market. 6. In the event that any transferable securities, money market instruments and/or financial derivative instruments held in the portfolio on the Valuation Day are not listed or traded on a stock exchange or other regulated market that operates regularly and is recognised and open to the public or, for transferable securities, money market instruments and/or financial derivative instruments listed and traded on a stock exchange or on other market but for which the price determined pursuant to sub-paragraphs 2. is not, in the opinion of the board of directors, representative of the real value of these transferable securities, money market instruments and/or financial derivative instruments or, for financial derivative instruments traded over-the-counter and/or securities representing undertakings for collective investment, the price determined in accordance with subparagraphs 3. or 4. is not, in the opinion of the board of directors, representative of the real value of these financial derivative instruments or securities representing undertakings for collective investment, the Board of Directors estimates the probable realisation value prudently and in good faith. 24

27 Notes to the financial statements (continued) c) Acquisition cost of securities in the portfolio The acquisition cost of the securities held by the sub-fund that are denominated in currencies other than the reference currency of the sub-fund is converted into this currency at the exchange rate prevailing on the date of purchase. d) Net realised gain (loss) on securities portfolio The realised gains and losses on securities portfolio are calculated on the basis of the average acquisition cost. The realised gains and losses on securities portfolio are recorded net in the statement of operations and other changes in net assets. e) Investment income Dividend income is recorded at the ex-date, net of any withholding tax. Interest income accrued and payable are recorded, net of any withholding tax. Dividends receivable and payable on long or short equity swaps are recorded under the captions "Result on underlying of swaps contracts receivable" and "Result on underlying of swaps contracts payable" in the statement of net assets. f) Valuation of forward foreign exchange contracts Forward foreign exchange contracts are valued at forward market rates for the remaining period from valuation date to the maturity of the contracts. Unrealised gains or losses are recorded in the statement of net assets. Net variation of unrealised gains and losses and net realised gains and losses are recorded in the statement of operations and other changes in net assets. g) Valuation of swaps contracts Swaps contracts are posted off-balance sheet and valued on the basis of the recalculated market prices by using the traditional elements of pricing such as the value, the volatility of the underlying, the interest rates and the residual value of the swap. Unrealised gains or losses are recorded in the statement of net assets. Net variation of unrealised gains and losses and net realised gains and losses are recorded in the statement of operations and other changes in net assets. h) Valuation of option contracts Premiums received on issued options are recorded under the caption "Cash at banks" in the statement of net assets and are presented as cost received in the statement of investments and other net assets. Option contracts outstanding at the date of the report are valued at the last settlement or close price on the stock exchanges or regulated markets. Net variation of unrealised gains and losses and net realised gains and losses are recorded in the statement of operations and other changes in net assets. i) Securities borrowing Securities borrowings may be essentially aimed at providing a better level of remuneration for cash management of the sub-funds. Securities borrowing transactions will be entered into either on an overnight, or on an open, or on a fixed term basis. j) Repurchase and Reverse repurchase agreements Repurchase transactions are similar to secured borrowings of cash equal to the sale prices of the related collateral. 25

28 Notes to the financial statements (continued) Reverse repurchase transactions are similar to secured lending of cash. Repurchase and reverse repurchase transactions are accounted for as borrowings and loans, respectively, for the amount of cash received and/or paid. Interest is accrued separately and is included in the appropriate asset and liability heading. k) Receivable / Payable on treasury transactions The caption "Receivable on treasury transactions" comprises maturities of time deposits, new loans or foreign exchange transactions not yet recorded under the caption "Cash at banks". The caption "Payable on treasury transactions" comprises new time deposits, maturities of loans or foreign exchange transactions not yet recorded under the caption "Cash at banks". At a sub-fund level, "Receivable and payable on treasury transactions" are disclosed net in the statement of net assets. l) Formation expenses The Management Company has supported all formation expenses. m) Conversion of foreign currencies Cash at banks, other net assets and liabilities and the market value of the securities in portfolio expressed in currencies other than the reference currency of the sub-fund are converted into this currency at the exchange rate prevailing on the date of the report. Income and expenses expressed in currencies other than the reference currency of the sub-fund are converted into this currency at the exchange rate prevailing on the date of the transaction. Net realised gains or losses on foreign exchange are recorded in the statement of operations and other changes in net assets. n) Combined financial statements The combined financial statements of the SICAV are expressed in EUR and are equal to the sum of the corresponding items in the financial statements of each sub-fund. o) Transaction fees Transaction costs disclosed under the caption "Transaction fees" in the expenses of the statement of operations and other changes in net assets are mainly composed of broker fees incurred by the SICAV relating to purchases or sales of securities, of fees relating to liquidation of transactions paid to the custodian bank and of transaction fees on financial and on derivatives instruments and of fees relating to term deposits. Note 2 - Management and performance fees The Management Company is entitled to a management fee of: - for share classes C1 and C3, up to 1.50% per annum based on the average net asset of the share class and payable quarterly; - for share class C2, up to 1.00% per annum based on the average net asset of the share class and payable quarterly. For share class C4 no management fee is charged. 26

29 Notes to the financial statements (continued) In addition to the management fee, the Management Company is entitled, for share classes C1, C2 and C3 to a performance fee equal to maximum of 20% of the increase in the aggregate Net Asset Value of the relevant Class in issue in respect of each performance period but only to the extent that such increase exceeds the High Water Mark. The detail of the calculation is described in the prospectus. For share class C4 no performance fee is charged. At the date of the report, a performance fee was recorded for the following sub-funds and amounted to : Sub-fund Currency Amount CIGOGNE UCITS - M&A Arbitrage EUR 3,080, CIGOGNE UCITS - Long Short Arbitrage EUR 239, Note 3 - Central administration costs The item "Central administration costs" disclosed in the statement of operations and other changes in net assets is mainly composed of the administrative agent fees. Note 4 - Subscription, redemption and conversion fees A subscription fee of maximum 4% of the amount is charged in favour of entities and agents active in sales and investment of shares. No redemption and no conversion fee is charged. Note 5 - Subscription Duty ("Taxe d abonnement") The SICAV is governed by Luxembourg law. Pursuant to the legislation and regulations in force, the SICAV is subject to an annual subscription duty ("taxe d abonnement") of 0.05% which is payable quarterly and calculated on the basis of the net assets of each sub-fund on the last day of each quarter. The share class C4 intended exclusively for institutional investors within the meaning of article 174(2) of the amended Law of 2010 is subject to a reduced subscription tax of 0.01%. Pursuant to Article 175 (a) of the amended Law of 17th December 2010 the net assets invested in undertakings for collective investment already subject to the "taxe d abonnement" are exempt from this tax. 27