AlphaOne SICAV-FIS. Audited Annual Report. for the year ended 31 December 2015

Transcription

1 AlphaOne SICAV-FIS Audited Annual Report for the year ended 31 December 2015 A Luxembourg Fonds d'investissement Spécialisé (Specialised Investment Fund) established as a Société d'investissement à Capital Variable - (investment company with variable capital), governed by the amended SIF Law, dated 13 February R.C.S. Luxembourg B

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3 AlphaOne SICAV-FIS 31 December 2015 AlphaOne SICAV-FIS Table of Contents Organisation of the Company 2 General Information 3 Directors' Report 4 Report of the Réviseur d'entreprises agréé 5 Financial Statements AlphaOne A Statement of Adjusted Gross Asset Value 7 Statement of Operations and Changes in Adjusted Gross Asset Value 8 Adjusted Gross Asset Value Information 9 Schedule of Investments and Other Net Assets 10 Industrial Classification 12 Notes to the Financial Statements 13 Other Information Unaudited 46

4 AlphaOne SICAV-FIS 31 December 2015 Organisation of the Company Registered Office 6, rue Lou Hemmer L-1748 Senningerberg Grand Duchy of Luxembourg Directors Mr Thomas Nummer Mr Mario Koster Mr William Potts External AIFM Ivaldi Capital LLP 32nd Floor 25 Canada Square London E14 5LQ United Kingdom Investment Adviser ATP Fondsmaeglerselskab A/S Kongens Vænge 8 DK-3400 Hillerød Denmark Risk Manager Ivaldi Capital LLP 32nd Floor 25 Canada Square London E14 5LQ United Kingdom Prime Broker Citigroup Global Markets Limited Citigroup Centre 33 Canada Sq., Canary Wharf London E14 5LB United Kingdom Depository Bank and Share Paying Agent Citibank International Plc (Luxembourg Branch) 31, Z.A. Bourmicht L-8070 Bertange Grand Duchy of Luxembourg Administrative Agent Northern Trust Luxembourg Management Company S.A. 6, rue Lou Hemmer L-1748 Senningerberg Grand Duchy of Luxembourg Transfer Agent Northern Trust Luxembourg Management Company S.A. 6, rue Lou Hemmer L-1748 Senningerberg Grand Duchy of Luxembourg Note Paying and Listing Agent Banque Internationale à Luxembourg S.A. 69, Route D Esch L-1470 Luxembourg Grand Duchy of Luxembourg Agent and Note Calculation Agent Citibank, N.A. Citigroup Centre 21st Floor 33, Canada Square Canary Warf London E14 5LB United Kingdom Réviseur d'entreprises Agréé Deloitte Audit Société à responsabilité limitée 560, rue de Neudorf L-2220 Luxembourg Grand Duchy of Luxembourg Legal adviser as to Luxembourg law Allen & Overy Luxembourg 33, Avenue J.F. Kennedy L-1855 Luxembourg Grand Duchy of Luxembourg Legal adviser as to English law Allen & Overy LLP One Bishops Square London E1 6AO United Kingdom 2

5 AlphaOne SICAV-FIS 31 December 2015 General Information No subscription can be received on the sole basis of financial reports. Subscriptions are only valid if made on the basis of the current offering memorandum and the last available financial report. The Company AlphaOne SICAV-FIS (the Company) is a Luxembourg fonds d'investissement spécialisé (specialised investment Fund) (SIF) established as a société d'investissement à capital variable (investment company with variable capital) organised in the form of a société anonyme (public limited liability company) in accordance with the Luxembourg law of 13 February 2007, as amended. The Company was incorporated on 16 June The Company is registered with the Luxembourg trade and companies register under the number B Its Articles were published in the Mémorial on 12 July 2008, and amended for the last time on 31 October External AIFM On 22 July 2014, the Company appointed Ivaldi Capital LLP to act as External AIFM (the External AIFM) of the assets of all its Sub-Funds in existence from time to time in accordance with applicable laws, the Memorandum and Articles of the Company and any guidelines issues by the Company to the Investment Manager, and to perform for the Sub-Funds such duties and functions as hereinafter set forth. The External AIFM is registered on the official list of UK AIFMs authorised under, and subject to, the Alternative Investment Fund Managers Regulations 2013 (the UK AIFM Rules) and is authorised to act as External AIFM of AIFs within the meaning of Part 4a of the Financial Services and Markets Act 2000 (FSMA) and the handbook of rules and guidance published by the FCA (the FCA Rules). The External AIFM is under the ongoing supervision of the UK regulatory authority for the financial sector, the Financial Conduct Authority (the FCA). The External AIFM has agreed, in the performance of the External AIFM Services, it will comply at all times with the organisational requirements applicable to AIFMs (and their delegates) under the AIFM Directive and, with respect of the AIFM, in particular, FUND 3 of the FCA Rules, the UK AIFM Rules and the requirements of articles 22, 57 to 66 and 67 to 73 of the AIFMD Level II Regulation. In addition, the Company designated the permanent risk management function of the Company to the External AIFM in accordance with article 4 of the CSSF Regulation N N 12-1 and has laid down detailed rules for the application of article 42 (a) of the 2007 Act concerning the requirements regarding risk management and conflicts of interest. Reports and Financial Statements Copies of the annual report will be sent to all investors within four months after the close of the accounting year. 3

6 AlphaOne SICAV-FIS 31 December 2015 Directors Report Market Background 2015 was an extra ordinary year in the sense that most liquid asset classes experienced either negative or barely positive returns with commodities experiencing very negative returns. The US Fed hiked the Fed Fund Target Rate for the first time in seven years on the back of manifested economic growth in the US despite that since mid-2014 global corporate profits have stagnated. The latter can partly be explained by sector specific declines in e.g. energy and mining, with the resulting effect being diminished returns on equities. Emerging markets experienced a slowdown in growth and exacerbated by the Chinese devaluation of the Renminbi, most developed and emerging markets experienced increased volatility over the year with a peak for equities in August. Fund Performance In 2015, AlphaOne SICAV-FIS expanded its investment strategies to include more commodity and FX strategies. The Fund experienced a challenging year with the net overall return for the year ending at (2.1%). As a comparison to the broader hedge Fund industry, the HFRX Global Hedge Fund Index posted a loss of (3.6%). The return of the Direct Component ended was driven into negative territory on the back of negative returns in the commodity strategies. The Indirect Investment Component contributed positively to the overall result, with a particular strong result in the Equity Market Neutral segment. On the December 2015 Board meeting, the Board of Directors approved a change of depositary bank from Citibank International (Luxembourg Branch) to Northern Trust Global Services Limited. Outlook The level of activity in the Direct Investment Component of the portfolio in AlphaOne is expected to increase at a moderate pace as diversifying risk premia strategies are introduced. The Indirect Investment Component is expected to continue at its current activity level. The Directors Luxembourg, 7 April 2016 Note: Statements contained in this report concerning future performance are the opinions of management and there can be no guarantee that such opinions will prove to be correct. 4

7 Deloitte. Deloitte Audit Societe a responsabilite limitee 560, rue de Neudorf L-2220 Luxembourg B.P L-1011 Luxembourg Tel: Fax: To the Shareholders of AlphaOne SICAV - FIS Report of the Reviseur d'entreprises agree We have audited the accompanying financial statements of AlphaOne SICAV - FIS (the "Company"), which comprise the statement of adjusted gross asset value and the schedule of investments and other net assets as at 31 December 2015 and the statement of operations and changes in adjusted gross asset value for the year then ended, and a summary of significant accounting policies and other explanatory information. Responsibility of the Board of Directors of the Company for the financial statements The Board of Directors of the Company is responsible for the preparation and fair presentation of these financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements and for such internal control as the Board of Directors of the Company determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. Responsibility of the reviseur d'entreprises agree 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. Societe a responsab1hte lim1tee au capital de RCS Luxembourg B Autorisat1on d'etabl1ssement:

8 Deloitte. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the reviseur d'entreprises agree'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 reviseur d'entreprises agree considers internal control relevant to the entity's preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity's internal control. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by the Board of Directors of the Company, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements give a true and fair view of the financial position of AlphaOne SICAV - FIS as at 31 December 2015, and of the results of its operations and changes in its adjusted gross asset value for the year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements. Other matter Supplementary information included in the annual report has been reviewed in the context of our mandate but has not been subject to specific audit procedures carried out in accordance with the standards described above. Consequently, we express no opinion on such information. However, we have no observation to make concerning such information in the context of the financial statements taken as a whole. Jean-Phi Ii Partner Luxembourg, 21 April

9 AlphaOne SICAV-FIS Statement of Adjusted Gross Asset Value as of 31 December 2015 (expressed in DKK) AlphaOne A Assets Investments at cost (long positions) 10,870,724,213 Net unrealised appreciation on investments in securities 2,941,861,562 Investments at market value (note 2a) 13,812,585,775 Unrealised appreciation on forwards (note 2f, 4a) 10,967,417 Unrealised appreciation on contracts for difference (notes 2f, 4d) 119,161,314 Unrealised appreciation on futures (notes 2f,4b) 404,239,951 Cash at bank 16,080,914 Receivable from broker dealers, futures and OTC counterparties 2,736,978,530 Interest receivable (note 2d) 65,937,560 Dividend receivable (note 2d) 23,268,995 Prepaid advisory fees (note 3b) 6,584,887 Other receivable 18,331 Total assets 17,195,823,674 Liabilities (excluding note liabilities) Unrealised depreciation on forwards (note 2f, 4a) 6,740,808 Unrealised depreciation on contracts for difference (notes 2f,4d) 210,654,807 Unrealised depreciation on futures contracts (notes 2f,4b) 1,280,927,705 Payable to broker dealers, futures and OTC counterparties 1,025,058,557 Interest payable 7,859,551 Accrued expenses 21,228,800 Dividend payable 17,486 Total liabilities (excluding note liabilities) 2,552,487,714 Adjusted Gross Asset Value 14,643,335,960 Adjusted Gross Asset Value (GAV) of shares 235,129 Adjusted Gross Asset Value (GAV) of notes 14,643,100,831 Number of shares in circulation 2,314 Number of notes in circulation * 12,570 Adjusted Gross Asset Value (GAV) per share Adjusted Gross Asset Value (GAV) per note (Redemption Price) 1,164, * 1 note corresponds to a note notional of DKK 1,000,000 The accompanying notes form an integral part of these financial statements. 7

10 AlphaOne SICAV-FIS Statement of Operations and Changes in Adjusted Gross Asset Value for the year ended 31 December 2015 (expressed in DKK) AlphaOne A Adjusted GAV at the beginning of the year 14,952,556,688 Income Interest income (note 2d) 156,997,323 Dividend income (note 2d) 111,761,853 Total Income 268,759,176 Expenses Advisory fees (note 3b) 20,000,000 Management fees (note 3a) 5,845,193 Due diligence fees 2,178,515 Administration fees (note 3e) 12,145,535 Subscription tax (note 3f) 22 Interest expenses 127,238,733 Dividend expenses 2,141,906 Audit and legal fees 1,460,012 Director fees 681,949 Custody fees (note 3d) 17,217 Other expenses 37,790,520 Total Expenses 209,499,602 Net Income from Investments 59,259,574 Net realised gain/(loss) on: Investments in securities (note 2b,7) 1,212,820,236 Foreign currency transactions (notes 2c,2f) 300,967,830 Futures contracts (note 2f,7) (2,716,229,789) Options (note 2f) 77,545,057 Contracts for difference (note 2f,7) 128,334,631 Warrants (note 2f,7) (1,089,470) Net change in unrealised appreciation/(depreciation) on: Investments in securities (note 2b,7) (64,117,634) Foreign currency transactions (notes 2c,2f) (90,402,327) Futures contracts (note 2f,7) 866,371,131 Contracts for difference (note 2f,7) (82,679,970) Net change in Adjusted GAV for the year resulting from operations (309,220,731) Notes activity Proceeds from notes subscription and redemption - Net proceeds from subscription and redemption activity - Adjusted GAV at the end of the year 14,643,335,957 The accompanying notes form an integral part of these financial statements. 8

11 AlphaOne SICAV-FIS AlphaOne A Adjusted Gross Asset Value Information as of 31 December 2015 (expressed in DKK) AlphaOne A Adjusted Gross Asset Value (GAV) of shares as as of 31 December , , ,803 Adjusted Gross Asset Value (GAV) of notes as as of 31 December ,643,100, ,952,321, ,013,626,264 Number of shares in circulation as of 31 December , , ,314 Number of notes in circulation as of 31 December , , ,770 Adjusted Gross Asset Value (GAV) per share as of 31 December Adjusted Gross Asset Value (GAV) per note as of 31 December ,164, ,189, ,255, The accompanying notes form an integral part of these financial statements. 9

12 AlphaOne SICAV-FIS AlphaOne A Schedule of Investments and Other Net Assets as of 31 December 2015 (expressed in DKK) Quantity/ Market % of Nominal Denomination Value Adjusted Value Currency Description in DKK GAV Transferable securities and money market instruments admitted to an offical exchange Long positions Equities Belgium 7,734 EUR AGFA-GEVAERT NV - STRIP VVPR % Total Equities % Corporate Debt Securities Denmark 2,000,000,000 DKK NYKREDIT REALKREDIT AS 2% ,010,900, % 1,500,000,000 DKK NYKREDIT REALKREDIT AS 1% ,512,097, % 1,150,000,000 DKK REALKREDIT DANMARK 1% ,151,932, % 1,000,000,000 DKK REALKREDIT DANMARK 1% ,010,670, % 1,000,000,000 DKK REALKREDIT DANMARK 2% 01/01/2016 1,000,180, % 500,000,000 DKK NYKREDIT REALKREDIT AS 1% ,745, % 7,195,524, % Total Corporate Debt Securities 7,195,524, % Total transferable securities and money market instruments admitted to an offical listing exchange 7,195,524, % Other transferable securities Funds Luxembourg 6,677,409 EUR IVALDI MULTI-STRATEGY FD SCA 1,082,480, % 1,082,480, % United States 145,235,532 USD CGE ALPHA LTD 3,096,024, % 300,000 USD BRIDGEWATER PURE ALPHA MAJOR MARKETS LTD 2,424,131, % 1,803,828 USD PRISMA* 14,424, % 5,534,580, % Total Funds 6,617,061, % *in liquidation The accompanying notes form an integral part of these financial statements. 10

13 AlphaOne SICAV-FIS AlphaOne A Schedule of Investments and Other Net Assets (continued) as of 31 December 2015 (expressed in DKK) Market Value in DKK % of Adjusted GAV Total Transferable securities and money market instruments admitted to an offical exchange listing 7,195,524, % Other transferable securities 6,617,061, % Total Investment in Securities 13,812,585, % Cash at bank 16,080, % Other Net Assets 814,669, % Total Adjusted Gross Asset Value 14,643,335, % The accompanying notes form an integral part of these financial statements. 11

14 AlphaOne SICAV-FIS AlphaOne A Industrial Classification as of 31 December 2015 % of Adjusted GAV Long Positions Banks 49.14% Hedge Fund 45.19% Total Long positions 94.33% Total Net Investment in Securities 94.33% Other Net Assets (excluding Note Liabilities) 5.67% Total Adjusted GAV % The accompanying notes form an integral part of these financial statements. 12

15 as at December 31, DESCRIPTION AlphaOne SICAV-FIS (referred to hereafter as the Company ) has an umbrella structure consisting of one or several Sub-Funds. A separate portfolio of assets is maintained for each Sub-Fund and is invested in accordance with the investment objective and policy applicable to that Sub-Fund. As of 31 December 2015, the Company comprised the following Sub-Fund: AlphaOne SICAV-FIS AlphaOne A. The Sub-Fund issues shares and the Company may issue notes on behalf of the Sub-Fund. The securities and other assets of the Company are segregated from the assets of the Investment Manager and from the assets of other investment Funds, which the Investment Manager manages, and are managed by the Investment Manager in the interests of the Shareholders and Noteholders and on their behalf. The financial year of the Company ends on 31 December in each year. The objective of the Sub-Fund is to seek to generate long term capital appreciation through the allocation of the Sub- Fund's assets to a diversified portfolio. The portfolio may be combining on the one hand direct management strategies (the Direct Investment Component ) and on the other hand an allocation to third-party hedge Funds (the Indirect Investment Component ). The Direct Investment Component of the portfolio of the Sub-Fund is invested in a broad range of securities and financial instruments related to the global equity markets, global money and debt capital markets (fixed income), global foreign exchange markets and global commodities markets. The selection of these securities and financial instruments is the outcome of a multi-strategy process and the resulting transactions are effectuated on recognised exchanges as well as in privately negotiated dealings. The Indirect Investment Component of the portfolio of the Sub-Fund will be invested in third-party Funds which may be listed or unlisted, open-ended or closed-ended and regulated or unregulated. On July 22, 2014, the Company appointed Ivaldi Capital LLP as Alternative Investment Fund Manager ("External AIFM"). 2 SIGNIFICANT ACCOUNTING POLICIES The financial statements have been prepared in accordance with generally accepted accounting principles ("GAAP") in Luxembourg applicable to Investment Funds. The following is a summary of significant accounting policies followed by the Sub-Fund. a) Valuation of investments in securities / third party hedge funds Securities which are listed on a stock exchange or dealt in on another regulated market are valued on the basis of the last available publicised stock exchange or market value. Securities which are not listed on a stock exchange nor dealt in on another regulated market are valued on the basis of the probable net realisation value (excluding any deferred taxation) estimated with prudence and in good faith by the Board of Directors of the company. With regards to third party hedge Funds, if a net asset value is determined for the units or shares issued by an Investment Fund which calculates a net asset value per share or unit, those units or shares are valued on the basis of the latest net asset value determined according to the provisions of the particular issuing documents of this Investment Fund or, at their latest unofficial net asset values (i.e. estimates of net asset values which are not generally used for the purposes of subscription and redemption or which may be provided by a pricing source including the investment manager of the Investment Fund other than the administrative agent of the Investment Fund) if more recent than their official net asset values. The Net Asset Value calculated on the basis of unofficial net asset values of Investment Fund may differ from the Net Asset Value which would have been calculated, on the relevant Valuation Date, on the basis of the official net asset values determined by the administrative agents of the Investment Funds. However, such Net Asset Value is final and binding notwithstanding any different later determination. In case of the occurrence of an evaluation event that is not reflected in the latest available net asset value of such shares or units issued by such Investment Funds, the valuation of the shares or units issued by such Investment Funds may be estimated with prudence and in good faith in accordance with procedures established by the Board of Directors of the Company to take into account this evaluation event. The following events qualify as evaluation events: capital calls, distributions or redemptions effected by the Investment Fund or one or more of its underlying investments as well as any material events or developments affecting either the underlying investments or the Investment Fund themselves. 13

16 The value of any cash on hand or on deposit, bills and demand notes and accounts, receivable, prepaid expenses, cash dividends and interest declared or accrued as aforesaid, and not yet received shall be deemed to be the full amount thereof, unless it is unlikely to be received in which case the value thereof shall be arrived at after making such discount as the Company may consider appropriate in such case to reflect the true value thereof. Money market instruments held by the Company with a remaining maturity of ninety days or less are valued by the amortised cost method, which approximates market value. The Board of Directors of the Company may, subject to the prior written approval of the Investment Adviser, permit some other method of valuation to be used if it considers such valuation method more appropriate for the valuation of any asset or liability of the Company in compliance with Luxembourg Law and Luxembourg GAAP. This method will then be applied in a consistent way. The Administrative Agent can rely on such deviations as approved by the Company for the purpose of the calculation of Calculated Asset Values. b) Net realised gains/losses on sales of investment in securities Realised gains and losses comprise the profit or loss arising from disposal of securities during the year. The net realised gains or losses on sale of investment in securities is calculated on the basis of the FIFO (First In/First Out) method of the securities sold. c) Conversion of foreign currencies The value of assets denominated in a currency other than the reference currency of a Sub-Fund is determined by taking into account the rate of exchange prevailing at the time of determination of the Gross Asset Value. As of 31 December 2015, the main exchange rates are as follow: 1 DKK = AUD GBP NOK SGD CAD HKD NZD USD CHF PLN JPY EUR KRW SEK Transactions occurring during the year in currencies other than the base currency are translated at rates of exchange ruling at the transaction date. d) Income Dividends on securities and contracts for difference are recorded as income on an ex-dividend basis, net of any irrecoverable withholding tax. Interest income includes interest applied to bonds and interest applied to bank accounts. It is accrued on a daily basis. e) Expenses Dividends on securities and contacts for difference and Interest on short sold securities are recorded as expenses. 14

17 f) Derivatives The Sub-Fund may utilise a variety of financial instruments including derivatives, options, total return swaps, caps and floors, futures and forward contracts, to seek to hedge against declines in the values of the underlying Investments as a result of changes in currency exchange rates, certain changes in the equity markets and market interest rates and other events. The Sub-Fund may also use financial derivative instruments for investment purposes provided it ensures a similar level of risk spreading as that applicable in case of direct investment through an appropriate diversification of the derivatives' underlying assets. The liquidating value of forward contracts, future contracts or option contracts not dealt in on a stock exchange or another regulated market means their net liquidating value determined, pursuant to the policies established by the Board of Directors of the Company, on a basis consistently applied for each different variety of contracts. The liquidating value of forward contracts, future contracts or option contracts dealt in on a stock exchange or another regulated market is based upon the last available settlement prices of these contracts on such regulated market on which the particular forward contracts, future contracts or option contracts are dealt in by the relevant Sub-Fund; provided that if a forward contracts, future contracts or option contracts 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 of the Company may deem fair and reasonable. The valuation methodology of swap contracts and contracts for difference is described in the corresponding paragraphs below. Forward foreign exchange contracts The unrealised appreciation or depreciation on forward foreign exchange contracts is calculated as the difference between the contract rate and the forward rate at the close of business on the valuation day. The unrealised appreciation or depreciation on such contracts is disclosed in the Statement of Adjusted Gross Asset Value under the heading Net unrealised appreciation / (depreciation) on forward foreign exchange contracts. The realised gain / (loss) on forward foreign exchange contracts is disclosed in the Statement of Operations and Changes in Adjusted Gross Asset Value under the heading Net realised gain / (loss) on forward foreign exchange contracts. Futures contracts The unrealised appreciation or depreciation on futures contracts is included in the Statement of Adjusted Gross Asset Value under the heading Net unrealised appreciation / (depreciation) on futures contracts. The realised gain / (loss) on futures contracts is disclosed in the Statement of Operations and Changes in Adjusted Gross Asset Value under the heading Net realised gain / (loss) on futures contracts. All margin accounts are included in Receivable from broker dealers, futures and OTC counterparties on the Statement of Adjusted Gross Asset Value. Option contracts The market value of options is included in the Statement of Adjusted Gross Asset Value under the heading Options at market value and Written options at market value. The realised gain / (loss) on options is disclosed in the Statement of Operations and Changes in Adjusted Gross Asset Value under the heading Net realised gain / (loss) on options. Swap contracts Outstanding swap contracts (such as Interest Rate Swaps and Total Return Swaps), if any, are valued at their market value established by reference to the applicable index or financial instrument. The valuation of the index or financial instrument related swap contract is based upon the market value of such swap transaction established in good faith pursuant to procedures established by the Board of Directors of the Company. The unrealised appreciation or depreciation on swap contracts is included in the Statement of Adjusted Gross Asset Value under the heading Net unrealised appreciation / (depreciation) on swap contracts. The realised gain / (loss) on swap contracts is disclosed in the Statement of Operations and Changes in Adjusted Gross Asset Value under the heading Net realised gain / (loss) on swap contracts. 15

18 Contracts for difference (CFD) Contracts for Difference are valued based on the closing market price of the underlying security, less any financing charges attributable to each contract. Upon entering into contracts for difference, the Sub-Fund may be required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount ( initial margin ). Subsequently, payments known as variation margin are made or received by the Sub-Fund periodically, depending on fluctuations in the value of the underlying securities. During the year the contracts are opened, changes in the value of contracts are recognised as unrealised gains and losses by marking to market at each valuation point in order to reflect the value of the underlying security. Realised gains or losses upon closure of the contracts are equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The open contracts for difference are included in the Statement of Adjusted Gross Asset Value on the basis of the unrealised appreciation/ (depreciation) attributable to each contract as at the end of the year. The contracts are subject to a daily financing charge and income, usually applied at a previously agreed rate, which is accounted for as interest income for short contracts for difference, and as interest expense for long contracts for difference positions. Warrants Warrants are valued based on the closing market price of the underlying security, less any financing charges attributable to each warrant. Upon entering into the warrant, the Sub-Fund may be required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the warrant amount ( initial margin ). Subsequently, payments known as variation margin are made or received by the Sub-Fund periodically, depending on fluctuations in the value of the underlying securities. During the year the warrants are opened, changes in the value of contracts are recognised as unrealised gains and losses by marking to market at each valuation point in order to reflect the value of the underlying security. Realised gains or losses upon closure of the contracts are equal to the difference between the value of the warrant at the time it was opened and the value at the time it was closed. The open warrants are included in the Statement of Adjusted Gross Asset Value on the basis of the unrealised appreciation/ (depreciation) attributable to each warrant as at the end of the year. The warrants are subject to a daily financing charge and income, usually applied at a previously agreed rate, which is accounted for as interest income for short contracts for difference, and as interest expense for long contracts for difference positions. g) Short strategies The Sub-Fund may make short sales of securities. A short sale occurs when the Sub-Fund sells a security which it does not own, either by borrowing it from a broker or selling it in a market with extended settlement dates. In the event that the value of the security that the Sub-Fund sold short declines, the Sub-Fund will gain as it will repurchase the security in the market at a lower price. If the price of the security increases, the Sub-Fund will suffer a loss as it will have to repurchase the security in the market at a higher price. Short sales may incur higher transaction costs than regular securities transactions. The Sub-Fund has recorded these obligations in the Financial Statements at the market value of the related securities. These strategies aim at reducing the risk of a long position in a portfolio of securities by the short sale of other securities. Having thus reduced their exposure to market risk, they aim at leveraging the position to increase yield. They aim to be often long on securities considered as undervalued and short on positions considered as being of poorer quality. The short part of their portfolio may also consist of index positions. h) Repurchase agreements and reverse repurchase agreements A reverse repurchase agreement is an agreement under which, on payment of the purchase price, the Sub-Fund purchases securities from a seller who agrees to repurchase them at or within a specified time at a specified price. A repurchase agreement is similar in effect to a loan by the Fund to the seller collateralised by the securities. The Sub- Fund does not record the purchase of the securities received but does record the repurchase agreement as if it was a loan. Because a repurchase agreement between the two specific parties involved is generally for a relatively short time and is not transferable, it has no ready market. The Sub-Fund carries repurchase agreements at cost, which, combined with accrued interest, approximates market value. The interests received are recorded on the statement of Operations under Interest income. Under a repurchase agreement the Sub-Fund sells a security to a buyer, usually broker, for cash. The Sub-Fund does not record a sale of the security and it agrees to later repay cash plus interest in exchange for the repurchase of the same securities. The transaction is thus similar in effect to a borrowing by the Sub-Fund collateralised by the securities. The securities are marked to market. The interests paid are recorded on the statement of Operations under Interest expenses. There are no repurchase or reverse repurchase agreements outstanding at the end of the year. 16

19 i) Calculation of Asset Values process The following Calculated Asset Values are determined on a quarterly basis for the Company: - a Gross Asset Value (or GAV); - an Adjusted Gross Asset Value (or Adjusted GAV); in accordance with Luxembourg Law, Luxembourg GAAP and the Articles. Calculated Asset Values are determined in good faith in Luxembourg on each Valuation Date. The reference currency of the Company is the Danish Krone. The GAV of the Company is equal to the aggregate value of all assets of the Company or the aggregate value of all assets of the Company which are allocated to the relevant Sub-Fund in accordance with the provisions of the Articles. The Adjusted GAV of the Company is equal to: - the GAV of the Company less; - (in respect of the Adjusted GAV of the Company) all the liabilities of, and fees and expenses accrued but unpaid on the relevant Valuation Date by, the Company, but excluding its liabilities under the Notes or (in respect of a Sub- Fund s Adjusted GAV) all the liabilities and fees and expenses accrued but unpaid of the Company on the relevant Valuation Date. The Adjusted GAV of the Company is allocated on a pro rata basis to each Share and Note issued by the Company being however provided that: - the principal and any (realised or unrealised) gain or loss on Investments of the Company financed by any amounts received as issue premium (if any) will be exclusively allocated to the benefit of the Notes; - 90% of any (realised or unrealised) gain or loss on Investments of the Company financed by any amounts received by the Company as share capital will be allocated to the benefit of the Notes. The Adjusted GAV per Share (or NAV per Share) and the Adjusted GAV per Note are calculated on the basis of the allocation principles set out under the above paragraphs. j) Adjusted GAV of shares The Adjusted GAV of shares attributable to shareholders is made out of: a- Subscribed Share Capital: 235,608 DKK b- Net results attributable to shareholders since inception of the Fund (479) DKK Total Adjusted GAV 235,129 DKK k) Adjusted GAV of notes The Adjusted GAV of Notes attributable to debtholders is made out of: a- Subscribed Bond Principal as at 31 December ,060,322,348 DKK b- Note subscription in DKK c- Subscribed Bond Principal as at 31 December ,060,322,348 DKK d- Issue Premium 9,086,828 DKK e- Net results attributable to debtholders since inception of the Fund 573,691,655 DKK Total Adjusted GAV 14,643,100,831 DKK 3 FEES a) Management fees The External AIFM is entitled to receive out of the assets of the Sub-Fund a management fee (the Management Fee) payable quarterly in advance up to a maximum of 1% p.a. of the average GAV over the relevant period subject to a minimum per annum of EUR 1Million. In considerations for the services performed by the Investment Manager, the Company pays a fee of DKK 450,000 per month or EUR equivalent. The Management Fee was irrespective of the number of Sub-Funds launched within the Company. The management fee for 2015 was DKK 5,845,

20 b) Advisory fees In consideration for the services to be performed by the Investment Adviser, The Company shall pay out of the assets the following investment advisory fees: Quarter Amount of Advisory fees in EUR Amount of Advisory fees in DKK Quarter 1 837,519 6,250,000 Quarter 2 837,519 6,250,000 Quarter 3 837,519 6,250,000 Quarter 4* 167,504 1,250,000 Total 2,680,061 20,000,000 * A payment of advisory fees of DKK 5,000,000 was returned on 18 December 2015, therefore the final total amount of advisory fees for the year was DKK 20,000,000. c) Performance Fees The Company s performance related fees was set to zero for the year ended 31 December 2015 as there is no current entitlement of the Investment Adviser to a performance fee, and therefore there was no performance fee paid for the year 2015 and there was no amount payable as of 31 December d) Depositary and Paying Agent The Company has appointed Citibank International Limited, Luxembourg Branch (the Depositary and Paying Agent), as its depositary pursuant to a depositary and paying agent services agreement which entered into with effect as of 22 July 2014 (the Depositary and Paying Agent Services Agreement). The Company pays out of the assets of the relevant Sub-Fund a fee to the Depositary Bank and Paying Agent charge. e) Administration fees Northern Trust acted as the Fund s Administrative Agent for the year ended to December 31, The fees and costs of the Administrative Agent are met by the Company and are conform to agreements. f) Taxation The Company's assets are subject to subscription tax (taxe d'abonnement) in Luxembourg of 0.01% p.a. on the share capital. The Company is not subject to Corporate Income Tax in Luxembourg. Income received from the Company 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. 18

21 4 DERIVATIVES a) Forward foreign exchange contracts As of 31 December 2015, the Company had the following forward foreign exchange contracts: Currency Purchased Amount Purchased Currency Sold Amount Sold Maturity Date Unrealised Appreciation in DKK USD 12,964,362 CAD (17,409,514) 13-Jan-16 2,914,083 USD 5,660,582 NOK (48,841,418) 13-Jan ,308 NZD 5,194,000 USD (3,454,836) 13-Jan ,658 USD 1,751,000 CAD (2,351,106) 13-Jan ,906 NZD 2,594,000 USD (1,727,029) 13-Jan ,404 USD 1,700,292 GBP (1,121,000) 13-Jan ,868 USD 1,215,000 CAD (1,624,511) 13-Jan ,122 USD 1,745,000 CAD (2,362,599) 13-Jan ,883 EUR 1,513,000 USD (1,602,566) 13-Jan ,482 USD 1,641,065 GBP (1,085,000) 13-Jan ,726 NZD 1,773,000 USD (1,176,948) 13-Jan ,753 USD 1,272,000 NOK (10,971,370) 13-Jan ,083 AUD 2,075,000 USD (1,481,473) 13-Jan ,232 USD 1,163,000 NOK (10,034,693) 13-Jan ,036 USD 1,710,000 CAD (2,338,081) 13-Jan ,838 SEK 6,877,142 USD (792,000) 13-Jan ,068 NZD 1,776,000 USD (1,192,474) 13-Jan ,260 USD 1,705,547 GBP (1,142,000) 13-Jan ,345 USD 900,134 GBP (597,000) 13-Jan ,587 USD 1,680,834 EUR (1,529,000) 13-Jan ,414 SEK 14,897,037 USD (1,751,000) 13-Jan ,125 SEK 8,871,433 USD (1,037,000) 13-Jan ,594 USD 1,533,593 GBP (1,030,000) 13-Jan ,731 USD 1,015,000 CAD (1,388,827) 13-Jan ,522 NZD 1,275,000 USD (858,684) 13-Jan-16 96,478 19

22 4 DERIVATIVES (continued) a) Forward foreign exchange contracts (continued) Currency Purchased Amount Purchased Currency Sold Amount Sold Maturity Date Unrealised Appreciation in DKK JPY 173,466,350 USD (1,430,000) 13-Jan-16 89,375 USD 1,091,072 GBP (732,000) 13-Jan-16 79,677 USD 968,172 EUR (881,000) 13-Jan-16 70,685 USD 825,000 NOK (7,205,865) 13-Jan-16 68,970 USD 476,981 GBP (317,000) 13-Jan-16 65,274 CHF 406,282 USD (397,000) 13-Jan-16 64,228 USD 354,000 CAD (479,843) 13-Jan-16 57,490 USD 1,550,235 GBP (1,046,000) 13-Jan-16 53,001 USD 379,000 NOK (3,284,280) 13-Jan-16 51,911 JPY 94,665,792 USD (780,000) 13-Jan-16 51,478 NZD 723,000 USD (487,476) 13-Jan-16 50,922 JPY 44,947,885 USD (367,000) 13-Jan-16 47,426 SEK 1,823,520 USD (210,000) 13-Jan-16 44,592 USD 161,000 CAD (214,596) 13-Jan-16 44,134 AUD 669,000 USD (481,032) 13-Jan-16 42,892 USD 259,000 NOK (2,235,378) 13-Jan-16 42,483 USD 267,000 CAD (362,606) 13-Jan-16 39,947 NZD 889,000 USD (602,702) 13-Jan-16 39,944 USD 486,562 GBP (326,000) 13-Jan-16 39,929 NZD 281,000 USD (186,829) 13-Jan-16 37,865 SEK 4,061,936 USD (476,984) 13-Jan-16 36,160 USD 275,000 NOK (2,387,206) 13-Jan-16 34,442 AUD 630,000 USD (453,940) 13-Jan-16 33,870 CHF 195,874 USD (191,000) 13-Jan-16 33,702 USD 414,843 GBP (278,000) 13-Jan-16 33,516 20

23 4 DERIVATIVES (continued) a) Forward foreign exchange contracts (continued) Currency Purchased Amount Purchased Currency Sold Amount Sold Maturity Date Unrealised Appreciation in DKK USD 690,372 GBP (465,000) 13-Jan-16 31,894 JPY 45,740,291 USD (376,000) 13-Jan-16 30,897 USD 399,253 GBP (268,000) 13-Jan-16 27,727 JPY 64,555,548 USD (533,000) 13-Jan-16 27,598 USD 320,000 CAD (438,784) 13-Jan-16 27,105 SEK 2,964,030 USD (348,000) 13-Jan-16 26,794 AUD 567,000 USD (409,236) 13-Jan-16 25,742 USD 706,000 CHF (702,434) 13-Jan-16 23,556 SEK 7,211,427 USD (853,000) 13-Jan-16 21,793 EUR 618,000 USD (668,776) 13-Jan-16 21,630 USD 802,000 CHF (798,728) 13-Jan-16 21,414 AUD 600,000 USD (434,055) 13-Jan-16 20,369 SEK 6,956,231 USD (823,000) 13-Jan-16 19,747 SEK 10,855,916 USD (1,286,000) 13-Jan-16 19,674 NZD 209,000 USD (140,301) 13-Jan-16 18,945 USD 307,000 SEK (2,563,147) 13-Jan-16 18,469 USD 275,000 CHF (272,391) 13-Jan-16 17,546 USD 418,911 EUR (383,000) 13-Jan-16 17,098 USD 313,000 NOK (2,747,100) 13-Jan-16 15,887 SEK 1,523,830 USD (179,000) 13-Jan-16 13,153 USD 934,000 CHF (931,960) 13-Jan-16 12,786 JPY 10,920,470 USD (89,000) 13-Jan-16 12,660 NZD 296,000 USD (200,788) 13-Jan-16 12,520 NZD 73,000 USD (48,181) 13-Jan-16 12,269 USD 100,000 NOK (868,463) 13-Jan-16 12,223 21

24 4 DERIVATIVES (continued) a) Forward foreign exchange contracts (continued) Currency Purchased Amount Purchased Currency Sold Amount Sold Maturity Date Unrealised Appreciation in DKK USD 404,000 SEK (3,389,753) 13-Jan-16 10,654 SEK 2,758,702 USD (326,000) 13-Jan-16 10,476 USD 124,000 NOK (1,083,553) 13-Jan-16 9,986 SEK 845,227 USD (99,000) 13-Jan-16 9,261 JPY 27,792,694 USD (230,000) 13-Jan-16 8,238 NZD 342,000 USD (233,049) 13-Jan-16 7,209 AUD 183,000 USD (132,266) 13-Jan-16 7,044 USD 108,000 CHF (107,007) 13-Jan-16 6,677 SEK 1,010,030 USD (119,000) 13-Jan-16 6,284 USD 49,000 NOK (425,609) 13-Jan-16 5,941 USD 969,547 AUD (1,330,000) 13-Jan-16 5,596 JPY 42,161,655 USD (350,000) 13-Jan-16 5,023 AUD 70,000 USD (50,271) 13-Jan-16 4,910 USD 16,000 NOK (136,023) 13-Jan-16 4,232 NZD 26,000 USD (17,204) 13-Jan-16 4,073 JPY 12,690,878 USD (105,000) 13-Jan-16 3,927 USD 820,615 AUD (1,126,000) 13-Jan-16 3,226 USD 203,000 CAD (281,316) 13-Jan-16 2,545 CAD 154,522 USD (111,000) 13-Jan-16 2,064 USD 43,000 NOK (377,603) 13-Jan-16 2,023 JPY 12,159,299 USD (101,000) 13-Jan-16 1,030 USD 4,537 GBP (3,000) 13-Jan AUD 88,000 USD (64,052) 13-Jan USD 45,665 EUR (42,000) 13-Jan-16 3 Total 10,967,417 22

25 4 DERIVATIVES (continued) a) Forward foreign exchange contracts (continued) Currency Purchased Amount Purchased Currency Sold Amount Sold Maturity Date Unrealised (Depreciation) in DKK GBP 5,475,000 USD (8,248,022) 13-Jan-16 (1,195,566) USD 5,977,197 JPY (737,057,124) 13-Jan-16 (1,058,292) GBP 1,162,000 USD (1,763,864) 13-Jan-16 (345,224) USD 1,751,000 JPY (215,868,393) 13-Jan-16 (307,166) GBP 1,160,000 USD (1,747,976) 13-Jan-16 (256,396) USD 1,527,000 JPY (187,213,712) 13-Jan-16 (208,531) USD 1,150,917 EUR (1,084,000) 13-Jan-16 (189,983) USD 1,075,642 NZD (1,606,000) 13-Jan-16 (162,465) USD 802,106 NZD (1,203,000) 13-Jan-16 (146,553) CHF 1,398,193 USD (1,418,000) 13-Jan-16 (134,099) USD 1,342,791 AUD (1,869,000) 13-Jan-16 (127,233) GBP 1,067,000 USD (1,591,791) 13-Jan-16 (125,682) USD 593,000 SEK (5,148,468) 13-Jan-16 (125,264) NOK 10,644,765 USD (1,222,000) 13-Jan-16 (124,404) USD 1,201,418 AUD (1,674,000) 13-Jan-16 (122,706) CHF 1,511,199 USD (1,529,000) 13-Jan-16 (120,186) GBP 369,000 USD (559,206) 13-Jan-16 (103,313) CAD 510,896 USD (383,000) 13-Jan-16 (103,026) USD 1,759,000 SEK (14,936,675) 13-Jan-16 (98,517) GBP 332,000 USD (502,541) 13-Jan-16 (88,886) USD 1,701,000 SEK (14,426,212) 13-Jan-16 (80,639) EUR 653,000 USD (720,768) 13-Jan-16 (74,054) NOK 6,298,566 USD (723,000) 13-Jan-16 (73,171) NOK 6,265,088 USD (719,000) 13-Jan-16 (71,703) USD 554,004 NZD (824,000) 13-Jan-16 (68,816) USD 429,000 JPY (52,746,979) 13-Jan-16 (67,183) USD 406,000 CHF (414,293) 13-Jan-16 (57,454) USD 836,544 AUD (1,160,000) 13-Jan-16 (57,432) 23

26 4 DERIVATIVES (continued) a) Forward foreign exchange contracts (continued) Currency Purchased Amount Purchased Currency Sold Amount Sold Maturity Date Unrealised (Depreciation) in DKK USD 316,004 EUR (298,000) 13-Jan-16 (54,921) USD 532,000 SEK (4,547,598) 13-Jan-16 (54,308) USD 299,000 JPY (36,877,643) 13-Jan-16 (53,368) GBP 286,000 USD (429,515) 13-Jan-16 (53,253) NOK 2,629,998 USD (305,000) 13-Jan-16 (51,888) AUD 2,336,000 USD (1,708,946) 13-Jan-16 (51,308) CHF 1,737,194 USD (1,745,000) 13-Jan-16 (51,301) CAD 227,844 USD (171,000) 13-Jan-16 (47,276) USD 346,194 AUD (484,000) 13-Jan-16 (43,508) SEK 6,163,741 USD (738,000) 13-Jan-16 (42,630) USD 1,351,808 EUR (1,249,000) 13-Jan-16 (42,427) EUR 761,000 USD (832,738) 13-Jan-16 (36,611) CHF 326,974 USD (332,000) 13-Jan-16 (34,064) EUR 1,568,000 USD (1,709,650) 13-Jan-16 (33,135) NOK 4,996,332 USD (569,000) 13-Jan-16 (27,016) SEK 3,496,159 USD (419,000) 13-Jan-16 (26,899) USD 211,000 JPY (25,821,062) 13-Jan-16 (26,073) EUR 536,000 USD (586,404) 13-Jan-16 (24,939) USD 804,000 CAD (1,121,222) 13-Jan-16 (24,749) CHF 221,233 USD (224,000) 13-Jan-16 (18,701) CHF 130,532 USD (133,000) 13-Jan-16 (16,767) CAD 979,664 USD (708,000) 13-Jan-16 (16,189) EUR 269,000 USD (294,819) 13-Jan-16 (16,108) AUD 828,000 USD (605,372) 13-Jan-16 (15,660) CHF 410,854 USD (413,000) 13-Jan-16 (14,191) USD 63,079 NZD (95,000) 13-Jan-16 (13,376) USD 430,944 EUR (398,000) 13-Jan-16 (12,255) 24

27 4 DERIVATIVES (continued) a) Forward foreign exchange contracts (continued) Currency Purchased Amount Purchased Currency Sold Amount Sold Maturity Date Unrealised (Depreciation) in DKK USD 774,000 CAD (1,076,980) 13-Jan-16 (11,930) AUD 657,000 USD (480,217) 13-Jan-16 (11,521) USD 187,000 JPY (22,668,514) 13-Jan-16 (10,800) EUR 136,000 USD (149,331) 13-Jan-16 (10,046) USD 1,024,918 EUR (944,000) 13-Jan-16 (9,989) USD 780,883 AUD (1,074,000) 13-Jan-16 (9,516) CAD 211,922 USD (154,000) 13-Jan-16 (9,300) EUR 152,000 USD (166,434) 13-Jan-16 (8,037) USD 363,000 CAD (505,551) 13-Jan-16 (7,849) EUR 114,000 USD (125,087) 13-Jan-16 (7,822) USD 457,000 CAD (635,936) 13-Jan-16 (7,265) USD 4,579,291 CHF (4,579,222) 13-Jan-16 (5,500) AUD 815,000 USD (594,404) 13-Jan-16 (5,371) NOK 276,981 USD (32,000) 13-Jan-16 (4,632) USD 24,000 JPY (2,949,533) 13-Jan-16 (3,682) USD 659,498 EUR (607,000) 13-Jan-16 (3,221) CHF 36,588 USD (37,000) 13-Jan-16 (2,778) USD 197,001 AUD (271,000) 13-Jan-16 (2,659) NZD 233,000 USD (159,873) 13-Jan-16 (2,639) GBP 13,000 USD (19,529) 13-Jan-16 (2,456) NZD 159,000 USD (109,085) 13-Jan-16 (1,716) EUR 40,000 USD (43,724) 13-Jan-16 (1,604) USD 16,000 JPY (1,949,646) 13-Jan-16 (1,500) CAD 276,127 USD (199,000) 13-Jan-16 (744) CHF 5,918 USD (6,000) 13-Jan-16 (552) CHF 1,750,593 USD (1,751,000) 13-Jan-16 (511) USD 2,694 NZD (4,000) 13-Jan-16 (301) (6,740,808) 25

28 b) Futures contracts As of 31 December 2015, the Company had the following open positions: Number of Unrealised Description Maturity Currency Contracts Commitment Appreciation Date P/(S) in DKK Short positions: WTI CRUDE FUTURE Mar-16 USD ( ) 1,204,357, ,286,283 WHEAT FUTURE Mar-16 USD ( ) 967,025, ,542,889 CORN FUTURE Mar-16 USD ( ) 1,266,787, ,558,539 TOPIX INDX FUTR Mar-16 JPY ( ) 2,308,743, ,920,534 SOYBEAN OIL FUTR Mar-16 USD ( ) 520,711, ,714, ,022,251 Long positions: SOYBEAN OIL FUTR May-16 USD ,267, ,436,291 COFFEE 'C' FUTURE May-16 USD ,222, ,071,494 SUGAR #11 (WORLD) Jul-16 USD ,302, ,948,147 LEAN HOGS FUTURE Jun-16 USD ,860, ,829,671 COTTON NO.2 FUTR May-16 USD ,620, ,223,510 LME ZINC FUTURE Jan-16 USD ,143, ,961,868 LME PRI ALUM FUTR May-16 USD ,158, , ,217,700 Total 404,239,951 Number of Unrealised Description Maturity Currency Contracts Commitment (Depreciation) Date P/(S) in DKK Short positions: FTSE 100 IDX FUT Mar-16 GBP ( ) 1,128,857, (43,046,053) COFFEE 'C' FUTURE Mar-16 USD ( ) 706,511, (31,586,442) MSCI USA Dec-16 USD ( ) 2,464,147, (25,001,291) SUGAR #11 (WORLD) May-16 USD ( ) 428,295, (15,772,802) LME PRI ALUM FUTR Mar-16 USD ( ) 806,084, (15,751,386) EURO STOXX 50 Mar-16 EUR ( ) 1,665,450, (14,841,942) SWISS MKT IX FUTR Mar-16 CHF (883.00) 530,071, (14,600,126) LME COPPER FUTURE Mar-16 USD (633.00) 511,512, (14,022,531) MSCI USA Mar-16 USD ( ) 2,514,297, (11,730,935) LME ZINC FUTURE Mar-16 USD (483.00) 133,381, (6,694,655) COTTON NO.2 FUTR Mar-16 USD ( ) 340,158, (6,546,964) LEAN HOGS FUTURE Feb-16 USD ( ) 250,592, (2,795,647) S&P/TSX 60 IX FUT Mar-16 CAD (325.00) 244,572, (630,735) (203,021,510) Long positions: WTI CRUDE FUTURE May-16 USD ,261,467, (278,985,595) BRENT CRUDE FUTR Oct-17 USD ,602, (207,658,707) WTI CRUDE FUTURE Dec-17 USD 2, ,126, (195,564,765) WHEAT FUTURE(CBT) May-16 USD ,398, (89,846,331) CORN FUTURE May-16 USD ,287,091, (83,592,391) GOLD 100 OZ FUTR Feb-16 USD ,934,621, (79,814,815) LME COPPER FUTURE Dec-16 USD ,467, (49,177,286) LME COPPER FUTURE May-16 USD ,050, (42,238,615) LME PRI ALUM FUTR Dec-16 USD ,139, (19,717,690) LME NICKEL FUTURE Jan-16 USD ,221, (18,675,785) LME ZINC FUTURE May-16 USD ,539, (11,373,362) LME NICKEL FUTURE Mar-16 USD ,490, (1,260,852) (1,077,906,195) Total (1,280,927,705) 26