SEVEN LUX SICAV-SIF. Audited Annual Report as at 31/12/16. R.C.S Luxembourg B Database Publishing System: CO-Reporter by CO-Link, Belgium.

Transcription

1 Audited Annual Report as at 31/12/16 R.C.S Luxembourg B Database Publishing System: CO-Reporter by CO-Link, Belgium.

2 Table of contents Page Management and Administration 3 Management report 4 Audit report 5 Consolidated 7 Seven BlackSnake Fund 10 StanWard Fund 14 Notes to the financial statements 18 Supplementary Information (unaudited) 26 No subscription can be received on the basis of this report. Subscriptions are only valid if made on the basis of the current prospectus accompanied by the latest annual report. Page 2

3 Management and Administration Registered office 5, allée Scheffer L-2520 Luxembourg Board of Directors Johann Schwimann, Seven Capital Management Bertrand Gibeau Reinhold & Partners Aymeric Lechartier Carne Global Financial Services UK Limited Johann Nouveau Seven Capital Management Alternative Investment Fund Manager («AIFM») Seven Capital Management GP , rue Marbeuf Paris Depositary CACEIS Bank Luxembourg (until 31/12/2016) CACEIS Bank, Luxembourg Branch (as from 01/01/2017) 5, Allée Scheffer L-2520 Luxembourg Central Administrator and Domiciliary Agent CACEIS Bank Luxembourg (until 31/12/2016) CACEIS Bank, Luxembourg Branch (as from 01/01/2017) 5, Allée Scheffer L-2520 Luxembourg Auditor PricewaterhouseCoopers, Société coopérative 2, rue Gerhard Mercator B.P L-1014 Luxembourg Page 3

4 Management report Seven BlackSnake Fund Performance of share Institutional EUR from 31/12/15 to 30/12/16: 3.42% Performance of share Early Birds EUR from 31/12/15 to 30/12/16: 2.37% The VaR is a 99% 20-day. Maximum VaR: 27.45% Minimum VaR : 4.11% Average VaR : 14.75% Maximum leverage : Minimum leverage : 0.09 (15/11/2016) Average leverage : 6.91 Maximum leverage of 50, which may be exceeded in the event of extreme market conditions was a difficult year for CTA funds in general with sharp trend reversal on the Bond market and on Equities due in part to the Brexit and the Trump election. In this environment, the Bond market accounted for almost 40% of the performance in the period, with long term Bond as major contributor. The equity market was also a good contributor with 17.6% (specially the US Equity Market).The commodities contribute to 21.8% of the underperformance due to losses on energies and metal contracts (Crudeoil -6.21%, Copper %). Currencies made a negative contribution of 7.2%, (Canadian dollar against the USD leading the way with %). StanWard Fund Performance of share Institutional EUR from 31/12/15 to 30/12/16: 9.97% Performance of share Managers EUR from 31/12/15 to 30/12/16: 11.99% The VaR is a 99% 20-day. Maximum VaR: 18.45% Minimum VaR: 1.46% Average VaR: 9.38% Maximum leverage: 8.11 Minimum leverage: 0.06 Average leverage: was a difficult year in term of macro environment with sharp trend reversal on the Bond market and on Equities due in part to the Brexit and the Trump election. With its short term strategies, StanWard fund benefit from this environment in all asset classes. Bonds contribute to 37.6% (TNOTE10Y +5.68%, Eurodollars +4.16% and Bobl %), Equities to 7.4% (with Russel +6.91%, RAYB SS +5.06%), Commodities to 31.20% (Soybean Meal %) and Currencies to 22.7% (USDGBP % and EURUSD %). The Board of Directors Luxembourg, April 19, 2017 Note: The information stated in this report is historical and not necessarily indicative of future performance. Page 4

5 Audit report To the Shareholders of SEVEN LUX SICAV-SIF We have audited the accompanying financial statements of SEVEN LUX SICAV-SIF and of each of its sub-funds, which comprise the statement of net assets and the securities portfolio as at 31 December 2016 and the statement of operations and changes in net assets for the year then ended, and a summary of significant accounting policies and other explanatory notes to the financial statements. Responsibility of the Board of Directors of the SICAV-SIF for the financial statements The Board of Directors of the SICAV-SIF 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-SIF determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. Responsibility of the Réviseur d entreprises agréé Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with International Standards on Auditing as adopted for Luxembourg by the Commission de Surveillance du Secteur Financier. Those standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the judgment of the Réviseur d entreprises agréé, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the Réviseur d entreprises agréé considers internal control relevant to the entity s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity s internal control. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by the Board of Directors of the SICAV-SIF, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. PricewaterhouseCoopers, Société coopérative, 2, rue Gerhard Mercator, B.P. 1443, L-1014 Luxembourg T: , F: , Cabinet de révision agréé. Expert-comptable (autorisation gouvernementale n ) R.C.S. Luxembourg B TVA LU Page 5

6 _}' pwe Opinion In our opinion, the financial stratements give a true and fair view of the financial position of SEVEN LUX SICAV-SIF and of each of its sub-funds as of 31 December 2016, 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-SIF 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 audit report thereon. Our opinion on the financial stratements does not cover the other information and we do not express any form of assurance conclusion thereon. ln connection with our audit of the financial stiatements, 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. lf, 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. PricewaterhouseCoopers, Soci6t6 coop6rative Luxembourg, April 19, 2O17 Poge 6

7 Consolidated Page 7

8 Consolidated Financial Statements as at 31/12/16 Statement of net assets as at 31/12/16 Expressed in EUR Assets Securities portfolio at market value Cost price Unrealised profit on the securities portfolio Cash at banks and liquidities Interest receivable Formation expenses Note 2 Brokers receivable Unrealised net appreciation on futures contracts Note 2, 8 Other assets Liabilities Bank overdrafts Taxe d'abonnement payable Note 7 Performance fees payable Note 4 Management fees payable Note 3 Custodian fees payable Note 5 Administrative fees payable Note 6 Accrued audit fees Other liabilities Net asset value 11,627, ,696, ,677, , ,687, , , , , ,345, ,304, , , , , , , ,282, The accompanying notes form an integral part of these financial statements Page 8

9 Consolidated Statement of Operations and Changes in Net Assets from 01/01/16 to 31/12/16 Expressed in EUR Income Net dividends Net interest on bonds Expenses Amortisation of formation expenses Note 2 Management fees Note 3 Custodian fees Note 5 Taxe d'abonnement Note 7 Administrative fees Note 6 Performance fees Note 4 Domiciliation fees Professional fees Bank interest on overdrafts Legal fees Transaction fees Note 2.8 Other expenses Net loss from investments Net realised gain / (loss) on: - Realised gain on sales of investment securities Note 2 - Realised loss on sales of investment securities Note 2 - Realised gain on futures contracts Note 2 - Realised loss on futures contracts Note 2 - Realised gain on foreign exchange Note 2 - Realised loss on foreign exchange Note 2 Net realised gain Movement in net unrealised appreciation / (depreciation) on: - Movement in unrealised appreciation on investments Note 2 - Movement in unrealised depreciation on investments Note 2 - Movement in unrealised appreciation on futures contracts Note 2 - Movement in unrealised depreciation on futures contracts Note 2 Increase in net assets as a result of operations Subscription capitalisation shares Increase in net assets Net assets at the beginning of the year Net assets at the end of the year , , , , , , , , , , , , , , , ,838, ,088, , , , , , , , , , , ,465, ,282, The accompanying notes form an integral part of these financial statements Page 9

10 - Seven BlackSnake Fund Page 10

11 - Seven BlackSnake Fund Financial Statements as at 31/12/16 Statement of net assets as at 31/12/16 Expressed in EUR Assets Securities portfolio at market value Cost price Unrealised profit on the securities portfolio Cash at banks and liquidities Interest receivable Formation expenses Note 2 Unrealised net appreciation on futures contracts Note 2, 8 Other assets Liabilities Bank overdrafts Taxe d'abonnement payable Note 7 Management fees payable Note 3 Custodian fees payable Note 5 Administrative fees payable Note 6 Accrued audit fees Other liabilities Net asset value 10,417, ,084, ,074, , ,124, , , , ,340, ,301, , , , , , ,076, Key figures Year ending as at: 31/12/16 31/12/15 31/12/14 Total Net Assets EUR 9,076, ,682, ,937, Institutional EUR Early Birds EUR Capitalisation shares Number of shares Net asset value per share Capitalisation shares Number of shares Net asset value per share EUR EUR EUR , , , EUR EUR EUR 10, , The accompanying notes form an integral part of these financial statements Page 11

12 Quantity Denomination SEVEN LUX SICAV-SIF - Seven BlackSnake Fund Securities portfolio as at 31/12/16 Expressed in EUR Quotation currency Transferable securities admitted to official stock exchange listing and/or dealt in on another regulated market Market value 5,849, Bonds 5,849, France 3,007, ,500, REPUBLIQUE FRANCAISE ZCP EUR 1,503, ,500, REPUBLIQUE FRANCAISE ZCP EUR 1,503, United States of America 2,842, ,000, USA ZCP USD 2,842, Other transferable securities 235, % of net assets Shares/Units in investment funds 235, Luxembourg 235, , SEVEN-SEVEN FORTRESS EUR I CAP EUR 235, Total securities portfolio 6,084, The accompanying notes form an integral part of these financial statements Page 12

13 - Seven BlackSnake Fund Statement of Operations and Changes in Net Assets from 01/01/16 to 31/12/16 Expressed in EUR Expenses Amortisation of formation expenses Note 2 Management fees Note 3 Custodian fees Note 5 Taxe d'abonnement Note 7 Administrative fees Note 6 Domiciliation fees Professional fees Bank interest on overdrafts Legal fees Transaction fees Note 2.8 Other expenses Net loss from investments Net realised gain / (loss) on: - Realised loss on sales of investment securities Note 2 - Realised gain on futures contracts Note 2 - Realised loss on futures contracts Note 2 - Realised gain on foreign exchange Note 2 - Realised loss on foreign exchange Note 2 Net realised gain Movement in net unrealised appreciation / (depreciation) on: - Movement in unrealised appreciation on investments Note 2 - Movement in unrealised depreciation on investments Note 2 - Movement in unrealised appreciation on futures contracts Note 2 - Movement in unrealised depreciation on futures contracts Note 2 Increase in net assets as a result of operations Subscription capitalisation shares Increase in net assets Net assets at the beginning of the year Net assets at the end of the year 343, , , , , , , , , , , , , ,332, ,718, , , , , , , , , , , ,682, ,076, The accompanying notes form an integral part of these financial statements Page 13

14 - StanWard Fund Page 14

15 - StanWard Fund Financial Statements as at 31/12/16 Statement of net assets as at 31/12/16 Expressed in EUR Assets Securities portfolio at market value Cost price Unrealised profit on the securities portfolio Cash at banks and liquidities Interest receivable Brokers receivable Unrealised net appreciation on futures contracts Note 2, 8 Other assets Liabilities Bank overdrafts Performance fees payable Note 4 Management fees payable Note 3 Net asset value 1,210, , , , , , , , , , ,206, Key figures Year ending as at: 31/12/16 31/12/15 Total Net Assets EUR 1,206, , Institutional EUR Managers EUR Capitalisation shares Number of shares Net asset value per share Capitalisation shares Number of shares Net asset value per share EUR EUR 1, , EUR EUR 9, , The accompanying notes form an integral part of these financial statements Page 15

16 Quantity Denomination SEVEN LUX SICAV-SIF - StanWard Fund Securities portfolio as at 31/12/16 Expressed in EUR Quotation currency Transferable securities admitted to official stock exchange listing and/or dealt in on another regulated market Market value 612, Shares 138, France 29, IPSEN EUR 17, LVMH MOET HENNESSY LOUIS VUITTON EUR 12, United States of America 108, HEICO -A- USD 16, HEWLETT PACKARD USD 13, NETFLIX INC USD 64, WALT DISNEY CO USD 14, Bonds 473, United States of America 473, , USA ZCP USD 473, % of net assets Total securities portfolio 612, The accompanying notes form an integral part of these financial statements Page 16

17 - StanWard Fund Statement of Operations and Changes in Net Assets from 01/01/16 to 31/12/16 Expressed in EUR Income Net dividends Net interest on bonds Expenses Management fees Note 3 Performance fees Note 4 Bank interest on overdrafts Transaction fees Net loss from investments Net realised gain / (loss) on: - Realised gain on sales of investment securities Note 2 - Realised loss on sales of investment securities Note 2 - Realised gain on futures contracts Note 2 - Realised loss on futures contracts Note 2 - Realised gain on foreign exchange Note 2 - Realised loss on foreign exchange Note 2 Net realised gain Movement in net unrealised appreciation / (depreciation) on: - Movement in unrealised appreciation on investments Note 2 - Movement in unrealised depreciation on investments Note 2 - Movement in unrealised appreciation on futures contracts Note 2 - Movement in unrealised depreciation on futures contracts Note 2 Increase in net assets as a result of operations Subscription capitalisation shares Increase in net assets Net assets at the beginning of the year Net assets at the end of the year , , , , , , , , , , , , , , , , , , , , ,206, The accompanying notes form an integral part of these financial statements Page 17

18 Notes to the financial statements Page 18

19 Note 1 - Activity SEVEN LUX SICAV-SIF Notes to the financial statements as at 31 December 2016 SEVEN LUX SICAV-SIF the Fund is an umbrella fund incorporated on January 8, 2014 as a public limited company S.A. under the laws of Luxembourg, which is registered as an investment company with variable capital SICAV under Part II of the 2007 law as amended and the 1915 law. SEVEN LUX SICAV-SIF is a Luxembourg fund managed by an Alternative Investment Fund Manager ( AIFM ) who is established in France in accordance with Chapter II of the Directive 2011/61/EC and transposed locally within Luxembourg law by the law of 12 July 2013 on alternative investment fund managers. The Fund is a multi-compartment structure consisting of several sub-funds, each one representing a specific portfolio of assets and liabilities. As at 31 December 2016, two sub-funds are active: - Seven BlackSnake Fund - StanWard Fund The Fund may issue shares in the following classes: - Institutional EUR: dedicated to institutional investors - Institutional USD: dedicated to institutional investors - Early birds EUR: dedicated to seeders investors investing early in the Fund, before the 31 March 2014 and up to EUR 500 million. - Managers EUR: dedicated to the investors who are part of the group of companies of the AIFM. Note 2 - Principal accounting policies 2.1 Presentation of the financial statements The financial statements are prepared in accordance with Luxembourg legal and regulatory requirements relating to investment funds. 2.2 Valuation of investments in securities The value of securities which are quoted or dealt in on any stock exchange shall be based on the last closing prices on the stock exchange which can reasonably considered the principal market of such securities, and each security traded on any other regulated market shall be valued in a manner as similar as possible to that provided for quoted securities. For non-quoted securities or securities not traded or dealt in on any stock exchange or other regulated market, as well as quoted or non-quoted securities on such other market for which no valuation price is available, or securities for which the quoted prices are not representative of the fair market value, the value thereof shall be determined prudently and in good faith on the basis of foreseeable sales prices. Shares or units in open-ended investment funds shall be valued at their last available net asset value. Money market instruments are valued at: a) market value plus any accrued interest for instruments having, at the moment of their acquisition by the Fund, an initial or remaining maturity of more than twelve months, until the instruments have a remaining maturity of less than twelve months at which time they will move to an amortised cost basis plus accrued interest, and b) on an amortised cost basis plus accrued interest for instruments having, at the moment of their acquisition by the Fund, an initial or remaining maturity of less than twelve months. 2.3 Dividend and interest income Dividends are shown net of withholding tax deducted at source and are recorded as income on the exdividend date. Interest income is accrued on a daily basis. Page 19

20 Notes to the financial statements as at 31 December 2016 (continued) Note 2 - Principal accounting policies (continued) 2.4 Foreign currency translation The books and records of the sub-funds are denominated in the reference currency of the corresponding sub-fund. The acquisition cost of securities expressed in a currency other than the reference currency of the respective sub-funds is translated at the exchange rates prevailing on the date of purchase. Income and expenses expressed in currencies other than the reference currency of the respective sub-funds are converted at exchange rates ruling at the transaction date. Assets and liabilities expressed in currencies other than the reference currency of the respective sub-funds are converted at exchange rates prevailing at year-end. The principal exchange rates applied at year-end are the followings: 1 EUR = GBP 1 EUR = SGD HKD USD JPY 2.5 Realised gains and losses on sales of investments in securities Investments in securities are accounted for on a trade date bases. Realised gains and losses on sales of investments in securities are calculated on the average cost basis. 2.6 Futures contracts Futures contracts are valued at their liquidating value based upon the settlement price on the exchange on which the particular future contract is traded. The unrealised appreciation/depreciation on future contracts is disclosed in the statement of net assets under Unrealised net appreciation/(depreciation) on futures contracts. Changes in the market value of open futures contracts are recorded as unrealised appreciation/depreciation in the statement of operations and changes in net assets under Movement in net unrealised appreciation / (depreciation) on futures contracts.the realised gain or loss on future contracts is disclosed in the statement of operations and changes in net assets under Net realised profit / (loss) on futures contracts. 2.7 Formation expenses Formation expenses are amortised on a straight-line basis over a period of five years. 2.8 Transaction fees Transaction fees include custodian transaction fees and settlement fees linked to transactions on portfolio securities and futures contracts. Note 3 - Management fees Seven Capital Management acting as AIFM is entitled to receive a management fee payable at the end of quarter and calculated on the average NAV of each class of share during the relevant quarter. The applicable annual management fee rates are : Sub-funds Class of Share p.a. in % Seven BlackSnake Fund StanWard Fund Institutional EUR 2.00 Early Birds EUR 1.00 Institutional EUR 1.00 Managers EUR none Page 20

21 Notes to the financial statements as at 31 December 2016 (continued) Note 4 - Performance fees Seven BlackSnake Fund Seven Capital Management is entitled to receive a performance fee calculated yearly, starting from the last NAV of the prior fiscal year to the last NAV of the current fiscal year (the Calculation Period ), and will be accrued as at each valuation date. For each calculation period, the performance fee in respect of each class will be up to 20% of any appreciation in the NAV per share (prior to reduction of any accrued performance fee) of such class during that calculation period above the High Water Mark of that share, as measured at the end of the calculation period. No performance fee will be payable in respect to any class of shares unless the NAV (prior to reduction of any accrued performance fee) of the relevant class of shares as of the end of the relevant calculation period exceeds its High Water Mark. The performance fee in respect of each calculation period will be calculated by reference to the NAV before deduction for any accrued performance fee. The performance fee is normally payable to the AIFM in arrears at the end of each calculation period within seven business days after the end of such calculation period. However, in the case of shares redeemed during a calculation period the performance fee in respect of those shares will be calculated as if the date of redemption of such shares were the end of the calculation period and will become payable immediately after the relevant valuation date. As at December 31, 2016, no performance fee is charged by the sub-fund Seven BlackSnake Fund. StanWard Fund Seven Capital Management is entitled to receive a performance fee calculated yearly, starting from the last NAV of the prior fiscal year to the last NAV of the current fiscal year (the Calculation Period ), and will be accrued as at each valuation date. Exceptionally, the first performance fee will be calculated as from the sub-fund launch date. The first performance fee will start upon the launch of the sub-fund and end on the last NAV of the fiscal year. For each calculation period, the performance fee in respect of each class will be up to 15% of any appreciation in the NAV per share (prior to reduction of any accrued performance fee) of such class during that calculation period above the High Water Mark of that share, as measured at the end of the calculation period. No performance fee will be payable in respect to any class of shares unless the NAV (prior to reduction of any accrued performance fee) of the relevant class of shares as of the end of the relevant calculation period exceeds its High Water Mark. The performance fee in respect of each calculation period will be calculated by reference to the NAV before deduction for any accrued performance fee. The performance fee is normally payable to the AIFM in arrears at the end of each calculation period within seven business days after the end of such calculation period. However, in the case of shares redeemed during a calculation period the performance fee in respect of those shares will be calculated as if the date of redemption of such shares were the end of the calculation period and will become payable immediately after the relevant valuation date. As at December 31, 2016, the performance fee charged to the sub-fund StanWard Fund amounted to EUR 1, Page 21

22 Notes to the financial statements as at 31 December 2016 (continued) Note 5 - Custodian fees In remuneration for its services, the depositary is entitled to receive a variable fee, payable monthly in arrears, calculated on the average monthly net assets of the sub-fund. Total net assets in EUR p.a. in % million 0.03* Above 500 million 0.02* Monthly minimum per sub-fund EUR 1,000 ** * including 0.01% of supervision fees ** The monthly minimum will not be applied during the first 6 months after the launch of the sub-fund. Following the circular resolution of the Board of Directors of the Company dated August 31, 2015, the custodian fees by the sub-fund StanWard Fund will be paid by Seven Capital Management ( AIFM ) from September 11, 2015 to March 31, Note 6 - Administrative fees In remuneration for its NAV calculation and accounting services, the central administrator is entitled to receive a variable fee applied per sub-fund, payable by twelve at the end of each month and calculated on the basis of the monthly net assets per sub-fund. Total net assets in EUR p.a. in % million Above 500 million Monthly minimum per sub-fund EUR 2,000 * * The monthly minimum will not be applied the first 6 months after the launch of a sub-fund. Following the circular resolution of the Board of Directors of the Company dated August 31, 2015, the administrative fees by the sub-fund StanWard Fund will be paid by Seven Capital Management ( AIFM ) from September 11, 2015 to March 31, Note 7 - Taxation The Fund is subject to an annual tax in Luxembourg corresponding to 0.01% of the value of the net assets. This tax is payable quarterly on the basis of the net assets of the Fund calculated at the end of the quarter to which the tax relates. However, for sub-funds that are invested in other Luxembourg investments funds, which in turn are subject to the subscription tax provided by the 2010 law and the 2007 law, no subscription tax is due from the Fund on the portion of assets invested therein. Following the circular resolution of the Board of Directors of the Company dated August 31, 2015, the annual tax in Luxembourg by the sub-fund StanWard Fund will be paid by Seven Capital Management ( AIFM ) from September 11, 2015 to March 31, Page 22

23 Notes to the financial statements as at 31 December 2016 (continued) Note 8 - Futures contracts As at 31 December 2016, the following futures contracts are open : Seven Blacksnake Fund Currency Quantity Buy/Sell Description Maturity Commitment in EUR Unrealised appreciation/ (depreciation) in EUR USD 26 B SOYBEAN OIL (CBT) 03/ , , USD 19 S CORN FUTURE (CBT) 03/ , , USD 34 S USD/CAD (CME) 03/2017-2,398, , EUR 24 B CAC40 10 EURO 01/2017 1,167, , USD 6 B WTI CRUDE OIL -NYM 02/ , , USD 10 B COTTON N 2 (CTN) 03/ , , USD 47 B DJIA MINI FUTURE-CBT 03/2017 4,393, , EUR 29 B EURO SCHATZ FUTURE 03/2017 3,256, , USD 3 B EUR/USD (CME) 03/ , , USD 30 S EURO/USD 90DAY(CME) 09/2017-7,014, , EUR 13 B AMSTERDAM INDEX 01/2017 1,256, , EUR 42 S 3MO EURO EURIBOR 09/ ,529, , USD 35 B S&P 500 EMINI INDEX 03/2017 3,710, , USD 109 S US 5 YEARS NOTE-CBT 03/ ,159, , USD 4 S GOLD 100 OZ (CMX) 02/ , , EUR 4 B DAX INDEX GERMANY 03/2017 1,146, , USD 17 B COPPER -CMX 03/2017 1,009, , HKD 1 B HANG SENG INDEX 01/ , , USD 10 B HEATING OIL (NYM) 02/ , , EUR 11 B IBEX 35 INDEX 01/2017 1,024, , USD 3 S SGX CNX NIFTY INDEX 01/ , JPY 13 S JPN 10 YEARS BOND 03/ ,876, , USD 17 S JPN YEN CURR FUT 03/2017-1,732, USD 9 B NATURAL GAS (NYM) 02/ , , JPY 13 B NIKKEI 225 (SGX) 03/2017 1,007, , USD 28 B NASDAQ 100 E-MINI 03/2017 2,582, , EUR 108 B EURO BOBL FUTURE 03/ ,432, , SGD 42 B MSCI.SING INDEX 01/ , , EUR 27 B EURO BUND FUTURE 03/2017 4,432, , JPY 4 B EUR/JPY (CME) 03/ , , USD 7 B SOYBEAN (CBT) 03/ , , USD 1 B SUGAR #11 03/ , USD 28 S USD/CHF (CME) 03/2017-3,273, , USD 1 S SILVER (CMX) 03/ , USD 2 B SOYBEAN MEAL (CBT) 03/ , USD 10 S US 2 YEARS NOTE- CBT 03/2017-2,054, , USD 64 S US 10 YEARS NOTE 03/2017-7,541, , USD 19 S US TREASURY BOND 03/2017-2,713, , EUR 34 B DJ EURO STOXX 50 03/2017 1,114, , USD 13 S WHEAT FUTURE - CBT 03/ , , USD 9 B GASOLINE RBOB (NYM) 02/ , , GBP 15 B FTSE 100 INDEX 03/2017 1,238, , Total 162, The counterparty of the issued contracts is Caceis Bank France. Page 23

24 Notes to the financial statements as at 31 December 2016 (continued) Note 8 - Futures contracts (continued) As at 31 December 2016, the following futures contracts are open : StanWard Fund Currency Quantity Buy/Sell Description Maturity Commitment in EUR Unrealised appreciation/ (depreciation) in EUR USD 2 B SOYBEAN OIL (CBT) 03/ , EUR 1 B CAC40 10 EURO 01/ , USD 6 B EUR/USD (CME) 03/ , , USD 1 B S&P 500 EMINI INDEX 03/ , USD 1 B COPPER -CMX 03/ , , USD 1 B NASDAQ 100 E-MINI 03/ , EUR 2 B EURO BOBL FUTURE 03/ , , USD 1 B SOYBEAN MEAL (CBT) 03/ , EUR 2 B DJ EURO STOXX 50 03/ , , Total 9, The counterparty of the issued contracts is Caceis Bank France. Note 9 - Statement of changes in portfolio Upon request to be addressed to the registered office of the Fund, a copy of the statement of changes in the portfolio for the year ended 31 December 2016 can be obtained free of charge. Note 10 - Collateral account As at December 31, 2016, there is no cash collateral held or paid to manage the counterparty exposure on OTC derivatives as there is none. Note 11 - Expenses and costs Following the circular resolution of the Board of Directors of the Company dated August 31, 2015, the following expenses and costs to be borne by the sub-fund StanWard Fund will be paid by Seven Capital Management ( AIFM ) from September 11, 2015 to March 31, 2017: Establishments Costs Fees for legal services Central Administrator fee : Administration Agent fee and Registrar and Transfer Agent fee Depositary fee Domiciliation fee Director s fee Fees for auditing services Board of Director s insurance fees Taxes or governmental charges Distribution fees The management and Perfomance fees in accordance with the prospectus and the related agreements will be borne by the StanWard Fund and paid to Seven Capital Management (the AIFM) as indicated into the prospectus and related agreement. Any other fee that is not above listed will be paid by the sub-fund StanWard Fund in proportion to the its net assets. Page 24

25 Notes to the financial statements as at 31 December 2016 (continued) Note 12 - Investments in units or shares of the SEVEN CAPITAL MANAGEMENT group As at 31 December 2016, the following sub-fund invested in other sub-funds of SEVEN CAPITAL MANAGEMENT group : Sub-fund UCITS held Quantity SEVEN BLACKSNAKE FUND SEVEN UCITS-SEVEN FORTRESS FUND EUR-I (CAP) Market value (in EUR) % of net assets 2, , These investments do not give rise to a modification of the management fees borne by the aforementioned sub-fund. No entry or exit fee is charged for such investments. Page 25

26 Supplementary Information (unaudited) INVESTMENT RISKS The characteristics of certain Sub-Funds may entail specific risks for Shareholders. Investing in the Fund carries risks, including, but not limited to the risks referred to below. Investment in certain of the Sub-Funds should not constitute a substantial proportion of an investment holding unless risks are understood and found to be acceptable. The Fund is intended for long-term investors who can bear the risks associated with investing in securities. There is no guarantee that the Fund or its Sub-Funds will achieve its/their investment objectives, including the identification of suitable investment opportunities, the successful investment in these suitable investment opportunities and the achievement of targeted rates of return. The risk of partial or total loss of capital exists, and prospective investors should not subscribe to the Fund unless they are able to bear the consequences of such loss. THE AIFM S RISK MANAGEMENT PROCESS The AIFM has established and maintains a permanent risk management function that implements effective risk management policies and procedures in order to identify, measure, manage and monitor on an on-going basis all risks relevant to each Sub-Fund s investment strategy including in particular market, credit, liquidity, counterparty, operational and all other relevant risks. Furthermore, the risk management process ensures an independent review of the valuation policies and procedures as per Article 70 (3) of AIFM Regulation. The risk profile of each Sub-Fund shall correspond to the size, portfolio structure and investment strategy of the respective Sub-Fund. The Sub-Funds may, for the purpose of (i) hedging, (ii) efficient portfolio management and/or (iii) implementing its investment strategy, use all financial derivative instruments. The AIFM applies a comprehensive process based on qualitative and quantitative risk measures to assess the risks of each Sub- Fund. It thereby differentiates between liquid or sufficiently liquid assets and illiquid assets. Leverage In accordance with the Law of 12 July 2013, the AIFM will for each Sub-Fund provide to competent authorities and investors the level of leverage of the AIF both on a gross and on a commitment method basis in accordance with the gross method as set out in Article 7 and the commitment method as set out in Article 8 of the AIFM Regulation. The AIFM will set a maximum level of leverage which may be employed within each respective Sub-Fund as specified in each Sub-Fund Information Sheet in Appendix 1 to the Prospectus. In case the leverage employed as calculated according to the commitment methodology exceeds three times its net asset value, a special disclosure in accordance with Article 110 of the AIFM Regulation will be made. Liquidity Management The AIFM employs appropriate liquidity management methods and adopts procedures which enable it to monitor the liquidity risk of each Sub-Fund. The AIFM ensures that, for each Sub-Fund it manages, the investment and financing strategy, the liquidity profile and the redemption policy are consistent. The General Partner may, under exceptional circumstances and in the interest of the relevant Sub-Fund or of the Shareholders of the relevant Sub-Fund, apply gates and/or side pockets. The above shall not apply to un-leveraged closed-ended Sub-Funds in accordance to the ESMA Guidelines 2012/844. Page 26

27 Supplementary Information (unaudited) GENERAL RISKS ASSOCIATED WITH INVESTMENTS IN SECURITY MARKETS Volatile Political, Market and Economic Conditions The investments of the Sub-Funds may be affected by general economic and market conditions, such as interest rates, credit availability, inflation rates, economic uncertainty, changes in laws and national and international political circumstances. Equity Risk The Sub-Funds investing in common stocks and other equity securities are subject to market risk that historically has resulted in greater price volatility than experienced by bonds and other fixed income securities. Interests and Credit Risks of debt Securities The Sub-Funds investing in bonds and other fixed income securities may decline in value if interest rates change. In general, the prices of debt securities rise when interest rates fall, and fall when interest rates rise. Longer term bonds are usually more dependent on interest rate changes. The Sub-Funds investing in bonds and other fixed income securities are subject to the risk that some issuers may not make payments on such securities. Furthermore, an issuer may suffer adverse changes in its financial condition that could lower the credit quality or a security, leading to greater volatility in the price of the security and in the value of a Sub-Fund. A change in the quality rating of a bond or other security can also affect the security s liquidity and make it more difficult to sell. The Sub-Funds investing in lower quality debt securities are more susceptible to these problems and their value may be more volatile. Counterparty Risk The Sub-Funds' use of OTC derivatives (where applicable) may result in a decline of the Net Asset Value of a Sub-Fund in case of a counterparty credit event. Currency Exchange Risk Each Sub-Fund may be invested, according to variable proportions and limits, in values and instruments expressed in other currencies than the Sub-Fund Currency or Share Currency and, consequently, may lead to be exposed to a variation of the currency exchange rates. For Sub-Funds or Classes of Shares implementing a systematic hedging, a residual currency risk may exist due to the imperfection of the hedging. MANAGEMENT AND INVESTMENT STRATEGY RISK Sub-Funds may seek to generate performance by making forecasts on the evolution of certain markets compared to others through the arbitrage strategies. These anticipations can be erroneous and cause a performance lower than the objective of management. Past results are not indicative of future performance The Fund is a newly formed entity and has no prior operating or performance history upon which the investor may predict future success or failure. Past performance is not a guarantee of future performance The historical performance of the Sub-Fund (if any) or the AIFM is not a guarantee of its future performance, which can vary considerably. Page 27

28 Supplementary Information (unaudited) SPECIFIC RISKS ASSOCIATED WITH INVESTING IN UNDERLYING FUNDS Shareholders indirectly bear the cost of all fees and expenses of the underlying funds In addition to Fees and Costs charged to the Fund, the Fund will incur the investment management fees and expenses in the underlying funds. This will result in a higher expense and/or lower level of investment for Shareholders than if Shareholders had invested directly in the underlying investment funds. Funds may retain and reinvest proceeds of investments and recall distributions The timing and amount of distributions is generally at the sole discretion of the underlying funds. The underlying funds may also direct that the distributions received from its investments or the proceeds from the disposal of interests in its investments be used to meet current or anticipated obligations. If the underlying funds retain and reinvest these distributions or proceeds, the amount reinvested will be deemed distributed and re-contributed to the fund. RISKS ASSOCIATED WITH THE TERMS AND CONDITIONS OF THE FUND Illiquidity of the fund s investments The investments of the Fund generally will be long-term and some of them may be illiquid. As a result, the Fund may not have control over when it will have assets to distribute. Dilution from subsequent subscriptions Shareholders subscribing for Shares in the Fund will participate in existing investments of the Fund, diluting the interest of existing Shareholders. Shareholders bear all fees and costs of the fund Shareholders will also pay all Fees and Costs of the Fund, including a portion of the Establishment Costs. This may result in a higher expense for Shareholders than if Shareholders had invested directly in the underlying assets of the Fund. OTHER RISKS Hedging instruments may adversely affect overall performance The Fund and its investments may choose to engage in transactions designed to reduce the risk or to protect the value of their assets, including securities and currency hedging transactions. These hedging strategies could involve a variety of derivative transactions, including transactions in forward, swap or option contracts or other financial instruments with similar characteristics, including forward foreign currency exchange contracts, currency and interest rate swaps, options and short sales (collectively "Hedging Instruments" to ease the reading of this paragraph). Hedging against a decline in the value of a portfolio position does not eliminate fluctuations in the values of portfolio positions or prevent losses if the value of those positions decline, but establishes other positions designed to gain from those same developments, thereby offsetting the decline in the portfolio positions' value. While these transactions may reduce the risks associated with an investment, the transactions themselves entail risks that are different to those of the investment. The risks posed by these transactions include interest rate risk, market risk, risk that these complex instruments and techniques will not be successfully evaluated, monitored and/or priced, counterparty risk, liquidity risk and leverage risk. Changes in liquidity may result in significant, rapid and unpredictable changes in the prices for derivatives. Thus, while the Fund and its investments may benefit from the use of Hedging Instruments, unanticipated changes in interest rates, securities prices or currency exchange rates may result in poorer overall performance for the Fund and its investments than if they had not used those Hedging Instruments. Moreover, it may not be possible to hedge against a currency exchange rate, interest rate or public security price fluctuation that is so widely anticipated that the Fund and its investments are not able to enter into a hedging transaction at a price sufficient to protect them from the decline in the value of the portfolio position anticipated as a result of the fluctuation. The success of hedging transactions will be subject to the ability to correctly predict movements in and the direction of currency exchange rates, interest rates and public Page 28

29 Supplementary Information (unaudited) security prices. In addition, the degree of correlation between price movements of the instruments used in a hedging strategy and price movements in the portfolio positions being hedged may vary. Moreover, for a variety of reasons, the Fund and its investments may not seek to establish a perfect correlation between Hedging Instruments and the portfolio positions being hedged. This imperfect correlation may prevent the Fund and its investments from achieving the intended hedge or exposure to risk of loss. The making of short sales exposes the Fund and its investments to the risk of liability for the market value of the security that is sold, which is an unlimited risk due to the lack of upper limit on the price to which a security may rise. In addition, because the Fund may hold securities indirectly through underlying investment fund, there can be no assurance that securities necessary to cover a short position will be available for purchase. In addition, it is not possible to hedge fully or perfectly against currency fluctuations affecting the value of securities denominated in currencies that are different from the Sub-Funds Currency because the value of those securities is likely to fluctuate as a result of independent factors not related to currency fluctuations. Currency hedging instruments may not be available in certain currencies or may not have a duration that matches the long term nature of the underlying principal investment. The ability to trade in or exercise options may be restricted in the event that trading in the underlying securities becomes restricted. In addition, these types of hedge transactions also limit the opportunity for gain if the value of the portfolio position should increase. The successful use of these hedging strategies depends upon the availability of a liquid market and appropriate Hedging Instruments and there can be no assurance that the Fund and its investments will be able to close out a position when deemed advisable by the AIFM. No assurance can be given that a liquid market will exist for any particular futures contract at any particular time. Hedging transactions also involve additional costs and expenses, which may adversely affect the overall performance of the Fund and its investments. There can be no assurance that the Fund and its investments will engage in hedging transactions at any given time or from time to time, or that these transactions, if available, will be effective. Derivates instruments as part of the investment policy of the sub-funds The Sub-Funds use of derivatives such as futures, options, warrants, forwards and swaps involves increased risks. The Sub-Funds ability to use such instruments successfully depends on the AIFM s ability to accurately anticipate movements in stock prices, interest rates, currency exchange rates or other economic factors and the availability of liquid markets. If the AIFM s anticipations are wrong, or if the derivatives do not work as anticipated, the Sub-Funds could suffer greater losses than if the Sub-Funds had not used the derivatives. In some instances, the use of the above mentioned instruments may have the effect of leveraging the Sub-Funds. Leveraging adds increased risks because losses may be out of proportion to the amount invested on the instrument. These instruments are highly volatile instruments and their market values may be subject to wide fluctuations. Volatility Risk The Sub-Funds may be exposed to the risk of volatility of the financial markets and could thus be subject to strong movements. A strong movement of the volatility of the financial markets could negatively impact the pricing and/or the liquidity of the assets of a Sub-Fund as well as its performance according to its investment objective. Tax Risks Investments in the Fund may involve tax risk. Prospective investors are strongly advised to consult with their tax advisers to determine the nature of these tax risks, if any. Dependence on the AIFM relationship All decisions relating to the general management of the Fund will be made by the Board of Directors or, to the extent delegated by the Board of Directors, then by the AIFM of each Sub-Fund or its agents. All investment decisions with respect to the assets of the Sub-Funds will be taken by the AIFM. The investment performance of the Sub-Funds depends largely on the ability of the AIFM. The investments of the Sub-Funds may go up and down due to changing economic, political or market conditions, or due to an issuer s individual situation. Page 29

30 Supplementary Information (unaudited) Operational Risks Investments in the Fund may be adversely affected due to operational process. The Fund may be subject to losses arising from inadequate or failed internal controls, processes and systems, or from human or external events. REMUNERATION POLICY This section relates to the remuneration paid by Seven Capital Management (the AIFM ) either to its staff, its senior management and its Board of Directors. Total staff is 6 people, out of which 2 are senior managers (Conducting Officers). As of December 31, 2016, the AIFM managed 7 sub-funds, 5 UCITS sub-funds and 2 AIF sub-funds for a total of EUR 115 million. The total amount of fixed remuneration for the year ended December 31, 2016 is EUR 195, The total amount of variable remuneration for the year ended December 31, 2016 is EUR 10, According to the remuneration policy, the global remuneration includes fixed and variable remuneration. For senior management and other staff, the variable remuneration cannot be greater than 100 % of the fixed remuneration. The variable part, in the form of a non-contractual and purely discretionary payment, is fixed considering the individual performance of the employee on the one hand and the economic situation of Seven Capital Management on the other hand. The employee s individual performance is assessed based on quantitative and qualitative criteria. The remuneration policy also encourages the performance sustainability and long term stability and aims to avoid inconsiderate risk-taking. The variable remuneration is never linked to the AIF s and UCITS s performance nor their risk profiles and take into account the potential conflicts of interest. More information related to the remuneration, including split between senior management and other staff, are available to the Fund shareholders at the registered office of the AIFM, Seven Capital Management, 39 rue Marbeuf Paris (France). There has been no material change during the year ended 31 December 2016 in the information to be provided to investors prior to investing as detailed under article 21 of the Luxembourg law dated 10 July Page 30