Eurizon Strategia Flessibile

Transcription

1 EurizonCapital s.a. Eurizon Strategia Flessibile A Mutual Fund ( Fonds Commun de Placement ) governed by the Law of Luxembourg Subscriptions cannot be accepted on the basis of this financial report. Subscriptions are only valid if made on the basis of the current Prospectus, the Key Investor Information Document, accompanied by a copy of the latest annual report or a copy of the subsequent semi-annual report if it has been published. Annual report as at 31 March 2014

2 Eurizon Strategia Flessibile Table of contents Organisation of the Fund 3 Board of Directors of the Management Company's report on the management of the Fund 7 Report of the Réviseur d Entreprises Agréé 9 Comparative Net Asset Values over the last three years 11 Combined Statement of Net Assets 12 Combined Statement of Changes in Net Assets 13 Eurizon Strategia Flessibile - Obbligazioni Statement of Net Assets 14 Statement of Changes in Net Assets 15 Portfolio 16 Commitments on future contracts 17 Forward foreign exchange contracts 18 Swap contracts 19 Eurizon Strategia Flessibile - Obbligazioni Statement of Net Assets 20 Statement of Changes in Net Assets 21 Portfolio 22 Commitments on future contracts 23 Forward foreign exchange contracts 24 Swap contracts 25 Eurizon Strategia Flessibile - Obbligazioni Statement of Net Assets 26 Statement of Changes in Net Assets 27 Portfolio 28 Commitments on future contracts 29 Forward foreign exchange contracts 30 Swap contracts 31 Notes to the financial statements 32 2

3 ORGANISATION OF THE FUND Eurizon Strategia Flessibile MANAGEMENT COMPANY AND PROMOTER Eurizon Capital S.A. 8, avenue de la Liberté L-1930 Luxembourg (Grand Duchy of Luxembourg) R.C.S. Luxembourg B BOARD OF DIRECTORS OF THE MANAGEMENT COMPANY Chairman of the Board of Directors Mr. Mauro MICILLO Managing Director of Eurizon Capital SGR S.p.A., Milan Resident of Milan (Italy) (until 31 December 2013) Chairman of the Board of Directors Mr. Tommaso CORCOS Managing Director of Eurizon Capital SGR S.p.A., Milan Resident of Milan (Italy) (since 10 February 2014) Vice-Chairman of the Board of Directors Mr. Daniel GROS Independent Director Resident of Brussels (Belgium) Managing Director Mr. Massimo MAZZINI General Manager of Eurizon Capital S.A., Luxembourg Resident of Luxembourg (Grand Duchy of Luxembourg) Director Mr. Massimo TORCHIANA Co-General Manager of Eurizon Capital S.A., Luxembourg Resident of Luxembourg (Grand Duchy of Luxembourg) Director Mr. Alex SCHMITT Independent Director, Lawyer, Luxembourg Resident of Luxembourg (Grand Duchy of Luxembourg) Director Mr. Carlo NICOLETTI Independent Director Resident of Rüschlikon (Switzerland) 3

4 ORGANISATION OF THE FUND Eurizon Strategia Flessibile DEPOSITARY BANK AND PAYING AGENT State Street Bank Luxembourg S.A. 49, avenue J.F. Kennedy L-1855 Luxembourg (Grand Duchy of Luxembourg) ADMINISTRATIVE AGENT, REGISTRAR AND TRANSFER AGENT INVESTMENT MANAGER State Street Bank Luxembourg S.A. 49, avenue J.F. Kennedy L-1855 Luxembourg (Grand Duchy of Luxembourg) (these functions have been delegated by Eurizon Capital S.A.) Eurizon Capital SGR S.p.A. 3, Piazzetta Giordano dell Amore l Milan (Italy) (this function has been delegated by Eurizon Capital S.A.) INDEPENDENT AUDITOR OF THE INVESTMENT FUND AND OF THE MANAGEMENT COMPANY KPMG Luxembourg S.à r.l. 9, Allée Scheffer L Luxembourg (Grand Duchy of Luxembourg) 4

5 ORGANISATION OF THE FUND Eurizon Strategia Flessibile CONSTITUTION Eurizon Strategia Flessibile (the Fund ) was created under the name of Eurizon Focus Strategia Flessibile in the Grand Duchy of Luxembourg on 17 August 2010 in the form of a mutual investment fund in transferable securities governed by the Law of Luxembourg, and is subject to Part I of the Law of 17 December 2010 on Undertakings for Collective Investment ( UCI ). The Management Company has decided to modify the Fund s name from Eurizon Focus Strategia Flessibile to Eurizon Strategia Flessibile with effective date 28 February The management regulations (the Management Regulations ), after having been approved by the Board of Directors of the management company Eurizon Capital S.A. (the Management Company ), have been signed by State Street Bank Luxembourg S.A., the Depositary Bank, on 17 August 2010 and the notification of the filing with the Registre de Commerce et des Sociétés in the Grand Duchy of Luxembourg has been published in the Mémorial, Recueil Spécial des Sociétés et Associations on 10 September Amendments were made to the Management Regulations and the mention of the filing with the Registre de Commerce et des Sociétés in Luxembourg was published in the Mémorial, Recueil Spécial des Sociétés et Associations on 10 December 2010, on 28 February 2011, on 2 April 2012, on 26 October 2012 and on 3 March The Management Regulations in force have been filed with the Registre de Commerce et des Sociétés in Luxembourg, where they may be consulted, and where copies can be obtained. The Fund has been established for an indefinite period. The Fund is an umbrella fund. The Sub-Funds which are active as of 31 March 2014 are listed below: Eurizon Strategia Flessibile - Obbligazioni launched on 1 October 2010, Eurizon Strategia Flessibile - Obbligazioni launched on 17 December 2010, Eurizon Strategia Flessibile - Obbligazioni launched on 5 April The different Units which are available to investors are detailed in note 10 Units of the Fund of the notes to the financial statements. GENERAL MEETING The Annual General Meeting of the Shareholders of the Management Company is held in Luxembourg, at its registered office, on the last Tuesday of March at 3 p.m. and if such day is not a business day in the Grand Duchy of Luxembourg, the next business day. INFORMATION FOR UNITHOLDERS Copies of audited annual reports as at 31 March and copies of unaudited semi-annual reports as at 30 September are available free of charge to Unitholders at the Depositary Bank, other establishments specified by the latter, and at the registered office of the Management Company. The periodic reports contain all information relative to the Fund, the composition and development of its assets. The financial year begins on 1 April and ends on 31 March. The Net Asset Value as well as the subscription and redemption prices of the Fund Units can also be obtained from the Depositary Bank. Other information intended for participants is published in the Mémorial, Recueil Spécial des Sociétés et Associations and in the Registre de Commerce et des Sociétés in Luxembourg, if this publication is specified by the Management Regulations or by law. 5

6 ORGANISATION OF THE FUND Eurizon Strategia Flessibile GLOBAL EXPOSURE The method used to calculate the global exposure is the commitment approach. 6

7 BOARD OF DIRECTORS OF THE MANAGEMENT COMPANY'S REPORT ON THE MANAGEMENT OF THE FUND Dear Unitholders, Market Performance The reference period (1 April despite some periods of volatility. 31 March 2014) was generally positive for riskier financial assets, From a macroeconomic point of view, there was an upturn in global activity led by the United States, although US figures were below expectations in the first quarter of 2014 as a result of the prolonged period of bad weather. There were also signs of gradual cyclical improvement in the Eurozone which, for example, ended the period with corporate confidence indices firmly on the upturn. However, the indicators from emerging economies were uncertain overall, with weak growth and inflation generally higher than the target levels set by central banks. There was a moment of uncertainty for the markets in May and June 2013 when the US Federal Reserve announced it intended to gradually reduce quantitative easing (tapering). This prospect caused a rapid rise in bond yields in the US and Germany, sparked a general fall in risky assets and, above all, produced strong outflows of assets {shares and bonds) from emerging economies. The Federal Reserve (Fed) then decided to postpone its tapering announcement until its December meeting, after having received further reassuring indicators of economic recovery, and after the 2014 budget had been agreed. The markets reacted favourably to this decision and took it as a sign of the Fed's confidence in the US economy. Moreover, at the meeting of 19 March 2014, the US central bank started to turn attention to the timing of initial interest rate rises (mid-2015), a further sign of the Fed's confidence in the stability of the economic recovery. With regard to the Eurozone, the German elections of September 2013 that produced a broad coalition government with Angela Merkel still at the helm, the decision of the European Central Bank (ECB) to cut interest rates to 0.25% at the start of November (motivated by the desire to slow the fall in inflation, which dropped to 0. 7% in October) and the agreement reached in December on the mechanism for resolving bank failures, an important step on the road to banking union, were all notable. As were the tensions between Ukraine and Russia over the Crimea, which created a temporary return to volatility in the markets at the end of the period in question (particularly in the first half of March 2014). Looking at the performance of the global bond market, the year in question ended with a slightly positive performance expressed in local currency (1% according to the JP Morgan Global Index). With regard to geographical areas, the Eurozone performed well, gaining 6.1 %, while the US market contracted by 1.6% and emerging economies recorded a loss of 1.9%. Despite some volatile periods, the overall balance for the year was favourable for global stock markets (MSCI World Index in local currency) which recorded a gain of 18.6%. Looking at the main geographical areas, the Eurozone recorded a significant rise (24%), followed by the United States (21.3 %) and the Pacific exchanges (10.6%). The gains for emerging economies were very modest, however (3.4%). They were affected by a combination of unfavourable inflation and economic growth. On the foreign exchange markets, the period closed with a general strengthening of the euro against the main currencies, particularly against the US dollar (7.3%) and the yen (17.6%). The currency dynamic also influenced performance expressed in euro on markets outside the Eurozone. The global stock market, for example, saw the gain in euros fall to 10.9% (compared to 18.6% in local currency). It should be noted that performance converted into euros for stock markets in emerging countries actually slid into negative territory (-8.2%). The global bond market recorded a loss of 6% in euros (compared with a gain of 1 % in local currency).

8 Activity of the Fund At the end of March 2014, Eurizon Strategia Flessibile was composed of 3 Sub-Funds for an overall net asset value of EUR ,59. The annual in - and outflows as well as the net assets as of 31 March 2014 of each Sub-Fund are shown in the following table (in EUR), which encompasses each Class of Units: DENOMINATION OF THE SUB-FUNDS SUBSCRIPTIONS REDEMPTIONS NET ASSETS Eurizon Strategia Flessibile - Obbligazioni ( , ,95 Eurizon Strategia Flessibile - Obbligazioni ( , ,61 Eurizon Strategia Flessibile - Obbligazioni ( , ,03 Eurizon Strategia Flessibile - ( ,27) ,59 In the course of the financial year, the Sub-Funds of Eurizon Strategla Flessibile reported the following performances (gross performance excluding dividends): Eurizon Strategia Flessibile - Obbligazioni (RD Units): +5,02% Eurizon Strategia Flessibile - Obbligazioni (RD Units): +5,68% Eurizon Strategia Flessibile - Obbligazioni (RD Units): +5,99%. ' Luxembourg, 25 June C~e_ Massimo TORCHIANA Director Co-General Manager Massimo MAZZINI Managing Director General Manager

9 ABCD To the Unitholders of Eurizon Strategia Flessibile 8, Avenue de la Liberté L-1930 Luxembourg REPORT OF THE REVISEUR D ENTREPRISES AGREE We have audited the accompanying financial statements of Eurizon Strategia Flessibile and each of its sub-funds, which comprise the statement of net assets, the portfolio, the commitments on future contracts, the forward foreign exchange contracts and the swap contracts as at 31 March 2014 and the statement of changes in net assets for the year then ended, and a summary of significant accounting policies and other explanatory information. Board of Directors of the Management Company responsibility for the financial statements The Board of Directors of the Management 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 Management 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 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 judgement 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 Management 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 Eurizon Strategia Flessibile and each of its sub-funds as of 31 March 2014 and of the results of their operations and changes in their net assets for the year then ended in accordance with 9

10 REPORT OF THE REVISEUR D'ENTREPRISES AGREE (CONTINUED) Luxembourg legal and regulatory requirements relating to the preparation of the financial statements. Other matter Supplementary infonnation 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 infonnation. However, we have no observation to make concerning such infonnation in the context of the financial statements taken as a whole. Luxembourg, 15 July 2014 KPMG Luxembourg S.a r.1. Cabinet d 'vision agree 10

11 Eurizon Strategia Flessibile COMPARATIVE NET ASSET VALUES OVER THE LAST THREE YEARS 31 March March March 2012 Currency Total NAV per Unit Total NAV per Unit Total NAV per Unit Eurizon Strategia Flessibile - Obbligazioni Class RD Units EUR ,95 110, ,91 108, ,43 102,35 Total net assets EUR , , ,43 Eurizon Strategia Flessibile - Obbligazioni Class RD Units EUR ,61 113, ,49 110, ,50 103,96 Total net assets EUR , , ,51 Eurizon Strategia Flessibile - Obbligazioni Class RD Units EUR ,03 112, ,58 108, ,34 102,81 Total net assets EUR , , ,34 11

12 Eurizon Strategia Flessibile COMBINED STATEMENT OF NET ASSETS AS AT 31 MARCH 2014 IN EUR Assets Notes Investments in securities (Note 2) ,48 Banks ,83 Amounts due from brokers ,88 Swap premium paid (Note 13) 3 497,29 Unrealised profit on forward foreign exchange contracts (Note 13) ,00 Unrealised profit on swap contracts (Note 13) ,62 Interest receivable on swap contracts (Note 13) ,08 Other interest receivable ,93 Receivable on investments sold ,17 Total assets ,28 Liabilities Swap premium received (Note 13) ( ,92) Unrealised loss on forward foreign exchange contracts (Note 13) ( ,71) Unrealised loss on future contracts (Note 13) (92 030,88) Payable on redemptions ( ,40) Other liabilities (Note 8) ( ,78) Total liabilities ( ,69) Total net assets ,59 12

13 Eurizon Strategia Flessibile COMBINED STATEMENT OF CHANGES IN NET ASSETS FOR THE YEAR ENDED 31 MARCH 2014 IN EUR Net assets at the beginning of the year Notes ,98 Net income from investments (Note 2) ,65 Interest on bank accounts ,62 Interest received on swap contracts (Note 13) ,99 Other income (Note 10) ,54 Total income ,80 Management fee (Note 5) ( ,33) Performance fee (Note 6) ( ,72) Depositary fee (Note 7) ( ,19) Subscription tax (Note 3) ( ,75) Interest on bank accounts (45,34) Other charges and taxes (Notes 4, 7) ( ,08) Total expenses ( ,41) Net investment income / (loss) ,39 Net realised profit / (loss) on sales of investments, currencies and other financial instruments ,70 Change in unrealised appreciation / (depreciation) on - investments (Note 2) ,30 - forward foreign exchange contracts (Note 13) ( ,71) - foreign currencies (3 153,80) - future contracts (Note 13) (92 030,88) - swap contracts (Note 13) ,33 Net result of operations for the year ,33 Redemptions for the year ( ,27) Dividend distributions (Note 11) ( ,45) Net assets at the end of the year ,59 13

14 Eurizon Strategia Flessibile - Obbligazioni STATEMENT OF NET ASSETS AS AT 31 MARCH 2014 IN EUR Assets Notes Investments in securities (Note 2) ,06 Banks ,68 Amounts due from brokers ,48 Unrealised profit on forward foreign exchange contracts (Note 13) ,67 Unrealised profit on swap contracts (Note 13) ,34 Interest receivable on swap contracts (Note 13) ,36 Other interest receivable ,10 Total assets ,69 Liabilities Swap premium received (Note 13) ( ,84) Unrealised loss on forward foreign exchange contracts (Note 13) (93 021,75) Unrealised loss on future contracts (Note 13) (17 097,48) Payable on redemptions ( ,55) Other liabilities (Note 8) ( ,12) Total liabilities ( ,74) Total net assets ,95 Currency Net Asset Value per Unit Units outstanding Class RD Units EUR 110, ,120 14

15 Eurizon Strategia Flessibile - Obbligazioni STATEMENT OF CHANGES IN NET ASSETS FOR THE YEAR ENDED 31 MARCH 2014 IN EUR Net assets at the beginning of the year Notes ,91 Net income from investments (Note 2) ,08 Interest on bank accounts 5 243,49 Interest received on swap contracts (Note 13) ,93 Other income (Note 10) ,63 Total income ,13 Management fee (Note 5) ( ,53) Performance fee (Note 6) ( ,32) Depositary fee (Note 7) (98 206,96) Subscription tax (Note 3) (90 809,22) Interest on bank accounts (16,78) Other charges and taxes (Notes 4, 7) ( ,10) Total expenses ( ,91) Net investment income / (loss) ,22 Net realised profit / (loss) on sales of investments, currencies and other financial instruments ,96 Change in unrealised appreciation / (depreciation) on - investments (Note 2) ,62 - forward foreign exchange contracts (Note 13) ( ,98) - foreign currencies (224,41) - future contracts (Note 13) (17 097,48) - swap contracts (Note 13) ,39 Net result of operations for the year ,32 Redemptions for the year ( ,69) Dividend distributions (Note 11) ( ,59) Net assets at the end of the year ,95 15

16 Eurizon Strategia Flessibile - Obbligazioni PORTFOLIO AS AT 31 MARCH 2014 IN EUR Nominal / Quantity Description Currency Acquisition cost Carrying amount value % of Net Assets PORTFOLIO , ,06 99,38 TRANSFERABLE SECURITIES AND MONEY MARKET INSTRUMENTS ADMITTED TO OFFICIAL STOCK EXCHANGE LISTING , ,06 99,38 Ordinary Bonds , ,06 98,54 ITALY , ,56 92,01 Government , ,56 89, ,00 BTP 3.75% 15/04/2016 EUR , ,00 22, ,00 BTP 3.00% 01/11/2015 EUR , ,00 21, ,00 BTP 2.75% 01/12/2015 EUR , ,00 10, ,00 BTP 2.10% 15/09/2016 EUR , ,00 7, ,20 BTP 2.45% 26/03/2016 EUR , ,82 7, ,65 BTP 2.55% 22/10/2016 EUR , ,73 5, ,00 BTP 3.55% 11/06/2016 EUR , ,01 4, ,00 BTP 3.75% 01/08/2016 EUR , ,00 3, ,00 BTP 3.75% 01/08/2015 EUR , ,00 3, ,00 BTP 4.50% 01/03/2024 EUR , ,00 2,77 Finance , ,00 2, ,00 INTESA SANPAOLO SPA 4.125% 14/01/2016 EUR , ,00 2,42 SPAIN , ,00 3,44 Finance , ,00 2, ,00 SANTANDER INTERNATIONAL DEBT SAU 4.625% EUR , ,00 1,04 21/03/ ,00 BBVA SENIOR FINANCE SAU 3.25% 21/03/2016 EUR , ,00 0, ,00 BBVA SENIOR FINANCE SAU 3.25% 23/04/2015 EUR , ,00 0,72 Telecommunication , ,00 0, ,00 TELEFONICA EMISIONES SAU 4.375% 02/02/2016 EUR , ,00 0,74 NETHERLANDS , ,50 2,41 Multi-Utilities , ,50 2, ,00 EDP FINANCE BV 4.625% 13/06/2016 EUR , ,50 2,41 HUNGARY , ,00 0,68 Energy , ,00 0, ,00 MOL HUNGARIAN OIL AND GAS 3.875% 05/10/2015 EUR , ,00 0,68 Floating rate notes , ,00 0,84 ITALY , ,00 0,84 Finance , ,00 0, ,00 INTESA SANPAOLO SPA FRN 11/01/2016 EUR , ,00 0,49 Government , ,00 0, ,00 CCT FRN 01/09/2015 EUR , ,00 0,35 Total Portfolio , ,06 99,38 16

17 Eurizon Strategia Flessibile - Obbligazioni COMMITMENTS ON FUTURE CONTRACTS AS AT 31 MARCH 2014 Size Quantity Purchase / Sale Description Maturity Currency Unrealised profit / (loss) (EUR) Commitment (EUR) Total Unrealised profit / (loss) on future contracts and commitment (17 097,48) ,00 Unrealised loss on future contracts and commitment (17 097,48) , (81) Sale EURO BUND 06/06/2014 EUR (17 097,48) ,00 17

18 Eurizon Strategia Flessibile - Obbligazioni FORWARD FOREIGN EXCHANGE CONTRACTS AS AT 31 MARCH 2014 Maturity Purchase commitment in currency Sale commitment in currency Unrealised profit/(loss) (EUR) Total Unrealised profit / (loss) on forward foreign exchange contracts (55 715,08) Unrealised profit on forward foreign exchange contracts ,67 07/05/ ,74 EUR ,00 USD ,67 Unrealised loss on forward foreign exchange contracts (93 021,75) 14/04/ ,00 USD ,27 EUR (93 021,75) 18

19 Eurizon Strategia Flessibile - Obbligazioni SWAP CONTRACTS AS AT 31 MARCH 2014 Underlying name Currency Position Notional Counterparty Maturity Interest receivable/ (payable) (EUR) Unrealised profit / (loss) (EUR) CREDIT DEFAULT SWAP CONTRACTS , ,34 CREDIT AGRICOLE (LONDON) EUR S ,00 BNP PARIBAS, LONDON 20/12/ , ,14 (1) TELECOM ITALIA SPA EUR S ,00 BANCA IMI SPA 20/12/ , ,21 (2) ANGLO AMERICAN PLC EUR S ,00 BNP PARIBAS, LONDON 20/12/ , ,47 (3) UNICREDIT SPA EUR S ,00 BNP PARIBAS, LONDON 20/12/ , ,17 (4) SOCIETE GENERALE EUR S ,00 BANCA IMI SPA 20/12/ , ,32 (5) ING BANK NV EUR S ,00 BNP PARIBAS, LONDON 20/12/ , ,43 (6) ENEL SOCIETA PER AZIONI EUR S ,00 DEUTSCHE BANK AG, 20/12/ , ,90 (7) LONDON AXA SA EUR S ,00 DEUTSCHE BANK AG, LONDON 20/12/ , ,70 (8) The underlying exposures are as follows (EUR): (1) ,50 (2) ,29 (3) ,15 (4) ,16 (5) ,64 (6) ,42 (7) ,11 (8) ,69 19

20 Eurizon Strategia Flessibile - Obbligazioni STATEMENT OF NET ASSETS AS AT 31 MARCH 2014 IN EUR Assets Notes Investments in securities (Note 2) ,73 Banks ,69 Amounts due from brokers ,24 Swap premium paid (Note 13) 3 497,29 Unrealised profit on forward foreign exchange contracts (Note 13) ,00 Unrealised profit on swap contracts (Note 13) ,03 Interest receivable on swap contracts (Note 13) ,72 Other interest receivable ,09 Total assets ,79 Liabilities Swap premium received (Note 13) ( ,02) Unrealised loss on forward foreign exchange contracts (Note 13) ( ,32) Unrealised loss on future contracts (Note 13) (32 295,24) Payable on redemptions ( ,46) Other liabilities (Note 8) ( ,14) Total liabilities ( ,18) Total net assets ,61 Currency Net Asset Value per Unit Units outstanding Class RD Units EUR 113, ,059 20

21 Eurizon Strategia Flessibile - Obbligazioni STATEMENT OF CHANGES IN NET ASSETS FOR THE YEAR ENDED 31 MARCH 2014 IN EUR Net assets at the beginning of the year Notes ,49 Net income from investments (Note 2) ,21 Interest on bank accounts 9 415,68 Interest received on swap contracts (Note 13) ,11 Other income (Note 10) ,55 Total income ,55 Management fee (Note 5) ( ,48) Performance fee (Note 6) ( ,43) Depositary fee (Note 7) ( ,05) Subscription tax (Note 3) ( ,02) Interest on bank accounts (17,61) Other charges and taxes (Notes 4, 7) ( ,33) Total expenses ( ,92) Net investment income / (loss) ,63 Net realised profit / (loss) on sales of investments, currencies and other financial instruments ,50 Change in unrealised appreciation / (depreciation) on - investments (Note 2) ( ,97) - forward foreign exchange contracts (Note 13) ( ,79) - foreign currencies (2 318,49) - future contracts (Note 13) (32 295,24) - swap contracts (Note 13) ,54 Net result of operations for the year ,18 Redemptions for the year ( ,77) Dividend distributions (Note 11) ( ,29) Net assets at the end of the year ,61 21

22 Eurizon Strategia Flessibile - Obbligazioni PORTFOLIO AS AT 31 MARCH 2014 IN EUR Nominal / Quantity Description Currency Acquisition cost Carrying amount value % of Net Assets PORTFOLIO , ,73 99,02 TRANSFERABLE SECURITIES AND MONEY MARKET INSTRUMENTS ADMITTED TO OFFICIAL STOCK EXCHANGE LISTING , ,73 99,02 Ordinary Bonds , ,73 98,36 ITALY , ,73 91,66 Government , ,73 83, ,00 BTP 3.75% 15/04/2016 EUR , ,00 22, ,65 BTP 2.55% 22/10/2016 EUR , ,80 17, ,00 BTP 2.25% 15/05/2016 EUR , ,00 16, ,00 BTP 3.75% 01/08/2016 EUR , ,00 12, ,20 BTP 2.45% 26/03/2016 EUR , ,41 4, ,89 BTP 3.55% 11/06/2016 EUR , ,52 3, ,00 BTP 2.10% 15/09/2016 EUR , ,00 3, ,00 BTP 4.50% 01/03/2024 EUR , ,00 2, ,00 BTP 4.00% 01/02/2017 EUR , ,00 0, ,00 BTP 3.00% 01/11/2015 EUR , ,00 0,19 Finance , ,00 4, ,00 INTESA SANPAOLO SPA 4.125% 14/01/2016 EUR , ,00 2, ,00 UNIONE DI BANCHE ITALIANE SCPA 4.50% EUR , ,00 0,97 22/02/ ,00 BANCO POPOLARE SC 3.75% 28/01/2016 EUR , ,00 0, ,00 BANCA POPOLARE DI MILANO SCARL 3.25% 16/11/2015 EUR , ,00 0,56 Telecommunication , ,00 2, ,00 TELECOM ITALIA SPA 8.25% 21/03/2016 EUR , ,00 2,86 SPAIN , ,00 2,39 Telecommunication , ,00 1, ,00 TELEFONICA EMISIONES SAU 5.496% 01/04/2016 EUR , ,00 1,38 Finance , ,00 1, ,00 SANTANDER INTERNATIONAL DEBT SAU 4.625% EUR , ,00 1,01 21/03/2016 FRANCE , ,00 2,21 Finance , ,00 2, ,00 BANQUE PSA FINANCE SA 4.25% 25/02/2016 EUR , ,00 2,21 NETHERLANDS , ,00 1,45 Multi-Utilities , ,00 1, ,00 EDP FINANCE BV 5.875% 01/02/2016 EUR , ,00 1,45 HUNGARY , ,00 0,65 Energy , ,00 0, ,00 MOL HUNGARIAN OIL AND GAS 3.875% 05/10/2015 EUR , ,00 0,65 Floating rate notes , ,00 0,66 ITALY , ,00 0,66 Finance , ,00 0, ,00 INTESA SANPAOLO SPA FRN 11/01/2016 EUR , ,00 0,48 Government , ,00 0, ,00 CCT FRN 01/09/2015 EUR , ,00 0,18 Total Portfolio , ,73 99,02 22

23 Eurizon Strategia Flessibile - Obbligazioni COMMITMENTS ON FUTURE CONTRACTS AS AT 31 MARCH 2014 Size Quantity Purchase / Sale Description Maturity Currency Unrealised profit / (loss) (EUR) Commitment (EUR) Total Unrealised profit / (loss) on future contracts and commitment (32 295,24) ,00 Unrealised loss on future contracts and commitment (32 295,24) , (153) Sale EURO-BUND 06/06/2014 EUR (32 295,24) ,00 23

24 Eurizon Strategia Flessibile - Obbligazioni FORWARD FOREIGN EXCHANGE CONTRACTS AS AT 31 MARCH 2014 Maturity Purchase commitment in currency Sale commitment in currency Unrealised profit/(loss) (EUR) Total Unrealised profit / (loss) on forward foreign exchange contracts ( ,32) Unrealised profit on forward foreign exchange contracts ,00 07/05/ ,33 EUR ,00 USD ,00 Unrealised loss on forward foreign exchange contracts ( ,32) 14/04/ ,00 USD ,41 EUR ( ,32) 24

25 Eurizon Strategia Flessibile - Obbligazioni SWAP CONTRACTS AS AT 31 MARCH 2014 Underlying name Currency Position Notional Counterparty Maturity Interest receivable/ (payable) (EUR) Unrealised profit / (loss) (EUR) CREDIT DEFAULT SWAP CONTRACTS , ,03 BANCO BILBAO VIZCAYA ARGENTARI EUR S ,00 BANCA IMI SPA 20/03/ , ,41 (1) SOCIETE GENERALE EUR S ,00 BANCA IMI SPA 20/03/ , ,89 (2) ENEL SPA EUR S ,00 BNP PARIBAS, LONDON 20/03/ , ,65 (3) UNICREDIT SPA EUR S ,00 DEUTSCHE BANK SPA, 20/03/ , ,35 (4) MILANO AXA EUR S ,00 DEUTSCHE BANK SPA, 20/03/ , ,80 (5) MILANO SOCIETE GENERALE EUR S ,00 BANCA IMI SPA 20/03/ , ,34 (6) ING BANK NV EUR S ,00 BNP PARIBAS, LONDON 20/03/ , ,44 (7) ENEL SPA EUR S ,00 BANCA IMI SPA 20/03/ , ,54 (8) CREDIT AGRICOLE SA EUR S ,00 BANCA IMI SPA 20/03/ , ,09 (9) AXA EUR S ,00 DEUTSCHE BANK SPA, 20/03/ , ,69 (10) MILANO BANCO BILBAO VIZCAYA ARGENTARI EUR S ,00 BANCA IMI SPA 20/03/ , ,74 (11) ANGLO AMERICAN PLC EUR S ,00 BNP PARIBAS, LONDON 20/03/ , ,31 (12) SANTANDER INTL DEBT SA EUR S ,00 BANCA IMI SPA 20/03/ , ,78 (13) ING BANK NV EUR S ,00 BNP PARIBAS, LONDON 20/03/ , ,33 (14) UNICREDIT SPA EUR S ,00 BNP PARIBAS, LONDON 20/03/ , ,91 (15) CREDIT AGRICOLE SA EUR S ,00 BNP PARIBAS, LONDON 20/03/ , ,76 (16) The underlying exposures are as follows (EUR): (1) ,09 (2) ,64 (3) ,11 (4) ,16 (5) ,11 (6) ,64 (7) ,42 (8) ,11 (9) ,50 (10) ,11 (11) ,10 (12) ,15 (13) ,00 (14) ,42 (15) ,16 (16) ,50 25

26 Eurizon Strategia Flessibile - Obbligazioni STATEMENT OF NET ASSETS AS AT 31 MARCH 2014 IN EUR Assets Notes Investments in securities (Note 2) ,69 Banks ,46 Amounts due from brokers ,16 Unrealised profit on forward foreign exchange contracts (Note 13) ,33 Unrealised profit on swap contracts (Note 13) ,25 Interest receivable on swap contracts (Note 13) ,00 Other interest receivable ,74 Receivable on investments sold ,17 Total assets ,80 Liabilities Swap premium received (Note 13) ( ,06) Unrealised loss on forward foreign exchange contracts (Note 13) ( ,64) Unrealised loss on future contracts (Note 13) (42 638,16) Payable on redemptions ( ,39) Other liabilities (Note 8) ( ,52) Total liabilities ( ,77) Total net assets ,03 Currency Net Asset Value per Unit Units outstanding Class RD Units EUR 112, ,587 26

27 Eurizon Strategia Flessibile - Obbligazioni STATEMENT OF CHANGES IN NET ASSETS FOR THE YEAR ENDED 31 MARCH 2014 IN EUR Net assets at the beginning of the year Notes ,58 Net income from investments (Note 2) ,36 Interest on bank accounts 4 553,45 Interest received on swap contracts (Note 13) ,95 Other income (Note 10) ,36 Total income ,12 Management fee (Note 5) ( ,32) Performance fee (Note 6) ( ,97) Depositary fee (Note 7) ( ,18) Subscription tax (Note 3) ( ,51) Interest on bank accounts (10,95) Other charges and taxes (Notes 4, 7) ( ,65) Total expenses ( ,58) Net investment income / (loss) ,54 Net realised profit / (loss) on sales of investments, currencies and other financial instruments ,24 Change in unrealised appreciation / (depreciation) on - investments (Note 2) ,65 - forward foreign exchange contracts (Note 13) ( ,94) - foreign currencies (610,90) - future contracts (Note 13) (42 638,16) - swap contracts (Note 13) ,40 Net result of operations for the year ,83 Redemptions for the year ( ,81) Dividend distributions (Note 11) ( ,57) Net assets at the end of the year ,03 27

28 Eurizon Strategia Flessibile - Obbligazioni PORTFOLIO AS AT 31 MARCH 2014 IN EUR Nominal / Quantity Description Currency Acquisition cost Carrying amount value % of Net Assets PORTFOLIO , ,69 99,75 TRANSFERABLE SECURITIES AND MONEY MARKET INSTRUMENTS ADMITTED TO OFFICIAL STOCK EXCHANGE LISTING , ,69 99,75 Ordinary Bonds , ,69 99,26 ITALY , ,69 96,05 Government , ,19 88, ,00 BTP 3.75% 01/08/2016 EUR , ,00 21, ,00 BTP 4.75% 15/09/2016 EUR , ,00 21, ,00 BTP 3.75% 15/04/2016 EUR , ,00 13, ,35 BTP 2.55% 22/10/2016 EUR , ,05 13, ,27 BTP 3.55% 11/06/2016 EUR , ,32 7, ,10 BTP 2.45% 26/03/2016 EUR , ,74 3, ,00 BTP 2.10% 15/09/2016 EUR , ,00 2, ,00 BTP 4.50% 01/03/2024 EUR , ,00 2, ,00 BTP 2.25% 22/04/2017 EUR , ,08 1, ,00 BTP 4.00% 01/02/2017 EUR , ,00 0,15 Finance , ,50 5, ,00 INTESA SANPAOLO SPA 4.125% 14/01/2016 EUR , ,00 2, ,00 BANCA POPOLARE DI MILANO SCARL 3.25% EUR , ,50 1,15 16/11/ ,00 UNIONE DI BANCHE ITALIANE SCPA 4.50% EUR , ,00 1,07 22/02/ ,00 BANCO POPOLARE SC 3.75% 28/01/2016 EUR , ,00 0,94 Telecommunication , ,00 1, ,00 TELECOM ITALIA SPA 8.25% 21/03/2016 EUR , ,00 1,96 FRANCE , ,00 1,32 Finance , ,00 1, ,00 BANQUE PSA FINANCE SA 4.25% 25/02/2016 EUR , ,00 1,32 SPAIN , ,00 0,87 Telecommunication , ,00 0, ,00 TELEFONICA EMISIONES SAU 5.496% 01/04/2016 EUR , ,00 0,58 Finance , ,00 0, ,00 SANTANDER INTERNATIONAL DEBT SAU 4.625% EUR , ,00 0,29 21/03/2016 NETHERLANDS , ,00 0,66 Multi-Utilities , ,00 0, ,00 EDP FINANCE BV 5.875% 01/02/2016 EUR , ,00 0,66 HUNGARY , ,00 0,36 Energy , ,00 0, ,00 MOL HUNGARIAN OIL AND GAS 3.875% 05/10/2015 EUR , ,00 0,36 Floating rate notes , ,00 0,49 ITALY , ,00 0,49 Finance , ,00 0, ,00 INTESA SANPAOLO SPA FRN 11/01/2016 EUR , ,00 0,49 Total Portfolio , ,69 99,75 28

29 Eurizon Strategia Flessibile - Obbligazioni COMMITMENTS ON FUTURE CONTRACTS AS AT 31 MARCH 2014 Size Quantity Purchase / Sale Description Maturity Currency Unrealised profit / (loss) (EUR) Commitment (EUR) Total Unrealised profit / (loss) on future contracts and commitment (42 638,16) ,00 Unrealised loss on future contracts and commitment (42 638,16) , (202) Sale EURO BUND 06/06/2014 EUR (42 638,16) ,00 29

30 Eurizon Strategia Flessibile - Obbligazioni FORWARD FOREIGN EXCHANGE CONTRACTS AS AT 31 MARCH 2014 Maturity Purchase commitment in currency Sale commitment in currency Unrealised profit/(loss) (EUR) Total Unrealised profit / (loss) on forward foreign exchange contracts ( ,31) Unrealised profit on forward foreign exchange contracts ,33 07/05/ ,91 EUR ,00 USD ,33 Unrealised loss on forward foreign exchange contracts ( ,64) 14/04/ ,00 USD ,87 EUR ( ,64) 30

31 Eurizon Strategia Flessibile - Obbligazioni SWAP CONTRACTS AS AT 31 MARCH 2014 Underlying name Currency Position Notional Counterparty Maturity Interest receivable/ (payable) (EUR) Unrealised profit / (loss) (EUR) CREDIT DEFAULT SWAP CONTRACTS , ,25 ANGLO AMERICAN PLC EUR S ,00 BNP PARIBAS, LONDON 20/06/ , ,83 (1) ANGLO AMERICAN PLC EUR S ,00 JPMORGAN CHASE 20/06/ , ,16 (2) BANK NA AXA SA SENIOR EUR S ,00 DEUTSCHE BANK AG, 20/06/ , ,71 (3) LONDON ENEL SPA EUR S ,00 JPMORGAN CHASE 20/06/ , ,27 (4) BANK NA UNICREDIT SPA EUR S ,00 BNP PARIBAS, LONDON 20/06/ , ,37 (5) BBVA SENIOR FINANCE SA EUR S ,00 JPMORGAN CHASE 20/06/ , ,56 (6) BANK NA BANCO SANTANDER SA EUR S ,00 BANCA IMI SPA 20/06/ , ,61 (7) SOCIETE GENERALE EUR S ,00 JPMORGAN CHASE 20/06/ , ,39 (8) BANK NA CREDIT AGRICOLE SA EUR S ,00 BANCA IMI SPA 20/06/ , ,99 (9) BBVA SENIOR FINANCE SA EUR S ,00 DEUTSCHE BANK AG, LONDON 20/06/ , ,36 (10) The underlying exposures are as follows (EUR): (1) ,48 (2) ,48 (3) ,51 (4) ,04 (5) ,00 (6) ,85 (7) ,00 (8) ,11 (9) ,75 (10) ,00 31

32 NOTES TO THE FINANCIAL STATEMENTS Eurizon Strategia Flessibile 1. ACTIVITY Eurizon Strategia Flessibile (the Fund ) was established in the Grand Duchy of Luxembourg on 17 August 2010 in accordance with Part I of the Law of 20 December 2002 on Undertakings for Collective Investment in transferable securities as amended. Since 1 July 2011, the Fund is governed by the Luxembourg Law of 17 December The Fund, by virtue of being a common fund in transferable securities, does not possess legal personality. The Fund is a joint ownership of transferable securities and other financial assets as authorized by law, managed by the Management Company on the basis of the risk spreading principle, on behalf of and in the sole interest of the co-owners (the Unitholders ), who are committed only to the extent of their investment. Its assets are owned jointly and indivisibly by the Unitholders and constitute a holding separate from the Management Company s holdings. All of the jointly owned Units have equal rights. There is no maximum limit set on the amount of wealth or the number of Units of jointly owned property which comprise the net assets of the Fund. The minimum net assets of the Fund are to be at least EUR ,00. The respective rights and obligations of the Unitholders, the Management Company and the Depositary Bank are defined in the Management Regulations and laws. By agreement with the Depositary Bank and pursuant to the Laws of the Grand Duchy of Luxembourg, the Management Company may make amendments in the Management Regulations if it considers them useful for the interest of Unitholders. These amendments are published in the Mémorial, Recueil Spécial des Sociétés et Associations and, in principle, become effective as of the time of their signature. In order to offer investments with different levels of risks, Eurizon Strategia Flessibile is subdivided into a range of Sub- Funds. 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES The Fund keeps the books of each Sub-Fund in its respective currency and the financial statements were prepared in EUR in accordance with the Luxembourg regulations relating to Undertakings for Collective Investment and in particular using the following valuation rules: a) Valuation of investment securities Investment securities, including zero-coupon bonds and money market instruments, quoted on an official stock exchange or on another regulated market are valued according to the last known price and, in the event of being quoted on several markets, according to the last known price of the principal market. Valuation of investment securities, including zero-coupon bonds and money market instruments, not quoted on an official stock exchange or on another regulated market is fixed in a reasonable way on the basis of the sale prices anticipated cautiously and in good faith or, in the absence of a market value, according to the probable value in the reasonable estimation of the Board of Directors of the Management Company. The value of each investment in open-ended investment funds, either listed or not, is based on the last known Net Asset Value on the Valuation Day. b) Net realised profit / (loss) on sales of investments Realised profits or losses made on the sales of investments are calculated according to the average cost. c) Cost of purchase of securities in portfolios For securities denominated in currencies other than the base currency of the Sub-Fund, the purchase price is calculated based on the closing exchange rates prevailing at the date of the purchase. d) Forward foreign exchange contracts Forward foreign exchange contracts are valued at forward foreign exchange rates for the remaining period to run until maturity at the date of valuation. Unrealised profits and losses are recorded in the Statement of Net Assets and their variations in the Statement of Changes in Net Assets under the heading Change in unrealised appreciation / (depreciation) on forward foreign exchange contracts. 32

33 NOTES TO THE FINANCIAL STATEMENTS Eurizon Strategia Flessibile e) Future contracts Commitments related to future contracts are recorded off balance sheet and future contracts are valued according to the last available contract price. Unrealised profits and losses on future contracts are recorded in the Statement of Net Assets and their variations in the Statement of Changes in Net Assets under the heading Change in unrealised appreciation / (depreciation) on future contracts. Guarantee deposits and margin calls are recorded under the Statement of Net Assets under the headings Amounts due from brokers and Amounts due to brokers. f) Swap contracts Swaps are, in general, contracts by which two parties commit themselves during a given period to exchange two flows, one in exchange of the other, determined on the basis of a nominal value. The flows may be linked to interest rate(s), exchange rate(s), share(s), index(es) or credit event(s). Swap contracts are valued using the difference between the values of forecasted flows the counterparty is to pay to the Sub-Fund and those owed by the Sub-Fund to its counterparties. Unrealised profits and losses on swap contracts are recorded in the Statement of Net Assets and their variations in the Statement of Changes in Net Assets under the heading Change in unrealised appreciation / (depreciation) on swap contracts. The captions Swap premium received and Swap premium paid of the Statement of Net Assets correspond to the amount paid or received by the Fund when contracting a credit default swap. This amount stands for the cost of the relating swap contracts. Swap contracts are presented at clean price in the Statement of Net Assets. g) Reverse repurchase agreements Reverse repurchase agreements (reverse repos) consist of a purchase of securities with a simultaneous agreement to resell them at a specific future date and price. The sale price corresponds to the purchase price increased by an interest rate. For reverse repurchase agreements, interest returns which consist of the difference between the purchase price and the sale price of the securities are accounted for on a prorata temporis basis over the course of the operation and recorded in the Statement of Changes in Net Assets under the heading Net income from investments (in EUR). h) Combined statements of the Fund The combined statements correspond to the sum of the statements of each Sub-Fund. i) Formation expenses Formation expenses were amortized from the end of the initial subscription period over the Sub-Fund s first investment year. j) Income Dividends are recognised on the date on which the Shares/Units concerned are quoted ex-dividend, net of withholding tax. Interest is calculated on a prorata temporis basis. k) Translation of items expressed in foreign currencies Assets and liabilities denominated in foreign currencies are converted into the base currency of the Sub-Fund at the closing exchange rates of the final day of the financial year. Income and expenses denominated in currencies other than the base currency of the Sub-Fund are converted into the currency of the Sub-Fund at the closing exchange rates in force on the date of the transaction. The resulting realised and unrealised profit or loss made on foreign exchange is included in the Statement of Changes in Net Assets; any unrealised profit or loss on currencies of foreign cash positions, receivables and payables denominated in currencies other than the base currency of the Sub-Fund being recorded under the heading Change in unrealised appreciation / (depreciation) on foreign currencies. The main exchange rates as at 31 March 2014 are: 1 EUR = 0,8267 GBP 1 EUR = 1,3782 USD 33

34 NOTES TO THE FINANCIAL STATEMENTS Eurizon Strategia Flessibile l) Net Asset Value per Unit The Net Asset Value of each Sub-Fund is equal to the difference between the total assets and the liabilities of the Sub- Fund. The Net Asset Value per Unit is calculated by dividing the Net Asset Value by the number of Units outstanding on the day of calculation. 3. TAXATION The Fund is governed by Luxembourg tax laws applicable to investment funds. It is up to prospective purchasers of Units of the Fund to inquire about the laws and rules applicable to the acquisition, holding and possibly sale of Units, taking into account their residence or nationality. As legislation now stands, the Fund is subject to the Luxembourg subscription tax at an annual rate of 0,05% calculated on the Net Asset Value of each Sub-Fund at the end of each quarter in question and payable quarterly. The value of the assets represented by Units/Shares held in Luxembourg UCIs shall be exempt from the subscription tax, provided such UCIs have already been subject to the subscription tax in Luxembourg. 4. OTHER CHARGES AND TAXES The caption Other charges and taxes is composed of registration fees payable to the Authority of Control and other professional fees (administrative agent, registrar and transfer agent fee, transactions fee and miscellaneous). 5. MANAGEMENT FEE The Management Company, as remuneration for its services, is entitled to receive a management fee calculated according to the Net Asset Value of each Sub-Fund of the Fund. As at 31 March 2014, the rates in force for each Sub- Fund are the following: Sub-Funds Annual management fee rate Eurizon Strategia Flessibile - Obbligazioni ,60% Eurizon Strategia Flessibile - Obbligazioni ,60% Eurizon Strategia Flessibile - Obbligazioni ,60% This fee is calculated on the basis of the monthly average Net Asset Value over the month and is payable monthly. Investments done by each Sub-Fund in Units/Shares of UCITS and/or other UCI may lead investors to support twice certain expenses such as subscriptions fees, redemptions fees, Depositary fees, administrative fees and management fees. The total amount of the management fees applied on the related UCITS or UCI in which the Sub-Fund invests as well as the total amount of any rebates of the management fees applied on UCITS or UCI managed by third companies are transferred to the Sub-Funds on a quarterly basis and registered in the Statement of Changes in Net Assets under the heading Other income. During the year from 1 April 2013 until 31 March 2014, the Sub-Funds did not receive any income on rebates. 6. PERFORMANCE FEE In addition, the Management Company is entitled to receive a performance fee, the existence and amount of which are defined according to the following conditions: Eurizon Strategia Flessibile - Obbligazioni A performance fee of 20% is levied on the Sub-Fund when the Net Asset Value per Unit outperforms the maximum value between (i) the last Net Asset Value per Unit of the Initial Subscription Period 1 increased by the return of the Barclays Euro Treasury Bond Dec 2015 index (the Index ) + 0,30% p.a. over the same period and (ii) the last Net Asset Value per Unit of the Initial Subscription Period increased by the return of the average Euro OverNight Index Average ( EONIA ) recorded in December 2010, such maximum value being defined as the Threshold Value. Such outperformance corresponds to the difference between the Net Asset Value per Unit and the Threshold Value divided by the last Net Asset Value per Unit of the Initial Subscription Period. 34