F&C Fund Société d Investissement à Capital Variable

Transcription

1 F&C Fund Société d Investissement à Capital Variable Semi-Annual Report (Unaudited) as at 31 March 2018 R.C.S. Luxembourg B 82782

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3 Contents Manager s Report 2 Board of Directors 3 Schedule of Investments 4 Distribution of Investments by Economic Sector 9 Statement of Net Assets 10 Changes in number of shares outstanding 10 Statement of Operations and Changes in Net Assets 11 Comparative key figures 12 Notes to the Financial Statements 13 Securities Financing Transactions 19 Administration of the Fund 23 Copies of the annual and interim reports may be obtained from the registered office of F&C Fund (the Fund ) at: 49, avenue J.F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg and from foreign representatives and will be posted to shareholders on request. Convening notices of all general meetings will be sent to the holders of registered shares by post at least eight days prior to the meeting. The Articles of Incorporation of the Fund have been filed with the Registre de Commerce et des Sociétés of Luxembourg where they are available for inspection and copies can be obtained upon request. The net asset value of each of the Fund s shares is quoted in or on Bloomberg, Reuters and The issue and redemption prices are also available from State Street Bank Luxembourg S.C.A., 49, avenue J.F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg. No subscription can be received on the basis of financial reports. Subscriptions are only valid if made on the basis of the current prospectus, the latest key investor information documents and by the latest annual and the most recent interim report, if published thereafter. The information contained in this report is historical and not necessarily indicative of future performance. Page 1

4 Manager s Report Dear Shareholders This report covers the 6-month period to 31 March 2018 Over the six months to 31 March 2018, the A share class produced a total return of -0.9% whilst the I share class produced a total return of -0.6%. The returns include the coupon payments made in December 2017 of for the A share class and for the I share class, and are in euro terms. While global equity markets advanced over the six-month period, returns for eurozone-based investors were dampened by the appreciation of the euro. For much of the period, the positive global economic backdrop supported risk sentiment. However, towards periodend there was a notable deterioration in global risk appetite amid worries over rising US inflation and expectations of more hawkish US monetary policy. In March, President Trump s decision to impose tariffs on US imports also raised fears over the prospect of a trade war. US interest rates rose from 1.25% to 1.75% over the period, with the Federal Reserve (Fed) hiking rates at its December and March meetings, while guiding towards two further rate increases in 2018 and one rate rise for US consumer prices rose well ahead of economists expectations in January, at 2.1%, raising expectations that the Fed could increase the magnitude of its current rate tightening cycle. The inflation reading for February also edged higher, coming in at 2.2%. Fourth-quarter US economic growth was revised up by 0.4% to 2.9%, exceeding economists forecasts. Survey data on the US manufacturing and services sectors pointed to robust expansion. US labour market data was indicative of tightening conditions amid strong jobs growth. Although most of the period was characterised by improving eurozone economic data, towards period-end there were signs that momentum could have peaked. Eurozone inflation eased to 1.3% in January versus 1.4% in the prior month. In February, eurozone inflation weakened further, falling 1.1% as the earlier appreciation in the euro continued to dampen price levels. Comments from European Central Bank (ECB) officials suggested they viewed the subdued nature of eurozone inflation as making the bank s quantitative easing policy more likely to be extended beyond September In the autumn, the ECB scaled back its quantitative easing programme, reducing monthly asset purchases from the beginning of 2018 to 30bn from 60bn, but was seen to be effectively maintaining a dovish outlook through its gradual approach to tapering. In commodity markets, Brent crude oil futures rose from $57 to $70 per barrel. There was improvement for oil on both the supply and demand side; demand from China and certain other major markets picked up, while OPEC and Russia claimed to be making good progress on cutting production and agreed to extend their pact. With the equity bull market having entered its tenth year, the generally healthy economic backdrop continues to provide support. Recent positive corporate earnings and upbeat outlooks suggest we should expect further improvements in profits for Factoring in the acceleration in mergers and acquisitions activity, it appears easy to form a bullish view on equities. However, we have some concerns on equity valuations, not least given pockets of inflationary pressures, trade wars and the risk of periods of greater volatility to navigate, having experienced such an episode at the end of January. Overall, we retain a positive overall view on equities. Although yields have recently repriced, most notably in the US, this has mainly been driven by a rise in short-term rates as the Federal Reserve has continued to hike and maintain interest rates in line with its forecasts. Financial conditions remain loose and equity markets buoyant, though we are slightly concerned about the impact of trade wars on global growth. Against this backdrop, we believe the traditional correlation between declines in equities and lower bond yields could resume. Further out on the curve, we feel that term premia are very depressed, with central bank quantitative tightening set to continue over the next few years. In the eurozone, the market now expects a brief taper of the ECB s asset purchase programme, from the current run rate of 30bn per month, to a monthly rate of around 15bn from September to December. We continue to remain cautious on government bonds. Simon Holmes Fund Manager April 2018 Note: The figures stated in this report are historical and not necessarily indicative of future performance. Page 2

5 Board of Directors Chairman Patrick Johns Non-executive adviser to F&C Norfolk United Kingdom Directors Jacques Elvinger Partner Elvinger Hoss Prussen 2, Place Winston Churchill L-1340 Luxembourg Grand Duchy of Luxembourg Bernd Kalis Head of Product Management Securities Business HypoVereinsbank Retail & Private Banking UniCredit Bank AG Arabellastrasse 12 D Munich Germany Hugh Moir Head of Operations and IT F&C Asset Management plc Exchange House Primrose Street London EC2A 2NY United Kingdom Enrico Turchi Deputy CEO - Managing Director Conducting Officer Amundi Luxembourg S.A. 5, Allée Scheffer L-2520 Luxembourg Grand Duchy of Luxembourg Ernst Hagen Executive Director F&C Netherlands BV Jachthavenweg 109E 1081 KM Amsterdam The Netherlands Page 3

6 Schedule of Investments as at 31 March 2018 Security Description Rate Maturity Date Currency Quantity/ Nominal Value Market Value % of Net Assets TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL EXCHANGE LISTING OR TRADED ON OTHER REGULATED MARKETS BONDS Germany Bundesrepublik Deutschland 3.00% EUR 5,400,000 5,838, Bundesrepublik Deutschland - Series % EUR 6,400,000 6,617, Bundesrepublik Deutschland - Series % EUR 5,400,000 5,683, Bundesschatzanweisungen 0.00% EUR 8,500,000 8,511, Bundesschatzanweisungen 0.00% EUR 9,750,000 9,779, Bundesschatzanweisungen 0.00% EUR 9,500,000 9,545, Deutsche Bundesrepublik Inflation Linked Bond 0.10% EUR 4,642,014 5,118, ,095, United States United States Treasury Inflation Indexed Bonds 0.25% USD 10,384,355 8,260, TOTAL BONDS 59,355, SHARES Guernsey Renewables Infrastructure Group 1,100,000 1,332, United Kingdom Civitas Social Housing 825, , Impact Healthcare REIT 825, , Secure Income REIT 240,000 1,015, ,877, TOTAL SHARES 4,210, FUNDS France Amundi ETF MSCI Emerging Markets UCITS ETF 'A' 1,476,314 6,124, Guernsey HICL Infrastructure 615, , NB Private Equity Partners 85, , Princess Private Equity Holding 109,694 1,138, Sequoia Economic Infrastructure Income Fund 775, , ,969, Ireland ishares J.P. Morgan USD Emerging Markets Bond UCITS ETF 23,823 2,154, ishares MSCI Europe ex-uk UCITS ETF 732,900 22,496, ishares S&P 500 Financials Sector UCITS ETF 498,609 2,894, Leadenhall UCITS ILS Fund 'B' 39,940 4,056, Traditional Funds - F&C Multi Strategy Global Equity Fund 1,052,500 14,713, ,316, Jersey 3i Infrastructure 400, , GCP Asset Backed Income Fund 716, , INVESCO Perpetual Enhanced Income 76,956 65, ,877, Luxembourg Amundi ETF Euro Stoxx 50 UCITS ETF DR 144,800 10,198, Falcon Fund SICAV - Twelve-Falcon Insurance Linked Strategy Fund 'T' 23,445 2,190, Xtrackers S&P 500 Swap UCITS ETF 245,869 9,394, ,783, United Kingdom F&C Investment Funds ICVC - Maximum Income Bond Fund 'C' 11,654,464 7,078, TOTAL FUNDS 87,149, TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL EXCHANGE LISTING OR TRADED ON OTHER REGULATED MARKETS 150,715, TOTAL INVESTMENTS 150,715, OTHER ASSETS / LIABILITIES 8,244, TOTAL NET ASSETS 158,959, The accompanying notes form an integral part of these financial statements Page 4

7 Schedule of Investments as at 31 March 2018 (continued) DERIVATIVES FORWARD FOREIGN EXCHANGE CONTRACTS Buy Nominal Sell Nominal Maturity Date Unrealised Gain/(Loss) Unrealised Gain on Forward Foreign Exchange Contracts AUD 9,987 EUR (6,172) CAD 1,923,703 EUR (1,190,000) ,890 CAD 1,320,000 NOK (7,997,748) ,829 CAD 1,320,000 NOK (7,997,267) ,878 CAD 1,346,674 USD (1,029,500) ,783 CNH 15,663,066 USD (2,468,090) ,225 CNH 4,779,098 USD (753,061) ,951 CNH 15,663,066 USD (2,463,459) ,981 EUR 336,224 AUD (530,000) ,321 EUR 900,000 AUD (1,428,012) ,676 EUR 487,000 AUD (772,713) ,318 EUR 471,584 CAD (730,000) ,860 EUR 400,149 CHF (460,000) ,446 EUR 3,264,020 GBP (2,854,278) ,404 EUR 1,144,114 GBP (1,002,838) EUR 279,531 GBP (245,111) EUR 3,485,000 GBP (3,056,694) ,266 EUR 1,949,648 HKD (18,758,810) ,103 EUR 1,540,000 JPY (201,322,660) ,201 EUR 1,480,000 SEK (14,996,189) ,055 EUR 742,000 SEK (7,614,259) ,749 EUR 1,680,000 USD (2,071,326) HKD 47,901 EUR (4,920) JPY 24,139,506 EUR (184,059) JPY 30,526,042 GBP (204,500) MXN 47,875,786 ZAR (30,125,715) ,638 MXN 245,569 ZAR (154,285) PLN 6,455,615 EUR (1,527,000) ,298 SGD 10,684 EUR (6,580) USD 2,269,963 AUD (2,900,000) ,864 USD 1,091,433 BRL (3,578,918) ,048 USD 8,331,000 CAD (10,721,156) ,658 USD 1,960,000 CAD (2,521,750) ,162 USD 1,960,000 CAD (2,522,593) ,631 USD 1,110,000 CAD (1,392,495) ,657 USD 180,917 EUR (145,630) ,203 USD 44,192 EUR (35,573) USD 1,968,759 EUR (1,584,763) ,090 USD 1,045,864 EUR (845,000) ,162 USD 2,093,967 EUR (1,680,000) ,140 USD 4,319,483 GBP (3,067,000) ,484 USD 1,522,715 GBP (1,080,000) ,343 USD 1,252,708 INR (82,112,500) USD 1,794,108 NZD (2,440,000) ,630 USD 1,792,863 NZD (2,440,000) ,621 USD 463,000 SEK (3,836,698) ,982 USD 1,773,158 TWD (51,368,400) ,877 Total Unrealised Gain on Forward Foreign Exchange Contracts 443,711 Unrealised Loss on Forward Foreign Exchange Contracts AUD 1,450,000 USD (1,150,810) (31,268) BRL 3,615,690 USD (1,095,000) (9,004) BRL 3,628,830 USD (1,095,000) (5,811) CAD 2,640,000 NOK (16,137,792) (7,057) CAD 1,399,062 USD (1,110,000) (19,524) EUR 8,237 AUD (13,248) (11) EUR 24,230 AUD (39,055) (84) EUR 487,000 AUD (784,475) (999) EUR 1,190,000 CAD (1,905,013) (9,125) EUR 5,241,341 GBP (4,610,467) (14,170) EUR 19,572 GBP (17,219) (53) EUR 3,520,207 GBP (3,096,938) (9,610) EUR 19,572 GBP (17,219) (53) EUR 3,520,247 GBP (3,096,938) (9,570) EUR 872,238 GBP (774,487) (10,453) EUR 16,483 HKD (159,356) (11) EUR 16,695 HKD (162,664) (142) EUR 5,845 JPY (767,368) (21) EUR 213,962 JPY (28,079,979) (688) EUR 1,184,625 JPY (157,926,679) (22,553) EUR 17,201 SGD (27,969) (121) EUR 11,947 SGD (19,317) (16) The accompanying notes form an integral part of these financial statements Page 5

8 Schedule of Investments as at 31 March 2018 (continued) Buy Nominal Sell Nominal Maturity Date Unrealised Gain/(Loss) EUR 43,252 USD (53,329) (30) EUR 53,310 USD (65,730) (37) EUR 734,127 USD (911,941) (6,007) EUR 1,739,107 USD (2,160,336) (14,231) EUR 5,104,332 USD (6,340,653) (41,769) EUR 4,120,186 USD (5,118,136) (33,716) EUR 940,230 USD (1,167,963) (7,694) EUR 734,245 USD (911,941) (5,890) EUR 4,120,843 USD (5,118,136) (33,059) EUR 5,105,146 USD (6,340,653) (40,955) EUR 940,380 USD (1,167,963) (7,544) EUR 1,739,384 USD (2,160,336) (13,954) EUR 13,656,570 USD (16,834,126) (4,123) EUR 1,690,000 USD (2,085,308) (1,118) EUR 288,000 USD (356,061) (754) EUR 1,240,000 USD (1,534,769) (4,648) EUR 288,000 USD (359,180) (3,283) EUR 880,272 ZAR (13,144,597) (16,380) GBP 24,195 EUR (27,600) (23) GBP 10,016 EUR (11,426) (10) GBP 1,080,000 USD (1,533,646) (13,208) INR 163,214,520 USD (2,490,000) (838) INR 148,411,887 USD (2,269,000) (4,676) INR 116,296,313 USD (1,778,000) (3,664) JPY 201,338,522 EUR (1,540,000) (1,079) JPY 30,091,300 GBP (204,500) (3,002) JPY 184,716,637 GBP (1,239,741) (663) JPY 92,330,761 GBP (620,259) (985) NOK 10,507,286 CAD (1,760,000) (21,276) NOK 10,511,332 CAD (1,760,000) (20,858) NOK 10,502,770 CAD (1,760,000) (21,743) NZD 1,626,667 USD (1,184,099) (8,711) NZD 1,626,667 USD (1,185,189) (9,595) NZD 1,626,667 USD (1,184,178) (8,774) PLN 4,206,664 EUR (1,005,000) (8,466) PLN 4,206,744 EUR (1,005,000) (8,447) PLN 4,206,767 EUR (1,005,000) (8,441) PLN 4,206,516 EUR (1,005,000) (8,501) SEK 15,049,306 EUR (1,480,000) (18,898) SEK 7,487,788 EUR (742,000) (15,028) SEK 9,415,897 NOK (8,900,000) (6,190) SEK 9,416,636 NOK (8,900,000) (6,119) SEK 7,594,810 USD (931,000) (17,648) TWD 4,358,700 USD (150,000) (45) USD 1,029,500 CAD (1,343,827) (10,991) USD 4,920,000 CNH (31,326,132) (45,572) USD 753,000 CNH (4,779,098) (5,000) USD 1,526,273 EUR (1,240,000) (2,242) USD 1,621,142 KRW (1,740,863,000) (11,844) Total Unrealised Loss on Forward Foreign Exchange Contracts (678,073) FUTURES CONTRACTS Description Currency Number of Contracts Maturity Date Commitment Unrealised Gain/(Loss) Unrealised Gain on Futures Contracts 90Day Eurodollar Future USD ,296,078 5,001 90Day Eurodollar Future USD (15) (2,964,232) 10,289 Euro BTP Futures EUR ,330,960 40,650 EURO STOXX 50 EUR (790) (25,919,900) 447,700 FTSE 100 Index GBP (42) (3,350,328) 51,493 German Federal Republic Bond 10YR EUR ,309, ,981 German Federal Republic Bond 30YR EUR ,323,040 13,440 German Federal Republic Bond 5YR EUR ,662,500 39,129 Hang Seng Index HKD (4) (622,654) 32,801 MSCI Singapore Index ETS SGD (23) (555,211) 15,759 SPI 200 Index AUD (10) (894,377) 37,266 UK Long Gilt Future GBP ,763,119 63,667 US Treasury Note 10YR USD ,047,030 96,544 US Treasury Note 5YR USD ,350,484 11,097 Yen Denominated Nikkei JPY ,619, ,717 Total Unrealised Gain on Futures Contracts 111,396,388 1,872,534 The accompanying notes form an integral part of these financial statements Page 6

9 Schedule of Investments as at 31 March 2018 (continued) Description Currency Number of Contracts Maturity Date Commitment Unrealised Gain/(Loss) Unrealised Loss on Futures Contracts 90Day Eurodollar Future USD (67) (13,248,410) (12,349) EURO STOXX 50 EUR ,181,160 (20,880) EURO-OAT Future EUR (107) (16,541,130) (341,330) German Federal Republic Bond 10YR EUR (2) (318,860) (4,260) German Federal Republic Bond 30YR EUR (149) (24,641,620) (722,541) German Federal Republic Bond 5YR EUR (83) (10,893,750) (66,740) Russell 2000 Mini Index USD ,440 (16,616) S&P500 E-mini Index USD ,356 (5,123) UK Long Gilt Future GBP (43) (6,023,945) (11,186) US Treasury Note 10YR USD (150) (14,775,043) (115,169) US Treasury Ultra 10YR USD (234) (24,707,958) (230,153) Total Unrealised Loss on Futures Contracts (109,335,760) (1,546,347) OPTION CONTRACTS Currency Quantity Description Maturity Date Market Value Unrealised Gain/(Loss) Purchased Options EUR 4,347,200 Put EUR / Call SEK, Strike price ,401 (17,202) EUR 16,623,200 Put EUR / Call SEK, Strike price ,013 (65,778) USD 1,500 S+P 500 Index, Strike Price ,111 23,126 USD 2,600 S+P 500 Index, Strike Price ,263 58,124 Total Purchased Options 431,788 (1,730) Written Options USD (2,600) S+P 500 Index, Strike Price (56,023) 850 Total Written Options (56,023) 850 SWAP CONTRACTS Currency Notional Amount Pay / Receive Maturity Date Commitment Unrealised Gain/(Loss) Credit Default Swaps EUR 16,300,000 itraxx Europe Series 28 V % 22 Dec (377,703) 73,894 USD 43,500,000 CDX North America Investment Global % 22 Dec (660,094) 136,091 Total Credit Default Swaps (1,037,797) 209,985 Inflation Swaps EUR 8,000, % / EUROSTAT EUROZONE Index ,449 4,450 EUR 3,400, % / EUROSTAT EUROZONE Index (22,114) (22,113) EUR 24,420, % / EUROSTAT EUROZONE Index ,654 25,654 EUR 15,880,000 EUROSTAT EUROZONE Index / 1.573% (62,716) (62,716) GBP 2,470, % / UKRPI Index ,658 27,658 GBP 1,440, % / UKRPI Index ,598 15,598 GBP 3,100, % / UKRPI Index ,801 75,801 GBP 579,000 UKRPI Index / 3.293% (32,320) (32,320) GBP 1,240,000 UKRPI Index / 3.327% ,436 4,436 USD 2,150, % / CPURNSA Index (32,229) (32,229) USD 4,100, % / CPURNSA Index (18,198) (18,198) USD 5,320, % / CPURNSA Index ,159 15,135 USD 5,320, % / CPURNSA Index ,159 11,159 USD 3,000,000 CPURNSA Index / 2.146% ,242 26,242 USD 5,200,000 CPURNSA Index / 2.165% ,319 62,319 USD 5,120,000 CPURNSA Index / 2.174% ,669 62,669 USD 7,940,000 CPURNSA Index / 2.175% ,970 47,970 USD 10,760,000 CPURNSA Index / 2.215% ,121 6,121 USD 4,000,000 CPURNSA Index / 2.298% (15,450) (15,450) USD 5,320,000 CPURNSA Index / 2.305% (11,159) (14,265) USD 5,320,000 CPURNSA Index / 2.305% ,684 Total Inflation Swaps 187, ,605 Interest Rate Swaps EUR 1,880,000 1% / EURIBOR 6M (175,192) (175,192) EUR 2,000, % / EURIBOR 6M (104,566) (104,566) EUR 4,050, % / EURIBOR 6M (116,509) (116,509) EUR 15,300, % / EURIBOR 6M ,355 (17,769) EUR 4,200, % / EURIBOR 6M (17,769) (21,593) EUR 5,110, % / EURIBOR 6M (21,593) 3,868 EUR 2,060, % / EURIBOR 6M ,868 (4,724) The accompanying notes form an integral part of these financial statements Page 7

10 Schedule of Investments as at 31 March 2018 (continued) Currency Notional Amount Pay / Receive Maturity Date Commitment Unrealised Gain/(Loss) EUR 1,160, % / EURIBOR 6M (4,724) 35,965 EUR 15,400, % / EURIBOR 6M , ,407 EUR 2,020, % / EURIBOR 6M ,965 97,626 EUR 3,030,000 EURIBOR 6M / 1.005% ,319 (183,743) EUR 5,830,000 EURIBOR 6M / 1.417% ,407 (12,285) EUR 3,920,000 EURIBOR 6M / 1.445% ,626 (9,662) EUR 8,100,000 EURIBOR 6M / 1.452% ,255 2,204 EUR 2,000,000 EURIBOR 6M / 1.458% (74,366) (2,310) EUR 1,700,000 EURIBOR 6M / 1.461% (55,216) (16,723) EUR 6,510,000 EURIBOR 6M / 1.47% (164,764) (24,788) EUR 13,470,000 EURIBOR 6M / 1.541% (183,743) (28,944) EUR 5,110,000 EURIBOR 6M / 1.627% (12,285) (83,912) GBP 2,060, % / ICE LIBOR 3M (9,662) 37,355 GBP 1,120, % / ICE LIBOR 3M ,204 4,863 GBP 1,920, % / ICE LIBOR 3M (2,310) 82,319 GBP 2,060, % / ICE LIBOR 6M (16,723) 11,255 GBP 2,450,000 ICE LIBOR 6M / 1.375% (24,788) (47,579) GBP 1,960,000 ICE LIBOR 6M / 1.571% (28,944) 8,635 GBP 2,020,000 ICE LIBOR 6M / 1.586% (83,912) (77,178) GBP 1,640,000 ICE LIBOR 6M / 1.598% ,487 21,230 GBP 2,540,000 WMBA SONIA Index / 1.409% ,988 (95,198) USD 820, % / ICE LIBOR 3M ,771 (74,366) USD 3,980, % / ICE LIBOR 3M ,577 (55,216) USD 820, % / ICE LIBOR 3M ,917 (164,763) USD 15,300,000 ICE LIBOR 3M / 2.475% (47,579) 82,487 USD 15,400,000 ICE LIBOR 3M / 2.591% ,635 96,988 USD 3,030,000 ICE LIBOR 3M / 2.594% (77,178) 25,771 USD 8,400,000 ICE LIBOR 3M / 2.599% , ,577 USD 4,000,000 ICE LIBOR 3M / 2.601% (95,198) 24,917 Total Interest Rate Swaps (336,951) (537,553) Currency Notional Amount Pay / Receive Maturity Date Commitment Unrealised Gain/(Loss) Total Return Swaps USD 23,352,150 F&C Gear Strategy Index (*) (**) USD 12,626,775 MLEIFCLS Index (*) (**) ,043 30,043 USD 10,300,039 SGI Merger Arbitrage Premia Index (*) (**) (76,241) (76,241) Total Return Swaps (46,198) (46,198) Unrealised Gain on Swap Contracts 1,417,391 Unrealised Loss on Swap Contracts (1,590,552) (*) The Fund is the payer of the negative performance and the receiver of the positive performance of the underlying for these Total Return Swaps positions. (**) The composition of the underlying Total Return Swap affords the fund participation in a market neutral equity strategy. The counterparties for forward foreign exchange contracts were Bank of Montreal, Barclays Bank Plc. Wholesale, BNP Paribas S.A., Canadian Imperial Bank of Commerce, HSBC Bank Plc., ING Bank NV, JP Morgan Securities Plc., Rabobank Nederland, Royal Bank of Canada (UK), Société Générale S.A. and Westpac Banking Corp. The counterparty for futures contracts was Goldman, Sachs & Co. The counterparties for option contracts were Barclays Bank Plc. (total commitment of EUR 181,394) and Goldman Sachs & Co. (total commitment of EUR 195,251). The counterparties for swap contracts were JPMorgan Chase Bank N.A., Merrill Lynch International and Société Générale S.A. The accompanying notes form an integral part of these financial statements Page 8

11 Distribution of Investments by Economic Sector as at 31 March 2018 Sector % of Net Assets Financial Services Sovereign Real Estate 1.81 Total Investments Other Assets 5.19 Total Net Assets The accompanying notes form an integral part of these financial statements Page 9

12 Statement of Net Assets as at 31 March March 30 September Notes EUR EUR ASSETS Investments at market value 2 150,715, ,560,307 Investments at cost 151,901, ,572,914 Options contracts 2 431, ,219 Unrealised gain on futures contracts 2 1,872,534 1,541,573 Unrealised gain on forward foreign exchange contracts 2 443, ,542 Unrealised gain on swap contracts 2 1,417,391 1,128,383 Investments sold 11,946 - Subscriptions receivable 8,896 - Dividends and interest receivable 326, ,552 Other assets 3,909 - Balance at bankers: Cash and deposits 2 5,896,101 1,255,396 Cash held at brokers 4,348,853 6,139,580 Total Assets 165,477, ,152,552 LIABILITIES Options contracts 2 56,023 1,385 Unrealised loss on futures contracts 2 1,546,347 2,061,536 Unrealised loss on forward foreign exchange contracts 2 678, ,828 Unrealised loss on swap contracts 2 1,590,552 2,017,222 Redemptions payable 69, ,711 Payments settled on swap contracts 1,224, ,125 Investment purchased 303,877 - Investment management and management company fees 7, 8, , ,464 Expenses and taxes 384, ,150 Bank overdraft 2 119,208 - Overdraft at brokers 375, ,668 Total Liabilities 6,517,409 6,229,089 NET ASSETS 158,959, ,923,463 Changes in number of shares outstanding from 1 October 2017 to 31 March 2018 Shares outstanding at 30 September 2017 Shares issued Shares redeemed Shares outstanding at 31 March 2018 F&C HVB-Stiftungsfonds Class A Shares Class A Acc Shares 16, ,696 Class A Shares 160,977 4,121 8, ,730 Class AN Acc Shares Class AN Shares F&C HVB-Stiftungsfonds Class I Shares Class I Shares Class IN Acc Shares Class IN Shares The accompanying notes form an integral part of these financial statements Page 10

13 Statement of Operations and Changes in Net Assets For the period ended 31 March March 31 March Notes EUR EUR INCOME Dividends (net of withholding taxes) 2 160, ,014 Interest (net of withholding taxes) 2 118, ,705 Security lending income 2, 15 20,244 2,836 Total Income 299, ,555 EXPENDITURE Investment management and management company fees 7, 8, 13 (1,032,366) (1,124,248) Administration and custodian fees 10 (106,801) (93,374) Audit, tax and legal fees (45,854) (45,604) Taxe d'abonnement 6 (39,981) (43,746) Bank interest and charges (33,237) (9,898) Directors' fees 11 (12,997) (12,926) Sundry expenses (74,388) (76,075) Total Expenditure (1,345,624) (1,405,871) Net equalisation 3 7,681 16,471 Net income from investments (1,038,803) (639,845) Net realised gain / (loss) on sales of investments 5,677,172 (999,677) Net realised gain / (loss) on foreign exchange and forward foreign exchange contracts (801,244) 2,198,603 Net realised gain / (loss) on options contracts 35,338 (188,697) Net realised gain / (loss) on futures contracts 829,197 (2,058,278) Net realised gain on swap contracts 268,993 1,751,773 Net realised gain / (loss) for the period 4,970,653 63,879 Net change in unrealised appreciation / (depreciation) on investments 2 (7,172,969) 4,090,380 Net change in unrealised appreciation / (depreciation) on forward foreign exchange contracts 2 (404,076) 104,093 Net change in unrealised appreciation / (depreciation) on options contracts 2 (13,047) 99,233 Net change in unrealised appreciation / (depreciation) on futures contracts 2 846,150 (361,149) Net change in unrealised appreciation / (depreciation) on swap contracts 2 715,677 (461,472) Net change in unrealised appreciation / (depreciation) on foreign currencies 2 (223,084) 4,052 Total net investment income / (loss) for the period (1,280,696) 2,341,823 Subscriptions of shares 4,006,655 3,938,937 Redemptions of shares (8,488,079) (11,077,248) Dividends paid 14 (2,201,410) (3,664,028) Total finance costs (6,682,834) (10,802,339) Net assets at the beginning of the period 166,923, ,917,690 Net assets at the end of the period 158,959, ,457,174 The accompanying notes form an integral part of these financial statements Page 11

14 Comparative key figures 31 March 30 September 30 September EUR EUR EUR Total Net Assets 158,959, ,923, ,917,690 F&C HVB-Stiftungsfonds Class A Shares Class A Acc Shares Number of shares 15,696 16,231 17,244 Net asset value per share 1, , , Class A Shares Number of shares 156, , ,993 Net asset value per share Class AN Acc Shares Number of shares Net asset value per share Class AN Shares Number of shares Net asset value per share F&C HVB-Stiftungsfonds Class I Shares Class I Shares Number of shares ,358 Net asset value per share , , Class IN Acc Shares Number of shares Net asset value per share Class IN Shares Number of shares Net asset value per share The accompanying notes form an integral part of these financial statements Page 12

15 Notes to the Financial Statements as at 31 March GENERAL F&C Fund (hereafter referred to as the "Fund") is a limited liability company incorporated in Luxembourg under the provisions of the Law of 10 August 1915 (as amended) relating to commercial companies, and qualifies as a Part I SICAV (Société d Investissement à Capital Variable) under the Law of 17 December 2010 relating to undertakings for collective investment (as amended). It was incorporated by notarial act on 11 July 2001 for an indefinite period. The Articles of Incorporation of the Fund authorise the Board of Directors of the Fund (the Board ) to issue shares, at any time, in different portfolios (each, a Portfolio ). As at 31 March 2018, only one Portfolio is offered for subscription: F&C HVB-Stiftungsfonds, issuing seven classes of shares: Class A and class A Acc Shares with no restriction on issue; class AN and class AN Acc Shares reserved for tax-exempt investors; class I Shares reserved for institutional investors; class IN and class IN Acc Shares reserved for institutional tax-exempt investors. The objective of F&C HVB-Stiftungsfonds is to make available to investors participation in a broadly diversified global portfolio of debt and equity securities as well as derivatives which enable a distributions to be made, whilst maintaining the long term value of the property of the Portfolio. It is expected that the majority of the Portfolio s assets will be invested in equities, debt securities and derivatives within the limits set out in the investment restrictions in the Fund s prospectus. Debt securities may include both investment grade and below investment grade debt securities. The Board has adopted the ALFI Code of Conduct, which sets out the principles of good governance, and considers that the Fund has been in compliance with it in all material respects throughout the financial period ended 31 March The Investment Manager exercises the votes attached to the Fund s equity investments based on its Corporate Governance Operational Guidelines. UCITS V came into effect in March UCITS V aims to increase the level of protection already offered to investors in UCITS and to improve investor confidence in UCITS. It aims to do so by enhancing the rules on the responsibilities of depositaries and by introducing remuneration policy requirements for UCITS fund managers. It also aims to ensure that all EU regulators responsible for the supervision of UCITS funds and their managers have a common minimum set of powers available to investigate infringements. 2. ACCOUNTING POLICIES The financial statements are prepared in accordance with Luxembourg regulations relating to undertakings for collective investment and are expressed in Euro ("EUR"). Valuation of securities The value of any transferable securities which are quoted or dealt in on any official stock exchange or regulated market, which operates regularly and is recognised and open to the public, (a regulated market ) is based on the last available price, on such stock exchange or regulated market applicable on the valuation day. If a security is not traded or admitted on any official stock exchange or any other regulated market, or in the case of a security so traded or admitted and if the last available price does not reflect the fair value of the security, it is valued on the basis of its foreseeable sales price. Investment in Funds Investments in open-ended undertakings for collective investment ( UCIs ) are valued on the basis of the last available net asset value of the units or shares of such UCIs. Foreign exchange conversion Assets and liabilities denominated in currencies other than the Fund s reporting currency have been translated at the rates of exchange ruling at 31 March 2018, the time of the determination of the Net Asset Value. Cost of investments, income and expenditure denominated in currencies other than the Fund s reporting currency have been translated at the exchange rates ruling on the day of transaction. The exchange gain or loss arising from the translation of these items is taken into account in the determination of the results of operations. As at 31 March 2018, the following exchange rates have been used: 1 EUR = GBP 1 EUR = USD. Page 13

16 Notes to the Financial Statements (continued) as at 31 March 2018 Income and expenses Dividends are credited to income, net of irrecoverable withholding tax, on the date upon which the relevant securities are declared 'ex-dividend'. Interest income, net of irrecoverable withholding tax is accrued on a daily basis and includes the amortisation of premiums and accretion of discounts. Valuation of futures contracts Initial margin deposits are made upon entering into futures contracts and can be made either in cash or securities. During the period the futures contract is open, changes in the value of the contract are recognized as unrealised gains or losses by "marking-to-market" on a daily basis to reflect the market value of the contract at the end of each day's trading. Variation margin payments are made or received, depending upon whether unrealised losses or gains are incurred. When the contract is closed, the Fund records a realised gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Fund's basis in the contract. Valuation and presentation of forward foreign exchange contracts The unrealised gain or loss on open forward foreign exchange contracts is calculated as the difference between the contracted rate and the rate to close out the contract. Realised profit or loss includes net gains or losses on forward foreign exchange contracts which have been settled or offset by other contracts with the same counterparty. Valuation and presentation of option contracts For a purchased option an amount equal to the premium paid is recorded as an investment and is subsequently adjusted to the current market value of the option purchased. Premiums paid for the purchase of options which expire unexercised are treated on the expiration date as realised losses. If a purchased put option is exercised, the premium is subtracted from the proceeds of the sale of the underlying security, foreign currency or index in determining whether the Fund has realised a gain or a loss. If a purchased call option is exercised, the premium increases the cost basis of the security, foreign currency or index purchased by the Fund. For a written option an amount equal to the premium received by the Fund is recorded as a liability and is subsequently adjusted to the current market value of the option written. Premiums received from written options which expire unexercised are treated by the Fund on the expiration date as realised gains. If a written call option is exercised, the premium is added to the proceeds from the sale of the underlying security in determining whether the Fund has realised a gain or a loss. If a written put option is exercised, the premium reduces the cost basis of the security purchased by the Fund. Future style options In the case of options on futures, no premium margin is required because here a daily profit and loss adjustment (variation margin) is made by the procedure known as marking-to-market. The profit of one party to the contract is the loss of the other party. The resulting gains and losses are either debited or credited to the appropriate account on a daily basis via the mark-to-market process. The final valuation is made at the final settlement price of either the expiration date of the option or the day on which it was exercised. Valuation of swap contracts Total Return Swaps Total return swaps are marked at each NAV calculation date. The estimated market value is based on the valuation elements laid down in the contracts, and is obtained from third party pricing agents, market makers or internal models. Swap contracts are marked to market based on daily prices obtained from third party pricing agents and verified against the value from the counterparty. Unrealised gains or losses on swaps are recorded under Unrealised gain/(loss) on swap contracts in the statement of net assets. Realised gains or losses and change in unrealised gains or losses are recorded under Net realised gain/(loss) on swap contracts and under Change in net unrealised appreciation/(depreciation) on swap contracts in the statement of operations and changes in net assets. The change in the value of the swap is reported as Change in net unrealised appreciation/(depreciation) on swap contracts, until termination of the contract when it is realised. Periodic interest payments to be paid or received are accrued on a daily basis and included in interest income or interest expense. Page 14

17 Notes to the Financial Statements (continued) as at 31 March 2018 Cash and cash equivalents Cash and other liquid assets will be valued at their face value with interest accrued, where applicable. Interest is also accrued on bank overdrafts. All cash at bank balances are held either by State Street Bank Luxembourg S.C.A., or in overnight deposit with a third party institution approved by the Board or directly with a sub-custodian. Income from securities lending The Fund may lend its portfolio securities to specialised banks and credit institutions and other financial institutions of high standing and highly qualified registered brokers/dealers, or through recognised clearing institutions such as Clearstream or Euroclear subject to complying with the provisions set forth in the CSSF Circular 08/356. Cash collateral received by the Fund in relation to these transactions will not be reinvested. Income from securities lending is recognised by the Fund when payment is received from the borrowers. 3. EQUALISATION The Fund follows the accounting practice known as equalisation by which a portion of the issue and redemption price representing, on a per share basis, accrued distributable investment income (excluding capital gains or losses), is credited or charged to distributable income. The amounts attributable to this income equalisation account are included in the proceeds from subscriptions to the Fund s shares or in the payment for the Fund s shares redeemed, and in the Net equalisation, items of the Statement of Operations and Changes in Net Assets. As at 31 March 2018, the amounts attributable to income equalisation have been disclosed separately as net equalisation in the Statement of Operations and Changes in Net Assets. 4. STOCK EXCHANGE QUOTATION Shares in the Fund are listed on the Multilateral Trading Facility operated by the Luxembourg Stock Exchange (the "Euro MTF"). 5. INITIAL OFFERING PRICE AND MINIMUM INVESTMENT AMOUNTS The shares of F&C HVB-Stiftungsfonds (class A Shares) were initially offered on 25 July 2001 at the initial subscription price of EUR 1,000 per share. The shares of F&C HVB-Stiftungsfonds (class A Acc Shares) were initially offered on 15 January 2008 at the initial subscription price of EUR 1,000 per share. The shares of F&C HVB-Stiftungsfonds (class AN Shares) were initially offered on 5 January 2018 at the initial subscription price of EUR 10 per share (for tax-exempt investors only). The shares of F&C HVB-Stiftungsfonds (class AN Acc Shares) were initially offered on 5 January 2018 at the initial subscription price of EUR 10 per share (for tax-exempt investors only). The shares of F&C HVB-Stiftungsfonds (class I Shares) were initially offered on 1 December 2004 at the initial subscription price of EUR 1, per share. The shares of F&C HVB-Stiftungsfonds (class IN Shares) were initially offered on 5 January 2018 at the initial subscription price of EUR 10 per share (for tax-exempt investors only). The shares of F&C HVB-Stiftungsfonds (class IN Acc Shares) were initially offered on 5 January 2018 at the initial subscription price of EUR 10 per share (for tax-exempt investors only). For class A, A Acc, AN and AN Acc Shares, the minimum investment amounts to EUR 2,500, exclusive of the initial charge. For class I, IN and IN Acc Shares, the minimum investment amounts to EUR 10,000,000, exclusive of the initial charge. The Board may on a discretionary basis reduce or waive the minimum investment required. Moreover, there is no subsequent minimum investment for any class of shares. Page 15

18 Notes to the Financial Statements (continued) as at 31 March TAXATION The Fund is not subject to taxation in Luxembourg on its income, profits or gains. However, the Fund is liable in Luxembourg to a subscription tax ( taxe d abonnement ) of 0.05% per annum of its net assets, such tax being payable quarterly and calculated on the basis of the Total Net Assets of the Fund at the end of the relevant quarter. The rate of the annual subscription tax is reduced to 0.01% per annum for the Portfolio or share classes which, in accordance with Article 174 of the Law, invest exclusively in money market instruments as defined in the Grand-Ducal Regulation of 14 April 2003 and in respect of share classes which are only sold to and held by institutional investors. No stamp duty or other tax will be payable in Luxembourg on the issue of shares in the Fund. 7. INVESTMENT MANAGEMENT FEE In accordance with the prospectus, the Investment Manager, for its investment management services provided to the Fund, is entitled to receive up to 2% per annum of the applicable net asset value for the classes A Shares, A Acc Shares, AN Shares and AN Acc Shares and up to 0.60% for classes I Shares, IN Shares and IN Acc Shares. For the period under review, the investment management fee was 1.25% of the applicable net asset value for the classes A Shares, A Acc Shares, AN Shares and AN Acc Shares, and 0.60% for the classes I Shares, IN Shares and IN Acc Shares. 8. MANAGEMENT COMPANY FEE FundRock Management Company S.A. (the "Management Company") is the management company of the Fund. For its services, the Management Company receives a fee determined as per the tables below, with an annual minimum of EUR 25,000 per sub-fund: Assets under management Up to EUR 150 million From EUR 150 million to 1 billion Above EUR 1 billion Fee per annum 3.25 bp 3.00 bp 2.75 bp 9. FORMATION EXPENSES The formation expenses of the Fund have been amortised over a six year period. 10. ADMINISTRATION AND DEPOSITARY FEES For the period under review, in remuneration for its services, the Fund paid to State Street Bank Luxembourg S.C.A., the following fees: Depositary: An asset charge of up to 0.50% of the assets under depositary plus a transaction charge. Administration: A fee up to % of the applicable NAV plus a transaction charge. Other administrative fees in addition to the fees above are also payable to State Street Bank Luxembourg S.C.A. for services including transaction processing and transfer agency related activities. 11. DIRECTORS' FEES Directors' fees are determined from time to time by decision of the general meeting of shareholders. Those Directors of the Fund who are employees of F&C Asset Management plc (the parent of the Investment Manager) or any of its subsidiaries or the Legal Adviser to the Fund or are, or were previously, connected to UniCredit Bank AG, waive their fees in carrying out their duties as Directors of the Fund. 12. USE OF DEALING COMMISSION The Investment Manager is regulated by the UK Financial Conduct Authority ( FCA ) for the conduct of its business in the United Kingdom. The rules of the FCA restrict the use of dealing commission to execution and research services. Services are only eligible for payment with commission if they qualify as substantive research by meeting specific criteria set by the FCA. These are known as permitted services. Page 16

19 Notes to the Financial Statements (continued) as at 31 March 2018 The Investment Manager executes transactions on behalf of the Fund with a number of selected brokers. In the normal course of business, the Investment Manager has entered, or may enter into, arrangements ( Commission Sharing Arrangements ) whereby research credits accrued to the broker through trading can be recovered and redirected to one or more third parties, as payment for the provision of eligible investment research to the Investment Manager. The services received under such arrangements are directly relevant to and assist in the cost-effective provision of management services generally by the Investment Manager and are consistent with practices in the markets in which the Investment Manager does business. 13. RELATED PARTY TRANSACTIONS The Investment Manager may pass on to the Fund certain expenses, as approved by the Board, incurred in the marketing of the Fund. The maximum chargeable during any accounting period is 0.025% of the Net Asset Value of the Fund or the respective Portfolio(s). The Investment Manager is also entitled to a service fee not exceeding EUR 50,000 per annum for its approach in the area of socially responsible investment, through its Responsible Engagement Overlay service. During the financial period ended 31 March 2018, under the securities lending programme (as described in note 2), State Street Bank GmbH, London Branch earned EUR 2,379 as securities lending agent. The Investment Manager earned EUR 1,586 for their monitoring and oversight of the securities lending programme. 14. DIVIDEND PAID DURING THE YEAR Dividend payment of EUR per class A share and EUR per class I share was paid on 15 December 2017 (ex-date 13 December 2017) to the shareholders of these classes. In line with the Fund s Prospectus dated December 2017, any future dividends of less than EUR 100 generated by a shareholder s investment in a class of a Portfolio will be automatically reinvested in the subscription of further shares of the class to which such dividends relate. 15. SECURITIES LENDING The volume of the securities lending transactions will be kept at an appropriate level. The Fund will be entitled to request the return of the securities lent in a manner that enables it, at all times, to meet its redemption obligations. It will be ensured that securities lending transactions do not jeopardise the management of the Fund s assets in accordance with the investment policy. The income earned from the securities lending program is reflected net of fees in the statement of operations and changes in net assets as disclosed in note 2. State Street Bank GmbH, London Branch as the securities lending agent receives a 15% fee for their services. The Investment Manager as the Fund s securities lending co-ordinator receives an administration fee of 10% to cover operational costs. As a result, the Fund receives 75% of the gross revenues generated from securities lending. The table below shows the market value of securities on loan as well as the market value of collateral held as at 31 March The collateral held at this date provided coverage of %. Market Value of Security on Loan Market Value of Collateral held Nature of Collateral held Portfolio F&C HVB-Stiftungsfonds 1,408,145 1,503,076 Government Bonds 1,408,145 1,503,076 Total exposure Counterparties Deutche Bank AG 1,040,792 JP Morgan Securities Plc. 462,284 1,503,076 Page 17

20 Notes to the Financial Statements (continued) as at 31 March NET ASSET VALUE The net asset value, the issue price and the redemption price, is available at the registered office of the Fund and will be published regularly in or on: Bloomberg, Reuters and PORTFOLIO CHANGES A statement detailing the changes in the portfolio during the reference period can be obtained free of charge from the registered office of the Fund and from CACEIS Bank S.A., Germany Branch, Munich and from UniCredit Bank Austria AG, Vienna as disclosed on page SUBSEQUENT EVENTS There were no material events which occurred after the end of the financial period, which would have a bearing on the understanding of the financial statements. 19. APPROVAL OF THE FINANCIAL STATEMENTS The Board of Directors approved the financial statements on 17 May Page 18

21 Securities Financing Transactions GLOBAL DATA The following table details the maket value of securities lent as a proportion of the Portfolio total lendable assets and net assets, and the value of Total Return Swaps ( TRS ) as a proportion of the Portfolio s net assets, as at 31 March Total lendable assets represents the total market value of the securities Portfolio excluding derivatives as at the reporting date. The value of TRS is based on the Unrealised Gain/(Loss) on an absolute basis. Securities lending TRS Market Portfolio Portfolio currency value of securities lent % of lendable assets % of Net Assets Unrealised profit/loss % of Net Assets F&C HVB-Stiftungsfonds EUR 1,408, % 0.89% 46, % CONCENTRATION DATA The following table lists the ten largest issuers by market value of non-cash collateral received by the portfolio by way of title transfer collateral arrangement across securities lending transactions and OTC derivative transactions (including TRS), as at 31 March 2018: Portfolio currency Market value of noncash collateral % of Net Assets Non-cash collateral issuer F&C HVB-Stiftungsfonds United States of America EUR 420, % United Kingdom EUR 332, % French Republic EUR 179, % Hong Kong EUR 151, % Kingdom of Netherlands EUR 133, % Commonwealth of Australia EUR 103, % Federal Republic of Germany EUR 33, % Republic of Singapore EUR 31, % Kingdom of Sweden EUR 27, % Grand Duchy of Luxembourg EUR 22, % Total EUR 1,436, % The following table details the market value of securities lent and the unrealised value of TRS on an absolute basis, analysed by counterparty, as at 31 March 2018: Counterparty s country of incorporation Portfolio currency Market value of securities lent Unrealised profit/loss Counterparty F&C HVB-Stiftungsfonds Deutsche Bank AG United Kingdom EUR 991,103 - JP Morgan Securities Plc. United Kingdom EUR 417,042 - Merrill Lynch International United Kingdom EUR - 30,043 Societe Generale S.A. French Republic EUR - 76,241 Total EUR 1,408, ,284 Page 19