Eurizon Investment SICAV Long form report on the activity of the Fund in accordance with CSSF Circulars 2002/81 and 2004/146 as of 31 December 2012

Transcription

1 on the activity of the Fund in accordance with CSSF Circulars 2002/81 and 2004/146 as of 31 December 2012 This report is issued for the exclusive use of the Board of Directors of the Fund and of the CSSF and should not be used for any other purposes. This report is not to be used or reproduced in whole or in part or relied upon by any other person or for any other purpose without our prior written authorization.

2 Table of contents Pages Terms of engagement Organisation of the Fund Central Administration Reliance by the Fund s independent auditor on a report issued by the auditor of the Central Administration Procedures and controls Information technology Depositary Bank Reliance by the Fund s independent auditor on a report issued by the auditor of the Depositary Bank Procedures and controls Results of reconciliations Relationship with the Management Company Description of the Management Company Assessment by the independent auditor Relationship with other intermediaries Description of the other intermediaries network Review of the transactions of the Fund Anti-money laundering and fight against terrorism financing procedures Description of anti-money laundering and fight against terrorism financing procedures and distribution network Assessment by the independent auditor Valuation methods Description of the valuation methods Assessment by the independent auditor Risk management systems Description of the risk management systems Assessment by the independent auditor Specific tests Combined statements of net assets and of changes in net assets Review of the combined statements of net assets and of changes in net assets Window Dressing Portfolio turnover Performance fees Soft commissions or similar arrangements and rebates I -

3 2.5.6 Retrocessions Expenses NAV publication Description of the NAV publication procedures Assessment by the independent auditor Results of reconciliations Description of the reconciliation procedures Assessment by the independent auditor Late trading and market timing Description of late trading and market timing procedures Assessment by the independent auditor Internet Investor complaints Follow-up of issues raised in the previous report on the activity of the Fund or the management letter Overall conclusion Significant exceptions/weaknesses described in the management letter as of 31 December Points for improvement described in the report on the activity of the Fund as of 31 December Comments from the Board of Directors of the Fund II -

4 Appendices Appendix 1: Risk Management Process which was implemented pursuant to the rules and principles formulated in the CSSF Circular 11/512 and communicated to the CSSF on 20 December 2012 Appendix 2: Management letter as of 31 December 2012 Appendix 3: Appendix 4: Procedures and controls for the monitoring of activities delegated by the Management Company Distribution channels - III -

5 Terms of engagement The Shareholders of Eurizon Investment SICAV (the Fund ) appointed us on 30 April 2012 to act as independent auditors (réviseurs d entreprises agréés) for the purposes of the following engagements: - Statutory audit of the financial statements of the Fund for the year ending 31 December Additional procedures with reference to Circulars 2002/77, 2002/81 and 2004/146 issued by the Commission for the Supervision of the Financial Sector (the CSSF ). Audit Report on annual financial statements - In accordance with the mandate given to us by the Shareholders meeting of the Fund, we have audited the statement of net assets, the statement of changes in net assets, the portfolio, the commitments on future contracts, the forward foreign exchange contracts, the option contracts, the swap contracts and a summary of the significant accounting policies and other notes to the financial statements of the Fund and of each of its sub-funds as of and for the year ended 31 December These financial statements are the responsibility of the Board of Directors of the Fund (the Board of Directors or the Directors ). Our responsibility is to express an opinion on these financial statements based on our audit. In our report dated 21 March 2013, we expressed an unqualified opinion on these financial statements. - We have obtained from the Board of Directors written representation dated 21 March 2013 relating to the audit of the financial statements of the Fund for the year ended 31 December Long form Report on the Activity of the Fund - Our report on the activity of the Fund has been prepared in the context of our mandate as independent auditor of the Fund with reference to Circular 2002/81 issued by the CSSF. - We have obtained from the Board of Directors written representations dated 26 April 2013 ( written representation ) relating to the long form report on the activity of the Fund for the year ended 31 December Our procedures were performed in respect of the period from 1 January 2012 to 31 December 2012 and do not cover any events which may have occurred since 31 December Please refer to Section 6 for the overall conclusion of our work performed. This report is issued for the exclusive use of the Board of Directors, and of the CSSF and should not be used for any other purposes. This report is not to be used or reproduced in whole or in part or relied upon by any other person or for any other purpose without our prior written authorization

6 1. Organisation of the Fund The Fund is an investment company organised as a Société Anonyme under the laws of the Grand Duchy of Luxembourg and qualifies as a Société d Investissement à Capital Variable. The Fund was incorporated in Luxembourg on 19 February 1997 for an unlimited period. The Fund is an open-ended investment company registered on the official list of undertakings for collective investment pursuant to Part I of the Luxembourg law of 17 December As at 31 December 2012, the Fund offered the following 36 sub-funds for distribution: - Eurizon Investment SICAV - EMU Cash - Eurizon Investment SICAV - Euro Short Term - Eurizon Investment SICAV - Europe Equities - Eurizon Investment SICAV - Flexible Beta 1 - Eurizon Investment SICAV - Flexible Beta 2 - Eurizon Investment SICAV - Flexible Beta 3 - Eurizon Investment SICAV - Flexible Beta Total Return - Eurizon Investment SICAV - Flexible Bond - Eurizon Investment SICAV - Flexible Bond Plus - Eurizon Investment SICAV - Flexible Bond 2 - Eurizon Investment SICAV - Flexible Bond Plus 2 - Eurizon Investment SICAV - Flexible Duration 1 - Eurizon Investment SICAV - Flexible Duration 2 - Eurizon Investment SICAV - Flexible Duration 3 - Eurizon Investment SICAV - Flexible Equity Strategy - Eurizon Investment SICAV - Flexible Plus - Eurizon Investment SICAV - Global One - Eurizon Investment SICAV - Global Three - Eurizon Investment SICAV - Insurance Unit Total Return - Eurizon Investment SICAV - Insurance Unit Euro Income - Eurizon Investment SICAV - Insurance Unit Euro Short Term - Eurizon Investment SICAV - Insurance Unit Euro Short Term Two - Eurizon Investment SICAV - Insurance Unit Euro Short Term Three - Eurizon Investment SICAV - Insurance Unit Europe Bonds - Eurizon Investment SICAV - Insurance Unit Europe Short Term - Eurizon Investment SICAV - Insurance Unit High ield Eurizon Investment SICAV - Insurance Unit High ield Eurizon Investment SICAV - Insurance Unit High ield Eurizon Investment SICAV - Insurance Unit Investment Grade Eurizon Investment SICAV - Insurance Unit Investment Grade Eurizon Investment SICAV - Insurance Unit Investment Grade Eurizon Investment SICAV - PB Bond Corporate EUR - 2 -

7 - Eurizon Investment SICAV - PB Equity EUR - Eurizon Investment SICAV - PB Equity US - Eurizon Investment SICAV - Scudo - Eurizon Investment SICAV - Strategic Europe As at 31 December 2012, the Fund offered the following 8 share classes for distribution: Share class A, Share class I, Share class I1, Share class I2, Share class I3, Share class ID, and Share class ID1 and Share class ID2. Share class A can be acquired by any investor. Share classes I, I1, I2 and I3 can only be acquired by institutional investors and are capitalisation share classes with some specificities. Share classes ID, ID1 and ID2 can only be acquired by institutional investors with some specificities and are allowed for distribution. As at 31 December 2012, the Share class A, Share class I, Share class I1, Share class I2, Share class I3, Share class ID and Share class ID1 are active. The prospectus applicable as of 31 December 2012 is dated July 2012 (the Prospectus ). Significant events We noted the following significant events during the year ended 31 December 2012: - On 1 February 2012, the sub-fund Eurizon Investment SICAV - PB Bond Corporate EUR has been launched. - On 8 February 2012, the sub-fund Eurizon Investment SICAV - Flexible Beta Total Return has been launched. - On 15 February 2012, the sub-funds Eurizon Investment SICAV - Insurance Unit High ield and Eurizon Investment SICAV - Insurance Unit Investment Grade have been launched. - On 9 March 2012, the sub-fund Eurizon Investment SICAV - Insurance Unit Total Return has been reactivated. - On 28 March 2012, the sub-funds Eurizon Investment SICAV - Insurance Unit High ield and Eurizon Investment SICAV - Insurance Unit Investment Grade have been launched. - On 2 July 2012, share classes I1 and I2 of the sub-fund Eurizon Investment SICAV - Insurance Unit Europe Bonds have been respectively renamed ID1 and ID2 and the share class I3 of the sub-fund Eurizon Investment SICAV - Insurance Unit Total Return has been renamed ID. - On 9 March 2012, the Board of Directors has decided to the change of name of the following sub-fund from Eurizon Investment SICAV - Insurance Unit Euro Bonds to Eurizon Investment SICAV - Insurance Unit Total Return, on 2 July 2012 the name of the following sub-funds from Eurizon Investment SICAV - Insurance Unit Investment Grade to Eurizon lnvestment SICAV - Insurance Unit Investment Grade and from Eurizon Investment SICAV - Insurance Unit High ield to Eurizon Investment SICAV - Insurance Unit High ield

8 - On 5 July 2012, the sub-funds Eurizon Investment SICAV - Insurance Unit High ield and Eurizon Investment SICAV - Insurance Unit Investment Grade have been launched. - On 14 December 2012, the sub-fund Eurizon Investment SICAV - Insurance Unit Euro Equities has been liquidated. Organisation Chart as at 31 December 2012 Promoter: Eurizon Capital S.A. Eurizon Investment SICAV: Registered under Part I of the Luxembourg Law of 17 December 2010 Management Company, Distritrbutor and Investment Manager: Eurizon Capital S.A. Depositary Bank and Paying Agent: State Street Bank Luxembourg S.A. Investment Managers: Eurizon Capital SGR S.p.A. Epsilon Associati SGR S.p.A. (these functions have been delegated by Eurizon Capital S.A.) Administrative Agent, Registrar and Transfer Agent: State Street Bank Luxembourg S.A. (these functions have been delegated by Eurizon Capital S.A.) Promoter The Fund is promoted by Eurizon Capital S.A.. The following is a list of parties with whom the Fund has contractual relationships. We have obtained written representation that the Fund has no contractual relations with parties other than those described below. Management Company Eurizon Capital S.A., whose registered office is 8, avenue de la Liberté, L-1930 Luxembourg and which has been authorised by the CSSF on 23 January 2004, was appointed as Management Company of the Fund

9 Depositary Bank, Paying Agent, Administrative Agent, Registrar and Transfer Agent Under an agreement dated 1 February 2008, the Directors of the Management Company of the Fund had appointed Société Européenne de Banque S.A. to provide Custodian Bank, Paying, Administrative Agent, Registrar and Transfer Agent services to the Fund. Following a transfer of activities which took place on 7 July 2008, Sanpaolo Bank S.A. ( SPB ) became in charge of the activities of Custodian Bank, Paying Agent, as well as, by delegation, the function of Administrative Agent, Registrar and Transfer Agent of the Fund. Following the merger by incorporation of SPB into SSBL, as mentioned above, SSBL assumes since 18 May 2010 the function of Custodian Bank, Paying Agent, as well as, by delegation, the function of Administrative Agent, Registrar and Transfer Agent of the Fund. SSBL outsources the Registrar and Transfer Agent activities to International Financial Data Services (Luxembourg) S.A. ( IFDS ). Investment Managers (by delegation) Under an agreement dated 1 February 2008 and its appendix updated the last time on 24 June 2011, Eurizon Capital S.A. has delegated the investment management activities to Eurizon Capital SGR S.p.A. for some sub-funds. Under an agreement effective as of 21 April 2008 and its appendix updated the last time on 3 February 2012, Eurizon Capital S.A. has appointed Epsilon Associati SGR S.p.A. as Investment Manager for some sub-funds. Distributors The Management Company acts as Distributor of the Fund. See also Section b. for further details of distribution network. Other intermediaries significant to the Fund s operations Under an agreement dated 8 June 2012, the Board of Directors has appointed State Street Bank Luxembourg S.A. for KIID administrative support service. Security information providers Bloomberg, FT Interactive Data, MSCI, Merrill Lynch, J.P. Morgan and Reuters. Legal adviser We have obtained written representation that the Fund did not use the services of a lawyer, except for secretarial matters and claims in relation with administration procedure of Lehman Brothers International (Europe) in the United Kingdom

10 Related parties of promoter The promoter of the Fund is a company of the Intesa Sanpaolo Group, of which are also member the following entities: - Eurizon Capital SGR S.p.A., - Epsilon Associati SGR S.p.A., - Banca CR Firenze S.p.A., - Banca dell'adriatico S.p.A., - Banca di Credito Sardo S.p.A., - Banca di Trento e Bolzano S.p.A., - Banca IMI S.p.A., - Banca Monte Parma S.p.A. - Banca Prossima S.p.A., - Banco di Napoli S.p.A., - Cassa dei Risparmi di Forli' e della Romagna S.p.A., - Cassa di Risparmio del Friuli Venezia Giulia S.p.A., - Cassa di Risparmio del Veneto S.p.A., - Cassa di Risparmio della Provincia di Viterbo S.p.A., - Cassa di Risparmio di Ascoli Piceno S.p.A., - Cassa di Risparmio di Civitavecchia S.p.A., - Cassa di Risparmio di Pistoia e della Lucchesia S.p.A., - Cassa di Risparmio di Rieti S.p.A., - Cassa di Risparmio dell Umbria S.p.A., - Cassa di Risparmio di Venezia S.p.A., - Cassa di Risparmio in Bologna S.p.A., - Intesa Sanpaolo S.p.A., - Intesa Sanpaolo Private Banking S.p.A., - Société Européenne de Banque S.A

11 1.1 Central Administration Reliance by the Fund s independent auditor on a report issued by the auditor of the Central Administration Pursuant to the provisions of the CSSF Circular 2002/81, State Street Bank Luxembourg S.A., through its parent company, State Street Corporation, and acting as Central Administration of the Fund by delegation, has requested Ernst & oung LLP to prepare a Report on a Description of State Street Corporation s Global Fund Accounting and Custody Systems Applicable to the Processing of Client Transactions and the Suitability of the Design and Operating Effectiveness of Controls throughout the period 1 October 2011 to 30 September 2012 prepared in accordance with the Statement on Standards for Attestation Engagements No. 16 ( SSAE 16 ) and International Standard on Assurance Engagements 3402 ( ISAE 3402 ), which was signed on 20 November 2012 ( Global Fund Accounting and Custody SOC ). The Global Fund Accounting and Custody SOC is a Type II report. An unqualified opinion was issued by the service auditors. Pursuant to the provisions of the CSSF Circular 2002/81, State Street Bank Luxembourg S.A., through its parent company, State Street Corporation, and acting as Central Administration of the Fund by delegation, has requested Ernst & oung LLP to prepare a Report on a Description of State Street Corporation s Information Technology General Controls System and the Suitability of the Design and Operating Effectiveness of Controls throughout the period 1 October 2011 to 30 September 2012 prepared in accordance with SSAE 16 and ISAE 3402, which was signed on 19 November 2012 ( Information Technology SOC ). The Information Technology SOC is a Type II report. An unqualified opinion was issued by the service auditors. International Financial Data Services (Luxembourg) S.A., acting on behalf of State Street Bank Luxembourg S.A., as Registrar and Transfer Agent of the Fund by delegation, has requested PricewaterhouseCoopers S.à r.l. to prepare a Report on Controls Placed in Operation and Tests of Operating Effectiveness for the period from 1 October 2011 through 30 September 2012 prepared in accordance with SSAE 16 and ISAE 3402, which was signed on 7 January 2013 ( Transfer Agent SOC ). The Transfer Agent SOC is a Type II report. An unqualified opinion was issued by the service auditors. SSBL, acting as Central Administration of the Fund by delegation, has requested Ernst & oung S.A. to prepare a Report on Compliance Controls Placed in Operation as of 30 September 2012 and Tests of Operating Effectiveness for the Period from 1 October 2011 to 30 September 2012 prepared in accordance with International Standard on Assurance Engagements 3000 ( ISAE 3000 ), which was signed on 4 December 2012 ( Compliance Report ). We read the Compliance Report in which Ernst & oung S.A. issued the following opinion: Based upon our review procedures, nothing has come to our attention that causes us to believe that the compliance controls designed, implemented and maintained by the Management of the Bank did not achieve the criteria listed in the Report by the Management of State Street Bank Luxembourg S.A. during the year ended 30 September We read the above mentioned Global Fund Accounting and Custody SOC, Information Technology SOC, Transfer Agent SOC and Compliance Report and have prepared the following analysis which compares certain sections of the CSSF Circular 2002/81 to the content of these reports

12 Procedures and controls CSSF Circular 2002/81 requirements Procedures manual in accordance with Chapter D of the IML Circular 91/75 Adequacy of human resources available to ensure proper fulfilment of the Central Administration s contractual obligations towards the Fund Anti-money laundering and fight against terrorism financing procedures Valuation of securities Compliance Net asset value calculation Shareholder processing Section of report referenced Global Fund Accounting and Custody SOC: Section III - page 65 Not covered by the Global Fund Accounting and Custody SOC nor Transfer Agent SOC Global Fund Accounting and Custody SOC: Section III - pages 9 and 10 Transfer Agent SOC: Control Objectives 2 and 3 Section V - pages 6 to 11 Global Fund Accounting and Custody SOC: Control Objective 15 Section IV - pages 64 to 70 Compliance Report: Section 5 - pages 6 and 7 Global Fund Accounting and Custody SOC: Control Objective 16 Section IV - pages 71 to 79 Global Fund Accounting and Custody SOC: Control Objective 12 Section IV - pages 57 and 58 Conclusion of the auditor of the Central Administration Global Fund Accounting and Custody SOC: The auditor of the Global Fund Accounting and Custody SOC has issued an unqualified opinion. For specific conclusion on each section, please refer to the Global Fund Accounting and Custody SOC. Transfer Agent SOC: The auditor of the Transfer Agent SOC has issued an unqualified opinion. For specific conclusion on each section, please refer to the Transfer Agent SOC. Compliance Report: For specific conclusion, please refer to the Compliance Report. Transfer Agent SOC: Control Objectives 3, 4, 5 and 7 Section V - pages 8 to 13, 16 and

13 CSSF Circular 2002/81 requirements Trade processing Section of report referenced Global Fund Accounting and Custody SOC: Control Objectives 2, 3 and 4 Section IV - pages 6 to 24 Conclusion of the auditor of the Central Administration Comments from the independent auditor of the Fund During our usual audit procedures, nothing came to our attention to indicate that the human resources available were not sufficient to ensure proper fulfilment of the Central Administration s contractual obligations towards the Fund for the year ended 31 December Information technology CSSF Circular 2002/81 requirements List and description of main software Change management process and controls Adequacy of IT size with the business volume Appropriateness of the system for asset classes Section of report referenced Global Fund Accounting and Custody SOC: Section III - pages 13 to 17 Information Technology SOC: Section III - pages 12 to 15 Transfer Agent SOC: Section IV - pages 22 and 23 Information Technology SOC: Control Objective 3 Section IV - pages 18 to 26 Transfer Agent SOC: Section IV - page 10 Control Objectives 9 and 10 Section V - pages 21 to 26 Not covered by the Global Fund Accounting and Custody SOC nor Information Technology SOC nor Transfer Agent SOC Not covered by the Global Fund Accounting and Custody SOC nor Information Technology SOC nor Transfer Agent SOC Conclusion of the auditor of the Central Administration Global Fund Accounting and Custody SOC: The auditor of the Global Fund Accounting and Custody SOC has issued an unqualified opinion. For specific conclusion on each section, please refer to the Global Fund Accounting and Custody SOC. Information Technology SOC: The auditor of the Information Technology SOC has issued an unqualified opinion. For specific conclusion on each section, please refer to the Information Technology SOC

14 CSSF Circular 2002/81 requirements Manual entries and validation Measures to safeguard confidentiality Section of report referenced Not covered by the Global Fund Accounting and Custody SOC nor Information Technology SOC nor Transfer Agent SOC Global Fund Accounting and Custody SOC: Section V - pages 2 and 3 Conclusion of the auditor of the Central Administration Transfer Agent SOC: The auditor of the Transfer Agent SOC has issued an unqualified opinion. For specific conclusion on each section, please refer to the Transfer Agent SOC. Information Technology SOC: Control Objectives 1 and 2 Section IV - pages 2 to 17 Section V - page 1 Overview of the Business Continuity Plan Transfer Agent SOC: Section IV - page 11 Control Objectives 9 and 10 Section V - pages 21 to 26 Global Fund Accounting and Custody SOC: Section V - page 1 Information Technology SOC: Control Objective 5 Section IV - pages 30 and 31 Section V - page 1 Compliance with section III.1 of the Chapter D of the IML Circular 91/75 Transfer Agent SOC: Section IV - page 12 Global Fund Accounting and Custody SOC: Section III - page 65 Transfer Agent SOC: Control Objective 10 Section V - pages 24 to

15 Comments from the independent auditor of the Fund During our usual audit procedures, nothing came to our attention to indicate that the computer system was not adequate in relation to: - the volume of business of the Fund for the year ended 31 December 2012; - the asset classes in which the Fund invests

16 1.2 Depositary Bank Reliance by the Fund s independent auditor on a report issued by the auditor of the Depositary Bank Pursuant to the provisions of the CSSF Circular 2002/81, State Street Bank Luxembourg S.A., through its parent company, State Street Corporation, and acting as Depositary Bank of the Fund, has requested Ernst & oung LLP to prepare a Report on a Description of State Street Corporation s Global Fund Accounting and Custody Systems Applicable to the Processing of Client Transactions and the Suitability of the Design and Operating Effectiveness of Controls throughout the period 1 October 2011 to 30 September 2012 prepared in accordance with SSAE 16 and ISAE 3402, which was signed on 20 November 2012 ( Global Fund Accounting and Custody SOC ). The Global Fund Accounting and Custody SOC is a Type II report. An unqualified opinion was issued by the service auditors. Pursuant to the provisions of the CSSF Circular 2002/81, State Street Bank Luxembourg S.A., through its parent company, State Street Corporation, and acting as Depositary Bank of the Fund, has requested Ernst & oung LLP to prepare a Report on a Description of State Street Corporation s Information Technology General Controls System and the Suitability of the Design and Operating Effectiveness of Controls throughout the period 1 October 2011 to 30 September 2012 prepared in accordance with SSAE 16 and ISAE 3402, which was signed on 19 November 2012 ( Information Technology SOC ). The Information Technology SOC is a Type II report. An unqualified opinion was issued by the service auditors. We read the above-mentioned Global Fund Accounting and Custody SOC and Information Technology SOC and have prepared the following analysis which compares certain sections of the CSSF Circular 2002/81 to the content of these reports Procedures and controls CSSF Circular 2002/81 requirements Procedures manual in accordance with Chapter E of the IML Circular 91/75 Selection of network and selection criteria Explanations of segregation of duties between central administration and depositary responsibilities Section of report referenced Global Fund Accounting and Custody SOC: Section III - page 65 Global Fund Accounting and Custody SOC: Section III - pages 45 and 46 Control Objective 7 Section IV - page 35 Section V - pages 9 to 11 Global Fund Accounting and Custody SOC: Section III - page 65 Conclusion of the auditor of the Depositary Bank Global Fund Accounting and Custody SOC: The auditor of the Global Fund Accounting and Custody SOC has issued an unqualified opinion. For specific conclusion on each section, please refer to the Global Fund Accounting and Custody SOC. Information Technology SOC: The auditor of the Information Technology SOC

17 CSSF Circular 2002/81 requirements Description of IT organisation and software Review of significant changes and IT issues Adequacy of the system and human resources Controls on the reconciliation Section of report referenced Global Fund Accounting and Custody SOC: Section III - pages 12 to 17 Information Technology SOC: Section III - pages 1 to 28 Information Technology SOC: Control Objective 3 Section IV - pages 18 to 26 Information Technology SOC: Control Objective 4 Section IV - pages 27 to 29 Global Fund Accounting and Custody SOC: Control Objective 5 Section IV - pages 25 to 33 Conclusion of the auditor of the Depositary Bank has issued an unqualified opinion. For specific conclusion on each section, please refer to the Information Technology SOC. Comments from the Independent Auditor of the Fund During our usual audit procedures, nothing came to our attention to indicate that the computer system and the human resources to support such systems were not sufficient to support the Fund s operations for the year ended 31 December Results of reconciliations See Section 2.7. of this report for the documentation of any significant matter noted during the year ended 31 December

18 1.3 Relationship with the Management Company Description of the Management Company The Management Company, Eurizon Capital S.A., was incorporated on 27 July 1998 and its objectives (as per its statutes) are as follows: management, administration and marketing of undertakings for collective investment. The Management Company has received the authorization as Management Company under Chapter 15 of the Law of 17 December The Management Company is a wholly owned subsidiary of the Intesa Sanpaolo Group and manages various Luxembourg investment funds. At the date of the latest Prospectus of the Fund, the Management Company managed 31 other UCIs. Functions and responsibilities of the Management Company Regarding this Fund, the Management Company is responsible for all administrative and management activities, including above all: - Investment Management; - Administration; - Marketing; - Transfer Agency Services

19 The Management Company can delegate its functions under its responsibility and oversight. In relation to the Fund, the Board of Directors has delegated the following activities to various services providers listed previously in Section 1. Organisation of the Fund: Activity Service provider - Central Administration - SSBL - Investment Management - Eurizon Capital SGR S.p.A. (*) - Epsilon Associati SGR S.p.A. (**) - Transfer Agency Services - IFDS by outsourcing from SSBL - Distribution Services - Refer to Appendix 4 For the description of the controls performed by the Management Company over the delegated activities, please refer to Section 2.3. The Management Company has 53 employees as of 31 December The accounting function of the Management Company is performed by itself. (*) (**) for the investment management of the sub-funds Eurizon Investment Sicav - Insurance Unit Europe Bonds, Eurizon Investment Sicav - Flexible Beta 1, Eurizon Investment Sicav - Flexible Beta 2, Eurizon Investment Sicav - Flexible Beta 3, Eurizon Investment Sicav - Flexible Beta Total Return, Eurizon Investment Sicav - Flexible Duration 1, Eurizon Investment Sicav - Flexible Duration 2, Eurizon Investment Sicav - Flexible Duration 3, Eurizon Investment Sicav - Flexible Equity Strategy, Eurizon Investment Sicav - Flexible Plus, Eurizon Investment Sicav - Flexible Bond, Eurizon Investment Sicav - Flexible Bond Plus, Eurizon Investment Sicav - Flexible Bond 2 and Eurizon Investment Sicav - Flexible Bond Plus 2. for the investment management of the sub-funds Eurizon Investment Sicav - Global One, Eurizon Investment Sicav - Global Three, Eurizon Investment Sicav - Insurance Unit Euro Short Term, Eurizon Investment Sicav - Insurance Unit Euro Short Term Two, Eurizon Investment Sicav - Insurance Unit Total Return, Eurizon Investment Sicav - Insurance Unit Euro Equities (liquidated on 14 December 2012), Eurizon Investment Sicav - Insurance Unit Euro Short Term Three, Eurizon Investment Sicav - Insurance Unit Euro Income, Eurizon Investment Sicav - Insurance Unit Europe Short Term, Eurizon Investment Sicav - Insurance Unit Investment Grade and Eurizon Investment Sicav - Insurance Unit High ield , Eurizon Investment Sicav - Insurance Unit Investment Grade , Eurizon Investment Sicav - Insurance Unit High ield , Eurizon Investment Sicav - Insurance Unit Investment Grade , Eurizon Investment Sicav - Insurance Unit High ield , Eurizon Investment Sicav - Euro Short Term, Eurizon Investment Sicav - Scudo and Eurizon Investment Sicav - Strategic Europe

20 1.3.2 Assessment by the independent auditor Our procedures included the following items: - We have obtained the statutes of the Management Company and checked that the above mentioned functions performed by the Management Company for the Fund are in accordance with its statutes and the laws. - We have read the contracts signed by the Management Company evidencing its relations with the Fund and its services providers. - We have received confirmation from the Board of Directors that, during the year under review, the Management Company fulfilled its obligations included in the Prospectus in relation to the Fund. - We have read the minutes of the Board of Directors and Shareholders meetings of the Management Company, in relation to the Fund, held during the year under review and have noted that no issue has been reported or discussed relating to the legal and contractual duties of the Management Company in relation to the Fund. - We have audited the annual accounts of the Management Company as of 31 December Conclusion Based on the work performed above, nothing has come to our attention to indicate that, in relation to the Fund, the Management Company exercised functions which are not in accordance with the legal and contractual provisions during the year ended 31 December

21 1.4 Relationship with other intermediaries Description of the other intermediaries network Please refer to Section 1 for the description received from the Board of Directors of the other intermediaries involved in the activity of the Fund. We obtained from the Board of Directors written representation that, during the year ended 31 December 2012, the Fund s operations were at no time disrupted by major problems in the flows of transactions with such other intermediaries

22 2. Review of the transactions of the Fund 2.1 Anti-money laundering and fight against terrorism financing procedures Description of anti-money laundering and fight against terrorism financing procedures and distribution network a. Anti-money laundering and fight against terrorism financing procedures This area has been covered in the Transfer Agent SOC report referred to in Section b. Distribution channels The matrix included in Appendix 4 was provided by the Board of Directors Assessment by the independent auditor Procedures carried out by Ernst & oung S.A. - We read the above-mentioned SOC report (please refer to Section for results). - We have performed the Anti-Money Laundering (AML) fund-specific testing for the long form report of the Fund as required in the CSSF Circular 2002/81. The purpose of the testing has been to verify that IFDS is compliant with the Know our Customer (KC) and Know your Distributor (KD) requirements imposed by Luxembourg Law (shareholder and intermediary identification) as well as the Know our Transactions (KT) requirements. These requirements apply to three processes in the transfer agent business: Account Opening, Account Maintenance and Transactions Monitoring. Our work has been performed on a global basis for funds audited by Ernst & oung S.A. and administered by SSBL. The sample size, used for the testing, consists of at least one item per fund and of at least 25 items per category and per transfer agent. Items have been selected partially randomly and partially on a judgmental basis. The following classification has been used as categories: Nominees/Omnibus, Legal Entities and Individuals, taking into account whether the shareholder is a direct investor or is handled via one or several intermediaries. These three categories are subdivided between equivalent countries and non equivalent countries within the meaning of the Law of 12 November 2004, as amended and all applicable regulations. For the shareholders handled via an intermediary, we have verified whether the status of this intermediary has been correctly assessed and thus, whether KC identification procedures can be reliably delegated to the intermediary based on its status (regulated or self-regulated) and its (equivalent or not equivalent). In the case where an intermediary does not qualify as entity with equivalent requirements, we have verified whether IFDS has appropriately performed identification procedures on its own. Out of the shareholder register of the Fund, we have required the list of accounts opened during the fiscal year of the Fund and selected from this list 5 accounts related to institutional investors

23 The number of active accounts is 158. IFDS has provided us with the number of blocked accounts in the shareholder books of the Fund, which is of 1 as of 31 December Number of blocked account Reason for blocking the account 1 Missing KC documents - The Fund has provided us with its written risk analysis as regards anti-money laundering and fight against terrorism financing in accordance with CSSF Circular 11/529. The Transfer Agent SOC report does not contain reference to the controls over the monitoring of unusual transactions however we obtained such procedures from IFDS. Conclusion Based on the procedures described above, nothing came to our attention to indicate that the obligations related to the measures to combat money laundering and fight against terrorism financing in the financial sector have not been adhered to, in all material respects, for the year ended 31 December

24 2.2 Valuation methods Description of the valuation methods The table below was completed by Eurizon Capital S.A.: Investments Allowed per the Prospectus /N In use during the year ended 31 December 2012 /N Equities Bonds UCI/UCITS Forward foreign exchange contracts Future contracts Option contracts Swap contracts Securities lending N Repurchase, reverse repurchase agreement N The Prospectus describes the valuation methods to be applied to the financial instruments of the Fund. a. Valuation policies for regular securities or other financial instruments Valuation of transferable securities listed on an official stock exchange or on another regulated market The valuation of each security listed or traded on a stock exchange is based on the last known price and, if the security is traded on several markets, on the basis of the last known price of the security on its principal market. The value of each participation in another UCITS and/or open-ended UCI is based on the last Net Asset Value known on the Valuation Day. Valuation of future contracts The valuation of future contracts is based on the last known price of the contracts. Valuation of listed option contracts The valuation of option contracts listed or traded on a stock exchange is based on the last known price and, if traded on several markets, on the basis of the last known price on their principal market

25 b. Valuation policies for illiquid/unlisted securities and other unlisted financial instruments Valuation of unlisted and/or non traded on a regulated stock exchange and/or illiquid securities The valuation of each security unlisted or not traded on a stock exchange is based on the last known price. If the last known price is not representative, valuation is based on its likely market value, estimated prudently and in good faith by the Board of Directors. The value of each participation in another UCITS and/or open-ended UCI is based on the last Net Asset Value known on the Valuation Day. Valuation of 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. Valuation of unlisted and/or non traded on a regulated stock exchange option contracts The valuation of option contracts unlisted or not traded on a stock exchange is based on the last known price. If the last known price is not representative, valuation shall be based on its likely market value, estimated prudently and in good faith by the Board of Directors. Valuation of swap contracts Swap contracts are valued at their market value as determined in good faith, pursuant to procedures established by the Management Company. Swap contracts are in particular valued according to the usual methods in practice, i.e. using the difference between the updated values of forecasted flows the counterparty is to pay to the sub-fund and those owed by the sub-fund to its counterparties Assessment by the independent auditor Procedures carried out by Ernst & oung S.A. - We compared 100% of the valuation of listed financial instruments, held in the Fund as of 31 December 2012, to an external pricing source. For unlisted financial instruments, we have ensured the reasonableness of the valuation applied by the Fund. - We have tested a sample of securities transactions during the year under review and have verified, for each trade, that the price used for the transaction was included within the trading limits of this security on that particular day and that the percentage brokerage fees applied to the transaction was reasonable and in line with market rates. - We have performed analytical procedures (NAV benchmarking) to ensure that the Fund s transactions have been carried out on an arm s length basis. For details of the unlisted/illiquid financial instruments held by the Fund as at 31 December 2012, please refer to the financial statements at that date

26 Conclusion Based on the procedures described above, nothing came to our attention to indicate that the valuation policies and procedures have not been properly applied in all material respects on a consistent basis according to the Prospectus or that any of the Fund s security transactions have not been carried out on an arm s length basis for the year ended 31 December

27 2.3 Risk management systems Description of the risk management systems Refer to Appendices 1 and 3 provided by the Board of Directors Assessment by the independent auditor Procedures carried out by Ernst & oung S.A. - We obtained the risk management process which was implemented pursuant to the rules and principles formulated in the CSSF Circular 11/512 and communicated to the CSSF on 20 December 2012 (Appendix 1) and noted the description of the risk management process includes the minimum requirements described in the Appendix, sections 1 to 14 of the CSSF Circular 11/512. We requested any correspondence from the CSSF commenting on the risk management process. - We obtained representation from the Board of Directors that the risk management process as described in the communication to the CSSF has been implemented in all material respects. - Based on our reading of the risk management process and interviews with Management of the Management Company, we identified the key monitoring reports applicable to the Fund. We selected a sample of these reports, ensured their existence and read them. We have checked whether these reports have been communicated at least once a year to the CSSF. - We received a copy of the Board of Directors approval of the risk profile of the Fund. - We have read the minutes of the Board of Directors meetings held during the year under review. - In case of significant amendments to the risk management policy, we received the revised risk management process as communicated to the CSSF. In addition, we received the yearly update of the risk management process communicated to the CSSF and checked that it was sent to the CSSF within one month of the year end of the Fund. Conclusion Based on the procedures described above, nothing came to our attention to indicate that the risk management process pursuant to the rules and principles formulated in the CSSF Circular 11/512 and detailed in the communication to the CSSF made on 20 December 2012 has not been implemented in all material respects

28 2.4 Specific tests During our usual audit procedures for the year ended 31 December 2012, we did not identify material NAV computation errors or instances of active non-compliance with investment restrictions or objectives in accordance with CSSF Circular 2002/77 for which the amount of compensation did not exceed EUR or for which the amount payable to an investor did not exceed EUR We obtained from the Board of Directors written representation that no matters in relation to CSSF Circular 2002/77 for which a simplified procedure was applicable occurred during the year under review

29 2.5 Combined statements of net assets and of changes in net assets Review of the combined statements of net assets and of changes in net assets a. Analytical review Investments and 2011, the total value and cost of investments are as follows (in EUR): Variation % Market value of investments ,29 Cost of investments ,10 Unrealized gain/(loss) on ( ) (3 884,55) investments Total net assets and 2011, the total net assets are as follows (in EUR): Variation % Total net assets ,99 Expenses and 2011, the total expenses charged to the Fund are as follows (in EUR): Variation % Management fee ,39 Performance fee ,88 Custodian fee and paying agent fees ,32 Subscription tax ,39 Interest on bank accounts (7,63) Other charges and taxes , ,

30 Changes in net assets and 2011, the principal components of changes in net assets are as follows (in EUR): Variation % Net investment income / (loss) ,92 Net realised profit / (loss) on sales of investments, currencies and other financial instruments ( ) (252,02) Change in unrealised appreciation / (depreciation) on investments ( ) (879,46) Change in unrealised appreciation / (depreciation) on option contracts (10 022) (625,99) Change in unrealised appreciation / (depreciation) on forward foreign exchange contracts ( ) (356,60) Change in unrealised appreciation / (depreciation) on foreign currencies ( ) (742,36) Change in unrealised appreciation / (depreciation) on future contracts ( ) (148,69) Change in unrealised appreciation / (depreciation) on swap contracts (17 148) (62 813,39) Subscriptions for the year ,25 Redemptions for the year ( ) ( ) 40,76 Dividends distribution ( ) ( ) 306,04 b. Comments from the Independent Auditor The net asset value increased approximately by EUR million. This increase is mainly due to the net inflow amounting to EUR million, a positive net result of operations of EUR 221 million less dividends distribution amounting to EUR 9 million. See the Directors report in the annual report for additional information Window Dressing a. Description All sales and purchases of securities made during the two weeks preceding and following the yearend and performed by the Fund Manager in order to improve the appearance (acquisition cost versus valuation) of the portfolio and/or its conformity with the Law and the Prospectus before presenting it to the shareholders

31 b. Assessment by the independent auditor Procedures carried out by Ernst & oung S.A. - We have scrutinized purchases and sales of securities two weeks before and after the year ended 31 December 2012 to assess the possible presence of Window Dressing. - We obtained from the Board of Directors written representation indicating that no Window Dressing took place in the financial statements as of 31 December Conclusion Based on the procedures described above, nothing came to our attention to indicate that significant transactions were carried out for the sole purpose of Window Dressing in the financial statements as of 31 December Portfolio turnover a. Description The portfolio turnovers of the sub-funds for the year ended 31 December 2012 are as follows: Sub-funds Portfolio turnover Eurizon Investment SICAV - EMU Cash Eurizon Investment SICAV - Euro Short Term Eurizon Investment SICAV - Europe Equities Eurizon Investment SICAV - Flexible Beta 1 Eurizon Investment SICAV - Flexible Beta 2 Eurizon Investment SICAV - Flexible Beta 3 Eurizon Investment SICAV - Flexible Beta Total Return Eurizon Investment SICAV - Flexible Bond Eurizon Investment SICAV - Flexible Bond Plus Eurizon Investment SICAV - Flexible Bond 2 Eurizon Investment SICAV - Flexible Bond Plus 2 Eurizon Investment SICAV - Flexible Duration 1 Eurizon Investment SICAV - Flexible Duration 2 Eurizon Investment SICAV - Flexible Duration 3 Eurizon Investment SICAV - Flexible Equity Strategy Eurizon Investment SICAV - Flexible Plus Eurizon Investment SICAV - Global One Eurizon Investment SICAV - Global Three Eurizon Investment SICAV - Insurance Unit Total Return Eurizon Investment SICAV - Insurance Unit Euro Income Eurizon Investment SICAV - Insurance Unit Euro Short Term Eurizon Investment SICAV - Insurance Unit Euro Short Term Two Eurizon Investment SICAV - Insurance Unit Euro Short Term Three 306,85% 164,54% 56,63% 433,92% 188,73% 281,68% 607,74% 16,40% 32,47% 34,87% 84,36% 635,01% 179,31% 191,14% 506,88% 541,03% 290,66% 288,84% 186,63% 141,56% 171,42% 176,23% 172,38%

32 Sub-funds Eurizon Investment SICAV - Insurance Unit Europe Bonds Eurizon Investment SICAV - Insurance Unit Europe Short Term Eurizon Investment SICAV - Insurance Unit High ield Eurizon Investment SICAV - Insurance Unit High ield Eurizon Investment SICAV - Insurance Unit High ield Eurizon Investment SICAV - Insurance Unit Investment Grade Eurizon Investment SICAV - Insurance Unit Investment Grade Eurizon Investment SICAV - Insurance Unit Investment Grade Eurizon Investment SICAV - PB Bond Corporate EUR Eurizon Investment SICAV - PB Equity EUR Eurizon Investment SICAV - PB Equity US Eurizon Investment SICAV - Scudo Eurizon Investment SICAV - Strategic Europe Portfolio turnover 10,36% 178,84% 9,01% 20,34% 51,01% 24,09% 17,36% 10,46% 10,32% 81,22% 6,10% 336,28% 445,62% The portfolio turnover data has been computed by the Central Administration, using the method described in the CSSF Circular 2003/122 issued on 19 December 2003: Turnover = [(Total 1 Total 2)/M] * 100 With: Total 1 = Total of securities transactions during the relevant period = X +, where X = purchases of securities and = sales of securities. Total 2 = Total of transactions in shares of the UCITS during the relevant period = S + T, where S = subscriptions of shares of the UCITS and T = redemptions of shares of the UCITS. M = average monthly assets of the UCITS. b. Assessment by the independent auditor Procedures carried out by Ernst & oung S.A. We have verified the arithmetical accuracy of the figures provided by SSBL. Conclusion Based on the procedures described above, nothing came to our attention to indicate that the turnover calculations are not arithmetically accurate for the year ended 31 December Performance fees a. Description As per the Prospectus, the following sub-funds of the Fund are subject to performance fees for the year ended 31 December 2012: - Eurizon Investment SICAV - Scudo, - Eurizon Investment SICAV - EMU Cash, - Eurizon Investment SICAV - Europe Equities,

33 - Eurizon Investment SICAV - Insurance Unit Europe Bonds, - Eurizon Investment SICAV - Strategic Europe. For the description of the calculation methods of performance fees, please refer to the Prospectus. b. Assessment by the independent auditor Procedures carried out by Ernst & oung S.A. In the course of our usual audit procedures, we have verified that the performance fees for all subfunds of the Fund have been computed accurately and in accordance with the terms of the Prospectus for the year ended 31 December Conclusion Based on the procedures described above, nothing came to our attention to indicate that the performance fees were not properly computed for the year ended 31 December Soft commissions or similar arrangements and rebates - We obtained from the Board of Directors written representation that in connection with the management of the Fund no soft commissions or similar arrangements were in place during the year ended 31 December We obtained from the Board of Directors written representation that neither the manager nor any related party of the manager received rebates from brokers Retrocessions We obtained from the Board of Directors written representation that neither the manager nor any related party of the manager received retrocessions or rebates from managers of investee funds Expenses a. Description Refer to Section for the detail of the expenses charged to the Fund for the year under review., the other charges and taxes amounting to EUR consist of: - Administration fees, - Registrar and Transfer Agent fees, - Professional fees, - Legal fees, - Printing fees, - Miscellaneous. Transaction costs Total transaction costs for the year ending 31 December 2012 amount to EUR and are included in the cost of acquisition of the related investments. Please refer to the Notes to the financial statements for more details

34 b. Assessment by the independent auditor Procedures carried out by Ernst & oung S.A. We have obtained a list of all expenses (refer to Section 2.5.1) and reviewed the significant expenses in the course of our audit procedures. Conclusion Based on our usual audit procedures, nothing came to our attention to indicate that such expenses are not in accordance with the contractual arrangements and the Prospectus for the year ended 31 December

35 2.6 NAV publication Description of the NAV publication procedures As per Article 157 of the Law of 17 December 2010 and in accordance with the Prospectus, the Fund is required to make public the issue, sale and repurchase price of the shares issued for each sub-fund on each calculation date. The NAV publication process ensures that the NAV is made public at the registered office of the Fund and is available at the office of the Transfer Agent. This NAV publication process includes displaying Net Asset Values on Finesti website Assessment by the independent auditor Procedures carried out by Ernst & oung S.A. We ensured that, on a random sample basis, the Net Asset Value in the Finesti reports of the Fund were consistent with figures calculated by the Central Administration on each particular valuation date. Conclusion Based on the procedures described above, nothing came to our attention to indicate that the Fund did not publish its NAV in accordance with Article 157 of the Law of 17 December 2010, and in accordance with its Prospectus for the year ended 31 December

36 2.7 Results of reconciliations Description of the reconciliation procedures Please refer to Section for the reference of the reconciliation procedures performed by SSBL Assessment by the independent auditor Procedures carried out by Ernst & oung S.A. As part of our usual audit procedures, we examined the results of the reconciliation procedures performed by SSBL for the Fund as at 31 December More specifically, we reviewed the following reconciliations performed by SSBL as at 31 December 2012: - Cash; - Securities; - Other financial instruments. Finding Please refer to Appendix 2. Conclusion Based on our usual audit procedures and except for item noted above, nothing came to our attention to indicate that the reconciliations were not carried out in a satisfactory manner as at 31 December

37 2.8 Late trading and market timing Description of late trading and market timing procedures The Directors have addressed CSSF Circular 2004/146 as follows: In order to protect the Fund and its investors against late trading and market timing practices, the Directors have addressed CSSF Circular 2004/146 as follows: - Cut-off times for subscriptions and redemptions are clearly identified in the Prospectus and no orders are accepted from investors after these times. The fund administrator applies strictly the defined cut-off times. - The Prospectus mentions the following in regard of cut-off time : - The Fund's shares are priced on a forward basis as subscriptions, conversions and redemptions are dealt with an unknown net asset value. In that view, the Directors have of the view that its sub-funds are not susceptible to market timing by virtue of their structure. The practice of market timing will not be accepted by the Fund and orders may be rejected if suspected to be linked to market timing. Procedures regarding market timing and late trading were approved by the Directors. The Directors requested an undertaking from their service providers that they have adequate measures in place regarding market timing, late trading and employee transactions. Contractual undertakings have been requested from intermediaries confirming that they will not permit transactions they know or suspect to be market timing. There is a contractual agreement in place with intermediaries that all orders submitted to IFDS have been received by the intermediary before cut-off time. The promoter has in place procedures to monitor employee transactions. The Board of Directors has put in place market timing procedures Assessment by the independent auditor Procedures carried out by Ernst & oung S.A. - We read the Prospectus. - We received written representations from the Board of Directors that they have provided us with the description of the procedures and controls in place to prevent market timing and late trading in the Fund and that there were no cases of market timing and late trading identified in the Fund. - We ensured that the Prospectus includes a statement indicating that the Fund does not permit practices related to market timing and that the Fund reserves the right to reject subscription and conversion orders from an investor who the Fund suspects of using such practices and to take, if appropriate, the necessary measures to protect the other investors of the Fund

38 - We have tested a sample of subscriptions and redemptions to verify that IFDS has respected the Fund cut-off time per the Prospectus. Our testing has been performed on a global basis for the funds audited by Ernst & oung S.A. at SSBL. The sample size consisted of at least 1 item per fund and at least 25 items per transfer agent. The tested transaction orders have been selected partially randomly and partially on a judgmental basis. Out of the transaction register, we have selected 8 transactions, out of which 4 orders were related to redemptions and 4 orders were related to subscriptions. Conclusion Based on the procedures described above and written representation received from the Board of Directors, nothing came to our attention to indicate that late trading or market timing occurred in the Fund during the year ended 31 December

39 3. Internet An internet website exclusively dedicated to the activities of the Fund exists. This website only provides information to investors and cannot be used as a platform of distribution of the Fund s shares. The internet website: presents different information such as: - Legal information in relation to the Fund (Prospectus, Management Regulations and Key Investor Information); - Last Annual Report and Semi-Annual Report; - NAV/Shares, performances of the Fund. Procedures carried out by Ernst & oung S.A. The Board of Directors confirmed us that no internet website was used as a platform of distribution of the Fund s shares for the year ended 31 December

40 4. Investor complaints Procedures carried out by Ernst & oung S.A. We obtained from the Board of Directors written representation that the Central Administration and/or the Board of Directors received no investor complaints in Luxembourg in relation to the year under review

41 5. Follow-up of issues raised in the previous report on the activity of the Fund or the management letter 1. On 23 April 2012, Ernst & oung S.A. issued the long form report on the activity of the Fund in accordance with CSSF Circulars 2002/81 and 2004/146 as of 31 December 2011 and had noted the following matters which have been brought to the attention of the Board of Directors: Section Section related to the Central Administration and Section related to the Depositary Bank Section related to reconciliations Description of significant exception or point for improvement We referred to the points raised in the Global Fund Accounting and Custody SOC of State Street Corporation and in the Transfer Agent SOC of International Financial Data Services (Luxembourg) S.A.. During the course of our audit of the Fund as of 31 December 2011, we noted that the Central Administration did not finalize timely the reconciliation of the swap positions due to late confirmations received from the counterparties. This would lead to a late identification and, where necessary, regularization of any differences. Description of current status We refer to the Global Fund Accounting and Custody SOC for the period from 1 October 2011 to 30 September We refer to the Transfer Agent SOC for the period from 1 October 2011 to 30 September The point is still opened. Please refer to Appendix

42 2. On 23 April 2012, Ernst & oung S.A. issued a Management Letter related to the audit of the Fund as of 31 December 2011 and had noted the following matters which have been brought to the attention of the Board of Directors: Section Respect of diversification rules Description of significant exception or point for improvement We had noted that the diversification rules foreseen in the law of 17 December 2010 were not respected for the subfund "Eurizon Investment SICAV - Insurance Unit Euro Equities following a massive redemption occurred on 10 August The diversification rules have been respected following a massive subscription recorded on 29 February Description of current status The point is closed. Accrual of central administration fees We had noted that the fee rate used in the accounting to calculate the administration fees was equal to 0,11 % for the subfunds Eurizon Investment SICAV - PB Equity EUR, Eurizon Investment SICAV - PB Equity US, Eurizon Investment SICAV - Flexible Bond 2 and Eurizon Investment SICAV - Flexible Bond Plus 2 whereas the Exhibit 1 of the Management Company Agreement (signed on 15 December 2011) mentioned a rate of 0,08 % for those fees. The impacts were nevertheless not material for all the sub-funds concerned. The point is closed

43 - Statutory - Additional Eurizon Investment SICAV 6. Overall conclusion 6.1 Significant exceptionslweaknesses described in the management letter as of 31 December2012 Please refer to Appendix Points for improvement described in the report on the activity of the Fund as of 31 December 2012 According to our mandate given in accordance with the CSSF Circulars 2002/81 and 2004/1 46, we have been engaged to act as independent auditors (réviseurs d entreprises agrees) for the purposes of the following engagements: audit of the financial statements of the Fund for the year ending 31 December 2012; procedures described in the CSSF Circulars 2002/77, 2002/81 and 2004/1 46 issued by the Commission de Surveillance du Secteur Financier. During the course of our review, we noted the following matters which we believe should be brought to the attention of the Board of Directors: Sections and We refer to the points raised in the Global Fund Accounting and Custody SOC of State Street Bank Luxembourg S.A. and in the Transfer Agent SOC of International Financial Data Services (Luxembourg) S.A.. Based on our work performed and except for those items referred to above, nothing came to our attention to indicate that the controls surrounding the activity of the Fund suffer significant deficiencies for the year ended 31 December Comments from the Board of Directors of the Fund Please refer to Appendix 2. Ernst & oung Société Anonyme agree Luxembourg, 26 April

44

45 Risk Management Process EURIZON CAPITAL S.A. Luxembourg, December 2012

46 INDEX Purpose and Scope Organization and Governance of Risk Management Function Organization of the Risk Management Function Operational & Credit Risk Control Financial Risk Management Risk Management Structure Governance of the Risk Management Function Independence of the Risk Management Function Risk Management Policy Risk Covered by the Risk Management Policy Procedures included in the Risk Management Process Permanent Risk Management Function Roles and Responsibilities Risk Profiling Process Adequacy and Effectiveness of the Risk Management Policy Risk Reports Market Risk Reports Liquidity Risk Reports Counterparty Risk Reports Operational Risk Reports Credit Risk Reports Compliance Reports (Investment Restrictions) IT Systems Third Parties Agreements Eurizon Capital Sgr S.p.A State Street Bank Luxembourg S.A New Products, Instruments, Investments and Activities Compliance and Audit Participation on RM Activities Determination and Monitoring of the Global Exposure General Issues Global Exposure Frequency Calculation Risk Profiling Process Global Exposure Calculation Methods Additional Risk Measurement Methods Commitment Approach Commitment Approach and ESMA Guidelines FDI not Covered by ESMA Conversion Methodologies Alternative Approaches Used for Non-Standard FDI Netting and Duration-Netting Rules Hedging Rules Efficient Portfolio Management Techniques VaR Approach System Coverage Process for Determining the Maximum Limits in VaR Tasks to be Carried out by the Risk Management Function The Validation Process of the VaR Model...25 Page 2 of 48

47 2.3.5 The VaR Calculation Model The Calculation Standards Used in the VaR Model Risks Coverage by the VaR Model Completeness and Accuracy of the Risk Assessment Reference Portfolio for the Relative VaR Back Testing Stress Testing Disclosure Prospectus and Annual Report information Leverage Calculation Determination and Monitoring of the Liquidity Risk Liquidity Risk Policy Conformity of the Liquidity Risk Policy Liquidity Risk Stress Test Determination and Monitoring of the Counterparty Risk - OTC Derivatives OTC Derivatives Counterparty Risk Policy Ex-ante monitoring Ex-post monitoring Counterparty Selection Process Monitoring OTC Counterparty Risk Calculation OTC Counterparty Risk Mitigation Netting and Collateral Posting Determination and Monitoring of the Counterparty Risk - Efficient Portfolio Management Techniques and Instruments Counterparty Risk Efficient Portfolio Management Counterparty Selection Process Counterparty Risk Mitigation Determination and Monitoring of the Operational Risk Operational Risk Policy Detection of operational risks and controls Business Continuity Policy Determination and Monitoring of the Concentration Limits Concentration Risk Policy Ex-Ante Monitoring Ex-Post Monitoring Derivative Financial Instruments Not Covered by the Commitment Approach within the Concentration Limit Determination and Monitoring of the Valuation Risk Valuation Risk Policy Illiquid and Complex Instruments (not FDI) Determination and Monitoring of Legal Risk The Legal Risk Linked to the OTC Derivatives...42 Page 3 of 48

48 10. Valuation of OTC Derivatives Valuation Risk Policy for OTC Derivatives OTC Derivatives Positions: List and Valuing Principles Monitoring of Cover Rules The Cover Rules for Financial Derivative Instruments Transactions Management Companies and Individual Management List of Products Concluding Chapter Compliance of the Risk Management Process with the Law Outstanding Developments Annexes...48 Annex 1: Eurizon Capital S.A. Methodological Documentation...48 Annex 2: Eurizon Capital S.A. Risk Reports...48 Annex 3: BarraOne Methodological Documentation...48 Annex 4: Deloitte Market Risk Measurement Model Review...48 Annex 5: Eurizon Capital S.A. List of Products...48 Annex 6: Report on Derivative Instruments - Ex Art.50 CSSF Regulation Page 4 of 48

49

50 !IIRt4JST&) OLJf\1G 7, rue Gabriel Lippmann Parc d Activité Syrdall 2 L-5365 Munsbach B.P. 780 L-2017 Luxembourg Tel: Fax: To the Board of Directors of Eurizon Investment SICAV 49, avenue J.F. Kennedy L Luxembourg R.C.S. Luxembourg B TVA LU Luxembourg, 23 April 2013 Eurizon Investment SICAV - Management letter as of 31 December 2012 Dear Sirs, In relation to our audit of the financial statements of Eurizon Investment SICAV (the Fund ) for the year ended 31 December 2012, the Board of Directors of the Fund is responsible for establishing and maintaining the internal control structure. In fulfilling their responsibilities, estimates and judgments are required to assess the expected benefits and related costs of internal control structure policies and procedures. The objective of an internal control structure is to provide reasonable, but not absolute, assurance that assets are safeguarded against loss from unauthorized use or disposition and that transactions are executed in accordance with the law and the prospectus and are recorded properly in order to permit preparation of financial statements in conformity with generally accepted accounting principles. Because of inherent limitations in any internal control structure, errors or irregularities may occur and not be detected. Also, projection of any evaluation of them to future periods is subject to the risk that it may become inadequate because of changes in conditions or deterioration in its operating effectiveness. In planning and performing our audit of the financial statements of the Fund for the year referred to above, we considered its internal control structure in order to determine our auditing procedures for the purpose of expressing an opinion on the financial statements and not to provide separate assurance on the internal control structure. Our audit was designed to provide reasonable assurance, but not a guarantee, of detecting any errors, irregularities or items of non-compliance that would have a material impact to the financial statements, and not for the purpose of providing separate assurance on such matters. Our audit involves evaluating only those systems and controls in your organization upon which we wish to rely for the purpose of forming our opinion on the financial statements taken as a whole. Furthermore, our work should not be relied upon to disclose defalcations or other similar irregularities, although their disclosure, if they exist, may well result from the audit tests we undertake. We have, however, noted no such matters. We attach a memorandum of the matters arising as a result of the audit of the financial statements for the year ended 31 December The comments in this memorandum are based on our general observations, a reading of the applicable documents and the results of our work from tests conducted during the audit of the financial statements referred to above. Accordingly, when reading these comments, account should be taken of the limited basis on which they were developed. A member firm of Ernst & oung Global L,mited

51 2/2 Enclosure: Memorandum to the Management Letter dated 23 April 2013 Sylvesta Cabinet de revision agréé ours faithfully, Société Anonyme Ernst & oung The letter is intended solely for the use of the Board of Directors and Management of the Fund, as well as 23Apr IAIIERNST&OUNG the CSSF, and should not be used for any other purpose. A member firm of Ernst & oung Global Limited appreciation for the cooperation extended to our staff during the course of their work. We would be pleased to answer any questions you may have at your convenience. We wish to express our

52 Observation 1. Reconciliation of forward foreign exchange contracts dated 23 April October computation error in the Sub-Fund Eurizon Investment SICAV - Flexible Bond 2 has been issued on Action Plan presented by State Street Bank Luxembourg S.A. on 19 July 2012 in relation to the NAV A report of the Independent Auditor on the correction process implemented in relation to the Remedial The NAV error was communicated to the CSSF on 1 October 2012 pursuant to the requirements of the CSSF Circular 2002/ and was corrected on 19 July Bond 2. The error resulted from the incorrect booking in the accounting of a Credit Default Swap Flexible Bond 2 to be understated by maximum 1.28% during the period from 29 June 2012 to 9 July (underlying XSO ). The error led the NAV of the Sub-Fund Eurizon Investment SICAV - On 29 June 2012, a material NAV computation error occurred in Eurizon Investment SICAV - Flexible 2. CSSF Circular 2002/77: Remedial Action Plan sent to CSSF on 8 March No differences came out of the reconciliation and no regularization was necessary. The reconciliation of all OTC contracts based on open positions as at 31 December 2012 was finalized Comments from the Board of Directors of the Fund exchange contracts with these counterparties in order to ensure that positions are timely reconciled. We recommend to the central administration to put in place controls on reconciliations of forward foreign Recommendation Administration did not finalize timely the reconciliation of the forward foreign exchange contracts due to late confirmations received from the counterparties. This could lead to a late identification and, where necessary, regularisation of any differences. During the course of our audit of the Fund as of 31 December 2012, we noted that the Central Memorandum to the Management Letter Eurizon Investment SICAV