Fidante Partners Liquid Strategies ICAV (the ICAV ) WyeTree North American ABS Fund (Formerly WyeTree US Fund) (the Sub-Fund )

Transcription

1 Fidante Partners Liquid Strategies ICAV (the ICAV ) WyeTree North American ABS Fund (Formerly WyeTree US Fund) (the Sub-Fund ) Unaudited Interim Financial Statements For the period from 13 December 2016 (Date of Authorisation) to 30 June 2017

2 Contents Page General Information 1 Investment Manager s Report 2-3 Schedule of Investments 4-7 Condensed Statement of Financial Position 8 Condensed Statement of Comprehensive Income 9 Condensed Statement of Changes in Net Assets 10 Notes to the Financial Statements Significant Portfolio Changes 18-20

3 General Information Board of Directors of the ICAV* Administrator, Register and Transfer Agent James F. McKeon (Independent) J.P. Morgan Administration Services (Ireland) Limited Victoria Parry (Independent) J.P. Morgan House Mark Woolhouse** International Financial Services Centre Catherine Hales*** Dublin 1 Richard Banh (Alternate to Catherine Hales)*** Ireland *All Directors are non-executive Secretary **Mark Woolhouse resigned on 22 March 2017 MFD Secretaries Limited ***Catherine Hales and Richard Banh were appointed on 21 June Molesworth Street Dublin 2 Ireland Platform Manager and Distributor Fidante Partners (Europe) Limited Irish Legal Advisers 1 Tudor Street Maples and Calder London 75 St Stephen s Green ECAY OAH Dublin 2 United Kingdom Ireland Investment Manager to the Sub-Fund Auditor and Irish Tax Advisers WyeTree Asset Management Limited KPMG Level 6 1 Harbourmaster Place 1 Tudor Street International Financial Services Centre London Dublin 1 EC4Y 0AH Ireland United Kingdom Registered Office Cash Manager Fidante Partners Liquid Strategies ICAV J.P. Morgan Asset Management (UK) Limited 32 Molesworth Street 60 Victoria Embankment Dublin 2 London EC4Y 0JP Ireland United Kingdom Depositary J.P. Morgan Bank (Ireland) plc JP Morgan House International Financial Services Centre Dublin 1 Ireland 1

4 Investment Manager s report For the period 4 January 2017 to 30 June 2017 Investment Objective WyeTree North American ABS Fund (the Sub-Fund ) investment objective is to seek to capture potential capital and income returns through investment in securitised products in the U.S. market. Sub-Fund Performance Net Performance: 5.74%* * Pre-distribution from the Sub-Fund launch date of 4th January The Sub-Fund had an exceptional start to 2017, returning 5.74% YTD. This compares favourably with the Sub-Fund s return target of Libor+4% and we are positive about the outlook for the second half of the year. Trading activity has been high over the past six months, the portfolio management team executed 57 trades (30 buys, 27 sells) which is higher than the annual number of trades for the years in the legacy non-ucits version of this Sub-Fund, and is higher than for the first half of This mostly reflects the changes to the Sub-Fund s positioning made over the course of the first quarter. Sub-Fund positioning was relatively cautious at the start of the year with around 28.5% of assets in defensive assets. This was an overhang from the US elections in November for which we had prepared defensively in case of any volatility. As a result the team were fairly active in adding beta, rotating out of Non-Agency RMBS (47.5% allocation as of 30th June 2017 from 61.3% on 5th January 2017, excluding cash levels) and SFR s (9.0% from 16.7%), into CRT s (1.9% to 19.0%) and CLO s (20.1% to 23.8%). This has allowed us to benefit significantly from spread compression over the past few months. The cash allocation was 19% at 30th June 2017 due to a subscription being received just before month end which was in the process of being allocated across the various fund strategies. Strategy Allocation as of 30 June 2017 Gross Performance (2017 YTD) Non-Agency RMBS Senior Front Pay 38% 8.9% Non-Agency RMBS Senior Non-Front Pay 0% 0.0% Non-Agency RMBS Mezzanine 0% 0.3% Single Family Rental 7% 3.2% Credit Risk Transfer 16% 7.8% CLO 19% 5.8% Other ABS 1% 3.0% Cash 19% - Total 100% 7.4% Market Update The underlying reasons for the performance year to date are not too dissimilar to other markets. Despite the policy paralysis in Washington, policymakers at the Federal Reserve have been decisive in raising rates and paving the way for balance sheet normalisation as Janet Yellen s premiership potentially draws to a close. This seems somewhat justified as the US economy has gone from strength to strength. Headline non-farm payrolls were above 200,000 in four of the past six months and the unemployment rate has consistently been below 4.5%. The US manufacturing PMI meanwhile has jumped from 47.9 in December to 57.8 today. Although wage growth has been subdued, the economic climate otherwise seems to be fairly stable. The lengthy rally which started in the second quarter of 2016 has resulted in stock markets testing new highs and investors becoming ever hungrier for yield. This has been a driver of performance in the ABS markets too. Real money demand has been strong in Non- Agency RMBS due to the attractive relative valuations compared to US Corporate Credit. Similar trends have been seen in both Credit Risk Transfers and CLO s. Within Non-Agency RMBS the trends in credit quality have been positive too: default rates have been stable around 4.5%, while prepay rates and loss severities have improved (6.2% and 66% respectively). Despite rising rates Subprime investors are mostly indifferent as the majority are paying fixed rates following loan modifications. Our modelling also shows that the interest rate duration of our Subprime senior positions is well contained. Credit Risk Transfers have been at the forefront of the current market rally driven primarily by the search for yield within residential credit and the very stable performance in the underlying credit quality. Freddie Mac and Fannie Mae have now settled into a very structured issuance programme which has provided predictability and stability to this growing asset class. In addition as the number of market makers in the space has expanded the depth of the market has improved noticeably. 2

5 Investment Manager s report (continued) For the period 4 January 2017 to 30 June 2017 Market Update (continued) The end of 2016/start of 2017 saw CLO spreads rally significantly. During this time we have been rotating into higher quality deals and CLO managers as well as up the capital structure more recently. In terms of spreads, B-rated tranches have rallied from 1,000DM to 700DM today, while BB-rated tranches have rallied similarly. The main theme in this market has been the high number of resets and refinancings as CLO managers have looked to take advantage of spread compression. A small part of our CLO allocation has therefore been in securities which we expect to reset based on overall deal characteristics. In March this year we made our first investment in the small business lending ABS market. The deal is backed by tens of thousands of loans to small and medium sized businesses across the US all underwritten using the latest advances in data mining and machine learning. Small enterprise forms the backbone of the economy and with President Trump looking to boost growth by putting American business first these are precisely the types of companies that are likely to benefit. This investment is therefore a logical extension of our constructive outlook on the US economy and allows us to diversify our investments within the portfolio. Due to the relatively new nature of the business we were able to invest in the BBB-rated tranche at a credit spread of 400 bps, which we think offers good relative value. The US ABS markets continue to innovate with new issuers joining the market every quarter. This includes in areas such as Property Assessed Clean Energy (PACE) financing and student loans. A number of these lenders are looking to arbitrage the current low rate environment and the post-crisis regulatory landscape which prevents banks from lending to lower quality borrowers. We expect to continue monitoring this space as and when new (and relatively uncorrelated) opportunities arise. Going into the second half of the year we do not expect a material change in the underlying fundamentals of the market. Given the rally to date, we expect to look to barbell the portfolio by investing new cash into more defensive positions with shorter durations in order to reduce the overall beta of the portfolio. We believe this will allow us to be better positioned going into the second half of the year should a potential volatility event arise. WyeTree Asset Management Limited August

6 Schedule of Investments As at 30 June 2017 Coupon Maturity Fair Value % of Net Investments Rate Date Currency Holding USD '000 Asset Value Bonds Fixed Asset-Backed Securities United States Kabbage Asset Securitization LLC, Series 017-1X 'B' 5.79% 15/03/2022 USD 500, United States total Total investments in Fixed Asset-Backed Securities Variable Asset-Backed Securities Cayman Islands Allegro CLO Ltd., FRN, Series X 'E' 8.16% 15/01/2029 USD 1,080,000 1, ALM XVI Ltd., FRN, Series X 'E' 7.91% 15/07/2027 USD 2,000,000 1, Carlyle Global Market Strategies CLO Ltd., FRN, Series X 'D' 8.76% 20/04/2027 USD 1,000,000 1, CIFC Funding Ltd., FRN, Series X 'E' 7.05% 20/04/2030 USD 2,000,000 1, CIFC Funding Ltd., FRN, Series X 'D' 0.00% 20/07/2030 USD 2,250,000 2, ICG US CLO Ltd., FRN, Series X 'A1' 2.54% 16/01/2028 USD 1,800,000 1, ICG US CLO Ltd., FRN, Series X 'D' 7.79% 29/07/2028 USD 1,250,000 1, Monroe Capital BSL CLO Ltd., FRN, Series X 'D' 5.00% 22/05/2027 USD 2,000,000 2, MP CLO VIII Ltd., FRN, Series X 'E' 6.94% 28/10/2027 USD 1,000,000 1, OCP CLO Ltd., FRN, Series X 'A1B' 2.47% 17/07/2026 USD 1,300,000 1, Cayman Islands total 15, United States ACE Securities Corp. Home Equity Loan Trust, FRN, Series 2006-FM1 'A2D' 1.47% 25/07/2036 USD 2,545, Asset Backed Securities Corp. Home Equity Loan Trust, FRN, Series 2006-HE5 'A4' 1.36% 25/07/2036 USD 658, Bear Stearns Asset Backed Securities I Trust, FRN, Series 2007-HE2 '1A2' 1.39% 25/03/2037 USD 1,257,884 1, Carrington Mortgage Loan Trust, FRN, Series FRE2 'A3 1.18% 25/10/2036 USD 2,439,938 1, Citigroup Mortgage Loan Trust, FRN, Series 2006-AMC1 'A2B' 1.38% 25/09/2036 USD 1,916,114 1, Citigroup Mortgage Loan Trust, Inc., FRN, Series 2003-HE3 'A' 1.40% 25/12/2033 USD 180, Colony Starwood Homes Trust, FRN, Series X 'E' 4.35% 17/12/2033 USD 681, Colony Starwood Homes Trust, FRN, Series X 'F' 5.14% 17/12/2033 USD 635, Fieldstone Mortgage Investment Trust, FRN, Series '2A2' 1.11% 25/11/2036 USD 2,477,606 1, Fieldstone Mortgage Investment Trust, FRN, Series '2A1' 1.33% 25/04/2047 USD 1,543,094 1, First Franklin Mortgage Loan Trust, FRN, Series 2006-FF8 'IIA3' 1.37% 25/07/2036 USD 458,

7 Schedule of Investments (continued) As at 30 June 2017 Coupon Maturity Fair Value % of Net Investments Rate Date Currency Holding USD '000 Asset Value Bonds (continued) Variable Asset-Backed Securities (continued) United States (continued) First Franklin Mortgage Loan Trust, FRN, Series 2007-FF1 'A2B' 1.31% 25/01/2038 USD 676, Fremont Home Loan Trust, FRN, Series E '2A1' 1.28% 25/01/2037 USD 2,058,249 1, GSAMP Trust, FRN, Series 2007-FM1 'A2A' 1.29% 25/12/2036 USD 1,434, GSAMP Trust, FRN, Series 2007-FM1 'A2C' 1.39% 25/12/2036 USD 2,233,866 1, GSAMP Trust, FRN, Series 2007-FM2 'A2B' 1.31% 25/01/2037 USD 2,804,187 1, GSAMP Trust, FRN, Series 2007-H1 'A1B' 1.22% 25/01/2047 USD 629, GSAMP Trust, FRN, Series 2007-H1 'A2B' 1.22% 25/01/2047 USD 629, GSAMP Trust, FRN, Series 2007-NC1 'A2A' 1.27% 25/12/2046 USD 682, Home Partners of America Trust, FRN, Series X 'F' 4.62% 17/07/2034 USD 1,000,000 1, HSI Asset Securitization Corp. Trust, FRN, Series 2006-HE1 '2A2' 1.13% 25/10/2036 USD 3,067,697 1, HSI Asset Securitization Corp. Trust, FRN, Series 2007-HE1 '2A3' 1.21% 25/01/2037 USD 1,925,921 1, HSI Asset Securitization Corp. Trust, FRN, Series 2007-HE1 '2A4' 1.30% 25/01/2037 USD 1,326, Invitation Homes Trust, FRN, Series SF3X 'E' 5.50% 17/12/2031 USD 196, Mastr Asset Backed Securities Trust, FRN, Series 2006-HE2 'A3' 1.17% 25/06/2036 USD 1,073, Merrill Lynch First Franklin Mortgage Loan Trust, FRN, Series '2A2' 2.22% 25/10/2037 USD 458, Morgan Stanley IXIS Real Estate Capital Trust, FRN, Series 'A3' 1.37% 25/11/2036 USD 3,360,513 1, Progress Residential Trust, FRN, Series SF1X 'F' 6.00% 17/09/2033 USD 956, Progress Residential Trust, FRN, Series SF2X 'F' 5.22% 17/01/2034 USD 1,000,000 1, RAMP Trust, FRN, Series 2006-EFC2 'A3' 1.38% 25/12/2036 USD 1,537,318 1, Soundview Home Loan Trust, FRN, Series 2006-EQ2 'A2' 1.33% 25/01/2037 USD 1,207, Soundview Home Loan Trust, FRN, Series 2006-EQ2 'A4' 1.46% 25/01/2037 USD 304, Specialty Underwriting & Residential Finance Trust, FRN, Series 2006-BC5 'A2C' 1.32% 25/11/2037 USD 533, WaMu Trust, FRN, Series 2007-HE2 '2A1' 1.13% 25/04/2037 USD 1,151, WMABS Trust, FRN, Series 2007-HE1 '2A3' 1.46% 25/11/2036 USD 2,059, United States total 31, Total investments in Variable Asset-Backed Securities 47,

8 Schedule of Investments (continued) As at 30 June 2017 Coupon Maturity Fair Value % of Net Investments Rate Date Currency Holding USD '000 Asset Value Bonds (continued) Variable Mortgage-Backed Securities United States Fannie Mae Connecticut Avenue Securities, FRN, Series 2017-C02 '2B1' 6.52% 25/09/2029 USD 1,500,000 1, Fannie Mae Connecticut Avenue Securities, FRN, Series 2017-C02 '2M2' 4.87% 25/09/2029 USD 2,693,484 2, Fannie Mae Connecticut Avenue Securities, FRN, Series 2017-C04 '2B1' 6.09% 25/11/2029 USD 2,500,000 2, Freddie Mac Structured Agency Credit Risk Debt Notes, FRN, Series 2017-DNA2 'M2' 4.47% 25/10/2029 USD 2,500,000 2, Freddie Mac Structured Agency Credit Risk Debt Notes, FRN, Series 2017-HQA1 'M2' 4.77% 25/08/2029 USD 2,500,000 2, GreenPoint MTA Trust, FRN, Series 2005-AR1 'A2' 1.46% 25/06/2045 USD 1,615,570 1, RALI Trust, FRN, Series 2005-QO3 'A1' 1.42% 25/10/2045 USD 1,288,906 1, RALI Trust, FRN, Series 2007-QH2 'A1' 1.36% 25/03/2037 USD 1,712,376 1, United States total 16, Total investments in Variable Mortgage-Backed Securities 16, Total Bonds 64, Underlying Currency Amount Currency Amount Exposure Maturity Fair Value % of Net Purchased Purchased Sold Sold USD '000 Date USD '000 Asset Value Forward Currency Contracts 1 EUR 129,000 USD 144, /07/ GBP 20,577,000 USD 26,068,158 26,801 12/07/ GBP 17,500,000 USD 22,268,313 22,793 12/07/ GBP 226,000 USD 286, /07/ GBP 81,000 USD 102, /07/ GBP 30,000 USD 38, /07/ Total unrealised gain on Forward Currency Contracts 1, Total financial assets at fair value through profit or loss 65, Cash and Cash Equivalents 17, Other assets and liabilities (2,082) (2.58) Net asset value attributable to redeemable participating shareholders 80,

9 Schedule of Investments (continued) As at 30 June 2017 Analysis of total assets % of total assets Transferable securities admitted to official stock exchange listing or traded on a regulated market Over-the-counter financial derivative instruments 1.54 Other assets Total Assets Forward currency contracts are traded with the following counterparty: State Street. 7

10 Condensed Statement of Financial Position Current Assets Notes As at 30 June 2017* USD '000 Financial Assets at Fair Value Through Profit or Loss: Bonds 4 64,309 Derivative Financial Assets 4 1,284 65,593 Financial Assets measured at Amortised Cost: Cash and Cash Equivalents 8 17,312 Other Receivables 193 Total Current Assets 83,098 Current Liabilities Financial Liabilities measured at Amortised Cost: Payables and Other Liabilities 2,275 Total Liabilities (excluding net assets attributable to holders of Redeemable Participating Shares) 2,275 Net Asset Value Attributable to Redeemable Participating Shareholders at the end of the period 80,823 The accompanying notes form an integral part of the financial statements. *There is no comparative period information as the Sub-Fund launched on 4th January

11 Condensed Statement of Financial Position For the period 13 December 2016 to 30 June 2017* USD '000 Investment Income Interest Income 828 Net Realised Gain on Financial Assets Held at Fair Value Through Profit or Loss 1,165 Net Change in Unrealised Gain on Financial Assets Held at Fair Value Through Profit or Loss 1,555 Net Change in Unrealised Gain on Financial Derivative Instruments 1,284 Total Investment Income 4,832 Operating Expenses (154) Net Increase in Net Assets Attributable to Redeemable Participating Shares 4,678 In arriving at the results for the period, all amounts relate to continuing operations. The accompanying notes form an integral part of the financial statements. *There is no comparative period information as the Sub-Fund launched on 4th January

12 Condensed Statement of Changes in Net Assets For the period 13 December 2016 to 30 June 2017* USD '000 Change in Net Assets Net Increase in Net Assets Attributable to Redeemable Participating Shareholders from Operations 4,678 Capital Transactions Subscriptions 140,829** Redemptions (64,684) Total Capital Transactions 76,145 Total Increase for the Period 80,823 Net Assets Attributable to Holders of Redeemable Participating Shares Beginning of Period - End of Period 80,823 **The Sub-Fund was launched on 4 January 2017 by way of an in species transfer of USD 60,476,699. The accompanying notes form an integral part of the financial statements. *There is no comparative period information as the Sub-Fund launched on 4th January

13 Notes to Financial Statements For the period from 13 December 2016 to 30 June General WyeTree North American ABS Fund (the "Sub-Fund") is a Sub-Fund of Fidante Partners Liquid Strategies ICAV (the "ICAV") and was approved by the Central Bank of Ireland (the Central Bank ) on 13 December The ICAV is an open-ended umbrella with segregated liability between Sub-Funds. The ICAV is authorised by the Central Bank pursuant to the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011 as amended ( UCITS Regulations ) and the Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective Investment in Transferable Securities) Regulations 2015 as amended ( Central Bank UCITS Regulations ). The ICAV is organised in the form of an umbrella fund and on 30 June 2017 had four Sub-Funds: Commenced Operation Keynes Dynamic Beta Strategy Fund 24 July 2015 PWP North American Equity Long Short Fund 17 May 2016 Whitehelm Capital Listed Core Infrastructure Fund 30 May 2016 WyeTree North American ABS Fund 4 January Basis of Preparation Statement of Compliance The financial statements have been prepared in accordance with the Financial Reporting Standards 104; Interim Financial Reporting Standard applicable in the UK and Republic of Ireland ( FRS 104 ) as issued in March 2015 and the Irish Collective Asset-management Vehicles Act 2015 and the Central Bank UCITS Regulations. The profit and loss account is referred to as the Condensed Statement of Comprehensive Income and the balance sheet is referred to as the Condensed Statement of Financial Position. All gains and losses are reported in the Condensed Statement of Comprehensive Income. 3. Significant Accounting Policies The financial statements are prepared under the historical cost convention as modified by the revaluation of financial assets and financial liabilities held at fair value through profit or loss. The Sub-Fund has been prepared on a going concern basis. The Sub-Fund has availed of the exemption contained in Financial Reporting Standard (FRS) 102, Section 7.1A, Cash Flow Statements, not to present a cash-flow statement. Fair Value Estimation Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Cash and Cash Equivalents Cash and Cash Equivalents in the Condensed Statement of Financial Position may include cash at bank and deposits held on call with banks which are subject to an insignificant risk of changes in value. Foreign Currency Translation Transactions in foreign currencies are translated into the functional currency of the Sub-Fund at the foreign currency exchange rate in effect at the date of the transaction. Subscriptions and redemptions of Shares in foreign currencies are translated at the foreign currency exchange rate in effect at the date of the transaction. Foreign currency assets and liabilities, including investments, are translated at the exchange rate prevailing at year end. The foreign exchange gain or loss based on the translation of the investments, as well as the gain or loss arising on the translation of other assets and liabilities, is included in gains or losses in the Condensed Statement of Comprehensive Income. 11

14 Notes to Financial Statements (continued) For the period from 13 December 2016 to 30 June Significant Accounting Policies (continued) Functional and Presentation Currency Items included in the Sub-Fund s financial statements are measured using the currency of the primary economic environment in which it operates ( the functional currency ). The Sub-Fund s financial statements are presented in US Dollars ( USD ), being both the functional and presentation currency of the Sub-Fund. Fees and Charges In accordance with the Prospectus, management fees, administration fees, depositary fees and other operating fees are charged to the Condensed Statement of Comprehensive Income as the related services are performed. Administration fees, depositary fees and operating fees are shown under Operating Expenses in the Condensed Statement of Comprehensive Income. Basis of measurement All references to net assets throughout this document refer to net assets attributable to holders of redeemable participating shares unless otherwise stated. Financial assets In accounting for its financial instruments a reporting entity is required to apply either a) the full provisions of section 11 "Basis Financial Instruments" and section 12 "Other Financial Instruments" of FRS 102, b) the recognition and measurement provisions of International Accounting Standards (IAS) 39 Financial Instruments: Recognition and Measurement and only the disclosure requirements of Sections 11 and 12 of FRS 102; or (c) the recognition and measurement provisions of International Financial Reporting Standard (IFRS) 9 Financial Instruments and/or IAS 39 (as amended following the publication of IFRS 9 where applicable) and the disclosure requirements of Sections 11 and 12 of FRS 102. The Sub-Fund has elected to apply the recognition and measurement provisions of IAS 39 and the disclosure requirements of sections 11 and 12 of FRS 102. The Sub-Fund classifies financial assets into the following categories: Financial assets at fair value through profit or loss, Loans and receivables. (a) Fair Value Measurement Financial asset at fair value through profit or loss are initially recognised at fair value. Gains and losses arising from changes in the fair value of the financial assets are presented in the Condensed Statement of Comprehensive Income in the period in which they arise. Financial Derivative Instruments Financial Derivative Instruments are categorised as held for trading as the Sub-Fund does not designate any derivatives as hedges for hedge accounting purposes, as described under IAS 39. The Sub-Fund s derivatives comprise forward currency contracts which are recognised initially at fair value. Gains or losses arising on the settlement of Financial Derivative Instruments are included in Net Realised Gain/Loss on Financial Derivative Instruments in the Condensed Statement of Comprehensive Income. Unrealised gains or losses on unsettled forward currency contracts are included in the Condensed Statement of Financial Position with movements in unrealised gains or losses included in the Condensed Statement of Comprehensive Income. Valuation of Financial Assets Bonds and derivative financial assets held as current assets are stated at fair value through profit or loss, and gains and losses arising from this valuation are taken to the Condensed Statement of Comprehensive Income. The fair value of financial assets at fair value through profit and loss is based on quoted market prices at the Condensed Statement of Financial Position date. Financial assets at fair value through profit or loss have been based on a mid valuation. 12

15 Notes to Financial Statements (continued) For the period from 13 December 2016 to 30 June Significant Accounting Policies (continued) (a) Fair Value Measurement (continued) Forward Currency Contracts A forward currency contract is an agreement between two parties to buy or sell a foreign currency at a future date, at a negotiated rate, the purpose of which is to manage currency risk arising from the investment activities of the Sub-Fund. The unrealised gain or loss on open forward currency contracts is calculated by reference to the difference between the contracted rate and the rate to close out the contract as at the period end date. Unrealised gains and losses are included in the Condensed Statement of Financial Position. Realised gains or losses are recognised on the maturity of a contract as the difference between the rate that the contract was entered into and the closing spot rate at the settlement date of the contract. Realised gains or losses and changes in unrealised gains or losses are recognised in the Condensed Statement of Comprehensive Income. Forward currency contracts are valued at the closing prices of the forward currency contract rates in the London foreign exchange markets on a daily basis as provided by a reliable bank or dealer. The Sub-Fund will realise a gain or loss upon the closing or settlement of the forward currency contracts. (b) Loans and Receivables Financial Asset at Amortised Cost Loans and receivables are non-derivative financial assets with fixed or determinable payments that are not quoted in an active market and they are carried at amortised cost. The Sub-Fund includes in this category cash and cash equivalents and other receivables. The amortised cost of a financial asset is the amount at which the instrument is measured at initial recognition (its fair value) adjusted for initial direct costs, minus principal repayments, plus or minus the cumulative amortisation, using the effective interest rate method, of any difference between the initial amount recognised and the maturity amount, minus any reduction for impairment. Impairment of financial assets The Sub-Fund assesses at each reporting date whether a financial asset or group of financial assets classified as receivables is impaired. If there is objective evidence that impairment has occurred, the amount of the loss is measured as the difference between the asset s carrying amount and the present value of the estimated future cash flows discounted using the asset s original effective interest rate. The carrying value of the asset is reduced through the use of an allowance account. (c) Interest Income Interest income is recognised using the effective interest method. The effective interest rate is the rate that exactly discounts future cash payments or receipts throughout the expected life of the financial instrument, or a shorter period where appropriate, to the net carrying amount of the financial asset or financial liability. When calculating the effective interest rate, the Sub-Fund estimates cash flows considering all contractual terms of the financial instruments but does not consider future credit losses. The calculation includes all fees paid or received between parties to the contract that are an integral part of the effective interest rate, transaction costs and all other premiums or discounts. Once a financial asset or a group of similar financial assets has been written down as a result of an impairment loss, interest income is recognised using the rate of interest used to discount the future cash flows for the purpose of measuring the impairment loss. (d) Redeemable Participating Shares The Sub-Fund's Redeemable Participating Shares are classified as liabilities in the Condensed Statement of Financial Position. 13

16 Notes to Financial Statements (continued) For the period from 13 December 2016 to 30 June Significant Accounting Policies (continued) (e) Offsetting Financial assets and financial liabilities are offset and the net amount presented in the Condensed Statement of Financial Position when, and only when, the Sub-Fund has a legally enforceable right to offset the recognised amounts and it intends either to settle on a net basis or to realise the asset and settle the liability simultaneously. Income and expenses are presented on a net basis for gains and losses from financial instruments at fair value through profit or loss and foreign exchange gains and losses. 4. Fair Values of Financial Assets The Sub-Fund has adopted the amendments to FRS 102, Fair Value Hierarchy Disclosures, which are effective for accounting periods beginning on or after 1 January These amendments require the Sub-Fund to categorise its fair value measurements into the levels consistent with the fair value hierarchy set out in International Financial Reporting Standards as adopted for use in the European Union. For financial instruments held at fair value in the Condensed Statement of Financial Position, the Sub-Fund discloses for each class of financial instrument, an analysis of the level in the fair value hierarchy, into which the fair value measurements are categorised. A fair value measurement is categorised in its entirety on the basis of the lowest level input that is significant to the fair value measurement in its entirety. The Sub-Fund utilises various methods to value investments measured at fair value on a recurring and non-recurring basis. FRS 102 establishes a fair value hierarchy that prioritises inputs to valuation methods. For the purpose of these fair value disclosures, the fair value of the financial instruments has been determined using the following fair value hierarchy categories: Level 1: The unadjusted quoted price in an active market for identical assets or liabilities that the entity can access at the measurement date; Level 2: Inputs other than quoted prices included within Level 1 that are observable (ie developed using market data) for the asset or liability, either directly or indirectly; or Level 3: Inputs are unobservable (i.e. for which market data is unavailable) for the asset or liability. Inputs are used in applying the various valuation techniques and broadly refer to the assumptions that market participants use to make valuation decisions, including assumptions about risk. Inputs may include price information, volatility statistics, specific and broad credit data, liquidity statistics and other factors. A financial instrument's level within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement. However, the determination of what constitutes 'observable' requires significant judgement by the Sub-Fund. The Sub-Fund considers observable data to be that market data which is readily available, regularly distributed or updated, reliable and verifiable, not proprietary, and provided by independent sources that are actively involved in the relevant market. The categorisation of a financial instrument within the hierarchy is based upon the pricing transparency of the instrument and does not necessarily correspond to the Sub-Fund s perceived risk of that instrument. Financial instruments whose values are based on quoted market prices in active markets are classified within Level 1, includes all listed equities and futures contracts with regular independent quotes. Financial instruments that trade in markets that are not considered to be active, but are valued based on quoted market prices, dealer quotations or alternative pricing sources supported by observable inputs are classified within Level 2. These include certain Financial Derivative Instruments where the price is calculated internally using observable data. Financial instruments classified as Level 2 traded in markets may be adjusted to reflect illiquidity, such adjustments are based on available market information. All other unquoted instruments are classified into Level 3 by default. 14

17 Notes to Financial Statements (continued) For the period from 13 December 2016 to 30 June Fair Values of Financial Assets (continued) The following table summarises the inputs used to value the Sub-Fund s financial instruments measured at fair value on a recurring and non-recurring basis as at 30 June 2017: Fair value Measurement at 30 June 2017: Level 1 Level 2 Level 3 Total USD '000 USD '000 USD '000 USD '000 Financial Assets at Fair Value Through Profit and Loss Bonds 64,309 64,309 Forward Currency Contracts 1,284 1,284 Total Financial Assets 65,593 65, Fees and Expenses Investment Management Fees - The Investment Management Fee is 0.80% of the Net Asset Value for the Class A Shares, Nil% of the Net Asset Value for the Class M Shares and Nil% of the Net Asset Value for the Class X Shares. The Investment Management Fee is calculated at each Valuation Point and payable monthly in arrears. Platform Management Fees - The Platform Management Fee, which covers the administrative and operating costs of the Sub- Fund is calculated and accrued daily and is payable monthly in arrears. The Platform Management Fee is calculated on an incremental basis based on the proportion of the assets that fall within each category/band as set out below. The Administration and Depositary fees are paid from this fee. The Platform Management Fee for the period amounted to USD 103,056 in outstanding accrued fees at the end of the period. Overall Assets of the Sub-Fund Platform Management Fee for the Class A Shares, Class M Shares and the Class X Shares (% of the Net Asset Value of the Sub-Fund as a Whole) million US Dollars 0.43% million US Dollars 0.30% billion US Dollars 0.25% Over 1 billion US Dollars 0.20% Audit fees are paid out of the Platform Management Fees and are not borne directly by the ICAV or the Sub-Fund. Directors Fees - James F. McKeon and Victoria Parry receive Directors fees of EUR 15,000 per annum each from the ICAV. Mark Woolhouse does not receive Directors fees from the ICAV. The Directors fees are paid out of the Platform Management Fees and are not borne directly by the ICAV or the Sub-Fund. 6. Net Asset Value Per Share The Net Asset Value per Share is determined by dividing the value of the net assets of the portfolio by the total number of Shares in issue at that time in the below table and overleaf: 30 June 2017 A EUR Accumulation Shares Net Asset Value attributable to Redeemable Participating Shareholders EUR Shares in issue 1,296 Net asset value per share EUR

18 Notes to Financial Statements (continued) For the period from 13 December 2016 to 30 June Net Asset Value Per Share (Continued) 30 June 2017 A GBP Accumulation Shares Net Asset Value attributable to Redeemable Participating Shareholders GBP Shares in issue 1,113 Net asset value per share GBP June 2017 A GBP Distributing Shares Net Asset Value attributable to Redeemable Participating Shareholders GBP ,188 Shares in issue 379,870 Net asset value per share GBP June 2017 A USD Accumulation Shares Net Asset Value attributable to Redeemable Participating Shareholders USD ,671 Shares in issue 233,324 Net asset value per share USD June 2017 A USD Distributing Shares Net Asset Value attributable to Redeemable Participating Shareholders USD 000 5,757 Shares in issue 57,494 Net asset value per share USD June 2017 M GBP Accumulation Shares Net Asset Value attributable to Redeemable Participating Shareholders GBP Shares in issue 2,259 Net asset value per share GBP June 2017 X USD Accumulation Shares Net Asset Value attributable to Redeemable Participating Shareholders USD Shares in issue 633 Net asset value per share USD Distribution Policy There were no dividends paid during the period ended 30 June Cash Balances All cash balances are held with J.P. Morgan Bank (Ireland) plc. 16

19 Notes to Financial Statements (continued) For the period from 13 December 2016 to 30 June Connected Persons and Related Parties Connected Persons The Directors, the Platform Manager, the Investment Manager, the Administrator and the Depositary and their respective affiliates, officers, Directors and Shareholders, employees and agents (each a "Connected Person" for these purposes, collectively the "Connected Persons") are or may be involved in other financial, investment and professional activities which may on occasion cause a conflict of interest with the management of the ICAV and/or their respective roles with respect to the ICAV. Related Parties WyeTree Asset Management Limited and its affiliates and employees held 9.91 Class A USD Accumulating shares, Class A USD Distributing shares in the Sub-Fund, 2, Class M GBP Accumulating shares and Class X USD Accumulating shares in the Sub-Fund as at 30 June Challenger Life Company Limited, a related company of Fidante Partners Europe Limited within the Challenger Limited Group, held 35,105 Class A USD Distributing Shares in the Sub-Fund as at 30 June Fees are paid as an Investment Management fee to the Investment Manager and a Platform Manager fee to the Platform Manager. 10. Exchange Rates The principal exchange rates to the US Dollar used in the preparation of the financial statements were: 30 June 2017 Currency Rate EUR Euro GBP British Pound Source: The exchange rates are sourced from Reuters. 11. Efficient Fund Portfolio Subject to the Central Bank UCITS Regulations and as more fully described in the Prospectus, the Sub-Fund may use derivative instruments for investment purposes and/or efficient portfolio management purposes. The derivative instruments which may be held by the Sub-Fund comprise of futures, currency spot and forward currency contracts and foreign exchange options. These derivative instruments are used to obtain long or short exposure to the underlying assets in order to exploit the opportunities identified by the Investment Manager or to manage risk resulting from existing exposures. The Sub-Fund may (but is not obliged to) enter into certain currency related transactions in order to hedge the currency exposure of the Classes denominated in a currency other than the base currency. Where a Class of Shares of the Sub-Fund is designated as being hedged, the Sub-Fund shall enter into currency related transactions in order to hedge the currency exposure of such Classes. Derivatives may be traded OTC or on a permitted market as set out in the Prospectus. 12. Soft Commissions There were no soft commission arrangements in place for the Sub-Fund for the period ended 30 June Contingent Liability There were no contingent liabilities as at 30 June Significant Events During the Period On 13 March 2017, the Sub-Fund changed name from WyeTree US Fund to WyeTree North American ABS Fund. On 22 March 2017, Mark Woolhouse resigned as a Director of the ICAV. On 21 June 2017, Catherine Hales was appointed as a Director of the ICAV and Richard Banh as an Alternate Director (to Catherine Hales) of the ICAV. 15. Significant Events After the Period End There were no significant events after the period end. 16. Approval of Financial Statements The Financial Statements were approved by the Board of Directors on 24 August

20 Significant Portfolio Changes For the period ended 30 June 2017 Purchases Coupon Maturity Cost Holding Investments Rate Date USD 000 2,693,484 Fannie Mae Connecticut Avenue Securities, FRN, Series 2017-C02 '2M2' 4.87% 25/09/2029 2,859 2,500,000 Fannie Mae Connecticut Avenue Securities, FRN, Series 2017-C04 '2B1' 6.09% 25/11/2029 2,581 3,677,772 Soundview Home Loan Trust, FRN, Series 2007-OPT1 '2A1' 0.84% 25/06/2037 2,457 2,250,000 CIFC Funding Ltd., FRN, Series X 'D' 0.00% 20/07/2030 2,180 2,100,000 Progress Residential Trust, FRN, Series 2016-SF2X 'F' 5.22% 17/01/2034 2,080 1,900,000 Freddie Mac Structured Agency Credit Risk Debt Notes, FRN 'M-3' 4.58% 25/04/2024 2,036 2,000,000 Freddie Mac Structured Agency Credit Risk Debt Notes, FRN, Series 2017-HQA1 'M2' 4.77% 25/08/2029 2,000 2,000,000 Monroe Capital BSL CLO Ltd., FRN, Series X 'D' 5.00% 22/05/2027 1,995 2,000,000 ALM XVI Ltd., FRN, Series X 'E' 7.91% 15/07/2027 1,971 2,000,000 CIFC Funding Ltd., FRN, Series X 'E' 7.05% 20/04/2030 1,960 2,000,000 Monroe Capital BSL CLO Ltd., FRN, Series X 'E' 6.92% 22/05/2027 1,905 1,948,587 RAMP Trust, FRN, Series 2006-EFC2 'A3' 1.38% 25/12/2036 1,895 1,800,000 Mountain View CLO Ltd., FRN, Series X 'A1' 2.38% 13/10/2027 1,801 1,800,000 ICG US CLO Ltd., FRN, Series X 'A1' 2.54% 16/01/2028 1,801 2,000,000 OCP CLO Ltd., FRN, Series X 'D' 6.99% 18/10/2028 1,782 2,914,880 GSAMP Trust, FRN, Series 2007-FM2 'A2B' 1.31% 25/01/2037 1,776 3,186,953 HSI Asset Securitization Corp. Trust, FRN, Series 2006-HE1 '2A2' 1.13% 25/10/2036 1,764 2,403,003 Ownit Mortgage Loan Trust, FRN, Series 'A2C' 0.91% 25/05/2037 1,750 1,750,000 MP CLO VII Ltd., FRN, Series X 'E' 6.47% 18/04/2027 1,672 3,423,303 Morgan Stanley IXIS Real Estate Capital Trust, FRN, Series 'A3' 1.37% 25/11/2036 1,613 2,573,791 Carrington Mortgage Loan Trust, FRN, Series 2006-FRE2 'A3' 1.18% 25/10/2036 1,604 1,600,000 Freddie Mac Structured Agency Credit Risk Debt Notes, FRN, Series 2017-DNA2 'M2' 4.47% 25/10/2029 1,600 2,685,011 American Home Mortgage Assets Trust, FRN, Series 'A1' 1.27% 25/02/2047 1,593 1,500,000 Fannie Mae Connecticut Avenue Securities, FRN, Series 2017-C02 '2B1' 6.52% 25/09/2029 1,561 1,968,131 Citigroup Mortgage Loan Trust, FRN, Series 2006-AMC1 'A2B' 1.38% 25/09/2036 1,555 2,594,730 Fieldstone Mortgage Investment Trust, FRN, Series '2A2' 1.11% 25/11/2036 1,523 1,728,936 GreenPoint MTA Trust, FRN, Series 2005-AR1 'A2' 1.46% 25/06/2045 1,518 1,500,000 Invitation Homes Trust, FRN, Series 2014-SF2X 'D' 3.49% 17/09/2031 1,510 1,379,950 Bear Stearns Asset Backed Securities I Trust, FRN, Series HE2 '1A2' 1.39% 25/03/2037 1,504 1,974,000 HSI Asset Securitization Corp. Trust, FRN, Series 2007-HE1 '2A3' 1.21% 25/01/2037 1,440 1,934,365 RALI Trust, FRN, Series 2007-QH2 'A1' 1.36% 25/03/2037 1,439 1,313,416 Colony American Homes Single Family Rental Pass-Through Certificates, FRN, Series X 'A' 1.94% 17/07/2032 1,315 1,300,000 OCP CLO Ltd., FRN, Series X 'A1B' 2.47% 17/07/2026 1,301 1,290,059 Invitation Homes Trust, FRN, Series 2015-SF2X 'A' 2.03% 17/06/2032 1,293 2,309,000 GSAMP Trust, FRN, Series 2007-FM1 'A2C' 1.39% 25/12/2036 1,274 1,250,000 ICG US CLO Ltd., FRN, Series X 'D' 7.79% 29/07/2028 1,216 1,665,314 Fieldstone Mortgage Investment Trust, FRN, Series '2A1' 1.33% 25/04/2047 1,206 18

21 Significant Portfolio Changes (continued) For the period ended 30 June 2017 Purchases (continued) Coupon Maturity Cost Holding Investments Rate Date USD 000 1,052,000 Freddie Mac Structured Agency Credit Risk Debt Notes, FRN, Series 2014-HQ3 'M3' 5.51% 25/10/2024 1,143 1,604,651 Argent Securities, Inc. Asset-Backed Pass-Through Certificates, FRN, Series 2005-W4 'A2D' 1.14% 25/02/2036 1,139 2,141,468 Fremont Home Loan Trust, FRN, Series 2006-E '2A1' 1.28% 25/01/2037 1,129 1,397,384 RALI Trust, FRN, Series 2005-QO3 'A1' 1.42% 25/10/2045 1,070 1,080,000 Allegro CLO Ltd., FRN, Series X 'E' 8.16% 15/01/2029 1,045 1,000,000 Carlyle Global Market Strategies CLO Ltd., FRN, Series X 'D' 8.76% 20/04/2027 1,026 1,000,000 Invitation Homes Trust, FRN, Series 2014-SF3X 'E' 5.50% 17/12/2031 1,003 1,000,000 Home Partners of America Trust, FRN, Series X 'F' 4.62% 17/07/ ,608,052 ACE Securities Corp. Home Equity Loan Trust, FRN, Series FM1 'A2D' 1.47% 25/07/ ,000 Progress Residential Trust, FRN, Series 2016-SF1X 'F' 6.00% 17/09/ ,332,000 HSI Asset Securitization Corp. Trust, FRN, Series 2007-HE1 '2A4' 1.30% 25/01/ ,000 Freddie Mac Structured Agency Credit Risk Debt Notes, FRN, Series 2017-DNA2 'M2' 4.67% 25/10/ ,000,000 MP CLO VIII Ltd., FRN, Series X 'E' 6.94% 28/10/ ,383 Morgan Stanley ABS Capital I, Inc. Trust, FRN, Series 2005-WMC1 'M2' 1.49% 25/01/ Sales Coupon Maturity Proceeds Holding Investments Rate Date USD 000 3,596,276 Soundview Home Loan Trust, FRN, Series 2007-OPT1 '2A1' 1.07% 25/06/2037 2,477 1,900,000 Freddie Mac Structured Agency Credit Risk Debt Notes, FRN 'M-3' 4.58% 25/04/2024 2,091 2,000,000 OCP CLO Ltd., FRN, Series X 'D' 6.99% 18/10/2028 1,955 2,000,000 Monroe Capital BSL CLO Ltd., FRN, Series X 'E' 6.92% 22/05/2027 1,945 1,800,000 Mountain View CLO Ltd., FRN, Series X 'A1' 2.38% 13/10/2027 1,801 2,366,429 Ownit Mortgage Loan Trust, FRN, Series 'A2C' 1.13% 25/05/2037 1,722 1,750,000 MP CLO VII Ltd., FRN, Series X 'E' 6.47% 18/04/2027 1,707 2,594,639 American Home Mortgage Assets Trust, FRN, Series 'A1' 1.39% 25/02/2047 1,559 1,500,000 Invitation Homes Trust, FRN, Series 2014-SF2X 'D' 3.69% 17/09/2031 1,503 1,313,416 Colony American Homes Single Family Rental Pass-Through Certificates, FRN, Series X 'A' 1.94% 17/07/2032 1,314 1,290,059 Invitation Homes Trust, FRN, Series 2015-SF2X 'A' 2.03% 17/06/2032 1,292 1,553,622 Argent Securities, Inc. Asset-Backed Pass-Through Certificates, FRN, Series 2005-W4 'A2D' 1.16% 25/02/2036 1,169 1,052,000 Freddie Mac Structured Agency Credit Risk Debt Notes, FRN, Series 2014-HQ3 'M3' 5.73% 25/10/2024 1,160 1,100,000 Progress Residential Trust, FRN, Series 2016-SF2X 'F' 5.22% 17/01/2034 1, ,110 Citigroup Mortgage Loan Trust Asset-Backed Pass-Through Certificates, FRN, Series 2005-OPT3 'M2' 1.45% 25/05/ ,118 Morgan Stanley ABS Capital I, Inc. Trust, FRN, Series 2005-WMC1 'M2' 1.51% 25/01/ ,000 New Century Home Equity Loan Trust, FRN, Series 'M2' 1.45% 25/06/ ,255,422 WMALT Trust Pass-Through Certificates, FRN, Series 'A1A' 4.43% 25/09/ ,092 HSI Asset Securitization Corp. Trust, FRN, Series 2006-OPT2 '2A4' 1.05% 25/01/

22 Significant Portfolio Changes (continued) For the period ended 30 June 2017 Sales (continued) Coupon Maturity Proceeds Holding Investments Rate Date USD ,595 ACE Securities Corp. Home Equity Loan Trust, FRN, Series HE7 'A1B2' 1.36% 25/11/ ,000 Progress Residential Trust, FRN, Series 2016-SF1X 'C' 3.24% 17/09/ ,896 Argent Securities, Inc. Asset-Backed Pass-Through Certificates, FRN, Series 2005-W3 'A2D' 1.10% 25/11/ The Central Bank of Ireland requires a schedule of material changes in the composition of the portfolio during the period. These are defined as aggregate purchases of a security exceeding one per cent of the total value of purchases for the period and aggregate disposals greater than one per cent of the total value of sales. At a minimum the largest 20 purchases and 20 sales must be given or all purchases and sales if less than 20. A full listing of the portfolio changes for the period is available, upon request, at no extra cost from the Administrator. 20