Multilabel SICAV Société d'investissement à Capital Variable

Transcription

1 Multilabel SICAV Société d'investissement à Capital Variable Annual Report as at 30 June 2016 (audited) Subscriptions are carried out solely on the basis of the current prospectus or the key investor information, in conjunction with the latest annual report and the latest semi-annual report if published thereafter. The articles of association, the valid prospectus and the key investor information, the annual and semi-annual reports, as well as the information based on the SFAMA guidelines on transparency with regard to management fees, may be obtained free of charge from the representative in Switzerland and/or from the respective paying agent. In case of differences between the German version and the translation, the German version shall be the authentic text. AN INVESTMENT FUND DOMICILED IN LUXEMBOURG Representative in Switzerland: GAM Investment Management (Switzerland) AG, Hardstraße 201, P.O. Box, CH 8037 Zurich Paying Agent in Switzerland: State Street Bank International GmbH, Munich, Zurich Branch, Beethovenstrasse 19, CH Zurich Trade and Companies Register number: R.C.S. Luxembourg B149126

2 Contents Organisation and Management 3 Information on risk management (unaudited) 5 Audit report 6 Report of the Board of Directors 8 Notes to the Annual Report 9 Additional information for Shareholders in Switzerland (unaudited) 20 Multilabel SICAV (umbrella fund) 23 (until 15 December 2015: Julius Baer Multilabel) Multilabel SICAV - ABS SELECTION FUND 25 (until 15 December 2015: Julius Baer Multilabel - ABS SELECTION FUND) Multilabel SICAV - ARTEMIDE 30 (until 15 December 2015: Julius Baer Multilabel - ARTEMIDE) Multilabel SICAV - AS PERSEO FUND 39 (until 15 December 2015: Julius Baer Multilabel - AS PERSEO FUND) Multilabel SICAV - AS TOTAL RETURN FUND 46 (until 15 December 2015: Julius Baer Multilabel - AS TOTAL RETURN FUND) (as at 14 January 2016: liquidation of the sub-fund) Multilabel SICAV - AS YASMIN FUND 48 (until 15 December 2015: Julius Baer Multilabel - AS YASMIN FUND) Multilabel SICAV - AVANTGARDE 55 (until 15 December 2015: Julius Baer Multilabel - AVANTGARDE) Multilabel SICAV - ENPACL CREDITO 61 (until 5 October 2015: Julius Baer Multilabel - ENPACL OBBLIGAZIONARIO CORPORATE GLOBALE) (until 15 December 2015: Julius Baer Multilabel - ENPACL CREDITO) Multilabel SICAV - ENPACL MULTISTRATEGIA 70 (until 15 December 2015: Julius Baer Multilabel - ENPACL MULTISTRATEGIA) Multilabel SICAV - HYBRID BONDS FUND 77 (until 15 December 2015: Julius Baer Multilabel - HYBRID BONDS FUND) Multilabel SICAV - LYRA 83 (until 15 December 2015: Julius Baer Multilabel - LYRA) Addresses 90 Page

3 Organisation and Management The registered office of the Company is Michel Malpas 25, Grand-Rue Independent Director L Luxembourg Luxembourg, Grand Duchy of Luxembourg (until 15 October 2015) Board of Directors of the Company Michele Porro Chairman: Member of the Group Management Board, GAM Group Martin Jufer Region Head Continental Europe Member of the Group Management Board, GAM Group GAM Investment Management (Switzerland) AG Region Head Continental Europe Zurich, Switzerland GAM Investment Management (Switzerland) AG (until 19 August 2015) Zurich, Switzerland Managing Directors of the Management Company Members: Hermann Beythan Ewald Hamlescher Partner Managing Director Linklaters LLP GAM (Luxembourg) S.A. Luxembourg, Grand Duchy of Luxembourg Luxembourg, Grand Duchy of Luxembourg Andrew Hanges Region Head UK GAM (UK) Ltd. London, United Kingdom Jean-Michel Loehr Independent Director Frisange, Grand Duchy of Luxembourg Thomas van Ditzhuyzen Head Private Labelling Europe GAM Investment Management (Switzerland) AG Zurich, Switzerland (until 1 February 2016) Steve Kieffer Managing Director GAM (Luxembourg) S.A. Luxembourg, Grand Duchy of Luxembourg Investment Manager Dirk Spiegel General Counsel Continental Europe GAM Investment Management (Switzerland) AG Via Borgonuovo 14 Zurich, Switzerland I Milan For the Multilabel SICAV - AS PERSEO FUND (previously: Julius Baer Multilabel - AS PERSEO FUND), Multilabel SICAV - AS TOTAL RETURN FUND (previously: Julius Baer Multilabel - AS TOTAL RETURN FUND), (until 14 January 2016) and Multilabel SICAV - AS YASMIN FUND (previously: Julius Baer Multilabel - AS YASMIN FUND): Banca Albertini Syz & C. S.p.A. Management Company and Domiciliary Agent For the Multilabel SICAV - ARTEMIDE GAM (Luxembourg) S.A. (previously Julius Baer Multilabel - ARTEMIDE) and 25, Grand-Rue Multilabel SICAV - LYRA: L Luxembourg (previously: Julius Baer Multilabel - LYRA): MOMentum Alternative Investments S.A. Board of Directors of the Management Company Via Lisano 3 CH Massagno (Lugano) Chairman: Martin Jufer For the Multilabel SICAV - ENPACL MULTISTRATEGIA Member of the Group Management Board, GAM Group (previously: Julius Baer Multilabel - ENPACL MULTISTRATEGIA): Region Head Continental Europe GAM (Italia) S.G.R., S.p.A. GAM Investment Management (Switzerland) AG Via Duccio di Boninsegna 10 Zurich, Switzerland I Milan Members: Andrew Hanges Region Head UK GAM (UK) Ltd. London, United Kingdom Yvon Lauret Independent Director Luxembourg, Grand Duchy of Luxembourg For the Multilabel SICAV - ENPACL CREDITO (previously: Julius Baer Multilabel - ENPACL OBBLIGAZIONARIO CORPORATE GLOBALE): Invesco Asset Management Limited Perpetual Park Perpetual Park Drive Henley-on-Thames Oxfordshire RG9 1HH, United Kingdom (since 5 October 2015) 3

4 Organisation and Management Invesco Asset Management S.A. Sede Secondaria Via Cordusio 2 I Milan (until 4 October 2015) Distributors The Company and/or the Management Company has appointed and may appoint further distributors authorised to sell the shares in one or more jurisdictions. For the Local Representatives Multilabel SICAV - ABS SELECTION FUND (previously Julius Baer Multilabel - ABS SELECTION FUND) and Representative in Switzerland: Multilabel SICAV - HYBRID BONDS FUND GAM Investment Management (Switzerland) AG (previously: Julius Baer Multilabel - HYBRID BONDS FUND): Hardstraße 201 CROSSINVEST SA P.O. Box Corso Elvezia 33 CH Zurich CH Lugano Paying Agent in Switzerland: For the Multilabel SICAV - AVANTGARDE Bank Julius Bär & Co. AG (previously: Julius Baer Multilabel - AVANTGARDE): Bahnhofstrasse 36 Pharus Management S.A. P.O. Box Via Pollini 7 CH Zurich CH Mendrisio (until 31 March 2016) Each investment manager may hire the support of investment State Street Bank International GmbH, Munich, advisers for individual sub-funds. Zurich Branch (until 12 May 2016: State Street Bank GmbH, Munich, Investment Advisers Zurich Branch) Beethovenstrasse 19 For the Multilabel SICAV - ENPACL MULTISTRATEGIA CH Zurich (previously: Julius Baer Multilabel - ENPACL MULTISTRATEGIA): (since 1 April 2016) PROMETEIA ADVISOR SIM S.p.A. Via Guglielmo Marconi 43 Auditor I Bologna PricewaterhouseCoopers, Société coopérative Advisory company 2, rue Gerhard Mercator L Luxembourg GAM Advisory (Luxembourg) S.A. (until 31 December 2015) 25, Grand-Rue Legal Adviser L Luxembourg Linklaters LLP Custodian, Central Administrator and Principal Paying Agent 35, Avenue J.F. Kennedy as well as Registrar and Transfer Agent L Luxembourg State Street Bank Luxembourg S.C.A. 49, Avenue J.F. Kennedy L Luxembourg 4

5 Information on risk management (unaudited) Commitment Approach Based on the current investment policy and the investment strategy (including the use of derivative financial instruments), the risk profile of the below-mentioned sub-funds was determined using the commitment approach (total risk is ascertained from the liabilities). This means that a sub-fund s aggregate liabilities can be doubled at most through the use of derivative financial instruments. A sub-fund's aggregate liabilities are therefore capped at 200%. To calculate the aggregate liabilities, the positions in derivative financial instruments are converted into equivalent positions on the underlying assets. The aggregate liabilities of the derivative financial instruments are limited to 100% of the portfolio and therefore equate to the sum of the individual liabilities after netting or hedging. The following sub-funds determine their risk profile in accordance with the commitment approach: Multilabel SICAV (until 15 December 2015: Julius Baer Multilabel) - ABS SELECTION FUND ARTEMIDE AS PERSEO FUND AS TOTAL RETURN FUND (as at 14 January 2016: liquidation of the sub-fund) AS YASMIN FUND AVANTGARDE ENPACL CREDITO (previously: ENPACL OBBLIGAZIONARIO CORPORATE GLOBALE) ENPACL MULTISTRATEGIA HYBRID BONDS FUND LYRA 5

6 Audit Report To the shareholders of Multilabel SICAV Following our appointment by the General Meeting of the Shareholders, we have audited the accompanying financial statements of Multilabel SICAV (the SICAV ) and of each of its sub-funds, which comprise the statement of net assets and the securities portfolio as at 30 June 2016, the profit and loss account and the statement of changes in net assets for the year then ended, and a summary of significant accounting policies and other explanatory notes to the financial statements. Responsibility of the Board of Directors of the SICAV for the financial statements The Board of Directors of the SICAV is responsible for the preparation and fair presentation of these financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements and for such internal control as the Board of Directors of the SICAV determines is necessary to enable the preparation of financial statements that are free of material misstatements, whether due to fraud or error. Responsibility of the "Réviseur d'entreprises agréé" Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with the International Standards on Auditing as adopted for Luxembourg by the Commission de Surveillance du Secteur Financier. Those standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the judgment of the Réviseur d entreprises agréé, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the Réviseur d entreprises agréé considers internal control relevant to the entity s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity s internal control. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by the Board of Directors of the SICAV, as well as evaluating the overall presentation of the financial statements. PricewaterhouseCoopers, Société coopérative, 2 rue Gerhard Mercator, B.P. 1443, L-1014 Luxembourg T: , F : , Cabinet de révision agréé. Expert-comptable (autorisation gouvernementale n ) R.C.S. Luxembourg B TVA LU

7 We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements present a true and fair view of the assets and financial position of Multilabel SICAV and of each of its sub-funds as at 30 June 2016, and of their profit and loss and changes in their net assets for the financial year then ended, in accordance with the statutory provisions and regulations relating to the preparation of financial statements applicable in Luxembourg. Other matters Supplementary information included in the annual report has been reviewed in the context of our mandate but has not been subject to specific audit procedures carried out in accordance with the standards described above. Consequently, we express no opinion on such information. However, we have no observation to make concerning such information in the context of the financial statements taken as a whole. PricewaterhouseCoopers, Société coopérative Luxembourg, 7 October 2016 Represented by Roxane Haas 7

8 Report of the Board of Directors Dear Investors, We are pleased to enclose the Annual Report of the Multilabel SICAV. This includes the Fund Management Report produced on behalf of the Board of Directors for the active sub-funds. The annual report also contains the statement of net assets, the profit and loss account, the statement of changes in net assets, the comparative statement, as well as the respective portfolios of the sub-funds. The Board of Directors confirms that the Company adhered to the rules of the ALFI Code of Conduct for Luxembourg investment funds in all significant aspects during the accounting period and at the end of the financial year (30 June 2016). Further information on the SICAV and the sub-funds, including prospectuses and semi-annual reports, may be obtained from the Management Company of the SICAV upon request and may also be viewed online at Luxembourg, October 2016 On behalf of the Board of Directors of the Multilabel SICAV Martin Jufer Chairman of the Board of Directors Andrew Hanges Member of the Board of Directors 8

9 Notes to the Annual Report Legal information The Multilabel SICAV (the Company ) was incorporated on 10 November 2009 for an indefinite period. It is organised as a Société d Investissement à Capital Variable (open-ended investment company SICAV) under the Law of 10 August 1915 of the Grand Duchy of Luxembourg, as amended. It has been registered under Part I of the Law of 17 December 2010 as an undertaking for collective investment in transferable securities (UCITS). The Company is registered under number B in the Luxembourg Trade and Companies Register. The registered office of the company is at 25, Grand-Rue, L-1661 Luxembourg. The sub-fund Julius Baer Multilabel - ENPACL OBBLIGAZIONARIO CORPORATE GLOBALE was renamed Julius Baer Multilabel - ENPACL CREDITO as at 5 October Julius Baer Multilabel was renamed Multilabel SICAV as at 15 December The sub-funds were renamed accordingly. The sub-fund Multilabel SICAV - AS TOTAL RETURN FUND was liquidated as at 14 January Share categories The following share classes are issued at present: A shares: shares with distribution of income and/or capital gains. B shares: shares without distribution of income and/or capital gains. C shares (for institutional investors): shares without distribution of income and/or capital gains. D shares (for specific investors, as defined in the prospectus): shares without distribution of income and/or capital gains. Accounting principles Presentation of the annual report The annual report of the Company has been prepared in compliance with the legal requirements for investment funds in Luxembourg. The present report has been prepared on the basis of the last net asset value ("NAV") calculation at the end of the financial year (in the following: NAV (Net Asset Value) = net assets). Aggregation Each sub-fund of the Company prepares accounts relating to its operational result in its denominated currency. The accounts of the Company (umbrella fund) are prepared in Swiss francs by aggregating the assets and liabilities of the individual sub-funds using the exchange rates applicable on the last day of the financial year. Accounting The annual report of the Company has been prepared in accordance with the regulations relating to undertakings for collective investment in transferable securities (UCITS) applicable in Luxembourg. The accrual principle is applied in the preparation of the financial statements. The accounting principles are applied consistently. Valuation of assets and liabilities Assets and liabilities are valued at their nominal value, with the following exceptions: 9

10 Notes to the Annual Report Foreign currencies Transactions effected in currencies other than the currency of the particular sub-fund are converted using the exchange rate on the date of the transaction. Assets and liabilities denominated in currencies other than the currency of the particular sub-fund are converted using the exchange rate on the balance sheet date. Foreign exchange profits and losses are included in the profit and loss account for the current financial year. Foreign exchange differences Foreign exchange differences are attributable to the fluctuation in exchange rates over the course of the financial year. The "foreign exchange difference" is as a result of consolidating the sub-fund currencies into the Fund currency. On the other hand, the Foreign exchange difference sub-fund refers to the conversion of the individual share classes into the sub-fund currency. Securities portfolio Securities listed on a stock exchange, or another regulated market open to the public, are valued at the last available price of the financial year. Unlisted securities are identified as such. Their value shall be based on a probable realisation value, determined with due care and in good faith. The realised profit/loss from the sale of securities is determined using the average historical acquisition costs. Securities denominated in currencies other than the currency of the particular sub-fund will be converted using the exchange rate on the balance sheet date or the date of sale, whichever is applicable. All foreign exchange profits and losses are shown in the profit and loss account, together with net realised profit/loss from securities. Dividends are recorded on the ex-dividend date. Income from securities is shown net of withholding taxes. The portfolio of the Fund may contain securities which are difficult to price (i.e. stale price), or price sources are limited). In those instances, the concerned securities are regularly monitored through a detailed analysis which is carried out at least monthly, and a quarterly more general overview. The monitoring is performed according to the principles and criteria defined by the Board of Directors. Securities lending Income from securities lending is shown separately in the profit and loss account. There were no open securities lending positions as at 30 June Repurchase agreement Income from the repurchase agreement for securities is shown separately in the profit and loss account. There are no repurchase agreements as at the end of the financial year. Income from zero-coupon bonds For zero-coupon bonds, the "notional" interest portion is calculated as interest income and reclassified in the profit and loss account under "Income from securities" instead of under "Net change in unrealised appreciation/depreciation on securities". Commercial papers Commercial papers will be mathematically discounted by their remaining term 10

11 Notes to the Annual Report Options A purchaser of a put option has the right, but not the obligation, to sell an underlying instrument ( underlying ) at an agreed upon price ( strike price ) to the option seller. A purchaser of a call option has the right, but not the obligation, to purchase the underlying instrument at the strike price from the option seller. Purchased Options: Premiums paid by the sub-fund for purchased options are included in the statement of net assets as acquisition costs of the investment. The valuation of the options is adjusted daily to reflect the current market value of the option. The change is recorded as net change in unrealised appreciation / depreciation in the profit and loss account. If the option expires without being executed, the sub-fund loses the paid premium and a realised loss of corresponding value is booked. If a sold option is exercised or closed, the paid premium with the sales proceeds of the underlying asset is settled or added to the cost price of the underlying asset to determine the realised profit / loss as well as the costs of the underlying asset. Written Options: Premiums received by the sub-fund for written options are included in the statement of net assets as negative acquisition cost of an investment. The valuation of the option is adjusted daily to reflect the current market value of the option. The change is recorded as net change in unrealised appreciation / depreciation in the profit and loss account. Premiums received from written options that expire without being executed are treated as realised profits of corresponding value. The sub-fund records a realised profit or loss on written options based on whether the cost of the closing transaction exceeds the premium received. If a call option is exercised by the option buyer, the premium received by the sub-fund is added to the proceeds from the sale of the underlying and compared to the cost of the closing transaction to determine whether there has been a realised profit or loss. If a put option is exercised by an option buyer, the premium received by the option seller reduces the cost basis of purchased security. Written uncovered call options expose the sub-fund to an unlimited risk of loss. For written covered call options the potential for profit is limited to the strike price. Written put options expose the sub-fund to a risk of loss if the value of the underlying declines below the strike price minus the premium. The sub-fund is not subject to any credit risk on written options as the counterparty has already performed its obligation by paying the premium at the inception of the contract. Outstanding options which are traded on a regulated market are valued based on the closing price or the last available market price of the underlying security. OTC options are marked to market based upon prices obtained from third party pricing agents and verified against the value from the counterparty. The market value of options is included in the statement of net assets under the heading Derivative instruments - Options. The realised profits / losses and unrealised profits / losses on options are disclosed in the profit and loss account under the headings Realised profit/loss on options and Net change in unrealised appreciation/depreciation on options. Options, warrants and rights are recorded in numbers in the securities portfolio. For futures-style options, the option buyer only pays the seller the full amount of the premium upon the exercise or expiry of the option. As in a futures contract, buyers and sellers lodge a security deposit (margin). While the option is maintained, profits and losses will be marked-to-market every day. The valuation differs from that of a traditional option mainly in the timing of cash flows, as the option premium, which is usually payable in advance by the purchaser, will only be paid later. The unrealised profit / loss of future-style options is recorded in the Statement of Net Assets under Derivative Instruments - Options. Futures contracts (Futures) The contractual parties of a future determine the delivery of the underlying instrument at a fixed price or for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the sub-fund is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, a so called initial margin. Subsequent payments, referred to as variation margin, are made or received by the sub-fund periodically and are based on changes in the market value of open futures contracts. The unrealised profit / loss on future contracts is disclosed in the statement of net assets under Derivative instruments - Futures. Changes in the market value of open futures contracts are recorded as unrealised profit / loss in the profit and loss account under Net change in unrealised appreciation/depreciation on futures. Realised profits or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported at the closing or expiration of futures contracts in the profit and loss account under Realised profit/loss on futures. Securities deposited as initial margin are designated in the securities portfolio and cash deposited is recorded in the statement of net assets. A receivable and/or a payable to brokers for the daily variation margin is also recorded in the statement of net assets. 11

12 Notes to the Annual Report Forward foreign exchange contracts Forward foreign exchange contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Non-deliverable forward foreign exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The values of the forward foreign exchange contracts are adjusted daily based on the applicable exchange rate of the underlying currency. Changes in the value of these contracts are recorded as unrealised appreciation or depreciation until the contract settlement date. When the forward contract is closed, the sub-fund records a realised profit or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed. The unrealised profit / loss on forward foreign exchange contracts is disclosed in the statement of net assets under Derivative Instruments - Forward foreign exchange contracts. Realised profits/losses and change in unrealised profit / loss resulting therefrom are included in the profit and loss account respectively under Realised profit/loss on forward foreign exchange contracts and Net change in unrealised appreciation/depreciation on forward foreign exchange contracts. The forward foreign exchange contracts detailed in the overview of derivative instruments are grouped by traded currency and by maturity date. Contracts for difference (CFD) Contracts for difference are contracts entered into between a broker and the sub-fund under which the parties agree to make payments to each other so as to replicate the economic consequences of holding a long or short position in the underlying security. Contracts for difference also mirror any corporate actions that take place. Contracts for difference are valued based on the closing market price of the underlying security, less any financing charges attributable to each contract. Upon entering into contracts for difference, the sub-fund may be required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount ( initial margin ). Subsequently, payments known as variation margin are made or received by the sub-fund periodically, depending on fluctuations in the value of the underlying security. The unrealised profit / loss is disclosed in the statement of net assets under Derivative instruments - Swaps. Realised profits /losses and changes in unrealised profit / loss as a result thereof are included in the profit and loss account under Realised profit / loss on swaps and Net change in unrealised appreciation/depreciation on swaps. Interest Rate Swaps (IRS) An interest rate swap is a bilateral agreement in which each party agrees to exchange a series of interest payments for another series of interest payments (usually fixed vs. floating) based on a notional amount that serves as a computation basis which is usually not exchanged. During the life of the swap, each party pays interest (in the currency of the principal received) to the other. Interest rate swaps are marked to market at each NAV calculation date. The market value is based on the valuation elements laid down in the contracts, and is obtained from independent third party pricing agents, market makers or internal models. The unrealised profit / loss is disclosed in the statement of net assets under Derivative instruments - Swaps. Realised profits / losses and changes in unrealised profit / loss as a result thereof are included in the profit and loss account under Realised profit/loss on swaps and Net change in unrealised appreciation/depreciation on swaps. Credit Default Swaps (CDS) A credit default swap is a credit derivative transaction in which two parties enter into an agreement, whereby one party (the protection buyer) pays the other (the protection seller) a fixed periodic coupon for the specified life of the agreement in return for a payment contingent on a credit event related to the underlying reference obligation. If a credit event occurs, the protection seller would be obligated to make a payment, which may be either: (i) a net cash settlement equal to the notional amount of the swap less the auction value of the reference obligation or (ii) the notional amount of the swap in exchange for the delivery of the reference obligation. Selling protection effectively adds leverage to a sub-fund s portfolio up to the notional amount of swap agreements. The notional amount represents the maximum potential liability under a contract and is not reflected in the statement of net assets. Potential liabilities under these contracts may be reduced by: the auction rates of the underlying reference obligations; upfront payments received at the inception of a swap; and net amounts received from credit default swaps purchased with the identical reference obligation. Credit default swaps are marked to market at each NAV calculation date. The market value is based on the valuation elements laid down in the contracts, and is obtained from independent third party pricing agents, market makers or internal models. 12

13 Notes to the Annual Report The unrealised profit / loss is disclosed in the statement of net assets under Derivative instruments - Swaps. Realised profits / losses and change in unrealised profit / loss resulting therefrom are included in the profit and loss account under the heading Realised profit / loss on swaps and Net change in unrealised appreciation/depreciation on swaps. Total Return Swaps (TRS) A total return swap is a bilateral contract in which each party agrees to exchange payments based on the performance of an underlying represented by a security, commodity, basket or index thereof for a fixed or variable rate. One party pays out the total return of a specific reference asset, and in return, receives a regular stream of periodical payments. The total performance includes profits and losses on the underlying, as well as any interest or dividends during the contract period according to the type of underlying. The cash flows to be exchanged are calculated by reference to an agreed upon notional amount or number. To the extent the total return of the reference asset underlying the transaction exceeds or falls short of the offsetting payment, the sub-fund will receive a payment from or make a payment to the counterparty. Total return swaps are marked to market at each NAV calculation date. The estimated market value is based on the valuation elements laid down in the contracts, and is obtained from independent third party pricing agents, market makers or internal models. The unrealised profit / loss is disclosed in the statement of net assets under Derivative instruments - Swaps. Realised profits / losses and changes in unrealised profit / loss as a result thereof are included in the profit and loss account under Realised profit/loss on swaps and Net change in unrealised appreciation/depreciation on swaps. Collateral Collateral held at brokers for the derivatives instruments on the following sub-funds includes: Sub-funds Currency Cash collateral Multilabel SICAV - ARTEMIDE HYBRID BONDS FUND LYRA The cash collateral listed in the table above is held by Deutsche Bank AG or Goldman Sachs International. Furthermore, collateral was deposited for the derivatives instruments in favour of the following sub-funds: Sub-funds Currency Cash collateral Multilabel SICAV - ARTEMIDE The cash collateral listed in the table above is held by Goldman Sachs International. Taxation In accordance with current legal practice in the European Union, the Company has applied to local EU tax authorities for a refund of the withholding tax levied on dividend payments by a number of EU member-states. In the event that refund applications are submitted, no receivables are recorded or reported in the sub-fund, since the outcome of the refund applications is uncertain and the estimated likelihood of succes may change over the course of a refund procedure. Only upon receipt of the withholding tax refund are the amounts recorded in the sub-funds in question and reported accordingly. Any costs in connection with the submission of the refund applications were/are charged to the concerned sub-funds. Any reimbursements of withholding taxes are included in the profit and loss account under the item Other income. 13

14 Notes to the Annual Report Taxes In accordance with Luxembourg law, the Fund is not subject to any Luxembourg income tax. Dividends paid by the Company are currently not subject to withholding tax in Luxembourg. The Company is, however, charged with an annual tax of 0.05% of the net assets ( taxe d abonnement ). A reduced taxe d abonnement of 0.01% will be applied on the net assets applicable to the share classes for institutional investors. This classification is based on the Company s understanding of the current legal situation. This legal situation is liable to be changed, even with retroactive effect, which may result in the tax rate of 0.05% being applied retroactively. The tax is payable quarterly in arrears on the basis of the respective net assets at the end of each quarter. Costs and fees The management fees have changed as follows over the course of the business year: Overview of fees (p.a.) Share class Management fees as at 30 June 2016 Date of Market value Formerly applied Management fees Change Multilabel SICAV - AS YASMIN FUND D 0.00% 14 June % -0.80% Management fees For advisory services relating to the portfolios of the sub-funds, related administrative services and distribution services, the following annual fees based on the net asset value of the respective sub-fund will be charged to the sub-fund at the end of each month: Overview of fees (p.a.) Shares Shares Shares Shares Shares A B C D I Multilabel SICAV - ABS SELECTION FUND % 1.00% 1.60% - ARTEMIDE % 1.00% - - AS PERSEO FUND % - AS TOTAL RETURN FUND %* AS YASMIN FUND %** - AVANTGARDE % 1.85% %*** ENPACL CREDITO (previously: ENPACL OBBLIGAZIONARIO CORPORATE GLOBALE) 0.20%**** 0.20%***** ENPACL MULTISTRATEGIA 0.275% HYBRID BONDS FUND % 1.00% 1.50% - LYRA % 1.50% - - * The sub-fund was liquidated on 14 January ** Until 14 June 2016: 0.80%. *** The share class was liquidated on 22 December **** The share class was launched on 1 July ***** The share class was liquidated on 1 July The management fees stated above are used to remunerate distributors and asset managers for distributing shares of the sub-funds and to reimburse institutional investors who hold shares of the Company on behalf of third parties. 14

15 Notes to the Annual Report Performance fee The relevant investment manager is also entitled to receive a performance fee for specific sub-funds subject to the following principles. Multilabel SICAV - ARTEMIDE The investment manager is entitled to a performance fee under the conditions stated below: The investment manager is entitled to a performance fee if the net asset value per share of the Multilabel SICAV - ARTEMIDE at the end of the financial year is higher than the net asset value at the end of the previous financial year (positive annual performance) and if, simultaneously, the percentage return during the relevant financial year is above that of the hurdle rate (outperformance against the hurdle rate). The hurdle rate corresponds to the Total Return Eonia Index. The performance fee is calculated and set aside on each valuation day and is paid out annually after the end of the financial year. The performance fee is 10%, calculated on the outperformance against the hurdle rate. Multilabel SICAV - AS PERSEO FUND The investment manager is entitled to a performance fee if the net asset value per share of the sub-fund at the end of the financial year is higher than the net asset value at the end of the previous financial year (positive annual performance) and if, simultaneously, the percentage return during the relevant financial year is above that of the hurdle rate (outperformance against the hurdle rate). The hurdle rate corresponds to the JP Morgan EMU Bond Index 1 3 Years plus 3%. The performance fee is calculated and set aside on each valuation day and is paid out annually after the end of the financial year. The performance fee is 15%, calculated on the outperformance against the hurdle rate. Multilabel SICAV - AS TOTAL RETURN FUND (as at 14 January 2016: liquidation of the sub-fund) The performance fee for the Multilabel SICAV - AS TOTAL RETURN FUND or its share classes is subject to a High Water Mark. The investment manager is entitled to a performance fee if the net asset value per share of the Multilabel SICAV - AS TOTAL RETURN FUND at the end of the financial year is higher than the previous respective High Water Mark (outperformance against the High Water Mark). The performance fee is calculated and set aside on each valuation day and is paid out annually after the end of the financial year. At the time of the launch of the Multilabel SICAV - AS TOTAL RETURN FUND, the High Water Mark is identical to the initial issue price per share. If the net asset value per share of the Multilabel SICAV - AS TOTAL RETURN FUND on the last valuation day of a financial year is higher than the previous High Water Mark, the High Water Mark is set at the net asset value per share calculated before deduction of the performance fee. In all other cases the High Water Mark remains unchanged. The performance fee is 15%, calculated on the basis of the outperformance of the High Water Mark. Multilabel SICAV - ENPACL CREDITO (previously: Julius Baer Multilabel - ENPACL OBBLIGAZIONARIO CORPORATE GLOBALE) The investment managers of the Multilabel SICAV - ENPACL CREDITO are entitled to a performance fee under the conditions stated below: The performance fee is subject to a High Water Mark and a hurdle rate (benchmark index, as indicated below). The investment manager shall be entitled to a performance fee if, at the end of the financial year, the net asset value per share of the sub-fund lies both above the High Water Mark (outperformance against the High Water Mark) and also the hurdle rate (outperformance against the hurdle rate). At the time of the launch of the sub-funds, the High Water Mark is identical to the initial issue price per share. If, on the last valuation day of a financial year, the net asset value per share of the respective sub-fund is higher than the previous High Water Mark of this sub-fund, the High Water Mark is set to the net asset value per share for this sub-fund calculated before deduction of the performance fee. Otherwise, the High Water Mark remains unchanged. The hurdle rate base level at the beginning of the financial year is identical to the net asset value per share of the relevant subfund on the last valuation day of the previous financial year. On this basis, the investment manager shall be entitled to a performance fee only if any losses recorded by the respective sub-fund are recovered in full. The performance fee is calculated and set aside on each valuation day and is paid out annually after the end of the financial year. 15

16 Notes to the Annual Report The performance fee shall be the percentage indicated below in relation to the amount by which the respective net asset value per share of the subfund (before deduction of the performance fee) exceeds the higher of the hurdle rate and the High Water Mark. The hurdle rate corresponds to the benchmark index indicated below for each sub-fund. Sub-funds Performance fee Benchmark index Multilabel SICAV - ENPACL CREDITO (previously: ENPACL OBBLIGAZIONARIO CORPORATE GLOBALE) 15% (until 5 October 2015: 20%) 100% BOFA ML Global Corporate, Euro Hedged Multilabel SICAV - HYBRID BONDS FUND and Multilabel SICAV - ABS SELECTION FUND The investment manager is entitled to receive a performance-related asset management fee ( performance fee ) subject to the following principles. The performance fee is payable if the percentage return of the sub-fund from the start of the financial year is above that of the benchmark index (outperformance against the benchmark index) and if, simultaneously, the net asset value per share is higher than the High Water Mark (outperformance against the High Water Mark). Both conditions must be fulfilled. The performance fee for the HYBRID BONDS FUND will not exceed 20% p.a. and for the ABS SELECTION FUND 10% p.a. of the outperformance against the High Water Mark or outperformance against the benchmark index, with the lower of the two percentage outperformance values serving as a basis for calculation of the performance fee. High Water Mark: At the launch of the sub-fund the High Water Mark is identical to the initial issue price. If the net asset value per share on the last valuation day of a subsequent financial year is higher than the previous High Water Mark and the percentage return during the financial year is higher than that of the benchmark index, the High Water Mark is set to the net asset value per share calculated on the last valuation day of that financial year before deduction of the deferred performance fee. In all other cases the High Water Mark remains unchanged. The amount of the performance fee is recalculated on each valuation day subject to the aforementioned conditions on the basis of the outperformance since the start of the financial year and a provision is established for the sub-fund. The recalculated performance fee amount is compared on each valuation day with the provision set aside on the previous valuation day. The amount provisioned on the previous day is adjusted up or down accordingly on the basis of the difference found between the newly calculated amount and the amount previously provisioned. Any performance fee which has been calculated under the aforementioned conditions and is payable to the investment manager is not paid out until the end of the relevant sub-fund s financial year. This ensures that the performance fee is only paid out if the percentage return of the sub-fund measured over an entire financial year is above that of the benchmark index (outperformance against the benchmark index) and simultaneously the net asset value per share is higher than the High Water Mark (outperformance against the High Water Mark). Sub-funds Performance fee Benchmark index Multilabel SICAV - HYBRID BONDS FUND max. 20% p.a. Euribor 3 months Bps ABS SELECTION FUND max. 10% p.a. Euribor 3 months Multilabel SICAV - LYRA The investment manager is entitled to a performance fee under the conditions stated below: 16

17 Notes to the Annual Report The investment manager is entitled to a performance fee if the percentage return of LYRA for the relevant financial year is above the percentage return of the hurdle rate (outperformance against the hurdle rate). The hurdle rate corresponds to 50% EONIA, 25% MSCI Small Cap Europe and 25% Midex Italia. The performance fee is calculated and set aside on each valuation day and is paid out annually after the end of the financial year. The performance fee is 15%, calculated on the outperformance against the hurdle rate. Multilabel SICAV - AVANTGARDE The investment manager is entitled to receive a performance-related asset management fee ( performance fee ) subject to the following principles. The entitlement to a performance fee exists when the net asset value per share is higher than the previous High Water Mark (outperformance against the High Water Mark) at the end of the financial year. The performance fee is a maximum of 20%, calculated on the outperformance against the High Water Mark. At the time of the launch of the sub-fund, the High Water Mark is identical to the initial issue price per share. If the net asset value per share of the sub-fund on the last valuation day of a financial year is higher than the previous High Water Mark, the High Water Mark is set at the net asset value per share calculated before deduction of the performance fee. In all other cases the High Water Mark remains unchanged. Due to the complete restructuring of the sub-fund on 15 December 2014, the High Water Mark was reset to the net asset value as at 15 December 2014, which is available on the internet at The amount of the performance fee is recalculated on each valuation day subject to the aforementioned conditions on the basis of the outperformance since the start of the financial year and a provision is established for the sub-fund. The recalculated performance fee amount is compared on each valuation day with the provision set aside on the previous valuation day. The amount provisioned on the previous day is adjusted up or down accordingly on the basis of the difference found between the newly calculated amount and the amount previously provisioned. Any performance fee which has been calculated under the aforementioned conditions and is payable to the investment manager is not paid out until the end of the sub-fund s financial year. This ensures that a performance fee is only paid when the net asset value per share is higher than the High Water Mark (outperformance against the High Water Mark). Service Load Service load means the costs incurred in connection with the operation of the Company. These costs include the following unless already otherwise separately stated or included: Costs of operational management and supervision of the Company s business; tax advisory, legal and auditing services; purchase and sale of securities and duties; taxes and levies, convening the Annual General Meeting; issue of share acknowledgements; preparation of financial statements and prospectuses; sales support; issue and redemption of shares; the payment of dividends, paying agents and representatives, the payment of State Street Bank Luxembourg S.C.A. as administrator and principal paying agent, registrar and transfer agent; registration for sale; reporting to supervisory authorities in the various countries of distribution; fees and expenses of the Board of Directors of the Company; insurance premiums; interest; stock exchange admission fees and broker fees; reimbursement of expenses to the custodian and all other contracting parties of the Company; calculation and publication of the net asset value per share and the share prices as well as licence fees, in particular for the use of the Julius Baer brand. Formation expenses Capitalised formation expenses of new sub-funds can be written off in those sub-funds over a period of five years in equal amounts. 17

18 Notes to the Annual Report Transaction costs The transaction costs primarily include brokerage fees. The transaction costs incurred during the financial year are included in the costs of the securities purchased and sold. During the period from 1 July 2015 to 30 June 2016, the Company incurred transaction costs in the amount set out below in connection with the purchase and sale of securities: Multilabel SICAV - ABS SELECTION FUND - ARTEMIDE AS PERSEO FUND AS TOTAL RETURN FUND (until 14 January 2016) AS YASMIN FUND AVANTGARDE ENPACL CREDITO - (previously: ENPACL OBBLIGAZIONARIO CORPORATE GLOBALE) ENPACL MULTISTRATEGIA HYBRID BONDS FUND LYRA The transaction costs reported above may be misleading as the different costs incurred in transactions are not always reported separately and in some instances are included directly in the purchase and sale costs. In the case of the above sub-funds, this may therefore result in differing transaction costs for comparable investments and transaction volumes. Other expenses include: Formation fees Audit fees Performance fees Service load Printing and publishing costs Professional fees Regulatory fees Other expenses Currency Total Multilabel SICAV - ABS SELECTION FUND ARTEMIDE AS PERSEO FUND AS TOTAL RETURN FUND AS YASMIN FUND AVANTGARDE ENPACL CREDITO (previously: ENPACL OBBLIGAZIONARIO CORPORATE GLOBALE) ENPACL MULTISTRATEGIA HYBRID BONDS FUND LYRA Cross-investments between sub-funds As at 30 June 2016, the following sub-fund of the SICAV invested in other sub-funds of the SICAV: Multilabel SICAV - ARTEMIDE Target sub-funds Investment amount in in % of net assets Multilabel SICAV LYRA C % The amount of the cross-investments is shown in the consolidated statement of net assets as at 30 June 2016 and in the consolidated profit and loss account from 1 July 2015 until 30 June The total amount is CHF and comprises 0.80% of the consolidated net assets of the SICAV. 18

19 Notes to the Annual Report Notes on the costs when purchasing target funds In addition to the costs associated with the purchase of target funds that are charged to the sub-fund s assets in accordance with the provisions of the prospectus and the Articles of Incorporation, costs for administration, the custodian and auditor s fees, taxes as well as other costs, commission and expenses may apply to the target funds, and as a result, similar costs may be charged several times. The maximum management fee amount for the target funds can be obtained free of charge from the Management Company upon request. 19