Private Bank Funds I. Société d Investissement à Capital Variable, Luxembourg. (R.C.S. No. B )

Transcription

1 Société d Investissement à Capital Variable, Luxembourg (R.C.S. No. B ) AUDITED ANNUAL REPORT 31 MARCH 2017

2 Audited Annual Report As at 31 March 2017 Contents Board of Directors 1 Management and Administration 2 Board of Directors Report 3 Investment Managers Report 7 Audit Report 9 Financial Statements and Statistical Information Combined Statement of Net Assets 10 Combined Statement of Operations and Changes in Net Assets 12 Statement of Changes in the Number of Shares 15 Statistical Information 17 Notes to the Financial Statements 19 Schedule of Investments Private Bank Funds I - Access Balanced Fund (EUR) 24 Private Bank Funds I - Access Balanced Fund (GBP) 26 Private Bank Funds I - Access Balanced Fund () 28 Private Bank Funds I - Access Capital Preservation Fund (EUR) 29 Private Bank Funds I - Access Capital Preservation Fund () 31 Private Bank Funds I - Access Growth Fund () 32 Private Bank Funds I - Dynamic Multi-Asset Fund (EUR) 33 Private Bank Funds I - Dynamic Multi-Asset Fund () 35 Private Bank Funds I - Montes Excelsis Fund 37 Appendix - Unaudited Additional Disclosures 1. Total Expense Ratios Summary of Investment Objectives of the Sub-Funds Performance and Volatility Interest Rate Received/(Charged) on Bank Accounts Sub-Fund Share Classes Subject to Taxe d Abonnement Rate of 0.01% Portfolio Turnover Ratio Calculation Method of the Risk Exposure Securities Financing Transactions UCITS Remuneration Disclosures Historical Statement of Changes in the Number of Shares Management Fees of Undertakings Managed by Investment Managers which are not Members of JPMorgan Chase & Co. group 51 For additional information please consult No subscriptions can be received solely on the basis of this report. Subscriptions are only valid if made on the basis of the current Prospectus, the current Key Investor Information Documents, supplemented by the latest audited annual report and, if published thereafter, the latest unaudited semi-annual report. The current Prospectus, the current Key Investor Information Documents, the unaudited semi-annual reports, as well as the audited annual reports can be obtained free of charge from the registered office of the SICAV and from local paying agents. Details of the Investment Manager(s) for the individual Sub-Funds are available within the Prospectus and from the Management Company at its registered office, or from

3 Board of Directors Chairman Jacques Elvinger Elvinger Hoss Prussen 2, place Winston Churchill B.P. 425, L-2014 Luxembourg Grand Duchy of Luxembourg Directors Alain Feis Interinvest S.A. 6B, route de Trèves L-2633 Senningerberg Grand Duchy of Luxembourg Benoit Dumont J.P. Morgan (Suisse) S.A. 8, rue de la Confédération CH-1204 Geneva Switzerland Jean Fuchs Fuchs & Associés Finance 47, Boulevard Prince Henri L-1724 Luxembourg Grand Duchy of Luxembourg Registered Office 6, route de Trèves L-2633 Senningerberg Grand Duchy of Luxembourg 1

4 Management and Administration Management Company, Registrar and Transfer Agent, Global Distributor and Domiciliary Agent JPMorgan Asset Management (Europe) S.à r.l. 6, route de Trèves L-2633 Senningerberg Grand Duchy of Luxembourg Investment Managers J.P. Morgan International Bank Limited 25 Bank Street, Canary Wharf London E14 5JP United Kingdom JPMorgan Asset Management (UK) Limited 60 Victoria Embankment London EC4Y 0JP United Kingdom Depositary, Corporate, Administrative and Listing Agent J.P. Morgan Bank Luxembourg S.A. 6, route de Trèves L-2633 Senningerberg Grand Duchy of Luxembourg Independent Auditor PricewaterhouseCoopers, Société coopérative 2, rue Gerhard Mercator B.P. 1443, L-1014 Luxembourg Grand Duchy of Luxembourg Luxembourg Legal Adviser Elvinger Hoss Prussen 2, place Winston Churchill B.P. 425, L-2014 Luxembourg Grand Duchy of Luxembourg 2

5 Board of Directors Report The Board of Directors (the Board ) is pleased to present the Audited Annual Report of Private Bank Funds I (the Fund ) for the year ended 31 March Members of the Board Jacques Elvinger, Independent Director and Chairman. A member of the Board since February Mr Elvinger became a member of the Luxembourg Bar in 1984 and has been a partner of the Luxembourg law firm Elvinger Hoss Prussen since Mr Elvinger practices general corporate and banking law and specialises in the field of investment and pension funds. He is a member of the High Committee for the Development of the Financial Sector instituted by the Luxembourg Government. He is also a member of the Advisory Committee to the Luxembourg Commission for the Supervision of the Financial Sector in the area of investment fund managers. He is a member of the Board of Directors of the Association of the Luxembourg Fund Industry (ALFI) and is currently chairman of ALFI s Regulatory Board. Mr Elvinger currently holds a number of board mandates with Luxembourg investment funds including several JPMorgan managed Luxembourg-domiciled investment funds. Benoit Dumont, Independent Director since 31 March A member of the Board since February Mr Dumont was an employee of JPMorgan Suisse S.A. from 1999 until March Prior to his retirement, Mr Dumont held several positions as Chairman of the Board of JPMorgan Suisse S.A. from 2007, Managing Director with JPMorgan in Brussels from 1980 and in New York from He holds a Bachelor degree in Commercial Engineering and a postgraduate degree in Economics and Finance and taught Finance at ULB-CEPAC. Mr Dumont represents JPMorgan as Directorof the Association of ForeignBanks in Switzerland, the Geneva Financial Centerand the Geneva Finance and Research Institute. He is also a Director of Intec SA, a Belgian technology venture firm, Trace Technologies, a Swiss tech start up and Edmond de Rothschild Holding SA Switzerland and Holding Benjamin et Edmond de Rothschild Pregny - Switzerland. Mr Dumont also sits on the Academic Advisory Board of Business School Lausanne and the Advisory Board of Immodating - Switzerland. Alain Feis, Independent Director. A member of the Board since February Active in the field of Private Banking for more than 30 years, Mr Feis has been working in management positions with various institutions in Luxembourg. He is a member of the Board of Directors of the Association Luxembourgeoise de Professionnels du Patrimoine (ALPP). With respect to the various consultative bodies of the Commission for the Supervision of the Financial Sector (CSSF), Mr Feis is a member of the Comité Consultatif de la Réglementation Prudentielle as well as a member of the mixed Banks and Investment Firms Committee. Jean Fuchs, Independent Director. A member of the Board since February Mr Fuchs has been the Chairman of Fuchs et Associés Finance Lux S.A. since 2000 and was the Managing Director of ATAG Asset Management from He also held various positions with BNP Paribas from 1982 to Mr Fuchs holds a Bachelor degree in Law and Economics from the University of Strasbourg, attended the Institut d Etudes Politiques Section Economie and attained a Masters degree in Technical Finance and Banking. Mr Fuchs is an advisory member of the Commission for the Supervision of the Financial Sector (CSSF), a member of the European Federation of Independent Advisers and of the Luxembourg Financial Development Council. He is also the Chairman of the Association Luxembourgeoise de Professionnels du Patrimoine (ALPP). Structure of the Fund The Fund is a variable capital investment company, organised as a Société Anonyme, under the laws of the Grand Duchy of Luxembourg. The Board has appointed JPMorgan Asset Management (Europe) S.à r.l. (JPMAME) as Management Company of the Fund. The Fund is organised as an umbrella with a number of Sub-Funds each of which has its own investment objective, policies and restrictions. The objective of the Fund is to place the money available to it in transferable securities and other permitted assets of any kind, in accordance with the Fund s Prospectus, with the purpose of spreading investment risks and affording shareholders the results of the management of their portfolios. The Fund qualifies as an Undertaking for Collective Investment in Transferable Securities (UCITS) under the EC Directive 2009/65/EC of 13 July 2009 and is subject to the Luxembourg law of 17 December 2010 on undertakings for collective investment. The Fund may therefore be offered for sale in European Union Member States, subject to notification in countries other than the Grand Duchy of Luxembourg. In addition, applications to register the Fund and its Sub-Funds may be made in other countries. As at the year end the Fund had 9 Sub-Funds. All of the Sub-Funds and Share Classes are registered for offer and distribution in the Grand Duchy of Luxembourg and a number of the Sub-Funds and Share Classes are registered for distribution in the following jurisdictions: Austria, Belgium, Denmark, France, Germany, Greece, Ireland, Italy, Luxembourg, The Netherlands, Spain, Sweden, Switzerland and United Kingdom. Role and Responsibility of the Board The responsibility of the Board is governed exclusively by Luxembourg law. With respect to the annual accounts of the Fund, the duties of the Directors are governed by the law of 10 December 2010 on, inter alia, the accounting and annual accounts of undertakings for collective investment and by the law of 17 December 2010 relating to undertakings for collective investment. A management agreement between the Fund and JPMorgan Asset Management (Europe) S.à r.l sets out the matters over which the Management Company has authority under Chapter 15 of the Law of 17 December This includes management of the Fund s assets and the provision of administration, registration, domiciliation agent and marketing services. All other matters are reserved for approval by the Board and a schedule setting out such matters for clarity is in place between the Board and the Management Company. The matters reserved for the Board include determination of each Sub-Fund s investment objective and policies, investment restrictions and powers, amendments to the Prospectus, reviewing and approving key investment and financial data, including the annual accounts, as well as the appointment of, and review of the services provided by, the Management Company, Auditor and Depositary. 3

6 Board of Directors Report (continued) Prior to each Board meeting the Directors receive detailed and timely information allowing them to be prepared for the items under discussion duringthe meeting. For each quarterlymeetingthe Board requests, and receives, reports from, amongst others, the Management Company, the investment managers, risk management as well as proposals for changes to existing Sub-Funds or proposals to launch new ones as appropriate. Senior representatives of each of these functions attend Board meetings by invitation to enable the Directors to question the reports presented to it. The Directors take decisions in the interests of the Fund and its shareholders as a whole and refrain from taking part in any deliberation or decision which creates a conflict of interest between their personal interests and those of the Fund and its shareholders. The subject of conflicts of interest is documentedin the Prospectus and the Management Company s policy on conflicts of interest is available for inspection on the website: The Board can take independent professional advice if necessary and at the Fund s expense. Board Composition The Board is chaired by Mr Elvinger and consists of three Independent Directors and one Connected Director. The Board defines a connected Director as someone who is employed by JPMorgan Chase & Co or any of its affiliates. All Board meetings require a majority of Independent Directors to be in attendance and as such the Board acts independently from the Management Company. In appointing a Director the Board takes into account the relative mix and composition of the Board, which as a whole has a breadth of investment knowledge, financial skills, as well as legal and other experience relevant to the Fund s business. The Board has agreed that a proposal will be put to shareholders to appoint Directors on a rotational basis and believes that this is of benefit to shareholders as it will ensure that there is always continuity of Directors. In order to facilitate this proposal it is necessary that the Articles of Incorporation be altered; the decision to amend them is subject to a shareholder vote at an Extraordinary General Meeting and it is anticipated that this meeting will take place during The Board does not limit the number of years of Directors service and it does take into account the nature and requirements of the fund industry and of the Fund s business when making recommendation to shareholders that Directors be elected. The terms of each Director s appointment are set out in a contract for services and these are available at the Fund s registered office for inspection. Induction and Training All new Directors will receive an induction incorporating relevant information regarding the Fund and their duties and responsibilities as a Director. In addition, the Board takes active steps to keep up to date with developments relevant to the Fund and have ensured that a formal training programme is in place. Board Evaluation The Board carries out a biennial review of its performance. Board Remuneration The Board believes that the remuneration of its members should reflect the responsibilities and experience of the Board as a whole and be fair and appropriate given the size, complexity and investment objectives of the Fund. The Board reviews the remuneration paid on an annual basis. The Chairman is currently paid EUR 17,500 and the other Directors EUR 16,000 apart from the Connected Director who has agreed to waive his right to remuneration. No element of the remuneration paid by the Fund to the Directors is performance related. Board Meetings and Committees The Board meets quarterly but if necessary additional meetings will be arranged. Given the scope and nature of the business of the Fund, the Board does not currently consider it necessary to have a formal Audit or Remuneration Committee or indeed any other standing committees. However, this is kept under review. All Board related matters are therefore currently approved by the Board or, where there are specific matters that need further consideration, a Sub-Committee of the Board could be formed for this specific purpose. Such circumstances could be where the Board requests some amendments to the Prospectus and where it is not appropriate to wait till the next quarterly Board meeting for this to be approved. These Sub-Committee meetings are usually formed of a minimum of two Directors. There were five Board meetings held during the reporting year. Four of these were the quarterly Board meetings where, amongst other matters, the agenda included those items highlighted under the section above called Role and Responsibility of the Board. The other meeting was an ad-hoc meeting to consider a Board initiative. Internal Control Investment management and all administrative services are provided by the Management Company and custody of assets is provided by J.P. Morgan Bank Luxembourg S.A. The Board s system of internal control therefore mainly comprises monitoring the services provided by the Management Company and the Depositary, including the operational and compliance controls established by them to meet the Fund s obligations to shareholders as set out in the Prospectus, Articles of Incorporation as well as all relevant regulations. The Management Company formally reports to the Board on a quarterlybasis on the various activities it is responsible for and in addition shall inform the Board without delay of any material administrative or accounting matters. 4

7 Board of Directors Report (continued) Corporate Governance and ALFI Code of Conduct The Board is responsible for ensuring that a high level of corporate governance is met and considers that the Fund has complied with the best practices in the Luxembourg funds industry. In particular the Board has adopted the ALFI Code of Conduct (the Code ) which sets out principles of good governance. These principles are set out below: 1. The Board should ensure that high standards of corporate governance are applied at all times; 2. The Board should have good professional standing and appropriate experience and ensure that it is collectively competent to fulfil its responsibilities; 3. The Board should act fairly and independently in the best interests of the investors; 4. The Board should act with due care and diligence in the performance of their duties; 5. The Board should ensure compliance with all applicable laws and regulations and with the Fund's constitutional documents; 6. The Board should ensure that investors are properly informed, are fairly and equitably treated, and receive the benefits and services to which they are entitled; 7. The Board should ensure that an effective risk management process and appropriate internal controls are in place; 8. The Board should identify and manage fairly and effectively, to the best of its ability, any actual, potential or apparent conflict of interest and ensure appropriate disclosure; 9. The Board should ensure that shareholder rights are exercised in a considered way and in the best interests of the Fund; 10. The Board should ensure that the remuneration of the Board members is reasonable and fair and adequately disclosed. The Board considers that the Fund has been in compliance with the principles of the Code in all material aspects throughout the financial year ended 31 March The Board undertakes an annual review of ongoing compliance with the principles of the Code. Proxy Voting Policy The Board delegates responsibility for proxy voting to the Management Company. The Management Company manages the voting rights of the shares entrusted in a prudent and diligent manner, based exclusively on their reasonable judgement of what will best serve the financial interests of their clients. So far as is practicable, the Management Company will vote at all of the meetings called by companies in which they are invested. A copy of the proxy voting policy is available from the Fund s registered office upon request or on the website: Directors and Officers Indemnity Insurance The Fund s Articles of Incorporation indemnify the Directors against expenses reasonably incurred in connection with any claim against them arising in the course of their duties or responsibilities as long as they have not acted fraudulently or dishonestly. To protect shareholders against any such claim, the Board has taken out Directors and Officers Indemnity Insurance which indemnifies the Directors against certain liabilities arising in the course of their duties and responsibilities but does not cover against any fraudulent or dishonest actions on their part. Independent Auditor PricewaterhouseCoopers, Société Coopérative, has been the Fund s Auditor since February The provision of audit services was last put to competitive tender in The Board reviewed the services of PwC in 2016 and decided that, subject to any other influencing factor, they should continue to be proposed to the Shareholders to be appointed as Auditor. Annual General Meeting The next Annual General Meeting of the Fund will be held on 28 July 2017 at the Registered Office of the Fund to consider matters relating to the year ending on 31 March At this meeting shareholders will, amongst other matters, be requested to consider the usual matters at such meetings including: 1. the adoption of the financial statements and approval of the allocation of the results; 2. the approval of Directors fees; 3. the election of the Directors, all of whom wish to stand for election; 4. the election of the Auditor; 5. the discharge of Directors duties. No special business is being proposed by the Board. Discharge of Directors One of the resolutions in the AGM is to discharge the directors of their duties for the fiscal year in question. This discharge is only valid where the annual accounts contain no omission or false information concealing the real financial situation of the Fund. Cleansing of Impure Income The Private Bank Funds I - Islamic Global Dynamic Equity Fund invested in a diversified portfolio of equity securities within the Dow Jones Islamic Market World Index (the Islamic Index ). 5

8 Board of Directors Report (continued) The Islamic Index was established in accordance with the Dow Jones Indexes s methodology and the Islamic investment guidelines set by the Islamic Index s Shari ah Supervisory Board. The Islamic Index is constructed from the universe of the pool of stocks contained in the Dow Jones Global Indexes. The components for the Islamic Index are selected by filtering this index universe through screens for business activities and financial ratios to remove stocks that are not suitable for Islamic investment purposes. The impure income cleansing is done quarterly upon receipt of the impure income information provided by the Islamic Index. The Net Asset of the Sub-Fund is adjusted to take into account the portion of impure income received on the investments of the Sub-Fund. Until the Sub-Fund s liquidation on 13 February 2017, a total of 26,367 had been considered for income cleansing. 26,367 will be paid to the foundation [Children in Crisis]. Events during the Year During the year, the total net assets of the Fund increased from 4.5 billion to 4.6 billion at year end. With effect from 29 April 2016, Private Bank Funds I - Discretionary Fixed Income Government Fund was liquidated. With effect from 1 July 2016, the following Sub-Funds were renamed: - Private Bank Funds I - Access Conservative Fund (EUR) to Private Bank Funds I - Access Capital Preservation Fund (EUR); - Private Bank Funds I - Access Conservative Fund () to Private Bank Funds I - Access Capital Preservation Fund (). With effect from 25 October 2016, Private Bank Funds I - Blue and Green Fund was liquidated. With effectfrom16 November 2016, Private Bank Funds I - AccessGrowth Fund (GBP) and AccessConservativeFunds (GBP) wereliquidated. With effect from 13 February 2017, Private Bank Funds I - Islamic Dynamic Equity Fund was liquidated. Events After the Year-End With effect from 11 May 2017, the Calcula Fund SICAV, S.A. and the Extensis Uno SICAV, S.A. (the Absorbed Funds ) have been merged into the Private Bank Funds I - Access Balanced Fund (EUR) (the Absorbing Fund ). The Board of Directors Luxembourg, 27 June

9 Investment Managers Report Market Review In the 12 months to the end of March 2017, MSCI World appreciated 14.8%, while fixed income markets were up only +1.1% (Barclays Global Aggregate Index). U.S. 10 year yield rallied from1.77% at the end ofmarch2016 to 2.38% at the end ofmarch2017. Fed raised rates twiceduringthis time periodand longterm rates appreciated in the wake of the U.S. election. Global markets had a shaky start to 2016 as heightened economic growth concerns, energy market declines, credit market pressure and broad volatility united to dampen returns and frustrate active managers. After a challenging first quarter in 2016, risky assets rebounded from 1 April 2016 to end of 31 March 2017 which explains the strong appreciation for the MSCI World Index. Geopolitical concerns did not derail the equity rally. During the second quarter of 2016, most risky assets rallied until the Brexit vote on 23 June, which triggered a sharp selloff in equity markets. MSCI Europe lostasmuchas6.8% on24juneasmarketsadapted toanunexpectedoutcome. Thiscorrectionwasshort-livedandindicesreboundedafterafewweeks. UK Equities were supported by the weakeningof the British Pound whichallowed exports companiesto gain a competitive advantage. Bank of England adapted its monetary policy with new easing measures to support the economy (cut of interest rates to 0.25% and a renewed QE program). In the end, FTSE 100 was one of the best performing equity market during the quarter gaining as much as +5.3%. Stocks appreciated during the third quarter of 2016 with further improvement in the global economy and resilient quarterly corporate earnings, especially in the technology sector in the U.S. Even though the Fed remained on hold in July and September, they hinted at a rate hike before the end of the year. Japanese stocks gained +5.6% during the quarter. Equity markets in Japan rallied as the government announced a new fiscal program to support spending including several infrastructure projects. Bank of Japan introduced an interest rate target for 10 year government bond yields and further easing monetary policy measures. Q saw government bond yields in most markets lifted by the anticipations of both higher inflation and growth, and more restrictive monetary policy after the U.S. election victory for Donald Trump. Long term rates rose significantly with the U.S. 10 year yield going from 1.59% to 2.44% during the quarter. Equity market rally went on, with financial stocks performing well as long term yields rallied. U.S. equities gained +3.2% during the quarter; this rally was supported by improving macroeconomic data and the expectations of a new expansive fiscal policy. The Federal Open Market Committee raised its target range from a range of 0.25% to 0.5% to 0.5% to 0.75% in mid-december. This was overall a strong quarter for the currency as the DXY Index gained as much as 7.1%. Appreciation of the currency helped Japanese equity markets to over perform and the Nikkei index gained as much as +16.2% in JPY during the quarter. Performance of this market was much subdued translated in terms. Equity markets had a good start to 2017, following on last quarter s strong performance. The U.S. election, and the associated expectations for further tax cuts, increased public spending and regulatory changes, have supported the rally in risky assets since November The Fed raised rates once again in March Confidence in the economicoutlook has also been improving outside the U.S. In Europe, business surveys have risen to their highest levels over five years and consumer confidence has recovered to close to pre-crisis highs. Euro area PMIs rose to 56.4 for the month of March highlighting a continued recoveryineconomicconditions. MSCI EuropeIndex gained +5.3% duringthe firstquarter of2017. Brexit was formallytriggeredon29 March2017 witha bill invoking Article 50. Market Outlook - Access Sub-Funds Markets have quickly focused on the reflationary aspects of what lighter regulation, tax cuts and pro-investment policy mean for US growth and inflation. Global growth is improving, and central banks have stepped back from the shock-and-awe of protracted easing. The Federal Reserve is raising rates, the Bank of Japan has backed away from extending negative interest rates and there is a risk that the European Central Bank will announce further tapering of quantitative easing later this year. Economic surprise indicators are moving higher along with business sentiment. Across portfolios, this leaves us invested but not overreaching for risk - right now, we prefer to diversify how we are taking risk across a multi-asset fund. Earnings growth will be crucial this year for equity markets. We continue to be overweight US equity markets across portfolios and modestly overweight Japan versus Europe. We expect developed markets earnings growth to range between 5% and 8% as a base case. We have the highest conviction in the US currently and expect earnings to grow at the high end of this range with upside, depending on what happens with tax reform. We see similar high earnings growth in Japan this year. Europe is the outlier, where returns may remain challenged as we start the year. We are far more constructive on emerging equity markets than we have been in quite a while. What keeps us cautious is the tail risk around US trade policy. "Currency manipulator" headlines for China and "renegotiations are coming" headlines around NAFTA will put additional pressure on EM foreign exchange markets. Valuations don't stand out as particularly inexpensive in EM equity markets either. Our largest underweight across portfolios remains to core bonds. We are underweight core duration, but continue to hold onto short to intermediate bonds to help diversify riskand navigate a volatile market ahead. Credit and Extended Fixed Incomeremains our largest overweightacross portfolios. We likewhat we hold in high yield, dollar-denominated emerging market debt as well as investment grade credit. However, coming into this year, return expectations need to be reset lower. We are positioned the way we are across our funds because we see a firm and stable global macro backdrop ahead. We expect global growth to reach 3.4% annualized rate. Our economics team is currently arguing for resurgence in corporate profits ahead, as global growth and inflation accelerate and productivity improves. We aren't in an environment where reflationary risks are running ahead of central banks or markets. Rather, it's that disinflationary forces are fading. That is a subtle but very important backdrop for risk assets - it's supportive. We remain neutral in our equity allocations to reflect global equity markets that we feel are fully valued. We have had a great start to the year 2017 across equity markets, and a little digestion of current valuations seems in order. I would say the same about credit markets, although we have seen some consolidation. Across our fixed income allocations, the team continues to like how we are positioned, though we are having some active discussions about whether we would dial back duration should longer-dated government bond yields move lower. We are also looking at some shorter-duration inflation linked bonds as a potential addition across portfolios. The Fed willraise policydriven uncertainty that may weighonmarketsentimentas we moveintoapril. That is likelyto keepequity marketsrangeboundand bouncy until we get far enough along in the earnings season. It's also likely to keep government bond yields contained. While the Fed has a policy meetingin early May, markets have around a 15% probability of the Fed raising policy rates at that meeting. That probability rises to above 50% for a rate hike at the June FOMC meeting. Markets are focused on June for the next Fed rate hike. 7

10 Investment Managers Report (continued) Market Outlook - Dynamic Multi Asset Strategy Sub-Funds Overall we remain cautiously optimistic on forward looking returns, but would perhaps emphasise the word cautious slightly more than we would have three months ago. We re currently doing some work on a number of diversifying trades in the portfolioin all three of our broad asset classes equities, fixed income and alternatives. We remain excited about continuing to add new idiosyncratic ideas into the portfolio such as infrastructure equity, non-life insurance equities, mortgages and un-correlated holdings within the relative value sub-strategy of liquid alternative managers. Taking a step back, risk appetite has stalled a bit globally thus far in March, with a widening of credit spreads, weakness in the EM/commodity complex, and poor performance of small cap and value styles indicating a mild defensive rotation is underway. We believe a number of factors are at play. The US tax reform timeline continues to get extended, as Republican disagreement over the recently released Health Care bill threatens to push the tax deal farther and farther out in the year. There s also the acknowledgement that economic data surprises in and of themselves are not true leading indicators, and very often precede equity market declines as they lead to tighter financial conditions. In addition to the Fed, China is becoming less stimulative, the ECB is acknowledging a better growth outlook, 10 year yields are rising globally, and investors are beginning to question whether underlying fundamentals are truly strong enough to shake off money that will be less easy than before. We remain constructive on emerging equity markets, which have topped the performance leader board year to date. The Fed delivered what was widely interpreted as a dovish hike in March, sending real yields lower and benefitting the portfolio s exposure to EM equity. India was the top performing holding over the month, as Modi s unexpectedly strong victory in a key state electionboosted the odds of his re-electionin the 2019 national polls. Both the currency and local market reacted strongly. After a strong Q1 and growing risks to the global reflation trade, the general direction of the portfolio is one of mildly reducing risk. Since launch, credit has been one of our favoured expressions of risk in the portfolio. In absolute terms, we would have been better served simply by buying equity, however, on a risk adjusted basis, high yield and investment grade spreads in late 2015 / early 2016 offered a more compelling risk adjusted return. As spreads have moved back toward cycle lows and our economic outlook has evolved, the allocation to credit in the portfolio has come down steadily since H March saw further trades out of normal maturity high yield and investment grade exposure. The sole exposure to traditional credit now lies in short duration vehicles, where we are giving up minimal yield but taking on far less duration risk. In light of the strong performance of physical gold year to date and the recent fall in real yields, we have taken the opportunity to realise some profits in the holding. Elsewhere within our alternatives allocation, we added two new positions as equity valuations increasingly become less attractive in core markets and bond prices continue to offer scant value, good quality alterative managers can offer a compelling means to helping the strategy to meet its performance objective. In terms of outlook, much of the media continues to focus on Trump. We do not dismiss the importance of the President s ability to pass market friendly tax and infrastructure reforms, but are focused more on the global cycle as a driver of asset prices. The global reflation trade has paused for within U.S. growth stocks and under performance in operationally leveraged markets like Japan thus far year to date. A mix of equity regional styles, a less credit heavy fixed income book, smaller positions in uncorrelated liquid alternatives, exposure to gold and an elevated cash position feels like a more balanced portfolio allocation given the sharp rally in risk assets and the uncertain outlook that lies ahead. Investment Managers Luxembourg, 27 June 2017 The information stated in this report is historical and not necessarily indicative of future performance. 8

11 Audit Report To the Shareholders of Private Bank Funds I We have audited the accompanying financial statements of Private Bank Funds I and of each of its Sub-Funds, which comprise the Combined Statement of Net Assets and the Schedule of Investments as at 31 March 2017 and the Combined Statement of Operations and Changes in Net Assets forthe year then ended, and a summary of significant accountingpolicies 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 from material misstatement, whether due to fraud or error. Responsibility of the Réviseur d entreprises agréé Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with International Standards on Auditing as adopted for Luxembourg by the Commission de Surveillance du Secteur Financier. Those standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the 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 accountingestimates made by the Board of Directors of the SICAV, as wellas evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements give a true and fair view of the financial position of Private Bank Funds I and of each of its Sub-Funds as of 31 March 2017, and of the results of their operations and changes in their net assets for the year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements. Other information The Board of Directors of the SICAV is responsible for the other information. The other information comprises the information included in the annual report but does not include the financial statements and our audit report thereon. Our opinion on the financial statements does not cover the other information and we do not express any form of assurance conclusion thereon. In connection with our audit of the financial statements, our responsibility is to read the other information and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit or otherwise appears to be materially misstated. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report this fact. We have nothing to report in this regard. PricewaterhouseCoopers, Sociétécoopérative Luxembourg, 27June 2017 Represented by Emmanuel Chataignier 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

12 Combined Statement of Net Assets As at 31 March 2017 Private Bank Funds I Combined Access Balanced Fund (EUR) EUR Access Balanced Fund (GBP) GBP Assets Investments in Securities at Market 4,332,583, ,501, ,331,072 Acquisition Cost: 4,009,239, ,323, ,009,821 Cash at Bank and at Brokers 250,185,735 29,627,750 7,205,178 Amounts Receivable on Sale of Investments 72,772,956 1,361, ,523 Interest and Dividends Receivable, Net 544, , ,089 Fee Waiver* 19,398-1,813 Net Unrealised Gain on Forward Currency Exchange Contracts 4,657, , ,372 Total Assets 4,660,764, ,518, ,702,047 Liabilities Amounts Payable on Purchase of Investments 9,563,146 5,159,864 1,177,455 Management and Advisory Fees Payable 2,861, ,397 87,770 Other Payables** 419,400 50,347 13,031 Net Unrealised Loss on Forward Currency Exchange Contracts 2,034, Net Unrealised Loss on Financial Futures Contracts 46, Total Liabilities 14,925,801 5,768,608 1,278,256 Total Net Assets 4,645,838, ,749, ,423,791 Historical Total Net Assets 31 March ,456,869, ,527, ,175, March ,221,375,109 1,066,863, ,181,024 * Please refer to Note 3c). ** Other Payables are principally comprised of Directors fees, audit and tax related fees and expenses, registration, publication, mailing, printing, legal and marketing expenses. The accompanying notes form an integral part of these Financial Statements. 10

13 Combined Statement of Net Assets (continued) As at 31 March 2017 Access Balanced Fund () Access Capital Preservation Fund (EUR) (1) EUR Access Capital Preservation Fund () (2) Access Growth Fund () Dynamic Multi-Asset Fund (EUR) EUR Dynamic Multi-Asset Fund () Montes Excelsis Fund 768,371, ,181, ,947,207 50,071, ,461, ,549, ,373, ,826, ,637, ,184,352 45,685, ,436, ,732, ,492,804 25,568,628 23,963,289 5,312,070 2,786,699 63,393,718 66,015,249 16,533,434 3,539,903-7,510, ,370 26,287,527 25,600,417 6,030, ,651-2,781 6, , ,634, ,479, ,336, ,769,364 53,054, ,776, ,167, ,943,546-2,417, , , ,505 24, , ,733-56,408 48,741 26,334 11, ,224 80,029 12, ,623, , ,577 19,880 4, ,952 2,771, ,839 36, ,835 2,110, , ,718, ,564, ,535,525 53,017, ,181, ,056, ,514,591 1,003,262, ,030, ,884,838 66,857, ,219, ,313, ,314,199 1,284,867, ,537, ,780,444 80,711, ,113,887 (1) This Sub-Fund was renamed from Private Bank Funds I - Access Conservative Fund (EUR) to Private Bank Funds I - Access Capital Preservation Fund (EUR) on 1 July (2) This Sub-Fund was renamed from Private Bank Funds I - Access Conservative Fund () to Private Bank Funds I - Access Capital Preservation Fund () on 1 July

14 Combined Statement of Operations and Changes in Net Assets For the Year Ended 31 March 2017 Private Bank Funds I Combined Access Balanced Fund (EUR) EUR Access Balanced Fund (GBP) GBP Net Assets at the Beginning of the Year* 4,278,074, ,527, ,175,423 Income Dividend Income, Net 9,733,471 1,391,272 1,858,781 Interest Income, Net 444,941 79,687 21,199 Bank Interest 129,627 12,279 9,102 Total Income 10,308,039 1,483,238 1,889,082 Expenses Management and Advisory Fees 39,619,478 8,548,668 1,299,729 Depositary, Corporate, Administration and Domiciliary Agency Fees 1,959, ,297 82,104 Registrar and Transfer Agency Fees 152,576 19,203 17,125 Taxe d Abonnement 1,194, ,447 41,105 Overdraft Interest 488,782 83,499 8,996 Income Cleansing** 26, Interest on Swap Transactions 79, Sundry Fees*** 1,149, ,917 64,712 44,670,715 9,229,031 1,513,771 Less: Fee Waiver**** 412,690 16,627 18,466 Total Expenses 44,258,025 9,212,404 1,495,305 Net Investment Income/(Loss) (33,949,986) (7,729,166) 393,777 Net Realised Gain/(Loss) on Sale of Investments 172,330,001 40,899,887 14,428,385 Net Realised Gain/(Loss) on Forward Currency Exchange Contracts (60,838,441) (11,562,694) (24,904,528) Net Realised Gain/(Loss) on Financial Futures Contracts (539,473) - - Net Realised Gain/(Loss) on Foreign Exchange 14,811,932 4,629,865 3,434,357 Net Realised Gain/(Loss) on Other Derivative Instruments (1,880,140) - - Net Realised Gain/(Loss) for the Year 123,883,879 33,967,058 (7,041,786) Net Change in Unrealised Gain/(Loss) on Investments 180,925,584 46,386,450 12,053,886 Net Change in Unrealised Gain/(Loss) on Forward Currency Exchange Contracts (1,472,498) (14,869,044) 10,105,427 Net Change in Unrealised Gain/(Loss) on Financial Futures Contracts (75,233) - - Net Change in Unrealised Gain/(Loss) on Foreign Exchange 471,524 1,290,722 (565,912) Net Change in Unrealised Gain/(Loss) on Other Derivative Instruments (277,333) - - Net Change in Unrealised Gain/(Loss) for the Year 179,572,044 32,808,128 21,593,401 Increase/(Decrease) in Net Assets as a Result of Operations 269,505,937 59,046,020 14,945,392 Movements in Share Capital Subscriptions 2,199,424, ,574,688 32,843,300 Redemptions (2,098,802,710) (403,398,262) (95,099,920) Increase/(Decrease) in Net Assets as a Result of Movements in Share Capital 100,621,679 (200,823,574) (62,256,620) Dividend Distribution (2,363,518) (6) (1,440,404) Net Assets at the End of the Year 4,645,838, ,749, ,423,791 * The opening balance was combined using the foreign exchange rates as at 31 March The same net assets when combined using the foreign exchange rates ruling as at 31 March 2016 reflected a figure of 4,456,869,639. ** Please refer to Note 12. *** Sundry Fees are principally comprised of Directors fees, audit and tax related fees and expenses, registration, publication, mailing, printing, legal and marketing expenses. **** Please refer to Note 3c). The accompanying notes form an integral part of these Financial Statements. 12

15 Combined Statement of Operations and Changes in Net Assets (continued) For the Year Ended 31 March 2017 Access Balanced Fund () Access Capital Preservation Fund (EUR) (1) EUR Access Capital Preservation Fund () (2) Access Conservative Fund (GBP) (3) GBP Access Growth Fund (GBP) (3) GBP Access Growth Fund () 1,003,262, ,030, ,884,838 15,326,889 9,134,888 66,857, , ,078 40, , , ,376 13,174 25,109 10, , ,125 25,109 10, ,684 41, ,021 10,536,356 4,050,394 3,013,843 70,509 45, , , , ,061 18,639 17,317 40,309 16,644 21,984 11,364 2, , ,781 92,544 51,853 2,384 1,405 16,409 47,076 51,721 14, , , ,980 93,377 26,947 27,725 73,611 11,257,220 4,552,950 3,317, ,739 92, ,827 1,527 23,296 6,471 36,281 44,497 49,358 11,255,693 4,529,654 3,311,272 85,458 48, ,469 (10,795,568) (4,504,545) (3,300,707) 112,226 (6,994) (500,448) 40,562,532 21,813,899 13,076,563 1,352,603 1,468,380 1,705,428 (7,617,888) (1,340,703) (1,541,991) (1,188,342) (1,442,341) (605,588) ,810,044 2,110, ,425 58, , , ,754,688 22,583,845 12,298, , ,005 1,259,037 39,779,907 8,448,420 5,313,722 (167,413) (178,871) 4,187,620 6,223,830 (6,439,258) 1,129, , , , (1,190,278) 873,458 (313,599) (18,018) (14,471) (64,112) ,813,459 2,882,620 6,129, , ,917 4,664,964 69,772,579 20,961,920 15,127, , ,928 5,423, ,147, ,506,588 82,045,262 6,628,917 28,920 14,008,115 (485,464,122) (304,692,971) (198,522,182) (22,256,088) (9,577,303) (33,184,811) (276,316,543) (108,186,383) (116,476,920) (15,627,171) (9,548,383) (19,176,696) - (241,713) - (142,745) (33,433) (86,138) 796,718, ,564, ,535, ,017,814 (1) This Sub-Fund was renamed from Private Bank Funds I - Access Conservative Fund (EUR) to Private Bank Funds I - Access Capital Preservation Fund (EUR) on 1 July (2) This Sub-Fund was renamed from Private Bank Funds I - Access Conservative Fund () to Private Bank Funds I - Access Capital Preservation Fund () on 1 July (3) This Sub-Fund was liquidated on 16 November

16 Combined Statement of Operations and Changes in Net Assets (continued) For the Year Ended 31 March 2017 Blue and Green Fund (4) EUR Discretionary Fixed Income Government Fund (5) EUR Dynamic Multi-Asset Fund (EUR) EUR Dynamic Multi-Asset Fund () Islamic Global Dynamic Equity Fund (6) Montes Excelsis Fund 91,849,841 7,203, ,219, ,313,102 30,297, ,314, , ,139 2,717, , , ,031 8, ,758-2,421 37, ,431 1,098,526 8, ,560 2,755, , , ,296-4,307,694 4,327, , ,263 72,790 7, , ,767 53,787 79, ,245 13,151 18,763 6,372 2,132 4, , ,179 8,670 55,345 23, ,954 14, , ,367-74, ,197 6, , ,684 53,276 82, ,646 14,697 5,135,716 5,058, , ,355-36,410 22,976 33,937 88,347 3, ,646 (21,713) 5,112,740 5,024, , , ,880 29,974 (4,644,180) (2,269,338) 89,208 (386,485) 2,694, ,243 10,033,682 7,753,614 3,781,090 3,162,979 (687,521) 293,220 (5,691,025) 3,125,047 2, ,412 (1,931,404) - 542, , ,238 1,344,913 (2,562) (2,036,230) 96,631 10,654 25,516 (1,759,755) (339,367) 460,901 2,849,099 11,539,316 3,794,445 3,981,145 68,294 (181,079) 27,800,485 24,845,049 (2,441,193) 6,477,846 (1,318,738) (308,868) 2,439,053 (1,128,595) - 53,960 (26,777) - (20,577) (19,880) - (4,760) 8,783 (16,460) 18, ,452 3,012 78,686 (259,575) (1,528,013) (506,407) 30,237,026 24,077,026 (2,438,181) 6,605,732 (1,313,500) (15,532) 28,441,945 33,347,004 1,445,472 10,200, ,372, ,394,091 24,136 - (90,536,341) (7,188,247) (143,852,269) (176,994,344) (31,767,333) - (90,536,341) (7,188,247) 496,520, ,399,747 (31,743,197) (908) (2,924) ,181, ,056, ,514,591 (4) This Sub-Fund was liquidated on 25 October (5) This Sub-Fund was liquidated on 29 April (6) This Sub-Fund was liquidated on 13 February

17 Statement of Changes in the Number of Shares (continued) For the Year Ended 31 March 2017 Shares Outstanding at the Beginning of the Year Shares Subscribed Shares Redeemed Shares Outstanding at the End of the Year Private Bank Funds I - Access Balanced Fund (EUR) Access Balanced Fund (EUR) A (acc) 2,638, , ,236, ,455, Access Balanced Fund (EUR) A (inc) 21, , Access Balanced Fund (EUR) B (acc) 828, , , Access Balanced Fund (EUR) C (acc) 1,688, ,377, , ,642, Access Balanced Fund (EUR) D (acc) 13, , , Access Balanced Fund (EUR) Inst (acc) 1,254, , , , Private Bank Funds I - Access Balanced Fund (GBP) Access Balanced Fund (GBP) A (acc) 60, , , Access Balanced Fund (GBP) A (inc) 26, , , Access Balanced Fund (GBP) B (acc)* 28, , Access Balanced Fund (GBP) B (inc) 39, , , Access Balanced Fund (GBP) C (acc) 110, , , , Access Balanced Fund (GBP) C (inc) 52, , , , Access Balanced Fund (GBP) D (acc) 42, , , Access Balanced Fund (GBP) D (inc) 58, , , , Access Balanced Fund (GBP) Inst (acc) 217, , , , Access Balanced Fund (GBP) Inst (inc) 1,228, , , , Private Bank Funds I - Access Balanced Fund () Access Balanced Fund () A (acc) 4,941, , ,794, ,150, Access Balanced Fund () B (acc) 1,045, , , Access Balanced Fund () C (acc) 844, ,172, , ,652, Access Balanced Fund () D (acc) 73, , , , Access Balanced Fund () Inst (acc) 1,730, , , ,827, Private Bank Funds I - Access Capital Preservation Fund (EUR) (1) Access Capital Preservation Fund (EUR) A (acc) 2,105, , ,324, , Access Capital Preservation Fund (EUR) B (acc) 459, , , Access Capital Preservation Fund (EUR) C (acc) 2,029, ,570, , ,946, Access Capital Preservation Fund (EUR) C (inc) 103, , , Access Capital Preservation Fund (EUR) D (acc) 15, , , Access Capital Preservation Fund (EUR) Inst (acc) 728, , , , Access Capital Preservation Fund (EUR) Inst (inc) 109, , Access Capital Preservation Fund (EUR) Inst (inc) - GBP (hedged) - 52, , Private Bank Funds I - Access Capital Preservation Fund () (2) Access Capital Preservation Fund () A (acc) 2,173, , ,038, ,148, Access Capital Preservation Fund () B (acc) 462, , , Access Capital Preservation Fund () C (acc) 1,054, , , ,106, Access Capital Preservation Fund () Inst (acc) 101, , , Private Bank Funds I - Access Conservative Fund (GBP) (3) Access Conservative Fund (GBP) B (inc) 12, , Access Conservative Fund (GBP) C (inc) , , Access Conservative Fund (GBP) D (acc) 5, , , Access Conservative Fund (GBP) Inst (inc) 135, , , Private Bank Funds I - Access Growth Fund (GBP) (3) Access Growth Fund (GBP) Inst (inc) 92, , Private Bank Funds I - Access Growth Fund () Access Growth Fund () A (acc) 334, , , Access Growth Fund () C (acc) 1, , , , Access Growth Fund () D (inc) 30, , , Access Growth Fund () Inst (acc) 19, , , , Access Growth Fund () Inst (inc) 273, , , , Private Bank Funds I - Blue and Green Fund (4) Blue and Green Fund A (acc) - EUR 3, , Private Bank Funds I - Discretionary Fixed Income Government Fund (5) Discretionary Fixed Income Government Fund A (acc) 4, , Discretionary Fixed Income Government Fund A (acc) - (hedged) 19, , Discretionary Fixed Income Government Fund B (acc) 9, , Discretionary Fixed Income Government Fund C (acc) 18, , Discretionary Fixed Income Government Fund C (acc) - (hedged) 10, , Discretionary Fixed Income Government Fund C (inc) Private Bank Funds I - Dynamic Multi-Asset Fund (EUR) Dynamic Multi-Asset Fund (EUR) C (acc) 3,521, ,943, ,213, ,251, Dynamic Multi-Asset Fund (EUR) C (inc) 90, , , , Dynamic Multi-Asset Fund (EUR) Inst (acc) - 102, , Dynamic Multi-Asset Fund (EUR) Inst (inc) (1) This Sub-Fund was renamed from Private Bank Funds I - Access Conservative Fund (EUR) to Private Bank Funds I - Access Capital Preservation Fund (EUR) on 1 July (2) This Sub-Fund was renamed from Private Bank Funds I - Access Conservative Fund () to Private Bank Funds I - Access Capital Preservation Fund () on 1 July (3) This Sub-Fund was liquidated on 16 November (4) This Sub-Fund was liquidated on 25 October (5) This Sub-Fund was liquidated on 29 April