Woodman Funds SICAV p.l.c.

Transcription

1 s SICAV p.l.c. Annual Report and Audited Financial Statements 31 December 2015 Company Registration Number SV 204

2 s SICAV p.l.c. Table of contents Contents Pages Directors, officers and other information...3 Report of the Directors...4 Manager s report on activities during the year...6 Independent auditor s report...12 Comparative table...14 Financial statements Statements of financial position 17 Statements of comprehensive income..23 Statements of changes in attributable to holders of investor shares...29 Statements of cash flows...35 Notes to the financial statements

3 s SICAV p.l.c. Directors, officers and other information DIRECTORS ADMINISTRATOR, REGISTRAR, AND TRANSFER AGENT REGISTERED OFFICE INVESTMENT MANAGER CUSTODIAN AND PAYING AGENT PRIME BROKER INDEPENDENT AUDITORS LEGAL ADVISORS COMPANY SECRETARY Mr. Torben Degn Mr. Guido Mizzi Mrs. Marise Muscat Credit Suisse Services (Luxembourg) S.A. 5, Rue Jean Monnet, L-2180 Luxembourg Palazzo Pietro Stiges 103, Strait Street Valletta VLT1436 Malta Asset Management AG Poststrasse 26 CH-6300 Zug Switzerland Credit Suisse AG Paradeplatz 8 CH-8001 Zurich Switzerland Credit Suisse Securities (Europe) Limited, London 1 Cabot Square, London, E14 4QJ, United Kingdom PricewaterhouseCoopers 78, Mill Street Qormi, QRM 3101 Malta MamoTCV Advocates Palazzo Pietro Stiges 103, Strait Street Valletta VLT 1436 Malta TCV Management and Trust Services Limited Palazzo Pietro Stiges 103, Strait Street Valletta VLT 1436 Malta 3

4 s SICAV p.l.c. Report of the Directors The Directors present the Annual Report and Financial Statements of s SICAV p.l.c. (formerly known as HMP s SICAV p.l.c.) (the Company ) for the year ended 31 December Principal activities The Company is licensed by the Malta Financial Services Authority (the MFSA ) to carry out the activities of a collective investment scheme in the form of a professional investor fund targeting qualifying investors. The Company was registered on 23 August 2011 and licensed as a collective investment scheme under the Investment Services Act, Cap 370 of the laws of Malta. On 16 July 2014, the Company changed its name from HMP s SICAV p.l.c. to s SIVAC p.l.c. As at 31 December 2015, the Company consists of 16 sub-funds: - Core, surrender of license on 24 May 2016; - Conviction ; - Diversified ; - Credit Opportunities ; - Long/Short Credit ; - Equity Dynamic, previously known as Long/Short Equity ; - Emerging Markets FX, licenced by the MFSA on 11 July 2014; - Futures Trading (in liquidation), licenced by the MFSA on 11 July 2014, surrender of license on 11 November 2015; - Systematic Trading (in liquidation), licenced by the MFSA on 11 July 2014, surrender of license on 21 December 2015; - Multi-Strategy, licenced by the MFSA on 11 July 2014, surrender of license on 9 May 2016; - Credit Opportunities II, licenced by the MFSA on 11 November 2014; - NICG, licenced by the MFSA on 11 November 2014; - AW Credit Opportunities, licenced by the MFSA on 23 July 2015; - DF Credit Opportunities, licenced by the MFSA on 23 July 2015; - Credit Club I, licenced by the MFSA on 1 October Credit Opportunities III, licenced by the MFSA on 1 October 2015, not yet trading as at year end, and therefore, is not part of this report. Sub-fund licenced subsequent to year end is disclosed in Note 15. The Company has no employees. Review of business The attributable to holders of investor shares as at 31 December 2015 stood at million (2014: million). Results The results for the year under review can be found on the Statements of comprehensive income on page 23 to 28. Directors The Directors of the Company who held office during the year under review are listed on page 3. The Company s Articles of Association do not require any director to retire. 4

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7 s SICAV p.l.c. Manager s report on activities during the year (continued) Diversified (continued) Outlook 2015 was one of the most difficult year on record for hedge funds. The year was also difficult for Diversified as one of our main holding, Pershing Square, lost more than 28% from its peak in July to 31 December. Pershing Square had a solid track record with competent management but the performance was dragged down by a core investment in Valeant, a pharmaceutical company which has to respond to accusation of abusive business practices. We continue to focus on what we consider the most attractive investment ideas. As a result, the portfolio remains concentrated on 5-10 positions for which we have high convictions. The investment themes we favor remain: Asia as a less efficient market with better opportunities to generate alpha for active equity fund managers, event-driven strategies (such as mergers & acquisitions, activist investing) and systematic trading. On the manager level, we are increasingly focusing on partnerships where we benefit from significant fee discounts for our investors. We maintain a high focus on liquidity in order to be able to react on changes in our strategic view. Credit Opportunities Investment Objective The investment objective of the sub-fund is the generation of income and capital preservation. The fund primarily invests its assets in a diversified portfolio of collective investment schemes and other pooled investment vehicles primarily involved in credit investments. Performance Credit Opportunities was launched on 28 June The attributable to holders of fund shares stood at million as of 31 December 2015 (vs million as of 31 December 2014). Over the year, 11 million has been distributed to shareholders. The net internal rate of return was 7.90% p.a. since inception. Outlook By the end of 2015, Credit Opportunities had drawn million from its investors which represents over 80 the total committed capital of 85 million. The performance of the fund (net IRR of 7.90% since inception and a TVPI of 1.15) was in line with expectations. The sudden increase of volatility in debt and equity markets in September 2015 proved the investment thesis for illiquid debt and the positioning of the Credit Opportunities I fund. The fund remained resilient in a turbulent year. We are agnostic to mark to market and with the long term orientation we preserved value in the lending buckets and were able to benefit from a widening of spreads in US residential loans to build up the position to its target size (Neuberger Berman U.S. Residential Opportunities). With the addition of two investments, Robus Recovery and Aalto Irish Development Finance, the portfolio has been completed. In our expectation, late 2016, the portfolio will turn into harvest mode. Long/Short Credit Investment Objective The investment objective of the sub-fund is to generate a positive return above risk free rates in any market environment, predominantly through investments or exposures to debt and credit instruments. Performance Long/Short Credit was launched on 12 July 2013 at an initial offer price of 100. During the reporting year, the trading net asset value per share had decreased by 6.05% from to

8 s SICAV p.l.c. Manager s report on activities during the year (continued) Long/Short Credit (continued) Outlook Long/Short Credit closed the year in the positive territory and generated a relative outperformance of 1.98% versus its benchmark. The portfolio benefitted from its preference towards subordinated bank papers and corporate hybrids, especially in the last quarter of By the end of the year, the largest holding of the fund was a 0-7% first-loss tranche that is tied to a loan book of a large European bank. Given the elevated implied default rates for the portfolio compared to the realized default rates, the manager sees significant value there. Going into 2015, the quantitative easing program by the European Central Bank (ECB) will be supportive for spreads in the short-term (Q1). Even if the outright of corporates was not on ECB s agenda, the waterfall effect will provide a supportive bid. Thus, the manager remains positive on spreads in general. Nevertheless, the current market environment calls for a careful selection of idiosyncratic risk, tactical trading in liquid credit derivatives, tail hedging and firm stop-loss policies. Equity Dynamic (Formerly Long/Short Equity ) Investment Objective In August 2015, Long-Short Equity was renamed Equity Dynamic and its objective changed to being the aiming to achieve maximum capital growth over the long-term whilst maintaining an adequate level of risk. The holds 10 core investments: 5 long-term winners and 5 special situation stocks, each representing 5 the AUM. The dynamic portion of the origins from a structured top-down investment process. Proprietary models define the net market exposure. As a result, the dynamic portion can add or reduce net exposure to the 10 core positions and can contain long and short exposure in index futures and options, single stocks, or sector exposure. Performance Equity Dynamic (formerly Long/Short Equity) was launched on 12 July 2013 at an initial offer price of 100. During the reporting year, the net asset value per share has decreased by 2.07% from to Outlook The rather disappointing year end of 2015 is likely an indicator for more risk aversion in 2016 as the wall of worry is growing. Our wall of worry consists of: global growth seems to stall as a result of GDP contribution from China still highly uncertain and controversial, US profit margins seem to have peaked, high yield credit is in rout mode as corporate leverage has been rising meaningfully while commodity prices have collapsed further, ECB was unwilling to launch a bazooka, FED launched a new tightening cycle equity valuations are still above their historic averages and the US equity market has built a top formation over 1.5 years around the 2100 level. We believe we are in a trading range - i.e. wait and see mode to see the development of global growth developing any violations of the ranges could lead to a fast acceleration in either direction. We believe in playing stock specific events this year as pure long beta might prove to be a difficult strategy. We believe our special situation opportunity set is therefore highly valuable this year, combined with opportunistic market overlay strategies when upper or lower boundaries are reached or break. Emerging Market FX Investment Objective The investment objective of the sub-fund is to achieve positive return and achieve capital growth predominantly through forex investments in liquid emerging market currencies, primarily but not limited to currencies in Asia, Europe, Middle East, Africa and Latin America. Performance Emerging Market FX was launched on 18 July 2014 at an initial offer price of 100. During the reporting year, the net asset value per share has increased by 1.17% from to

9 s SICAV p.l.c. Manager s report on activities during the year (continued) Emerging Market FX (continued) Outlook Subequent to year-end, it was concluded that the sub-fund is going to be liquidated. The sub-fund will formally cease its trading operation and commence a process of closure which will lead to the surrender of the sub-fund s licence to MFSA. Futures Trading (in liquidation) The fund was liquidated on 28 August Systematic Trading (in liquidation) The fund was liquidated on 11 December Multi-Strategy Investment Objective The investment objective of the fund was to achieve long-term capital appreciation by investing in units or participations of alternative or absolute-return focused collective investment schemes and other pooled investment vehicles for risk diversification purposes. The sought to attain its investment objective by investing primarily in other distinct sub-funds of the Company. Performance Multi-Strategy was launched on 18 July 2014 at an initial offer price of 100. During the year, the net asset value per share decreased by 5.83% from to Surrender of license The sub-fund ceased trading subsequent to year-end. Credit Opportunities II Investment Objective The investment objective of the sub-fund is the generation of income and capital preservation by investing in a diversified portfolio of illiquid credit investments, mainly through credit exposed collective investment schemes and illiquid privately structured income generating investments exposed to debt. Performance Credit Opportunities II was launched on 11 November The fund was closed for new investors as per 30 June The attributable to holders of fund shares stood at million as of 31 December 2015 (vs million as of 31 December 2014). The net internal rate of return was % p.a. since inception. Outlook The case for investing in illiquid credit is unchanged and still valid as discussed above in the Credit Opportunities I section. Compared to previously launched Credit Opportunities which was mainly investing in traditional direct lending funds focusing on the US and Europe, the second fund has a wider investment universe including asset selling and risk sharing. In addition to that, Asia was added as a target market with interesting investment opportunities. The total commitments from the investors amount to 154 million. 9

10 s SICAV p.l.c. Manager s report on activities during the year (continued) NICG Investment Objective The investment objective of the sub-fund is to generate consistent returns whilst maintaining prospects of capital appreciation by investing its assets exclusively into Nordic Insurance Consolidation Group (NICG) Holding Ltd. Performance NICG was launched on 11 November The fund closed for new investors on 30 June The attributable to holders of fund shares stood at EUR 7.56 million as of December Outlook NICG is a cornerstone investor in NICG Cayman. In this capacity, NICG committed EUR 40 million in December The strategy of NICG Cayman is to capitalize on the investment opportunities arising in the Nordic region following the implementation of Solvency II. The new regulations will essentially incentivize life insurers to redesign their product offerings and traditional policies will no longer be a core part of their business. This introduces an opportunity to consolidate existing blocks of traditional policies, which will be the core business of NICG. As of 31 December 2015, of the of EUR 7.68 million, EUR 7.46 million was invested in NICG Holding Class B shares, the remaining in cash (EUR). AW Credit Opportunities Investment Objective The investment objective of the is the generation of income and capital preservation by investing in a diversified portfolio of illiquid credit investments, mainly through credit exposed collective investment schemes and illiquid privately structured income generating investments exposed to debt. Performance AW Credit Opportunities was launched on 23 July The attributable to holders of fund shares stood at 4.59 million as of December Outlook Investors committed 50 million to the AW Credit Opportunities in Thereof, 4.70 million had been funded until year-end. The fund will be closed by end-june 2016 as outlined in the fund s prospectus. Commitments in the first half of the year are into a health care lending business model. Further commitments are expected throughout the year. DF Credit Opportunities Investment Objective The investment objective of the is the generation of income and capital preservation by investing in a diversified portfolio of illiquid credit investments, mainly through credit exposed collective investment schemes and illiquid privately structured income generating investments exposed to debt. Performance DF Credit Opportunities was launched on 23 July The attributable to holders of fund shares stood at 4.59 million as of December Outlook Investors committed 50 million to the DF Credit Opportunities in Thereof, 4.70 million had been funded until year-end. The fund will be closed by end-june 2016 as outlined in the fund s prospectus. Commitments in the first half of the year are into a German bond recovery strategy and a health care lending business model. Further commitments are expected throughout the year. 10

11 s SICAV p.l.c. Manager s report on activities during the year (continued) Credit Club I Investment Objective The investment objective of the is the generation of income and capital preservation by investing in a diversified portfolio of carefully selected liquid and illiquid credit related as well as non-credit related opportunities, a principal part whereof shall consist (though not exclusively) of units and capital participations of closed-ended or otherwise illiquid collective investment schemes, including other distinct sub-funds of the Company managed by the Investment Manager of the (as detailed below) and other pooled investment vehicles as well as by investing in other liquid or illiquid credit or financial instruments units or participations of alternative or absolutereturn focused collective investment schemes and other pooled investment vehicles, not only, but mainly for risk diversification purposes. Performance Credit Club I was launched on 1 October 2015 at an initial offer price of EUR 100. Since the inception of the fund, the net asset value per share increased by 0.42% to EUR Outlook Since the beginning of year, the fund has built up a diversified portfolio of liquid fixed income securities and has made some commitments to illiquid investments including NICG, an Irish Real Estate and a German bond recovery strategy. We aim to expand the illiquid portion of the portfolio with further commitments to strategies in the private debt space over the rest of the year. Some of the opinions expressed herein are of a forward-looking nature and should not be interpreted as investment advice. The performance figures of the sub-funds listed above have been rounded to two decimal places. Asset Management AG 12 April

12 Independent auditor s report To the Shareholders of s SICAV p.l.c. Report on the Financial Statements for the year ended 31 December 2015 We have audited the financial statements of s SICAV p.l.c. on pages 17 to 125, which comprise the statement of financial position as at 31 December 2015, and the statements comprehensive income, attributable to holders of investor shares, cash flows for the year then ended, and a summary of significant accounting policies and other explanatory information. Directors Responsibility for the Financial Statements As explained more comprehensively in the Statement of directors responsibilities for the financial statements on page 5, the directors are responsible for the preparation of financial statements that give a true and fair view in accordance with International Financial Reporting Standards (IFRSs) as adopted by the EU and the requirements of the Maltese Companies Act, 1995, and for such internal control as the directors determine is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. Auditor s Responsibility 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. 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 auditor s judgement, 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 auditor considers internal control relevant to the entity s preparation of financial statements that give a true and fair view 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 directors, as well as 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 the company as at 31 December 2015, and of its financial performance and its cash flows for the year then ended in accordance with IFRSs as adopted by the EU; and have been properly prepared in accordance with the requirements of the Maltese Companies Act,

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23 s SICAV p.l.c. Statements of comprehensive income s SICAV p.l.c. Combined Statement Core Conviction Diversified Credit Opportunities Notes Investment income Dividend income 9,084, ,802 1,608,003-4,847,218 Other income 207,805 3, ,216 - Other net changes in fair value on financial assets and liabilities at fair value through profit or loss 4 (4,086,694) 1,830,200 (2,696,846) 46,658 (245,794) Net investment income 5,205,254 2,193,322 (1,088,843) 228,874 4,601,424 Expenses Management fees 9 7,027,236 1,796,630-1,162, ,575 Performance fees 9 5,009,695-3,713, ,150 55,152 Transaction costs 237, ,543 - Custody fees 9 385, ,310 49,510 71,966 - Administration fees 9 504, ,571 41,911 59,302 24,795 Legal fees 46,090-1,537-1,673 Other operating expenses 9,11 1,163,921 (6,985) 168,121 10,504 8,192 Total operating expenses 14,375,253 2,065,526 3,975,031 1,985, ,387 Operating profit (9,169,999) 127,796 (5,063,874) (1,756,428) 4,050,037 Finance costs (11,160,751) (6,153) (1,307) (2,174) (11,000,479) Increase in attributable to holders of investor shares from operations (20,330,750) 121,643 (5,065,181) (1,758,602) (6,950,442) The notes to these financial statements are an integral part of these financial statements. 23

24 s SICAV p.l.c. Statements of comprehensive income Long/Short Credit Equity Dynamic * Emerging Markets FX Futures Trading (in liquidation) Systematic Trading (in liquidation) Notes Investment income Dividend income - 338, , Other income - 2,030 11,923-8,295 Other net changes in fair value on financial assets and liabilities at fair value through profit or loss 4 (1,867,028) (433,094) 1,014,277 (747,398) (2,851,869) Net investment income (1,867,028) (92,216) 1,315,104 (747,398) (2,843,574) Expenses Management fees 9 996, , , , ,219 Performance fees 9 417,067 72, , Transaction costs Custody fees Administration fees 9 45,000 35,000 43,726 23,014 33,010 Legal fees Other operating expenses 9,11 46, ,933 76, , ,619 Total operating expenses 1,504, , , , ,233 Operating profit/(loss) (3,371,846) (1,011,442) 344,435 (1,188,904) (3,677,807) Finance costs (62,104) (8,787) (35,368) (12,516) (26,665) Increase/(decrease) in attributable to holders of investor shares from operations (3,433,950) 1,020, ,067 (1,201,420) (3,704,472) * formerly known as Long/Short Equity The notes to these financial statements are an integral part of these financial statements. 24

25 s SICAV p.l.c. Statements of comprehensive income Multi- Strategy Credit Opportunities II NICG AW Credit Opportunities DF Credit Opportunities Credit Club I Notes EUR EUR Investment income Dividend income - 1,641, Other income Other net changes in fair value on financial assets and liabilities at fair value through profit or loss 4 (7,362,137) (3,504,100) 3,158,658 (61,786) (61,786) 176,081 Net investment income (7,362,137) (1,862,732) 3,158,677 (61,786) (61,786) 176,081 Expenses Management fees 9-522,265 92,103 1,332 1,332 53,425 Performance fees Transaction costs Custody fees 9 98, Administration fees 9 38,702 22,810 18, ,666 Legal fees - 16,869 16,737 3,528 3,528 - Other operating expenses 9,11 13,158 94,840 2,308 43,455 43,392 12,265 Total operating expenses 150, , ,559 48,942 48,879 71,356 Operating profit/(loss) (7,512,170) (2,519,516) 3,029,118 (110,728) (110,665) 104,725 Finance costs (4,233) (965) Increase/(decrease) in attributable to holders of investor shares from operations (7,516,403) (2,520,481) 3,029,118 (110,728) (110,665) 104,725 The notes to these financial statements are an integral part of these financial statements. 25

26 s SICAV p.l.c. Statements of comprehensive income For the year ended 31 December 2014 s SICAV p.l.c. Combined Statement Core Conviction Stable Diversified Notes Investment income Dividend income 2,807, ,413 59,419 61,326 - Other income 228,121 35,804 1,036 6, ,446 Other net changes in fair value on financial assets and liabilities at fair value through profit or loss 4 25,639,500 11,238,404 3,571,680 1,237,214 1,505,211 Net investment income 27,412,459 11,447,621 3,632,135 1,305,465 1,688,657 Expenses Management fees 9 5,142,749 1,479,812 67, ,419 1,191,156 Performance fees 9 1,730, , ,929 Transaction costs 654, , Custody fees 9 293, ,210 20,383 23,451 69,484 Administration fees 9 386, ,406 34,288 21,184 59,191 Legal fees 72,939 2,054 2,947 8,241 - Other operating expenses 320,189 30,302 20,416 3,704 21,638 Total operating expenses 8,600,692 1,756,784 1,556, ,999 1,528,398 Operating profit 18,811,767 9,690,837 2,075,535 1,056, ,259 Finance costs (109,975) (9,884) (4,418) (4,150) (23,610) Increase in attributable to holders of investor shares from operations 18,701,792 9,680,953 2,071,117 1,052, ,649 The notes to these financial statements are an integral part of these financial statements. 26

27 s SICAV p.l.c. Statements of comprehensive income For the year ended 31 December 2014 Credit Opportunities Long/Short Credit Equity Dynamic * Emerging Markets FX Futures Trading Notes Investment income Dividend income 2,193, , Other income Other net changes in fair value on financial assets and liabilities at fair value through profit or loss 4 3,469, , ,826 2,132,431 (1,231,913) Net investment income 5,662, ,087 1,062,865 2,132,902 (1,231,913) Expenses Management fees 9 405, , , , ,116 Performance fees 9 226,855 26,638 80, ,129 - Transaction costs Custody fees Administration fees 9 18,204 43,743 34,992 14,536 16,810 Legal fees ,393 16,393 Other operating expenses 9,11 19,437 59,022 35,702 11,367 12,580 Total operating expenses 670, , , , ,899 Operating profit/(loss) 4,992, , ,631 1,493,374 (1,499,812) Finance costs (1,245) (51,045) (4,425) (4,100) (563) Increase/(decrease) in attributable to holders of investor shares from operations 4,990, , ,206 1,489,274 (1,500,375) * formerly known as Long/Short Equity The notes to these financial statements are an integral part of these financial statements. 27

28 s SICAV p.l.c. Statements of comprehensive income For the year ended 31 December 2014 Systematic Trading Multi- Strategy Credit Opportunities II NICG Notes Investment income Dividend income Other income Other net changes in fair value on financial assets and liabilities at fair value through profit or loss 4 825, , Net investment income 825, , Expenses Management fees 9 192,672-12,855 1,565 Performance fees 9 87, Transaction costs Custody fees 9-43, Administration fees 9 15,922 17, ,533 Legal fees 17,285 7, Other operating expenses 9,11 27,290 51,661 13,270 11,141 Total operating expenses 340, ,031 26,661 14,239 Operating profit/(loss) 484, ,408 (26,661) (14,228) Finance costs (3,083) (3,452) - - Increase/(decrease) in attributable to holders of investor shares from operations 481, ,956 (26,661) (14,228) The notes to these financial statements are an integral part of these financial statements. 28

29 s SICAV p.l.c. Statements of changes in attributable to holders of investor shares s SICAV p.l.c. Combined statement Core Conviction Diversified Credit Opportunities Net assets attributable to holders of investor shares at beginning of the year 642,870, ,072,802 66,599,806 97,857,093 75,393,590 Share transactions Issuance of investor shares 170,209,178 68,700, Redemption of investor shares (170,511,495) (149,271,461) (11,860,041) (3,000,000) - Net increase/(decrease) in attributable to holders of investor shares resulting from share transactions (302,317) (80,571,461) (11,860,041) (3,000,000) - Increase in attributable to holders of investor shares from operations (20,330,751) 121,643 (5,065,181) (1,758,602) (6,950,442) Foreign exchange translation difference (207,413) Net assets attributable to holders of investor shares at the end of the year 622,030, ,622,984 49,674,584 93,098,491 68,443,148 The notes to these financial statements are an integral part of these financial statements. 29

30 s SICAV p.l.c. Statements of changes in attributable to holders of investor shares Long/Short Credit Equity Dynamic * Emerging Markets FX Futures Trading (in liquidation) Systematic Trading (in liquidation) Net assets attributable to holders of investor shares at beginning of the year 46,882,834 29,377,110 26,489,274 23,499,625 25,481,896 Share transactions Issuance of investor shares 10,000,000 16,000,000 5,000,000 - Redemption of investor shares (9,975,778) (7,050,333) (8,214,365) (22,298,205) (21,777,424) Net increase/(decrease) in attributable to holders of investor shares resulting from share transactions 24,222 8,949,667 (3,214,365) (22,298,205) (21,777,424) Increase in attributable to holders of investor shares from operations (3,433,950) (1,020,229) 309,067 (1,201,420) (3,704,472) Foreign exchange translation difference Net assets attributable to holders of investor shares at the end of the year 43,473,106 37,306,548 23,583, * formerly known as Long/Short Equity The notes to these financial statements are an integral part of these financial statements. 30

31 s SICAV p.l.c. Statements of changes in attributable to holders of investor shares Multi- Strategy Credit Opportunities II NICG AW Credit Opportunities DF Credit Opportunities Credit Club I EUR EUR Net assets attributable to holders of investor shares at beginning of the year 141,619,556 11,473,339 1,385, Share transactions Issuance of investor shares - 50,470,710 3,142,250 4,700,000 4,700,000 25,000,000 Redemption of investor shares (48,542,064) Net increase/(decrease) in attributable to holders of investor shares resulting from share transactions (48,542,064) 50,470,710 3,142,250 4,700,000 4,700,000 25,000,000 Increase in attributable to holders of investor shares from operations (7,516,403) (2,520,481) 3,029,118 (110,728) (110,665) 104,725 Foreign exchange translation difference Net assets attributable to holders of investor shares at the end of the year 85,561,089 59,423,568 7,557,140 4,589,272 4,589,335 25,104,725 The notes to these financial statements are an integral part of these financial statements. 31

32 s SICAV p.l.c. Statements of changes in attributable to holders of investor shares For the year ended 31 December 2014 s SICAV p.l.c. Combined statement Core Conviction HMP Stable Diversified From From From From From to to to to to Net assets attributable to holders of investor shares at beginning of the year 460,375, ,852,698 25,968,027 80,365,271 78,948,097 Share transactions Issuance of investor shares 370,099, ,214,502 65,000,000 3,500,000 60,915,147 Redemption of investor shares (206,306,149) (44,675,351) (26,439,338) (84,917,587) (42,142,800) Net increase/(decrease) in attributable to holders of investor shares resulting from share transactions 163,793, ,539,151 38,560,662 (81,417,587) 25,000,000 Increase in attributable to holders of investor shares from operations 18,701,792 9,680,953 2,071,117 1,052, ,649 Foreign exchange translation difference (7,487) Net assets attributable to holders of investor shares at the end of the year 642,863, ,072,802 66,599,806-97,857,093 The notes to these financial statements are an integral part of these financial statements. 32

33 s SICAV p.l.c. Statements of changes in attributable to holders of investor shares For the year ended 31 December 2014 Credit Opportunities Long/Short Credit Equity Dynamic * Emerging Markets FX Futures Trading From From From From From to to to to to Net assets attributable to holders of investor shares at beginning of the year 45,402,630 44,906,812 28,931, Share transactions Issuance of investor shares - 10,000,000-25,000,000 25,000,000 Redemption of investor shares 25,000,000 (8,131,073) Net increase/(decrease) in attributable to holders of investor shares resulting from share transactions 25,000,000 1,868,927-25,000,000 25,000,000 Increase/(decrease) in attributable to holders of investor shares from operations 4,990, , ,206 1,489,274 (1,500,375) Foreign exchange translation difference Net assets attributable to holders of investor shares at the end of the year 75,393,590 46,882,834 29,377,110 26,489,274 23,499,625 * formerly known as Long/Short Equity The notes to these financial statements are an integral part of these financial statements. 33

34 s SICAV p.l.c. Statements of changes in attributable to holders of investor shares For the year ended 31 December 2014 Systematic Trading Multi- Strategy Credit Opportunities II NICG From From From From to to to to EUR Net assets attributable to holders of investor shares at beginning of the year Share transactions Issuance of investor shares 25,000, ,359,600 11,500,000 1,400,000 Redemption of investor shares Net increase/(decrease) in attributable to holders of investor shares resulting from share transactions 25,000, ,359,600 11,500,000 1,400,000 Increase/(decrease) in attributable to holders of investor shares from operations 481, ,956 (26,661) (14,228) Foreign exchange translation difference Net assets attributable to holders of investor shares at the end of the year 25,481, ,619,556 11,473,339 1,385,772 The notes to these financial statements are an integral part of these financial statements. 34

35 s SICAV p.l.c. Statements of cash flows s SICAV p.l.c. Combined statement Core Conviction Diversified Credit Opportunities Cash flows from operating activities Note Interest received 5,376,313 2,190, Dividend received 9,098, ,802 1,608,003-4,847,218 Other income 207,805 3, ,216 - Interest paid (160,751) (6,153) (1,307) (2,174) (479) Operating expenses paid (14,882,424) (2,126,842) (4,737,621) (1,779,865) (513,621) Net proceeds from sale/(purchase) of investments 112,766,272 95,249,634 16,133,339 22,339,163 (389,119) Net cash provided by operating activities 112,405,494 95,670,706 13,002,414 20,739,340 3,943,999 Cash flows from financing activities Issuance of investor shares 190,794,899 68,700, Payments for redemption of investor shares (291,839,672) (149,271,461) (11,860,041) (12,850,000) - Distributions (11,000,000) (11,000,000) Net cash generated used in financing activities (112,044,773) (80,571,461) (11,860,041) (12,850,000) (11,000,000) Net movement in cash and cash equivalents 360,721 15,099,245 1,142,373 7,889,340 (7,056,001) Cash and cash equivalents at the beginning of the year, net of overdrawn balance 95,441,806 17,941, ,666 (6,123,564) 8,316,173 Foreign translation difference (607,252) Cash and cash equivalents at the end of the year, net of overdrawn balance 6 95,195,275 33,041,128 1,534,039 1,765,776 1,260,172 Non-cash transactions are disclosed in Note 14. The notes to these financial statements are an integral part of these financial statements. 35

36 s SICAV p.l.c. Statements of cash flows Long/Short Credit Equity Dynamic * Emerging Markets FX Futures Trading (in liquidation) Systematic Trading (in liquidation) Cash flows from operating activities Note Interest received 3,185, Dividend received - 338, , Other income (2,786) 2,030 11,923-8,295 Interest paid (62,104) (8,787) (35,368) (12,516) (26,665) Operating expenses paid (1,498,609) (891,078) (1,252,444) (484,303) (829,114) Net (purchase)/ proceeds from sale of investments 10,776,425 5,435,632 (14,220,135) (711,356) (259,951) Net cash (used in)/provided by operating activities 12,398,294 4,876,645 (15,207,120) (1,208,175) (1,107,435) Cash flows from financing activities Issuance of investor shares 10,000,000 16,000,000 5,000, Payments for redemption of investor shares (9,975,778) (7,050,333) (8,214,365) (22,298,205) (21,777,424) Net cash generated from /(used in) financing activities 24,222 8,949,667 (3,214,365) (22,298,205) (21,777,424) Net movement in cash and cash equivalents 12,422,516 13,826,312 (18,421,485) (23,506,380) (22,884,859) Cash and cash equivalents at the beginning of the year 1,508,541 4,529,127 19,196,369 23,506,380 22,995,670 Cash and cash equivalents at the end of the year, net of overdrawn balance 6 13,931,057 18,355, , ,811 * formerly known as Long/Short Equity The notes to these financial statements are integral part of these financial statements. 36

37 s SICAV p.l.c. Statements of cash flows Multi-Strategy Credit Opportunities II NICG AW Credit Opportunities DF Credit Opportunities Credit Club I Cash flows from operating activities Note EUR EUR Interest received ,741 Dividend received - 1,641, Other income Interest paid (4,233) (965) Operating expenses paid (151,082) (485,226) (25,718) (45,393) (45,330) (11,503) Net proceeds from sale/(purchase) of investments 49,386,264 (53,526,694) (4,306,307) (4,630,031) (4,630,031) (3,069,977) Net cash (used in)/provided by operating activities 49,230,949 (52,372,117) (4,332,006) (4,675,424) (4,675,361) (3,068,739) Cash flows from financing activities Issuance of investor shares - 50,470,710 3,142,250 4,700,000 4,700,000 25,000,000 Payments for redemption of investor shares (48,542,064) Net cash generated from/(used in) financing activities (48,542,064) 50,470,710 3,142,250 4,700,000 4,700,000 25,000,000 Net movement in cash and cash equivalents 688,885 (1,901,407) (1,189,756) 24,576 24,639 21,931,261 Cash and cash equivalents at the beginning of the year, net of overdrawn balance (20,162) 1,499,970 1,400, Cash and cash equivalents at the end of the year, net of overdraft 6 668,723 (401,437) 210,255 24,576 24,639 21,931,261 The notes of these financial statements are integral part of these financial statements. 37

38 s SICAV p.l.c. Statements of cash flows For the year ended 31 December 2014 s SICAV p.l.c. Combined statement Core Conviction HMP Stable Diversified to to to to to Cash flows from operating activities Note Interest received 4,629,871 1,450,605 5,530 62,819 5,501 Dividend received 1,528, ,413 59,419 61,326 - Other income 227,994 35,804 1,036 6, ,446 Interest paid (105,825) (9,884) (4,418) - (23,610) Operating expenses paid (7,849,077) (1,726,926) (811,262) (262,388) (2,030,694) Net (purchase)/ proceeds from sale of investments (213,383,495) (35,039,442) (38,774,710) 6,896,672 (33,812,774) Net cash (used in)/provided by operating activities (214,951,544) (35,116,430) (39,524,405) 6,765,354 (35,678,131) Cash flows from financing activities Issuance of investor shares 412,076,025 84,352,833 65,000,000 3,500,000 60,915,147 Payments for redemption of investor shares (119,594,480) (42,096,564) (26,439,338) (10,634,705) (32,292,800) Net cash generated from /(used in) financing activities 292,481,545 42,256,269 38,560,662 (7,134,705) 28,622,347 Net movement in cash and cash equivalents 77,530,001 7,139,839 (963,743) (369,351) (7,055,784) Cash and cash equivalents at the beginning of the year 17,919,646 10,802,044 1,355, , ,220 Foreign translation difference (7,841) Cash and cash equivalents at the end of the year 6 95,441,806 17,941, ,666 - (6,123,564) Non-cash transactions are disclosed in Note 14. The notes to these financial statements are an integral part of these financial statements. 38

39 s SICAV p.l.c. Statements of cash flows For the year ended 31 December 2014 Credit Opportunities Long/Short Credit Equity Dynamic * Emerging Markets FX Futures Trading to to to to to Cash flows from operating activities Note Interest received 1,262,428 1,842, Dividend received 930, , Other income Interest paid (1,245) (51,045) (4,425) (4,100) (563) Operating expenses paid (396,805) (869,058) (867,401) (308,007) (225,103) Net (purchase)/ proceeds from sale of investments (18,714,840) 533,620 (944,883) (5,491,995) (1,267,954) Net cash (used in)/provided by operating activities (16,919,680) 1,456,491 (1,512,519) (5,803,631) (1,493,620) Cash flows from financing activities Issuance of investor shares 25,000,000 10,000,000-25,000,000 25,000,000 Payments for redemption of investor shares - (8,131,073) Net cash generated from /(used in) financing activities 25,000,000 1,868,927-25,000,000 25,000,000 Net movement in cash and cash equivalents 8,080,320 3,325,418 (1,512,519) 19,196,369 23,506,380 Cash and cash equivalents at the beginning of the year 235,853 (1,816,877) 6,041, Cash and cash equivalents at the end of the year 6 8,316,173 1,508,541 4,529,127 19,196,369 23,506,380 * formerly known as Long/Short Equity The notes to these financial statements are integral part of these financial statements. 39

40 s SICAV p.l.c. Statements of cash flows For the year ended 31 December 2014 Systematic Trading Multi- Strategy Credit Opportunities II NICG to to to to Cash flows from operating activities Note EUR Interest received Dividend received Other income Interest paid (3,083) (3,452) - - Operating expenses paid (234,974) (116,429) (30) - Net (purchase)/ proceeds from sale of investments (1,766,443) (75,000,746) (10,000,000) - Net cash (used in)/provided by operating activities (2,004,330) (75,120,627) (10,000,030) 11 Cash flows from financing activities Issuance of investor shares 25,000,000 75,100,465 11,500,000 1,400,000 Payments for redemption of investor shares Net cash generated from /(used in) financing activities 25,000,000 75,100,465 11,500,000 1,400,000 Net movement in cash and cash equivalents 22,995,670 (20,162) 1,499,970 1,400,011 Cash and cash equivalents at the beginning of the year Cash and cash equivalents at the end of the year 6 22,995,670 (20,162) 1,499,970 1,400,011 The notes of these financial statements are integral part of these financial statements. 40

41 s SICAV p.l.c. Notes to the financial statements 1. General information s SICAV PLC, formerly known as HMP s SICAV p.l.c. (the Company ) is a collective investment scheme established as a multi-fund investment company with variable share capital (SICAV) under the laws of Malta and licensed by the MFSA under the Investment Services Act (Cap 370) with company number SV204 as a Professional Investor targeting qualifying investors. It has been incorporated in accordance with the Companies Act on 23 August The registered office of the Company is 103, Strait Street, Valletta, VLT 1436, Malta. The Company constitutes segregated sub-funds which are segregated patrimonies and are represented by different classes of investor shares. There are sixteen sub-funds licenced during 2015 (collectively referred to as the "sub-funds ), namely: - Core, licenced by the MFSA on 1 September 2011 and license surrendered on 24 May 2016; - Conviction, licenced by the MFSA on 1 September 2011; - Diversified, licenced by the MFSA on 31 January 2012; - Credit Opportunities, licenced by the MFSA on 18 February 2013; - Long/Short Credit, licensed by the MFSA on 20 June 2013; - Equity Dynamic, previously known as Long/Short Equity, licenced by the MFSA on 20 June 2013; - Emerging Markets FX, licenced by the MFSA on 11 July 2014; in the process of liquidation subsequent to year-end; - Futures Trading (in liquidation), licenced by the MFSA on 11 July 2014, surrender of license on 11 November 2015; - Systematic Trading (in liquidation), licenced by the MFSA on 11 July 2014, surrender of license on 21 December 2015; - Multi-Strategy, licenced by the MFSA on 11 July 2014, license surrendered on 9 May 2016; - Credit Opportunities II, licenced by the MFSA on 11 November 2014; - NICG, licenced by the MFSA on 11 November 2014; - AW Credit Opportunities, licenced by the MFSA on 23 July 2015; - DF Credit Opportunities, licenced by the MFSA on 23 July 2015; - Credit Club I, licenced by the MFSA on 1 October 2015; - Credit Opportunities III, licenced by the MFSA on 1 October 2015 (not yet trading as at year end) Credit Opportunities, Credit Opportunities II, NICG, AW Credit Opportunities and DF Credit Opportunities are closedended funds (collectively referred to as the closed-ended sub-funds ). All other sub-funds are openended funds (collectively referred to as the open-ended sub-funds ). In May 2014, the Directors of the Company resolved to amalgamate the activities of Core and HMP Stable into one sub-fund by the closure of HMP Stable and the transfer of its to Core. After consent of the existing holders of investor shares of Core, the investors of HMP Stable transferred all shares held in HMP Stable valued at 80,723,721 in exchange for 707, shares of the Core based on a price of per share, which was the trading net asset value ( NAV ) as of 30 May The transfer was in the form of investments amounting to 74,337,945, cash balances of 6,440,839 and net liabilities of 55,

42 s SICAV p.l.c. 2. Significant accounting policies The principal accounting policies applied in the preparation of these financial statements are set out below. These policies have been consistently applied throughout the years presented, unless otherwise stated. (a) Basis of preparation These financial statements have been prepared in accordance with International Financial Reporting Standards (IFRSs) as adopted by the EU and the requirements of the Companies Act, They have been prepared under the historical cost convention, as modified by the revaluation of financial assets and liabilities (including derivative financial instruments) at fair value through profit or loss. For the sub-funds licenced during the year, the financial statements have been prepared from the date of licence to 31 December For the sub-funds licenced during the previous financial year, the comparative financial statements have been prepared from the date of licence to 31 December The preparation of financial statements in conformity with IFRSs as adopted by the EU requires the use of certain critical accounting estimates. It also requires the Directors to exercise their judgement in the process of applying the Company s accounting policies (Note 3). The combined financial statements are presented exclusive of the cross-investments as disclosed in note 17. This method of aggregation has no effect on the value of allocated to the individual sub-funds. All references to throughout this document refer to attributable to holders of investor shares unless otherwise stated. Standards, interpretations and amendments to published standards that are not yet effective and have not been early adopted: A number of new standards, amendments to standards and interpretations are effective for annual periods beginning after 1 January 2015, and have not been applied in preparing these financial statements. None of these is expected to have a significant effect on the financial statements of the Company. (b) Foreign currency translation (i) Functional and presentation currency Items included in the financial statements of the sub-funds are measured using the functional currency. The functional currency is dependent on the economic environment in which the sub-funds operate. Except for NICG and Credit Club I, the functional and presentation currency of the sub-funds is. The functional and presentation currency of NICG and Credit Club I is EUR. The combined financial statements of the Company are presented in. 42

43 s SICAV p.l.c. 2. Significant accounting policies (continued) (b) Foreign currency translation (continued) (ii) Transactions and balances Foreign currency transactions are translated into the functional currency using the exchange rates prevailing at the dates of the transactions. Foreign currency assets and liabilities are translated into the functional currency using the exchange rate prevailing at the statement of financial position date. Foreign exchange gains and losses arising from translation are included in the statement of comprehensive income. Foreign exchange gains and losses relating to cash and cash equivalents are presented in the statement of comprehensive income within net foreign currency gains or losses on cash and cash equivalents. Foreign exchange gains and losses relating to the financial assets and liabilities carried at fair value through profit or loss are presented in the statement of comprehensive income within other net changes in fair value on financial assets and financial liabilities at fair value through profit or loss. (iii) Combined financial statements For the purposes of reporting the combined financial position and results of the Company, assets and liabilities of NICG and Credit Club I have been translated into at the closing rate at year end whilst income, expenses and changes resulting from capital transactions have been translated into at the average rate over the year for inclusion in the combined financial statements of the Company. A foreign exchange difference arising from the translation into is shown as a component of the statement of changes in attributable to holders of investor shares. The method of translation has no effect on the value of allocated to the individual sub-funds. (c) Financial assets and liabilities at fair value through profit or loss (i) Classification The Company classifies its investments in debt and equity securities, and derivatives, as financial assets or financial liabilities at fair value through profit or loss. This category has two sub-categories: financial assets or financial liabilities held for trading; and those designated at fair value through profit or loss at inception. Financial assets and liabilities held for trading A financial asset or financial liability is classified as held for trading if it is acquired or incurred principally for the purpose of selling or repurchasing in the near term or if on initial recognition is part of a portfolio of identifiable financial investments that are managed together and for which there is evidence of a recent actual pattern of short-term profit taking. Derivatives are also categorised as held for trading. The Company does not classify any derivatives as hedges in a hedging relationship. 43