VERRAZZANO SICAV. Verrazzano Advantage European. Verrazzano European Long-Short

Transcription

1 Société d'investissement à Capital Variable Luxembourg RCS: B Semi-Annual Report for the period from October 30, 2013 (date of incorporation) to June 30, 2014

2 Verrazzano Advantage European Verrazzano European Long-Short No subscription can be received on the basis of financial reports. Subscriptions are only valid if made on the basis of the current prospectus and relevant Key Investor Information Document ("KIID") which will be accompanied by a copy of the latest available annual report and a copy of the latest available semi-annual report, if published thereafter.

3 Table of Contents Organisation 2 General Information 3 Investment Managers' Report 4 Statistics 5 Combined Statement of Net Assets as at June 30, Combined Statement of Operations and Changes in Net Assets for the period from October 30, 2013 (date of incorporation) to June 30, Verrazzano Advantage European Statement of Net Assets as at June 30, Statement of Operations and Changes in Net Assets for the period period from October 30, 2013 (date of incorporation) to June 30, Statement of Changes in Number of Shares 7 Securities Portfolio as at June 30, Financial Derivative Instruments as at June 30, 2014 Portfolio Breakdowns 10 Verrazzano European Long-Short Statement of Net Assets as at June 30, Statement of Operations and Changes in Net Assets for the period period from October 30, 2013 (date of incorporation) to June 30, Statement of Changes in Number of Shares 11 Securities Portfolio as at June 30, Financial Derivative Instruments as at June 30, Portfolio Breakdowns 14 Notes to the Financial Statements 15 1

4 Organisation Registered office 33, rue de Gasperich L-5826 Hesperange Grand Duchy of Luxembourg Management Company Verrazzano Capital 49/51, avenue George V Paris France Directors of the SICAV Jean de Courrèges Chairman of the Board of Directors of the SICAV Carne Global Financial Services Luxembourg S.à r.l. European Banking and Business Centre 6B, Route de Trèves L-2633 Luxembourg Bertrand Gibeau Reinhold & Partners rue Leon Jost Paris France Murielle Maman Verrazzano Capital 49-51, avenue George V Paris France Directors and Managers of the Management Company Guillaume Rambourg Murielle Maman Auditor PricewaterhouseCoopers, Société coopérative 400, Route d'esch L-1471 Luxembourg Grand Duchy of Luxembourg Depository Bank / Transfer, Registrar and Paying Agent BNP Paribas Securities Services - Luxembourg Branch 33, rue de Gasperich L-5826 Hesperange Grand Duchy of Luxembourg Central Administration BNP Paribas Securities Services - Luxembourg Branch 33, rue de Gasperich L-5826 Hesperange Grand Duchy of Luxembourg 2

5 General Information The Company was incorporated in the Grand Duchy of Luxembourg on October 30, 2013 as a société anonyme under the law of August 10, 1915 relating to commercial companies (the Company Law ) and is organized as a variable capital company (société d'investissement à capital variable SICAV ) under Part I of the Investment Fund Law. As such the Company is registered on the official list of collective investment undertakings maintained by the Luxembourg regulator. It is established for an undetermined duration from the date of the incorporation. The registered office of the Company is at 33, rue de Gasperich, L-5826 Hesperange, Grand Duchy of Luxembourg. The Statutes of the Company and amendments thereto were published in the Mémorial, Recueil des Sociétés et Associations, (hereafter referred to as the Mémorial ) on November 22, The Company is registered with the Registre de Commerce of Luxembourg under number B Annual general meeting and notices to Shareholders Shareholders' meetings are to be held annually in Luxembourg ( Annual General Meeting ) at the Company's registered office or at such other place as is specified in the notice of meeting. The Company's Annual General Meeting will be held on the last Friday in April of each year, at 1.00 pm Luxembourg time. If such day is a legal bank holiday in Luxembourg, the Annual General Meeting shall be held on the next following full bank business day ( Bank Business Day ) which is, unless otherwise indicated in the relevant Sub-Fund's specifics in Part B of this Prospectus, each day which is a full banking day in Luxembourg. The first Annual General Meeting will be held on April 24, Other meetings of shareholders may be held at such place and time as may be specified in the respective notices of meetings that will be published in compliance with the provisions of the Company Law. Resolutions concerning the interests of the shareholders of the Company shall be taken in a general meeting and resolutions concerning the particular rights of the shareholders of one specific Sub-Fund shall in addition be taken by this Sub- Fund's general meeting. Notices to shareholders are available at the Company's registered office. If required by law, they will be published in the Mémorial and in a Luxembourg newspaper and in other newspapers circulating in jurisdictions in which the Company is registered as the Directors may determine. Publication of prices, purchases and sales The Net Asset Value of each Sub-Fund and the issue and redemption prices thereof will be available at all times at the Company's registered office. A detailed list of investments purchased and sold for each Sub-Fund during the financial period is available upon request, free of charge, from the registered office of the Company. Reports and Articles of Incorporation The financial year of the Company starts on 1 January and ends on December 31 of each year. The first financial year will start at the launch of the SICAV and end on December 31, The reference currency of the Company is in Euro ( EUR ). All reports will be available at the Company's registered office. The first financial report will be an unaudited financial report dated June 30, The following documents may be consulted and obtained at the Company's registered office and the Depository Bank: - the Company's full prospectus; - the Company's Key Investor Information Document; - the Company's Statutes; - the Management Company Agreement between the Company and Verrazzano Capital; - the Fund Administration Services Agreement between the Company, the Management Company and BNP Paribas Securities Services - Luxembourg Branch; - the Depository Bank and Paying Agent Services Agreement between the Company and BNP Paribas Securities Services - Luxembourg Branch; - the Company's annual and semi-annual financial report. 3

6 Investment Managers' Report Verrazzano Advantage European 1. Investment Review The EUR EI share class returned +5.16% over the period starting January 1, 2014 and ending June 30, This compares to a reference index return (FTSE Developed Europe ex-uk TR) of 7.06% over the same period. Over the first quarter, the Fund's net return was +3.65% while the FTSE Developed Europe ex-uk TR was up 3.69%. This translates into a -0.04% alpha in Q1. The Fund benefitted from notable long positions in the likes of Abengoa, Caixabank, Roche Holdings and Grand City Properties. The Fund also suffered some deceptions with the likes of Asltom, DSM, Arcelor Mittal and Deutsche Bank. During Q2, the Fund's net return was +1.46% while the FTSE Developed Europe ex-uk TR was up 3.25%. This translates into a -1.79% alpha in Q2. The Fund benefitted from notable long positions in the likes of National Bank of Greece, AP Moeller Maersk, Sanofi and Total. The Fund also suffered some deceptions with the likes of Commerzbank, BNP and Caixabank. Over the first half of 2014, the Fund generated a +5.16% net return in a market (FTSE Developed Europe ex-uk TR) up 7.06%, hence producing % of alpha. As of June 30, 2014, the Fund's assets under management were EUR 111 million. 2. Market Overview The first half of 2014 started positively, with the Stoxx Europe 600 index (SXXP) posting a +4.14% over the period ending June 30. This period was however characterized by significant dispersion across countries with Denmark (+18.3%), Italy (+12.2%) and Spain (+10.2%) leading the pack, while UK (-0.1%) and Austria (-1.8%) were lagged behind. Other countries (including Germany, France, Switzerland, Greece, Portugal, Finland and Sweden) remained in a tight range, between +1.9% and +4.3%. On the sector side, Energy (+12%) and Consumer Non-Cyclical (+7.9%) are leading the indices while Technology (-3.2%), Industrial Goods and Services (-1%) and Communications (+0.2%) are flat to negative. Verrazzano European Long-Short 1. Investment Review The EI EUR share class returned +0.38% over the period starting March 26, 2014 and ending June 30, The Fund launched on March 26, hence the H1 commentary only applies to Q The Fund posted a +0.14% return from March 26 to March 31, During Q2 the Fund's net return was +0.24% while the European equity market was up 2.26%. Average gross and net exposures over the period were 106% and 33%, hence generating -0.51% alpha over Q2. The Fund benefitted from notable long positions in the likes of National Bank of Greece, Pandora and Peugeot. Notable shorts included Royal Mail, Tesco and Fiat. The Fund also suffered from its longs in Piraeus Bank, ProSieben Sat, Vodafone and Vivendi. On the short side, Telefonica and Banco Santander were part of the worst performers. Over the first half of 2014 (since inception date), the Fund generated a +0.38% net return in a market (SXXP) up 3.30%, hence producing -0.71% of alpha. As of June 30, 2014, the Fund's assets under management were EUR 68 million. 2. Market Overview The first half of 2014 started positively, with the Stoxx Europe 600 index (SXXP) posting a +4.14% over the period ending June 30. This period was however characterized by significant dispersion across countries with Denmark (+18.3%), Italy (+12.2%) and Spain (+10.2%) leading the pack, while UK (-0.1%) and Austria (-1.8%) were lagged behind. Other countries (including Germany, France, Switzerland, Greece, Portugal, Finland and Sweden) remained in a tight range, between +1.9% and +4.3%. On the sector side, Energy (+12%) and Consumer Non-Cyclical (+7.9%) are leading the indices while Technology (-3.2%), Industrial Goods and Services (-1%) and Communications (+0.2%) are flat to negative. 4

7 Statistics June 30, 2014 December 31, 2013 December 31, 2012 Verrazzano Advantage European Net Asset Value Net asset value per share EUR 110,776, EI EUR EUR EI GBP GBP EI GBP Hedged GBP Number of shares EI EUR 102, EI GBP 200, EI GBP Hedged 537, Verrazzano European Long-Short Net Asset Value Net asset value per share EUR 67,609, EI EUR EUR EI GBP Hedged GBP EI USD Hedged USD I EUR EUR I GBP Hedged GBP Number of shares EI EUR 298, EI GBP Hedged 296, EI USD Hedged 5, I EUR I GBP Hedged The accompanying notes are an integral part of these financial statements. 5

8 Statement of Net Assets as at June 30, 2014 Notes Combined Statement Statement of Operations and Changes in Net Assets for the period ended June 30, 2014 EUR Notes EUR Assets Investment in securities at cost 163,440, Unrealised appreciation / (depreciation) on securities 3,530, Investment in securities at market value ,970, Cash at bank 12,473, Receivable for investment sold 174, Receivable on subscriptions 491, Receivable on withholding tax reclaim 52, Receivable on contracts for difference 39, Net unrealised appreciation on futures contracts 2.2, 7 29, Dividends and interest receivable 484, Formation expenses , Total assets 180,769, Liabilities Bank overdraft 631, Accrued expenses 346, Payable for investment purchased 590, Payable on redemptions 16, Payable on contracts for difference 712, Net unrealised depreciation on forward foreign exchange 2.2, 8 75, contracts Net unrealised depreciation on contracts for difference , Total liabilities 2,383, Net assets at the end of the period 178,386, Income Dividends (net of withholding taxes) 2.6 1,915, Bank interest 2.01 Income on contracts for difference 297, Total income 2,213, Expenses Investment management fees 3 462, Custodian fees 4 34, Performance fees 3 68, Administration fees 4 39, Professional fees 19, Transaction costs , Taxe d'abonnement 5 8, Bank interest and charges 25, Expenses on contracts for difference 139, Amortisation of formation expenses 2.4 4, Other expenses 45, Total expenses 1,154, Net investment income / (loss) 1,058, Net realised gain / (loss) on: Investments 2.2 3,063, Foreign currencies transactions , Futures contracts 2.2 (180,815.48) Forward foreign exchange contracts 2.2 3,548, Contracts for difference 2.2 (329,259.46) Net realised gain / (loss) for the period 7,372, Net change in unrealised appreciation / (depreciation) on: Investments 2.2 3,530, Futures contracts , Forward foreign exchange contracts 2.2 (75,512.71) Contracts for Difference (10,867.44) Increase / (Decrease) in net assets as a result of operations 10,845, Proceeds received on subscription of shares 180,682, Net amount paid on redemption of shares (13,142,076.01) Net assets at the beginning of the period - Net assets at the end of the period 178,386, The accompanying notes are an integral part of these financial statements. 6

9 Verrazzano Advantage European (in EUR) Statement of Operations Net Assets and as at Changes June 30, in Net 2014Assets for the Statement of Operations and Changes in Net Assets for period from October 30, 2013 (date of incorporation) to June the period from October 30, 2013 (date of incorporation) to 30, 2014 June 30, 2014 Notes EUR Notes EUR Assets Investment in securities at cost 104,930, Unrealised appreciation / (depreciation) on securities 3,539, Investment in securities at market value ,469, Cash at bank 2,576, Receivable for investment sold 32, Receivable on subscriptions 66, Receivable on withholding tax reclaim 52, Receivable on contracts for difference 39, Dividends and interest receivable 37, Formation expenses , Total assets 111,309, Liabilities Bank overdraft Accrued expenses 152, Payable for investment purchased 329, Payable on contracts for difference Net unrealised depreciation on forward foreign exchange contracts 2.2, 8 49, Total liabilities 533, Net assets at the end of the period 110,776, Income Dividends (net of withholding taxes) 2.6 1,722, Bank interest 1.59 Total income 1,722, Expenses Investment management fees 3 334, Custodian fees 4 29, Administration fees 4 28, Professional fees 15, Transaction costs , Taxe d'abonnement 5 6, Bank interest and charges 24, Expenses on contracts for difference Amortisation of formation expenses 2.4 4, Other expenses 38, Total expenses 764, Net investment income / (loss) 958, Net realised gain / (loss) on: Investments 2.2 2,608, Foreign currencies transactions , Forward foreign exchange contracts 2.2 3,050, Contracts for difference , Net realised gain / (loss) for the period 6,879, Net change in unrealised appreciation / (depreciation) on: Investments 2.2 3,539, Forward foreign exchange contracts 2.2 (49,997.10) Increase / (Decrease) in net assets as a result of operations 10,368, Proceeds received on subscription of shares 103,866, Net amount paid on redemption of shares (3,458,896.86) Net assets at the beginning of the period - Net assets at the end of the period 110,776, Statement of Changes in Number of Shares Number of shares in issue at the beginning of the period Number of shares subscribed Number of shares redeemed Number of shares in issue at the end of the period EI EUR - 102, , EI GBP - 201, (945.00) 200, EI GBP Hedged - 563, (25,814.68) 537, The accompanying notes are an integral part of these financial statements. 7

10 Securities Portfolio as at June 30, 2014 VERRAZZANO SICAV Verrazzano Advantage European (in EUR) Quantity/ Nominal Name Currency Market value % in EUR NAV Quantity/ Nominal Name Currency Market value % in EUR NAV Transferable securities admitted to an official exchange listing Banks Shares 70, BNP PARIBAS EUR 3,487, , CAIXABANK EUR 3,176, , COMMERZBANK AG EUR 2,410, , DEUTSCHE BANK AG-REGISTERED EUR 1,991, , MEDIOBANCA SPA EUR 1,054, , NATIONAL BANK OF GREECE S.A. EUR 1,433, , UBS AG CHF 2,041, , UNICREDIT SPA EUR 1,587, Cosmetics 17,183, , BAYER AG-REG EUR 1,886, , BEIERSDORF AG EUR 1,308, , ROCHE HOLDING AG-GENUSSCHEIN CHF 5,873, , SANOFI EUR 3,601, Telecommunication 12,669, , ALCATEL-LUCENT EUR 2,331, , DEUTSCHE TELEKOM AG-REG EUR 1,399, , ERICSSON LM-B SHS SEK 1,153, ,998, TELECOM ITALIA-RSP EUR 2,885, , VIVENDI EUR 3,523, Energy 11,293, , ENI SPA EUR 3,129, , E.ON SE EUR 3,093, , REPSOL SA EUR 1,557, , ROYAL DUTCH SHELL PLC - A SHS EUR 2,823, Food services 10,603, , CARLSBERG AS-B DKK 1,586, , CARREFOUR SA EUR 1,612, , DANONE GROUPE EUR 1,763, , NESTLE SA-REG CHF 3,472, , UNILEVER NV-CVA EUR 1,537, Building materials 9,972, , ABENGOA SA- B SHARES EUR 1,728, , COMPAGNIE DE SAINT-GOBAIN EUR 1,747, , LAFARGE SA EUR 1,424, , SACYR SA EUR 1,184, Auto Parts & Equipment 6,085, , PEUGEOT SA EUR 2,774, , VOLKSWAGEN AG-PFD EUR 2,840, Distribution & Wholesale 5,614, , INDITEX EUR 1,603, , PANDORA A/S DKK 1,936, , RALLYE SA EUR 1,080, Chemical 4,620, , CLARIANT AG-REG CHF 1,430, , KONINKLIJKE DSM EUR 2,689, Transportation 4,119, A P MOLLER - MAERSK A/S - B DKK 1,143, , DEUTSCHE LUFTHANSA-REG EUR 1,073, , PANALPINA WELTTRANSPORT -REG CHF 1,295, ,512, Computer software 51, SAP SE EUR 2,887, Lodging & Restaurants 2,887, , ACCOR SA EUR 2,870, Diversified machinery 2,870, , SIEMENS AG-REG EUR 2,614, Textile 2,614, , BRUNELLO CUCINELLI SPA EUR 1,114, , PUMA SE EUR 1,468, Insurance 2,582, , AXA SA EUR 2,461, Media 2,461, , PROSIEBENSAT.1 MEDIA AG EUR 986, , TELEVISION FRANCAISE (T.F.1) EUR 1,292, Real estate 2,279, , GRAND CITY PROPERTIES EUR 1,832, Aerospace & Defense 1,832, , AIRBUS GROUP NV EUR 1,633, Forest products & Paper 1,633, , SVENSKA CELLULOSA AB-B SHS SEK 1,319, Advertising 1,319, , HAVAS SA EUR 1,165, Metal 1,165, , ARCELORMITTAL EUR 1,108, Energy Rights 1,108, ,429, , REPSOL SA RTS 04/07/2014 EUR 40, , , Total securities portfolio 108,469, Financial Derivative Instruments as at June 30, 2014 Purchase Sale Maturity Date Forward foreign exchange contracts Commitment in EUR Unrealised appreciation / (depreciation) in EUR 60,133, GBP 75,128, EUR 31/07/14 75,128, (48,358.36) 726, EUR 583, GBP 31/07/14 726, (1,638.74) (49,997.10) Total Forward foreign exchange contracts (49,997.10) Total financial derivative instruments (49,997.10) The accompanying notes are an integral part of these financial statements. 8

11 Verrazzano Advantage European (in EUR) Summary of net assets Total securities portfolio Total financial derivative instruments Cash at bank Other assets and liabilities Total net assets % NAV 108,469, (49,997.10) (0.05) 2,576, (220,207.96) (0.20) 110,776, The accompanying notes are an integral part of these financial statements. 9

12 Verrazzano Advantage European (in EUR) Portfolio Breakdowns Nature allocation % of portfolio % of net assets Shares Rights Country allocation % of portfolio % of net assets France Germany Switzerland Italy Spain Netherlands Denmark Luxembourg United Kingdom Sweden Greece The accompanying notes are an integral part of these financial statements. 10

13 Verrazzano European Long-Short (in EUR) Statement of Operations Net Assets and as at Changes June 30, in Net 2014Assets for the Statement of Operations and Changes in Net Assets for period from October 30, 2013 (date of incorporation) to June the period from October 30, 2013 (date of incorporation) to 30, 2014 June 30, 2014 Notes EUR Notes EUR Assets Investment in securities at cost 58,509, Unrealised appreciation / (depreciation) on securities (9,410.26) Investment in securities at market value ,500, Cash at bank 9,896, Receivable for investment sold 141, Receivable on subscriptions 425, Net unrealised appreciation on futures contracts 2.2, 7 29, Dividends and interest receivable 447, Formation expenses , Total assets 69,459, Liabilities Bank overdraft 631, Accrued expenses 193, Payable for investment purchased 261, Payable on redemptions 16, Payable on contracts for difference 711, Net unrealised depreciation on forward foreign exchange 2.2, 8 25, contracts Net unrealised depreciation on contracts for difference , Total liabilities 1,850, Net assets at the end of the period 67,609, Income Dividends (net of withholding taxes) , Bank interest 0.42 Income on contracts for difference 297, Total income 490, Expenses Investment management fees 3 127, Custodian fees 4 4, Performance fees 3 68, Administration fees 4 10, Professional fees 4, Transaction costs 10 25, Taxe d'abonnement 5 2, Bank interest and charges 1, Expenses on contracts for difference 138, Other expenses 6, Total expenses 390, Net investment income / (loss) 100, Net realised gain / (loss) on: Investments , Foreign currencies transactions 2.3 (11,703.80) Futures contracts 2.2 (180,815.48) Forward foreign exchange contracts , Contracts for difference 2.2 (368,739.09) Net realised gain / (loss) for the period 492, Net change in unrealised appreciation / (depreciation) on: Investments 2.2 (9,410.26) Futures contracts , Forward foreign exchange contracts 2.2 (25,515.61) Contracts for Difference 2.2 (10,867.44) Increase / (Decrease) in net assets as a result of operations 476, Proceeds received on subscription of shares 76,816, Net amount paid on redemption of shares (9,683,179.15) Net assets at the beginning of the period - Net assets at the end of the period 67,609, Statement of Changes in Number of Shares Number of shares in issue at the beginning of the period Number of shares subscribed Number of shares redeemed Number of shares in issue at the end of the period EI EUR - 298, (160.16) 298, EI GBP Hedged - 297, (1,071.06) 296, EI USD Hedged - 5, , I EUR - 75, (75,101.09) - I GBP Hedged - 17, (17,250.00) - The accompanying notes are an integral part of these financial statements. 11

14 Verrazzano European Long-Short (in EUR) Securities Portfolio as at June 30, 2014 Financial Derivative Instruments as at June 30, 2014 Quantity/ Nominal Name Currency Market value % in EUR NAV Purchase Sale Maturity Date Commitment in EUR Unrealised appreciation / (depreciation) in EUR Transferable securities admitted to an official exchange listing Banks Shares 137, MEDIOBANCA SPA EUR 998, , NATIONAL BANK OF GREECE S.A. EUR 886, Cosmetics 1,884, , BAYER AG-REG EUR 203, , LUXOTTICA GROUP SPA EUR 981, Telecommunication 1,185, ,162, TELECOM ITALIA SPA EUR 1,075, Building materials 1,075, , ITALCEMENTI SPA EUR 859, Government Other transferable securities Money market instruments 859, ,005, ,000, DUTCH TSY CERT 0% 14-30/01/2015 EUR 7,999, ,500, DUTCH TSY CERT 0% 14-30/09/2014 EUR 3,500, ,000, FRANCE BONS DU TRESOR 0% 08/01/2015 EUR 7,998, BT 9,700, FRANCE BONS DU TRESOR 0% 17/07/2014 EUR 9,699, BT 3,300, GERMAN T-BILL 0% 13-23/07/2014 EUR 3,299, ,400, GERMAN T-BILL 0% 13-24/09/2014 EUR 5,398, ,000, GERMAN T-BILL 0% 14-15/10/2014 EUR 5,999, ,895, ,895, Bonds and other debt instruments Government 2,200, FRENCH BTF 0% 14-03/07/2014 EUR 2,199, ,900, FRENCH BTF 0% 14-04/09/2014 EUR 4,899, ,500, FRENCH BTF 0% 14-07/08/2014 EUR 2,499, ,599, ,599, Total securities portfolio 58,500, Financial Derivative Instruments as at June 30, 2014 Quantity Name Futures Currency Commitment in EUR Unrealised appreciation / (depreciation) in EUR (93.00) CAC40 EURO FUT 18/07/2014 EUR 4,112, , (76.00) DOW JONES EURO STOXX 50 - FUT EUR 2,456, , /09/2014 (72.00) S&P 500 E-MINI FUTURE 19/09/2014 USD 5,133, (56,883.84) 29, Total Futures 29, Forward foreign exchange contracts 29,973, GBP 37,446, EUR 31/07/14 37,446, (23,322.85) 582, USD 427, EUR 31/07/14 427, (2,192.76) (25,515.61) Total Forward foreign exchange contracts (25,515.61) Name Currency Commitment in EUR Unrealised appreciation / (depreciation) in EUR Contracts for difference ACCOR SA 31/12/2098 EUR 1,551, , AFRICA OIL CORP 15/07/2058 SEK 483, (21,444.79) AIRBUS GROUP NV 16/07/2057 EUR 674, (14,306.38) ALCATEL-LUCENT 31/12/2078 EUR 1,495, (143,437.70) ALTICE SA 03/06/2059 EUR (560,036.16) 23, ARROW GLOBAL GROUP PLC-W/I GBP 1,337, , /10/2058 ASSOCIATED BRITISH FOODS PLC GBP (487,299.28) (4,720.18) 05/06/2053 ASTRAZENECA PLC 31/12/2096 GBP 1,575, (4,270.24) AXA SA 29/09/2055 EUR 1,756, (34,614.73) BANCA MONTE DEI PASCHI SIENA EUR 823, , /05/2059 BANCO POPULAR ESPANOL SA 17/06/2058 EUR 879, (25,774.64) BANCO SANTANDER SA 03/02/2050 EUR (1,512,502.53) 5, BASF SE 26/07/2056 EUR (1,352,487.18) 15, BNP PARIBAS 11/05/2067 EUR 921, (1,036.63) CABLE & WIRELESS COMMUNICATI GBP 910, (14,389.71) 01/09/2055 CAIXABANK S.A 29/04/2053 EUR 899, (3,080.48) CLARIANT AG-REG 31/12/2049 CHF 512, (15,629.90) COMPAGNIE DE SAINT-GOBAIN 31/12/2096 EUR 1,355, (52,301.92) ESSILOR INTERNATIONAL 12/10/2056 EUR (559,189.00) 6, GRAND CITY PROPERTIES 31/03/2059 EUR 1,031, , HAVAS SA 15/05/2057 EUR 992, , HAYS PLC 29/01/2068 GBP 552, (5,500.96) ICHOR COAL NV 11/06/2059 EUR 328, , IMCD GROUP NV - W/I 27/06/2059 EUR 908, , ING GROEP NV-CVA 31/12/2091 EUR 748, (22,824.55) INMOBILIARIA COLONIAL SA 13/05/2059 EUR 743, (21,426.20) KONINKLIJKE DSM NV 31/12/2054 EUR 2,053, , LIBERBANK SA 23/05/2059 EUR 700, (57,698.42) LOREAL 31/12/2053 EUR (427,764.15) 6, NESTLE SA-REG 15/04/2053 CHF (652,965.45) (2,357.18) NOVARTIS AG-REG 31/12/2052 CHF (1,645,880.49) PANDORA A/S 28/08/2053 DKK 1,219, , PEUGEOT SA 02/01/2053 EUR 1,657, , PROSEGUR COMPANIA DE SEGURIDAD EUR (246,117.56) (3,669.93) SA 24/07/ PUMA SE 23/01/2068 EUR 1,206, (1,747.49) RED ELECTRICA CORPORACION SA EUR (425,783.20) (12,564.56) 22/11/2056 REPSOL SA RTS 04/07/ /06/2059 EUR 38, , REPSOL SA 31/12/2090 EUR 2,109, (28,584.72) ROCHE HOLDING AG-GENUSSCHEIN CHF 1,795, (9,067.22) 31/12/2050 ROYAL MAIL PLC-W/I 19/02/2059 GBP 682, (11,956.83) SABMILLER PLC 31/12/2085 GBP 749, , SANOFI 01/01/2050 EUR 1,250, (15,320.61) SCHNEIDER ELECTRIC ACT 09/01/2053 EUR (1,447,600.00) 13, TECHNIP SA 31/12/2054 EUR 603, , TELEFONICA SA 25/09/2067 EUR (870,640.80) 13, TEMENOS GROUP AG-REG 01/10/2067 CHF 457, , TESCO PLC 25/01/2068 GBP (680,138.48) 21, UNILEVER NV-CVA 19/10/2067 EUR (654,118.86) (186.40) UNITED INTERNET AG-REG SHARE EUR 761, (3,852.00) 18/11/2056 VIVENDI 03/05/2067 EUR 3,841, (312,221.99) VODAFONE GROUP SHS 24/02/2059 GBP 1,572, (28,675.64) WACKER CHEMIE AG 31/12/2071 EUR 805, , (10,867.44) The accompanying notes are an integral part of these financial statements. 12 Total Contracts for difference (10,867.44)

15 Verrazzano European Long-Short (in EUR) Total financial derivative instruments (6,666.89) Summary of net assets Total securities portfolio Total financial derivative instruments Cash at bank Other assets and liabilities Total net assets % NAV 58,500, (6,666.89) (0.02) 9,265, (149,431.30) (0.21) 67,609, The accompanying notes are an integral part of these financial statements. 13

16 Verrazzano European Long-Short (in EUR) Portfolio Breakdowns Nature allocation % of portfolio % of net assets Money market instruments Bonds and other debt instruments Shares Country allocation % of portfolio % of net assets France Germany Netherlands Italy Greece The accompanying notes are an integral part of these financial statements. 14

17 Notes to the Financial Statements as at June 30, 2014 VERRAZZANO SICAV 1. General information VERRAZZANO SICAV (the Company ) was incorporated in the Grand Duchy of Luxembourg on October 30, 2013 (date of incorporation) as a société anonyme under the law of August 10, 1915 relating to commercial companies (the Company Law ) and is organised as a variable capital company (société d'investissement à capital variable SICAV ) under Part I of the Investment Fund Law. As such the Company is registered on the official list of collective investment undertakings maintained by the Luxembourg regulator. It is established for an undetermined duration from the date of the incorporation. The Statutes of the Company and amendments thereto were published in the Mémorial, Recueil des Sociétés et Associations, (hereafter referred to as the Mémorial ) on November 22, The Company is registered with the Registre de Commerce of Luxembourg under number B The financial year of the Company starts on 1 January and ends on December 31 of each year. The first financial year will start at the launch of the Company and end on December 31, As at June 30, 2014, the following Sub-Funds are open for subscription: Verrazzano Advantage European, denominated in Euro, was launched on November 28, 2013 and has the following capitalisation share classes invested: EI EUR EI GBP EI GBP Hedged Verrazzano European Long-Short, denominated in Euro, was launched on March 23, 2014 and has the following capitalisation share classes invested: EI EUR EI GBP Hedged EI USD Hedged 2. Summary of significant accounting policies 2.1. Presentation of the financial statements The financial statements of the Company are prepared in accordance with the Luxembourg regulations for investment funds. The combined financial statements are expressed in Euro ( EUR ) Valuation of the Net Asset Value The Net Asset Value per share of each Class is determined for each valuation date (the Valuation Date ) and expressed in the reference currency of the respective Class. The Net Asset Value per share of each Class may be rounded up or down to the nearest three decimals of the reference currency of such Class of shares. The Valuation Date is every full bank business day in Luxembourg (the Bank Business Day ). The value of the assets of each Sub-Fund is determined as follows: Transferable securities and money market instruments admitted to official listing on a stock exchange or dealt in on another market in a non-eu Member State which is regulated, operates regularly and is recognised and open to the public provided, are valued on the basis of the last known price. If the same security is quoted on different markets, the quotation of the main market for this security will be used. If there is no relevant quotation or if the quotations are not representative of the fair value, the evaluation will be done in good faith by the Board of Directors or its delegate with a view to establishing the probable sales price for such securities; Non-listed securities are valued on the basis of their probable sales price as determined in good faith by the Board of Directors and its delegate; Other liquid assets are valued at their nominal value plus accrued interest; Derivatives are valued at market value. Whenever a foreign exchange rate is needed in order to determine the Net Asset Value of a Class, the applicable foreign exchange rate on the respective Valuation Date will be used. In addition, appropriate provisions will be made to account for the charges and fees charged to the Sub-Funds and Classes as well as accrued income on investments. 15

18 Notes to the Financial Statements as at June 30, 2014 (continued) 2. Summary of significant accounting policies (continued) 2.3. Foreign currency translation Bank accounts, other net assets and market value of the investments in securities expressed in currencies other than the reference currency of the respective Sub-Funds are translated at the exchange rates prevailing on the date of the balance sheet. Income and expenses in currencies other than the reference currency of the respective Sub-Funds are translated at the rate of exchange prevailing at transaction date. The resulting gains and losses are recognised in the Statement of Operations and Changes in Net Assets Formation expenses Each Sub-Fund shall amortise its own expenses of establishment over a period of five (5) years as of the date of its creation. The expenses of first establishment is exclusively charged to the Sub-Funds opened at the incorporation of the Company and shall be amortised over a period not exceeding five (5) years Net realised gain or loss on sales of investments Realised profits or losses on investment securities sold are computed on the average cost basis Income Dividends are taken into income on the date upon which the relevant securities are first listed as ex-dividend. Interest is booked on an accrual basis. 3. Investment management fees The Board of Directors of the Company has appointed Verrazzano Capital as management company (the "Management Company") of the Company. In consideration of its investment management, administration and distribution services, the Management Company is entitled to receive management, distribution and performance fees. These fees are calculated based on the Net Asset Value of the Sub-Funds and are paid quarterly in arrears. Third parties to whom such functions have been delegated by the Management Company may receive their remunerations directly from the Company (out of the assets of the relevant Sub-Fund), such remunerations being in that case not included in the management fee payable to the Management Company. These remunerations are calculated based on the Net Asset Value of the Sub-Funds and are paid on a monthly or quarterly basis in arrears, depending on the terms and conditions of the relevant agreements. At the end of each month, the Management Company receives a maximum annual fixed management fees rate, charged to the assets of the Sub-Funds and calculated as follows: Verrazzano Advantage European Verrazzano European Long-Short EI EUR 0.65% 1.25% EI GBP 0.65% EI GBP Hedged 1.25% EI USD Hedged 0.65% 1.25% I EUR Hedged 0.75% 1.50% I GBP Hedged 0.75% 1.50% In addition, the Management Company may be entitled to receive a 20% performance fee out of the net assets of the Verrazzano European Long-Short Sub- Fund attributable to the respective Share Class. At the end of each Calculation Period, the performance fee paid to the Management Company is 20% of the effective net value creation for the Sub-Fund attributable to each respective share class over that Calculation Period, provided the Net Asset Value of a share class is above the High Water Mark of that share class. 16

19 Notes to the Financial Statements as at June 30, 2014 (continued) 4. Central administration, depository bank, transfer, registrar and paying agent The Management Company and the Company have entered into a Fund Administration Services Agreement with BNP Paribas Securities Services Luxembourg Branch, on November 4, 2013 for an indefinite period of time. Under the above mentioned Agreement, BNP Paribas Securities Services Luxembourg Branch provides the Company, under the supervision and responsibility of the Management Company, with services as central administration (the Central Administration, Registrar and Transfer Agent ). In consideration of its services as central administration, BNP Paribas Securities Services Luxembourg Branch is entitled to receive a central administration fee out of the assets of the Company. Moreover, the Company has also entered into a Custodian and Paying Agent Services Agreement with BNP Paribas Securities Services Luxembourg Branch (the Depository Bank ), on November 4, 2013 for an indefinite period of time. The Company's assets are on deposit with BNP Paribas Securities Services Luxembourg Branch or on its order, acting as Depository Bank. In consideration of its services as Depository Bank, BNP Paribas Securities Services Luxembourg Branch is entitled to receive a depositary fee out of the assets of the Company. BNP Paribas Securities Services Luxembourg Branch also acts as paying agent for the Company in connection with the receipt of payments in respect of the issue of shares, the payment of monies in respect of the repurchase of the shares and if applicable the payment of dividends. The maximum annual rate of central administration and depository fees are as follows: Sub-Fund name Class Central administration fee Depository fee Verrazzano Advantage European EI EUR 1.00% 1.00% EI GBP 1.00% 1.00% EI GBP Hedged 1.00% 1.00% Verrazzano European Long-Short EI EUR 1.00% 1.00% EI GBP Hedged 1.00% 1.00% EI USD Hedged 1.00% 1.00% I EUR Hedged 1.00% 0.50% I GBP Hedged 1.00% 0.50% 5. Taxation Under Luxembourg law, there are currently no Luxembourg taxes on income, withholding or capital gains by the Company. The Company is, however, subject to a subscription tax ( taxe d abonnement ) of 0.05% per annum, calculated and payable quarterly, on the aggregate Net Asset Value of the outstanding shares of the Company at the end of each quarter. This annual tax is however reduced to 0.01% on the aggregate Net Asset Value of the shares dedicated to institutional investors. Shareholders are, at present, not subject to any Luxembourg capital gains, income, withholding, gift, estate, inheritance or other tax with respect to shares owned by them. 6. Other expenses As at June 30, 2014, the caption Other expenses includes mainly transfer agent fees, CSSF fees, insurance fees and director fee, as well as fees to passport and register the Company for distribution in other countries. 7. Futures contracts As at June 30, 2014, the Sub-Fund held positions in futures contracts. The clearer for these positions is UBS Limited London has pledged collateral. 8. Forward foreign exchange contracts As at June 30, 2014, the Sub-Fund held positions in forward foreign exchange contracts. The counterparty for these positions is BNP Paribas Securities Services Luxembourg Branch and has not pledged any collateral. 17

20 Notes to the Financial Statements as at June 30, 2014 (continued) 9. Contracts for difference As at June 30, 2014, the Sub-Fund held positions in contracts for difference. The counterparty for these positions is Goldman Sachs International. 10. Transaction costs For the period ended June 30, 2014, the Company did not incur any other transaction costs than the brokers fees (where there is a split between execution and research costs) relating to purchase or sale of transferable securities, money market instruments, derivatives or other eligible assets. 11. Total Expense Ratio ( TER ) The TER of each Sub-Fund as at June 30, 2014 is given below: Sub-Fund name Class TER Verrazzano Advantage European EI EUR 0.89% EI GBP 0.90% EI GBP Hedged 0.89% Verrazzano European Long-Short EI EUR 1.52% EI GBP Hedged 1.57% EI USD Hedged 1.51% The Total Expense Ratio (TER) is calculated based on the total expenses as per Statement of Operations and Changes in Net Assets, excluding custody transaction fees and any transaction fees on derivatives, divided by the average net assets of the sub-fund, expressed as a percentage. The TER was calculated according to the guidelines dated May 16, 2008 by the Swiss Funds Association ( SFA ). The TER is annualized for periods less than one year. 12. Portfolio Turnover Ratio ( PTR ) The PTR of each Sub-Fund as at June 30, 2014 is given below: Sub-Fund name PTR Verrazzano Advantage European % Verrazzano European Long-Short (33.87)% The PTR was calculated according to the guidelines dated May 16, 2008 by the Swiss Funds Association ( SFA ). The PTR is calculated as follows: ((Total purchases + Total sales) - (Total subscriptions + Total redemptions)) / Average net assets of the sub-fund 18

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