MELLON OFFSHORE FUNDS. Nikko Global Currency Fund. Unaudited Semi-Annual Report for the period from April 1, 2011 to September 30, 2011

Transcription

1 Unaudited Semi-Annual Report for the period from April 1, 2011 to September 30, 2011

2 Table of contents Mellon Offshore Funds Administration of the Trust 3 General information of the Trust 5 Mellon Offshore Funds - Administration of the Series Trust 7 General information of the Series Trust 8 Statement of net assets 9 Statement of operations and changes in net assets 10 Statistical information 12 Notes to the financial statements 13 Statement of investments 22 Classification of investments by country and by economical sector 23

3 Administration of the Trust Manager BNY Mellon International Management Limited The office of Caledonian Trust (Cayman) Limited Caledonian House, 69 Dr. Roy's Drive, P.O. Box 1043, Grand Cayman, KY1-1102, Cayman Islands Board of Directors of the Manager Trustee Greg Brisk Chief Operations Officer International Asset Management, BNY Mellon Steve Lipiner Chief Financial Officer BNY Mellon Asset Management Scott Lennon Non-affiliated, Independent Non-executive Director Jonathan Lubran Executive Director of Institutional Business BNY Mellon Asset Management International Doni Shamsuddin Chief Operating Officer BNY Mellon Asset Management Japan CIBC Bank and Trust Company (Cayman) Limited 11, Dr. Roy s Drive, P.O. Box 694, Grand Cayman, KY1-1107, Cayman Islands Page 3

4 Administration of the Trust (continued) Auditor PricewaterhouseCoopers P.O. Box 258, Strathvale House, George Town, Grand Cayman, KY1-1104, Cayman Islands Legal advisers In Cayman Islands : Maples and Calder 53 rd Floor, The Center, 99, Queen s Road Central, Hong Kong In Japan : Mori Hamada & Matsumoto Marunouchi Park Building, 6-1 Marunouchi 2-chome, Chiyoda-ku, Tokyo, , Japan Page 4

5 General information of the Trust MELLON OFFSHORE FUNDS (hereinafter referred to as the Trust ) is an open-ended umbrella unit trust constituted by a master trust deed (the Master Trust Deed ) dated October 14, 2003 entered into between CIBC Bank and Trust Company (Cayman) Limited (the Trustee ) and BNY Mellon International Management Limited (the Manager ). The Trust has been established as an umbrella unit trust. Separate portfolio or series trust can be created and established to which assets and liabilities attributable to the relevant series trust are applied in the accounts of the Trust. Separate classes of units relating exclusively to each series trust are issued. The Master Trust Deed is governed by the laws of the Cayman Islands. All unitholders are entitled to the benefit of, are bound by, and are deemed to have notice of, the provisions of the Master Trust Deed and any trust deed supplemental thereto. In the event of any conflict between : (a) the provisions of this offering memorandum and the relevant appendix relating to a series trust; and (b) the provisions of the Master Trust Deed and the supplemental trust deed relating to such series trust, the provisions of the latter documents will prevail. The Trustee, a company incorporated and existing under the laws of the Cayman Islands, is a majority-owned subsidiary of the Canadian Imperial Bank of Commerce, one of the largest banks in the world. Established in 1965, the Trustee is the largest fully integrated bank and trust company in the Cayman Islands, offering a full range of banking, trust and investment services. The Trustee is duly incorporated, validly existing and licensed to undertake business pursuant to the provisions of the Banks and Trust Companies Law (2009 Revision) of the Cayman Islands. It is also a licensed mutual fund administrator pursuant to the provisions of the Mutual Funds Law (2009 Revision), as amended, of the Cayman Islands (the Law ). The Trustee is responsible under the Master Trust Deed for the administration of each series trust. The Manager, an indirect wholly-owned subsidiary of The Bank of New York Mellon Corporation, is authorised to carry out and undertake all kinds of financial, commercial and trading operations, banking and trust operations and to carry on any other kind of business which may seen to be capable of being conveniently carried on in connection with any of the said objects. The Manager is responsible under the Master Trust Deed for the management of the investment and reinvestment of the assets of each series trust and for the issue and redemption of units of each series trust. The Manager has delegated its responsibility for the issue and redemption of units of each series trust to SMBC Nikko Bank (Luxembourg) S.A. (the Administrator ). Page 5

6 General information of the Trust (continued) The Trust falls within the definition of a regulated mutual fund pursuant to the Mutual Funds Law (2009 revision) (the Law ). The Trust has applied for and received a mutual fund license pursuant to section 5 of the Law. The Trust is established as an umbrella unit trust: at the day of this report, twelve series Trusts are in operation. SMBC Nikko Securities Inc. is the Distributor of the following six series trusts : Mellon Offshore Funds - Mellon Offshore Funds - Nikko Mellon Global Market Fund Mellon Offshore Funds - Nikko Mellon Global Tri-Asset Fund Mellon Offshore Funds - GW Select Fund Moderate Type Mellon Offshore Funds - GW Select Fund Aggressive Type Mellon Offshore Funds - Nikko BNY Mellon Tri-Sector High Income Bond Fund Monthly Distribution Type (Yen Hedged Unit/Yen Non-Hedged Unit) Other information Copies of the Master Trust Deed, any trust deed supplemental to the Master Trust Deed, the administration agreement, the custody agreement, any agreement entered into by the Trustee and/or the Manager appointing any other service provider in respect of any series trust, any agreement entered into by the Manager appointing any distributor of units of any series trust and any annual and semi-annual reports are available for inspection free of charge at any time during normal business hours on any day (excluding Saturdays, Sundays and public holidays) at the offices of the Administrator where copies may be obtained on payment of a reasonable fee. Page 6

7 Administration of the Series Trust - Investment Manager BNY Mellon Asset Management International Limited BNY Mellon Centre, 160 Queen Victoria Street, London EC4V 4LA, United Kingdom Sub-Investment Manager Mellon Capital Management Corporation 50 Fremont Street, Suite 3900, San Francisco, CA 94105, United States Administrator and Custodian SMBC Nikko Bank (Luxembourg) S.A. 9A, Rue Robert Stümper, L-2557 Luxembourg, Grand Duchy of Luxembourg Distributor and Agent Company SMBC Nikko Securities Inc. 3-1, Marunouchi 3-chome, Chiyoda-ku, Tokyo , Japan Legal advisers In Japan : Mori Hamada & Matsumoto Marunouchi Park Building, 6-1 Marunouchi 2-chome, Chiyoda-ku, Tokyo, , Japan In Cayman Islands : Maples and Calder 53 rd Floor, The Center, 99, Queen s Road Central, Hong Kong Page 7

8 General information of the Series Trust - NIKKO GLOBAL CURRENCY FUND (hereinafter referred to as the Series Trust ) is a separate Series Trust of the Trust constituted pursuant to the Master Trust Deed and a supplemental trust dated October 14, 2003, both between the Trustee and the Manager. The Series Trust has been filed pursuant to the Financial Instruments and Exchange Law of Japan (the FIEL ) with the Kanto Local Finance Bureau (the KLFB ) and a notification relating to the Series Trust has been filed pursuant to the Investment Trust Law with the Financial Services Authority (the FSA ). The Manager has delegated its responsibility under the Master Trust Deed for the management of the investment and reinvestment of the assets of the Series Trust to BNY Mellon Asset Management International Limited (the Investment Manager ). The Investment Manager is registered as an investment manager in United Kingdom where it is regulated by Financial Services Authority. The Investment Manager has further delegated the responsibility for the management of the investment and reinvestment of the Series Trust's assets to Mellon Capital Management Corporation (the Sub-Investment Manager ). The Sub-Investment Manager is a Delaware corporation and an indirect wholly-owned subsidiary of The Bank of New York Mellon Corporation. It is registered as an investment adviser with the United States Securities and Exchange Commission. The Trustee and the Manager have appointed SMBC Nikko Bank (Luxembourg) S.A. (the Administrator ) to act as the administrator and transfer agent of the Series Trust. The Trustee has also appointed SMBC Nikko Bank (Luxembourg) S.A. to act as custodian (the Custodian ) of the assets of the Series Trust. The Manager has appointed SMBC Nikko Securities Inc. (the Distributor ) to be the distributor of the units in Japan in accordance with the offering memorandum and the terms and conditions set out in a distribution agreement entered into between the Manager and the Distributor. Other information The Series Trust's financial year ends on March 31 in each year. Audited accounts are prepared in accordance with Luxembourg generally accepted accounting practices and are generally sent to unitholders within 120 days (effective from the annual report) of the end of each financial year. Unaudited semi-annual accounts are also prepared and generally sent to unitholders within 60 days of the end of the period to which they relate. The latest available purchase and redemption prices of units are available on request without charge at the office of the Administrator. Upon request to be addressed to the registered office of the Manager, a statement giving the changes in portfolio investments incurred during the period ended September 30, 2011 can be obtained free of charge. Page 8

9 Statement of net assets as at September 30, 2011 (Expressed in US Dollar) Notes USD Assets Investments At cost 14,910, At market value ,913, Cash at bank 3,473, Unrealised appreciation on forward foreign exchange contracts 2.5, 8 760, Interest receivable on bonds Interest receivable on cash Other income receivable Total assets 19,148, Liabilities Unrealised depreciation on forward foreign exchange contracts 2.5, 8 1,249, Bank overdraft 152, Professional expenses payable 24, Printing and publishing expenses payable 23, Manager fees payable 3 19, Administrator fees payable Custodian fees payable Other expenses payable 43, Total liabilities 1,514, Total net assets 17,634, Net assets USD Units USD 2,768, EUR Units EUR 3,991, AUD Units AUD 1,638, Yen Units JPY 462,289,453 Yen Units (for FOF investors) JPY 141,267,534 Number of units outstanding USD Units 28,554 EUR Units 42,429 AUD Units 13,865 Yen Units 57,119 Yen Units (for FOF investors) 165,300,235 Net asset value per unit USD Units USD EUR Units EUR AUD Units AUD Yen Units JPY 8,093 Yen Units (for FOF investors) JPY The accompanying notes are an integral part of these financial statements. Page 9

10 Statement of operations and changes in net assets for the period ended September 30, 2011 (Expressed in US Dollar) Notes USD Income Interest on bonds , Bank interest Total income 13, Expenses Manager fees 3 123, Professional expenses 20, Printing and publishing expenses 11, Administrator fees 4 5, Custodian fees 5 3, Trustee fees 6 2, Safekeeping fees Transactions fees Other expenses 43, Total expenses 211, Net investment loss (197,929.34) The accompanying notes are an integral part of these financial statements. Page 10

11 Statement of operations and changes in net assets for the period ended September 30, 2011 (continued) (Expressed in US Dollar) Notes USD Net investment loss (197,929.34) Net realised Gain on investments Gain on forward foreign exchange contracts 1,026, Gain on foreign exchange 3, Net realised gain for the period 833, Net change in unrealised Depreciation on investments (3,646.27) Depreciation on forward foreign exchange contracts (624,871.74) Depreciation on foreign exchange (110,067.73) Net increase in net assets as result of operations 94, Movement in capital Subscriptions of units 43, Redemptions of units (2,161,430.31) Net movement in capital (2,118,343.32) Net assets at the beginning of the period 19,657, Net assets at the end of the period 17,634, The accompanying notes are an integral part of these financial statements. Page 11

12 Statistical information USD Units EUR Units AUD Units Yen Units Yen Units (for FOF investors) Number of units outstanding at the end of the year/period : March 31, ,841 42,754 21, , ,371,648 March 31, ,207 42,484 14,565 71, ,350,233 number of units issued ,165,909 number of units redeemed (2,653) (55) (700) (14,495) (30,215,907) September 30, ,554 42,429 13,865 57, ,300,235 Total net assets at the end of the year/period : USD EUR AUD JPY JPY March 31, ,406, ,930, ,319, ,043,717, ,370,346 March 31, ,066, ,040, ,708, ,810, ,795,080 September 30, ,768, ,991, ,638, ,289, ,267,534 Net asset value per unit at the end of the year/period : USD EUR AUD JPY JPY March 31, , March 31, , September 30, , Page 12

13 Notes to the financial statements (As at September 30, 2011) Note 1 - Activity and objectives MELLON OFFSHORE FUNDS (the Trust ) is an open-ended umbrella unit trust constituted by a Master Trust Deed dated October 14, 2003 entered into between the Trustee and the Manager. NIKKO GLOBAL CURRENCY FUND (the Series Trust ) is a separate series trust of the Trust constituted pursuant to the Master Trust Deed and a supplemental trust dated October 14, 2003 between CIBC Bank and Trust Company (Cayman) Limited (the Trustee ) and BNY Mellon International Management Limited (the Manager ). These financial statements are referring exclusively to the Series Trust. Classes of units AUD Units, EUR Units, USD Units, Yen Units and Yen Units (for FOF Investors) are available for issue. Yen Units (for FOF Investors) may only be subscribed for by fund of funds organised under the laws of Japan or such other Eligible Investors as may be determined by the Manager. An initial charge of up to 3 % of the relevant purchase price per unit plus any applicable tax thereon may, at the discretion of the Manager, be payable on each subscription of AUD Units, EUR Units, USD Units and Yen Units for the benefit of the Distributor. There is no initial charge for Yen Units (for FOF Investors). Investment objective and policies The investment objective of the Series Trust is to seek an absolute return over the medium to the long term through active currency management and investments in asset backed securities and money market instruments. Returns are generated from a combination of the yield on securities and returns generated by a currency overlay strategy. Page 13

14 Notes to the financial statements (continued) (As at September 30, 2011) Note 2 - Significant accounting policies Presentation of financial statements The financial statements are prepared in accordance with Luxembourg generally accepted accounting principles applicable to investment funds Valuation of investments in securities and other assets (a) Except in the case of any interest in a collective investment scheme to which paragraph (b) applies and subject as provided in paragraph (c) below, all calculations based on the value of investments quoted, listed, traded or dealt in on any securities market are made by reference to the last traded price or (if no last traded price is available) midway between the latest available market dealing offered price and the latest available market dealing bid price on the principal stock exchange or securities market for such investments, at or immediately preceding the relevant valuation point; (b) Subject as provided in paragraphs (c) and (e) below, the value of each interest in any collective investment scheme shall be the last published net asset value per unit or share in such collective investment scheme (where available) or (if the same is not available) the last published bid price for such unit or share at or immediately preceding the relevant valuation point in each case as supplied by the administrator or such party which is appointed to determine and provide the official pricing information on behalf of such collective investment scheme; (c) If no net asset value, bid and offered prices or price quotations are available as provided in paragraphs (a) or (b) above, the fair value of the relevant investment shall be determined from time to time in such manner as the Manager shall determine; (d) Except in the case of any interest in a collective investment scheme to which paragraph (b) above applies, the value of any investment which is not listed or ordinarily dealt in on a market shall be the initial value thereof equal to the amount expended out in the acquisition of such investment (including in each case the amount of stamp duties, commissions and other acquisition expenses) provided that the Manager may with the approval of the Trustee and shall at the request of the Trustee cause a revaluation to be made by a professional person approved by the Trustee as qualified to value such investment; (e) Notwithstanding the foregoing, the Manager may, with the consent of the Trustee, adjust the value of any investment or permit some other method of valuation to be used if, having regard to relevant circumstances, the Manager considers that such adjustment or use of such other method is required to reflect the fair value of the investment. Page 14

15 Notes to the financial statements (continued) (As at September 30, 2011) Note 2 - Significant accounting policies (continued) Conversion of foreign currencies Assets and liabilities expressed in other currencies than US Dollars are translated into US Dollars at exchange rates ruling at the end of the period. Transactions expressed in foreign currencies are translated into US Dollars at exchange rates prevailing at the transaction dates. Unrealised and realised gains and losses on foreign exchange translations are recognised in the statement of operations and changes in net assets in determining the result of the period Formation expenses Formation expenses have been fully amortised Forward foreign exchange contracts Forward foreign exchange contracts are valued at the forward rate applicable at the statement of net assets date for the remaining period until maturity Interest income Interest income is accrued on a daily basis Dividend income Dividends are credited to income on the date upon which the relevant securities are first listed as ex-dividend. Note 3 - Manager fees The Manager is entitled to receive out of the assets of the Series Trust a management fee at the rate of 1.4 % per annum of the net asset value attributable to the AUD Units, EUR Units, USD Units and Yen Units accrued on and calculated as at each valuation day and payable monthly in arrears. The Manager is also entitled to receive out of the assets of the Series Trust a management fee at the rate of 0.45 % per annum of the net asset value attributable to the Yen Units (for FOF Investors) accrued on and calculated as at each valuation day and payable monthly in arrears. The Manager will pay the fees of the Distributor out of the management fee received by it in respect of the AUD Units, EUR Units, USD Units and Yen Units and the fees of the Investment Manager out of the management fees received by it in respect of all classes of unit. The fees of the Sub-Investment Manager are paid by the Investment Manager. Page 15

16 Notes to the financial statements (continued) (As at September 30, 2011) Note 4 - Administrator fee The Administrator is entitled to receive out of the assets of the Series Trust a fee at a rate of 0.06 % per annum of the net asset value accrued on and calculated as at each valuation day and payable monthly in arrears. Note 5 - Custodian fee The Custodian is entitled to receive out of the assets of the Series Trust a fee at a rate of 0.04 % per annum of the net asset value accrued on and calculated as at each valuation day and payable monthly in arrears plus transaction fees and expenses. Note 6 - Trustee fee The Trustee is entitled to receive a fee of USD 20,000 per annum for the Trust payable quarterly in arrears. The Trustee s fee is payable out of the assets of the Series Trusts pro rata to the number of series trust in activity. Note 7 - Taxation Cayman Islands Under current tax laws in the Cayman Islands, there are no other taxes payable by the Series Trust. As a result, no provision for income taxes has been made in the accounts. Other Countries The Series Trust may be subject to withholding or other taxes on certain income sourced in other countries. Prospective purchasers should consult legal and tax advisors in the countries of their citizenship, residence and domicile to determine the possible tax or other consequences of purchasing, holding and redeeming units under the laws of their respective jurisdictions. Page 16

17 Notes to the financial statements (continued) (As at September 30, 2011) Note 8 - Forward foreign exchange contracts As at September 30, 2011, the following forward foreign exchange contracts were open : Forward foreign exchange contracts linked to the management of the currency exposure of the Series Trust : Currency Purchases Currency Sales Maturity date Unrealised appreciation/ (depreciation) USD 1,188, AUD 1,166, /12/11 63, USD 1,106, AUD 1,094, /12/11 50, USD 1,097, AUD 1,074, /12/11 60, USD 93, AUD 90, /12/11 5, USD 230, AUD 225, /12/11 13, AUD 508, USD 518, /12/11 (27,568.20) AUD 763, USD 774, /12/11 (38,592.57) AUD 1, USD 1, /12/11 (9.78) AUD 157, USD 152, /12/11 (233.98) AUD 503, USD 487, /12/11 (1,036.37) AUD 1,169, USD 1,134, /12/11 (6,217.98) AUD 1,169, USD 1,130, /12/11 (1,715.40) AUD 75, USD 74, /12/11 (1,692.13) AUD 175, USD 172, /12/11 (3,230.56) CAD 1,769, USD 1,789, /12/11 (96,680.18) USD 227, CAD 226, /12/11 11, CAD 925, USD 938, /12/11 (52,991.22) CAD 572, USD 581, /12/11 (33,522.02) CAD 1,419, USD 1,446, /12/11 (87,839.48) USD 107, CAD 106, /12/11 5, USD 160, CAD 159, /12/11 7, USD 1,954, CAD 2,019, /12/11 22, USD 1,267, CAD 1,303, /12/11 19, USD 1,261, CAD 1,303, /12/11 14, CAD 212, USD 207, /12/11 (3,907.39) CAD 642, USD 630, /12/11 (15,584.21) CAD 1,498, USD 1,467, /12/11 (33,078.44) JPY 52,604, USD 685, /12/ JPY 69,998, USD 913, /12/11 (1,740.27) JPY 68,612, USD 896, /12/11 (2,361.25) JPY 30,761, USD 401, /12/11 (995.62) JPY 26,772, USD 348, /12/ JPY 66,348, USD 864, /12/11 (46.52) JPY 27,634, USD 361, /12/11 (1,815.46) JPY 41,452, USD 543, /12/11 (3,215.67) USD 1,367, JPY 104,300, /12/11 8, USD 1,520, JPY 115,963, /12/11 8, USD 1,512, JPY 115,963, /12/11 1, JPY 36,022, USD 470, /12/11 (1,041.15) JPY 84,051, USD 1,097, /12/11 (2,635.80) NZD 1,565, USD 1,277, /12/11 (88,144.09) USD Page 17

18 Notes to the financial statements (continued) (As at September 30, 2011) Note 8 - Forward foreign exchange contracts (continued) As at September 30, 2011, the following forward foreign exchange contracts were open : Forward foreign exchange contracts linked to the management of the currency exposure of the Series Trust (continued) : Currency Purchases Currency Sales Maturity date Unrealised appreciation/ (depreciation) USD 276, NZD 338, /12/11 19, USD 189, NZD 229, /12/11 15, USD 468, NZD 568, /12/11 36, USD 356, NZD 435, /12/11 26, USD 533, NZD 653, /12/11 37, USD 456, NZD 588, /12/11 9, USD 453, NZD 588, /12/11 6, USD 250, NZD 317, /12/11 9, USD 581, NZD 741, /12/11 18, USD 2,522, NOK 14,377, /12/11 70, NOK 2,673, USD 478, /12/11 (22,566.93) NOK 593, USD 105, /12/11 (4,466.42) NOK 1,470, USD 262, /12/11 (11,705.92) NOK 2,461, USD 434, /12/11 (14,354.04) NOK 3,691, USD 652, /12/11 (22,541.59) NOK 152, USD 25, /12/ NOK 152, USD 25, /12/ USD 923, NOK 5,340, /12/11 13, USD 398, NOK 2,288, /12/11 8, SEK 3,432, USD 513, /12/11 (15,282.49) SEK 12,866, USD 1,914, /12/11 (44,747.84) SEK 4,259, USD 644, /12/11 (26,089.51) SEK 716, USD 107, /12/11 (3,288.08) SEK 1,776, USD 267, /12/11 (9,038.49) SEK 1,305, USD 196, /12/11 (6,601.40) SEK 1,957, USD 294, /12/11 (9,613.66) USD 558, SEK 3,842, /12/11 (1.34) USD 552, SEK 3,842, /12/11 (5,844.55) SEK 1,073, USD 158, /12/11 (3,045.48) SEK 2,503, USD 369, /12/11 (5,979.47) CHF 530, USD 606, /12/11 (18,195.71) USD 123, CHF 107, /12/11 4, USD 42, CHF 37, /12/11 1, USD 105, CHF 92, /12/11 3, CHF 21, USD 23, /12/11 (384.39) USD 63, CHF 57, /12/11 (227.34) USD 63, CHF 57, /12/11 (156.94) CHF 290, USD 324, /12/11 (2,189.94) CHF 124, USD 139, /12/11 (1,376.42) GBP 688, USD 1,088, /12/11 (17,465.83) USD Page 18

19 Notes to the financial statements (continued) (As at September 30, 2011) Note 8 - Forward foreign exchange contracts (continued) As at September 30, 2011, the following forward foreign exchange contracts were open : Forward foreign exchange contracts linked to the management of the currency exposure of the Series Trust (continued) : Currency Purchases Currency Sales Maturity date Unrealised appreciation/ (depreciation) GBP 1,433, USD 2,257, /12/11 (28,324.48) USD 470, GBP 297, /12/11 7, USD 390, GBP 247, /12/11 5, USD 967, GBP 613, /12/11 13, GBP 292, USD 460, /12/11 (4,731.29) GBP 439, USD 690, /12/11 (7,351.67) USD 1,321, GBP 860, /12/11 (16,679.05) GBP 410, USD 635, /12/11 3, GBP 410, USD 634, /12/11 3, USD 79, GBP 50, /12/ USD 444, GBP 283, /12/11 3, USD 1,032, GBP 661, /12/11 4, USD 496, GBP 317, /12/11 2, USD 727, GBP 466, /12/11 1, USD 5,533, EUR 4,039, /12/11 82, USD 2,302, EUR 1,678, /12/11 37, EUR 441, USD 612, /12/11 (16,932.25) EUR 273, USD 377, /12/11 (7,702.54) EUR 678, USD 934, /12/11 (19,475.53) USD 612, EUR 446, /12/11 9, USD 915, EUR 670, /12/11 11, USD 1,251, EUR 931, /12/11 (4,738.54) EUR 26, USD 35, /12/ EUR 26, USD 35, /12/ EUR 304, USD 414, /12/11 (4,073.32) EUR 709, USD 965, /12/11 (7,526.21) EUR 368, USD 500, /12/11 (3,723.16) EUR 540, USD 734, /12/11 (4,474.10) Total forward foreign exchange contracts linked to the management of the currency exposure of the Series Trust USD (118,643.99) Page 19

20 Notes to the financial statements (continued) (As at September 30, 2011) Note 8 - Forward foreign exchange contracts (continued) As at September 30, 2011, the following forward foreign exchange contracts were open : Forward foreign exchange contracts to cover the currency exposure of the Euro class : Currency Purchases Currency Sales Maturity date Unrealised (depreciation) EUR 1,969, USD 2,834, /10/11 (171,070.96) EUR 1,969, USD 2,834, /10/11 (171,132.03) EUR 9, USD 14, /10/11 (825.44) EUR 37, USD 53, /10/11 (1,999.65) EUR 58, USD 80, /10/11 (535.95) USD 59, EUR 43, /10/11 (168.88) Total forward foreign exchange contracts to cover the currency exposure of the Euro class USD (345,732.91) Forward foreign exchange contracts to cover the currency exposure of the Yen class : Currency Purchases Currency Sales Maturity date Unrealised appreciation/ (depreciation) USD 107, JPY 8,230, /10/11 (317.08) JPY 241,926, USD 3,164, /10/11 (10,032.71) JPY 241,936, USD 3,164, /10/11 (9,908.92) USD 13, JPY 995, /10/ JPY 4,133, USD 54, /10/11 (101.63) USD 43, JPY 3,326, /10/11 (371.89) JPY 4,486, USD 58, /10/ USD 38, JPY 2,943, /10/11 (382.91) USD 1, JPY 77, /10/11 (9.37) JPY 6,714, USD 87, /10/ USD 55, JPY 4,224, /10/11 (86.46) USD 44, JPY 3,356, /10/ USD 63, JPY 4,812, /10/ USD 21, JPY 1,604, /10/ USD 46, JPY 3,518, /10/ USD 37, JPY 2,828, /11/ Total forward foreign exchange contracts to cover the currency exposure of the Yen class USD (19,309.63) Page 20

21 Notes to the financial statements (continued) (As at September 30, 2011) Note 8 - Forward foreign exchange contracts (continued) As at September 30, 2011, the following forward foreign exchange contracts were open : Forward foreign exchange contracts to cover the currency exposure of the Yen class (for Fund of Fund investors) : Currency Purchases Currency Sales Maturity date Unrealised appreciation/ (depreciation) JPY 70,562, USD 923, /10/11 (2,926.22) JPY 70,565, USD 923, /10/11 (2,890.12) JPY 1,224, USD 16, /10/11 (30.12) JPY 1,547, USD 20, /10/ USD 39, JPY 3,016, /10/11 (337.30) JPY 2,006, USD 26, /10/ USD 19, JPY 1,451, /10/ Total forward foreign exchange contracts to cover the currency exposure of the Yen class (for Fund of Fund investors) USD (5,770.52) Note 9 - Exchange rates The exchange rates used as at September 30, 2011 are as follows : Currency Exchange rate Currency Exchange rate AUD NZD CHF NOK EUR JPY GBP CAD SEK USD Page 21

22 Statement of investments as at September 30, 2011 Nominal Description Currency Cost Market value Ratio* Transferable securities admitted to an official stock exchange or dealt in on another regulated market A. Asset backed securities USD USD % 1,000,000 FELMC A1 FRN 25NOV14 USD 216, , Total asset backed securities 216, , B. Bonds USD USD % 2,700,000 US T-BILL OCT11 USD 2,698, ,699, ,000,000 US T-BILL OCT11 USD 1,998, ,999, ,000,000 US T-BILL NOV11 USD 1,999, ,999, ,000,000 US T-BILL NOV11 USD 1,999, ,999, ,000,000 US T-BILL DEC11 USD 999, , ,000,000 US T-BILL DEC11 USD 999, , ,000,000 US T-BILL JAN12 USD 999, , ,000,000 US T-BILL FEB12 USD 999, , ,000,000 US T-BILL FEB12 USD 1,999, ,999, Total bonds 14,693, ,699, Total transferable securities admitted to an official stock exchange or dealt in on another regulated market 14,910, ,913, Total investments 14,910, ,913, (*) Weight of the market value against the total net assets expressed in %. The accompanying notes are an integral part of these financial statements. Page 22

23 Classification of investments Classification of investments by country and by economical sector Country Economical sector Ratio (%) * USA Central Government Debt issue Regional Agencies (*) Weight of the market value against the total net assets expressed in %. Page 23