LOMBARD ODIER FUNDS III

Transcription

1 LOMBARD ODIER FUNDS III Unaudited Semi-annual report Lombard Odier Funds III is an investment company with variable capital ( SICAV ) incorporated in Luxembourg RCS Luxembourg B

2 IMPORTANT This report does not constitute an offer of Shares. No subscription can be received on the basis of financial reports alone. Subscriptions can only be accepted on the basis of the current Prospectus or relevant Key Investor Information Document accompanied by the most recent annual report and subsequent semi-annual report if later than such annual report. The current Prospectus, the Key Investor Information Document, the Articles of Association, the annual and semi-annual reports as well as other notices to Shareholders may be obtained free of charge from the Registered Office of the Company. Specific information for Swiss subscribers are listed in the Supplementary Information. The issue and redemption prices of Shares may also be obtained from said Registered Office upon request.

3 Table of contents List of parties and addresses... 4 Statement of net assets Statement of operations and changes in net assets Statement of changes in the number of Shares outstanding Statistics Schedule of investments Recovery Convertible Bond... 7 Notes to the accounts Supplementary information Copies of the changes in the portfolio for the period ended 31 March 2012 may be obtained free of charge, upon request, from CACEIS Bank Luxembourg, Luxembourg. LO Funds III 31/03/2012 3

4 List of parties and addresses The Company Lombard Odier Funds III (in short LO Funds III) Registered Office 5, Allée Scheffer, 2520 Luxembourg, Grand Duchy of Luxembourg Board of Directors Chairman of the Board Bernard Droux (as from 22/11/2011) Partner, Lombard Odier & Cie (formerly named Lombard Odier Darier Hentsch & Cie) Alexandre Meyer (up to 22/11/2011) Executive Vice President, Lombard Odier Asset Management (Switzerland) SA Directors Francine Keiser (as from 22/11/2011) Of Counsel, Linklaters LLP Independent Director Jean-Claude Ramel (up to 22/11/2011) Independent Director Yvar Mentha (as from 22/11/2011) Independent Director Alexandre Meyer (as from 22/11/2011) Executive Vice President, Lombard Odier Asset Management (Switzerland) SA Patrick Zurstrassen Independent Director Management Company and Domiciliary Agent Lombard Odier Funds (Europe) S.A. 5, Allée Scheffer, 2520 Luxembourg, Grand Duchy of Luxembourg Directors of the Management Company Alexandre Meyer Executive Vice President, Lombard Odier Asset Management (Switzerland) SA Francine Keiser Of Counsel, Linlaters LLP Independent Director Patrick Zurstrassen Independent Director Yves Bersier (as from 26/03/2012) Executive Vice President, Lombard Odier Asset Management (Switzerland) SA Mark Edmonds (as from 26/03/2012) Senior Vice President, Lombard Odier Funds (Europe) S.A. 4 LO Funds III 31/03/2012

5 List of parties and addresses Dirigeants of the Management Company Yves Bersier (up to 29/02/2012) Executive Vice President, Lombard Odier Asset Management (Switzerland) SA Mariusz Baranowski (as from 15/02/2012) Vice President, Lombard Odier Funds (Europe) S.A. Mark Edmonds Senior Vice President, Lombard Odier Funds (Europe) S.A. Investment Manager Lombard Odier Asset Management (Europe) Limited Queensberry House, 3 Old Burlington Street, London W1S 3AB, United Kingdom Depositary, Central Administration Agent and Registrar, Transfer Agent and Paying Agent CACEIS Bank Luxembourg 5, Allée Scheffer, 2520 Luxembourg, Grand Duchy of Luxembourg Auditor PricewaterhouseCoopers S.à r.l. 400, Route d Esch, 1471 Luxembourg, Grand Duchy of Luxembourg Legal Adviser In Luxembourg Elvinger, Hoss & Prussen 2, Place Winston Churchill, 1340 Luxembourg, Grand Duchy of Luxembourg LO Funds III 31/03/2012 5

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7 LO FUNDS III RECOVERY CONVERTIBLE BOND Unaudited Semi-annual report Lombard Odier Funds III is an investment company with variable capital ( SICAV ) incorporated in Luxembourg

8 Statement of net assets as at 31/03/2012 Notes ASSETS Investments in securities at market value ( Acquisition cost : ) Cash and term deposits Interest and dividends receivable, net Formation/reorganisation expenses Unrealised appreciation on forward foreign currency exchange contracts LIABILITIES Management fees payable (3) Taxes and expenses payable NET ASSETS The accompanying notes form an integral part of these accounts. 8 LO Funds III - Recovery Convertible Bond 31/03/2012

9 Statement of operations and changes in net assets for the period from 01/10/2011 to 31/03/2012 Notes NET ASSETS AT THE BEGINNING OF THE PERIOD INCOME Dividends, net Interest on bonds, net Bank interest EXPENSES Management fees (3) Custodian and administration fees Taxe d'abonnement (4) Domiciliary and transfer agent fees Auditing and professional fees Publication, marketing and printing expenses Bank interest and charges Other expenses Formation/Reorganisation expenses NET INVESTMENT INCOME Net equalisation on net investment income/loss NET INCOME FOR THE PERIOD Net realised loss on sale of investments Net realised gain on foreign exchange Net realised loss on forward foreign currency exchange contracts NET REALISED LOSS Net equalisation on net realised gain/loss NET REALISED LOSS AFTER EQUALISATION Change in net unrealised appreciation or depreciation on investments Change in net unrealised appreciation or depreciation on forward foreign currency exchange contracts NET INCREASE IN NET ASSETS AS A RESULT OF OPERATIONS AFTER EQUALISATION Net redemptions NET ASSETS AT THE END OF THE PERIOD ( ) ( ) ( ) ( ) ( ) ( ) The accompanying notes form an integral part of these accounts. LO Funds III - Recovery Convertible Bond 31/03/2012 9

10 Statement of changes in the number of shares outstanding for the period from 01/10/2011 to 31/03/2012 Number of Shares 01/10/2011 Number of Shares issued Number of Shares redeemed Number of Shares 31/03/2012 Recovery Convertible Bond - A Recovery Convertible Bond - B ( ) ( ) Statistics For the period ended 31/03/ /09/ /09/2010 Recovery Convertible Bond - A Net assets Net asset value per share Recovery Convertible Bond - B Net assets Net asset value per share The accompanying notes form an integral part of these accounts. 10 LO Funds III - Recovery Convertible Bond 31/03/2012

11 Schedule of investments as at 31/03/2012 Number of Shares or Nominal Value Investment Quotation Currency Market Value % of Net Assets Investments in securities at market value Transferable securities admitted to an official stock exchange listing and/or dealt in on another regulated market BONDS BERMUDA SEADRILL /10S CAYMAN ISLANDS SHUI ON LAND LTD /02S FRANCE CEGEDIM /07S LUXEMBOURG WIND ACQUI.FIN REGS /07S MEXICO DESARROLLADOR HOMEX /03S DESARROLLADOR HOMEX /03S UNITED KINGDOM AFREN PLC /04S JAGUAR LAND ROVER /03S GBP UNITED STATES HORNBECK OFFSHORE /04S CONVERTIBLE BONDS AUSTRALIA PALADIN ENERGY CV /11S PALADIN ENERGY CV /03S AUSTRIA STEINHOFF FIN H REGS /03S BERMUDA PACIFIC ANDES SUB-CV /04S BRITISH VIRGIN ISLANDS GLORY RIVER HLDG CV /07S HKD NEW WORLD DEV. CV /06U HKD PB ISSUER N2 CV /04S CANADA DETOUR GOLD CORP CV /11S PETROBANK ENERGY CV /02S PETROMINERALES CV /08S CAYMAN ISLANDS MAOYE INTL CV (SHS) /10S HKD POLARCUS CV /04S SHUI ON LAND LTD CV /09S CNH FINLAND TALVIVAARA MINING CV /12S FRANCE FONCIERE DES REGIONS /01S The accompanying notes form an integral part of these accounts. LO Funds III - Recovery Convertible Bond 31/03/

12 Schedule of investments as at 31/03/2012 Number of Shares or Nominal Value Investment Quotation Currency Market Value % of Net Assets INDIA JAIPRAKASH ASSOC CV /09U JAIPRAKASH POWER CV /02A SINTEX INDUSTRIES /03U TATA STEEL CV /11S LUXEMBOURG KLOECKNER & CO. CV /12A NORWAY MARINE HARVEST CV /02S SPAIN PESCANOVA CV /02S TAIWAN AU OPTRONICS CV /10U THE NETHERLANDS CELESIO CV /10A CELESIO FINANCE CV /04A UNITED STATES ADVANCED MICRO CV /05S AMYLIN PHARMA. CV /06S ARES CAPITAL CV /06S DENDREON CV /01S HOLOGIC INC CV /12S ILLUMINA CV 144A /03S LIVE NATION ENT CV /07S MASSEY ENERGY CO /08S OMNICARE CV /12S OWENS BROCKWAY /06S SUNPOWER CV /03S Currency Amount bought Maturity Currency Amount sold Unrealised appreciation/ (depreciation) % of Net Assets Forward Foreign Currency Exchange Contracts /04/2012 CNY /04/ ( ) (0.03) /04/2012 GBP ( ) 0.00 SEK /04/ ( ) 0.00 CNY /04/ /04/2012 SEK ( ) (0.01) /04/ /04/2012 HKD The accompanying notes form an integral part of these accounts. 12 LO Funds III - Recovery Convertible Bond 31/03/2012

13 LOMBARD ODIER FUNDS III Notes to the Accounts Lombard Odier Funds III is an investment company with variable capital ( SICAV ) incorporated in Luxembourg

14 Notes to the accounts NOTE 1. The Company Lombard Odier Funds III, in short LO Funds III, (the Company ) is organised as a Société d Investissement à Capital Variable ( SICAV ) under the Law of 10 August 1915 of the Grand Duchy of Luxembourg, as amended, (the 1915 Law ) and is qualified under Part I of the Law of 17 December 2010 (the 2010 Law ) relating to undertaking for collective investment in transferable securities ( UCITS IV ). The Company was initially set-up as a société d'investissement à capital variable - fonds d'investissement spécialisé incorporated on 25 June 2009 as a stand alone SICAV. Further to an Extraordinary General Meeting held on 18 June 2010, the Company was transformed in an undertaking for collective investment in transferable securities (UCITS) in the form of a société d'investissement à capital variable under part I of the Law of 20 December 2002 and its name was changed from Lombard Odier Recovery Convertible Bond Fund into Lombard Odier Funds III. The Articles of Incorporation of the Company (the Articles ) were last amended on 21 November 2011 and were published in the Mémorial, Recueil des Sociétés et Associations on 19 December The minimum share capital of the Company is the equivalent of As at 31 March 2012, the following Sub-Fund was active: Recovery Convertible Bond The Company issues ordinary Shares ( B Shares) opened to all investors and Founder Shares ( A Shares) reserved to the investors which have invested during the initial subscription period. NOTE 2. Significant Accounting Policies The following is a summary of the significant accounting policies followed by the Company: Presentation of the Financial Statements The accompanying financial statements have been prepared in accordance with generally accepted accounting principles in the Grand Duchy of Luxembourg. The net asset value at the period-end was calculated on the basis of exchange rates and closing prices of 30 March The net income and the net realised gain/loss as disclosed in the Statement of Operations and Changes in Net Assets have been determined by using the accounting practice known as equalisation. Equalisation net income An equalisation account is operated in order to avoid fluctuations in the net undistributed income attributable to Shares issued or redeemed. The account is credited with the equalisation amount included in the subscription price of the Shares issued and debited with the equalisation amount paid on redemption. On payment of a dividend, the balance of the equalisation account is included in the amount available for distribution to the Shareholders of those Classes. Equalisation realised gains and losses An equalisation account is operated in order to avoid fluctuations in the realised gains and losses attributable to Shares issued or redeemed. Equalisation is calculated on realised gains and losses arising from the disposal of investments, options, foreign exchange and forward foreign currency exchange contracts. The account is credited with the equalisation amount included in the subscription price of the Shares issued and debited with the equalisation amount paid on redemption. Investments All securities listed on a Stock Exchange or traded on any other regulated market are valued at the last available price on such stock exchange or market. If a security is listed on several Stock Exchanges or markets, the last available price on the Stock Exchange or market which constitutes the main market for such security will be prevailing. The Investments in underlying target funds are valued on the basis of the latest net asset value of the target funds, as reported or provided by underlying target funds administrators, managers, market makers or other sources believed to be reliable. Securities not listed on any Stock Exchange or traded on any regulated market are valued at their last available market price. Securities for which no price quotation is available, or for which the price referred to in the preceding paragraphs is not representative of the fair market value are valued prudently and in good faith on the basis of their reasonably foreseeable sales prices. The recorded fair-value may not represent the proceeds which would be realised upon sale in due course. When appropriate, commercial papers and money market instruments are valued on an amortised cost basis. Dividend and Interest Income Dividends are recognised as income on the "ex-date". Interest income is recorded on an accrual basis. Securities Lending Income Securities lending income is recognised on a cash basis and recorded in the accounts under the heading "Other financial income". Net Realised Gain/Loss on Sales of Investments The net realised gain/loss on sales of investments is determined on the basis of the average cost of investments sold. 14 LO Funds III 31/03/2012

15 Notes to the accounts Translation of Foreign Currencies In the Sub-Fund any assets or liabilities expressed in currencies other than the reference currency are translated into the reference currency at the prevailing market rate at the time of valuation. Transactions expressed in foreign currencies are translated at the rates ruling when they arose. Formation/Reorganisation Expenses Formation/reorganisation expenses are amortized over 5 years. Open Forward Foreign Currency Exchange Contracts Outstanding forward foreign currency exchange contracts are valued at the closing date by reference to the rate of exchange applicable to the outstanding life of the contract. The movement in unrealised appreciation or depreciation is shown in the Statement of Operations and Changes in Net Assets. The unrealised appreciation/depreciation is included in the Statement of Net Assets in "Unrealised appreciation of forward foreign currency exchange contracts" and "Unrealised depreciation of forward foreign currency exchange contract" respectively. Futures and Options Futures and Options are valued at their liquidating value based upon the settlement price on the exchange on which the particular future or option is traded. Abbreviations FRN, FL.R: Floating Rate Notes XX: Perpetual Bonds U: Unique Term CV: Convertible RCV: Reverse Convertible Q: Quarterly A: Annual S: Semi-Annual M: Monthly NOTE 3. Management Fees and Performance Fees The Company has entered into an Management Agreement with Lombard Odier Funds (Europe) S.A. (the Management Company ), a private company with limited liability incorporated in Europe, to act as the Management Company of the Company. The Management Company is subject to Chapter 15 of the 2010 Law. For the Sub-Fund available for subscription, the Management Company receives annual Management Fees as detailed below. The Management Company pays the compensation of the Investment Manager out of these fees. Management Fees are calculated and accrued daily on the net asset value of each Sub-Fund and payable monthly in arrears. Sub-Funds Share Class Management Fees Recovery Convertible Bond A 0.90% 1) Recovery Convertible Bond B 0.90% 1) Change from 0.70% to 0.90% on 01/11/2011 Management Fees are calculated and accrued daily on the net asset value of each Sub-Fund and payable monthly in arrears. The Management Company is also entitled to a Performance Fee (the Performance Fee ) applicable only on B Shares. The Performance Fee corresponds to 15% of the outperformance of the net asset value of B Shares above a Hurdle rate of 10% p.a. (compounded), provided however that such Performance Fee will only be paid to the Management Company if the net asset value per Share of B Shares on the last business day of each financial year exceeds the last net asset value per Share of B Shares on which the Management Company has previously earned a Performance Fee (High Watermark). The Performance Fee is payable yearly in arrears at the end of each financial year. At period-end, no Performance Fee was accrued. NOTE 4. Taxes Taxe d'abonnement For the period ended 31 March 2012, the Company was subject to the tax on Luxembourg UCITS, at a rate of 0.01% per annum on A Shares ( Founder Shares which are restricted to institutional investors within the meaning of the 2010 Law, as amended) and at a rate of 0.05% per annum on B Shares ( Ordinary Shares ). The "taxe d'abonnement" is waived for that part of the Company invested in units of other undertakings for collective investment that have already paid "taxe d'abonnement" in accordance with the statutory provisions of Luxembourg Law. LO Funds III 31/03/

16 Notes to the accounts Other Taxes Under applicable foreign tax laws, withholding taxes may be deducted from interest, dividends and capital gains at various rates. NOTE 5. Co-Management No assets of the Company were co-managed with assets of other Luxembourg collective investment funds. NOTE 6. Securities Lending The Company has not been engaged in securities lending transactions. NOTE 7. Soft Commission During the period, the Investment Manager has not made use of any third party soft commission arrangements. NOTE 8. Amendments to the Prospectus Effective on 22 November 2011, the following changes were implemented in the Prospectus: adaptations to the 2010 Law: o Possibility to use the merger techniques described it the 2010 Law; o Any reference to the simplified Prospectus is replaced with a reference to the Key Investor Information Document when applicable; o Possibility for the Sub-Funds to invest into other Sub-Funds of the Company; o Determination of a cut-off time for the determination of the quorum and majority rules of General Meetings of Shareholders. 16 LO Funds III 31/03/2012

17 LOMBARD ODIER FUNDS III Supplementary Information Lombard Odier Funds III is an investment company with variable capital ( SICAV ) incorporated in Luxembourg

18 Supplementary information 1. Total Expense Ratio The Total Expense Ratio ("TER") expresses, as a percentage of the average net assets, the sum of all operating expenses (excluding brokerage securities, transactions charges and bank interest) charged to the Sub-Fund during the respective twelve-month period. For Sub-Funds which invest more than 10% of the net assets in other funds, a synthetic TER is computed. It represents the sum of the TER of the Sub-Fund and the underlying funds TER, less any rebates received from the underlying funds. The underlying funds TER is the prorated TER of the underlying funds weighted on the basis of their proportion in the net assets at period-end. The TER are disclosed in accordance with the Swiss Funds Association (SFA) requirements. The TER has been presented on an annual basis which may give rise to distortions. Sub-Funds Class Management Fees Fund TER TER with 31/03/2012 3) performance 31/03/2012 3) Share of performance fee 31/03/2012 3) Fund TER TER with 30/09/2011 2) performance fee 30/09/2011 2) Share of performance fee 30/09/2011 2) % % % % % % % Recovery Convertible Bond A ) 0.89 n.a. n.a n.a. n.a. Recovery Convertible Bond B ) Annualised from date of first subscription 2) Calculated over twelve months, from 01/10/2010 to 30/09/2011 3) Calculated over twelve months, from 01/04/2011 to 31/03/2012 4) Change from 0.70% to 0.90% on 01/11/ Portfolio Turnover Ratio The PTR are disclosed in accordance with the Swiss Funds Association (SFA) requirements as per following formula: PTR = (Total 1 - Total 2) * 100 Average net assets in currency units Total 1 = Total securities transactions Total 2 = Total transactions involving units of the collective investment scheme Sub-Fund PTR 31/03/2012 3) % PTR 30/09/2011 2) % PTR 30/09/2010 1) % Recovery Convertible Bond ) Calculated from date of first subscription 2) Calculated over twelve months, from 01/10/2010 to 30/09/2011 3) Calculated over twelve months, from 01/04/2011 to 31/03/ Performance The performance is disclosed in accordance with the Swiss Funds Association (SFA) requirements. Sub-Funds Class Currency 31/12/2011 1) ) ) Recovery Convertible Bond A (4.38) - - Recovery Convertible Bond B (4.79) - - 1) Performance since 1 January or since date of launch if later than 1 January 2) Annualised return (full years only) Past performance is no indication of current or future performance. This performance data does not take account of any commissions or costs incurred on the issue and redemption of Shares 18 LO Funds III 31/03/2012

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