Report and Audited Financial Statements For the year ended ... · (an open-ended variable capital...

CHEYNE SELECT UCITS FUND plc

(an open-ended variable capital investment company incorporated under the laws of Ireland pursuant

to the European Communities (Undertakings for Collective Investment in Transferable Securities

Regulations 2011).

Report and Audited Financial Statements

For the year ended 31 December 2015

Registration No: 472277


1

CONTENTS

Page

Company Information 2

Investment Manager’s Reports 3-8

CPO Affirmation 9

Directors’ Report 10-13

Statement of Directors’ Responsibilities 14

Report of the Custodian to the Shareholders 15

Statement of the Custodian’s Responsibilities 16

Independent Auditor’s Report 17-18

Aggregated Statement of Financial Position 19

Aggregated Statement of Comprehensive Income 20

Aggregated Statement of Changes in Net Assets Attributable to

Holders of Redeemable Shares

21

Aggregated Statement of Cash Flows 22

Notes to the Aggregated Financial Statements 23-39

Financial Statements for the Funds:

Cheyne Convertibles Absolute Return Fund 40-67

Cheyne European Real Estate Bond Fund (In Wind Down) 68-88

Cheyne Global Credit Fund 89-119

Cheyne South East Asia Long/Short (Malacca) Fund (In Wind Down) 120-140

Cheyne European Mid Cap Equity Fund 141-166

Portfolio Statement 167-186

Significant Portfolio Changes (Unaudited) 187-195

Additional Information (Unaudited) 196


2

COMPANY INFORMATION

DIRECTORS

Jeff Bronheim (British resident) ²

Ronan Daly (Irish resident, resigned 1 January 2016) 1

John Skelly (Irish resident) 1

Bronwyn Wright (Irish resident, appointed 1 January 2016) 1

1 independent non-executive Directors

2 non-executive Director

REGISTERED OFFICE

1 North Wall Quay

Dublin 1

Ireland

INVESTMENT MANAGER AND PORTFOLIO

SUPPORT MANAGER INVESTMENT ADVISOR

Cheyne Capital Management (UK) LLP Cheyne Capital International L.P.

Stornoway House Mercury House

13 Cleveland Row 1st Floor, 101 Front Street

London SW1A 1DH Hamilton HM12

United Kingdom Bermuda

ADMINISTRATOR AND SECRETARY

Citibank Europe plc

1 North Wall Quay

Dublin 1

Ireland

AUDITORS CUSTODIAN*

KPMG LLP Citi Depositary Services Ireland Limited

15 Canada Square 1 North Wall Quay

Canary Wharf Dublin 1

London, E14 5GL Ireland

United Kingdom

LEGAL ADVISORS

(as to Irish law) (as to United States and English law)

Dechert LLP Dechert LLP

Riverside Two 160 Queen Victoria Street

Sir John Rogerson’s Quay London EC4V 4QQ

Dublin 2 United Kingdom

Ireland

**With effect from 9 November 2015, Citibank International Limited, Ireland Branch was replaced with Citi

Depositary Services Ireland Limited as depositary of the Company, pursuant to a deed novation to the

services agreement Citibank International Limited, Ireland Branch and Citi Depositary Services Ireland

Limited entered into between these parties to effect the change of depositary of the Company.


3

INVESTMENT MANAGER’S REPORTS

Cheyne Convertibles Absolute Return Fund

The Cheyne Convertibles Absolute Return Fund Class S2 (EUR) returned 2.1% in 2015 with annualised

volatility of 4.1%. This compares with the Bank of America Merrill Lynch Global 300 Convertible Bond Index

which returned 3.9% over the same time period with annualised monthly volatility of 6.8%, the MSCI AC

World Local Equity Index, which returned -0.7% (volatility 13.0%), and the Dow Jones Corporate Bond

Index, which returned -3.5% (volatility 5.1%).

2015 was a year characterised by rising volatility. The year began with markets buffeted by the continued

fall in oil prices and concerns regarding the economic and political situation in Europe. Two notable Central

Bank events ensued in early 2015, the first from the SNB, removing the Swiss Franc’s peg to the Euro and

the latter from the ECB announcing a new round of quantitative easing. While the former caused a spate of

volatility in FX markets, the latter was to spark a Eurozone equity rally that would continue throughout Q1.

Asian markets also found support at the beginning of 2015 with the Chinese SHCOMP Index , surging on

domestic equity account openings and government regulatory changes, posting a +32% return in H1 2015

after hitting a high of +60%. Dovish tones from the US Fed similarly resulted in the S&P 500 reaching a

record level in early Q1 2015, however this high was short lived.

Volatility dominated the financial markets in H2 2015. With concerns still present regarding Eurozone

politics, Chinese economic slowdown, and a looming rate hike decision from the US Fed weighing heavily,

markets capitulated in August stimulated by the PBOC’s surprise yuan devaluation. Unlike July’s Greek-

related instability, this time broader developed markets were unable to escape the fallout with both the

EuroStoxx 50 and the S&P 500 indices finding a year to date nadir on August 24th’s “Black Monday”. As

the year drew to a close, 2015 ended how it began, with Central Banks dominating headlines and

commodities and oil continuing their downward spiral. December housed the first US Fed rate hike since

2006 and in turn ended a key hangover of the financial crisis. Conversely, December also saw further

monetary stimulus undertaken in Europe by the ECB. The contrasting actions of the central banks

underlined the sharp divergence in policies and economic trajectories either side of the Atlantic. China

similarly continued to present weak economic data, further supporting the speculation of further stimulus

action from the PBOC. All this served to dampen the usual year-end optimism culminating in global equities

(Source: MSCI AC World Local Equity Index) recording their worst annual performance since 2011.

Convertible bonds, owing to their asymmetric profile, mitigated participation in the equity market sell offs

over 2015 while capturing considerable amounts of market upticks. Consequently the asset class

outperformed global equities over the year, with a gain of +3.9% (Source: Bank of America Merrill Lynch

Global 300 Convertible Bond Index) Similar to 2014, valuations ended the year at the cheaper end,

presenting an attractive convexity profile for the asset class as we enter 2016.

Convertible new issuance was disappointing in 2015, with global supply only reaching $82 billion, a ~16%

decrease vs 2014 (Source: UBS). Encouragingly though, all regions were still well represented with the US

continuing to be the standout region with just under half of the new supply. A swell of mandatory issuance

was also a noteworthy trend in 2015 with the two largest deals of the year being mandatory issues, the

$5.060bn Actavis PLC deal announced in February and the more recent $3.375bn Teva Pharmaceuticals

deal announced in early December.

As we look ahead to 2016, a quick recap of the year’s performance shows that convertibles were the top

performing asset class against world equities (MSCI AC World -0.70%), global investment grade bonds

(BoAML Global IG -0.23%), and global high yield (BoAML Global HY -2.07%). The investment landscape

reflects all the features that should allow continued outperformance for the asset class, namely rising market

volatility, rising rates, increased corporate activity and diverging global economic trajectories. We continue

to uphold the asset class as an attractive risk-reward proposition and see a healthy opportunity set for the

Fund’s strategy into 2016.


4

INVESTMENT MANAGER’S REPORTS (Continued)

Cheyne European Real Estate Bond Fund

The Cheyne European Real Estate Bond Fund launched on 1 April 2012 to offer investors access to a

portfolio of European real estate bonds, managed by Cheyne’s award-winning real estate debt team, in a

UCITS-compliant structure. The fund launched with the mandate to invest in senior, investment grade

European real estate bonds, typically backed by high quality prime real estate assets in the UK and

Germany. Investments are chosen with the aim of ensuring a high degree of seniority and collateral

coverage. The portfolio is long-only (apart from currency hedging) and does not use leverage.

The fund delivered a return of -1.6% (Class I1 EUR) to 31 July 2015.

The first half of 2015 could be better described as a tale of two halves. The start of the year was positive for

European markets, with the implementation of the ECB QE program and better than expected economic

data. However, the second quarter started with Bunds selling-off and volatility increasing as core markets

re-priced the risk premium. Finally, sentiment deteriorated in June with the heightening risk of a Greek exit

from the European Union.

The fund continued its progress in rotating out of legacy bonds and into new issuance and whilst we

believed there was still relative value within senior, investment grade European real estate bonds, given the

fund’s performance, we continued to monitor the fund’s viability

In May, further to a re-evaluation of the Fund’s fee structure, we took the decision to significantly reduce

the fees to bring them into better alignment with its return profile. As of 22nd May, the management fee for

the institutional share classes was reduced to 0.60%, and for the distributor share classes was reduced to

0.90%. In addition, the Fund no longer charges any performance fees. This reflects the tighter yields in

European MBS, which are markedly different from those present during the Fund’s launch in 2012. The

lower fee structure aims help to mitigate some of the volatility that is growing in European fixed income

markets.

Despite the reduction in fees and the fund’s track record of +3.6% annualised returns with a +1.8%

annualised volatility over its three year life, we saw a decline in client demand for the product.

Consequently, we believed the fund was no longer viable in the current environment and took the decision

to close the fund.


5


Cheyne Global Credit Fund

Investment-grade credit spreads reached post-Lehman tights in March 2015, coincident with the European

Central Bank (ECB)’s decision to initiate a €1.1trn quantitative easing programme, in response to stubbornly

sub-target inflation and poor growth prospects in the Eurozone. However, the decision of the Syriza-led

Greek government to put an EU/ECB/IMF-coordinated bailout to a referendum and its subsequent

overwhelming rejection by Greek voters threatened a Greek default and a fracturing of the Eurozone’s

fragile consensus, which catapulted spreads 70% wider by early July. While Greece’s subsequent

capitulation saw spreads retest April levels, misgivings about the sustainability of Chinese growth replaced a

‘Grexit’ as investors’ main concern and culminated in spreads again reaching near-July wides with the

Chinese government’s devaluation of the Yuan in mid-August. In response to the disruption in financial

markets, the Federal Reserve, which had guided confidently towards an end to zero-lower bound in

September, eschewed a rate rise and, in doing so, undermined its credibility. Spreads exceeded July levels

in the consequent volatility, and, although calmed somewhat by Draghi’s putative willingness to expand the

ECB’s asset buying programme in December, remained both elevated and volatile as deteriorating Chinese

(and EM) growth and its consequences for oversupplied oil and commodities markets spilled over into a

sharp increase in distressed trading in US high yield, with over 80% of US high yield mineral credits and

over 50% of oil and gas credits trading at spreads of over 1000bps by December – the highest level since

August 2009. The ECB’s rather defensive December statement and failure to expand purchases in line with

Draghi’s earlier assurances did nothing for investor sentiment going into year-end. We have seen a degree

of decompression between investment-grade and speculative-grade spreads from the March 2015 tights,

which has gathered pace at the beginning of 2016, as defaults in US high yield look set to increase and

distress to spread beyond energy and minerals sectors.

We note that most investment-grade corporates, which remain flush with cash, have manageable maturity

runways and ample access to alternative liquidity, should remain relatively untainted fundamentally by the

fallout from high yield, although we have seen quite sharp downgrades of energy and minerals-related

credits. Flaccid top-line growth has encouraged a degree of releveraging to finance synergistic M&A and an

increase in dividend/buyback activity. To date, the releveraging in investment-grade has been concentrated

in single-A names, which have the wherewithal to do so and still retain solid investment-grade ratings. Co-

ordinated guidance by a troika of US bank regulators, in concert with growing risk aversion in the loan

market, has forestalled a rise in LBOs. Most buybacks remain funded from cash flow, with managements

redirecting cash from growth capex before releveraging. While a degree of spread contagion to investment

grade cannot be avoided, we note that investment-grade corporate credit continues to offer a compelling

risk-reward trade-off, with spreads on the iTraxx Main index of European investment-grade credit pricing in

implied 5-year default rates of over 7% compared to an average realised 5-year default rate over the last 45

years of 1.1% and the worst realised 5-year default rate of 2.4%.

The Cheyne Global Credit Fund – Class GC-I1 returned -2.3% in 2015, with annualised returns since

inception in April 2012 of 4.4% and Annualised Volatility of 3.8%.

Having taken protective action in the portfolio during 2015 we are confident that it is well positioned going

into 2016. High grade credit spreads can perform well in a variety of economic growth scenarios. During

2016 we expect the ECB to increase its stimulus and the Fed to hike rates more slowly than is currently

priced in. We anticipate a continuation of the turmoil in commodity markets in the short term and expect the

market to further differentiate between high and low quality companies. M&A activity will likely continue in

earnest as companies seek to avail of synergies to protect against sluggish revenue growth and whether we

deem a deal to be attractive will focus on the proposed financing methods.


6


Cheyne South East Asia Long/Short (Malacca) Fund

The macro environment for South East Asian markets during the period was dominated by the headwinds of

slowing consumption and increased political noise. These factors, together with the threat of the US Federal

Reserve raising interest rates from their current near-zero levels meant that trading conditions were

challenging. The dollar continued its inexorable rise against most currencies, against a backdrop of many

central banks seeking to tack in the opposite direction to the Fed by easing monetary policy, while at the

same time maintaining currency stability. This has been especially difficult in economies such as Indonesia

and Malaysia, with currencies in both countries recently hitting multi-year lows.

The strongest contributors in the period came from high conviction longs such as Q&M Dental Group,

Indonesian retailers Matahari Department Store and its sister company Matahari Putra Prima, conglomerate

GT Capital in the Philippines and from high conviction shorts such as Genting Singapore and Sembcorp

Marine.

Moves by the new Jokowi administration dominated the headlines in Indonesia with a barrage of new

regulation on sectors as diverse as cement, low-cost mortgages and tobacco. The new government’s

doctrine to deliver faster and more productive growth, principally via infrastructure spending, is not without

risks and market participants have become wary of excess intervention despite the long-term benefits.

Sluggish earnings growth added to the negative sentiment on the currency which is battling against the

sceptre of a relatively high current account deficit.

The political environment in Malaysia has been volatile, with Prime Minister Najib Razak’s position

weakened by the scandal surrounding the financially weak 1MDB, a sovereign fund closely associated with

the PM’s inner sanctum. In addition, the low oil price has applied substantial pressure to the government’s

finances as the dividend from Petronas, the state-owned oil giant, was curtailed. The Fund therefore

maintained a negative bias to its Malaysian exposure, with positive results from both weak equities and

currency.

A recovery in Thailand’s economy following 2014’s bloodless military coup has been elusive. Inflation is

negative and the Bank of Thailand has cut interest rates to record lows. This has helped the share prices of

companies with a high dividend yield in which the Fund concentrated its Thai exposure.

The Philippines maintained its status as the stand-out growth economy in the region, the combined following

tail winds of the low oil prices, strong overseas Filipino workers remittances and the extraordinary success

of the business process outsourcing industry all having a structurally positive affect on growth. This has

driven equity valuations to a premium to the regional peers and, with earnings growth underpinned by the

positive environment for both consumers and business, this is likely to continue. The Fund’s exposure to the

Philippines was centred on companies with substantial interest in growth sectors such as property

(Megaworld, Vista Land), consumer good and services (Universal Robina, GT Capital, Robinsons Retail).

Overall the Fund returned -0.3% (Class I1 USD) YTD to the 24th April 2015, after which the Fund was

closed.


7


Cheyne European Mid Cap Equity Fund

The Cheyne European Mid Cap Equity Fund performed well in 2015, delivering an overall return of 6.3%

(Class I1 USD, net of fees) with volatility of 5.2%, equating to a Sharpe Ratio of 1.2 (risk free rate of average

one month USD LIBOR). Our strategy of maintaining a low net exposure profile helped the portfolio to

weather a volatile equity market, with sharp changes in investor sentiment over the course of the year.

The long book contributed 24.4% on average net exposure of 96.2%, thereby significantly outperforming the

Stoxx Europe Mid 200 Index which returned 15.5% for the year.

The single stock short book detracted -8.8% on average net exposure of -57.4%, a return which was broadly

in line with exposure-adjusted performance of the index. Index shorts and tail risk hedges detracted a further

-4.9%.

On the long side of the book, the largest three contributors were:

(i) +3.3% from Pandora, a Danish jewellery group. We added to our position size at the start of the year

on the back of a broker downgrade we disagreed with based on our fundamental analysis. The share price

rallied materially over the course of the year. We remain long as we see further growth opportunities

including new product categories, expansion of the company’s store network (notably in Asia) and online

growth. The share price offers a compelling valuation, in our view, supported by solid cash flow.

(ii) +2.1% from USG People, an employment services company headquartered in the Netherlands. The

company’s share price rallied over the course of the year, and jumped further in December following a bid

by a Japanese group.

(iii) +2.0% from Paddy Power, an Irish sports betting and gaming group. We initiated a position in July

2015 ahead of interim results, expecting a significant upgrade to FY15 numbers. We believed the market

consensus was underestimating the company’s growth momentum and operating leverage. The August

2015 results were indeed stronger than expected, profit guidance was raised and a potential merger with a

competitor was announced. We added to the position on the deal announcement, as we viewed it as an

attractive combination that offers significant scale benefits to generate revenue and cost synergies.

Notable detractors were:

(i) -0.7% from Solvay, a Belgian chemicals manufacturer. The market reacted negatively to the company’s

acquisition of a US specialty chemicals player, despite strong Q3 earnings.

(ii) -0.6% from Renault, the French carmarker. The share price was volatile throughout the year, notably in

the autumn when it sold off sharply on the VW emissions scandal.

(iii) -0.5% from Duerr, a German paint products supplier to the auto industry. The share price fell on

concerns over a Chinese slowdown which we believe are unfounded.


8


Cheyne European Mid Cap Equity Fund (continued)

On the short side of the book, the largest three contributors were:

(i) +0.5% from Fortum, a utility group operating in the Nordics and Russia. We initiated a short position at

the start of the year, as we believe the company’s disposal of its Swedish distribution assets have resulted

in an overcapitalised balance sheet and few attractive options for reinvesting the sales proceeds. More

generally, falling power prices have led to downward pressure on core earnings.

(ii) +0.5% from Koninklijke BAM, a construction group based in the Netherlands. The share price fell in the

second quarter of the year and we took the opportunity to realise profits from this investment.

(iii) +0.5% from Prosegur Cia de Seguridad, a Spanish security and transportation company. The share

price fell over the course of the year as the company’s earnings showed a clear growth slowdown. The

company is exposed to currency risk in its Argentinian operations, and there is a clear possibility that

Argentina will decide to devalue its currency.

Notable detractors were:

(i) -1.1% from Buzzi Unichem, an Italian building materials group, whose share price was lifted by

consolidation in the cement sector despite earnings deterioration within its own business.

(ii) -0.8% from STADA Arzneimittel, a German pharma company, whose share price rallied over the year

on hopes of sector consolidation despite a profits warning towards the end of the year.

(iii) -0.7% from Colruyt, a Belgian food retailer. We believe Colruyt is a very well-run company, however,

we find the valuation excessive with earnings risk over the near term from heightened competition in its

markets.

Looking forward, we maintain conviction in our investment approach, where we choose not to chase beta or

try to time the market but prefer to keep our focus on fundamentals and earnings whilst keeping a sharp eye

on the macro backdrop with overall low directionality. This has been the key driver of the fund’s performance

over the course of this year and our repeatable investment process dictates that it will continue to be so.


9

CPO AFFIRMATION

To the best of my knowledge and belief, the information contained in this document is accurate and

complete.

Signed: _________________

Gary Ibbott: Partner and Chief Financial Officer

Cheyne Capital Management (UK) LLP as the commodity pool operator (CPO) on behalf of Cheyne Select

UCITS Fund plc - Cheyne Global Credit Fund.

Date: 23 March 2016


10

DIRECTORS’ REPORT FOR THE YEAR ENDED 31 DECEMBER 2015

The Directors present their report together with the audited financial statements of Cheyne Select UCITS

Fund plc (the “Company”) for the year ended 31 December 2015.

Company Background

The Company is an open-ended umbrella type investment company with variable capital incorporated in

Ireland under the Companies Act, 2014 on 23 June 2009 under registration number 472277 and authorised

by the Central Bank of Ireland, as an Undertaking for Collective Investment in Transferable Securities

(UCITS) pursuant to the European Communities (Undertakings for Collective Investment in Transferable

Securities) Regulations 2011 (the “UCITS Regulations”). The Company is structured in the form of an

umbrella fund which can consist of different Funds comprising of one or more Classes. As at 31 December

2015, the Company had three Funds in existence, Cheyne Convertibles Absolute Return Fund, Cheyne

Global Credit Fund and Cheyne European Mid Cap Equity Fund.

Effective 24 April 2015 and 31 July 2015, Cheyne South Asia Long/Short (Malacca) Fund and Cheyne

European Real Estate Bond Fund were closed respectively. The financial statements of these Funds have

been prepared on a wind down basis.

Principal Activities

A review of the principal activities and future developments is included in the Investment Manager’s

Reports on pages 3 to 8 and outlined below.

Cheyne Convertibles Absolute Return Fund

The Fund’s investment objective is to provide total return through a combination of yield and capital

appreciation. The Fund will invest primarily in global Convertible Securities. The Fund may also invest in

global non-Convertible Securities including fixed income securities, such as fixed and floating rate

corporate and government bonds, equities and certain derivative products, such as contracts for difference

(CFD), futures, forwards (including forward rate agreements), options (both writing and purchasing) and

swaps (including credit default swaps (CDS)).

Cheyne European Real Estate Bond Fund

The Fund’s investment objective was to maximise total rates of return, meaning capital appreciation plus

income from its investments, over the medium term from investments in bonds backed by real estate, with

prudent selection of bonds and generally moderate levels of volatility. The Fund invested in fixed income

and asset backed securities.

Cheyne Global Credit Fund

The Fund’s investment objective is to maximise total rates of return, meaning capital appreciation plus

income from its investments, over the medium term from returns on corporate debt, with prudent levels of

risk while maintaining generally moderate levels of volatility. The Fund invests in CDS & collateralised

synthetic obligations (CSO).

Cheyne South East Asia Long/Short (Malacca) Fund

The Fund’s investment objective was to seek to generate attractive risk adjusted total rates of return,

meaning capital appreciation plus income on its investments, principally through investments in equity

securities of companies that were either listed on stock exchanges in South East Asia Emerging Markets or

incorporated in South East Asia Emerging Markets and other equity related securities and derivative

instruments.


11

DIRECTORS’ REPORT FOR THE YEAR ENDED 31 DECEMBER 2015 (Continued)

Cheyne European Mid Cap Equity Fund

The Fund’s investment objective is to seek to generate attractive risk adjusted total rates of return, meaning

capital appreciation plus income on its investments, principally through investments in equity securities of

companies with market capitalisation of between EUR500 million and EUR10 billion that are either listed on

stock exchanges in Europe or whose business is primarily in Europe and other equity related securities and

derivative instruments.

Corporate Governance Code

A corporate governance code was issued by the Irish Funds (previously known as Irish Funds Industry

Association) (the IFIA code) in December 2011 that may be adopted on a voluntary basis by Irish

authorised collective investment schemes effective 1 January, 2012 with a twelve month transitional period.

The IFIA Code may be inspected on/obtained from www.irishfunds.ie. In December 2012, the Board

adopted the IFIA Code having regard for certain other key pillars of governance within the collective

investment fund governance structure, including:

the uniqueness of the independent segregation of duties as between the Investment Manager, the

Administrator (with responsibility for the calculation of the net asset value (NAV), amongst other

duties) and the independent Custodian (with responsibility for safeguarding the assets of the

Company and overseeing how the Company is managed), such segregation of duties/functions

being achieved through delegation of respective responsibilities to and appointment of suitably

qualified and also regulated third party entities who are subject to regulatory supervision.

The Company has no employees and all of the Directors are non-executive. Consistent with the regulatory

framework applicable to investment fund companies, the Company, consequently, operates under the

delegated model whereby it has delegated management (including investment management),

administration and distribution functions to third parties (without abrogating the Board’s overall

responsibility). The Board has in place mechanisms for monitoring the exercise of such delegated functions

which are always subject to the supervision and direction of the Board. These delegations of functions and

the appointment of regulated third party entities are detailed in the Company’s Prospectus and

Supplements. In summary, they are:

1. The Board has delegated the performance of the investment management functions in respect of the

Company and of its Funds to Cheyne Capital Management (UK) LLP (the “Investment Manager”).

The Investment Manager has direct responsibility for the decisions relating to the day to day running

of the Funds and is accountable to the Board of the Company for the investment performance of the

Funds. The Investment Manager has internal controls and risk management processes in place to

ensure that all applicable risks pertaining to their management of the Funds are identified, monitored

and managed at all times and appropriate reporting is made to the Board on a regular basis. The

Investment Manager is regulated by and under the supervision of the regulator of their operating

jurisdiction;

2. The Board has delegated its responsibilities for administration to Citibank Europe plc (the

“Administrator”) which has responsibility for the day to day administration of the Company and the

Funds including the calculation of the NAVs. The Administrator is regulated by and under the

supervision of the Central Bank of Ireland;

The Company also has appointed Citi Depositary Services Ireland Limited (the “Custodian”) as custodian of

its assets which has responsibility for the safekeeping of such assets in accordance with the UCITS

Regulations and exercising independent oversight over how the Company is managed. The Custodian is

regulated by and under the supervision of the Central Bank of Ireland.


12

DIRECTORS’ REPORT FOR THE YEAR ENDED 31 DECEMBER 2015 (Continued)

Corporate Governance Code (continued)

The Board receives reports on a regular (and at least quarterly) basis from each of its delegate service

providers and the Custodian which enable it to assess the performance of the delegate service providers

and the Custodian (as the case may be).

Future Developments

The Directors expect to increase the level of assets and potentially launch new Funds going forward.

Results

The results for the year are shown in the Aggregated Statement of Comprehensive Income on page 20 .

Books of Account

The measures taken by the Directors to secure compliance with the Company’s obligation to keep adequate

accounting records are the use of appropriate systems and procedures. In this regard Citibank Europe plc

has been appointed for the year for the purpose of maintaining adequate accounting records. The books of

account are maintained at 1 North Wall Quay, International Financial Services Centre, Dublin 1, Ireland.

Risk Management Objectives and Policies

The risks the Directors have assessed as being relevant to the Company are market risk, interest rate risk,

foreign currency risk, other price risk, credit risk and liquidity risk. A detailed assessment of the risk

management objectives and policies mitigating these risks is detailed in Note 6 of the aggregated financial

statements.

Directors

The Directors of the Company are as follows:

Jeff Bronheim (British resident)

Ronan Daly (Irish resident, resigned on 1 January 2016)

John Skelly (Irish resident)

Bronwyn Wright (Irish resident, appointed on 1 January 2016)

Company Secretary

Citibank Europe plc has acted as Secretary of the Company for the year ended 31 December 2015.

Directors’ Interests

As at 31 December 2015 none of Directors or the Company Secretary held shares in the Company. For

details of Directors’ fees, see Note 4 of the aggregated financial statements and the individual Funds’ notes

for details on the amount charged to the individual funds and balance remaining unpaid at year end.

Independent Auditors

The Company’s Independent Auditors, KPMG Audit LLP, have indicated their willingness to continue in

office in accordance with Section 160(2) of the Companies Act, 2014.


16

STATEMENT OF THE CUSTODIAN’S RESPONSIBILITIES

The Custodian is required under the European Communities (Undertakings for Collective Investment in

Transferable Securities) Regulations 2013, as amended (the “Regulations”) to:

1. ensure that the sale, issue, repurchase, redemption and cancellation of shares affected by or on behalf

of the Company are carried out in accordance with the Regulations and in accordance with the

Memorandum and Articles of Association.

2. ensure that the value of shares is calculated in accordance with the Regulations and the Memorandum

and Articles of Association.

3. carry out the instructions of the Company unless they conflict with the Regulations or the Memorandum

and Articles of Association.

4. ensure that in transactions involving the Company’s assets, any consideration is remitted to it within

time limits which are acceptable market practice in the context of a particular transaction.

5. ensure that the Company's income is applied in accordance with the Regulations and the

Memorandum and Articles of Association.

6. enquire into the conduct of the Company in each annual accounting period and report thereon to the

shareholders. The Custodian’s report shall be delivered to the Company in good time to enable the

Company to include a copy of the report in its Annual Report. The Custodian's Report shall state

whether in the Custodian’s opinion the Company has been managed in that period:

(i) in accordance with the limitations imposed on the investment and borrowing powers of the

Company and Custodian by the Memorandum and Articles of Association and the Regulations;

and

(ii) otherwise in accordance with the provisions of the Memorandum and Articles of Association and

the Regulations.

If the Company does not comply with (i) or (ii) above, the Custodian must state why this is the case

and outline the steps which the Custodian has taken to rectify the situation.

7. notify the Central Bank of Ireland promptly of any material breach of the Regulations, conditions

imposed by the Central Bank of Ireland or provisions of the Prospectus with regard to the Company.

The duties provided for above may not be delegated by the Custodian to a third party. These duties must

be carried out in the State.

The Custodian also takes into its custody or under its control all the assets of the Company and holds them

in safekeeping for the shareholders.


17

INDEPENDENT AUDITOR’S REPORT TO THE MEMBERS OF CHEYNE SELECT UCITS FUND plc

We have audited the financial statements of Cheyne Select UCITS Fund plc (“the Company”) for the year ended 31 December 2015 which comprise the Aggregated Statement of Financial Position, the Aggregated Statement of Comprehensive Income, the Aggregated Statement of Changes in Net Assets Attributable to Holders of Redeemable Shares, the Aggregated Statement of Cash Flows, the Notes to the Aggregated Financial Statements and the Financial Statements for the Funds. The financial reporting framework that has been applied in their preparation is Irish law and International Financial Reporting Standards (IFRS) as adopted by the European Union.

Opinions and conclusions arising from our audit

1 Our opinion on the financial statements is unmodified

In our opinion the financial statements:

• give a true and fair view of the assets, liabilities and financial position of the Company as at 31December 2015 and of its changes in net assets attributable to holders of redeemable participatingshares for the year then ended;

• have been properly prepared in accordance with IFRS as adopted by the European Union; and

• have been properly prepared in accordance with the requirements of the Companies Act 2014, theEuropean Communities (Undertakings for Collective Investment in Transferable Securities)Regulations 2011 and the Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1))(Undertakings for Collective Investment in Transferable Securities) Regulations 2015.

2 Our conclusions on other matters on which we are required to report by the Companies Act 2014 are set out below

We have obtained all the information and explanations which we consider necessary for the purposes of our audit.

In our opinion the accounting records of the Company were sufficient to permit the financial statements to be readily and properly audited and the financial statements are in agreement with the accounting records.

In our opinion the information given in the Directors’ Report is consistent with the financial statements.

3 We have nothing to report in respect of matters on which we are required to report by exception

ISAs (UK & Ireland) require that we report to you if, based on the knowledge we acquired during our audit, we have identified information in the annual report that contains a material inconsistency with either that knowledge or the financial statements, a material misstatement of fact, or that is otherwise misleading.

In addition, the Companies Act 2014 requires us to report to you if, in our opinion, the disclosures of directors’ remuneration and transactions required by sections 305 to 312 of the Act are not made.

Basis of our report, responsibilities and restrictions on use

As explained more fully in the Statement of Directors’ Responsibilities set out on page 14, the Directors are responsible for the preparation of the financial statements and for being satisfied that they give a true and fair view and otherwise comply with the Companies Act 2014. Our responsibility is to audit and express an opinion on the financial statements in accordance with Irish law and International Standards on Auditing (UK and Ireland). Those standards require us to comply with the Financial Reporting Council’s Ethical Standards for Auditors.


18

INDEPENDENT AUDITOR’S REPORT TO THE SHAREHOLDERS OF CHEYNE SELECT UCITS FUND plc (Continued)

An audit undertaken in accordance with ISAs (UK & Ireland) involves obtaining evidence about the amounts and disclosures in the financial statements sufficient to give reasonable assurance that the financial statements are free from material misstatement, whether caused by fraud or error. This includes an assessment of: whether the accounting policies are appropriate to the Company’s circumstances and have been consistently applied and adequately disclosed; the reasonableness of significant accounting estimates made by the Directors; and the overall presentation of the financial statements.

In addition, we read all the financial and non-financial information in the Directors’ Report to identify material inconsistencies with the audited financial statements and to identify any information that is apparently materially incorrect based on, or materially inconsistent with, the knowledge acquired by us in the course of performing the audit. If we become aware of any apparent material misstatements or inconsistencies we consider the implications for our report.

Whilst an audit conducted in accordance with ISAs (UK & Ireland) is designed to provide reasonable assurance of identifying material misstatements or omissions it is not guaranteed to do so. Rather the auditor plans the audit to determine the extent of testing needed to reduce to an appropriately low level the probability that the aggregate of uncorrected and undetected misstatements does not exceed materiality for the financial statements as a whole. This testing requires us to conduct significant audit work on a broad range of assets, liabilities, income and expense as well as devoting significant time of the most experienced members of the audit team, in particular the engagement partner responsible for the audit, to subjective areas of the accounting and reporting.

Our report is made solely to the Company’s members, as a body, in accordance with section 391 of the Companies Act 2014. Our audit work has been undertaken so that we might state to the Company’s members those matters we are required to state to them in an auditor’s report and for no other purpose. To the fullest extent permitted by law, we do not accept or assume responsibility to anyone other than the Company and the Company’s members as a body, for our audit work, for this report, or for the opinions we have formed.

Jatin Patel (Senior Statutory Auditor) for and on behalf of KPMG LLP Chartered Accountants, Statutory Audit Firm

23 March 2016

15 Canada Square, London, E14 5GL United Kingdom


20

AGGREGATED STATEMENT OF COMPREHENSIVE INCOME

FOR THE YEAR ENDED 31 DECEMBER 2015

Note 31-Dec-15*

EUR

31-Dec-14

EUR

Income

Net gain on financial assets and liabilities at fair value

through profit or loss 9,933,389 25,063,463

Net gain on foreign exchange 1,394,893 185,152

Interest income 36,030,949 32,715,106

Dividend income 1,206,282 1,461,654

Other income 169,767 20,593

Total income 48,735,280 59,445,968

Expenses

Interest expense (16,189,368) (14,627,480)

Investment management fee 4(f) (3,273,681) (3,685,492)

Dividend expense (2,516,731) (2,705,251)

Investment advisor fee 4(e) (2,431,774) (2,906,305)

Performance allocation 4(g) (1,450,398) (2,565,645)

Other expenses (843,017) (894,223)

Administration fee 4(a) (625,781) (696,782)

Research and data fees 4(i) (592,403) (165,422)

Portfolio support fee 4(h) (356,613) (411,173)

Custodian fee 4(c) (83,285) (64,933)

Directors’ fees 4(d) (69,816) (80,612)

Commission fees (31,757) (35,031)

Liquidation fee (9,035) -

Total expenses (28,473,659) (28,838,349)

Withholding tax (41,777) (96,704)

Increase in Net Assets Attributable to Holders of Redeemable

Shares 20,219,844 30,510,915

For the purposes of aggregating the financial statements of the Funds, the Statement of Comprehensive

Income figures for the Cheyne South East Asia Long/Short (Malacca) Fund has been translated from US

Dollar to Euro at the average exchange rate for the years 2014 and 2015.

*Effective 24 April 2015, the Cheyne South East Asia Long/Short (Malacca) Fund was closed and effective

31 July 2015, the Cheyne European Real Estate Bond Fund was closed.

The Company has no recognised gains or losses during the financial year other than those reported in the

Statement of Comprehensive Income. All results are from continuing operations with exception of Cheyne

South East Asia Long/Short (Malacca) Fund and Cheyne European Real Estate Bond Fund.


21

AGGREGATED STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS

OF REDEEMABLE SHARES FOR THE YEAR ENDED 31 DECEMBER 2015

31-Dec-15**

EUR

31-Dec-14

EUR

Net assets attributable to holders of redeemable shares at

beginning of the Year 532,176,893 401,424,429

Increase in net assets attributable to holders of redeemable shares from

operations 20,219,844 30,510,915

Issue of redeemable shares during the year 182,648,634 228,031,821

Redemption of redeemable shares during the year (396,786,689) (129,335,698)

Foreign exchange translation* 985,946 1,545,426

Net assets attributable to holders of redeemable shares at end of

the year 339,244,628 532,176,893

*For the purposes of aggregating the financial statements of the Funds, the Statement of Financial

Position figures for the year ended 31 December 2014 for the Cheyne South East Asia Long/Short

(Malacca) Fund has been translated from US Dollar to Euro at the exchange rate ruling at the year

end, while the Statement of Comprehensive Income, Statement of Changes in Net Assets Attributable

to Holders of Redeemable Participating Shares and Statement of Cash Flows have been translated at

the average exchange rate for the years 2014 and 2015. The resulting gain or loss that arises at the

Company level has no effect on the Net Asset Value per share attributable to the individual Funds.

**Effective 24 April 2015, the Cheyne South East Asia Long/Short (Malacca) Fund was closed and

effective 31 July 2015, the Cheyne European Real Estate Bond Fund was closed.


22

AGGREGATED STATEMENT OF CASH FLOWS FOR THE YEAR ENDED 31 DECEMBER 2015

31-Dec-15**

EUR

31-Dec-14

EUR

Cash flows from operating activities

Increase in net assets attributable to holders of redeemable shares

from operations 20,219,844 30,510,915

Adjusted for working capital changes

Decrease/(increase) in investments in transferable securities 152,443,186 (111,862,412)

Decrease/(increase) investments financial derivative instruments 6,771,468 (8,422,388)

Increase in sales awaited settlement (3,456,857) (106,567)

Increase in other receivables and assets (637,463) (761,765)

Increase/(decrease) in purchases awaiting settlement 7,375,777 (17,278,003)

Decrease in accrued expenses and other payables (786,288) (316,842)

Net cash inflow/(outflow) from operating activities 181,929,667 (108,237,062)

Financing

Proceeds from issuance of redeemable shares 182,235,735 228,605,720

Redemptions paid on redeemable shares (396,786,689) (129,335,698)

Net cash outflow/(inflow) from financing activities (214,550,954) 99,270,022

Decrease in cash in hand and cash equivalents (32,621,287) (8,967,040)

Cash in hand and cash equivalents at start of year 89,845,456 97,267,070

Notional foreign exchange adjustment* 985,946 1,545,426

Cash in hand and cash equivalents at end of Year 58,210,115 89,845,456

Supplemental cash flow information

Net cash from operating activities includes:

Interest received 35,406,384 28,747,140

Interest paid (16,138,500) (12,054,748)

Dividend received 1,209,630 340,855

Dividend paid (2,488,233) (1,401,142)

*For the purposes of aggregating the financial statements of the Funds, the Statement of Cash Flows

figures for the Cheyne South East Asia Long/Short (Malacca) Fund have been translated from US Dollar to

Euro at the average exchange rate for the years 2014 and 2015.

**Effective 24 April 2015, the Cheyne South East Asia Long/Short (Malacca) Fund was closed and effective

31 July 2015, the Cheyne European Real Estate Bond Fund was closed.


23

NOTES TO THE AGGREGATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2015

1. General Information

Cheyne Select UCITS Fund plc (the “Company” or the “Umbrella”) is an open-ended umbrella investment

company with variable capital and segregated liability between its funds (each a “Fund”, together the

“Funds”), incorporated in Ireland under the Companies Act, 2014 on 23 June 2009 under registration

number 472277 and authorised by the Central Bank of Ireland, as an Undertaking for Collective

Investment in Transferable Securities (UCITS) pursuant to the European Communities (Undertakings for

Collective Investment in Transferable Securities) Regulations, 2013 as amended.

The Company is organised as an umbrella fund with constituent Funds. As at 31 December 2015, there

were three Funds in existence, the Cheyne Convertibles Absolute Return Fund, the Cheyne Global Credit

Fund and the Cheyne European Mid Cap Equity Fund. Cheyne South Asia Long/Short (Malacca) Fund

was closed on 24 April 2015 and Cheyne European Real Estate Bond Fund was closed on 31 July 2015.

Each Fund will be treated as bearing its own liabilities and the Company is not liable as a whole to third

parties provided, however, if the Directors are of the opinion that a particular liability does not relate to any

particular Fund or Funds, that liability shall be borne jointly by all Funds pro rata to their respective net

asset values at the time when the allocation is made. The Company was authorised by the Central Bank

of Ireland on 3 September 2009. Segregated liability under Irish law applies as between the Funds.

The investment objective of each Fund is disclosed in the Directors’ Report and notes of the individual

Funds.

As at 31 December 2015 the Company had no employees.

Investment Manager Registration

The Investment Manager is registered with the Commodity Futures Trading Commission (CFTC) and the

National Futures Association (NFA).

The Investment Manager is also registered with the U.S. Securities and Exchange Commission (SEC)

under Section 203 of the Investment Advisors Act of 1940.

Cheyne Capital Management (UK) LLP is authorised by the Financial Conduct Authority (FCA) as an

Alternative Investment Fund Manager (AIFM) under the Alternative Investment Fund Manager Directive

(AIFMD).

All funds have base currency of EUR except Cheyne South East Asia Long/Short (Malacca) Fund which

was USD.

2. Basis of Preparation

(a) Statement of Compliance

The financial statements have been prepared in accordance with International Financial Reporting

Standards (IFRS) as adopted by the European Union and UCITS Regulations.


24


(Continued)

2. Basis of Preparation (continued)

(b) Basis of Measurement

The financial statements have been prepared on a historical cost basis, except for financial instruments

classified at fair value through profit or loss which have been measured at fair value and for cash in hand

and cash equivalents, amounts due to/from brokers and amounts receivable and payable, which are

classified at amortised cost.

The accounting policies adopted are consistent with those of the previous financial year.

(c) Functional and Presentation Currency

Items included in the Company’s financial statements are measured in Euro (EUR) which is the currency

of the primary economic environment in which it operates (the “functional currency”).

(d) Use of Estimates and Judgements

The preparation of the financial statements in conformity with IFRS requires management to make

judgements, estimates and assumptions that affect the application of accounting policies and the reported

amounts of assets and liabilities, income and expenses. Actual results may differ from these estimates.

Estimates and underlying assumptions are reviewed on an ongoing basis. Revisions to accounting

estimates are recognised in the period in which the estimates are revised and in any future periods

affected.

(e) Other Accounting Developments

New standards, amendments and interpretations which are relevant to the Company and not yet

effective are outlined below

IFRS 9 Financial Instruments: Classification and Measurement

In July 2014, the IASB issued the final version of IFRS 9 Financial Instruments which reflects all phases of

the financial instruments project and replaces IAS 39 Financial Instruments: Recognition and

Measurement and all previous versions of IFRS 9. The standard introduces new requirements for

classification and measurement, impairment, and hedge accounting. IFRS 9 is effective for annual periods

beginning on or after 1 January 2018, with early application permitted. Retrospective application is

required but comparative information is not compulsory. Based on the initial assessment, the adoption of

IFRS 9 is unlikely to have a material effect on the classification and measurement of the Company’s

financial assets or financial liabilities.


25


(Continued)

2. Basis of Preparation (continued)

(e) Other Accounting Developments (continued)

IAS 1 Presentation of Financial Statements

The amendments to IAS 1 Presentation of Financial Statements are made in the context of the IASB’s

Disclosure Initiative, which explores how financial statement disclosures can be improved. The

amendments provide clarifications on a number of issues, including:

Materiality – an entity should not aggregate or disaggregate information in a manner that obscures

useful information. Where items are material, sufficient information must be provided to explain the

impact on the financial position or performance.

Disaggregation and subtotals – line items specified in IAS 1 may need to be disaggregated where this

is relevant to an understanding of the entity’s financial position or performance. There is also new

guidance on the use of subtotals.

Notes – confirmation that the notes do not need to be presented in a particular order.

OCI arising from investments accounted for under the equity method – the share of OCI arising from

equity-accounted investments is grouped based on whether the items will or will not subsequently be

reclassified to profit or loss. Each group should then be presented as a single line item in the

statement of other comprehensive income.

According to the transitional provisions, the disclosures in IAS 8 Accounting Policies, Changes in

Accounting Estimates and Errors regarding the adoption of new standards/accounting policies are not

required for these amendments. The amendments are effective for annual periods beginning on or after 1

January 2016.

(f) Going Concern

The Company’s management has made an assessment of the Company’s ability to continue as a going

concern and is satisfied that the Company has the resources to continue in business for the foreseeable

future. Furthermore, the management is not aware of any material uncertainties that may cast significant

doubt upon the Company’s ability to continue as a going concern. Therefore, the financial statements are

prepared on the going concern basis with the exception of the financial statements of Cheyne South Asia

Long/Short (Malacca) Fund and the Cheyne European Real Estate Bond Fund. The financial statements of

these two funds have been prepared on a wind down basis.


26


(Continued)

3. Significant Accounting Policies

(a) Interest Income and Expense Recognition

Interest income and expense are recognised in the Aggregated Statement of Comprehensive Income on

an accrual basis.

(b) Expenses

Expenses are accounted for on an accrual basis and are charged to the Aggregated Statement of

Comprehensive Income.

(c) Foreign Currency

Transactions in foreign currencies are translated into United States Dollar (USD) for Cheyne South East

Asia Long/Short (Malacca) Fund and EUR for the remaining Funds, at the spot exchange rate at the date

of the transaction. Monetary assets and liabilities denominated in foreign currencies at the reporting date

are retranslated into USD for Cheyne South East Asia Long/Short (Malacca) Fund and EUR for the

remaining Funds, at the spot exchange rate at that date. Non-monetary assets and liabilities

denominated in foreign currencies that are measured at fair value through profit or loss are retranslated

into USD for Cheyne South East Asia Long/Short (Malacca) Fund and EUR for the remaining Funds, at

the spot exchange rate at the date that the fair value was determined. Non-monetary assets and

liabilities that are measured in terms of historical cost in a foreign currency are translated using the

exchange rate at the date of the transaction.

Foreign currency differences arising on retranslation and on financial instruments at fair value through

profit or loss are recognised in the Statement of Comprehensive Income.

(d) Investments

Classification

In accordance with IFRS 13, the Company classifies its investments as financial assets and liabilities at

fair value through profit or loss. These financial assets and liabilities are classified as held for trading.

Financial assets or financial liabilities held for trading are those acquired or incurred principally for the

purposes of selling or repurchasing in the short term. The Board of Directors agreed to classify all

investments held by the Company as held for trading.

Financial assets that are classified as loans and receivables include cash in hand and cash equivalents,

amounts due from brokers and accounts receivable.

Financial liabilities that are classified as held at amortised cost include amounts due to brokers and

accounts payable.

Recognition/derecognition

The Company recognises financial assets and financial liabilities at fair value through profit or loss on the

trade date; that is the date it commits to purchase the instruments. From this date any gains and losses

arising from changes in fair value of the assets or liabilities are recognised. Financial assets are

derecognised when the rights to receive cash flows from the investments have expired or the Company

has transferred substantially all risks and rewards of ownership of the financial assets or in which the

Company neither transfers nor retains substantially all the risks and rewards of ownership and does not

retain control of the financial assets.


27


(Continued)

3. Significant Accounting Policies (continued)

(d) Investments (continued)

Valuation of investments

The Investment Manager has established an internal control infrastructure over the valuation of financial

instruments that requires ongoing oversight by the pricing committee. These management control

functions are segregated from the trading and investing functions. The Investment Manager employs

resources to help ensure that the pricing committee is able to function at an appropriate level of quality

and effectiveness. The Investment Manager reviews the segregation of duties within its internal control

infrastructure. Specifically, the pricing committee is responsible for establishing and monitoring compliance

with valuation polices. Within the trading and investing functions, the Investment Manager has established

policies and procedures that relate to the approval of all new transaction types, transaction pricing sources

and fair value hierarchy coding within the financial reporting system.

The fair value of financial instruments traded in active markets (such as publicly traded derivatives and

securities) are based on quoted market prices at the Statement of Financial Position date. The financial

instruments held by the Company are presented in the Statement of Financial Position at the current

quoted mid-price in accordance with the valuation provisions of the Prospectus. Following the adoption of

IFRS 13, no adjustment to “mid to bid” is required as mid-market prices are allowed to be used to value

financial assets and liabilities.

The Company may from time to time invest in financial instruments that are not traded in an active market

(for example in over-the-counter derivatives). The fair value is determined by using valuation techniques.

The Company uses a variety of methods and makes assumptions that are based on market conditions

existing at each Statement of Financial Position. Valuation techniques used include the use of comparable

recent arm’s length transactions, discounted cash flow analysis, option pricing models and other valuation

techniques commonly used by market participants.

Exchange traded derivative instruments dealt on a Recognised Exchange shall be valued at the settlement

price on the relevant Valuation Day for such instruments on such a market. If the settlement price is not

available, their probable realisation value shall be as determined with care and in good faith by the

Directors and approved for that purpose by the Custodian.

Forward currency contracts

Forward foreign exchange contracts will be valued by reference to the forward price at which a new

forward contract of the same size and maturity could be undertaken at the valuation date. The unrealised

gain or loss on open forward currency contracts is calculated as the difference between the contract rate

and this forward price and is recognised in the Aggregated Statement of Comprehensive Income.

(e) Offsetting Financial Instruments

Financial assets and liabilities are offset and the net amount reported in the Aggregated Statement of

Financial Position when there is a legally enforceable right to offset the recognised amounts, there is an

intention to settle on a net basis, or realise the asset and settle the liability simultaneously.

(f) Realised and Unrealised Gains and Losses

All realised and unrealised gains and losses on securities are recognised as net gain/loss on financial

assets and liabilities at fair value through profit or loss in the Aggregated Statement of Comprehensive

Income. Foreign currency gains/losses on cash in hand and cash equivalents are included in net gain on

foreign exchange in the Aggregated Statement of Comprehensive Income. Realised gains and losses on

disposals of financial instruments are calculated using the first-in-first-out (FIFO) method.


28


(Continued)


(f) Realised and Unrealised Gains and Losses (continued)

The unrealised gain or loss on open forward exchange contracts is calculated as the difference between

the contracted rate and the rate to close out the contract. Realised gains or losses include net gains on

contracts, which have been settled or offset by other contracts.

(g) Taxation

Under current law and practice the Company qualifies as an investment undertaking as defined in Section

739B of the Taxes Consolidation Act, 1997, as amended. On this basis, it is not chargeable to Irish tax on

its income or gains. However, Irish tax may arise on the occurrence of a “chargeable event”.

A chargeable event includes any distribution payments to shareholders or any encashment, redemption or

transfer of shares on the ending of a “relevant period”. A relevant period is an eight year period beginning

with the acquisition of shares by the shareholders. Each subsequent period of eight years immediately

after the preceding relevant period will also constitute a relevant period.

A gain on a chargeable event does not arise in respect of:

(i) any transactions in relation to units held in a recognised clearing system as designated by order of

the Revenue Commissioners of Ireland; or

(ii) an exchange of shares arising on a qualifying amalgamation or reconstruction of the Company with

another Company; or

(iii) certain exchanges of shares between spouses and former spouses; or

(iv) an exchange by a shareholder, effected by way of an arm’s length bargain where no payment is

made to the shareholder of shares in the Company for other shares in the Company.

No Irish tax will arise on the Fund in respect of chargeable events in respect of:

(a) a shareholder who is not Irish resident and not ordinarily resident in Ireland at the time of the

chargeable event, provided appropriate valid statutory declarations in accordance with the

provisions of the Taxes Consolidation Act, 1997, as amended are held by the Company; and

(b) certain exempted Irish tax resident shareholders who have provided the Company with the

necessary signed statutory declarations.

In the absence of an appropriate declaration, the Company will be liable to Irish tax on the occurrence of a

chargeable event.

There were no chargeable events during the year under review. Dividends, interest and capital gains (if

any) received on investments made by the Company may be subject to withholding taxes imposed by the

country from which the investment income/gains are received and such taxes may not be recoverable by

the Company or its shareholders.

(h) Cash in Hand and Cash Equivalents

Cash in hand and cash equivalents, with the exception of margin cash and collateral, is held with Citibank

N.A. in the name of Citi Depositary Services Ireland Limited (the “Custodian”). Cash and cash equivalents

comprise deposits with banks and highly liquid financial assets with maturities of three months or less from

the date of acquisition that are subject to an insignificant risk of changes in their fair value and are used by

the Funds in the management of short-term commitments, other than cash collateral provided in respect of

derivatives and securities borrowing transactions.


29


(Continued)


(i) Transaction Costs

Transaction costs are defined as the incremental costs that are directly attributable to the acquisition, issue

or disposal of a financial asset or financial liability. An incremental cost is one that would not have been

incurred if the entity had not acquired, issued or disposed of the financial instrument. When a financial

asset or financial liability is recognised initially, an entity shall measure it at its fair value through profit or

loss plus, transaction costs that are directly attributable to the acquisition or issue of the financial asset or

financial liability. Transaction costs on the purchase and sale of bonds and forwards are included in the

purchase and sale price of the investment. They cannot be practically or reliably gathered as they are

embedded in the cost of the investment and cannot be separately verified or disclosed.

Transaction costs on purchases and sales of investments are included in net gains/(losses) on financial

assets and liabilities through profit or loss included in the Statement of Comprehensive Income for each

Fund.

4. Fees and Expenses

(a) Administration Fee

Citibank Europe plc is the “Administrator” of the Company pursuant to an Administration Agreement dated

1 October 2011. The Company shall pay Administration fee out of the relevant Funds as disclosed in the

notes to the financial statements of the individual Funds.

The Administration fee is subject to aggregate minimums, the scale fee or minimum fees will be charged

pro rata (based on assets) to the Funds in the Umbrella. In the event that some Funds would otherwise

have been on scale fees and other Funds would have been on minimums then those Funds that would

have been on scale fees are allocated, out of the total fee, the amount they would have paid under the

scale fee and the other Funds are allocated the balance of the total fee. This balance is then allocated pro

rata, to asset size, across the relevant Funds.

In addition to such base remuneration, the Administrator shall also be entitled to charge the Funds fees

relating to any additional services required in relation to corporate secretarial, audit support, tax assistance

or investor rebate services, as may be agreed with the Company and which shall be charged at normal

commercial rates.

The Administrator is also entitled to be reimbursed by the Company for all of its out-of-pocket expenses

reasonably incurred on behalf of the Funds.

(b) Audit Fee

In accordance with the European Communities (Statutory Audits) (Directive 2006/43/EC) Regulations 2010

(S.I. No. 220 of 2010)), the Company is obliged to disclose fees paid to the Fund’s Auditor. The Audit fees

for each Fund are shown in the notes to the financial statements of the individual Funds.

(c) Custodian and Trustee Fee

Citi Depositary Services Ireland Limited acts as the “Custodian and Trustee” of the Company pursuant to a

Custody Agreement dated 9 November 2015.

The Company shall pay the custodian fee out of the relevant funds as disclosed in the notes to the

financial statements of the individual Funds.


30


(Continued)

4. Fees and Expenses (continued)

(c) Custodian and Trustee Fee (continued)

Trustee fees are subject to aggregate minimums, the scale fee or minimum fees will be charged pro rata

(based on assets) to the Funds in the Umbrella. In the event that some Funds would otherwise have been

on scale fees and other Funds would have been on minimums then those Funds that would have been on

scale fees are allocated, out of the total fee, the amount they would have paid under the scale fee and the

other Funds are allocated the balance of the total fee. This balance is then allocated pro rata, to asset

size, across the relevant Funds.

In addition to such remuneration, the Custodian shall also be entitled to charge the Funds fees relating to

any custody or transactional services, as may be agreed with the Company and which shall be charged at

standard commercial rates.

The Custodian is also entitled to be repaid for all of its out-of-pocket expenses reasonably incurred on

behalf of the Funds, including the fees and expenses of any sub-custodian (which shall be at normal

commercial rates) and transaction charges (which shall also be at normal commercial rates) levied by the

Custodian and which are payable by the Company.

(d) Directors' Fees

The Articles authorise the Directors to charge a fee for their services at a rate determined by the Directors

up to a maximum fee per Director of GBP25,000 per annum for the Umbrella. All Directors will be entitled

to reimbursement by the Company of expenses properly incurred in connection with the business of the

Company or the discharge of their duties. Each Fund bears the cost of Directors’ fees and expenses

payable in respect of the relevant Fund. The Directors’ fees for each Fund are shown in the notes to the

financial statements of the individual Funds. The Company has engaged Grant Thornton to provide

Directors payroll services on a quarterly basis.

(e) Investment Advisor Fee

The Company appointed Cheyne Capital International LP as Investment Adviser to provide advisory

services in respect of the Company pursuant to the Investment Advisory Agreement.

The Investment Advisor shall be entitled to receive out of the assets of each Fund attributable to shares of

each Class and/or Series such periodic investment advisory fee or fees (each an ‘Investment Advisory

Fee’) as may be set out in the notes to the financial statements of the individual Funds.

(f) Investment Management Fee

The Company appointed Cheyne Capital Management (UK) LLP, an investment management entity

incorporated in England, as Investment Manager to implement the investment strategy as specified in the

Prospectus and the Supplements to the Prospectus.

The Investment Manager shall be entitled to receive out of the assets of the Company an annual

Investment Management Fee, accrued daily and payable monthly in arrears as may be set out in the notes

to the financial statements of the individual Funds.

(g) Performance Allocation

The performance allocation charged to the Funds for the year ended 31 December 2015 is shown in the

Statement of Comprehensive Income of the individual Funds and is set out in the notes to the financial

statements of the individual Funds.


31


(Continued)


(h) Portfolio Support Fee

The Investment Manager shall be entitled to receive a monthly fee for providing certain middle office and

operational support services to the Company (the “Portfolio Support Fee”) as may be set out in the notes

to the financial statements of the individual Funds.

(i) Research and data fees

When trading equity securities, the Investment Manager on behalf of the Company may use execution-

only or full service brokerage. When using full service brokerage, in addition to order execution,

commission-sharing arrangements will be used to accumulate balances to be used solely for the purchase,

on behalf of the Company, of substantive research in compliance with FCA Rules.

The Company will also reimburse the Investment Manager for monies spent by the Investment Manager to

obtain other research, market data, corporate access, analysis and/or other similar services for the

Company, up to a maximum of 0.10% per annum of the average net asset value of the Fund.

5. Redeemable Shares

The authorised share capital of the Company is 500,000,000,000 shares of no par value and 300,000

redeemable Non-Participating shares of EUR1.00 each.

Non-Participating shares do not entitle the holders thereof to any dividend and on winding up entitle the

holders thereof to receive the amount paid up thereon but do not otherwise entitle them to participate in

the assets of the Company.

The rights attached to the shares issued in any Class or Fund may, whether or not the Company is being

wound up, be varied or abrogated with the consent in writing of the shareholders of three-quarters of the

issued shares of that Class or Fund, or with the sanction of an ordinary resolution passed at a general

meeting of the shareholders of that Class or Fund. Every shareholder or holder of Non-Participating

shares present in person or by proxy who votes on a show of hands shall be entitled to one vote.

There are two Non-Participating shares currently in issue which were taken by the subscribers to the

Company and are held by nominees of the Investment Manager.

6. Risk Associated with Financial Instruments

Market risk

The Company is exposed to market risk (which includes interest rate risk, currency risk, other price risk)

arising from the financial instruments it holds. The Company uses derivatives and other instruments for

trading purposes and in connection with its risk management activities. The Company has investment

guidelines that set out its overall business strategies, its tolerance for risk and its general risk management

philosophy and has established processes to monitor and control economic hedging transactions in a

timely and accurate manner.


32


(Continued)

6. Risk Associated with Financial Instruments (continued)

Market risk (continued)

The Company’s assets and liabilities comprise financial instruments which include:

Investments in preference shares, ordinary shares, convertible bonds, forward currency contracts,

future currency and index contracts, contracts for difference (CFD), options, corporate and sovereign

bonds, commercial and residential mortgage backed securities (CMBS & RMBS), credit default swaps

(CDS), asset swapped convertible option transactions (ASCOT) and closed ended funds. These are

held in accordance with the Company’s investment objectives and policies; and

Cash, liquid resources and short-term debtors and creditors that arise directly from its investment

activities.

As an investment company, the Company buys, sells or holds financial assets and liabilities in order to take

advantage of changes in market prices.

The Company trades in financial instruments and may take positions in over the counter instruments

including derivatives, to take advantage of the market movements in the global capital markets.

The Investment Manager actively monitors market prices throughout the year and reports to the Board of

Directors, which meets periodically in order to consider investment performance. The risk management

function of the Investment Manager monitors the market, credit and liquidity risk of the portfolio on a daily

basis and reports periodically to the Board of Directors. Stress testing is performed on a daily basis and is

part of the daily risk management reports available to the Investment Manager and the risk management

team. Leverage and diversification of the Company’s investments is monitored and reported on daily in

order to maintain a clear understanding of the portfolio risk.

The Investment Manager operates a risk management process on behalf of the Company in relation to its

use of derivatives which allows it to accurately measure, monitor and manage the various risks associated

with derivatives and which is intended to ensure that the Company’s derivatives exposure remains within

the limits described within this note.

This risk management process will also take into account any exposure created through derivatives

embedded in transferable securities which the Investment Manager may acquire for the Company in

accordance with its investment objective and policies. Global exposure is measured using the

“Commitment approach” or “Value-at-Risk” on a daily basis.

The Investment Manager may also use future currency contracts, forward currency contracts, options,

swaps (including CDS), CFD and ASCOT as an alternative to acquiring the underlying or the related

securities, alone or in conjunction with the securities, in any case where such investment may be

accomplished in a more efficient or less costly way through the use of derivatives. Such instruments may

also be used to maintain or reduce exposure to the market while managing the cash flows from

subscriptions and redemptions into and out of the Company more efficiently than by buying and selling

transferable securities.


33


(Continued)

6. Risks Associated with Financial Instruments (continued)

Market risk (continued)

The key risk metrics that are monitored on a daily basis are the following:

Gross exposure

Net exposure

Sector exposure

Country exposure

Ratings exposure

Top 10 long/short positions

Gross leverage (Gross assets/NAV)

Foreign exchange exposure

Interest rate exposure

Credit risk – Spread exposure & Jump-to-Default

Optionality exposure – Gamma & Vega

Worst case loss exposure along stresses

Value-at-Risk (VaR)

Limits (in all above risk metrics)

Sensitivity analysis

These financial statements contain a number of sensitivity analyses. These are typically based on a

change in one variable while holding all other variables constant. In practice this is unlikely to occur, and

changes in some of the assumptions may be correlated – for example, changes in foreign currency rates

and changes in market values.

In addition, as the sensitivity analyses use historical data as a basis for determining future events, they do

not encompass all possible scenarios, particularly those that are of an extreme nature.

Please refer to the individual Funds’ notes for details on their market risk.

Interest rate risk

Interest rate risk is the risk that the fair value or future cash flows of a financial instrument will fluctuate

because of changes in market interest rates.

The Company can be exposed to both fair value and cash flow interest rate risk through its investments.

Cash flow interest rate risk also arises on the balances held with the Custodian. The rest of the Company’s

financial assets are equity shares which neither pay interest nor have a maturity date and non-interest

bearing derivative instruments.

Please refer to the individual Funds’ notes for details on their interest rate risk.


34


(Continued)


Foreign currency risk

Currency risk is the risk that the fair value or future cash flows of a financial instrument will fluctuate

because of changes in foreign currency exchange rates.

To help mitigate this risk/exposure the Company engages in currency economic hedging activities to

protect against the volatility associated with investments denominated in foreign currencies and other

assets and liabilities created in the normal course of business. The Company primarily utilises forward

exchange contracts with maturities of less than twelve months to hedge foreign-currency-denominated

financial assets and financial liabilities.

Increases or decreases in the Company’s foreign-currency-denominated financial assets and financial

liabilities are partially offset by gains and losses on the economic hedging instruments.

The Company’s total net exposure to foreign currencies is monitored and the risk is managed in

accordance with predefined risk limits, which are based on historical performance of exchange rates and

their impact on the NAV.

Please refer to the individual Funds’ notes for details on their foreign currency risk.

Other price risk

Other price risk is the risk that the value of the instrument/portfolio will fluctuate as a result of changes in

market prices.

The NAV of the Company is therefore exposed to the daily market movements of the international equity

and capital markets and related indices. The Investment Manager, on an on-going basis, will actively trade

principal and hedging positions and manage the portfolio risk in accordance with parameters set out in the

Company’s Prospectus. All relevant underlying equity, credit spread and index risk factors are monitored

and stressed on a daily basis in order to mitigate all unnecessary market risk.

The Company is managed so as to observe the following restrictions:

no more than 10% of the value of the net assets of the Company will be invested in transferable

securities or money market instruments issued by the same issuer calculated at the time of

investment, provided that the total value of transferable securities and money market instruments held

in the issuers in each of which the Company invests more than 5% is less than 40%;

no more than 20% of the value of the net assets of the Company will be invested in deposits made

with the same credit institution;

the risk exposure of the Company to a counterparty to an OTC derivative will not exceed 5% of net

assets for eligible counterparties or 10% for qualifying credit institutions;

legal or management control of underlying investments is not taken; and

the Company adheres to the general principle of diversification in respect of all its assets attributable

to the Class portfolio.

Please refer to the individual Funds’ notes for details on their other price risk.


35


(Continued)


Credit Risk

Credit risk is the risk that an issuer or counterparty will be unable to meet a commitment that it has entered

into with the Company. The Company may enter into OTC transactions with a number of highly-rated

counterparties.

The creditworthiness of these counterparties is monitored closely and the credit exposure is very well

diversified (no counterparty with more than 10% of net assets, as detailed in other price risk above). The

assets of the Company are, under UCITS guidelines, only to be invested with counterparties which have a

minimum credit rating of A-2 from Standard & Poor’s or equivalent, or is deemed by the UCITS to have an

implied rating of A-2 or equivalent. Alternatively, an unrated counterparty will be acceptable where the

UCITS is indemnified or guaranteed against losses suffered as a result of a failure by the counterparty, by

an entity which has and maintains a rating of A-2 or equivalent. This restriction does not apply to

transactions effected with any counterparty which advances full and appropriate collateral to the Company

in respect of such transactions.

Substantially all the assets of the Company are held by the Custodian, Citi Depositary Services Ireland

Limited and margin cash is held with Bank of America, Bank of Nomura, Barclays Bank, BNP Paribas,

Credit Suisse, Deutsche Bank, Goldman Sachs, JP Morgan Chase, Morgan Stanley, Societe Generale

and UBS at year end. The Company monitors its risk by monitoring the credit quality and normally

foreseeable levels of financial positions of the counterparty that the Company uses. The Company

monitors the long-term credit ratings of its counterparties and details them in the notes of the individual

Funds.

Please refer to the individual Funds’ notes for details on their credit risk.

Liquidity risk

Liquidity risk is the risk that the Company will encounter difficulty in meeting obligations associated with

financial liabilities.

The liquidity risk associated with the mismatching of assets and liabilities (redemptions) is monitored at the

position and portfolio level. The Company employs leverage and any margin call driven liabilities are met

by the appropriate cash reserve. The cash reserve is monitored daily by the Investment Manager.

The Company’s Prospectus provides for the regular creation and cancellation of interests and is therefore

exposed to the liquidity risk of meeting Company’s redemptions at any time. The Company seeks to invest

in liquid securities that can be liquidated with little notice and maintains an adequate level of cash in order

to meet particular redemptions at any time.

Please refer to the individual Funds’ notes for details on their liquidity risk.


36


(Continued)

7. Fair Value Estimation

The Company has adopted IFRS 13. This requires the Company to classify fair value measurements using

a fair value hierarchy that reflects the significance of the inputs used in making the measurements.

The fair value hierarchy of inputs is summarised in the three broad levels listed below.

• Level 1: Quoted prices (unadjusted) in active markets for identical assets or liabilities.

• Level 2: Inputs other than quoted prices included within Level 1 that are observable for the asset or

liability, either directly (that is, as prices) or indirectly (that is, derived from prices).

• Level 3: Inputs for the asset or liability, which are not based on observable market data (that is,

unobservable inputs).

The level in the fair value hierarchy within which the fair value measurement is categorised in its entirety is

determined on the basis of the lowest level input that is significant to the fair value measurement. For

example if a fair value measurement uses observable inputs that require significant adjustment based on

unobservable inputs, that measurement is Level 3. Assessing the significance of a particular input to the

fair value measurement in its entirety requires judgement, considering factors specific to the asset or

liability.

The determination of what constitutes “observable” requires significant judgement by the Company. The

Company considers observable data to be that market data that is readily available, regularly distributed or

updated, reliable and verifiable, not proprietary and provided by independent sources that are actively

involved in the relevant market.

A table showing the classification of financial instruments recognised at fair value, analysed within the

hierarchy is shown in the financial Instruments at fair value through profit or loss disclosure within the

statements of each Fund.

8. Exchange Rates

The following exchange rates were used to translate assets and liabilities into the reporting currency.

Currency 31-Dec-15 31-Dec-14

AUD 1.4931 1.4786

CAD 1.5090 1.4015

CHF 1.0874 1.2024

CNY 7.0540 7.5072

DKK 7.4627 7.4463

EUR 1.0000 1.0000

GBP 0.7370 0.7760

HKD 8.4190 9.3838

JPY 130.6765 145.0789

MYR N/A 4.2311

NOK 9.6152 9.0724

PHP N/A 54.1308

SEK 9.1582 9.4726

SGD 1.5411 1.6034

THB 39.1611 39.8106

USD 1.0863 1.2101

ZAR 16.8328 13.9988


37


(Continued)

9. Connected and Related Party Transactions

In accordance with Regulations 40, 41 and 42 of the Central Bank UCITS Regulations, the Directors are

satisfied that there are arrangements (evidenced by written procedures) in place to ensure that all

transactions with its promoter, Investment Manager, Custodian, Administrator and/or group companies of

these (“Connected Parties”) are carried out as if negotiated at arm’s length and are in the best interests of

the shareholders. The Directors are satisfied that transactions with Connected Parties entered into during

the year complied with the obligations set out in this paragraph.

Parties are considered related if one party has the ability to control the other party or exercise significant

influence over the other party in making financial or operational decisions.

Connected and related party transactions are made on terms equivalent to those that prevail in arm’s

length transactions only if such terms can be substantiated.

Cheyne Capital Management (UK) LLP, a United Kingdom limited liability Partnership, acts as Investment

Manager of the Company and provides day-to-day management of the investment program. For details of

the investment management fee, performance allocation, and research and data fees paid/payable to the

Investment Manager please see Note 4 of the aggregated financial statements.

Cheyne Capital International L.P. acts as Investment Advisor of the Company and provides advisory

services. For details of the investment advisor fee and the performance allocation paid/payable to the

Investment Advisor please see Note 4 of the aggregated financial statements.

Cheyne Capital Management (UK) LLP acts as Portfolio Support Manager to the Company and provides

strategic advice and marketing assistance to the Company. For details of fees paid/payable to the Portfolio

Support Manager see Note 4 of the aggregated financial statements.


1 October 2011. The Company shall pay Administration fee out of the relevant Funds as disclosed in the

notes to the financial statements of the individual Funds. For details of fees paid/payable to the

Administrator see Note 4 of the aggregated financial statements.

Citi Depositary Services Ireland Limited acts as the custodian and trustee of the Company pursuant to a

Custody Agreement dated 9 November 2015. For details of fees paid/payable to the custodian and trustee

see Note 4 of the aggregated financial statements.

Mr. Bronheim, a Director, is General Counsel for the Investment Manager and is also a Director of other

Cheyne managed funds.

Mr. Daly, a Director, was also a Director of other Cheyne managed funds. Mr. Daly resigned from the

Company on 1 January 2016 and other Cheyne managed funds on 31 December 2015.

Mr Skelly, a Director, is an employee of Carne Global Financial Services Limited which provides Money

Laundering Reporting Officer (MLRO) and Designated Person Oversight services to the Company. During

the year, EUR38,987 (31 December 2014: EUR48,688) was paid to Carne Global Financial Services

Limited, EUR10,158 (31 December 2014: EUR27,820) remained unpaid as at 31 December 2015.


38


(Continued)

9. Connected and Related Party Transactions (continued)

Ms. Wright, a Director, is also a Director of other Cheyne managed funds. Ms. Wright was appointed as

Director of the Company on 1 January 2016.

The Directors were not, at the end of the year, interested in shares in, or debentures of, the Company or

any other body corporate being the Company’s subsidiary or holding company or a subsidiary of the

Company’s holding company. For details of fees paid/payable to the Directors please see Note 4 of the

aggregated financial statements.

10. Contingent Liabilities

As at 31 December 2015, the Company did not have any significant commitments or contingent liabilities,

other than those which are disclosed in the Aggregated Financial Statements.

11. Soft Commissions

The Investment Manager has implemented a number of commission sharing arrangements in order to

purchase substantive research, in compliance with the FCA’s rules on dealing commission.

12. Distributions

There were no distributions paid or proposed by the Company for the year.

13. Significant Events During the Year

Effective 24 April 2015, Cheyne South Asia Long/Short (Malacca) Fund closed on compulsory basis. The

financial statements of the Fund have been prepared on a wind down basis. The Fund’s final NAV as at

24 April 2015 of USD10,562,802 was paid to investors in two tranches, 90% was paid on 5 May 2015 and

the remaining 10% was paid on 3 June 2015. Following settlement of all outstanding liabilities, a residual

balance of USD869 was distributed to investors on 16 November 2015.

Effective 31 July 2015, the Directors resolved to terminate the Cheyne European Real Estate Bond Fund.

The financial statements of the Fund have been prepared on a wind down basis. All investors voluntarily

redeemed out of the Fund by 31 July 2015 except for one investor who was compulsorily redeemed as at

31 July 2015 based on the Fund’s final calculated NAV. The Fund’s final NAV as at 31 July 2015 of

EUR1,807,472 was distributed to investors by 12 August 2015. Following settlement of all outstanding

liabilities, a residual balance of 9,626 EUR was distributed to investors on 14 December 2015.

An updated Supplement for each Fund and an updated Prospectus was issued on 9 June 2015 and 10

August 2015 respectively.

With effect from 9 November 2015, Citibank International Limited, Ireland Branch was replaced with Citi

Depositary Services Ireland Limited as depositary of the Company, pursuant to a deed novation to the

services agreement Citibank International Limited, Ireland Branch and Citi Depositary Services Ireland

Limited entered into between these parties to effect the change of depositary of the Company.

Please refer to the individual Funds’ notes for details on their significant events during the year.


39


(Continued)

14. Subsequent Events Since the Year End

Effective 1 January 2016, Ronan Daly resigned from the Company and Bronwyn Wright was appointed as

a Director of the Company.

With effect from 12 March 2016, Citibank Europe plc was replaced with GlobeOp Financial Services

(Ireland) Limited as administrator of the Company pursuant to a deed novation to the services agreement

entered into between Citibank Europe plc, GlobeOp Financial Services (Ireland) Limited and the Company

to effect the change of administrator of the Company.

On 18 March 2016, the UCITS V Directive became effective and the Citi Depositary Services Ireland Limited

(the “Depositary”) became strictly liable for assets and they now have additional operational and oversight

responsibilities.

15. Approval of Financial Statements

The Directors approved the financial statements on 23 March 2016.

40

CHEYNE CONVERTIBLES ABSOLUTE RETURN FUND

AUDITED FINANCIAL STATEMENTS



The accompanying notes form an integral part of the financial statements

41

STATEMENT OF FINANCIAL POSITION AS AT 31 DECEMBER 2015

Note

31-Dec-15

EUR

31-Dec-14

EUR

Assets

Cash in hand and cash equivalents 5 230,657 2,256,381

Margin cash 5 17,774,009 20,990,542

Financial assets at fair value through profit or loss:

Investments in transferable securities 3 69,394,839 138,574,205

Investments in financial derivative instruments 3 5,854,662 8,638,602

Other receivables 4 518,889 608,467

Sales awaiting settlement 3,719,967 20,678

Total assets 97,493,023 171,088,875

Liabilities

Bank overdraft-cash in hand 5 (50,317) -

Bank overdraft-margin cash 5 (67,477) (49,087)

Financial liabilities at fair value through profit or loss:

Investments in financial derivative instruments 3 (4,468,790) (6,871,579)

Purchases awaiting settlement (8,188,925) (709,476)

Accrued expenses 6 (198,498) (210,443)

Research and data fees payable 2(i) (54,337) (18,444)

Portfolio support fee payable 2(h) (5,737) (11,668)

Investment advisor fee payable 2(e) (42,929) (102,278)

Investment management fee payable 2(f) (63,419) (129,164)

Performance fees payable 2(g) (1,831) -

Total liabilities (excluding Net Assets Attributable to

Holders of Redeemable Shares) (13,142,260) (8,102,139)

Net Assets Attributable to Holders of Redeemable Shares 84,350,763 162,986,736

Net Asset Value per Redeemable Share

31-Dec-15 31-Dec-14 31-Dec-13

Class D1 (USD)

Number of shares per class 383.35 2,647.87 2,945.14

Net Asset Value per share USD1,160.46 USD1,148.72 USD1,151.85

Net Asset Value EUR409,519 EUR2,513,659 EUR2,461,894

Class D2 (EUR)


Net Asset Value per share EUR1,115.62 EUR1,105.86 EUR1,109.13


Class D3 (GBP)


Net Asset Value per share GBP1,156.88 GBP1,123.17 GBP1,122.59




42

STATEMENT OF FINANCIAL POSITION AS AT 31 DECEMBER 2015 (Continued)

Net Asset Value per Redeemable Share (Continued)

31-Dec-15 31-Dec-14 31-Dec-13

Class D4 (CHF)


Net Asset Value per share CHF1,138.14 CHF1,138.46 CHF1,143.53


Class I1 (USD)

Number of shares per class 24,934.17 54,392.90 39,761.37


Net Asset Value EUR27,447,823 EUR52,947,890 EUR33,930,593

Class I2 (EUR)




Class I3 (GBP)




Class I4 (CHF)


Net Asset Value per share CHF1,090.89 CHF1,086.43 CHF1,086.85


Class S1 (USD)

Number of shares per class 943.68 943.68 943.68


Net Asset Value EUR1,183,314 EUR1,038,746 EUR902,434

Class S2 (EUR)




Class S3 (GBP)

Number of shares per class 128.69 128.69 684.86


Net Asset Value EUR238,701 EUR217,466 EUR1,064,272



43

STATEMENT OF COMPREHENSIVE INCOME FOR THE YEAR ENDED 31 DECEMBER 2015

Note

31-Dec-15

EUR

31-Dec-14

EUR

Income

Net gain on financial assets and liabilities at fair value through

profit or loss 11 12,133,266 7,685,082

Net (loss)/gain on foreign exchange (26,076) 480,351

Interest income 3,930,376 5,878,682

Dividend income 123,168 29,726

Other income 157 3,478

Total income 16,160,891 14,077,319

Expenses




Investment advisor fee 2(e) (833,817) (1,196,146)

Performance allocation 2(g) (279,612) (677,790)


Other expenses 2(j) (175,733) (227,363)



Directors’ fees 2(d) (23,870) (22,257)


Custodian fee 2(c) (16,738) (15,500)

Total expenses (6,021,866) (6,967,626)

Withholding tax - (8,010)

Increase in Net Assets Attributable to Holders of

Redeemable Shares 10,139,025 7,101,683

The Fund has no recognised gains or losses during the financial year other than those reported in the

Statement of Comprehensive Income. All results are from continuing operations.



44

STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF

REDEEMABLE SHARES FOR THE YEAR ENDED 31 DECEMBER 2015

31-Dec-15

EUR

31-Dec-14

EUR

Net assets attributable to holders of redeemable shares at beginning of

the year 162,986,736 119,481,493


operations 10,139,025 7,101,683



Net assets attributable to holders of redeemable shares at end of the

year 84,350,763 162,986,736



45

STATEMENT OF CASH FLOWS FOR THE YEAR ENDED 31 DECEMBER 2015

31-Dec-15

EUR

31-Dec-14

EUR



operations 10,139,025 7,101,683



Decrease/(increase) in investments financial derivative instruments 381,151 (229,497)

Increase in sales awaiting settlement (3,699,289) (20,678)

Decrease in other receivables 89,578 140,368

Increase/(decrease) in purchases awaiting settlement 7,479,449 (814,812)

Decrease in accrued expenses and other payable (105,246) (246,620)


Financing



Net cash (outflow)/inflow from financing activities (88,774,998) 36,403,560

(Decrease)/increase in cash in hand and cash equivalents (5,310,964) 13,825,730


Cash in hand and cash equivalents at end of year 17,886,872 23,197,836




Interest paid (1,765,162) (1,770,377)

Dividend received 123,168 21,716

Dividend paid (1,346,822) (1,356,329)


46

NOTES TO THE FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2015


The investment objective of the Cheyne Convertibles Absolute Return Fund (the “Fund”) is to provide total

return through a combination of yield and capital appreciation. The Fund will invest primarily in global

convertible securities. The Fund may also invest in global non-convertible securities including fixed income

securities, such as fixed and floating rate corporate and government bonds, equities, and certain derivative

products, such as CFD, futures, forward currency contracts (including forward rate agreements), options

(both writing and purchasing) and swaps (including CDS).

The Fund currently has Class D1 (USD), Class D2 (EUR), Class D3 (GBP), Class D4 (CHF), Class I1

(USD), Class I2 (EUR), Class I3 (GBP), Class I4 (CHF), Class S1 (USD), Class S2 (EUR) and Class S3

(GBP) shares of which Class D and Class I shares are available for investment.




1 October 2011.

The Administrator receives out of the assets of the Fund an annual fee, accrued daily and payable monthly

in arrears, based on the net asset value (NAV) of the Fund, of up to a maximum of 0.12%, subject to a

minimum annual administration fee of EUR77,000 and an additional fee of EUR1,150 per month for weekly

valuations and an additional fee of EUR1,750 per month for indicative daily valuations (plus VAT, if any

thereon). The minimum fee may be fully or partially waived by the Administrator for such period or periods

of time as may be agreed between the Fund and the Administrator from time to time.

In addition to such base remuneration, the Administrator shall also be entitled to charge the Fund fees



commercial rates.

During the year, an administration fee of EUR176,865 (30 December 2014: EUR208,889) was charged to

the Fund out of which, EUR11,747 (31 December 2014: EUR36,136) remained unpaid as at 31 December

2015. Administration fee payable for the years ended 31 December 2015 and 31 December 2014 are

shown in Note 6.

(b) Audit Fee

In accordance with the European Communities (Statutory Audits) (Directive 2006/43/EC) Regulations

2010 (S.I. No. 220 of 2010), the Fund is obliged to disclose fees paid to the Fund’s Auditor. During the

year, an audit fee of EUR43,471 (31 December 2014: EUR37,521) was charged to the Fund, of which

EUR8,623 (31 December 2014: EUR9,967) was payable at year end. Payment in respect of other

assurance, tax advisory and other non-audit fees are EUR4,773 (31 December 2014: EUR3,429).


Citi Depositary Services Ireland Limited acts as the “Custodian and Trustee” of the Fund pursuant to a


The Custodian shall be entitled to receive out of the assets of the Fund an annual fee, accrued daily and

payable monthly in arrears, based on the number of transactions and the NAV of the Fund, of up to a

maximum fee of 0.02% of the NAV of the Fund (plus VAT, if any thereon), subject to a minimum annual

trustee services fee of EUR12,000 when an entity within Citigroup is the sub-custodian and EUR18,500

when any other sub-custodian is used and subject to a minimum annual custody services fee of

EUR15,500.


47

NOTES TO THE FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2015 (Continued)



In addition to such remuneration, the Custodian shall also be entitled to charge the Fund fees relating to




behalf of the Fund, including the fees and expenses of any sub-custodian (which shall be at normal


Custodian and which are payable by the Fund.

During the year a custodian fee of EUR16,738 (31 December 2014: EUR15,500) was charged to the

Fund, EUR3,058 (31 December 2014: EUR4,061) remained unpaid as at 31 December 2015.

During the year trustee services fees of EUR17,604 (31 December 2014: EUR30,818) was charged to the


(d) Directors’ Fees



to reimbursement by the Fund of expenses properly incurred in connection with the business of the Fund

or the discharge of their duties.

During the year Directors’ fees of EUR23,870 (31 December 2014: EUR22,257) were charged to the Fund,

EURNil (31 December 2014: EUR4,652) remained unpaid as at 31 December 2015.


The Fund appointed Cheyne Capital International Limited as Investment Advisor to provide advisory

services in respect of the Fund pursuant to the Investment Advisory Agreement.

The Investment Advisor shall be entitled to receive, out of the assets of the Fund an annual fee, accrued

daily and calculated and paid at a rate of 1.10% per annum of the NAV of the Fund allocable to Class D

shares, a rate of 0.60% per annum of the NAV of the Fund allocable to Class I shares and a rate of 0.30%

per annum of the NAV of the Fund allocable to Class S shares. The Investment Advisor is also entitled to

be reimbursed by the Fund for all of its out-of-pocket expenses reasonably incurred on behalf of the Fund.

During the year an investment advisor fee of EUR833,817 (31 December 2014: EUR1,196,146) was

charged to the Fund, EUR42,929 (31 December 2014: EUR102,278) remained unpaid as at 31 December

2015.


The Investment Manager is entitled to receive out of the assets of the Fund an annual Investment

Management Fee, accrued at each Valuation Point and payable monthly in arrears at a rate of 0.45% per

annum of the NAV of the Fund allocable to Class S shares and 0.90% per annum of the NAV of the Fund

allocable to Class I and D shares.

The Investment Manager is also entitled to be reimbursed by the Fund for all of its out-of-pocket expenses

and vouched internal legal costs reasonably incurred on behalf of the Fund.


48



(f) Investment Management Fee (continued)

During the year an investment management fee of EUR1,072,223 (31 December 2014: EUR1,258,852) was


2015.


The Investment Manager and the Investment Advisor shall be entitled to receive a total performance

allocation equal to 15% (out of the assets allocable to Class I and D shares) of the increase in the NAV of

the relevant Class over the relevant performance hurdle and any relevant High Water Mark (HWM) during

a performance period, disregarding any uncrystallised performance allocation. The Investment Manager

shall be entitled to receive out of the assets allocable to Class S shares a performance allocation equal to

10% of the increase in the NAV of the relevant Class over the HWM during a performance period,

disregarding any uncrystallised performance allocation. For Class I and D shares, 60% of any performance

allocation will be due to the Investment Manager and 40% will be due to the Investment Advisor. The

performance allocation for Class S will be due to the Investment Manager. The initial performance period

commenced on the first business day after expiry of the initial offer period.

The performance hurdle is the relevant interest rate used for each performance period in the calculation of

the performance allocation, the interest rate is (i) for any EUR Share Class, the 3 month EURIBOR (Euro

Interbank Offered Rate) on the first day of the performance period, (ii) for any USD Share Class, the 3

month dollar LIBOR on the first day of the performance period, (iii) for any CHF Share Class, the 3 month

Swiss Franc LIBOR on the first day of the performance period and (iv) for any GBP Share Class, the 3

month GBP LIBOR on the first day of the performance period.

The HWM ensures that, if the class falls in value, a performance allocation will only be payable on that part

of any subsequent performance of the class that is in excess of the current HWM value.

The HWM is initially the value invested in the class, and is adjusted at each valuation point to take account

of subscriptions, redemptions and distributions impacting the valuation at that date. The HWM is increased

by the value of subscriptions, reduced by the value of distributions, and prorated down by the proportion of

shares of the class redeeming.

If the class falls in value in relation to the HWM following payment of the performance allocation in any

previous period, the Investment Manager will retain all performance allocation previously crystallised for

that class but no further performance allocation will be charged until performance above the HWM is

achieved by the class.

The performance allocation shall accrue at each valuation point and accordingly the NAV will be adjusted

to reflect such fee. Notwithstanding the foregoing, any accrued performance allocation referable to shares

redeemed prior to the end of the performance period shall crystallise and become payable to the

Investment Manager following such redemption. The performance period is each calendar quarter. This

crystallising performance allocation is calculated as a pro rata portion of the un-crystallised performance

allocation which forms part of the price at which the relevant shareholder redeemed.

During the year a performance fee of EUR279,612 (31 December 2014: EUR677,790) was charged to the

Fund, EUR1,831 (31 December 2014: EURNil) remained unpaid as at 31 December 2015. The

performance allocation is periodically verified by the Custodian.


49




The Investment Manager shall be entitled to receive an annual portfolio support fee of 0.08% per annum of

the first EUR200 million of the NAV of the Fund, 0.06% per annum of the NAV of the Fund between

EUR200 million and EUR400 million; 0.04% per annum of the NAV of the Fund between EUR400 million

and EUR650 million; and 0.02% per annum of the NAV of the Fund in excess of EUR650 million.

During the year a portfolio support fee of EUR96,707 (31 December 2014: EUR123,857) was charged to

the Fund and EUR5,737 (31 December 2014: EUR11,668) remained unpaid as at 31 December 2015.


When trading equity securities, the Investment Manager on behalf of the Fund may use execution-only or

full service brokerage. When using full service brokerage, in addition to order execution, commission-

sharing arrangements will be used to accumulate balances to be used solely for the purchase, on behalf

of the Fund, of substantive research in compliance with FCA Rules.

The Fund will also reimburse the Investment Manager for monies spent by the Investment Manager to

obtain other research, market data, corporate access, analysis and/or other similar services for the

Company, up to a maximum of 0.10% per annum of the average net asset value of the Fund.

The research and data fees and VAT in respect of the research and data fees were charged to the Fund

are as follows:

31-Dec-15 31-Dec-14

EUR EUR

Research and data fees * 129,467 60,295

VAT 24,302 11,705

Total 153,769 72,000

* Research and data fees disclosed in the table above are exclusive of VAT. The research and data fees

recognised in the Statement of Comprehensive Income are inclusive of VAT.

(j) Other Expenses

31-Dec-15

EUR

31-Dec-14

EUR

Legal fees (74,613) (70,000)

Audit fees (43,471) (37,521)

Trustee services fees (17,604) (30,818)

Miscellaneous expenses (8,779) (64,071)

VAT services fee expense (1,485) (1,366)

Directors expenses (808) (618)

Insurance expense (28,973) (22,969)

(175,733) (227,363)


50


3. Financial Assets and Liabilities at fair value through profit or loss

Financial assets at fair value through profit or loss

31-Dec-15

EUR

31-Dec-14

EUR

Held for Trading:

Convertible bonds 69,394,839 135,574,205

Money market funds - 3,000,000

Options 3,172,538 3,301,346

Unrealised gain on forward currency contracts 1,794,010 4,506,395

Unrealised gain on CFD 888,114 830,861

75,249,501 147,212,807

Financial liabilities at fair value through profit or loss

31-Dec-15

EUR

31-Dec-14

EUR

Held for Trading:

Unrealised loss on forward currency contracts (3,200,066) (5,811,096)

Unrealised loss on CFD (1,201,892) (924,129)

Unrealised loss on futures (66,832) (136,354)

(4,468,790) (6,871,579)

4. Other Receivables

31-Dec-15

EUR

31-Dec-14

EUR

Interest receivable on securities 510,045 591,990

Prepaid insurance expenses 8,844 16,477

518,889 608,467

5. Cash and Cash Equivalents

31-Dec-15

EUR

31-Dec-14

EUR

Cash in hand and cash equivalents*:

-CHF 10 9

-EUR 230,026 2,229,247

-GBP 362 26,665

-HKD 8 79

-JPY 247 222

-USD 4 159

230,657 2,256,381

Margin cash:

-AUD 479 146

-CAD 17,009 -

-CHF 951 122

-EUR 9,807,118 20,154,877

-GBP 1,089,609 24,136

-HKD 120,440 34,368

-JPY 3,255,717 30,218

-SEK 2 2

-SGD 378 305

-USD 3,482,306 746,368

17,774,009 20,990,542

* Cash in hand and cash equivalents are held with the Custodian.


51


5. Cash and Cash Equivalents (continued)

31-Dec-15

EUR

31-Dec-14

EUR

Bank overdraft-cash in hand:

-CHF (50,228) -

-EUR (89) -

(50,317) -

Bank overdraft-margin cash:

-EUR (41) -

-HKD (5,286) (49,085)

-USD (62,150) (2)

(67,477) (49,087)

Total cash in hand and cash equivalents 17,886,872 23,197,836

6. Accrued Expenses

The table below details the accrued expenses at year end:

31-Dec-15

EUR

31-Dec-14

EUR

Dividend payable (14,731) -

Miscellaneous expenses payable (27,555) (59,017)

Interest payable (92,755) (48,249)

Legal fees payable (35,852) (34,709)

Audit fees payable (8,623) (9,967)

Administrator fee payable (11,747) (36,136)

Trustee services fees payable (3,282) (12,297)

Directors’ fees payable - (4,652)

Custodian fees payable (3,058) (4,061)

Directors expense payable (472) (770)

VAT services fees payable (423) (585)

Total (198,498) (210,443)


52



As at 31 December 2015, there are eleven Classes of Shares in the Fund, of which eight are available for

subscription and details of which are set out in the table below:

Class of Share Minimum Subscription Minimum Holding

Available for

Subscription

Class D1 (USD) USD50,000 USD25,000 Yes

Class D2 (EUR) EUR50,000 EUR25,000 Yes

Class D3 (GBP) GBP50,000 GBP25,000 Yes

Class D4 (CHF) CHF50,000 CHF25,000 Yes

Class I1 (USD) USD100,000 USD50,000 Yes

Class I2 (EUR) EUR100,000 EUR50,000 Yes

Class I3 (GBP) GBP100,000 GBP50,000 Yes

Class I4 (CHF) CHF100,000 CHF50,000 Yes

Class S1 (USD) USD5,000,000 USD4,000,000 No

Class S2 (EUR) EUR3,500,000 EUR3,000,000 No

Class S3 (GBP) GBP3,000,000 GBP2,000,000 No

During the first initial offer period, from 4 September 2009 to 30 November 2009, shares were offered at

an initial price of USD1,000 for Class S1 (USD) and EUR1,000 for Class S2 (EUR). Effective from 2

December 2011, the seeding Share Classes, Class S1 (USD), Class S2 (EUR) and Class S3 (GBP) of

the Fund are closed to new investments.

During the second initial offer period, from 8 March 2010 to 30 June 2010, shares in Class I1 (USD) and

Class D1 (USD) were available at an initial price of USD1,000 and shares in Class I2 (EUR) and Class D2

(EUR) were available at an initial price of EUR1,000. Shares in Classes I1 (USD), D1 (USD), I2 (EUR)

and D2 (EUR) are currently available at prices calculated with reference to the NAV per share.

During the third initial offer period, from 18 June 2010 to 30 June 2010, shares in Class I3 (GBP), Class

D3 (GBP) and Class S3 (GBP) were offered at an initial price of GBP1,000. Shares in Class I3 (GBP) and

Class D3 (GBP) are currently available at prices calculated with reference to the NAV per share.

During the fourth initial offer period, from 21 May 2012 to 20 July 2012, shares in Class I4 (CHF) and

Class D4 (CHF) were offered at an initial price of CHF1,000. Shares in Class I4 (CHF) and Class D4

(CHF) are currently available at prices calculated with reference to the NAV per share.

Following the initial offer periods, applications received by the Administrator prior to the dealing deadline

for any dealing day will be processed on that dealing day. Any applications received after the dealing

deadline for a particular dealing day will be processed on the following dealing day unless the Directors in

their absolute discretion otherwise determine to accept one or more applications received after the dealing

deadline for processing on that dealing day, provided that such applications have been received prior to

the valuation point for the particular dealing day.


53


7. Redeemable Shares (continued)

Requests for redemptions received prior to the dealing deadline for any dealing day will be processed on

that dealing day. Any requests for redemption received after the dealing deadline for a dealing day will be

processed on the next dealing day unless the Directors in their absolute discretion determine otherwise

provided that such redemption request(s) have been received prior to the valuation point for the particular

dealing day. Redemption requests will only be accepted for processing where cleared funds and

completed documents including documentation relating to money laundering prevention checks are in

place from original subscriptions. No redemption payment will be made from an investor account until the

original Application Form and all documentation required by or on behalf of the Fund (including any

documents in connection with anti-money laundering procedures) has been received from the investor and

the anti-money laundering procedures have been completed.

The minimum value of shares which a shareholder may redeem in any one redemption transaction is

EUR2,000 (or its GBP/USD/CHF equivalent). In the event of a shareholder requesting a redemption which

would, if carried out, leave the shareholder holding shares of a class having a NAV less than the relevant

minimum holding, the Fund may, if it thinks fit, redeem the whole of the shareholder's holding.

It is not the current intention of the Directors to charge a redemption fee. However, the Directors are

empowered to charge a redemption fee of up to 3% of the redemption monies and may exercise their

discretion in this respect. The Directors may differentiate between shareholders of the Fund by waiving or

reducing the redemption fee chargeable to certain shareholders. The Directors will give not less than one

month’s notice to shareholders of their intention to introduce a redemption fee generally. In the event of a

redemption fee being charged, shareholders should view their investment as medium to long-term.

Shareholders’ capital details are shown below:

31-Dec-15

Class D1

(USD)

Class D2

(EUR)

Class D3

(GBP)

Class D4

(CHF)

Class I1

(USD)

Class I2

(EUR)

Number of Shares

Shares in issue at

start of year 2,647.87 23,861.86 3,952.82 1,220.56 54,392.90

51,588.34

Issue of shares

during the year 32.00 1,196.27 - 14.00 162.29

2,936.21

Redemption of

shares during the

year (2,296.52) (24,230.77) (3,926.71) (1,158.30) (29,621.02)

(19,863.76)

Shares in issue at

year end 383.35 827.36 26.11 76.26 24,934.17

34,660.79

Class I3

(GBP)

Class I4

(CHF)

Class S1

(USD)

Class S2

(EUR)

Class S3

(GBP)

Number of Shares

Shares in issue at start of year 2,584.63 5,107.39 943.68 2,976.10 128.69

Issue of shares during the year 1,855.00 51.82 - - -

Redemption of shares during the

year (138.36) (767.46)

- (1,868.00) -

Shares in issue at year end 4,301.27 4,391.75 943.68 1,108.10 128.69


54



31-Dec-14

Class D1

(USD)

Class D2

(EUR)

Class D3

(GBP)

Class D4

(CHF)

Class I1

(USD)

Class I2

(EUR)

Number of Shares

Shares in issue at

start of year 2,945.14 26,957.83 4,805.63 1,899.37 39,761.37

24,850.40

Issue of shares

during the year 273.07 2,104.76 - 101.09 19,610.32

40,774.51

Redemption of

shares during the

year (570.34) (5,200.73) (852.81) (779.90) (4,978.79)

(14,036.57)

Shares in issue at

year end 2,647.87 23,861.86 3,952.82 1,220.56 54,392.90

51,588.34

Class I3

(GBP)

Class I4

(CHF)

Class S1

(USD)

Class S2

(EUR)

Class S3

(GBP)

Number of Shares

Shares in issue at start of year 2,099.64 3,039.42 943.68 6,313.68 684.86

Issue of shares during the year 496.45 2,853.33 - - -

Redemption of shares during the

year (11.46) (785.36)

- (3,337.58) (556.17)

Shares in issue at year end 2,584.63 5,107.39 943.68 2,976.10 128.69

Share class Consideration

received

2015

Consideration

received

2014

Class D1 (USD) 33,861 236,450

Class D2 (EUR) 1,361,866 2,377,028

Class D4 (CHF) 14,472 61,333

Class I1 (USD) 180,928 17,321,004

Class I2 (EUR) 3,592,693 46,691,255

Class I3 (GBP) 3,044,061 699,047

Class I4 (CHF) 55,348 2,603,865

Total consideration received 8,283,229 69,989,982

8. Risks Associated with Financial Instruments

Interest rate risk

An increase in 50 basis points in interest rates as at the reporting date would have decreased the net

assets attributable to the holders of redeemable shares and changes in net assets attributable to holders

of redeemable shares by EUR436,409 (31 December 2014: EUR808,861). This is because of an increase

in interest income and a reduction in the value of the portfolio. A decrease of 50 basis points would have

had an equal but opposite effect.


55



Interest rate risk (continued)

The following table details the Fund’s exposure to interest rate risks. It includes the Fund’s assets and

trading liabilities at fair values, categorised by maturity date measured by the carrying value of the assets

and liabilities.

31-Dec-15

Assets

<1

month

1 - 3

months

3 - 12

months

>12

months

Non-

interest

bearing

Total

Held for Trading: EUR EUR EUR EUR EUR EUR

Convertible bonds - 1,393,213 373,136 67,628,490 - 69,394,839

Unrealised gain on forward

currency contracts - - - - 1,794,010 1,794,010

Options - - - - 3,172,538 3,172,538

Unrealised gain on CFD - - - - 888,114 888,114

Loans and receivables:

Cash in hand and cash

equivalents 230,657 - - - - 230,657

Margin cash 17,774,009 - - - - 17,774,009

Other receivables - - - - 518,889 518,889

Sales awaiting settlement - - - - 3,719,967 3,719,967

Total assets 18,004,666 1,393,213 373,136 67,628,490 10,093,518 97,493,023

Liabilities

<1

month

1 - 3

months

3 - 12

months

>12

months

Non-

interest

bearing

Total


Unrealised loss on forward

currency contracts

- - - - (3,200,066) (3,200,066)

Unrealised loss on CFD - - - - (1,201,892) (1,201,892)

Unrealised loss on futures - - - - (66,832) (66,832)

Other financial liabilities

measured at amortised cost:

Bank overdraft-cash in hand (50,317) - - - - (50,317)

Bank overdraft-margin cash (67,477) - - - - (67,477)

Accrued expenses and other

payables - - - - (366,751) (366,751)

Purchases awaiting

settlement - - - - (8,188,925) (8,188,925)

Total liabilities (117,794) - - - (13,024,466) (13,142,260)


56




31-Dec-14

Assets

<1

month

1 - 3

months

3 - 12

months

>12

months

Non-

interest

bearing

Total


Money market funds 3,000,000 - - - - 3,000,000

Convertible bonds - 698,758 7,276,257 127,599,190 - 135,574,205

Options - - - - 3,301,346 3,301,346


currency contracts - - - - 4,506,395 4,506,395



Cash and cash equivalents 2,256,381 - - - - 2,256,381

Margin cash 20,990,542 - - - - 20,990,542


Sales awaiting settlement - - - - 20,678 20,678

Total assets 26,246,923 698,758 7,276,257 127,599,190 9,267,747 171,088,875

Liabilities

<1

month

1 - 3

months

3 - 12

months

>12

months

Non-

interest

bearing

Total

Held for trading:


currency contracts - - - - (5,811,096) (5,811,096)

Unrealised loss on CFD - - - - (924,129) (924,129)



measured at amortised cost:

Bank overdraft-margin cash (49,087) - - - - (49,087)


payables - - - - (471,997) (471,997)

Purchases awaiting

settlement - - - - (709,476) (709,476)



57




The following table provides an analysis of the Fund’s net exposure to foreign currencies after including

forward foreign currency contracts with the exception of contracts used for hedging foreign currency share

classes as at 31 December 2015 and 31 December 2014:

31-Dec-15 31-Dec-14

Currency EUR EUR

AUD 480 289,346

CAD (10,973) -

CHF (3,666) 132

GBP 82,673 374,234

HKD 458,250 375,586

JPY 1,314,416 961,420

SEK 2 -

SGD 378 433,330

USD 3,267,370 298,566

Total 5,108,930 2,732,614

An increase in 50 basis points in Euro rates as at the reporting date would have decreased the net assets

attributable to the holders of redeemable shares and changes in net assets attributable to the holders of

redeemable shares by EUR25,545 (31 December 2014: EUR13,663). A decrease of 50 basis points

would have had an equal but opposite effect.

Exchange rates used are outlined on page 36 of these financial statements.

Other price risk

For the Fund, the Investment Manager monitors the effect of a 50% negative movement on all equity

markets, an increase in volatility by 10bps and a rise in yields by 100 and 50bps on the NAV assuming a

correlation of 1 in these markets. The results of this test on the portfolio are presented in the following

table.

NAV Effect

31-Dec-15

NAV Effect

31-Dec-14

EUR EUR

Stocks down 50% (4,753,443) (7,502,892)

Volatility increase by 10 bps 8,074,678 10,245,522

Yields rising by 100 bps (2,102,287) (2,794,590)

Yields rising by 50 bps (1,158,029) (1,434,269)


58



Other price risk (continued)

The tables below analyse the Fund’s concentration of mark-to-market risk by geographical and sector

distribution for 31 December 2015 and 31 December 2014 (excluding cash).

Country of risk exposure 31 December 2015 and 31 December 2014:

Country

of risk

Notional

Exposure

Long

EUR

31-Dec-15

Notional

Exposure

Short

EUR

31-Dec-15

Long

(% NAV)

Short

(% NAV)

Notional

Exposure

Long

EUR

31-Dec-14

Notional

Exposure

Short

EUR

31-Dec-14

Long

(% NAV)

Short

(% NAV)

United States 64,201,870 (33,507,719) 76.11 (39.73) 68,487,391 (22,046,093) 42.02 (13.53)

Germany 26,856,239 (16,913,534) 31.84 (20.05) 17,463,539 (7,206,111) 10.71 (4.42)

China 19,818,854 (6,987,528) 23.50 (8.28) 11,353,798 (2,763,109) 6.97 (1.70)

Italy 12,310,895 (6,872,325) 14.59 (8.15) 12,056,329 (1,530,789) 7.40 (0.94)

Britain 10,997,260 (3,277,502) 13.04 (3.89) 19,171,821 (6,870,709) 11.76 (4.22)

Norway 7,941,614 (4,517,354) 9.42 (5.35) 6,131,250 (4,224,819) 3.76 (2.59)

Japan 7,846,175 (7,545,908) 9.30 (8.95) 15,127,932 (949,658) 9.28 (0.58)

Netherlands 6,380,350 (112,506) 7.56 (0.13) 7,863,082 - 4.82 -

South Africa 4,767,578 (1,617) 5.65 - 454,489 - 0.28 -

Mexico 4,301,561 (496,989) 5.10 (0.59) - - - -

France 2,758,268 - 3.27 - 20,452,802 (10,697,774) 12.55 (6.56)

Spain 2,341,516 - 2.78 - 4,567,952 - 2.80 -

Hungary 2,257,684 - 2.68 - 4,975,590 - 3.05 -

Belgium 1,671,674 (885,569) 1.98 (1.05) - - - -

Portugal 1,485,171 - 1.76 - 7,089,857 - 4.35 -

Europe 1,366,245 (1,962,600) 1.62 (2.33) 5,521,937 (3,634,280) 3.39 (2.23)

Hong Kong 1,060,156 - 1.26 - 6,036,719 (1,792,573) 3.70 (1.10)

Taiwan 930,103 - 1.10 - 7,626,479 (248,901) 4.68 (0.15)

Switzerland 919,455 - 1.09 - - - - -

Canada 685,940 - 0.81 - - - - -

India 373,188 - 0.44 - - - - -

Israel 1,597 - - - - - - -

Finland - - - - 13,580,000 (13,336,798) 8.34 (8.18)

Russia - - - - 5,462,290 - 3.35 -

Austria - - - - 1,043,846 - 0.64 -

UAE - - - - 4,996,601 - 3.07 -

South Korea - - - - 777,590 - 0.48 -

Singapore - - - - 3,021,056 - 1.85 -

Sweden - - - - 2,507,895 - 1.54 -

Malaysia - - - - 1,674,978 - 1.03 -

Australia - - - - 2,136,905 - 1.31 -

Total 181,273,393 (83,081,151) 214.90 (98.50) 249,582,128 (75,301,614) 153.13 (46.20)


59




Sector exposure 31 December 2015 and 31 December 2014:

Sector of risk

Notional

Exposure

Long

EUR

31-Dec-15

Notional

Exposure

Short

EUR

31-Dec-15

Long

(% NAV)

Short

(% NAV)

Notional

Exposure

Long

EUR

31-Dec-14

Notional

Exposure

Short

EUR

31-Dec-14

Long

(% NAV)

Short

(% NAV)

Communication 40,734,073 (18,470,890) 48.29 (21.90) 41,543,451 (18,732,235) 25.49 (11.49)

Technology 28,765,565 (12,425,294) 34.10 (14.73) 31,938,330 (7,537,823) 19.60 (4.62)

Industrial 27,933,204 (14,939,534) 33.11 (17.71) 12,564,079 (5,688,309) 7.71 (3.49)

Consumer,

Non-cyclical 26,676,885 (14,965,792) 31.63 (17.74) 46,052,708 (12,497,471) 28.26 (7.67)

Financial 21,560,729 (8,202,387) 25.56 (9.73) 30,878,719 (6,347,267) 18.95 (3.89)

Consumer,

Cyclical 17,857,921 (7,913,622) 21.17 (9.38) 42,733,473 (12,421,304) 26.22 (7.62)

Utilities 6,571,250 (872,745) 7.79 (1.04) 7,934,485 (205,050) 4.87 (0.13)

Energy 4,814,519 - 5.71 - 16,770,808 - 10.28 -

Index 3,460,451 (4,828,285) 4.10 (5.72) 6,946,152 (11,644,993) 4.26 (7.14)

Basic Materials 2,898,796 (462,602) 3.44 (0.55) 9,219,923 (227,162) 5.65 (0.14)

Liquidity Fund - - - - 3,000,000 - 1.84 -

Total 181,273,393 (83,081,151) 214.90 (98.50) 249,582,128 (75,301,614) 153.13 (46.20)

The country and sector risk tables have been prepared using the underlying notional exposure where relevant,

and will not therefore reconcile to financial assets at fair value. This reflects how other price risk is monitored

and managed by the Investment Manager.

The Fund also uses absolute Value-at-Risk (VaR) analysis, which is a statistically based estimate of the

potential loss on the current portfolio from adverse market movements.

The absolute VaR figure cannot be greater than 20% of the NAV of the Fund.

The calculation of the absolute VaR is carried out in accordance with the following parameters:

1. one-tailed confidence interval of 99%;

2. holding period equivalent to 1 month (20 business days);

3. effective observation period (history) of risk factors of at least 1 year (250 business days);

4. daily calculation.

The VaR model is validated and audited at year end through the use of backtesting procedures. The results of

the backtesting procedures are communicated to the Board of Directors especially when there are signs of

excessive VaR back testing overshoots. Stress testing is also employed to highlight the validity of the

calculation model and suggest corrective actions in terms of model parameters and calibration.


60




The main risk covered by the VaR model is market risk. The model’s methodology is historical simulation

where no assumptions regarding returns distributions are made. The backtesting procedure includes

checking the Fund’s returns versus the VaR levels calculated by the risk engine. The time horizon used for

the backtesting of the VaR model is one day using one year’s historical data.

Historical simulation generates scenarios by applying risk factor movements from a historical period to

today’s risk factor levels then re-pricing each security from the new risk factor levels. There is no

distributional assumption (e.g. normality or log normality) neither for the risk factors nor for the securities.

Instead, distributions of underlying risk factors are taken exactly as found over the specified historical time

period. This method accurately prices all types of complex non-linear positions as well as simple linear

instruments. It also provides a full distribution of potential portfolio gains and losses (which need not be

symmetrical). If the underlying risk factors exhibit non-normal behaviour such as fat tails or mean

reversion, then the resulting VaR figure will include these effects. However, tail risk can only be examined

if the historical data set includes tail events.

Leverage has been computed using the sum of notionals approach, as recommended by the Central Bank

of Ireland. This approach does not allow for any kind of netting or hedging. The average leverage of 313%

(31 December 2014: 210%) has been computed using data calculated daily and was calculated over the

year ranging from 1 January 2015 until 31 December 2015.

VaR utilisation during 2015

Lowest Highest Average

2.22% 6.35% 3.54%



1.51% 4.94% 2.91%

Credit risk

The tables below indicate the long-term credit ratings of the counterparties of financial assets held as at 31

December 2015 and 31 December 2014:

31-Dec-15

Moody’s Standard & Poors Fitch

BNP Paribas A1 A+ A+

Bank of America Baa1 BBB+ A

Citibank A1 A A+

Daiwa Securities Group Baa1 BBB+ A-

JP Morgan A3 A- A+

Morgan Stanley A3 BBB+ A

Bank of Nomura Baa1 BBB+ N/R

Societe Generale A2 A A

31-Dec-14


Citibank Baa2 A- A


Morgan Stanley Baa2 A- A



61



Credit risk (continued)

Concentrations of credit risk exist when changes in economic, industry or geographic factors affect

counterparties whose aggregate credit exposure is significant in relation to the Fund’s total credit exposure

(see above concentration risk tables under other price risk). The Fund’s portfolio of financial instruments is

broadly diversified along industry, product and geographic lines, and transactions are entered into with a

range of counterparties, thereby mitigating any significant concentration of credit risk.

The table below indicates the credit ratings of the securities held:

Rating

Notional

Exposure

Long

EUR

31-Dec-15

Notional

Exposure

Short

EUR

31-Dec-15

Long

(% NAV)

Short

(% NAV)

Notional

Exposure

Long

EUR

31-Dec-14

Notional

Exposure

Short

EUR

31-Dec-14

Long

(% NAV)

Short

(%

NAV)

AA- - - - - 4,996,600 - 3.07 -

A 1,643,875 - 1.95 - 9,154,470 - 5.62 -

A- 5,276,000 - 6.25 - - - - -

A+ 969,262 - 1.15 - - - - -

AA+ 899,306 - 1.07 - - - - -

BBB+ 8,671,245 - 10.28 - - - - -

BBB - - - - 8,927,641 - 5.48 -

BBB- 7,493,813 - 8.88 - 2,742,694 - 1.68 -

BB+ 26,395,681 - 31.29 - 13,133,745 - 8.06 -

BB - - - - - - - -

BB- 3,652,269 - 4.33 - 4,974,246 - 3.05 -

B+ 7,755,248 - 9.19 - - - - -

B - - - - 1,929,174 - 1.18 -

B- 3,605,395 - 4.27 - 1,755,092 - 1.08 -

Not rated 114,911,299 (83,081,153) 136.23 (98.50) 201,968,466 (75,301,614) 123.91 (46.20)

Total 181,273,393 (83,081,153) 214.90 (98.50) 249,582,128 (75,301,614) 153.13 (46.20)

The Fund’s maximum credit risk exposure for financial instruments is as follows:

Financial Instrument Total Total

31-Dec-15 31-Dec-14

EUR EUR

Convertible bonds 69,394,839 135,574,205

Options 3,172,538 3,301,346

Unrealised gain on forward currency contracts 1,794,010 4,506,395

Unrealised gain on CFD 888,114 830,861

Cash in hand and cash equivalents 230,657 2,256,381

Money market funds - 3,000,000

Margin cash 17,774,009 20,990,542

Other receivables 518,889 608,467

Sales awaiting settlement 3,719,967 20,678

Total 97,493,023 171,088,875


62



Liquidity risk

The following table details the residual contractual maturities of financial liabilities at 31 December 2015:


For details on market risk, please refer to Note 6 of the aggregated financial statements.

<1

month

1 - 3

months

>3

months

No

maturity Total

EUR EUR EUR EUR EUR

Bank overdraft-cash in hand (50,317) - - - (50,317)

Bank overdraft-margin cash (67,477) - - - (67,477)


payables (366,751) - - - (366,751)

Purchases awaiting settlement (8,188,925) - - - (8,188,925)

Unrealised loss on forward currency

contracts (3,200,066) - - - (3,200,066)

Unrealised loss on CFD (1,201,892) - - - (1,201,892)

Unrealised loss on futures - (66,832) - - (66,832)

Net assets attributable to holders of

redeemable shares (84,350,763) - - - (84,350,763)

Total liabilities (including net

assets attributable to redeemable

shares) (97,426,191) (66,832) - - (97,493,023)

<1

month

1 - 3

months

>3

months

No

maturity Total

EUR EUR EUR EUR EUR



payables (471,997) - - - (471,997)

Purchases awaiting settlement (709,476) - - - (709,476)


contracts (5,811,096) - - - (5,811,096)

Unrealised loss on CFD (924,129) - - - (924,129)

Unrealised loss on futures - (136,354) - - (136,354)





shares) (170,952,521) (136,354) - - (171,088,875)


63



The following table analyses within the fair value hierarchy the Fund’s financial assets and liabilities

measured at fair value at 31 December 2015:

Assets Level 1

EUR

Level 2

EUR

Level 3

EUR

Total

EUR

Financial assets held for trading:

Convertible bonds - 69,394,839 - 69,394,839

Options 190,965 2,981,573 - 3,172,538

Unrealised gains on forward currency

contracts - 1,794,010 - 1,794,010

Unrealised gains on CFD - 888,114 - 888,114

Total assets 190,965 75,058,536 - 75,249,501

Liabilities

Financial liabilities held for trading:


contracts - (3,200,066) - (3,200,066)

Unrealised loss on CFD - (1,201,892) - (1,201,892)

Unrealised loss on futures (66,832) - - (66,832)

Total liabilities (66,832) (4,401,958) - (4,468,790)



Assets Level 1

EUR

Level 2

EUR

Level 3

EUR

Total

EUR


Money market funds 3,000,000 - - 3,000,000

Convertible bonds - 135,574,205 - 135,574,205

Options - 3,301,346 - 3,301,346


contracts - 4,506,395 - 4,506,395

Unrealised gains on CFD - 830,861 - 830,861

Total assets 3,000,000 144,212,807 - 147,212,807

Liabilities



contracts - (5,811,096) - (5,811,096)

Unrealised loss on CFD - (924,129) - (924,129)




64


9. Fair Value Estimation (continued)

Level 2 bonds are priced based on Bloomberg’s BVAL methodology, which derives a price based on

comparable actively traded bonds.

Derivatives have been valued using market observable inputs.

The policies for determining when transfers take place are as follows: we transfer from Level 1 to Level 2

when the level of trading activity reduces significantly and we transfer from Level 3 to Level 2 when

information on a similar asset traded in an active market becomes available.

There were no significant transfers between Level 1 and Level 2 during the year ended 31 December 2015

(2014: EURNil). There were no transfers in or out of Level 3 during the year ended 31 December 2015

(2014: EURNil).

10. Offsetting of Financial Instruments

The Fund may be eligible to present net on the Statement of Financial Position, certain financial assets and

financial liabilities according to criteria described in Note 3(e) of the aggregated financial statements. The

Fund did not meet the criteria for offsetting and therefore financial assets and liabilities are presented gross

on the Statement of Financial Position.


65


10. Offsetting of Financial Instruments (continued)

The following tables provides information on the financial impact of potential netting for instruments subject

to an enforceable master netting arrangement or similar agreement as at 31 December 2015 and 31

December 2014.

Financial assets subject to offsetting at 31 December 2015:

(a) (b) (c)=(a)-(b) (d) (e)=(c)-(d)

Gross amounts of recognised

financial assets

Gross amounts offset in

the statement

of financial position

Net amount presented

on the statement


Financial instruments

Cash collateral received Net amount

EUR EUR EUR EUR EUR EUR

Financial assets at fair value through profit or loss Bank of America

Derivatives 155,736 - 155,736 - - 155,736

BNP Paribas

Derivatives 390,611 - 390,611 390,611 - -

Daiwa Securities Group

Derivatives 246,167 - 246,167 - - 246,167

JP Morgan Chase

Derivatives 73,483 - 73,483 - - 73,483

Morgan Stanley

Derivatives 1,984,975 - 1,984,975 1,984,975 - -

Bank of Nomura

Derivatives 2,506,187 - 2,506,187 - - 2,506,187

Societe Generale

Derivatives 497,503 - 497,503 497,503 - -

Total 5,854,662 - 5,854,662 2,873,089 - 2,981,573

Financial liabilities subject to offsetting at 31 December 2015:

(a) (b) (c)=(a)-(b) (d) (e)=(c)-(d)


liabilities


the statement



on the statement



Cash collateral pledged Net amount


Financial liabilities at fair value through profit or loss BNP Paribas

Derivatives (477,099) - (477,099) (390,611) - (86,488)

Morgan Stanley

Derivatives (3,447,220) - (3,447,220) (1,984,975) - (1,462,245)

Societe Generale

Derivatives (544,471) - (544,471) (497,503) - (46,968)

Total (4,468,790) - (4,468,790) (2,873,089) - (1,595,701)


66




(a) (b) (c)=(a)-(b) (d) (e)=(c)-(d)


financial assets


the statement



on the statement






BNP Paribas

Derivatives 433,391 - 433,391 433,391 - -

Morgan Stanley

Derivatives 7,919,203 - 7,919,203 5,977,944 - 1,941,259

Societe Generale

Derivatives 286,008 - 286,008 286,008 - -

Total 8,638,602 - 8,638,602 6,697,343 - 1,941,259


(a) (b) (c)=(a)-(b) (d) (e)=(c)-(d)


liabilities


the statement



on the statement





Financial liabilities at fair value through profit or loss BNP Paribas

Derivatives (473,910) - (473,910) (433,391) - (40,519)

Morgan Stanley

Derivatives (5,977,944) - (5,977,944) (5,977,944) - -

Societe Generale

Derivatives (419,725) - (419,725) (286,008) - (133,717)

Total (6,871,579) - (6,871,579) (6,697,343) - (174,236)

11. Net Gain/(Loss) on Financial Assets and Liabilities at Fair Value through Profit or Loss

31-Dec-15

EUR

31-Dec-14

EUR

Held for trading:

Net realised gain on investments 19,515,708 574,936

Movement in unrealised (loss)/gain on investments (7,382,442) 7,110,146

Net gain on financial assets and liabilities at fair value

through profit or loss 12,133,266 7,685,082


67



For details of connected and related party transactions please see Note 9 of the aggregated financial

statements.

During the year Directors’ fees of EUR23,870 (31 December 2014: EUR22,257) were charged to the

Fund, out of which EURNil (31 December 2014: EUR4,652) remained unpaid as at 31 December 2015.

During the year an investment advisor fee of EUR833,817 (31 December 2014: EUR1,196,146) was

charged to the Fund, out of which EUR42,929 (31 December 2014: EUR102,278) remained unpaid as at

31 December 2015.

During the year an investment management fee of EUR1,072,223 (31 December 2014: EUR1,258,852)

was charged to the Fund, out of which EUR63,419 (31 December 2014: EUR129,164) remained unpaid as

at 31 December 2015.

During the year a performance fee of EUR279,612 (31 December 2014: EUR677,790) was charged to the

Fund, out of which EUR1,831 (31 December 2014: EURNil) remained unpaid as at 31 December 2015.


the Fund, out of which EUR5,737 (31 December 2014: EUR11,668) remained unpaid as at 31 December

2015.

During the year research and data fees of EUR153,769 (VAT inclusive) (31 December 2014: EUR72,000)

were charged to the Fund, out of which EUR54,337 (31 December 2014: EUR18,444) remained unpaid as


Other related parties

As at 31 December 2015, 544.85 (31 December 2014: 544.85) shares of Class S1 (USD) and Nil (31

December 2014: 470.46) shares in Class I1 (USD) are held by Cheyne Multi Strategy Fund L.P. which is

managed by the same Investment Manager.

As at 31 December 2015, 12,304.92 (31 December 2014: 16,810.58) shares of Class I2 (EUR) are held by

FCP Diversification Prudentielle which is managed by the same Investment Manager.


Effective 9 June 2015, the Fund changed its dealing date from each Friday and the last business day of

every month to each business day.

There were no other significant events during the year.


There is no significant event affecting the Fund since the year end.

68

CHEYNE EUROPEAN REAL ESTATE BOND FUND

AUDITED FINANCIAL STATEMENTS (IN WIND DOWN)


CHEYNE EUROPEAN REAL ESTATE BOND FUND (IN WIND DOWN)


69


Note

31-Dec-15*

EUR

31-Dec-14

EUR

Assets

Cash in hand and cash equivalents 5 - 15,862,734

Margin cash 5 - 1,269,998


Investments in transferable securities 3 - 86,944,938

Investments in financial derivative instruments 3 - 933,859

Other receivables 4 - 199,673

Total assets - 105,211,202

Liabilities


Investments in financial derivative instruments 3 - (775,663)

Accrued expenses 6 - (93,901)

Portfolio support fee payable 2(h) - (8,051)

Investment advisor fee payable 2(e) - (51,123)

Investment management fee payable 2(f) - (75,475)

Performance fees payable 2(g) - -

Subscriptions received in advance - (573,899)

Total liabilities (excluding Net Assets Attributable to

Holders of Redeemable Shares) - (1,578,112)

Net Assets Attributable to Holders of Redeemable Shares - 103,633,090

Adjustment for revaluation of net assets attributable to

Redeemable Shareholders 12 - 11,505


*Effective 31 July 2015, the Cheyne European Real Estate Bond Fund was closed.



70



31-Dec-15* 31-July-15* 31-Dec-14 31-Dec-13

Class HGRE-D1 (EUR)

Number of shares per class - - 15,364.36 15,112.92

Net Asset Value per share - - EUR108.75 EUR106.44

Net Asset Value - - EUR1,670,822 EUR1,608,675

Class HGRE-D2 (USD)

Number of shares per class - - 1,000.00 1,000.00

Net Asset Value per share - - USD104.40 USD102.08

Net Asset Value - - EUR86,278 EUR74,080

Class HGRE-D3 (GBP)

Number of shares per class - - 200.00 200.00

Net Asset Value per share - - GBP104.70 GBP102.13

Net Asset Value - - EUR26,982 EUR24,551

Class HGRE-I1 (EUR)

Number of shares per class - 7,042.87 389,055.37 435,111.35

Net Asset Value per share - EUR110.50 EUR112.31 EUR109.42

Net Asset Value - EUR778,215 EUR43,693,058 EUR47,609,449

Class HGRE-I2 (USD)


Net Asset Value per share - USD112.08 USD112.89 USD109.88


Class HGRE-I3 (GBP)

Number of shares per class - 361.53 131,440.91 137,981.22

Net Asset Value per share - GBP112.27 GBP113.35 GBP110.06


Class HGRE-I4 (CHF)

Number of shares per class - 591.70 13,782.95 -

Net Asset Value per share - CHF96.70 CHF99.62 -

Net Asset Value - EUR53,885 EUR1,141,966 -




71


Note

31-Dec-15*

EUR

31-Dec-14

EUR

Income


profit or loss 11 4,003,673 8,526,699

Net gain/(loss) on foreign exchange 493,306 (229,291)

Interest income 887,326 1,469,251

Other income - 11,059

Total income 5,384,305 9,777,718

Expenses

Investment management fee 2(f) (308,687) (735,558)

Investment advisor fee 2(e) (209,955) (500,169)

Performance allocation 2(g) - (304,869)

Other expenses 2(j) (108,324) (158,889)

Interest expense (69,444) (158,315)



Directors’ fees 2(d) (9,449) (16,102)

Custodian fee 2(c) (6,355) (15,500)



Total expenses (859,601) (2,103,073)

Increase in Net Assets Attributable to Holders of Redeemable

Shares 4,524,704 7,674,645

The Fund had no recognised gains or losses during the financial year other than those reported in the

Statement of Comprehensive Income. All results are from discontinued operations.




72

STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE SHARES


31-Dec-15*

EUR

31Dec-14

EUR


the year 103,633,090 83,544,609


operations 4,524,704 7,674,645




year - 103,633,090




73


31-Dec-15*

EUR

31-Dec-14

EUR



from operations 4,524,704 7,674,645



Decrease/(Increase) investments in financial derivative instruments 158,196 (181,183)

Decrease/(increase) in other receivables and assets 199,673 (91,099)



Financing






Cash in hand and cash equivalents at end of year - 17,132,732




Interest paid (69,444) (158,315)



74



The investment objective of the Cheyne European Real Estate Bond Fund (the “Fund”) was to maximise

total rates of return, meaning capital appreciation plus income of its investments, over the medium term

from investments in bonds backed by real estate, with prudent selection of bonds and generally moderate

levels of volatility. The Fund invested in fixed income and asset backed securities.

The Fund had Class HGRE-D1 (EUR), Class HGRE-D2 (USD), Class HGRE-D3 (GBP), Class HGRE-D4

(CHF), Class HGRE-I1 (EUR), Class HGRE-I2 (USD), Class HGRE-I3 (GBP) and Class HGRE-I4 (CHF)

shares available for investment.

Effective 31 July 2015, the Cheyne European Real Estate Bond Fund was closed. As such these financial

statements have been prepared on a wind down basis.



Citibank Europe plc was the “Administrator” of the Fund pursuant to an Administration Agreement dated 1

October 2011.

The Administrator was entitled to receive out of the assets of the Fund an annual fee, accrued daily and

payable monthly in arrears, based on the net asset value (NAV) of the Fund, of up to a maximum of

0.12%, subject to a minimum annual administration fee of EUR77,000 (plus VAT, if any thereon) and an

additional fee of EUR1,150 per month for weekly valuations and an additional fee of EUR1,750 per month

for indicative daily valuations, where applicable (plus VAT if any thereon). The minimum fee may have

been fully or partially waived by the Administrator for such period or periods of time as may be agreed

between the Fund and the Administrator from time to time.

In addition to such base remuneration, the Administrator was entitled to charge the Fund fees relating to

any additional services required in relation to corporate secretarial, audit support, tax assistance or

investor rebate services, as may be agreed with the Fund and which was charged at normal commercial

rates.

During the year an administration fee of EUR66,431 (31 December 2014: EUR130,609) was charged to

the Fund, EURNil (31 December 2014:EUR24,707) remained unpaid as at 31 December 2015.

Administration fee payable for the years ended 31 December 2015 and 31 December 2014 are shown in

Note 6.

(b) Audit Fee


2010 (S.I. No. 220 of 2010)), the Fund was obliged to disclose fees paid to the Fund’s Auditor. During the


EURNil (31 December 2014: EUR9,671) was payable at year end. Payment in respect of other assurance,

tax advisory and other non-audit fees are EUR6,784 (31 December 2014: EUR7,910).


Citi Depositary Services Ireland Limited acted as the “Custodian and Trustee” of the Fund until the 31 July

2015, when the Fund closed.


75




The Custodian was entitled to receive out of the assets of the Fund an annual fee, accrued daily and




when any other sub-custodian was used and subject to a minimum annual custody services fee of

EUR15,500.

In addition to such remuneration, the Custodian was entitled to charge the Fund fees relating to any

custody or transactional services, as may be agreed with the Company and was charged at standard

commercial rates.

The Custodian was also entitled to be repaid for all of its out-of-pocket expenses reasonably incurred on




During the year a custodian fee of EUR6,355 (31 December 2014: EUR15,500) was charged to the Fund,

EURNil (31 December 2014: EUR5,353) remained unpaid as at 31 December 2015.


Fund, EURNIL (31 December 2014: EUR3,812) remained unpaid as at 31 December 2015.

(d) Directors' Fees

The Articles authorised the Directors to charge a fee for their services at a rate determined by the

Directors up to a maximum fee per Director of GBP25,000 per annum for the Umbrella. All Directors were

entitled to reimbursement by the Fund of expenses properly incurred in connection with the business of

the Fund or the discharge of their duties.

During the year Directors’ fees of EUR 9,449 (31 December 2014: EUR16,102) were charged to the Fund,

EUR Nil (31 December 2014: EUR5,394) remained unpaid as at 31 December 2015.




The Investment Advisor was entitled to receive, out of the assets of the Fund, an annual fee accrued at

each Valuation Point and payable monthly in arrears at a rate of 1.00% per annum of the NAV of the Fund

allocable to Class HGRE-D shares and at a rate of 0.50% per annum of the NAV of the Fund allocable to

Class HGRE-I shares. The Investment Advisor was also entitled to be reimbursed by the Fund for all of its

out-of-pocket expenses reasonably incurred on behalf of the Fund.

Effective 22 May 2015, the annual investment advisor fee rate changed to 0.54% of the NAV of the Fund

allocable to Class HGRE-D shares and 0.24% of the NAV of the Fund allocable to Class HGRE-I shares.

During the year an investment advisor fee of EUR209,955 (31 December 2014: EUR500,169) was

charged to the Fund, EURNil (31 December 2014: EUR51,123) remained unpaid as at 31 December 2015.


76




The Investment Manager was entitled to receive out of the assets of the Fund an annual Investment


annum of the NAV of the Fund allocable to Class HGRE-D shares and Class HGRE-I shares.

Effective 22 May 2015, the annual Investment Management Fee rate changed to 0.36% per annum of the

NAV of the Fund allocable to Class HGRE-D shares and Class HGRE-I shares.

The Investment Manager was entitled to be reimbursed by the Fund for all of its out-of-pocket expenses

and vouched internal legal costs reasonably incurred on behalf of the Fund.

During the year an investment management fee of EUR308,687 (31 December 2014: EUR735,558) was

charged to the Fund, EURNil (31 December 2014: EUR75,475) remained unpaid as at 31 December

2015.


The Investment Manager and the Investment Advisor were entitled to receive, out of the assets allocable

to Class HGRE-I shares and the Class HGRE-D shares, a total performance allocation equal to 10% of the

increase in the NAV of the relevant Class over the relevant performance hurdle and the relevant High

Water Mark (HWM) during a performance period, disregarding any un-crystallised performance allocation.

60% of any performance allocation was due to the Investment Manager and 40% was due to the

Investment Advisor. The initial performance period commenced on the first business day after expiry of the

initial offer period.




month dollar LIBOR on the first day of the performance period, (iii) for any CHF Share Class, the 3 month

Swiss Franc LIBOR on the first day of the performance period and (iv) for any GBP Share Class, the 3

month GBP LIBOR on the first day of the performance period.

The HWM ensures that, if a class falls in value, a performance allocation will only be payable on that part


The HWM was initially the value invested in the class, and is adjusted at each valuation point to take

account of subscriptions, redemptions and distributions impacting the valuation at that date. The HWM

was increased by the value of subscriptions, reduced by the value of distributions, and prorated down by

the proportion of shares of the class redeeming.

If the class fell in value in relation to the HWM following payment of the performance allocation in any

previous period, the Investment Manager retained all performance allocation previously crystallised for that

class but no further performance allocation was charged until performance above the HWM was achieved

by the class.

The performance allocation was accrued at each valuation point and accordingly the NAV was adjusted to

reflect such fee. Notwithstanding the foregoing, any accrued performance allocation referable to shares

redeemed prior to the end of the performance period crystallised and became payable to the Investment

Manager following such redemption. The performance period was each calendar quarter. This crystallising

performance allocation was calculated as a pro rata portion of the un-crystallised performance allocation

which formed part of the price at which the relevant shareholder redeemed.


77



(g) Performance Allocation (continued)

Following the issue of the second Supplement dated 9 June 2015, the Fund did not charge fees for

performance during the year ended 31 December 2015.

During the year a performance allocation of EURNil (2014: EUR304,869) was charged to the Fund out of

which EURNil (2014: EURNil) remained unpaid as at 31 December 2015. The performance allocation was

periodically verified by the trustee.


The Investment Manager was entitled to receive an annual portfolio support fee of 0.08% per annum of the

first EUR200 million of the NAV of the Fund, 0.06% per annum of the NAV of the Fund between EUR200

million and EUR400 million; 0.04% per annum of the NAV of the Fund between EUR400 million and

EUR650 million; and 0.02% per annum of the NAV of the Fund in excess of EUR650 million.


the Fund and EURNil (31 December 2014: EUR8,051) remained unpaid as at 31 December 2015.


The Fund would reimburse the Investment Manager for monies spent by the Investment Manager to

obtain other research, market data, corporate access, analysis and/or other similar services for the Fund,

up to a maximum of 0.10% per annum of the average net asset value of the Fund.


are as follows:

31-Dec-15 31-Dec-14

EUR EUR

Research and data fees * (36,279) (4,602)

VAT (1,844) -

Total (38,123) (4,602)



(j) Other Expenses

31-Dec-15

EUR

31-Dec-14

EUR

Audit fees (23,645) (47,133)


Legal fees (30,729) (29,582)

Insurance Expense (10,104) (21,451)


VAT Services Fee Expense (4,975) (2,191)

Directors expenses 827 (391)

(108,324) (158,889)


78




31-Dec-15

EUR

31-Dec-14

EUR

Held for Trading

Mortgage-backed securities - 86,944,938

Unrealised gain on forward currency contracts - 933,859

- 87,878,797


Held for Trading

Unrealised loss on forward currency contracts - (775,663)

- (775,663)


31-Dec-15

EUR

31-Dec-14

EUR

Interest receivables - 191,046

Prepaid insurance expenses - 8,627

- 199,673


31-Dec-15

EUR

31-Dec-14

EUR


-EUR - 15,444,556

-GBP - 411,067

-USD - 7,111

- 15,862,734

Margin cash:

-EUR - 1,269,998

- 1,269,998

Total cash in hand and cash equivalents - 17,132,732

* Cash in hand and cash equivalents were held with the Custodian.


79


6. Accrued Expenses


31-Dec-15

EUR

31-Dec-14

EUR

Miscellaneous expenses payable - (43,962)

Administration fee payable - (24,707)

Audit fees payable - (9,671)


Custodian fee payable - (5,353)

Trustee services fees payable - (3,812)

Directors expense payable - (1,002)

Total - (93,901)


There were eight share classes offered in the Fund. Details of these share classes are set out below:

Available for

Class of Share Minimum Subscription Minimum Holding Subscription

SS

Subscription Class HGRE-D1 (EUR) EUR50,000 EUR25,000 No

Class HGRE-D2 (USD) USD50,000 USD25,000 No

Class HGRE-D3 (GBP) GBP50,000 GBP25,000 No

Class HGRE-D4 (CHF) CHF50,000 CHF25,000 No

Class HGRE-I1 (EUR) EUR100,000 EUR50,000 No

Class HGRE-I2 (USD) USD100,000 USD50,000 No

Class HGRE-I3 (GBP) GBP100,000 GBP50,000 No

Class HGRE-I4 (CHF) CHF100,000 CHF50,000 No

During the first initial offer period, from 28 March 2012 to 30 April 2012, shares were offered at an initial

price of EUR100 for Class HGRE-D1 (EUR), USD100 for Class HGRE-D2 (USD), GBP100 for Class

HGRE-D3 (GBP), EUR100 for Class HGRE-I1 (EUR), USD100 for Class HGRE-I2 (USD) and GBP100

for Class HGRE-I3 (GBP).

During the second initial offer period, from 19 July 2013 to 30 August 2013, shares were offered at an

initial price of USD100 for Class HGRE-D2 (USD), GBP100 for Class HGRE-D3 (GBP), CHF100 for Class

HGRE-D4 (CHF) and CHF100 for Class HGRE-I4 (CHF).

During the third initial offer period, from 7 August 2014 to 3 November 2014, shares were offered at an

initial price of CHF100 for Class HGRE-D4 (CHF) and CHF100 for Class HGRE-I4 (CHF).


80



Following the initial offer period, applications received by the Administrator prior to the dealing deadline

for any dealing day were processed on that dealing day. Any applications received after the dealing

deadline for a particular dealing day were processed on the following dealing day unless the Directors in

their absolute discretion otherwise determine to accept one or more applications received after the

dealing deadline for processing on that dealing day, provided that such applications had been received

prior to the valuation point for the particular dealing day.

Requests for redemptions received prior to the dealing deadline for any dealing day were processed on

that dealing day. Any requests for redemption received after the dealing deadline for a dealing day were


provided that such redemption request(s) had been received prior to the valuation point for the particular

dealing day. Redemption requests were accepted for processing where cleared funds and completed

documents including documentation relating to money laundering prevention checks were in place from

original subscriptions. No redemption payment were made from an investor account until the original

Application Form and all documentation required by or on behalf of the Fund (including any documents in

connection with anti-money laundering procedures) had been received from the investor and the anti-

money laundering procedures had been completed.

The minimum value of shares which a shareholder redeemed in any one redemption transaction was

EUR2,000 (or its USD/GBP equivalent). In the event of a shareholder requesting a redemption which

would, if carried out, leave the shareholder holding shares of a class having a NAV less than the relevant

minimum holding, the Fund would, if it thinks fit, redeem the whole of the shareholder's holding.

The Fund did not charge redemption fee to the shareholders. However, the Directors were empowered to

charge a redemption fee of up to 3% of the redemption monies and exercise their discretion in this

respect. The Directors differentiated between shareholders of the Fund by waiving or reducing the

redemption fee chargeable to certain shareholders.

As at 31 December 2015, all Classes were fully redeemed. Shareholders’ capital details are shown below:

31-Dec-15

Class

HGRE-D1

(EUR)

Class

HGRE-D2

(USD)

Class

HGRE-D3

(GBP)

Class

HGRE-I1

(EUR

Number of Shares

Shares in issue at start of year 15,364.36 1,000.00 200.00 389,055.37

Issue of shares during the year 1,946.27 - - 35,471.85

Redemption of shares during the year (17,310.63) (1,000.00) (200.00) (424,527.22)

Shares in issue at year end - - - -

Class

HGRE-I2

(USD)

Class

HGRE-I3

(GBP)

Class

HGRE-I4

(GBP)

Number of Shares

Shares in issue at start of year 405,477.03 131,440.91 13,782.95

Issue of shares during the year 18,798.51 137.86 4,784.64

Redemption of shares during the year (424,275.54) (131,578.77) (18,567.59)

Shares in issue at year end - - -


81



31-Dec-14

Class

HGRE-D1

(EUR)

Class

HGRE-D2

(USD)

Class

HGRE-D3

(GBP)

Class

HGRE-I1

(EUR)

Number of Shares

Shares in issue at start of year 15,112.92 1,000.00 200.00 435,111.35

Issue of shares during the year 6,445.56 - - 188,749.85

Redemption of shares during the year (6,194.12) - -

(234,805.83)

Shares in issue at year end 15,364.36 1,000.00 200.00 389,055.37

Class

HGRE-I2

(USD)

Class

HGRE-I3

(GBP)

Class

HGRE-I4

(GBP)

Number of Shares

Shares in issue at start of year 200,501.97 137,981.22 -

Issue of shares during the year 217,423.09 2,465.92 13,782.95

Redemption of shares during the year (12,448.03) (9,006.23) -

Shares in issue at year end 405,477.03 131,440.91 13,782.95


received

2015

Consideration

received

2014

Class HGRE-D1 (EUR) 211,751 693,719

Class HGRE-D2 (USD) - -

Class HGRE-D3 (GBP) - -

Class HGRE-I1 (EUR) 3,990,124 21,237,140

Class HGRE-I2 (USD) 1,898,733 18,271,168

Class HGRE-I3 (GBP) 20,449 358,223

Class HGRE-I4 (CHF) 453,225 1,143,308



Interest rate risk

The Fund was primarily, but not materially exposed to interest rate risk through its cash in hand and cash

equivalents. The expected yield over the life of these may be lower if short-term interest rates were lower

than forecast.

The investment portfolio was exposed to interest rate risk in the respect that changes in interest rates may

have an effect on the prepayments and defaults of the underlying loans of the securitisations. The direct

interest rate risk on the value of the investment portfolio was minimal as the majority of the assets in the

Fund’s investment portfolio were floating rate positions in securitisation transactions.


82



Due to the nature of the securitisations, the liabilities were matched to the underlying collateral and in

almost all instances, the margin on the liabilities were fixed. The cash flows from underlying loans may be

subject to interest rate exposure as the majority of the underlying mortgage loans were floating rate.

Changes in interest rates can affect the Fund’s net interest income, but this was not a material part of the

income as the majority of the effective yield used to calculate the interest income was driven more by the

capital appreciation and less by the interim coupons received.

These risks were not actively managed by the Fund.

Cash flow interest risk arises on cash in hand and cash equivalents. As at 31 December 2015, the Fund

was not exposed to interest rate risk. As at 31 December 2014, an increase in 50 basis points in interest

rates as at the reporting date would have increased the net assets attributable to the holders of

redeemable shares and changes in net assets attributable to holders of redeemable shares by

EUR520,389. A decrease of 50 basis points would have had an equal but opposite effect.

31-Dec-14

Assets

< 1

month

1 - 3

months

3 - 12

months

> 12

months

Non-

interest

bearing

Total


Mortgage-backed securities - - 4,826,633 82,118,305 - 86,944,938


currency contracts - - - - 933,859 933,859



equivalents 15,862,734 - - - - 15,862,734

Margin cash 1,269,998 - - - - 1,269,998

Other receivable - - - - 199,673 199,673

Total assets 17,132,732 - 4,826,633 82,118,305 1,133,532 105,211,202

Liabilities

Held for Trading:


currency contracts - - - - (775,663) (775,663)

Other financial liabilities measured at

amortised cost:

Subscriptions in advance - - - - (573,899) (573,899)

Accrued expenses other

payables - - - - (228,550) (228,550)

Total liabilities - - - - (1,578,112) (1,578,112)


83




As at 31 December 2015, the Fund was not exposed to foreign currency risk.



classes as at 31 December 2014:

31-Dec-15 31-Dec-14

Currency EUR EUR

GBP - (161,253)

USD - 7,111

Total - (154,142)

As at 31 December 2014, an increase in 50 basis points in Euro rates as at the reporting date would have

decreased the net assets attributable to the holders of redeemable shares and changes in net assets

attributable to the holders of redeemable shares by EUR771. A decrease of 50 basis points would have

had an equal but opposite effect.


Other price risk

Global exposure was measured using the commitment approach for this Fund. The commitment approach

calculates risk exposure by determining the market value of the underlying assets to which the derivative

contract refers, and this risk exposure may not represent more than 100% of the NAV. As at 31 December

2015, the Fund was not exposed to other price risk (31 December 2014: 84%).

The Fund was exposed to mortgage backed securities price risk. This arose from investments held by the

Fund for which prices in the future were uncertain. Where financial instruments were denominated in

currencies other than the currency of issue for the specific class in which they were held, the price initially

expressed in foreign currency and then converted into class specific currency fluctuated because of

changes in foreign exchange rates.

Changes in the market price of the investments had a direct impact on the value of the portfolio. The Fund

did not hedge against these possible changes in the price of the investments. As at 31 December 2014, a

1% decrease in bond prices held in the Portfolio would have a EUR869,449 impact on the NAV, with a 1%

increase having an equal but opposite effect. As at 31 December 2015, the Fund held no investments in

bonds.

Credit risk


December 2014. As at 31 December 2015, the Fund was not exposed to credit risk.

31-Dec-14


Citibank A1 A A+

Concentrations of credit risk exist when changes in economic, industry or geographic factors affect

counterparties whose aggregate credit exposure is significant in relation to the Fund’s total credit exposure

(see above concentration risk tables under other price risk). The Fund’s portfolio of financial instruments

was broadly diversified along industry, product and geographic lines, and transactions were entered into

with a range of counterparties, thereby mitigating any significant concentration of credit risk.


84




The table below indicates the credit ratings of the securities held:

Rating

Notional

Exposure

Long

EUR

31-Dec-15

Notional

Exposure

Short

EUR

31-Dec-15

Long

(% NAV)

Short

(% NAV)

Notional

Exposure

Long

EUR

31-Dec-14

Notional

Exposure

Short

EUR

31-Dec-14

Long

(% NAV)

Short

(% NAV)

AAA - - - - 19,928,289 - 22.92 -

AA - - - - 6,108,474 - 7.03 -

A+ - - - - 2,932,481 - 3.37 -

A - - - - 14,713,033 - 16.92 -

A- - - - - 1,968,166 - 2.26 -

A1 - - - - - - - -

A2 - - - - - - - -

A3 - - - - - - - -

Baa1 - - - - - - - -

Baa3 - - - - - - - -

BBB+ - - - - 9,459,180 - 10.88 -

BBB - - - - 22,834,427 - 26.26 -

BBB- - - - - 2,245,055 - 2.58 -

BB+ - - - - 2,478,518 - 2.85 -

BB - - - - 4,277,525 - 4.93 -

B- - - - - - - - -

Total - - - - 86,945,148 - 100.00 -


Financial Instrument

31-Dec-15

EUR

31-Dec-14

EUR

Mortgage-backed securities - 86,944,938

Cash in hand and cash equivalents - 15,862,734

Margin cash - 1,269,998


Other receivables - 199,673

Total - 105,211,202


85



Liquidity risk

As at 31 December 2015, the Fund was not exposed to liquidity risk.




Following the termination of the Fund, the Fund holds no financial assets and liabilities measured at fair

value at 31 December 2015.



Assets Level 1

EUR

Level 2

EUR

Level 3

EUR

Total

EUR


Mortgage-backed securities - 86,944,938 - 86,944,938


contracts - 933,859 - 933,859

Total assets - 87,878,797 - 87,878,797

Liabilities Level 1

EUR

Level 2

EUR

Level 3

EUR

Total

EUR



contracts - (775,663) - (775,663)

Total liabilities - (775,663) - (775,663)

Level 2 bonds were priced based on Bloomberg’s BVAL methodology, which derived a price based on


Derivatives had been valued using market observable inputs.

< 1

month

1 - 3

months

> 3

months

No

maturity Total

EUR EUR EUR EUR EUR

Subscription received in advance (573,899) - - - (573,899)

Accrued expenses and other payables (228,550) - - - (228,550)


contracts - (775,663) - - (775,663)





shares) (104,435,539) (775,663) - - (105,211,202)


86



The policies for determining when transfers take place were as follows: we transfer from Level 1 to Level 2




(2014: EURNil). There were no transfers in or out of Level 3 during the year ended 31 December 2015

(2014: EURNil).


According to criteria described in Note 3(e) of the aggregated financial statements, the Fund did not meet

the criteria for offsetting and therefore financial assets and liabilities were presented gross on the

Statement of Financial Position.

As at 31 December 2015, the Fund did not hold any instruments subject to an enforceable master netting

arrangement or similar agreement.


to an enforceable master netting arrangement or similar agreement as at 31 December 2014.


(a) (b) (c)=(a)-(b) (d) (e)=(c)-(d)


assets


the statement



on the statement



Cash collateral received

Net amount



Citibank

Derivatives 933,859 - 933,859 775,663 - 158,196

Total 933,859 - 933,859 775,663 - 158,196


(a) (b) (c)=(a)-(b) (d) (e)=(c)-(d)


liabilities


the statement



on the statement



Cash collateral pledged

Net amount



Citibank Derivatives (775,663) - (775,663) (775,663) - -

Total (775,663) - (775,663) (775,663) - -


87



31-Dec-15

EUR

31-Dec-14

EUR

Held for trading:

Net realised gain on investments 9,258,901 6,883,619



profit or loss 4,003,673 8,526,699

12. Net Assets Attributable to Holders of Redeemable Shares

In accordance with the provisions of the Prospectus, formation costs are amortised and then written off

over a period of 60 months. This treatment is contrary to IFRS which requires such costs to be expensed

when incurred. Therefore, for reporting purposes, an adjustment of EUR11,505 was made to reconcile the

Statement of Financial Position as at 31 December 2014. During the year ended 31 December 2015 there

were no new invoices for formation costs. The cumulative differences are included as ‘Adjustment for

revaluation of net assets attributable to holders of redeemable shares’ in the Statement of Financial

Position.



statements.

During the year Directors’ fees of EUR9,449 (31 December 2014: EUR16,102) were charged to the Fund,

out of which EURNil (31 December 2014: EUR5,394) remained unpaid as at 31 December 2015.

During the year an investment advisor fee of EUR209,955 (31 December 2014: EUR500,169) was charged

to the Fund, out of which EURNil (31 December 2014: EUR51,123) remained unpaid as at 31 December

2015.


charged to the Fund, out of which EURNil (31 December 2014: EUR75,475) remained unpaid as at 31

December 2015.


the Fund, out of which EURNil (31 December 2014: EUR8,051) remained unpaid as at 31 December

2015.


were charged to the Fund, out of which EURNil (31 December 2014: EURNil) remained unpaid as at 31

December 2015.


88



Effective 22 May 2015, the annual investment advisor fee rate changed from 1.00% to 0.54% of the NAV

of the Fund allocable to Class HGRE-D shares and from 0.50% to 0.24% of the NAV of the Fund allocable

to Class HGRE-I shares.

Effective 22 May 2015, the annual investment management fee rate changed from 0.75 % to 0.36% per

annum of the NAV of the Fund allocable to Class HGRE-D shares and Class HGRE-I shares.

Following the issuance of the second Supplement dated 9 June 2015, the Fund did not charge fees for

performance during the year ended 31 December 2015.

Effective 31 July 2015, the Directors resolved to terminate the Fund. All investors voluntarily redeemed out

of the Fund by 31 July 2015 except for one investor who was compulsorily redeemed as at 31 July 2015

based on the Fund’s final calculated NAV. The Fund’s final NAV as at 31 July 2015 of EUR1,807,472 was

distributed to investors by 12 August 2015. Following settlement of all outstanding liabilities, a residual

balance of 9,626 EUR was distributed to investors on 14 December 2015.




89

CHEYNE GLOBAL CREDIT FUND



A claim of exemption under Regulation §4.7 has been filed with the Commodity Futures Trading Commission

for Cheyne Global Credit Fund



90


Note

31-Dec-15

EUR

31-Dec-14

EUR

Assets

Cash in hand and cash equivalents 5 11,835,254 36,928,476

Margin cash 5 6,888,167 7,563,399




Sales awaiting settlement - 37,189

Other receivables 4 4,019,294 3,260,639

Total assets 170,125,356 220,051,584

Liabilities

Bank overdraft-cash in hand 5 (4,286) (896,626)

Bank overdraft-margin cash 5 (1,262,999) (4,114,927)




Purchases awaiting settlement - (140,080)



Investment advisor fee payable (61,324) (74,924)

Investment management fee payable (85,585) (108,021)

Performance fees payable (69) (149,191)

Total liabilities (excluding Net Assets Attributable to Holders

of Redeemable Shares) (7,040,385) (9,959,822)


Adjustment for revaluation of net assets attributable to Redeemable

Shareholders 12 28,460 50,514




91



31-Dec-15 31-Dec-14 31-Dec-13

Class GC-D1 (EUR)

Number of shares per class 94,015.39 63,336.84 -

Net Asset Value per share EUR98.88 EUR101.72 -

Net Asset Value EUR9,295,969 EUR6,442,364 -

Class GC-I1 (EUR)

Number of shares per class 969,780.71 1,085,330.83 832,925.10

Net Asset Value per share EUR117.44 EUR120.22 EUR115.47


Class GC-I2 (USD)


Net Asset Value per share USD110.09 USD112.37 USD107.92


Class GC-I3 (GBP)


Net Asset Value per share GBP102.21 GBP104.18 -

Net Asset Value EUR1,392,490 EUR221,241 -

Class GC-I4 (CHF)


Net Asset Value per share CHF105.28 CHF108.91 CHF104.81




92


Note

31-Dec-15

EUR

31-Dec-14

EUR

Income

Net (loss)/gain on financial assets and liabilities at fair value

through profit or loss 11 (11,617,442) 5,878,364

Net gain/(loss) on foreign exchange 1,052,186 (135,867)

Interest income 29,807,982 22,392,081

Total income 19,242,726 28,134,578

Expenses




Other expenses 2(j) (352,292) (252,015)





Custodian fee 2(c) (39,254) (15,500)

Directors’ fees 2(d) (22,514) (24,361)

Total expenses (16,336,658) (13,357,975)







93



31-Dec-15

EUR

31-Dec-14

EUR


the year 210,091,762 137,384,947

Increase in net assets attributable to holders of redeemable

shares from operations 2,906,068 14,776,603




year 163,084,971 210,091,762



94


31-Dec-15

EUR

31-Dec-14

EUR



operations 2,906,068 14,776,603



Decrease/(increase) in investments in financial derivative instruments 6,911,174 (8,109,983)

Decrease/(increase) in sales awaiting settlement 37,189 (37,189)

Increase in other receivables and assets (758,655) (1,005,086)

Decrease in purchases awaiting settlements (140,080) (16,380,017)



Financing










Interest paid (12,706,625) (10,046,439)


95



The investment objective of the Cheyne Global Credit Fund (the “Fund”) is to maximise total rates of

return, meaning capital appreciation plus income of its investments, over the medium term from returns on

corporate debt and derivatives thereof, with prudent levels of risk while maintaining generally moderate

levels of volatility. The Fund invests in CDS and fixed income securities.

The Fund currently has Class GC-I1 (EUR), Class GC-I2 (USD), Class GC-I3 (GBP),Class GC-I4 (CHF),

Class GC-I5 (NOK) (not funded), Class GC-D1 (EUR), Class GC-D2 (USD) (not funded), Class GC-D3

(GBP) (not funded), Class GC-D4 (CHF) (not funded), and Class GC-D5 (NOK) (not funded) shares

available for investment.




1 October 2011.

The Administrator receives out of the assets of the Fund an annual fee, accrued at each valuation point

and payable monthly in arrears, based on the net asset value (NAV) of the Fund, of up to a maximum of

0.12%, subject to a minimum annual administration fee of EUR77,000 and an additional fee of EUR1,150

per month for weekly valuation and an additional fee of EUR1,750 per month for indicative daily valuations,

where applicable (plus VAT, if any thereon). The minimum fee may be fully or partially waived by the

Administrator for such period or periods of time as may be agreed between the Fund and the Administrator

from time to time.




commercial rates.



2015. Administration fee payable for the years ended 31 December 2015 and 31 December 2014 are

shown in Note 6.

(b) Audit Fee


2010 (S.I. No. 220 of 2010)), the Fund is obliged to disclose fees paid to the Fund’s Auditor. During the



assurance, tax advisory and other non-audit fees are EUR11,557(31 December 2014: EUR12,159).


96




Citi Depositary Services Ireland Limited acts as the ”Custodian and Trustee” of the Fund pursuant to a







EUR15,500.








During the year custodian fees of EUR39,254 (31 December 2014: EUR15,500) were charged to the

Fund, out of which EUR6,438 (31 December 2014: EUR772) remained unpaid as at 31 December 2015.



(d) Directors' Fees










The Investment Advisor shall be entitled to receive, out of the assets of the Fund, an annual fee, accrued

at each Valuation Point and payable monthly in arrears at a rate of 0.90% per annum of the NAV of the

Fund allocable to Class GC-D shares and at a rate of 0.40% per annum of the NAV of the Fund allocable

to Class GC-I shares. The Investment Advisor is also entitled to be reimbursed by the Fund for all of its

out-of-pocket expenses reasonably incurred on behalf of the Fund.

During the year investment advisory fees of EUR894,621 (31 December 2014: EUR738,031) were

charged to the Fund, out of which EUR61,324 (31 December 2014: EUR74,924) remained unpaid as at 31

December 2015.


97




The Investment Manager is entitled to receive out of the assets of the Fund an annual Investment


annum of the NAV of the Fund allocable to Class GC-I and Class GC-D shares.

The Investment Manager is entitled to be reimbursed by the Fund for all of its out-of-pocket expenses and

vouched internal legal costs reasonably incurred on behalf of the Fund.


was charged to the Fund, out of which EUR85,585 (31 December 2014: EUR108,021) remained unpaid

as at 31 December 2015.


The Investment Manager and the Investment Advisor shall be entitled to receive, out of the assets

allocable to Class GC-I and GC-D shares, a total performance allocation equal to 10% of the increase in

the NAV of the relevant Class over the relevant High Water Mark (HWM) during a performance period,

disregarding any un-crystallised performance allocation. 60% of any performance allocation will be due to

the Investment Manager and 40% will be due to the Investment Advisor. The initial performance period





month Dollar LIBOR on the first day of the performance period, (iii) for any CHF Share Class, the 3 month

Swiss Franc LIBOR on the first day of the performance period, (iv) for any GBP Share Class, the 3 month

GBP LIBOR on the first day of the performance period, and (v) for any NOK Share Class, the 3 month

NOK LIBOR on the first day of the performance period.

The HWM ensures that, if the class falls in value, a performance allocation will only be payable on that part


The HWM is initially the value invested in the class, and is adjusted at each valuation point to take account

of subscriptions, redemptions and distributions impacting the valuation at that date. The HWM is increased

by the value of subscriptions, reduced by the value of distributions, and prorated down by the proportion of

shares of the class redeeming.








Investment Manager following such redemption. The performance period is each calendar quarter.

This crystallising performance allocation is calculated as a pro rata portion of the un-crystallised

performance allocation which forms part of the price at which the relevant shareholder redeemed.


98



(g) Performance Allocation (continued)

During the year a performance allocation of EUR299,119 (31 December 2014: EUR783,749) was charged

to the Fund, out of which EUR69 (31 December 2014: EUR149,191) remained unpaid as at 31 December

2015. The performance allocation is periodically verified by the Custodian.


The Investment Manager shall be entitled to receive an annual portfolio support fee of 0.08% per annum of

the first EUR200 million of the NAV of the Fund, 0.06% per annum of the NAV of the Fund between



During the year a portfolio support fee of EUR165,213 (31 December 2014: EUR144,323) was charged to the

Fund, out of which EUR11,411 (31 December 2014: EUR14,330) remained unpaid as at 31 December 2015.





The research and data fees and VAT in respect of the research and data fee were charged to the Fund are

as follows:

31-Dec-15 31-Dec-14

EUR EUR


VAT (36,944) (5,281)

Total (313,892) (38,146)



(j) Other Expenses

31-Dec-15

EUR

31-Dec-14

EUR


Audit fees (45,184) (51,338)


Legal fees (141,022) (79,900)

VAT services fee expense (5,106) (1,588)



(352,292) (252,015)


99




31-Dec-15

EUR

31-Dec-14

EUR

Held for Trading:

Fixed income securities 129,835,130 148,976,309

Options 159,227 277,883

Unrealised gain on forward currency contracts 318,742 1,052,005

CDS 17,069,542 21,955,684

147,382,641 172,261,881


31-Dec-15

EUR

31-Dec-14

EUR

Held for Trading:

Options - (29,455)

Unrealised loss on forward currency contracts (155,447) (388,959)

CDS (5,318,075) (3,881,995)

(5,473,522) (4,300,409)


31-Dec-15

EUR

31-Dec-14

EUR

Interest receivable on securities 3,995,916 3,242,546

Prepaid VAT services fee - 1,812

Miscellaneous receivable 23,378 6

Prepaid insurance - 16,275

4,019,294 3,260,639


31-Dec-15

EUR

31-Dec-14

EUR


-CHF 126,164 949,629

-EUR 5,310,949 28,049,909

-GBP 1,671,362 639,502

-USD 4,726,779 7,289,436

11,835,254 36,928,476

Margin cash:

-EUR 6,453,901 7,149,778

-USD 434,266 413,621

6,888,167 7,563,399

Bank overdraft-cash in hand*:

-CHF - (896,626)

-EUR (4,286) -

(4,286) (896,626)


100



31-Dec-15

EUR

31-Dec-14

EUR

Margin cash overdraft

-EUR (1,262,999) (4,114,927)

(1,262,999) (4,114,927)


* Cash in hand and cash equivalents and bank overdraft-cash in hand are held with the Custodian.

6. Accrued Expenses


31-Dec-15

EUR

31-Dec-14

EUR


Administration fees payable (19,123) (42,828)


Custodian fee payable (6,438) (772)

Trustee services fees payable (5,700) (6,629)

Interest payable (4,823) -

Directors expense payable (837) (1,040)

VAT services fees payable (49) -

Legal fees payable - (30,786)


Total (95,039) (151,314)

7 Redeemable Shares

As at 31 December 2015, there are ten Classes of Shares in the Fund, of which all are available for

subscription and details of which are set out in the table below:


Available for

Subscription

Class GC-D1 (EUR) EUR50,000 EUR25,000 Yes

Class GC-D2 (USD) USD50,000 USD25,000 Yes

Class GC-D3 (GBP) GBP50,000 GBP25,000 Yes

Class GC-D4 (CHF) CHF50,000 CHF25,000 Yes

Class GC-D5 (NOK) NOK1,000,000 NOK250,000 Yes

Class GC-I1 (EUR) EUR100,000 EUR50,000 Yes

Class GC-I2 (USD) USD100,000 USD50,000 Yes

Class GC-I3 (GBP) GBP100,000 GBP50,000 Yes

Class GC-I4 (CHF) CHF100,000 CHF50,000 Yes

Class GC-I5 (NOK) NOK1,000,000 NOK500,000 Yes


101



During the first initial offer period, from 12 April 2012 to 30 April 2012, shares were offered at an initial

price of EUR100 for Class GC-I1 (EUR), and USD100 for Class GC-I2 (USD). Shares in Classes GC-I1

(EUR) and GC-I2 (USD) are currently available at prices calculated with reference to the NAV per share.

During the second initial offer period, from 22 April 2013 to 30 August 2013, shares were offered at an

initial price of EUR100 for Class GC-D1 (EUR), USD100 for Class GC-D2 (USD), GBP100 for Class GC-

D3 (GBP), CHF100 for Class GC-D4 (CHF), GBP100 for Class GC-I3 (GBP) and CHF100 for Class GC-

I4 (CHF). Shares in Classes GC-D1 (EUR), GC-I3 (GBP) and GC-I4 (CHF) are currently available at

prices calculated with reference to the NAV per share.

During the third initial offer period, from 7 Aug 2014 to 3 Nov 2014, shares were offered at an initial price

of USD100 for GC-D2 (USD), GBP100 for Class GC-D3 (GBP) and CHF100 for Class GC-D4 (CHF).

During the fourth initial offer period, from 4 March 2015, shares were offered at an initial price of NOK100

for GC-D5 (NOK) and NOK100 for Class GC-I5 (NOK).


for any dealing day will be processed on that dealing day. Any applications received after the dealing

deadline for a particular dealing day will be processed on the following dealing day unless the Directors in


deadline for processing on that dealing day, provided that such applications have been received prior to

the valuation point for the particular dealing day.

Requests for redemptions received prior to the dealing deadline for any dealing day will be processed on



provided that such redemption request(s) have been received prior to the valuation point for the particular

dealing day. Redemption requests will only be accepted for processing where cleared funds and

completed documents including documentation relating to money laundering prevention checks are in

place from original subscriptions. No redemption payment will be made from an investor account until the


documents in connection with anti-money laundering procedures) has been received from the investor and

the anti-money laundering procedures have been completed.

The minimum value of shares which a shareholder may redeem in any one redemption transaction is

EUR2,000 (or its GBP/USD/NOK equivalent). In the event of a shareholder requesting a redemption

which would, if carried out, leave the shareholder holding shares of a class having a NAV less than the

relevant minimum holding, the Fund may, if it thinks fit, redeem the whole of the shareholder's holding.



discretion in this respect. The Directors may differentiate between shareholders of the Fund by waiving or

reducing the redemption fee chargeable to certain shareholders. The Directors will give not less than one

month's notice to shareholders of their intention to introduce a redemption fee generally. In the event of a

redemption fee being charged, shareholders should view their investment as medium to long-term.


102



Shareholders’ capital details are shown below, there were no holdings in Class GC-D2 (USD), Class GC-

D3 (GBP) and Class GC-D4 (CHF) as at 31 December 2015:

31-Dec-15

Class GC-D1

(EUR)

Class GC-I1

(EUR)

Class GC-I2

(USD)

Class GC-I3

(GBP)

Class GC-I4

(CHF)

Number of Shares

Shares in issue at start of year 63,336.84 1,085,330.83 679,004.45 1,648.05 109,735.45

Issue of shares during the year 45,712.45 582,273.06 171,176.64 127,360.67 39,802.27

Redemption of shares during

the year (15,033.90) (697,823.18) (541,605.50)

(118,967.17)

(74,524.81)

Shares in issue at year end 94,015.39 969,780.71 308,575.59 10,041.55 75,012.91

31-Dec-14

Class GC-D1

(EUR)

Class GC-I1

(EUR)

Class GC-I2

(USD)

Class GC-I3

(GBP)

Class GC-I4

(CHF)

Number of Shares

Shares in issue at start of year - 832,925.10 436,238.45 - 83,185.10

Issue of shares during the year 63,336.84 443,016.56 244,110.46 15,994.44 45,696.86

Redemption of shares during

the year - (190,610.83) (1,344.46)

(14,346.39)

(19,146.51)

Shares in issue at year end 63,336.84 1,085,330.83 679,004.45 1,648.05 109,735.45

Share Class Consideration

received

2015

Consideration

received

2014

Class GC-I1 (EUR) 70,512,142 52,273,431

Class GC-I2 (USD) 17,165,916 19,967,876

Class GC-I3 (GBP) 18,761,530 1,913,267

Class GC-I4 (CHF) 4,016,114 4,037,403

Class GC-D1 (EUR) 4,688,173 6,351,637



103



Interest rate risk

An increase in 50 basis points in interest rates as at the reporting date would have increased the net

assets attributable to the holders of redeemable shares and changes in net assets attributable to holders

of redeemable shares by EUR795,214 (31 December 2014: EUR1,032,652). A decrease of 50 basis

points would have had an equal but opposite effect.



and liabilities.

31-Dec-15

Assets

<1

month

1 - 3

months

3 - 12

months

>12

months

Non-

interest

bearing

Total


Fixed income securities 27,009,020 22,774,890 22,293,581 57,757,639 - 129,835,130

Options - - - - 159,227 159,227



CDS - 19,230 112,466 16,937,846 - 17,069,542



equivalents 11,835,254 - - - - 11,835,254

Margin cash 6,888,167 - - - - 6,888,167

Other receivables - - - - 4,019,294 4,019,294

Total assets 45,732,441 22,794,120 22,406,047 74,695,485 4,497,263 170,125,356


104




31-Dec-15

Liabilities

<1

month

1 - 3

months

3 - 12

months

>12

months

Non-

interest

bearing

Total


Unrealised loss on

forward currency

contracts - - - - (155,447) (155,447)

CDS - (1,893) (228,596) (5,087,586) - (5,318,075)


amortised cost:

Bank overdraft-cash in

hand (4,286) - - - - (4,286)

Bank overdraft-margin

cash (1,262,999) - - - - (1,262,999)

Accrued expenses and

other payables - - - - (299,578) (299,578)

Total liabilities (1,267,285) (1,893) (228,596) (5,087,586) (455,025) (7,040,385)

31-Dec-14

Assets

< 1

month

1 - 3

months

3 - 12

months

> 12

months

Non-

interest

bearing

Total


Fixed income securities 29,021,115 15,121,520 58,414,190 46,419,484 - 148,976,309

Options - - - - 277,883 277,883

Unrealised gain on

forward currency contracts - - - - 1,052,005 1,052,005

CDS - - 239,041 21,716,643 - 21,955,684



equivalents 36,928,476 - - - - 36,928,476

Margin cash 7,563,399 - - - - 7,563,399


Other receivables - - - - 3,260,639 3,260,639

Total assets 73,512,990 15,121,520 58,653,231 68,136,127 4,627,716 220,051,584


105




31-Dec-14

< 1

month

1 - 3

months

3 - 12

months

> 12

months

Non-

interest

bearing

Total


Liabilities

Held for Trading:

Options - - - - (29,455) (29,455)

Unrealised loss on

forward currency

contracts - - - - (388,959) (388,959)

CDS - - (235,609) (3,646,386) - (3,881,995)

Other Financial liabilities measured at

amortised cost:


hand (896,626) - - - - (896,626)


cash (4,114,927) - - - - (4,114,927)

Purchases awaiting

settlement - - - - (140,080) (140,080)


other payables - - - - (507,780) (507,780)

Total liabilities (5,011,553) - (235,609) (3,646,386) (1,066,274) (9,959,822)




classes as at 31 December 2015 and 31 December 2014:

31-Dec-15 31-Dec-14

Currency EUR EUR

CHF 126,164 53,003

GBP (366,907) 106,368

USD (202,660) 512,461

Total (443,403) 671,832

An increase in 50 basis points in Euro rates as at the reporting date would have decreased the net assets

attributable to the holders of redeemable shares and changes in net assets attributable to the holders of

redeemable shares by EUR(2,217) (31 December 2014: EUR3,359). A decrease of 50 basis points would

have had an equal but opposite effect.



106



Other price risk

The Fund will seek to establish a convex payoff profile, minimise spread and correlation sensitivity while

realising positive carry from taking default exposure. Credit spread movements and correlation movements

are the primary risk factors that could have a material impact on the NAV of the Fund when trying to

establish this convex profile. Credit spread risk is managed through rigorous quantitative (i.e. liquidity,

leverage and profitability) and qualitative (i.e. business plans, competition etc.) evaluations of the credit

fundamentals of the different obligors. The net base correlation risk is managed through long and short

tranches at different subordination levels and different maturities.

The NAV of the Fund is therefore exposed to the credit/default risk of certain reference entities via the use

of credit derivatives and synthetic tranches. The Investment Manager, on an on-going and actively

managed basis, commits the Fund through the Swap Agreement to buy and sell credit protection in

relation to reference entities. If credit protection has been sold, the Fund may be required to make a

payment if a credit event occurs in relation to a reference entity, and, if it has bought credit protection, may

receive a payment if such a credit event occurs.

Sector and geographic risk is monitored and is subject to the following constraints:

1. Maximum single issuer concentration.

2. Maximum sector exposure.

3. Maximum exposure outside EU/North America.

4. Maximum sub-investment grade concentration.

5. Maximum tranche maturity.

All risk factors are monitored on a daily basis by the Investment Manager and the underlying parameters

are stressed on an on-going basis in order to determine the impact of any material movements in the credit

fundamentals of the underlying obligors.

Credit Spread

+100% -100%

Year

NAV% CCY NAV% CCY

31-Dec-15 (9.24%) (15,069,051) 14.30% 23,321,151

31-Dec-14 (6.85)% (14,403,045) 8.41% 17,674,341


107







Country

of risk

Notional

Exposure

Long

EUR

31-Dec-15

Notional

Exposure

Short

EUR

31-Dec-15

Long

(% NAV)

Short

(% NAV)

Notional

Exposure

Long

EUR

31-Dec-14

Notional

Exposure

Short

EUR

31-Dec-14

Long

(% NAV)

Short

(% NAV)

United States 208,448,658 (38,857,713) 127.82% (23.83%) 220,799,612 (41,784,999) 105.10% (19.89%)

Britain 128,344,436 (28,935,854) 78.70% (17.74%) 101,988,003 (39,681,083) 48.54% (18.89%)

France 71,095,406 - 43.59% - 131,192,002 - 62.44% -

Germany 66,452,747 (6,000,000) 40.75% (3.68%) 44,597,683 (8,000,000) 21.23% (3.81%)

Netherlands 20,942,290 - 12.84% - 37,015,067 - 17.62% -

Switzerland 17,250,000 - 10.58% - 15,250,000 - 7.26% -

Spain 13,830,798 - 8.48% - 5,000,000 - 2.38% -

Italy 11,934,353 - 7.32% - 5,031,315 - 2.39% -

Denmark 7,500,000 - 4.60% - 13,554,375 - 6.45% -

Austria 7,439,551 - 4.56% - - - - -

Finland 7,000,000 - 4.29% - 4,000,000 - 1.90% -

Sweden 6,000,000 - 3.68% - 17,121,436 - 8.15% -

Luxembourg 2,000,000 - 1.23% - 3,000,000 - 1.43% -

Canada 1,841,366 - 1.13% - - - - -

Belgium - - - - 10,081,230 - 4.80% -

South Africa - - - - 1,000,000 - 0.48% -

Total 570,079,605 (73,793,567) 349.57% (45.25%) 609,630,723 (89,466,082) 290.17% (42.59%)


108





Country

of risk

Notional

Exposure

Long

EUR

31-Dec-15

Notional

Exposure

Short

EUR

31-Dec-15

Long

(% NAV)

Short

(% NAV)

Notional

Exposure

Long

EUR

31-Dec-14

Notional

Exposure

Short

EUR

31-Dec-14

Long

(% NAV)

Short

(% NAV)

Financial 129,210,167 (8,444,782) 79.23% (5.18%) 112,703,428 (15,392,203) 53.64% (7.33%)

Communication

s 113,528,416 - 69.61% - 69,990,849 - 33.31% -

Consumer,

Cyclical 96,387,551 - 59.10% - 106,405,489 - 50.65% -

Consumer,

Non-cyclical 69,453,887 (500,000) 42.59% (0.31%) 68,360,992 - 32.54% -

Industrial 47,806,190 (5,000,000) 29.31% (3.07%) 41,151,578 - 19.59% -

Utilities 40,028,427 - 24.54% - 37,383,874 - 17.79% -

Basic

Materials 21,336,844 (1,000,000) 13.08% (0.61%) 16,784,407 - 7.99% -

Energy 13,223,435 - 8.11% - 20,772,955 - 9.89% -

Technology 15,104,688 - 9.26% - 6,479,032 - 3.08% -

Transportation 4,000,000 - 2.45% - 4,000,000 - 1.90% -

Index 20,000,000 (58,848,785) 12.26% (36.08%) 56,172,832 (74,073,879) 26.74% (35.26%)

Government - - - - 69,425,287 - 33.05% -

Total 570,079,605 (73,793,567) 349.54% (45.25%) 609,630,723 (89,466,082) 290.17% (42.59%)

The country and sector risk tables have been prepared using the underlying notional exposure where

relevant, and will not therefore reconcile to financial assets at fair value. This reflects how other price risk is

monitored and managed by the Investment Manager.










109




The VaR model is validated and audited at year end through the use of backtesting procedures. The results

of the backtesting procedures are communicated to the Board of Directors especially when there are signs

of excessive VaR back testing overshoots. Stress testing is also employed to highlight the validity of the

calculation model and suggest corrective actions in terms of model parameters and calibration.

The main risk covered by the VaR model is market risk. The model’s methodology is historical simulation

where no assumptions regarding returns distributions are made. The backtesting procedure includes

checking the Fund’s returns versus the VaR levels calculated by the risk engine. The time horizon used for

the backtesting of the VaR model is one day using one year’s historical data.







symmetrical). If the underlying risk factors exhibit non-normal behaviour such as fat tails or mean reversion,

then the resulting VaR figure will include these effects. However, tail risk can only be examined if the

historical data set includes tail events.


of Ireland. This approach does not allow for any kind of netting or hedging. The average leverage of 388%

(31 December 2014: 446%) has been computed using data calculated daily and was calculated over the

year ranging from inception of the Fund until 31 December 2015.

The leverage is a measure of (i) the derivative usage and (ii) any leverage generated by the reinvestment

of the cash received as collateral when using efficient portfolio management techniques, and therefore

does not take into account other physical assets directly held in the portfolio of the relevant Fund.



1.27% 2.44% 1.67%



1.22% 2.50% 1.68%


110



Credit risk



31-Dec-15


Bank of America Baa1 BBB+ A

Bank of Nomura Baa1 BBB+ N/R

Barclays Baa3 BBB A


Citibank A1 A A+

Credit Suisse Baa3 BBB+ A

Deutsche Bank A2 BBB+ A-

Goldman Sachs A3 BBB+ A

JP Morgan Chase A3 A- A+



UBS N/R BBB+ A

31-Dec-14


Bank of America Baa2 A- A

Bank of Nomura Baa1 BBB+ A-

Barclays A3 A- A


Citibank Baa2 A- A

Credit Suisse A2 A- A

Deutsche Bank A3 A A+

Goldman Sachs Baa1 A- A

JP Morgan Chase A3 A A+



UBS


Financial Instrument

31-Dec-15

EUR

31-Dec-14

EUR


Options 159,227 277,883

Unrealised gain on foreign currency forward contracts 318,742 1,052,005

CDS 17,069,542 21,955,684

Cash in hand and cash equivalents 11,835,254 36,928,476

Margin cash 6,888,167 7,563,399

Other receivables 4,019,294 3,260,639


Total 170,125,356 220,051,584


111



Liquidity risk


<1 1-3 >3 No

Total

month months months maturity

EUR EUR EUR EUR EUR


Bank overdraft-margin cash (1,262,999) - - - (1,262,999)


payables (299,578) - - - (299,578)


currency contracts (197) (155,250) - - (155,447)

CDS (5,318,075) - - - (5,318,075)

Net assets attributable to holder of



assets attributable to

redeemable shares) (169,970,106) (155,250) - - (170,125,356)


< 1

month

1 - 3

months

> 3

months

No

maturity Total

EUR EUR EUR EUR EUR


Bank overdraft-margin cash (4,114,927) - - - (4,114,927)



payables (507,780) - - - (507,780)

Options (29,455) - - - (29,455)


currency contracts - (388,959) - - (388,959)

CDS (3,881,995) - - - (3,881,995)





shares) (219,662,625) (388,959) - - (220,051,584)



112





Assets Level 1 Level 2 Level 3 Total

EUR EUR EUR EUR


Fixed income securities - 129,835,130 - 129,835,130

Options - 159,227 - 159,227


currency contracts - 318,742 - 318,742

CDS - 17,069,542 - 17,069,542

Total assets - 147,382,641 - 147,382,641

Liabilities



contracts - (155,447) - (155,447)

CDS - (5,318,075) - (5,318,075)

Total liabilities - (5,473,522) - (5,473,522)




EUR EUR EUR EUR



Options - 277,883 - 277,883


currency contracts - 1,052,005 - 1,052,005

CDS - 21,955,684 - 21,955,684

Total assets - 172,261,881 - 172,261,881

Liabilities


Options - (29,455) - (29,455)


contracts - (388,959) - (388,959)

CDS - (3,881,995) - (3,881,995)


Level 2 bonds are priced based on Bloomberg’s BVAL methodology, which derives a price based on



113







There were no significant transfers between Level 1 and Level 2 during the year ended 31 December

2015 (2014: EURNil). There were no transfers in or out of Level 3 during the year ended 31 December

2015 (2014: EURNil).


The Fund may be eligible to present net on the Statement of Financial Position, certain financial assets and

financial liabilities according to criteria described in Note 3(e) of the aggregated financial statements. The

Fund did not meet the criteria for offsetting and therefore financial assets and liabilities are presented gross

on the Statement of Financial Position.


to an enforceable master netting arrangement or similar agreement as at 31 December 2015 and 31

December 2014.


114




(a) (b) (c)=(a)-(b) (d) (e)=(c)-(d)

Gross amounts

of recognised

assets


the statement



on the statement






Barclays

Derivatives 2,380,765 - 2,380,765 2,284,770 - 95,995

Bank of America

Derivatives 1,286,746 - 1,286,746 386,582 726 899,438

BNP Paribas

Derivatives 1,279,620 - 1,279,620 452,878 - 826,742

Citibank

Derivatives 2,678,782 - 2,678,782 970,318 189,979 1,518,485

Credit Suisse

Derivatives 4,523,810 - 4,523,810 474,943 2,249,180 1,799,687

Deutsche Bank

Derivatives 346,477 - 346,477 - 50,000 296,477

Goldman Sachs

Derivatives 1,296,412 - 1,296,412 234,194 29,999 1,032,219

JP Morgan Chase

Derivatives 841,830 - 841,830 - - 841,830

Morgan Stanley

Derivatives 925,782 - 925,782 667,503 - 258,279

Bank of Nomura

Derivatives 586,985 - 586,985 - - 586,985

Societe Generale

Derivatives 1,393,362 - 1,393,362 2,334 1,182,999 208,029

UBS

Derivatives 6,940 - 6,940 - - 6,940

Total 17,547,511 - 17,547,511 5,473,522 3,702,883 8,371,106


115




(a) (b) (c)=(a)-(b) (d) (e)=(c)-(d)


liabilities


the statement



on the statement






Barclays Derivatives (2,284,770) - (2,284,770) (2,284,770) - -

Bank of America

Derivatives (386,582) - (386,582) (386,582) - -

BNP Paribas

Derivatives (452,878) - (452,878) (452,878) - -

Citibank

Derivatives (970,318) - (970,318) (970,318) - -

Credit Suisse

Derivatives (474,943) - (474,943) (474,943) - -

Goldman Sachs

Derivatives (234,194) - (234,194) (234,194) - -

Morgan Stanley

Derivatives (667,503) - (667,503) (667,503) - -

Societe Generale

Derivatives (2,334) - (2,334) (2,334) - -

Total (5,473,522) - (5,473,522) (5,473,522) - -


116




(a) (b) (c)=(a)-(b) (d) (e)=(c)-(d)


assets


the statement



on the statement






Barclays

Derivatives 3,808,043 - 3,808,043 994,294 484,840 2,328,909

Bank of America

Derivatives 2,612,184 - 2,612,184 212,680 885,092 1,514,412

BNP Paribas

Derivatives 2,284,104 - 2,284,104 164,181 449,999 1,669,924

Citibank

Derivatives 4,585,694 - 4,585,694 2,507,152 509,996 1,568,546

Credit Suisse

Derivatives 1,616,402 - 1,616,402 239,219 - 1,377,183

Deutsche Bank

Derivatives 506,231 - 506,231 - 50,000 456,231

Goldman Sachs

Derivatives 3,394,111 - 3,394,111 93,425 1,259,999 2,040,687

JP Morgan Chase

Derivatives 1,165,126 - 1,165,126 3,754 - 1,161,372

Morgan Stanley

Derivatives 1,972,575 - 1,972,575 19,302 300,001 1,653,272

Bank of Nomura

Derivatives 883,865 - 883,865 - - 883,865

Societe Generale

Derivatives 448,059 - 448,059 66,402 140,000 241,657

UBS

Derivatives 9,178 - 9,178 - - 9,178

Total 23,285,572 - 23,285,572 4,300,409 4,079,927 14,905,236


117




(a) (b) (c)=(a)-(b) (d) (e)=(c)-(d)


liabilities


the statement



on the statement






Barclays Derivatives (994,294) - (994,294) (994,294) - -

Bank of America Derivatives (212,680) - (212,680) (212,680) - -

BNP Paribas Derivatives (164,181) - (164,181) (164,181) - -

Citibank Derivatives (2,507,152) - (2,507,152) (2,507,152) - -

Credit Suisse Derivatives (239,219) - (239,219) (239,219) - -

Goldman Sachs

Derivatives (93,425) - (93,425) (93,425) - -

JP Morgan Chase Derivatives (3,754) - (3,754) (3,754) - -

Morgan Stanley Derivatives (19,302) - (19,302) (19,302) - -

Societe Generale

Derivatives

(66,402) - (66,402) (66,402) - -

Total (4,300,409) - (4,300,409) (4,300,409) - -

11. Net Gain/(Loss) on Financial Assets and Liabilities at Fair Value Through Profit or Loss

31-Dec-15

EUR

31-Dec-14

EUR

Held for trading:

Net realised (loss)/gain on investments (2,063,683) 4,393,804


Net (loss)/gain on financial assets and liabilities at fair

value through profit or loss (11,617,442) 5,878,364


118





when incurred. Therefore, for reporting purposes, an adjustment of EUR28,460 (31 December 2014:

EUR50,514) is made to reconcile the Statement of Financial Position. During the year ended 31 December

2015 there were no new invoices for formation costs. The cumulative differences are included as

“Adjustment for revaluation of net assets attributable to holders of redeemable shares” in the Statement of

Financial Position.



statements.



During the year an investment advisory fee of EUR894,621 (31 December 2014: EUR738,031) was


December 2015.


was charged to the Fund, out of which EUR85,585 (31 December 2014: EUR108,021) remained unpaid as


During the year a performance allocation of EUR299,119 (31 December 2014: EUR783,749) was charged

to the Fund, out of which EUR69 (31 December 2014: EUR149,191) remained unpaid as at 31 December

2015.



2015.


were charged to the Fund, out of which EUR46,150 (31 December 2014: EUR10,000) remained unpaid as



As at 31 December 2015, 39,428.15 (31 December 2014: Nil) shares of Class GC - I1 (EUR) are held by

Cheyne Select Fund plc - Cheyne Regulatory Capital Fund II which is managed by the same Investment

Manager.

As at 31 December 2015, 16,865.71 (31 December 2014: Nil) shares of Class GC - I1 (EUR) are held by

FCP Diversification Prudentielle which is managed by the same Investment Manager.


119



Class GC-I5 (NOK) and Class GC-D5(NOK) were launched during the year. These two share classes

were not funded as at 31 December 2015.




120

CHEYNE SOUTH EAST ASIA LONG/SHORT (MALACCA) FUND

AUDITED FINANCIAL STATEMENTS (IN WIND DOWN)


CHEYNE SOUTH EAST ASIA LONG/SHORT (MALACCA) FUND (IN WIND DOWN)


121


Note

31-Dec-15*

USD

31-Dec-14

USD

Assets

Cash in hand and cash equivalents 5 - 6,517

Margin cash 5 - 6,139,915


Investments in transferable securities 3 - 7,098,969

Investments in financial derivative instruments 3 - 114,556

Other receivables 4 - 5,171


Total assets - 13,485,163

Liabilities


Investments in financial derivative instruments 3 - (290,263)

Accrued expenses 6 - (85,565)

Portfolio support fee payable 2(h) - (1,017)

Investment advisor fee payable 2(e) - (8,897)

Investment management fee payable 2(f) - (13,345)

Purchases awaiting settlement - (493)

Total liabilities (excluding Net Assets Attributable to Holders of

Redeemable Shares) - (399,580)


Adjustment for revaluation of net assets attributable to Redeemable

Shareholders 12 - 3,511


*Effective 24 April 2015, the Cheyne South East Asia Long/Short (Malacca) Fund was closed.



122



31-Dec-15*

24-Apr-15* 31-Dec-14 31-Dec-13

Class D1 (USD)

Number of shares per class - - - 52.94

Net Asset Value per share - - - USD856.62

Net Asset Value - - - USD45,346

Class I1 (USD)

Number of shares per class - 100.00 1,703.48 499.96

Net Asset Value per share - USD802.26 USD804.78 USD849.51

Net Asset Value - USD80,226 USD1,370,921 USD424,726

Class I2 (EUR)


Net Asset Value per share - EUR806.14 EUR809.19 EUR855.13

Net Asset Value - USD10,482,576 USD11,718,173 USD20,181,712

Class I3 (GBP)

Number of shares per class - - - 300.00

Net Asset Value per share - - - GBP949.75

Net Asset Value - - - USD471,906




123


Note

31-Dec-15*

USD

31-Dec-14

USD

Income

Net loss on financial assets and liabilities at fair value

through profit or loss 11 (779,771) (2,639,857)

Net (loss)/gain on foreign exchange (316,865) 199,178

Interest income 1,676 7,270

Dividend income 52,033 369,747

Total loss (1,042,927) (2,063,662)

Expenses


Interest expense (35,040) (105,586)


Other expenses 2(j) (21,727) (119,976)

Research and data fees 2(i) (17,289) -

Dividend expense (12,681) (59,422)


Custodian fee 2(c) (6,030) (8,450)


Directors’ fees 2(d) (2,999) (8,842)


Commission fees (326) (1,341)

Total expenses (175,751) (683,579)


Decrease in Net Assets Attributable to Holders of

Redeemable Shares (1,225,110) (2,781,014)

The Fund had no recognised gains or losses during the financial year other than those reported in the

Statement of Comprehensive Income. All results are from discontinued operations.




124



31-Dec-15*

USD

31-Dec-14

USD

Net assets attributable to holders of redeemable shares at beginning

of the year 13,085,583 21,097,358

Decrease in net assets attributable to holders of redeemable shares from

operations (1,225,110) (2,781,014)

Issue of redeemable shares during the year - 1,660,000



year - 13,085,583




125


31-Dec-15*

USD

31-Dec-14

USD


Decrease in net assets attributable to holders of redeemable shares from

operations (1,225,110) (2,781,014)



(Increase)/decrease in investments in financial derivative instruments (175,707) 450,361

Decrease in sales awaiting settlement 120,035 95,674

Decrease in receivables and assets 5,171 91,889

Decrease in purchases awaiting settlement (493) (271,405)



Financing

Proceeds from issuance of redeemable shares - 1,660,000


Net cash outflow from financing activities (11,860,473) (5,230,761)


Cash and cash equivalents at start of year 6,146,432 16,699,122

Cash and cash equivalents at end of year - 6,146,432



Interest received 1,763 7,183

Interest paid (36,509) (105,777)

Dividend received 55,746 427,112

Dividend paid (12,681) (59,422)



126



The investment objective of the Cheyne South East Asia Long/Short (Malacca) Fund (the “Fund”) was to

seek to generate attractive risk adjusted total rates of return, meaning capital appreciation plus income of

its investments, principally through investments in equity securities of companies that were either listed on

stock exchanges in South East Asia Emerging Markets or incorporated in South East Asia Emerging

Markets, and other equity related securities and derivative instruments.

The Fund had Class D1 (USD), Class D2 (EUR), Class D3 (GBP) Class D4 (CHF), Class I1 (USD), Class

I2 (EUR), I3 (GBP) and Class I4 (CHF) shares available for investment.

Effective 24 April 2015, Cheyne South Asia Long/Short (Malacca) Fund was closed. As such these

financial statements have been prepared on a wind down basis.



Citibank Europe plc was the “Administrator” of the Fund pursuant to an Administration Agreement dated 1

October 2011.

The Administrator was entitled to receive out of the assets of the Fund an annual fee, accrued daily and

payable monthly in arrears, based on the net asset value (NAV) of the Fund, of up to a maximum of

0.12%, subject to a minimum annual administration fee of EUR77,000 (plus VAT, if any thereon) and an

additional fee of EUR1,150 per month for weekly valuations and an additional fee of EUR1,750 per month

for indicative daily valuations, where applicable (plus VAT if any thereon). The minimum fee may have

been fully or partially waived by the Administrator for such period or periods of time as may be agreed

between the Fund and the Administrator from time to time.

In addition to such base remuneration, the Administrator was entitled to charge the Fund fees relating to

any additional services required in relation to corporate secretarial, audit support, tax assistance or

investor rebate services, as may be agreed with the Fund and which was charged at normal commercial

rates.

During the year administration fee of USD10,701 (31 December 2014: USD52,458) was charged to the

Fund, USDNil (31 December 2014: USD6,954) remained unpaid as at 31 December 2015. The

administration fee payable for the years ended 31 December 2015 and 31 December 2014 are shown in

Note 6.

(b) Audit Fees


2010 (S.I. No. 220 of 2010), the Fund is obliged to disclose fees paid to the Fund’s Auditor. During the

year, an audit fee of USD13,609 (31 December 2014: USD52,678) was charged to the Fund, of which

USDNil (31 December 2014: USD12,741) was payable at year end. Payment in respect of other

assurance, tax advisory and other non-audit fees are USDNil (31 December 2014: USD4,588)


Citi Depositary Services Ireland Limited acted as the “Custodian and Trustee” of the Fund until 24 April

2015, when the Fund closed.


127




The Custodian was entitled to receive out of the assets of the Fund an annual fee, accrued daily and




when any other sub-custodian was used and subject to a minimum annual custody services fee of

EUR15,500.

In addition to such remuneration, the Custodian was entitled to charge the Fund fees relating to any

custody or transactional services, as may be agreed with the Company and was charged at standard

commercial rates.

The Custodian was also entitled to be repaid for all of its out-of-pocket expenses reasonably incurred on




During the year a custodian fee of USD6,030 (31 December 2014: USD8,450) was charged to the Fund,

USDNil (31 December 2014: USD1,728) remained unpaid as at 31 December 2015.


Fund, EURNIL (31 December 2014: EUR1,179) remained unpaid as at 31 December 2015.

(d) Directors' Fees





During the year Directors’ fees of USD2,999 (31 December 2014: USD8,842) were charged to the Fund,

USDNil (31 December 2014: USD6,067) remained unpaid as at 31 December 2015.




The Investment Advisor was entitled to receive out of the assets of the Fund an annual fee, accrued daily

and calculated and paid at a rate of 0.70% per annum of the NAV of the Fund allocable to Class I shares

and a rate of 1.20% per annum of the NAV of the Fund allocable to Class D shares. The Investment

Advisor was also entitled to be reimbursed by the Fund for all of its out-of-pocket expenses reasonably

incurred on behalf of the Fund.

During the year an investment advisor fee of USD24,465 (31 December 2014: USD119,921) was charged

to the Fund, USDNil (31 December 2014: USD8,897) remained unpaid as at 31 December 2015.


The Investment Manager was entitled to receive out of the assets of the Fund an annual investment

management fee, accrued at each Valuation Point and payable monthly in arrears at a rate of 1.05% per

annum of the NAV of the Fund allocable to Class I and Class D shares.


128



(f) Investment Management Fee (continued)

The Investment Manager was also entitled to be reimbursed by the Fund for all of its out-of-pocket

expenses and vouched internal legal costs reasonably incurred on behalf of the Fund.

During the year an investment management fee of USD36,697 (31 December 2014: USD178,341) was

charged to the Fund, USDNil (31 December 2014: USD13,345) remained unpaid as at 31 December

2015.


The Investment Manager and the Investment Advisor were entitled to receive, out of the assets allocable

to Class I and D shares, a total performance allocation equal to 20% of the increase in the NAV of the

relevant Class over the High Water Mark (HWM) during a performance period, disregarding any

uncrystallised performance allocation. 60% of any performance allocation was due to the Investment

Manager and 40% was due to the Investment Advisor. The initial performance period commenced on the

first business day after expiry of the initial offer period.

The HWM ensures that, if the class fell in value, a performance allocation was only payable on that part of

any subsequent performance of the class that was in excess of the current HWM value.

The HWM was initially the value invested in the class, and was adjusted at each valuation point to take

account of subscriptions, redemptions and distributions impacting the valuation at that date. The HWM

was increased by the value of subscriptions, reduced by the value of distributions, and prorated down by

the proportion of shares of the class redeeming.

If the class fell in value in relation to the HWM following payment of the performance allocation in any

previous period, the Investment Manager retained all performance allocation previously crystallised for that

class but no further performance allocation was charged until performance above the HWM was achieved

by the class.

The performance allocation was accrued at each valuation point and accordingly the NAV was adjusted to

reflect such fee. Notwithstanding the foregoing, any accrued performance allocation referable to shares

redeemed prior to the end of the performance period crystallised and became payable to the Investment

Manager following such redemption. The performance period was each calendar quarter. This crystallising

performance allocation was calculated as a pro rata portion of the un-crystallised performance allocation

which formed part of the price at which the relevant shareholder redeemed.

For the years ended 31 December 2015 and 31 December 2014, there was no performance allocation

charged to the Fund.


The Investment Manager was entitled to receive an annual portfolio support fee of 0.08% per annum of the

first USD200 million of the NAV of the Fund, 0.06% per annum of the NAV of the Fund between USD200

million and USD400 million; 0.04% per annum of the NAV of the Fund between USD400 million and

USD650 million; and 0.02% per annum of the NAV of the Fund in excess of USD650 million.

During the year a portfolio support fee of USD2,796 (31 December 2014: USD29,242) was charged to the

Fund, of which USDNil (31 December 2014: USD1,017) remained unpaid as at 31 December 2015.


129




The Fund would also reimburse the Investment Manager for monies spent by the Investment Manager to




are as follows:

31-Dec-15 31-Dec-14

USD USD

Research and data fees * (17,289) -

VAT - -

Total (17,289) -



(j) Other Expenses

31-Dec-15

USD

31-Dec-14

USD

Audit fees (13,609) (52,678)

Legal fees (4,865) (30,000)


Miscellaneous expenses 1,785 (22,199)

VAT services fees expense (650) (154)



Tax assistance fees - (2,500)

(21,727) (119,976)



31-Dec-15

USD

31-Dec-14

USD

Held for Trading:

Common stocks - 7,098,969

Options - 9,962


Unrealised gain on CFD - 94,663

- 7,213,525


Held for Trading:

Unrealised loss on forward currency contracts - (215,922)

Unrealised loss on CFD - (52,475)

CDS - (21,866)

- (290,263)


130



31-Dec-15

USD

31-Dec-14

USD

Dividend receivable on securities - 3,713

Prepaid insurance expenses - 1,211

Interest receivable on securities - 87

Prepaid VAT service receivable - 160

- 5,171


31-Dec-15

USD

31-Dec-14

USD


-CHF - 1,894

-EUR - 800

-GBP - 2,992

-USD - 831

- 6,517

Margin Cash:

-AUD - 374

-EUR - 49,150

-GBP - 76,256

-HKD - 101,882

-MYR - 58,744

-SGD - 174,434

-THB - 150,056

-USD - 5,529,019

- 6,139,915

Total cash in hand and cash equivalents - 6,146,432

* Cash in hand and cash equivalents were held with the Custodian.


131


6. Accrued Expenses


31-Dec-15

USD

31-Dec-14

USD

Miscellaneous expenses payable - (29,789)

Legal fees payable - (20,830)

Audit fees payable - (12,471)

Administration fee payable - (6,954)


Tax assistance fees payable - (5,000)

Custodian fee payable - (1,728)

Interest payable - (1,469)

Trustee services fees payable - (1,179)

Directors expense payable - (78)

Total - (85,565)


There were eight share classes offered in the Fund. Details of these share classes are set out below:


Available for

Subscription

Class I1 (USD) USD100,000 USD50,000 No

Class I2 (EUR) EUR100,000 EUR50,000 No

Class I3 (GBP) GBP100,000 GBP50,000 No

Class I4 (CHF) CHF100,000 CHF50,000 No

Class D1 (USD) USD50,000 USD25,000 No

Class D2 (EUR) EUR50,000 EUR25,000 No

Class D3 (GBP) GBP50,000 GBP25,000 No

Class D4 (CHF) CHF50,000 CHF25,000 No

During the first initial offer period, from 1 May 2013 to 30 August 2013, shares in Class I1 (USD) and

Class D1 (USD) were available at an initial price of USD1,000, shares in Class I2 (EUR) and Class D2

(EUR) were available at an initial price of EUR1,000, shares in Class I3 (GBP) and Class D3 (GBP) were

available at an initial price of GBP1,000 and shares in Class I4 (CHF) and D4 (CHF) were available at an

initial price of CHF1,000.


for any dealing day were processed on that dealing day. Any applications received after the dealing

deadline for a particular dealing day were processed on the following dealing day unless the Directors in


deadline for processing on that dealing day, provided that such applications had been received prior to the

valuation point for the particular dealing day. Requests for redemption received prior to the dealing

deadline for any dealing day were processed on that dealing day.


132



Any requests for redemption received after the dealing deadline for a dealing day were processed on the

next dealing day unless the Directors in their absolute discretion, in exceptional circumstances, determine

otherwise provided that such redemption request(s) had been received prior to the Valuation Point for the

particular dealing day. Redemption requests were only accepted for processing where cleared funds and

completed documents including documentation relating to money laundering prevention checks were in

place from original subscriptions. No redemption payment was made from an investor holding until the


documents in connection with anti-money laundering procedures) had been received from the investor and

the anti-money laundering procedures had been completed.

The minimum value of shares which a Shareholder may redeem in any one redemption transaction is

EUR2,000 (or its USD/GBP/CHF equivalent). In the event of a Shareholder requesting a redemption which

would, if carried out, leave the Shareholder holding shares of a Class having a NAV less than the relevant

Minimum Holding, the Fund may, if it thinks fit, redeem the whole of the Shareholder’s holding.

The Fund did not charge redemption fee to the shareholders. However, the Directors were empowered to

charge a redemption fee of up to 3% of the redemption monies and may exercise their discretion in this

respect. The Directors differentiated between Shareholders of the Fund by waiving or reducing the

redemption fee chargeable to certain Shareholders.

As at 31 December 2015, all Classes were fully redeemed. Shareholders’ capital details are shown below:

31-Dec-15 Class I1

USD

Class I2

EUR

Number of

Shares in issue at start of year 1,703.48 11,967.57

Issue of shares during the year - -

Redemption of shares during the year (1,703.48) (11,967.57)

Shares in issue at year end - -

31-Dec-14 Class D1

USD

Class I1

USD

Class I2

EUR

Class I3

GBP

Number of

Shares in issue at start of year 52.94 499.96 17,127.43 300.00

Issue of shares during the year - 1,603.48 - -

Redemption of shares during the year (52.94) (399.96) (5,159.86) (300.00)

Shares in issue at year end - 1,703.48 11,967.57 -


received

2015

Consideration

received

2014

Class D1 (USD) - -

Class I1 (USD) - 1,660,000

Class I2 (EUR) - -

Class I3 (GBP) - -

Total consideration received - 1,660,000


133



Interest rate risk

Cash flow interest risk arises on cash in hand and cash equivalents. As at 31 December 2015, the Fund

was not exposed to interest rate risk. As at 31 December 2014, an increase in 50 basis points in interest

rates as at the reporting date would have decreased the net assets attributable to the holders of


USD30,623. A decrease of 50 basis points would have had an equal but opposite effect.

31-Dec-14

< 1

month

1 - 3

months

3 - 12

months

> 12

months

Non-

interest

bearing Total

USD USD USD USD USD USD

Assets

Held for Trading:

Common stocks - - - - 7,098,969 7,098,969

Options - - - - 9,962 9,962






equivalents 6,517 - - - - 6,517

Margin cash 6,139,915 - - - - 6,139,915



Total assets 6,146,432 - - - 7,338,731 13,485,163

< 1

month

1 - 3

months

3 - 12

months

> 12

months

Non-

interest

bearing Total


Liabilities

Held for Trading:



CDS - - - (21,866) - (21,866)

Unrealised loss on CFD - - - - (52,475) (52,475)


amortised cost:


other payables - - - - (108,824) (108,824)

Purchases awaiting

settlement - - - - (493) (493)

Total liabilities - - - (21,866) (377,714) (399,580)


134




As at 31 December 2015, the Fund was not exposed to foreign currency risk.



classes as 31 December 2014:

31-Dec-14

Currency USD

AUD 374

CHF 1,894

EUR 49,950

GBP 79,248

HKD 101,882

IDR 2,915,989

MYR 399,144

PHP 1,231,874

SGD 185,519

THB 209,514

Total 5,175,388

As at 31 December 2014, an increase in 50 basis points in Euro rates as at the reporting date would had

decreased the net assets attributable to the holders of redeemable shares and changes in net assets

attributable to the holders of redeemable shares by USD25,877. A decrease of 50 basis points would

have had an equal but opposite effect.


Other price risk


distribution (excluding cash).

There was no country of risk exposure on 31 December 2015 as the Fund has closed.

Country of risk exposure:

Country of

risk

Notional

Exposure

Long

USD

31-Dec-15

Notional

Exposure

Short

USD

31-Dec-15

Long

(% NAV)

Short

(% NAV)

Notional

Exposure

Long

USD

31-Dec-14

Notional

Exposure

Short

USD

31-Dec-14

Long

(% NAV)

Short

(% NAV)

Indonesia - - - - 3,711,858 (1,330,109) 28.36 (10.16)

Philippines - - - - 2,015,345 (900,000) 15.40 (6.88)

Singapore - - - - 1,915,234 (1,512,932) 14.63 (11.56)

Thailand - - - - 1,601,214 (1,407,688) 12.23 (10.75)

Malaysia - - - - 460,416 (899,511) 3.52 (6.87)

China - - - - 113,946 (73,762) 0.87 (0.57)

United States - - - - - (126,778) - (0.97)

Total - - - - 9,818,013 6,250,780 75.01 (47.76)


135




There was no sector exposure on 31 December 2015 as the Fund has closed.

Sector exposure:

Sector

Notional

Exposure

Long

USD

31-Dec-15

Notional

Exposure

Short

USD

31-Dec-15

Long

(% NAV)

Short

(% NAV)

Notional

Exposure

Long

USD

31-Dec-14

Notional

Exposure

Short

USD

31-Dec-14

Long

(% NAV)

Short

(% NAV)

Financial - - - - 3,119,177 (1,405,611) 23.83 (10.74)

Consumer,

Non-cyclical - - - - 1,821,161 (390,347) 13.91 (2.98)

Industrial - - - - 1,126,629 (505,786) 8.61 (3.86)

Consumer,

Cyclical - - - - 1,021,727 (1,013,855) 7.81 (7.75)

Communication - - - - 856,989 - 6.55 -

Government - - - - 804,408 (2,900,000) 6.14 (22.16)

Diversified - - - - 661,689 (35,181) 5.06 (0.27)

Energy - - - - 230,258 - 1.76 -

Technology - - - - 175,975 - 1.34 -

Total - - - - 9,818,013 (6,250,780) 75.01 (47.76)


relevant, and will not therefore reconcile to financial assets at fair value. This reflects how other price risk

was monitored and managed by the Investment Manager.

The Fund also used absolute Value-at-Risk (VaR) analysis, which was a statistically based estimate of the



The calculation of the absolute VaR was carried out in accordance with the following parameters:





The VaR model was validated and audited at year end through the use of backtesting procedures. The

results of the backtesting procedures were communicated to the Board of Directors especially when there

were signs of excessive VaR back testing overshoots. Stress testing was also employed to highlight the

validity of the calculation model and suggest corrective actions in terms of model parameters and

calibration.

The main risk covered by the VaR model was market risk. The model’s methodology was historical

simulation where no assumptions regarding returns distributions were made. The backtesting procedure


136

included checking the Fund’s returns versus the VaR levels calculated by the risk engine. The time horizon

used for the backtesting of the VaR model was one day using one year’s historical data.





today’s risk factor levels then re-pricing each security from the new risk factor levels. There were no


Instead, distributions of underlying risk factors were taken exactly as found over the specified historical time

period. This method accurately priced all types of complex non-linear positions as well as simple linear

instruments. It also provided a full distribution of potential portfolio gains and losses (which need not be

symmetrical). If the underlying risk factors exhibit non-normal behaviour such as fat tails or mean reversion,

then the resulting VaR figure included these effects. However, tail risk can only be examined if the historical

data set includes tail events.


of Ireland. This approach did not allow for any kind of netting or hedging. The average leverage of 0% (31

December 2014: 108%) has been computed using data calculated daily and was calculated over the year

ranging from inception of the Fund until 31 December 2015.

VaR utilisation during the period ended on 24 April 2015


0.33% 5.43% 3.66%



2.59% 13.80% 6.32%

Credit risk



As at 31 December 2015, the Fund was not exposed to credit risk.

31-Dec-14


Citibank Baa2 A- A

Deutsche Bank A3 A A+



137






31-Dec-15

USD

31-Dec-14

USD

Common stocks - 7,098,969

Options - 9,962


Unrealised gain on CFD - 94,663

Cash in hand and cash equivalents - 6,517

Margin cash - 6,139,915


Other receivables - 5,171

Total - 13,485,163

Liquidity risk

As at 31 December 2015, the Fund was not exposed to liquidity risk. The following table details the

residual contractual maturities of financial liabilities at 31 December 2014:

< 1

month

1 - 3

months

> 3

months

No

maturity Total

USD USD USD USD USD

Purchases awaiting settlement (493) - - - (493)


payables (108,824) - - - (108,824)


contracts (11,573) (204,349) - - (215,922)

Unrealised loss on CFD (52,475) - - - (52,475)

CDS (21,866) - - - (21,866)





shares) (13,280,814) (204,349) - - (13,485,163)



138



Following the closing of the Fund, the Fund holds no financial assets and liabilities measured at fair value




Assets Level 1

USD

Level 2

USD

Level 3

USD

Total

USD


Common stocks 7,098,969 - - 7,098,969

Options - 9,962 - 9,962

Unrealised gain on forward currency contracts - 9,931 - 9,931

Unrealised gain on CFD - 94,663 - 94,663

Total assets 7,098,969 114,556 - 7,213,525

Liabilities


Unrealised loss on forward currency contracts - (215,922) - (215,922)

Unrealised loss on CFD - (52,475) - (52,475)

CDS - (21,866) - (21,866)

Total liabilities - (290,263) - (290,263)


The policies for determining when transfers take place were as follows: we transfer from Level 1 to Level 2




(2014: USDNil). There were no transfers; in or out of Level 3 during the year ended 31 December 2015

(2014: USDNil).


According to criteria described in Note 3(e) of the aggregated financial statements, the Fund did not meet

the criteria for offsetting and therefore financial assets and liabilities were presented gross on the

Statement of Financial Position.

As at 31 December 2015, the Fund did not hold any instruments subject to an enforceable master netting

arrangement or similar agreement.


to an enforceable master netting arrangement or similar agreement as at 31 December 2014.


139




(a) (b) (c)=(a)-(b) (d) (e)=(c)-(d)

Gross amounts

of recognise

d assets

Gross amounts

offset in the statement


Net amount presented on the statement






Deutsche Bank

Derivatives 63,167 - 63,167 46,678 - 16,489

Morgan Stanley

Derivatives 51,389 - 51,389 51,389 - -

Total 114,556 - 114,556 98,067 - 16,489


(a) (b) (c)=(a)-(b) (d) (e)=(c)-(d)

Gross amounts

of recognise

d liabilities

Gross amounts

offset in the statement


Net amount presented on the statement




Net amount



Deutsche Bank Derivatives (46,678) - (46,678) (46,678) - -

Morgan Stanley

Derivatives (243,585) (243,585) (51,389) - (192,196)

Total (290,263) - (290,263) (98,067) - (192,196)


31-Dec-15

USD

31-Dec-14

USD

Held for trading:

Net realised loss on investments (828,182) (2,614,874)

Movement in unrealised gain/(loss) on investments 48,411 (24,983)

Net loss on financial assets and liabilities at fair value through

profit or loss (779,771) (2,639,857)


140



In accordance with the provisions of the Prospectus, formation costs were amortised and then written off

over a period of 60 months. This treatment was contrary to IFRS which requires such costs to be

expensed when incurred. Therefore, for reporting purposes, an adjustment of USDNil (2014: USD3,511)

was made to reconcile the Statement of Financial Position. During the year ended 31 December 2015

there were no new invoices for formation costs. The cumulative differences are included as “Adjustment

for revaluation of net assets attributable to holders of redeemable shares” in the Statement of Financial

Position.



statements.

During the year Directors’ fees of USD2,999 (31 December 2014: USD8,842) were charged to the Fund,

out of which USDNil (31 December 2014: USD6,067) remained unpaid as at 31 December 2015.

During the year an investment advisory fee of USD24,465 (31 December 2014: USD119,921) was

charged to the Fund, out of which USDNil (31 December 2014: USD8,897) remained unpaid as at 31

December 2015.

During the year an investment management fee of USD36,697 (31 December 2014: USD178,341) was

charged to the Fund, out of which USDNil (31 December 2014: USD13,345) remained unpaid as at 31

December 2015.

During the year a portfolio support fee of USD2,796 (31 December 2014: USD29,242) was charged to the

Fund, out of which USDNil (31 December 2014: USD1,017) remained unpaid as at 31 December 2015.

During the year research and data fees of USD17,289 (VAT inclusive) (31 December 2014: USDNil) were

charged to the Fund, out of which USDNil (31 December 2014: USDNil) remained unpaid as at 31

December 2015.


As at 31 December 2015, Nil (31 December 2014: 11,917.28) shares of Class I2 (EUR) are held by FCP

Diversification Prudentielle which is managed by the same Investment Manager.


Effective 24 April 2015, the Fund closed on compulsory basis. As such these termination financial

statements have been prepared on wind down basis.

The Fund’s final NAV as at 24 April 2015 of USD10,562,802 was paid to investors in two tranches, 90%

was paid on 5 May 2015 and the remaining 10% was paid on 3 June 2015. Following settlement of all

outstanding liabilities, a residual balance of USD869 was distributed to investors on 16 November 2015.




141

CHEYNE EUROPEAN MID CAP EQUITY FUND





142


Note

31-Dec-15

EUR

31-Dec-14

EUR

Assets

Cash in hand and cash equivalents 5 14,375,341 2,867,876

Margin cash 5 8,548,387 2,273,271





Other receivables 4 490,342 318,010

Total assets 95,151,122 47,000,699

Liabilities

Bank overdraft-cash in hand 5 - (126)

Bank overdraft-margin cash 5 (56,621) (185,941)



Purchases awaiting settlement (197,366) (160,551)


Subscriptions received in advance (161,000) -



Investment advisor fee payable 2(e) (53,994) (27,881)

Investment management fee payable 2(f) (80,990) (1,992)

Performance fees payable 2(g) - (327,968)

Total liabilities (excluding Net Assets Attributable to Holders

of Redeemable Shares) (3,342,228) (2,349,478)


Adjustment for revaluation of net assets attributable to

Redeemable Shareholders 12 6,567 8,930




143



31-Dec-15 31-Dec-14 31-Dec-13

Class MC-I1 (USD)


Net Asset Value per share USD1,118.09 USD1,052.06 -

Net Asset Value EUR20,114,460 EUR12,583,428 -

Class MC-I2 (EUR)




Class MC-I3 (GBP)

Number of shares per class - 409.87 170.00

Net Asset Value per share - GBP1,072.24 GBP1,006.80

Net Asset Value - EUR566,302 EUR205,724

Class MC-I4 (CHF)

Number of shares per class 5,060.26 - -

Net Asset Value per share CHF1,035.53 - -

Net Asset Value EUR4,818,941 - -



144


Note

31-Dec-15

EUR

31-Dec-14

EUR

Income


profit or loss 11 6,117,057 4,964,150

Net gain/(loss) on foreign exchange 161,213 (80,250)

Interest income 1,403,754 2,969,609

Dividend income 1,036,193 1,153,086

Other income 169,610 6,056

Total income 8,887,827 9,012,651

Expenses






Other expenses 2(j) (187,076) (165,477)




Custodian fee 2(c) (15,500) (12,060)

Directors’ fees 2(d) (11,279) (11,224)


Total expenses (5,097,049) (5,894,157)








145



31-Dec-15

EUR

31-Dec-14

EUR

Net assets attributable to holders of redeemable shares at

beginning of the year 44,651,221 45,702,690


from operations 3,754,801 3,055,269



Net assets attributable to holders of redeemable shares at end of

the year 91,808,894 44,651,221



146


31-Dec-15

EUR

31-Dec-14

EUR



operations 3,754,801 3,055,269


Increase in investments in transferable securities (28,688,971) (7,413,927)

Increase in investments in financial derivative instruments (533,846) (246,253)

Decrease/(increase) in sales awaiting settlements 106,045 (106,045)

(Increase)/decrease in other receivables (172,332) 127,887

Increase in purchases awaiting settlements 36,815 113,740

(Decrease)/increase in accrued expenses and other payables (154,357) 254,976

Net cash outflow from operating activities (25,651,845) (4,214,353)

Financing



Net cash inflow/(outflow) from financing activities 43,563,872 (4,106,738)

Increase/(decrease) in cash in hand and cash equivalents 17,912,027 (8,321,091)






Interest paid (1,564,347) (2,562,325)

Dividend received 1,036,193 1,094,868

Dividend paid (1,129,976) (1,295,121)


147



The investment objective of the Cheyne European Mid Cap Equity Fund (the “Fund”) is to seek to

generate attractive risk adjusted total rates of return, meaning capital appreciation plus income of its

investments, principally through investments in equity securities of companies with market capitalisation

of between EUR500 million and EUR10 billion that are either listed on stock exchanges in Europe or

whose business is primarily in Europe, and other equity related securities and derivative instruments.

The Fund currently has Class MC-I1 (USD), Class MC-I2 (EUR), Class MC-I3 (GBP) and Class MC-I4

(CHF), Class MC-D1 (USD), Class MC-D2 (EUR), Class MC-D3 (GBP) and Class MC-D4 (CHF) shares

available for investment of which Class D shares are currently unfunded.



Citibank Europe plc is the “Administrator” of the Company pursuant to an Administration Agreement

dated 1 October 2011.

The Administrator receives out of the assets of the Fund an annual fee, accrued daily and payable

monthly in arrears, based on the net asset value (NAV) of the Fund, of up to a maximum of 0.12%,

subject to a minimum annual administration fee of EUR77,000 and an additional fee of EUR1,150 per

month for weekly valuations and an additional fee of EUR1,750 per month for indicative daily valuations

(plus VAT, if any thereon). The minimum fee may be fully or partially waived by the Administrator for such

period or periods of time as may be agreed between the Fund and the Administrator from time to time.


relating to any additional services required in relation to corporate secretarial, audit support, tax

assistance or investor rebate services, as may be agreed with the Company and which shall be charged

at normal commercial rates.


the Fund, EUR10,428 (31 December 2014: EUR15,220) remained unpaid as at 31 December 2015.

Administration fee payable for the year is shown in Note 6.

(b) Audit Fee


2010 (S.I. No. 220 of 2010)), the Fund is obliged to disclose fees paid to the Fund’s Auditor. During the

year, an audit fee of EUR46,052 (31 December 2014: EUR41,804) was charged to the Fund of which


assurance, tax advisory and other non-audit fees are EUR17,170 (31 December 2014: EUR3,064).


Citi Depositary Services Ireland Limited acts as the “Custodian and Trustee” of the Fund pursuant to a







EUR15,500.


148





any custody or transactional services, as may be agreed with the Company and which shall be charged

at standard commercial rates.





During the year a custodian fee of EUR15,500 (31 December 2014: EUR12,060) was charged to the



Fund, EUR3,050 (31 December 2014: EUR956) remained unpaid as at 31 December 2015.

(d) Directors’ Fees

The Articles authorise the Directors to charge a fee for their services at a rate determined by the

Directors up to a maximum fee per Director of GBP25,000 per annum for the Umbrella. All Directors will

be entitled to reimbursement by the Fund of expenses properly incurred in connection with the business

of the Fund or the discharge of their duties.


Fund, EURNil (31 December 2014: EUR4,392) remained unpaid as at 31 December 2015.


The Fund appointed Cheyne Capital International L.P. as Investment Advisor to provide advisory services

in respect of the Fund pursuant to the Investment Advisory Agreement.

The Investment Advisor shall be entitled to receive out of the assets of the Fund an annual fee, accrued

daily and calculated and paid at a rate of 0.70% per annum of the NAV of the Fund allocable to Class

MC-I shares and a rate of 1.20% per annum of the NAV of the Fund allocable to Class MC-D shares.

From 30 September 2014 to 31 March 2015, the annual fee rates reduced to 0.30% per annum of the

NAV of the Fund allocable to Class MC-I shares and reduced to 0.80% per annum of the NAV of the

Fund allocable to Class MC-D shares. The annual fee rates returned to the original rates thereafter.

The Investment Advisor is also entitled to be reimbursed by the Fund for all of its out-of-pocket expenses

reasonably incurred on behalf of the Fund.

During the year an investment advisor fee of EUR471,319 (31 December 2014: EUR381,521) was


2015.


149




The Investment Manager shall be entitled to receive out of the assets of the Fund an annual Investment


annum of the NAV of the Fund allocable to Class MC-I and Class MC-D shares. From 30 September

2014 to 31 March 2015, the annual fee rates reduced to 0.45% per annum of the NAV of the Fund

allocable to Class MC-I shares and Class MC-D shares. The annual fee rates returned to the original

rates thereafter.

The Investment Manager is also entitled to be reimbursed by the Fund for all of its out-of-pocket

expenses and vouched internal legal costs reasonably incurred on behalf of the Fund.



2015.


The Investment Manager and the Investment Advisor shall be entitled to receive, out of the assets

allocable to Class MC-I and MC-D shares, a total performance allocation equal to 20% of the increase in

the NAV of the relevant Class over the High Water Mark (HWM) during a performance period,

disregarding any uncrystallised performance allocation. 60% of any performance allocation will be due to

the Investment Manager and 40% will be due to the Investment Advisor. The initial performance period


The HWM ensures that, if the class falls in value, a performance allocation will only be payable on that

part of any subsequent performance of the class that is in excess of the current HWM value.

The HWM is initially the value invested in the class, and is adjusted at each valuation point to take

account of subscriptions, redemptions and distributions impacting the valuation at that date. The HWM is

increased by the value of subscriptions, reduced by the value of distributions, and prorated down by the

proportion of shares of the class redeeming.








Investment Manager following such redemption. This crystallising performance allocation is calculated as

a pro rata portion of the un-crystallised performance allocation which forms part of the price at which the

relevant shareholder redeemed.

During the year a performance allocation of EUR871,667 (31 December 2014: EUR799,237) was

charged to the Fund, EURNil (31 December 2014: EUR327,968) remained unpaid as at 31 December

2015. The performance allocation is periodically verified by the Custodian.


150




The Investment Manager shall be entitled to receive an annual Portfolio Support Fee out of the assets of

the Fund, accrued at each Valuation Point and payable monthly in arrears at a rate of 0.08% per annum

of the first EUR200 million of the NAV of the Fund, 0.06% per annum of the NAV of the Fund between




the Fund, of which EUR6,171 (31 December 2014: EUR3,186) remained unpaid as at 31 December

2015.


When trading equity securities, the Investment Manager on behalf of the Fund may use execution-only or

full service brokerage. When using full service brokerage, in addition to order execution, commission-

sharing arrangements will be used to accumulate balances to be used solely for the purchase, on behalf

of the Fund, of substantive research in compliance with FCA Rules.





are as follows:

31-Dec-15 31-Dec-14

EUR EUR


VAT (7,904) (2,300)

Total (71,029) (50,674)

* Research and data fees disclosed in the table above are exclusive of VAT. The Research and data fees


(j) Other Expenses

31-Dec-15

EUR

31-Dec-14

EUR


Audit fees (46,052) (41,804)

Legal fees (27,116) (25,000)


VAT services fee expense (1,429) (470)

Directors expenses (1,069) (213)


(187,076) (165,477)


151


3. Financial Assets at fair value through profit or loss


31-Dec-15

EUR

31-Dec-14

EUR

Held for Trading

Common stocks 33,829,625 15,214,093


Options - 52,460

Unrealised gain on forward currency contracts 21,321 200,862

Unrealised gain on CFD 3,618,153 1,831,282

Unrealised gain on futures 57,714 -

71,737,052 41,435,497


Held for Trading

Unrealised loss on forward currency contracts (120,275) -

Unrealised loss on CFD (2,441,398) (1,548,845)

Unrealised loss on futures (65,910) -

(2,627,583) (1,548,845)


31-Dec-15

EUR

31-Dec-14

EUR

Interest receivable on securities 457,364 313,099

Miscellaneous receivable 32,978 -

Prepaid professional fees - 264

Prepaid setup fees - 4,647

490,342 318,010


31-Dec-15

EUR

31-Dec-14

EUR


-CHF 19,170 52,833

-DKK 296,098 1,931

-EUR 13,679,835 2,358,483

-GBP 166,096 255,803

-NOK 49,561 138,422

-SEK 73,576 14,170

-USD 91,005 46,234

14,375,341 2,867,876


152



31-Dec-15

EUR

31-Dec-14

EUR

Margin cash:

-CHF 826 21,067

-DKK 6,020 165,502

-EUR 8,453,470 1,771,276

-GBP 44,321 203,331

-NOK 11,517 58,322

-SEK 1,305 7,013

-USD 30,928 46,760

8,548,387 2,273,271

Bank overdraft-cash in hand*:

-EUR - (126)

- (126)

Bank overdraft-margin cash:

-CHF (398) (629)

-DKK (2,036) -

-EUR (40,032) (181,809)

-GBP (4,088) -

-NOK (1,558) (2,973)

-SEK (8,502) (530)

-USD (7) -

(56,621) (185,941)


* Cash in hand and cash equivalents and bank overdraft-cash in hand are held with the Custodian.

6. Accrued Expenses


31-Dec-15

EUR

31-Dec-14

EUR


Custodian fee payable (31,000) (15,500)

Dividend payable (13,767) -


Administration fee payable (10,428) (15,220)

Trustee services fees payable (3,050) (956)

Interest payable (2,863) -

Directors expense payable (67) -


Legal fees payable - (205)

Total (116,808) (69,204)


153



As at 31 December 2015, there are eight classes of shares in the Fund, all of which are available for

subscription and details of which are set out below:


Available for

Subscription

Class MC-I1 (USD) USD100,000 USD50,000 Yes

Class MC-I2 (EUR) EUR100,000 EUR50,000 Yes

Class MC-I3 (GBP) GBP100,000 GBP50,000 Yes

Class MC-I4 (CHF) CHF100,000 CHF50,000 Yes

Class MC-D1 (USD) USD50,000 USD25,000 Yes

Class MC-D2 (EUR) EUR50,000 EUR25,000 Yes

Class MC-D3 (GBP) GBP50,000 GBP25,000 Yes

Class MC-D4 (CHF) CHF50,000 CHF25,000 Yes

During the initial offer period, from 9 October 2013 to 30 November 2013, shares in Class MC-I1 (USD)

and Class MC-D1 (USD) were available at an initial price of USD1,000, shares in Class MC-I2 (EUR) and

Class MC-D2 (EUR) were available at an initial price of EUR1,000, shares in Class MC-I3 (GBP) and

Class MC-D3 (GBP) were available at an initial price of GBP1,000 and shares in Class MC-I4 (CHF) and

MC-D4 (CHF) were available at an initial price of CHF1,000. Shares in Classes MC-I1 (USD), MC-I2

(EUR), MC-I3 (GBP) and MC-D2 (EUR) are currently available at prices calculated with reference to the

NAV per share.

During the second initial offer period, from 7 August 2014 to 3 Nov 2014, shares in class MC-D1 (USD)

were available at an initial price of USD1,000, shares in Class MC-D3 (GBP) were available at an initial

price of GBP1,000 and shares in Class MC-I4 (CHF) and MC-D4 (CHF) were available at an initial price

of CHF1,000.

Following the relevant initial offer period, applications received by the Administrator prior to the dealing

deadline for any dealing day will be processed on that dealing day. Any applications received after the

dealing deadline for a particular dealing day will be processed on the following dealing day unless the

Directors in their absolute discretion, in exceptional circumstances, otherwise determine to accept one or

more applications received after the dealing deadline for processing on that dealing day, provided that

such applications have been received prior to the Valuation Point for the particular dealing day.

Requests for redemption received prior to the dealing deadline for any dealing day will be processed on


processed on the next dealing day unless the Directors in their absolute discretion, in exceptional

circumstances, determine otherwise provided that such redemption request(s) have been received prior

to the Valuation Point for the particular dealing day. Redemption requests will only be accepted for

processing where cleared funds and completed documents including documentation relating to money

laundering prevention checks are in place from original subscriptions. No redemption payment will be

made from an investor holding until the original Application Form and all documentation required by or on

behalf of the Company (including any documents in connection with anti-money laundering procedures)

has been received from the investor and the anti-money laundering procedures have been completed.

The minimum value of shares which a Shareholder may redeem in any one redemption transaction is

EUR2,000 (or its USD/GBP/CHF equivalent). In the event of a Shareholder requesting a redemption

which would, if carried out, leave the Shareholder holding shares of a Class having a NAV less than the

relevant Minimum Holding, the Company may, if it thinks fit, redeem the whole of the Shareholder’s

holding.


154





discretion in this respect. The Directors may differentiate between Shareholders of the Fund by waiving

or reducing the redemption fee chargeable to certain Shareholders. The Directors will give not less than

one month's notice to Shareholders of their intention to introduce a redemption fee generally. In the event

of a redemption fee being charged, Shareholders should view their investment as medium to long-term.

Shareholders’ capital details are shown below, there were no holdings in Class MC-I3 (GBP), Class MC-

D1 (USD), Class MC-D2 (EUR), Class MC-D3 (GBP) and Class MC-D4 (CHF) as at 31 December 2015:

31-Dec-15

Class MC-I1

USD

Class MC-I2

EUR

Class MC-I3

GBP

Class MC-I4

CHF

Number of Shares

Shares in issue at start of year 14,473.06 29,483.53 409.87 -

Issue of shares during the year 5,069.43 37,076.01 - 5,148.26

Redemption of shares during the year - (7,686.19) (409.87) (88.00)

Shares in issue at year end 19,542.49 58,873.35 - 5,060.26

31-Dec-14

Class MC-I1

USD

Class MC-I2

EUR

Class MC-I3

GBP

Class MC-D2

EUR

Number of Shares

Shares in issue at start of year - 45,203.66 170.00 -

Issue of shares during the year 14,973.06 18,789.19 239.87 50.00

Redemption of shares during the year (500.00) (34,509.32) - (50.00)

Shares in issue at year end 14,473.06 29,483.53 409.87 -


received

2015

Consideration

received

2014

Class MC-I1 (USD) 5,200,799 12,167,609

Class MC-I2 (EUR) 42,479,547 18,006,951

Class MC-I3 (GBP) - 318,228

Class MC-I4 (CHF) 4,966,902 -

Class MC-D2 (EUR) - 50,000



Interest Rate Risk

Cash flow interest risk arises on cash in hand and cash equivalents. An increase in 50 basis points in

interest rates as at the reporting date would have decreased the net assets attributable to the holders of


EUR285,387 (2014: EUR144,657). A decrease of 50 basis points would have had an equal but opposite

effect.


155






and liabilities.

31-Dec-15

<1

month

1 - 3

months

3 - 12

months

>12

months

Non-

interest

bearing Total

Assets EUR EUR EUR EUR EUR EUR

Held for Trading:

Common stocks - - - - 33,829,625 33,829,625

Fixed income securities - 17,021,684 17,188,555 - - 34,210,239

Unrealised gain on CFD - - - - 3,618,153 3,618,153



Unrealised gain on futures - - - - 57,714 57,714



equivalents 14,375,341 - - - - 14,375,341

Margin cash 8,548,387 - - - - 8,548,387


Total assets 22,923,728 17,021,684 17,188,555 - 38,017,155 95,151,122

<1

month

1 - 3

months

3 - 12

months

>12

months

Non-

interest

bearing Total

Liabilities EUR EUR EUR EUR EUR EUR

Held for Trading:






amortised cost:

Bank overdraft – margin cash (56,621) - - - - (56,621)

Subscriptions received in advance - - - - (161,000) (161,000)


other payables - - - - (299,658) (299,658)

Purchases awaiting settlement - - - - (197,366) (197,366)



156




31-Dec-14

Assets < 1 month

1 - 3

months

3 - 12

months

> 12

months

Non-

interest

bearing

Total


Held for Trading:

Common stocks - - - - 15,214,093 15,214,093

Fixed income securities - 12,007,032 12,129,768 - - 24,136,800

Options - - - - 52,460 52,460



Unrealised gain on CFD - - - - 1,831,282 1,831,282



equivalents 2,867,876 - - - - 2,867,876

Margin cash 2,273,271 - - - - 2,273,271



Total assets 5,141,147 12,007,032 12,129,768 - 17,722,752 47,000,699

Liabilities < 1 month

1 - 3

months

3 - 12

months

> 12

months

Non-

interest

bearing

Total


Held for Trading:



measured at amortised

cost:


hand (126) - - - - (126)


cash (185,941) - - - - (185,941)


other payables - - - - (454,015) (454,015)

Purchases awaiting

settlement - - - - (160,551) (160,551)



157





forward foreign currency contracts with the exception of contracts used for hedging foreign currency

share classes as at 31 December 2015 and 31 December 2014:

Total Total

31-Dec-15 31-Dec-14

Currency EUR EUR

CHF (27,589) (162,660)

DKK 1,999,726 95,110

GBP 411,292 1,124,738

NOK 136,253 238,133

SEK 14,889 (201,312)

USD 107,822 92,994

Total 2,642,393 1,187,003

An increase in 50 basis points in Euro rates as at the reporting date would have decreased the net

assets attributable to the holders of redeemable shares and changes in net assets attributable to the

holders of redeemable shares by EUR13,212 (31 December 2014: EUR5,935). A decrease of 50 basis

points would have had an equal but opposite effect.


Other price risk




Country of risk

Notional

Exposure

Long

EUR

31-Dec-15

Notional

Exposure

Short

EUR

31-Dec-15

Long

(% NAV)

Short

(% NAV)

Notional

Exposure

Long

EUR

31-Dec-14

Notional

Exposure

Short

EUR

31-Dec-14

Long

(% NAV)

Short

(% NAV)

France 40,601,210 (4,305,566) 44.23 (4.69) 18,582,585 (1,933,624) 41.61 (4.33)

Germany 35,788,869 (10,764,293) 38.99 (11.72) 17,682,011 (5,340,333) 39.59 (11.96)

Ireland 9,615,053 - 10.47 - 2,230,371 (1,093,965) 4.99 (2.45)

Italy 7,962,607 (1,072,625) 8.67 (1.17) 2,534,502 (1,895,025) 5.68 (4.24)

Britain 7,031,329 (6,018,279) 7.66 (6.55) 8,863,851 (2,526,555) 19.85 (5.66)

Denmark 5,334,329 (1,786,636) 5.81 (1.95) 2,085,026 (973,182) 4.67 (2.18)

Spain 2,383,342 (5,357,761) 2.60 (5.84) 3,677,927 (1,324,752) 8.24 (2.96)

Norway 2,277,130 - 2.48 - - (3,648,444) - (8.17)

Netherlands 2,142,560 (298,112) 2.34 (0.32) 4,410,129 (1,043,405) 9.87 (2.34)

Sweden 1,968,212 (6,573,710) 2.14 (7.16) - (1,833,794) - (4.10)

Finland 837,881 (1,329,478) 0.91 (1.45) 1,490,160 (2,154,937) 3.33 (4.83)

Belgium - (2,245,445) - (2.45) - (2,008,418) - (4.50)

Switzerland - (1,883,123) - (2.05) - (2,347,103) - (5.26)

Europe - (15,924,510) - (17.35) - (3,195,321) - (7.15)

Austria - - - - 1,031,344 - 2.31 -

Total 115,942,522 (57,559,538) 126.30 (62.70) 62,587,906 (31,318,858) 140.14 (70.13)


158





Sector

Notional

Exposure

Long

EUR

31-Dec-15

Notional

Exposure

Short

EUR

31-Dec-15

Long

(% NAV)

Short

(% NAV)

Notional

Exposure

Long

EUR

31-Dec-14

Notional

Exposure

Short

EUR

31-Dec-14

Long

(% NAV)

Short

(% NAV)

Industrial 19,874,184 (11,270,372) 21.65 (12.28) 5,953,860 (10,324,247) 13.33 (23.12)

Consumer, Cyclical 28,156,145 (4,046,756) 30.67 (4.41) 9,047,279 (1,595,834) 20.26 (3.57)

Communication 10,240,329 (911,727) 11.16 (0.99) 6,429,786 (2,247,448) 14.40 (5.03)

Government 34,211,851 - 37.27 - 24,136,296 - 54.04 -

Consumer,

Non-cyclical 13,208,289 (9,181,024) 14.39 (10.00) 5,295,603 (6,738,533) 11.86 (15.09)

Financial - - - - 2,877,189 - 6.44 -

Utilities 2,834,978 (593,806) 3.09 (0.65) - - - -

Energy 2,327,202 - 2.53 - - (3,648,444) - (8.17)

Basic Materials - (3,630,347) - (3.95) 6,837,966 - 15.31 -

Index - (22,704,904) - (24.73) - (5,721,877) - (12.82)

Technology 5,089,544 (5,220,602) 5.54 (5.69) 2,009,927 (1,042,475) 4.50 (2.33)

Total 115,942,522 (57,559,538) 126.30 (62.70) 62,587,906 (31,318,858) 140.14 (70.13)


relevant, and will not therefore reconcile to financial assets at fair value. This reflects how other price risk

is monitored and managed by the Investment Manager.









The VaR model is validated and audited at year end through the use of backtesting procedures. The

results of the backtesting procedures are communicated to the Board of Directors especially when there

are signs of excessive VaR back testing overshoots. Stress testing is also employed to highlight the

validity of the calculation model and suggest corrective actions in terms of model parameters and

calibration.

The main risk covered by the VaR model is market risk. The model’s methodology is the historical

simulation where no assumptions regarding returns distributions are made. The backtesting procedure

includes checking the Fund’s returns versus the VaR levels calculated by the risk engine. The time horizon

used for the backtesting of the VaR model is one day using one year’s historical data.


159










symmetrical). If the underlying risk factors exhibit non-normal behaviour such as fat tails or mean

reversion, then the resulting VaR figure will include these effects. However, tail risk can only be examined

if the historical data set includes tail events.

Leverage has been computed using the sum of notionals approach, as recommended by the Central

Bank of Ireland. This approach does not allow for any kind of netting or hedging. The average leverage of

24% (31 December 2014: 20%) has been computed using data calculated daily and was calculated over

the period ranging from inception of the Fund until 31 December 2015.



3.20% 9.18% 5.81%



1.89% 5.55% 3.57%

Credit risk

The tables below indicate the long-term credit ratings of the counterparties of financial assets held as at

31 December 2015 and 31 December 2014:

31-Dec-15

Moody’s Standard & Poor’s Fitch

Citibank A1 A A+

Goldman Sachs A3 BBB+ A


31-Dec-14

Moody’s Standard & Poor’s Fitch

Citibank Baa2 A- A


160






31-Dec-15

EUR

31-Dec-14

EUR

Common stocks 33,829,625 15,214,093


Options - 52,460

Unrealised gain on forward currency contracts 21,321 200,862

Unrealised gain on CFD 3,618,153 1,831,282

Unrealised gain on futures 57,714 -

Cash in hand and cash equivalents 14,375,341 2,867,876

Margin cash 8,548,387 2,273,271


Other receivables 490,342 318,010

Total 95,151,122 47,000,699

Liquidity risk


<1

month

1 - 3

months

>3

months

No

maturity Total

EUR EUR EUR EUR EUR


Subscriptions received in advance (161,000) - - - (161,000)


payables (299,658) - - - (299,658)



currency contracts (1,617) (118,658) - - (120,275)


Unrealised loss on futures (61,785) (4,125) - - (65,910)

Net assets attributable to holder

of redeemable shares (91,808,894) - - - (91,808,894)


assets attributable to holders

of redeemable shares) (95,028,339) (122,783) - - (95,151,122)


161



Liquidity risk (continued)


<1

month

1 - 3

months

>3

months

No

maturity Total

EUR EUR EUR EUR EUR

Bank overdraft-cash in hand (126) - - - (126)



payables (454,015) - - - (454,015)



Net assets attributable to holders

of redeemable shares (44,651,221) - - - (44,651,221)


assets attributable to holders

of redeemable shares) (47,000,699) - - - (47,000,699)






EUR EUR EUR EUR


Common stocks 33,829,625 - - 33,829,625



Unrealised gain on CFD - 3,618,153 - 3,618,153

Unrealised gain on futures 57,714 - - 57,714

Total assets 33,887,339 37,849,713 - 71,737,052

Liabilities


Unrealised loss on forward currency contracts - (120,275) - (120,275)





162






EUR EUR EUR EUR


Common stocks 15,214,093 - - 15,214,093


Unrealised gain on CFD - 1,831,282 - 1,831,282


Options - 52,460 - 52,460

Total assets 15,214,093 26,221,404 - 41,435,497

Liabilities








There were no significant transfers between Level 1 and Level 2 during the year ended 31 December

2015 (2014: EURNil). There were no transfers in or out of Level 3 during the year ended 31 December

2015 (2014: EURNil).


The Fund may be eligible to present net on the Statement of Financial Position, certain financial assets

and financial liabilities according to criteria described in Note 3(e) of the aggregated financial statements.

The Fund did not meet the criteria for offsetting and therefore financial assets and liabilities are presented

gross on the Statement of Financial Position.

The following tables provides information on the financial impact of potential netting for instruments

subject to an enforceable master netting arrangement or similar agreement as at 31 December 2015 and

31 December 2014.


163




(a) (b) (c)=(a)-(b) (d) (e)=(c)-(d)


assets


the statement



on the statement






Citibank Derivatives 21,321 - 21,321 21,321 - -

Goldman Sachs Derivatives 3,618,153 - 3,618,153 2,349,979 - 1,268,174

Morgan Stanley Derivatives 57,714 - 57,714 57,714 - -

Total 3,697,188 - 3,697,188 2,429,014 - 1,268,174


(a) (b) (c)=(a)-(b) (d) (e)=(c)-(d)


liabilities


the statement



on the statement





Financial liabilities at fair value through profit or loss Citibank

Derivatives (120,275) - (120,275) (21,321) (98,954) - Goldman Sachs

Derivatives (2,349,979) - (2,349,979) (2,349,979) - - Morgan Stanley

Derivatives (157,329) - (157,329) (57,714) (99,615) -

Total (2,627,583) - (2,627,583) (2,429,014) (198,569) -


164




(a) (b) (c)=(a)-(b) (d) (e)=(c)-(d)


assets


the statement


Net amount presented on the

statement of financial position





Citibank Derivatives 200,862 - 200,862 - - 200,862

Goldman Sachs Derivatives 1,753,192 - 1,753,192 1,504,527 - 248,665

Morgan Stanley Derivatives 130,550 - 130,550 44,318 - 86,232

Total 2,084,604 - 2,084,604 1,548,845 - 535,759


(a) (b) (c)=(a)-(b) (d) (e)=(c)-(d)


liabilities


the statement


Net amount presented on the

statement of financial position



Net amount


Financial liabilities at fair value through profit or loss Goldman Sachs

Derivatives (1,504,527) - (1,504,527) (1,504,527) - -

Morgan Stanley Derivatives (44,318) - (44,318) (44,318) - -

Total (1,548,845) - (1,548,845) (1,548,845) - -


165



31-Dec-15

EUR

31-Dec-14

EUR

Held for trading:

Net realised gain on investments 6,273,561 4,416,806

Movement in unrealised (loss)/gain on investments (156,504) 577,344


profit or loss 6,117,057 4,964,150




when incurred. Therefore, for reporting purposes, an adjustment of EUR6,567 (31 December 2014:

EUR8,930) is made to reconcile the Statement of Financial Position. During the year ended 31 December

2015 there were no new invoices for formation costs (31 December 2014: EUR22,883). The cumulative

differences are included as “Adjustment for revaluation of net assets attributable to holders of redeemable

shares” in the Statement of Financial Position.



statements.



During the year an investment advisory fee of EUR471,319 (31 December 2014: EUR381,521) was

charged to the Fund, out of which EUR53,994 (31 December 2014: EUR27,881) remained unpaid as at

31 December 2015.



December 2015.

During the year a performance allocation of EUR871,667 (31 December 2014: EUR799,237) was

charged to the Fund, out of which EURNil (31 December 2014: EUR327,968) remained unpaid as at 31

December 2015.



2015.


were charged to the Fund, out of which EUR41,695 (31 December 2014: EUR23,784) remained unpaid

as at 31 December 2015.


166


13. Connected and Related Party Transactions (continued)


As at 31 December 2015, 2,379.19 (31 December 2014: 2,022.53) shares in MC-I1 (USD) are held by

Cheyne Multi Strategy Fund L.P. which is managed by the same Investment Manager.

As at 31 December 2015, 12,450.54 (31 December 2014: Nil) shares in MC-I1 (USD) are held by Cheyne

Global Equity Fund L.P. which is managed by the same Investment Manager.

As at 31 December 2015, Nil (31 December 2014: 12,450.54) shares in MC-I1 (USD) are held by Cheyne

Equity Fund L.P. which is managed by the same Investment Manager.

As at 31 December 2015, 16,752.81 (31 December 2014: 9,318.53) shares of Class MC-I2 (EUR) are

held by FCP Diversification Prudentielle which is managed by the same Investment Manager.


From 30 September 2014 to 31 March 2015, the annual investment advisor fee rates reduced to from

0.70% to 0.30% per annum of the NAV of the Fund allocable to Class MC-I shares and reduced from

1.20% to 0.80% per annum of the NAV of the Fund allocable to Class MC-D shares. The annual fee rates

return to the original rates thereafter.

From 30 September 2014 to 31 March 2015, the annual investment management fee rates reduced from

1.05% to 0.45% per annum of the NAV of the Fund allocable to Class MC-I shares and Class MC-D

shares. The annual fee rates return to the original rates thereafter.

As at June 30, 2015, Cheyne Equity Fund L.P transferred 100% of its shareholding in the MC-I1 (USD)

share class of Cheyne European Mid Cap Equity Fund to Cheyne Global Equity Fund L.P. which is

managed by the same Investment Manager.





167

PORTFOLIO STATEMENT AS AT 31 DECEMBER 2015



Convertible bonds

Nominal Description Fair Value % of

EUR Net Assets

CAD

1,000,000 Element Financial Corp 4.25% 30/06/2020 682,786 0.81%

682,786 0.81%

CHF

1,000,000 Implenia Ag 0.50% 30/06/2022 920,243 1.09%

920,243 1.09%

EUR

1,200,000 Ablynx Nv 3.25% 27/05/2020 1,671,672 1.98%

1,600,000 America Movil Sab De Cv 0.00% 28/05/2020 1,643,872 1.95%

1,100,000 Aroundtown Property Holdings Plc 1.50% 18/01/2021 1,085,810 1.29%

1,500,000 Aroundtown Property Holdings Plc 3.00% 05/05/2020 1,907,955 2.26%

700,000 Aurelius Se & Co Kgaa 1.00% 01/12/2020 746,190 0.88%

20,000 Bim Sas 2.50% 13/11/2020 506,980 0.60%

1,000,000 Criteria Caixa Sa 1.00% 25/11/2017 1,022,115 1.21%

1,000,000 Haniel Finance Deutschland Gmbh 0.00% 12/05/2020 1,075,910 1.28%

1,000,000 Heidelberger Druckmaschinen Ag 8.50% 10/07/2017 1,082,195 1.28%

1,300,000 Iberdrola International Bv 0.00% 11/11/2022 1,319,409 1.56%

700,000 International Consolidated Airlines Group Sa 0.625% 17/11/2022 717,906 0.85%

2,000,000 Magyar Nemzeti Vagyonkezelo Zrt 3.375% 02/04/2019 2,257,680 2.68%

1,000,000 Maire Tecnimont Spa 5.75% 20/02/2019 1,215,125 1.44%

500,000 Oci Nv 3.875% 25/09/2018 569,645 0.68%

1,000,000 Prysmian Spa 1.25% 08/03/2018 1,126,825 1.34%

1,500,000 Sonae Investments Bv 1.625% 11/06/2019 1,485,165 1.76%

60,000 Suez Environnement Co 0.00% 27/02/2020 1,351,980 1.60%

1,200,000 Telecom Italia Spa 1.125% 26/03/2022 1,356,540 1.61%

22,142,974 26.25%

GBP

1,000,000 Market Tech Holdings Ltd 2.00% 31/03/2020 1,332,772 1.58%

1,000,000 National Grid North America Inc 0.90% 02/11/2020 1,387,960 1.65%

1,000,000 St Modwen Properties Securities Jersey Ltd 2.875% 06/03/2019 1,390,707 1.65%

1,000,000 Vodafone Group Plc 0.00% 26/11/2020 1,370,721 1.62%

5,482,160 6.50%

HKD

6,000,000 Kingsoft Corp Ltd 1.25% 11/04/2019 687,421 0.81%

4,000,000 Shenzhou International Group Holdings Ltd 0.50% 18/06/2019 597,271 0.71%

1,284,692 1.52%


168

PORTFOLIO STATEMENT AS AT 31 DECEMBER 2015 (Continued)

CHEYNE CONVERTIBLES ABSOLUTE RETURN FUND (Continued)

Financial assets at fair value through profit or loss (continued)

Convertible bonds (continued)


EUR Net Assets

JPY

100,000,000 Cyberdyne Inc 0.00% 12/12/2017 941,417 1.12%

100,000,000 Daio Paper Corp 0.00% 17/09/2020 751,658 0.89%

150,000,000 Dcm Holdings Co Ltd 0.00% 21/12/2020 1,239,904 1.47%

100,000,000 Sony Corp 0.00% 30/09/2022 788,191 0.93%

100,000,000 Tohoku Electric Power Co Inc 0.00% 03/12/2020 807,146 0.96%

200,000,000 Wessex Ltd 0.00% 06/11/2020 132,005 0.16%

200,000,000 Wessex Ltd 0.00% 20/11/2020 122,440 0.14%

4,782,761 5.67%

USD

1,000,000 Aperam Sa 0.625% 08/07/2021 1,025,255 1.22%

800,000 China Overseas Finance Investment Cayman IV Ltd 0.00% 04/02/2021 903,883 1.07%

2,000,000 China Overseas Finance Investment Cayman V Ltd 0.00% 05/01/2023 1,875,752 2.22%

2,000,000 Citrix Systems Inc 0.50% 15/04/2019 2,017,141 2.39%

1,000,000 Crotona Asset Ltd 4.00% 14/04/2019 1,060,011 1.26%

1,500,000 Dycom Industries Inc 0.75% 15/09/2021 1,361,447 1.61%

1,250,000 Emergent Biosolutions Inc 2.875% 15/01/2021 1,589,743 1.88%

2,000,000 Harmonic Inc 4.00% 01/12/2020 1,766,860 2.09%

2,500,000 Inphi Corp 1.125% 01/12/2020 2,201,498 2.61%

1,000,000 Integrated Device Technology Inc 0.875% 15/11/2022 956,062 1.13%

1,500,000 Interdigital Inc/Pa 2.50% 15/03/2016 1,393,213 1.65%

3,000,000 Linkedin Corp 0.50% 01/11/2019 2,914,512 3.46%

1,500,000 Nuance Communications Inc 1.00% 15/12/2035 1,334,252 1.58%

1,000,000 Nxp Semiconductors Nv 1.00% 01/12/2019 1,016,469 1.21%

500,000 Orexigen Therapeutics Inc 2.75% 01/12/2020 274,234 0.33%

2,000,000 Qiagen Nv 0.375% 19/03/2019 2,124,533 2.52%

1,000,000 Qihoo 360 Technology Co Ltd 1.75% 15/08/2021 889,552 1.05%

1,600,000 Siem Industries Inc 1.00% 12/09/2019 1,380,488 1.64%

1,000,000 Siemens Financieringsmaatschappij Nv 1.05% 16/08/2017 969,129 1.15%

1,000,000 Synchronoss Technologies Inc 0.75% 15/08/2019 933,591 1.11%

2,000 Teva Pharmaceutical Industries Ltd 7.00% 15/12/2018 1,873,070 2.22%

1,000,000 Total Sa 0.50% 02/12/2022 899,181 1.07%

500,000 Vedanta Resources Jersey Ltd 5.50% 13/07/2016 373,136 0.44%

1,000,000 Vipshop Holdings Ltd 1.50% 15/03/2019 974,611 1.16%

1,000,000 Workday Inc 0.75% 15/07/2018 1,061,627 1.26%

1,000,000 Zhen Ding Technology Holding Ltd 0.00% 26/06/2019 929,973 1.10%

34,099,223 40.43%

Total convertible bonds 69,394,839 82.27%


169




Options

Notional/ Quantity Securities Covered

Strike Price

Maturity Date Counterparty

Fair value EUR

% of

Net Assets

EUR 45 Dax Index No 11,000 18/03/2016 Morgan Stanley 71,404 0.08%

100 SX5E Index No 3,350 18/03/2016 Morgan Stanley 98,600 0.12%

170,004 0.20%

JPY

400,000,000 Gs Yuasa No 40 13/03/2019 Bank of Nomura 68,736 0.08% 100,000,000 His Corp No 55 30/08/2019 Bank of Nomura 119,996 0.14% 200,000,000 K'S Denki Corp No 50 20/12/2019 Bank of Nomura 400,185 0.47% 300,000,000 Lixil Group Corp No 40 4/3/2022 Bank of Nomura 130,532 0.16%

300,000,000 Mitsumi No 50 3/8/2020 Daiwa Securities

Group 106,054 0.13% 200,000,000 Obara Group Inc No 70 8/4/2020 Bank of Nomura 8,088 0.01% 300,000,000 Park24 No 50 26/04/2018 Bank of Nomura 482,030 0.57% 300,000,000 Resorttrust No 60 17/11/2017 Bank of Nomura 469,756 0.56% 200,000,000 Sbi Holdings No 205 2/11/2017 Bank of America 155,736 0.18%

400,000,000 T&d Holdings No 28 6/5/2020 Daiwa Securities

Group 140,113 0.17% 300,000,000 Takashimaya No 35 11/12/2018 Bank of Nomura 146,664 0.17% 100,000,000 Teijin Ltd No 30 10/12/2021 Bank of Nomura 180,682 0.21% 150,000,000 Terumo No 35 6/12/2021 Bank of Nomura 259,380 0.31% 200,000,000 Yamada Denki No 55 28/06/2019 Bank of Nomura 240,138 0.29%

2,908,090 3.45%

USD

3,500,000 Htinl No 500 13/02/2017 JP Morgan Chase 73,483 0.09% 23 SPX US Index No 2,120 19/02/2016 Morgan Stanley 20,961 0.02%

94,444 0.11%

Total options

3,172,538 3.76%

Contracts for difference

Unrealised % of

Notional Securities Counterparty Gain EUR

Net Assets

EUR (141,500) Deutsche Post Ag Societe Generale 46,695 0.06%

4,500,000 Fregr 0.00% 24/09/2019 Societe Generale 4,005 0.00% (71,400) Fresenius Se & Co Kgaa Societe Generale 29,988 0.04% (73,356) Kuka Ag Societe Generale 43,280 0.05% 5,000,000 Marine Harvest 0.00% 06/05/2019 Societe Generale 33,875 0.04% 3,000,000 Salzgitter Finance 0.00% 08/11/2017 Societe Generale 17,130 0.02% (584,000) Steinhoff International Holdings Nv BNP Paribas 71,145 0.08%

246,118 0.29%


170




Contracts for difference (continued)

Unrealised

Notional Securities Counterparty

Gain EUR

% of Net Assets

GBP

(307,114) British Land Co Plc/The Societe Generale 27,085 0.03%

27,085 0.03%

HKD (178,000) Enn Energy Holdings Ltd Societe Generale 1,586 0.00%

1,586 0.00%

USD 4,000,000 CRM 0.25% 01/04/2018 Societe Generale 21,143 0.03%

(102,000) Ctrip.Com International Ltd BNP Paribas 153,521 0.18% (41,400) Ctrip.Com International Ltd Societe Generale 62,312 0.08% (54,000) Extra Space Storage Inc BNP Paribas 41,757 0.05% (23,060) Fireeye Inc Societe Generale 12,418 0.01% (36,070) Nuvasive Inc BNP Paribas 1,162 0.00% (235,500) Nvidia Corp BNP Paribas 37,939 0.04% (87,900) Pandora Media Inc BNP Paribas 10,115 0.01% 3,500,000 Priceline.Com 0.00% 15/03/2018 BNP Paribas 1,403 0.00% (18,000) Restoration Hardware Holdings Inc BNP Paribas 4,723 0.01% 4,000,000 RH 0.00% 15/07/2020 BNP Paribas 26,678 0.03% 4,500,000 Sandisk Corp 0.50% 15/10/2020 BNP Paribas 42,168 0.05% 2,000,000 Tesla Motors Inc 0.00% 01/06/2018 Societe Generale 158,790 0.19% (102,600) Trinity Industries Inc Societe Generale 39,196 0.05%

613,325 0.73%

Total unrealised gain on contracts for difference 888,114 1.05%


Unrealised Maturity

Amount Amount Gain % of

Date Counterparty Bought Sold EUR Net Assets 19/01/2016 Morgan Stanley USD32,721,500 EUR(28,679,540) 1,427,952 1.69% 19/01/2016 Morgan Stanley EUR4,257,727 GBP(3,010,000) 175,480 0.21% 19/01/2016 Morgan Stanley EUR1,373,947 GBP(982,000) 42,131 0.05% 19/01/2016 Morgan Stanley USD700,000 EUR(616,129) 27,950 0.03% 19/01/2016 Morgan Stanley EUR575,276 GBP(410,000) 19,222 0.02% 19/01/2016 Morgan Stanley EUR726,994 CAD(1,073,000) 16,227 0.02% 19/01/2016 Morgan Stanley USD1,000,000 EUR(905,850) 14,263 0.02% 19/01/2016 Morgan Stanley EUR1,088,082 USD(1,171,264) 10,387 0.01% 19/01/2016 Morgan Stanley JPY124,900,000 EUR(946,292) 9,452 0.01% 19/01/2016 Morgan Stanley EUR1,084,741 CHF(1,169,840) 8,515 0.01% 19/01/2016 Morgan Stanley USD485,000 EUR(438,501) 7,754 0.01% 19/01/2016 Morgan Stanley GBP5,239,500 EUR(7,099,098) 6,859 0.01%


171




Forward currency contracts (continued)

Unrealised

Maturity

Amount Amount Gain % of Date Counterparty Bought Sold EUR Net Assets 19/01/2016 Morgan Stanley EUR613,017 USD(660,000) 5,742 0.01% 19/01/2016 Morgan Stanley HKD4,210,000 EUR(495,637) 4,278 0.01% 19/01/2016 Morgan Stanley EUR927,606 CHF(1,005,000) 3,029 0.01% 19/01/2016 Morgan Stanley EUR221,001 USD(237,000) 2,934 0.01% 19/01/2016 Morgan Stanley EUR52,410 GBP(37,000) 2,230 0.00% 19/01/2016 Morgan Stanley EUR35,344 GBP(25,000) 1,439 0.00% 19/01/2016 Morgan Stanley EUR74,526 GBP(54,000) 1,290 0.00% 19/01/2016 Morgan Stanley USD236,000 EUR(215,918) 1,228 0.00% 19/01/2016 Morgan Stanley USD2,800,000 EUR(2,575,205) 1,113 0.00% 19/01/2016 Morgan Stanley EUR90,773 CHF(97,693) 898 0.00% 19/01/2016 Morgan Stanley EUR41,364 GBP(30,000) 678 0.00% 19/01/2016 Morgan Stanley EUR56,164 GBP(41,000) 559 0.00% 19/01/2016 Morgan Stanley EUR51,348 CHF(55,388) 392 0.00% 19/01/2016 Morgan Stanley EUR41,739 CHF(45,000) 340 0.00% 19/01/2016 Morgan Stanley HKD10,620,000 EUR(1,260,737) 333 0.00% 19/01/2016 Morgan Stanley EUR21,752 USD(23,346) 271 0.00% 19/01/2016 Morgan Stanley EUR24,796 USD(26,661) 264 0.00% 19/01/2016 Morgan Stanley EUR50,177 CHF(54,294) 228 0.00% 19/01/2016 Morgan Stanley EUR48,977 CHF(53,000) 218 0.00% 19/01/2016 Morgan Stanley EUR37,910 CHF(41,000) 191 0.00% 19/01/2016 Morgan Stanley GBP41,000 EUR(55,525) 80 0.00% 19/01/2016 Morgan Stanley EUR688,741 JPY(90,000,000) 54 0.00% 19/01/2016 Morgan Stanley EUR303,666 USD(330,000) 29 0.00%

Total unrealised gain on forward currency contracts 1,794,010 2.13%


172




Options

% of

Strike Maturity

Fair value Net

Notional Securities Covered Price Date Counterparty EUR Assets

EUR

300,000,000 Aderan No 58 7/10/2017 Bank of Nomura - 0.00%

1,000,000 Srtgij No 580 26/05/2018 Standard Charter - 0.00%

- 0.00%

Total options

- 0.00%


Unrealised

Loss % of

Notional Securities Counterparty EUR Net Assets

EUR (55,600) Ablynx Nv Morgan Stanley (4,587) (0.01)%

(35,020) Aurubis Ag Societe Generale (17,860) (0.02)% (10,000) Azimut Holding Spa BNP Paribas (1,350) 0.00% 1,000,000 Azimut Holding Spa 2.125% 25/11/2020 BNP Paribas (2,963) 0.00% 4,000,000 Dpwgr 0.60% 06/12/2019 Societe Generale (59,280) (0.07)% 2,700,000 Kuka Ag 0.00% 12/02/2018 Societe Generale (66,838) (0.08)% (363,900) Marine Harvest Asa Societe Generale (30,572) (0.04)% (4,935) Oci Nv Morgan Stanley (654) 0.00% 3,500,000 Steinhoff Finance 0.00% 30/01/2021 BNP Paribas (108,383) (0.13)% (5,650,000) Telecom Italia Spa BNP Paribas (8,475) (0.01)% 5,000,000 TITIM 6.125% 15/11/2016 BNP Paribas (26,354) (0.03)%

(327,316) (0.39)%

GBP

3,000,000 Blndln 1.50% 10/09/2017 Societe Generale (55,472) (0.07)%

(55,472) (0.07)%

JPY (8,000) His Co Ltd Morgan Stanley (1,531) (0.00)%

(11,000) Konami Holdings Corp Morgan Stanley (9,259) (0.01)% (35,000) K'S Holdings Corp Morgan Stanley (14,731) (0.02)% (25,000) Lixil Group Corp Morgan Stanley (5,644) (0.01)% (50,000) Mitsumi Electric Co Ltd Morgan Stanley (1,339) (0.00)% (68,000) Park24 Co Ltd Morgan Stanley (50,736) (0.06)% (39,000) Resorttrust Inc Morgan Stanley (16,415) (0.02)% (53,000) Sbi Holdings Inc/Japan Morgan Stanley (20,685) (0.02)% (25,000) T&D Holdings Inc Morgan Stanley (3,396) (0.00)% (30,000) Takashimaya Co Ltd Morgan Stanley (10,101) (0.01)% (110,000) Teijin Ltd Morgan Stanley (4,630) (0.01)% (17,000) Terumo Corp Morgan Stanley (7,805) (0.01)% (186,000) Yamada Denki Co Ltd Morgan Stanley (12,810) (0.02)%

(159,082) (0.19)%


173



Financial liabilities at fair value through profit or loss (continued)


Unrealised

Loss % of


USD

2,000,000 Cemex 3.750% 15/03/2018 BNP Paribas (9,871) (0.01)%

(97,000) Cemex Sab De Cv BNP Paribas (12,055) (0.01)%

5,000,000 Ctrip.Com International Ltd BNP Paribas (161,736) (0.19)%

2,000,000 Ctrip.Com International Ltd Societe Generale (91,695) (0.11)%

(28,000) Emergent Biosolutions Inc Morgan Stanley (15,723) (0.02)%

3,000,000 Extra Space Storage Lp 2.375% 10/07/2033 BNP Paribas (75,960) (0.09)%

4,500,000 FEYE 1.00% 01/06/2035 Societe Generale (16,379) (0.02)%

2,000,000 Nuva 0.00% 01/07/2017 BNP Paribas (10,329) (0.01)%

5,250,000 NVDA 1.00% 01/12/2018 BNP Paribas (22,151) (0.03)%

2,000,000 Pandora Media Inc BNP Paribas (17,977) (0.02)%

(3,112) Priceline Group Inc/The BNP Paribas (5,529) (0.01)%

500,000 Qihoo 360 Tech 0.00% 15/09/2018 BNP Paribas (1,607) 0.00%

(46,700) Salesforce.Com Inc Societe Generale (7,523) (0.01)%

(19,600) Sandisk Corp BNP Paribas (12,359) (0.02)%

(14,870) Tesla Motors Inc Societe Generale (151,328) (0.18)%

4,000,000 TRN 3.875% 01/06/2036 Societe Generale (45,094) (0.05)%

(4,000) Workday Inc Morgan Stanley (276) 0.00%

3,000,000 Xinaog 0.00% 26/02/2018 Societe Generale (2,430) 0.00%

(660,022) (0.78)%

Total unrealised loss on contracts for difference (1,201,892) (1.43)%

Futures

Unrealised

Number of

Loss % of

Contracts Securities Counterparty EUR Net Assets

EUR

(3) Dax Index Future March 16 Morgan Stanley (16,938) (0.02)%

(60) Euro Stoxx 50 Future March 16 Morgan Stanley (23,440) (0.03)%

(40,378) (0.05)%

USD

(22) S&P500 Emini Future March 16 Morgan Stanley (26,454) (0.03)%

(26,454) (0.03)%

Total unrealised loss on futures

(66,832) (0.08)%


174





Maturity

Amount Amount

Unrealised Loss % of

Date Counterparty Bought Sold EUR Net Assets

19/01/2016 Morgan Stanley EUR45,873,767 USD(52,339,000) (2,284,051) (2.71)%

19/01/2016 Morgan Stanley EUR6,710,796 JPY(906,306,000) (224,327) (0.27)%

19/01/2016 Morgan Stanley EUR3,940,907 HKD(34,793,000) (190,582) (0.23)%

19/01/2016 Morgan Stanley GBP2,580,000 EUR(3,659,424) (160,355) (0.19)%

19/01/2016 Morgan Stanley USD3,250,000 EUR(3,073,999) (83,630) (0.10)%

19/01/2016 Morgan Stanley GBP1,000,000 EUR(1,415,218) (58,990) (0.07)%


19/01/2016 Morgan Stanley HKD14,120,000 EUR(1,717,367) (40,690) (0.05)%


19/01/2016 Morgan Stanley EUR3,116,277 JPY(410,000,000) (21,074) (0.03)%

19/01/2016 Morgan Stanley CHF6,223,000 EUR(5,743,776) (18,757) (0.02)%

19/01/2016 Morgan Stanley EUR237,303 HKD(2,100,000) (12,061) (0.02)%

19/01/2016 Morgan Stanley EUR274,805 JPY(36,600,000) (5,261) (0.01)%

19/01/2016 Morgan Stanley EUR5,063,332 GBP(3,737,000) (4,892) (0.01)%


19/01/2016 Morgan Stanley EUR217,426 USD(240,000) (3,401) (0.00)%

19/01/2016 Morgan Stanley GBP62,000 EUR(86,972) (2,886) (0.00)%

19/01/2016 Morgan Stanley USD372,000 EUR(345,086) (2,804) (0.00)%

19/01/2016 Morgan Stanley JPY80,000,000 EUR(614,716) (2,550) (0.00)%

19/01/2016 Morgan Stanley GBP77,000 EUR(106,872) (2,442) (0.00)%



19/01/2016 Morgan Stanley CHF71,000 EUR(65,965) (647) (0.00)%

19/01/2016 Morgan Stanley EUR85,749 USD(93,881) (632) (0.00)%






19/01/2016 Morgan Stanley EUR203,375 GBP(150,000) (59) (0.00)%

19/01/2016 Morgan Stanley EUR10,437 CHF(11,364) (17) (0.00)%

19/01/2016 Morgan Stanley EUR13,421 CHF(14,602) (13) (0.00)%

Total unrealised loss on forward currency contracts (3,200,066) (3.79)%


175



Fair Value % of

EUR Net Assets

Total financial assets at fair value through profit or loss 75,249,501 89.21%

Total financial liabilities at fair value through profit or loss (4,468,790) (5.30)%

Other net assets

13,570,052 16.09%

Net Assets Attributable to Holders of Redeemable Shares 84,350,763 100.00%

Analysis of Total Assets:

% of

Total Assets

a) Transferable securities and money market instruments admitted to official stock

exchange listings or a traded regulated market 71.18%

b) Transferable securities and money market instruments other than those admitted to

official stock exchange listings or another traded regulated market 0.00%

c) Recently issued transferable securities which will be admitted official stock exchange

listings or traded on a regulated market within a year of issue 0.00%

d) Financial derivative instruments dealt with on a regulated exchange 0.20%

e) OTC Derivatives 5.81%

f) Other assets 22.81%

Total Assets 100.00%


176




Fixed income securities


EUR Net Assets

EUR

5,000,000 Bmw Finance Nv Float 0.096% 05/09/2016 4,995,950 3.06%

6,000,000 E.On International Finance Bv 5.5% 19/01/2016 6,012,258 3.69%

6,904,000 Enel Spa Float 0.771% 26/02/2016 6,872,863 4.21%

6,000,000 Eni Spa Float 5% 28/01/2016 6,018,234 3.69%

4,000,000 Hbos Plc 0.544% 29/03/2016 3,996,592 2.45%

6,000,000 Hbos Plc 0.567% 21/03/2017 5,993,580 3.68%

8,149,000 Hsbc Capital Funding Lp/Jersey 5.13% 29/03/2049 8,229,643 5.05%

7,000,000 Imperial Tobacco Finance Plc 8.375% 17/02/2016 7,067,291 4.33%

7,934,000 Koninklijke Kpn Nv 6.5% 15/01/2016 7,949,114 4.87%

1,490,000 Linde Finance Bv 7.375% 14/07/2066 1,540,660 0.94%

7,542,000 Man Se 7.25% 20/05/2016 7,737,428 4.74%

12,000,000 Siemens Financieringsmaatschappij Nv 5.25% 14/09/2066 12,360,036 7.58%

5,000,000 Telecom Italia Spa 0.666% 07/06/2016 5,002,405 3.07%

2,000,000 Telefonica Emisiones Sau 4.375% 02/02/2016 2,006,588 1.23%

4,500,000 Telefonica Emisiones Sau 5.496% 01/04/2016 4,557,798 2.80%

7,000,000 Telekom Finanzmanagement Gmbh 6.375% 29/01/2016 7,029,414 4.31%

2,800,000 Thyssenkrupp Finance Nederland Bv 8.5% 25/02/2016 2,831,556 1.74%

100,201,410 61.44%

GBP

4,000,000 Ge Capital Trust V 5.5% 15/09/2066 5,465,980 3.35%

9,306,000 General Electric Capital Corpration 5.5% 15/09/2066 12,740,089 7.81%

18,206,069 11.16%

USD

5,000,000 At&T Inc Float 1.5331% 30/06/2020 4,574,814 2.81%

870,000 Chesapeake Energy Corpration Float 8 % 15/12/2022 396,437 0.24%

7,000,000 Hewlett Packard Enterprise Co 2.3527% 05/10/2017 6,456,400 3.96%

11,427,651 7.01%

Total fixed income securities 129,835,130 79.61%


177


CHEYNE GLOBAL CREDIT FUND (Continued)


Credit default swaps

Notional Description Fair Value % of

EUR Net Assets

EUR

(5,000,000) Airbus Group 1.00% 20/12/2018 60,491 0.04%

(1,000,000) Airbus Group 1.00% 20/12/2020 13,309 0.01%

(5,000,000) Aktiebolaget Electrolux 1.00% 20/09/2019 86,756 0.05%

(1,000,000) Aktiebolaget Volvo 1.00% 20/03/2017 7,473 0.01%

(3,000,000) Aviva Plc 1.00% 20/09/2018 23,133 0.01%

(4,000,000) Bae Systems Plc 1.00% 20/03/2019 72,419 0.04%

(4,000,000) British Airways Plc 5.00% 20/06/2019 527,409 0.32%

(5,000,000) British Telecommunications Public Ltd Co 1.00% 20/09/2019 77,328 0.05%

(2,500,000) British Telecommunications Public Ltd Co 1.00% 20/09/2020 30,573 0.02%

(5,500,000) Carlsberg Breweries A/S 1.00% 20/12/2020 35,355 0.02%

(4,750,000) Carrefour 1.00% 20/12/2018 56,399 0.04%

(1,000,000) Cnh Industrial Nv 5.00% 20/12/2018 77,625 0.05%

(1,500,000) Cnh Industrial Nv 5.00% 20/03/2019 119,835 0.07%

(3,500,000) Compagnie Financiere Du Groupe Michelin 1.00% 20/12/2018 71,340 0.04%

(3,000,000) Compagnie Financiere Du Groupe Michelin 1.00% 20/12/2019 67,525 0.04%

(500,000) Continental Aktiengesellschaft 5.00% 20/03/2018 52,736 0.03%

(2,000,000) Continental Aktiengesellschaft 5.00% 20/06/2018 233,239 0.14%

(6,500,000) Credit Suisse Group Ltd 3.00% 20/06/2019 496,613 0.30%

(1,750,000) Daimler Ag 1.00% 20/06/2020 33,839 0.02%

(1,000,000) Electricite De France 1.00% 20/12/2018 15,003 0.01%

(6,000,000) Electricite De France 1.00% 20/12/2020 42,990 0.03%

(1,000,000) Fce Bank Plc 5.00% 20/12/2017 93,259 0.06%

(2,000,000) Fce Bank Plc 5.00% 20/12/2018 268,852 0.17%

(2,000,000) Fiat Industrial Spa 5.00% 20/6/2018 138,159 0.08%

(8,000,000) Groupe Auchan 1.00% 20/12/2019 199,439 0.12%

(1,500,000) Heathrow Funding Ltd 1.00% 20/06/2018 13,667 0.01%



(1,000,000) Heidelbergcement Ag 5.00% 20/06/2018 100,742 0.06%



(4,000,000) Holcim Ltd 1.00% 20/12/2018 16,120 0.01%

(5,000,000) Iberdrola 1.00% 20/06/2020 54,184 0.03%

(2,000,000) Iberdrola 1.00% 20/06/2020 21,674 0.01%

(3,000,000) Imperial Tobacco Group Plc 1.00% 20/12/2020 28,080 0.02%

(20,000,000) Itraxx Europe 1.00% 20/12/2020 222,681 0.14%

(1,000,000) Jaguar Land Rover Automotive Plc 5.00% 20/12/2018 97,385 0.06%



178




Credit default swaps (continued)


EUR Net Assets

EUR (continued)



(4,000,000) Kering 1.00% 20/12/2018 58,963 0.04%

(1,000,000) Lafarge 1.00% 20/06/2019 19,634 0.01%

(2,000,000) Lafarge 1.00% 20/09/2018 35,612 0.02%

(4,000,000) Marks And Spencer Plc 1.00% 20/06/2020 11,712 0.01%

(3,000,000) Nokia Oyj 5.00% 20/06/2020 523,268 0.32%

(4,000,000) Nokia Oyj 5.00% 20/06/2020 697,690 0.43%

(4,300,000) Pernod Ricard 1.00% 20/06/2019 80,033 0.05%

(3,000,000) Pernod Ricard 1.00% 20/06/2019 55,837 0.03%

(5,000,000) Publicis Groupe Sa 1.00% 20/12/2020 31,277 0.02%

(2,000,000) Renault 1.00% 20/03/2020 13,508 0.01%

(5,000,000) Renault 1.00% 20/12/2019 44,149 0.03%

(500,000) Schaeffler Finance Bv 5.00% 20/12/2018 60,255 0.04%

(2,000,000) Schaeffler Finance Bv 5.00% 20/12/2019 294,818 0.18%

(5,000,000) Sky Plc 1.00% 20/12/2020 64,409 0.04%

(2,000,000) Tdc A/S 1.00% 20/12/2019 516 0.00%

(3,000,000) Tui Ag 5.00% 20/06/2019 422,252 0.26%

(2,750,000) Upc Holding Bv 5.00% 20/12/2018 262,036 0.16%

(1,250,000) Upc Holding Bv 5.00% 20/12/2019 129,962 0.08%

(500,000) Upc Holding Bv 5.00% 20/03/2020 51,883 0.03%

(1,000,000) Upc Holding Bv 5.00% 20/06/2020 103,563 0.06%

(750,000) Veolia Environnement 1.00% 20/06/2017 8,433 0.01%

(2,500,000) Veolia Environnement 1.00% 20/12/2018 44,910 0.03%



(1,000,000) Virgin Media Finance Plc 5.00% 20/03/2019 98,682 0.06%




(5,000,000) Vodafone Group Public Ltd Co 1.00% 20/06/2020 34,224 0.02%



(4,000,000) Volkswagen Aktiengesellschaft 1.00% 20/03/2016 709 0.00%

(2,000,000) Wpp 2005 Ltd 1.00% 20/06/2018 38,327 0.02%

8,236,140 5.05%

USD

(4,000,000) Ally Financial Inc 5.00% 20/09/2016 112,466 0.07%




(3,000,000) American Axle & Manufacturing Inc 5.00% 20/06/2019 317,330 0.19%


179





Notional Description

Fair Value % of

EUR Net Assets

USD (continued)

(1,000,000) American Axle & Manufacturing Inc. 5.00% 20/06/2019 105,777 0.07%

(8,000,000) American International Group 1.00% 20/06/2020

182,496 0.11%

(3,000,000) At&T Inc 1.00% 20/03/2020

31,967 0.02%

(1,000,000) At&T Inc 1.00% 20/03/2020

10,656 0.01%

(8,500,000) Bank of America Corporation 1.00% 20/06/2019

123,813 0.08%

(8,000,000) Berkshire Hathaway Inc. 1.00% 20/12/2020

112,872 0.07%

(4,000,000) Best Buy Co Inc 5.00% 20/06/2020

479,579 0.29%

(1,000,000) Boston Scientific Corporation 1.00% 20/03/2018

17,113 0.01%

(1,500,000) Cisco Systems, Inc 1.00% 20/12/2017

24,715 0.02%

(4,000,000) Conagra Foods 1.00% 20/12/2020

54,377 0.03%

(1,000,000) Exelon Generation Co 1.00% 20/12/2018

1,560 0.00%

(5,000,000) Exelon Generation Co 1.00% 20/12/2018

7,798 0.00%

(8,500,000) Ford Motor Co 5.00% 20/12/2020

1,400,873 0.86%

(3,000,000) Frontier Communications Corporation 5.00% 20/12/2018 62,734 0.04%

(8,500,000) General Motors Co 5.00% 20/12/2020

1,234,294 0.76%

(3,000,000) Hca Inc 5.00% 20/09/2018

272,249 0.17%

(3,250,000) Hca Inc 5.00% 20/03/2019

321,687 0.20%

(1,000,000) Hca Inc 5.00% 20/06/2019

102,373 0.06%

(4,000,000) International Lease Finance Corporation 5.00% 20/03/2018 282,688 0.17%

(5,000,000) Jpmorgan Chase 1.00% 20/06/2020

66,576 0.04%

(4,000,000) L Brands Inc 1.00% 20/03/2019

2,676 0.00%

(1,500,000) L Brands Inc 1.00% 20/03/2019

1,003 0.00%

(6,000,000) Lincoln National Corporation 1.00% 20/06/2019

50,982 0.03%

(3,000,000) Meritor Inc 5.00% 20/12/2019

49,118 0.03%

(7,000,000) Metlife Inc 1.00% 20/12/2020

38,024 0.02%

(2,000,000) Navient Corporation 5.00% 20/06/2018

13,278 0.01%

(3,000,000) Pultegroup Inc 5.00% 20/06/2020

434,036 0.27%

(2,000,000) Pultegroup Inc 5.00% 20/06/2020

289,357 0.18%

(7,000,000) Reynolds American Inc 1.00% 20/12/2019

178,414 0.11%

(4,000,000) Royal Caribbean Cruises Ltd 5.00% 20/06/2020

557,651 0.34%

(2,000,000) Supervalu Inc 5.00% 20/03/2016

18,521 0.01%

(1,000,000) Supervalu Inc 5.00% 20/09/2018

59,625 0.04%

(1,000,000) Supervalu Inc 5.00% 20/12/2018

57,978 0.04%

(1,000,000) Supervalu Inc 5.00% 20/03/2019

52,201 0.03%

(2,000,000) Tegna Inc 5.00% 20/06/2020

267,521 0.16%

(3,000,000) The Goodyear Tire & Rubber Co 5.00% 20/06/2020

416,088 0.26%

(3,500,000) The Hartford Financial Services Group Inc 1.00% 20/12/2018 72,491 0.04%



(1,000,000) The Interpublic Group of Co Inc 1.00% 20/09/2017

13,874 0.01%

(3,000,000) The Interpublic Group of Co Inc 1.00% 20/06/2018

52,986 0.03%


180






EUR Net Assets

USD (continued) (1,000,000) The Interpublic Group of Co Inc 1.00% 20/09/2018 18,681 0.01%

(6,000,000) Time Warner Cable Inc 1.00% 20/03/2020 44,509 0.03% (3,500,000) Time Warner Cable Inc Cds 1.00% 20/06/2020 25,964 0.02% (800,000) Unum Group 1.00% 20/12/2017 6,940 0.00% (8,000,000) Verizon Communications Inc 1.00% 20/03/2020 124,760 0.08%

8,833,402 5.42%

Total credit default swaps 17,069,542 10.47%

Options

EUR

Notional Securities Covered Strike Price

Maturity Date Counterparty

Fair Value EUR

% of Net Assets

40,000,000 Itraxx Main 24 Jan16 No 80 20/01/2016 BNP Paribas 51,589 0.03% 40,000,000 Itraxx Main 24 Jan16 No 90 20/01/2016 BNP Paribas 15,332 0.01%

66,921 0.04%

USD

50,000,000 Cdx Ig 25 Jan 16 No 90 20/01/2016 Citibank 70,325 0.04% 50,000,000 Cdx Ig 25 Jan 16 No 100 20/01/2016 Citibank 21,981 0.02%

92,306 0.06%

Total options

159,227 0.10%


Maturity

Unrealised Gain % of

Date Counterparty Amount Bought Amount Sold EUR Net Assets 21/03/2016 Citibank EUR20,505,609 GBP(14,950,000) 261,272 0.16% 21/03/2016 Citibank EUR23,583,842 USD(25,626,674) 42,787 0.03% 21/03/2016 Citibank EUR3,111,268 CHF(3,368,501) 9,040 0.00% 21/03/2016 Citibank EUR744,471 CHF(804,426) 3,633 0.00% 21/03/2016 Citibank EUR282,755 CHF(305,053) 1,816 0.00% 21/03/2016 Citibank EUR43,802 CHF(47,351) 194 0.00%

Total unrealised gain on forward currency contracts 318,742 0.19%


181




Credit default swaps

Notional Description

Fair Value % of

EUR Net Assets

EUR

(2,000,000) Arcelormittal 1.00% 20/12/2018

(367,913) (0.23)%

(4,000,000) Aviva Plc 1.00% 20/12/2019

(2,334) 0.00%

(4,000,000) Casino Guichard-Perrachon 1.00% 20/06/2020

(429,351) (0.26)%

(1,000,000) Casino Guichard-Perrachon 1.00% 20/12/2020

(124,253) (0.08)%

(4,000,000) Gkn Holdings Plc 1.00% 20/06/2020

(4,190) 0.00%

(3,000,000) Glencore International Ag 1.00% 20/12/2016

(147,957) (0.09)%

(2,750,000) Glencore International Ag 1.00% 20/06/2020

(654,026) (0.40)%

500,000 Imperial Tobacco Group Plc 1.00% 20/03/2016

(949) 0.00%

3,000,000 Itraxx Europe5.00% 20/12/2020

(245,664) (0.15)%

(2,000,000) Ladbrokes Plc 1.00% 20/12/2018

(10,843) (0.01)%

(1,000,000) Lafargeholcim Ltd1.00% 20/12/2020

(13,477) (0.01)%

2,000,000 Lloyds Bank Plc 1.00% 20/06/2016

(6,370) 0.00%

(3,000,000) Rolls-Royce Plc 1.00% 20/12/2020

(10,207) (0.01)%

5,000,000 Siegr 1.00% 20/09/2016

(33,221) (0.02)%

(6,000,000) Tesco Plc 1.00% 20/12/2020

(516,139) (0.32)%

(4,000,000) The Royal Bank Of Scotland Public Limited Company 1.00% 20/12/2020 (50,801) (0.03)%

1,000,000 Thyssenkrupp Ag 1.00% 20/03/2016

(944) 0.00%

(6,200,000) Thyssenkrupp Ag 1.00% 20/12/2020

(486,545) (0.30)%

(1,750,000) Volkswagen Aktiengesellschaft 1.00% 20/06/2020

(36,881) (0.02)%

(3,142,065) (1.93)%

USD

(3,000,000) Alcoa Inc 1.00% 20/06/2020

(290,317) (0.18)%

(2,000,000) Dell Inc 1.00% 20/12/2018

(87,905) (0.05)%

(2,000,000) Enbridge Inc 1.00% 20/12/2020

(257,206) (0.16)%

(1,000,000) Frontier Communications Corporation 5.00% 20/06/2020 (34,492) (0.02)%

4,000,000 General Electric Capital Corporation 1.00% 20/09/2016 (23,456) (0.02)%

3,000,000 General Electric Capital Corporation 1.00% 20/09/2016 (17,592) (0.01)%

(1,000,000) Genworth Holdings Inc 1.00% 20/12/2019

(177,154) (0.11)%

(3,000,000) Hp Inc 1.00% 20/12/2020

(71,419) (0.04)%

(1,600,000) Transocean Inc 1.00% 20/03/2022

(674,944) (0.41)%

(1,500,000) Weatherford International Ltd 1.00% 20/06/2017

(83,574) (0.05)%

(2,000,000) Weatherford International Ltd 1.00% 20/06/2018

(225,432) (0.14)%

(1,500,000) Windstream Corporation 5.00% 20/12/2018

(47,361) (0.03)%

(200,000) Windstream Corporation 5.00% 20/03/2020

(18,337) (0.01)%

(1,000,000) Windstream Services 5.00% 20/06/2020

(103,931) (0.06)%

(500,000) Windstream Services 5.00% 20/12/2020

(62,890) (0.04)%

(2,176,010) (1.33)%

Total credit default swaps

(5,318,075) (3.26)%


182





Maturity

Unrealised loss % of

Date Counterparty Amount Bought Amount Sold EUR Net Assets

21/03/2016 Citibank CHF12,444,005 EUR(11,540,542) (80,212) (0.05)%

21/03/2016 Citibank USD34,038,618 EUR(31,325,227) (56,832) (0.04)%

21/03/2016 Citibank GBP1,026,580 EUR(1,408,070) (17,941) (0.01)%

21/03/2016 Citibank EUR58,239 USD(63,688) (265) 0.00%

04/01/2016 Citibank CHF47,351 EUR(43,746) (197) 0.00%

Total unrealised loss on forward currency contracts (155,447) (0.10)%

Fair Value % of

EUR Net Assets



Other net assets

21,175,852 12.99%


% of

Analysis of Total Assets: Total Assets

a) Transferable securities and money market instruments admitted to official stock

exchange listings or a traded regulated market 76.32%

b) Transferable securities and money market instruments other than those admitted to

official stock exchange listings or another traded regulated market 0.00%



d) UCITS and non-UCITS CIS 0.00%

e) Deposits 0.00%

f) Financial derivative instruments dealt with on a regulated exchange 0.09%

g) OTC financial derivative instruments 10.22%

h) Other assets 13.37%

Total Assets 100.00%


183




Common stocks


EUR Net Assets

EUR

100,148 Drillisch Ag 3,922,046 4.27% 34,624 Duerr Ag 2,554,905 2.78% 214,272 Fiat Chrysler Automobiles Nv 2,769,466 3.02% 222,252 Finmeccanica Spa 2,865,939 3.12% 120,490 Gea Group Ag 4,512,652 4.92% 40,409 Metso Oyj 837,881 0.91% 37,194 Randstad Holding Nv 2,142,560 2.33% 62,359 Rheinmetall Ag 3,841,003 4.18% 1,304,120 Saras Spa 2,327,202 2.54% 77,133 United Internet Ag 3,934,940 4.29%

29,708,594 32.36%

USD 75,403 Livanova Plc 4,121,031 4.49%

4,121,031 4.49%

Total common stocks 33,829,625 36.85% Fixed income securities

EUR 17,000,000 Bundesschatzanweisungen 0.25% 11/03/2016 17,021,684 18.54%

17,000,000 France Government Bond Oat 3.25% 25/04/2016 17,188,555 18.72%

34,210,239 37.26%

Total fixed income securities 34,210,239 37.26%


Unrealised

Gain % of


DKK 45,767 Pandora A/S Goldman Sachs 488,322 0.53%

488,322 0.53%

EUR 302,013 Altran Technologies Sa Goldman Sachs 659,007 0.72%

(55,104) Brenntag Ag Goldman Sachs 47,078 0.05% 26,836 Cap Gemini Sa Goldman Sachs 243,931 0.27% (31,133) Evonik Industries Ag Goldman Sachs 51,812 0.06% (21,761) Gsil Goldman Sachs 239,450 0.26% (5,311) Hermes International Goldman Sachs 68,107 0.08% (1,727) Lvmh Moet Hennessy Louis Vuitton Se Goldman Sachs 10,730 0.01% 43,495 Orpea Goldman Sachs 9,906 0.01% 23,010 Paddy Power Plc Goldman Sachs 553,010 0.60% 40,465 Rubis Sca Goldman Sachs 24,880 0.03% 248,520 Ryanair Holdings Plc Goldman Sachs 355,359 0.39% 104,532 Ubisoft Entertainment Goldman Sachs 204,196 0.22% 16,898 Valeo Sa Goldman Sachs 25,836 0.03%

2,493,302 2.73%


184


CHEYNE EUROPEAN MID CAP EQUITY FUND (Continued)



Unrealised

Gain % of


GBP (539,476) Cobham Plc Goldman Sachs 147,091 0.16%

39,699 Dcc Plc Goldman Sachs 155,762 0.17%

302,853 0.33%

SEK

(134,770) Axfood Ab Goldman Sachs 162,756 0.18% (80,544) Ica Gruppen Ab Goldman Sachs 94,188 0.10%

256,944 0.28%

NOK

67,761 Norwegian Air Shuttle Asa Goldman Sachs 76,732 0.08%

76,732 0.08%

Total unrealised gain on contracts for difference 3,618,153 3.95%

Futures

Unrealised Number of

Contracts Underlying Securities Counterparty Gain EUR

% of Net Assets

EUR

(153) Euro Stoxx 50 Mar 16 Morgan Stanley 57,714 0.06%

57,714 0.06%

Total unrealised gain on futures

57,714 0.06%


Maturity

Unrealised Gain % of


09/03/2016 Citibank EUR4,155,355 USD(4,500,000) 20,219 0.02%

21/03/2016 Citibank USD300,000 EUR(274,483) 1,102 0.00%

Total unrealised gain on forward currency contracts 21,321 0.02%


185





Unrealised

Notional Securities Counterparty

Loss EUR

% of Net Assets

CHF

(14,878) Kuehne + Nagel International Ag Goldman Sachs (47,187) (0.05)%

(47,187) (0.05)%

DKK

(40,339) Novozymes A/S Goldman Sachs (222,609) (0.24)%

(222,609) (0.24)%

EUR

(22,343) Aeroports De Paris Goldman Sachs (27,632) (0.03)% (66,067) Amadeus It Holding Sa Goldman Sachs (284,363) (0.31)% 242,456 Atresmedia Corp De Medios De Comunicacion Sa Goldman Sachs (440,168) (0.48)% (47,280) Colruyt Sa Goldman Sachs (120,171) (0.13)% (146,280) Deutsche Lufthansa Ag Goldman Sachs (157,690) (0.17)% (42,582) Fortum Oyj Goldman Sachs (8,894) (0.01)% (39,994) Fraport Ag Frankfurt Airport Services Worldwide Goldman Sachs (181,080) (0.20)% (1,858) Fraport Ag Frankfurt Airport Services Worldwide Morgan Stanley (20,131) (0.02)% (15,811) Intertrust Nv Morgan Stanley (71,288) (0.08)% 175,354 Peugeot Sa Goldman Sachs (37,237) (0.04)% 268,755 Rexel Sa Goldman Sachs (10,754) (0.01)% (95,919) Software Ag Goldman Sachs (193,690) (0.21)% (4,684) Stoxx Europe 600 Goldman Sachs (80,193) (0.09)% (17,400) Wartsila Oyj Abp Goldman Sachs (131,987) (0.14)%

(1,765,278) (1.92)%

GBP

380,625 Cineworld Group Plc Goldman Sachs (756) 0.00% (779) Russell UK Goldman Sachs (20,672) (0.02)% (42,948) Wpp Plc Goldman Sachs (76,462) (0.09)%

(97,890) (0.11)%

SEK

(101,643) Alfa Laval Ab Goldman Sachs (72,053) (0.08)% 131,582 Skf Ab Goldman Sachs (236,381) (0.26)%

(308,434) (0.34)%

Total unrealised loss on contracts for difference (2,441,398) (2.66)%


186




Futures

Unrealised

Number of Contracts Securities Counterparty

Loss EUR

% of Net Assets

EUR

(10) FTSE Mib Index Mar 16 Morgan Stanley (4,125) 0.00% (28) IBEX 35 Jan 16 Morgan Stanley (61,785) (0.07)%

(65,910) (0.07)%

Total unrealised loss on futures

(65,910) (0.07)%


Maturity

Unrealised Loss % of


21/03/2016 Citibank USD21,377,258 EUR(19,720,772) (83,296) (0.09)% 21/03/2016 Citibank CHF5,203,994 EUR(4,827,990) (35,362) (0.04)% 28/01/2016 Citibank DKK10,700,000 EUR(1,435,548) (1,617) 0.00%

Total unrealised loss on forward currency contracts (120,275) (0.13)%

Fair Value % of

EUR Net Assets



Other net assets

22,699,425 24.72%


% of

Analysis of Total Assets: Total Assets

a) Transferable securities and money market instruments admitted to official stock exchange

listings or a traded regulated market 71.51%

b) Transferable securities and money market instruments other than those admitted to official

stock exchange listings or another traded regulated market 0.00%



d) UCITS and non-UCITS CIS 0.00%

e) Deposits 0.00%

f) Financial derivative instruments dealt with on a regulated exchange 0.06%

g) OTC financial derivative instruments 3.82%

h) Other assets 24.61%

100.00%


187

SIGNIFICANT PORTFOLIO CHANGES FOR THE YEAR ENDED 31 DECEMBER 2015 (UNAUDITED)


Purchases

Cost

Nominal Investments EUR 31,000,000 Telecom Italia Spa 1.125% 26/03/2022 31,350,800 30,000 Actavis Plc 5.50% 01/03/2018 26,814,880 22,200,000 America Movil Sab De Cv 0.00% 28/05/2020 22,407,800 8,000,000 Vodafone Group Plc 0.00% 26/11/2020 11,458,251 10,000,000 Whiting Petroleum Corp 1.25% 01/04/2020 9,811,791 9,000 Teva Pharmaceutical Industries Ltd 7.00% 15/12/2018 8,310,372 6,500,000 Sandisk Corp 1.50% 15/08/2017 8,220,326 8,000,000 Aabar Investments Pjsc 1.00% 27/03/2022 8,111,900 7,000,000 Salesforce.Com Inc 0.25% 01/04/2018 7,718,726 8,000,000 Linkedin Corp 0.50% 01/11/2019 7,461,054 6,800,000 Iberdrola International Bv 0.00% 11/11/2022 6,954,250 7,000,000 Ctrip.Com International Ltd 1.00% 01/07/2020 6,426,705 6,000,000 Nxp Semiconductors Nv 1.00% 01/12/2019 6,317,586 6,100,000 Rag-Stiftung 0.00% 18/02/2021 6,300,000 6,000,000 Haniel Finance Deutschland Gmbh 0.00% 12/05/2020 6,281,250 6,500,000 On Semiconductor Corp 1.00% 01/12/2020 5,924,060 6,000,000 Ctrip.Com International Ltd 1.25% 15/10/2018 5,914,988 4,100,000 British Land White 2015 Ltd 0.00% 09/06/2020 5,797,269 6,500,000 Microchip Technology Inc 1.625% 15/02/2025 5,738,904 5,500,000 Airbus Group Se 0.00% 01/07/2022 5,661,000 6,000,000 China Overseas Finance Investment Cayman V Ltd 0.00% 05/01/2023 5,515,454 60,000 American Tower Corp 5.50% 15/02/2018 5,377,447 29,522 Ingenico Group Sa 0.00% 26/06/2022 5,142,962 5,000,000 Marine Harvest Asa 0.125% 05/11/2020 5,055,000 5,000,000 Aabar Investments Pjsc 0.50% 27/03/2020 5,000,000 6,000,000 Twitter Inc 0.25% 15/09/2019 4,880,826

Sales

Proceeds

Nominal Investments EUR

29,800,000 Telecom Italia Spa 1.125% 26/03/2022 30,234,065

30,000 Actavis Plc 5.50% 01/03/2018 27,125,705

20,600,000 America Movil Sab De Cv 0.00% 28/05/2020 20,887,040

10,000,000 Salesforce.Com Inc 0.25% 01/04/2018 11,216,618

7,000,000 Vodafone Group Plc 0.00% 26/11/2020 10,001,598

10,000,000 Whiting Petroleum Corp 1.25% 01/04/2020 9,646,161

6,500,000 Sandisk Corp 1.50% 15/08/2017 8,793,756

8,000,000 Aabar Investments Pjsc 1.00% 27/03/2022 8,093,000

7,000,000 Nxp Semiconductors Nv 1.00% 01/12/2019 7,073,632

7,500,000 Lukoil International Finance Bv 2.625% 16/06/2015 6,843,750

7,000,000 Ctrip.Com International Ltd 1.00% 01/07/2020 6,537,324

6,100,000 Rag-Stiftung 0.00% 18/02/2021 6,515,000

7,000 Teva Pharmaceutical Industries Ltd 7.00% 15/12/2018 6,474,348

8,000,000 Tesla Motors Inc 1.25% 01/03/2021 6,413,608

6,000,000 Ctrip.Com International Ltd 1.25% 15/10/2018 6,229,990

6,500,000 On Semiconductor Corp 1.00% 01/12/2020 5,905,285

6,500,000 Microchip Technology Inc 1.625% 15/02/2025 5,802,426

6,200,000 Aperam Sa 0.63% 08/07/2021 5,800,902

4,100,000 Blndln 0.00% 09/06/2020 5,709,761

5,500,000 Airbus Group 0.00% 01/07/2022 5,677,250


188


(Continued)

CHEYNE EUROPEAN REAL ESTATE BOND FUND (In Wind Down)

Purchases

Cost

Nominal Investments EUR 7,000,000 Deco 2014-Bonx E 3.44% 07/11/2024 7,045,500 4,100,000 Taurs 2015-De2 D 2.20% 01/02/2026 4,106,900 3,000,000 Taurs 2015-It1 A 1.49% 18/02/2027 3,000,000 2,100,000 Gmg 2015-1 D 2.64% 16/02/2047 2,953,259 2,000,000 Mints 2015-1 Gbpd 3.29% 22/02/2025 2,759,268 1,800,000 Alba 2015-1 A 1.76% 24/04/2049 2,496,434 1,700,000 Warw 1 A 1.63% 21/09/2049 2,350,664 1,600,000 Alba 2015-1 D 3.11% 24/04/2049 2,210,375

1,600,000 Warwick Finance Residential Mortgages Number One Plc Float 1.785% 21/09/2049 2,163,945

1,500,000 Residential Mortgage Securities 28 Plc Float 1.736% 15/06/2046 2,080,099 2,000,000 Bundesrepublik Deutschland Float 1.00% 15/08/2025 2,060,000 2,000,000 Deco 2014-Gndl D 3.03% 22/02/2026 2,011,000 2,000,000 Deco 2014-Bonn C 1.89% 07/11/2024 2,009,400 2,000,000 Deco 2014-Gndl C 2.25% 22/02/2026 2,008,000 1,247,423 Taurs 2014-Uk1 B 3.05% 01/05/2022 1,691,326 1,100,000 Alba 2015-1 C 2.61% 24/04/2049 1,525,599 1,250,000 Mints 2015-1 Eurd 2.90% 22/02/2025 1,250,000 1,000,000 Taurus 2015-2 Deu Ltd Float 1.632% 01/02/2026 1,000,000 476,534 Deco 12-Uk 4 Plc Float 0.739% 27/01/2020 626,936 493,864 Deco 2007-C4X B 0.83% 27/01/2020 614,807 583,368 Grf 2013-1 B 1.59% 27/08/2024 599,119 391,637 Eclip 2007-1X B 0.81% 25/01/2020 513,914

Sales

Proceeds


5,815,571 Taurus Cmbs Plc 1.95% 01/05/2022 7,965,616

6,941,565 Deco 2014-Bonx E 3.44% 07/11/2024 7,117,907

4,102,179 Hercules Eclipse 2006-4 Plc Float 0.819% 25/10/2018 6,088,298

3,295,818 Lords 2 A 3.56% 15/10/2015 4,680,509

3,160,733 Deco 2007-C4X B 0.83% 27/01/2020 4,184,919

4,100,000 Taurs 2015-De2 D 2.20% 01/02/2026 4,079,100

3,130,221 Rmac Securities No 1 Plc Float 0.735% 12/06/2044 3,837,134

2,651,036 Mortgage Funding 2008-1 Plc Float 1.685% 13/03/2046 3,720,530

2,220,562 Moorgate Funding Ltd Float 1.402% 15/10/2050 2,995,265

2,813,835 Grf 2013-1 D 3.58% 27/08/2024 2,993,375

3,000,000 Deco 2014-Gndl C 2.25% 22/02/2026 2,990,500

2,911,193 Taurs 2013-Gmf1 C 2.08% 21/05/2024 2,985,632

2,220,145 Rmac Securities No 1 Plc Float 0.755% 12/06/2044 2,942,627

2,897,057 Taurs 2013-Gmf1 D 2.83% 21/05/2024 2,940,568

2,100,000 Gmg 2015-1 D 2.64% 16/02/2047 2,926,579

2,000,000 Mints 2015-1 Gbpd 3.29% 22/02/2025 2,852,483


189


(Continued)

CHEYNE EUROPEAN REAL ESTATE BOND FUND (In Wind Down) (Continued)

Sales(continued)

Proceeds


2,097,310 Thrones 2014-1 Plc Float 1.423% 15/11/2049 2,832,824

2,136,389 Rmacs 2006-Ns2X A2A 0.71% 12/06/2044 2,795,389

2,200,000 Ulysses European Loan Conduit No 27 Plc Float 0.739% 25/07/2017 2,759,044

411,576 Windm Vii-X B 0.37% 22/04/2016 2,737,112

2,755,170 Taurs 2015-It1 A 1.49% 18/02/2027 2,727,618

1,826,898 Thron 2013-1 A 2.06% 20/07/2044 2,604,963

1,794,507 Taurs 2014-Uk1 B 3.05% 01/05/2022 2,583,937

1,747,438 Alba 2015-1 A 1.76% 24/04/2049 2,450,689

2,400,000 Deco 2014-Gndl D 3.03% 22/02/2026 2,395,440

1,700,000 Warw 1 A 1.63% 21/09/2049 2,361,659

1,705,166

London & Regional Debt Securitisation No 1 Plc Float 5.310%

15/10/2017 2,277,746

1,600,000 Alba 2015-1 D 3.11% 24/04/2049 2,275,073

1,600,000

Warwick Finance Residential Mortgages Number One Plc Float 1.785%

21/09/2049 2,173,353

1,500,000 Residential Mortgage Securities 28 Plc Float 1.736% 15/06/2046 2,086,748

2,000,000 Bundesrepublik Deutschland Float 1.00% 15/08/2025 2,066,600

1,983,304 Deco 2014-Bonx C 1.89% 07/11/2024 2,014,379

2,000,000 Deco 2014-Gondola Srl Float 1.658% 22/02/2026 2,006,000

1,370,731 Eclip 2007-1X B 0.81% 25/01/2020 1,869,878

1,679,875 Windm Xiv-X A 0.53% 22/04/2018 1,803,765

2,000,000 Eurosail-Uk 2007-1Nc Plc Float 0.115% 13/03/2045 1,744,200

2,000,000 Great Hall Mortgages No 1 Plc Float 0.397% 18/06/2039 1,603,200

1,100,000 Alba 2015-1 C 2.61% 24/04/2049 1,520,601

1,597,769 Rloc 2007-1X A3A 0.24% 15/12/2043 1,509,048

1,097,842 Eclip 2006-4 B 0.91% 25/10/2018 1,506,380

1,000,000 Morgt 2014-1 B1 1.60% 15/10/2050 1,374,768


190


(Continued)


Purchases

Cost

Nominal Investments EUR 20,000,000 France Government Bond Oat 3.00% 25/10/2015 20,345,150 15,000,000 France Government Bond Oat Float 0.25% 25/11/2015 15,005,400 9,600,000 National Westminster Bank Plc 7.88% 09/09/2015 13,497,586 9,306,000 General Electric Capital Corp 5.50% 15/09/2066 13,487,308 12,000,000 Siemens Financieringsmaatschappij Nv 5.25% 14/09/2066 12,582,400 7,696,000 Hsbc Bank Plc Float 4.75% 29/09/2020 10,510,901 10,176,000 EDP Finance Bv 3.75% 6/22/2015 10,275,627 9,000,000 France Government Bond Oat 3.50% 25/04/2015 9,086,760 7,934,000 Koninklijke Kpn Nv 6.50% 15/01/2016 8,277,708 8,149,000 Hsbc Capital Funding Lp/Jersey 5.13% 29/03/2049 8,254,363 8,000,000 Aviva Plc 5.70% 8,170,000 8,000,000 Bouygues Sa 6.125% 07/03/2015 8,093,700 7,982,000 UBS Ag/Jersey 4.28% 00/01/1900 8,015,524 7,542,000 Man Se 7.25% 20/05/2016 7,798,520 7,000,000 Imperial Tobacco Finance Plc 8.38% 17/02/2016 7,291,840 7,200,000 Daimler Ag 1.75% 21/05/2015 7,214,400 7,000,000 Telekom Finanzmanagement Gmbh 6.38% 29/01/2016 7,077,980 6,904,000 Enel Spa 0.849% 26/02/2016 6,927,091 6,671,000 Enbw International Finance Bv Float 4.16% 07/07/2015 6,674,736 6,500,000 Anglo American Capital Plc 5.89% 17/04/2015 6,572,800 6,400,000 Alstom Sa 2.88% 05/10/2015 6,476,935 6,140,000 Fresenius Us Finance II Inc 8.75% 15/07/2015 6,303,930 7,000,000 Hewlett Packard Enterprise Co 2.35% 10/05/2017 6,249,582 6,000,000 E.On International Finance Bv 5.5% 19/01/2016 6,158,100 6,000,000 Eni Spa Float 5% 28/01/2016 6,076,200 6,000,000 Dong Energy A/S 5.50% 29/06/3005 6,051,000 5,950,000 Hutchison Whampoa Finance 05 Ltd 4.13% 28/06/2015 6,003,536 5,000,000 Henkel Ag & Co Kgaa 5.38% 25/11/2104 5,147,500 5,062,000 HeidelbergCement Finance Luxembourg Sa 6.50% 03/08/2015 5,145,907 5,000,000 Glencore Canada Financial Corp 6.25% 27/05/2015 5,091,000 5,000,000 GMAC International Finance Bv 7.50% 21/04/2015 5,055,000 5,000,000 Royal Bank of Scotland Plc/The 4.88% 22/04/2015 5,014,000 5,000,000 BMW Finance Nv Float 05/09/2016 5,007,750 5,000,000 Telecom Italia Spa 0.66% 07/06/2016 5,003,500 4,798,000 Renault Sa 5.63% 30/06/2015 4,844,061 5,000,000 AT&T Inc Float 30/06/2020 4,629,152 4,500,000 Telefonica Emisiones Sau 5.50% 01/04/2016 4,615,650 4,457,000 Goldman Sachs Group Inc/The 0.536% 02/02/2015 4,457,802 4,390,000 Metro Ag 7.625% 03/05/2015 4,415,023 4,000,000 Hbos Plc 0.66% 29/03/2016 4,000,000 3,835,000 Bertelsmann Se & Co Kgaa Float 3.625% 10/06/2015 3,844,434 3,800,000 Telecom Italia Spa 4.625% 6/15/2015 3,811,476 3,710,000 Credit Suisse Ag/Guernsey 2.875% 24/09/2015 3,752,554


191


(Continued)


Sales

Proceeds

Nominal Investments EUR 39,000,000 France Government Bond Oat 3.50% 25/04/2015 39,000,000 20,059,800 France Government Bond Oat 3.00% 25/10/2015 20,059,800 19,000,000 Netherlands Government Bond 2.75% 15/01/2015 19,000,000 15,000,000 Gmac International Finance Bv 7.50% 21/04/2015 15,000,000 15,000,000 France Government Bond Oat Float 0.25% 25/11/2015 15,000,000 14,703,175 Volkswagen International Finance Nv 0.381% 23/09/2015 14,703,175 13,213,915 National Westminster Bank Plc 7.875% 09/09/2015 13,213,915 10,176,000 Edp Finance Bv 3.75% 6/22/2015 10,176,000 10,000,000 Belgium Government Bond 3.50% 28/03/2015 10,000,000 10,000,000 French Treasury Note Btan 2.50% 15/01/2015 10,000,000 8,000,000 Bouygues Sa 6.125% 07/03/2015 8,000,000 7,200,000 Daimler Ag 1.75% 21/05/2015 7,200,000 6,671,000 Enbw International Finance Bv Float 4.125% 07/07/2015 6,671,000 6,500,000 Anglo American Capital Plc 5.875% 17/04/2015 6,500,000 6,400,000 Alstom Sa 2.875% 05/10/2015 6,400,000 6,140,000 Fresenius Us Finance II Inc 8.75% 15/07/2015 6,140,000 5,950,000 Hutchison Whampoa Finance 05 Ltd 4.125% 28/06/2015 5,950,000 5,062,000 HeidelbergCement Finance Luxembourg Sa 6.5% 03/08/2015 5,062,000 5,000,000 Fiat Chrysler Finance Europe 6.875% 13/02/2015 5,000,000 5,000,000 Glencore Canada Financial Corp 6.25% 27/05/2015 5,000,000 5,000,000 Royal Bank of Scotland Plc/The 4.875% 22/04/2015 5,000,000 4,798,000 Renault Sa 5.625% 30/06/2015 4,798,000 4,457,000 Goldman Sachs Group Inc/The 0.536% 02/02/2015 4,457,000 4,390,000 Metro Ag 7.625% 05/03/2015 4,390,000 3,835,000 Bertelsmann Se & Co Kgaa Float 3.625% 10/06/2015 3,835,000 3,800,000 Telecom Italia Spa 4.625% 15/06/2015 3,800,000 3,710,000 Credit Suisse Ag/Guernsey 2.875% 24/09/2015 3,710,000 3,500,000 ThyssenKrupp Ag 4.375% 18/03/2015 3,500,000 3,410,000 Tdc A/s Float 5.875% 16/12/2015 3,410,000 3,300,000 Telefonica Emisiones Sau 1.865% 02/06/2015 3,300,000 3,230,000 Koninklijke KPN Nv 4% 6/22/2015 3,230,000 3,200,000 Eni Spa 1.064% 29/06/2015 3,200,000 3,000,000 British Telecommunications Plc 6.5% 07/07/2015 3,000,000 2,950,000 Nyse Holdings LLC 5.375% 30/06/2015 2,950,000


192


(Continued)

CHEYNE SOUTH EAST ASIA LONG/SHORT (MALACCA) FUND (In Wind Down)

Purchases

Nominal Investments

Cost

EUR 1,895,800 Jasmine Broadband Internet Infrastructure Fund 586,809 2,497,366 Bumi Serpong Damai Tbk Pt 398,213 203,891 Matahari Department Store Tbk Pt 258,552 159,240 Jg Summit Holdings Inc 223,926 201,400 Karex Bhd 216,001 499,600 Jay Mart Pcl 197,670 83,510 Robinsons Retail Holdings Inc 165,238 98,960 Abs-Cbn Holdings Corp 148,560 157,574 Bank Rakyat Indonesia Persero Tbk Pt 147,454 1,746,391 Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk Pt 125,339 23,510 Jollibee Foods Corp 120,740 96,800 Srisawad Power 1979 Pcl 118,177 10,500 Ptt Pcl 115,431 144,800 Ayala Land Inc 108,238 232,000 D&L Industries Inc 103,763 235,088 Acset Indonusa Tbk Pt 97,383 72,800 Mitra Keluarga Karyasehat Tbk Pt 94,731 291,100 Land & Houses Pcl 88,679 83,500 Aboitiz Power Corp 84,434 80,000 Minor International Pcl 82,577 580,403 Summarecon Agung Tbk Pt 81,199 19,591 Aurizon Holdings Ltd 75,178 241,306 Surya Citra Media Tbk Pt 67,837 1,565,000 Pakuwon Jati Tbk Pt 59,563 509 Alibaba Group Holding Ltd 52,864 72,661 Tower Bersama Infrastructure Tbk Pt 52,653 91,800 Bangkok Dusit Medical Services Pcl 52,011 67,800 Supalai Pcl 51,603 43,428 Luye Pharma Group Ltd 50,588 25,350 Phoenix Healthcare Group Co Ltd 46,923

Sales

Nominal Investments

Proceeds

EUR 473,031 Matahari Department Store Tbk Pt 636,730 1,895,800 Jasmine Broadband Internet Infrastructure Fund 543,712 14,585 Gt Capital Holdings Inc 420,859 3,377,500 Megaworld Corp 407,490 10,331,236 Pakuwon Jati Tbk Pt 407,177 1,272,452 Matahari Putra Prima Tbk Pt 391,354 2,497,366 Bumi Serpong Damai Tbk Pt 389,976 390,852 Bank Rakyat Indonesia Persero Tbk Pt 384,583 2,127,600 Vista Land & Lifescapes Inc 362,420 33,838 Ptt Pcl 359,000 323,246 Bank Central Asia Tbk Pt 358,512


193


(Continued)

CHEYNE SOUTH EAST ASIA LONG/SHORT (MALACCA) FUND (In Wind Down) (Continued)

Sales (continued)

Nominal Investments

Proceeds

EUR

1,064,000 Bts Rail Mass Transit Growth Infrastructure Fund 339,097

80,822 Gudang Garam Tbk Pt 312,831

431,800 Supalai Pcl 303,294

824,800 True Telecommunication Growth Infrastructure Fund 303,079

62,470 Universal Robina Corp 300,277

366,495 Tower Bersama Infrastructure Tbk Pt 260,369

105,670 International Container Terminal Services Inc 259,216

240,800 Minor International Pcl 257,852

201,400 Karex Bhd 253,103

940,352 Surya Citra Media Tbk Pt 244,260

6,996,000 Premium Leisure Corp 234,679

159,240 Jg Summit Holdings Inc 233,599

304,100 Matrix Concepts Holdings Bhd 231,382

348,000 Chularat Hospital Pcl 209,376

214,897 Siloam International Hospitals Tbk Pt 200,491

318,500 Bangkok Dusit Medical Services Pcl 196,918

288,900 Airasia Bhd 191,567

218,257 Blue Bird Tbk Pt 179,173

714,100 Bloomberry Resorts Corp 171,271

499,600 Jay Mart Pcl 163,557

2,564,269 Arwana Citramulia Tbk Pt 157,489

83,510 Robinsons Retail Holdings Inc 156,801

98,960 Abs-Cbn Holdings Corp 142,581

1,605 Alibaba Group Holding Ltd 139,395

72,800 Mitra Keluarga Karyasehat Tbk Pt 134,677

96,800 Srisawad Power 1979 Pcl 121,891

2,501,200 Q&M Dental Group Singapore Ltd 121,827


194


(Continued)


Purchases

Nominal Investments

Cost

EUR 20,500,000 Bundesschatzanweisungen 0.25% 11/09/2015 20,534,235 20,000,000 France Government Bond Oat 3.00% 25/10/2015 20,215,820 19,000,000 France Government Bond Oat 3.50% 25/04/2015 19,316,930 17,000,000 Bundesschatzanweisungen 0.25% 11/03/2015 17,033,350 17,000,000 Bundesschatzanweisungen 0.00% 11/12/2015 17,011,030 148,008 Duerr Ag 11,721,829 274,507 Drillisch Ag 11,177,982 2,563,108 Mediaset Spa 10,985,112 670,508 Moncler Spa 10,413,492 5,806,681 Saras Spa 10,127,003 8,800,313 Telecom Italia Spa 10,032,474 186,390 Rheinmetall Ag 9,393,373 696,288 Fiat Chrysler Automobiles Nv 8,794,917 8,500,000 France Government Bond Oat 3.50% 25/04/2015 8,531,605 626,056 Euronav Nv 7,846,069 137,141 Randstad Holding Nv 7,811,180 197,513 Gea Group Ag 6,849,847 169,344 Dialog Semiconductor Plc 6,444,674 382,591 Delta Lloyd Nv 6,164,246 121,013 United Internet Ag 5,294,025 907,910 Outokumpu Oyj 5,278,113 93,737 Symrise Ag 5,226,700 400,337 Usg People Nv 5,131,154 133,409 Evonik Industries Ag 4,528,881 75,358 Livanova Plc 4,235,276 724,575 Ovs Spa 4,159,575 44,829 Tod'S Spa 3,867,764 153,750 Neste Oyj 3,826,073 88,325 Hella Kgaa Hueck & Co 3,734,589

Sales

Nominal Investments

Proceeds

EUR

13,000,000 France Government Bond Oat 3.50% 25/04/2015 20,550,025

9,500,000 Bundesschatzanweisungen 0.25% 11/09/2015 20,513,800

6,000,000 France Government Bond Oat 3.00% 25/10/2015 20,076,510


3,004,547 Mediaset Spa 12,747,015



3,004,547 Mediaset Spa 12,747,015


195


(Continued)


Sales (continued)

Nominal Investments

Proceeds

EUR


670,508 Moncler Spa 9,987,106

8,800,313 Telecom Italia Spa 9,861,124

227,432 Drillisch Ag 9,344,182

4,502,561 Saras Spa 8,891,727

113,384 Duerr Ag 8,545,373

626,056 Euronav Nv 8,290,793

166,201 Rheinmetall Ag 8,253,103

532,029 Usg People Nv 7,750,834

128,450 Randstad Holding Nv 7,246,206

1,220,247 Outokumpu Oyj 6,628,444

169,344 Dialog Semiconductor Plc 6,626,848

382,591 Delta Lloyd Nv 6,209,654

482,016 Fiat Chrysler Automobiles Nv 5,769,675

93,737 Symrise Ag 5,653,130

133,409 Evonik Industries Ag 4,504,672

724,575 Ovs Spa 4,502,246

44,829 Tod'S Spa 3,785,692

153,750 Neste Oyj 3,536,701

67,152 Brenntag Ag 3,466,595

82,519 Boskalis Westminster 3,456,034

154,921 Arcadis Nv 3,408,401

88,325 Hella Kgaa Hueck & Co 3,386,176


196

ADDITIONAL INFORMATION (UNAUDITED)

For the year ended 31 December 2015

1. DISTRIBUTION OF FINANCIAL STATEMENTS WAIVER

The State of the origin of the Fund is Ireland. In Switzerland, the Representative is Acolin Fund Services AG,

Stadelhoferstrasse 18, CH–8001 Zurich, whilst the Paying agent is Banque Cantonale de Geneve, 17 quai de

I’lle, 1204 Geneve, Switzerland. The Basic documents of the Fund such as the Prospectus, the key investor

information document (KIID), the articles of association as well as the semi-annual and annual reports may be

obtained free of charge at the office of the Swiss Representative. The current document is intended for

information purposes only and shall not to be used as an offer to buy and/or sell shares. The performance

shown does not take account of any commissions and costs charged when subscribing to and redeeming

shares. Past performance may not be reliable guide to future performance.

2. THE SFT REGULATION

The Securities Financing Transactions Regulation (SFT Regulation) introduces mandatory reporting for

securities financing transactions (SFTs) and sets minimum disclosure and consent requirements on the re-use

of collateral, with the aim of reforming shadow banking and improving transparency in the SFT market. The

SFT Regulation was formally adopted by the EU on 16 November 2015 and came into force on 12 January

2016. An SFT consists of any transaction that uses assets belonging to a counterparty to generate financing

means and comprise for the following:

repurchase transactions;

securities or commodities lending, securities or commodities borrowing;

any transaction having an equivalent economic effect, in particular a buy/sell-back or sell/buy-back

transaction; and

margin lending transaction.

Periodical disclosure

The use of SFTs must be disclosed by the Investment Manager in their half-yearly and annual investor reports

(as required under the UCITS Directives). The periodical disclosure requirements come into effect 12 months

after the SFT Regulation’s entry into force, 12 January 2017.

3. CYBERSECURITY RISK

Cybersecurity breaches may occur allowing an unauthorized party to gain access to assets of the Funds,

Shareholder data, or proprietary information, or may cause the Company, the Investment Manager, the

Distributor, the Administrator, the Custodian or other service providers to suffer data corruption or lose

operational functionality. The Funds may be affected by intentional cybersecurity breaches which include

unauthorized access to systems, networks, or devices (such as through “hacking” activity); infection from

computer viruses or other malicious software code; and attacks that shut down, disable, slow, or otherwise

disrupt operations, business processes, or website access or functionality. In addition, unintentional incidents

can occur, such as the inadvertent release of confidential information (possibly resulting in the violation of

applicable privacy laws). A cybersecurity breach could result in the loss or theft of Shareholder data or funds,

the inability to access electronic systems, loss or theft of proprietary information or corporate data, physical

damage to a computer or network system, or costs associated with system repairs. Such incidents could cause

the Company, the Investment Manager, the Distributor, the Administrator, the Custodian, or other service

providers to incur regulatory penalties, reputational damage, additional compliance costs, or financial loss.

Consequently, Shareholders may lose some or all of their invested capital. In addition, such incidents could

affect issuers in which a Fund invests, and thereby cause a Fund’s investments to lose value, as a result of

which investors, including the relevant Fund and its Shareholders, could potentially lose all or a portion of their

investment with that issuer.

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