SEVEN UCITS · Trading range on the rates and on the shares over the last quarter. Seven Absolute...

from 10/04/15 (incorporation date) to 31/12/15

Investment Company With Variable Capital

Database Publishing System: CO-Reporter® by CO-Link, Belgium.

Annual report including the audited financial statements

SEVEN UCITS

R.C.S. Luxembourg B 196158

SEVEN UCITS

Table of contents

Page Organisation and Administration 3 Management’s report 4 Auditor’s report 6 Combined 8 SEVEN UCITS - SEVEN ABSOLUTE RETURN FUND 11 SEVEN UCITS - SEVEN EUROPEAN EQUITY FUND 15 SEVEN UCITS - SEVEN RISK ALLOCATION FUND 19 Notes to the financial statements 25 Informations Supplémentaires (non-auditées) 32 No subscription can be received on the basis of this report. Subscriptions are only valid if made on the basis of the current prospectus accompanied by the latest annual report.

SEVEN UCITS

Organisation and Administration

Registered office 5, allée Scheffer

L-2520 Luxembourg Board of Directors Chairman Directors

Johann SCHWIMANN Chairman, SEVEN CAPITAL MANAGEMENT Louis-Grégoire LOGRE Independent Director Johann NOUVEAU Director General, SEVEN CAPITAL MANAGEMENT

Management Company SEVEN CAPITAL MANAGEMENT

39, rue Marbeuf 75008 Paris - France

Dirigeants of the Management Company/ Johann SCHWIMANN

Chairman Johann NOUVEAU

Director General Custodian CACEIS Bank Luxembourg

5, Allée Scheffer L-2520 Luxembourg

Domiciliary Agent, Administration Agent, Transfert and Registrar Agent

CACEIS Bank Luxembourg 5, Allée Scheffer L-2520 Luxembourg

Distributeur Global SEVEN CAPITAL MANAGEMENT

39, rue Marbeuf 75008 Paris - France

Auditor DELOITTE AUDIT Société à Responsabilité Limitée

560, rue de Neudorf L-2220 Luxembourg

SEVEN UCITS

Management’s report

Seven Absolute Return Fund (from 28/09/2015 to 31/12/2015) Performance of I share from 28/09/15 to 31/12/15: -4.50% Performance of P share from 28/09/15 to 31/12/15: -4.77% The VaR is a VaR 99% 20 days. Maximum VaR: 9.94% Minimum VaR: 3.73% Mean VaR: 6.31% Maximum leverage: 7.51 Minimum leverage: 2.92 Mean leverage: 5.20 For the period from 28 September 2015 to 31 December 2015, the market configurations had no trend. Trading range on the rates and on the shares over the last quarter. Seven Absolute Return Fund has therefore produced a negative performance over the period following the lack of market trend. In this environment, all the asset classes contributed negatively. In the medium-term rates class, the Bobl contributed negatively with -2.21%. In the long-term rates class, the TNOTE5Y and the TNOTE10Y contributed negatively at a rate of 25% each; the JGB contributed positively with 12.69%. In the share class, the SP500 contributed negatively at a rate of 14.37%.

Seven European Equity Fund (from 28/09/2015 to 31/12/2015) Performance of I share from 28/09/15 to 31/12/15: 9.11% Performance of P share from 28/09/15 to 31/12/15: 8.80% All of the securities held in portfolio at 31/12/2015 were denominated in EUR and were all, without exception, eligible for the Share Savings Plan (Plan d'épargne en actions: PEA). Over the last quarter, the Stoxx Europe 600 Net Return index appreciated by 7.45%. I share of the Seven European Equity Fund appreciated by 10.80%, outperforming its benchmark by 3.35 points. The sectors that have contributed strongly to this outperformance are the industrial, consumer cyclical and non-cyclical sectors.

The greatest contribution is Paddy Power Betfair in the consumer cyclical sector, with a contribution of +8.50%, followed by Duerr AG in the industrial sector with a contribution of 6.78%. The weakest negative contribution comes from Christian Dior in the consumer cyclical sector with -1.86%.

Seven Risk Allocation Fund (from 28/09/2015 to 31/12/2015) Performance of I share from 28/09/15 to 31/12/15: -0.35% Performance of P share from 28/09/15 to 31/12/15: -0.70% The VaR is a VaR 99% 20 days. Maximum VaR: 3.01% Minimum VaR: 1.47% Mean VaR: 2.25% Maximum leverage: 0.95 Minimum leverage: 0.70 Mean leverage: 0.82

SEVEN UCITS

Management’s report

Seven Risk Allocation Fund (from 28/09/2015 to 31/12/2015) (continued) For the period from 28 September 2015 to 31 December 2015, the market configurations had no trend. Trading range on the rates and on the shares on the last quarter. Seven Absolute Return Fund has therefore produced a negative performance over the period following the lack of market trend. In this environment, all fixed interest asset classes have contributed negatively. The TNOTE5Y and the TNOTE10Y contributed negatively at rates of 104% and 103% respectively. The JGB contributed positively at a rate of 64%. In the share class, the SP500 contributed positively at a rate of 33.70%.

The Board of Directors Luxembourg, 12 April 2016 Note: The information stated in this report is historical and not necessarily indicative of future performance.

Deloitte Audit Société à responsabilité limitée 560, rue de Neudorf L-2220 Luxembourg B.P.1173 L-1011 Luxembourg Tel: +352 451 451 Fax: +352 451 452 992 www.deloitte.lu

Société à responsabilité limitée au capital de 35.000 EUR RCS Luxembourg B 67.895

AUDITOR’S REPORT

To the shareholders of SEVEN UCITS 5, allée Scheffer L - 2520 Luxembourg Following our appointment by the Annual General Meeting of the Shareholders dated April 10, 2015, we have audited the accompanying financial statements of SEVEN UCITS (the « SICAV ») and each of its sub-funds, which comprise the statement of net assets and the statement of investments and other net assets as at December 31, 2015 and the statement of operations and changes in net assets for the period from April 10, 2015 (date on incorporation) to December 31,2015, and a summary of significant accounting policies and other explanatory notes to the financial statements. Responsibility of the Board of Directors of the SICAV for the financial statements The Board of Directors of the SICAV is responsible for the preparation and fair presentation of these financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements and for such internal control as the Board of Directors of the SICAV determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. Responsibility of the réviseur d’entreprises agréé Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with International Standards on Auditing as adopted for Luxembourg by the Commission de Surveillance du Secteur Financier. Those standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the réviseur d’entreprises agréé’s judgement, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the réviseur d’entreprises agréé considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control.

An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by the Board of Directors of the SICAV, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements give a true and fair view of the financial position of SEVEN UCITS and of each of its sub-funds as at December 31 , 2015, and of the results of their operations and changes in their net assets for the period from April 10, 2015 (date on incorporation) to December 31,2015 in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements. Other matter Supplementary information included in the annual rep01t has been reviewed in the context of our mandate but has not been subject to specific audit procedures carried out in accordance with the standards described above. Consequently, we express no opinion on such information. However, we have no observation to make concerning such information in the context of the financial statements taken as a whole. For Deloitte Audit, Cabinet de révision agréé Nicolas Hennebert, Réviseur d’entreprises agréé Partner Luxembourg, April 12, 2016

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SEVEN UCITSConsolidated

The accompanying notes form an integral part of these financial statements

9Page

129,167,722.00Assets115,311,865.75Securities portfolio at market value 2.2Note115,128,739.41Cost price

183,126.34Unrealised profit on the securities portfolio13,153,039.53Cash at banks and liquidities

697,056.01Brokers receivable5,760.71Other assets

8,471,283.92Liabilities7,842,392.65Bank overdrafts

22,586.87Interest payable4,798.17Taxe d'abonnement payable 7Note

81,783.81Performance fees 4Note80,899.78Unrealised net depreciation on financial futures 8Note

380,567.03Management fees 3Note10,801.25Custody and administration 5, 6Note43,346.90Audit fees2,918.92Formation expenses 2.10Note1,188.54Other liabilities

120,696,438.08Net asset value

SEVEN UCITS

Financial Statements as at 31/12/15

Expressed in EUR

Statement of net assets as at 31/12/15

Consolidated


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43,460.29Income42,797.26Net dividends 2.6Note

663.03Bank interest on cash account 2.6Note

708,776.70Expenses2,918.92Amortisation of formation expenses 2.10Note

403,002.56Management fees 3Note20,944.50Custodian fees 5Note10,128.52Taxe d'abonnement 7Note9,794.63Administrative expenses 6Note

46,606.30Incentive and performance fees 4Note1,895.02Domiciliation fees

43,346.90Audit fees47,084.40Bank interest on overdrafts96,232.86Transaction fees 2.11Note26,822.09Other expenses

-665,316.41Net loss from investments

Net realised profit / loss on:481,969.53- sales of investment securities 2.8Note

-544,891.93- financial futures96,847.33- foreign exchange 2.7Note

-631,391.48Net realised loss

Movement in net unrealised appreciation / depreciation on:183,126.34- investments-80,899.78- financial futures 2.9Note

-529,164.92Decrease in net assets as a result of operations

142,809,012.23Subscription capitalisation shares-21,583,409.23Redemption capitalisation shares

120,696,438.08Increase in net assets

0.00Net assets at the beginning of the period

120,696,438.08Net assets at the end of the period

EUR

Statement of Operations and Changes in Net Assets from from 10/04/15 (incorporation date) to 31/12/15

SEVEN UCITSConsolidated

Expressed in

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SEVEN UCITS- SEVEN ABSOLUTE RETURN FUND


12Page

19,503,760.49Assets16,012,882.21Securities portfolio at market value 2.2Note16,012,882.21Cost price3,490,878.28Cash at banks and liquidities

979,842.91Liabilities887,169.27Bank overdrafts

5,038.35Interest payable553.29Taxe d'abonnement payable 7Note

24,292.01Unrealised net depreciation on financial futures 8Note53,527.67Management fees 3Note1,664.19Custody and administration 5, 6Note6,948.25Audit fees

467.36Formation expenses 2.10Note182.52Other liabilities

18,523,917.58Net asset value

Financial Statements as at 31/12/15

Expressed in EUR

Statement of net assets as at 31/12/15

SEVEN UCITS - SEVEN ABSOLUTE RETURN FUND

Key figures

EUR-I (cap)

Capitalisation shares

107.63163,731.230Number of shares

Net asset value per share

EUR

EUR-R (cap)

Capitalisation shares

101.238,909.871Number of shares

Net asset value per share

EUR

Total Net Assets 18,523,917.58

31/12/15Period ending as at:

EUR


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REPU FRAN ZCP 27-04-162,000,000.00 2,002,513.98 10.81EUR

Money market instruments 16,012,882.21 86.44

Bonds 16,012,882.21 86.44

France 16,012,882.21 86.44

REPUBLIQUE FRANCAISE ZCP 03/02/162,000,000.00 2,000,966.58 10.80EURREPUBLIQUE FRANCAISE ZCP 1002162,000,000.00 2,001,354.25 10.80EURREPUBLIQUE FRANCAISE ZCP 2001166,000,000.00 6,003,900.00 32.42EURREPUBLIQUE FRANCAISE ZCP 2206161,000,000.00 1,001,743.17 5.41EURREPUBLIQUE FRANCAISE ZCP 2402162,000,000.00 2,001,360.92 10.80EURREPUBLIQUE FRANCAISE ZCP 3103161,000,000.00 1,001,043.31 5.40EUR

Total securities portfolio 16,012,882.21 86.44

Securities portfolio as at 31/12/15EURExpressed in


Quantity Denomination Quotationcurrency

% of netassetsMarket value


14Page

Statement of Operations and Changes in Net Assets from 25/09/15 to 31/12/15Expressed in EUR


437.93Income437.93Bank interest on cash account 2.6Note

95,316.08Expenses467.36Amortisation of formation expenses 2.10Note

57,548.75Management fees 3Note3,270.50Custodian fees 5Note1,352.38Taxe d'abonnement 7Note1,519.53Administrative expenses 6Note

293.85Domiciliation fees6,948.25Audit fees7,347.96Bank interest on overdrafts

10,924.44Transaction fees 2.11Note5,643.06Other expenses

-94,878.15Net loss from investmentsNet realised profit / loss on:

-4,887.80- sales of investment securities 2.8Note-722,154.21- financial futures

-3,452.05- foreign exchange 2.7Note

-825,372.21Net realised lossMovement in net unrealised appreciation / depreciation on:

-24,292.01- financial futures 2.9Note

-849,664.22Decrease in net assets as a result of operations

28,564,676.60EUR-I (cap)1,000,287.07EUR-R (cap)

29,564,963.67Subscription capitalisation shares

-10,140,661.87EUR-I (cap)-50,720.00EUR-R (cap)

-10,191,381.87Redemption capitalisation shares

18,523,917.58Increase in net assets

0.00Net assets at the beginning of the period

18,523,917.58Net assets at the end of the period

25Page

SEVEN UCITSNotes to the financial statements

SEVEN UCITS

Notes to the financial statements as at 31 December 2015

Page 26

Note 1 - General description SEVEN UCITS (the "SICAV") is a Luxembourg-law Investment Company with Variable Capital (Société d’Investissement à Capital Variable, SICAV) with multiple sub-funds, constituted on 10 April 2015 for an unlimited period in the form of a Limited Company (Société Anonyme). The SICAV is subject, in particular, to Part I of the Luxembourg Law of 2010 and to the law of 10 August 1915 on commercial companies, as modified. The articles of incorporation of the SICAV were published in the Series C Mémorial (Luxembourg's legal gazette), the Compendium of Companies and Associations, on 17 April 2015 and filed with the Registry of the District Court of and in Luxembourg. The SICAV has been registered with the Registry of Business and Companies of Luxembourg under number B196158. On 10 April 2015, the Board of Directors appointed, under its responsibility and control, SEVEN CAPITAL MANAGEMENT as managing company of the SICAV. The SICAV can be comprised of different sub-funds, each representing a pool of specific assets and liabilities, and each corresponding to a different investment policy and a reference currency specific to it. Within each sub-fund, the shares can be of separate share classes and, within these, of separate categories. The SICAV is, therefore, conceived in order to establish a Collective Investment Undertaking with multiple sub-funds, allowing investors to choose the sub-fund whose investment policy best corresponds to their objectives and sensitivity. As at 31 December 2015, the following sub-funds were active:

- SEVEN UCITS - SEVEN ABSOLUTE RETURN FUND (launched on 25 September 2015) - SEVEN UCITS - SEVEN EUROPEAN EQUITY FUND (launched on 25 September 2015) - SEVEN UCITS - SEVEN RISK ALLOCATION FUND (launched on 25 September 2015)

For these active sub-funds, the shares are available in the following share classes:

- Class EUR-I (cap), denominated in EUR and intended for institutional investors - Class EUR-R (cap), denominated in EUR and intended for all types of investors - Class USD-I (cap), denominated in USD and intended for institutional investors - Class USD-R (cap), denominated in USD and intended for all types of investors - Class CHF-I (cap), denominated in CHF and intended for institutional investors - Class CHF-R (cap), denominated in CHF and intended for all types of investors

In each sub-fund, the Board of Directors can decide at any given time to issue different classes of shares ("share classes" or "classes"), the assets of which will be invested jointly in accordance with the specific investment policy of the sub-fund in question but will be subject to a specific fee structure or will present other distinctive characteristics pertaining to each class. Following the decision of the Board of Directors, the shares of the classes below were launched by way of absorption of share in French-law collective investment undertakings:

Absorbing sub-funds Absorbing

classes Absorbed undertakings

Absorbed shares

Class EUR-I I share SEVEN UCITS - SEVEN ABSOLUTE RETURN FUND Class EUR-R

SEVEN ABSOLUTE RETURN FUND P share

Class EUR-I I share SEVEN UCITS - SEVEN EUROPEAN EQUITY FUND Class EUR-R

SEVEN EUROPEAN EQUITY P share

Class EUR-I I share SEVEN UCITS - SEVEN RISK ALLOCATION FUND Class EUR-R

SEVEN RISK ALLOCATION FUND P share

SEVEN UCITS

Notes to the financial statements as at 31 December 2015 (continued)

Page 27

Note 2 - Significant accounting policies 2.1 Presentation of the financial statements The financial statements are prepared in accordance with the generally admitted accounting policies and are presented pursuant to the law and the regulations in force in Luxembourg concerning Collective Investment Undertakings. 2.2 Assessment of the securities portfolio The assessment of the securities listed or traded on a market regulated under the Law of 2010 or traded on another market of an EU member state that is regulated, in regular operation, recognised and open to the public or admitted to official listing on a securities market of a non-EU state or traded on another market of a non-EU state, regulated, in regular operation, recognised and open to the public (these three conditions can also be classed as a "Regulated Market), is based on the last known closing price on the Day of Assessment and if these securities are traded on several markets, on the basis of the last known closing price of the main market of these securities on the Day of Assessment. Securities not listed on the Stock Exchange or on another regulated market, as well as listed securities whose prices are not representative, are assessed at their last known market value, on the basis of the probable realisable value estimated with prudence and in good faith and under the direction of the Board of Directors of the SICAV. 2.3 Assessment of cash The value of any cash on hand or on deposit, bills, demand notes and accounts receivable, prepaid expenses, dividends and interest matured but not yet received will be represented by the nominal value of these assets, unless it appears that such value is unlikely to be received. In the latter case, the value will be determined by deducting a certain amount to reflect the true value of these assets. 2.4 Assessment of money market instruments If possible in practice, money market instruments can be assessed at the last closing price on the day of assessment or according to the linear amortisation method. In case of linear amortisation, the portfolio positions are reviewed regularly under the direction of the Board of Directors in order to determine whether there is a difference between the assessment according to the last closing prices method and that of linear amortisation. If there is a difference that may lead to a consequent dilution or harm the shareholders, appropriate corrective measures can be taken, including, if necessary, the calculation of the net asset value using the last known closing prices. 2.5 Assessment of the units or shares of collective investment undertakings ("CIUs") Open CIU units or shares are assessed on the basis of the last net asset values available or, if the determined price is not representative of the real value of these assets, the price will be determined by the Board of Directors of the SICAV in a fair and equitable manner. Closed CIU units or shares will be assessed at their last known market values or, if the price is not representative of their real value, the prices will be estimated by the Board of Directors of the SICAV with prudence and in good faith. 2.6 Dividends and interest The dividends are presented net of taxes withheld at source. These are recognised as completed on the coupon payment date ("ex-date" dividend). The interest is recognised on an accruals basis. 2.7 Conversion of foreign currencies The financial statements include a consolidation of all the sub-funds. These consolidated figures are expressed in euros (EUR), the SIVAV's reference currency. The market value of the investments and other assets and liabilities expressed in currencies other than the reference currency of each sub-fund have been converted at the exchange rate in force on the closing date. The costs of the investments and of the transactions recognised in currencies other than the base currency have been converted at the exchange rates in force on the dates of the transactions/acquisitions. The revenue and expenses expressed in currencies other than the consolidated reference currency have been converted at the exchange rates in force on the date of the transaction. The profit and loss from exchange transactions are recognised in the Statement of Operations and Changes in Net Assets.

SEVEN UCITS


Page 28

Note 2 - Significant accounting policies (continued) The main exchange rates applied as at 31 December 2015 are the following:

1 EUR = 0.73705 GBP 8.41895 HKD 130.67645 JPY 9.61525 NOK 1.54110 SGD 1.08630 USD 16.83275 ZAR

2.8 Net profit and net loss on investments The net profit and net loss on the sale of securities is determined based on their average costs. 2.9 Futures Contracts Open futures contracts are assessed at their last known price on the date of assessment or the closing date. The appreciation or depreciation on futures contracts is presented in the Equity Statement under the heading "Appreciation/depreciation on futures". The change in the appreciation (or depreciation) on futures is presented in the Statement of Operations and Changes in Net Assets. 2.10 Formation costs The formation costs are amortised in a linear manner over a period of five years. 2.10 Transaction costs The transaction costs include all the charges linked to the costs of transactions which have been defined as brokerage fees and other transaction charges such as custodian bank transaction costs, taxes and other costs relating to the purchase or sale of securities, futures contracts, money market instruments, derivatives or other eligible assets. These costs are recognised separately in the Statement of Operations and Changes in Net Assets under the heading of "Transaction costs". Note 3 - Management fee As remuneration for its management and marketing services, the Managing Company receives from the SICAV on its own account an annual fee. This fee is payable quarterly and calculated based on the net assets of each sub-found during the course of the quarter under review. The annual management fee rates effective as at 31 December 2015 are as follows:

Sub-fund Classes Management fee rate incl. taxes per year

EUR-I (cap) 1.00% SEVEN UCITS - SEVEN ABSOLUTE RETURN FUND EUR-R (cap) 2.00% EUR-I (cap) 1.00% SEVEN UCITS - SEVEN EUROPEAN EQUITY FUND EUR-R (cap) 2.25% EUR-I (cap) 1.00% SEVEN UCITS - SEVEN RISK ALLOCATION FUND EUR-R (cap) 2.25%

SEVEN UCITS


Page 29

Note 4 - Performance fee For the SEVEN UCITS - SEVEN ABSOLUTE RETURN FUND sub-fund, the Managing Company will receive for each share class a performance fee (variable management fee) equivalent to 10% of the outperformance of the class with respect to the EONIA reference index. The performance fees are paid to the Managing Company at the end of the financial year. The variable fees follow the "High Water Mark" principle: no variable fee is paid at the year-end if the performance has not exceeded the level since the last time a variable fee was paid. The "High Water Mark" serves only as a condition for the performance fee and is not connected to the determination thereof. The performance fee is always, fully and solely calculated based on the outperformance of the funds with respect to the reference index. For the period ending 31 December 2015, there is no performance fee payment for the SEVEN UCITS - SEVEN ABSOLUTE RETURN FUND sub-fund. For the SEVEN UCITS - SEVEN EUROPEAN EQUITY FUND sub-fund, the Managing Company will receive, at each year-end, a performance fee for each share class. Each time the asset value is established, the outperformance of the SICAV is defined as the difference between the net assets of the SICAV before taking into account a potential provision for performance fees, and the net assets of a notional Undertaking for Collective Investment in Transferable Securities achieving the performance of the reference indicator for the calculation of the outperformance. Each time the asset value is established, the performance fee, set at 15% of the performance beyond the Dow Jones Stoxx 600 Europe, is subject to a provision or a write-back limited at the existing allocation. For the period ending 31 December 2015, the performance fee payable for the SEVEN UCITS - SEVEN EUROPEAN EQUITY FUND sub-fund is EUR 46,606.30. For the SEVEN UCITS - SEVEN RISK ALLOCATION FUND sub-fund, the Managing Company will receive for each share class a performance fee (variable management fee) equivalent to 10% of the outperformance of the class with respect to the EONIA reference index. The performance fees are paid to the Managing Company at the end of the financial year. The variable fees follow the "High Water Mark" principle: no variable fee is paid at the year-end if the performance has not exceeded the level since the last time a variable fee was paid. The "High Water Mark" serves only as a condition for the performance fee and is not connected to the determination thereof. The performance fee is always, fully and solely calculated based on the outperformance of the funds with respect to the reference index. For the period ending 31 December 2015, there is no performance fee payment for the SEVEN UCITS - SEVEN RISK ALLOCATION FUND sub-fund. Note 5 - Custodian bank fee In remuneration for the services it renders to the SICAV, the Custodian Bank will receive from the SICAV a variable annual fee, payable monthly in proportion to the assets, and calculated on the monthly average of the assets of the different sub-funds of the SICAV at the maximum rate of 0.25%.

SEVEN UCITS


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Note 6 - Administrative costs The Administrative Agent, for the bookkeeping and the calculation of the Net Asset Values (NAVs), will receive a variable fee applied per sub-fund, payable in twelfths at the end of each month, and calculated based on the net assets of each sub-fund at the end of the month at the effective rate of 0.03%. A monthly minimum amount of EUR 650.00 per sub-fund is applicable. Note 7 - Tax status The SICAV is subject to a subscription tax in Luxembourg corresponding to 0.05% of its net assets per year. This tax is reduced to 0.01% per year of the net assets attributable to share classes reserved for institutional investors. This tax is payable each quarter and its basis is the net assets of the SICAV at the close of the relevant quarter. The subscription tax is not payable on pools of assets invested in CIUs already subject to the application of this tax. No stamp duty or tax will be payable to Luxembourg at the time of the issuance of the shares of the SICAV. Note 8 - Futures contracts As at 31 December 2015, the following futures contracts are open:


Currency Quantity Purchase/

Sale Description Maturity

Liability in EUR

Appreciation/ (depreciation)

in EUR EUR 31 V 3MO EURO EURIBOR 30/06/16 7,763,950.00 -2,312.50EUR 1 A AMSTERDAM INDEX 31/01/16 -88,370.00 340.00EUR 1 V DAX INDEX GERMANY 31/03/16 269,300.00 -1,175.00EUR 2 A DJ EURO STOXX 50 31/03/16 -65,640.00 860.00USD 10 V DJIA MINI FUTURE-CBT 31/03/16 798,168.09 -13,532.17EUR 97 V EURO BOBL FUTURE 31/03/16 12,674,990.00 -15,920.00EUR 30 V EURO BUND FUTURE 31/03/16 4,737,600.00 -7,780.00EUR 31 V EURO SCHATZ FUTURE 31/03/16 3,456,810.00 835.00USD 6 V EURO/USD 90DAY(CME) 30/06/16 1,368,406.52 -828.50GBP 2 A FTSE 100 INDEX 31/03/16 -168,183.98 -1,356.76ZAR 4 A FTSE/JSE TOP40 31/03/16 -109,957.08 -4,740.76HKD 2 A HANG SENG INDEX 31/01/16 -260,246.23 2,743.81EUR 2 A IBEX 35 INDEX 31/01/16 -190,526.00 3,149.00JPY 26 V JPN 10 YEARS BOND 31/03/16 29,653,698.12 50,659.47SGD 14 A MSCI.SING INDEX 31/01/16 -293,971.84 -2,595.55USD 19 V NASDAQ 100 E-MINI 31/03/16 1,604,846.73 -4,971.00JPY 1 V NIKKEI 225 (SGX) 31/03/16 72,201.23 -1,817.47NOK 13 A OBX INDEX (OBX) 31/01/16 -72,913.03 -1,330.91USD 8 V S&P 500 EMINI INDEX 31/03/16 749,479.89 -7,102.09USD 22 A SGX CNX NIFTY INDEX 31/01/16 -321,929.49 -2,097.95 USD 14 V US 10 YEARS NOTE 31/03/16 1,622,652.58 -6,760.33 USD 24 V US 5 YEARS NOTE-CBT 31/03/16 2,614,091.41 -7,407.60 USD 1 V US TREASURY BOND 31/03/16 141,535.49 -1,150.70

Total -24,292.01

SEVEN UCITS


Page 31

Note 8 - Futures contracts (continued)

SEVEN UCITS-SEVEN RISK ALLOCATION FUND

Currency Quantity Purchase/

Sale Description Maturity

Liability in EUR

Appreciation/ (depreciation)

in EUR EUR 2 A AMSTERDAM INDEX 31/01/16 176,740.00 -720.00 EUR 21 A ATX INDEX 31/03/16 504,315.00 735.00 EUR 5 A CAC40 10 EURO 31/01/16 231,925.00 -4,475.00 EUR 2 A DAX INDEX GERMANY 31/03/16 538,600.00 -2,337.50 EUR 5 A DJ EURO STOXX 50 31/03/16 164,100.00 -2,150.00 USD 14 A DJIA MINI FUTURE-CBT 31/03/16 1,117,435.33 -4,731.66 EUR 46 A EURO BOBL FUTURE 31/03/16 6,010,820.00 -1,080.00 EUR 75 A EURO BUND FUTURE 31/03/16 11,844,000.00 21,800.00 GBP 2 A FTSE 100 INDEX 31/03/16 168,183.98 766.57 ZAR 12 A FTSE/JSE TOP40 31/03/16 329,871.23 14,186.63 EUR 1 A IBEX 35 INDEX 31/01/16 95,263.00 -3,917.00 JPY 16 A JPN 10 YEARS BOND 31/03/16 18,248,429.61 37,956.34 USD 22 A NASDAQ 100 E-MINI 31/03/16 1,858,243.58 -9,095.09 JPY 19 A NIKKEI 225 (SGX) 31/03/16 1,371,823.31 -37,975.47 NOK 29 A OBX INDEX (OBX) 31/01/16 162,652.14 2,371.34 USD 12 A S&P 500 EMINI INDEX 31/03/16 1,124,219.83 -6,890.36 USD 28 A US 10 YEARS NOTE 31/03/16 3,245,305.16 -19,144.69 USD 15 A US 5 YEARS NOTE-CBT 31/03/16 1,633,807.13 -9,140.84

Total -56,607.77 Note 9 - Investments in units or shares of the SEVEN CAPITAL MANAGEMENT group As at 31 December 2015, the SEVEN UCITS - SEVEN RISK ALLOCATION FUND sub-fund invested EUR 90,970.00 in SEVEN UCITS - SEVEN FIXED INCOME INC EUR-I (CAP), or 0.1% of its net assets. These investments do not give rise to a modification of the management fees borne by the aforementioned sub-fund. No entry or exit fee is charged for such investments.

Note 10 - Changes in the composition of the securities portfolio The report concerning the changes in the composition of the securities portfolio can be obtained free of charge upon simple request to the registered office of the SICAV.

SEVEN UCITS

Additional information (non-audited)

Page 32

OVERALL EXPOSURE CALCULATION METHOD Liabilities approach The following sub-fund uses the liabilities approach to control and measure global risk:

- SEVEN UCITS - SEVEN EUROPEAN EQUITY FUND VaR approach The following sub-funds use the Absolute/Relative VaR (Value at Risk) approach to control and measure global risk. The use of the VaR limits for the period of 25 September 2015 to 31 December 2015 is as follows:

Sub-funds VaR model Regulatory

limit Lower VaR

Higher VaR

Mean VaR level

Confidence interval

Hold period

SEVEN UCITS - SEVEN ABSOLUTE RETURN FUND Historical 20% 3.73% 9.94% 6.31% 99% 20 Days

SEVEN UCITS - SEVEN RISK ALLOCATION FUND Historical 20% 1.47% 3.01% 2.25% 99% 20 Days

Sub-funds Mean level of the leverage effect during the course of the financial

year

SEVEN UCITS - SEVEN ABSOLUTE RETURN FUND 5.20%

SEVEN UCITS - SEVEN RISK ALLOCATION FUND 0.82%

SEVEN UCITS · Trading range on the rates and on the shares over the last quarter. Seven Absolute...

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