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Merrill Lynch Investment Solutions Merrill Lynch Investment Solutions Audited annual report as at March 31, 2013 Société d’Investissement à Capital Variable R.C.S. Luxembourg B 133.445 No subscription can be received on the basis of these fi nancial statements. Subscriptions may only be accepted on the basis of the current prospectus accompanied by an application form, the latest available annual report of the fund and the latest semi-annual report if published therea er. Merrill Lynch Investment Solutions 1 Table of contents Page Management and Administration 2 Information to the Shareholders 6 Additional Information for Investors in the Federal Republic of Germany 11 Investment Managers’ Report 12 Audit Report 27 Statements of Net Assets as at March 31, 2013 29 Statements of Operations and Changes in Net Assets for the year ended March 31, 2013 31 Statistical information 33 Schedule of Investments as at March 31, 2013 46 Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) 46 Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund 92 Merrill Lynch Investment Solutions – CCI Healthcare Long-Short UCITS Fund 102 Merrill Lynch Investment Solutions – Zweig-DiMenna US Long-Short Equity UCITS Fund 106 Merrill Lynch Investment Solutions – Theorema European Equity Long-Short UCITS Fund 115 Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund 119 Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund 128 Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund 132 Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund 184 Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund 200 Merrill Lynch Investment Solutions – QFS Currency UCITS Fund 209 Merrill Lynch Investment Solutions – TRG Emerging Markets Opportunity UCITS Fund 211 Merrill Lynch Investment Solutions – Fulcrum Alpha Macro UCITS Fund 219 Merrill Lynch Investment Solutions – Van Eck Commodities Long-Short Equity UCITS Fund 224 Merrill Lynch Investment Solutions – Beach Point Diversifi ed Credit UCITS Fund 227 Notes to the fi nancial statements as at March 31, 2013 228 Global Risk Management (Unaudited Information) 240 Audited annual report 2 Merrill Lynch Investment Solutions Mrs Miriam Muller Mr Raymond Blokland Mr Jocelyn Kiefe Mr Paul Guillaume Management and Administration Board of Directors Directors: (cont.) Mr Paul Holmes, Chairman of the Board of Directors: Director, Mrs Miriam Muller, Merrill Lynch International, Director, 2 King Edward Street, Merrill Lynch International, London EC1A 1HQ, 2 King Edward Street United Kingdom London EC1A 1HQ, From November 21, 2012 United Kingdom From November 21, 2012 Dirigeants: Mr James Munce, Mr Eric Personne, Director, Managing Director, Merrill Lynch International, Merrill Lynch International, 2 King Edward Street, 2 King Edward Street, London EC1A 1HQ, London EC1A 1HQ, United Kingdom United Kingdom Until October 31, 2012 Mr Dauphou Edi, Director, Directors: Merrill Lynch International, Mr Raymond Blokland, 2 King Edward Street, Managing Director, London EC1A 1HQ, Merrill Lynch Equity S.à r.l., United Kingdom 4 rue Albert Borchette, L-1246 Luxembourg, Registered Offi ce Grand Duchy of Luxembourg 49 avenue J. F. Kennedy, L-1855 Luxembourg, Mr Jocelyn Kiefe, Grand Duchy of Luxembourg Vice President, Merrill Lynch Capital Markets (France) S.A.S., Custodian and Paying Agent 112 avenue Kléber, State Street Bank Luxembourg S.A., 75116 Paris, 49 avenue J. F. Kennedy, France L-1855 Luxembourg, Grand Duchy of Luxembourg Mr Paul Guillaume, From November 1, 2012 Managing Partner, Altra Partners S.A., Société Générale Bank & Trust, 370 route de Longwy, 11, avenue Emile Reuter, L-1940 Luxembourg, L-2420 Luxembourg, Grand Duchy of Luxembourg Grand Duchy of Luxembourg Until October 31, 2012 Mr Jean-Claude Wolter, Avocat Honoraire, 11 B boulevard Joseph II, L-1840 Luxembourg, Grand Duchy of Luxembourg Audited annual report Merrill Lynch Investment Solutions 3 Mr Jean-Claude Wolter Mr Paul Holmes Mr James Munce Mr Dauphou Edi Management and Administration (cont.) Registrar Agent and Transfer Agent Investment Managers (cont.) State Street Bank Luxembourg S.A., For the Sub-Fund Merrill Lynch Investment Solutions – 49 avenue J. F. Kennedy, Zweig-DiMenna US Long-Short Equity UCITS Fund: L-1855 Luxembourg, Zweig-DiMenna International Managers Inc., Grand Duchy of Luxembourg 900 Third Avenue, From November 1, 2012 New York 10022, USA European Fund Services S.A., 18, boulevard Royal, For the Sub-Fund Merrill Lynch Investment Solutions – L-2449 Luxembourg, Theorema European Equity Long-Short UCITS Fund: Grand Duchy of Luxembourg Theorema Asset Management Limited, Until October 31, 2012 20 Balderton Street, London W1K 6TL, Investment Managers United Kingdom For the Sub-Fund Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral): For the Sub-Fund Merrill Lynch Investment Solutions – Marshall Wace LLP Graham Capital Systematic Macro UCITS Fund: The Adelphi, 13th Floor, Graham Capital Management LP, 1/11 John Adam Street, Rock Ledge Financial Center, London WC2N 6HT 40 Highland Avenue, United Kingdom Rowayton CT 06853 USA For the Sub-Funds Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund and Merrill Lynch Investment For the Sub-Fund Merrill Lynch Investment Solutions – Solutions – York Asian Event-Driven UCITS Fund: AQR Global Relative Value UCITS Fund: York UCITS Holdings, LLC AQR Capital Management LLC, 767 Fi h Avenue, 17th Floor Two Greenwich Plaza, 3rd Floor, New York 10153 Greenwich, CT 06830 USA USA For the Sub-Fund Merrill Lynch Investment Solutions – For the Sub-Fund Merrill Lynch Investment Solutions – GLG European Opportunity UCITS Fund: Och-Ziff European Multi-Strategy UCITS Fund: GLG Partners LP, OZ Management LP, c/o Corporation Trust Center, One Curzon Street, 1209 Orange Street, London, W1J 5 HB, Wilmington, Delaware 19801, United Kingdom USA Until May 21, 2012 For the Sub-Fund Merrill Lynch Investment Solutions – For the Sub-Fund Merrill Lynch Investment Solutions – TT Financials UCITS Fund: CCI Healthcare Long-Short UCITS Fund: TT International, Columbus Circle Investors GP, Level 13, Moor House, Metro Center, One Station Place, 8th fl oor, 120 London Wall, Stamford, CT 06902 London EC2Y 5ET, USA United Kingdom Until July 31, 2012 Audited annual report 4 Merrill Lynch Investment Solutions Management and Administration (cont.) Investment Managers (cont.) Investment Advisors For the Sub-Fund Merrill Lynch Investment Solutions – Only for the Sub-Fund Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund: Marshall Wace TOPS UCITS Fund Westchester Capital Management LLC, (Market Neutral): 100 Summit Lake Drive, Valhalla, New York 10595, Marshall Wace Asia Limited USA 28/F One IFC One Harbour View Road Hong Kong For the Sub-Fund Merrill Lynch Investment Solutions – QFS Currency UCITS Fund: Marshall Wace North America L.P., QFS Asset Management L.P., 55 Railroad Avenue, Greenwich 10 Glenville Street, Connecticut Greenwich, CT 06831 USA USA Administrative, Corporate and Domiciliary Agent For the Sub-Fund Merrill Lynch Investment Solutions – State Street Bank Luxembourg S.A., TRG Emerging Markets Opportunity UCITS Fund: 49 avenue J. F. Kennedy, TRG Management LP, c/o The Corporation Trust Company, L-1855 Luxembourg, Corporation Trust Center, Grand Duchy of Luxembourg 1209 Orange Street, From November 1, 2012 Wilmington, Delaware 19801 Société Générale Securities Services, For the Sub-Fund Merrill Lynch Investment Solutions – Luxembourg Fulcrum Alpha Macro UCITS Fund: 16 boulevard Royal, Fulcrum Asset Management LLP, L-2449 Luxembourg, 6 Chesterfi eld Gardens, Grand Duchy of Luxembourg London W1J 5BQ Until October 31, 2012 United Kingdom From June 15, 2012 Sponsor Merrill Lynch International, For the Sub-Fund Merrill Lynch Investment Solutions – 2 King Edward Street, Van Eck Commodities Long-Short Equity UCITS Fund: London EC1A 1HQ Van Eck Absolute Return Advisers Corporation, United Kingdom 335 Madison Avenue, 19th Floor, New York, NY 10017 Distributor USA Merrill Lynch International, From December 13, 2012 2 King Edward Street, London EC1A 1HQ For the Sub-Fund Merrill Lynch Investment Solutions – United Kingdom Beach Point Diversifi ed Credit UCITS Fund: Beach Point UCITS Management LLC, Legal Adviser 489 5th Avenue, Linklaters LLP, New York, NY 10017 35 avenue J. F. Kennedy, USA L-1855 Luxembourg, From February 28, 2013 Grand Duchy of Luxembourg Audited annual report Merrill Lynch Investment Solutions 5 Management and Administration (cont.) Listing Agent State Street Bank Luxembourg S.A., 49 avenue J. F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg From November 1, 2012 Société Générale Bank & Trust, 11 avenue Emile Reuter, L-2420 Luxembourg, Grand Duchy of Luxembourg Until October 31, 2012 Auditor PricewaterhouseCoopers, Société coopérative, 400 route d’Esch, L-1471 Luxembourg, Grand Duchy of Luxembourg Audited annual report 6 Merrill Lynch Investment Solutions Information to the Shareholders The annual general meeting of Shareholders is held, each year, at the registered offi ce of the SICAV or at the place specifi ed in the convening notice on the last Monday of July (at 12 noon Luxembourg time) or the next following Luxembourg Business Day. The meetings of Shareholders of Shares of a particular Sub-Fund may decide on matters which are relevant only for the Sub-Fund concerned. Notices to Shareholders will be published in the Luxemburger Wort and / or in any
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