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Merrill Lynch Investment Solutions Merrill Lynch Investment Solutions Audited annual report as at March 31, 2014 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 key investor information documents, 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 25 Statement of Net Assets at March 31, 2014 27 Statement of Operations and Changes in Net Assets for the year ended March 31, 2014 30 Statistical information 33 Schedule of Investments as at March 31, 2014 45 Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) 45 Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund 106 Merrill Lynch Investment Solutions – CCI Healthcare Long-Short UCITS Fund 116 Merrill Lynch Investment Solutions – Theorema European Equity Long-Short UCITS Fund 120 Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund 125 Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund 134 Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund 151 Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund 206 Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund 222 Merrill Lynch Investment Solutions – TRG Emerging Markets Opportunity UCITS Fund 234 Merrill Lynch Investment Solutions – Fulcrum Alpha Macro UCITS Fund 244 Merrill Lynch Investment Solutions – Van Eck Commodities Long-Short Equity UCITS Fund 249 Merrill Lynch Investment Solutions – Beach Point Diversifi ed Credit UCITS Fund 252 Merrill Lynch Investment Solutions – Merrill Lynch Diversifi ed Futures UCITS Fund 262 Merrill Lynch Investment Solutions – Castlerigg Equity Event and Arbitrage UCITS Fund 263 Merrill Lynch Investment Solutions – Merrill Lynch Dynamic Capital Protection UCITS Fund 267 Merrill Lynch Investment Solutions – Merrill Lynch Enhanced Volatility Premium Fund 269 Notes to the fi nancial statements as at March 31, 2014 270 Global Risk Management (Unaudited Information) 283 Audited annual report 2 Merrill Lynch Investment Solutions Mrs Miriam Muller Mr Raymond Blokland Mr Jocelyn Kiefe Management and Administration Board of Directors Dirigeants Mr Thomas Nummer, Chairman of the Board of Directors Carne Global Financial Services Luxembourg S. à r.l., Mrs Miriam Muller, European Bank and Business Centre, Director, 6B route de Trèves, Merrill Lynch International, L-2633 Senningerberg, 2 King Edward Street, Grand Duchy of Luxembourg London EC1A 1HQ, From August 1, 2013 United Kingdom Mr Bertram Welsch, Directors Consultant, Mr Raymond Blokland, Carne Global Financial Services Luxembourg S. à r.l., Managing Director, European Bank and Business Centre, Merrill Lynch Equity S.à r.l., 6B route de Trèves, Atrium Business Park, L-2633 Senningerberg, 33 rue du Puits Romain, Grand Duchy of Luxembourg L-8070 Bertrange, From August 1, 2013 Grand Duchy of Luxembourg Mr James Munce, Mr Jocelyn Kiefe, Director, Director, Merrill Lynch International, Merrill Lynch Capital Markets (France) S.A.S., 2 King Edward Street, 112 avenue Kléber, London EC1A 1HQ, 75116 Paris, United Kingdom France Until July 31, 2013 Mr Paul Guillaume, Mr Dauphou Edi, Managing Partner, Director, Altra Partners S.A., Merrill Lynch International, 370 route de Longwy, 2 King Edward Street, L-1940 Luxembourg, London EC1A 1HQ, Grand Duchy of Luxembourg United Kingdom Until July 31, 2013 Mr Jean-Claude Wolter, Avocat Honoraire, Registered Offi ce 11 B boulevard Joseph II, 49 avenue J. F. Kennedy, L-1840 Luxembourg, L-1855 Luxembourg, Grand Duchy of Luxembourg Grand Duchy of Luxembourg Mr Paul Holmes, Custodian and Paying Agent Director, State Street Bank Luxembourg S.A., Merrill Lynch International, 49 avenue J. F. Kennedy, 2 King Edward Street, L-1855 Luxembourg, London EC1A 1HQ, Grand Duchy of Luxembourg United Kingdom Audited annual report Merrill Lynch Investment Solutions 3 Mr Paul Guillaume Mr Jean-Claude Wolter Mr Paul Holmes Management and Administration (cont.) Registrar Agent and Transfer Agent Investment Managers State Street Bank Luxembourg S.A., For the Sub-Fund Merrill Lynch Investment Solutions – 49 avenue J. F. Kennedy, Marshall Wace TOPS UCITS Fund (Market Neutral): L-1855 Luxembourg, Marshall Wace LLP, Grand Duchy of Luxembourg The Adelphi, 13th Floor, 1/11 John Adam Street, Administrative, Corporate and Domiciliary Agent London WC2N 6HT, State Street Bank Luxembourg S.A., United Kingdom 49 avenue J. F. Kennedy, L-1855 Luxembourg, For the Sub-Funds Merrill Lynch Investment Solutions – Grand Duchy of Luxembourg York Event-Driven UCITS Fund and Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund: Sponsor York UCITS Holdings, LLC, Merrill Lynch International, 767 Fi h Avenue, 17th Floor 2 King Edward Street, New York 10153, London EC1A 1HQ, USA United Kingdom For the Sub-Fund Merrill Lynch Investment Solutions – Distributor CCI Healthcare Long-Short UCITS Fund: Merrill Lynch International, Columbus Circle Investors GP, 2 King Edward Street, Metro Center, One Station Place, 8th Floor, London EC1A 1HQ, Stamford, CT 06902, United Kingdom USA Legal Adviser For the Sub-Fund Merrill Lynch Investment Solutions – Linklaters LLP, Zweig-DiMenna US Long-Short Equity UCITS Fund: 35 avenue J. F. Kennedy, Zweig-DiMenna International Managers Inc., L-1855 Luxembourg, 900 Third Avenue, Grand Duchy of Luxembourg New York 10022, USA Listing Agent Until October 31, 2013 State Street Bank Luxembourg S.A., 49 avenue J. F. Kennedy, For the Sub-Fund Merrill Lynch Investment Solutions – L-1855 Luxembourg, Theorema European Equity Long-Short UCITS Fund: Grand Duchy of Luxembourg Theorema Asset Management Limited, 20 Balderton Street, Auditor London W1K 6TL, PricewaterhouseCoopers, Société coopérative, United Kingdom 400 route d’Esch, L-1471 Luxembourg, Grand Duchy of Luxembourg Audited annual report 4 Merrill Lynch Investment Solutions Management and Administration (cont.) Investment Managers (cont.) Investment Managers (cont.) For the Sub-Fund Merrill Lynch Investment Solutions – For the Sub-Fund Merrill Lynch Investment Solutions – Graham Capital Systematic Macro UCITS Fund: Fulcrum Alpha Macro UCITS Fund: Graham Capital Management LP, Fulcrum Asset Management LLP, Rock Ledge Financial Center, 6 Chesterfi eld Gardens, 40 Highland Avenue, London W1J 5BQ, Rowayton CT 06853, United Kingdom USA For the Sub-Fund Merrill Lynch Investment Solutions – For the Sub-Fund Merrill Lynch Investment Solutions – Van Eck Commodities Long-Short Equity UCITS Fund: AQR Global Relative Value UCITS Fund: Van Eck Absolute Return Advisers Corporation, AQR Capital Management LLC, 335 Madison Avenue, 19th Floor, Two Greenwich Plaza, 3rd Floor, New York, NY 10017, Greenwich, CT 06830, USA USA For the Sub-Fund Merrill Lynch Investment Solutions – For the Sub-Fund Merrill Lynch Investment Solutions – Beach Point Diversifi ed Credit UCITS Fund: Och-Ziff European Multi-Strategy UCITS Fund: Beach Point UCITS Management LLC, OZ Management LP, c/o Corporation Trust Center, 489 5th Avenue, 1209 Orange Street, New York, NY 10017, Wilmington, Delaware 19801, USA USA For the Sub-Funds Merrill Lynch Investment Solutions – For the Sub-Fund Merrill Lynch Investment Solutions – Merrill Lynch Diversifi ed Futures UCITS Fund, Merrill Lynch Westchester Merger Arbitrage UCITS Fund: Investment Solutions – Merrill Lynch Dynamic Capital Protection Westchester Capital Management LLC, UCITS Fund and Merrill Lynch Investment Solutions – Merrill Lynch 100 Summit Lake Drive, Enhanced Volatility Premium Fund: Valhalla, New York 10595, Merrill Lynch International, USA 2 King Edward Street, London EC1A 1HQ, For the Sub-Fund Merrill Lynch Investment Solutions – United Kingdom QFS Currency UCITS Fund: From October 23, 2013 QFS Asset Management L.P., 10 Glenville Street, For the Sub-Fund Merrill Lynch Investment Solutions – Greenwich, CT 06831, Castlerigg Equity Event and Arbitrage UCITS Fund: USA Sandell Investment Services LLC, Until August 23, 2013 40 West 57th Street, 26th Floor, New York, NY 10019, For the Sub-Fund Merrill Lynch Investment Solutions – USA TRG Emerging Markets Opportunity UCITS Fund: From March 14, 2014 TRG Management LP, c/o The Corporation Trust Company, Corporation Trust Center, 1209 Orange Street, Wilmington, Delaware 19801, USA Audited annual report Merrill Lynch Investment Solutions 5 Management and Administration (cont.) Investment Advisors For the Sub-Fund Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral): Marshall Wace Asia Limited 28/F One IFC One Harbour View Road, Hong Kong Marshall Wace North America L.P., 55 Railroad Avenue, Greenwich, Connecticut, USA For the Sub-Fund Merrill Lynch Investment Solutions – Merrill Lynch Dynamic Capital Protection UCITS Fund: Koris International, Espace Saint-Philippe, Immeuble NERI, 200 avenue de Roumanille, 06410 Biot, France For the Sub-Fund Merrill Lynch Investment Solutions – Merrill Lynch Enhanced Volatility Premium Fund: Union Investment Institutional GmbH, Product Management, Wiesenhüttenstraße 10, 60329 Frankfurt am Main, Germany Audited annual report 6 Merrill Lynch Investment
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