EUROPEAN SICAV ALLIANCE
Audited annual report as at 31/12/18
RCS Luxembourg B35554
Database Publishing System: CO-Reporter® by CO-Link, Belgium. EUROPEAN SICAV ALLIANCE
Table of Contents
Organisation and Administration 3
Swiss Country Supplement (unaudited) 5
Annual Directors’ Report 6
Report of the Réviseur d’Entreprises Agréé 9
Combined Statement of Net Assets 15
Combined Statement of Operations and Changes in Net Assets 16
Sub-funds:
EUROPEAN SICAV ALLIANCE - GALAXY 17
EUROPEAN SICAV ALLIANCE - RPM EVOLVING CTA FUND 31
Notes to the Financial Statements 48
Unaudited information 61
Subscriptions are only valid if made on the basis of the current offering prospectus supplemented by the last annual report and the last semi-annual report if it is more recent.
Page 2 EUROPEAN SICAV ALLIANCE
Organisation and Administration
REGISTERED OFFICE 5, Allée Scheffer L - 2520 Luxembourg Grand Duchy of Luxembourg
PRINCIPAL CLEARING BROKERS SG Americas Securities, LLC 550, West Jackson Boulevard Suite 500 Chicago, Illinois 60661 5716 USA
Société Générale International Limited 10, Bishops Square London E1 6EG United Kingdom
Skandinaviska Enskilda Banken AB 2, Cannon Street London EC4M 6XX United Kingdom
Goldman Sachs International (since February 1, 2018) Peterborough Court 133 Fleet Street London EC4A 2BB United Kingdom
DEPOSITARY / CENTRAL CACEIS Bank, Luxembourg Branch ADMINISTRATION AGENT AND 5, Allée Scheffer TRANSFER AGENT L - 2520 Luxembourg Grand Duchy of Luxembourg
LEGAL ADVISER As to English Law:
Dechert LLP 160 Queen Victoria Street London EC4V 4QQ United Kingdom
As to Luxembourg Law:
Dechert (Luxembourg) LLP 1, Allée Scheffer BP . 709 L - 2017 Luxembourg Grand Duchy of Luxembourg
ALTERNATIVE INVESTMENT RPM Risk & Portfolio Management AB FUND MANAGER Linnégatan 6 SE - 114 47 Stockholm Sweden
CABINET DE REVISION AGREE KPMG Luxembourg, Société coopérative 39, Avenue John F. Kennedy L - 1855 Luxembourg Grand Duchy of Luxembourg
Page 3 EUROPEAN SICAV ALLIANCE
Organisation and Administration (continued)
BOARD OF DIRECTORS
Chairman M. Hans - Willem R. BARON VAN TUYLL VAN SEROOSKERKEN, Independent Senior Advisor, Switzerland
Directors M. Magnus KOTTENAUER, Senior Vice President, RPM Risk & Portfolio Management AB, Sweden
M. Mikael STENBOM, Partner, RPM Risk & Portfolio Management AB, Sweden
M. Magnus WESTERLIND, Chairman, RPM Risk & Portfolio Management AB, Sweden
Page 4 EUROPEAN SICAV ALLIANCE
Swiss Country Supplement (unaudited)
The distribution of the SICAV in Switzerland will be exclusively made to, and directed at, qualified investors (the "Qualified Investors"), as defined in the Swiss Collective Investment Schemes Act of June 23, 2006, as amended ("CISA") and its implementing ordinance. Accordingly, the SICAV has not been and will not be registered with the Swiss Financial Market Supervisory Authority ("FINMA"). This Prospectus and/or any other offering materials relating to the Shares may be made available in Switzerland solely to Qualified Investors.
1. Representative
The representative in Switzerland is First Independent Fund Services Ltd, Klausstrasse 33, CH-8008 Zurich, Switzerland (the “Representative”).
2. Paying agent
The paying agent in Switzerland is NPB Neue Privat Bank AG, Limmatquai 1, CH-8024 Zurich.
3. Place where the relevant fund documents may be obtained
The Prospectus, the Articles of Incorporation as well as the annual and semi-annual reports may be obtained free of charge from the Representative.
4. Payment of retrocessions and rebates
Retrocessions The SICAV, the Investment Manager and their respective agents may pay retrocessions as remuneration for distribution activity in respect of Shares in or from Switzerland. This remuneration may be deemed payment for the following services in particular:
- Distributing the Shares in Switzerland; and - Introducing potential investors in the Sub-Fund to the SICAV.
Retrocessions are not deemed to be rebates even if they are ultimately passed on, in full or in part, to the investors. The recipients of the retrocessions must ensure transparent disclosure and inform investors, unsolicited and free of charge, about the amount of remuneration they may receive for distribution. On request, the recipients of retrocessions must disclose the amounts they actually receive for distributing the Sub-Funds.
Rebates In the case of distribution activity in or from Switzerland, the SICAV, the Investment Manager and their respective agents may, upon request, pay rebates directly to investors. The purpose of rebates is to reduce the fees or costs incurred by the investor in question. Rebates are permitted provided that:
- they are paid from fees received by the SICAV, the Investment Manager or their respective agents and therefore do not represent an additional charge on the relevant Sub-fund’s assets; - they are granted on the basis of objective criteria; - all investors who meet these objective criteria and demand rebates are also granted these within the same timeframe and to the same extent.
The objective criteria for the granting of rebates by the SICAV, the Investment Manager or their respective agents are as follows:
- the volume subscribed by the investors or the total volume they hold in the respective Sub-Fund or, where applicable, in the product range of the promoter; - the amount of the fees generated by the investors; - the investment behaviour shown by the investors (e.g. expected investment period); - the investors’ willingness to provide support in the launch phase of a Sub-Fund.
At the request of the investor, the SICAV, the Investment Manager or their respective agents must disclose the amounts of such rebates free of charge.
5. Place of jurisdiction and place of performance
In respect of the units distributed in and from Switzerland, the place of performance and jurisdiction is the registered office of the Representative.
Page 5 EUROPEAN SICAV ALLIANCE
ANNUAL DIRECTORS’ REPORT
For the year ending December 31, 2018
Organisational structure
EUROPEAN SICAV ALLIANCE is a multiple sub-funds investment company (“Sicav”) incorporated under the Luxembourg law of December 20, 2002 on Collective Investment Undertakings and under the law of August 10, 1915 on Commercial Companies, as amended. EUROPEAN SICAV ALLIANCE is subject to part II of the Luxembourg law of December 17, 2010 on Collective Investment Undertakings and obtained a visa from the Commission de Surveillance du Secteur Financier (“CSSF”) in Luxembourg.
The latest prospectus as per the end of the year under review is dated April 2017. RPM Risk & Portfolio Management AB has been appointed as Sicav’s Alternative Investment Fund Manager (“AIFM”) pursuant to an investment management agreement dated November 21, 2014.
Sub–funds within EUROPEAN SICAV ALLIANCE during 2018
GALAXY - a multi-adviser fund trading a diversified global portfolio of exchange traded derivative instruments. GALAXY has five share classes: Category A shares are nominated in EUR, Category B shares are nominated in CHF, Category C shares are nominated in EUR, Category D shares are nominated in USD and Category E shares are nominated in SEK. Category A Shares has been trading since February 2003, Category B Shares since September 2005, Category C Shares since September 2005, Category D Shares since June 2009 and Category E shares since January 2016. The fund had the following managers as per December 31, 2018: Transtrend B.V., International Standard Asset Management and Quantitative Investment Management LLC. In 2018, GALAXY A (EUR) was down 25.93% (B CHF -26.39%, C EUR -25.37%, D USD -23.55% and E SEK -25.39%) with losses generated in all sectors except for energy, but most prominently in equities. Performance was negative across managers and sub strategies.
RPM EVOLVING CTA FUND - a multi-adviser fund trading a diversified global portfolio of exchange traded derivative instruments. RPM EVOLVING CTA FUND has five active share classes: Category E Shares are nominated in SEK, Category E-R Shares are nominated in SEK, Category F Shares are nominated in EUR, Category G Shares are nominated in CHF and Category A Shares are nominated in USD. Category E Shares has been trading since June 2013, Category E-R Shares since May 2015, Category F shares since June 2013, Category G Shares since December 2009 and Category A Shares since January 2019. The sub-fund had the following managers as per December 31, 2018: PGR Capital LLP, Revolution Capital Management LLC, KeyQuant SAS, ROW Asset Management LLC, ADG Capital Management LLP, Claughton Capital LLC, John Street Capital LLP, Degraves Capital Management Pty Ltd, Plus Plus Capital Management Inc, Caddo Capital Management, Prolific Capital Markets LLC, Coloma Capital Futures LLC and Certeza Asset Management LLC. In 2018, RPM Evolving E SEK was up 1.29% (E-R SEK +1.13%, F EUR +1.64%, G CHF 1.21%) with profits in bonds and energies outweighing losses in equities. Compared to established managers, evolving managers were extremely successful in handling the frequent shifts between bullish and bearish market sentiment, especially in equities and fixed income. With regards to sub strategy performance, trend following was mixed (and flat on aggregate) with hybrid managers outperforming “standard” approaches. Regarding diversifying strategies, on aggregate, all sub strategies ended the year in positive territory. Short-term trading had a particularly strong year, but fundamental and VIX trading managers also contributed positively to overall performance.
In early 2019, the global macroeconomic outlook has deteriorated notably as statistics are coming in below expectations. Furthermore, the US yield curve has reversed for the first time since 2007, which is a widely followed recession indicator although its actual recession-forecasting-value is currently debated. Thus, going into 2019Q2, from a business cycle perspective, we are at an inflection point as the cycle has already turned pointing towards a slowdown in economic growth. The question now is if the Fed’s spectacular U-turn in Jan-19 and a possible happy ending to the US- China trade talks can mitigate, delay, or even revoke the cyclical slowdown that is already underway. For now, it is still too early to tell if financial markets are about to enter “full slowdown mode” or not. However, indicators are slowly turning bullish with regards to CTAs. Thus, portfolio risks are back at long-term average levels.
Page 6 EUROPEAN SICAV ALLIANCE
ANNUAL DIRECTORS’ REPORT
For the year ending December 31, 2018 (continued)
Recovery of the frozen assets in EUROPEAN SICAV ALLIANCE - Insulate A sub-fund approved by the CSSF in June 2006 to isolate and liquidate the assets of EUROPEAN SICAV ALLIANCE held with Refco Capital Markets, Ltd. (“RCM”) which has been frozen due to the on-going bankruptcy proceedings in Refco. EUROPEAN SICAV ALLIANCE – Insulate is closed to subscription.
A liquidation report has been drawn by the Board of Directors on March 10, 2009 and an amount of 5,980,031.55 USD corresponding to 0.004590145 USD per share has been distributed to the shareholders in April 2009.
A second distribution for an amount equal to 1,823,917.14 USD corresponding to 0.0014 USD per share was available for distribution and a second report on such distribution has been drawn by the Board of Directors on August 10, 2010. The amount was paid out to the shareholders on August 25, 2010.
As additional amounts have been received from the Refco liquidator, a third distribution for an amount equal to 1,302,797.96 USD corresponding to 0.0010 USD per share has been done in June 2012.
The Board of Directors have decided not to proceed with the final liquidation of the Sub-Fund until the Refco bankruptcy proceedings in the US are closed or there is otherwise official confirmation that no further distribution will be made from the Refco bankruptcy estate.
A fourth distribution for an amount equal to 586,259.08 USD corresponding to 0.00045 USD per share has been done in January 2015. The number of shares remains at 1,302,797,957.00.
RISK MANAGEMENT The Company is exposed to a variety of financial risks as a result of its activities. These risks include market risk, counterparty risk and liquidity risk. For a description of other relevant risk factors, we refer to the current prospectus of the Company.
Structure The Manager is responsible for the overall risk management approach for each of the sub-funds of the Company and employs a risk management process to identify, measure, monitor, manage and report the different types of risk in relation to the Company. This process is based on the principle that proper risk management acts by anticipation instead of by response.
Although the manager considers risk management primarily to be a responsibility of each of its directors and employees, an independent risk management function has been established to support them by developing and implementing policies, methodologies and tools for the identification, measurement, management, monitoring and reporting of risks, thus ensuring a consistent risk management framework. The manager responsible for this independent risk management function reports periodically to the Board of Directors of the AIFM in respect of all major risk factors related to the Company.
Key financial risks The summary of key financial risks is as follows:
Market Risk - A Sub-Fund may be subject to market risk, which is the risk that the market values of the securities held in its portfolio may move up or down, sometimes rapidly and unpredictably. Security values fluctuate based on many factors including changes in interest rates, market conditions, investor confidence and announcements of economic, political or financial information. Equity securities and commodity-linked securities generally have greater price volatility than fixed income securities.
Page 7 EUROPEAN SICAV ALLIANCE
ANNUAL DIRECTORS’ REPORT
For the year ending December 31, 2018 (continued)
Liquidity Risk - Liquidity risk exists when particular investments are difficult to purchase or sell. A Sub-Fund’s investments in illiquid securities may reduce the returns of the Sub-Fund because it may be unable to sell the illiquid securities at an advantageous time or price. Sub-Funds with principal investment strategies that involve foreign securities, derivatives or securities with substantial market and/or credit risk tend to have the greatest exposure to liquidity risk.
Counterparty Risk - A Sub-Fund will be subject to the risk of the inability of any counterparty to perform with respect to transactions, whether due to insolvency, bankruptcy or other causes. It should be noted that transactions may not always be delivery versus payment and this may expose a Sub-Fund to greater counterparty risk.
For the above listed risks, no internal risk limits in relation to the Company were breached during the reporting year. Further information on risk management is available to the shareholders at the registered office of the manager.
COMMITMENT LEVERAGE FACTOR Pursuant to the AIFM directive and supplementing regulations, the actual amount of leverage applied by EUROPEAN SICAV ALLIANCE’s sub-funds (“the sub-funds”) shall be measured through the commitment leverage factor. As the manager does use netting technique in its trading, the commitment leverage factor of the sub-funds is used. The commitment leverage factor is calculated in accordance with the “commitment method” defined under the AIFM directive. In order to make sure that the leverage applied by the sub-funds according to this method is fairly presented, the effect of net cashflow resulting from subscriptions and redemptions on sub-funds’ net asset value is taken into account as soon as sub-funds’ trading positions have been adjusted accordingly.
BUSINESS CONDUCT MANUAL RPM Risk and Portfolio Management AB in its capacity as manager of the Company has a business conduct manual which meets the requirements as set out in the Swedish act on financial supervision and operates in accordance with this manual.
The Board of Directors April 16, 2019
The value of your investment can fluctuate. Past performance is not necessarily indicative of future results. Page 8 KPMG Luxembourg, Societe cooperative Tel.: +352 22 51 51 1 39, Avenue John F. Kennedy Fax: +352 22 51 71 L - 1855 Luxembourg E-mail: [email protected] Internet: www.kpmg.lu
To the Shareholders of European SICAV Alliance 5, Allee Scheffer L-2520, Luxembourg
REPORT OF THE REVISEUR D'ENTREPRISES AGREE
Report on the audit of the financial statements
Opinion We have audited the accompanying financial statements of European SICAV Alliance and each of its sub-funds ("the SICAV"), which comprise the statement of net assets, and open positions on financial futures contracts as at 31 December 2018 and the statement of operations and changes in net assets for the year then ended, and notes to the financial statements, including a summary of significant accounting policies. In our opinion, the accompanying financial statements give a true and fair view of the financial position of European SICAV Alliance and each of its sub-funds as at 31 December 2018, and of the results of their operations and changes in their net assets for the year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation and presentation of the financial statements.
Basis for opinion We conducted our audit in accordance with the EU Regulation N° 537/2014, the Law of 23 July 2016 on the audit profession ("Law of 23 July 2016") and with International Standards on Auditing ("ISAs") as adopted for Luxembourg by the Commission de Surveillance du Secteur Financier ("CSSF"). Our responsibilities under the EU Regulation N° 537/2014, the Law of 23 July 2016 and ISAs are further described in the « Responsibilities of "Reviseur d'Entreprises agree" for the audit of the financial statements » section of our report. We are also independent of the Fund in accordance with the International Ethics Standards Board for Accountants' Code of Ethics for Professional Accountants ("IESBA Code") as adopted for Luxembourg by the CSSF together with the ethical requirements that are relevant to our audit of the financial statements, and have fulfilled our other ethical responsibilities under those ethical requirements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.
Key audit matters Key audit matters are those matters that, in our professional judgment, were of most significance in our audit of the financial statements of the current period. These matters were addressed in the context of the audit of the financial statements as a whole, and in forming our opinion thereon, and we do not provide a separate opinion on these matters.
KPMG Luxembourg, Societe cooperative, a Luxembourg entity and a TVA. LU 27351518 member firm of the KPMG network of independent member firms R.C.S. Luxembourg B 149133 affiliated with KPMG International Cooperative ("KPMG International"). a Swiss entity. Key audit matter in 2018
Valuation of derivative instruments
a. Why the matter was considered to b. How the matter was addressed in our be one of the most significant in audit our audit of the financial statements of the current period
The SICAV has entered into various Our procedures over the valuation of the derivatives, in particular, in financial Company's financial futures contracts and futures contracts, and forward foreign forward foreign exchange contracts exchange contracts in line with its included, but were not limited to: investment strategy. The unrealized - Assessing the appropriateness of the net appreciation on financial futures accounting policies on valuation of contracts, and forward foreign derivatives adopted by Management; exchange contracts, represent 5.95 % of its net asset value. - Agreeing the quantity (open position) of The majority of derivatives are held for each derivative to the depositary trading. Some forward foreign confirmation; exchange contracts are entered into - Agreeing the market price of each for hedging purpose. financial future contract to independent Futures are exchange traded. pricing sources; Additionally, none of the derivatives - Obtaining the forward exchange rate require estimation or significant from independent sources and agreeing judgement to be applied in their them to the forward foreign exchange valuation by the Investment Manager rate used in the financial statements; and the Board of Directors. - Calculating the market We considered this a key audit matter value/commitment of each financial because the strategy of the SICAV is future contract. to invest mainly in derivatives. - Recalculating the unrealized result on all Refer to: open derivatives. Note 2a and 2b for the accounting policies on financial futures contracts and forward foreign exchange contracts; Note 8 for the disclosure of the open forward exchange contracts at 31 December 2018; Note 11 for the details on realized results and change in unrealized appreciation/depreciation on financial futures contracts and forward exchange contracts. ~------~------······-·
0 0
V,s Other information The Board of Directors of the Fund is responsible for the other information. The other information comprises the information stated in the annual report but does not include the financial statements and our report of "Reviseur d'Entreprises agree" thereon. Our opinion on the financial statements does not cover the other information and we do not express any form of assurance conclusion thereon. In connection with our audit of the financial statements, our responsibility is to read the other information and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit or otherwise appears to be materially misstated. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report this fact. We have nothing to report in this regard.
Responsibilities of Board of Directors of the SICA V for the financial staternents 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 and presentation 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. In preparing the financial statements, the Board of Directors of the SICAV is responsible for assessing the SICAV's and each of its sub-funds' ability to continue as a going concern, disclosing, as applicable, matters related to going concern and using the going concern basis of accounting unless the Board of Directors of the SICAV either intends to liquidate the SICAV or any of its sub-funds or to cease operations, or has no realistic alternative but to do so.
Responsibilities of the "Reviseur d'Entreprises agree" for the audit of' thE! statements The objectives of our audit are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue a report of "Reviseur d'Entreprises agree" that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with the EU Regulation N° 537/2014, the Law of 23 July 2016 and with ISAs as adopted for Luxembourg by the CSSF will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements. As part of an audit in accordance with the EU Regulation N° 537/2014, the Law of 23 July 2016 and with ISAs as adopted for Luxembourg by the CSSF, we exercise professional judgment and maintain professional skepticism throughout the audit. We also:
0 0 5 U) - Identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, design and perform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control. - Obtain an understanding of internal control relevant to the audit 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 SICAV's internal control. - Evaluate the appropriateness of accounting policies used and the reasonableness of accounting estimates and related disclosures made by the Board of Directors of the SICAV. - Conclude on the appropriateness of the Board of Directors of the SICAV's use of the going concern basis of accounting and, based on the audit evidence obtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on the SICAV or any of its sub-funds' ability to continue as a going concern. If we conclude that a material uncertainty exists, we are required to draw attention in our report of "Reviseur d'Entreprises agree" to the related disclosures in the financial statements or, if such disclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up to the date of our report of "Reviseur d'Entreprises agree". However, future events or conditions may cause the SICAV or any of its sub-funds to cease to continue as a going concern. - Evaluate the overall presentation, structure and content of the financial statements, including the disclosures, and whether the financial statements represent the underlying transactions and events in a manner that achieves fair presentation. We communicate with those charged with governance regarding, among other matters, the planned scope and timing of the audit and significant audit findings, including any significant deficiencies in internal control that we identify during our audit. We also provide those charged with governance with a statement that we have complied with relevant ethical requirements regarding independence, and to communicate with them all relationships and other matters that may reasonably be thought to bear on our independence, and where applicable, related safeguards. From the matters communicated with those charged with governance, we determine those matters that were of most significance in the audit of the financial statements of the current period and are therefore the key audit matters. We describe these matters in our report unless law or regulation precludes public disclosure about the matter. Report on other legal and regulatory requirements We have been appointed as "Reviseur d'Entreprises agree" by the General Meeting of the shareholders on 11 May 2018 and the duration of our uninterrupted engagement, including previous renewals and reappointments, is 27 years. We confirm that the prohibited non-audit services referred to in the EU Regulation No 537/2014, on the audit profession were not provided and that we remain independent of the SICAV in conducting the audit.
Luxembourg, 7 May 2019 KPMG Luxembourg Societe cooperative Cabinet de revision agree ·~1\ V. Seeparsad EUROPEAN SICAV ALLIANCE Combined
14Page EUROPEAN SICAV ALLIANCE Combined Financial Statements as at 31/12/18 Statement of Net Assets as at 31/12/18 Expressed in USD
Assets 42,334,316.03 Cash at banks and liquidities 25,562,665.92 Cash at brokers 14,249,401.61 Interest receivable 32,926.07 Unrealised net appreciation on forward foreign exchange contracts 2Note 562,677.27 Unrealised net appreciation on financial futures contracts 2Note 1,921,523.78 Other assets 5,121.38 Liabilities 617,917.69 Redemptions payable 22,779.93 Other liabilities 595,137.76 Net asset value 41,716,398.33
The accompanying notes form an integral part of these financial statements 15Page EUROPEAN SICAV ALLIANCE Combined Statement of Operations and Changes in Net Assets from 01/01/18 to 31/12/18
Expressed in USD
Income 826,576.89 Bank interest at sight 608,280.44 Bank interest on managed accounts 208,396.15 Other interest 9,900.29 Expenses 5,224,830.71 Advisory fees 5Note 1,028,835.80 Management fees 3Note 588,424.18 Depositary fees 4Note 16,570.86 Taxe d'abonnement 7Note 10,193.64 Administration fees 111,735.65 Distribution fees 5Note 97,187.10 Performance fees 5Note 933,387.42 Brokerage fees 5Note 1,636,418.56 Other expenses 6Note 802,077.51 Net loss from investments (4,398,253.82) Net realised profit/(loss) on: - options contracts 4,675.54 - forward foreign exchange contracts (3,232,061.87) - financial futures contracts 1,284,478.44 - foreign exchange (86,232.61) Net realised loss (6,427,394.32) Change in net unrealised appreciation/(depreciation) on: - options (8,002.48) - forward foreign exchange contracts (165,309.55) - financial futures contracts 1,087,360.67 Decrease in net assets as a result of operations (5,513,345.68) Subscription capitalisation shares 11,086,573.80 Redemption capitalisation shares (29,962,576.05) Decrease in net assets (24,389,347.93)
Exchange difference (926,088.60)
Net assets at the beginning of the year 67,031,834.86
Net assets at the end of the year 41,716,398.33
The accompanying notes form an integral part of these financial statements 16Page EUROPEAN SICAV ALLIANCE - GALAXY
17Page EUROPEAN SICAV ALLIANCE - GALAXY Financial Statements as at 31/12/18 Statement of Net Assets as at 31/12/18 Expressed in EUR
Assets 6,268,582.89 Cash at banks and liquidities 2,591,967.18 Cash at brokers 3,311,564.41 Unrealised net appreciation on forward foreign exchange contracts 2Note 1,646.06 Unrealised net appreciation on financial futures contracts 2Note 358,935.35 Other assets 4,469.89 Liabilities 97,053.53 Redemptions payable 19,882.11 Other liabilities 77,171.42 Net asset value 6,171,529.36
Changes in Number of Shares Outstanding from 01/01/18 to 31/12/18
Shares Shares outstanding as at Shares issued Shares redeemed outstanding as at 01/01/18 31/12/18
A - EUR - Capitalisation 36,396.9477 2,115.0000 6,186.0908 32,325.8569
B - CHF - Hedged - Capitalisation 1,932.2639 - 218.0000 1,714.2639
C - EUR - Capitalisation 61,397.2061 12,858.5896 59,211.7613 15,044.0344
D - USD - Hedged - Capitalisation 7,006.6336 - 4,179.8275 2,826.8061
E - SEK - Hedged - Capitalisation 4,216.6343 2,845.0458 5,306.6909 1,754.9892
The accompanying notes form an integral part of these financial statements 18Page EUROPEAN SICAV ALLIANCE - GALAXY
Open Positions on Financial Futures Contracts as at 31/12/18
Futures contracts Position Currency Settlement Market Commitment Unrealised Unrealised Description Long/(Short) Date Price (in EUR) (in P/L P/L Currency absolute value) Currency (in EUR)
ISE 30 FUTURES -TKD- (14) TRY Feb-19 118.03 27,246.65 1,587.50 261.77 ISE 30 FUTURES -TKD- (10) TRY Feb-19 118.03 19,461.89 1,695.00 279.50 CF INDUSTRIES HO D 1 USD Jan-19 43.56 3,801.88 167.21 145.94 TEVA PHARMA ADR DVD (2) USD Jan-19 15.44 2,695.18 716.12 625.02 MARKET VECT OIL (4) USD Jan-19 14.04 4,901.59 389.60 340.04 SCHWAB (2) USD Jan-1941.58 7,258.13 (51.56) (45.00) PULTEGROUP DIV (2) USD Jan-19 26.02 4,542.00 64.90 56.64 NUCOR CORP(ONEC) (2) USD Jan-19 51.87 9,054.33 529.22 461.90 CHESAPEAKE ENERGY (4) USD Jan-19 2.10 733.14 39.26 34.27 INTESA SANP (BCLEAR) (12) EUR Jan-19 1.94 23,272.80 1,196.40 1,196.40 SCHNEIDER EL(BCLEAR) (3) EUR Jan-19 59.71 17,912.79 291.93 291.93 USD/AUD (CME) (3) USD Mar-19 70.52 184,647.61 1,756.20 1,532.80 VALE ADR DVD (5) USD Jan-19 13.20 5,760.42 (126.60) (110.50) NRG ENERGY INC 5 USD Jan-19 39.64 17,298.71 (881.95) (769.76) NEWELL RUBBERMAID (1) USD Jan-19 18.61 1,624.26 175.38 153.07 PPL CORP 3 USD Jan-19 28.36 7,425.70 (673.62) (587.93) MATTEL INC DIV (2) USD Jan-19 10.00 1,745.58 224.10 195.59 CELGENE CORP (3) USD Jan-19 64.16 16,799.48 1,416.93 1,236.68 AMBEV SA DVD (26) USD Jan-19 3.92 8,895.48 5.39 4.70 TIM PARTICIPACOES (1) USD Jan-19 15.36 1,340.61 53.47 46.67 GRUPO TELEVISA (1) USD Jan-19 12.59 1,098.84 32.78 28.61 AES CORP DIV(ONEC) 2 USD Jan-19 14.48 2,527.60 (96.14) (83.91) NEXTERA ENERGY DIV 1 USD Jan-19 174.01 15,187.43 (231.68) (202.21) FTSE/JSE TOP40 (3) ZAR Mar-19 47,058.00 85,048.66 (44,023.33) (2,670.95) FTSE/JSE TOP40 (2) ZAR Mar-19 47,058.00 56,699.11 (26,470.00) (1,605.97) COMMERZBANK BCLR (5) EUR Jan-19 5.78 28,909.00 2,393.00 2,393.00 FORD MOTOR CO DIV (25) USD Jan-19 7.66 16,713.94 2,284.15 1,993.58 VERIZON COM (DIV) 2 USD Jan-19 56.28 9,824.13 62.26 54.34 STARBUCK DVD FUT 2 USD Jan-19 64.47 11,253.76 (185.02) (161.48) PAYPAL HLDG(DVD) 2 USD Jan-19 84.18 14,694.31 (436.30) (380.80) VODAFONE (BCLEAR) (6) GBP Jan-19 1.53 10,214.24 6.80 7.57 DEUTSCHE BANK (3) EUR Jan-19 6.97 20,896.50 2,045.40 2,045.40 BANBO BILBAO BCLR (5) EUR Jan-19 4.63 23,173.50 450.50 450.50 SAP (BCLEAR) (1) EUR Jan-19 86.91 8,691.18 (8.64) (8.64) 3M BANK ACCEPT-BAX- 4 CAD Jun-19 97.77 625,666.47 2,987.50 1,911.91 3M BANK ACCEPT-BAX- 6 CAD Sep-19 97.76 938,451.71 5,000.00 3,199.85 3M BANK ACCEPT-BAX- 4 CAD Dec-19 97.76 625,602.48 3,675.00 2,351.89 3M BANK ACCEPT-BAX- 2 CAD Mar-20 97.77 312,849.24 2,025.00 1,295.94 3M BANK ACCEPT-BAX- 5 CAD Mar-20 97.77 782,123.09 1,512.50 967.95 3M BANK ACCEPT-BAX- 1 CAD Jun-20 97.78 156,440.62 775.00 495.98
The accompanying notes form an integral part of these financial statements Page 19 EUROPEAN SICAV ALLIANCE - GALAXY
Open Positions on Financial Futures Contracts as at 31/12/18
Futures contracts Position Currency Settlement Market Commitment Unrealised Unrealised Description Long/(Short) Date Price (in EUR) (in P/L P/L Currency absolute value) Currency (in EUR)
3M BANK ACCEPT-BAX- 1 CAD Sep-20 97.79 156,448.62 1,312.50 839.96 SET50 FUTURES-TEF (8) THB Mar-19 1,043.00 45,120.42 31,980.00 863.08 SET50 FUTURES-TEF (3) THB Mar-19 1,043.00 16,920.16 6,800.00 183.52 FINMECCA(BCLEAR) (1) EUR Jan-19 7.68 767.65 48.11 48.11 IBERDROLA 7 EUR Jan-19 7.02 49,116.90 (719.60) (719.60) VOPAK (5) EUR Jan-19 39.67 19,836.45 475.29 475.29 DANONE SA (1) EUR Jan-19 61.50 6,149.90 177.09 177.09 ASML HOLD (BCLEAR) (2) EUR Jan-19 137.14 27,427.08 1,196.92 1,196.92 CENTRICA (BCLEAR) 2 GBP Jan-19 1.35 3,004.06 18.20 20.26 GLENCORE (BCLEAR) (7) GBP Jan-19 2.91 22,707.41 212.10 236.07 SIEMENS BCLEAR (3) EUR Jan-19 97.36 29,207.91 630.90 630.90 HSBC HOLD (BCLEAR) (2) GBP Jan-19 6.47 14,405.24 114.20 127.11 10YR MINI JGB-SGX 4 JPY Mar-19 152.63 486,204.85 272,000.00 2,166.15 BAYER AG (BCLEAR) (3) EUR Jan-19 60.55 18,164.22 989.22 989.22 DAIMLER (BCLEAR) (6) EUR Jan-19 45.90 27,540.24 857.34 857.34 DJ.STOXX600.BK(EUX) (13) EUR Mar-19 130.50 86,060.00 4,960.00 4,960.00 DJ.STOXX600.BK(EUX) (1) EUR Mar-19 130.50 6,620.00 325.00 325.00 BASF SE BCLR (2) EUR Jan-19 60.39 12,077.48 (81.14) (81.14) SOYBEAN OIL (CBT) (7) USD Mar-19 27.85 102,090.33 1,381.69 1,205.93 SOYBEAN OIL (CBT) (4) USD Mar-19 27.85 58,337.33 (312.00) (272.31) SOYBEAN OIL (CBT) (3) USD May-19 28.12 44,177.18 390.00 340.39 USD/GBP (CME) (22) USD Mar-19 127.90 1,534,911.63 (12,382.23) (10,807.10) USD/GBP (CME) (3) USD Mar-19 127.90 209,306.13 (629.68) (549.58) BRAZIL REAL (9) USD Feb-19 25.81 202,701.29 (1,324.08) (1,155.64) BTP03YR ITALY 2 EUR Mar-19 110.72 221,440.00 2,960.00 2,960.00 BTP03YR ITALY 3 EUR Mar-19 110.72 332,160.00 3,430.00 3,430.00 CORN FUTURE (CBT) (18) USD Mar-19 375.00 294,566.88 (1,042.72) (910.08) CORN FUTURE (CBT) (2) USD Mar-19 375.00 32,729.65 125.00 109.10 CORN FUTURE (CBT) (13) USD May-19 383.00 217,281.26 (957.12) (835.37) CORN FUTURE (CBT) (3) USD Jul-19 390.75 51,156.45 212.50 185.47 CORN FUTURE (CBT) (3) USD Dec-19 397.50 52,040.15 212.50 185.47 CORN FUTURE (CBT) (1) USD Dec-19 397.50 17,346.72 (75.00) (65.46) MILL WHEAT EURO EOP 2 EUR Mar-19 203.25 20,325.00 (275.00) (275.00) MILL WHEAT EURO EOP 2 EUR Mar-19 203.25 20,325.00 (175.00) (175.00) MILL WHEAT EURO EOP 3 EUR May-19 205.00 30,750.00 (412.50) (412.50) MILL WHEAT EURO EOP 1 EUR Sep-19 190.50 9,525.00 0.00 0.00 EURO STOX BANK IDX (12) EUR Mar-19 86.30 52,224.00 4,135.00 4,135.00 EURO STOX BANK IDX (2) EUR Mar-19 86.30 8,704.00 650.00 650.00 COCOA (CSC) (1) USD Mar-19 2,416.00 21,086.62 (2,610.00) (2,277.98) COCOA (CSC) (2) USD Mar-19 2,416.00 42,173.25 (5,700.00) (4,974.91) COCOA (CSC) (1) USD Jul-19 2,460.00 21,470.65 (2,720.00) (2,373.99)
The accompanying notes form an integral part of these financial statements Page 20 EUROPEAN SICAV ALLIANCE - GALAXY
Open Positions on Financial Futures Contracts as at 31/12/18
Futures contracts Position Currency Settlement Market Commitment Unrealised Unrealised Description Long/(Short) Date Price (in EUR) (in P/L P/L Currency absolute value) Currency (in EUR)
USD/CAD (CME) (10) USD Mar-19 73.51 641,588.48 13,079.55 11,415.71 USD/CAD (CME) (1) USD Mar-19 73.51 64,158.85 1,390.00 1,213.18 CAC40 10 EURO 1 EUR Jan-19 4,728.50 47,306.90 650.00 650.00 CAC40 10 EURO (1) EUR Jan-19 4,728.50 47,306.90 365.00 365.00 WTI CRUDE OIL -NYM 5 USD Feb-19 45.41 198,167.14 (6,306.22) (5,504.01) WTI CRUDE OIL -NYM (1) USD Jun-19 46.93 40,960.07 7,430.00 6,484.84 WTI CRUDE OIL -NYM (1) USD Dec-19 48.38 42,225.62 14,320.00 12,498.36 WTI CRUDE OIL -NYM (1) USD Dec-20 49.82 43,482.44 4,157.56 3,628.68 CAN 10YR BOND (MSE) 3 CAD Mar-19 136.77 262,586.01 2,930.00 1,875.11 BRENT CRUDE -IPE 3 USD Mar-19 53.80 140,868.43 (5,570.00) (4,861.44) BRENT CRUDE -IPE (1) USD Dec-20 56.28 49,120.66 2,730.00 2,382.72 COTTON N°2 (CTN) (1) USD Mar-19 72.20 31,507.75 690.00 602.23 COTTON N°2 (CTN) (2) USD May-19 73.50 64,150.12 7,695.00 6,716.12 COTTON N°2 (CTN) (1) USD Jul-19 74.63 32,568.19 3,665.00 3,198.78 DJ EURO STOXX 50 DVD (1) EUR Dec-20 116.00 11,600.00 570.00 570.00 DJ EURO STOXX 50 DVD (1) EUR Dec-22 102.50 10,250.00 (90.00) (90.00) COFFE ROBUSTA10T- LIF (3) USD Mar-19 1,525.00 39,930.18 870.00 759.33 COFFE ROBUSTA10T- LIF (3) USD Mar-19 1,525.00 39,930.18 3,310.00 2,888.94 COFFE ROBUSTA10T- LIF (3) USD May-19 1,544.00 40,427.67 570.00 497.49 COFFE ROBUSTA10T- LIF (1) USD May-19 1,544.00 13,475.89 (10.00) (8.73) COFFE ROBUSTA10T- LIF (1) USD Jul-19 1,559.00 13,606.81 (260.00) (226.93) DAX MINI FUTURE (2) EUR Mar-19 10,561.50 105,615.00 1,545.00 1,545.00 DJIA MINI FUTURE-CBT 1 USD Mar-19 23,268.00 101,799.96 1,244.47 1,086.16 TecDAX INDEX (EUREX) (2) EUR Mar-19 2,444.50 48,890.00 50.00 50.00 EURO SCHATZ FUTURE 15 EUR Mar-19 111.94 1,679,100.00 685.00 685.00 EURO SCHATZ FUTURE (12) EUR Mar-19 111.94 1,343,280.00 (35.00) (35.00) DTOP INDEX (6) ZAR Mar-19 10,312.00 37,200.01 (21,036.62) (1,276.32) DOLLAR INDEX (FNX) 6 USD Mar-19 95.74 501,339.73 (5,553.00) (4,846.61) EUR/USD (CME) (20) USD Mar-19 1.15 2,514,182.85 (2,050.00) (1,789.22) EUR/USD (CME) (8) USD Mar-19 1.15 1,005,673.14 (1,797.24) (1,568.61) EURO/USD 90DAY(CME) (3) USD Jun-19 97.32 637,017.24 (2,662.50) (2,323.81) EURO/USD 90DAY(CME) (3) USD Sep-19 97.34 637,180.89 (3,337.50) (2,912.94) EURO/USD 90DAY(CME) (1) USD Dec-19 97.35 212,415.45 (1,512.50) (1,320.10) EURO/USD 90DAY(CME) (1) USD Dec-19 97.35 212,415.45 (1,250.00) (1,090.99) EURO/USD 90DAY(CME) (1) USD Mar-20 97.45 212,622.74 (1,587.50) (1,385.56) EURO/USD 90DAY(CME) (1) USD Sep-20 97.55 212,840.93 (1,437.50) (1,254.64) EURO/USD 90DAY(CME) (1) USD Mar-21 97.56 212,873.66 (1,437.50) (1,254.64) EURO/USD 90DAY(CME) (1) USD Jun-22 97.47 212,666.38 (1,612.50) (1,407.38)
The accompanying notes form an integral part of these financial statements Page 21 EUROPEAN SICAV ALLIANCE - GALAXY
Open Positions on Financial Futures Contracts as at 31/12/18
Futures contracts Position Currency Settlement Market Commitment Unrealised Unrealised Description Long/(Short) Date Price (in EUR) (in P/L P/L Currency absolute value) Currency (in EUR)
3MO EURO EURIBOR (14) EUR Mar-19 100.30 3,510,325.00 25.00 25.00 3MO EURO EURIBOR 4 EUR Sep-19 100.28 1,002,750.00 750.00 750.00 3MO EURO EURIBOR 4 EUR Dec-19 100.25 1,002,500.00 600.00 600.00 3MO EURO EURIBOR 5 EUR Dec-19 100.25 1,253,125.00 1,312.50 1,312.50 3MO EURO EURIBOR 7 EUR Mar-20 100.22 1,753,850.00 2,862.50 2,862.50 3MO EURO EURIBOR 13 EUR Jun-20 100.17 3,255,525.00 5,950.00 5,950.00 3MO EURO EURIBOR 15 EUR Sep-20 100.12 3,754,312.50 7,437.50 7,437.50 3MO EURO EURIBOR 15 EUR Dec-20 100.06 3,752,062.50 9,000.00 9,000.00 3MO EURO EURIBOR 16 EUR Mar-21 99.99 3,999,400.00 10,200.00 10,200.00 3MO EURO EURIBOR 13 EUR Jun-21 99.91 3,247,075.00 8,687.50 8,687.50 3MO EURO EURIBOR 9 EUR Sep-21 99.84 2,246,287.50 6,787.50 6,787.50 3MO EURO EURIBOR 6 EUR Dec-21 99.75 1,496,250.00 4,750.00 4,750.00 3MO EURO EURIBOR 3 EUR Mar-22 99.67 747,487.50 1,975.00 1,975.00 3MO EURO EURIBOR 2 EUR Jun-22 99.58 497,900.00 1,462.50 1,462.50 EURO SUISSE 3MOIS 1 CHF Mar-19 100.72 223,671.78 0.00 0.00 EURO SUISSE 3MOIS 1 CHF Sep-19 100.71 223,649.58 200.00 177.66 S&P 500 EMINI INDEX 9 USD Mar-19 2,505.20 984,579.97 (2,210.40) (1,929.22) CATTLE FEEDER (CME) 1 USD Apr-19 147.25 64,259.22 815.00 711.32 FED FUND 30DAY 1 USD Jul-19 97.58 354,872.38 333.36 290.95 US 5 YEARS NOTE-CBT 3 USD Mar-19 114.22 300,294.57 1,044.15 911.32 US 5 YEARS NOTE-CBT 1 USD Mar-19 114.22 100,098.19 406.25 354.57 US 5 YEARS NOTE-CBT (1) USD Mar-19 114.22 100,098.19 (474.22) (413.89) LONG GILT FUTURE-LIF 4 GBP Mar-19 123.17 548,365.85 160.00 178.08 LONG GILT FUTURE-LIF 3 GBP Mar-19 123.17 411,274.39 1,820.00 2,025.71 LONG GILT FUTURE-LIF (4) GBP Mar-19 123.17 548,365.85 80.00 89.04 GOLD 100 OZ (CMX) 6 USD Feb-19 1,281.30 670,984.07 887.47 774.58 GOLD 100 OZ (CMX) (1) USD Feb-19 1,281.30 111,830.68 (3,820.00) (3,334.06) DAX INDEX GERMANY 3 EUR Mar-19 10,561.50 792,112.50 (8,700.00) (8,700.00) H-SHARES IDX (HKG) (1) HKD Jan-19 10,102.00 56,416.43 (1,450.00) (161.59) H-SHARES IDX (HKG) (1) HKD Jan-19 10,102.00 56,416.43 (1,950.00) (217.31) COPPER -CMX (10) USD Mar-19 263.10 574,078.11 25,932.60 22,633.73 COPPER -CMX (2) USD Mar-19 263.10 114,815.62 3,359.18 2,931.86 COPPER -CMX (1) USD Mar-19 263.10 57,407.81 2,187.50 1,909.23 HANG SENG INDEX (2) HKD Jan-19 25,854.00 288,031.26 (16,100.00) (1,794.23) HEATING OIL (NYM) (1) USD Feb-19 167.94 61,562.12 1,965.60 1,715.56 EUR/HUF (FNX) 1 HUF Mar-19 321.30 100,035.07 (185,500.00) (577.55) MINI HSI IDX (HKG) (2) HKD Jan-19 25,854.00 57,606.25 (6,050.00) (674.23) SGX CNX NIFTY INDEX 2 USD Jan-19 10,922.50 37,922.93 139.50 121.75 RAPESEED EURO - MATI (1) EUR May-19 365.25 18,262.50 (12.50) (12.50) RAPESEED EURO - MATI (1) EUR May-19 365.25 18,262.50 337.50 337.50 EURO BTP FUTURE - EUX 1 EUR Mar-19 127.82 127,820.00 4,510.00 4,510.00 The accompanying notes form an integral part of these financial statements Page 22 EUROPEAN SICAV ALLIANCE - GALAXY
Open Positions on Financial Futures Contracts as at 31/12/18
Futures contracts Position Currency Settlement Market Commitment Unrealised Unrealised Description Long/(Short) Date Price (in EUR) (in P/L P/L Currency absolute value) Currency (in EUR)
EURO BTP FUTURE - EUX 1 EUR Mar-19 127.82 127,820.00 4,840.00 4,840.00 EURO BTP FUTURE - EUX 1 EUR Mar-19 127.82 127,820.00 2,510.00 2,510.00 KL COMPOSITE (MDE) (3) MYR Jan-19 1,691.50 53,532.08 (6,700.00) (1,414.37) 90-DAY BANK BILL (1) AUD Jun-19 98.09 612,042.26 (24.43) (15.02) 90-DAY BANK BILL 7 AUD Sep-19 98.12 4,284,611.24 1,831.71 1,126.36 90-DAY BANK BILL 2 AUD Mar-20 98.13 1,224,204.68 903.53 555.60 90-DAY BANK BILL 1 AUD Jun-20 98.13 612,102.34 293.09 180.23 90-DAY BANK BILL 1 AUD Sep-20 98.11 612,072.30 366.30 225.25 MEX BOLSA IDX FUT (2) MXN Mar-19 41,778.00 37,030.15 780.00 34.68 ILS/USD -ICE (2) USD Mar-19 0.27 468,758.46 (805.00) (702.60) PLATINUM (TCM) (3) JPY Oct-19 2,844.00 33,973.50 42,000.00 334.48 JPN 10 YEARS BOND 2 JPY Mar-19 152.48 2,428,635.13 1,122,500.00 8,939.35 GOLD (TCM) 1 JPY Oct-19 4,537.00 36,131.68 54,000.00 430.04 GOLD (TCM) 1 JPY Oct-19 4,537.00 36,131.68 9,000.00 71.67 RUBBER (TCM) (1) JPY May-19 170.20 6,777.18 (34,000.00) (270.77) DJ.STOXX600 BASI (2) EUR Mar-19 387.00 39,573.00 140.00 140.00 JPN YEN CURR FUT 4 USD Mar-19 91.71 400,218.20 1,576.17 1,375.67 JPN YEN CURR FUT (3) USD Mar-19 91.71 300,163.65 (7,912.50) (6,905.96) KOREA 10YR BOND 5 KRW Mar-19 127.41 499,262.66 3,280,000.00 2,570.57 COFFEE 'C' (CSC) (2) USD Mar-19 101.85 66,670.30 1,725.00 1,505.56 COFFEE 'C' (CSC) (3) USD Mar-19 101.85 100,005.45 14,025.00 12,240.89 COFFEE 'C' (CSC) (3) USD May-19 104.95 103,049.31 4,012.50 3,502.07 COFFEE 'C' (CSC) (1) USD May-19 104.95 34,349.77 393.75 343.66 COFFEE 'C' (CSC) (2) USD Jul-19 107.80 70,565.13 1,556.25 1,358.28 COFFEE 'C' (CSC) (2) USD Sep-19 110.60 72,397.99 3,675.00 3,207.51 KOREA 3YR BOND 33 KRW Mar-19 109.21 2,824,437.12 (840,000.00) (658.32) KOREA 3YR BOND 18 KRW Mar-19 109.21 1,540,602.06 (730,000.00) (572.11) KOSPI 200 INDEX(KSE) (4) KRW Mar-19 262.00 205,332.10 0.00 0.00 USD/NOK (FNX) 3 NOK Mar-19 8.62 261,180.01 51,825.00 5,231.99 PALM OIL (MDV) (2) MYR Feb-19 2,074.00 21,891.01 (3,300.00) (696.63) PALM OIL (MDV) (2) MYR Mar-19 2,121.00 22,387.10 (2,100.00) (443.31) PALM OIL (MDV) (2) MYR Mar-19 2,121.00 22,387.10 9,850.00 2,079.33 PALM OIL (MDV) (1) MYR Apr-19 2,162.00 11,409.93 1,450.00 306.09 PALM OIL (MDV) (1) MYR Apr-19 2,162.00 11,409.93 (200.00) (42.22) PALM OIL (MDV) (1) MYR May-19 2,186.00 11,536.59 150.00 31.66 PALM OIL (MDV) (3) MYR May-19 2,186.00 34,609.76 8,400.00 1,773.24 PALM OIL (MDV) (1) MYR Jul-19 2,201.00 11,615.75 (350.00) (73.88) EUR/AUD-FNX/ICE (1) AUD Mar-19 1.63 125,590.69 (5,112.50) (3,143.80) WIG20 INDEX FUT (6) PLN Mar-19 2,278.00 63,712.97 3,680.00 858.23 KOSDAQ 150 INDEX (1) KRW Mar-19 1,159.00 9,083.20 (222,000.00) (173.98)
The accompanying notes form an integral part of these financial statements Page 23 EUROPEAN SICAV ALLIANCE - GALAXY
Open Positions on Financial Futures Contracts as at 31/12/18
Futures contracts Position Currency Settlement Market Commitment Unrealised Unrealised Description Long/(Short) Date Price (in EUR) (in P/L P/L Currency absolute value) Currency (in EUR)
USD/KRW (KFE) 1 KRW Jan-19 1,116.00 8,746.21 (63,000.00) (49.37) USD/KRW (KFE) (42) KRW Jan-19 1,116.00 367,340.70 3,018,000.00 2,365.24 WHEAT (KCB) (7) USD Mar-19 488.75 149,301.77 12,162.50 10,615.32 WHEAT (KCB) (4) USD Mar-19 488.75 85,315.30 4,800.00 4,189.40 WHEAT (KCB) (6) USD May-19 500.75 131,114.99 9,512.50 8,302.42 WHEAT (KCB) (2) USD Jul-19 512.50 44,730.53 762.50 665.50 USD/SEK (FNX) 2 SEK Mar-19 8.83 173,974.85 (29,890.00) (2,945.09) 90DAY GBP LIBOR INDX 8 GBP Dec-19 98.89 1,100,671.81 (62.50) (69.56) 90DAY GBP LIBOR INDX (1) GBP Dec-19 98.89 137,583.98 (18.75) (20.87) 90DAY GBP LIBOR INDX (3) GBP Mar-20 98.87 412,647.58 (18.75) (20.87) 90DAY GBP LIBOR INDX (9) GBP Jun-20 98.83 1,237,504.50 (275.00) (306.08) 90DAY GBP LIBOR INDX (15) GBP Sep-20 98.80 2,061,777.07 (462.50) (514.77) 90DAY GBP LIBOR INDX (12) GBP Dec-20 98.77 1,648,920.80 (443.75) (493.91) 90DAY GBP LIBOR INDX (17) GBP Mar-21 98.74 2,335,261.57 (737.50) (820.86) 90DAY GBP LIBOR INDX (11) GBP Jun-21 98.71 1,510,669.00 (625.00) (695.64) 90DAY GBP LIBOR INDX (5) GBP Sep-21 98.69 686,493.82 (375.00) (417.38) 90DAY GBP LIBOR INDX (2) GBP Dec-21 98.66 274,514.05 (143.75) (160.00) ALUMINIUM HG (LME) 2 USD Jan-19 1,822.75 79,543.97 (10,177.75) (8,883.05) ALUMINIUM HG (LME) (2) USD Jan-19 1,822.75 79,543.97 11,968.00 10,445.56 ALUMINIUM HG (LME) 2 USD Feb-19 1,836.25 80,133.10 (7,687.50) (6,709.58) ALUMINIUM HG (LME) (2) USD Feb-19 1,836.25 80,133.10 14,771.25 12,892.21 ALUMINIUM HG (LME) 2 USD Mar-19 1,848.00 80,645.87 (1,000.00) (872.79) ALUMINIUM HG (LME) (4) USD Mar-19 1,848.00 161,291.73 12,935.50 11,289.98 ALUMINIUM HG (LME) (4) USD Mar-19 1,848.00 161,291.73 13,215.00 11,533.93 ALUMINIUM HG (LME) (5) USD Apr-19 1,845.50 201,341.92 16,014.50 13,977.31 ALUMINIUM HG (LME) (2) USD May-19 1,854.50 80,929.52 1,016.25 886.97 ALUMINIUM HG (LME) (1) USD Jun-19 1,866.00 40,715.69 2,724.50 2,377.92 LIVE CATTLE (CME) 5 USD Feb-19 123.88 216,233.91 6,138.99 5,358.05 LIVE CATTLE (CME) 5 USD Apr-19 126.25 220,379.66 6,471.10 5,647.92 LIVE CATTLE (CME) 3 USD Apr-19 126.25 132,227.80 2,160.00 1,885.23 LIVE CATTLE (CME) 3 USD Jun-19 117.08 122,618.37 2,290.00 1,998.69 LIVE CATTLE (CME) 2 USD Aug-19 114.18 79,720.71 580.00 506.22 LEAN HOGS (CME) (1) USD Feb-19 60.98 21,287.37 40.00 34.91 LEAN HOGS (CME) (1) USD Apr-19 67.08 23,416.98 40.00 34.91 LEAN HOGS (CME) 1 USD Jun-19 81.45 28,435.52 (1,180.00) (1,029.89) LEAN HOGS (CME) 1 USD Jul-19 82.48 28,793.37 (20.00) (17.46) LEAD (LME) 2 USD Jan-19 2,016.00 87,977.31 881.25 769.15 LEAD (LME) (2) USD Jan-19 2,016.00 87,977.31 2,031.25 1,772.86 LEAD (LME) 2 USD Feb-19 2,022.00 88,239.14 2,350.00 2,051.06 LEAD (LME) (2) USD Feb-19 2,022.00 88,239.14 808.75 705.87 LEAD (LME) (2) USD Mar-19 2,022.00 88,239.14 (1,075.00) (938.25)
The accompanying notes form an integral part of these financial statements Page 24 EUROPEAN SICAV ALLIANCE - GALAXY
Open Positions on Financial Futures Contracts as at 31/12/18
Futures contracts Position Currency Settlement Market Commitment Unrealised Unrealised Description Long/(Short) Date Price (in EUR) (in P/L P/L Currency absolute value) Currency (in EUR)
LEAD (LME) (1) USD Mar-19 2,022.00 44,119.57 (2,200.00) (1,920.14) LEAD (LME) (2) USD Apr-19 2,022.50 88,260.96 (2,350.00) (2,051.06) LEAD (LME) (1) USD May-19 2,023.00 44,141.39 (678.25) (591.97) NICKEL (LME) (1) USD Mar-19 10,681.50 55,936.29 1,326.42 1,157.69 NICKEL (LME) (2) USD Mar-19 10,681.50 111,872.57 12,708.48 11,091.84 NICKEL (LME) (2) USD Apr-19 10,707.00 112,139.65 4,958.52 4,327.75 TIN (LME) 1 USD Jan-19 19,530.00 85,228.02 3,245.00 2,832.21 TIN (LME) (1) USD Jan-19 19,530.00 85,228.02 (1,995.00) (1,741.22) ZINC (LME) (1) USD Mar-19 2,470.50 53,905.74 3,177.50 2,773.29 ZINC (LME) (1) USD Mar-19 2,470.50 53,905.74 795.25 694.09 ZINC (LME) (1) USD Apr-19 2,464.00 53,763.91 233.75 204.01 MINI MSCI EMG MKT (4) USD Mar-19 966.80 168,564.96 2,835.00 2,474.36 MINI H-SHR IDX (2) HKD Jan-19 10,102.00 22,566.57 1,350.00 150.45 IPE CARB EMIS. (ICE) 4 EUR Dec-19 25.01 100,040.00 16,980.00 16,980.00 WHEAT RED (MGE) (4) USD Mar-19 549.00 95,832.42 8,500.00 7,418.72 WHEAT RED (MGE) (6) USD May-19 554.25 145,123.28 8,950.00 7,811.48 NATURAL GAS (NYM) 1 USD Feb-19 2.94 25,660.05 (8,097.27) (7,067.22) NATURAL GAS (NYM) 3 USD Apr-19 2.68 70,250.93 (2,790.00) (2,435.09) NATURAL GAS (NYM) 1 USD May-19 2.67 23,320.97 (1,410.00) (1,230.63) NATURAL GAS (NYM) 3 USD May-19 2.67 69,962.91 (2,670.00) (2,330.35) NATURAL GAS (NYM) 1 USD Oct-19 2.75 24,019.20 (680.00) (593.50) NATURAL GAS (NYM) 1 USD Jan-20 3.06 26,733.58 (1,690.00) (1,475.02) NIKKEI 225 (OSE) 2 JPY Mar-19 20,000.00 31,855.13 (37,000.00) (294.66) NASDAQ 100 E-MINI 2 USD Mar-19 6,333.25 220,989.36 2,076.94 1,812.73 EURO-OAT-FUTURES- EUX 5 EUR Mar-19 150.80 754,000.00 1,070.00 1,070.00 EURO-OAT-FUTURES- EUX 2 EUR Mar-19 150.80 301,600.00 (460.00) (460.00) EURO-OAT-FUTURES- EUX 3 EUR Mar-19 150.80 452,400.00 490.00 490.00 EURO BOBL FUTURE 9 EUR Mar-19 132.52 1,192,680.00 3,060.00 3,060.00 EURO BOBL FUTURE 7 EUR Mar-19 132.52 927,640.00 1,210.00 1,210.00 EURO BOBL FUTURE 2 EUR Mar-19 132.52 265,040.00 620.00 620.00 PALLADIUM (NYM) 1 USD Mar-19 1,197.20 104,490.51 4,210.00 3,674.45 USD/MXN (CME) 20 USD Mar-19 5.03 438,664.63 4,685.92 4,089.83 PLATINUM (NYM) (8) USD Apr-19 800.60 279,502.51 487.84 425.78 PLATINUM (NYM) (4) USD Apr-19 800.60 139,751.25 (685.00) (597.86) PLN/EUR-ICE 4 EUR Mar-19 0.23 464,080.00 130.00 130.00 PLN/USD -ICE (3) USD Mar-19 0.27 350,024.00 (2,900.00) (2,531.09) S&P/TSE CAN 60 INDEX (1) CAD Mar-19 857.30 109,729.22 (120.00) (76.80) COCOA (LIF) (3) GBP Mar-19 1,766.00 58,968.14 (4,070.00) (4,530.02) COCOA (LIF) (1) GBP Dec-19 1,779.00 19,800.74 (1,200.00) (1,335.63) COCOA (LIF) (1) GBP Mar-20 1,774.00 19,745.09 (1,190.00) (1,324.50) The accompanying notes form an integral part of these financial statements Page 25 EUROPEAN SICAV ALLIANCE - GALAXY
Open Positions on Financial Futures Contracts as at 31/12/18
Futures contracts Position Currency Settlement Market Commitment Unrealised Unrealised Description Long/(Short) Date Price (in EUR) (in P/L P/L Currency absolute value) Currency (in EUR)
OMXS30 INDEX (OML) (4) SEK Jan-19 1,408.25 55,521.55 24,047.00 2,369.37 DJ.STOXX 600 RETL (4) EUR Mar-19 268.30 54,204.00 1,140.00 1,140.00 GAS OIL (IPE) (1) USD Mar-19 511.75 44,665.07 1,700.00 1,483.74 WHITE SUGAR (LIF) (2) USD May-19 336.30 29,351.95 1,250.00 1,090.99 WHITE SUGAR (LIF) (2) USD Aug-19 341.70 29,823.26 1,095.00 955.71 MSCI.SING INDEX (4) SGD Jan-19 341.70 87,834.89 165.00 105.66 MSCI.SING INDEX (2) SGD Jan-19 341.70 43,917.45 140.00 89.65 USD/ZAR (CME) 13 USD Mar-19 6.89 390,737.51 2,925.00 2,552.91 EUR/SWISS FRANC(CME) (5) CHF Mar-19 1.12 624,468.88 2,331.25 2,070.83 EUR/GBP (CME) 2 GBP Mar-19 0.90 250,681.37 109.59 121.98 CANOLA - WCE (3) CAD Mar-19 484.20 18,592.40 498.00 318.70 CANOLA - WCE (5) CAD Mar-19 484.20 30,987.34 744.00 476.14 CANOLA - WCE (2) CAD May-19 492.70 12,612.52 72.00 46.08 CANOLA - WCE (1) CAD May-19 492.70 6,306.26 4.00 2.56 E-MINI RUSSELL 2000 2 USD Mar-19 1,349.00 117,700.98 (895.99) (782.01) USD-RUB (CME) 6 USD Mar-19 1.43 186,755.40 (8,737.50) (7,626.01) USD-RUB (CME) (1) USD Mar-19 1.43 31,125.90 (137.50) (120.01) EURO BUND FUTURE 36 EUR Mar-19 163.54 5,887,440.00 39,360.00 39,360.00 EURO BUND FUTURE 11 EUR Mar-19 163.54 1,798,940.00 5,520.00 5,520.00 EURO BUND FUTURE 1 EUR Mar-19 163.54 163,540.00 1,340.00 1,340.00 RDX USD INDEX (1) USD Mar-19 1,312.00 11,543.53 60.00 52.37 EUR/JPY (CME) (3) JPY Mar-19 125.64 375,213.61 1,240,625.00 9,880.07 SOYBEAN (CBT) 1 USD Mar-19 895.00 39,057.39 (1,112.50) (970.98) SOYBEAN (CBT) (1) USD May-19 907.75 39,613.79 (175.00) (152.74) SOYBEAN (CBT) (1) USD Nov-19 935.25 40,813.88 62.50 54.55 SUGAR #11 (6) USD Mar-19 12.03 70,557.80 3,718.40 3,245.39 SUGAR #11 (7) USD Mar-19 12.03 82,317.43 3,136.00 2,737.07 SUGAR #11 (4) USD May-19 12.10 47,312.24 2,710.40 2,365.61 SUGAR #11 (6) USD Jul-19 12.24 71,789.48 3,673.60 3,206.28 SUGAR #11 (5) USD Oct-19 12.53 61,241.98 3,214.40 2,805.50 IRION ORE FUTURES 6 USD Feb-19 69.47 36,379.66 1,346.00 1,174.78 IRION ORE FUTURES 1 USD Mar-19 68.38 5,968.14 168.00 146.63 USD/CHF (CME) (5) USD Mar-19 102.44 558,804.28 (2,923.99) (2,552.03) SILVER (CMX) 1 USD Mar-19 15.54 67,815.84 253.64 221.37 SILVER (CMX) (5) USD Mar-19 15.54 339,079.21 (27,797.00) (24,260.96) SOYBEAN MEAL (CBT) (3) USD Mar-19 309.90 81,143.36 520.00 453.85 SOYBEAN MEAL (CBT) (2) USD Mar-19 309.90 54,095.57 490.00 427.67 SOYBEAN MEAL (CBT) (1) USD May-19 313.30 27,344.53 20.00 17.46 FTSE MIB INDEX 1 EUR Mar-19 18,206.00 91,030.00 (595.00) (595.00) FTSE MIB INDEX (1) EUR Mar-19 18,206.00 91,030.00 2,220.00 2,220.00 MINI FTSE (MIL) (4) EUR Mar-19 18,206.00 73,296.12 2,401.00 2,401.00 The accompanying notes form an integral part of these financial statements Page 26 EUROPEAN SICAV ALLIANCE - GALAXY
Open Positions on Financial Futures Contracts as at 31/12/18
Futures contracts Position Currency Settlement Market Commitment Unrealised Unrealised Description Long/(Short) Date Price (in EUR) (in P/L P/L Currency absolute value) Currency (in EUR)
SPDR SP HOME CBOE (1) USD Jan-19 32.54 2,840.06 103.78 90.58 TRY/USD - ICE 4 USD Mar-19 0.18 317,049.97 7,000.00 6,109.54 SDPR S&P METAL (CBT) (1) USD Jan-19 26.21 2,287.58 143.63 125.36 US 2 YEARS NOTE- CBT (14) USD Mar-19 106.05 2,594,261.40 (18,041.81) (15,746.73) MSCI TAIWAN INDEX (2) USD Jan-19 359.40 62,736.20 (775.00) (676.41) US 10 YEARS NOTE 1 USD Mar-19 122.01 106,494.11 1,562.50 1,363.74 US 10 YEARS NOTE (26) USD Mar-19 122.01 2,768,846.83 (54,464.74) (47,536.32) US 10 YEARS NOTE (2) USD Mar-19 122.01 212,988.22 (1,392.56) (1,215.41) EURO BUXL FUTURE 3 EUR Mar-19 180.62 541,860.00 12,140.00 12,140.00 EURO BUXL FUTURE 1 EUR Mar-19 180.62 180,620.00 (240.00) (240.00) AMERI.MOVIL ADR(AMXD (4) USD Jan-19 14.27 4,981.89 (68.96) (60.19) GERDAU SA (CBOT) (5) USD Jan-19 3.76 1,640.85 28.45 24.83 DJ EURO STOXX 600 (2) EUR Mar-19 389.90 33,765.00 100.00 100.00 US TREASURY BOND 6 USD Mar-19 146.00 764,564.70 21,928.00 19,138.55 US TREASURY BOND 1 USD Mar-19 146.00 127,427.45 134.13 117.07 US TREASURY BOND 1 USD Mar-19 146.00 127,427.45 1,312.50 1,145.54 VIX FUTURE (CBF) 1 USD May-19 20.75 22,186.34 0.00 0.00 USD/CZK (FNX) 4 CZK Mar-19 22.43 348,758.75 (73,700.00) (2,864.28) DJ EURO STOXX 50 17 EUR Mar-19 2,974.00 505,580.00 (6,630.00) (6,630.00) DJ EURO STOXX 50 (1) EUR Mar-19 2,974.00 29,740.00 950.00 950.00 DJ EURO STOXX 50 (1) EUR Mar-19 2,974.00 29,740.00 (360.00) (360.00) DJ EURO INSUR (EUX) (2) EUR Mar-19 245.00 24,500.00 240.00 240.00 ITAU UNIBCO(CBOT) 9 USD Jan-19 9.15 7,187.43 130.95 114.29 USD/HUF (FNX) 2 HUF Mar-19 278.85 173,636.55 (693,000.00) (2,157.65) WHEAT FUTURE - CBT (7) USD Mar-19 503.25 153,731.18 7,162.50 6,251.36 WHEAT FUTURE - CBT (3) USD Mar-19 503.25 65,884.79 1,437.50 1,254.64 WHEAT FUTURE - CBT (7) USD May-19 510.50 155,945.89 3,083.11 2,690.91 WHEAT FUTURE - CBT (1) USD Jul-19 518.50 22,627.10 362.50 316.39 SCHLUMBERGER (CBT) (1) USD Jan-19 36.12 3,152.52 298.05 260.14 US ULTRA BD CBT 30YR (1) USD Mar-19 160.21 140,219.29 (7,601.56) (6,634.57) US ULTRA BD CBT 30YR (1) USD Mar-19 160.21 140,219.29 151.99 132.65 GASOLINE RBOB (NYM) (1) USD Feb-19 130.21 47,731.36 7,341.60 6,407.68 GASOLINE RBOB (NYM) (1) USD Jun-19 150.76 55,264.41 12,955.89 11,307.78 BANCO BRADESCO (CBT) 4 USD Jan-19 9.90 3,456.25 183.52160.17 INR/USD-SGX 18 USD Jan-19 143.10 449,626.88 5,424.00 4,734.02 AUSTR 10YR BOND 14 AUD Mar-19 97.68 1,142,191.65 7,391.36 4,545.13 AUSTR 10YR BOND 4 AUD Mar-19 97.68 326,340.47 4,984.18 3,064.90 SOUTHWEST ENE (CBT) (1) USD Jan-19 3.41 297.62 28.57 24.94 SPI 200 INDEX (SFE) (1) AUD Mar-19 5,561.00 86,802.77 950.00 584.18 SEC SPDR ENE (CBT) (1) USD Jan-19 57.41 5,010.69 462.91 404.02
The accompanying notes form an integral part of these financial statements Page 27 EUROPEAN SICAV ALLIANCE - GALAXY
Open Positions on Financial Futures Contracts as at 31/12/18
Futures contracts Position Currency Settlement Market Commitment Unrealised Unrealised Description Long/(Short) Date Price (in EUR) (in P/L P/L Currency absolute value) Currency (in EUR)
USD/CNH - SGX (1) CNH Mar-19 6.88 87,407.41 3,000.00 381.20 FTSE/XINHUA CHIN- SGX (32) USD Jan-19 10,412.50 290,813.88 1,710.00 1,492.47 FTSE/XINHUA CHIN- SGX (5) USD Jan-19 10,412.50 45,439.67 736.25 642.59 ISHS DJ HO CO (CBT) (3) USD Jan-19 30.06 7,870.83 105.66 92.22 GAP (CBT) (4) USD Jan-19 25.79 9,003.71 (101.21) (88.34) AUSTR 3YR BOND 28 AUD Mar-19 98.20 1,932,061.64 4,049.30 2,490.02 AUSTR 3YR BOND 14 AUD Mar-19 98.20 966,030.82 5,412.68 3,328.39 CEMEX SAB (7) USD Jan-19 4.83 2,950.91 (5.25) (4.58) JOHNSON CONTROLS (1) USD Jan-19 29.68 2,590.44 139.32 121.60 FTSE 100 INDEX 2 GBP Mar-19 6,659.00 149,771.73 450.00 500.86 FTSE 100 INDEX (1) GBP Mar-19 6,659.00 74,885.86 105.00 116.87 FTSE 100 INDEX (1) GBP Mar-19 6,659.00 74,885.86 225.00 250.43 Intl PAPER (1) USD Jan-19 40.40 3,526.07 72.98 63.70 MV SEMICONDUCT (3) USD Jan-19 87.34 22,868.86 121.80 106.31
Total unrealised appreciation on financial futures contracts : 636,359.04 Total unrealised depreciation on financial futures contracts : (277,423.69) Total unrealised net appreciation on financial futures contracts: 358,935.35
The accompanying notes form an integral part of these financial statements Page 28 EUROPEAN SICAV ALLIANCE - GALAXY Statement of Operations and Changes in Net Assets from 01/01/18 to 31/12/18 Expressed in EUR
Income 21,061.59 Bank interest at sight 5,686.89 Bank interest on managed accounts 6,733.82 Other interest 8,640.88 Expenses 817,429.82 Advisory fees 5Note 133,132.07 Management fees 3Note 146,989.37 Depositary fees 4Note 3,514.14 Taxe d'abonnement 7Note 5,119.09 Administration fees 48,000.00 Distribution fees 5Note 84,824.00 Performance fees 5Note 883.89 Brokerage fees 5Note 194,700.62 Other expenses 6Note 200,266.64 Net loss from investments (796,368.23) Net realised profit/(loss) on: - forward foreign exchange contracts (1,987.18) - financial futures contracts (1,981,859.15) - foreign exchange (42,471.76) Net realised loss (2,822,686.32) Change in net unrealised appreciation/(depreciation) on: - forward foreign exchange contracts (132,056.81) - financial futures contracts (230,996.22) Decrease in net assets as a result of operations (3,185,739.35) Subscription capitalisation shares 2,280,021.99 Redemption capitalisation shares (9,745,434.34) Decrease in net assets (10,651,151.70)
Net assets at the beginning of the year 16,822,681.06
Net assets at the end of the year 6,171,529.36
The accompanying notes form an integral part of these financial statements 29Page EUROPEAN SICAV ALLIANCE - GALAXY Financial details relating to the last 3 years
Year ending as at: 31/12/18 31/12/17 31/12/16
Total Net Assets EUR 6,171,529.36 16,822,681.06 17,477,957.15 A - EUR - Capitalisation Number of shares 32,325.8569 36,396.9477 41,927.0629 Net asset per share EUR 121.82 164.48 160.41 B - CHF - Hedged - Capitalisation Number of shares 1,714.2639 1,932.2639 2,361.2639 Net asset per share CHF 87.94 119.47 117.45 C - EUR - Capitalisation Number of shares 15,044.0344 61,397.2061 61,286.0671 Net asset per share EUR 115.12 154.24 149.48 D - USD - Hedged - Capitalisation Number of shares 2,826.8061 7,006.6336 4,607.5011 Net asset per share USD 93.94 122.87 118.26 E - SEK - Hedged - Capitalisation Number of shares 1,754.9892 4,216.6343 7,645.7497 Net asset per share SEK 786.92 1,054.94 1,023.31
The accompanying notes form an integral part of these financial statements 30Page EUROPEAN SICAV ALLIANCE - RPM EVOLVING CTA FUND
31Page EUROPEAN SICAV ALLIANCE - RPM EVOLVING CTA FUND Financial Statements as at 31/12/18 Statement of Net Assets as at 31/12/18 Expressed in USD
Assets 35,152,087.18 Cash at banks and liquidities 22,592,919.52 Cash at brokers 10,455,176.69 Interest receivable 32,926.07 Unrealised net appreciation on forward foreign exchange contracts 2Note 560,791.30 Unrealised net appreciation on financial futures contracts 2Note 1,510,273.60 Liabilities 506,718.61 Other liabilities 506,718.61 Net asset value 34,645,368.57
Changes in Number of Shares Outstanding from 01/01/18 to 31/12/18
Shares Shares outstanding as at Shares issued Shares redeemed outstanding as at 01/01/18 31/12/18
E - SEK - Hedged - Capitalisation 270,642.5035 42,496.3297 96,534.1023 216,604.7309
E-R - SEK - Hedged - Capitalisation 15,653.8487 9,256.6557 9,670.0425 15,240.4619
F - EUR - Hedged - Capitalisation 74,897.3635 16,235.1035 41,218.1661 49,914.3009
G - CHF - Hedged - Capitalisation 951.2002 - - 951.2002
The accompanying notes form an integral part of these financial statements 32Page EUROPEAN SICAV ALLIANCE - RPM EVOLVING CTA FUND
Open Positions on Financial Futures Contracts as at 31/12/18
Futures contracts Position Currency Settlement Market Commitment Unrealised Unrealised Description Long/(Short) Date Price (in USD) (in P/L P/L Currency absolute value) Currency (in USD)
TTF NATURAL GAS FUTU (2) EUR Feb-19 21.98 36,267.66 2,594.60 2,972.76 USD/AUD (CME) (8) USD Mar-19 70.52 564,160.00 11,220.00 11,220.00 USD/AUD (CME) (13) USD Mar-19 70.52 916,760.00 34,385.00 34,385.00 USD/AUD (CME) (6) USD Mar-19 70.52 423,120.00 180.00 180.00 USD/AUD (CME) (33) USD Mar-19 70.52 2,327,160.00 51,195.00 51,195.00 3M BANK ACCEPT-BAX- 1 CAD Mar-19 97.75 179,186.84 200.00 146.65 3M BANK ACCEPT-BAX- (242) CAD Mar-19 97.75 43,363,216.13 (91,487.50) (67,082.79) 3M BANK ACCEPT-BAX- 1 CAD Jun-19 97.77 179,214.34 412.50 302.46 3M BANK ACCEPT-BAX- 54 CAD Jun-19 97.77 9,677,574.37 37,800.00 27,716.68 3M BANK ACCEPT-BAX- 5 CAD Jun-19 97.77 896,071.70 937.50 687.42 3M BANK ACCEPT-BAX- 5 CAD Sep-19 97.76 896,025.87 3,812.50 2,795.50 3M BANK ACCEPT-BAX- 59 CAD Sep-19 97.76 10,573,105.31 70,687.50 51,831.28 3M BANK ACCEPT-BAX- 5 CAD Dec-19 97.76 895,980.05 3,037.50 2,227.23 3M BANK ACCEPT-BAX- 79 CAD Dec-19 97.76 14,156,484.72 51,687.50 37,899.62 3M BANK ACCEPT-BAX- 38 CAD Mar-20 97.77 6,810,493.22 15,450.00 11,328.64 3M BANK ACCEPT-BAX- 25 CAD Jun-20 97.78 4,481,045.92 30,812.50 22,593.12 3M BANK ACCEPT-BAX- 22 CAD Sep-20 97.79 3,943,522.05 0.00 0.00 3M BANK ACCEPT-BAX- 8 CAD Dec-20 97.79 1,434,008.02 7,125.00 5,224.37 3M BANK ACCEPT-BAX- 11 CAD Mar-21 97.77 1,971,458.56 5,850.00 4,289.49 3M BANK ACCEPT-BAX- 1 CAD Jun-21 97.75 179,186.84 (25.00) (18.33) 10YR MINI JGB-SGX 6 JPY Mar-19 152.63 835,603.81 365,000.00 3,330.44 SOYBEAN OIL (CBT) 46 USD Mar-19 27.85 768,660.00 (34,104.00) (34,104.00) SOYBEAN OIL (CBT) (3) USD Mar-19 27.85 50,130.00 1,974.00 1,974.00 SOYBEAN OIL (CBT) (31) USD Mar-19 27.85 518,010.00 6,414.00 6,414.00 SOYBEAN OIL (CBT) 1 USD Jul-19 28.38 17,028.00 (870.00) (870.00) SOYBEAN OIL (CBT) (43) USD Jul-19 28.38 732,204.00 21,624.00 21,624.00 SOYBEAN OIL (CBT) 4 USD Aug-19 28.52 68,448.00 (1,608.00) (1,608.00) SOYBEAN OIL (CBT) (6) USD Sep-19 28.66 103,176.00 1,812.00 1,812.00 SOYBEAN OIL (CBT) 3 USD Oct-19 28.78 51,804.00 (1,332.00) (1,332.00) SOYBEAN OIL (CBT) (4) USD Dec-19 29.00 69,600.00 (210.00) (210.00) USD/GBP (CME) 5 USD Mar-19 127.90 399,687.50 (1,368.75) (1,368.75) USD/GBP (CME) (4) USD Mar-19 127.90 319,750.00 (4,925.00) (4,925.00) USD/GBP (CME) (4) USD Mar-19 127.90 319,750.00 600.00 600.00 USD/GBP (CME) (32) USD Mar-19 127.90 2,558,000.00 (15,268.75) (15,268.75) BTP03YR ITALY 3 EUR Mar-19 110.72 380,572.32 2,620.00 3,001.87 CORN FUTURE (CBT) 191 USD Mar-19 375.00 3,581,250.00 (46,387.50) (46,387.50) CORN FUTURE (CBT) (160) USD Mar-19 375.00 3,000,000.00 (10,000.00) (10,000.00) CORN FUTURE (CBT) (43) USD Mar-19 375.00 806,250.00 1,487.50 1,487.50 CORN FUTURE (CBT) (2) USD Mar-19 375.00 37,500.00 950.00 950.00 CORN FUTURE (CBT) 7 USD May-19 383.00 134,050.00 (300.00) (300.00)
The accompanying notes form an integral part of these financial statements Page 33 EUROPEAN SICAV ALLIANCE - RPM EVOLVING CTA FUND
Open Positions on Financial Futures Contracts as at 31/12/18
Futures contracts Position Currency Settlement Market Commitment Unrealised Unrealised Description Long/(Short) Date Price (in USD) (in P/L P/L Currency absolute value) Currency (in USD)
CORN FUTURE (CBT) (88) USD May-19 383.00 1,685,200.00 14,237.50 14,237.50 CORN FUTURE (CBT) 5 USD Jul-19 390.75 97,687.50 (125.00) (125.00) CORN FUTURE (CBT) (88) USD Jul-19 390.75 1,719,300.00 (5,200.00) (5,200.00) CORN FUTURE (CBT) 7 USD Sep-19 393.50 137,725.00 275.00 275.00 CORN FUTURE (CBT) 8 USD Dec-19 397.50 159,000.00 (100.00) (100.00) CORN FUTURE (CBT) (13) USD Dec-19 397.50 258,375.00 2,912.50 2,912.50 CORN FUTURE (CBT) 7 USD Mar-20 407.00 142,450.00 (12.50) (12.50) CORN FUTURE (CBT) 7 USD May-20 412.75 144,462.50 (212.50) (212.50) MILL WHEAT EURO EOP 39 EUR Mar-19 203.25 454,103.69 (2,812.50) (3,222.42) EURO STOX BANK IDX (21) EUR Mar-19 86.30 104,712.38 12,890.00 14,768.72 COCOA (CSC) 37 USD Mar-19 2,416.00 893,920.00 101,980.00 101,980.00 COCOA (CSC) (1) USD Mar-19 2,416.00 24,160.00 (600.00) (600.00) COCOA (CSC) (5) USD Mar-19 2,416.00 120,800.00 (8,050.00) (8,050.00) COCOA (CSC) (11) USD May-19 2,449.00 269,390.00 (33,080.00) (33,080.00) COCOA (CSC) (3) USD May-19 2,449.00 73,470.00 (420.00) (420.00) COCOA (CSC) 2 USD Jul-19 2,460.00 49,200.00 2,350.00 2,350.00 COCOA (CSC) (32) USD Jul-19 2,460.00 787,200.00 (69,180.00) (69,180.00) COCOA (CSC) 8 USD Sep-19 2,466.00 197,280.00 1,840.00 1,840.00 COCOA (CSC) (4) USD Sep-19 2,466.00 98,640.00 (8,620.00) (8,620.00) COCOA (CSC) 6 USD Dec-19 2,468.00 148,080.00 6,680.00 6,680.00 USD/CAD (CME) (2) USD Mar-19 73.51 147,020.00 2,975.00 2,975.00 USD/CAD (CME) (8) USD Mar-19 73.51 588,080.00 14,075.00 14,075.00 USD/CAD (CME) (13) USD Mar-19 73.51 955,630.00 14,380.00 14,380.00 USD/CAD (CME) (33) USD Mar-19 73.51 2,425,830.00 42,820.00 42,820.00 CAC40 10 EURO 2 EUR Jan-19 4,728.50 108,403.76 (1,010.00) (1,157.21) CAC40 10 EURO (2) EUR Jan-19 4,728.50 108,403.76 1,320.00 1,512.39 CAC40 10 EURO (2) EUR Jan-19 4,728.50 108,403.76 (595.00) (681.72) CAC40 10 EURO (6) EUR Jan-19 4,728.50 325,211.28 (9,795.00) (11,222.62) WTI CRUDE OIL -NYM 47 USD Feb-19 45.41 2,134,270.00 (243,110.00) (243,110.00) WTI CRUDE OIL -NYM (12) USD Feb-19 45.41 544,920.00 73,200.00 73,200.00 WTI CRUDE OIL -NYM (4) USD Feb-19 45.41 181,640.00 1,360.00 1,360.00 WTI CRUDE OIL -NYM (6) USD Feb-19 45.41 272,460.00 33,200.00 33,200.00 WTI CRUDE OIL -NYM (48) USD Mar-19 45.72 2,194,560.00 247,390.00 247,390.00 WTI CRUDE OIL -NYM (2) USD Mar-19 45.72 91,440.00 910.00 910.00 WTI CRUDE OIL -NYM (3) USD Jun-19 46.93 140,790.00 (360.00) (360.00) WTI CRUDE OIL -NYM (1) USD Sep-19 47.84 47,840.00 1,510.00 1,510.00 WTI CRUDE OIL -NYM 1 USD Dec-21 50.89 50,890.00 1,040.00 1,040.00 CAN 10YR BOND (MSE) 2 CAD Mar-19 136.77 200,571.95 2,930.00 2,148.41 CAN 10YR BOND (MSE) 11 CAD Mar-19 136.77 1,103,145.70 24,710.00 18,118.49 CAN 10YR BOND (MSE) (80) CAD Mar-19 136.77 8,022,877.82 (328,140.00) (240,607.14)
The accompanying notes form an integral part of these financial statements Page 34 EUROPEAN SICAV ALLIANCE - RPM EVOLVING CTA FUND
Open Positions on Financial Futures Contracts as at 31/12/18
Futures contracts Position Currency Settlement Market Commitment Unrealised Unrealised Description Long/(Short) Date Price (in USD) (in P/L P/L Currency absolute value) Currency (in USD)
CAN 10YR BOND (MSE) (17) CAD Mar-19 136.77 1,704,861.54 (10.00) (7.33) BRENT CRUDE -IPE (12) USD Mar-19 53.80 645,600.00 (39,410.00) (39,410.00) BRENT CRUDE -IPE (2) USD Mar-19 53.80 107,600.00 6,230.00 6,230.00 BRENT CRUDE -IPE (2) USD Mar-19 53.80 107,600.00 840.00 840.00 BRENT CRUDE -IPE 1 USD Apr-19 54.02 54,020.00 610.00 610.00 BRENT CRUDE -IPE (2) USD Jun-19 54.57 109,140.00 (720.00) (720.00) BRENT CRUDE -IPE (2) USD Dec-19 55.14 110,280.00 (390.00) (390.00) BRENT CRUDE -IPE 2 USD Dec-20 56.28 112,560.00 (610.00) (610.00) COTTON N°2 (CTN) 28 USD Mar-19 72.20 1,010,800.00 (81,345.00) (81,345.00) COTTON N°2 (CTN) (2) USD Mar-19 72.20 72,200.00 4,603.50 4,603.50 COTTON N°2 (CTN) (1) USD Mar-19 72.20 36,100.00 3,055.00 3,055.00 COTTON N°2 (CTN) (1) USD Mar-19 72.20 36,100.00 315.00 315.00 COTTON N°2 (CTN) (10) USD Mar-19 72.20 361,000.00 14,550.00 14,550.00 COTTON N°2 (CTN) (12) USD May-19 73.50 441,000.00 27,850.00 27,850.00 COTTON N°2 (CTN) (3) USD May-19 73.50 110,250.00 5,260.00 5,260.00 COTTON N°2 (CTN) (9) USD Jul-19 74.63 335,835.00 18,475.00 18,475.00 COTTON N°2 (CTN) (3) USD Jul-19 74.63 111,945.00 5,545.00 5,545.00 COTTON N°2 (CTN) (6) USD Dec-19 73.30 219,900.00 1,520.00 1,520.00 COTTON N°2 (CTN) (1) USD Mar-20 74.26 37,130.00 1,605.00 1,605.00 DJ EURO STOXX 50 DVD (1) EUR Dec-19 119.20 13,657.34 270.00 309.35 PHELIX DE BASE MONTH (3) EUR Jan-19 58.63 149,733.79 974.64 1,116.69 PHELIX DE BASE MONTH (1) EUR Feb-19 62.65 53,333.46 907.20 1,039.42 COFFE ROBUSTA10T-LIF 29 USD Mar-19 1,525.00 442,250.00 3,870.00 3,870.00 COFFE ROBUSTA10T-LIF (3) USD Mar-19 1,525.00 45,750.00 0.00 0.00 COFFE ROBUSTA10T-LIF (23) USD May-19 1,544.00 355,120.00 (540.00) (540.00) COFFE ROBUSTA10T-LIF (5) USD Jul-19 1,559.00 77,950.00 (1,060.00) (1,060.00) DJIA MINI FUTURE-CBT 1 USD Mar-19 23,268.00 116,637.30 (2,980.00) (2,980.00) DJIA MINI FUTURE-CBT (14) USD Mar-19 23,268.00 1,632,922.20 92,470.00 92,470.00 DJIA MINI FUTURE-CBT (4) USD Mar-19 23,268.00 466,549.20 295.00 295.00 DJIA MINI FUTURE-CBT (2) USD Mar-19 23,268.00 233,274.60 (8,165.00) (8,165.00) EURO SCHATZ FUTURE 437 EUR Mar-19 111.94 56,047,546.44 6,820.00 7,814.02 EURO SCHATZ FUTURE (7) EUR Mar-19 111.94 897,786.79 (390.00) (446.84) EURO SCHATZ FUTURE (1) EUR Mar-19 111.94 128,255.26 (45.00) (51.56) EUR/USD (CME) 27 USD Mar-19 1.15 3,888,843.75 10,443.75 10,443.75 EUR/USD (CME) 2 USD Mar-19 1.15 288,062.50 2,912.50 2,912.50 EUR/USD (CME) 2 USD Mar-19 1.15 288,062.50 (412.50) (412.50) EUR/USD (CME) (9) USD Mar-19 1.15 1,296,281.25 (11,868.75) (11,868.75) EUR/USD (CME) (21) USD Mar-19 1.15 3,024,656.25 (13,200.00) (13,200.00) EURO/USD 90DAY(CME) (124) USD Mar-19 97.29 30,159,900.00 (41,300.00) (41,300.00) EURO/USD 90DAY(CME) (10) USD Mar-19 97.29 2,432,250.00 (2,112.50) (2,112.50)
The accompanying notes form an integral part of these financial statements Page 35 EUROPEAN SICAV ALLIANCE - RPM EVOLVING CTA FUND
Open Positions on Financial Futures Contracts as at 31/12/18
Futures contracts Position Currency Settlement Market Commitment Unrealised Unrealised Description Long/(Short) Date Price (in USD) (in P/L P/L Currency absolute value) Currency (in USD)
EURO/USD 90DAY(CME) 30 USD Jun-19 97.32 7,298,625.00 17,250.00 17,250.00 EURO/USD 90DAY(CME) 3 USD Jun-19 97.32 729,862.50 0.00 0.00 EURO/USD 90DAY(CME) 52 USD Sep-19 97.34 12,654,200.00 21,187.50 21,187.50 EURO/USD 90DAY(CME) 9 USD Sep-19 97.34 2,190,150.00 1,312.50 1,312.50 EURO/USD 90DAY(CME) 8 USD Sep-19 97.34 1,946,800.00 625.00 625.00 EURO/USD 90DAY(CME) 98 USD Dec-19 97.35 23,850,750.00 117,700.00 117,700.00 EURO/USD 90DAY(CME) 7 USD Dec-19 97.35 1,703,625.00 475.00 475.00 EURO/USD 90DAY(CME) 11 USD Mar-20 97.45 2,679,737.50 2,387.50 2,387.50 EURO/USD 90DAY(CME) (4) USD Mar-20 97.45 974,450.00 (5,975.00) (5,975.00) EURO/USD 90DAY(CME) (30) USD Mar-20 97.45 7,308,375.00 (1,500.00) (1,500.00) EURO/USD 90DAY(CME) 2 USD Jun-20 97.51 487,525.00 2,525.00 2,525.00 EURO/USD 90DAY(CME) 11 USD Jun-20 97.51 2,681,387.50 2,862.50 2,862.50 EURO/USD 90DAY(CME) (3) USD Jun-20 97.51 731,287.50 (5,237.50) (5,237.50) EURO/USD 90DAY(CME) 1 USD Sep-20 97.55 243,862.50 162.50 162.50 EURO/USD 90DAY(CME) (4) USD Sep-20 97.55 975,450.00 (5,237.50) (5,237.50) EURO/USD 90DAY(CME) (70) USD Sep-20 97.55 17,070,375.00 (93,000.00) (93,000.00) EURO/USD 90DAY(CME) 111 USD Dec-20 97.53 27,064,575.00 138,012.50 138,012.50 EURO/USD 90DAY(CME) (17) USD Mar-21 97.56 4,146,300.00 (1,912.50) (1,912.50) EURO/USD 90DAY(CME) (10) USD Jun-21 97.56 2,439,000.00 (13,125.00) (13,125.00) EURO/USD 90DAY(CME) (5) USD Sep-21 97.55 1,219,375.00 (712.50) (712.50) EURO/USD 90DAY(CME) 4 USD Dec-21 97.51 975,050.00 4,750.00 4,750.00 EURO/USD 90DAY(CME) (2) USD Mar-22 97.49 487,425.00 (3,275.00) (3,275.00) EURO/USD 90DAY(CME) (6) USD Jun-22 97.47 1,461,975.00 (6,600.00) (6,600.00) AMSTERDAM INDEX 4 EUR Jan-19 487.72 447,190.81 (6,824.00) (7,818.60) AMSTERDAM INDEX (4) EUR Jan-19 487.72 447,190.81 6,984.00 8,001.92 3MO EURO EURIBOR 114 EUR Mar-19 100.30 32,750,203.93 (1,087.50) (1,246.00) 3MO EURO EURIBOR (418) EUR Mar-19 100.30 120,084,081.08 4,725.00 5,413.67 3MO EURO EURIBOR 15 EUR Jun-19 100.29 4,309,022.53 (187.50) (214.83) 3MO EURO EURIBOR 282 EUR Jun-19 100.29 81,009,623.59 5,550.00 6,358.91 3MO EURO EURIBOR 184 EUR Sep-19 100.28 52,849,437.38 14,012.50 16,054.82 3MO EURO EURIBOR (12) EUR Sep-19 100.28 3,446,702.44 (350.00) (401.01) 3MO EURO EURIBOR 49 EUR Dec-19 100.25 14,070,526.09 612.50 701.77 3MO EURO EURIBOR 158 EUR Dec-19 100.25 45,370,267.81 32,425.00 37,150.94 3MO EURO EURIBOR 118 EUR Mar-20 100.22 33,873,984.18 33,562.50 38,454.23 3MO EURO EURIBOR (17) EUR Mar-20 100.22 4,880,150.26 (2,975.00) (3,408.61) 3MO EURO EURIBOR 19 EUR Jun-20 100.17 5,451,564.43 5,037.50 5,771.72 3MO EURO EURIBOR 202 EUR Jun-20 100.17 57,958,737.64 50,625.00 58,003.59 3MO EURO EURIBOR 82 EUR Jun-20 100.17 23,527,804.39 25,925.00 29,703.57 3MO EURO EURIBOR 43 EUR Sep-20 100.12 12,330,976.83 12,737.50 14,593.99 3MO EURO EURIBOR 95 EUR Sep-20 100.12 27,242,855.80 33,175.00 38,010.26
The accompanying notes form an integral part of these financial statements Page 36 EUROPEAN SICAV ALLIANCE - RPM EVOLVING CTA FUND
Open Positions on Financial Futures Contracts as at 31/12/18
Futures contracts Position Currency Settlement Market Commitment Unrealised Unrealised Description Long/(Short) Date Price (in USD) (in P/L P/L Currency absolute value) Currency (in USD)
3MO EURO EURIBOR 11 EUR Sep-20 100.12 3,154,435.93 1,100.00 1,260.33 3MO EURO EURIBOR 19 EUR Dec-20 100.06 5,445,305.77 6,200.00 7,103.65 3MO EURO EURIBOR (2) EUR Dec-20 100.06 573,190.08 (75.00) (85.93) 3MO EURO EURIBOR 4 EUR Mar-21 99.99 1,145,578.14 1,500.00 1,718.63 3MO EURO EURIBOR 41 EUR Mar-21 99.99 11,742,175.91 6,575.00 7,533.31 3MO EURO EURIBOR 95 EUR Jun-21 99.91 27,187,072.09 18,112.50 20,752.40 3MO EURO EURIBOR (14) EUR Sep-21 99.84 4,003,508.29 (6,450.00) (7,390.09) 3MO EURO EURIBOR (36) EUR Dec-21 99.75 10,285,970.63 (600.00) (687.45) 3MO EURO EURIBOR (23) EUR Mar-22 99.67 6,565,992.49 (1,150.00) (1,317.61) 3MO EURO EURIBOR 93 EUR Jun-22 99.58 26,526,805.01 15,962.50 18,289.03 S&P 500 EMINI INDEX 2 USD Mar-19 2,505.20 250,685.00 (4,120.00) (4,120.00) S&P 500 EMINI INDEX 1 USD Mar-19 2,505.20 125,342.50 10.00 10.00 S&P 500 EMINI INDEX (14) USD Mar-19 2,505.20 1,754,795.00 100,940.00 100,940.00 S&P 500 EMINI INDEX (10) USD Mar-19 2,505.20 1,253,425.00 63,337.50 63,337.50 S&P 500 EMINI INDEX (4) USD Mar-19 2,505.20 501,370.00 (2,527.50) (2,527.50) S&P 500 EMINI INDEX (2) USD Mar-19 2,505.20 250,685.00 (1,817.50) (1,817.50) FRENCH FIN BASELOAD (1) EUR Jan-19 72.59 55,890.23 2,648.64 3,034.68 S&P MID 400 EMINI 4 USD Mar-19 1,662.20 665,216.00 3,680.00 3,680.00 S&P MID 400 EMINI (1) USD Mar-19 1,662.20 166,304.00 3,525.00 3,525.00 CATTLE FEEDER (CME) 5 USD Mar-19 146.75 366,875.00 2,737.50 2,737.50 CATTLE FEEDER (CME) (2) USD Mar-19 146.75 146,750.00 687.50 687.50 CATTLE FEEDER (CME) 1 USD Apr-19 147.25 73,625.00 1,575.00 1,575.00 CATTLE FEEDER (CME) (6) USD Apr-19 147.25 441,750.00 (10,075.00) (10,075.00) CATTLE FEEDER (CME) (1) USD May-19 147.45 73,725.00 (50.00) (50.00) CATTLE FEEDER (CME) 1 USD Aug-19 151.20 75,600.00 0.00 0.00 US 5 YEARS NOTE-CBT 21 USD Mar-19 114.22 2,408,437.50 10,843.75 10,843.75 US 5 YEARS NOTE-CBT (13) USD Mar-19 114.22 1,490,937.50 (23,351.58) (23,351.58) US 5 YEARS NOTE-CBT (4) USD Mar-19 114.22 458,750.00 (109.37) (109.37) LONG GILT FUTURE-LIF 30 GBP Mar-19 123.17 4,712,176.30 24,570.00 31,332.89 LONG GILT FUTURE-LIF 1 GBP Mar-19 123.17 157,072.54 (30.00) (38.26) LONG GILT FUTURE-LIF 3 GBP Mar-19 123.17 471,217.63 1,050.00 1,339.01 LONG GILT FUTURE-LIF 4 GBP Mar-19 123.17 628,290.17 (40.00) (51.01) LONG GILT FUTURE-LIF 23 GBP Mar-19 123.17 3,612,668.49 7,910.00 10,087.23 GOLD 100 OZ (CMX) 23 USD Feb-19 1,281.30 2,946,990.00 112,440.00 112,440.00 GOLD 100 OZ (CMX) 1 USD Feb-19 1,281.30 128,130.00 1,050.00 1,050.00 GOLD 100 OZ (CMX) 7 USD Feb-19 1,281.30 896,910.00 7,620.00 7,620.00 GOLD 100 OZ (CMX) 5 USD Feb-19 1,281.30 640,650.00 2,300.00 2,300.00 GOLD 100 OZ (CMX) (1) USD Feb-19 1,281.30 128,130.00 (4,180.00) (4,180.00) GOLD 100 OZ (CMX) 4 USD Apr-19 1,287.70 515,080.00 6,200.00 6,200.00 DAX INDEX GERMANY 2 EUR Mar-19 10,561.50 605,041.93 (11,200.00) (12,832.40)
The accompanying notes form an integral part of these financial statements Page 37 EUROPEAN SICAV ALLIANCE - RPM EVOLVING CTA FUND
Open Positions on Financial Futures Contracts as at 31/12/18
Futures contracts Position Currency Settlement Market Commitment Unrealised Unrealised Description Long/(Short) Date Price (in USD) (in P/L P/L Currency absolute value) Currency (in USD)
DAX INDEX GERMANY (1) EUR Mar-19 10,561.50 302,520.97 5,662.50 6,487.81 COPPER -CMX 41 USD Mar-19 263.10 2,696,775.00 (128,387.50) (128,387.50) COPPER -CMX (7) USD Mar-19 263.10 460,425.00 38,475.00 38,475.00 COPPER -CMX (7) USD Mar-19 263.10 460,425.00 6,687.50 6,687.50 COPPER -CMX (18) USD Mar-19 263.10 1,183,950.00 53,387.50 53,387.50 COPPER -CMX (38) USD May-19 263.70 2,505,150.00 125,675.00 125,675.00 COPPER -CMX (5) USD Jul-19 264.10 330,125.00 13,500.00 13,500.00 COPPER -CMX (1) USD Sep-19 264.45 66,112.50 2,600.00 2,600.00 HANG SENG INDEX (9) HKD Jan-19 25,854.00 1,485,053.15 14,500.00 1,851.44 HANG SENG INDEX (1) HKD Jan-19 25,854.00 165,005.91 (7,050.00) (900.18) HANG SENG INDEX (4) HKD Mar-19 25,845.00 660,023.62 (12,950.00) (1,653.53) HEATING OIL (NYM) 84 USD Feb-19 167.94 5,924,923.20 (621,406.80) (621,406.80) HEATING OIL (NYM) (1) USD Feb-19 167.94 70,534.80 2,209.20 2,209.20 HEATING OIL (NYM) (4) USD Feb-19 167.94 282,139.20 13,708.80 13,708.80 HEATING OIL (NYM) (84) USD Mar-19 166.99 5,891,407.20 616,152.60 616,152.60 HEATING OIL (NYM) (6) USD Mar-19 166.99 420,814.80 3,969.00 3,969.00 HEATING OIL (NYM) 10 USD Apr-19 165.61 695,562.00 (86,196.60) (86,196.60) HEATING OIL (NYM) 2 USD Apr-19 165.61 139,112.40 (5,598.60) (5,598.60) HEATING OIL (NYM) 4 USD May-19 165.49 278,023.20 (9,437.40) (9,437.40) HEATING OIL (NYM) 1 USD May-19 165.49 69,505.80 634.20 634.20 HEATING OIL (NYM) 1 USD Jun-19 166.28 69,837.60 (1,701.00) (1,701.00) HEATING OIL (NYM) (11) USD Jul-19 167.57 774,173.40 88,809.00 88,809.00 HEATING OIL (NYM) (7) USD Aug-19 168.80 496,272.00 46,200.00 46,200.00 HEATING OIL (NYM) 1 USD Sep-19 170.05 71,421.00 504.00 504.00 HEATING OIL (NYM) 1 USD Oct-19 171.14 71,878.80 491.40 491.40 IBEX 35 INDEX 13 EUR Jan-19 8,517.10 1,271,996.76 (27,722.00) (31,762.48) IBEX MINI IDX (MFM) (3) EUR Jan-19 8,517.10 29,353.77 566.20 648.72 SGX CNX NIFTY INDEX (4) USD Jan-19 10,922.50 86,900.40 (122.00) (122.00) RAPESEED EURO - MATI (4) EUR Feb-19 364.50 83,525.18 137.50 157.54 90-DAY BANK BILL (4) AUD Mar-19 98.06 2,804,783.15 (341.88) (240.87) 90-DAY BANK BILL (75) AUD Mar-19 98.06 52,589,684.06 (293.04) (206.46) 90-DAY BANK BILL 19 AUD Jun-19 98.09 13,323,700.92 488.50 344.17 90-DAY BANK BILL 3 AUD Jun-19 98.09 2,103,742.25 97.70 68.83 90-DAY BANK BILL 1 AUD Sep-19 98.12 701,299.05 73.28 51.63 90-DAY BANK BILL 58 AUD Sep-19 98.12 40,675,344.69 4,176.55 2,942.59 90-DAY BANK BILL 20 AUD Dec-19 98.13 14,026,325.17 3,908.20 2,753.52 90-DAY BANK BILL (23) AUD Dec-19 98.13 16,130,273.94 (3,516.56) (2,477.59) 90-DAY BANK BILL 37 AUD Mar-20 98.13 25,948,701.56 9,623.33 6,780.12 90-DAY BANK BILL 17 AUD Mar-20 98.13 11,922,376.39 (244.40) (172.19) 90-DAY BANK BILL 18 AUD Jun-20 98.13 12,623,692.65 6,496.40 4,577.04
The accompanying notes form an integral part of these financial statements Page 38 EUROPEAN SICAV ALLIANCE - RPM EVOLVING CTA FUND
Open Positions on Financial Futures Contracts as at 31/12/18
Futures contracts Position Currency Settlement Market Commitment Unrealised Unrealised Description Long/(Short) Date Price (in USD) (in P/L P/L Currency absolute value) Currency (in USD)
90-DAY BANK BILL 8 AUD Jun-20 98.13 5,610,530.07 5,468.88 3,853.10 90-DAY BANK BILL 7 AUD Sep-20 98.11 4,908,972.84 5,467.84 3,852.37 90-DAY BANK BILL 4 AUD Dec-20 98.07 2,804,852.00 1,049.15 739.18 90-DAY BANK BILL 4 AUD Mar-21 98.03 2,804,576.69 902.71 636.00 90-DAY BANK BILL 1 AUD Sep-21 97.96 701,023.76 926.77 652.96 JPN 10 YEARS BOND 2 JPY Mar-19 152.48 2,782,608.68 1,080,000.00 9,854.46 JPN 10 YEARS BOND (1) JPY Mar-19 152.48 1,391,304.34 (10,000.00) (91.25) JPN YEN CURR FUT 42 USD Mar-19 91.71 4,814,775.00 127,575.00 127,575.00 JPN YEN CURR FUT 4 USD Mar-19 91.71 458,550.00 14,325.00 14,325.00 JPN YEN CURR FUT (6) USD Mar-19 91.71 687,825.00 (16,862.50) (16,862.50) JPN YEN CURR FUT (3) USD Mar-19 91.71 343,912.50 (293.75) (293.75) JPN YEN CURR FUT (32) USD Mar-19 91.71 3,668,400.00 (102,587.50) (102,587.50) COFFEE 'C' (CSC) 76 USD Mar-19 101.85 2,902,725.00 (325,387.50) (325,387.50) COFFEE 'C' (CSC) 5 USD Mar-19 101.85 190,968.75 (10,050.00) (10,050.00) COFFEE 'C' (CSC) (1) USD Mar-19 101.85 38,193.75 262.50 262.50 COFFEE 'C' (CSC) (8) USD Mar-19 101.85 305,550.00 13,875.00 13,875.00 COFFEE 'C' (CSC) (14) USD May-19 104.95 550,987.50 50,212.50 50,212.50 COFFEE 'C' (CSC) (10) USD May-19 104.95 393,562.50 25,275.00 25,275.00 COFFEE 'C' (CSC) 2 USD Jul-19 107.80 80,850.00 862.50 862.50 COFFEE 'C' (CSC) (34) USD Jul-19 107.80 1,374,450.00 52,893.75 52,893.75 COFFEE 'C' (CSC) 2 USD Sep-19 110.60 82,950.00 (2,081.25) (2,081.25) COFFEE 'C' (CSC) (22) USD Sep-19 110.60 912,450.00 12,637.50 12,637.50 COFFEE 'C' (CSC) (1) USD Dec-19 114.35 42,881.25 2,456.25 2,456.25 WHEAT (KCB) 69 USD Mar-19 488.75 1,686,187.50 (77,012.50) (77,012.50) WHEAT (KCB) (44) USD Mar-19 488.75 1,075,250.00 35,562.50 35,562.50 WHEAT (KCB) 15 USD May-19 500.75 375,562.50 (9,600.00) (9,600.00) WHEAT (KCB) (60) USD May-19 500.75 1,502,250.00 72,562.50 72,562.50 WHEAT (KCB) 11 USD Jul-19 512.50 281,875.00 (19,862.50) (19,862.50) WHEAT (KCB) (9) USD Jul-19 512.50 230,625.00 3,525.00 3,525.00 WHEAT (KCB) 15 USD Sep-19 525.75 394,312.50 (9,800.00) (9,800.00) WHEAT (KCB) 1 USD Dec-19 542.50 27,125.00 (325.00) (325.00) 90DAY GBP LIBOR INDX 35 GBP Mar-19 99.06 5,526,774.12 262.50 334.75 90DAY GBP LIBOR INDX (4) GBP Mar-19 99.06 631,631.33 (18.75) (23.91) 90DAY GBP LIBOR INDX (161) GBP Mar-19 99.06 25,423,160.95 (1,525.00) (1,944.76) 90DAY GBP LIBOR INDX 5 GBP Jun-19 98.99 788,981.24 18.75 23.91 90DAY GBP LIBOR INDX 59 GBP Jun-19 98.99 9,309,978.61 1,375.00 1,753.47 90DAY GBP LIBOR INDX 65 GBP Jun-19 98.99 10,256,756.09 (456.25) (581.83) 90DAY GBP LIBOR INDX 2 GBP Sep-19 98.95 315,449.03 (18.75) (23.91) 90DAY GBP LIBOR INDX 8 GBP Sep-19 98.95 1,261,796.12 (193.75) (247.08) 90DAY GBP LIBOR INDX (57) GBP Sep-19 98.95 8,990,297.34 (506.25) (645.60)
The accompanying notes form an integral part of these financial statements Page 39 EUROPEAN SICAV ALLIANCE - RPM EVOLVING CTA FUND
Open Positions on Financial Futures Contracts as at 31/12/18
Futures contracts Position Currency Settlement Market Commitment Unrealised Unrealised Description Long/(Short) Date Price (in USD) (in P/L P/L Currency absolute value) Currency (in USD)
90DAY GBP LIBOR INDX 4 GBP Dec-19 98.89 630,547.37 100.00 127.53 90DAY GBP LIBOR INDX 133 GBP Dec-19 98.89 20,965,699.90 918.75 1,171.64 90DAY GBP LIBOR INDX (10) GBP Dec-19 98.89 1,576,368.41 (162.50) (207.23) 90DAY GBP LIBOR INDX 2 GBP Mar-20 98.87 315,193.98 62.50 79.70 90DAY GBP LIBOR INDX (6) GBP Mar-20 98.87 945,581.94 (225.00) (286.93) 90DAY GBP LIBOR INDX (20) GBP Mar-20 98.87 3,151,939.80 (1,931.25) (2,462.83) 90DAY GBP LIBOR INDX 2 GBP Jun-20 98.83 315,082.40 81.25 103.61 90DAY GBP LIBOR INDX 17 GBP Jun-20 98.83 2,678,200.36 (318.75) (406.49) 90DAY GBP LIBOR INDX (43) GBP Jun-20 98.83 6,774,271.50 (2,318.75) (2,956.99) 90DAY GBP LIBOR INDX 1 GBP Sep-20 98.80 157,485.41 18.75 23.91 90DAY GBP LIBOR INDX 22 GBP Sep-20 98.80 3,464,678.92 2,475.00 3,156.24 90DAY GBP LIBOR INDX (6) GBP Sep-20 98.80 944,912.43 (168.75) (215.20) 90DAY GBP LIBOR INDX 2 GBP Dec-20 98.77 314,875.17 (37.50) (47.82) 90DAY GBP LIBOR INDX 1 GBP Mar-21 98.74 157,389.76 125.00 159.41 90DAY GBP LIBOR INDX 2 GBP Jun-21 98.71 314,699.82 275.00 350.69 90DAY GBP LIBOR INDX 7 GBP Sep-21 98.69 1,101,170.41 (43.75) (55.79) 90DAY GBP LIBOR INDX (5) GBP Dec-21 98.66 786,311.18 12.50 15.94 90DAY GBP LIBOR INDX 2 GBP Mar-22 98.63 314,428.83 131.25 167.38 90DAY GBP LIBOR INDX (3) GBP Jun-22 98.60 471,523.69 18.75 23.91 LIVE CATTLE (CME) 20 USD Feb-19 123.88 991,000.00 8,820.00 8,820.00 LIVE CATTLE (CME) (52) USD Feb-19 123.88 2,576,600.00 (47,010.00) (47,010.00) LIVE CATTLE (CME) (2) USD Feb-19 123.88 99,100.00 (630.00) (630.00) LIVE CATTLE (CME) 11 USD Apr-19 126.25 555,500.00 12,470.00 12,470.00 LIVE CATTLE (CME) (1) USD Apr-19 126.25 50,500.00 250.00 250.00 LIVE CATTLE (CME) 21 USD Jun-19 117.08 983,430.00 15,900.00 15,900.00 LIVE CATTLE (CME) 1 USD Jun-19 117.08 46,830.00 (90.00) (90.00) LIVE CATTLE (CME) 23 USD Aug-19 114.18 1,050,410.00 5,240.00 5,240.00 LIVE CATTLE (CME) 1 USD Aug-19 114.18 45,670.00 (30.00) (30.00) LEAN HOGS (CME) 32 USD Feb-19 60.98 780,480.00 (3,260.00) (3,260.00) LEAN HOGS (CME) 1 USD Apr-19 67.08 26,830.00 (1,150.00) (1,150.00) LEAN HOGS (CME) (33) USD Apr-19 67.08 885,390.00 (2,010.00) (2,010.00) LEAN HOGS (CME) (2) USD Jun-19 81.45 65,160.00 660.00 660.00 LEAN HOGS (CME) (1) USD Jun-19 81.45 32,580.00 (10.00) (10.00) LEAN HOGS (CME) 3 USD Jul-19 82.48 98,970.00 (2,680.00) (2,680.00) IPE CARB EMIS. (ICE) 1 EUR Dec-19 25.01 28,655.21 4,320.00 4,949.64 NATURAL GAS (NYM) 7 USD Feb-19 2.94 205,800.00 (11,430.00) (11,430.00) NATURAL GAS (NYM) 14 USD Feb-19 2.94 411,600.00 (94,910.00) (94,910.00) NATURAL GAS (NYM) (2) USD Mar-19 2.85 57,020.00 18,700.00 18,700.00 NATURAL GAS (NYM) (22) USD Mar-19 2.85 627,220.00 140,200.00 140,200.00 NATURAL GAS (NYM) 1 USD Apr-19 2.68 26,830.00 (1,800.00) (1,800.00)
The accompanying notes form an integral part of these financial statements Page 40 EUROPEAN SICAV ALLIANCE - RPM EVOLVING CTA FUND
Open Positions on Financial Futures Contracts as at 31/12/18
Futures contracts Position Currency Settlement Market Commitment Unrealised Unrealised Description Long/(Short) Date Price (in USD) (in P/L P/L Currency absolute value) Currency (in USD)
NATURAL GAS (NYM) (3) USD Apr-19 2.68 80,490.00 9,320.00 9,320.00 NATURAL GAS (NYM) 2 USD May-19 2.67 53,440.00 500.00 500.00 NATURAL GAS (NYM) 3 USD Jun-19 2.72 81,510.00 (1,550.00) (1,550.00) NATURAL GAS (NYM) 2 USD Jul-19 2.76 55,200.00 (320.00) (320.00) NATURAL GAS (NYM) 3 USD Aug-19 2.76 82,710.00 (3,090.00) (3,090.00) NATURAL GAS (NYM) 1 USD Sep-19 2.73 27,250.00 (850.00) (850.00) NATURAL GAS (NYM) 14 USD Oct-19 2.75 385,280.00 (13,720.00) (13,720.00) NATURAL GAS (NYM) (1) USD Nov-19 2.80 27,990.00 450.00 450.00 NATURAL GAS (NYM) (1) USD Dec-19 2.95 29,460.00 900.00 900.00 NATURAL GAS (NYM) 1 USD Feb-20 3.00 29,980.00 (590.00) (590.00) NATURAL GAS (NYM) 1 USD Mar-20 2.83 28,270.00 (690.00) (690.00) NIKKEI 225 (SGX) (9) JPY Mar-19 19,935.00 818,536.42 4,276,500.00 39,020.94 NIKKEI 225 (SGX) (5) JPY Mar-19 19,935.00 454,742.46 (25,000.00) (228.11) NIKKEI 225 (OSE) 1 JPY Mar-19 20,000.00 18,249.01 (116,500.00) (1,063.00) NASDAQ 100 E-MINI (8) USD Mar-19 6,333.25 1,012,794.24 53,440.00 53,440.00 NASDAQ 100 E-MINI (2) USD Mar-19 6,333.25 253,198.56 365.00 365.00 NASDAQ 100 E-MINI (2) USD Mar-19 6,333.25 253,198.56 8,641.00 8,641.00 USD/NZD (CME) (3) USD Mar-19 67.20 201,600.00 4,215.00 4,215.00 EURO-OAT-FUTURES- EUX 4 EUR Mar-19 150.80 691,116.40 (90.00) (103.12) EURO BOBL FUTURE 9 EUR Mar-19 132.52 1,366,513.11 3,320.00 3,803.89 EURO BOBL FUTURE 1 EUR Mar-19 132.52 151,834.79 0.00 0.00 EURO BOBL FUTURE 90 EUR Mar-19 132.52 13,665,131.10 16,920.00 19,386.09 PALLADIUM (NYM) 3 USD Mar-19 1,197.20 359,160.00 14,920.00 14,920.00 USD/MXN (CME) 13 USD Mar-19 5.03 326,690.00 7,875.00 7,875.00 USD/MXN (CME) (20) USD Mar-19 5.03 502,600.00 (9,865.00) (9,865.00) PLATINUM (NYM) (6) USD Apr-19 800.60 240,180.00 (1,385.00) (1,385.00) PLATINUM (NYM) (1) USD Apr-19 800.60 40,030.00 725.00 725.00 PLATINUM (NYM) (6) USD Apr-19 800.60 240,180.00 (710.00) (710.00) S&P/TSE CAN 60 INDEX (7) CAD Mar-19 857.30 880,055.79 25,046.00 18,364.86 S&P/TSE CAN 60 INDEX (1) CAD Mar-19 857.30 125,722.26 12,120.00 8,886.93 S&P/TSE CAN 60 INDEX (2) CAD Mar-19 857.30 251,444.51 140.00 102.65 S&P/TSE CAN 60 INDEX (3) CAD Mar-19 857.30 377,166.77 2,656.00 1,947.50 COCOA (LIF) 16 GBP Mar-19 1,766.00 360,334.64 25,710.00 32,786.68 COCOA (LIF) (1) GBP Mar-19 1,766.00 22,520.92 (920.00) (1,173.23) COCOA (LIF) (35) GBP May-19 1,785.00 796,712.44 (49,260.00) (62,818.82) COCOA (LIF) 5 GBP Jul-19 1,787.00 113,943.59 170.00 216.79 COCOA (LIF) 12 GBP Sep-19 1,785.00 273,158.55 4,110.00 5,241.28 OMXS30 INDEX (OML) (15) SEK Jan-19 1,408.25 238,551.83 49,650.00 5,605.07 GAS OIL (IPE) (1) USD Jan-19 510.75 51,075.00 (325.00) (325.00)
The accompanying notes form an integral part of these financial statements Page 41 EUROPEAN SICAV ALLIANCE - RPM EVOLVING CTA FUND
Open Positions on Financial Futures Contracts as at 31/12/18
Futures contracts Position Currency Settlement Market Commitment Unrealised Unrealised Description Long/(Short) Date Price (in USD) (in P/L P/L Currency absolute value) Currency (in USD)
GAS OIL (IPE) 68 USD Feb-19 511.25 3,476,500.00 (279,200.00) (279,200.00) GAS OIL (IPE) (6) USD Feb-19 511.25 306,750.00 (8,200.00) (8,200.00) GAS OIL (IPE) (73) USD Mar-19 511.75 3,735,775.00 295,575.00 295,575.00 GAS OIL (IPE) 1 USD Apr-19 511.50 51,150.00 1,225.00 1,225.00 GAS OIL (IPE) 1 USD May-19 512.00 51,200.00 (5,525.00) (5,525.00) GAS OIL (IPE) 2 USD May-19 512.00 102,400.00 2,300.00 2,300.00 GAS OIL (IPE) 1 USD Aug-19 521.00 52,100.00 1,050.00 1,050.00 GAS OIL (IPE) (1) USD Aug-19 521.00 52,100.00 2,100.00 2,100.00 GAS OIL (IPE) 1 USD Sep-19 524.25 52,425.00 1,025.00 1,025.00 GAS OIL (IPE) (10) USD Dec-19 529.25 529,250.00 26,800.00 26,800.00 GAS OIL (IPE) 10 USD Dec-20 539.25 539,250.00 (24,125.00) (24,125.00) WHITE SUGAR (LIF) (13) USD May-19 336.30 218,595.00 5,860.00 5,860.00 MSCI.SING INDEX (7) SGD Jan-19 341.70 176,114.45 (565.00) (414.53) MSCI.SING INDEX (18) SGD Jan-19 341.70 452,865.74 3,345.00 2,454.15 MSCI.SING INDEX (2) SGD Jan-19 341.70 50,318.42 410.00 300.81 CANOLA - WCE 32 CAD Mar-19 484.20 227,223.95 (2,220.00) (1,627.80) CANOLA - WCE (32) CAD May-19 492.70 231,212.80 946.00 693.65 E-MINI RUSSELL 2000 9 USD Mar-19 1,349.00 606,851.55 990.00 990.00 E-MINI RUSSELL 2000 (10) USD Mar-19 1,349.00 674,279.50 (1,280.00) (1,280.00) E-MINI RUSSELL 2000 (3) USD Mar-19 1,349.00 202,283.85 3,605.00 3,605.00 EURO BUND FUTURE 32 EUR Mar-19 163.54 5,996,030.56 36,950.00 42,335.46 EURO BUND FUTURE 2 EUR Mar-19 163.54 374,751.91 2,590.00 2,967.49 EURO BUND FUTURE 1 EUR Mar-19 163.54 187,375.96 380.00 435.39 EURO BUND FUTURE 1 EUR Mar-19 163.54 187,375.96 1,300.00 1,489.48 EURO BUND FUTURE 4 EUR Mar-19 163.54 749,503.82 (760.00) (870.77) EURO BUND FUTURE 36 EUR Mar-19 163.54 6,745,534.38 22,380.00 25,641.89 SOYBEAN (CBT) 37 USD Mar-19 895.00 1,655,750.00 (5,550.00) (5,550.00) SOYBEAN (CBT) 83 USD Mar-19 895.00 3,714,250.00 (42,587.50) (42,587.50) SOYBEAN (CBT) 1 USD Mar-19 895.00 44,750.00 (625.00) (625.00) SOYBEAN (CBT) (1) USD Mar-19 895.00 44,750.00 (437.50) (437.50) SOYBEAN (CBT) (3) USD Mar-19 895.00 134,250.00 3,825.00 3,825.00 SOYBEAN (CBT) (33) USD May-19 907.75 1,497,787.50 (4,637.50) (4,637.50) SOYBEAN (CBT) (2) USD May-19 907.75 90,775.00 (487.50) (487.50) SOYBEAN (CBT) (49) USD Jul-19 920.25 2,254,612.50 7,262.50 7,262.50 SOYBEAN (CBT) (1) USD Jul-19 920.25 46,012.50 37.50 37.50 SOYBEAN (CBT) 2 USD Aug-19 925.25 92,525.00 1,412.50 1,412.50 SOYBEAN (CBT) (1) USD Nov-19 935.25 46,762.50 137.50 137.50 SUGAR #11 173 USD Mar-19 12.03 2,330,932.80 (91,168.00) (91,168.00) SUGAR #11 (41) USD Mar-19 12.03 552,417.60 19,745.60 19,745.60 SUGAR #11 (3) USD Mar-19 12.03 40,420.80 3,729.60 3,729.60
The accompanying notes form an integral part of these financial statements Page 42 EUROPEAN SICAV ALLIANCE - RPM EVOLVING CTA FUND
Open Positions on Financial Futures Contracts as at 31/12/18
Futures contracts Position Currency Settlement Market Commitment Unrealised Unrealised Description Long/(Short) Date Price (in USD) (in P/L P/L Currency absolute value) Currency (in USD)
SUGAR #11 (2) USD Mar-19 12.03 26,947.20 1,702.40 1,702.40 SUGAR #11 (9) USD Mar-19 12.03 121,262.40 3,673.60 3,673.60 SUGAR #11 (219) USD May-19 12.10 2,967,888.00 134,086.40 134,086.40 SUGAR #11 61 USD Jul-19 12.24 836,236.80 (93,721.60) (93,721.60) SUGAR #11 (14) USD Oct-19 12.53 196,470.40 1,366.40 1,366.40 IRION ORE FUTURES 13 USD Feb-19 69.47 90,311.00 1,806.00 1,806.00 USD/CHF (CME) 2 USD Mar-19 102.44 256,100.00 1,587.50 1,587.50 USD/CHF (CME) 6 USD Mar-19 102.44 768,300.00 (1,900.00) (1,900.00) USD/CHF (CME) (10) USD Mar-19 102.44 1,280,500.00 (9,012.50) (9,012.50) SILVER (CMX) 17 USD Mar-19 15.54 1,320,900.00 83,275.00 83,275.00 SILVER (CMX) (7) USD Mar-19 15.54 543,900.00 (40,450.00) (40,450.00) SILVER (CMX) (5) USD May-19 15.63 390,650.00 (29,825.00) (29,825.00) SOYBEAN MEAL (CBT) 37 USD Mar-19 309.90 1,146,630.00 (18,270.00) (18,270.00) SOYBEAN MEAL (CBT) (5) USD Mar-19 309.90 154,950.00 1,590.00 1,590.00 SOYBEAN MEAL (CBT) (2) USD Mar-19 309.90 61,980.00 970.00 970.00 SOYBEAN MEAL (CBT) (16) USD Mar-19 309.90 495,840.00 5,460.00 5,460.00 SOYBEAN MEAL (CBT) 1 USD May-19 313.30 31,330.00 (300.00) (300.00) SOYBEAN MEAL (CBT) (27) USD May-19 313.30 845,910.00 10,960.00 10,960.00 SOYBEAN MEAL (CBT) 2 USD Jul-19 316.60 63,320.00 940.00 940.00 SOYBEAN MEAL (CBT) (11) USD Jul-19 316.60 348,260.00 5,300.00 5,300.00 SOYBEAN MEAL (CBT) (1) USD Aug-19 318.20 31,820.00 440.00 440.00 SOYBEAN MEAL (CBT) 1 USD Sep-19 319.30 31,930.00 (310.00) (310.00) SOYBEAN MEAL (CBT) 1 USD Oct-19 319.70 31,970.00 (310.00) (310.00) SOYBEAN MEAL (CBT) 1 USD Jan-20 322.30 32,230.00 (460.00) (460.00) SWISS MARKET INDEX 1 CHF Mar-19 8,310.00 84,575.85 (7,330.00) (7,460.18) SWISS MARKET INDEX 4 CHF Mar-19 8,310.00 338,303.39 (5,450.00) (5,546.79) SWISS MARKET INDEX (5) CHF Mar-19 8,310.00 422,879.24 5,270.00 5,363.59 FTSE MIB INDEX 11 EUR Mar-19 18,206.00 1,147,273.85 (29,370.00) (33,650.68) TOPIX INDEX (OSE) (1) JPY Mar-19 1,493.50 136,274.46 945,000.00 8,622.66 TOPIX INDEX (OSE) (1) JPY Mar-19 1,493.50 136,274.46 0.00 0.00 US 2 YEARS NOTE- CBT 2 USD Mar-19 106.05 424,625.00 531.24 531.24 US 2 YEARS NOTE- CBT 20 USD Mar-19 106.05 4,246,250.00 4,687.40 4,687.40 US 2 YEARS NOTE- CBT (17) USD Mar-19 106.05 3,609,312.50 (24,656.29) (24,656.29) MSCI TAIWAN INDEX (19) USD Jan-19 359.40 682,860.00 1,330.00 1,330.00 MSCI TAIWAN INDEX (3) USD Jan-19 359.40 107,820.00 (1,590.02) (1,590.02) US 10 YEARS NOTE 63 USD Mar-19 122.01 7,686,984.38 168,703.41 168,703.41 US 10 YEARS NOTE 10 USD Mar-19 122.01 1,220,156.25 19,218.79 19,218.79 US 10 YEARS NOTE 12 USD Mar-19 122.01 1,464,187.50 20,062.50 20,062.50 US 10 YEARS NOTE 14 USD Mar-19 122.01 1,708,218.75 12,859.39 12,859.39 US 10 YEARS NOTE (1) USD Mar-19 122.01 122,015.63 (2,781.25) (2,781.25)
The accompanying notes form an integral part of these financial statements Page 43 EUROPEAN SICAV ALLIANCE - RPM EVOLVING CTA FUND
Open Positions on Financial Futures Contracts as at 31/12/18
Futures contracts Position Currency Settlement Market Commitment Unrealised Unrealised Description Long/(Short) Date Price (in USD) (in P/L P/L Currency absolute value) Currency (in USD)
US 10 YEARS NOTE (7) USD Mar-19 122.01 854,109.38 (671.88) (671.88) US TREASURY BOND 31 USD Mar-19 146.00 4,526,000.00 189,046.89 189,046.89 US TREASURY BOND 1 USD Mar-19 146.00 146,000.00 1,125.00 1,125.00 US TREASURY BOND 4 USD Mar-19 146.00 584,000.00 2,281.25 2,281.25 VIX FUTURE (CBF) 16 USD Jan-19 24.18 386,800.00 (23,650.00) (23,650.00) VIX FUTURE (CBF) (10) USD Jan-19 24.18 241,750.00 (7,390.00) (7,390.00) VIX FUTURE (CBF) 32 USD Feb-19 22.28 712,800.00 (31,400.00) (31,400.00) VIX FUTURE (CBF) 20 USD Mar-19 21.58 431,500.00 6,520.00 6,520.00 VIX FUTURE (CBF) (70) USD Mar-19 21.58 1,510,250.00 (70,350.00) (70,350.00) VIX FUTURE (CBF) 70 USD Apr-19 20.98 1,468,250.00 56,350.00 56,350.00 VIX FUTURE (CBF) 3 USD Apr-19 20.98 62,925.00 1,475.00 1,475.00 DJ EURO STOXX 50 1 EUR Mar-19 2,974.00 34,074.61 (20.00) (22.92) DJ EURO STOXX 50 1 EUR Mar-19 2,974.00 34,074.61 (2,330.00) (2,669.60) DJ EURO STOXX 50 (11) EUR Mar-19 2,974.00 374,820.66 6,330.00 7,252.60 WHEAT FUTURE - CBT 54 USD Mar-19 503.25 1,358,775.00 (33,150.00) (33,150.00) WHEAT FUTURE - CBT (51) USD Mar-19 503.25 1,283,287.50 30,050.00 30,050.00 WHEAT FUTURE - CBT (2) USD Mar-19 503.25 50,325.00 2,575.00 2,575.00 WHEAT FUTURE - CBT (9) USD Mar-19 503.25 226,462.50 5,312.50 5,312.50 WHEAT FUTURE - CBT 14 USD May-19 510.50 357,350.00 (6,525.00) (6,525.00) WHEAT FUTURE - CBT (6) USD May-19 510.50 153,150.00 512.50 512.50 WHEAT FUTURE - CBT 8 USD Jul-19 518.50 207,400.00 (3,487.50) (3,487.50) WHEAT FUTURE - CBT (52) USD Jul-19 518.50 1,348,100.00 51,550.00 51,550.00 WHEAT FUTURE - CBT 9 USD Sep-19 528.25 237,712.50 (3,412.50) (3,412.50) WHEAT FUTURE - CBT (2) USD Sep-19 528.25 52,825.00 1,975.00 1,975.00 WHEAT FUTURE - CBT 9 USD Dec-19 542.50 244,125.00 (3,225.00) (3,225.00) WHEAT FUTURE - CBT 8 USD Mar-20 553.50 221,400.00 (3,825.00) (3,825.00) GASOLINE RBOB (NYM) 52 USD Feb-19 130.21 2,843,786.40 (279,514.20) (279,514.20) GASOLINE RBOB (NYM) (3) USD Feb-19 130.21 164,064.60 2,297.40 2,297.40 GASOLINE RBOB (NYM) (9) USD Feb-19 130.21 492,193.80 28,845.60 28,845.60 GASOLINE RBOB (NYM) (51) USD Mar-19 131.20 2,810,304.00 286,377.00 286,377.00 AUSTR 10YR BOND 1 AUD Mar-19 97.68 93,476.15 1,565.69 1,103.11 AUSTR 10YR BOND 5 AUD Mar-19 97.68 467,380.74 6,635.65 4,675.14 AUSTR 10YR BOND 1 AUD Mar-19 97.68 93,476.15 733.45 516.75 AUSTR 10YR BOND (1) AUD Mar-19 97.68 93,476.15 (1,695.17) (1,194.33) SPI 200 INDEX (SFE) (3) AUD Mar-19 5,561.00 298,362.83 (750.00) (528.41) SPI 200 INDEX (SFE) (8) AUD Mar-19 5,561.00 795,634.23 16,800.00 11,836.44 SPI 200 INDEX (SFE) (3) AUD Mar-19 5,561.00 298,362.83 (1,250.00) (880.69) FTSE/XINHUA CHIN-SGX (36) USD Jan-19 10,412.50 374,850.00 6,770.00 6,770.00 AUSTR 3YR BOND 12 AUD Mar-19 98.20 948,711.27 5,023.26 3,539.14 AUSTR 3YR BOND 40 AUD Mar-19 98.20 3,162,370.88 15,256.61 10,749.05
The accompanying notes form an integral part of these financial statements Page 44 EUROPEAN SICAV ALLIANCE - RPM EVOLVING CTA FUND
Open Positions on Financial Futures Contracts as at 31/12/18
Futures contracts Position Currency Settlement Market Commitment Unrealised Unrealised Description Long/(Short) Date Price (in USD) (in P/L P/L Currency absolute value) Currency (in USD)
AUSTR 3YR BOND 7 AUD Mar-19 98.20 553,414.90 2,706.46 1,906.84 FTSE 100 INDEX (3) GBP Mar-19 6,659.00 257,401.43 (130.00) (165.78) FTSE 100 INDEX (1) GBP Mar-19 6,659.00 85,800.48 15.00 19.13 FTSE 100 INDEX (3) GBP Mar-19 6,659.00 257,401.43 930.00 1,185.98 FTSE 100 INDEX (1) GBP Mar-19 6,659.00 85,800.48 (1,515.00) (1,932.00) FTSE 100 INDEX (5) GBP Mar-19 6,659.00 429,002.39 (85.00) (108.40)
Total unrealised appreciation on financial futures contracts : 5,691,525.28 Total unrealised depreciation on financial futures contracts : (4,181,251.68) Total unrealised net appreciation on financial futures contracts: 1,510,273.60
The accompanying notes form an integral part of these financial statements Page 45 EUROPEAN SICAV ALLIANCE - RPM EVOLVING CTA FUND Statement of Operations and Changes in Net Assets from 01/01/18 to 31/12/18 Expressed in USD
Income 802,445.57 Bank interest at sight 601,764.69 Bank interest on managed accounts 200,680.88 Expenses 4,288,260.49 Advisory fees 5Note 876,299.73 Management fees 3Note 420,011.11 Depositary fees 4Note 12,544.53 Taxe d'abonnement 7Note 4,328.44 Administration fees 56,739.65 Performance fees 5Note 932,374.70 Brokerage fees 5Note 1,413,340.32 Other expenses 6Note 572,622.01 Net loss from investments (3,485,814.92) Net realised profit/(loss) on: - options contracts 4,675.54 - forward foreign exchange contracts (3,229,785.06) - financial futures contracts 3,555,193.56 - foreign exchange (37,570.59) Net realised loss (3,193,301.47) Change in net unrealised appreciation/(depreciation) on: - options (8,002.48) - forward foreign exchange contracts (14,005.46) - financial futures contracts 1,352,024.59 Decrease in net assets as a result of operations (1,863,284.82) Subscription capitalisation shares 8,474,238.60 Redemption capitalisation shares (18,796,744.65) Decrease in net assets (12,185,790.87)
Net assets at the beginning of the year 46,831,159.44
Net assets at the end of the year 34,645,368.57
The accompanying notes form an integral part of these financial statements 46Page EUROPEAN SICAV ALLIANCE - RPM EVOLVING CTA FUND Financial details relating to the last 3 years
Year ending as at: 31/12/18 31/12/17 31/12/16
Total Net Assets USD 34,645,368.57 46,831,159.44 38,993,471.37 E - SEK - Hedged - Capitalisation Number of shares 216,604.7309 270,642.5035 191,078.5797 Net asset per share SEK 1,065.66 1,052.08 1,164.38 E-R - SEK - Hedged - Capitalisation Number of shares 15,240.4619 15,653.8487 19,967.7257 Net asset per share SEK 891.74 881.89 980.00 F - EUR - Hedged - Capitalisation Number of shares 49,914.3009 74,897.3635 93,039.0988 Net asset per share EUR 106.41 104.70 116.09 G - CHF - Hedged - Capitalisation Number of shares 951.2002 951.2002 951.2002 Net asset per share CHF 998.69 986.71 1,099.84
The accompanying notes form an integral part of these financial statements 47Page EUROPEAN SICAV ALLIANCE Notes to the financial statements
48Page EUROPEAN SICAV ALLIANCE
Notes to the Financial Statements
1. General
EUROPEAN SICAV ALLIANCE (the “SICAV”) has been incorporated as a “société anonyme” in Luxembourg on December 19, 1990 and qualifies as a “société d'investissement à capital variable”. It is a multiple sub-funds investment company organised under Part II of the Law of December 17, 2010 (the “2010 Law”) related to undertakings for collective investment (“UCI”). The SICAV is registered with the Registre de Commerce, Luxembourg, under number B35554.
The SICAV has the following sub-funds open as at December 31, 2018: GALAXY RPM EVOLVING CTA FUND
The sub-fund QLAB CONVEXITY DL FUND was fully liquidated on March 31, 2017.
Classes of shares participate in the portfolio of their respective sub-funds according to the portfolio entitlements attributable to each Class of Shares.
As at December 31, 2018, the following Classes of Shares were available in the different sub-funds of the SICAV:
GALAXY:
Classes A B C D E Pricing Currency EUR CHF EUR USD SEK Hedging N/A Hedged N/A Hedged Hedged Dividend policy Accumulation shares Institutional shares no no yes no no
All the classes of Shares were active during the year.
RPM EVOLVING CTA FUND:
Classes A-I E E-R F G H Pricing Currency USD SEK SEK EUR CHF GBP Hedging N/A Hedged Hedged Hedged Hedged Hedged Dividend policy Accumulation shares Institutional shares yes yes no yes yes yes
Class “H” is currently not offered. The Board may decide to offer such Shares at a later date and update the Prospectus accordingly. Class “A-I” was not active during the financial year. Classes of Shares E, E-R, F and G were active during the year.
2. Summary of significant accounting policies a. Valuation of futures and options
The SICAV with respect to any sub-fund will only trade on organized markets although these may not be regulated by a formal exchange or association, e.g. the inter-bank foreign exchange market.
The SICAV realises gains and losses at the time the option position expires or are closed through entering into an offsetting position. In cases where options are closed before expiry both the original position and the offsetting position are presented in the financial statements with a total unrealised profit/loss of zero.
Where such prices are not representative of the fair value of the relevant securities or futures and in the case of unquoted securities or futures, the value used is their respective reasonable foreseeable sales price as determined prudently and in good faith in accordance with generally accepted valuation principles.
Page 49 EUROPEAN SICAV ALLIANCE
Notes to the Financial Statements
2. Summary of significant accounting policies (continued) b. Open forward exchange transactions
Forward exchange transactions open at balance sheet date are valued at the forward rates applicable to the remaining life of the relevant contracts. The unrealised results of these transactions have been included in the statements of net assets under the heading “Unrealised net appreciation/depreciation on forward foreign exchange contracts”. c. Foreign exchange
The financial statements of sub-fund GALAXY are expressed in EUR. The financial statements of sub-fund RPM EVOLVING CTA FUND are expressed in USD.
Transactions in other currencies than currency of the sub-fund are recorded in the currency of the sub-fund based on the exchange rates in effect on the date of the transactions. Assets and liabilities denominated in other currencies than currency of the sub-fund are translated at the rate of exchange ruling at each balance sheet date. Exchange gains and losses are reflected in the statement of operations and changes in net assets.
The combined financial statements of the SICAV are maintained in USD. The combined financial statements are the sum of the sub-funds’ financial statements converted in USD at the rates of exchange ruling at year-end date. The following exchange rate was used as at December 31, 2018: 1 EUR = 1.14575 USD. d. Income and expenses
Income and expenses are accrued in each NAV calculation.
When the SICAV incurs any expenses, which relate to a particular sub-fund or to any action taken in connection with a particular sub-fund, such expenses shall be allocated to the relevant sub-fund. Expenses of the SICAV, which cannot be considered as being attributable to a particular sub-fund, shall be allocated to all the sub-funds pro rata to the net asset value of each sub-fund. e. Formation expenses
Formation expenses incurred in connexion with the formation and launch of additional Classes may be charged to such Classes and are amortised over a period of five years. f. Exchange rates
The following exchange rates were used as at December 31, 2018:
1 AUD = 0.70455 USD 1 HKD = 0.12769 USD 1 PHP = 0.01905 USD 1 CAD = 0.73325 USD 1 HUF = 0.00357 USD 1 PLN = 0.26720 USD 1 CHF = 1.01776 USD 1 ILS = 0.26733 USD 1 RON = 0.24621 USD 1 CLP = 0.00144 USD 1 JPY = 0.00912 USD 1 SEK = 0.11289 USD 1 CNH = 0.14559 USD 1 KRW = 0.00090 USD 1 SGD = 0.73368 USD 1 COP = 0.00031 USD 1 MXN = 0.05095 USD 1 THB = 0.03092 USD 1 CZK = 0.04453 USD 1 MYR = 0.24187 USD 1 TRY = 0.18893 USD 1 EUR = 1.14575 USD 1 NOK = 0.11567 USD 1 TWD = 0.03267 USD 1 GBP = 1.27525 USD 1 NZD = 0.67135 USD 1 ZAR = 0.06951 USD
Page 50 EUROPEAN SICAV ALLIANCE
Notes to the Financial Statements
3. Management fees
GALAXY categories of shares are charged a monthly management fee calculated as a percentage of the average net assets for the relevant month, accrued daily and payable quarterly in arrears. Rates applied are as follows:
Classes of Shares A, B, D and E: 1.40% p.a. Class of Shares C: 1.125% p.a.
RPM EVOLVING CTA FUND categories of shares are charged a quarterly management fee calculated as a percentage of the average net assets for the relevant quarter, accrued daily and payable quarterly in arrears. Rates applied are as follows:
Classes of Shares E, F and G: 1.00% p.a. Class of Shares E-R: 1.20% p.a.
4. Depositary Fees
CACEIS Bank, Luxembourg Branch receives a depositary fee in accordance with usual practice in Luxembourg.
5. Advisory Fees, Performance Fees, Brokerage Fees and Distribution Fees
The sub-funds pay to the Trading Advisers an advisory fee and/or a performance fee. Performance fees are due only to the extent that the Trading Adviser achieves net new Trading Profits. The Adviser is entitled to receive a performance fee.
Each of categories of shares of GALAXY is charged a monthly performance fee of 5% of the net asset value increase. The fee is payable at the end of each calendar quarter to the Manager.
GALAXY will normally pay to the Trading Advisers an advisory fee and/or a performance fee. The performance fees paid to Trading Advisers will normally not exceed 30%. The advisory fees paid to Trading Advisers will normally not exceed a monthly rate of 0.1667% (approximately an annual rate of 2%) of the assets traded by that Trading Advisor. These advisory fees are payable monthly at the end of each calendar month, calculated on the month-end Trading Level.
In case of the agreement with the Trading Adviser provides to pay no advisory fee but performance fee only, the latter rate may be significantly beyond the above level.
Each of categories of shares of RPM EVOLVING CTA FUND is charged a quarterly performance fee accrued daily and payable to the Manager quarterly in arrears. The performance fee will be 5% of the increase in the gross asset value per share attributable to each category of share from the quarter-end net asset value for which a quarterly performance fee was last time paid.
RPM EVOLVING CTA FUND will normally pay to the Trading Advisers an advisory fee and/or a performance fee. The performance fees paid to the Trading Advisers will normally not exceed 30%. The advisory fees paid to Trading Advisers will normally not exceed a monthly rate of 0.1667% (approximately an annual rate of 2%) of the assets traded by that Trading Advisor.
In case of the agreement with the Trading Adviser provides to pay no advisory fee but performance fee only, the latter rate may be significantly beyond the above level.
Page 51 EUROPEAN SICAV ALLIANCE
Notes to the Financial Statements
5. Advisory Fees, Performance Fees, Brokerage Fees and Distribution Fees (continued)
The SICAV will pay transaction charges in the form of Futures brokerage commissions. For GALAXY, these commissions will not on average exceed USD 15 per round-turn (buy and sell) transaction (except in the case of Futures traded on the London Metal Exchange and in newly established markets including the Far East where premium rates may apply). Eventual premiums for electronic trading and EFPs may occur.
RPM EVOLVING CTA FUND is charged Futures brokerage commissions at competitive institutional rates which are negotiated from time to time.
GALAXY categories of shares may pay selling agents a monthly distribution fee of up to a maximum of the month end net assets, as indicated in the table below, accrued weekly and payable monthly in arrears in order to cover distribution and promotion costs.
GALAXY:
Classes of Shares A, B and D: Maximum of 1.00% p.a. Class of Share C: Maximum of 0.50% p.a. Class of Share E: None
6. Other expenses
The Other Expenses are composed of the following fees:
Type of fee Sub-fund Ongoing Interest paid on Other Other Domiciliary Total operating bank liabilities administrative fees miscellaneous fees fees expenses (including licensing fees) EUROPEAN SICAV ALLIANCE - GALAXY 36,134.22 127,533.54 26,630.68 4,968.20 5,000.00 200,266.64 (EUR) EUROPEAN SICAV ALLIANCE - RPM 131,842.09 327,665.19 44,661.68 62,536.03 5,917.02 572,622.01 EVOLVING CTA FUND (USD)
7. Taxation
The SICAV is registered under the Luxembourg law as an investment company and is, as a result, exempt from tax in Luxembourg except for “taxe d'abonnement”. Under current legislation the SICAV is subject to “taxe d'abonnement” at a rate of 0.05% per annum on its total net assets, calculated and payable quarterly on the net asset value of the SICAV at the end of the relevant quarter.
The rate of the annual subscription tax is set at 0.01% for the sub-funds or the categories of shares restricted to one or more institutional investors as regulated by article 174 of the Luxembourg Law of December 17, 2010 on Undertakings for Collective Investment.
Page 52 EUROPEAN SICAV ALLIANCE
Notes to the Financial Statements
8. Open forward foreign exchange contracts
As at December 31, 2018, the sub-funds have entered into forward foreign exchange contracts for trading purpose or/and for hedging purpose (GALAXY Class B, Class D and Class E and RPM EVOLVING CTA FUND Class E, Class E-R, Class F and Class G).
The following lines present all open positions of the forward foreign exchange contracts for each sub-fund.
GALAXY
Maturity Buy/ Quantity Currency Quantity Counter Net unrealised Net unrealised date Sell Currency (Contr ccy) appreciation/ (depreciation) (in EUR) 20/03/19 BUY 300,000.00 USD (202,365,000.00) CLP 5,649,000.00 7,104.30 20/03/19 SELL (100,000.00) USD 67,745,000.00 CLP (1,593,000.00) (2,003.39) 20/03/19 BUY 100,000.00 USD (69,365,000.00) CLP (27,000.00) (33.96) 20/02/19 SELL (100,000.00) USD 644,700.00 CNH (42,291.24) (5,373.78) 20/02/19 SELL (100,000.00) USD 644,912.10 CNH (42,079.14) (5,346.83) 20/02/19 BUY 100,000.00 USD (646,700.00) CNH 40,291.24 5,119.65 20/02/19 SELL (100,000.00) USD 644,300.00 CNH (42,691.24) (5,424.60) 20/02/19 SELL (100,000.00) USD 644,400.00 CNH (42,591.24) (5,411.90) 20/02/19 BUY 100,000.00 USD (648,700.00) CNH 38,291.24 4,865.51 20/02/19 BUY 100,000.00 USD (655,950.00) CNH 31,041.24 3,944.29 20/02/19 BUY 100,000.00 USD (654,320.00) CNH 32,671.24 4,151.40 20/03/19 BUY 100,000.00 USD (316,990,000.00) COP 8,965,857.14 2,409.57 20/03/19 BUY 100,000.00 USD (319,365,000.00) COP 6,590,857.14 1,771.29 20/03/19 BUY 100,000.00 USD (326,900,000.00) COP (944,142.86) (253.74) 20/02/19 BUY 1,791.90 CNH (230.50) EUR (3.79) (3.79) 20/02/19 BUY 9,975.00 CNH (1,299.67) EUR (37.61) (37.61) 20/02/19 BUY 9,031.00 CNH (1,170.68) EUR (28.06) (28.06) 20/02/19 BUY 4,326.00 CNH (560.36) EUR (13.03) (13.03) 20/02/19 BUY 2,234.00 CNH (289.30) EUR (6.65) (6.65) 20/03/19 SELL (100,000.00) USD 5,317,500.00 PHP 34,285.74 569.99 20/03/19 SELL (300,000.00) USD 15,952,500.00 PHP 102,857.21 1,709.96 20/03/19 SELL (100,000.00) EUR 157,373.00 SGD 461.54 295.55 20/03/19 SELL (100,000.00) EUR 157,460.00 SGD 548.54 351.26 20/03/19 BUY 300,000.00 USD (410,163.00) SGD (1,989.07) (1,273.69) 20/03/19 SELL (500,000.00) EUR 18,768,500.00 THB 161,754.83 4,365.43 20/03/19 SELL (400,000.00) EUR 14,134,000.00 TWD 103,064.29 2,938.70 20/03/19 BUY 800,000.00 USD (24,541,600.00) TWD (209,142.86) (5,963.34) 20/03/19 BUY 300,000.00 USD (9,206,400.00) TWD (81,728.57) (2,330.35) 20/03/19 SELL (50,000.00) EUR 79,214.65 AUD (2,519.40) (1,549.24) 20/03/19 BUY 50,000.00 EUR (81,143.35) AUD 590.70 363.24 20/03/19 SELL (50,000.00) GBP 87,562.22 AUD (3,158.38) (1,942.17) 20/03/19 BUY 50,000.00 GBP (89,590.91) AUD 1,129.69 694.67 20/03/19 BUY 100,000.00 AUD (96,889.00) CAD (846.25) (541.57) 20/03/19 SELL (100,000.00) AUD 95,924.60 CAD (118.15) (75.61) 20/03/19 BUY 50,000.00 EUR (77,783.77) CAD 715.86 458.13 20/03/19 BUY 100,000.00 NZD (92,250.43) CAD (732.29) (468.64) 20/03/19 BUY 100,000.00 USD (133,838.40) CAD 2,295.71 1,469.19 20/03/19 SELL (100,000.00) USD 132,858.88 CAD (3,275.23) (2,096.05) 20/03/19 SELL (100,000.00) EUR 112,919.74 CHF 432.29 384.00 20/03/19 SELL (50,000.00) GBP 63,191.95 CHF 764.31 678.93 03/01/19 SELL (16,808.00) NZD 11,081.51 CHF (5.63) (5.00) 03/01/19 SELL (16,702.00) NZD 11,012.30 CHF (4.92) (4.37) 03/01/19 SELL (16,583.00) NZD 10,934.00 CHF (4.73) (4.20) 03/01/19 SELL (16,618.00) NZD 10,957.91 CHF (3.90) (3.46)
Page 53 EUROPEAN SICAV ALLIANCE
Notes to the Financial Statements
8. Open forward foreign exchange contracts (continued)
Maturity Buy/ Quantity Currency Quantity Counter Net Net date Sell Currency unrealised unrealised (Contr ccy) appreciation/ (depreciation) (in EUR) 03/01/19 SELL (16,605.00) NZD 10,950.00 CHF (3.24) (2.88) 03/01/19 SELL (16,684.00) NZD 11,004.43 CHF (0.92) (0.82) 03/01/19 BUY 100,000.00 NZD (66,175.20) CHF (211.71) (188.06) 20/03/19 BUY 100,000.00 NZD (67,969.50) CHF (2,398.23) (2,130.33) 20/03/19 SELL (100,000.00) NZD 65,789.30 CHF 218.03 193.67 20/03/19 SELL (100,000.00) EUR 789,540.00 CNH (2,795.25) (355.18) 20/03/19 BUY 50,000.00 EUR (397,014.55) CNH (846.92) (107.61) 20/03/19 BUY 100,000.00 USD (689,740.00) CNH (2,705.86) (343.82) 20/03/19 SELL (100,000.00) USD 691,324.70 CNH 4,290.56 545.18 20/03/19 BUY 100,000.00 USD (326,350,000.00) COP (394,142.86) (105.93) 20/03/19 BUY 50,000.00 EUR (1,299,358.15) CZK (7,258.90) (282.11) 20/03/19 SELL (50,000.00) EUR 1,297,983.00 CZK 5,883.75 228.67 20/03/19 SELL (50,000.00) EUR 1,290,782.00 CZK (1,317.25) (51.19) 02/01/19 BUY 1,881,704.78 HUF (5,859.66) EUR (0.98) (0.98) 04/01/19 BUY 2,127,423.00 JPY (16,839.74) EUR 105.30 105.30 02/01/19 BUY 91,954.83 SEK (8,947.37) EUR 113.01 113.01 20/03/19 BUY 50,000.00 CHF (14,342,745.00) HUF (49,954.34) (155.53) 20/03/19 BUY 50,000.00 EUR (16,212,169.50) HUF (134,574.03) (418.99) 20/03/19 BUY 40,000.00 GBP (14,507,252.00) HUF (231,007.85) (719.24) 20/03/19 SELL (40,000.00) GBP 14,303,046.40 HUF 26,802.25 83.45 20/03/19 BUY 50,000.00 USD (14,189,195.00) HUF (248,307.14) (773.10) 20/03/19 BUY 100,000.00 EUR (432,708.70) ILS (3,908.48) (911.93) 20/03/19 BUY 100,000.00 USD (370,175.80) ILS 1,637.00 381.94 07/01/19 SELL (21,780.00) CHF 2,450,903.40 JPY 21,482.52 171.08 07/01/19 SELL (21,643.00) CHF 2,435,530.08 JPY 21,391.00 170.35 07/01/19 SELL (21,726.00) CHF 2,444,913.68 JPY 21,516.88 171.36 07/01/19 SELL (21,933.00) CHF 2,468,493.35 JPY 22,006.35 175.25 07/01/19 SELL (12,918.00) CHF 1,453,985.49 JPY 13,064.26 104.04 07/01/19 BUY 100,000.00 CHF (11,184,000.00) JPY (29,636.01) (236.01) 20/03/19 SELL (100,000.00) CHF 11,196,070.00 JPY 30,282.14 241.16 04/01/19 SELL (13,005.00) CNH 209,204.93 JPY 1,775.07 14.14 04/01/19 SELL (32,740.00) CNH 526,680.85 JPY 4,477.56 35.66 04/01/19 SELL (6,403.00) CNH 103,004.16 JPY 876.06 6.98 04/01/19 SELL (13,007.00) CNH 209,243.61 JPY 1,782.17 14.19 04/01/19 SELL (13,202.00) CNH 212,380.57 JPY 1,808.92 14.41 04/01/19 SELL (32,390.00) CNH 521,061.49 JPY 4,440.06 35.36 04/01/19 SELL (32,721.00) CNH 526,388.94 JPY 4,488.61 35.75 04/01/19 SELL (6,395.00) CNH 102,877.64 JPY 877.66 6.99 04/01/19 SELL (6,471.00) CNH 104,100.72 JPY 888.46 7.08 04/01/19 SELL (12,934.00) CNH 208,074.43 JPY 1,776.52 14.15 04/01/19 SELL (32,261.00) CNH 519,001.10 JPY 4,437.61 35.34 04/01/19 SELL (6,477.00) CNH 104,199.77 JPY 891.76 7.10 04/01/19 SELL (6,352.00) CNH 102,192.75 JPY 878.51 7.00 04/01/19 SELL (12,882.00) CNH 207,249.48 JPY 1,780.93 14.18 04/01/19 SELL (32,503.00) CNH 522,922.24 JPY 4,498.71 35.83 04/01/19 SELL (6,559.00) CNH 105,524.47 JPY 907.86 7.23 04/01/19 SELL (6,484.00) CNH 104,317.96 JPY 898.11 7.15 04/01/19 SELL (32,252.00) CNH 518,887.27 JPY 4,467.16 35.58 04/01/19 SELL (6,550.00) CNH 105,380.46 JPY 907.41 7.23 04/01/19 SELL (12,878.00) CNH 207,198.01 JPY 1,793.73 14.28 04/01/19 SELL (32,441.00) CNH 521,960.77 JPY 4,526.61 36.05 04/01/19 SELL (6,462.00) CNH 103,971.19 JPY 902.01 7.18
Page 54 EUROPEAN SICAV ALLIANCE
Notes to the Financial Statements
8. Open forward foreign exchange contracts (continued)
Maturity Buy/ Quantity Currency Quantity Counter Net unrealised Net date Sell Currency (Contr ccy) unrealised appreciation/ (depreciation) (in EUR) 04/01/19 SELL (32,534.00) CNH 523,471.08 JPY 4,553.26 36.26 04/01/19 SELL (6,482.00) CNH 104,295.38 JPY 907.01 7.22 04/01/19 SELL (6,578.00) CNH 105,840.02 JPY 920.81 7.33 04/01/19 SELL (45,479.00) CNH 731,757.11 JPY 6,366.33 50.70 04/01/19 SELL (6,588.00) CNH 106,001.32 JPY 922.31 7.35 04/01/19 SELL (6,611.00) CNH 106,371.45 JPY 925.46 7.37 04/01/19 SELL (25,989.00) CNH 418,169.25 JPY 3,644.10 29.02 04/01/19 SELL (6,370.00) CNH 102,495.40 JPY 893.41 7.11 04/01/19 BUY 500,000.00 CNH (8,035,120.00) JPY (60,113.21) (478.73) 20/03/19 BUY 500,000.00 CNH (8,069,565.00) JPY (143,557.81) (1,143.26) 20/03/19 SELL (500,000.00) CNH 7,981,275.00 JPY 55,267.81 440.14 20/03/19 SELL (50,000.00) GBP 7,097,769.50 JPY 127,231.61 1,013.24 20/03/19 BUY 100,000.00 NZD (7,691,810.00) JPY (370,260.91) (2,948.68) 20/03/19 SELL (100,000.00) NZD 7,436,350.00 JPY 114,800.91 914.25 07/01/19 SELL (7,817.00) SGD 631,144.58 JPY 2,895.71 23.06 07/01/19 SELL (13,216.00) SGD 1,067,192.00 JPY 5,027.14 40.04 07/01/19 SELL (13,198.00) SGD 1,065,804.49 JPY 5,085.80 40.50 07/01/19 SELL (13,252.00) SGD 1,070,231.52 JPY 5,173.84 41.20 07/01/19 SELL (13,067.00) SGD 1,055,290.92 JPY 5,101.22 40.62 07/01/19 SELL (13,154.00) SGD 1,062,317.04 JPY 5,135.06 40.89 07/01/19 SELL (13,172.00) SGD 1,063,770.72 JPY 5,142.41 40.95 07/01/19 SELL (13,124.00) SGD 1,059,959.86 JPY 5,189.15 41.33 07/01/19 BUY 100,000.00 SGD (8,079,600.00) JPY (42,638.31) (339.56) 20/03/19 BUY 200,000.00 SGD (16,337,800.00) JPY (328,631.97) (2,617.15) 20/03/19 SELL (100,000.00) SGD 8,158,370.00 JPY 153,785.98 1,224.72 20/03/19 SELL (100,000.00) SGD 8,046,880.00 JPY 42,295.98 336.84 20/03/19 BUY 100,000.00 USD (11,199,390.00) JPY (308,515.00) (2,456.95) 20/03/19 SELL (100,000.00) USD 11,015,910.00 JPY 125,035.00 995.75 20/03/19 SELL (100,000.00) CAD 1,494,853.20 MXN 35,505.53 1,578.73 20/03/19 SELL (50,000.00) EUR 1,167,955.40 MXN 22,372.82 994.79 20/03/19 SELL (40,000.00) GBP 1,033,135.32 MXN 15,905.07 707.21 20/03/19 SELL (100,000.00) CAD 638,909.59 NOK 6,024.13 608.17 20/03/19 BUY 200,000.00 CAD (1,270,527.40) NOK (4,756.49) (480.19) 20/03/19 BUY 50,000.00 CHF (430,940.40) NOK 10,720.22 1,082.26 20/03/19 BUY 50,000.00 CHF (440,442.25) NOK 1,218.37 123.00 20/03/19 BUY 100,000.00 EUR (972,989.10) NOK 20,636.43 2,083.35 20/03/19 SELL (50,000.00) EUR 485,814.50 NOK (10,998.27) (1,110.33) 20/03/19 BUY 50,000.00 EUR (494,741.80) NOK 2,070.97 209.07 20/03/19 BUY 40,000.00 GBP (435,478.04) NOK 5,671.28 572.54 20/03/19 SELL (40,000.00) GBP 434,398.64 NOK (6,750.68) (681.51) 20/03/19 BUY 40,000.00 GBP (439,957.48) NOK 1,191.84 120.32 20/03/19 SELL (200,000.00) AUD 210,081.00 NZD 193.09 113.14 20/03/19 SELL (100,000.00) AUD 105,128.78 NZD 184.82 108.29 20/03/19 SELL (50,000.00) EUR 83,097.16 NZD (2,677.79) (1,569.05) 20/03/19 SELL (40,000.00) GBP 74,375.44 NZD (1,789.19) (1,048.37) 20/03/19 SELL (100,000.00) USD 5,290,800.00 PHP 7,585.74 126.11 20/03/19 SELL (100,000.00) EUR 431,813.26 PLN 995.08 232.07 20/03/19 SELL (50,000.00) GBP 237,825.35 PLN (1,267.68) (295.64) 20/03/19 BUY 50,000.00 EUR (510,694.00) SEK (3,079.95) (303.47) 20/03/19 SELL (50,000.00) EUR 511,956.70 SEK 4,342.65 427.88 20/03/19 BUY 50,000.00 EUR (515,384.54) SEK (7,770.49) (765.63) 20/03/19 SELL (500,000.00) NOK 524,864.50 SEK 13,993.92 1,378.83
Page 55 EUROPEAN SICAV ALLIANCE
Notes to the Financial Statements
8. Open forward foreign exchange contracts (continued)
Maturity Buy/ Quantity Currency Quantity Counter Net unrealised Net date Sell Currency (Contr ccy) unrealised appreciation/ (depreciation) (in EUR) 20/03/19 SELL (500,000.00) NOK 516,309.65 SEK 5,439.07 535.92 20/03/19 SELL (100,000.00) AUD 97,372.90 SGD 1,383.86 886.15 20/03/19 SELL (100,000.00) EUR 156,391.67 SGD (519.79) (332.85) 20/03/19 SELL (50,000.00) GBP 87,496.00 SGD 414.17 265.21 20/03/19 BUY 100,000.00 NZD (93,500.90) SGD (2,033.95) (1,302.43) 20/03/19 SELL (100,000.00) NZD 91,723.30 SGD 256.35 164.15 20/03/19 BUY 50,000.00 USD (1,634,550.00) THB (21,158.57) (571.03) 20/03/19 SELL (50,000.00) USD 1,635,410.00 THB 22,018.57 594.24 20/03/19 SELL (50,000.00) USD 1,630,165.00 THB 16,773.57 452.68 20/03/19 BUY 100,000.00 USD (3,057,950.00) TWD (16,392.86) (467.41) 20/03/19 SELL (50,000.00) EUR 57,174.55 USD (488.91) (426.72) 20/03/19 BUY 50,000.00 EUR (57,126.04) USD 537.42 469.06 20/03/19 SELL (50,000.00) EUR 57,293.90 USD (369.56) (322.55) 20/03/19 BUY 50,000.00 EUR (57,701.25) USD (37.79) (32.98) 20/03/19 SELL (50,000.00) GBP 63,227.07 USD (776.40) (677.63) 20/03/19 SELL (50,000.00) EUR 827,117.75 ZAR (10,170.05) (617.03) 20/03/19 BUY 50,000.00 EUR (825,652.95) ZAR 11,634.85 705.90 31/01/19 SELL (135,000.00) EUR 152,732.25 CHF 791.19 702.81 31/01/19 BUY 21,000.00 EUR (215,961.48) SEK (2,816.13) (277.48) 31/01/19 SELL (158,000.00) EUR 1,632,933.16 SEK 29,268.16 2,883.81 31/01/19 SELL (236,000.00) EUR 270,715.60 USD (399.31) (348.52)
Total unrealised appreciation on forward foreign exchange contracts: 70,239.96 Total unrealised depreciation on forward foreign exchange contracts: (68,593.90) Total unrealised net appreciation on forward foreign exchange contracts: 1,646.06
RPM EVOLVING CTA FUND
Maturity Buy/ Quantity Currency Quantity Counter Net Net date Sell Currency unrealised unrealised (Contr ccy) appreciation/ (depreciation) (in USD) 03/01/19 SELL (9,049.30) AUD 6,372.52 USD (3.16) (3.16) 03/01/19 SELL (20,325.44) EUR 23,231.98 USD (55.89) (55.89) 03/01/19 SELL (3,788.96) GBP 4,844.19 USD 12.32 12.32 07/01/19 SELL (77,470.00) JPY 704.40 USD (2.92) (2.92) 20/03/19 BUY 456,034.00 USD (609,180.25) CAD 11,637.59 8,533.21 20/03/19 BUY 456,034.00 USD (609,261.88) CAD 11,555.96 8,473.35 20/03/19 BUY 514,559.00 USD (687,811.02) CAD 12,679.31 9,297.05 20/03/19 BUY 3,373.00 USD (4,510.10) CAD 81.70 59.91 20/03/19 SELL (60,000.00) USD 81,452.82 CAD (227.65) (166.92) 20/03/19 BUY 485,461.00 USD (477,147.97) CHF (3,639.51) (3,704.15) 20/03/19 BUY 6,852.00 USD (6,736.00) CHF (52.70) (53.64) 20/03/19 BUY 43,403.00 USD (42,668.95) CHF (334.58) (340.52) 20/03/19 BUY 485,221.00 USD (477,021.25) CHF (3,746.88) (3,813.42) 20/03/19 BUY 485,221.00 USD (477,093.06) CHF (3,818.69) (3,886.51) 20/03/19 BUY 43,400.00 USD (42,680.78) CHF (349.33) (355.53) 20/03/19 BUY 485,221.00 USD (477,186.71) CHF (3,912.34) (3,981.82) 20/03/19 BUY 485,221.00 USD (478,062.05) CHF (4,787.68) (4,872.71)
Page 56 EUROPEAN SICAV ALLIANCE
Notes to the Financial Statements
8. Open forward foreign exchange contracts (continued)
Maturity Buy/ Quantity Currency Quantity Counter Net Net date Sell Currency unrealised unrealised (Contr ccy) appreciation/ (depreciation) (in USD) 20/03/19 SELL (43,373.00) USD 42,660.34 CHF 355.23 361.54 20/03/19 SELL (43,253.00) USD 42,544.47 CHF 356.40 362.73 20/03/19 SELL (43,374.00) USD 42,670.00 CHF 363.91 370.37 20/03/19 SELL (20,158.00) USD 2,260,464.90 JPY 65,082.42 593.84 20/03/19 SELL (49,661.00) USD 5,570,151.57 JPY 161,634.57 1,474.83 20/03/19 SELL (49,901.00) USD 5,597,360.24 JPY 162,704.47 1,484.60 20/03/19 SELL (553,717.00) USD 62,111,432.58 JPY 1,806,806.68 16,486.21 20/03/19 SELL (49,908.00) USD 5,598,897.04 JPY 163,479.10 1,491.67 20/03/19 SELL (49,901.00) USD 5,600,104.79 JPY 165,449.47 1,509.64 20/03/19 SELL (553,837.00) USD 62,157,874.19 JPY 1,840,178.63 16,790.71 20/03/19 SELL (553,837.00) USD 62,160,449.53 JPY 1,842,754.63 16,814.21 20/03/19 SELL (553,837.00) USD 62,163,218.72 JPY 1,845,523.63 16,839.48 20/03/19 SELL (49,901.00) USD 5,600,948.12 JPY 166,292.47 1,517.34 20/03/19 SELL (553,837.00) USD 62,216,719.37 JPY 1,899,023.63 17,327.64 20/03/19 SELL (553,831.00) USD 62,218,371.44 JPY 1,901,329.08 17,348.68 20/03/19 SELL (553,837.00) USD 62,226,688.44 JPY 1,908,992.63 17,418.60 20/03/19 SELL (553,837.00) USD 62,231,562.20 JPY 1,913,866.63 17,463.08 20/03/19 BUY 52,529.00 USD (5,783,269.55) JPY (62,402.27) (569.39) 20/03/19 BUY 52,529.00 USD (5,783,920.91) JPY (63,053.27) (575.33) 20/03/19 BUY 52,531.00 USD (5,785,328.33) JPY (64,242.45) (586.18) 20/03/19 BUY 52,411.00 USD (5,776,226.79) JPY (68,210.50) (622.39) 20/03/19 BUY 594,578.00 USD (5,337,508.87) SEK (103,411.46) (11,674.29) 20/03/19 BUY 594,578.00 USD (5,342,767.91) SEK (108,670.50) (12,267.99) 20/03/19 BUY 1,807.00 USD (16,240.68) SEK (333.58) (37.66) 20/03/19 BUY 594,580.00 USD (5,346,252.28) SEK (112,137.26) (12,659.36) 20/03/19 BUY 594,457.00 USD (5,347,487.88) SEK (114,455.64) (12,921.09) 20/03/19 SELL (50,000.00) USD 448,676.45 SEK 8,524.16 962.31 20/03/19 SELL (50,000.00) USD 448,936.15 SEK 8,783.86 991.62 20/03/19 SELL (50,000.00) USD 448,945.70 SEK 8,793.41 992.70 20/03/19 BUY 483,373.00 AUD (347,289.97) USD (6,269.84) (6,269.84) 20/03/19 BUY 483,252.00 AUD (347,326.26) USD (6,391.49) (6,391.49) 20/03/19 BUY 483,375.00 AUD (347,467.83) USD (6,446.28) (6,446.28) 20/03/19 BUY 48,711.00 AUD (34,345.30) USD 20.36 20.36 20/03/19 BUY 48,710.00 AUD (34,348.68) USD 16.27 16.27 20/03/19 BUY 48,710.00 AUD (34,349.17) USD 15.78 15.78 20/03/19 BUY 48,710.00 AUD (34,359.06) USD 5.89 5.89 20/03/19 BUY 48,710.00 AUD (34,365.29) USD (0.34) (0.34) 20/03/19 BUY 48,710.00 AUD (34,366.07) USD (1.12) (1.12) 20/03/19 BUY 48,710.00 AUD (34,367.00) USD (2.05) (2.05) 20/03/19 BUY 49,029.00 AUD (34,592.31) USD (2.30) (2.30) 02/01/19 SELL (65,886.21) CAD 48,339.11 USD 28.35 28.35 04/01/19 SELL (125,399.33) CHF 127,141.16 USD (515.23) (515.23) 20/03/19 SELL (368,326.00) EUR 420,995.51 USD (3,783.49) (3,783.49) 20/03/19 SELL (368,206.00) EUR 421,053.50 USD (3,587.11) (3,587.11) 20/03/19 SELL (3,468.00) EUR 3,967.66 USD (31.88) (31.88) 20/03/19 BUY 56,543.00 GBP (71,609.11) USD 769.86 769.86 20/03/19 BUY 56,424.00 GBP (71,497.84) USD 728.80 728.80 20/03/19 BUY 17,470.00 GBP (22,141.62) USD 221.19 221.19 20/03/19 BUY 56,424.00 GBP (71,541.01) USD 685.63 685.63 20/03/19 BUY 403,355.00 GBP (511,456.16) USD 4,866.27 4,866.27 20/03/19 BUY 56,424.00 GBP (71,552.85) USD 673.79 673.79 20/03/19 BUY 403,360.00 GBP (511,859.81) USD 4,469.02 4,469.02
Page 57 EUROPEAN SICAV ALLIANCE
Notes to the Financial Statements
8. Open forward foreign exchange contracts (continued)
Maturity Buy/ Quantity Currency Quantity Counter Net Net date Sell Currency unrealised unrealised (Contr ccy) appreciation/ (depreciation) (in USD) 07/01/19 BUY 8,462,783.00 JPY (76.948,38) USD 319.88 319.88 20/03/19 SELL (555,276.00) NZD 378,304.37 USD 5,012.01 5,012.01 20/03/19 SELL (555,276.00) NZD 378,321.14 USD 5,028.78 5,028.78 20/03/19 SELL (58,519.00) NZD 39,880.46 USD 540.21 540.21 20/03/19 SELL (555,276.00) NZD 378,443.25 USD 5,150.89 5,150.89 20/03/19 SELL (555,276.00) NZD 378,485.56 USD 5,193.20 5,193.20 20/03/19 SELL (58,519.00) NZD 39,889.42 USD 549.17 549.17 20/03/19 SELL (58,519.00) NZD 39,891.85 USD 551.60 551.60 20/03/19 SELL (58,519.00) NZD 39,902.12 USD 561.87 561.87 20/03/19 SELL (22,857.00) NZD 15,585.91 USD 219.96 219.96 20/03/19 SELL (555,276.00) NZD 378,672.69 USD 5,380.33 5,380.33 20/03/19 SELL (58,519.00) NZD 39,908.09 USD 567.84 567.84 20/03/19 SELL (58,168.00) NZD 39,669.88 USD 565.60 565.60 20/03/19 SELL (50,020.00) NZD 33,593.93 USD (32.74) (32.74) 20/03/19 SELL (50,042.00) NZD 33,622.72 USD (18.74) (18.74) 20/03/19 SELL (49,938.00) NZD 33,560.83 USD (10.72) (10.72) 04/01/19 SELL (450,517.14) SEK 50,199.69 USD (671.69) (671.69) 03/01/19 SELL (35,564.84) AUD 25,044.76 USD (12.45) (12.45) 02/01/19 SELL (98,341.98) CAD 72,151.12 USD 42.32 42.32 04/01/19 BUY 8,551.38 CHF (8,670.16) USD 35.13 35.13 03/01/19 SELL (106,817.15) EUR 122,092.00 USD (293.75) (293.75) 03/01/19 SELL (4,921.57) GBP 6,292.23 USD 16.00 16.00 03/01/19 SELL (91,808.38) HKD 11,719.97 USD (2.61) (2.61) 07/01/19 SELL (6,307,300.00) JPY 57,349.52 USD (238.40) (238.40) 03/01/19 SELL (1,289.80) SGD 946.92 USD 0.63 0.63 08/01/19 BUY 9,795,000.00 AUD (7,235,332.40) USD (333,091.81) (333,091.81) 08/01/19 SELL (9,795,000.00) AUD 7,048,553.50 USD 146,312.91 146,312.91 08/01/19 SELL (11,739,000.00) CAD 8,918,303.73 USD 308,897.15 308,897.15 08/01/19 BUY 11,739,000.00 CAD (8,725,320.53) USD (115,913.95) (115,913.95) 08/01/19 SELL (13,119,000.00) EUR 14,959,604.88 USD (81,349.35) (81,349.35) 08/01/19 BUY 13,119,000.00 EUR (14,991,087.86) USD 49,866.37 49,866.37 08/01/19 SELL (717,000.00) GBP 918,027.30 USD 3,314.55 3,314.55 08/01/19 BUY 717,000.00 GBP (909,949.15) USD 4,763.60 4,763.60 08/01/19 SELL (391,727,000.00) JPY 3,465,219.63 USD (111,660.24) (111,660.24) 08/01/19 BUY 391,727,000.00 JPY (3,493,143.05) USD 83,736.82 83,736.82 08/01/19 BUY 26,991,000.00 ZAR (1,976,152.68) USD (101,568.81) (101,568.81) 08/01/19 SELL (26,991,000.00) ZAR 1,888,313.65 USD 13,729.78 13,729.78 03/01/19 SELL (54,381.56) EUR 62,158.12 USD (149.55) (149.55) 03/01/19 SELL (750.00) GBP 958.88 USD 2.44 2.44 07/01/19 BUY 57,416.00 JPY (522.06) USD 2.16 2.16 03/01/19 SELL (22,093.52) AUD 15,558.26 USD (7.73) (7.73) 02/01/19 SELL (9,571.45) CAD 7,022.34 USD 4.12 4.12 03/01/19 SELL (32,650.66) EUR 37,319.70 USD (89.79) (89.79) 03/01/19 BUY 8,043.52 GBP (10,283.64) USD (26.14) (26.14) 07/01/19 SELL (212,221.00) JPY 1,929.63 USD (8.02) (8.02) 03/01/19 SELL (3,444.70) SGD 2,528.96 USD 1.67 1.67 03/01/19 SELL (447,990.28) HKD 57,189.03 USD (12.78) (12.78) 03/01/19 SELL (1,920.00) EUR 2,194.56 USD (5.28) (5.28) 31/01/19 SELL (943,000.00) USD 930,825.87 CHF 6,954.15 7,077.66 31/01/19 SELL (6,000,000.00) USD 5,230,581.47 EUR 7,703.88 8,826.71 31/01/19 SELL (26,930,000.00) USD 242,653,842.20 SEK 4,722,579.45 533,139.85 31/01/19 SELL (1,410,000.00) USD 12,704,861.40 SEK 247,264.65 27,914.12
Page 58 EUROPEAN SICAV ALLIANCE
Notes to the Financial Statements
8. Open forward foreign exchange contracts (continued)
Maturity Buy/ Quantity Currency Quantity Counter Net Net date Sell Currency unrealised unrealised (Contr ccy) appreciation/ (depreciation) (in USD) 31/01/19 SELL (85,000.00) USD 762,705.00 SEK 11,715.12 1,322.54 03/01/19 BUY 5,495.27 AUD (3,869.77) USD 1.92 1.92 02/01/19 BUY 108,373.80 CAD (79,511.23) USD (46.64) (46.64) 04/01/19 SELL (16,217.40) CHF 16,442.66 USD (66.63) (66.63) 03/01/19 BUY 120,971.89 EUR (138,270.87) USD 332.67 332.67 03/01/19 SELL (743.14) GBP 950.10 USD 2.41 2.41 07/01/19 SELL (2,615,000.00) JPY 23,777.05 USD (98.84) (98.84) 04/01/19 SELL (76,301.00) SEK 8,501.98 USD (113.75) (113.75)
Total unrealised appreciation on forward foreign exchange contracts: 1,406,463.72 Total unrealised depreciation on forward foreign exchange contracts: (845,672.42) Total unrealised net appreciation on forward foreign exchange contracts: 560,791.30
9. Changes of the investment portfolio
Details of changes in the securities portfolio for the year referring to this report are available upon request - free of charge - at the SICAV’s registered office.
10. Subsequent events
As of the date of the report, there is no subsequent event planned for the year 2019.
Page 59 EUROPEAN SICAV ALLIANCE
Notes to the Financial Statements
11. Details on realised results and change in unrealised appreciation/(depreciation)
Sub-Fund Net realised result on Forward Net realised result on Futures Net realised result on currency foreign exchange contracts Options
Profit Loss Profit Loss Profit Loss EUROPEAN SICAV ALLIANCE EUR 3,416,827.17 (3,418,814.35) 15,937,966.24 (17,919,825.39) - - - GALAXY EUROPEAN SICAV ALLIANCE USD 29,222,694.18 (32,452,479.24) 116,972,935.33 (113,417,741.77) 760,685.49 (756,009.95) - RPM EVOLVING CTA FUND
Sub-Fund Change in unrealised on Change in unrealised on Change in unrealised on currency Forward foreign exchange Futures Options contracts Appreciation Depreciation Appreciation Depreciation Appreciation Depreciation EUROPEAN SICAV ALLIANCE - EUR 125,110.05 (257,166.86) 876,913.52 (1,107,909.74) - - GALAXY EUROPEAN SICAV ALLIANCE - USD 149,542.69 (163,548.15) 1,548,090.57 (196,065.98) 29,012.54 (37,015.02) RPM EVOLVING CTA FUND
Page 60 EUROPEAN SICAV ALLIANCE
Unaudited information
INSULATE (not consolidated side shares in liquidation)
1. Assets
Assets of European Sicav Alliance - Insulate (in liquidation) were composed of the net claim filed by European Sicav Alliance - Insulate for the amount held by Refco Capital Markets Ltd (“RCM”) in the below European Sicav Alliance accounts of a total of USD 12,996,097.32, together with any additional funds to which it may otherwise be entitled to receive as a matter of law. For information purposes, the affected accounts at RCM are as follows:
Account Account Name Account Account Name 9358/92510 ESA - Galaxy 9367/92593 ESA - Opal Trading III 9359/92511 ESA - Galaxy 9368/92595 ESA - Opal Trading III 9360/92520 ESA - Opal Trading III 9445/23710 ESA - Opal Trading 9361/92521 ESA - Opal Trading III 9447/29700 ESA - Galaxy 9362/92530 ESA - Makalu Strategic Fund 9471/23715 ESA - Opal Trading III 9364/92581 ESA - Galaxy 9473/29600 ESA - Opal Trading II 9365/92587 ESA - Galaxy 9486/92577 ESA - Opal Trading II 9366/92592 ESA - Opal Trading III
As at December 31, 2018 cash held by European Sicav Alliance - Insulate amounts to USD 333,501.99.
2. Liabilities
The net liquidation proceeds shall be distributed if and when received to the shareholders pro rata based on the number of shares.
ESA Insulate share class Number of shares in share class ESA - Insulate category Galaxy A (EUR) 541,976,857.00 ESA - Insulate category Galaxy B (CHF) 1,600,137.00 ESA - Insulate category Galaxy C (USD) 621,308.00 ESA - Insulate category Makalu A (EUR) 307,462,738.00 ESA - Insulate category Opal Trading III A (USD) 204,991,619.00 ESA - Insulate category Opal Trading III B (EUR) 162,968,530.00 ESA - Insulate category Opal Trading III C (USD) 34,447,575.00 ESA - Insulate category Opal Trading II A (USD) 28,888,262.00 ESA - Insulate category Opal Trading II B (EUR) 3,858,788.00 ESA - Insulate category Opal Trading II C (USD) 1,979,134.00 ESA - Insulate category Opal Trading II D (EUR) 308,400.00 ESA - Insulate category Opal Trading (EUR) 13,694,609.00 Total 1,302,797,957.00
Regarding the liquidation costs, the liquidation fees and expenses shall be advanced by the promoter and shall be deducted from the liquidation proceeds, if and when received. Those liquidation fees and expenses contain the fees and expenses related to the liquidation including the custody, administration, audit, legal fees and expenses.
A first distribution for an amount equal to 5,980,031.55 USD corresponding to 0.004590145 USD per share has been done in March 2009.
A second distribution for an amount equal to 1,823,917.14 USD corresponding to 0.0014 USD per share has been done in August 2010.
Page 61 EUROPEAN SICAV ALLIANCE
Unaudited information (continued)
INSULATE (not consolidated side shares in liquidation) (continued)
As additional amounts have been received from the Refco liquidator, a third distribution for an amount equal to 1,302,797.96 USD corresponding to 0.0010 USD per share has been done in June 2012.
A fourth distribution for an amount equal to 586,259.08 USD corresponding to 0.00045 USD per share has been paid to shareholders as at January 9, 2015. The number of shares remains at 1,302,797,957.00.
The closing of the liquidation will not happen before the Refco bankruptcy proceeding is closed in the US, as the one is related to the other.
Securities Financing Transactions and of Reuse Regulation (“SFTR”)
The SICAV does not use any instruments falling into the scope of SFTR.
Page 62 EUROPEAN SICAV ALLIANCE
Unaudited information (continued)
Remuneration policy
The AIFM has established and applies a remuneration policy and practices that are consistent with, and promote, sound and effective risk management and that neither encourage risk taking which is inconsistent with the risk profiles, rules, the Prospectus or the Articles nor impair compliance with the AIFM’s obligation to act in the best interest of the Fund (the Remuneration Policy).
The Remuneration Policy includes fixed and variable components of salaries and applies to those categories of staff, including senior management, risk takers, control functions and any employee receiving total remuneration that falls within the remuneration bracket of senior management and risk takers whose professional activities have a material impact on the risk profiles of the Management Company, the Fund or the Sub-Funds. Within the AIFM, these categories of staff represents 12 persons.
The Remuneration Policy is in line with the business strategy, objectives, values and interests of the AIFM, the Fund and the Shareholders and includes measures to avoid conflicts of interest.
In particular, the Remuneration Policy will ensure that: a) the staff engaged in control functions are compensated in accordance with the achievement of the objectives linked to their functions, independently of the performance of the business areas that they control; b) the fixed and variable components of total remuneration are appropriately balanced and the fixed component represents a sufficiently high proportion of the total remuneration to allow the operation of a fully flexible policy on variable remuneration components, including the possibility to pay no variable remuneration component; c) the measurement of performance used to calculate variable remuneration components includes a comprehensive adjustment mechanism to integrate all relevant types of current and future risks. d) a long-term perspective, caution and mutual loyalty is encouraged
The following table shows the fixed and variable remuneration in 2018 for the Identified Staff (12 persons), who is fully or partly involved in the activities of all the funds managed by the AIFM. The breakdown between senior management and risk takers and other identified staff at the level of the delegates is not available at the time the financial statements were issued. These remuneration figures will be provided to shareholders as soon as possible.
31/12/2018 31/12/2018 31/12/2018 31/12/2018 31/12/2018
Number of Total remuneration Fixed remuneration Variable Carried interest paid beneficiaries paid paid remuneration paid by the AIF
SEK SEK SEK SEK Total remuneration paid by the AIFM during the financial year 12 6,423,743.00 6,423,743.00 0 0 Senior Management (including executives) 4 2,856,002.00 2,856,002.00 0 0 Risk Takers and other identified staff 5 3,343,608.00 3,343,608.00 0 0 Risk Takers and other identified staff (Delegates) 112 3,643,659.00 1,946,754.00 1,696,904.00 0
The breakdown between senior management and risk takers and other identified staff at the level of delegates is not available
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