Merrill Lynch Investment Solutions Audited annual report as at March 31, 2019 Société d’Investissement à Capital Variable R.C.S. Luxembourg B 133.445 No subscription can be received on the basis of these financial statements. Subscriptions may only be accepted on the basis of the current prospectus accompanied by an application form, the key investor information documents, the latest available annual report of the fund and the latest semi-annual report if published thereafter.
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Merrill Lynch Investment Solutions
Audited annual reportas at March 31, 2019
Société d’Investissement à Capital Variable
R.C.S. Luxembourg B 133.445
No subscription can be received on the basis of these financial statements. Subscriptions may only beaccepted on the basis of the current prospectus accompanied by an application form, the key investorinformation documents, the latest available annual report of the fund and the latest semi-annual report ifpublished thereafter.
Table of contents Page
Management and Administration 2
Information to the Shareholders 5
Investment Managers’ Report 10
Audit Report 22
Statements of Net Assets as at March 31, 2019 25
Statements of Operations and Changes in Net Assets for the year ended March 31, 2019 28
ChairmanMr Claude Kremer,Partner,Arendt & Medernach S.A.,41A, avenue John F. Kennedy,L-2082 Luxembourg,Grand Duchy of Luxembourg
MembersMr Paul Guillaume,Managing Partner,Altra Partners S.A.,370 route de Longwy,L-1940 Luxembourg,Grand Duchy of Luxembourg
Mr Philippe Lopategui,Chief Executive Officer,CM Investment Solutions Limited,2 King Edward Street,London EC1A 1HQ,United Kingdom
Mr Thomas Nummer,TRINOVA S.A.,5 Heienhaff,L-1736 Senningerberg,Grand Duchy of Luxembourg
Management CompanyCM Investment Solutions Limited,Bank of America Merrill Lynch Financial Centre,2 King Edward Street,London EC1A 1HQ,United Kingdom
Registered Office of the SICAVState Street Bank Luxembourg S.C.A.,49, avenue J. F. Kennedy,L-1855 Luxembourg,Grand Duchy of Luxembourg
Depository and Paying AgentState Street Bank Luxembourg S.C.A.,49, avenue J. F. Kennedy,L-1855 Luxembourg,Grand Duchy of Luxembourg
Registrar and Transfer AgentState Street Bank Luxembourg S.C.A.,49, avenue J. F. Kennedy,L-1855 Luxembourg,Grand Duchy of Luxembourg
Administrative, Corporate and Domiciliary AgentState Street Bank Luxembourg S.C.A.,49, avenue J. F. Kennedy,L-1855 Luxembourg,Grand Duchy of Luxembourg
2 Merrill Lynch Investment Solutions
Management and Administration
Audited annual report
Global DistributorCM Investment Solutions Limited,2 King Edward Street,London EC1A 1HQ,United Kingdom
Legal AdviserArendt & Medernach S.A.,41A, avenue J. F. Kennedy,L-2082 Luxembourg,Grand Duchy of Luxembourg
Listing AgentState Street Bank Luxembourg S.C.A.,49, avenue J. F. Kennedy,L-1855 Luxembourg,Grand Duchy of Luxembourg
AuditorPricewaterhouseCoopers, Société coopérative,2, rue Gerhard Mercator,L-2182 Luxembourg,Grand Duchy of Luxembourg
Investment ManagersFor the Sub-Fund Merrill Lynch Investment Solutions –Marshall Wace TOPS UCITS Fund (Market Neutral):Marshall Wace LLP,The Adelphi, 13th Floor,1/11 John Adam Street,London WC2N 6HT,United Kingdom
For the Sub-Funds Merrill Lynch Investment Solutions –York Event-Driven UCITS Fund and Merrill LynchInvestment Solutions – York Asian Event-Driven UCITS Fund:York UCITS Holdings, LLC,767 Fifth Avenue, 17th Floor,New York 10153,USA
Investment Managers (cont.)
For the Sub-Fund Merrill Lynch Investment Solutions –AQR Global Relative Value UCITS Fund:AQR Capital Management LLC,CNH Partners, LLC,Two Greenwich Plaza, 3rd Floor,Greenwich, CT 06830,USA
For the Sub-Fund Merrill Lynch Investment Solutions –Merrill Lynch WNT Diversified Futures UCITS Fund (in liquidation):Winton Capital Management Limited (“Winton”),The Oxford Science Park,Oxford OX4 4GA,United Kingdom
For the Sub-Funds Merrill Lynch Investment Solutions –Merrill Lynch Enhanced Equity Volatility Premium Fund,Merrill Lynch MLCX Commodity Enhanced Beta Fund,Merrill Lynch MLCX Commodity Enhanced Beta ex AgricultureFund1, Merrill Lynch MLCX Commodity Alpha Fund and MerrillLynch Enhanced Cross-Asset Volatility Premium Fund:CM Investment Solutions Limited,Bank of America Merrill Lynch Financial Centre,2 King Edward Street,London EC1A 1HQ,United Kingdom
For the Sub-Fund Merrill Lynch Investment Solutions –Zeal Greater China Long Short UCITS Fund:Zeal Asset Management Limited,Suite 2605, Tower 1, Lippo Centre,89 Queensway,Hong Kong
1 Merrill Lynch MLCX Commodity Enhanced Beta ex Agriculture Fund wasliquidated on June 14, 2018
3Merrill Lynch Investment Solutions
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Audited annual report
Investment Managers (cont.)
For the Sub-Fund Merrill Lynch Investment Solutions –Ramius Merger Arbitrage UCITS Fund:Cowen Investment Advisors LLC,599 Lexington Avenue,New York, NY 10022,USA
For the Sub-Fund Merrill Lynch Investment Solutions –KLS Fixed Income UCITS Fund:KLS Diversified Asset Management LP,452 Fifth Avenue,22nd Floor,New York, NY 10018,USA
For the Sub-Fund Merrill Lynch Investment Solutions –Millburn Diversified UCITS Fund:Millburn Ridgefield Corporation,The Millburn Corporation,411 West Putnam Avenue,Greenwich, CT 06830,USA
For the Sub-Funds: Merrill Lynch Investment Solutions–Global Debt - Securitised UCITS Fund, Global Debt -Government UCITS Fund and Global Debt - Credit UCITS Fund:Blackrock Investment Management (UK) Limited,12 Throgmorton Avenue,London, EC2N 2DL,United Kingdom
Investment AdvisorsFor the Sub-Fund Merrill Lynch Investment Solutions –Marshall Wace TOPS UCITS Fund(Market Neutral):Marshall Wace Asia Limited,28/F One IFC One Harbour View Road,Hong KongMarshall Wace North America L.P.,55 Railroad Avenue, Greenwich,Connecticut,USA
For the Sub-Fund Merrill Lynch Investment Solutions –Merrill Lynch Enhanced Equity Volatility Premium Fund:Union Investment Institutional GmbH,Product Management,Wiesenhüttenstraße 10,60329 Frankfurt am Main,Germany
4 Merrill Lynch Investment Solutions
Management and Administration (cont.)
Audited annual report
The annual general meeting of Shareholders is held, each year, at the registered office of the SICAV or at the place specified in theconvening notice on the last Monday of July (at 12 noon Luxembourg time) or the next following Luxembourg Business Day.
The meetings of Shareholders of Shares of a particular Sub-Fund may decide on matters which are relevant only for the Sub-Fundconcerned.
Notices to Shareholders will be published in the Luxemburger Wort and / or in any other newspaper(s) in those countries where theShares are sold, as determined by the Board of Directors.
Audited annual reports are made available on the website www.funds-invest.baml.com/ and for shareholders’ inspection at each ofthe registered offices of the SICAV and of the Custodian Bank. They will be published within four months following the relevantaccounting period, and the latest annual report is made available at least eight days before the annual general meeting. Moreover,unaudited semi-annual reports are made available for shareholders’ inspection at each of the registered offices of the SICAV and ofthe Depositary Bank and will be published within two months following the relevant accounting period.
The financial year ends on March 31 of each year.
The list of changes in the portfolio, for the year ended March 31, 2019, is available at the registered office of the SICAV.
The Portfolio Turnover Rate (PTR), expressed as a percentage, reflects the volume of dealing in the Sub-Fund. It is equal to the totalof purchases and sales of securities netted against the value of the subscriptions and redemptions, over the average net assets ofthe Sub-Fund for the year.
The PTR calculated for the last 12 months are the following:
Merrill Lynch Investment Solutions – KLS Fixed Income UCITS Fund 1 720.96%
Merrill Lynch Investment Solutions – Millburn Diversified UCITS Fund (3.50)%
Merrill Lynch Investment Solutions – Global Debt - Credit UCITS Fund 58.78%
Merrill Lynch Investment Solutions – Global Debt - Government UCITS Fund (18.96)%
Merrill Lynch Investment Solutions – Global Debt - Securitised UCITS Fund 24.70%
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Information to the Shareholders
Audited annual report
The Total Expense Ratio includes all fees but excludes transaction costs and performance fees. For classes launched during the year,fees have been annualised.
The TER calculated for the last 12 months are the following:
Class EUR B (acc) EUR 1.80%Class EUR B (inc) EUR 1.80%Class EUR C (acc) EUR 2.69%Class EUR C (inc) EUR 2.69%Class EUR G (acc) EUR 1.85%Class EUR X1 (acc)1 EUR 1.20%Class EUR Z (acc) EUR 1.95%Class GBP B (acc) GBP 1.82%Class GBP B (inc) GBP 1.82%Class GBP C (acc) GBP 2.70%Class GBP C (inc) GBP 2.70%Class GBP G (acc) GBP 1.86%Class GBP Management (inc) GBP 0.95%Class GBP Z (acc) GBP 1.95%Class JPY B (acc) JPY 1.81%Class USD B (acc) USD 1.82%Class USD C (acc) USD 2.71%Class USD G (acc) USD 1.86%
Merrill Lynch Investment Solutions –York Event-Driven UCITS Fund
Class AUD E (acc) AUD 1.93%Class CHF A (acc) CHF 1.91%Class CHF E (acc) CHF 1.95%Class CHF F (acc) CHF 3.01%Class EUR A (acc) EUR 1.67%Class EUR C (acc) EUR 2.95%Class EUR E (acc) EUR 1.90%Class EUR F (acc) EUR 2.97%Class EUR Z (acc) EUR 1.94%Class GBP A (acc) GBP 1.92%Class GBP A (inc)2 GBP 1.99%Class GBP D (acc) GBP 1.67%Class GBP E (acc) GBP 2.38%Class GBP E (inc) GBP 1.95%Class GBP F (acc) GBP 3.01%Class GBP Z (acc) GBP 1.98%Class USD A (acc) USD 1.98%Class USD B (acc) USD 1.91%Class USD D (acc)3 USD 2.09%Class USD E (acc) USD 2.14%Class USD F (acc) USD 2.99%Class USD Z (acc) USD 1.97%
Merrill Lynch Investment Solutions –York Asian Event-Driven UCITS Fund
Class CHF D (acc) CHF 1.72%Class EUR B (acc) EUR 1.91%Class EUR C (acc) EUR 2.70%Class EUR D (acc) EUR 1.66%Class GBP C (acc) GBP 2.76%Class USD B (acc) USD 1.97%Class USD D (acc) USD 1.72%
1 Launched on June 12, 20182 Liquidated on December 7, 20183 Liquidated on July 11, 2018
6 Merrill Lynch Investment Solutions
Information to the Shareholders (cont.)
Audited annual report
Sub-Funds Share Class Currency TER %
Merrill Lynch Investment Solutions –AQR Global Relative Value UCITS Fund
Class CHF A (acc) CHF 1.28%Class EUR A (acc) EUR 1.27%Class EUR A (inc) EUR 1.27%Class EUR C (acc) EUR 2.33%Class EUR Z (acc) EUR 1.30%Class GBP A (acc) GBP 1.26%Class GBP A2 (acc) GBP 1.27%Class GBP C (acc)1 GBP 0.05%Class GBP D (acc) GBP 1.28%Class GBP Z (acc) GBP 1.32%Class USD A (acc) USD 1.16%Class USD C (acc) USD 2.33%Class USD D (acc) USD 1.27%Class USD Z (acc) USD 1.19%
Merrill Lynch Investment Solutions –Merrill Lynch WNT Diversified Futures UCITS Fund (in liquidation)
Class EUR B (acc) EUR 1.71%Class EUR D (acc) EUR 1.67%Class EUR Z (acc)2 EUR 1.76%Class GBP Z (acc)3 GBP 1.72%Class USD B (acc) USD 1.65%Class USD C (acc) USD 2.44%Class USD Z (acc) USD 1.69%
Class EUR D (acc)4 EUR 0.83%Class USD B (acc)5 USD 0.92%
Merrill Lynch Investment Solutions –Merrill Lynch MLCX Commodity Alpha Fund
Class EUR B (acc) EUR 1.07%Class EUR C (acc) EUR 2.10%Class EUR E (acc) EUR 0.81%Class GBP B (acc) GBP 1.06%Class USD B (acc) USD 1.01%Class USD C (acc) USD 2.05%
Merrill Lynch Investment Solutions –Zeal Greater China Long Short UCITS Fund
Class EUR B (acc) EUR 2.33%Class EUR D (acc) EUR 1.72%Class USD B (acc) USD 2.17%Class USD D (acc) USD 1.66%Class USD Management (acc) USD 0.45%Class USD Z (acc) USD 2.19%
1 Liquidated on November 21, 20182 Liquidated on January 23, 20193 Liquidated on February 7, 20194 Liquidated on June 14, 20185 Liquidated on May 31, 2018
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Audited annual report
Sub-Funds Share Class Currency TER %
Merrill Lynch Investment Solutions –Ramius Merger Arbitrage UCITS Fund
Class EUR C (acc) EUR 2.56%Class EUR D (acc) EUR 1.46%Class EUR X1 (acc) EUR 0.92%Class EUR X2 (acc)1 EUR 1.06%Class EUR X3 (acc)2 EUR 0.75%Class EUR X4 (acc)3 EUR 1.47%Class GBP D (acc)4 GBP 1.45%Class SEK X1 (acc) SEK 1.47%Class USD B (acc) USD 1.68%Class USD C (acc) USD 2.44%Class USD D (acc) USD 1.42%Class USD Management (acc) USD 0.26%
Class EUR A (acc) EUR 0.80%Class EUR B (acc) EUR 1.11%
Merrill Lynch Investment Solutions –KLS Fixed Income UCITS Fund
Class EUR D (acc) EUR 1.42%Class USD B (acc)5 USD 1.97%Class USD C (acc)6 USD 2.76%Class USD D (acc) USD 1.36%Class USD Management (acc) USD 0.45%Class USD X2 (acc) USD 1.07%
Merrill Lynch Investment Solutions –Millburn Diversified UCITS Fund
Class CHF Z (acc) CHF 2.02%Class EUR B (acc) EUR 1.97%Class EUR C (acc) EUR 2.76%Class EUR D (acc) EUR 1.47%Class EUR X2 (acc) EUR 1.07%Class EUR X3 (acc) EUR 1.67%Class EUR X4 (inc) EUR 1.57%Class EUR Y1 (acc)7 EUR 2.28%Class EUR Z (acc) EUR 2.01%Class GBP B (acc) GBP 1.97%Class GBP D (acc) GBP 1.47%Class GBP X4 (inc) GBP 1.57%Class GBP Z (acc) GBP 2.03%Class JPY X5 (acc)8 JPY 1.68%Class USD B (acc) USD 1.91%Class USD C (acc) USD 2.70%Class USD D (acc) USD 1.49%Class USD Management (acc)9 USD 0.45%Class USD X4 (inc) USD 1.52%Class USD Y1 (acc)10 USD 2.28%Class USD Z (acc) USD 1.97%
1 Launched on October 17, 20182 Launched on December 19, 20183 Launched on January 3, 20194 Launched on January 24, 20195 Liquidated on November 29, 20186 Liquidated on November 29, 20187 Launched on July 25, 20188 Launched on June 1, 20189 Liquidated on December 18, 201810 Launched on January 10, 2019
8 Merrill Lynch Investment Solutions
Information to the Shareholders (cont.)
Audited annual report
Sub-Funds Share Class Currency TER %
Merrill Lynch Investment Solutions –Global Debt - Credit UCITS Fund
Class EUR B (acc) EUR 0.49%Class EUR B (inc) EUR 0.49%Class GBP B (inc) GBP 0.49%Class USD B (acc) USD 0.43%Class USD B (inc) USD 0.43%
Merrill Lynch Investment Solutions –Global Debt - Government UCITS Fund
Class EUR B (acc) EUR 0.39%Class EUR B (inc) EUR 0.38%Class GBP B (inc) GBP 0.39%Class USD B (acc) USD 0.33%Class USD B (inc) USD 0.34%
Merrill Lynch Investment Solutions –Global Debt - Securitised UCITS Fund
Class EUR B (acc) EUR 0.45%Class EUR B (inc) EUR 0.45%Class GBP B (inc) GBP 0.45%Class USD B (acc) USD 0.39%Class USD B (inc) USD 0.40%
The MSCI AC World Index returned -7.69% (NDLEACWF) in 2018, the worst annual return sincethe Global Financial Crisis in 2008, with losses exceeding those seen during the height of the Euro
Area Crisis in 2011. The weakness in global equities was broad based, with MSCI USA returning -5.04% (NDDLUS Index), MSCIEurope returning -10.59% (NDDLE15 Index), MSCI China returning -18.71% (NDELCHF Index) and MSCI EM returning -10.07%(NDLEEGF Index).
2018 was a year of persistent global growth slowdown. The global composite PMI fell from a near four year high in February(54.8, MPMIGLCA Index), to a near two-year low come year-end (52.7). Some of the most notable declines came from China andEurope, with the Chinese manufacturing PMI ending the year in sub-50 contraction territory (CPMINDX Index), whilst the Germanmanufacturing PMI dropped a full -11.8pts (MPMIDEMA Index).
It was also a year of tight global liquidity, and increasingly hawkish central bank rates policy. On the liquidity front, 2018 saw FedQuantitative Tightening pick up speed, whilst the ECB tapered its Quantitative Easing purchases and announced the end of QEcome year-end. At the same time, the Fed delivered four rate hikes, the most in one year since 2006, and Chinese money supplygrowth dropped to multi-decade lows (CNMS1YOY Index), as authorities continued to tackle domestic financial imbalances. Ontop of this, the USD appreciated +4.4% (DXY Curncy), putting notable pressure on Emerging Market funding.
During the year, a number of negative idiosyncratic crises around the world. Italy’s elections in May 2018 delivered first a populistmajority in parliament and then a populist government of the Five Star Movement and Lega. The decision of this government topursue a higher deficit and confrontation with the EU saw the Italy-Germany 10Y spread rise to multi-year highs, rising to over300bp during Q4.
A number of Emerging Market’s also suffered crises in 2018. Chief amongst these was Turkey, which saw its currency depreciateby over 70% vs the USD (USDTRY BGN Curncy) from the start of the year to mid-August, as a rising USD and slowing growthraised serious questions as to the central bank’s willingness to raise rates to fight inflation. The Central Bank ultimately bit thebullet, bringing the currency somewhat back under control (USDTRY ended the year around 40% higher), however only after about of real market panic.
Finally, the growing US-China trade war was a persistent headwind to equities in 2018, with the US imposing three rounds oftariffs on Chinese goods, totalling more than $250bn, and China retaliating with tariffs on $110bn of US goods.
As of the end of December 2018, the global equity market (as measured by the MSCI AC World Daily TR Net Local Index)exhibited an annual historical volatility of 12.16% (based on daily data). Volatility more than doubled from the levels of 2017 butremains in the lower range if compared with its peak in 2009 (46.42%, based on 1 year rolling daily data).
MSCI AC World returned +7.23% in January (NDLEACWF), the best monthly return since October 2015, as equities regained mostof December’s sharp losses. Gains were led by the US (NDDLUS, +8.18%) and Chinese equity markets (NDELCHF, +11.18%), withEuropean and UK equities lagging the global rebound (NDLEE18 +5.68% and NDDLUK +3.68% respectively). Three key driversbehind January’s equity rally: 1) a significant dovish pivot from the Fed, market strength in January owed a lot to the market’s“bearish overshoot” in late December; 2) the sharp market decline in the final weeks of December saw a number of sentimentindicators hit “extreme bearish” levels. 3) a reduction in key “tail risks” around the world, including easing tensions of the Italiangovernment with the EU, increased expectations that a “no deal Brexit” would be avoided and most significantly for equitymarkets, hopes grew that the US and China would be able to agree a deal to end their ongoing trade war. Global equity marketscontinued their recovery from Q4’s sharp losses in February and March 2019, with MSCI AC World returning +3.07% and +1.58%,respectively. However, in March solid headline returns masked what was a turbulent month for equity markets with two materialbouts of weakness. The ECB marked down their growth and inflation forecasts and the European March PMI data showed theGerman manufacturing sector slowed to levels last seen during the Eurozone crisis in 2012. Two factors helped to offset thenegative growth pressures coming out of Europe, as the Fed delivered another dovish surprise in their March meeting,announcing plans to end their balance sheet roll off and pulling down the FOMC dots to show no more hikes in 2019 and Chinesegrowth data showed tentative signs of growth stabilisation.
Marshall Wace’s proprietary Alpha Regime Indicator (“ARI”) seeks to assess the external risk regime in which the MW TOPSstrategies operate. Across all regions, the ARI oscillated between level 5 and 2 (on a scale of 1 to 5, with 5 being the moststressed), with oscillations in the more stressed area of the indicator during the first and last quarter of 2018, before coming backat level 2 in Q1 of 2019.
The 12 month net return generated by the Fund*was -0.91%. The strategy maintained its targeted low volatility at just around4% over the year (compared to 11.16% for the equity market**). The correlation of the Fund’s* daily returns to those of themarket** was also minimal over the 12 months at just -0.07.
Dealing Terms for the MLIS Marshall Wace TOPS UCITS Fund (Market Neutral)In order to further manage the Fund’s capacity, as of the 8th February 2019, the maximum amount per subscription in the Fundwas lowered to 20,000 EUR or 20,000 GBP or 20,000 USD (or the equivalent amount in Shares based on the last available NAV),subject to the discretion of the Board of Directors (with the agreement of the Investment Manager) to alter or waive this limit.
Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund
Mounting concerns over US/China trade tensions, slowing global growth, the upward trajectory ofUS interest rates, Brexit uncertainty, and tumbling crude prices caused global equity markets todecline sharply at the end of 2018. These issues largely outweighed the positive effects of strongearnings and constructive economic data that drove gains earlier in the year. In the first quarter of
2019, we saw a quick reversal of sentiment and a sharp rebound in markets, as central banks exhibited a dovish tone andUS/China trade negotiations progressed.
Global M&A activity throughout the time period was quite robust. Given the complexity and large size of announced transactions,we were able to deploy capital to situations that offered wide and attractive spreads. As a result, our Arbitrage portfoliocontributed positively to performance, as several of our transactions, including Aetna/CVS, Express Scripts/Cigna,Monsanto/Bayer, and Shire/Takeda Pharmaceutical, successfully closed. These gains were partially offset by our positions in NXPSemiconductors/Qualcomm, as Qualcomm walked away from the transaction after failing to secure Chinese regulatory approval,and MEG Energy/Husky Energy, after Husky walked away from the deal following the expiration of the tender offer.
Our Special Situations portfolio slightly detracted from performance as a number of idiosyncratic events negatively impacted theportfolio. Coty traded lower after reporting results that disappointed investors two quarters in a row. Dycom Industries pulledback on poor earnings due to ongoing permitting problems across the country related to Verizon 50 city fiber expansion. Ourposition in Nissan/Renault detracted on continued concerns over the outlook for global automotive production driven by weakChinese and European demand, as well as the arrest of Carlos Ghosn, Chairman of Nissan and CEO of Renault, who was accusedof misreporting income and other fraudulent activities. These losses were partially offset by a few positive events, such as thesuccessful completion of Dell Technologies’ (the tracking stock of VMware) reverse merger transaction with private companyDell.
Looking forward, we are constructive on the global event-driven opportunity set, as the renewed level of investor andmanagement confidence has led to a resurgence of corporate activity, which had slowed during Q4 2018. M&A activity in the firstquarter of 2019 has been strong due to a variety of factors, such as industry disruption, the need for growth, and arbitragebetween private and public valuations. We are constructive as this activity has been broad across sectors and driven by bothstrategic and private equity buyers. Furthermore, in Europe, we believe Brexit uncertainty has resulted in a pent up M&A pipeline,and once there is resolution, we believe that we will see a significant uptick in activity in the region. We are not necessarilyconcerned about what the outcome will be (soft or hard exit), as we believe in either scenario the market will be relieved thatthere is clarity and ready to reengage. Additionally, we are most constructive on event-driven opportunities in Europe and Asiamoving forward, given that these markets lag their US counterparts in terms of maturity and efficiency. As these regions continueto develop their corporate governance, we are seeing increased corporate activity as newly incentivized management teamsstrive to deliver value to a more demanding shareholder base.
* Class B USD Acc**As measured by the MSCI AC World Daily TR Net Local Index
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Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund
Asian markets generally declined throughout 2018 driven by concerns regarding US/China tradetensions, slowing global growth, and rising rates. However, in the first quarter of 2019, we saw asharp reversal of investor sentiment and markets quickly recovered most of the previous year’slosses as central banks exhibited a dovish tone and US/China trade negotiations progressed.
Top contributors for the period encompassed a number of M&A transactions, including our positions in Clarion, which wasacquired by Faurecia, NTT Urban, which was acquired by its parent, and our spread position in the Shire/Takeda Pharmaceuticaldeal. We identified each of these targets as attractive takeover candidates and built positions before official deals wereannounced. Additional contributors included Hitachi Chemical, which moved higher on news that its parent planned to acceleratethe reorganization of the group, including the sale of the subsidiary, and Toshiba Corp, which advanced after the companycompleted the sale of its memory chip business and announced its first share buyback in the company’s history.
Renesas Electronics was the largest detractor from performance due to a number of events, including issuing guidance materiallybelow consensus, announcing an acquisition of Integrated Device Technology at a higher-than-expected price, and announcingplans earlier in 2019 that they would look to potentially shutter a number of manufacturing plants over the summer. BrillianceChina Automotive moved lower following news that BMW would increase its stake in their joint venture agreement under newlyproposed laws regulating domestic production of foreign automakers, and the company subsequently failed to provide clarityover how it would use these proceeds. NXP Semiconductors detracted as Qualcomm walked away from the deal to buy thecompany after failing to secure Chinese regulatory approval. Nintendo declined on disappointing Q1 Switch sales data andoutlook provided for hardware in its Q3 results, as well as a lack of meaningful new products released at the 2018 ElectronicEntertainment Expo. Our arbitrage position in Alpine Electronics/Alps Electric detracted after a disappointing product launch byApple, which Alps Electric has large exposure to.
We remain very constructive on the opportunity set in Asia, particularly in Japan, as corporate governance reform has spurredactivity. During Q1 2019, there have been a number of meaningful developments that we believe could be signaling the beginningof a wave of corporate change and that Japan should no longer be considered a “value trap”. Shareholder pressure at bothOlympus and LIXIL successfully resulted in changes to their boards and senior management teams. Additionally, Itochu was ableto increase its ownership in Descente, setting the stage for a hostile takeover, which has historically been very rare in Japan’sconsensus-driven market. We believe that these events are incremental indications of how Japan’s Corporate Governance Codeand Stewardship Code are having a meaningful impact on corporate behavior. We are also encouraged by the recent positivechange in sentiment in China, driven by indications of government support for the economy through stimulus, as well assignificantly better-than-expected loan data for the first 3 months of the year. With increasing corporate activity in the region andmacro tail risk subsiding, we have been increasing gross exposure; however, we will continue to maintain our low net betaexposure positioning to minimize directional market risk.
Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund
The AQR Global Relative Value UCITS Fund (the “Sub-Fund”) investment objective is to producehigh risk-adjusted returns while maintaining a low long term average correlation to traditionalmarkets. The Sub-Fund seeks to achieve its investment objective by providing exposure to ninesub-strategies: Long/Short Equity, Equity Market Neutral, Dedicated Short Bias, Global Macro,Managed Futures, Emerging Markets, Event Driven, Convertible and Volatility Arbitrage, and FixedIncome Relative Value.
For the year ended 31 March 2019, the Sub-Fund’s Class A shares returned -15.2%. The Class Ashares are denominated in U.S. dollars, which is the reference currency of the Sub-Fund.
Equity oriented and macro strategies, accounting for six of the nine sub-strategies, generatednegative returns, while the three arbitrage strategies contributed positively. Equity oriented strategies were the primary source oflosses, specifically Dedicated Short Bias and Equity Market Neutral. Negative returns in Dedicated Short Bias were driven bymarket-neutral stock selection strategies, largely within investor sentiment themes applied to the U.S. Losses within EquityMarket Neutral were driven by valuation themes, primarily within the U.S. portfolio, as investors showed abnormal enthusiasm forexpensive stocks. Long/Short Equity’s more modest detraction occurred largely in the last quarter of 2018 which saw widespreadreversals within and across industries.
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Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund (cont.)
Macro strategies detracted mainly due to Global Macro with losses primarily driven by relative value equity index and fixedincome directional sub-strategies. Emerging Markets’ detraction was almost entirely due to the stock selection strategies asvaluation and momentum themes struggled over the period, while Managed Futures was negatively impacted by sharp trendreversals in currencies.
Finally, all three arbitrage strategies experienced positive performance with Event Driven being the sole positive contributor ofany meaningful magnitude. Strong returns from merger arbitrage were due to a low rate of deal failures. Merger gains were smalland broad across deals with 146 deals completed out of the 214 held over the period. Of those, only eleven deals experiencedadverse terminations.
There have been no material changes to the Sub-Fund’s investment strategy or objectives during the year ended 31 March 2019.
Merrill Lynch Investment Solutions – Merrill Lynch WNT Diversified Futures UCITS Fund (in liquidation)
The information below is a draft investment advisor report that Winton Capital Management Limited (“Winton”) has provided toassist with preparing the Financial Statements of the Merrill Lynch WNT Diversified Futures UCITS Fund (in liquidation) (the“Sub-Fund”). Please note that:
The commentary is based on internal performance estimates and the Sub-Fund’s official valuation/NAV calculation is theresponsibility of the Sub-Fund’s administrator, not Winton.
1. The Sub-Fund is solely responsible for the use of this commentary in connection with the Sub-Fund’s Financial Statementsand Winton will not provide any further comments to, or review of, the Sub-Fund’s Financial Statements.
2. Winton does not approve, authorise the use or distribution thereof, or otherwise endorse or make any representationsregarding the Sub-Fund’s Financial Statements that may be prepared on the basis of this commentary.
3. Winton does not take any responsibility for the accuracy or completeness of the contents of the Sub-Fund’s FinancialStatements and disclaims any liability for any direct, indirect, consequential or other losses or damages, including loss ofprofits, incurred by you or by any third party that may arise from any reliance on the Sub-Fund’s Financial Statements.
PerformanceThe Sub-Fund performance was -0.08% from for the period as seen from the USD B shareclass of the WNT Diversified FuturesFund (in liquidation).
US-China trade tensions, tightening US monetary policy and a sharp equity selloff in the final quarter of 2018 were the headlinestories in financial markets over the review period. Global equity indices still ended the 12 months slightly higher than where theystarted, as a positive return from the US market offset falls in Japanese and European stocks. Yields on government bonds alsomostly fell, particularly in Germany, while the US dollar appreciated against most major currencies.
The Sub-Fund’s positioning in fixed income was profitable over the course of the 12 months, while exposure to currencies andequities led to losses.
Bond futures led the Sub-Fund’s positive performance in fixed income, with gains in German, Australian and Japanesegovernment bonds accounting for the largest share of profits. Results were, however, mixed in the US, with profits from fallingshort-dated Treasuries failing to offset losses from their longer-dated counterparts. In short-term interest rates, the Sub-Fundprofited from short exposure to Euribor futures.
Currencies were the biggest detractor from performance amid some large moves in emerging markets. The Turkish lira, Russianrouble and South African rand all posted some sharp falls against the US dollar during the 12 months, though the Sub-Fund’slosses in these markets were limited due to relatively small positions. Developed market currencies also contributed negatively toperformance overall, particularly positioning in the British pound, which was whipsawed over the first six months of the reviewperiod, depreciating against the US dollar while the Sub-Fund was long and vice versa. These losses were partly offset by profitsin the euro, with the Sub-Fund benefiting from short exposure versus the dollar during the second half of 2018.
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Merrill Lynch Investment Solutions – Merrill Lynch WNT Diversified Futures UCITS Fund (in liquidation)(cont.)
Equities also proved challenging for the Sub-Fund’s performance over the 12 months due to losses in stock index futures, wherelong positioning in Japanese and European indices weighed on returns. Long-short equity systems, meanwhile, were flat, with theindustrials and communication services sectors cancelling out profits from consumer discretionary stocks.
The MLIS Enhanced Equity Volatility Premium Fund (ISIN: LU0994402526, Bloomberg: MLEVP02 LX Equity) returned +2,0% netduring the reporting period, compared with the EuroStoxx 50 Index which returned -0.3% until the end of March 2019. Thestrategy’s volatility of 8,5% was again below the volatility of the EuroStoxx 50 Index.
European Stocks were driven by political topics like the Italian elections, the never ending discussions on Brexit, but alsoeconomic topics like the Trade War China vs. US, uncertainty around future Central Bank Policies and the strong Euro (for most ofthe 12 month period).
The Fund showed a relatively stable performance with minor drawdowns throughout the whole reporting period. Until end ofSeptember most options in the fund matured worthless. Due to the market turbulences starting in October the number of shortput options maturing in the money increased significantly. During the period of the downturn in European equities in the lastquarter 2018 the fund also achieved a relative stable performance. At this time it payed off that the fund is invested only inEuroStoxx 50, the same strategy on S&P 500 would have looked much worse. As the Equity market recovered with the beginningof 2019, the fund could not participate in the market recovery due to some call options ending in the money at maturity.
At the beginning of February a change in the funds guidelines became effective. The greater possibility of active managementdecisions gives us greater flexibility. Before that active decisions were subject to certain criteria which had to be fulfilled.Throughout the reporting period active management decisions were only made after the strong sell off in December– for the restof the time we felt fine with the systematic approach defining the strikes of the options.
Commodities were down this period (01 April 2018 – 31 March 2019) as the BCOM TR Index fell by 5.25%. The main positiveperformers this period were Lean Hogs, Live Cattle and Wheat, while Soybean Meal, Coffee and Soybeans underperformed.Elsewhere, equities and bonds were up in the same period by 9.50% and 4.56% as measured by the S&P 500 and ML Bond index.
The Petroleum sector saw wild swings this period, as Brent rallied up to $86/bbl before plummeting down to $50/bbl andsubsequently recovered a little to end the period with a loss of 2.68%. WTI has done worse in the same period and fell by 7.39%,as US production increased with a steady pace and helped the US become a net-exporter of Energy for the first time. The rapidcorrection of prices in the last quarter of 2018 can be explained by various factors. Most importantly by the fact that supply anddemand moved into an imbalance, as US crude production reached record highs and the global economic slowdown reduceddemand (forecasts). Furthermore, the strong dollar put additional pressure on dollar-denominated Oil prices, as the DXY Indexincreased by 7.79%. More recently, strict OPEC+ output cuts have helped to stabilise prices and explain the rally over the last fewweeks. US inventories have recovered from the extremely low levels last year at the same time, but are still below 5-year seasonalaverages.
Agricultural products moved lower during the period (BCOMAG TR down by -16.3%) with the biggest underperformers beingCoffee and the Soybean products. The Soybean products (all down between -11% and -21%) specifically suffered in the springand summer of 2018, when the US-China trade war rhetoric peaked and China announced a 25% tariff on US Soybean imports.This sent forecasted demand for US Soybeans lower and consequently explains the drop of prices. Since July 2018, prices haverecovered slightly, but are far off the highs seen in March and April. Lean Hogs have been the best performer this period(+35.15%). Most of the Lean Hogs price increases occurred in March 2019 on the back of a Swine Flu outbreak in China, whichhas already reduced the Chinese pig herd by more than 15%.
Base Metals posted a slightly negative performance in the period (BCOMIN TR -3.1%). Some of this negative performance can beexplained by the global economic slowdown and specifically by the poor data coming out of China, which is the most importantconsumer of these metals. The aforementioned Dollar-strength also put pressure on prices.
The MLCX03 TR Index (the Index underlying the MLCX Commodity Enhanced Beta Fund) overall lost 2.71% in the period,outperforming its benchmark (BCOM TR index) by +2.55%.
The MLCX Commodity Fund’s Class USB B (acc) shares were up by +10.38% in the period from April 2018 to March 2019,outperforming the cash market by +10.03%.
Main contributors to the strategy were Natural Gas and Soybeans. Lean Hogs and Gasoline were the worst performers in thisperiod. Overall, 13 out of 23 commodities contributed positively.
Natural Gas was the most volatile component this year and was affected by wild price swings of futures and time spreads in therecent winter. Initially, the component contributed negatively, when Natural Gas prices spiked, but benefitted from thesubsequent reversal and ended up being the best contributor. For Natural Gas the strategy was short the January and long theMarch contract in most of November and was hurt by the harsh rally in Natural Gas prices (+41%), which occurred on the back oflow US inventories (the lowest they have been in 15 year during the same time of the year) and US temperatures surprisinglyfalling below expectations. In this environment, the forward curve moved into a steep backwardation and especially the Januarycontract (which the strategy was short) outperformed as it usually is the most affected by the winter season and has the highestwinter risk premium embedded. Then in December, the winter premium almost completely disappeared from the forward curve,following a complete reversal of weather conditions. December saw much warmer temperatures than expected and future pricesfell more than 36% during the month. This price decline has helped the Natural Gas component more than recover the losses itexperienced in the previous month. For most of the month, the strategy was short the March contract and long the April contractand benefitted from a flattening of the forward curve (less backwardated), as the front-dated contract prices fell significantlymore than the prices of longer dated contracts.
The Lean Hogs component was the worst contributor to the strategy’s overall performance. Lean Hog prices were subject to wildswings in 2018 and 2019 and saw three major price spikes of +40% or more during the period. The last two spikes (September2018 and March 2019) were both caused by an outbreak of the African Swine Flu in China, which has significantly reduced pigherd size and subsequently increased demand for US Lean Hogs. Each of the spike came along with an outperformance of thefront-dated futures (which the strategy is short), because demand surges and panic buying are usually focused on the front of thecurve, while longer-dated futures (which the strategy is long) usually react less violently.
Merrill Lynch Investment Solutions – Zeal Greater China Long Short UCITS Fund
2018 was a tough year for Chinese equities. Shadowed by the escalating trade tensions betweenChina and the US, the market experienced big swings whenever any news and rumors on thenegotiation came out. That being said, in the past few months, the two countries have been
showing signs of progress in the trade talks. On top of that, China’s supportive policies on liquidity management andinfrastructure investment stimulus are taking effect. Business confidence is gradually being restored and the market has been onan uptrend since 2019.
The recently announced March Manufacturing Purchasing Managers’ Index (PMI) beat the market consensus of 49.6% andrebounded to 50.5% from 49.2% in February1 . We think the rebound was not only driven by inventory restocking, but also gradualpick-up in domestic manufacturing demand. The strong manufacturing data shows that the real economy recovery was fasterand stronger than expected. From the end of 2018 to the beginning of 2019, many companies decided to adopt a conservativeapproach and kept low inventory levels against a backdrop of economic uncertainty. But from our recent on-the-ground research,we saw a turnaround in business confidence and manufacturers have had a gradual recovery in productions and sales. We expectbusinesses to procure more aggressively in the coming months which may push some of the domestic demand indicators higher.Upstream sectors saw a slow and steady recovery in March, with industrial products, including coal, aluminum, and oil pricesrising.
In our view, this round of recovery will not only last longer, but will likely evolve into a self-sustained recovery. Unlike previousstimulus packages that focused on infrastructure spending, China’s stimulus measures this time target primarily its private1 Source: CICC Research, as of March 2019
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Merrill Lynch Investment Solutions – Zeal Greater China Long Short UCITS Fund (cont.)
sector, which contributes close to two-thirds of China’s GDP and accounts for over 80% of total urban employment2. The threemajor contributing measures are as follows. First, the Ministry of Finance promised to reduce the total burden of tax and fees byRmb 2 trillion (around 2% of projected 2019 GDP) 2. Second, The PBoC has significantly lowered banks’ funding cost and beenconducting regulatory reforms to ensure that new loans go to private companies. Third, China has decided to adopt the OECD’scompetitive neutrality framework as a guiding principle for SOE reforms, pledging to improve the business environment forprivate companies. If executed effectively, these stimulus measures may help corporates replenish cash flow and increase urbanconsumers’ purchasing power, leading to rising private investment and revitalized consumer demand. We see a virtuous cycletaking place and expect a self-sustained growth recovery in the coming quarters.
Despite our optimism in the economy, we remain prudent. We notice that the recent stock rally is partly driven by the earlyliquidity from policy easing that wasn’t filtered through to the economy, but instead locked in the financial system. In March, themedium-and-long-term loans increased significantly, indicating that liquidity is slowly turning into credit, which may weaken theliquidity of the stock market marginally. However, the operating environment of certain individual companies is believed tobenefit from the improved credit environment; therefore, the performance of these companies may outperform the market.Because of the marginally tightened liquidity in the stock market, beta may begin to take a back seat as alpha stock-pickingbecomes more important. And as fundamentally-driven investors, we continue to look for long-term winners that have the rightbusinesses, right management teams and whose stock prices are trading at reasonable valuations.
Merrill Lynch Investment Solutions – Ramius Merger Arbitrage UCITS Fund
Performance CommentaryOver the fiscal year ending March 31, 2019, the Fund delivered positive absolute performance andalso outperformed the HFRX Merger Arbitrage Index, an index of alternative investment managersoperating under private partnership structures that are generally less regulated than UCITS funds.
The Shire/Takeda transaction was the largest positive contributor for the year. The deal had the hallmarks of situations that ourinvestment process thrives on: The spread carried a significant excess risk premium due to its sheer size, which catered to ourconcentrated style of portfolio construction; it traded in a wide range which was conducive to our active trading approach andenabled us to effectively buy the spread multiple times over the life of the deal; Shire and Takeda securities traded on severalexchanges and had liquid options markets; and fundamentally the deal had interesting but answerable research questions andrisks to address, such that our research process was able to add substantial value as we built conviction in the trade. Interestingly,2019 has begun with two new large transactions in the pharmaceutical sector, and we look forward to further applying ourexperience in this vertical.
The most significant detractor for the year was our investment in NXP Semiconductors-Qualcomm. We suffered losses on thisposition in April and May of 2018 but were able to recover some ground by trading the position in June as news swung from wildlypositive (a false report that China had approved the deal) back to its current state of limbo. Qualcomm and NXP did not receiveChinese regulatory approval by their self-imposed July 25th termination date, the deal was terminated, and NXP received a$2 billion termination fee. The parties were adamant that the process had turned political and that the deal was a casualty of theU.S.-China trade dispute.
Looking forward, we continue to view merger arbitrage as valuable diversifying exposure in an uncertain market and are excitedfor the opportunity set in front of us.
The MLIS Enhanced Cross Asset Volatility Premium Fund (ISIN: LU1468410664, Bloomberg: MLCAVEB LX Equity) returned-2,3% net during the reporting period.
Global markets were driven by political topics like the Italian elections, the never ending discussions on Brexit, but also economictopics like the Trade War China vs. US, uncertainty around future Central Bank Policies and the strong Euro (for most of the12 month period). Volatility in most asset classes experienced at least one short term volatility spike which had a negative impacton the fund performance.2 Source: HSBC Global Research, as of April 2019
At the beginning of the reporting period the Union Investment Cycle Navigator was in phase 6 of the business cycle. From Aprilto the first half of May the Fund performance was positive, the drop during the last week of May reflected theflight-to-safety-rally in government bonds due to the Government crisis in Italy. After a positive performance from June toSeptember the fund could recover, which resulted in a loss of 4.6% in the third quarter. We also got a new signal from ourBusiness Cycle Navigator which turned positive in September and switched from phase 6 to phase 5. As a result we increased ourexposure to Equity and FX Volatility while Commodity and Fixed Income Volatility was still at a balanced level.
In October we saw a big drawdown in most asset classes. The turbulences in the US Stock and High yield market lead to adrawdown in the Fund’s performance of 3.9% in October. The Cycle Navigator switched again at the end of November in phase6. Due to the market sell off in December the volatility in most asset classes finished the year 2018 at very high levels comparedto last year’s average.
The new year started with risk on for most asset classes. All global equity indices and most commodities gained significantly inJanuary while credit spreads became tighter. The Fund’s performance could benefit from the recovery in risky assets resulting ina decline in volatility. Because of the strong performance of Equity and Commodity Volatility Indices the Cross Asset VolatilityFund experienced in January 2019 the best monthly return since inception and a strong recovery from the drawdowns at the yearend. At the beginning of the year a weakening in some macro-economic data pushed the Cycle Navigator into phase 7 whichrepresents a very defensive allocation. In line with market performance the macro-economic and financial market data improvedduring the next weeks and by the end of February 2019 the Cycle Navigator switched into phase 5 which meant for the fund ahigher allocation to the different short volatility indices. A positive performance in February was followed by a drop in Marchwhich was caused by discussions around the FED rate hike cycle and some weak macro data at the end of the reporting period.
Merrill Lynch Investment Solutions – KLS Fixed Income UCITS Fund
The KLS Fixed Income UCITS Fund returned +0.16% net of fees and expenses over the 12-monthperiod starting in April 2018. In terms of Fund performance, the structured products portfolio hadpositive performance with contributions from both CMBS and Resi. Returns for the credit portionof the portfolio were modestly negative over the 12-month period, while the rates book was flat.
As of quarter end, roughly 80% of risk exposure was allocated to US and non-US rates themes, with the remaining 20% incorporate credit and structured products.
Rates Markets and PositioningThe past year has been a tale of two halves for most global rates markets. The 2nd and 3rd quarters of 2018 were characterizedby generally rising bond yields, especially in the US. The Federal Reserve hiked rates in June and September and committed to afurther hike in December as the labor market remained tight and core inflation stayed close to its 2% target. By the 4th quarter,however, tighter financial conditions in China began to have a measurable impact on growth in Asia, which quickly spread toEurope. Disappointing earnings from several large US multinationals in November finally brought the sell-off to the US to finishthe year, and when the Fed followed through on its pledge to hike rates again in December risk markets sold off aggressively toclose out 2018.
In emerging markets, strength in the first quarter of 2018 gave way to waves of weakness throughout the rest of the year. Astronger dollar and higher US interest rates pressured most countries, led by Argentina and Turkey. The slowdown in China andfears over ongoing trade tensions with the US added to worries, especially in the 4th quarter.
Returns for the rates portfolio were mixed over the past year. Emerging markets remain an overall positive, as the volatility of lastyear allowed some of our largest long and short risk positions to be meaningful contributors to returns. Developed markets sawgains in our systematic and currency strategies but losses in strategies focused on US rates.
Looking ahead in emerging markets, we remain optimistic about the opportunity set as divergences in policies and fundamentalshave persisted across a number of large economies, which typically bodes well for our core relative value strategies. In developedmarkets, we have been frustrated by the rock bottom levels of volatility in rates and especially currency markets, but we areencouraged by the fact that such periods have often sown the seeds of their own end—which we hope to witness in the quartersahead.
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Merrill Lynch Investment Solutions – KLS Fixed Income UCITS Fund (cont.)
US Credit Markets and PositioningThe Corporate Credit exposure in the UCITS Fund is focused on a combination of higher quality, non-cyclical investments as wellas some higher yielding lower rated names. We are also cautious on secularly-challenged industries such as Retail and Energy. Wehave transitioned some of the portfolio from low yielding names to names that offer increased yield and potential capital gains.The recent tightening that has occurred in the 1Q of 2019 has allowed us to reduce the size of the portfolio and capitalize somesignificant appreciation in the portfolio. We will focus on the new issue market as well as continue to monitor high yield to rebuildthe portfolio as opportunities present themselves.
During the past 12 months, the Credit portion of the portfolio benefited from strength in names in Business Services, IndustrialServices & Leisure, which was partially offset by weakness in Healthcare and Aerospace.
At quarter end, the KLS UCITS credit exposure included 19 positions/issuers with credit ratings that range from CCC+ to BB. Withan average position size of $713,000, we have approximately 3% of UCITS risk invested in corporate credit assets. The currentweighted average yield and duration of the portfolio is 8.94% and 4.5, respectively. Investment exposure continues to be broadlyspread across sectors that are generally more defensive in nature including Waste Management, Healthcare, Education, andPackaging.
Structured Products PositioningThe KLS structured book had positive contributions across every sector, led by CMBS and Resi. We continue to be very active inthese sectors as we remain constructive on fundamentals and see inefficiencies in both markets. With the strong rally seen inQ1 of 2019, we realized some of our gains and await better entry points, particularly for some higher beta names. We are alsoclosely watching the market dynamics in CLOs and may potentially add on weakness given the sector has generally lagged otherspread products.
Looking AheadAfter a snap back in risk assets to start the year that rivaled the speed of the sell-off in Q4, global markets enter Q2 with lessanxiety but with a number of questions about global growth still unanswered. As investors gain more clarity on those and otherissues, we expect volatility to remain supported and, as always, we will look to capitalize on the dislocations that result from it.
Merrill Lynch Investment Solutions – Millburn Diversified UCITS Fund
The Fund was profitable during the period under review due almost entirely to profits from tradingenergy and interest rate futures. Elsewhere, profits from trading grain futures, soft commodity futures and currency forwards fellfractionally short of the losses generated from trading metal and equity futures. Trading of livestock futures was nearly flat.
Energy prices experienced a volatile round trip during the year as evidenced by the price of Brent crude oil, which rose fromaround $69 per barrel at the start of April to over $86/barrel in early October before plunging to under $50/barrel in December,finally rebounding back to about $69/barrel at the end of March. The initial price run-up reflected the OPEC/non-OPEC productioncontrol agreement, the U.S. decision to pull out of the JCPOA agreement and re-impose sanctions on Iran, the implosion of theVenezuelan economy, and Libyan production difficulties. The subsequent collapse in oil prices during October-December2018 reflected the fact that Saudi Arabia, Russia and the U.S. had all raised production to contain the price increases--each above11mb/d and near record levels; that global growth and hence energy demand was slowing; and that the U.S. had unexpectedlyprovided generous 180 day waivers to the Iran sanctions for several countries. After Christmas, however, energy prices reboundeddue to a renewal of OPEC+ production cuts that were running above target in early 2019 and as the U.S. tightened sanctions onVenezuelan and Iranian exports. Overall trading of Brent Crude, WTI crude and RBOB gasoline were profitable over the period. Along natural gas position was also profitable in November as seasonal demand pushed this price higher. On the other hand,trading of heating oil and London gas oil were each slightly unprofitable.
Monetary policy also rode a rollercoaster during the fiscal year. Initially signs of expanding synchronized global growth and risinginflation prompted central banks, led by the Federal Reserve, to shift from accommodative to neutral or tighter policy. By the lastquarter of 2018, however, slowing global growth, slackening inflation pressures, persistent uncertainties around Brexit andU.S.-China trade negotiations, collapsing oil prices, and increased equity and credit market volatility globally triggered anunexpectedly dovish pivot by global central banks—especially the Federal Reserve and ECB. This environment and periodiceconomic and political turmoil in a variety of emerging markets, including Turkey, Brazil, Argentina, Mexico and Indonesia and in
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Merrill Lynch Investment Solutions – Millburn Diversified UCITS Fund (cont.)
Europe, especially in Italy, Spain, France and Germany triggered capital flight and safe haven demand for government paper thatproduced profits on long German, French, British, Japanese, and Australian interest rate futures positions. Long positions inU.S. long bond futures were also profitable. There were losses on long Italian futures positions, particularly in May after unsettlingItalian election results. Trading of U.S. 5- and 10-year note futures were also unprofitable.
Ample supplies and trade uncertainties weighed on grain prices, and short corn, wheat and soybean positions were profitable,especially in June. A short coffee trade was slightly profitable too.
The U.S. dollar advanced solidly early in the period and long dollar positions were profitable. Thereafter, however, the dollar tradedvolatilely in a 4% range as uncertainty about monetary policy, growth, inflation, trade tensions and local political conflicts cloudedthe outlook and whipsawed traders. Long dollar trades versus the currencies of Brazil, Turkey, India, Sweden, Norway and the eurowere profitable, particularly in 2018. Later, short dollar trades relative to Brazil, Turkey and India were also profitable. On the otherhand, long dollar trades versus the currencies of Australia, New Zealand, Japan, Switzerland and South Africa, and trading of theMexican peso, Russian ruble and Colombian peso versus the dollar posted largely offsetting losses. Trading of the euro versusother European currencies was also unprofitable.
Equity markets were also buffeted by the vacillating growth, inflation and monetary policy perspectives, and trading of stockindex futures was mixed and marginally unprofitable overall. Trading of German, British, Korean, Australian, Japanese andCanadian equity futures, countries whose economies are heavily trade-dependent, were particularly unprofitable. Trading of theEURO STOXX, S&P 500 and U.S. Mid-Cap indices also posted losses. Meanwhile, trading of Dutch, French, Hong Kong, Taiwanese,Singaporean, NASDAQ, Russell, EAFE and emerging market stock futures registered partially offsetting gains.
A volatile dollar and varying global growth and trade outlooks, especially for China, negatively impacted metal markets. Trading ofcopper, gold, aluminum and silver were each unprofitable.
Merrill Lynch Investment Solutions – Global Debt - Credit UCITS Fund
For the year ending 31 March 2019 the portfolio has modestly outperformed its benchmark on a gross-of-fee basis. Defensivesecurity selection during the risk-on rally in January 2018 partially detracted from performance.
The Bloomberg Barclays Global Aggregate Credit Index delivered a total return of 5.16% on a US dollar-hedged basis for the yearending 31 March 2019. The average option adjusted spread (OAS) moderately tightened in April before further widening in Mayand June. Robust corporate earnings in both US and Europe, as well as temporary ease of tension on trade war between US andChina helped the broader credit market in April. The initial strength quickly faded however, as geopolitical risks took the spotlightin May and June, with a political crisis unfolding in Italy and renewing fears of US protectionism. Economic fundamentalsremained strong in the quarter however, and global indicators continued to point toward synchronized global growth.
In the third quarter although overall G7 growth seemed to be robust and above trend, solid near-term global growth was stuntedand overshadowed by prevalent and heightened geopolitical uncertainty, namely protectionism, impacting global fixed incomemarkets. Trade tensions between the US and China continued to be persistent, as further tariffs were implemented by bothcountries on one another’s goods throughout the period. On the other hand, developments were made in agreements surroundingNAFTA between the US, Canada and Mexico at the end of the quarter. Central banks were quieter this quarter and, as widelyexpected, the Federal Open Market Committee (FOMC) raised the target federal funds rate by 25bps to a new range of2%-2.25% in September. Robust economic fundamentals, a growing return of global inflows into high grade bonds, and astronger outlook for quantitative tightening have all combined to produce a supportive backdrop toward a steady grind tighter incredit spreads over the quarter.
In the fourth quarter the average option-adjusted spread widened to its widest level in two-and-a-half years. The collapse in oilprices over the quarter contributed to energy companies registering the worst performance by sector. The Aa-rated sector wasthe most robust rating category and short-dated bonds were the strongest performers in the risk-off environment, with bondsmaturing in 1-3 years delivering better excess returns than any other portion of the credit curve. Our overweight to credit versusthe government-related portion of the index detracted as the flight-to-quality supported the government-related names.
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Merrill Lynch Investment Solutions – Global Debt - Credit UCITS Fund (cont.)
The new year started positively for global credit after 2018 saw the asset class suffer its worst year since 2011. The averageoption-adjusted spread tightened and recovered much of the fourth-quarter widening. The rebound in oil prices supported strongexcess returns from energy sectors such as refining, independent energy and midstream, while home construction and gamingalso performed strongly. Lower-rated bonds outperformed, with the Baa-rated sector returning 2.93% and A-rated sector 1.98%,while Aa-rated bonds lagged relatively with 1.34%. As the market experienced a V-shaped rebound in 2019, our pro-cyclical biascontributed to performance. Specifically, an overweight exposure to consumer cyclicals, particularly to automotive, services andgaming and to technology issuers generated alpha. However, underweights to capital goods, transportation and energy off-setsome of the gains.
Portfolio PositioningFrom a portfolio positioning standpoint, we continue to have a pro-cyclical bias and are overweight credit versusgovernment-related names. The portfolio continues to be overweight Consumer Cyclical and Technology names and underweightFinancials and Energy.
Market OutlookMarch was another strong month for credit, culminating in an exceptional first quarter. European credit saw its best quarterlyperformance since the eurozone crisis in 2012, while US high yield saw the best quarterly performance. since fourth quarter2011. The dovish outlook from central banks has led investors to reach for yield, with retail funds seeing strong inflows over thequarter. This was more evident in the US where investment grade funds saw $29B of inflows and high yield saw $15B of inflows.The strong inflow picture has been reflected in market technicals, with very well subscribed deals and very low new issuepremiums. However, fundamentals continue to show only marginal improvement, with debt funded M&A continuing, and firmsperceived to be behind their deleveraging plans.
Merrill Lynch Investment Solutions – Global Debt - Government UCITS Fund
For the year ending 31 March 2019 the portfolio has tracked in line with its index, which is the fund’s investment objective.
Global Bond Market ReviewThe second quarter of 2018 saw less accommodative monetary policy gather pace and increased steps made toward tighteningas the Federal Reserve (Fed) hiked rates and the European Central Bank (ECB) declared the end of its quantitative easing andasset purchase programme by year end. Global economic activity indicators continued to point to above-trend growth, albeitlargely driven by the U.S. as the Eurozone published mixed data, and the emerging markets continued to be rocked by themarket’s risk off sentiment, tighter global funding condition and a strengthening US dollar. However, it was politics andgeopolitical risk that dominated headlines throughout the quarter, as an onslaught of news and risk events gave rise to increasingmarket uncertainty.
The third quarter of 2018 was largely characterised by further economic strength in the US and the related strain in EmergingMarkets (EM). Buoyant economic data and faster wage growth have both paved the way for further US Fed normalisation throughrate hikes and its balance sheet unwind. The withdrawal of global liquidity, coupled with idiosyncratic developments in countrieslike Argentina and Turkey, has weighed on sentiment for EM. While EM Countries with significant external financing requirementshave been most susceptible, the weakness has spread across emerging markets. Trade wars have also continued to escalate withthe US imposing tariffs on a further $US 200 billion worth of Chinese imports, marking a significant development which was notjust earmarked by rhetoric or threats.
Major sovereign bond markets began the fourth quarter selling off amid a still-rosy economic outlook and expectations ofcontinued US tightening. That mood soon changed as softer earnings, escalating trade tensions, political uncertainties and signsof weakening global growth drove a strong rally in benchmark yields over the rest of the quarter. The 10-year US Treasury yieldfell 38 basis points (bps) to 2.68%, its lowest level for 10 months. The 10-year Japanese government bond yield briefly turnednegative for the first time since 2017 before closing just above zero, a fall over the quarter of 13 bps. The 10-year yield inGermany fell 23 bps to 0.24% and in the UK fell 29 bps to 1.28%.
After 2018 delivered the unusual outcome of both global equities and global bonds suffering negative returns, 2019 began inmuch more upbeat fashion, with many asset classes rebounding strongly in an environment of low volatility. A steady rally ingovernment bonds accelerated into a marked repricing in March after the Fed delivered a dovish surprise at its meeting and
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Merrill Lynch Investment Solutions – Global Debt - Government UCITS Fund (cont.)
European manufacturing activity slumped far more than feared. Benchmark 10-year yields fell sharply across major sovereignmarkets over the quarter, by 27 bps to 2.41% in the US and by 28 bps to 1.00% in the UK. The 10-year yield in Japan began theyear barely in positive territory and fell to -0.08% at the end of March. In Germany, the epicentre of Europe’s manufacturingdownturn, the 10-year bund yield fell by 31 bps to -0.07%. The rally took yields to levels not seen since December 2017 andSeptember 2017, respectively, in the US and UK; yields in Japan and Germany fell to their lowest since the autumn of 2016.
Merrill Lynch Investment Solutions – Global Debt - Securitised UCITS Fund
For the year ending 31 March 2019 the portfolio performed in line with its benchmark. The portfolio maintained an up-in-coupontilt in an effort to try to capture static term premia. This position detracted from performance, particularly in the second quarter,but then benefitted from the steeper 5/30 curve later in the year and in the first quarter of 2019.
The Bloomberg Barclays Global Aggregate Securitized 100% USD Hedged Index returned 4.56%. The bulk of this performancecame from the US mortgage portion of the index. The Bloomberg Barclays Agency MBS Index as measured by BloombergBarclays posted a total return of 4.42% for the period under review.
Portfolio PositioningIn terms of security selection, we preferred owning specified pooled over TBAs given our outlook for elevated vol as the Fedreduced its balance sheet. Seasoned pools are a good way to shorten duration and reduce convexity exposure with minimalpay-up volatility. The downside is that bonds can be negative carry until solidly in discount space, since speeds in these cohortsare generally turnover driven.
Market OutlookWith the Fed putting rate hikes on hold and implicitly selling the basis later this year by reinvesting treasury maturities, mortgagerates are about 40 basis points below last year’s average, leaving about a third of the universe refinancible. This is boostingaffordability and net supply while spreads and rate implied volatilities near the tight end of the cycle range, which aren’t veryconducive to mortgages in the medium term. But with total carry near recent highs, underperformance will be muted, especiallyif we see other risk assets underperform given mortgages’ relative liquidity and a Fed backstop. We saw an example of this inMarch as the basis held in well despite rates breaking below 15-month lows. That said, there were material differences inperformance between agencies, as lower coupons and Ginnies meaningfully outperformed reflecting a defensive move awayfrom convexity. With few macro catalysts and policy shifts on the horizon, we would expect the mantra of defensive carry toremain the primary driver of near-term performance.
Note: The figures stated in this report are historical and not necessarily indicative of future performance.
21Merrill Lynch Investment Solutions
Investment Managers’ Report (cont.)
Audited annual report
PricewaterhouseCoopers, Société coopérative, 2 rue Gerhard Mercator, B.P. 1443, L-1014 Luxembourg T : +352 494848 1, F : +352 494848 2900, www.pwc.lu Cabinet de révision agréé. Expert-comptable (autorisation gouvernementale n°10028256) R.C.S. Luxembourg B 65 477 - TVA LU25482518
Audit report
To the Shareholders of
Merrill Lynch Investment Solutions
Our opinion
In our opinion, the accompanying financial statements give a true and fair view of the financial position
of Merrill Lynch Investment Solutions and of each of its sub-funds (the “Fund”) as at 31 March 2019,
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.
What we have audited
The Fund’s financial statements comprise:
the statement of net assets as at 31 March 2019;
the schedule of investments as at 31 March 2019;
the statement of operations and changes in net assets for the year then ended; and
the notes to the financial statements, which include a summary of significant accounting policies.
Basis for opinion
We conducted our audit in accordance with 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 Law of
23 July 2016 and ISAs as adopted for Luxembourg by the CSSF are further described in the
“Responsibilities of the “Réviseur d’entreprises agréé” for the audit of the financial statements” section
of our report.
We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for
our opinion.
We are 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. We have fulfilled our other ethical responsibilities under those ethical requirements.
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 audit report thereon.
Our opinion on the financial statements does not cover the other information and we do not express any
form of assurance conclusion thereon.
23
In connection with our audit of the financial statements, our responsibility is to read the other information
identified above 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 that fact. We have nothing to report in this regard.
Responsibilities of the Board of Directors of the Fund for the financial statements
The Board of Directors of the Fund is responsible for the preparation and fair presentation of the 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 Fund 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 Fund is responsible for assessing
the Fund’s 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 Fund
either intends to liquidate the Fund or to cease operations, or has no realistic alternative but to do so.
Responsibilities of the “Réviseur d’entreprises agréé” for the audit of the financial 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 an audit
report 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 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 Law of 23 July 2016 and with ISAs as adopted for Luxembourg
by the CSSF, we exercise professional judgment and maintain professional scepticism throughout the
audit. We also:
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 Fund’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 Fund;
24
conclude on the appropriateness of Board of Directors of the Fund’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 Fund’s 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 the “Réviseur d’Entreprises Agréé” 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 the
“Réviseur d’Entreprises Agréé”. However, future events or conditions may cause the Fund or any of
its sub-funds (except for Merrill Lynch Investment Solutions – Merrill Lynch WNT Diversified Futures
UCITS Fund where a decision to liquidate exists) 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.
Statements of Operations and Changes in Net Assets for the year ended March 31, 2019 (cont.)(expressed in the Sub-Fund’s currency)
The accompanying notes form an integral part of these financial statements.Audited annual report
Sub-Funds Notes
Merrill LynchInvestment
Solutions – GlobalDebt - Credit UCITS
FundUSD
Merrill LynchInvestment
Solutions – GlobalDebt - Government
UCITS FundUSD
Merrill LynchInvestment
Solutions – GlobalDebt - Securitised
UCITS FundUSD
CombinedEUR
Net assets at the beginning of the year 1 208 909 344 1 771 143 440 679 454 311 8 780 211 048IncomeDividends, net 2.12 - - - 24 127 927Interest on bonds, net 2.12 28 638 547 40 823 377 21 084 531 104 353 418Interest on swaps 2.3 - - - 2 202 269Bank interest 2.12 100 718 83 835 59 843 31 020 825Other income 2.12 245 - - 6 956Total Income 28 739 510 40 907 212 21 144 374 161 711 395ExpensesInvestment management and distributor fees 3 1 531 264 1 582 669 759 691 70 816 398Performance fees 3 - - - 9 418 684“Taxe d’abonnement” 7 101 140 351 273 70 345 1 215 803Operating and administrative fees 4 2 978 193 9 140 208 2 006 092 28 204 148Professional fees 5 - - - 14 045 334Interest, bank charges and transaction costs 6 29 349 - 5 643 3 165 876Interest on swaps 2.3 - - - 3 394 891Interest expense on reverse repurchase agreements 2.8 - - - 347 853Director fees 12 13 541 41 159 9 068 127 017Other expenses - 12 280 - 3 316 104Total Expenses 4 653 487 11 127 589 2 850 839 134 052 108Net Income/(Expenses) 24 086 023 29 779 623 18 293 535 27 659 287Net realised gain/(loss) on:- Sales of investments 2.10 (30 971 511) (3 889 078) (6 956 574) (34 964 367)- To be announced securities contracts 2.9 - - 489 122 435 608- Futures contracts 2.5 406 997 - 654 468 (15 503 395)- Forward foreign exchange contracts and foreign exchange translation 2.7, 2.11 (6 503 687) 29 608 223 (11 893 150) (430 249 811)- Options 2.6 - - - 5 621 539- Swaps contracts 2.3 - - - 9 730 150- Contracts for difference 2.4 - - - (263 134 912)Total realised gain/(loss) (37 068 201) 25 719 145 (17 706 134) (728 065 188)Net realised result for the year (12 982 178) 55 498 768 587 401 (700 405 901)Change in net unrealised appreciation/(depreciation) on :- Investments 2.2 5 634 885 17 344 496 848 704 42 735 095- To be announced securities contracts 2.9 - - 208 437 185 632- Futures contracts 2.5 22 323 - 459 601 (6 185 347)- Forward foreign exchange contracts 2.7 (1 227 970) 2 241 693 (3 944 844) (63 543 737)- Options 2.6 - - - (1 965 536)- Swaps contracts 2.3 - - - (5 506 217)- Contracts for difference 2.4 - - - 60 761 147Change in net unrealised appreciation/(depreciation) 4 429 238 19 586 189 (2 428 102) 26 481 037Net change in net assets as a result of operations (8 552 940) 75 084 957 (1 840 701) (673 924 864)Subscriptions 333 327 194 4 109 645 864 200 422 730 5 494 666 848Redemptions (687 236 410) (746 209 986) (137 964 981) (4 037 450 715)Distributions 11 (226 569) (97 018) (156 195) (601 628)Movements in capital (354 135 785) 3 363 338 860 62 301 554 1 456 614 505Exchange differences on the net assets as at March 31, 2019 - - - 791 416 976Net assets at the end of the year 846 220 619 5 209 567 257 739 915 164 10 354 317 665
30 Merrill Lynch Investment Solutions
Statements of Operations and Changes in Net Assets for the year ended March 31, 2019 (cont.)(expressed in the Sub-Fund’s currency)
The accompanying notes form an integral part of these financial statements.Audited annual report
Year ending as of: March 31, 2019 March 31, 2018 March 31, 2017Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral)Total Net Assets USD 2 709 707 677 3 615 083 142 2 900 074 570
Class EUR A (acc)Number of shares - - 261 981.310Net asset value per share EUR - - 140.73
Class EUR A (inc)Number of shares - - 5 775.811Net asset value per share EUR - - 142.78
Class EUR B (acc)Number of shares 9 350 439.366 11 751 549.797 9 953 494.257Net asset value per share EUR 139.60 144.63 140.66
Class EUR B (inc)Number of shares 1 933 667.077 2 078 137.591 1 937 998.243Net asset value per share EUR 120.10 124.43 121.02
Class EUR C (acc)Number of shares 1 184 344.244 1 801 866.831 2 304 854.537Net asset value per share EUR 131.51 137.34 134.52
Class EUR C (inc)Number of shares 30 319.567 34 367.228 172 516.133Net asset value per share EUR 115.13 120.24 117.76
Class EUR G (acc)Number of shares 214 665.707 319 828.572 352 644.963Net asset value per share EUR 133.40 138.26 134.52
Class EUR X1 (acc) 1
Number of shares 1 000 000.000 - -Net asset value per share EUR 96.96 - -
Class EUR Z (acc)Number of shares 168 762.159 189 655.081 111 278.223Net asset value per share EUR 119.33 123.78 120.55
Class GBP A (inc)Number of shares - - 1 768.242Net asset value per share GBP - - 140.51
Class GBP B (acc)Number of shares 797 421.099 1 254 670.095 1 142 845.716Net asset value per share GBP 146.01 149.65 144.56
Class GBP B (inc)Number of shares 77 018.630 78 197.723 76 928.306Net asset value per share GBP 144.70 148.32 143.28
Class GBP C (acc)Number of shares 5 166.830 14 500.257 10 055.007Net asset value per share GBP 129.44 133.74 130.11
Class GBP C (inc)Number of shares 24 967.431 50 023.435 7 106.435Net asset value per share GBP 135.95 140.47 136.62
Class GBP G (acc)Number of shares 17 404.405 14 615.405 29 672.275Net asset value per share GBP 138.76 142.29 137.49
Class GBP Management (inc)Number of shares 293.678 293.678 590.788Net asset value per share GBP 180.93 183.69 175.26
Class GBP Z (acc)Number of shares 1 628.579 8 651.239 4 757.688Net asset value per share GBP 119.80 122.94 118.89
1 Launched on June 12, 2018
31Merrill Lynch Investment Solutions
Statistical information
The accompanying notes form an integral part of these financial statements.
Audited annual report
Year ending as of: March 31, 2019 March 31, 2018 March 31, 2017Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) (cont.)
Class JPY B (acc)Number of shares 23 876 650.228 20 387 137.726 -Net asset value per share JPY 965.22 998.33 -
Class USD A (acc)Number of shares - - 41 767.365Net asset value per share USD - - 140.52
Class USD B (acc)Number of shares 1 456 200.868 1 808 024.855 2 760 064.053Net asset value per share USD 151.74 153.13 146.48
Class USD C (acc)Number of shares 231 734.475 313 218.077 355 139.550Net asset value per share USD 134.54 136.87 131.85
Class USD G (acc)Number of shares 38 826.103 44 004.655 48 049.802Net asset value per share USD 142.04 143.40 137.21
Class EUR A (acc)Number of shares 925 016.000 741 625.000 779 978.000Net asset value per share EUR 122.12 119.29 113.81
1 Liquidated on November 21, 20182 Liquidated on January 23, 20193 Liquidated on February 7, 2019
35Merrill Lynch Investment Solutions
Statistical information (cont.)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Year ending as of: March 31, 2019 March 31, 2018 March 31, 2017Merrill Lynch Investment Solutions – Merrill Lynch Enhanced Equity Volatility Premium Fund (cont.)
Class EUR B (acc)Number of shares 150 209.268 124 799.020 93 934.824Net asset value per share EUR 119.87 117.56 112.67
Merrill Lynch Investment Solutions – Marshall WaceTOPS UCITS Fund (Market Neutral)Schedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Quantity DescriptionQuotation
CurrencyCostUSD
Marketvalue USD
% of netassets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.)
Merrill Lynch Investment Solutions – Marshall WaceTOPS UCITS Fund (Market Neutral)Schedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Quantity DescriptionQuotation
CurrencyCostUSD
Marketvalue USD
% of netassets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.)
Merrill Lynch Investment Solutions – Marshall WaceTOPS UCITS Fund (Market Neutral)Schedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Quantity DescriptionQuotation
CurrencyCostUSD
Marketvalue USD
% of netassets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.)
Shares (cont.)15 205 Constellium NV - A USD 121 429 121 336 0.0028 774 Construction Partners, Inc. USD 264 871 367 444 0.0121 154 Container Store Group, Inc. USD 141 344 186 155 0.0152 384 Continental Building Products, Inc. USD 1 518 643 1 298 599 0.0524 252 Control4 Corp. USD 422 372 410 586 0.02
2 853 Cooper Cos., Inc. USD 825 616 844 973 0.0378 921 Corcept Therapeutics, Inc. USD 936 147 926 533 0.0314 708 Cornerstone OnDemand, Inc. USD 812 539 805 704 0.03
Merrill Lynch Investment Solutions – Marshall WaceTOPS UCITS Fund (Market Neutral)Schedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Quantity DescriptionQuotation
CurrencyCostUSD
Marketvalue USD
% of netassets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.)
Shares (cont.)16 390 Dollar Tree, Inc. USD 1 637 575 1 721 606 0.06
7 708 Donnelley Financial Solutions, Inc. USD 117 782 114 695 0.0012 065 Dropbox, Inc. - A USD 266 882 263 017 0.0113 369 DryShips, Inc. USD 61 965 61 765 0.00
129 983 ERG SpA EUR 2 576 158 2 462 200 0.097 665 Eros International Plc. USD 75 118 70 058 0.001 272 Esperion Therapeutics, Inc. USD 50 950 51 071 0.003 488 Essent Group Ltd. USD 152 836 151 554 0.018 951 Essential Properties Realty Trust, Inc. USD 162 173 174 724 0.013 279 Estee Lauder Cos, Inc. - A USD 534 293 542 838 0.02
16 112 Etsy, Inc. USD 1 107 968 1 083 049 0.04464 257 Everi Hldg., Inc. USD 3 805 251 4 883 984 0.18432 049 Evolent Health, Inc. - A USD 6 778 093 5 435 176 0.20
2 272 EW Scripps Co. - A USD 47 652 47 712 0.0024 376 Exponent, Inc. USD 1 338 834 1 406 983 0.05
47Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall WaceTOPS UCITS Fund (Market Neutral)Schedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Quantity DescriptionQuotation
CurrencyCostUSD
Marketvalue USD
% of netassets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.)
77 882 G-III Apparel Group Ltd. USD 2 945 289 3 112 165 0.12133 957 Global Medical, Inc. USD 1 347 028 1 315 458 0.05
8 322 Global Net Lease, Inc. USD 159 607 157 286 0.012 253 Globant S.A. USD 161 475 160 864 0.01
79 332 Globus Medical, Inc. - A USD 3 720 499 3 919 794 0.1565 302 Golden Ocean Group Ltd. USD 423 108 311 491 0.0138 949 Gopro, Inc. - A USD 252 773 253 168 0.01
48 Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall WaceTOPS UCITS Fund (Market Neutral)Schedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Quantity DescriptionQuotation
CurrencyCostUSD
Marketvalue USD
% of netassets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.)
4 087 Gritstone Oncology, Inc. USD 50 616 54 357 0.0081 319 Group 1 Automotive, Inc. USD 5 010 488 5 261 339 0.1952 018 Grupo Aeroportuario del Centro Norte SAB de CV - ADR USD 2 369 405 2 345 492 0.09
726 Grupo Aeroportuario del Pacifico SAB de CV - ADR USD 64 542 64 592 0.0013 314 Grupo Aeroportuario del Sureste SAB de CV - ADR USD 2 208 901 2 153 673 0.0823 979 Grupo Financiero Galicia S.A. - ADR USD 702 254 611 944 0.02
Merrill Lynch Investment Solutions – Marshall WaceTOPS UCITS Fund (Market Neutral)Schedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Quantity DescriptionQuotation
CurrencyCostUSD
Marketvalue USD
% of netassets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.)
39 115 La Jolla Pharmaceutical Co. USD 239 405 251 509 0.0140 149 Ladder Capital Corp. USD 668 647 683 336 0.03
50 Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall WaceTOPS UCITS Fund (Market Neutral)Schedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Quantity DescriptionQuotation
CurrencyCostUSD
Marketvalue USD
% of netassets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.)
Merrill Lynch Investment Solutions – Marshall WaceTOPS UCITS Fund (Market Neutral)Schedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Quantity DescriptionQuotation
CurrencyCostUSD
Marketvalue USD
% of netassets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.)
20 835 New Frontier Corp. USD 209 910 211 475 0.01126 182 New Gold, Inc. USD 143 850 108 643 0.00
52 Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall WaceTOPS UCITS Fund (Market Neutral)Schedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Quantity DescriptionQuotation
CurrencyCostUSD
Marketvalue USD
% of netassets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.)
Merrill Lynch Investment Solutions – Marshall WaceTOPS UCITS Fund (Market Neutral)Schedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Quantity DescriptionQuotation
CurrencyCostUSD
Marketvalue USD
% of netassets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.)
Merrill Lynch Investment Solutions – Marshall WaceTOPS UCITS Fund (Market Neutral)Schedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Quantity DescriptionQuotation
CurrencyCostUSD
Marketvalue USD
% of netassets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.)
Merrill Lynch Investment Solutions – Marshall WaceTOPS UCITS Fund (Market Neutral)Schedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Quantity DescriptionQuotation
CurrencyCostUSD
Marketvalue USD
% of netassets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.)
1 802 Total System Services, Inc. USD 167 240 171 208 0.0158 668 TPG Pace Hldg. Corp. - A USD 591 496 600 760 0.02
228 595 TPG RE Finance Trust, Inc. USD 4 504 375 4 480 462 0.172 923 TPI Composites, Inc. USD 86 680 83 656 0.00
56 Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall WaceTOPS UCITS Fund (Market Neutral)Schedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Quantity DescriptionQuotation
CurrencyCostUSD
Marketvalue USD
% of netassets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.)
Shares (cont.)8 644 Transportadora de Gas del Sur S.A. - B USD 135 692 113 755 0.00
26 609 Versum Materials, Inc. USD 1 308 686 1 338 699 0.053 505 Viacom, Inc. - A USD 121 491 113 737 0.00
25 333 Viacom, Inc. - B USD 692 635 711 097 0.0326 697 VICI Properties, Inc. USD 557 471 584 130 0.02
57Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall WaceTOPS UCITS Fund (Market Neutral)Schedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Quantity DescriptionQuotation
CurrencyCostUSD
Marketvalue USD
% of netassets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.)
Shares (cont.)58 377 Victory Capital Hldg., Inc. - A USD 623 586 876 823 0.0341 986 Viewray, Inc. USD 305 961 310 277 0.01
Warrants6 755 Alta Mesa Resources, Inc. USD 16 467 250 0.00
32 558 Altus Midstream Co. - A USD 50 465 17 907 0.0099 430 Churchill Capital Corp. USD 162 646 326 130 0.0133 141 Magnolia Oil & Gas Corp. USD 87 495 112 348 0.0145 959 One Madison Corp. USD 45 959 52 853 0.0029 509 Saban Capital Acquisition Corp. USD 33 935 97 0.0026 757 Sentinel Energy Services, Inc. USD 0 17 660 0.0056 527 Target Hospitality Corp. USD 66 587 87 617 0.00
58 Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall WaceTOPS UCITS Fund (Market Neutral)Schedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Quantity DescriptionQuotation
CurrencyCostUSD
Marketvalue USD
% of netassets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.)
(a) These securities are fair valued. See Notes 2.2.6 and 10.
59Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall WaceTOPS UCITS Fund (Market Neutral)Schedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Industrial classification of investments(as a percentage of net assets as at March 31, 2019) %
Industrial classification of investments(as a percentage of net assets as at March 31, 2019) %
Metal Fabricate/Hardware 0.08Cosmetics/Personal Care 0.07Food Service 0.06Storage/Warehousing 0.06Electrical Components & Equipment 0.05Savings & Loans 0.05Shipbuilding 0.04Environmental Control 0.03Forest Products & Paper 0.03Private Equity 0.03Iron/Steel 0.02Office Furnishings 0.02Water 0.01Hand/Machine Tools 0.00Home Furnishings 0.00Multi-National 0.00Pipelines 0.00
54.28Geographical classification of investments(as a percentage of net assets as at March 31, 2019) %
United States 43.16Italy 6.03United Kingdom 0.86Brazil 0.62Canada 0.57Japan 0.52Switzerland 0.45Germany 0.37China 0.31Israel 0.20Mexico 0.17France 0.13Greece 0.13Netherlands 0.11Bahamas 0.10Spain 0.09South Africa 0.07Bermuda 0.05Philippines 0.05Puerto Rico 0.05Argentina 0.04Belgium 0.04Australia 0.02Finland 0.02Ireland 0.02Taiwan 0.02Turkey 0.02Chile 0.01Cyprus 0.01Hong Kong 0.01
60 Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall WaceTOPS UCITS Fund (Market Neutral)Schedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Geographical classification of investments(as a percentage of net assets as at March 31, 2019) %
Merrill Lynch Investment Solutions – Marshall WaceTOPS UCITS Fund (Market Neutral)Schedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Currencybought Amount bought Currency sold Amount sold
Maturitydate Counterparty
Unrealisedappreciation/
(depreciation)USD
Forward foreign exchange contracts
EUR 1 869 700 000 USD 2 134 086 358 02/04/2019State Street Bank
London (34 693 933)
GBP 135 500 000 USD 180 473 205 02/04/2019State Street Bank
London (3 909 870)
JPY 22 932 000 000 USD 206 494 397 02/04/2019State Street Bank
London 688 147
USD 40 741 426 EUR 36 000 000 02/04/2019State Street Bank
London 318 830
USD 2 463 163 GBP 1 865 000 02/04/2019State Street Bank
London 32 972
CAD 4 500 000 USD 3 385 737 19/06/2019State Street Bank
London (10 817)
CHF 5 000 000 USD 5 033 001 19/06/2019State Street Bank
International Ltd. 27 205USD 18 198 719 MYR 74 000 000 19/06/2019 UBS AG 60 237
62 Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall WaceTOPS UCITS Fund (Market Neutral)Schedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Currencybought Amount bought Currency sold Amount sold
Total forward foreign exchange contracts (38 211 434)
Contracts for difference
The Sub-Fund Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) entered into contracts for difference swaps with elevencounterparties (Barclays Bank Plc., Credit Suisse AG, Credit Suisse Securities (Europe) Limited, Deutsche Bank AG, Goldman Sachs International, JPMorgan ChaseBank N.A., Merrill Lynch International Bank Ltd., Morgan Stanley Capital Services, Inc., Morgan Stanley International Plc., Société Générale and UBS AG.) with thefollowing details:
Contracts for differenceBarclays Bank Plc. Advertising Equity Short 1 879 691 74 981Barclays Bank Plc. Aerospace/Defense Equity Long 506 344 (10 271)Barclays Bank Plc. Aerospace/Defense Equity Short 4 090 097 (2 847)Barclays Bank Plc. Agriculture Equity Long 674 266 4 648Barclays Bank Plc. Agriculture Equity Short 3 310 814 14 955Barclays Bank Plc. Airlines Equity Long 14 090 (232)Barclays Bank Plc. Airlines Equity Short 15 179 953 525 992Barclays Bank Plc. Apparel Equity Long 19 662 543 998 399Barclays Bank Plc. Apparel Equity Short 423 116 (2 694)Barclays Bank Plc. Auto Manufacturers Equity Long 1 533 320 (22 658)Barclays Bank Plc. Auto Manufacturers Equity Short 18 724 665 2 722 550Barclays Bank Plc. Auto Parts & Equipment Equity Long 578 013 4 023Barclays Bank Plc. Auto Parts & Equipment Equity Short 6 744 582 459 385Barclays Bank Plc. Banks Equity Long 4 395 889 (42 522)Barclays Bank Plc. Banks Equity Short 29 033 684 (43 891)Barclays Bank Plc. Beverages Equity Long 14 116 025 804 459Barclays Bank Plc. Beverages Equity Short 8 323 000 (242 065)Barclays Bank Plc. Biotechnology Equity Long 181 291 (5 653)Barclays Bank Plc. Biotechnology Equity Short 3 029 632 53 869Barclays Bank Plc. Building Materials Equity Long 709 436 (31 353)Barclays Bank Plc. Building Materials Equity Short 8 425 712 (635 013)Barclays Bank Plc. Chemicals Equity Long 23 061 422 715 959Barclays Bank Plc. Chemicals Equity Short 8 328 424 168 205Barclays Bank Plc. Coal Equity Long 2 256 471 314 545Barclays Bank Plc. Commercial Services Equity Long 10 152 890 790 640
63Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall WaceTOPS UCITS Fund (Market Neutral)Schedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Contracts for difference (cont.)Barclays Bank Plc. Commercial Services Equity Short 535 729 (14 855)Barclays Bank Plc. Computers Equity Long 7 753 298 (189 344)Barclays Bank Plc. Cosmetics/Personal Care Equity Short 1 399 812 (37 702)Barclays Bank Plc. Distribution/Wholesale Equity Long 578 621 (2 975)Barclays Bank Plc. Distribution/Wholesale Equity Short 129 617 (10 957)Barclays Bank Plc. Diversified Financial Services Equity Long 7 288 196 (38 589)Barclays Bank Plc. Diversified Financial Services Equity Short 13 761 554 523 257Barclays Bank Plc. Electric Equity Long 1 881 804 (21 354)Barclays Bank Plc. Electric Equity Short 3 840 206 (116 926)Barclays Bank Plc. Electrical Components &
EquipmentEquity Long 10 575 752 (388 287)
Barclays Bank Plc. Electrical Components &Equipment
Equity Short 677 689 8 157
Barclays Bank Plc. Electronics Equity Long 12 913 939 (137 683)Barclays Bank Plc. Electronics Equity Short 5 261 053 23 199Barclays Bank Plc. Energy-Alternate Sources Equity Short 3 799 269 (1 355 590)Barclays Bank Plc. Engineering & Construction Equity Long 8 080 862 715 045Barclays Bank Plc. Engineering & Construction Equity Short 12 160 612 (1 538 503)Barclays Bank Plc. Entertainment Equity Short 1 263 995 (70 929)Barclays Bank Plc. Food Equity Long 469 407 (1 998)Barclays Bank Plc. Food Equity Short 13 108 801 (264 643)Barclays Bank Plc. Food Service Equity Long 269 198 46Barclays Bank Plc. Food Service Equity Short 82 368 (4 459)Barclays Bank Plc. Forest Products & Paper Equity Long 5 639 613 (59 871)Barclays Bank Plc. Forest Products & Paper Equity Short 579 245 24 949Barclays Bank Plc. Gas Equity Short 1 481 392 115 185Barclays Bank Plc. Hand/Machine Tools Equity Short 1 582 126 (11 195)Barclays Bank Plc. Healthcare-Products Equity Long 12 779 984 168 543Barclays Bank Plc. Healthcare-Products Equity Short 922 119 39 898Barclays Bank Plc. Healthcare-Services Equity Long 1 448 639 13 293Barclays Bank Plc. Healthcare-Services Equity Short 2 174 000 106 756Barclays Bank Plc. Home Builders Equity Long 1 652 482 2 760Barclays Bank Plc. Home Builders Equity Short 38 648 7 315Barclays Bank Plc. Home Furnishings Equity Long 1 071 661 14 011Barclays Bank Plc. Insurance Equity Long 17 455 243 242 105Barclays Bank Plc. Insurance Equity Short 197 145 (4 447)Barclays Bank Plc. Internet Equity Long 3 983 760 224 781Barclays Bank Plc. Internet Equity Short 13 949 762 1 167 407Barclays Bank Plc. Investment Companies Equity Short 579 928 215Barclays Bank Plc. Iron/Steel Equity Long 4 219 755 511 094Barclays Bank Plc. Iron/Steel Equity Short 211 844 2 751Barclays Bank Plc. Leisure Time Equity Long 1 153 118 18 916Barclays Bank Plc. Leisure Time Equity Short 156 264 (2 257)Barclays Bank Plc. Lodging Equity Long 359 279 (16 928)Barclays Bank Plc. Lodging Equity Short 4 870 992 (93 782)Barclays Bank Plc. Machinery-Construction &
MiningEquity Short 3 325 060 98 914
Barclays Bank Plc. Machinery-Diversified Equity Long 1 635 188 20 692
64 Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall WaceTOPS UCITS Fund (Market Neutral)Schedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Contracts for difference (cont.)Barclays Bank Plc. Machinery-Diversified Equity Short 913 309 (57 500)Barclays Bank Plc. Media Equity Long 17 726 416 1 761 635Barclays Bank Plc. Media Equity Short 138 504 23 101Barclays Bank Plc. Metal Fabricate/Hardware Equity Long 188 756 5 843Barclays Bank Plc. Metal Fabricate/Hardware Equity Short 10 410 315 129 456Barclays Bank Plc. Mining Equity Long 15 772 077 474 242Barclays Bank Plc. Mining Equity Short 13 847 973 (299 850)Barclays Bank Plc. Miscellaneous Manufacturing Equity Long 918 719 6 162Barclays Bank Plc. Miscellaneous Manufacturing Equity Short 1 364 171 5 238Barclays Bank Plc. Office/Business Equipment Equity Long 444 133 1 763Barclays Bank Plc. Office/Business Equipment Equity Short 2 653 869 (101 865)Barclays Bank Plc. Oil & Gas Equity Long 24 554 095 4 457 069Barclays Bank Plc. Oil & Gas Services Equity Short 1 260 815 (15)Barclays Bank Plc. Packaging & Containers Equity Long 143 616 (1 518)Barclays Bank Plc. Pharmaceuticals Equity Long 2 666 934 126 660Barclays Bank Plc. Pharmaceuticals Equity Short 16 250 338 (1 510 045)Barclays Bank Plc. Real Estate Equity Long 498 346 5 937Barclays Bank Plc. Real Estate Equity Short 2 211 281 255 017Barclays Bank Plc. REITS Equity Long 2 052 082 45 509Barclays Bank Plc. REITS Equity Short 1 169 467 597 332Barclays Bank Plc. Retail Equity Long 13 863 162 349 933Barclays Bank Plc. Retail Equity Short 18 136 331 (345 543)Barclays Bank Plc. Semiconductors Equity Long 2 615 983 (58 929)Barclays Bank Plc. Semiconductors Equity Short 593 029 931Barclays Bank Plc. Shipbuilding Equity Short 233 918 28 599Barclays Bank Plc. Software Equity Long 7 183 370 286 593Barclays Bank Plc. Software Equity Short 21 908 (2 599)Barclays Bank Plc. Telecommunications Equity Long 106 225 (602)Barclays Bank Plc. Telecommunications Equity Short 12 987 399 53 495Barclays Bank Plc. Textiles Equity Short 343 312 49 254Barclays Bank Plc. Transportation Equity Long 746 200 (6 827)Barclays Bank Plc. Transportation Equity Short 7 841 222 995 078Barclays Bank Plc. Water Equity Long 2 495 617 5 458Credit Suisse AG Advertising Equity Short 743 201 (2 787)Credit Suisse AG Aerospace/Defense Equity Long 1 059 124 20 665Credit Suisse AG Aerospace/Defense Equity Short 157 178 (1 352)Credit Suisse AG Agriculture Equity Long 651 085 (12 058)Credit Suisse AG Agriculture Equity Short 67 437 216Credit Suisse AG Airlines Equity Short 5 001 016 (17 988)Credit Suisse AG Apparel Equity Long 18 972 882 1 774 020Credit Suisse AG Apparel Equity Short 271 576 (7 065)Credit Suisse AG Auto Manufacturers Equity Long 1 569 748 (67 087)Credit Suisse AG Auto Manufacturers Equity Short 7 824 335 183 222Credit Suisse AG Auto Parts & Equipment Equity Long 504 406 13 423Credit Suisse AG Auto Parts & Equipment Equity Short 9 051 254 471 763Credit Suisse AG Banks Equity Long 2 645 788 (40 888)Credit Suisse AG Banks Equity Short 11 861 018 (239 333)
65Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall WaceTOPS UCITS Fund (Market Neutral)Schedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Contracts for difference (cont.)Credit Suisse AG Beverages Equity Long 7 183 271 484 036Credit Suisse AG Biotechnology Equity Long 1 370 319 129 377Credit Suisse AG Biotechnology Equity Short 15 518 560 371 041Credit Suisse AG Building Materials Equity Long 4 900 868 525 178Credit Suisse AG Building Materials Equity Short 358 801 32 807Credit Suisse AG Chemicals Equity Long 4 899 139 (77 882)Credit Suisse AG Chemicals Equity Short 10 195 689 (91 578)Credit Suisse AG Coal Equity Long 392 321 (27 662)Credit Suisse AG Commercial Services Equity Long 16 812 408 128 551Credit Suisse AG Commercial Services Equity Short 2 189 271 6 408Credit Suisse AG Computers Equity Long 4 543 408 573 088Credit Suisse AG Computers Equity Short 17 019 338 (42 250)Credit Suisse AG Cosmetics/Personal Care Equity Long 49 595 2 291Credit Suisse AG Cosmetics/Personal Care Equity Short 5 118 418 (308 607)Credit Suisse AG Distribution/Wholesale Equity Long 5 026 211 163 589Credit Suisse AG Distribution/Wholesale Equity Short 6 768 215 (772 655)Credit Suisse AG Diversified Financial Services
(a)Equity Long 39 300 468 (1 924 492)
Credit Suisse AG Diversified Financial Services Equity Short 5 546 673 (138 784)Credit Suisse AG Electric Equity Long 3 304 498 (4 055)Credit Suisse AG Electric Equity Short 5 710 313 (518 818)Credit Suisse AG Electrical Components &
EquipmentEquity Long 1 037 198 (60 836)
Credit Suisse AG Electrical Components &Equipment
Equity Short 3 930 286 346 798
Credit Suisse AG Electronics Equity Long 40 601 788 1 521 236Credit Suisse AG Electronics Equity Short 22 182 772 418 363Credit Suisse AG Energy-Alternate Sources Equity Long 66 665 (626)Credit Suisse AG Energy-Alternate Sources Equity Short 15 563 442 (1 191 437)Credit Suisse AG Engineering & Construction Equity Long 8 059 088 (84 899)Credit Suisse AG Engineering & Construction Equity Short 14 325 715 (147 435)Credit Suisse AG Entertainment Equity Long 4 410 263 79 042Credit Suisse AG Entertainment Equity Short 2 448 048 20 883Credit Suisse AG Environmental Control Equity Long 1 553 043 (18 059)Credit Suisse AG Environmental Control Equity Short 30 093 5 405Credit Suisse AG Food Equity Long 3 922 140 (303 312)Credit Suisse AG Food Equity Short 3 382 523 (106 786)Credit Suisse AG Food Service Equity Short 761 450 896Credit Suisse AG Forest Products & Paper Equity Long 1 105 612 91 046Credit Suisse AG Forest Products & Paper Equity Short 5 158 777 (356 790)Credit Suisse AG Gas Equity Long 34 013 3 812Credit Suisse AG Gas Equity Short 736 738 646Credit Suisse AG Hand/Machine Tools Equity Long 1 323 314 230 316Credit Suisse AG Hand/Machine Tools Equity Short 130 893 (3 028)Credit Suisse AG Healthcare-Products Equity Long 2 517 056 (34 610)Credit Suisse AG Healthcare-Products Equity Short 2 386 266 70 509Credit Suisse AG Healthcare-Services Equity Long 708 231 (1 830)
66 Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall WaceTOPS UCITS Fund (Market Neutral)Schedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Contracts for difference (cont.)Credit Suisse AG Holding
Companies-DiversifiedEquity Long 782 234 26 829
Credit Suisse AG Home Builders Equity Long 23 726 316 (1 164 709)Credit Suisse AG Home Furnishings Equity Long 12 745 315 233 908Credit Suisse AG Home Furnishings Equity Short 163 246 6 720Credit Suisse AG Household Products/Wares Equity Long 1 138 836 23 451Credit Suisse AG Household Products/Wares Equity Short 196 620 6 562Credit Suisse AG Insurance Equity Long 5 426 030 43 356Credit Suisse AG Insurance Equity Short 126 741 (526)Credit Suisse AG Internet Equity Long 10 411 756 851 910Credit Suisse AG Internet Equity Short 29 314 355 342 809Credit Suisse AG Investment Companies Equity Short 811 158 (6 377)Credit Suisse AG Iron/Steel Equity Long 5 194 493 (129 053)Credit Suisse AG Iron/Steel Equity Short 6 363 155 451 773Credit Suisse AG Leisure Time Equity Long 6 992 349 906 458Credit Suisse AG Leisure Time Equity Short 596 859 12 440Credit Suisse AG Lodging Equity Short 13 277 071 (91 174)Credit Suisse AG Machinery-Construction &
MiningEquity Long 1 190 295 (98 547)
Credit Suisse AG Machinery-Construction &Mining
Equity Short 77 781 5 930
Credit Suisse AG Machinery-Diversified Equity Long 22 485 971Credit Suisse AG Machinery-Diversified Equity Short 5 149 968 (213 356)Credit Suisse AG Media Equity Short 6 634 048 (1 079 159)Credit Suisse AG Metal Fabricate/Hardware Equity Long 1 199 271 74 774Credit Suisse AG Metal Fabricate/Hardware Equity Short 3 578 688 (161 413)Credit Suisse AG Mining Equity Long 13 484 490 430 551Credit Suisse AG Mining Equity Short 3 732 857 121 613Credit Suisse AG Miscellaneous Manufacturing Equity Long 3 203 624 (348 331)Credit Suisse AG Miscellaneous Manufacturing Equity Short 1 831 825 11 801Credit Suisse AG Oil & Gas Equity Long 6 070 475 137 531Credit Suisse AG Oil & Gas Equity Short 9 189 272 179 894Credit Suisse AG Oil & Gas Services Equity Long 2 471 860 372 720Credit Suisse AG Oil & Gas Services Equity Short 14 149 (753)Credit Suisse AG Packaging & Containers Equity Long 952 273 9 371Credit Suisse AG Packaging & Containers Equity Short 1 271 464 (6 110)Credit Suisse AG Pharmaceuticals Equity Long 16 184 629 185 110Credit Suisse AG Pharmaceuticals Equity Short 21 602 122 937 268Credit Suisse AG Pipelines Equity Long 69 441 (3 471)Credit Suisse AG Pipelines Equity Short 344 770 (49 225)Credit Suisse AG Private Equity Equity Long 13 655 902 1 978 663Credit Suisse AG Real Estate Equity Long 18 274 097 1 299 180Credit Suisse AG Real Estate Equity Short 2 483 132 (87 105)Credit Suisse AG REITS Equity Short 1 825 453 21 337Credit Suisse AG Retail Equity Long 13 298 225 602 466Credit Suisse AG Retail Equity Short 20 657 657 (794 255)Credit Suisse AG Savings & Loans Equity Short 82 487 108Credit Suisse AG Semiconductors Equity Long 79 459 014 566 604
67Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall WaceTOPS UCITS Fund (Market Neutral)Schedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Contracts for difference (cont.)Credit Suisse AG Semiconductors Equity Short 15 525 571 (151 169)Credit Suisse AG Shipbuilding Equity Short 6 136 750 677 555Credit Suisse AG Software Equity Long 3 304 385 260 594Credit Suisse AG Software Equity Short 18 026 941 (1 692 661)Credit Suisse AG Telecommunications Equity Long 5 589 689 201 254Credit Suisse AG Telecommunications Equity Short 23 543 320 139 959Credit Suisse AG Transportation Equity Long 716 651 18 820Credit Suisse AG Transportation Equity Short 24 556 223 124 922Credit Suisse AG Water Equity Long 239 203 806Credit Suisse Securities (Europe) Limited Aerospace/Defense Equity Short 70 755 1 105Credit Suisse Securities (Europe) Limited Agriculture Equity Short 31 343 (12)Credit Suisse Securities (Europe) Limited Airlines Equity Short 9 (1)Credit Suisse Securities (Europe) Limited Auto Manufacturers Equity Short 2 560 030 49 675Credit Suisse Securities (Europe) Limited Auto Parts & Equipment Equity Short 46 027 215Credit Suisse Securities (Europe) Limited Banks Equity Short 125 (10)Credit Suisse Securities (Europe) Limited Building Materials Equity Long 16 -Credit Suisse Securities (Europe) Limited Building Materials Equity Short 172 (28)Credit Suisse Securities (Europe) Limited Chemicals Equity Short 717 915 43 772Credit Suisse Securities (Europe) Limited Coal Equity Short 154 146 (1 280)Credit Suisse Securities (Europe) Limited Commercial Services Equity Short 1 631 (312)Credit Suisse Securities (Europe) Limited Computers Equity Short 518 497 7 285Credit Suisse Securities (Europe) Limited Diversified Financial Services Equity Short 264 420 (29 703)Credit Suisse Securities (Europe) Limited Electric Equity Short 82 486 (1 699)Credit Suisse Securities (Europe) Limited Electrical Components &
EquipmentEquity Short 73 950 2 786
Credit Suisse Securities (Europe) Limited Electronics Equity Short 1 376 558 (184 229)Credit Suisse Securities (Europe) Limited Energy-Alternate Sources Equity Short 4 -Credit Suisse Securities (Europe) Limited Entertainment Equity Short 15 290 (1 427)Credit Suisse Securities (Europe) Limited Environmental Control Equity Short 21 943 950Credit Suisse Securities (Europe) Limited Food Equity Short 46 329 (696)Credit Suisse Securities (Europe) Limited Future Index Derivatives Long 1 700 511 109 282Credit Suisse Securities (Europe) Limited Future Index Derivatives Short 305 259 1 657Credit Suisse Securities (Europe) Limited Healthcare-Services Equity Short 535 (105)Credit Suisse Securities (Europe) Limited Home Furnishings Equity Short 196 719 2 965Credit Suisse Securities (Europe) Limited Insurance Equity Short 13 1Credit Suisse Securities (Europe) Limited Internet Equity Short 19 353 (579)Credit Suisse Securities (Europe) Limited Iron/Steel Equity Short 398 205 1 925Credit Suisse Securities (Europe) Limited Machinery-Diversified Equity Short 78 829 (5 925)Credit Suisse Securities (Europe) Limited Media Equity Short 108 806 5 921Credit Suisse Securities (Europe) Limited Metal Fabricate/Hardware Equity Short 50 371 383Credit Suisse Securities (Europe) Limited Mining Equity Short 892 369 34 566Credit Suisse Securities (Europe) Limited Miscellaneous Manufacturing Equity Short 293 099 3 366Credit Suisse Securities (Europe) Limited Oil & Gas Equity Short 3 -Credit Suisse Securities (Europe) Limited Pharmaceuticals Equity Short 809 558 (52 499)Credit Suisse Securities (Europe) Limited Real Estate Equity Short 94 326 (3 280)Credit Suisse Securities (Europe) Limited Semiconductors Equity Short 31 (1)Credit Suisse Securities (Europe) Limited Shipbuilding Equity Short 81 514 (5 133)
68 Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall WaceTOPS UCITS Fund (Market Neutral)Schedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Contracts for difference (cont.)Credit Suisse Securities (Europe) Limited Software Equity Short 728 782 (64 052)Credit Suisse Securities (Europe) Limited Telecommunications Equity Short 242 565 (5 722)Credit Suisse Securities (Europe) Limited Transportation Equity Short 4 -Credit Suisse Securities (Europe) Limited Water Equity Short 29 (2)Deutsche Bank AG Advertising (a) Equity Long 3 009 -Deutsche Bank AG Advertising Equity Short 1 592 334 (55 335)Deutsche Bank AG Agriculture Equity Long 470 289 (193)Deutsche Bank AG Agriculture Equity Short 44 220 144Deutsche Bank AG Airlines Equity Short 4 054 526 428 831Deutsche Bank AG Apparel Equity Long 9 004 589 381 793Deutsche Bank AG Apparel Equity Short 171 604 (10 426)Deutsche Bank AG Auto Manufacturers Equity Long 1 184 638 (165 768)Deutsche Bank AG Auto Manufacturers Equity Short 8 405 605 (61 465)Deutsche Bank AG Auto Parts & Equipment Equity Long 1 266 177 (1 269)Deutsche Bank AG Auto Parts & Equipment Equity Short 13 677 493 338 498Deutsche Bank AG Banks Equity Long 4 227 296 32 630Deutsche Bank AG Banks Equity Short 44 291 152 2 093 127Deutsche Bank AG Beverages Equity Long 89 082 3 566Deutsche Bank AG Beverages Equity Short 143 244 (625)Deutsche Bank AG Biotechnology Equity Long 742 214 5 692Deutsche Bank AG Biotechnology Equity Short 2 512 917 (32 805)Deutsche Bank AG Building Materials Equity Long 2 479 922 15 125Deutsche Bank AG Building Materials Equity Short 4 868 305 177Deutsche Bank AG Chemicals Equity Long 123 127 (4 330)Deutsche Bank AG Chemicals Equity Short 14 705 724 (1 041 164)Deutsche Bank AG Coal Equity Long 1 789 496 7 327Deutsche Bank AG Commercial Services Equity Long 13 628 171 620 107Deutsche Bank AG Commercial Services Equity Short 6 772 093 (112 006)Deutsche Bank AG Computers Equity Long 8 558 024 151 196Deutsche Bank AG Computers Equity Short 930 729 4 093Deutsche Bank AG Cosmetics/Personal Care Equity Long 1 203 198 (15 684)Deutsche Bank AG Cosmetics/Personal Care Equity Short 3 456 451 (127 971)Deutsche Bank AG Distribution/Wholesale Equity Long 2 658 107 26 954Deutsche Bank AG Distribution/Wholesale Equity Short 190 380 (935)Deutsche Bank AG Diversified Financial Services Equity Long 9 639 673 (313 422)Deutsche Bank AG Diversified Financial Services Equity Short 3 679 988 (22 338)Deutsche Bank AG Electric Equity Long 1 778 316 (132 586)Deutsche Bank AG Electrical Components &
EquipmentEquity Long 413 706 (2 631)
Deutsche Bank AG Electrical Components &Equipment
Equity Short 453 919 86 561
Deutsche Bank AG Electronics Equity Long 4 179 555 (309 547)Deutsche Bank AG Electronics Equity Short 16 077 535 (532 992)Deutsche Bank AG Energy-Alternate Sources Equity Long 31 895 (1 502)Deutsche Bank AG Engineering & Construction Equity Long 7 096 703 (200 956)Deutsche Bank AG Engineering & Construction Equity Short 1 697 066 76 429Deutsche Bank AG Entertainment Equity Long 3 624 632 670 863
69Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall WaceTOPS UCITS Fund (Market Neutral)Schedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Contracts for difference (cont.)Deutsche Bank AG Entertainment Equity Short 3 931 839 (54 972)Deutsche Bank AG Environmental Control Equity Long 575 347 1 144Deutsche Bank AG Environmental Control Equity Short 20 888 46Deutsche Bank AG Food Equity Long 456 686 84Deutsche Bank AG Food Equity Short 12 053 687 (103 499)Deutsche Bank AG Food Service Equity Long 424 392 (64 464)Deutsche Bank AG Food Service Equity Short 760 499 (25 348)Deutsche Bank AG Hand/Machine Tools Equity Long 464 471 48 730Deutsche Bank AG Hand/Machine Tools Equity Short 3 308 776 (178 300)Deutsche Bank AG Healthcare-Products Equity Long 1 250 513 (29 420)Deutsche Bank AG Healthcare-Products Equity Short 1 651 022 (25 788)Deutsche Bank AG Healthcare-Services Equity Long 2 587 740 (96 704)Deutsche Bank AG Healthcare-Services Equity Short 8 018 160 (705 660)Deutsche Bank AG Holding
Companies-DiversifiedEquity Long 38 644 (770)
Deutsche Bank AG HoldingCompanies-Diversified
Equity Short 299 945 6 882
Deutsche Bank AG Home Builders Equity Long 1 001 364 7 139Deutsche Bank AG Home Builders Equity Short 6 483 730 55 977Deutsche Bank AG Home Furnishings Equity Short 395 745 3 781Deutsche Bank AG Household Products/Wares Equity Long 8 471 665Deutsche Bank AG Household Products/Wares Equity Short 1 313 318 (33 037)Deutsche Bank AG Housewares Equity Long 2 616 386 (43 392)Deutsche Bank AG Insurance Equity Long 12 353 826 36 668Deutsche Bank AG Insurance Equity Short 7 174 514 587 156Deutsche Bank AG Internet Equity Long 10 954 726 325 685Deutsche Bank AG Internet Equity Short 7 811 106 60 185Deutsche Bank AG Investment Companies Equity Short 294 986 15 893Deutsche Bank AG Iron/Steel Equity Short 9 822 683 (648 677)Deutsche Bank AG Leisure Time Equity Long 9 778 621 (111 544)Deutsche Bank AG Lodging Equity Long 163 885 (1 328)Deutsche Bank AG Lodging Equity Short 2 315 288 (5 507)Deutsche Bank AG Machinery-Construction &
MiningEquity Long 482 541 (5 515)
Deutsche Bank AG Machinery-Construction &Mining
Equity Short 890 311 (19 335)
Deutsche Bank AG Machinery-Diversified Equity Long 2 563 441 (86 169)Deutsche Bank AG Machinery-Diversified Equity Short 10 166 186 (26 821)Deutsche Bank AG Media Equity Long 3 925 528 (11 255)Deutsche Bank AG Media Equity Short 1 237 295 43 241Deutsche Bank AG Metal Fabricate/Hardware Equity Long 87 045 (4 209)Deutsche Bank AG Metal Fabricate/Hardware Equity Short 8 166 134 512 446Deutsche Bank AG Mining Equity Long 27 783 403 433 128Deutsche Bank AG Mining Equity Short 6 629 621 (95 439)Deutsche Bank AG Miscellaneous Manufacturing Equity Long 9 766 080 (624 845)Deutsche Bank AG Miscellaneous Manufacturing Equity Short 2 368 280 90 035Deutsche Bank AG Office/Business Equipment Equity Long 1 839 888 12 922Deutsche Bank AG Oil & Gas Equity Long 10 879 505 (22 603)
70 Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall WaceTOPS UCITS Fund (Market Neutral)Schedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Contracts for difference (cont.)Deutsche Bank AG Oil & Gas Equity Short 962 749 12 922Deutsche Bank AG Oil & Gas Services Equity Long 528 116 (36 426)Deutsche Bank AG Packaging & Containers Equity Long 366 617 10 811Deutsche Bank AG Packaging & Containers Equity Short 10 410 027 (202 830)Deutsche Bank AG Pharmaceuticals Equity Long 6 312 482 475 801Deutsche Bank AG Pharmaceuticals Equity Short 1 568 311 (138 643)Deutsche Bank AG Real Estate Equity Long 4 244 203 97 947Deutsche Bank AG Real Estate Equity Short 1 627 133 91 513Deutsche Bank AG REITS Equity Long 586 914 2 395Deutsche Bank AG REITS Equity Short 939 869 9 977Deutsche Bank AG Retail Equity Long 17 915 300 (509 534)Deutsche Bank AG Retail Equity Short 8 223 113 (201 439)Deutsche Bank AG Semiconductors Equity Long 1 857 579 (76 260)Deutsche Bank AG Semiconductors Equity Short 1 845 818 128 946Deutsche Bank AG Shipbuilding Equity Long 38 191 287Deutsche Bank AG Shipbuilding Equity Short 6 603 645Deutsche Bank AG Software (a) Equity Long 23 425 645 (148 091)Deutsche Bank AG Software Equity Short 2 506 817 26 941Deutsche Bank AG Telecommunications Equity Short 17 588 440 (524 409)Deutsche Bank AG Toys/Games/Hobbies Equity Long 7 299 417 247 020Deutsche Bank AG Transportation Equity Long 3 368 656 55 091Deutsche Bank AG Transportation Equity Short 9 475 941 201 640Goldman Sachs International Advertising Equity Long 147 402 (18 843)Goldman Sachs International Advertising Equity Short 952 116 (2 686)Goldman Sachs International Aerospace/Defense Equity Long 1 682 889 6 447Goldman Sachs International Aerospace/Defense Equity Short 2 003 714 (52 125)Goldman Sachs International Agriculture Equity Long 17 655 198 910 672Goldman Sachs International Agriculture Equity Short 9 762 925 (331 381)Goldman Sachs International Airlines Equity Long 6 479 587 (418 328)Goldman Sachs International Airlines Equity Short 10 513 735 219 583Goldman Sachs International Apparel Equity Long 5 890 979 347 357Goldman Sachs International Apparel Equity Short 7 244 496 (260 312)Goldman Sachs International Auto Manufacturers Equity Short 22 684 342 (742 278)Goldman Sachs International Auto Parts & Equipment Equity Long 371 245 (1 149)Goldman Sachs International Auto Parts & Equipment Equity Short 16 438 834 1 237 788Goldman Sachs International Banks Equity Long 3 072 421 (10 387)Goldman Sachs International Banks Equity Short 53 660 136 722 527Goldman Sachs International Beverages Equity Long 21 197 814 639 903Goldman Sachs International Beverages Equity Short 10 302 348 (518 756)Goldman Sachs International Biotechnology Equity Short 52 659 247 (2 361 327)Goldman Sachs International Building Materials Equity Long 5 164 337 109 480Goldman Sachs International Building Materials Equity Short 22 117 692 (2 161 689)Goldman Sachs International Chemicals Equity Long 6 513 973 (140 350)Goldman Sachs International Chemicals Equity Short 19 834 787 1 051 617Goldman Sachs International Coal Equity Long 798 629 2 428Goldman Sachs International Coal Equity Short 90 478 1 087Goldman Sachs International Commercial Services Equity Long 3 619 100 67 724
71Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall WaceTOPS UCITS Fund (Market Neutral)Schedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Contracts for difference (cont.)Goldman Sachs International Commercial Services Equity Short 40 111 373 (128 910)Goldman Sachs International Computers Equity Long 1 151 572 31 996Goldman Sachs International Computers Equity Short 26 126 079 (1 370 823)Goldman Sachs International Cosmetics/Personal Care Equity Long 83 751 1 789Goldman Sachs International Cosmetics/Personal Care Equity Short 11 205 298 (353 094)Goldman Sachs International Distribution/Wholesale Equity Long 455 033 12 986Goldman Sachs International Distribution/Wholesale Equity Short 2 993 018 (289 902)Goldman Sachs International Diversified Financial Services Equity Long 3 669 354 47 812Goldman Sachs International Diversified Financial Services Equity Short 9 161 196 263 569Goldman Sachs International Electric Equity Long 686 098 9 170Goldman Sachs International Electric Equity Short 8 566 424 226 446Goldman Sachs International Electrical Components &
EquipmentEquity Long 784 514 402
Goldman Sachs International Electrical Components &Equipment (a)
Equity Short 3 309 938 22 613
Goldman Sachs International Electronics Equity Long 6 098 284 (164 159)Goldman Sachs International Electronics Equity Short 39 341 032 2 315 947Goldman Sachs International Energy-Alternate Sources Equity Long 101 (6)Goldman Sachs International Energy-Alternate Sources Equity Short 9 051 970 (1 250 936)Goldman Sachs International Engineering & Construction Equity Long 22 528 403 219 017Goldman Sachs International Engineering & Construction Equity Short 22 086 744 2 705 935Goldman Sachs International Entertainment Equity Short 10 032 242 (303 334)Goldman Sachs International Environmental Control Equity Long 1 965 493 (97 412)Goldman Sachs International Environmental Control Equity Short 3 208 177 (373 762)Goldman Sachs International Equity Fund Equity Long 9 032 134 118 007Goldman Sachs International Equity Fund Equity Short 8 944 495 (615 466)Goldman Sachs International Food Equity Long 13 578 720 671 208Goldman Sachs International Food Equity Short 46 683 775 1 508 328Goldman Sachs International Forest Products & Paper Equity Long 5 691 240 (608 847)Goldman Sachs International Forest Products & Paper Equity Short 1 555 444 (7 223)Goldman Sachs International Gas Equity Long 9 427 1 096Goldman Sachs International Gas Equity Short 11 388 108 (491 110)Goldman Sachs International Hand/Machine Tools Equity Long 947 490 36 618Goldman Sachs International Healthcare-Products Equity Long 1 070 802 (15 063)Goldman Sachs International Healthcare-Products Equity Short 4 372 934 274 911Goldman Sachs International Healthcare-Services Equity Long 967 666 93 796Goldman Sachs International Healthcare-Services Equity Short 3 307 361 (121 878)Goldman Sachs International Holding
Companies-DiversifiedEquity Short 2 101 313 (314 754)
Goldman Sachs International Home Builders Equity Long 126 243 2 926Goldman Sachs International Home Builders Equity Short 6 019 931 (15 827)Goldman Sachs International Home Furnishings Equity Long 2 213 913 13 132Goldman Sachs International Home Furnishings Equity Short 3 701 065 163 606Goldman Sachs International Household Products/Wares Equity Short 538 264 (8 960)Goldman Sachs International Housewares Equity Short 10 786 011 (32 420)Goldman Sachs International Insurance Equity Long 65 451 994 2 262 867Goldman Sachs International Insurance Equity Short 22 770 782 (652 974)Goldman Sachs International Internet Equity Long 2 073 735 117 905
72 Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall WaceTOPS UCITS Fund (Market Neutral)Schedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Contracts for difference (cont.)Goldman Sachs International Internet Equity Short 61 384 878 (1 003 001)Goldman Sachs International Iron/Steel Equity Long 3 058 992 (44 784)Goldman Sachs International Iron/Steel Equity Short 7 249 453 289 088Goldman Sachs International Leisure Time Equity Long 5 938 962 (451 115)Goldman Sachs International Leisure Time Equity Short 103 497 2 327Goldman Sachs International Lodging Equity Long 354 947 (5 309)Goldman Sachs International Lodging Equity Short 3 657 231 (43 885)Goldman Sachs International Machinery-Construction &
MiningEquity Long 1 124 595 15 074
Goldman Sachs International Machinery-Construction &Mining
Equity Short 167 867 377 049
Goldman Sachs International Machinery-Diversified Equity Long 1 926 372 109 343Goldman Sachs International Machinery-Diversified Equity Short 15 978 484 (467 157)Goldman Sachs International Media Equity Long 11 987 273 96 728Goldman Sachs International Media Equity Short 2 879 005 (210 161)Goldman Sachs International Metal Fabricate/Hardware Equity Long 2 893 886 160 417Goldman Sachs International Metal Fabricate/Hardware Equity Short 2 988 082 257 658Goldman Sachs International Mining Equity Long 3 071 342 (178 092)Goldman Sachs International Mining Equity Short 51 294 470 (481 288)Goldman Sachs International Miscellaneous Manufacturing Equity Long 92 662 21 330Goldman Sachs International Miscellaneous Manufacturing Equity Short 17 267 369 (437 396)Goldman Sachs International Office/Business Equipment Equity Long 737 866 (12 339)Goldman Sachs International Oil & Gas Equity Long 8 483 682 (174 318)Goldman Sachs International Oil & Gas Equity Short 63 365 365 (270 003)Goldman Sachs International Oil & Gas Services Equity Long 1 970 575 244 966Goldman Sachs International Oil & Gas Services Equity Short 9 386 602 (1 455 293)Goldman Sachs International Packaging & Containers Equity Long 1 344 720 86 352Goldman Sachs International Packaging & Containers Equity Short 1 520 038 (25 865)Goldman Sachs International Pharmaceuticals Equity Long 11 820 309 359 881Goldman Sachs International Pharmaceuticals Equity Short 55 325 760 869 837Goldman Sachs International Pipelines Equity Long 5 831 956 135 230Goldman Sachs International Pipelines Equity Short 16 767 994 (2 562 269)Goldman Sachs International Private Equity Equity Long 1 251 942 18 454Goldman Sachs International Private Equity Equity Short 8 999 093 (296 652)Goldman Sachs International Real Estate Equity Long 21 163 074 518 830Goldman Sachs International Real Estate Equity Short 9 398 027 (1 304 981)Goldman Sachs International REITS Equity Long 4 557 310 257 697Goldman Sachs International REITS Equity Short 37 021 574 (1 122 282)Goldman Sachs International Retail Equity Long 12 373 024 (34 850)Goldman Sachs International Retail Equity Short 99 617 994 (1 205 066)Goldman Sachs International Savings & Loans Equity Short 1 307 863 64 927Goldman Sachs International Semiconductors Equity Long 9 448 100 348 850Goldman Sachs International Semiconductors Equity Short 37 437 886 (31 464)Goldman Sachs International Shipbuilding Equity Long 144 444 20 057Goldman Sachs International Shipbuilding Equity Short 813 053 120 082Goldman Sachs International Software Equity Long 9 557 546 327 537Goldman Sachs International Software Equity Short 39 141 997 (7 719 303)
73Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall WaceTOPS UCITS Fund (Market Neutral)Schedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Contracts for difference (cont.)Goldman Sachs International Telecommunications Equity Long 1 399 606 46 477Goldman Sachs International Telecommunications Equity Short 106 496 478 232 776Goldman Sachs International Textiles Equity Long 9 893 (229)Goldman Sachs International Toys/Games/Hobbies Equity Short 9 544 (548)Goldman Sachs International Transportation Equity Long 1 622 937 (62 786)Goldman Sachs International Transportation Equity Short 30 842 958 1 355 553Goldman Sachs International Trucking & Leasing Equity Short 6 515 027 77 127Goldman Sachs International Water Equity Long 29 -Goldman Sachs International Water Equity Short 3 099 077 (504 798)JPMorgan Chase Bank N.A. Advertising Equity Long 331 072 8 967JPMorgan Chase Bank N.A. Advertising Equity Short 300 829 (406)JPMorgan Chase Bank N.A. Aerospace/Defense Equity Long 874 363 41 577JPMorgan Chase Bank N.A. Aerospace/Defense Equity Short 4 034 572 623 980JPMorgan Chase Bank N.A. Agriculture Equity Long 1 726 435 (32 441)JPMorgan Chase Bank N.A. Agriculture Equity Short 6 373 217 261 998JPMorgan Chase Bank N.A. Airlines Equity Long 4 679 813 151 230JPMorgan Chase Bank N.A. Airlines Equity Short 21 106 355 1 176 527JPMorgan Chase Bank N.A. Apparel Equity Long 4 144 047 643 944JPMorgan Chase Bank N.A. Apparel Equity Short 4 493 430 (211 953)JPMorgan Chase Bank N.A. Auto Manufacturers Equity Long 9 577 191 (42 825)JPMorgan Chase Bank N.A. Auto Manufacturers Equity Short 74 552 678 (3 105 740)JPMorgan Chase Bank N.A. Auto Parts & Equipment Equity Long 2 442 341 (86 665)JPMorgan Chase Bank N.A. Auto Parts & Equipment Equity Short 7 811 347 441 732JPMorgan Chase Bank N.A. Banks Equity Long 18 425 841 (62 979)JPMorgan Chase Bank N.A. Banks Equity Short 84 699 775 3 316 684JPMorgan Chase Bank N.A. Beverages Equity Long 4 626 283 396 243JPMorgan Chase Bank N.A. Beverages Equity Short 7 689 514 (879 233)JPMorgan Chase Bank N.A. Biotechnology Equity Long 2 633 809 159 042JPMorgan Chase Bank N.A. Biotechnology Equity Short 3 907 846 44 952JPMorgan Chase Bank N.A. Building Materials Equity Long 25 480 533 502 830JPMorgan Chase Bank N.A. Building Materials Equity Short 1 477 805 (134 290)JPMorgan Chase Bank N.A. Chemicals Equity Long 15 243 368 53 809JPMorgan Chase Bank N.A. Chemicals Equity Short 10 556 921 (247 302)JPMorgan Chase Bank N.A. Coal Equity Long 41 251 892JPMorgan Chase Bank N.A. Coal Equity Short 28 559 (615)JPMorgan Chase Bank N.A. Commercial Services Equity Long 6 450 940 86 329JPMorgan Chase Bank N.A. Commercial Services Equity Short 8 062 787 (454 632)JPMorgan Chase Bank N.A. Computers Equity Long 4 766 486 89 139JPMorgan Chase Bank N.A. Computers Equity Short 3 365 561 (236 390)JPMorgan Chase Bank N.A. Cosmetics/Personal Care Equity Long 2 994 758 18 966JPMorgan Chase Bank N.A. Cosmetics/Personal Care Equity Short 650 033 (1 411)JPMorgan Chase Bank N.A. Distribution/Wholesale Equity Long 698 186 (23 783)JPMorgan Chase Bank N.A. Distribution/Wholesale Equity Short 20 061 959 (2 900 541)JPMorgan Chase Bank N.A. Diversified Financial Services Equity Long 10 007 548 (46 110)JPMorgan Chase Bank N.A. Diversified Financial Services Equity Short 4 939 949 (80 228)JPMorgan Chase Bank N.A. Electric Equity Long 1 580 904 6 634JPMorgan Chase Bank N.A. Electric Equity Short 7 691 806 (285 904)
74 Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall WaceTOPS UCITS Fund (Market Neutral)Schedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Contracts for difference (cont.)JPMorgan Chase Bank N.A. Electrical Components &
EquipmentEquity Long 843 338 (169 375)
JPMorgan Chase Bank N.A. Electrical Components &Equipment (a)
Equity Short 11 503 936 1 602 344
JPMorgan Chase Bank N.A. Electronics Equity Long 4 623 050 362 070JPMorgan Chase Bank N.A. Electronics Equity Short 14 441 400 (1 617 225)JPMorgan Chase Bank N.A. Energy-Alternate Sources Equity Long 208 338 (6 183)JPMorgan Chase Bank N.A. Energy-Alternate Sources Equity Short 12 783 385 (2 225 721)JPMorgan Chase Bank N.A. Engineering & Construction Equity Long 34 380 297 198 567JPMorgan Chase Bank N.A. Engineering & Construction Equity Short 18 179 031 (41 469)JPMorgan Chase Bank N.A. Entertainment Equity Long 4 903 900 (26 402)JPMorgan Chase Bank N.A. Entertainment Equity Short 4 671 830 35 102JPMorgan Chase Bank N.A. Environmental Control Equity Long 740 565 26 466JPMorgan Chase Bank N.A. Environmental Control Equity Short 1 731 719 (207 260)JPMorgan Chase Bank N.A. Equity Fund Equity Short 7 248 904 (95 714)JPMorgan Chase Bank N.A. Food Equity Long 6 986 637 35 143JPMorgan Chase Bank N.A. Food Equity Short 27 507 735 (943 610)JPMorgan Chase Bank N.A. Food Service Equity Short 96 708 2 792JPMorgan Chase Bank N.A. Forest Products & Paper Equity Long 31 220 246 (1 347 492)JPMorgan Chase Bank N.A. Forest Products & Paper Equity Short 873 170 (10 798)JPMorgan Chase Bank N.A. Gas Equity Long 2 543 058 151 871JPMorgan Chase Bank N.A. Gas Equity Short 5 295 303 498 445JPMorgan Chase Bank N.A. Hand/Machine Tools Equity Short 441 769 (17 883)JPMorgan Chase Bank N.A. Healthcare-Products Equity Long 12 481 993 175 917JPMorgan Chase Bank N.A. Healthcare-Products Equity Short 6 132 326 (368 407)JPMorgan Chase Bank N.A. Healthcare-Services Equity Long 6 592 840 1 381 354JPMorgan Chase Bank N.A. Healthcare-Services Equity Short 1 596 363 152 514JPMorgan Chase Bank N.A. Holding
Companies-DiversifiedEquity Long 6 728 491 246 117
JPMorgan Chase Bank N.A. HoldingCompanies-Diversified
Equity Short 192 350 (999)
JPMorgan Chase Bank N.A. Home Builders Equity Long 904 647 (23 191)JPMorgan Chase Bank N.A. Home Builders Equity Short 1 728 950 64 521JPMorgan Chase Bank N.A. Home Furnishings Equity Short 1 125 395 (4 904)JPMorgan Chase Bank N.A. Household Products/Wares Equity Short 2 921 151 (229 364)JPMorgan Chase Bank N.A. Insurance Equity Long 16 891 141 (177 513)JPMorgan Chase Bank N.A. Insurance Equity Short 8 167 389 (138 828)JPMorgan Chase Bank N.A. Internet Equity Long 2 765 236 217 621JPMorgan Chase Bank N.A. Internet Equity Short 10 609 043 150 359JPMorgan Chase Bank N.A. Investment Companies Equity Long 8 611 912 1 431 567JPMorgan Chase Bank N.A. Investment Companies Equity Short 642 552 (11 366)JPMorgan Chase Bank N.A. Iron/Steel Equity Long 8 407 768 (144 902)JPMorgan Chase Bank N.A. Iron/Steel Equity Short 17 890 523 1 470 042JPMorgan Chase Bank N.A. Leisure Time Equity Long 4 098 019 447 597JPMorgan Chase Bank N.A. Leisure Time Equity Short 2 567 936 (134 357)JPMorgan Chase Bank N.A. Lodging Equity Long 229 887 (1 125)JPMorgan Chase Bank N.A. Lodging Equity Short 10 975 047 (250 815)
75Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall WaceTOPS UCITS Fund (Market Neutral)Schedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Contracts for difference (cont.)JPMorgan Chase Bank N.A. Machinery-Construction &
MiningEquity Long 4 069 640 253 376
JPMorgan Chase Bank N.A. Machinery-Construction &Mining
Equity Short 7 242 993 12 335
JPMorgan Chase Bank N.A. Machinery-Diversified Equity Long 7 498 586 373 184JPMorgan Chase Bank N.A. Machinery-Diversified Equity Short 43 553 839 2 997 800JPMorgan Chase Bank N.A. Media Equity Long 4 254 671 49 753JPMorgan Chase Bank N.A. Media Equity Short 9 173 458 (397 568)JPMorgan Chase Bank N.A. Metal Fabricate/Hardware Equity Long 1 880 520 90 988JPMorgan Chase Bank N.A. Metal Fabricate/Hardware Equity Short 1 263 923 16 567JPMorgan Chase Bank N.A. Mining Equity Long 55 073 498 1 719 580JPMorgan Chase Bank N.A. Mining Equity Short 17 100 724 (397 655)JPMorgan Chase Bank N.A. Miscellaneous Manufacturing Equity Long 11 385 297 521 990JPMorgan Chase Bank N.A. Miscellaneous Manufacturing Equity Short 1 039 042 (65 914)JPMorgan Chase Bank N.A. Oil & Gas Equity Long 66 388 019 1 074 084JPMorgan Chase Bank N.A. Oil & Gas Equity Short 5 806 070 225 056JPMorgan Chase Bank N.A. Oil & Gas Services Equity Long 18 191 193 120 923JPMorgan Chase Bank N.A. Oil & Gas Services Equity Short 7 865 079 399 809JPMorgan Chase Bank N.A. Packaging & Containers Equity Long 7 972 063 284 889JPMorgan Chase Bank N.A. Packaging & Containers Equity Short 8 474 787 (907 441)JPMorgan Chase Bank N.A. Pharmaceuticals Equity Long 3 734 491 118 944JPMorgan Chase Bank N.A. Pharmaceuticals Equity Short 10 838 636 (140 009)JPMorgan Chase Bank N.A. Pipelines Equity Long 1 715 614 (50 714)JPMorgan Chase Bank N.A. Private Equity Equity Long 505 779 (1 380)JPMorgan Chase Bank N.A. Private Equity Equity Short 44 892 1 829JPMorgan Chase Bank N.A. Real Estate Equity Long 15 105 354 849 596JPMorgan Chase Bank N.A. Real Estate Equity Short 8 240 423 239 526JPMorgan Chase Bank N.A. REITS Equity Long 12 098 510 385 734JPMorgan Chase Bank N.A. REITS Equity Short 10 147 546 (363 850)JPMorgan Chase Bank N.A. Retail Equity Long 6 143 797 104 601JPMorgan Chase Bank N.A. Retail Equity Short 68 171 512 (1 378 534)JPMorgan Chase Bank N.A. Semiconductors Equity Long 7 890 594 (63 579)JPMorgan Chase Bank N.A. Semiconductors Equity Short 4 192 563 127 205JPMorgan Chase Bank N.A. Shipbuilding Equity Short 63 636 (1 735)JPMorgan Chase Bank N.A. Software Equity Long 7 604 534 (86 401)JPMorgan Chase Bank N.A. Software Equity Short 251 307 5 803JPMorgan Chase Bank N.A. Storage/Warehousing Equity Long 657 959 (1 184)JPMorgan Chase Bank N.A. Storage/Warehousing Equity Short 17 123 501JPMorgan Chase Bank N.A. Telecommunications Equity Long 4 338 193 (484 526)JPMorgan Chase Bank N.A. Telecommunications Equity Short 24 580 121 443 575JPMorgan Chase Bank N.A. Textiles Equity Short 900 952 49 405JPMorgan Chase Bank N.A. Toys/Games/Hobbies Equity Long 147 695 7 640JPMorgan Chase Bank N.A. Transportation Equity Long 7 638 914 252 147JPMorgan Chase Bank N.A. Transportation Equity Short 28 248 881 254 539JPMorgan Chase Bank N.A. Water Equity Long 2 236 296 (5 417)JPMorgan Chase Bank N.A. Water Equity Short 8 889 496 (448 742)Merrill Lynch International Bank Ltd. Advertising Equity Long 133 395 (279)
76 Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall WaceTOPS UCITS Fund (Market Neutral)Schedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Contracts for difference (cont.)Merrill Lynch International Bank Ltd. Advertising Equity Short 966 633 (80 420)Merrill Lynch International Bank Ltd. Aerospace/Defense Equity Long 10 909 434 (1 495 680)Merrill Lynch International Bank Ltd. Aerospace/Defense Equity Short 95 142 676Merrill Lynch International Bank Ltd. Agriculture Equity Long 9 332 274 104 969Merrill Lynch International Bank Ltd. Agriculture Equity Short 119 920 (6 836)Merrill Lynch International Bank Ltd. Airlines Equity Long 241 611 (3 561)Merrill Lynch International Bank Ltd. Airlines Equity Short 2 849 229 335 684Merrill Lynch International Bank Ltd. Apparel Equity Long 15 882 604 486 652Merrill Lynch International Bank Ltd. Auto Manufacturers Equity Long 6 759 117 95 843Merrill Lynch International Bank Ltd. Auto Manufacturers Equity Short 411 106 115 155Merrill Lynch International Bank Ltd. Auto Parts & Equipment Equity Long 34 006 980 5 464 288Merrill Lynch International Bank Ltd. Auto Parts & Equipment Equity Short 4 647 997 125 586Merrill Lynch International Bank Ltd. Banks Equity Long 19 265 468 (1 078 703)Merrill Lynch International Bank Ltd. Banks Equity Short 2 229 677 196 983Merrill Lynch International Bank Ltd. Beverages Equity Long 4 999 877 131 493Merrill Lynch International Bank Ltd. Beverages Equity Short 7 248 202Merrill Lynch International Bank Ltd. Biotechnology Equity Short 1 888 427 183 162Merrill Lynch International Bank Ltd. Building Materials Equity Long 3 705 299 491 564Merrill Lynch International Bank Ltd. Building Materials Equity Short 16 615 384 (483 428)Merrill Lynch International Bank Ltd. Chemicals Equity Long 2 157 472 19 613Merrill Lynch International Bank Ltd. Chemicals Equity Short 2 776 015 (41 125)Merrill Lynch International Bank Ltd. Coal Equity Short 539 041 (4 051)Merrill Lynch International Bank Ltd. Commercial Services Equity Long 7 788 020 (34 691)Merrill Lynch International Bank Ltd. Commercial Services Equity Short 6 536 694 274 216Merrill Lynch International Bank Ltd. Computers Equity Long 5 514 953 103 859Merrill Lynch International Bank Ltd. Computers Equity Short 1 744 507 (507 336)Merrill Lynch International Bank Ltd. Distribution/Wholesale Equity Short 1 060 878 5 255Merrill Lynch International Bank Ltd. Diversified Financial Services Equity Long 5 090 520 149 292Merrill Lynch International Bank Ltd. Diversified Financial Services Equity Short 2 112 791 31 883Merrill Lynch International Bank Ltd. Electric Equity Long 16 793 053 703 444Merrill Lynch International Bank Ltd. Electric Equity Short 98 104 1 409Merrill Lynch International Bank Ltd. Electrical Components &
EquipmentEquity Long 1 406 183 (62 097)
Merrill Lynch International Bank Ltd. Electrical Components &Equipment
Equity Short 122 127 (5 767)
Merrill Lynch International Bank Ltd. Electronics Equity Short 593 632 (16 298)Merrill Lynch International Bank Ltd. Energy-Alternate Sources Equity Long 400 212 43 564Merrill Lynch International Bank Ltd. Energy-Alternate Sources Equity Short 49 568 (3 837)Merrill Lynch International Bank Ltd. Engineering & Construction Equity Long 11 245 428 (70 724)Merrill Lynch International Bank Ltd. Engineering & Construction Equity Short 8 736 519 (1 774 406)Merrill Lynch International Bank Ltd. Entertainment Equity Short 837 208 46 376Merrill Lynch International Bank Ltd. Environmental Control Equity Short 141 029 (13 439)Merrill Lynch International Bank Ltd. Equity Fund Equity Short 163 842 (1 527)Merrill Lynch International Bank Ltd. Food Equity Long 5 327 905 (58 130)Merrill Lynch International Bank Ltd. Food Equity Short 7 647 535 679 745Merrill Lynch International Bank Ltd. Food Service Equity Short 10 515 328 (26 479)Merrill Lynch International Bank Ltd. Hand/Machine Tools Equity Short 263 111 81
77Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall WaceTOPS UCITS Fund (Market Neutral)Schedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Contracts for difference (cont.)Merrill Lynch International Bank Ltd. Healthcare-Products Equity Long 1 044 177 7 984Merrill Lynch International Bank Ltd. Healthcare-Services Equity Long 17 501 702Merrill Lynch International Bank Ltd. Healthcare-Services Equity Short 2 591 868 (157 326)Merrill Lynch International Bank Ltd. Holding
Companies-DiversifiedEquity Long 2 423 731 (247 887)
Merrill Lynch International Bank Ltd. HoldingCompanies-Diversified
Equity Short 509 056 21 804
Merrill Lynch International Bank Ltd. Home Builders Equity Long 454 171 4 614Merrill Lynch International Bank Ltd. Home Furnishings Equity Long 13 296 702 492 441Merrill Lynch International Bank Ltd. Home Furnishings Equity Short 281 231 7 431Merrill Lynch International Bank Ltd. Household Products/Wares Equity Short 2 299 131 54 916Merrill Lynch International Bank Ltd. Housewares Equity Long 2 769 871 (364 476)Merrill Lynch International Bank Ltd. Insurance Equity Long 1 239 172 (29 139)Merrill Lynch International Bank Ltd. Insurance Equity Short 1 559 390 (46 615)Merrill Lynch International Bank Ltd. Internet Equity Short 408 285 (16 143)Merrill Lynch International Bank Ltd. Investment Companies Equity Long 3 892 381 73 395Merrill Lynch International Bank Ltd. Iron/Steel Equity Long 6 395 071 194 604Merrill Lynch International Bank Ltd. Iron/Steel Equity Short 17 584 305 725 554Merrill Lynch International Bank Ltd. Leisure Time Equity Long 908 982 161 252Merrill Lynch International Bank Ltd. Machinery-Construction &
MiningEquity Long 1 042 378 (9 097)
Merrill Lynch International Bank Ltd. Machinery-Diversified Equity Long 3 232 919 205 810Merrill Lynch International Bank Ltd. Machinery-Diversified Equity Short 1 031 128 47 755Merrill Lynch International Bank Ltd. Media Equity Long 2 038 491 (41 024)Merrill Lynch International Bank Ltd. Media Equity Short 32 808 (3 311)Merrill Lynch International Bank Ltd. Metal Fabricate/Hardware Equity Long 22 116 2 700Merrill Lynch International Bank Ltd. Metal Fabricate/Hardware Equity Short 3 264 514 (98 843)Merrill Lynch International Bank Ltd. Mining Equity Long 17 944 755 123 617Merrill Lynch International Bank Ltd. Mining Equity Short 3 021 893 41 489Merrill Lynch International Bank Ltd. Miscellaneous Manufacturing Equity Long 4 917 061 (17 916)Merrill Lynch International Bank Ltd. Miscellaneous Manufacturing Equity Short 12 812 412Merrill Lynch International Bank Ltd. Office/Business Equipment Equity Long 385 878 (60 896)Merrill Lynch International Bank Ltd. Oil & Gas Equity Long 32 292 657 336 288Merrill Lynch International Bank Ltd. Oil & Gas Equity Short 10 124 013 (158)Merrill Lynch International Bank Ltd. Pharmaceuticals Equity Long 12 087 188 227 062Merrill Lynch International Bank Ltd. Pharmaceuticals Equity Short 1 935 825 (364 021)Merrill Lynch International Bank Ltd. Pipelines Equity Long 4 096 139 (26 204)Merrill Lynch International Bank Ltd. Pipelines Equity Short 29 -Merrill Lynch International Bank Ltd. Private Equity Equity Long 934 322 109 935Merrill Lynch International Bank Ltd. Real Estate Equity Short 59 140 (2 479)Merrill Lynch International Bank Ltd. REITS Equity Long 310 353 (475)Merrill Lynch International Bank Ltd. REITS Equity Short 364 366 (24 841)Merrill Lynch International Bank Ltd. Retail Equity Long 3 395 658 45 524Merrill Lynch International Bank Ltd. Retail Equity Short 13 489 763 (39 229)Merrill Lynch International Bank Ltd. Semiconductors Equity Long 1 721 948 (99 406)Merrill Lynch International Bank Ltd. Semiconductors Equity Short 544 687 1 536Merrill Lynch International Bank Ltd. Shipbuilding Equity Short 442 219 (14 685)Merrill Lynch International Bank Ltd. Software Equity Long 14 498 662 1 204 708
78 Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall WaceTOPS UCITS Fund (Market Neutral)Schedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Contracts for difference (cont.)Merrill Lynch International Bank Ltd. Software Equity Short 3 796 326 (392 405)Merrill Lynch International Bank Ltd. Telecommunications Equity Long 4 268 947 (224 685)Merrill Lynch International Bank Ltd. Telecommunications Equity Short 3 841 848 59 273Merrill Lynch International Bank Ltd. Transportation Equity Long 414 263 10 301Merrill Lynch International Bank Ltd. Transportation Equity Short 109 252 1 005Morgan Stanley Capital Services, Inc. Coal Equity Long 645 624 72 740Morgan Stanley Capital Services, Inc. Diversified Financial Services Equity Short 111 900 (22 162)Morgan Stanley Capital Services, Inc. Pharmaceuticals Equity Short 1 899 960 (538 209)Morgan Stanley Capital Services, Inc. Pipelines Equity Long 439 790 8 103Morgan Stanley Capital Services, Inc. Pipelines Equity Short 11 616 534 (809 037)Morgan Stanley Capital Services, Inc. Real Estate Equity Long 741 651 17 379Morgan Stanley Capital Services, Inc. Retail Equity Long 111 826 4 008Morgan Stanley Capital Services, Inc. Telecommunications Equity Short 4 217 250 (233 253)Morgan Stanley Capital Services, Inc. Transportation Equity Short 565 546 (21 979)Morgan Stanley International Plc. Advertising Equity Short 879 200 (99 328)Morgan Stanley International Plc. Aerospace/Defense Equity Long 9 044 (431)Morgan Stanley International Plc. Aerospace/Defense Equity Short 1 908 885 101 213Morgan Stanley International Plc. Agriculture Equity Short 5 651 598 (1 189 556)Morgan Stanley International Plc. Airlines Equity Long 1 018 799 50 547Morgan Stanley International Plc. Airlines Equity Short 598 905 12 158Morgan Stanley International Plc. Apparel Equity Short 160 317 5 512Morgan Stanley International Plc. Auto Manufacturers Equity Long 1 943 (30)Morgan Stanley International Plc. Auto Manufacturers Equity Short 2 598 098 20 715Morgan Stanley International Plc. Auto Parts & Equipment Equity Long 678 197 (17 146)Morgan Stanley International Plc. Auto Parts & Equipment Equity Short 312 690 3 224Morgan Stanley International Plc. Banks Equity Long 8 349 100 190 346Morgan Stanley International Plc. Banks Equity Short 9 230 100 492 115Morgan Stanley International Plc. Beverages Equity Long 2 233 673 79 607Morgan Stanley International Plc. Beverages Equity Short 499 (55)Morgan Stanley International Plc. Biotechnology Equity Long 51 297 (113)Morgan Stanley International Plc. Biotechnology Equity Short 1 173 502 (136 553)Morgan Stanley International Plc. Building Materials Equity Long 2 115 586 61 504Morgan Stanley International Plc. Building Materials Equity Short 6 (1)Morgan Stanley International Plc. Chemicals Equity Long 745 768 (18 583)Morgan Stanley International Plc. Chemicals Equity Short 2 922 914 8 067Morgan Stanley International Plc. Coal Equity Short 333 668 (8 334)Morgan Stanley International Plc. Commercial Services Equity Long 16 164 023 1 882 443Morgan Stanley International Plc. Commercial Services Equity Short 2 650 804 62 464Morgan Stanley International Plc. Computers Equity Long 4 491 744 (514 788)Morgan Stanley International Plc. Computers Equity Short 510 016 20 924Morgan Stanley International Plc. Cosmetics/Personal Care Equity Long 859 386 28 224Morgan Stanley International Plc. Cosmetics/Personal Care Equity Short 781 206 (90 452)Morgan Stanley International Plc. Distribution/Wholesale Equity Long 36 409 114Morgan Stanley International Plc. Distribution/Wholesale Equity Short 39 419 (6 897)Morgan Stanley International Plc. Diversified Financial Services Equity Long 2 264 563 (17)Morgan Stanley International Plc. Diversified Financial Services Equity Short 434 151 (5 697)Morgan Stanley International Plc. Electric Equity Long 9 370 473 604 940
79Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall WaceTOPS UCITS Fund (Market Neutral)Schedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Contracts for difference (cont.)Morgan Stanley International Plc. Electric Equity Short 1 494 367 (539)Morgan Stanley International Plc. Electrical Components &
EquipmentEquity Short 52 973 2 084
Morgan Stanley International Plc. Electronics Equity Short 193 815 (12 933)Morgan Stanley International Plc. Energy-Alternate Sources Equity Short 694 516 (12 502)Morgan Stanley International Plc. Engineering & Construction Equity Long 4 028 304 (17 174)Morgan Stanley International Plc. Engineering & Construction Equity Short 1 176 750 64 742Morgan Stanley International Plc. Entertainment Equity Long 21 197 1 095Morgan Stanley International Plc. Entertainment Equity Short 812 422 142 416Morgan Stanley International Plc. Environmental Control Equity Long 8 932 652 792 368Morgan Stanley International Plc. Environmental Control Equity Short 211 894 7 887Morgan Stanley International Plc. Equity Fund Equity Short 215 786 10 491Morgan Stanley International Plc. Food Equity Long 4 461 231 152 312Morgan Stanley International Plc. Food Equity Short 18 272 256 (1 254 881)Morgan Stanley International Plc. Forest Products & Paper Equity Short 150 322 (746)Morgan Stanley International Plc. Future Index Derivatives Long 12 231 498 381 138Morgan Stanley International Plc. Gas Equity Long 158 049 24 397Morgan Stanley International Plc. Healthcare-Products Equity Long 128 837 1 176Morgan Stanley International Plc. Healthcare-Products Equity Short 197 810 (4 475)Morgan Stanley International Plc. Healthcare-Services Equity Long 9 285 024 (283 758)Morgan Stanley International Plc. Healthcare-Services Equity Short 513 941 (14 704)Morgan Stanley International Plc. Holding
Companies-DiversifiedEquity Long 1 829 864 (43 864)
Morgan Stanley International Plc. Home Builders Equity Long 1 278 698 33 611Morgan Stanley International Plc. Home Furnishings Equity Long 121 060 931Morgan Stanley International Plc. Home Furnishings Equity Short 291 524 (20 680)Morgan Stanley International Plc. Housewares Equity Short 837 (120)Morgan Stanley International Plc. Insurance Equity Long 3 093 847 (9 337)Morgan Stanley International Plc. Insurance Equity Short 586 058 24 038Morgan Stanley International Plc. Internet Equity Long 392 652 5 427Morgan Stanley International Plc. Internet Equity Short 1 267 861 212 962Morgan Stanley International Plc. Iron/Steel Equity Short 1 054 820 22 218Morgan Stanley International Plc. Machinery-Construction &
MiningEquity Long 825 172 (42 410)
Morgan Stanley International Plc. Machinery-Diversified Equity Long 146 864 2 043Morgan Stanley International Plc. Machinery-Diversified Equity Short 628 485 (36 226)Morgan Stanley International Plc. Media Equity Long 10 339 71Morgan Stanley International Plc. Media Equity Short 604 519 (54 584)Morgan Stanley International Plc. Metal Fabricate/Hardware Equity Long 2 639 499 6 617Morgan Stanley International Plc. Metal Fabricate/Hardware Equity Short 417 254 (7 992)Morgan Stanley International Plc. Mining Equity Long 17 901 330Morgan Stanley International Plc. Mining Equity Short 227 489 346Morgan Stanley International Plc. Miscellaneous Manufacturing Equity Long 316 348 (41 904)Morgan Stanley International Plc. Miscellaneous Manufacturing Equity Short 296 874 762Morgan Stanley International Plc. Oil & Gas Equity Long 11 988 793 (703 471)Morgan Stanley International Plc. Oil & Gas Equity Short 285 079 (6 946)Morgan Stanley International Plc. Oil & Gas Services Equity Short 1 488 664 75 013Morgan Stanley International Plc. Packaging & Containers Equity Long 57 878 627
80 Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall WaceTOPS UCITS Fund (Market Neutral)Schedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Contracts for difference (cont.)Morgan Stanley International Plc. Pharmaceuticals Equity Long 7 782 002 (307 168)Morgan Stanley International Plc. Pharmaceuticals Equity Short 12 836 866 869 516Morgan Stanley International Plc. Private Equity Equity Long 28 889 326Morgan Stanley International Plc. Real Estate Equity Long 8 469 387 170 343Morgan Stanley International Plc. Real Estate Equity Short 301 370 1 516Morgan Stanley International Plc. REITS Equity Long 461 002 (2 213)Morgan Stanley International Plc. REITS Equity Short 95 407 (4 474)Morgan Stanley International Plc. Retail Equity Long 3 224 666 30 946Morgan Stanley International Plc. Retail Equity Short 10 938 832 16 142Morgan Stanley International Plc. Semiconductors Equity Long 3 477 222 (31 242)Morgan Stanley International Plc. Semiconductors Equity Short 1 840 939 23 733Morgan Stanley International Plc. Software Equity Long 2 411 436 58 871Morgan Stanley International Plc. Software Equity Short 1 320 457 (110 954)Morgan Stanley International Plc. Storage/Warehousing Equity Short 5 708 (86)Morgan Stanley International Plc. Telecommunications Equity Long 8 163 858 (73 975)Morgan Stanley International Plc. Telecommunications Equity Short 5 190 092 41 145Morgan Stanley International Plc. Textiles Equity Long 2 912 994 7 459Morgan Stanley International Plc. Transportation Equity Long 2 566 962 57 348Morgan Stanley International Plc. Transportation Equity Short 101 542 (6 449)Morgan Stanley International Plc. Water Equity Long 1 034 833 71 566Société Générale Agriculture Equity Long 31 749 6 945Société Générale Airlines Equity Short 193 552 (444)Société Générale Apparel Equity Long 2 320 908 361 199Société Générale Auto Manufacturers Equity Long 5 158 723 82 803Société Générale Auto Parts & Equipment Equity Long 371 949 371 949Société Générale Banks Equity Long 442 066 49 090Société Générale Beverages Equity Long 149 753 1 823Société Générale Building Materials Equity Long 324 209 11 647Société Générale Chemicals Equity Long 4 768 082 431 568Société Générale Commercial Services Equity Long 122 253 (6 647)Société Générale Commercial Services Equity Short 487 080 (39 092)Société Générale Computers Equity Long 3 901 337 75 232Société Générale Cosmetics/Personal Care Equity Long 50 561 (2 056)Société Générale Cosmetics/Personal Care Equity Short 125 029 5 381Société Générale Diversified Financial Services Equity Long 7 851 312 1 219 553Société Générale Electric Equity Long 6 851 696 944 997Société Générale Electrical Components &
EquipmentEquity Long 1 965 489 201 454
Société Générale Engineering & Construction Equity Long 292 644 11 395Société Générale Entertainment Equity Long 76 274 13 544Société Générale Food Equity Long 817 078 19 735Société Générale Forest Products & Paper Equity Long 14 153 065 (2 113 538)Société Générale Gas Equity Long 1 175 714 43 646Société Générale Household Products/Wares Equity Long 521 587 2 366Société Générale Insurance Equity Long 2 058 568 10 062Société Générale Iron/Steel Equity Long 2 083 (73)Société Générale Leisure Time Equity Long 256 928 50 471
81Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall WaceTOPS UCITS Fund (Market Neutral)Schedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Contracts for difference (cont.)Société Générale Machinery-Construction &
MiningEquity Short 62 088 3 150
Société Générale Machinery-Diversified Equity Long 398 996 11 120Société Générale Machinery-Diversified Equity Short 479 488 (42 031)Société Générale Media Equity Long 1 080 310 66 488Société Générale Miscellaneous Manufacturing Equity Long 1 382 147Société Générale Miscellaneous Manufacturing Equity Short 75 049 (3 304)Société Générale Oil & Gas Equity Long 1 091 894 112 848Société Générale Pharmaceuticals Equity Long 1 415 978 (65 749)Société Générale Pharmaceuticals Equity Short 60 666 6 560Société Générale Real Estate Equity Long 6 386 539 497 474Société Générale REITS Equity Long 332 588 (2 479)Société Générale Retail Equity Long 314 126 25 784Société Générale Retail Equity Short 1 217 049 (160 438)Société Générale Semiconductors Equity Short 8 534 (1 464)Société Générale Software Equity Long 3 841 511 36 649UBS AG Advertising Equity Short 3 942 645 (417 509)UBS AG Aerospace/Defense Equity Long 97 973 (816)UBS AG Aerospace/Defense Equity Short 444 765 8 577UBS AG Agriculture Equity Long 2 364 314 (39 869)UBS AG Agriculture Equity Short 16 277 567 (5 484 815)UBS AG Airlines Equity Short 20 023 984 133 487UBS AG Apparel Equity Long 14 095 377 1 880 489UBS AG Apparel Equity Short 3 283 675 (97 429)UBS AG Auto Manufacturers Equity Short 20 859 227 (282 392)UBS AG Auto Parts & Equipment Equity Long 12 336 979 2 002 693UBS AG Auto Parts & Equipment Equity Short 6 739 760 553 325UBS AG Banks Equity Long 11 819 471 316 559UBS AG Banks Equity Short 16 880 376 273 107UBS AG Beverages Equity Long 3 484 796 90 646UBS AG Beverages Equity Short 3 611 283 (267 526)UBS AG Biotechnology Equity Short 2 159 016 94 776UBS AG Building Materials Equity Long 30 957 761 4 447 679UBS AG Building Materials Equity Short 5 124 932 177 350UBS AG Chemicals Equity Long 3 383 072 8 999UBS AG Chemicals Equity Short 26 260 493 1 298 118UBS AG Coal Equity Long 2 137 998 50 870UBS AG Coal Equity Short 700 477 (5 125)UBS AG Commercial Services Equity Long 8 053 784 (69 094)UBS AG Commercial Services Equity Short 14 481 811 100 321UBS AG Computers Equity Long 1 026 219 103 710UBS AG Computers Equity Short 26 034 433 (96 532)UBS AG Cosmetics/Personal Care Equity Long 78 834 561UBS AG Cosmetics/Personal Care Equity Short 574 896 123 640UBS AG Distribution/Wholesale Equity Long 7 956 471 (314 794)UBS AG Distribution/Wholesale Equity Short 4 294 418 40 747UBS AG Diversified Financial Services Equity Long 2 244 007 113 671
82 Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall WaceTOPS UCITS Fund (Market Neutral)Schedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Contracts for difference (cont.)UBS AG Diversified Financial Services Equity Short 20 014 609 (796 992)UBS AG Electric Equity Long 17 783 635 333 486UBS AG Electric Equity Short 5 418 882 129 969UBS AG Electrical Components &
EquipmentEquity Long 2 216 155 (16 496)
UBS AG Electrical Components &Equipment (a)
Equity Short 1 191 602 4 624
UBS AG Electronics Equity Long 15 760 331 1 175 948UBS AG Electronics Equity Short 12 363 769 29 174UBS AG Energy-Alternate Sources Equity Long 74 338 2 128UBS AG Energy-Alternate Sources Equity Short 16 300 042 (2 688 985)UBS AG Engineering & Construction Equity Long 15 491 044 114 110UBS AG Engineering & Construction Equity Short 7 524 771 171 696UBS AG Entertainment Equity Long 2 817 117 81 784UBS AG Entertainment Equity Short 8 949 695 188 963UBS AG Environmental Control Equity Long 2 365 892 84 688UBS AG Environmental Control Equity Short 52 483 (4 160)UBS AG Food Equity Long 1 203 328 33 210UBS AG Food Equity Short 24 336 925 (990 828)UBS AG Food Service Equity Long 49 912 (1 276)UBS AG Forest Products & Paper Equity Long 47 861 (1 749)UBS AG Forest Products & Paper Equity Short 81 604 3 365UBS AG Gas Equity Long 2 081 432 5 115UBS AG Gas Equity Short 23 975 (548)UBS AG Hand/Machine Tools Equity Long 14 546 1 007UBS AG Healthcare-Products Equity Long 551 736 24 622UBS AG Healthcare-Products Equity Short 5 938 186 (250 439)UBS AG Healthcare-Services Equity Long 5 942 343 372 801UBS AG Healthcare-Services Equity Short 1 926 631 3 893UBS AG Holding
Companies-DiversifiedEquity Long 25 964 (219)
UBS AG HoldingCompanies-Diversified
Equity Short 3 511 610 (310 528)
UBS AG Home Builders Equity Long 6 969 534 (32 132)UBS AG Home Furnishings Equity Long 14 203 787 260 932UBS AG Home Furnishings Equity Short 7 275 546 159 171UBS AG Household Products/Wares Equity Short 4 537 335 (91 180)UBS AG Insurance Equity Short 546 298 (19 893)UBS AG Internet Equity Long 603 050 39 461UBS AG Internet Equity Short 20 698 415 (628 235)UBS AG Iron/Steel Equity Long 11 311 473 25 166UBS AG Iron/Steel Equity Short 1 203 147 24 693UBS AG Leisure Time Equity Long 1 512 366 (41 715)UBS AG Leisure Time Equity Short 3 686 190 72 780UBS AG Lodging Equity Long 9 114 379 (470 304)UBS AG Lodging Equity Short 9 621 515 (79 085)UBS AG Machinery-Construction &
MiningEquity Long 15 519 370 3 795 483
83Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall WaceTOPS UCITS Fund (Market Neutral)Schedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Contracts for difference (cont.)UBS AG Machinery-Diversified Equity Long 20 097 655 3 838 980UBS AG Machinery-Diversified Equity Short 6 679 216 (174 072)UBS AG Media Equity Long 1 230 052 182 339UBS AG Media Equity Short 3 854 696 15 093UBS AG Metal Fabricate/Hardware Equity Long 3 629 328 521 874UBS AG Metal Fabricate/Hardware Equity Short 31 945 (628)UBS AG Mining Equity Long 8 179 197 156 104UBS AG Mining Equity Short 9 457 563 (243 053)UBS AG Miscellaneous Manufacturing Equity Long 2 320 326 (164 082)UBS AG Miscellaneous Manufacturing Equity Short 6 070 404 (108 344)UBS AG Oil & Gas Equity Long 9 933 814 146 548UBS AG Oil & Gas Equity Short 17 565 888 (168 728)UBS AG Oil & Gas Services Equity Long 24 586 016 6 246 944UBS AG Oil & Gas Services Equity Short 60 500 (657)UBS AG Packaging & Containers Equity Long 184 175 28 892UBS AG Packaging & Containers Equity Short 1 186 328 9 437UBS AG Pharmaceuticals Equity Long 6 848 256 532 546UBS AG Pharmaceuticals Equity Short 28 450 401 1 531 890UBS AG Pipelines Equity Long 1 940 063 41 244UBS AG Pipelines Equity Short 26 945 709 (1 301 960)UBS AG Private Equity Equity Short 169 708 (13 726)UBS AG Real Estate Equity Long 37 065 521 3 555 515UBS AG Real Estate Equity Short 3 268 974 (60 375)UBS AG REITS Equity Long 2 720 331 (6 718)UBS AG REITS Equity Short 4 487 448 (13 473)UBS AG Retail Equity Long 6 836 203 (130 767)UBS AG Retail Equity Short 30 825 112 (1 351 120)UBS AG Semiconductors Equity Long 7 723 934UBS AG Semiconductors Equity Short 10 124 864 (1 731 493)UBS AG Shipbuilding Equity Short 907 653 54 771UBS AG Software Equity Long 2 865 774 68 941UBS AG Software Equity Short 25 018 985 (1 852 994)UBS AG Swap Index - Diversified Derivatives Short 122 825 169 (17 881 859)UBS AG Telecommunications Equity Long 702 397 7 808UBS AG Telecommunications Equity Short 57 403 489 1 730 087UBS AG Textiles Equity Long 1 045 836 9 927UBS AG Toys/Games/Hobbies Equity Short 33 595 857 5 071 956UBS AG Transportation Equity Long 9 906 667 436 758UBS AG Transportation Equity Short 13 359 156 (172 590)
Total 6 554 133 685 27 235 038
(a) These securities are fair valued. See Notes 2.2.6 and 10.
84 Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall WaceTOPS UCITS Fund (Market Neutral)Schedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
The maximum individual counterparty exposure for OTC Derivatives including CFD as at March 31, 2019 is 3.27% of the NAV.
85Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Marshall WaceTOPS UCITS Fund (Market Neutral)Schedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Nominalvalue/
Quantity DescriptionQuotation
CurrencyCostEUR
Marketvalue EUR
% of netassets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market
11 504 WABCO Hldg., Inc. USD 1 397 811 1 350 646 2.32800 WellCare Health Plans, Inc. USD 181 206 192 190 0.33
313 125 Yahoo Japan Corp. JPY 809 256 682 773 1.1716 510 Yara International ASA NOK 608 255 602 379 1.04
5 042 ZOZO, Inc. JPY 85 178 84 627 0.15
Total Shares 32 621 707 33 619 984 57.87
Supranationals, Governments and Local Public Authorities, Debt Instruments11 000 000 United States Treasury Bill 0.000% 04/04/2019 USD 9 711 017 9 794 573 16.86
Total Supranationals, Governments and Local PublicAuthorities, Debt Instruments 9 711 017 9 794 573 16.86
Morgan Stanley and Co., Inc. is the counterparty to these options.
Contracts for difference
The Sub-Fund Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund entered into contracts for difference swaps with nine counterparties (Bank ofAmerica N.A., Barclays Bank Plc., Citibank N.A., Credit Suisse Securities (Europe) Limited, Deutsche Bank AG, Goldman Sachs International, JPMorgan Chase BankN.A., Morgan Stanley Capital Services, Inc. and UBS AG.) with the following details:
Contracts for differenceBank of America N.A. Diversified Financial Services Equity Long 247 952 35 555Bank of America N.A. Machinery-Construction &
MiningEquity Short 325 277 5 836
Barclays Bank Plc. Healthcare-Products Equity Short 185 243 (10 687)Barclays Bank Plc. REITS Equity Long 677 793 (231 203)Barclays Bank Plc. Retail Equity Long 152 042 10 651Citibank N.A. Engineering & Construction Equity Long 1 835 927 246 186Citibank N.A. Insurance Equity Long 866 055 (89 864)Citibank N.A. Insurance Equity Short 310 512 (83)Citibank N.A. Iron/Steel Equity Short 194 536 2 136Citibank N.A. Mining Equity Long 366 728 12 632Citibank N.A. Mining Equity Short 497 718 (13 537)Citibank N.A. Oil & Gas Equity Short 163 842 8 602Citibank N.A. Real Estate Equity Long 249 141 3 867Credit Suisse Securities (Europe) Limited Engineering & Construction Equity Long 326 529 20 562Credit Suisse Securities (Europe) Limited Forest Products & Paper Equity Long 156 968 (7 793)Credit Suisse Securities (Europe) Limited Healthcare-Services Equity Short 284 499 (24 735)Credit Suisse Securities (Europe) Limited Pharmaceuticals Equity Long 301 732 17 824Deutsche Bank AG Swap Index - Diversified Derivatives Short 622 064 (77 966)Goldman Sachs International Auto Parts & Equipment Equity Short 15 797 1 851Goldman Sachs International Beverages Equity Long 458 926 53 506Goldman Sachs International Building Materials Equity Long 300 390 18 303Goldman Sachs International Chemicals Equity Short 194 416 4 993Goldman Sachs International Electrical Components &
EquipmentEquity Short 38 238 1 977
Goldman Sachs International Electronics Equity Short 41 613 3 411Goldman Sachs International Media Equity Long 704 889 60 302Goldman Sachs International Oil & Gas Equity Long 326 864 21 002Goldman Sachs International Real Estate Equity Short 360 538 (25 297)Goldman Sachs International Semiconductors Equity Short 184 441 (5 419)Goldman Sachs International Swap Index - Diversified Derivatives Short 72 059 (1 700)JPMorgan Chase Bank N.A. Auto Parts & Equipment Equity Short 7 329 878
91Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – York Event-DrivenUCITS FundSchedule of Investments as at March 31, 2019 (cont.)(expressed in EUR)
The accompanying notes form an integral part of these financial statements.
Contracts for difference (cont.)JPMorgan Chase Bank N.A. Insurance Equity Long 636 161 (6 264)JPMorgan Chase Bank N.A. Insurance Equity Short 515 182 (2 890)JPMorgan Chase Bank N.A. Packaging & Containers Equity Short 101 997 2 779Morgan Stanley Capital Services, Inc. Apparel Equity Short 451 426 (43 015)Morgan Stanley Capital Services, Inc. Banks Equity Short 78 494 10 644Morgan Stanley Capital Services, Inc. Biotechnology Equity Short 330 606 8 702Morgan Stanley Capital Services, Inc. Chemicals Equity Long 812 160 61 540Morgan Stanley Capital Services, Inc. Chemicals Equity Short 133 219 7 052Morgan Stanley Capital Services, Inc. Closed-end Fund Equity Long 3 900 765 939 519Morgan Stanley Capital Services, Inc. Distribution/Wholesale Equity Short 124 707 5 838Morgan Stanley Capital Services, Inc. Electric Equity Long 1 209 491 92 142Morgan Stanley Capital Services, Inc. Electronics Equity Long 241 976 (22 022)Morgan Stanley Capital Services, Inc. Equity Fund Equity Short 523 498 (15 045)Morgan Stanley Capital Services, Inc. Healthcare-Products Equity Short 280 783 10 287Morgan Stanley Capital Services, Inc. Healthcare-Services Equity Short 73 800 (4 922)Morgan Stanley Capital Services, Inc. Internet Equity Short 3 350 347 (797 964)Morgan Stanley Capital Services, Inc. Oil & Gas Equity Short 253 084 (8 318)Morgan Stanley Capital Services, Inc. Pharmaceuticals Equity Long 2 988 761 442 057Morgan Stanley Capital Services, Inc. REITS Equity Short 543 561 (1 972)Morgan Stanley Capital Services, Inc. Retail Equity Long 384 002 24 244Morgan Stanley Capital Services, Inc. Retail Equity Short 953 207 (5 422)Morgan Stanley Capital Services, Inc. Semiconductors Equity Short 1 422 210 (23 313)Morgan Stanley Capital Services, Inc. Swap Index - Diversified Derivatives Short 4 419 660 (139 131)Morgan Stanley Capital Services, Inc. Telecommunications Equity Short 678 809 24 330Morgan Stanley Capital Services, Inc. Transportation Equity Short 179 271 (1 790)UBS AG Banks Equity Long 568 634 (26 163)UBS AG Banks Equity Short 225 234 17 893UBS AG Building Materials Equity Long 247 010 2 645UBS AG Chemicals Equity Short 98 676 8 074UBS AG Commercial Services Equity Long 293 374 30 022UBS AG Computers Equity Long 394 912 3 205UBS AG Electronics Equity Short 219 769 7 454UBS AG Mining Equity Long 545 856 11 062UBS AG Mining Equity Short 545 507 (11 627)UBS AG Miscellaneous Manufacturing Equity Long 730 232 60 018UBS AG Retail Equity Long 192 549 (4 808)UBS AG Semiconductors Equity Short 187 701 (9 756)UBS AG Transportation Equity Long 430 710 57 027
Total 39 737 399 743 902
Contracts for Difference Summary Breakdowns:
CommitmentLong
CommitmentShort
Unrealisedof short portfolio
Unrealisedof long portfolio
Realised result(monthly reset) Market Value
Counterparty EUR EUR EUR EUR EUR EUR
Bank of America N.A. 247 952 325 277 5 836 35 555 (5 865) 35 526Barclays Bank Plc. 829 835 185 243 (10 687) (220 552) 29 611 (201 628)
92 Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – York Event-DrivenUCITS FundSchedule of Investments as at March 31, 2019 (cont.)(expressed in EUR)
The accompanying notes form an integral part of these financial statements.
Supranationals, Governments and Local Public Authorities, Debt Instruments13 000 000 United States Treasury Bill 0.000% 04/04/2019 USD 11 480 350 11 575 405 9.89
Total Supranationals, Governments and Local PublicAuthorities, Debt Instruments 11 480 350 11 575 405 9.89
Total Investments 70 168 040 72 137 777 61.62
(a) These securities are fair valued. See Notes 2.2.6 and 10.
95Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – York AsianEvent-Driven UCITS FundSchedule of Investments as at March 31, 2019 (cont.)(expressed in EUR)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Industrial classification of investments(as a percentage of net assets as at March 31, 2019) %
Total forward foreign exchange contracts (833 482)
Short/Long Currency Description
Put/Call
StrikePrice
Maturitydate Quantity
Marketvalue EUR
CommitmentEUR
OptionsLong HKD Hang Seng Index Put 28 200.0000 29/04/2019 700 13 054 -Long HKD HSCEI Index Put 11 300.0000 29/04/2019 1 300 26 060 -Short JPY Nikkei 225 Index Put 20 125.0000 12/04/2019 (20 000) (7 095) 3 238 586Short JPY Nikkei 225 Index Put 19 750.0000 12/04/2019 (20 000) (3 953) 3 178 240
97Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – York AsianEvent-Driven UCITS FundSchedule of Investments as at March 31, 2019 (cont.)(expressed in EUR)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Short/Long Currency Description
Put/Call
StrikePrice
Maturitydate Quantity
Marketvalue EUR
CommitmentEUR
Options (cont.)Short JPY Nikkei 225 Index Put 19 875.0000 12/04/2019 (10 000) (2 399) 1 599 177Short JPY Nikkei 225 Index Put 19 500.0000 12/04/2019 (14 000) (1 885) 2 196 606Short JPY Nikkei 225 Index Put 19 250.0000 12/04/2019 (10 000) (924) 1 548 889Long JPY Nikkei 225 Index Put 20 500.0000 12/04/2019 10 000 6 490 -Long JPY Nikkei 225 Index Put 20 750.0000 12/04/2019 14 000 13 753 -Long JPY Nikkei 225 Index Put 21 125.0000 12/04/2019 10 000 18 533 -Long JPY Nikkei 225 Index Put 21 000.0000 12/04/2019 20 000 29 998 -Long JPY Nikkei 225 Index Put 21 375.0000 12/04/2019 20 000 56 046 -Short JPY Nikkei 225 Index Put 19 500.0000 10/05/2019 (28 000) (18 200) 4 393 212Short JPY Nikkei 225 Index Put 19 750.0000 10/05/2019 (10 000) (8 271) 1 589 120Long JPY Nikkei 225 Index Put 21 000.0000 10/05/2019 10 000 28 938 -Long JPY Nikkei 225 Index Put 20 750.0000 10/05/2019 14 000 31 423 -Long JPY Nikkei 225 Index Put 20 875.0000 10/05/2019 14 000 35 678 -Short USD S&P 500 Index Put 2 570.0000 18/04/2019 (700) (810) 1 602 173Long USD S&P 500 Index Put 2 680.0000 18/04/2019 700 2 431 -Long USD S&P 500 Index Put 2 735.0000 18/04/2019 700 4 925 -Long USD VanEck Vectors Semiconductor Put 100.0000 17/05/2019 13 100 17 617 -
Total Options 241 409 19 346 003
Morgan Stanley and Co., Inc. is the counterparty to these options.
Contracts for difference
The Sub-Fund Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund entered into contracts for difference swaps with eight counterparties(Bank of America N.A., Citibank N.A., Credit Suisse Securities (Europe) Limited, Goldman Sachs International, JPMorgan Chase Bank N.A., Macquarie Bank Limited,Morgan Stanley Capital Services, Inc. and UBS AG.) with the following details:
Contracts for differenceBank of America N.A. Auto Manufacturers Equity Short 207 017 569Bank of America N.A. Auto Parts & Equipment Equity Long 1 809 549 41 892Bank of America N.A. Healthcare-Products Equity Long 312 273 26 401Bank of America N.A. Insurance Equity Long 5 510 536 (261 005)Bank of America N.A. Internet Equity Long 4 509 802 (353 917)Bank of America N.A. Iron/Steel Equity Short 65 029 (4 351)Bank of America N.A. Machinery-Construction &
MiningEquity Short 991 135 16 917
Bank of America N.A. Miscellaneous Manufacturing Equity Short 1 165 802 59 496Bank of America N.A. Real Estate Equity Long 2 404 354 138 003Bank of America N.A. Retail Equity Long 1 595 206 140 110Bank of America N.A. Semiconductors Equity Long 1 672 717 (330 355)Bank of America N.A. Semiconductors Equity Short 91 750 (10 241)Citibank N.A. Banks Equity Long 1 810 403 (140 956)Citibank N.A. Banks Equity Short 515 502 23 778Citibank N.A. Chemicals Equity Short 251 508 31 872Citibank N.A. Commercial Services Equity Short 643 479 (29 386)
98 Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – York AsianEvent-Driven UCITS FundSchedule of Investments as at March 31, 2019 (cont.)(expressed in EUR)
The accompanying notes form an integral part of these financial statements.
Contracts for difference (cont.)Citibank N.A. Cosmetics/Personal Care Equity Short 1 221 031 (169 460)Citibank N.A. Electronics Equity Long 7 389 105 256 257Citibank N.A. Electronics Equity Short 488 308 (22 675)Citibank N.A. Engineering & Construction Equity Short 32 827 3 788Citibank N.A. Hand/Machine Tools Equity Short 1 542 493 (45 049)Citibank N.A. Insurance Equity Short 1 489 547 317 555Citibank N.A. Iron/Steel Equity Short 1 296 145 13 584Citibank N.A. Machinery-Diversified Equity Short 1 255 759 (83 064)Citibank N.A. Mining Equity Long 609 407 20 991Citibank N.A. Mining Equity Short 1 231 873 (18 027)Citibank N.A. Oil & Gas Equity Long 4 300 346 (1 287 949)Citibank N.A. Oil & Gas Equity Short 1 090 489 56 439Citibank N.A. Telecommunications Equity Short 1 482 291 (41 294)Credit Suisse Securities (Europe) Limited Apparel Equity Short 131 860 (4 547)Credit Suisse Securities (Europe) Limited Chemicals Equity Long 8 256 522 1 617 111Credit Suisse Securities (Europe) Limited Commercial Services Equity Short 548 403 33 987Credit Suisse Securities (Europe) Limited Electrical Components &
EquipmentEquity Short 1 138 686 48 722
Credit Suisse Securities (Europe) Limited Electronics Equity Short 301 584 (911)Credit Suisse Securities (Europe) Limited Office/Business Equipment Equity Long 4 869 051 (122 695)Credit Suisse Securities (Europe) Limited Pharmaceuticals Equity Long 1 004 468 143 461Credit Suisse Securities (Europe) Limited Pharmaceuticals Equity Short 273 078 17 521Credit Suisse Securities (Europe) Limited Toys/Games/Hobbies Equity Long 3 110 478 20 984Goldman Sachs International Auto Parts & Equipment Equity Short 553 003 39 058Goldman Sachs International Beverages Equity Long 3 079 786 384 625Goldman Sachs International Chemicals Equity Short 1 285 039 32 580Goldman Sachs International Distribution/Wholesale Equity Short 144 650 23 787Goldman Sachs International Electrical Components &
EquipmentEquity Short 251 106 11 335
Goldman Sachs International Electronics Equity Short 270 224 17 621Goldman Sachs International Engineering & Construction Equity Long 2 087 270 (6 400)Goldman Sachs International Engineering & Construction Equity Short 11 864 1 197Goldman Sachs International Iron/Steel Equity Short 107 453 (7 195)Goldman Sachs International Pharmaceuticals Equity Short 472 073 2 649Goldman Sachs International Retail Equity Short 609 160 (37 279)Goldman Sachs International Semiconductors Equity Short 1 316 947 8 505JPMorgan Chase Bank N.A. Auto Parts & Equipment Equity Long 554 637 (44 175)JPMorgan Chase Bank N.A. Auto Parts & Equipment Equity Short 120 014 10 175JPMorgan Chase Bank N.A. Banks Equity Short 1 151 250 (24 104)JPMorgan Chase Bank N.A. Building Materials Equity Short 627 522 (26 194)JPMorgan Chase Bank N.A. Commercial Services Equity Short 629 238 (102 356)JPMorgan Chase Bank N.A. Computers Equity Short 580 729 (99 528)JPMorgan Chase Bank N.A. Electronics Equity Long 1 911 393 (30 093)JPMorgan Chase Bank N.A. Electronics Equity Short 1 526 682 (89 006)JPMorgan Chase Bank N.A. Engineering & Construction Equity Short 109 768 14 768JPMorgan Chase Bank N.A. Future Index Derivatives Short 2 664 241 (3 026)JPMorgan Chase Bank N.A. Insurance Equity Short 3 126 749 110 153
99Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – York AsianEvent-Driven UCITS FundSchedule of Investments as at March 31, 2019 (cont.)(expressed in EUR)
The accompanying notes form an integral part of these financial statements.
Contracts for difference (cont.)JPMorgan Chase Bank N.A. Iron/Steel Equity Short 580 792 (39 079)JPMorgan Chase Bank N.A. Oil & Gas Equity Long 968 103 (124 538)JPMorgan Chase Bank N.A. Pharmaceuticals Equity Short 1 476 882 43 223JPMorgan Chase Bank N.A. Real Estate Equity Short 2 633 814 (208 622)JPMorgan Chase Bank N.A. Retail Equity Long 575 303 (318)JPMorgan Chase Bank N.A. Retail Equity Short 200 535 (598)Morgan Stanley Capital Services, Inc. Banks Equity Short 1 752 380 242 038Morgan Stanley Capital Services, Inc. Chemicals Equity Short 2 653 712 (219 530)Morgan Stanley Capital Services, Inc. Closed-end Fund Equity Long 2 674 288 553 791Morgan Stanley Capital Services, Inc. Computers Equity Short 854 795 (5 295)Morgan Stanley Capital Services, Inc. Distribution/Wholesale Equity Short 795 545 40 977Morgan Stanley Capital Services, Inc. Electronics Equity Long 2 172 563 84 182Morgan Stanley Capital Services, Inc. Electronics Equity Short 1 444 669 9 549Morgan Stanley Capital Services, Inc. Engineering & Construction Equity Short 13 1Morgan Stanley Capital Services, Inc. Equity Fund Equity Short 2 147 623 (59 012)Morgan Stanley Capital Services, Inc. Home Furnishings Equity Long 1 740 526 (81 933)Morgan Stanley Capital Services, Inc. Insurance Equity Short 113 099 1 852Morgan Stanley Capital Services, Inc. Internet Equity Short 2 828 313 (149 887)Morgan Stanley Capital Services, Inc. Oil & Gas Equity Short 1 681 783 96 130Morgan Stanley Capital Services, Inc. Pharmaceuticals Equity Long 1 381 626 (45 813)Morgan Stanley Capital Services, Inc. Pharmaceuticals Equity Short 292 202 (8 057)Morgan Stanley Capital Services, Inc. Real Estate Equity Short 1 463 634 (23 720)Morgan Stanley Capital Services, Inc. REITS Equity Short 814 394 (99 129)Morgan Stanley Capital Services, Inc. Retail Equity Short 1 824 646 46 335Morgan Stanley Capital Services, Inc. Semiconductors Equity Short 3 866 673 (50 811)Morgan Stanley Capital Services, Inc. Software Equity Long 2 555 670 114 971Morgan Stanley Capital Services, Inc. Software Equity Short 283 400 (17 685)UBS AG Chemicals Equity Short 1 197 402 30 927UBS AG Commercial Services Equity Long 1 088 556 57 112UBS AG Electronics Equity Short 1 213 363 (97 403)UBS AG Engineering & Construction Equity Short 598 498 4 697UBS AG Internet Equity Short 642 959 (17 939)UBS AG Iron/Steel Equity Long 601 081 51 153UBS AG Lodging Equity Short 250 443 10 278UBS AG Mining Equity Long 1 915 010 (183 284)UBS AG Mining Equity Short 909 016 (19 320)UBS AG Real Estate Equity Short 615 771 (27 169)UBS AG Semiconductors Equity Short 1 518 452 (51 971)UBS AG Swap Index - Diversified Derivatives Long 1 767 424 47 795UBS AG Swap Index - Diversified Derivatives Short 1 778 655 (74 485)
Total 143 684 224 120 066
100 Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – York AsianEvent-Driven UCITS FundSchedule of Investments as at March 31, 2019 (cont.)(expressed in EUR)
The accompanying notes form an integral part of these financial statements.
Geographical classification of investments(as a percentage of net assets as at March 31, 2019) %
United States 41.72Germany 0.23Cayman Islands 0.21Luxembourg 0.10
42.26
Underlyingnature
Currencycontract Details Market
Maturitydate
Number ofcontracts
bought
Number ofcontracts
soldCommitment
USD
Unrealisedappreciation/
(depreciation)USD
Futures contractsIndex EUR Amsterdam Index Euronext EQF 18/04/2019 133 – 16 518 092 348 604Index EUR CAC 40 10 Euro Index Euronext Paris 18/04/2019 164 – 9 941 196 131 445Index EUR DAX Index Eurex Deutschland 21/06/2019 – 143 46 980 053 207 390Index USD DJIA Mini Index Chicago Board of Trade 21/06/2019 17 – 2 231 930 20 844Index EUR Euro Stoxx 50 Index Eurex Deutschland 21/06/2019 1 222 – 45 430 978 447 782Index GBP FTSE 100 Index ICE Futures Europe 21/06/2019 499 – 47 128 103 715 313
Index USD FTSE China A50 IndexSingapore Exchange(was SIMEX) 29/04/2019 87 – 1 168 410 60 247
Index ZAR FTSE JSE TOP 40 IndexSouth African FuturesExchange 20/06/2019 – 124 4 418 385 (26 572)
Index MYR FTSE KLCI Index Bursa Malaysia 30/04/2019 – 79 1 577 097 1 874Index EUR FTSE MIB Index Borsa Italiana S.P.A 21/06/2019 121 – 14 249 504 10 628
Index HKD Hang Seng IndexHong Kong FuturesExchange 29/04/2019 42 – 7 914 777 95 386
Index HKD HSCEI IndexHong Kong FuturesExchange 29/04/2019 85 – 6 262 970 83 510
Index EUR IBEX 35 IndexBolsas Y MercadosEspanoles 18/04/2019 137 – 14 303 769 35 309
Index KRW KOSPI 200 Index Korea Exchange 13/06/2019 – 110 6 818 672 10 368
Index MXN Mexican Bolsa IndexMercado Mexicano deDerivados 21/06/2019 – 35 791 968 (24 837)
Index USDMSCI EmergingMarkets Mini Index ICE Futures U.S. 21/06/2019 14 – 752 500 (6 056)
Fixed 1% EUR 20/06/2024 Merrill Lynch, Pierce,Fenner and Smith,
Inc. 7 101 16 022 000
Total Credit default swaps (309 675) 18 961 000
Contracts for difference
The Sub-Fund Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund entered into contracts for difference swaps with six counterparties (Bankof America N.A., Deutsche Bank AG, Goldman Sachs International, JPMorgan Chase Bank N.A., Merrill Lynch International Bank Ltd. and Morgan Stanley InternationalPlc.) with the following details:
Contracts for difference (cont.)Deutsche Bank AG Advertising Bond Long 983 527 (53 270)Deutsche Bank AG Advertising Equity Short 799 396 97 011Deutsche Bank AG Aerospace/Defense Bond Long 3 338 707 507 159Deutsche Bank AG Aerospace/Defense Equity Long 1 061 379 (18 225)Deutsche Bank AG Aerospace/Defense Equity Short 2 519 222 (301 703)Deutsche Bank AG Agriculture Equity Short 1 412 189 (14 825)Deutsche Bank AG Airlines Equity Short 764 280 41 889Deutsche Bank AG Apparel Equity Long 408 407 5 552Deutsche Bank AG Auto Manufacturers Bond Long 818 438 (98 983)Deutsche Bank AG Auto Manufacturers Equity Short 659 630 81 480Deutsche Bank AG Banks Bond Long 132 340 (17 782)Deutsche Bank AG Banks Equity Long 1 912 063 (132 716)Deutsche Bank AG Banks Equity Short 622 341 19 118Deutsche Bank AG Beverages Equity Long 489 672 (3 718)Deutsche Bank AG Biotechnology Bond Long 5 628 754 (641 651)Deutsche Bank AG Biotechnology Bond Short 2 200 768 74 848Deutsche Bank AG Biotechnology Equity Long 754 715 (20 957)Deutsche Bank AG Biotechnology Equity Short 1 403 809 (104 452)Deutsche Bank AG Commercial Services Bond Long 15 327 359 1 290 596Deutsche Bank AG Commercial Services Equity Long 2 133 156 (99 191)Deutsche Bank AG Commercial Services Equity Short 14 890 205 (498 121)Deutsche Bank AG Computers Bond Long 1 445 235 12 022Deutsche Bank AG Computers Equity Short 714 342 (25 720)Deutsche Bank AG Distribution/Wholesale Equity Long 2 097 089 (14 691)Deutsche Bank AG Diversified Financial Services Equity Long 10 026 633 1 205 957Deutsche Bank AG Diversified Financial Services Equity Short 8 536 185 (87 733)Deutsche Bank AG Electric Equity Long 1 839 177 (2 824)Deutsche Bank AG Electric Equity Short 213 277 (13 286)Deutsche Bank AG Electronics Bond Long 2 371 716 218 230Deutsche Bank AG Electronics Bond Short 262 764 (1 321)Deutsche Bank AG Electronics Equity Long 950 632 (62 499)Deutsche Bank AG Electronics Equity Short 2 641 224 470 987Deutsche Bank AG Engineering & Construction Bond Long 1 539 646 142 958Deutsche Bank AG Engineering & Construction Equity Long 710 901 17 130Deutsche Bank AG Engineering & Construction Equity Short 683 773 (69 046)Deutsche Bank AG Entertainment Equity Long 640 943 6 587Deutsche Bank AG Entertainment Equity Short 3 808 922 11 590Deutsche Bank AG Food Equity Long 1 239 648 103 489Deutsche Bank AG Food Equity Short 317 666 (3 553)Deutsche Bank AG Forest Products & Paper Equity Long 394 968 (11 417)Deutsche Bank AG Gas Equity Long 809 409 (21 107)Deutsche Bank AG Hand/Machine Tools Equity Long 379 421 78 626Deutsche Bank AG Hand/Machine Tools Equity Short 2 107 636 (374 411)Deutsche Bank AG Healthcare-Products Bond Long 1 167 774 29 769Deutsche Bank AG Healthcare-Products Equity Long 3 708 975 96 293Deutsche Bank AG Healthcare-Products Equity Short 1 424 247 11 341Deutsche Bank AG Healthcare-Services Equity Long 8 151 352 (70 070)
110 Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – AQR GlobalRelative Value UCITS FundSchedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Contracts for difference (cont.)Deutsche Bank AG Healthcare-Services Equity Short 2 668 369 220 611Deutsche Bank AG Home Builders Equity Long 4 447 902 (153 878)Deutsche Bank AG Insurance Bond Long 2 608 424 312 497Deutsche Bank AG Insurance Equity Long 1 446 603 (41 523)Deutsche Bank AG Insurance Equity Short 4 738 536 52 885Deutsche Bank AG Internet Bond Long 27 512 446 6 598 023Deutsche Bank AG Internet Bond Short 1 616 160 35 412Deutsche Bank AG Internet Equity Long 4 424 795 87 626Deutsche Bank AG Internet Equity Short 81 868 099 (644 089)Deutsche Bank AG Investment Companies Bond Long 1 601 191 2 519Deutsche Bank AG Investment Companies Equity Long 55 250 224 (4 044 422)Deutsche Bank AG Investment Companies Equity Short 821 826 21 448Deutsche Bank AG Iron/Steel Bond Long 10 270 499 2 446 700Deutsche Bank AG Iron/Steel Equity Long 3 164 038 (48 960)Deutsche Bank AG Iron/Steel Equity Short 8 052 831 (624 650)Deutsche Bank AG Leisure Time Equity Short 550 160 46 117Deutsche Bank AG Lodging Bond Long 8 172 763 (1 940 481)Deutsche Bank AG Lodging Equity Long 54 259 278Deutsche Bank AG Lodging Equity Short 5 022 881 637 484Deutsche Bank AG Machinery-Diversified Equity Short 2 140 462 16 856Deutsche Bank AG Media Bond Long 3 676 719 182 083Deutsche Bank AG Media Equity Short 7 684 613 (1 297 492)Deutsche Bank AG Mining Bond Long 402 943 (51 143)Deutsche Bank AG Mining Equity Long 9 081 062 364 575Deutsche Bank AG Mining Equity Short 106 956 2 155Deutsche Bank AG Miscellaneous Manufacturing Equity Short 461 817 22 175Deutsche Bank AG Oil & Gas Bond Long 5 096 268 311 726Deutsche Bank AG Oil & Gas Bond Short 335 290 (6 415)Deutsche Bank AG Oil & Gas Equity Long 5 278 979 23 927Deutsche Bank AG Oil & Gas Equity Short 760 526 90 688Deutsche Bank AG Oil & Gas Services Bond Long 2 947 286 (1 155 948)Deutsche Bank AG Oil & Gas Services Bond Short 396 508 108 009Deutsche Bank AG Oil & Gas Services Equity Long 44 893 124Deutsche Bank AG Oil & Gas Services Equity Short 4 827 578 732 954Deutsche Bank AG Packaging & Containers Equity Short 1 355 313 (103 629)Deutsche Bank AG Pharmaceuticals Bond Long 3 183 473 (115 698)Deutsche Bank AG Pharmaceuticals Bond Short 853 398 7 918Deutsche Bank AG Pharmaceuticals Equity Long 595 444 (45 713)Deutsche Bank AG Pharmaceuticals Equity Short 1 120 618 (21 278)Deutsche Bank AG Private Equity Bond Long 3 027 678 (220 930)Deutsche Bank AG Private Equity Equity Long 1 628 773 (30 587)Deutsche Bank AG Private Equity Equity Short 215 233 16 047Deutsche Bank AG REITS Bond Long 8 720 785 (357 284)Deutsche Bank AG REITS Equity Short 2 000 286 (30 496)Deutsche Bank AG Retail Bond Long 2 877 354 (135 196)Deutsche Bank AG Retail Equity Long 3 760 368 1 654Deutsche Bank AG Retail Equity Short 3 882 903 236 421
111Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – AQR GlobalRelative Value UCITS FundSchedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Contracts for difference (cont.)Deutsche Bank AG Semiconductors Bond Long 53 359 786 9 563 115Deutsche Bank AG Semiconductors Equity Long 828 520 4 176Deutsche Bank AG Semiconductors Equity Short 126 108 451 15 734 498Deutsche Bank AG Software Bond Long 9 777 127 2 184 008Deutsche Bank AG Software Bond Short 1 276 181 (17 912)Deutsche Bank AG Software Equity Long 3 549 490 (1 143)Deutsche Bank AG Software Equity Short 13 499 217 (1 894 116)Deutsche Bank AG Telecommunications Bond Long 1 655 972 104 269Deutsche Bank AG Telecommunications Bond Short 394 001 4 726Deutsche Bank AG Telecommunications Equity Long 2 134 815 (27 227)Deutsche Bank AG Telecommunications Equity Short 744 008 (21 098)Deutsche Bank AG Transportation Bond Long 5 944 985 (165 730)Deutsche Bank AG Transportation Bond Short 199 477 (6 654)Deutsche Bank AG Transportation Equity Long 1 441 953 (164 995)Deutsche Bank AG Transportation Equity Short 2 146 660 253 695Deutsche Bank AG Water Equity Short 1 106 656 62 143Goldman Sachs International Advertising Equity Long 2 752 280 (105 596)Goldman Sachs International Aerospace/Defense Equity Long 29 533 979 1 620 288Goldman Sachs International Aerospace/Defense Equity Short 33 087 502 (103 596)Goldman Sachs International Agriculture Equity Long 6 204 560 54 411Goldman Sachs International Airlines Equity Long 5 354 587 (76 784)Goldman Sachs International Airlines Equity Short 3 467 415 (69 419)Goldman Sachs International Apparel Equity Long 9 806 210 (46 604)Goldman Sachs International Apparel Equity Short 10 655 713 (145 654)Goldman Sachs International Auto Manufacturers Equity Long 5 982 350 166 738Goldman Sachs International Auto Manufacturers Equity Short 6 970 802 141 400Goldman Sachs International Auto Parts & Equipment Equity Long 17 909 487 (786 610)Goldman Sachs International Auto Parts & Equipment Equity Short 8 053 295 231 856Goldman Sachs International Banks Equity Long 42 863 686 (2 048 389)Goldman Sachs International Banks Equity Short 48 864 278 2 847 359Goldman Sachs International Beverages Equity Long 6 414 987 (239 277)Goldman Sachs International Beverages Equity Short 6 083 948 (296 708)Goldman Sachs International Biotechnology Equity Long 36 947 409 72 048Goldman Sachs International Biotechnology Equity Short 18 619 516 (1 014 572)Goldman Sachs International Building Materials Equity Long 20 637 682 563 886Goldman Sachs International Building Materials Equity Short 2 361 216 (14 821)Goldman Sachs International Chemicals Equity Long 38 061 640 (1 941 650)Goldman Sachs International Chemicals Equity Short 28 415 064 377 667Goldman Sachs International Coal Equity Long 892 012 (69 225)Goldman Sachs International Coal Equity Short 528 408 7 009Goldman Sachs International Commercial Services Equity Long 30 870 659 633 484Goldman Sachs International Commercial Services Equity Short 47 517 210 (1 766 002)Goldman Sachs International Computers Equity Long 32 519 229 (2 778 685)Goldman Sachs International Computers Equity Short 11 396 142 (220 749)Goldman Sachs International Cosmetics/Personal Care Equity Long 601 790 15 900Goldman Sachs International Cosmetics/Personal Care Equity Short 1 211 759 141 931Goldman Sachs International Distribution/Wholesale Equity Long 7 595 905 122 929
112 Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – AQR GlobalRelative Value UCITS FundSchedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Contracts for difference (cont.)Goldman Sachs International Distribution/Wholesale Equity Short 9 566 940 (305 698)Goldman Sachs International Diversified Financial Services Equity Long 26 044 984 (300 088)Goldman Sachs International Diversified Financial Services Equity Short 38 853 075 (377 432)Goldman Sachs International Electric Equity Long 49 389 444 (357 487)Goldman Sachs International Electric Equity Short 37 092 195 (72 378)Goldman Sachs International Electrical Components &
EquipmentEquity Long 1 550 084 (53 888)
Goldman Sachs International Electrical Components &Equipment
Equity Short 15 209 439 539 554
Goldman Sachs International Electronics Equity Long 31 600 866 1 101 737Goldman Sachs International Electronics Equity Short 26 596 657 (52 188)Goldman Sachs International Energy-Alternate Sources Equity Short 5 081 540 (295 960)Goldman Sachs International Engineering & Construction Equity Long 9 555 769 144 125Goldman Sachs International Engineering & Construction Equity Short 7 542 237 287 119Goldman Sachs International Entertainment Equity Long 4 556 715 (374 082)Goldman Sachs International Entertainment Equity Short 5 199 290 (109 788)Goldman Sachs International Environmental Control Equity Long 8 470 650 374 448Goldman Sachs International Environmental Control Equity Short 2 292 606 (251 116)Goldman Sachs International Food Equity Long 31 444 389 1 852 891Goldman Sachs International Food Equity Short 46 455 534 (39 196)Goldman Sachs International Food Service Equity Long 100 559 (123)Goldman Sachs International Forest Products & Paper Equity Long 3 181 092 (267 502)Goldman Sachs International Forest Products & Paper Equity Short 394 725 14 548Goldman Sachs International Future Index Derivatives Short 2 723 681 50 260Goldman Sachs International Gas Equity Long 8 132 595 (28 649)Goldman Sachs International Gas Equity Short 8 730 299 (131 228)Goldman Sachs International Hand/Machine Tools Equity Long 1 212 235 10 158Goldman Sachs International Hand/Machine Tools Equity Short 2 819 867 (50 602)Goldman Sachs International Healthcare-Products Equity Long 30 565 466 (109 350)Goldman Sachs International Healthcare-Products Equity Short 34 037 468 187 994Goldman Sachs International Healthcare-Services Equity Long 23 209 572 737 673Goldman Sachs International Healthcare-Services Equity Short 10 668 220 191 434Goldman Sachs International Holding
Companies-DiversifiedEquity Long 1 028 487 (40 891)
Goldman Sachs International HoldingCompanies-Diversified
Equity Short 303 224 (74 819)
Goldman Sachs International Home Builders Equity Long 11 662 299 31 700Goldman Sachs International Home Builders Equity Short 1 670 345 66 453Goldman Sachs International Home Furnishings Equity Long 2 350 079 (30 287)Goldman Sachs International Home Furnishings Equity Short 4 052 580 111 414Goldman Sachs International Household Products/Wares Equity Long 1 156 197 31 913Goldman Sachs International Household Products/Wares Equity Short 2 420 421 (51 693)Goldman Sachs International Housewares Equity Long 2 093 544 (188 239)Goldman Sachs International Housewares Equity Short 6 128 911 175 791Goldman Sachs International Index Future Swap -
DiversifiedDerivatives Long 7 244 632 43 418
Goldman Sachs International Index Future Swap -Diversified
Derivatives Short 12 103 (65)
113Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – AQR GlobalRelative Value UCITS FundSchedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Contracts for difference (cont.)Goldman Sachs International Insurance Equity Long 55 798 820 (449 877)Goldman Sachs International Insurance Equity Short 29 963 834 (97 374)Goldman Sachs International Internet Equity Long 22 127 821 1 165 809Goldman Sachs International Internet Equity Short 13 577 405 202 690Goldman Sachs International Investment Companies Equity Short 129 016 (12 405)Goldman Sachs International Iron/Steel Equity Long 6 127 873 41 414Goldman Sachs International Iron/Steel Equity Short 4 174 354 (60 425)Goldman Sachs International Leisure Time Equity Long 14 732 329 316 254Goldman Sachs International Leisure Time Equity Short 1 169 784 46 502Goldman Sachs International Lodging Equity Long 10 516 632 (333 690)Goldman Sachs International Lodging Equity Short 6 344 843 45 245Goldman Sachs International Machinery-Construction &
MiningEquity Long 6 653 669 (183 151)
Goldman Sachs International Machinery-Construction &Mining
Equity Short 5 116 244 (579 961)
Goldman Sachs International Machinery-Diversified Equity Long 17 345 000 448 720Goldman Sachs International Machinery-Diversified Equity Short 30 655 656 423 126Goldman Sachs International Media Equity Long 30 963 081 877 766Goldman Sachs International Media Equity Short 23 330 960 (220 621)Goldman Sachs International Metal Fabricate/Hardware Equity Long 2 178 113 16 051Goldman Sachs International Metal Fabricate/Hardware Equity Short 649 980 29 876Goldman Sachs International Mining Equity Long 15 961 505 490 422Goldman Sachs International Mining Equity Short 17 203 154 (888 816)Goldman Sachs International Miscellaneous Manufacturing Equity Long 13 332 820 25 483Goldman Sachs International Miscellaneous Manufacturing Equity Short 8 159 274 (71 880)Goldman Sachs International Office Furnishings Equity Long 1 772 755 (56 438)Goldman Sachs International Office/Business Equipment Equity Long 9 704 651 346 188Goldman Sachs International Oil & Gas Equity Long 50 080 023 (1 746 261)Goldman Sachs International Oil & Gas Equity Short 17 924 835 2 176 394Goldman Sachs International Oil & Gas Services Equity Long 13 513 690 577 471Goldman Sachs International Oil & Gas Services Equity Short 6 141 600 4 320Goldman Sachs International Packaging & Containers Equity Long 13 101 619 304 149Goldman Sachs International Packaging & Containers Equity Short 7 459 035 (102 855)Goldman Sachs International Pharmaceuticals Equity Long 37 567 913 205 871Goldman Sachs International Pharmaceuticals Equity Short 22 336 827 1 229 087Goldman Sachs International Pipelines Equity Long 2 536 361 13 578Goldman Sachs International Pipelines Equity Short 10 186 261 (385 944)Goldman Sachs International Real Estate Equity Long 874 261 630 013Goldman Sachs International Real Estate Equity Short 107 926 5 629Goldman Sachs International REITS Equity Long 2 873 989 8 944Goldman Sachs International REITS Equity Short 443 317 (12 469)Goldman Sachs International Retail Equity Long 57 361 003 2 089 749Goldman Sachs International Retail Equity Short 31 652 400 (1 400 854)Goldman Sachs International Savings & Loans Equity Long 3 976 (367)Goldman Sachs International Savings & Loans Equity Short 2 689 615 504 336Goldman Sachs International Semiconductors Equity Long 39 324 131 1 338 257Goldman Sachs International Semiconductors Equity Short 30 744 386 (535 822)
114 Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – AQR GlobalRelative Value UCITS FundSchedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Contracts for difference (cont.)Goldman Sachs International Shipbuilding Equity Long 2 816 677 89 581Goldman Sachs International Shipbuilding Equity Short 2 510 945 173 922Goldman Sachs International Software Equity Long 29 225 263 1 206 685Goldman Sachs International Software Equity Short 43 203 338 (1 335 543)Goldman Sachs International Swap Index - Diversified Derivatives Short 2 466 513 89 358Goldman Sachs International Telecommunications Equity Long 46 066 740 (809 471)Goldman Sachs International Telecommunications Equity Short 30 049 324 (1 613 375)Goldman Sachs International Textiles Equity Long 1 080 849 24 332Goldman Sachs International Textiles Equity Short 1 500 176 19 992Goldman Sachs International Toys/Games/Hobbies Equity Short 689 779 66 168Goldman Sachs International Transportation Equity Long 9 163 192 (124 477)Goldman Sachs International Transportation Equity Short 9 486 145 213 548Goldman Sachs International Trucking & Leasing Equity Long 508 548 1 979Goldman Sachs International Water Equity Long 3 926 113 26 749Goldman Sachs International Water Equity Short 1 894 292 (7 812)JPMorgan Chase Bank N.A. Airlines Equity Long 563 080 (28 417)JPMorgan Chase Bank N.A. Banks Equity Long 433 246 5 834JPMorgan Chase Bank N.A. Banks Equity Short 190 231 (3 105)JPMorgan Chase Bank N.A. Biotechnology Equity Short 243 980 16 698JPMorgan Chase Bank N.A. Chemicals Equity Long 429 000 (4 874)JPMorgan Chase Bank N.A. Coal Equity Long 9 851 129JPMorgan Chase Bank N.A. Distribution/Wholesale Equity Long 1 027 192 4 115JPMorgan Chase Bank N.A. Engineering & Construction Equity Long 468 006 (31 140)JPMorgan Chase Bank N.A. Food Equity Long 269 432 (34 227)JPMorgan Chase Bank N.A. Holding
Companies-DiversifiedEquity Short 135 674 (12 035)
JPMorgan Chase Bank N.A. Household Products/Wares Equity Long 240 594 (1 361)JPMorgan Chase Bank N.A. Mining Equity Short 113 675 3 959JPMorgan Chase Bank N.A. Telecommunications Equity Long 49 930 (1 395)JPMorgan Chase Bank N.A. Telecommunications Equity Short 2 089 941 1 998Merrill Lynch International Bank Ltd. Advertising Equity Long 580 536 11 404Merrill Lynch International Bank Ltd. Advertising Equity Short 1 003 688 (23 946)Merrill Lynch International Bank Ltd. Aerospace/Defense Equity Long 1 284 470 22 078Merrill Lynch International Bank Ltd. Aerospace/Defense Equity Short 1 474 271 (33 499)Merrill Lynch International Bank Ltd. Agriculture Equity Long 1 225 867 31 300Merrill Lynch International Bank Ltd. Agriculture Equity Short 572 883 (8 870)Merrill Lynch International Bank Ltd. Airlines Equity Long 5 672 573 65 863Merrill Lynch International Bank Ltd. Airlines Equity Short 291 446 25 460Merrill Lynch International Bank Ltd. Apparel Equity Long 1 079 854 15 362Merrill Lynch International Bank Ltd. Apparel Equity Short 2 199 064 (126 133)Merrill Lynch International Bank Ltd. Auto Manufacturers Equity Long 18 329 024 320 974Merrill Lynch International Bank Ltd. Auto Manufacturers Equity Short 5 192 421 (136 520)Merrill Lynch International Bank Ltd. Auto Parts & Equipment Equity Long 12 835 635 (20 900)Merrill Lynch International Bank Ltd. Auto Parts & Equipment Equity Short 10 897 865 32 332Merrill Lynch International Bank Ltd. Banks Equity Long 14 069 669 (26 141)Merrill Lynch International Bank Ltd. Banks Equity Short 9 403 128 47 516Merrill Lynch International Bank Ltd. Beverages Equity Long 1 552 457 54 564
115Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – AQR GlobalRelative Value UCITS FundSchedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Contracts for difference (cont.)Merrill Lynch International Bank Ltd. Beverages Equity Short 5 667 595 (195 209)Merrill Lynch International Bank Ltd. Biotechnology Bond Long 1 572 468 18 708Merrill Lynch International Bank Ltd. Biotechnology Equity Long 3 776 946 (28 599)Merrill Lynch International Bank Ltd. Biotechnology Equity Short 963 612 (13 478)Merrill Lynch International Bank Ltd. Building Materials Equity Long 3 640 728 71 155Merrill Lynch International Bank Ltd. Building Materials Equity Short 3 194 545 (104 749)Merrill Lynch International Bank Ltd. Chemicals Equity Long 3 155 407 50 526Merrill Lynch International Bank Ltd. Chemicals Equity Short 17 555 194 (2 919)Merrill Lynch International Bank Ltd. Commercial Services Equity Long 1 745 145 120 522Merrill Lynch International Bank Ltd. Commercial Services Equity Short 2 681 510 (24 876)Merrill Lynch International Bank Ltd. Computers Equity Long 6 199 905 132 297Merrill Lynch International Bank Ltd. Computers Equity Short 3 587 451 (31 827)Merrill Lynch International Bank Ltd. Cosmetics/Personal Care Equity Long 3 850 331 34 318Merrill Lynch International Bank Ltd. Cosmetics/Personal Care Equity Short 2 504 056 (35 323)Merrill Lynch International Bank Ltd. Distribution/Wholesale Equity Long 9 611 644 (202 587)Merrill Lynch International Bank Ltd. Diversified Financial Services Bond Long 21 616 197 936 740Merrill Lynch International Bank Ltd. Diversified Financial Services Equity Long 1 057 415 19 881Merrill Lynch International Bank Ltd. Diversified Financial Services Equity Short 3 732 729 2 171Merrill Lynch International Bank Ltd. Electric Equity Long 11 068 291 (17 422)Merrill Lynch International Bank Ltd. Electric Equity Short 3 483 016 104 834Merrill Lynch International Bank Ltd. Electrical Components &
EquipmentEquity Long 1 646 247 59 275
Merrill Lynch International Bank Ltd. Electrical Components &Equipment
Equity Short 3 992 543 68 411
Merrill Lynch International Bank Ltd. Electronics Equity Long 2 707 785 13 195Merrill Lynch International Bank Ltd. Electronics Equity Short 6 214 912 (182 410)Merrill Lynch International Bank Ltd. Energy-Alternate Sources Equity Short 211 243 (8 902)Merrill Lynch International Bank Ltd. Engineering & Construction
(a)Equity Long 11 244 762 70 475
Merrill Lynch International Bank Ltd. Engineering & Construction Equity Short 6 221 722 (36 526)Merrill Lynch International Bank Ltd. Entertainment Equity Long 2 808 852 (4 711)Merrill Lynch International Bank Ltd. Environmental Control Equity Long 896 487 37 103Merrill Lynch International Bank Ltd. Food Bond Long 1 069 023 (3 628)Merrill Lynch International Bank Ltd. Food Equity Long 13 362 518 71 210Merrill Lynch International Bank Ltd. Food Equity Short 7 269 096 54 721Merrill Lynch International Bank Ltd. Food Service Equity Long 1 202 313 59 590Merrill Lynch International Bank Ltd. Food Service Equity Short 612 782 15 923Merrill Lynch International Bank Ltd. Forest Products & Paper Equity Long 2 611 845 14 872Merrill Lynch International Bank Ltd. Gas Equity Long 1 942 975 (37 028)Merrill Lynch International Bank Ltd. Hand/Machine Tools Equity Long 1 386 981 (29 814)Merrill Lynch International Bank Ltd. Hand/Machine Tools Equity Short 1 809 450 (73 676)Merrill Lynch International Bank Ltd. Healthcare-Products Equity Long 8 546 161 184 086Merrill Lynch International Bank Ltd. Healthcare-Products Equity Short 5 862 695 (63 516)Merrill Lynch International Bank Ltd. Healthcare-Services Bond Long 330 080 (10 480)Merrill Lynch International Bank Ltd. Healthcare-Services Equity Short 986 682 (16 602)Merrill Lynch International Bank Ltd. Home Builders Equity Long 2 943 147 (19 977)Merrill Lynch International Bank Ltd. Home Builders Equity Short 387 650 1 160Merrill Lynch International Bank Ltd. Home Furnishings Equity Long 3 396 024 13 221
116 Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – AQR GlobalRelative Value UCITS FundSchedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Contracts for difference (cont.)Merrill Lynch International Bank Ltd. Home Furnishings Equity Short 250 499 (6 136)Merrill Lynch International Bank Ltd. Household Products/Wares Equity Short 1 368 289 (38 511)Merrill Lynch International Bank Ltd. Index Future Swap -
DiversifiedDerivatives Long 9 520 316 92 158
Merrill Lynch International Bank Ltd. Index Future Swap -Diversified
Derivatives Short 3 909 928 (37 607)
Merrill Lynch International Bank Ltd. Insurance Equity Long 20 429 817 167 544Merrill Lynch International Bank Ltd. Insurance Equity Short 1 810 192 (8 123)Merrill Lynch International Bank Ltd. Internet Equity Long 417 911 905Merrill Lynch International Bank Ltd. Internet Equity Short 17 298 004 (501 658)Merrill Lynch International Bank Ltd. Iron/Steel Equity Long 3 655 586 (21 147)Merrill Lynch International Bank Ltd. Iron/Steel Equity Short 2 927 037 38 225Merrill Lynch International Bank Ltd. Leisure Time Equity Short 6 057 445 (294 533)Merrill Lynch International Bank Ltd. Lodging Equity Long 526 043 13 985Merrill Lynch International Bank Ltd. Machinery-Construction &
MiningEquity Long 4 321 052 72 274
Merrill Lynch International Bank Ltd. Machinery-Construction &Mining
Equity Short 459 260 (5 793)
Merrill Lynch International Bank Ltd. Machinery-Diversified Equity Long 1 679 323 23 865Merrill Lynch International Bank Ltd. Machinery-Diversified Equity Short 10 554 575 (311 791)Merrill Lynch International Bank Ltd. Media Equity Long 813 085 4 142Merrill Lynch International Bank Ltd. Media Equity Short 4 436 088 (226 868)Merrill Lynch International Bank Ltd. Metal Fabricate/Hardware Equity Long 1 267 103 32 891Merrill Lynch International Bank Ltd. Metal Fabricate/Hardware Equity Short 4 881 000 (21 500)Merrill Lynch International Bank Ltd. Mining Equity Long 892 488 44 594Merrill Lynch International Bank Ltd. Mining Equity Short 21 397 271 (985 584)Merrill Lynch International Bank Ltd. Miscellaneous Manufacturing Equity Long 678 780 6 350Merrill Lynch International Bank Ltd. Miscellaneous Manufacturing Equity Short 41 956 (939)Merrill Lynch International Bank Ltd. Office/Business Equipment Equity Long 713 308 7 856Merrill Lynch International Bank Ltd. Office/Business Equipment Equity Short 3 459 088 (77 158)Merrill Lynch International Bank Ltd. Oil & Gas Equity Long 5 944 511 (25 054)Merrill Lynch International Bank Ltd. Oil & Gas Services Equity Long 808 308 5 335Merrill Lynch International Bank Ltd. Oil & Gas Services Equity Short 4 289 176 (90 705)Merrill Lynch International Bank Ltd. Packaging & Containers Equity Long 1 235 037 (15 869)Merrill Lynch International Bank Ltd. Pharmaceuticals Bond Long 15 189 913 (120 751)Merrill Lynch International Bank Ltd. Pharmaceuticals Equity Long 20 479 892 499 011Merrill Lynch International Bank Ltd. Pharmaceuticals Equity Short 22 235 791 6 409 502Merrill Lynch International Bank Ltd. Pipelines Equity Short 2 498 121 (77 298)Merrill Lynch International Bank Ltd. Retail Equity Long 4 798 875 75 461Merrill Lynch International Bank Ltd. Retail Equity Short 15 850 253 (240 363)Merrill Lynch International Bank Ltd. Semiconductors Equity Long 535 187 9 888Merrill Lynch International Bank Ltd. Semiconductors Equity Short 4 961 715 95 188Merrill Lynch International Bank Ltd. Software Equity Long 5 113 622 100 919Merrill Lynch International Bank Ltd. Software Equity Short 2 988 156 50 666Merrill Lynch International Bank Ltd. Swap Index - Diversified Derivatives Long 7 713 082 621 050Merrill Lynch International Bank Ltd. Swap Index - Diversified Derivatives Short 4 012 745 (292 208)Merrill Lynch International Bank Ltd. Telecommunications Equity Long 11 547 751 54 484Merrill Lynch International Bank Ltd. Telecommunications Equity Short 6 428 617 (9 799)
117Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – AQR GlobalRelative Value UCITS FundSchedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Contracts for difference (cont.)Merrill Lynch International Bank Ltd. Toys/Games/Hobbies Equity Long 1 448 896 13 548Merrill Lynch International Bank Ltd. Toys/Games/Hobbies Equity Short 1 723 062 (58 429)Merrill Lynch International Bank Ltd. Transportation Bond Long 297 454 (301)Merrill Lynch International Bank Ltd. Transportation Equity Long 9 192 517 77 989Merrill Lynch International Bank Ltd. Transportation Equity Short 11 790 223 (211 913)Merrill Lynch International Bank Ltd. Water Equity Short 82 297 (788)Morgan Stanley International Plc. Index Future Swap -
DiversifiedDerivatives Long 10 865 940 (1 362)
Morgan Stanley International Plc. Index Future Swap -Diversified
Derivatives Short 4 518 479 (17 261)
Morgan Stanley International Plc. Swap Index - Diversified Derivatives Short 2 361 864 (20 681)
Total 3 167 078 520 36 861 486
(a) These securities are fair valued. See Notes 2.2.6 and 10.
INR 55 862 050 USD 800 000 31/05/2019Merrill Lynch International
Ltd. (805)
USD 800 000 INR 55 595 000 31/05/2019Merrill Lynch International
Ltd. 4 626
CNH 2 000 000 USD 297 473 19/06/2019Merrill Lynch International
Ltd. 64
EUR 307 411 NOK 3 000 000 19/06/2019Merrill Lynch International
Ltd. (1 965)
EUR 116 140 PLN 500 000 19/06/2019Merrill Lynch International
Ltd. 531
EUR 283 903 SEK 3 000 000 19/06/2019Merrill Lynch International
Ltd. (4 447)
NOK 3 000 000 EUR 307 635 19/06/2019Merrill Lynch International
Ltd. 1 713
PLN 500 000 EUR 114 391 19/06/2019Merrill Lynch International
Ltd. 1 446
SEK 3 000 000 EUR 286 598 19/06/2019Merrill Lynch International
Ltd. 1 402
119Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Merrill Lynch WNTDiversified Futures UCITS Fund (in liquidation)Schedule of Investments as at March 31, 2019(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Currencybought Amount bought Currency sold Amount sold
Maturitydate Counterparty
Unrealisedappreciation/
(depreciation)USD
Forward foreign exchange contracts (cont.)
TRY 500 000 USD 86 806 19/06/2019Merrill Lynch International
Ltd. (4 202)
USD 297 676 CNH 2 000 000 19/06/2019Merrill Lynch International
Ltd. 138
USD 83 389 TRY 500 000 19/06/2019Merrill Lynch International
Ltd. 785
USD 136 291 ZAR 2 000 000 19/06/2019Merrill Lynch International
Ltd. (1 104)
ZAR 2 000 000 USD 137 427 19/06/2019Merrill Lynch International
Ltd. (33)
Total forward foreign exchange contracts (16 110)
The maximum individual counterparty exposure for OTC Derivatives including CFD as at March 31, 2019 is 0.00% of the NAV.
120 Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Merrill Lynch WNTDiversified Futures UCITS Fund (in liquidation)Schedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Nominalvalue Description
QuotationCurrency
CostEUR
Marketvalue EUR
% of netassets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market
Supranationals, Governments and Local Public Authorities, Debt Instruments1 000 Bundesrepublik Deutschland Bundesanleihe - Reg 1.500%
15/02/2023EUR 991 1 081 0.00
1 000 Bundesrepublik Deutschland Bundesanleihe - Reg 1.500%15/05/2023
EUR 988 1 085 0.00
1 000 Bundesrepublik Deutschland Bundesanleihe - Reg 2.000%15/08/2023
EUR 1 006 1 112 0.00
1 000 Bundesrepublik Deutschland Bundesanleihe - Reg 5.625%04/01/2028
EUR 1 244 1 517 0.00
1 000 Bundesrepublik Deutschland Bundesanleihe - Reg 6.250%04/01/2024
EUR 1 192 1 324 0.00
1 000 Bundesrepublik Deutschland Bundesanleihe - Reg 6.500%04/07/2027
EUR 1 301 1 563 0.00
Total Supranationals, Governments and Local PublicAuthorities, Debt Instruments 6 722 7 682 0.00
Merrill Lynch Investment Solutions – Merrill LynchEnhanced Equity Volatility Premium FundSchedule of Investments as at March 31, 2019(expressed in EUR)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Industrial classification of investments(as a percentage of net assets as at March 31, 2019) %
Reverse Repurchase Agreements 95.37Sovereign 0.00
95.37
Geographical classification of investments(as a percentage of net assets as at March 31, 2019) %
Germany 95.37
95.37
Short/Long Currency Description
Put/Call
StrikePrice
Maturitydate Quantity
Marketvalue EUR
CommitmentEUR
OptionsShort EUR Euro Stoxx 50 Index Call 3 441.2040 04/04/2019 (14 854) (6 829) 51 115 644*Short EUR Euro Stoxx 50 Index Call 3 475.7112 11/04/2019 (14 782) (7 333) 51 377 963*Short EUR Euro Stoxx 50 Index Call 3 502.0960 18/04/2019 (14 575) (7 753) 51 043 049*Short EUR Euro Stoxx 50 Index Call 3 453.1016 25/04/2019 (14 759) (73 699) 50 964 326*Short EUR Euro Stoxx 50 Index Put 3 176.4960 04/04/2019 (14 854) (8 104) 47 183 672Long EUR Euro Stoxx 50 Index Put 2 845.6110 04/04/2019 14 854 14 -Short EUR Euro Stoxx 50 Index Put 3 208.3488 11/04/2019 (14 782) (94 876) 47 425 812Long EUR Euro Stoxx 50 Index Put 2 874.1458 11/04/2019 14 782 1 827 -Short EUR Euro Stoxx 50 Index Put 3 232.7040 18/04/2019 (14 575) (214 662) 47 116 661Long EUR Euro Stoxx 50 Index Put 2 895.9640 18/04/2019 14 575 10 257 -Short EUR Euro Stoxx 50 Index Put 3 187.4784 25/04/2019 (14 759) (195 861) 47 043 994Long EUR Euro Stoxx 50 Index Put 2 855.4494 25/04/2019 14 759 12 872 -
Total Options (584 147) 393 271 121
* The commitment on short call positions is unlimited.
Merrill Lynch International Ltd is the counterparty to these options.
The maximum individual counterparty exposure for OTC Derivatives including CFD as at March 31, 2019 is 0.11% of the NAV.
122 Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Merrill LynchEnhanced Equity Volatility Premium FundSchedule of Investments as at March 31, 2019 (cont.)(expressed in EUR)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Nominalvalue Description
QuotationCurrency
CostUSD
Marketvalue USD
% of netassets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market
Supranationals, Governments and Local Public Authorities, Debt Instruments1 000 United States Treasury Note/Bond 6.000% 15/02/2026 USD 1 253 1 231 0.001 000 United States Treasury Note/Bond 6.500% 15/11/2026 USD 1 309 1 288 0.001 000 United States Treasury Note/Bond 6.750% 15/08/2026 USD 1 319 1 297 0.011 000 United States Treasury Note/Bond 6.875% 15/08/2025 USD 1 290 1 269 0.001 000 United States Treasury Note/Bond 7.500% 15/11/2024 USD 1 295 1 273 0.001 000 United States Treasury Note/Bond 7.625% 15/02/2025 USD 1 314 1 291 0.01
Total Supranationals, Governments and Local PublicAuthorities, Debt Instruments 7 780 7 649 0.02
The maximum individual counterparty exposure for OTC Derivatives including CFD as at March 31, 2019 is 0.42% of the NAV.
124 Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Merrill LynchMLCX Commodity Enhanced Beta FundSchedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Nominalvalue Description
QuotationCurrency
CostUSD
Marketvalue USD
% of netassets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market
Supranationals, Governments and Local Public Authorities, Debt Instruments1 000 United States Treasury Note/Bond 6.000% 15/02/2026 USD 1 267 1 231 0.001 000 United States Treasury Note/Bond 6.500% 15/11/2026 USD 1 324 1 288 0.001 000 United States Treasury Note/Bond 6.750% 15/08/2026 USD 1 332 1 297 0.011 000 United States Treasury Note/Bond 6.875% 15/08/2025 USD 1 303 1 269 0.001 000 United States Treasury Note/Bond 7.500% 15/11/2024 USD 1 305 1 273 0.001 000 United States Treasury Note/Bond 7.625% 15/02/2025 USD 1 324 1 291 0.00
Total Supranationals, Governments and Local PublicAuthorities, Debt Instruments 7 855 7 649 0.01
Supranationals, Governments and Local Public Authorities, Debt Instruments2 300 000 United States Treasury Bill 0.000% 18/04/2019 USD 2 297 447 2 297 431 3.603 000 000 United States Treasury Bill 0.000% 25/04/2019 USD 2 995 313 2 995 323 4.702 200 000 United States Treasury Bill 0.000% 13/06/2019 USD 2 189 325 2 189 455 3.433 000 000 United States Treasury Bill 0.000% 27/06/2019 USD 2 982 636 2 982 979 4.68
Total Supranationals, Governments and Local PublicAuthorities, Debt Instruments 10 464 721 10 465 188 16.41
Total Investments 45 226 410 48 754 916 76.47
127Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Zeal Greater ChinaLong Short UCITS FundSchedule of Investments as at March 31, 2019(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Industrial classification of investments(as a percentage of net assets as at March 31, 2019) %
Real Estate 18.55Sovereign 16.41Pharmaceuticals 6.58Apparel 5.66Lodging 5.40Retail 5.31Chemicals 4.35Electronics 3.54Building Materials 3.00Engineering & Construction 2.99Internet 2.07Hand/Machine Tools 1.54Biotechnology 1.07
76.47
Geographical classification of investments(as a percentage of net assets as at March 31, 2019) %
China 48.44United States 16.41Hong Kong 9.06Macau 2.56
76.47
Currencybought Amount bought Currency sold Amount sold
Maturitydate Counterparty
Unrealisedappreciation/
(depreciation)USD
Forward foreign exchange contracts
EUR 8 628 820 USD 9 765 725 30/04/2019State Street Bank and Trust
Co. (53 980)
USD 81 822 EUR 72 301 30/04/2019State Street Bank and Trust
Co. 447
Total forward foreign exchange contracts (53 533)
Contracts for difference
The Sub-Fund Merrill Lynch Investment Solutions – Zeal Greater China Long Short UCITS Fund entered into contracts for difference swaps with two counterparties(Merrill Lynch International Bank Ltd. and Morgan Stanley International Plc.) with the following details:
Contracts for differenceMerrill Lynch International Bank Ltd. Auto Manufacturers Equity Short 2 533 451 129 325Merrill Lynch International Bank Ltd. Banks Equity Short 3 103 036 13 800Merrill Lynch International Bank Ltd. Coal Equity Short 657 858 (11 911)Merrill Lynch International Bank Ltd. Internet Equity Short 2 524 328 (37 217)Merrill Lynch International Bank Ltd. Miscellaneous Manufacturing Equity Short 964 974 (120)Merrill Lynch International Bank Ltd. Retail Equity Short 626 223 6 037Merrill Lynch International Bank Ltd. Software Equity Short 649 347 7 486Morgan Stanley International Plc. Banks Equity Long 1 017 688 168 323Morgan Stanley International Plc. Beverages Equity Long 1 175 265 299 388Morgan Stanley International Plc. Chemicals Equity Long 2 058 200 292 837Morgan Stanley International Plc. Electronics Equity Long 3 145 023 770 193Morgan Stanley International Plc. Internet Equity Short 401 571 13 466Morgan Stanley International Plc. Software Equity Long 1 133 484 152 957
128 Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Zeal Greater ChinaLong Short UCITS FundSchedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Contracts for difference (cont.)Morgan Stanley International Plc. Telecommunications Equity Short 412 958 45 768Morgan Stanley International Plc. Textiles Equity Long 1 513 088 (79 107)
Total 21 916 494 1 771 225
Contracts for Difference Summary Breakdowns:
CommitmentLong
CommitmentShort
Unrealisedof short portfolio
Unrealisedof long portfolio
Realised result(monthly reset) Market Value
Counterparty USD USD USD USD USD USD
Merrill Lynch International Bank Ltd. - 11 059 217 107 400 - (7 665) 99 735Morgan Stanley International Plc. 10 042 748 814 529 59 234 1 604 591 (5 765) 1 658 060
7 100 WellCare Health Plans, Inc. USD 1 803 829 1 915 225 0.64129 500 Worldpay, Inc. - A USD 13 848 954 14 698 250 4.94
Total Shares 169 058 868 173 213 484 58.21
Supranationals, Governments and Local Public Authorities, Debt Instruments100 000 United States Treasury Bill 0.000% 04/04/2019 USD 99 980 99 980 0.03
5 000 000 United States Treasury Bill 0.000% 11/04/2019 USD 4 996 750 4 996 702 1.6840 000 000 United States Treasury Bill 0.000% 23/04/2019 USD 39 941 632 39 941 594 13.42
130 Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Ramius MergerArbitrage UCITS FundSchedule of Investments as at March 31, 2019(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Nominalvalue/
Quantity DescriptionQuotation
CurrencyCostUSD
Marketvalue USD
% of netassets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.)
Supranationals, Governments and Local Public Authorities, Debt Instruments (cont.)1 000 000 United States Treasury Bill 0.000% 02/05/2019 USD 997 946 997 978 0.341 000 000 United States Treasury Bill 0.000% 09/05/2019 USD 997 482 997 504 0.34
Total Supranationals, Governments and Local PublicAuthorities, Debt Instruments 47 033 790 47 033 758 15.81
Total Investments 269 721 712 274 282 957 92.18
131Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Ramius MergerArbitrage UCITS FundSchedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Industrial classification of investments(as a percentage of net assets as at March 31, 2019) %
Merrill Lynch Investment Solutions – Ramius MergerArbitrage UCITS FundSchedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Short/Long Currency Description
Put/Call
StrikePrice
Maturitydate Quantity
Marketvalue USD
CommitmentUSD
Options (cont.)Long USD Denbury Resources, Inc. Call 2.5000 17/01/2020 32 400 16 200 -Long USD Fifth Third Bancorp Put 25.0000 17/05/2019 14 400 10 512 -Long USD Fiserv, Inc. Put 75.0000 21/06/2019 21 600 7 020 -Long USD Harris Corp. Put 140.0000 17/05/2019 14 000 15 400 -Long USD II-VI, Inc. Put 30.0000 18/04/2019 21 600 2 160 -Long USD KLA-Tencor Corp. Put 90.0000 21/06/2019 16 400 7 380 -Long USD KLA-Tencor Corp. Put 95.0000 21/06/2019 30 400 21 280 -Long USD Kraft Heinz Co. Call 35.0000 19/07/2019 24 100 20 967 -Long USD Kraft Heinz Co. Call 37.5000 18/10/2019 24 100 20 726 -Long USD Luxoft Hldg., Inc. Put 45.0000 19/07/2019 34 700 1 735 -Long USD Nexstar Media Group, Inc. Put 95.0000 18/04/2019 12 000 2 400 -Long USD Nexstar Media Group, Inc. Put 85.0000 18/04/2019 23 800 9 520 -Long USD Nexstar Media Group, Inc. Put 75.0000 17/05/2019 9 400 1 880 -Long USD Nexstar Media Group, Inc. Put 85.0000 17/05/2019 11 900 4 284 -Long USD Nielsen Hldg. Plc. Call 27.0000 18/04/2019 12 100 6 050 -Long USD Nielsen Hldg. Plc. Call 25.0000 21/06/2019 47 900 71 850 -Long USD Nielsen Hldg. Plc. Put 23.0000 18/04/2019 23 900 26 290 -Long USD Nielsen Hldg. Plc. Put 23.0000 17/05/2019 12 000 17 160 -Long USD Nielsen Hldg. Plc. Put 25.0000 17/05/2019 47 900 122 145 -Long USD Red Hat, Inc. Put 175.0000 21/06/2019 23 800 45 458 -Long USD Red Hat, Inc. Put 150.0000 20/09/2019 43 200 97 200 -Short USD S&P 500 Index Put 2 700.0000 18/04/2019 (47 000) (230 300) 126 900 000Long USD S&P 500 Index Put 2 600.0000 18/04/2019 23 500 37 365 -Long USD S&P 500 Index Put 2 800.0000 18/04/2019 23 500 435 220 -Short USD S&P 500 Index Put 2 700.0000 26/04/2019 (9 600) (77 856) 25 920 000Long USD S&P 500 Index Put 2 600.0000 26/04/2019 4 800 14 880 -Long USD S&P 500 Index Put 2 800.0000 26/04/2019 4 800 114 528 -Long USD Spark Therapeutics, Inc. Call 115.0000 18/04/2019 13 200 660 -Long USD Spark Therapeutics, Inc. Put 75.0000 18/04/2019 14 100 2 115 -Long USD Spark Therapeutics, Inc. Put 70.0000 18/04/2019 48 100 4 810 -Long USD Spark Therapeutics, Inc. Put 110.0000 18/04/2019 9 400 4 888 -Long USD Spark Therapeutics, Inc. Put 100.0000 18/04/2019 14 600 5 110 -Long USD Spark Therapeutics, Inc. Put 50.0000 18/04/2019 237 500 11 875 -Long USD Spark Therapeutics, Inc. Put 60.0000 18/04/2019 240 400 12 020 -Long USD Spark Therapeutics, Inc. Put 55.0000 18/04/2019 533 700 26 685 -Long USD Spark Therapeutics, Inc. Put 105.0000 18/04/2019 48 100 28 860 -Long USD Spark Therapeutics, Inc. Put 65.0000 20/09/2019 700 88 -Long USD SPDR S&P 500 Trust ETF Call 287.0000 05/04/2019 10 000 2 600 -Long USD SPDR S&P 500 Trust ETF Call 289.0000 05/04/2019 76 200 4 572 -Long USD SPDR S&P 500 Trust ETF Call 286.0000 12/04/2019 9 200 9 752 -Long USD SPDR S&P 500 Trust ETF Call 287.0000 12/04/2019 13 800 11 040 -Long USD SPDR S&P 500 Trust ETF Call 285.0000 12/04/2019 20 700 31 257 -Long USD Symantec Corp. Put 21.0000 18/04/2019 36 100 3 429 -Long USD Symantec Corp. Put 22.0000 18/04/2019 18 100 3 982 -Long USD Technology Select Sector SPDR Fund Put 71.0000 21/06/2019 32 300 47 804 -Long USD Technology Select Sector SPDR Fund Put 70.0000 21/06/2019 71 800 87 596 -Short USD Tesla, Inc. Put 225.0000 29/03/2019 (4 800) (48) 1 080 000Long USD Tesla, Inc. Put 245.0000 29/03/2019 4 800 48 -Long USD T-Mobile US, Inc. Put 70.0000 17/05/2019 6 100 21 533 -Long USD T-Mobile US, Inc. Put 65.0000 17/05/2019 23 400 32 994 -
133Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Ramius MergerArbitrage UCITS FundSchedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Short/Long Currency Description
Put/Call
StrikePrice
Maturitydate Quantity
Marketvalue USD
CommitmentUSD
Options (cont.)Long USD T-Mobile US, Inc. Put 67.5000 17/05/2019 23 800 59 738 -Long USD TransDigm Group, Inc. Put 370.0000 17/05/2019 6 400 12 000 -Long USD Tribune Media Co. Put 45.0000 17/01/2020 43 200 17 280 -Long USD VanEck Vectors Semiconductor Put 95.0000 18/04/2019 10 400 1 352 -Long USD VanEck Vectors Semiconductor Put 100.0000 17/05/2019 39 200 59 192 -Long USD Versum Materials, Inc. Put 40.0000 18/04/2019 40 400 6 060 -Long USD Zayo Group Hldg., Inc. Call 30.0000 21/06/2019 51 500 84 975 -
Total Options 1 655 820 153 900 000
Morgan Stanley and Co., Inc. is the counterparty to these options.
Contracts for difference
The Sub-Fund Merrill Lynch Investment Solutions – Ramius Merger Arbitrage UCITS Fund entered into contracts for difference swaps with two counterparties(Merrill Lynch International Bank Ltd. and Morgan Stanley Capital Services, Inc.) with the following details:
Contracts for differenceMorgan Stanley Capital Services, Inc. Banks Equity Long 4 626 036 68 130Morgan Stanley Capital Services, Inc. Banks Equity Short 7 987 227 51 164Morgan Stanley Capital Services, Inc. Biotechnology Equity Short 2 831 731 27 350Morgan Stanley Capital Services, Inc. Commercial Services Equity Long 1 194 998 (310 991)Morgan Stanley Capital Services, Inc. Commercial Services Equity Short 1 045 668 363 979Morgan Stanley Capital Services, Inc. Computers Equity Short 8 463 132 (73 473)Morgan Stanley Capital Services, Inc. Electric Equity Long 556 475 10 970Morgan Stanley Capital Services, Inc. Electrical Components &
EquipmentEquity Long 4 456 796 (204 563)
Morgan Stanley Capital Services, Inc. Electronics Equity Short 1 234 767 (12 620)Morgan Stanley Capital Services, Inc. Equity Fund Equity Short 6 645 624 (20 836)Morgan Stanley Capital Services, Inc. Healthcare-Services Equity Short 319 556 (11 367)Morgan Stanley Capital Services, Inc. Insurance Equity Short 176 422 12Morgan Stanley Capital Services, Inc. Internet Equity Long 14 352 816 35 938Morgan Stanley Capital Services, Inc. Investment Companies Equity Long 9 946 285 87 434Morgan Stanley Capital Services, Inc. Media Equity Short 18 182 774 44 262Morgan Stanley Capital Services, Inc. Packaging & Containers Equity Short 14 767 777 (1 505 604)Morgan Stanley Capital Services, Inc. Pharmaceuticals Equity Short 11 036 337 (26 529)Morgan Stanley Capital Services, Inc. Private Equity Equity Short 5 033 395 (43 134)Morgan Stanley Capital Services, Inc. REITS Equity Long 1 610 901 116 496Morgan Stanley Capital Services, Inc. REITS Equity Short 1 295 803 (78 136)Morgan Stanley Capital Services, Inc. Semiconductors Equity Short 239 (54)Morgan Stanley Capital Services, Inc. Software Equity Long 5 787 281 277 635Morgan Stanley Capital Services, Inc. Software Equity Short 28 120 901 (1 579 881)Morgan Stanley Capital Services, Inc. Telecommunications Equity Long 3 469 985 58 040
Total 153 142 926 (2 725 778)
134 Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Ramius MergerArbitrage UCITS FundSchedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Contracts for Difference Summary Breakdowns:
CommitmentLong
CommitmentShort
Unrealisedof short portfolio
Unrealisedof long portfolio
Realised result(monthly reset) Market Value
Counterparty USD USD USD USD USD USD
Morgan Stanley Capital Services, Inc. 46 001 573 107 141 353 (2 864 867) 139 089 (414 697) (3 140 475)
Merrill Lynch Investment Solutions – Merrill LynchEnhanced Cross-Asset Volatility Premium FundSchedule of Investments as at March 31, 2019(expressed in EUR)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Industrial classification of investments(as a percentage of net assets as at March 31, 2019) %
Reverse Repurchase Agreements 94.59Sovereign 0.01
94.60
Geographical classification of investments(as a percentage of net assets as at March 31, 2019) %
Germany 94.60
94.60
Notional Pay Receive CurrencyMaturity
date Counterparty
Unrealisedappreciation/depreciation
EURCommitment
EUR
Total return swaps
(101 038 018)BofAML Cross-AssetVolatility Premium VI Index
The maximum individual counterparty exposure for OTC Derivatives including CFD as at March 31, 2019 is 0.02% of the NAV.
137Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Merrill LynchEnhanced Cross-Asset Volatility Premium FundSchedule of Investments as at March 31, 2019 (cont.)(expressed in EUR)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Nominalvalue/
Quantity DescriptionQuotation
CurrencyCostUSD
Marketvalue USD
% of netassets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market
Supranationals, Governments and Local Public Authorities, Debt Instruments8 045 000 Argentine Republic Government International Bond 3.375%
12/10/2020CHF 8 311 000 7 530 288 2.60
10 469 000 Argentine Republic Government International Bond 3.375%15/01/2023
EUR 12 692 259 9 427 023 3.25
13 022 000 Argentine Republic Government International Bond 5.000%15/01/2027
EUR 15 283 386 10 878 114 3.75
7 619 000 Argentine Republic Government International Bond 5.000%15/01/2027
EUR 9 140 769 6 364 640 2.19
14 341 000 Argentine Republic Government International Bond 5.250%15/01/2028
EUR 17 454 180 11 818 313 4.07
5 944 000 Argentine Republic Government International Bond 6.250%09/11/2047
EUR 6 832 232 4 799 210 1.65
14 278 000 Costa Rica Government International Bond - Reg 4.250%26/01/2023
USD 13 369 000 13 510 700 4.66
1 600 000 Costa Rica Government International Bond - Reg 4.375%30/04/2025
USD 1 445 018 1 470 016 0.51
138 Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – KLS Fixed IncomeUCITS FundSchedule of Investments as at March 31, 2019(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Nominalvalue/
Quantity DescriptionQuotation
CurrencyCostUSD
Marketvalue USD
% of netassets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.)
Supranationals, Governments and Local Public Authorities, Debt Instruments (cont.)3 280 000 European Investment Bank 2.875% 15/12/2021 USD 3 279 809 3 325 725 1.155 560 000 European Investment Bank 2.875% 15/08/2023 USD 5 537 455 5 677 176 1.962 298 000 European Investment Bank 3.125% 14/12/2023 USD 2 293 295 2 376 385 0.821 626 000 Hellenic Republic Government Bond 144A 3.875%
12/03/2029EUR 1 817 262 1 844 237 0.64
3 397 000 Hellenic Republic Government Bond - Reg 144A 3.375%15/02/2025
EUR 3 812 710 3 886 409 1.34
7 974 000 Hellenic Republic Treasury Bill 0.000% 14/06/2019 EUR 9 222 570 8 932 689 3.081 200 000 Hellenic Republic Treasury Bill 0.000% 02/08/2019 EUR 1 375 314 1 342 899 0.467 000 000 Hellenic Republic Treasury Bill 0.000% 30/08/2019 EUR 7 935 413 7 826 671 2.702 000 000 Hellenic Republic Treasury Bill 0.000% 13/03/2020 EUR 2 245 475 2 221 993 0.772 187 000 International Bank for Reconstruction & Development 3.000%
27/09/2023USD 2 178 966 2 253 295 0.78
10 508 000 Montenegro Government International Bond - Reg 3.375%21/04/2025
EUR 12 772 518 12 064 231 4.16
3 200 000 Montenegro Government International Bond - Reg 3.875%18/03/2020
EUR 4 031 413 3 671 378 1.27
7 392 000 Turkey Government International Bond 7.500% 07/11/2019 USD 7 579 745 7 429 019 2.563 500 000 United States Treasury Bill 0.000% 16/04/2019 USD 3 496 469 3 496 547 1.20
100 000 United States Treasury Bill 0.000% 30/04/2019 USD 99 806 99 807 0.03100 000 United States Treasury Bill 0.000% 09/05/2019 USD 99 741 99 750 0.03
7 000 000 United States Treasury Bill 0.000% 23/05/2019 USD 6 975 668 6 976 289 2.40100 000 United States Treasury Bill 0.000% 18/07/2019 USD 99 271 99 292 0.03100 000 United States Treasury Bill 0.000% 25/07/2019 USD 99 217 99 245 0.03100 000 United States Treasury Bill 0.000% 01/08/2019 USD 99 166 99 197 0.03
10 422 276 United States Treasury Inflation Indexed Bonds 0.875%15/01/2029
USD 10 747 950 10 753 518 3.71
2 867 000 United States Treasury Note/Bond 2.625% 15/05/2021 USD 2 866 840 2 887 047 0.99
Total Supranationals, Governments and Local PublicAuthorities, Debt Instruments 173 193 917 153 261 103 52.82
1 750 000 Madison Park Funding XXVIII Ltd. 144A FRN 15/07/2030 USD 1 750 000 1 677 205 0.581 425 000 Morgan Stanley Bank of America Merrill Lynch Trust
Interest rate GBP 90 Day Sterling ICE Futures Europe 18/03/2020 – 489 78 829 471 (122 493)Interest rate EUR Euro BTP Eurex Deutschland 06/06/2019 375 – 46 688 735 29 160Interest rate EUR German Euro BUND Eurex Deutschland 06/06/2019 59 – 10 962 627 45 204Interest rate EUR German Euro BUXL Eurex Deutschland 06/06/2019 – 42 8 935 839 (352 974)Interest rate GBP Long Gilt ICE Futures Europe 26/06/2019 – 66 11 062 138 (21 214)Interest rate USD US Long Bond Chicago Board of Trade 19/06/2019 – 90 11 867 344 31 721Interest rate USD US Ultra Long Bond Chicago Board of Trade 19/06/2019 292 – 48 444 625 1 601 582
Interest rate GBP 90 Day Sterling ICE Futures Europe 18/12/2019 144 – 23 215 928 34 810Interest rate GBP 90 Day Sterling ICE Futures Europe 18/03/2020 430 – 69 335 827 120 258Interest rate GBP 90 Day Sterling ICE Futures Europe 17/06/2020 490 – 78 994 660 145 687Interest rate GBP 90 Day Sterling ICE Futures Europe 16/09/2020 368 – 59 302 669 101 430Interest rate GBP 90 Day Sterling ICE Futures Europe 16/12/2020 214 – 34 473 613 62 726Interest rate GBP 90 Day Sterling ICE Futures Europe 17/03/2021 346 – 55 723 648 105 755Interest rate GBP 90 Day Sterling ICE Futures Europe 16/06/2021 288 – 46 366 300 76 302Interest rate EUR Euro BTP Eurex Deutschland 06/06/2019 255 – 37 027 813 170 980Interest rate EUR Euro BTP Eurex Deutschland 06/06/2019 6 – 746 952 (191)Interest rate EUR Euro OAT Eurex Deutschland 06/06/2019 4 – 729 770 135Interest rate EUR German Euro BOBL Eurex Deutschland 06/06/2019 216 – 32 253 811 108 409Interest rate EUR German Euro BUND Eurex Deutschland 06/06/2019 – 1 186 559 348Interest rate EUR German Euro BUXL Eurex Deutschland 06/06/2019 – 20 4 299 126 31 942Interest rate GBP Long Gilt ICE Futures Europe 26/06/2019 84 – 14 134 807 20 746Interest rate USD US Long Bond Chicago Board of Trade 19/06/2019 9 – 1 346 906 1 313Interest rate USD US Ultra Long Bond Chicago Board of Trade 19/06/2019 – 17 2 856 000 531
Total Futures contracts 1 544 301 528 1 217 264
Currencybought Amount bought Currency sold Amount sold
Maturitydate Counterparty
Unrealisedappreciation/
(depreciation)USD
Forward foreign exchange contractsAUD 52 310 000 USD 37 082 916 17/04/2019 Deutsche Bank AG 60 738BRL 52 170 000 USD 13 688 552 17/04/2019 Deutsche Bank AG (355 918)CAD 31 560 000 USD 23 586 190 17/04/2019 Deutsche Bank AG 59 596CHF 37 650 000 USD 37 733 863 17/04/2019 Deutsche Bank AG 123 399CLP 3 322 000 000 USD 5 007 977 17/04/2019 Deutsche Bank AG (127 334)COP 11 636 000 000 USD 3 713 463 17/04/2019 Deutsche Bank AG (66 898)EUR 16 700 000 NOK 162 234 802 17/04/2019 Deutsche Bank AG (76 859)EUR 18 180 000 PLN 78 246 005 17/04/2019 Deutsche Bank AG 26 964EUR 10 680 000 SEK 111 696 633 17/04/2019 Deutsche Bank AG (37 874)EUR 57 200 000 USD 64 867 351 17/04/2019 Deutsche Bank AG (633 036)GBP 36 390 000 USD 47 923 979 17/04/2019 Deutsche Bank AG (555 443)ILS 36 900 000 USD 10 217 957 17/04/2019 Deutsche Bank AG (48 701)JPY 10 015 000 000 USD 90 290 810 17/04/2019 Deutsche Bank AG 194 110KRW 26 318 000 000 USD 23 316 629 17/04/2019 Deutsche Bank AG (167 208)
162 Merrill Lynch Investment Solutions
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The accompanying notes form an integral part of these financial statements.
Audited annual report
Currencybought Amount bought Currency sold Amount sold
Maturitydate Counterparty
Unrealisedappreciation/
(depreciation)USD
Forward foreign exchange contracts (cont.)MXN 266 390 000 USD 13 749 589 17/04/2019 Deutsche Bank AG (64 290)NOK 182 366 248 EUR 18 680 000 17/04/2019 Deutsche Bank AG 190 031NOK 102 020 000 USD 11 853 327 17/04/2019 Deutsche Bank AG (11 870)NZD 38 310 000 USD 26 182 284 17/04/2019 Deutsche Bank AG (93 139)PLN 85 165 051 EUR 19 770 000 17/04/2019 Deutsche Bank AG (9 584)PLN 24 560 000 USD 6 469 764 17/04/2019 Deutsche Bank AG (70 097)RUB 1 023 030 000 USD 15 497 557 17/04/2019 Deutsche Bank AG 34 018SEK 107 022 840 EUR 10 190 000 17/04/2019 Deutsche Bank AG 84 697SEK 147 820 000 USD 15 967 459 17/04/2019 Deutsche Bank AG (45 200)SGD 47 440 000 USD 35 029 847 17/04/2019 Deutsche Bank AG (13 731)TRY 64 520 000 USD 11 702 497 17/04/2019 Deutsche Bank AG (429 364)USD 43 853 135 AUD 61 910 000 17/04/2019 Deutsche Bank AG (107 174)USD 19 198 450 BRL 74 660 000 17/04/2019 Deutsche Bank AG 118 236USD 30 341 731 CAD 40 470 000 17/04/2019 Deutsche Bank AG 20 280USD 45 987 805 CHF 46 010 000 17/04/2019 Deutsche Bank AG (275 477)USD 4 545 318 CLP 3 061 000 000 17/04/2019 Deutsche Bank AG 48 132USD 2 653 601 COP 8 435 000 000 17/04/2019 Deutsche Bank AG 10 187USD 120 968 283 EUR 107 310 000 17/04/2019 Deutsche Bank AG 461 562USD 54 628 130 GBP 41 360 000 17/04/2019 Deutsche Bank AG 790 190USD 13 349 908 ILS 48 250 000 17/04/2019 Deutsche Bank AG 52 714USD 92 837 031 JPY 10 309 000 000 17/04/2019 Deutsche Bank AG (304 160)USD 22 998 722 KRW 26 059 000 000 17/04/2019 Deutsche Bank AG 77 119USD 3 629 797 MXN 69 980 000 17/04/2019 Deutsche Bank AG 34 702USD 14 694 467 NOK 126 670 000 17/04/2019 Deutsche Bank AG (8 115)USD 30 390 044 NZD 44 540 000 17/04/2019 Deutsche Bank AG 58 263USD 13 797 781 PLN 52 640 000 17/04/2019 Deutsche Bank AG 81 234USD 2 941 633 RUB 191 210 000 17/04/2019 Deutsche Bank AG 38 695USD 21 157 693 SEK 196 880 000 17/04/2019 Deutsche Bank AG (49 008)USD 36 561 737 SGD 49 490 000 17/04/2019 Deutsche Bank AG 32 489USD 11 431 510 TRY 64 520 000 17/04/2019 Deutsche Bank AG 158 376USD 10 028 448 ZAR 145 780 000 17/04/2019 Deutsche Bank AG (47 974)ZAR 169 150 000 USD 11 756 569 17/04/2019 Deutsche Bank AG (64 799)INR 1 351 560 000 USD 19 296 274 18/04/2019 Deutsche Bank AG 132 403USD 5 016 237 INR 346 990 000 18/04/2019 Deutsche Bank AG 28 255
CHF 80 639 USD 81 407 30/04/2019State Street Bank and
Trust Co. (225)
EUR 129 601 355 USD 146 677 944 30/04/2019State Street Bank and
Trust Co. (978 758)
GBP 33 616 435 USD 44 520 736 30/04/2019State Street Bank and
Trust Co. (734 016)
USD 1 087 605 EUR 959 695 30/04/2019State Street Bank and
Trust Co. 8 706
JPY 6 663 327 762 USD 60 908 771 07/05/2019State Street Bank and
Trust Co. (601 541)TRY 37 180 000 USD 6 306 724 19/06/2019 Deutsche Bank AG (105 388)
Total forward foreign exchange contracts (3 158 085)
163Merrill Lynch Investment Solutions
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The accompanying notes form an integral part of these financial statements.
Audited annual report
Short/Long Currency Description
Put/Call
StrikePrice
Maturitydate Quantity
Marketvalue USD
CommitmentUSD
OptionsShort USD UBS ETC Linked to a Millburn Strategy
2 000 000 Autoroutes du Sud de la France S.A. 2.875% 18/01/2023 EUR 2 618 850 2 483 917 0.29450 000 Avi Funding Co. Ltd. - Reg 3.800% 16/09/2025 USD 459 115 456 410 0.05500 000 Aviva Plc. FRN 14/11/2036 GBP 798 700 739 291 0.09700 000 AXA S.A. FRN 06/07/2047 EUR 928 177 837 303 0.10
1 700 000 AXA S.A. FRN Perpetual EUR 2 115 659 2 037 845 0.241 150 000 AXA S.A. FRN 16/04/2040 EUR 1 510 118 1 357 636 0.162 000 000 Baidu, Inc. 2.875% 06/07/2022 USD 1 980 881 1 975 096 0.232 200 000 Banco Santander S.A. 3.500% 11/04/2022 USD 2 234 024 2 220 889 0.261 150 000 Bank of America Corp. FRN 21/07/2023 USD 1 149 683 1 142 348 0.141 100 000 Bank of America Corp. FRN 20/01/2028 USD 1 116 394 1 114 890 0.131 565 000 Bank of America Corp. FRN 23/07/2029 USD 1 565 000 1 629 519 0.192 450 000 Bank of America Corp. 4.450% 03/03/2026 USD 2 559 069 2 553 285 0.30
800 000 Bank of America Corp. 7.000% 31/07/2028 GBP 1 466 160 1 446 186 0.17520 000 Bank of America NA FRN 25/01/2023 USD 520 000 526 499 0.06800 000 Bank of China Ltd. 2.875% 30/06/2020 USD 802 521 797 814 0.09505 000 Bank Rakyat Indonesia Persero Tbk PT 3.950% 28/03/2024 USD 503 554 507 429 0.06
Supranationals, Governments and Local Public Authorities, Debt Instruments1 000 000 Abu Dhabi Government International Bond - Reg 3.125%
03/05/2026USD 993 595 1 001 290 0.12
550 000 Abu Dhabi Government International Bond - Reg 4.125%11/10/2047
USD 548 251 554 840 0.07
250 000 Bay Area Toll Authority 6.263% 01/04/2049 USD 361 675 356 528 0.04400 000 Bay Area Toll Authority 6.907% 01/10/2050 USD 620 705 611 672 0.07
2 500 000 Canadian Government Bond 2.750% 01/12/2048 CAD 2 159 499 2 225 008 0.26500 000 Chile Government International Bond 3.860% 21/06/2047 USD 512 183 508 255 0.06450 000 Colombia Government International Bond 5.000%
15/06/2045USD 470 305 472 140 0.06
600 000 Colombia Government International Bond 5.625%26/02/2044
550 000 European Investment Bank 0.500% 13/11/2037 EUR 588 696 576 326 0.071 700 000 European Investment Bank 1.125% 13/04/2033 EUR 2 040 939 2 017 588 0.241 500 000 European Investment Bank 1.500% 16/10/2048 EUR 1 854 676 1 822 385 0.22
350 000 European Investment Bank 4.500% 07/06/2029 GBP 586 125 587 529 0.07550 000 European Investment Bank 4.500% 07/03/2044 GBP 1 067 763 1 100 115 0.13700 000 European Stability Mechanism 0.750% 15/03/2027 EUR 843 907 823 330 0.10
1 250 000 European Stability Mechanism 0.875% 18/07/2042 EUR 1 373 104 1 350 812 0.16550 000 European Union 1.125% 04/04/2036 EUR 661 704 642 999 0.08900 000 European Union 3.375% 04/04/2032 EUR 1 395 482 1 354 547 0.16550 000 Export-Import Bank of China 2.875% 26/04/2026 USD 539 348 529 152 0.06
1 500 000 Export-Import Bank of Korea 2.625% 26/05/2026 USD 1 372 022 1 447 737 0.17900 000 Hungary Government International Bond 5.375% 25/03/2024 USD 996 907 986 107 0.12775 000 Indonesia Government International Bond 4.750%
11/02/2029USD 773 105 829 899 0.10
625 000 Indonesia Government International Bond 5.350%11/02/2049
USD 622 148 693 071 0.08
1 000 000 Indonesia Government International Bond 6.750%15/01/2044
USD 1 313 374 1 281 987 0.15
800 000 Indonesia Government International Bond - Reg 2.625%14/06/2023
EUR 1 012 227 957 791 0.11
3 000 000 Indonesia Government International Bond - Reg 4.125%15/01/2025
USD 3 101 893 3 074 553 0.36
500 000 Indonesia Government International Bond - Reg 4.750%08/01/2026
USD 519 872 528 112 0.06
1 150 000 International Bank for Reconstruction & Development 2.600%20/09/2022
AUD 875 887 837 375 0.10
177Merrill Lynch Investment Solutions
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The accompanying notes form an integral part of these financial statements.
Audited annual report
Nominalvalue Description
QuotationCurrency
CostUSD
Marketvalue USD
% of netassets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.)
Supranationals, Governments and Local Public Authorities, Debt Instruments (cont.)550 000 Israel Government International Bond 4.500% 30/01/2043 USD 597 207 594 687 0.07900 000 Kazakhstan Government International Bond - Reg 5.125%
21/07/2025USD 988 324 980 957 0.12
300 000 Kazakhstan Government International Bond - Reg 6.500%21/07/2045
USD 388 072 384 606 0.05
1 200 000 Korea International Bond 2.750% 19/01/2027 USD 1 135 310 1 187 448 0.141 150 000 Kuwait International Government Bond 3.500% 20/03/2027 USD 1 170 712 1 174 437 0.14
250 000 Kuwait International Government Bond - Reg 3.500%20/03/2027
USD 253 939 255 313 0.03
550 000 Los Angeles Department of Water & Power Power SystemRevenue 6.574% 01/07/2045
USD 812 466 802 252 0.10
2 000 000 Mexico Government International Bond 3.750% 11/01/2028 USD 1 967 820 1 975 400 0.232 300 000 Mexico Government International Bond 4.150% 28/03/2027 USD 2 397 744 2 338 410 0.28
800 000 Mexico Government International Bond 4.350% 15/01/2047 USD 779 146 748 800 0.091 050 000 New Jersey Turnpike Authority 7.414% 01/01/2040 USD 1 562 019 1 577 121 0.19
250 000 New York City Water & Sewer System 5.724% 15/06/2042 USD 330 068 332 588 0.04550 000 New York City Water & Sewer System 5.882% 15/06/2044 USD 753 306 751 866 0.09300 000 Panama Government International Bond 3.750% 16/03/2025 USD 311 396 309 453 0.04400 000 Panama Government International Bond 4.500% 15/05/2047 USD 435 805 421 880 0.05450 000 Panama Government International Bond 9.375% 01/04/2029 USD 657 270 656 550 0.08500 000 Peruvian Government International Bond 4.125% 25/08/2027 USD 541 431 545 505 0.06350 000 Peruvian Government International Bond 5.625% 18/11/2050 USD 445 042 449 050 0.05
1 300 000 Peruvian Government International Bond 7.350% 21/07/2025 USD 1 595 847 1 636 050 0.191 000 000 Philippine Government International Bond 4.200%
21/01/2024USD 1 054 502 1 054 398 0.12
350 000 Philippine Government International Bond 5.000%13/01/2037
USD 410 195 411 788 0.05
550 000 Port Authority of New York & New Jersey - H 4.458%01/10/2062
USD 611 617 616 181 0.07
1 000 000 Province of Quebec Canada 5.000% 29/04/2019 EUR 1 188 900 1 127 301 0.13725 000 Qatar Government International Bond 4.000% 14/03/2029 USD 722 468 747 194 0.09500 000 Qatar Government International Bond 144A 4.500%
20/01/2022USD 512 702 519 250 0.06
750 000 Qatar Government International Bond 4.817% 14/03/2049 USD 750 000 788 578 0.09500 000 Qatar Government International Bond - Reg 3.250%
02/06/2026USD 489 588 496 000 0.06
325 000 Qatar Government International Bond - Reg 3.875%23/04/2023
USD 323 210 334 253 0.04
450 000 Qatar Government International Bond - Reg 4.500%23/04/2028
USD 448 667 480 865 0.06
350 000 Qatar Government International Bond - Reg 4.625%02/06/2046
USD 363 073 369 548 0.04
400 000 Qatar Government International Bond - Reg 5.103%23/04/2048
USD 409 189 438 000 0.05
550 000 Regents of the University of California Medical Center PooledRevenue - H 6.548% 15/05/2048
USD 767 031 764 186 0.09
600 000 Republic of Poland Government International Bond 0.875%10/05/2027
EUR 708 470 686 082 0.08
178 Merrill Lynch Investment Solutions
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The accompanying notes form an integral part of these financial statements.
Audited annual report
Nominalvalue Description
QuotationCurrency
CostUSD
Marketvalue USD
% of netassets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.)
Supranationals, Governments and Local Public Authorities, Debt Instruments (cont.)1 250 000 Republic of Poland Government International Bond 3.000%
15/01/2024EUR 1 660 259 1 594 820 0.19
350 000 Republic of Poland Government International Bond 3.250%06/04/2026
USD 357 259 355 246 0.04
250 000 Romanian Government International Bond - Reg 3.875%29/10/2035
EUR 318 506 290 905 0.03
1 400 000 Russian Foreign Bond - Eurobond - Reg 5.625% 04/04/2042 USD 1 520 386 1 513 750 0.18250 000 Russian Foreign Bond - Eurobond - Reg 12.750% 24/06/2028 USD 403 818 402 487 0.05875 000 Saudi Government International Bond 5.250% 16/01/2050 USD 862 953 933 170 0.11
1 700 000 Saudi Government International Bond - Reg 2.375%26/10/2021
USD 1 675 865 1 670 393 0.20
750 000 Saudi Government International Bond - Reg 3.625%04/03/2028
USD 745 382 743 352 0.09
825 000 Saudi Government International Bond - Reg 4.375%16/04/2029
USD 817 546 859 213 0.10
1 900 000 Saudi Government International Bond - Reg 4.500%26/10/2046
USD 1 863 754 1 856 186 0.22
350 000 Slovenia Government International Bond 144A 5.500%26/10/2022
USD 383 713 378 899 0.04
1 250 000 State of California 7.625% 01/03/2040 USD 1 891 968 1 893 350 0.22550 000 State of Illinois 5.100% 01/06/2033 USD 552 007 540 441 0.06500 000 Uruguay Government International Bond 5.100% 18/06/2050 USD 551 489 533 750 0.06
Total Supranationals, Governments and Local PublicAuthorities, Debt Instruments 83 281 010 82 825 078 9.79
Australian StockExchange 17/06/2019 30 – 2 952 709 53 521
Interest rate CAD10 Year Government ofCanada Bond Montreal Exchange 19/06/2019 89 – 9 262 742 181 968
Interest rate JPY10 Year JapanGovernment Bond Osaka Exchange 13/06/2019 3 – 4 154 493 14 907
Interest rate USD10 Year US TreasuryNote Chicago Board of Trade 19/06/2019 – 30 3 726 563 2 344
Interest rate USD 2 Year US Treasury Note Chicago Board of Trade 28/06/2019 188 – 40 061 625 155 688Interest rate USD 5 Year US Treasury Note Chicago Board of Trade 28/06/2019 – 89 10 308 703 (99 688)Interest rate EUR German Euro BOBL Eurex Deutschland 06/06/2019 – 34 5 082 872 (40 849)Interest rate EUR German Euro BUND Eurex Deutschland 06/06/2019 – 17 3 175 172 (61 723)Interest rate EUR German Euro BUXL Eurex Deutschland 06/06/2019 6 – 1 291 232 62 385Interest rate GBP Long Gilt ICE Futures Europe 26/06/2019 28 – 4 720 118 93 377
Interest rate USD US Long Bond Chicago Board of Trade 19/06/2019 145 – 21 700 156 587 687
181Merrill Lynch Investment Solutions
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The accompanying notes form an integral part of these financial statements.
Audited annual report
Underlyingnature
Currencycontract Details Market
Maturitydate
Number ofcontracts
bought
Number ofcontracts
soldCommitment
USD
Unrealisedappreciation/
(depreciation)USD
Futures contracts (cont.)Interest rate USD US Long Bond Chicago Board of Trade 19/06/2019 – 309 41 029 406 (877 118)Interest rate USD US Ultra Long Bond Chicago Board of Trade 19/06/2019 26 – 4 368 000 182 502
Total Futures contracts 154 684 439 279 783
Currencybought Amount bought Currency sold Amount sold
11 510 000 Canadian Government Bond 0.500% 01/03/2022 CAD 8 381 505 8 359 709 0.161 620 000 Canadian Government Bond 0.750% 01/05/2019 CAD 1 275 422 1 211 699 0.022 500 000 Canadian Government Bond 0.750% 01/09/2020 CAD 1 953 081 1 849 863 0.04
189Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Global Debt -Government UCITS FundSchedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Nominalvalue Description
QuotationCurrency
CostUSD
Marketvalue USD
% of netassets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.)
Supranationals, Governments and Local Public Authorities, Debt Instruments (cont.)12 000 000 Canadian Government Bond 0.750% 01/03/2021 CAD 9 041 239 8 847 008 0.17
6 000 000 Canadian Government Bond 0.750% 01/09/2021 CAD 4 515 501 4 406 662 0.083 300 000 Canadian Government Bond 1.000% 01/09/2022 CAD 2 452 414 2 425 270 0.057 900 000 Canadian Government Bond 1.500% 01/03/2020 CAD 6 172 522 5 904 347 0.115 300 000 Canadian Government Bond 1.500% 01/06/2026 CAD 3 894 772 3 943 014 0.082 500 000 Canadian Government Bond 2.000% 01/06/2028 CAD 1 883 441 1 929 713 0.04
920 000 Canadian Government Bond 2.000% 01/12/2051 CAD 661 136 703 454 0.013 300 000 Canadian Government Bond 2.250% 01/06/2025 CAD 2 531 573 2 569 774 0.052 820 000 Canadian Government Bond 2.250% 01/06/2029 CAD 2 186 983 2 228 306 0.044 800 000 Canadian Government Bond 2.500% 01/06/2024 CAD 3 772 808 3 763 686 0.071 280 000 Canadian Government Bond 2.750% 01/12/2048 CAD 1 049 890 1 139 204 0.02
950 000 Canadian Government Bond 2.750% 01/12/2064 CAD 829 388 902 143 0.027 730 000 Canadian Government Bond 3.250% 01/06/2021 CAD 6 100 365 5 994 330 0.123 400 000 Canadian Government Bond 3.500% 01/12/2045 CAD 3 206 297 3 377 808 0.071 500 000 Canadian Government Bond 4.000% 01/06/2041 CAD 1 534 147 1 544 182 0.03
380 000 Canadian Government Bond 5.000% 01/06/2037 CAD 424 475 421 287 0.014 100 000 Canadian Government Bond 5.000% 01/06/2037 CAD 4 391 785 4 545 462 0.091 000 000 Canadian Government Bond 5.750% 01/06/2033 CAD 1 063 303 1 121 150 0.02
600 000 Cassa Depositi e Prestiti SpA 1.500% 21/06/2024 EUR 688 035 653 767 0.01600 000 City of Montreal Canada 3.000% 01/09/2027 CAD 459 875 463 432 0.01200 000 City of Montreal Canada 3.150% 01/12/2036 CAD 151 339 152 307 0.00400 000 City of Paris France - Reg 1.375% 20/11/2034 EUR 460 236 477 921 0.01
1 000 000 City of Toronto Canada 3.400% 21/05/2024 CAD 788 530 790 007 0.02100 000 City of Toronto Canada 3.500% 02/06/2036 CAD 82 676 80 175 0.00150 000 City of Toronto Canada 4.150% 10/03/2044 CAD 132 385 133 258 0.00250 000 CPPIB Capital, Inc. 3.000% 15/06/2028 CAD 192 098 196 581 0.00200 000 Cyprus Government International Bond 2.750% 26/02/2034 EUR 238 594 239 010 0.00600 000 Cyprus Government International Bond - Reg 2.375%
25/09/2028EUR 699 048 722 651 0.01
38 000 000 Czech Republic Government Bond 0.250% 10/02/2027 CZK 1 537 318 1 457 599 0.0326 130 000 Czech Republic Government Bond 0.950% 15/05/2030 CZK 1 053 914 1 022 149 0.0245 000 000 Czech Republic Government Bond 2.750% 23/07/2029 CZK 2 141 571 2 105 360 0.0438 000 000 Czech Republic Government Bond 3.850% 29/09/2021 CZK 1 843 207 1 733 095 0.03
3 000 000 Czech Republic Government Bond 4.200% 04/12/2036 CZK 183 449 161 692 0.0017 000 000 Czech Republic Government Bond 5.700% 25/05/2024 CZK 988 378 885 661 0.02
3 500 000 Denmark Government Bond 0.250% 15/11/2020 DKK 578 237 534 129 0.0116 090 000 Denmark Government Bond 0.500% 15/11/2027 DKK 2 564 028 2 563 597 0.0524 200 000 Denmark Government Bond 1.500% 15/11/2023 DKK 4 042 047 3 978 531 0.0812 000 000 Denmark Government Bond 1.750% 15/11/2025 DKK 2 098 313 2 057 849 0.0420 500 000 Denmark Government Bond 4.500% 15/11/2039 DKK 5 448 067 5 638 503 0.11
200 000 FADE - Fondo de Amortizacion del Deficit Electrico 0.500%17/03/2023
EUR 247 307 227 955 0.00
100 000 FADE - Fondo de Amortizacion del Deficit Electrico 0.625%17/03/2022
EUR 119 778 114 540 0.00
1 500 000 Federal Home Loan Banks 1.125% 14/07/2021 USD 1 454 523 1 460 493 0.031 500 000 Federal Home Loan Banks 1.375% 28/09/2020 USD 1 479 627 1 477 572 0.032 800 000 Federal Home Loan Banks 2.510% 29/12/2022 USD 2 761 049 2 794 251 0.05
190 Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Global Debt -Government UCITS FundSchedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Nominalvalue Description
QuotationCurrency
CostUSD
Marketvalue USD
% of netassets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.)
Supranationals, Governments and Local Public Authorities, Debt Instruments (cont.)1 000 000 Federal Home Loan Banks 3.000% 12/10/2021 USD 1 000 774 1 017 222 0.021 500 000 Federal Home Loan Banks 3.250% 09/06/2028 USD 1 512 747 1 568 346 0.032 000 000 Federal Home Loan Banks 3.375% 08/12/2023 USD 2 057 716 2 090 967 0.04
700 000 Federal Home Loan Banks 5.500% 15/07/2036 USD 899 889 933 529 0.02500 000 Federal Home Loan Mortgage Corp. 1.875% 17/11/2020 USD 499 129 496 191 0.01500 000 Federal Home Loan Mortgage Corp. 2.375% 16/02/2021 USD 498 981 500 484 0.01
2 500 000 Federal Home Loan Mortgage Corp. 2.375% 13/01/2022 USD 2 497 481 2 506 952 0.052 000 000 Federal Home Loan Mortgage Corp. 2.750% 19/06/2023 USD 1 978 383 2 034 886 0.04
700 000 Federal Home Loan Mortgage Corp. 6.250% 15/07/2032 USD 920 472 965 530 0.026 700 000 Federal National Mortgage Association 1.500% 30/07/2020 USD 6 607 649 6 622 642 0.132 400 000 Federal National Mortgage Association 1.875% 24/09/2026 USD 2 240 009 2 295 604 0.04
500 000 Federal National Mortgage Association 2.000% 05/10/2022 USD 496 391 495 285 0.011 200 000 Federal National Mortgage Association 2.375% 19/01/2023 USD 1 192 231 1 203 232 0.021 500 000 Federal National Mortgage Association 2.625% 06/09/2024 USD 1 481 651 1 521 878 0.034 500 000 Federal National Mortgage Association 2.750% 22/06/2021 USD 4 479 692 4 542 755 0.091 500 000 Federal National Mortgage Association 6.625% 15/11/2030 USD 1 995 711 2 065 597 0.04
150 000 Financement-Quebec 5.250% 01/06/2034 CAD 152 972 147 212 0.002 100 000 Finland Government Bond 144A 0.000% 15/09/2023 EUR 2 431 247 2 395 288 0.05
240 000 Finland Government Bond 144A 0.375% 15/09/2020 EUR 288 277 273 139 0.01850 000 Finland Government Bond 144A 0.500% 15/04/2026 EUR 1 043 176 993 676 0.02
1 240 000 Finland Government Bond 144A 0.500% 15/09/2027 EUR 1 454 014 1 443 459 0.031 700 000 Finland Government Bond 144A 0.750% 15/04/2031 EUR 1 948 471 1 990 505 0.04
240 000 Finland Government Bond 144A 0.875% 15/09/2025 EUR 297 761 287 633 0.01510 000 Finland Government Bond 144A 1.375% 15/04/2047 EUR 597 858 645 007 0.01
2 400 000 Finland Government Bond 144A 1.625% 15/09/2022 EUR 2 998 967 2 891 024 0.06920 000 Finland Government Bond 144A 2.000% 15/04/2024 EUR 1 213 002 1 153 658 0.02610 000 Finland Government Bond 144A 2.625% 04/07/2042 EUR 936 132 961 355 0.02
3 350 000 Finland Government Bond 144A 3.500% 15/04/2021 EUR 4 136 952 4 072 981 0.08230 000 Finland Government Bond 144A 4.000% 04/07/2025 EUR 336 639 326 749 0.01
1 870 000 Finland Government Bond - Reg 144A 0.500% 15/09/2028 EUR 2 141 305 2 164 821 0.04100 000 Finnvera OYJ 0.500% 13/04/2026 EUR 119 037 115 127 0.00300 000 Finnvera OYJ 1.250% 14/07/2033 EUR 369 097 359 455 0.01500 000 Finnvera OYJ - Reg 0.750% 07/08/2028 EUR 573 345 579 949 0.01100 000 Flemish Community 1.000% 13/10/2036 EUR 112 157 109 797 0.00600 000 Flemish Community 1.500% 12/07/2038 EUR 683 245 702 140 0.01600 000 Fondo De Titulizacion Del Deficit Del Sistema Electrico FTA -
Reg 0.850% 17/12/2023EUR 684 080 691 967 0.01
900 000 Free and Hanseatic City of Hamburg 0.500% 27/04/2026 EUR 1 036 961 1 036 655 0.02500 000 Free and Hanseatic City of Hamburg - Reg 1.200%
03/06/2033EUR 570 920 590 269 0.01
10 100 000 French Republic Government Bond 0.000% 25/02/2020 EUR 11 961 659 11 395 741 0.2213 970 000 French Republic Government Bond 0.000% 25/02/2021 EUR 16 170 799 15 846 369 0.30
3 200 000 French Republic Government Bond 0.000% 25/05/2021 EUR 3 766 856 3 633 927 0.0715 930 000 French Republic Government Bond 0.000% 25/05/2022 EUR 18 687 606 18 144 339 0.3513 740 000 French Republic Government Bond 0.000% 25/03/2023 EUR 15 966 945 15 658 081 0.3011 100 000 French Republic Government Bond 0.250% 25/11/2020 EUR 13 196 195 12 628 154 0.24
5 590 000 French Republic Government Bond 0.250% 25/11/2026 EUR 6 420 186 6 391 143 0.12
191Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Global Debt -Government UCITS FundSchedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Nominalvalue Description
QuotationCurrency
CostUSD
Marketvalue USD
% of netassets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.)
Supranationals, Governments and Local Public Authorities, Debt Instruments (cont.)6 800 000 French Republic Government Bond 0.500% 25/05/2026 EUR 8 302 797 7 932 487 0.153 860 000 French Republic Government Bond 0.750% 25/05/2028 EUR 4 658 986 4 552 202 0.098 020 000 French Republic Government Bond 0.750% 25/11/2028 EUR 9 210 399 9 427 756 0.188 510 000 French Republic Government Bond 1.000% 25/11/2025 EUR 10 262 072 10 259 670 0.203 300 000 French Republic Government Bond 1.000% 25/05/2027 EUR 4 087 664 3 984 940 0.085 450 000 French Republic Government Bond 1.250% 25/05/2034 EUR 6 453 904 6 587 811 0.133 910 000 French Republic Government Bond 144A 1.250% 25/05/2036 EUR 4 593 415 4 666 935 0.09
10 920 000 French Republic Government Bond 1.500% 25/05/2031 EUR 13 470 422 13 719 783 0.264 850 000 French Republic Government Bond 1.750% 25/05/2023 EUR 6 045 197 5 930 369 0.11
15 200 000 French Republic Government Bond 1.750% 25/11/2024 EUR 19 295 617 18 980 974 0.363 560 000 French Republic Government Bond 144A 1.750% 25/06/2039 EUR 4 427 159 4 555 031 0.092 560 000 French Republic Government Bond 144A 1.750% 25/05/2066 EUR 2 944 645 3 060 913 0.062 700 000 French Republic Government Bond 144A 2.000% 25/05/2048 EUR 3 447 230 3 549 490 0.07
13 830 000 French Republic Government Bond 2.250% 25/10/2022 EUR 17 694 497 17 023 060 0.33800 000 French Republic Government Bond 2.250% 25/05/2024 EUR 1 058 889 1 016 163 0.02
7 050 000 French Republic Government Bond 2.500% 25/10/2020 EUR 9 028 057 8 296 507 0.169 850 000 French Republic Government Bond 2.500% 25/05/2030 EUR 13 402 820 13 602 782 0.265 320 000 French Republic Government Bond 2.750% 25/10/2027 EUR 7 408 503 7 337 684 0.141 300 000 French Republic Government Bond 3.000% 25/04/2022 EUR 1 704 549 1 616 016 0.034 820 000 French Republic Government Bond 3.250% 25/05/2045 EUR 7 702 917 7 918 757 0.159 200 000 French Republic Government Bond 3.500% 25/04/2026 EUR 13 099 891 12 970 829 0.252 840 000 French Republic Government Bond 4.000% 25/10/2038 EUR 4 928 327 4 959 654 0.102 500 000 French Republic Government Bond 4.000% 25/04/2055 EUR 4 701 512 4 857 263 0.092 590 000 French Republic Government Bond 4.000% 25/04/2060 EUR 5 006 111 5 174 806 0.102 650 000 French Republic Government Bond 4.250% 25/10/2023 EUR 3 695 974 3 607 411 0.078 670 000 French Republic Government Bond 4.500% 25/04/2041 EUR 16 028 475 16 444 506 0.321 560 000 French Republic Government Bond 4.750% 25/04/2035 EUR 2 885 170 2 826 200 0.054 090 000 French Republic Government Bond 5.750% 25/10/2032 EUR 7 709 911 7 720 754 0.153 800 000 French Republic Government Bond - Reg 0.000% 25/03/2024 EUR 4 299 036 4 322 102 0.083 000 000 French Republic Government Bond - Reg 0.500% 25/05/2025 EUR 3 480 218 3 505 579 0.071 100 000 French Republic Government Bond - Reg 144A 1.500%
25/05/2050EUR 1 217 246 1 278 615 0.02
5 500 000 French Republic Government Bond - Reg 3.250% 25/10/2021 EUR 6 840 298 6 778 358 0.13300 000 Gemeinsame Deutsche Bundeslaender 0.250% 18/03/2024 EUR 357 075 342 580 0.01
Merrill Lynch Investment Solutions – Global Debt -Government UCITS FundSchedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Nominalvalue Description
QuotationCurrency
CostUSD
Marketvalue USD
% of netassets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.)
Supranationals, Governments and Local Public Authorities, Debt Instruments (cont.)1 000 000 Hydro-Quebec 6.500% 15/02/2035 CAD 1 115 751 1 118 425 0.02
37 000 000 000 Indonesia Treasury Bond 6.125% 15/05/2028 IDR 2 254 676 2 351 994 0.0560 000 000 000 Indonesia Treasury Bond 8.250% 15/07/2021 IDR 4 236 332 4 342 879 0.0870 000 000 000 Indonesia Treasury Bond 8.250% 15/05/2029 IDR 5 023 091 5 134 972 0.1070 000 000 000 Indonesia Treasury Bond 8.250% 15/05/2036 IDR 4 785 398 4 998 806 0.1060 000 000 000 Indonesia Treasury Bond 8.375% 15/09/2026 IDR 4 277 586 4 410 463 0.0820 000 000 000 Indonesia Treasury Bond 8.750% 15/05/2031 IDR 1 357 892 1 498 622 0.03
100 000 Instituto de Credito Oficial 0.250% 30/04/2022 EUR 118 617 113 460 0.00400 000 Ireland Government Bond 0.000% 18/10/2022 EUR 475 053 453 429 0.01320 000 Ireland Government Bond 0.900% 15/05/2028 EUR 387 318 375 122 0.01
3 230 000 Ireland Government Bond 1.000% 15/05/2026 EUR 3 813 918 3 840 939 0.071 060 000 Ireland Government Bond 1.700% 15/05/2037 EUR 1 272 204 1 297 512 0.031 300 000 Ireland Government Bond 2.000% 18/02/2045 EUR 1 613 806 1 664 142 0.032 300 000 Ireland Government Bond 2.400% 15/05/2030 EUR 3 063 467 3 069 464 0.061 900 000 Ireland Government Bond 3.400% 18/03/2024 EUR 2 690 300 2 505 777 0.051 000 000 Ireland Government Bond 3.900% 20/03/2023 EUR 1 321 273 1 309 288 0.033 800 000 Ireland Government Bond 4.500% 18/04/2020 EUR 4 660 171 4 493 061 0.09
500 000 Ireland Government Bond 5.000% 18/10/2020 EUR 673 594 609 673 0.011 900 000 Ireland Government Bond 5.400% 13/03/2025 EUR 2 836 659 2 813 313 0.051 210 000 Ireland Government Bond - Reg 1.100% 15/05/2029 EUR 1 396 814 1 431 146 0.03
600 000 Ireland Government Bond - Reg 1.300% 15/05/2033 EUR 677 909 705 432 0.0111 000 000 Israel Government Bond - Fixed 1.000% 30/04/2021 ILS 2 998 751 3 089 947 0.06
1 500 000 Israel Government Bond - Fixed 1.250% 30/11/2022 ILS 442 445 421 274 0.011 000 000 Israel Government Bond - Fixed 1.750% 31/08/2025 ILS 289 053 284 817 0.01
450 000 Israel Government Bond - Fixed 2.000% 31/03/2027 ILS 130 938 127 721 0.003 700 000 Israel Government Bond - Fixed 3.750% 31/03/2024 ILS 1 235 010 1 151 487 0.024 180 000 Israel Government Bond - Fixed 5.500% 31/01/2042 ILS 1 674 278 1 692 455 0.035 800 000 Israel Government Bond - Fixed 6.250% 30/10/2026 ILS 2 078 280 2 182 980 0.041 400 000 Israel Government International Bond 3.750% 31/03/2047 ILS 421 976 434 386 0.017 000 000 Italy Buoni Poliennali Del Tesoro 0.050% 15/04/2021 EUR 7 894 915 7 781 963 0.156 900 000 Italy Buoni Poliennali Del Tesoro 0.200% 15/10/2020 EUR 7 867 108 7 741 853 0.151 700 000 Italy Buoni Poliennali Del Tesoro 0.650% 01/11/2020 EUR 2 055 559 1 919 267 0.044 640 000 Italy Buoni Poliennali Del Tesoro 0.650% 15/10/2023 EUR 5 070 524 5 034 446 0.10
2 675 500 000 Japan Government Five Year Bond 0.100% 20/03/2020 JPY 23 930 487 24 236 257 0.47400 000 000 Japan Government Five Year Bond 0.100% 20/06/2020 JPY 3 605 584 3 625 893 0.07450 000 000 Japan Government Five Year Bond 0.100% 20/09/2020 JPY 4 040 378 4 081 976 0.08
2 490 000 000 Japan Government Five Year Bond 0.100% 20/12/2020 JPY 22 357 085 22 602 456 0.432 696 550 000 Japan Government Five Year Bond 0.100% 20/03/2021 JPY 24 467 861 24 493 937 0.471 800 000 000 Japan Government Five Year Bond 0.100% 20/06/2021 JPY 16 448 582 16 362 542 0.311 520 000 000 Japan Government Five Year Bond 0.100% 20/09/2021 JPY 13 631 326 13 827 969 0.271 770 000 000 Japan Government Five Year Bond 0.100% 20/12/2021 JPY 16 095 457 16 115 260 0.311 160 000 000 Japan Government Five Year Bond 0.100% 20/03/2022 JPY 10 601 504 10 569 483 0.201 870 000 000 Japan Government Five Year Bond 0.100% 20/06/2022 JPY 16 902 558 17 052 758 0.334 075 000 000 Japan Government Five Year Bond 0.100% 20/09/2022 JPY 36 443 104 37 193 924 0.713 100 000 000 Japan Government Five Year Bond 0.100% 20/12/2022 JPY 27 638 426 28 325 012 0.542 150 000 000 Japan Government Five Year Bond 0.100% 20/03/2023 JPY 19 544 076 19 657 198 0.38
340 000 000 Japan Government Five Year Bond 0.100% 20/06/2023 JPY 3 093 391 3 111 468 0.061 800 000 000 Japan Government Five Year Bond 0.100% 20/09/2023 JPY 16 177 127 16 479 306 0.32
800 000 000 Japan Government Five Year Bond 0.100% 20/12/2023 JPY 7 272 902 7 330 569 0.14540 000 000 Japan Government Forty Year Bond 0.400% 20/03/2056 JPY 4 089 722 4 618 284 0.09230 000 000 Japan Government Forty Year Bond 0.800% 20/03/2058 JPY 2 026 370 2 238 139 0.04592 750 000 Japan Government Forty Year Bond 0.900% 20/03/2057 JPY 5 481 598 5 951 277 0.11402 000 000 Japan Government Forty Year Bond 1.400% 20/03/2055 JPY 4 419 472 4 635 249 0.09447 000 000 Japan Government Forty Year Bond 1.700% 20/03/2054 JPY 5 161 806 5 525 014 0.11
194 Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Global Debt -Government UCITS FundSchedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Nominalvalue Description
QuotationCurrency
CostUSD
Marketvalue USD
% of netassets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.)
Supranationals, Governments and Local Public Authorities, Debt Instruments (cont.)317 000 000 Japan Government Forty Year Bond 1.900% 20/03/2053 JPY 3 694 262 4 070 551 0.08802 850 000 Japan Government Forty Year Bond 2.000% 20/03/2052 JPY 9 327 351 10 474 587 0.20165 000 000 Japan Government Forty Year Bond 2.200% 20/03/2049 JPY 2 092 127 2 188 730 0.04160 000 000 Japan Government Forty Year Bond 2.200% 20/03/2050 JPY 1 978 532 2 139 390 0.04634 000 000 Japan Government Forty Year Bond 2.200% 20/03/2051 JPY 7 618 271 8 543 262 0.16
1 258 000 000 Japan Government Ten Year Bond 0.100% 20/03/2026 JPY 11 789 662 11 614 493 0.22870 000 000 Japan Government Ten Year Bond 0.100% 20/06/2026 JPY 7 961 262 8 036 682 0.15
1 700 000 000 Japan Government Ten Year Bond 0.100% 20/09/2026 JPY 15 275 874 15 710 159 0.301 500 000 000 Japan Government Ten Year Bond 0.100% 20/12/2026 JPY 13 503 941 13 867 191 0.271 940 000 000 Japan Government Ten Year Bond 0.100% 20/03/2027 JPY 17 565 361 17 940 859 0.341 995 000 000 Japan Government Ten Year Bond 0.100% 20/06/2027 JPY 18 146 305 18 444 625 0.353 865 000 000 Japan Government Ten Year Bond 0.100% 20/09/2027 JPY 35 261 274 35 731 477 0.692 275 000 000 Japan Government Ten Year Bond 0.100% 20/12/2027 JPY 20 742 368 21 018 340 0.402 370 000 000 Japan Government Ten Year Bond 0.100% 20/03/2028 JPY 21 635 140 21 884 038 0.421 250 000 000 Japan Government Ten Year Bond 0.100% 20/06/2028 JPY 11 244 448 11 528 888 0.22
650 000 000 Japan Government Ten Year Bond 0.100% 20/09/2028 JPY 5 803 618 5 991 498 0.12500 000 000 Japan Government Ten Year Bond 0.100% 20/12/2028 JPY 4 556 926 4 603 740 0.09
1 615 000 000 Japan Government Ten Year Bond 0.300% 20/12/2024 JPY 14 735 331 15 011 905 0.29750 000 000 Japan Government Ten Year Bond 0.300% 20/12/2025 JPY 6 996 515 7 010 909 0.13
1 300 000 000 Japan Government Ten Year Bond 0.400% 20/03/2025 JPY 12 249 545 12 171 387 0.23420 000 000 Japan Government Ten Year Bond 0.400% 20/06/2025 JPY 3 947 697 3 939 694 0.08
1 820 000 000 Japan Government Ten Year Bond 0.400% 20/09/2025 JPY 16 828 662 17 100 617 0.331 720 000 000 Japan Government Ten Year Bond 0.500% 20/09/2024 JPY 15 871 958 16 143 618 0.31
650 000 000 Japan Government Ten Year Bond 0.500% 20/12/2024 JPY 5 926 362 6 109 888 0.121 510 000 000 Japan Government Ten Year Bond 0.600% 20/03/2023 JPY 14 628 770 14 075 598 0.27
940 000 000 Japan Government Ten Year Bond 0.600% 20/09/2023 JPY 8 656 173 8 797 282 0.171 275 000 000 Japan Government Ten Year Bond 0.600% 20/12/2023 JPY 11 777 792 11 955 177 0.232 660 000 000 Japan Government Ten Year Bond 0.600% 20/03/2024 JPY 24 871 245 24 996 093 0.481 900 000 000 Japan Government Ten Year Bond 0.600% 20/06/2024 JPY 17 995 420 17 885 938 0.341 200 000 000 Japan Government Ten Year Bond 0.800% 20/09/2020 JPY 11 156 496 10 996 720 0.21
255 000 000 Japan Government Ten Year Bond 0.800% 20/06/2022 JPY 2 339 682 2 377 489 0.051 720 000 000 Japan Government Ten Year Bond 0.800% 20/09/2022 JPY 15 884 723 16 076 643 0.31
690 450 000 Japan Government Ten Year Bond 0.800% 20/12/2022 JPY 6 431 235 6 470 649 0.124 130 000 000 Japan Government Ten Year Bond 0.800% 20/06/2023 JPY 38 965 730 38 892 932 0.75
605 000 000 Japan Government Ten Year Bond 0.800% 20/09/2023 JPY 5 696 992 5 711 329 0.11805 000 000 Japan Government Ten Year Bond 0.900% 20/03/2022 JPY 7 725 854 7 508 315 0.14350 000 000 Japan Government Ten Year Bond 0.900% 20/06/2022 JPY 3 256 350 3 273 560 0.06790 000 000 Japan Government Ten Year Bond 1.000% 20/09/2020 JPY 7 310 785 7 260 491 0.14700 000 000 Japan Government Ten Year Bond 1.000% 20/03/2022 JPY 6 522 301 6 547 626 0.13
2 700 000 000 Japan Government Ten Year Bond 1.200% 20/12/2020 JPY 24 837 792 24 970 945 0.482 010 000 000 Japan Government Ten Year Bond 1.300% 20/03/2021 JPY 19 365 924 18 687 180 0.36
440 000 000 Japan Government Thirty Year Bond 0.300% 20/06/2046 JPY 3 583 524 3 796 518 0.07530 000 000 Japan Government Thirty Year Bond 0.500% 20/09/2046 JPY 4 474 499 4 817 333 0.09493 300 000 Japan Government Thirty Year Bond 0.600% 20/12/2046 JPY 4 291 652 4 593 125 0.09
50 000 000 Japan Government Thirty Year Bond 0.700% 20/06/2048 JPY 437 753 475 846 0.01100 000 000 Japan Government Thirty Year Bond 0.700% 20/12/2048 JPY 925 811 949 948 0.02530 000 000 Japan Government Thirty Year Bond 0.800% 20/03/2046 JPY 4 780 522 5 186 276 0.10
195Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Global Debt -Government UCITS FundSchedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Nominalvalue Description
QuotationCurrency
CostUSD
Marketvalue USD
% of netassets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.)
Supranationals, Governments and Local Public Authorities, Debt Instruments (cont.)610 000 000 Japan Government Thirty Year Bond 0.800% 20/03/2047 JPY 5 623 342 5 963 434 0.11430 000 000 Japan Government Thirty Year Bond 0.800% 20/06/2047 JPY 4 123 057 4 201 052 0.08491 000 000 Japan Government Thirty Year Bond 0.800% 20/09/2047 JPY 4 553 649 4 795 019 0.09610 000 000 Japan Government Thirty Year Bond 0.800% 20/12/2047 JPY 5 769 687 5 954 616 0.11550 000 000 Japan Government Thirty Year Bond 0.800% 20/03/2048 JPY 4 931 251 5 362 755 0.10165 000 000 Japan Government Thirty Year Bond 1.400% 20/12/2032 JPY 1 692 746 1 758 166 0.03300 000 000 Japan Government Thirty Year Bond 1.400% 20/09/2045 JPY 3 072 606 3 343 841 0.06
1 320 000 000 Japan Government Thirty Year Bond 1.400% 20/12/2045 JPY 14 167 619 14 725 898 0.28185 000 000 Japan Government Thirty Year Bond 1.500% 20/12/2044 JPY 1 967 754 2 093 742 0.04440 000 000 Japan Government Thirty Year Bond 1.500% 20/03/2045 JPY 4 641 240 4 991 914 0.10585 000 000 Japan Government Thirty Year Bond 1.600% 20/06/2045 JPY 6 521 506 6 770 747 0.13235 000 000 Japan Government Thirty Year Bond 1.700% 20/12/2043 JPY 2 638 202 2 750 127 0.05180 000 000 Japan Government Thirty Year Bond 1.700% 20/03/2044 JPY 1 994 549 2 108 920 0.04165 000 000 Japan Government Thirty Year Bond 1.700% 20/06/2044 JPY 1 845 799 1 936 799 0.04
61 000 000 Japan Government Thirty Year Bond 1.700% 20/09/2044 JPY 667 433 716 530 0.01520 000 000 Japan Government Thirty Year Bond 1.800% 20/03/2043 JPY 6 141 897 6 160 463 0.12240 000 000 Japan Government Thirty Year Bond 1.800% 20/09/2043 JPY 2 680 025 2 854 999 0.06568 000 000 Japan Government Thirty Year Bond 1.900% 20/09/2042 JPY 6 481 391 6 828 419 0.13235 000 000 Japan Government Thirty Year Bond 1.900% 20/06/2043 JPY 2 680 061 2 839 363 0.05883 000 000 Japan Government Thirty Year Bond 2.000% 20/09/2040 JPY 9 857 118 10 639 797 0.20
1 166 000 000 Japan Government Thirty Year Bond 2.000% 20/09/2041 JPY 13 090 701 14 134 214 0.27935 000 000 Japan Government Thirty Year Bond 2.000% 20/03/2042 JPY 10 612 892 11 385 653 0.22380 000 000 Japan Government Thirty Year Bond 2.200% 20/09/2039 JPY 4 372 264 4 677 483 0.09490 000 000 Japan Government Thirty Year Bond 2.200% 20/03/2041 JPY 5 854 432 6 108 521 0.12100 000 000 Japan Government Thirty Year Bond 2.300% 20/05/2030 JPY 1 138 573 1 138 185 0.02260 000 000 Japan Government Thirty Year Bond 2.300% 20/03/2039 JPY 3 044 072 3 234 491 0.06425 000 000 Japan Government Thirty Year Bond 2.300% 20/03/2040 JPY 5 062 930 5 330 115 0.10500 000 000 Japan Government Thirty Year Bond 2.400% 20/09/2038 JPY 5 964 098 6 277 183 0.12
93 800 000 Japan Government Thirty Year Bond 2.500% 20/03/2038 JPY 1 125 259 1 188 794 0.021 365 000 000 Japan Government Twenty Year Bond 0.200% 20/06/2036 JPY 11 973 428 12 248 558 0.241 155 000 000 Japan Government Twenty Year Bond 0.400% 20/03/2036 JPY 10 092 339 10 735 025 0.21
915 000 000 Japan Government Twenty Year Bond 0.500% 20/09/2036 JPY 8 414 033 8 622 584 0.17800 000 000 Japan Government Twenty Year Bond 0.500% 20/03/2038 JPY 7 064 757 7 477 581 0.14180 000 000 Japan Government Twenty Year Bond 0.500% 20/06/2038 JPY 1 588 014 1 680 114 0.03560 000 000 Japan Government Twenty Year Bond 0.500% 20/12/2038 JPY 5 133 671 5 212 753 0.10985 000 000 Japan Government Twenty Year Bond 0.600% 20/12/2036 JPY 9 287 098 9 424 266 0.18625 000 000 Japan Government Twenty Year Bond 0.600% 20/06/2037 JPY 5 637 147 5 966 990 0.11195 000 000 Japan Government Twenty Year Bond 0.600% 20/09/2037 JPY 1 759 398 1 859 410 0.04505 000 000 Japan Government Twenty Year Bond 0.600% 20/12/2037 JPY 4 823 181 4 806 682 0.09540 000 000 Japan Government Twenty Year Bond 0.700% 20/03/2037 JPY 5 135 631 5 245 247 0.10420 000 000 Japan Government Twenty Year Bond 0.700% 20/09/2038 JPY 3 983 208 4 059 488 0.08
1 475 000 000 Japan Government Twenty Year Bond 1.000% 20/12/2035 JPY 14 436 541 15 040 776 0.29515 000 000 Japan Government Twenty Year Bond 1.200% 20/12/2034 JPY 5 343 025 5 391 390 0.10500 000 000 Japan Government Twenty Year Bond 1.200% 20/03/2035 JPY 5 160 836 5 236 346 0.10
2 560 000 000 Japan Government Twenty Year Bond 1.200% 20/09/2035 JPY 26 270 289 26 832 991 0.52460 000 000 Japan Government Twenty Year Bond 1.300% 20/06/2035 JPY 4 717 416 4 885 430 0.09380 000 000 Japan Government Twenty Year Bond 1.400% 20/09/2034 JPY 3 993 174 4 078 807 0.08
196 Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Global Debt -Government UCITS FundSchedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Nominalvalue Description
QuotationCurrency
CostUSD
Marketvalue USD
% of netassets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.)
Supranationals, Governments and Local Public Authorities, Debt Instruments (cont.)565 000 000 Japan Government Twenty Year Bond 1.500% 20/03/2034 JPY 5 753 665 6 125 644 0.12
1 015 000 000 Japan Government Twenty Year Bond 1.500% 20/06/2034 JPY 10 575 301 11 019 882 0.211 080 000 000 Japan Government Twenty Year Bond 1.600% 20/06/2030 JPY 11 442 338 11 536 880 0.22
300 000 000 Japan Government Twenty Year Bond 1.600% 20/03/2032 JPY 3 090 660 3 253 585 0.06491 150 000 Japan Government Twenty Year Bond 1.600% 20/03/2033 JPY 5 479 746 5 362 115 0.10900 000 000 Japan Government Twenty Year Bond 1.600% 20/12/2033 JPY 9 499 216 9 875 728 0.19550 000 000 Japan Government Twenty Year Bond 1.700% 20/09/2031 JPY 5 907 417 6 001 278 0.12
1 110 000 000 Japan Government Twenty Year Bond 1.700% 20/12/2031 JPY 11 542 183 12 136 341 0.23525 000 000 Japan Government Twenty Year Bond 1.700% 20/06/2032 JPY 5 899 109 5 766 154 0.11385 000 000 Japan Government Twenty Year Bond 1.700% 20/09/2032 JPY 4 089 635 4 236 478 0.08300 000 000 Japan Government Twenty Year Bond 1.700% 20/12/2032 JPY 3 277 778 3 307 033 0.06525 000 000 Japan Government Twenty Year Bond 1.700% 20/06/2033 JPY 5 686 732 5 806 898 0.11900 000 000 Japan Government Twenty Year Bond 1.700% 20/09/2033 JPY 9 609 738 9 970 863 0.19550 000 000 Japan Government Twenty Year Bond 1.800% 20/06/2031 JPY 5 907 530 6 049 081 0.12685 000 000 Japan Government Twenty Year Bond 1.800% 20/09/2031 JPY 7 329 843 7 551 245 0.15445 000 000 Japan Government Twenty Year Bond 1.800% 20/12/2031 JPY 4 705 824 4 916 328 0.09635 000 000 Japan Government Twenty Year Bond 1.800% 20/03/2032 JPY 6 791 577 7 034 654 0.14209 000 000 Japan Government Twenty Year Bond 1.800% 20/12/2032 JPY 2 243 062 2 329 523 0.04310 000 000 Japan Government Twenty Year Bond 1.900% 20/12/2023 JPY 3 048 806 3 079 835 0.06300 000 000 Japan Government Twenty Year Bond 1.900% 20/12/2028 JPY 3 331 416 3 238 515 0.06185 000 000 Japan Government Twenty Year Bond 1.900% 20/03/2029 JPY 1 947 747 2 003 603 0.04727 400 000 Japan Government Twenty Year Bond 1.900% 20/09/2030 JPY 7 857 598 8 013 854 0.15390 000 000 Japan Government Twenty Year Bond 1.900% 20/03/2031 JPY 4 359 548 4 321 342 0.08635 000 000 Japan Government Twenty Year Bond 1.900% 20/06/2031 JPY 6 882 392 7 053 873 0.14175 000 000 Japan Government Twenty Year Bond 2.000% 20/12/2030 JPY 1 873 851 1 952 724 0.04175 000 000 Japan Government Twenty Year Bond 2.000% 20/03/2031 JPY 1 886 979 1 957 957 0.04
1 950 000 000 Japan Government Twenty Year Bond 2.100% 20/12/2026 JPY 20 034 101 20 772 517 0.401 600 000 000 Japan Government Twenty Year Bond 2.100% 20/09/2027 JPY 16 401 936 17 259 936 0.33
165 000 000 Japan Government Twenty Year Bond 2.100% 20/06/2028 JPY 1 751 585 1 798 282 0.03120 000 000 Japan Government Twenty Year Bond 2.100% 20/09/2029 JPY 1 312 694 1 330 142 0.03230 000 000 Japan Government Twenty Year Bond 2.100% 20/12/2029 JPY 2 539 836 2 557 710 0.05515 000 000 Japan Government Twenty Year Bond 2.100% 20/03/2030 JPY 5 733 737 5 744 913 0.11885 000 000 Japan Government Twenty Year Bond 2.100% 20/12/2030 JPY 9 868 123 9 970 112 0.19220 000 000 Japan Government Twenty Year Bond 2.200% 20/03/2026 JPY 2 277 017 2 324 187 0.04400 000 000 Japan Government Twenty Year Bond 2.200% 20/12/2029 JPY 4 246 737 4 487 076 0.09555 000 000 Japan Government Twenty Year Bond 2.200% 20/03/2031 JPY 6 035 976 6 329 462 0.12380 000 000 Japan Government Twenty Year Bond 2.300% 20/06/2026 JPY 4 013 231 4 060 406 0.08800 000 000 Japan Government Twenty Year Bond 2.300% 20/06/2027 JPY 8 971 382 8 714 532 0.17900 000 000 Japan Government Two Year Bond 0.100% 15/02/2020 JPY 8 501 937 8 150 454 0.16
2 000 000 000 Japan Government Two Year Bond 0.100% 01/06/2020 JPY 17 575 014 18 126 756 0.352 450 000 000 Japan Government Two Year Bond 0.100% 01/09/2020 JPY 22 248 752 22 220 328 0.43
880 000 000 Japan Government Two Year Bond 0.100% 01/10/2020 JPY 7 840 201 7 982 928 0.15800 000 000 Japan Government Two Year Bond 0.100% 01/01/2021 JPY 7 354 960 7 262 195 0.14900 000 000 Japan Government Two Year Bond 0.100% 01/03/2021 JPY 8 107 316 8 173 790 0.16
1 200 000 Kingdom of Belgium Government Bond 144A 0.200%22/10/2023
EUR 1 476 369 1 378 249 0.03
197Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Global Debt -Government UCITS FundSchedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Nominalvalue Description
QuotationCurrency
CostUSD
Marketvalue USD
% of netassets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.)
Supranationals, Governments and Local Public Authorities, Debt Instruments (cont.)2 240 000 Kingdom of Belgium Government Bond 144A 0.500%
22/10/2024EUR 2 680 967 2 609 226 0.05
2 000 000 Kingdom of Belgium Government Bond 144A 0.800%22/06/2025
EUR 2 410 992 2 368 540 0.05
3 240 000 Kingdom of Belgium Government Bond 144A 0.800%22/06/2027
EUR 3 801 390 3 824 577 0.07
1 370 000 Kingdom of Belgium Government Bond 144A 0.800%22/06/2028
EUR 1 651 979 1 609 091 0.03
800 000 Kingdom of Belgium Government Bond 144A 0.900%22/06/2029
EUR 947 604 941 670 0.02
2 980 000 Kingdom of Belgium Government Bond 144A 1.000%22/06/2026
EUR 3 601 746 3 575 849 0.07
5 500 000 Kingdom of Belgium Government Bond 144A 1.000%22/06/2031
EUR 6 400 878 6 466 660 0.12
220 000 Kingdom of Belgium Government Bond 1.250% 22/04/2033 EUR 267 225 263 901 0.01450 000 Kingdom of Belgium Government Bond 144A 1.450%
22/06/2037EUR 548 606 540 612 0.01
1 760 000 Kingdom of Belgium Government Bond 144A 1.600%22/06/2047
EUR 2 048 835 2 083 671 0.04
1 050 000 Kingdom of Belgium Government Bond 144A 1.900%22/06/2038
EUR 1 331 284 1 346 270 0.03
280 000 Kingdom of Belgium Government Bond 144A 2.150%22/06/2066
EUR 368 400 358 301 0.01
300 000 Kingdom of Belgium Government Bond 144A 2.150%22/06/2066
EUR 371 325 383 893 0.01
950 000 Kingdom of Belgium Government Bond 2.250% 22/06/2023 EUR 1 272 834 1 186 038 0.02620 000 Kingdom of Belgium Government Bond 144A 2.250%
22/06/2057EUR 798 818 819 145 0.02
700 000 Kingdom of Belgium Government Bond 144A 3.750%28/09/2020
EUR 883 612 836 503 0.02
960 000 Kingdom of Belgium Government Bond 3.750% 22/06/2045 EUR 1 649 027 1 669 830 0.031 380 000 Kingdom of Belgium Government Bond 4.000% 28/03/2022 EUR 1 774 937 1 758 869 0.033 020 000 Kingdom of Belgium Government Bond 4.000% 28/03/2032 EUR 4 744 289 4 815 914 0.094 000 000 Kingdom of Belgium Government Bond 144A 4.250%
28/09/2021EUR 5 209 596 5 028 122 0.10
5 350 000 Kingdom of Belgium Government Bond 144A 4.250%28/09/2022
EUR 7 239 917 6 999 764 0.13
3 690 000 Kingdom of Belgium Government Bond 144A 4.250%28/03/2041
EUR 6 537 290 6 617 124 0.13
1 740 000 Kingdom of Belgium Government Bond 144A 4.500%28/03/2026
EUR 2 721 448 2 570 189 0.05
3 470 000 Kingdom of Belgium Government Bond 144A 5.000%28/03/2035
EUR 6 283 873 6 298 757 0.12
1 350 000 Kingdom of Belgium Government Bond - Reg 144A 1.700%22/06/2050
EUR 1 550 009 1 608 144 0.03
4 510 000 Kingdom of Belgium Government Bond - Reg 144A 2.600%22/06/2024
EUR 5 788 988 5 813 634 0.11
6 000 000 Kommuninvest I Sverige AB 1.000% 12/05/2025 SEK 662 309 662 567 0.0110 000 000 Kommuninvest I Sverige AB 2.500% 01/12/2020 SEK 1 282 277 1 122 745 0.02
198 Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Global Debt -Government UCITS FundSchedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Nominalvalue Description
QuotationCurrency
CostUSD
Marketvalue USD
% of netassets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.)
Supranationals, Governments and Local Public Authorities, Debt Instruments (cont.)10 000 000 Kommuninvest I Sverige AB - Reg 1.000% 13/11/2023 SEK 1 100 141 1 110 216 0.02
3 300 000 000 Korea Treasury Bond 1.250% 10/12/2019 KRW 3 055 749 2 896 607 0.0614 500 000 000 Korea Treasury Bond 1.375% 10/09/2021 KRW 12 788 419 12 660 502 0.24
2 570 000 000 Korea Treasury Bond 1.500% 10/12/2026 KRW 2 196 196 2 207 076 0.043 255 000 000 Korea Treasury Bond 1.500% 10/09/2036 KRW 2 657 186 2 682 515 0.051 770 000 000 Korea Treasury Bond 1.750% 10/12/2020 KRW 1 630 168 1 559 336 0.038 200 000 000 Korea Treasury Bond 1.875% 10/03/2022 KRW 7 337 188 7 247 937 0.142 800 000 000 Korea Treasury Bond 1.875% 10/06/2026 KRW 2 489 688 2 472 643 0.052 100 000 000 Korea Treasury Bond 2.000% 10/03/2020 KRW 1 970 721 1 853 515 0.042 500 000 000 Korea Treasury Bond 2.000% 10/09/2022 KRW 2 307 426 2 218 906 0.042 750 000 000 Korea Treasury Bond 2.000% 10/03/2046 KRW 2 332 828 2 473 907 0.051 200 000 000 Korea Treasury Bond 2.000% 10/03/2049 KRW 1 076 532 1 080 902 0.022 000 000 000 Korea Treasury Bond 2.125% 10/06/2027 KRW 1 810 819 1 795 810 0.035 850 000 000 Korea Treasury Bond 2.125% 10/03/2047 KRW 5 044 732 5 404 166 0.107 720 000 000 Korea Treasury Bond 2.250% 10/06/2025 KRW 7 007 022 6 974 688 0.132 500 000 000 Korea Treasury Bond 2.250% 10/12/2025 KRW 2 193 939 2 260 988 0.043 630 000 000 Korea Treasury Bond 2.250% 10/09/2037 KRW 3 163 742 3 342 843 0.063 000 000 000 Korea Treasury Bond 2.375% 10/12/2027 KRW 2 620 624 2 747 073 0.052 300 000 000 Korea Treasury Bond 2.375% 10/12/2028 KRW 2 096 146 2 118 466 0.045 000 000 000 Korea Treasury Bond 2.625% 10/06/2028 KRW 4 491 640 4 683 090 0.092 800 000 000 Korea Treasury Bond 2.625% 10/09/2035 KRW 2 511 136 2 711 030 0.053 300 000 000 Korea Treasury Bond 2.625% 10/03/2048 KRW 3 214 117 3 374 277 0.071 100 000 000 Korea Treasury Bond 2.750% 10/12/2044 KRW 1 061 391 1 136 328 0.028 000 000 000 Korea Treasury Bond 3.000% 10/03/2023 KRW 7 308 309 7 374 885 0.142 190 000 000 Korea Treasury Bond 3.000% 10/12/2042 KRW 2 126 845 2 334 045 0.054 500 000 000 Korea Treasury Bond 3.375% 10/09/2023 KRW 4 169 936 4 235 503 0.082 500 000 000 Korea Treasury Bond 3.750% 10/06/2022 KRW 2 419 111 2 337 153 0.052 400 000 000 Korea Treasury Bond 3.750% 10/12/2033 KRW 2 548 881 2 617 734 0.051 640 000 000 Korea Treasury Bond 4.000% 10/12/2031 KRW 1 763 138 1 786 551 0.031 850 000 000 Korea Treasury Bond 4.750% 10/12/2030 KRW 2 002 878 2 118 140 0.049 000 000 000 Korea Treasury Bond 5.000% 10/06/2020 KRW 8 410 608 8 228 534 0.16
500 000 Labrador-Island Link Funding Trust 144A 3.850% 01/12/2053 CAD 447 107 475 078 0.01300 000 Labrador-Island Link Funding Trust - A 144A 3.760%
01/06/2033CAD 252 353 257 689 0.01
600 000 Land Baden-Wuerttemberg 0.625% 27/01/2026 EUR 704 063 698 385 0.01300 000 Land Baden-Wuerttemberg 2.000% 13/11/2023 EUR 391 220 370 139 0.01350 000 Land Berlin 0.625% 20/03/2026 EUR 419 937 406 896 0.01
1 500 000 Land Berlin 0.750% 08/09/2023 EUR 1 792 494 1 750 790 0.03400 000 Land Berlin 1.375% 05/06/2037 EUR 485 595 479 155 0.01440 000 Land Berlin - Reg 1.300% 13/06/2033 EUR 510 306 526 570 0.01500 000 Land Berlin - Reg 1.375% 27/08/2038 EUR 584 932 595 368 0.01100 000 Land Thueringen 0.500% 12/05/2025 EUR 119 674 115 539 0.00
1 000 000 Latvia Government International Bond 0.375% 07/10/2026 EUR 1 108 220 1 114 990 0.02200 000 Latvia Government International Bond 2.250% 15/02/2047 EUR 252 093 249 812 0.01100 000 Lithuania Government International Bond 0.950%
26/05/2027EUR 119 807 116 253 0.00
199Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Global Debt -Government UCITS FundSchedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Nominalvalue Description
QuotationCurrency
CostUSD
Marketvalue USD
% of netassets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.)
Supranationals, Governments and Local Public Authorities, Debt Instruments (cont.)100 000 Lithuania Government International Bond 2.100%
26/05/2047EUR 130 364 120 405 0.00
1 000 000 Lithuania Government International Bond - Reg 1.250%22/10/2025
EUR 1 199 648 1 180 358 0.02
1 000 000 Luxembourg Government Bond 0.625% 01/02/2027 EUR 1 157 539 1 168 324 0.027 000 000 Malaysia Government Bond 3.441% 15/02/2021 MYR 1 767 943 1 715 829 0.036 000 000 Malaysia Government Bond 3.844% 15/04/2033 MYR 1 350 934 1 428 414 0.034 000 000 Malaysia Government Bond 3.899% 16/11/2027 MYR 977 263 983 519 0.02
10 000 000 Malaysia Government Bond 3.900% 30/11/2026 MYR 2 389 762 2 487 625 0.0512 000 000 Malaysia Government Bond 4.059% 30/09/2024 MYR 2 954 411 2 984 410 0.06
6 000 000 Malaysia Government Bond 4.392% 15/04/2026 MYR 1 549 970 1 526 622 0.035 500 000 Malaysia Government Bond 4.498% 15/04/2030 MYR 1 372 407 1 413 555 0.031 000 000 Malaysia Government Bond 4.736% 15/03/2046 MYR 247 506 247 861 0.001 000 000 Malaysia Government Bond 4.762% 07/04/2037 MYR 249 249 257 945 0.014 000 000 Malaysia Government Bond 4.893% 08/06/2038 MYR 1 006 713 1 053 119 0.02
22 900 000 Malaysia Government Investment Issue 3.948% 14/04/2022 MYR 5 640 437 5 680 928 0.111 500 000 Malaysia Government Investment Issue 4.258% 26/07/2027 MYR 366 471 379 150 0.01
200 000 Nederlandse Financierings-Maatschappij voorOntwikkelingslanden NV 0.125% 01/06/2023
EUR 246 109 227 575 0.00
370 000 Netherlands Government Bond 144A 0.000% 15/01/2022 EUR 442 888 421 815 0.014 400 000 Netherlands Government Bond 144A 0.000% 15/01/2024 EUR 5 162 793 5 029 025 0.10
900 000 Netherlands Government Bond 144A 0.250% 15/01/2020 EUR 1 128 650 1 017 336 0.023 430 000 Netherlands Government Bond 144A 0.250% 15/07/2025 EUR 4 042 330 3 976 090 0.084 120 000 Netherlands Government Bond 144A 0.500% 15/07/2026 EUR 4 833 501 4 852 545 0.093 100 000 Netherlands Government Bond 144A 0.750% 15/07/2027 EUR 3 727 710 3 713 180 0.072 470 000 Netherlands Government Bond 144A 0.750% 15/07/2028 EUR 2 927 173 2 958 261 0.06
200 Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Global Debt -Government UCITS FundSchedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Nominalvalue Description
QuotationCurrency
CostUSD
Marketvalue USD
% of netassets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.)
Supranationals, Governments and Local Public Authorities, Debt Instruments (cont.)900 000 Netherlands Government Bond 144A 1.750% 15/07/2023 EUR 1 152 721 1 106 464 0.02
1 550 000 Netherlands Government Bond 144A 2.000% 15/07/2024 EUR 2 019 521 1 958 805 0.042 290 000 Netherlands Government Bond 144A 2.250% 15/07/2022 EUR 3 026 438 2 809 205 0.051 950 000 Netherlands Government Bond 144A 2.500% 15/01/2033 EUR 2 786 749 2 840 924 0.052 840 000 Netherlands Government Bond 144A 2.750% 15/01/2047 EUR 4 662 525 4 917 484 0.097 760 000 Netherlands Government Bond 144A 3.250% 15/07/2021 EUR 9 769 244 9 488 277 0.182 000 000 Netherlands Government Bond 144A 3.500% 15/07/2020 EUR 2 552 135 2 364 722 0.052 840 000 Netherlands Government Bond 3.750% 15/01/2023 EUR 3 803 773 3 710 954 0.072 110 000 Netherlands Government Bond 144A 3.750% 15/01/2042 EUR 3 871 720 4 001 170 0.081 620 000 Netherlands Government Bond 144A 4.000% 15/01/2037 EUR 2 925 690 2 937 639 0.061 740 000 Netherlands Government Bond - Reg 144A 0.250%
15/07/2029EUR 1 954 691 1 977 016 0.04
1 000 000 Netherlands Government Bond - Reg 144A 4.000%15/01/2037
EUR 1 765 197 1 813 358 0.04
1 600 000 New South Wales Treasury Corp. 3.000% 20/05/2027 AUD 1 170 462 1 211 719 0.022 000 000 New South Wales Treasury Corp. 3.000% 20/04/2029 AUD 1 478 606 1 510 715 0.03
750 000 New South Wales Treasury Corp. 5.000% 20/08/2024 AUD 639 608 620 394 0.01400 000 New Zealand Government Bond 2.750% 15/04/2025 NZD 291 434 291 836 0.01200 000 New Zealand Government Bond 2.750% 15/04/2037 NZD 133 424 148 155 0.00
2 350 000 New Zealand Government Bond 3.000% 20/04/2029 NZD 1 713 713 1 776 437 0.031 250 000 New Zealand Government Bond 3.500% 14/04/2033 NZD 897 661 1 008 859 0.021 900 000 New Zealand Government Bond 4.500% 15/04/2027 NZD 1 500 001 1 571 026 0.033 000 000 New Zealand Government Bond 5.500% 15/04/2023 NZD 2 264 594 2 368 791 0.05
8 000 000 Norway Government Bond 144A 1.500% 19/02/2026 NOK 932 045 931 952 0.026 000 000 Norway Government Bond 144A 1.750% 13/03/2025 NOK 759 567 710 878 0.019 600 000 Norway Government Bond 144A 1.750% 17/02/2027 NOK 1 170 335 1 135 755 0.029 000 000 Norway Government Bond 144A 2.000% 24/05/2023 NOK 1 185 063 1 073 136 0.02
18 730 000 Norway Government Bond 144A 3.750% 25/05/2021 NOK 2 410 749 2 287 994 0.048 600 000 Norway Government Bond - Reg 144A 2.000% 26/04/2028 NOK 1 033 263 1 036 342 0.02
200 000 Ontario Electricity Financial Corp. 8.250% 22/06/2026 CAD 208 242 207 744 0.001 000 000 Portugal Obrigacoes do Tesouro OT 144A 1.950% 15/06/2029 EUR 1 202 123 1 196 974 0.021 470 000 Portugal Obrigacoes do Tesouro OT 144A 2.125% 17/10/2028 EUR 1 766 049 1 798 013 0.031 790 000 Portugal Obrigacoes do Tesouro OT 144A 2.200% 17/10/2022 EUR 2 315 972 2 177 628 0.042 900 000 Portugal Obrigacoes do Tesouro OT 144A 2.875% 15/10/2025 EUR 3 763 171 3 742 425 0.071 000 000 Portugal Obrigacoes do Tesouro OT 144A 2.875% 21/07/2026 EUR 1 294 284 1 291 725 0.033 480 000 Portugal Obrigacoes do Tesouro OT 144A 3.850% 15/04/2021 EUR 4 363 475 4 239 508 0.081 690 000 Portugal Obrigacoes do Tesouro OT 144A 3.875% 15/02/2030 EUR 2 319 043 2 379 174 0.051 450 000 Portugal Obrigacoes do Tesouro OT 144A 4.100% 15/04/2037 EUR 2 096 575 2 144 244 0.04
400 000 Portugal Obrigacoes do Tesouro OT 144A 4.100% 15/02/2045 EUR 575 879 603 879 0.011 300 000 Portugal Obrigacoes do Tesouro OT 144A 4.125% 14/04/2027 EUR 1 791 431 1 819 119 0.04
550 000 Portugal Obrigacoes do Tesouro OT 144A 4.800% 15/06/2020 EUR 699 882 655 828 0.012 600 000 Portugal Obrigacoes do Tesouro OT 144A 5.650% 15/02/2024 EUR 3 741 662 3 694 892 0.07
830 000 Portugal Obrigacoes do Tesouro OT - Reg 144A 2.250%18/04/2034
EUR 960 679 995 069 0.02
201Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Global Debt -Government UCITS FundSchedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Nominalvalue Description
QuotationCurrency
CostUSD
Marketvalue USD
% of netassets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.)
Supranationals, Governments and Local Public Authorities, Debt Instruments (cont.)800 000 Province of Alberta Canada 1.350% 01/09/2021 CAD 614 896 592 555 0.01650 000 Province of Alberta Canada 2.350% 01/06/2025 CAD 514 872 491 114 0.01230 000 Province of Alberta Canada 2.550% 01/06/2027 CAD 178 590 174 461 0.00
3 200 000 Province of Alberta Canada 2.900% 01/12/2028 CAD 2 445 449 2 489 099 0.051 500 000 Province of Alberta Canada 3.050% 01/12/2048 CAD 1 117 076 1 171 638 0.021 300 000 Province of Alberta Canada 3.300% 01/12/2046 CAD 1 033 315 1 057 817 0.02
80 000 Province of Alberta Canada 3.900% 01/12/2033 CAD 70 199 68 605 0.00200 000 Province of Alberta Canada - Reg 0.625% 16/01/2026 EUR 227 601 228 806 0.00450 000 Province of British Columbia Canada 2.550% 18/06/2027 CAD 352 889 344 270 0.01
1 530 000 Province of British Columbia Canada 2.800% 18/06/2048 CAD 1 118 194 1 173 609 0.021 200 000 Province of British Columbia Canada 2.950% 18/12/2028 CAD 925 840 946 787 0.02
900 000 Province of British Columbia Canada 3.200% 18/06/2044 CAD 716 528 735 205 0.01250 000 Province of British Columbia Canada 3.300% 18/12/2023 CAD 207 110 198 140 0.00
1 000 000 Province of British Columbia Canada 4.700% 18/06/2037 CAD 945 906 970 545 0.02250 000 Province of British Columbia Canada 4.950% 18/06/2040 CAD 264 051 255 565 0.01650 000 Province of Manitoba Canada 2.550% 02/06/2026 CAD 507 872 494 661 0.01400 000 Province of Manitoba Canada 3.000% 02/06/2028 CAD 308 552 312 554 0.01300 000 Province of Manitoba Canada 3.200% 05/03/2050 CAD 232 134 237 957 0.00
1 850 000 Province of Manitoba Canada 3.400% 05/09/2048 CAD 1 472 612 1 516 212 0.03700 000 Province of Manitoba Canada 4.100% 05/03/2041 CAD 608 346 623 731 0.01340 000 Province of Manitoba Canada 4.400% 05/03/2042 CAD 312 167 315 993 0.01350 000 Province of New Brunswick Canada 2.350% 14/08/2027 CAD 266 820 260 118 0.01200 000 Province of New Brunswick Canada 3.100% 14/08/2048 CAD 149 965 152 760 0.00250 000 Province of New Brunswick Canada 3.550% 03/06/2043 CAD 212 504 204 691 0.00
1 000 000 Province of New Brunswick Canada 4.800% 26/09/2039 CAD 926 476 956 735 0.021 600 000 Province of Newfoundland and Labrador Canada 2.850%
02/06/2028CAD 1 198 917 1 225 160 0.02
300 000 Province of Newfoundland and Labrador Canada 3.000%02/06/2026
CAD 239 020 233 364 0.00
300 000 Province of Newfoundland and Labrador Canada 3.700%17/10/2048
CAD 254 165 251 527 0.01
500 000 Province of Nova Scotia Canada 2.100% 01/06/2027 CAD 385 090 367 510 0.01500 000 Province of Nova Scotia Canada 3.500% 02/06/2062 CAD 415 412 437 438 0.01700 000 Province of Nova Scotia Canada 4.400% 01/06/2042 CAD 648 917 662 295 0.01
4 500 000 Province of Ontario Canada 2.600% 02/06/2025 CAD 3 465 017 3 452 296 0.075 620 000 Province of Ontario Canada 2.600% 02/06/2027 CAD 4 257 928 4 289 449 0.082 000 000 Province of Ontario Canada 2.800% 02/06/2048 CAD 1 489 888 1 502 347 0.031 150 000 Province of Ontario Canada 2.850% 02/06/2023 CAD 930 516 890 293 0.021 500 000 Province of Ontario Canada 2.900% 02/06/2028 CAD 1 159 201 1 169 954 0.022 100 000 Province of Ontario Canada 2.900% 02/12/2046 CAD 1 520 894 1 604 092 0.032 450 000 Province of Ontario Canada 2.900% 02/06/2049 CAD 1 851 489 1 881 949 0.042 100 000 Province of Ontario Canada 3.450% 02/06/2045 CAD 1 663 469 1 762 636 0.035 000 000 Province of Ontario Canada 3.500% 02/06/2024 CAD 3 987 802 4 000 936 0.081 000 000 Province of Ontario Canada 3.500% 02/06/2043 CAD 823 112 841 319 0.023 620 000 Province of Ontario Canada 4.200% 02/06/2020 CAD 2 935 216 2 785 580 0.055 310 000 Province of Ontario Canada 4.650% 02/06/2041 CAD 5 071 840 5 195 926 0.10
800 000 Province of Ontario Canada 4.700% 02/06/2037 CAD 753 369 766 574 0.01
202 Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Global Debt -Government UCITS FundSchedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Nominalvalue Description
QuotationCurrency
CostUSD
Marketvalue USD
% of netassets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.)
Supranationals, Governments and Local Public Authorities, Debt Instruments (cont.)1 370 000 Province of Ontario Canada 5.600% 02/06/2035 CAD 1 427 418 1 414 250 0.032 000 000 Province of Ontario Canada 5.850% 08/03/2033 CAD 2 002 272 2 058 835 0.043 000 000 Province of Quebec Canada 2.250% 22/02/2024 CAD 2 271 864 2 270 946 0.042 900 000 Province of Quebec Canada 2.450% 01/03/2023 CAD 2 224 164 2 216 716 0.043 000 000 Province of Quebec Canada 2.500% 01/09/2026 CAD 2 272 121 2 287 406 0.04
300 000 Province of Quebec Canada 2.750% 01/09/2027 CAD 242 692 232 316 0.002 500 000 Province of Quebec Canada 2.750% 01/09/2028 CAD 1 880 305 1 936 281 0.04
450 000 Province of Quebec Canada 3.500% 01/12/2022 CAD 371 912 355 955 0.011 700 000 Province of Quebec Canada 3.500% 01/12/2045 CAD 1 439 020 1 453 771 0.032 400 000 Province of Quebec Canada 3.500% 01/12/2048 CAD 1 988 557 2 075 575 0.04
300 000 Province of Quebec Canada 3.750% 01/09/2024 CAD 250 308 243 851 0.00650 000 Province of Quebec Canada 4.250% 01/12/2021 CAD 535 768 517 776 0.01
1 500 000 Province of Quebec Canada 4.250% 01/12/2043 CAD 1 390 040 1 424 548 0.031 100 000 Province of Quebec Canada 5.000% 01/12/2038 CAD 1 085 476 1 109 296 0.021 150 000 Province of Quebec Canada 5.000% 01/12/2041 CAD 1 149 613 1 189 554 0.02
500 000 Province of Quebec Canada 6.250% 01/06/2032 CAD 548 104 528 905 0.01350 000 Province of Saskatchewan Canada 2.550% 02/06/2026 CAD 276 392 266 704 0.01500 000 Province of Saskatchewan Canada 2.650% 02/06/2027 CAD 400 964 382 308 0.01
1 100 000 Province of Saskatchewan Canada 2.750% 02/12/2046 CAD 788 906 809 518 0.021 000 000 Province of Saskatchewan Canada 3.050% 02/12/2028 CAD 765 892 787 791 0.02
200 000 Province of Saskatchewan Canada 4.750% 01/06/2040 CAD 191 493 195 426 0.00200 000 PSP Capital, Inc. 1.730% 21/06/2022 CAD 155 333 149 052 0.00
400 000 Region of Ile de France 0.500% 14/06/2025 EUR 488 947 460 439 0.01500 000 Region of Ile de France - Reg 1.375% 20/06/2033 EUR 587 870 597 648 0.01100 000 Regional Municipality of York 2.350% 09/06/2027 CAD 77 383 73 943 0.00
1 980 000 Republic of Austria Government Bond 144A 0.000%20/09/2022
EUR 2 307 493 2 257 659 0.04
2 800 000 Republic of Austria Government Bond 144A 0.000%15/07/2023
EUR 3 283 149 3 194 661 0.06
6 150 000 Republic of Austria Government Bond 144A 0.500%20/04/2027
EUR 7 135 252 7 164 746 0.14
400 000 Republic of Austria Government Bond 144A 0.750%20/02/2028
EUR 492 194 473 753 0.01
1 240 000 Republic of Austria Government Bond 144A 1.500%20/02/2047
EUR 1 482 208 1 546 866 0.03
520 000 Republic of Austria Government Bond 144A 1.500%02/11/2086
EUR 555 127 614 772 0.01
203Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Global Debt -Government UCITS FundSchedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Nominalvalue Description
QuotationCurrency
CostUSD
Marketvalue USD
% of netassets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.)
Supranationals, Governments and Local Public Authorities, Debt Instruments (cont.)750 000 Republic of Austria Government Bond 144A 1.650%
21/10/2024EUR 970 183 932 607 0.02
660 000 Republic of Austria Government Bond 144A 2.100%20/09/2117
EUR 887 416 977 086 0.02
1 130 000 Republic of Austria Government Bond 144A 2.400%23/05/2034
EUR 1 626 579 1 594 846 0.03
1 020 000 Republic of Austria Government Bond 144A 3.150%20/06/2044
EUR 1 698 812 1 712 953 0.03
4 490 000 Republic of Austria Government Bond 144A 3.500%15/09/2021
EUR 5 863 876 5 546 401 0.11
560 000 Republic of Austria Government Bond 144A 3.800%26/01/2062
EUR 1 134 205 1 180 561 0.02
2 340 000 Republic of Austria Government Bond 144A 3.900%15/07/2020
EUR 2 877 365 2 778 180 0.05
2 300 000 Republic of Austria Government Bond 144A 4.150%15/03/2037
EUR 3 983 273 4 082 244 0.08
1 870 000 Republic of Austria Government Bond 144A 4.850%15/03/2026
EUR 2 985 038 2 831 069 0.05
2 000 000 Republic of Austria Government Bond - Reg 144A 0.500%20/02/2029
EUR 2 284 275 2 303 897 0.04
1 700 000 Republic of Austria Government Bond - Reg 144A 0.750%20/10/2026
EUR 1 999 961 2 021 705 0.04
2 500 000 Republic of Austria Government Bond - Reg 144A 1.750%20/10/2023
EUR 3 097 569 3 080 898 0.06
40 000 000 Republic of Poland Government Bond 0.000% 25/07/2020 PLN 10 496 723 10 224 698 0.2055 000 000 Russian Federal Bond - OFZ 6.500% 28/02/2024 RUB 838 251 787 945 0.02
186 000 000 Russian Federal Bond - OFZ 7.400% 07/12/2022 RUB 2 954 530 2 798 543 0.0528 000 000 Russian Federal Bond - OFZ 7.500% 18/08/2021 RUB 482 451 424 917 0.01
8 000 000 Russian Federal Bond - OFZ 7.700% 23/03/2033 RUB 141 466 115 864 0.00165 000 000 Russian Federal Bond - OFZ 7.750% 16/09/2026 RUB 2 672 575 2 461 281 0.05145 000 000 Russian Federal Bond - OFZ 8.500% 17/09/2031 RUB 2 431 213 2 245 202 0.04
600 000 S.A. de Gestion de Stocks de Securite 0.625% 25/05/2023 EUR 708 436 695 316 0.01100 000 S.A. de Gestion de Stocks de Securite 0.625% 20/10/2028 EUR 116 915 113 746 0.00200 000 SFIL S.A. 0.750% 06/02/2026 EUR 243 876 231 551 0.00
1 500 000 Singapore Government Bond 2.125% 01/06/2026 SGD 1 124 825 1 115 352 0.02800 000 Singapore Government Bond 2.250% 01/06/2021 SGD 601 690 594 561 0.01
1 400 000 Singapore Government Bond 2.250% 01/08/2036 SGD 1 005 280 1 013 137 0.02250 000 Singapore Government Bond 2.375% 01/06/2025 SGD 191 536 188 668 0.00
2 000 000 Singapore Government Bond 2.625% 01/05/2028 SGD 1 536 169 1 542 842 0.031 360 000 Singapore Government Bond 2.750% 01/04/2042 SGD 968 964 1 045 217 0.02
550 000 Singapore Government Bond 2.750% 01/03/2046 SGD 407 262 421 793 0.012 200 000 Singapore Government Bond 2.875% 01/09/2030 SGD 1 647 151 1 732 695 0.03
240 000 Singapore Government Bond 3.000% 01/09/2024 SGD 187 178 186 548 0.004 300 000 Singapore Government Bond 3.125% 01/09/2022 SGD 3 305 334 3 299 883 0.061 000 000 Singapore Government Bond 3.250% 01/09/2020 SGD 772 197 751 872 0.01
200 000 Singapore Government Bond 3.375% 01/09/2033 SGD 165 403 166 649 0.00720 000 Singapore Government Bond 3.500% 01/03/2027 SGD 592 838 587 673 0.01500 000 Slovakia Government Bond 0.000% 13/11/2023 EUR 609 166 562 485 0.01
204 Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Global Debt -Government UCITS FundSchedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Nominalvalue Description
QuotationCurrency
CostUSD
Marketvalue USD
% of netassets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.)
Supranationals, Governments and Local Public Authorities, Debt Instruments (cont.)1 530 000 Slovakia Government Bond 0.625% 22/05/2026 EUR 1 793 059 1 763 005 0.031 000 000 Slovakia Government Bond 1.000% 12/06/2028 EUR 1 169 200 1 170 010 0.02
150 000 Slovakia Government Bond 1.625% 21/01/2031 EUR 191 339 182 656 0.00310 000 Slovakia Government Bond 1.875% 09/03/2037 EUR 387 922 386 853 0.01350 000 Slovakia Government Bond 2.000% 17/10/2047 EUR 432 632 437 524 0.01200 000 Slovakia Government Bond 3.625% 16/01/2029 EUR 305 490 289 230 0.01200 000 Slovakia Government Bond 4.000% 27/04/2020 EUR 248 771 234 746 0.00300 000 Slovakia Government Bond 4.350% 14/10/2025 EUR 467 439 440 460 0.01
1 300 000 Slovakia Government Bond - Reg 3.375% 15/11/2024 EUR 1 745 198 1 734 245 0.031 240 000 Slovenia Government Bond 1.250% 22/03/2027 EUR 1 490 600 1 487 820 0.031 400 000 Slovenia Government Bond 1.750% 03/11/2040 EUR 1 613 511 1 634 184 0.03
200 000 Slovenia Government Bond 2.125% 28/07/2025 EUR 263 472 251 693 0.01500 000 Slovenia Government Bond 2.250% 25/03/2022 EUR 657 220 603 639 0.01400 000 Slovenia Government Bond 2.250% 03/03/2032 EUR 539 010 520 469 0.01100 000 SNCF Mobilites 1.500% 02/02/2029 EUR 124 520 121 897 0.00
1 000 000 South Australian Government Financing Authority 2.750%24/05/2030
AUD 708 249 726 834 0.01
150 000 South Australian Government Financing Authority 3.000%20/09/2027
AUD 116 520 112 930 0.00
700 000 South Australian Government Financing Authority 3.000%24/05/2028
AUD 510 142 525 206 0.01
300 000 South Australian Government Financing Authority 5.000%20/05/2021
AUD 240 904 228 019 0.00
300 000 South Coast British Columbia Transportation Authority4.450% 09/06/2044
CAD 276 654 279 893 0.01
8 470 000 Spain Government Bond 0.050% 31/01/2021 EUR 9 916 991 9 570 930 0.182 500 000 Spain Government Bond 0.350% 30/07/2023 EUR 2 859 199 2 842 523 0.051 500 000 Spain Government Bond 0.400% 30/04/2022 EUR 1 787 207 1 714 353 0.038 900 000 Spain Government Bond 0.450% 31/10/2022 EUR 10 508 869 10 193 291 0.203 760 000 Spain Government Bond 0.750% 30/07/2021 EUR 4 355 083 4 322 608 0.089 650 000 Spain Government Bond 1.150% 30/07/2020 EUR 11 647 438 11 054 378 0.215 500 000 Spain Government Bond 144A 1.300% 31/10/2026 EUR 6 473 978 6 451 653 0.124 700 000 Spain Government Bond 144A 1.400% 30/04/2028 EUR 5 601 438 5 494 855 0.115 090 000 Spain Government Bond 144A 1.400% 30/07/2028 EUR 5 829 882 5 922 200 0.114 780 000 Spain Government Bond 144A 1.450% 31/10/2027 EUR 5 603 913 5 627 404 0.112 270 000 Spain Government Bond 144A 1.500% 30/04/2027 EUR 2 752 000 2 687 706 0.056 900 000 Spain Government Bond 144A 1.600% 30/04/2025 EUR 8 340 673 8 304 721 0.161 000 000 Spain Government Bond 144A 1.850% 30/07/2035 EUR 1 134 308 1 142 654 0.021 500 000 Spain Government Bond 144A 1.950% 30/04/2026 EUR 1 859 187 1 839 339 0.04
205Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Global Debt -Government UCITS FundSchedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Nominalvalue Description
QuotationCurrency
CostUSD
Marketvalue USD
% of netassets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.)
Supranationals, Governments and Local Public Authorities, Debt Instruments (cont.)8 480 000 Spain Government Bond 144A 1.950% 30/07/2030 EUR 10 263 158 10 237 423 0.204 000 000 Spain Government Bond 144A 2.150% 31/10/2025 EUR 5 114 081 4 965 251 0.103 260 000 Spain Government Bond 144A 2.350% 30/07/2033 EUR 3 989 657 4 034 732 0.081 330 000 Spain Government Bond 144A 2.700% 31/10/2048 EUR 1 582 556 1 639 943 0.034 960 000 Spain Government Bond 144A 2.750% 31/10/2024 EUR 6 640 696 6 318 456 0.122 910 000 Spain Government Bond 144A 2.900% 31/10/2046 EUR 3 661 899 3 757 617 0.071 900 000 Spain Government Bond 144A 3.450% 30/07/2066 EUR 2 548 648 2 651 408 0.051 550 000 Spain Government Bond 144A 4.000% 30/04/2020 EUR 1 954 402 1 822 085 0.043 440 000 Spain Government Bond 144A 4.200% 31/01/2037 EUR 5 330 043 5 329 396 0.107 290 000 Spain Government Bond 144A 4.400% 31/10/2023 EUR 9 969 486 9 790 284 0.195 680 000 Spain Government Bond 144A 4.650% 30/07/2025 EUR 8 152 073 8 046 299 0.153 690 000 Spain Government Bond 144A 4.700% 30/07/2041 EUR 6 058 228 6 184 131 0.122 720 000 Spain Government Bond 144A 4.900% 30/07/2040 EUR 4 594 863 4 645 530 0.092 190 000 Spain Government Bond 144A 5.150% 31/10/2028 EUR 3 399 267 3 389 100 0.072 280 000 Spain Government Bond 144A 5.150% 31/10/2044 EUR 4 097 706 4 107 155 0.086 340 000 Spain Government Bond 144A 5.400% 31/01/2023 EUR 8 824 701 8 609 132 0.171 200 000 Spain Government Bond 5.750% 30/07/2032 EUR 2 032 257 2 063 547 0.042 800 000 Spain Government Bond 144A 5.850% 31/01/2022 EUR 4 005 005 3 684 600 0.07
350 000 Spain Government Bond 6.000% 31/01/2029 EUR 591 783 576 629 0.013 190 000 Spain Government Bond - Reg 144A 1.450% 30/04/2029 EUR 3 690 788 3 700 731 0.07
200 000 State of Brandenburg 0.250% 19/10/2026 EUR 238 746 225 946 0.00400 000 State of Brandenburg 1.125% 04/07/2033 EUR 459 359 467 581 0.01300 000 State of Bremen 1.000% 25/02/2028 EUR 372 191 356 324 0.01100 000 State of Bremen 1.125% 30/10/2024 EUR 124 298 119 413 0.00500 000 State of Bremen - Reg 1.200% 30/01/2034 EUR 573 387 584 432 0.01350 000 State of Hesse 0.375% 04/07/2022 EUR 426 723 401 169 0.01750 000 State of Hesse 0.375% 06/07/2026 EUR 896 050 856 652 0.02
1 000 000 State of Hesse 0.625% 02/08/2028 EUR 1 141 740 1 151 415 0.02500 000 State of Hesse 1.125% 10/12/2021 EUR 589 508 582 821 0.01
1 000 000 State of Lower Saxony 0.125% 07/03/2023 EUR 1 189 504 1 136 083 0.02500 000 State of Lower Saxony 0.250% 06/02/2024 EUR 576 239 570 879 0.01100 000 State of Lower Saxony 0.375% 09/01/2026 EUR 119 647 114 432 0.00
1 100 000 State of Lower Saxony 0.500% 13/06/2025 EUR 1 279 451 1 270 554 0.02180 000 State of Lower Saxony 0.625% 06/07/2027 EUR 213 769 208 367 0.00350 000 State of Lower Saxony 0.750% 15/02/2028 EUR 430 703 408 149 0.01500 000 State of Lower Saxony - Reg 0.875% 25/10/2028 EUR 581 644 587 582 0.01
1 600 000 State of North Rhine-Westphalia Germany 0.000%05/12/2022
EUR 1 855 886 1 810 627 0.03
400 000 State of North Rhine-Westphalia Germany 0.500%16/04/2026
EUR 491 435 460 911 0.01
400 000 State of North Rhine-Westphalia Germany 1.100%13/03/2034
EUR 465 745 464 314 0.01
250 000 State of North Rhine-Westphalia Germany 1.250%12/05/2036
EUR 293 583 292 478 0.01
300 000 State of North Rhine-Westphalia Germany 1.450%16/02/2043
EUR 341 980 355 230 0.01
1 000 000 State of North Rhine-Westphalia Germany 1.500%12/06/2040
EUR 1 157 999 1 203 446 0.02
206 Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Global Debt -Government UCITS FundSchedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Nominalvalue Description
QuotationCurrency
CostUSD
Marketvalue USD
% of netassets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.)
Supranationals, Governments and Local Public Authorities, Debt Instruments (cont.)790 000 State of North Rhine-Westphalia Germany 1.550%
16/06/2048EUR 927 301 944 709 0.02
120 000 State of North Rhine-Westphalia Germany 1.650%22/02/2038
EUR 148 897 148 579 0.00
300 000 State of North Rhine-Westphalia Germany 1.750%26/10/2057
EUR 360 546 370 342 0.01
500 000 State of North Rhine-Westphalia Germany 1.750%11/07/2068
EUR 561 021 597 956 0.01
1 500 000 State of North Rhine-Westphalia Germany 1.875%15/09/2022
EUR 1 967 550 1 807 559 0.03
2 300 000 State of North Rhine-Westphalia Germany - Reg 0.625%17/11/2023
EUR 2 698 667 2 672 177 0.05
500 000 State of North Rhine-Westphalia Germany - Reg 0.900%15/11/2028
EUR 581 648 588 682 0.01
500 000 State of North Rhine-Westphalia Germany - Reg 2.375%13/05/2033
EUR 661 370 677 183 0.01
750 000 State of Rhineland-Palatinate 0.100% 18/08/2026 EUR 878 651 839 132 0.02500 000 State of Saxony-Anhalt - Reg 0.500% 25/06/2027 EUR 558 454 573 147 0.01800 000 State of Schleswig-Holstein Germany - Reg 0.625%
31/08/2028EUR 899 464 920 427 0.02
4 700 000 Sweden Government Bond 0.750% 12/05/2028 SEK 576 994 533 066 0.018 000 000 Sweden Government Bond 1.000% 12/11/2026 SEK 939 707 924 192 0.024 000 000 Sweden Government Bond 144A 1.500% 13/11/2023 SEK 510 400 466 508 0.016 700 000 Sweden Government Bond 2.250% 01/06/2032 SEK 877 594 883 013 0.028 000 000 Sweden Government Bond 2.500% 12/05/2025 SEK 1 067 503 999 537 0.02
39 500 000 Sweden Government Bond 3.500% 01/06/2022 SEK 5 074 575 4 783 906 0.096 800 000 Sweden Government Bond 3.500% 30/03/2039 SEK 1 080 058 1 098 595 0.021 600 000 Sweden Government Bond 5.000% 01/12/2020 SEK 213 693 188 420 0.004 000 000 Sweden Government Bond - Reg 144A 0.750% 12/11/2029 SEK 449 890 450 672 0.019 990 000 Swiss Confederation Government Bond 0.000% 22/06/2029 CHF 10 231 339 10 420 335 0.20
200 000 National Australia Bank Ltd. - Reg 0.750% 30/01/2026 EUR 226 649 230 626 0.03400 000 National Bank of Canada 1.500% 25/03/2021 EUR 486 993 464 334 0.06
1 000 000 National Westminster Bank Plc. 3.875% 19/10/2020 EUR 1 317 345 1 193 668 0.16
220 Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Global Debt -Securitised UCITS FundSchedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Nominalvalue Description
QuotationCurrency
CostUSD
Marketvalue USD
% of netassets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.)
Bonds (cont.)200 000 Nationale-Nederlanden Bank NV Netherlands 0.625%
11/09/2025EUR 232 863 228 783 0.03
700 000 Nationwide Building Society 0.125% 25/01/2021 EUR 833 462 790 753 0.11300 000 Nationwide Building Society 2.250% 25/06/2029 EUR 398 305 388 562 0.05500 000 NIBC Bank NV 1.000% 24/01/2028 EUR 611 359 581 741 0.08700 000 Norddeutsche Landesbank Girozentrale 0.625% 18/01/2027 EUR 830 956 803 959 0.11
1 000 000 Toronto-Dominion Bank 144A 2.500% 18/01/2022 USD 1 002 079 997 340 0.131 000 000 UniCredit Bank AG 1.875% 09/04/2024 EUR 1 283 730 1 227 779 0.17
500 000 UniCredit Bank Austria AG 0.500% 16/01/2020 EUR 596 289 564 720 0.08100 000 UniCredit Bank Austria AG 0.625% 20/03/2029 EUR 111 958 112 780 0.02700 000 UniCredit SpA 0.375% 31/10/2026 EUR 804 854 760 081 0.10600 000 Unione di Banche Italiane SpA 1.000% 27/01/2023 EUR 729 865 695 620 0.09200 000 Volksbank Wien AG - Reg 0.375% 04/03/2026 EUR 225 484 226 197 0.03800 000 Westpac Banking Corp. 0.625% 14/01/2022 EUR 963 779 916 349 0.12175 000 Westpac Banking Corp. - Reg 0.500% 04/12/2023 EUR 197 548 200 329 0.03500 000 Westpac Securities NZ Ltd. 0.250% 06/04/2022 EUR 594 813 566 337 0.08
Total Bonds 138 715 513 132 251 845 17.87
Supranationals, Governments and Local Public Authorities, Debt Instruments1 000 000 Caisse Francaise de Financement Local 0.625% 26/01/2023 EUR 1 211 020 1 153 589 0.16
700 000 Caisse Francaise de Financement Local 0.625% 13/04/2026 EUR 835 867 806 506 0.11200 000 Caisse Francaise de Financement Local 1.125% 01/12/2031 EUR 241 497 234 112 0.03200 000 Caisse Francaise de Financement Local 1.250% 11/05/2032 EUR 241 441 237 835 0.03500 000 Caisse Francaise de Financement Local - Reg 1.450%
16/01/2034EUR 568 836 605 196 0.08
Total Supranationals, Governments and Local PublicAuthorities, Debt Instruments 3 098 661 3 037 238 0.41
Asset Backed & Mortgage Backed Securities1 800 000 American Express Credit Account Master Trust 2017-1 - A
1 000 000 Freddie Mac Multifamily Structured Pass Through Certificates- A2 2.570% 25/07/2026
USD 952 668 985 145 0.13
2 060 000 Freddie Mac Multifamily Structured Pass Through Certificates- A2 2.789% 25/01/2022
USD 2 085 941 2 069 560 0.28
2 525 000 Freddie Mac Multifamily Structured Pass Through Certificates- A2 2.991% 25/09/2021
USD 2 567 236 2 544 294 0.34
2 000 000 Freddie Mac Multifamily Structured Pass Through Certificates- A2 3.136% 25/10/2024
USD 2 034 640 2 043 081 0.28
1 250 000 Freddie Mac Multifamily Structured Pass Through Certificates- A2 FRN 25/09/2027
USD 1 277 036 1 275 377 0.17
1 500 000 Freddie Mac Multifamily Structured Pass Through Certificates- A2 3.241% 25/09/2024
USD 1 509 325 1 542 803 0.21
500 000 Freddie Mac Multifamily Structured Pass Through Certificates- A2 3.244% 25/08/2027
USD 505 309 512 599 0.07
1 000 000 Freddie Mac Multifamily Structured Pass Through Certificates- A2 FRN 25/05/2025
USD 1 008 217 1 033 593 0.14
2 000 000 Freddie Mac Multifamily Structured Pass Through Certificates- A2 FRN 25/07/2023
USD 2 084 615 2 071 400 0.28
2 400 000 Freddie Mac Multifamily Structured Pass Through Certificates- A2 FRN 25/10/2020
USD 2 471 218 2 449 972 0.33
10 573 582 Ginnie Mae I Pool 5.000% 15/07/2046 USD 11 490 675 11 352 214 1.531 202 969 Ginnie Mae II Pool 3.000% 20/05/2045 USD 1 182 673 1 210 349 0.16
495 595 Ginnie Mae II Pool 3.000% 20/07/2045 USD 489 616 498 638 0.071 855 833 Ginnie Mae II Pool 3.000% 20/01/2046 USD 1 827 009 1 869 523 0.25
32 222 Ginnie Mae II Pool 3.000% 20/04/2046 USD 31 515 32 420 0.001 524 351 Ginnie Mae II Pool 3.000% 20/06/2046 USD 1 494 333 1 533 243 0.211 755 301 Ginnie Mae II Pool 3.000% 20/08/2046 USD 1 722 742 1 766 082 0.24
655 889 Ginnie Mae II Pool 3.000% 20/09/2046 USD 641 352 660 321 0.094 914 562 Ginnie Mae II Pool 3.000% 20/01/2047 USD 4 813 619 4 943 999 0.677 292 450 Ginnie Mae II Pool 3.000% 20/11/2047 USD 7 008 647 7 260 600 0.98
310 927 Ginnie Mae II Pool 3.000% 20/12/2047 USD 300 859 312 353 0.04532 473 Ginnie Mae II Pool 3.500% 20/04/2045 USD 530 346 544 956 0.07
19 807 Ginnie Mae II Pool 3.500% 20/12/2045 USD 19 584 20 272 0.004 448 890 Ginnie Mae II Pool 3.500% 20/04/2046 USD 4 428 554 4 553 285 0.621 540 028 Ginnie Mae II Pool 3.500% 20/06/2046 USD 1 548 049 1 576 171 0.21
86 989 Ginnie Mae II Pool 3.500% 20/10/2046 USD 85 594 89 030 0.01586 849 Ginnie Mae II Pool 3.500% 20/03/2047 USD 588 990 600 518 0.08
2 373 588 Ginnie Mae II Pool 3.500% 20/07/2047 USD 2 395 076 2 427 385 0.3337 457 587 Ginnie Mae II Pool 3.500% 20/12/2047 USD 38 784 529 38 288 307 5.18
4 620 607 Ginnie Mae II Pool 3.500% 20/01/2048 USD 4 758 241 4 722 759 0.642 462 466 Ginnie Mae II Pool 3.500% 20/02/2048 USD 2 484 508 2 516 780 0.344 207 007 Ginnie Mae II Pool 3.500% 20/05/2048 USD 4 233 416 4 299 632 0.58
18 410 561 Ginnie Mae II Pool 4.000% 20/03/2046 USD 19 145 041 19 099 331 2.581 300 191 Ginnie Mae II Pool 4.000% 20/07/2046 USD 1 352 908 1 347 218 0.183 306 285 Ginnie Mae II Pool 4.000% 20/12/2047 USD 3 335 276 3 414 533 0.463 358 132 Ginnie Mae II Pool 4.000% 20/01/2048 USD 3 509 775 3 468 585 0.47
226 Merrill Lynch Investment Solutions
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The accompanying notes form an integral part of these financial statements.
Audited annual report
Nominalvalue Description
QuotationCurrency
CostUSD
Marketvalue USD
% of netassets
Transferable securities and money market instruments admitted to an official exchange listing or dealt in on another regulated market (cont.)
Asset Backed & Mortgage Backed Securities (cont.)1 832 991 Ginnie Mae II Pool 4.000% 20/03/2048 USD 1 884 568 1 893 280 0.265 922 364 Ginnie Mae II Pool 4.000% 20/04/2048 USD 6 081 267 6 117 157 0.83
728 964 Ginnie Mae II Pool 4.000% 20/08/2048 USD 746 594 752 941 0.10547 521 Ginnie Mae II Pool 4.000% 20/01/2049 USD 565 487 565 530 0.08249 473 Ginnie Mae II Pool 4.000% 20/02/2049 USD 256 200 257 678 0.04560 996 Ginnie Mae II Pool 4.500% 20/08/2047 USD 584 024 582 845 0.08
4 789 980 Ginnie Mae II Pool 4.500% 20/02/2048 USD 4 996 748 4 988 221 0.6720 361 313 Ginnie Mae II Pool 4.500% 20/06/2048 USD 21 151 484 21 156 174 2.86
2 295 068 Ginnie Mae II Pool 4.500% 20/07/2048 USD 2 384 376 2 384 454 0.32550 000 Ginnie Mae II Pool 4.500% 20/08/2048 USD 569 724 571 421 0.08
2 369 664 Ginnie Mae II Pool 4.500% 20/09/2048 USD 2 456 216 2 462 381 0.333 145 524 Ginnie Mae II Pool 4.500% 20/10/2048 USD 3 253 103 3 269 271 0.441 978 456 Ginnie Mae II Pool 4.500% 20/11/2048 USD 2 047 270 2 057 159 0.281 191 983 Ginnie Mae II Pool 4.500% 20/12/2048 USD 1 229 805 1 243 428 0.172 940 472 Ginnie Mae II Pool 4.500% 20/02/2049 USD 3 053 437 3 057 778 0.41
164 719 Ginnie Mae II Pool 5.000% 20/01/2048 USD 175 792 172 139 0.025 546 154 Ginnie Mae II Pool 5.000% 20/05/2048 USD 5 821 179 5 812 440 0.79
976 239 Ginnie Mae II Pool 5.000% 20/09/2048 USD 1 020 056 1 024 788 0.14543 363 Ginnie Mae II Pool 5.000% 20/11/2048 USD 566 659 569 314 0.08
To Be Announced271 000 Fannie Mae Pool 3.500% 10/04/2049 USD 271 291 274 673 0.04985 400 Fannie Mae Pool 4.000% 10/04/2049 USD 1 005 262 1 013 584 0.14
(215 000) Fannie Mae Pool 4.500% 10/04/2049 USD (222 458) (224 007) (0.03)1 000 000 Fannie Mae Pool 5.000% 10/04/2049 USD 1 049 297 1 057 203 0.14
11 496 000 Freddie Mac Gold Pool 3.500% 10/04/2049 USD 11 522 376 11 660 613 1.5812 175 000 Freddie Mac Gold Pool 4.000% 10/04/2049 USD 12 431 735 12 532 403 1.69
1 443 000 Freddie Mac Gold Pool 4.500% 10/04/2049 USD 1 494 971 1 505 918 0.202 000 000 Freddie Mac Gold Pool 5.000% 10/04/2049 USD 2 098 750 2 117 812 0.29
719 000 Ginnie Mae II Pool 3.500% 17/04/2049 USD 728 886 734 546 0.103 325 000 Ginnie Mae II Pool 4.000% 17/04/2049 USD 3 419 035 3 432 998 0.46
29 000 Ginnie Mae II Pool 4.500% 17/04/2049 USD 30 029 30 120 0.00
Total To Be Announced 34 135 863 4.61
228 Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Global Debt -Securitised UCITS FundSchedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Underlyingnature
Currencycontract Details Market
Maturitydate
Number ofcontracts
bought
Number ofcontracts
soldCommitment
USD
Unrealisedappreciation/
(depreciation)USD
Futures contracts
Interest rate USD10 Year US TreasuryNote Chicago Board of Trade 19/06/2019 187 – 23 228 906 393 610
Interest rate USD 5 Year US Treasury Note Chicago Board of Trade 28/06/2019 226 – 26 177 156 283 862
Total Futures contracts 49 406 062 677 472
Currencybought Amount bought Currency sold Amount sold
Maturitydate Counterparty
Unrealisedappreciation/
(depreciation)USD
Forward foreign exchange contracts
CAD 500 000 USD 374 289 02/04/2019Barclays Bank Plc.
Total forward foreign exchange contracts (2 529 547)
The maximum individual counterparty exposure for OTC Derivatives including CFD as at March 31, 2019 is 0.07% of the NAV.
230 Merrill Lynch Investment Solutions
Merrill Lynch Investment Solutions – Global Debt -Securitised UCITS FundSchedule of Investments as at March 31, 2019 (cont.)(expressed in USD)
The accompanying notes form an integral part of these financial statements.
Audited annual report
Note 1 – Activity
Merrill Lynch Investment Solutions (the “SICAV”) has been incorporated on November 5, 2007 under Luxembourg laws as a “Sociétéd’Investissement à Capital Variable” (SICAV) for an unlimited period of time. The SICAV is governed by the provisions of Part I and itfulfils the provisions of Article 27 of the Luxembourg Law of December 17, 2010 “as amended” relating to Undertakings forCollective Investment, as may be amended from time to time.
The Articles of Incorporation created on November 5, 2007 and amended on December 22, 2011 are deposited with the Register ofCommerce and Companies of Luxembourg and have been published in the Mémorial C, “Recueil des Sociétés et Associations” (the“Mémorial”) on November 30, 2007 and February 21, 2012 respectively. The SICAV is registered with the Register of Commerce andCompanies of Luxembourg under the number B 133.445.
As at March 31, 2019, sixteen Sub-Funds are available to investors:
Sub-Funds Launch Date
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) November 23, 2007
Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund July 29, 2009
Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund November 3, 2010
Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund December 1, 2010
Merrill Lynch Investment Solutions – Merrill Lynch WNT Diversified Futures UCITS Fund (in liquidation) October 23, 2013
Merrill Lynch Investment Solutions – Merrill Lynch Enhanced Equity Volatility Premium Fund November 27, 2013
Merrill Lynch Investment Solutions – Merrill Lynch MLCX Commodity Enhanced Beta Fund May 7, 2014
Merrill Lynch Investment Solutions – Merrill Lynch MLCX Commodity Alpha Fund February 19, 2016
Merrill Lynch Investment Solutions – Zeal Greater China Long Short UCITS Fund August 29, 2014
Merrill Lynch Investment Solutions – Ramius Merger Arbitrage UCITS Fund July 8, 2016
Merrill Lynch Investment Solutions – Merrill Lynch Enhanced Cross-Asset Volatility Premium Fund September 16, 2016
Merrill Lynch Investment Solutions – KLS Fixed Income UCITS Fund December 12, 2016
Merrill Lynch Investment Solutions – Millburn Diversified UCITS Fund March 8, 2017
Merrill Lynch Investment Solutions – Global Debt - Credit UCITS Fund November 24, 2017
Merrill Lynch Investment Solutions – Global Debt - Government UCITS Fund November 24, 2017
Merrill Lynch Investment Solutions – Global Debt - Securitised UCITS Fund November 24, 2017
During the year ended, the following Sub-Fund was liquidated:
Sub-Funds Liquidation Date
Merrill Lynch Investment Solutions – Merrill Lynch MLCX Commodity Enhanced Beta ex Agriculture Fund June 14, 2018
Note 2 – Principal accounting policies
2.1 Presentation of financial statements
The financial statements are prepared in accordance with Luxembourg regulations relating to Undertakings for CollectiveInvestment. Portfolios were valued as at March 29, 2019.
2.2 Valuation of investment in securities
2.2.1 Securities or money market instruments quoted or traded on an official stock exchange or any other regulated market, arevalued on the basis of the last known price, and if the securities or money market instruments are listed on several stock exchangesor regulated markets, the last known price of the stock exchange which is the principal market for security or money market inquestion, unless these prices are not representative.
2.2.2 For securities or money market instruments not quoted or traded on an official stock exchange or any other regulated market,and for quoted securities or money market instruments, but for which the last known price is not representative, valuation is basedon the probable sales price estimated prudently and in good faith by the Board of Directors of the SICAV.
231Merrill Lynch Investment Solutions
Notes to the financial statementsas at March 31, 2019
Audited annual report
Note 2 – Principal accounting policies (cont.)
2.2 Valuation of investment in securities (cont.)
2.2.3 Liquid assets and money market instruments with a maturity of less than 12 months may be valued at nominal value plus anyaccrued interest or using an amortised cost method.
2.2.4 Investments in other open-ended UCIs are valued on the basis of the respective last available net asset value of such UCIs ateach Valuation Day.
2.2.5 Units or shares of a closed-ended UCI are valued in accordance with the valuation rules set out in items 2.2.1 and 2.2.2.
2.2.6 Any of the above mentioned assets for which the valuation in accordance with the above paragraphs is not possible,practicable or representative of their fair value are valued at fair market value, as determined in good faith by the Board of Directorsof the SICAV.
2.3 Valuation of swaps
2.3.1 Credit default swap
A credit default swap is a credit derivative transaction in which two parties enter into an agreement, whereby one party (theprotection buyer) pays the other (the protection seller) a fixed periodic coupon for the specified life of the agreement in return fora payment contingent on a credit event related to the underlying reference obligation.
If a credit event occurs, the protection seller would be obligated to make a payment, which may be either: (i) a net cash settlementequal to the notional amount of the swap less the auction value of the reference obligation or (ii) the notional amount of the swapin exchange for the delivery of the reference obligation. Selling protection effectively adds leverage to a sub-fund’s portfolio up tothe notional amount of swap agreements.
The notional amount represents the maximum potential liability under a contract and is not reflected in the statement of net assets.Potential liabilities under these contracts may be reduced by: the auction rates of the underlying reference obligations; upfrontpayments received at the inception of a swap; and net amounts received from credit default swaps purchased with the identicalreference obligation.
Credit default swaps are marked to market at each NAV calculation date. The market value is based on the valuation elements laiddown in the contracts, and is obtained from third party pricing agents, market makers or internal models.
The unrealised appreciation/(depreciation) is disclosed in the statement of net assets under “Unrealised appreciation/(depreciation)on swap contracts”. Realised gains/(losses) and change in unrealised appreciation/depreciation resulting there from are included inthe statement of operations and changes in net assets respectively under the heading “Net realised gains/(losses) on swapcontracts” and “Change in net unrealized appreciation/depreciation on swap contracts”.
The related interest income or expense is disclosed net of withholding tax in the statement of operations and changes in net assets.
2.3.2 Total return swap
A total return swap is a bilateral agreement in which each party agrees to exchange payments based on the performance of anunderlying instrument represented by a security, basket or index thereof for a fixed or variable rate. One party pays out the totalreturn of a specific reference asset, and in return, receives a regular stream of payments. The total performance will include gainsand losses on the underlying, as well as any interest or dividends during the contract period according to the type of underlying. Thecash flows to be exchanged are calculated by reference to an agreed upon notional amount or quantity. To the extent the total returnof the reference asset underlying the transaction exceeds or falls short of the offsetting payment, the Fund will receive a paymentfrom or make a payment to the counterparty.
Total return swaps are marked to market at each NAV calculation date. The estimated market value is based on the valuationelements laid down in the contracts, and is obtained from third party pricing agents, market makers or internal models.
232 Merrill Lynch Investment Solutions
Notes to the financial statementsas at March 31, 2019 (cont.)
Audited annual report
Note 2 – Principal accounting policies (cont.)
2.3 Valuation of swaps (cont.)
2.3.2 Total return swap (cont.)
The unrealised appreciation/(depreciation) is disclosed in the statement of net assets under “Unrealised appreciation/(depreciation)on swap contracts”. Realised gains/(losses) and changes in unrealised appreciation/depreciation as a result thereof are included inthe statement of operations and changes in net assets respectively under “Net realised gain/(loss) on swap contracts” and “Netchange in unrealised appreciation/depreciation on swaps contracts.”
The related interest income or expense is disclosed net of withholding tax in the statement of operations and changes in net assets.
2.3.3 Interest rate swap
An interest rate swap is a forward contract in which one stream of future interest payments is exchanged for another based on aspecified principal amount. Interest rate swaps usually involve the exchange of a fixed interest rate for a floating rate, or vice versa,to reduce or increase exposure to fluctuations in interest rates or to obtain a marginally lower interest rate than would have beenpossible without the swap.
Interest rate swaps are marked to market at each NAV calculation date. The estimated market value is based on the valuationelements laid down in the contracts, and is obtained from third party pricing agents, market makers or internal models.
The unrealised appreciation/(depreciation) is disclosed in the statement of net assets under “Unrealised appreciation/(depreciation)on swap contracts”. Realised gains/(losses) and changes in unrealised appreciation/depreciation as a result thereof are included inthe statement of operations and changes in net assets respectively under “Net realised gain/(loss) on swap contracts” and “Netchange in unrealised appreciation/depreciation on swaps contracts.”
The related interest income or expense is disclosed net of withholding tax in the statement of operations and changes in net assets.
2.4 Valuation of contracts for difference
Contracts for differences are contracts entered into between a broker and the sub-fund under which the parties agree to makepayments to each other so as to replicate the economic consequences of holding a long or short position in the underlying security.Contracts for differences also mirror any corporate actions that take place.
Contracts for differences are valued based on the closing market price of the underlying security, less any financing chargesattributable to each contract. Upon entering into contracts for differences, the sub- fund may be required to pledge to the broker anamount of cash and/or other assets equal to a certain percentage of the contract amount (“initial margin”). Subsequently, paymentsknown as “variation margin” are made or received by the sub-fund periodically, depending on fluctuations in the value of theunderlying security.
The unrealised appreciation/(depreciation) is disclosed in the statement of net assets under “Contracts for difference at marketvalue”. Realised gains/(losses) and changes in unrealised appreciation/depreciation as a result thereof are included in the statementof operations and changes in net assets respectively under “Net realised gain/(loss) on contracts for differences” and “Change in netunrealised appreciation/(depreciation) on contracts for difference”.
2.5 Valuation of futures contracts
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or for a cash amount based on thechange in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the sub-fundis required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount which isreferred to as the initial margin account. Subsequent payments, referred to as variation margin, are made or received by thesub-fund periodically and are based on changes in the market Value of open futures contracts.
The unrealised appreciation/(depreciation) on futures contracts is disclosed in the statement of net assets under “Unrealisedappreciation/(depreciation) on futures contracts”. Changes in the market value of open futures contracts are recorded as unrealisedappreciation/depreciation in the statement of operations and changes in net assets under “Change in net unrealised appreciation/depreciation on futures contracts”.
233Merrill Lynch Investment Solutions
Notes to the financial statementsas at March 31, 2019 (cont.)
Audited annual report
Note 2 – Principal accounting policies (cont.)
2.5 Valuation of futures contracts (cont.)
Realised gains or losses, representing the difference between the value of the contract at the time it was opened and the value atthe time it was closed, are reported at the closing or expiration of futures contracts in the statement of operations and changes innet assets under “Net realized gain/(loss) on futures contracts”. Securities deposited as initial margin are designated in thestatement of investments and cash deposited is recorded in the statement of net assets. A receivable and/or a payable to brokersfor the daily variation margin is also recorded in the statement of net assets.
2.6 Valuation of options contracts
A purchaser of a put option has the right, but not the obligation, to sell the underlying instrument at an agreed upon price (“strikeprice”) to the option seller. A purchaser of a call option has the right, but not the obligation, to purchase the underlying instrument atthe strike price from the option seller. Purchased Options — Premiums paid by the sub—fund for purchased options are included inthe statement of net assets as an investment. The option is adjusted daily to reflect the current market value of the option and thechange is recorded as unrealised appreciation or depreciation. If the option is allowed to expire, the Fund will lose the entire premiumit paid and record a realised loss for the premium amount. Premiums paid for purchased options which are exercised or closed areadded to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realisedgain/loss or cost basis of the security.
Written Options — Premiums received by the sub-fund for written options are included in the statement of net assets. The amountof the liability is adjusted daily to reflect the current market value of the written option and the change in market value is recordedas unrealised appreciation or depreciation. Premiums received from written options that expire are treated as realised gains. Thesub-fund records a realised gain or loss on written options based on whether the cost of the closing transaction exceeds thepremium received. If a call option is exercised by the option buyer, the premium received by the sub-fund is added to the proceedsfrom the sale of the underlying security to the option buyer and compared to the cost of the closing transaction to determinewhether there has been a realised gain or loss. If a put option is exercised by an option buyer, the premium received by the optionseller reduces the cost basis of the purchased security.
Written uncovered call options expose the sub-fund to unlimited risk of loss. Written covered call options limit the upside potentialof a security above the strike price. Written put options expose the Fund to risk of loss if the value of the security declines below theexercise price minus the put premium. The sub-fund is not subject to credit risk on written options as the counterparty has alreadyperformed its obligation by paying the premium at the inception of the contract.
Outstanding options traded on a regulated market are valued based on the closing price or the last available market price of theinstruments. OTC options are marked to market based upon prices obtained from third party pricing agents and verified against thevalue from the counterparty. The market value of options is included in the statement of net assets under the heading “Optionsbought/(written) at market value”.
The realised gains/(losses) and change in unrealised appreciation/depreciation on options are disclosed in the statement ofoperations and changes in net assets respectively under the headings “Net realised gains/(losses) on options” and “Change in netunrealised appreciation/depreciation on options.”
2.7 Valuation of forward foreign exchange contracts
Forward foreign exchange contracts represent obligations to purchase or sell foreign currency on a specified future date at a pricefixed at the time the contracts are entered into. Non-deliverable forward foreign exchange contracts are settled with thecounterparty in cash without the delivery of foreign currency. The values of the forward foreign exchange contracts are adjusteddaily based on the applicable exchange rate of the underlying currency. Changes in the value of these contracts are recorded asunrealised appreciation or depreciation until the contract settlement date. When the forward contract is closed, the sub-fund recordsa realised gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it wasclosed.
234 Merrill Lynch Investment Solutions
Notes to the financial statementsas at March 31, 2019 (cont.)
Audited annual report
Note 2 – Principal accounting policies (cont.)
2.7 Valuation of forward foreign exchange contracts (cont.)
The unrealised appreciation/(depreciation) on forward foreign exchange contracts is disclosed in the statement of net assets under“Unrealised appreciation/(depreciation) on forward foreign exchange contracts”. Realised gains/(losses) and change in unrealisedappreciation/depreciation resulting there from are included in the statement of operations and changes in net assets respectivelyunder “Net realised gains/(losses) on forward foreign exchange contracts” and “Change in net unrealised appreciation/depreciationon forward foreign exchange contracts”.
2.8 Valuation of repurchase agreements and reverse repurchase agreements
Each Sub-Fund may enter into Repurchase Transactions which consist in the purchase or sale of securities with a clause reservingthe seller the right or the obligation to repurchase from the acquirer the securities sold at a price and term specified by the twoparties in their contractual arrangement and reverse repurchase transactions, which consist of a forward transaction at the maturityof which the seller (counterparty) has the obligation to repurchase the securities sold and the Sub-Fund the obligation to return thesecurities received under the transaction (collectively, the “repo transactions”).
The Company shall disclose the total amount of the open repo transactions on the date of reference of its annual and semi-annualreports.
Market value of repurchase agreements is disclosed in the statement of net assets under “Repurchase agreements at market value”.Market value of reverse repurchase agreements is disclosed under “Reverse repurchase agreements at market value”. Cost of bothrepurchase agreements and reverse repurchase agreements is disclosed in the statement of net assets under “Investments insecurities at cost”.
2.9 Valuation of To Be Announced
To Be Announced securities (TBAs) are related to mortgage backed securities issued by US government sponsored agencies. Theseagencies usually pool mortgage loans and sell interests in the pools created. TBAs relate to future pools of these agencies that arebought and sold for future settlement for which either the interest rate or the maturity date is not yet fixed. TBAs are separatelydisclosed in the Portfolio of Investments.
Although the Funds will generally enter into TBA purchase commitments with the intention of acquiring securities, the Funds mayalso dispose of a commitment prior to settlement if it is deemed appropriate to do so. Proceeds of TBA sales are not received untilthe contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities, or anoffsetting TBA purchase commitment (deliverable on or before the sale commitment date), are held as cover for the transaction.
If the TBA sale commitment is closed through the acquisition of an offsetting purchase commitment, the Fund realises a gain or losson the commitment without regard to any unrealised gain or loss on the underlying security. If the Fund delivers securities under thecommitment, the Fund realises a gain or loss from the sale of the securities upon the unit price established at the date thecommitment was entered into.
The Funds had unsettled TBAs as of March 31, 2019 which are included within receivable for investments sold and payable forinvestments purchased in the Statement of Net Assets.
The market values of the TBAs are presented in the Statement of Net Assets. The net change in unrealized appreciation ordepreciation and the realised appreciation or depreciation on sales of the TBAs are presented in the Statement of Operations andChanges in Net Assets.
2.10 Net realised gains or losses resulting from investments
The realised gains or losses resulting from the sales of investments are calculated on an average cost basis.
2.11 Foreign exchange translation
The accounts of each Sub-Fund are maintained in the reference currency of the Sub-Fund and the financial statements areexpressed in EUR currency.
235Merrill Lynch Investment Solutions
Notes to the financial statementsas at March 31, 2019 (cont.)
Audited annual report
Note 2 – Principal accounting policies (cont.)
2.11 Foreign exchange translation (cont.)
The acquisition cost of securities expressed in a currency other than the reference currency is translated into the reference currencyat the exchange rates prevailing on the date of purchase.
Income and expenses expressed in other currencies than the reference currency are converted at exchange rates ruling at thetransaction date.
Assets and liabilities expressed in other currencies than the reference currency are converted at exchange rates ruling at theyear-end. The realised gains and losses or unrealised appreciation and depreciations on foreign exchange translation are recognizedin the Statement of Operations and Changes in Net Assets in determining the increase or decrease in net assets.
The following exchange rates (against EUR) as at 5 p.m. Central European Time have been used to convert the investments andother assets and liabilities denominated in currencies other than EUR for all Sub-Funds denominated in EUR:
Currency March 29, 2019
AUD 1.580699
CAD 1.500071
CHF 1.118246
CNH 7.546281
GBP 0.861708
HKD 8.814315
JPY 124.282639
KRW 1274.546902
MXN 21.780481
MYR 4.584035
NOK 9.669534
NZD 1.646408
SEK 10.414770
SGD 1.520900
THB 35.633641
TWD 34.606795
USD 1.122850
The following exchange rates (against USD) as at 5 p.m. Central European Time have been used to convert the investments andother assets and liabilities denominated in currencies other than USD for all Sub-Funds denominated in USD except for Merrill LynchInvestment Solutions – KLS Fixed Income UCITS Fund and Merrill Lynch Investment Solutions – Millburn Diversified UCITS Fund:
Currency March 29, 2019
AUD 1.407757
BRL 3.891700
CAD 1.335950
CHF 0.995900
CLP 680.475000
COP 3185.480000
CNH 6.720650
CNY 6.720200
CZK 23.004850
DKK 6.648650
EUR 0.890591
236 Merrill Lynch Investment Solutions
Notes to the financial statementsas at March 31, 2019 (cont.)
Audited annual report
Note 2 – Principal accounting policies (cont.)
2.11 Foreign exchange translation (cont.)
Currency March 29, 2019
GBP 0.767430
HKD 7.849950
HUF 286.440800
IDR 14240.000000
ILS 3.629350
INR 69.275000
JPY 110.685000
KRW 1135.100000
MXN 19.397500
MYR 4.082500
NOK 8.611600
NZD 1.466276
PHP 52.510000
PLN 3.833850
RUB 65.697500
SEK 9.275300
SGD 1.354500
THB 31.735000
TRY 5.649600
TWD 30.820500
ZAR 14.421250
The following exchange rates (against USD) as at 9 p.m. Central European Time have been used to convert the investments andother assets and liabilities denominated in currencies other than USD for Merrill Lynch Investment Solutions – KLS Fixed IncomeUCITS Fund and Merrill Lynch Investment Solutions – Millburn Diversified UCITS Fund:
Currency March 29, 2019
AUD 1.408748
ARS 43.381000
BRL 3.909350
CAD 1.335250
CHF 0.995950
CLP 680.665000
CNH 6.722250
CNY 6.720200
COP 3188.030000
CZK 23.017250
EUR 0.891623
GBP 0.768817
HKD 7.849950
HUF 286.558800
IDR 14240.000000
ILS 3.632250
INR 69.275000
237Merrill Lynch Investment Solutions
Notes to the financial statementsas at March 31, 2019 (cont.)
Audited annual report
Note 2 – Principal accounting policies (cont.)
2.11 Foreign exchange translation (cont.)
Currency March 29, 2019
JPY 110.825000
KRW 1135.100000
MXN 19.418500
MYR 4.082500
NOK 8.620650
NZD 1.468860
PEN 3.317350
PHP 52.510000
PLN 3.839550
RON 4.255900
RUB 65.697500
SEK 9.294250
SGD 1.355200
THB 31.735000
TRY 5.595300
TWD 30.820500
ZAR 14.441250
The following exchange rate (against EUR) as at 5 p.m. has been used to calculate the combined total in the Statement of Net Assetsand in the Statement of Operations and Changes in Net Assets for all Sub-Funds denominated in USD except for the Merrill LynchInvestment Solutions – KLS Fixed Income UCITS Fund and Merrill Lynch Investment Solutions – Millburn Diversified UCITS Fund.
Currency March 29, 2019
USD 1.122849883
The following exchange rate (against EUR) as at 9 p.m. has been used to calculate the combined total in the Statement of Net Assetsand in the Statement of Operations and Changes in Net Assets for the Merrill Lynch Investment Solutions – KLS Fixed IncomeUCITS Fund and Merrill Lynch Investment Solutions – Millburn Diversified UCITS Fund:
Currency March 29, 2019
USD 1.121550252
2.12 Income
Dividend income and dividend expense are recorded on the ex-dividend date and interest income and interest expense are accruedover the life of the investment. Interest income includes accretion of market discount, original issue discounts and amortisation ofpremiums and is recorded into income over the life of the underlying investment. Interest income and dividend income arerecognised on a gross basis before withholding tax, if any. Interest income is accrued on a daily basis.
2.13 Formation expenses
Formation expenses and those of the launch of new Sub-Funds are born by CM Investment Solutions Limited.
Note 3 – Investment management, distributor and performance fees
The investment management fees which are payable to the Investment Manager in connection with the services to be provided bythem, and distribution fees which are payable to the Investment Manager or CM Investment Solutions Limited pursuant to therelevant agreements between each of them, are payable monthly in arrears and calculated on each banking day (as defined in theProspectus) on the net assets of each Share Class and at the combined annual rates mentioned below.
238 Merrill Lynch Investment Solutions
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Audited annual report
Note 3 – Investment management, distributor and performance fees (cont.)
The Performance Fees shall be payable by reference to the Net Asset Value of a Share Class of a Sub-Fund in excess of that ShareClass’s High Water Mark, Aggregate Benchmark or combination thereof. The performance fees are calculated and accrued daily asan expense of the relevant Share Class. Performance Fee is calculated in respect of each period of 12 months beginning on 1 Apriland ending on the following 31 March.
The performance fees which are payable to the Investment Manager, are payable annually or on crystallisation, and are calculated oneach banking day (as defined in the Prospectus) at the combined annual rates mentioned below.
Class B 1.50% 20%Class C 2.25% 20%Class G 1.50% 20%
Class X1 1.50% 20%Management Class 0.60% 10%
Class Z 1.50% 20%
Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund Class A 1.25% 25%Class B 1.25% 15%Class C 2.25% 15%Class D 1.00% 10%Class E 1.25% 20%Class F 2.25% 20%Class Z 1.25% 20%
Merrill Lynch Investment Solutions – York Asian Event-Driven UCITSFund
Class B 1.50% 20%Class C 2.25% 20%Class D 1.25% 10%
Merrill Lynch Investment Solutions – AQR Global Relative Value UCITSFund
Class A 1.00% 10%Class A2 1.00% 15%Class C 2.00% 10%Class D 1.00% 10%Class Z 1.00% 10%
Merrill Lynch Investment Solutions – Merrill Lynch WNT DiversifiedFutures UCITS Fund (in liquidation)
Class B 1.35% 20%Class C 1.95% 20%Class D 1.30% 20%Class Z 1.35% 20%
Merrill Lynch Investment Solutions – Global Debt - Credit UCITS Fund Class B 0.42% 0%
Merrill Lynch Investment Solutions – Global Debt - Government UCITSFund
Class B 0.32% 0%
Merrill Lynch Investment Solutions – Global Debt - Securitised UCITSFund
Class B 0.38% 0%
Note 4 – Operating and administrative fees
In respect of each Sub-Fund, the SICAV shall pay to CM Investment Solutions Limited an operating and administrative fee equal toa certain percentage of the Net Asset Value of the relevant Share Class calculated in the same manner as for the calculation of theinvestment management fee. The operating and administrative fee shall be calculated and accrued as an expense of the relevantShare Class and shall be payable monthly in arrears.
Sub-Funds ClassAdministrative and
Operating Fees
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) Class B 0.30% p.a.Class C Up to 0.40% p.a.Class G 0.30% p.a.
Class X1 0.30% p.a.Management Class 0.30% p.a.
Class Z Up to 0.40% p.a.
Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund Class A Up to 0.40% p.a.Class B Up to 0.40% p.a.Class C Up to 0.40% p.a.Class D Up to 0.40% p.a.Class E Up to 0.40% p.a.Class F Up to 0.40% p.a.Class Z Up to 0.40% p.a.
240 Merrill Lynch Investment Solutions
Notes to the financial statementsas at March 31, 2019 (cont.)
Audited annual report
Note 4 – Operating and administrative fees (cont.)
Sub-Funds ClassAdministrative and
Operating Fees
Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund Class B Up to 0.40% p.a.Class C Up to 0.40% p.a.Class D Up to 0.40% p.a.
Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund Class A 0.15% p.a.Class A2 0.15% p.a.Class C1 0.15% p.a.Class D 0.15% p.a.Class Z 0.15% p.a.
Each of the Custodian, the Administrator and the Registrar Agent are entitled to receive from CM Investment Solutions Limited feespursuant to the relevant agreements between each of them and the SICAV in accordance with usual market practice. In addition,reasonable disbursements and out-of-pocket expenses incurred by such parties are charged to CM Investment Solutions Limited asappropriate.
Note 6 – Transaction Costs
For the year from April 01, 2018 to March 31, 2019 the SICAV incurred transaction costs related to purchase or sale of securities,fixed income and trading of financial instruments such as Options and Futures as follows:
Merrill Lynch Investment Solutions – Global Debt - Credit UCITS Fund USD (28 848)
Merrill Lynch Investment Solutions – Global Debt - Government UCITS Fund USD (6 481)
Merrill Lynch Investment Solutions – Global Debt - Securitised UCITS Fund USD (5 332)
The fees charged by external brokers for OTC derivatives transactions are not included in the above table and are recorded under thecaption “interest and bank charges and transaction costs” in the Statement of Operations and Changes in Net Assets.
Note 7 – Taxation
The SICAV’s assets are subject to subscription tax (“Taxe d’abonnement”) in the Grand Duchy of Luxembourg of 0.05% of the netassets p.a. (except Sub-Funds or Classes of Shares reserved to Institutional Investors that can benefit from the reduced tax rate of0.01% of the net assets p.a. as stipulated in the Prospectus) payable quarterly. The SICAV’s income is not taxable in Luxembourg. Notax will be deducted at source from any dividends paid by the SICAV. Income received from the SICAV may be subject to withholdingtaxes in the country of origin of the issuer of the security, in respect of which such income is paid.
No duty or tax is payable in Luxembourg in connection with the issue of Shares of the SICAV, except for one lump sum capital levyof EUR 75 which is payable at incorporation.
Investment income from dividends and interest received by the SICAV may be subject to withholding taxes at varying rates. Suchwithholding taxes are usually not recoverable.
242 Merrill Lynch Investment Solutions
Notes to the financial statementsas at March 31, 2019 (cont.)
Audited annual report
Note 8 – Cash collateral information
The table below provides the cash collateral balances due from / due to the brokers in relations to the Futures contracts, Swaps,Forward foreign exchange contracts, OTC Options contracts and Contracts for difference held as at March 31, 2019. The cashcollateral balances are included in the Statement of Net Assets respectively under “Due from Broker” and “Due to Broker”.
Sub-Funds
Due from /(due to)brokers Counterparty Currency
Cash collateralbalances
Merrill Lynch Investment Solutions –Marshall Wace TOPS UCITS Fund (MarketNeutral)
Due to Barclays Bank Plc. USD (17 200 002)
Due from BNP Paribas USD 325 983 245
Due to Credit Suisse International USD (10 420 235)
Due from Credit Suisse Securities (Europe) Limited USD 20 236
Due to Credit Suisse Securities (Europe) Limited USD (100 001)
Due to Deutsche Bank AG USD (3 462 244)
Due from Deutsche Bank AG London USD 7 462 250
Due from Goldman Sachs International USD 16 100 000
Due to JPMorgan Chase Bank NA USD (1 200 088)
Due from Merrill Lynch International Bank Ltd. USD 25 500 001
Due from Morgan Stanley Capital Services, Inc. USD 1 800 001
Due from Morgan Stanley & Co. International Plc. USD 16 800 009
Due to Morgan Stanley & Co. International Plc. USD (2)
Due to Société Générale USD (3 000 000)
Due from State Street Bank and Trust Co. USD 33 000 000
Due from Sumitomo Bank Ltd. USD 305 333 071
Due from UBS AG USD 13 771 464
Due to UBS AG USD (59 347)
Merrill Lynch Investment Solutions – YorkEvent-Driven UCITS Fund
Due from Bank of America EUR 188 281
Due from Barclays Bank Plc. EUR 586 891
Due from Citibank NA EUR 702 449
Due from Credit Suisse Securities (Europe) Limited EUR 223 612
Due from Goldman Sachs International EUR 464 359
Due from JPMorgan Chase Bank NA EUR 303 802
Due from Merrill Lynch International Bank Ltd. EUR 566 978
Due to Merrill Lynch International Bank Ltd. EUR (2)
Due from Morgan Stanley & Co. LLC EUR 2 610 809
Due to Morgan Stanley & Co. LLC EUR (79 731)
Due from Morgan Stanley Capital Services, Inc. EUR 2 947 717
Due to Morgan Stanley Capital Services, Inc. EUR (641 188)
Due from State Street Bank and Trust Co. EUR 267 177
Due from UBS AG EUR 276 083
243Merrill Lynch Investment Solutions
Notes to the financial statementsas at March 31, 2019 (cont.)
Audited annual report
Note 8 – Cash collateral information (cont.)
Sub-Funds
Due from /(due to)brokers Counterparty Currency
Cash collateralbalances
Merrill Lynch Investment Solutions – YorkAsian Event-Driven UCITS Fund
Due from Bank of America EUR 5 451 258
Due from Citibank NA EUR 6 526 562
Due from Credit Suisse Securities (Europe) Limited EUR 653 507
Due from Goldman Sachs International EUR 2 502 545
Due from JPMorgan Chase Bank NA EUR 3 990 468
Due from Merrill Lynch International Bank Ltd. EUR 335 631
Due from Morgan Stanley & Co. LLC EUR 2 531 949
Due from Morgan Stanley & Co. International Plc. EUR 7 517 305
Due from State Street Bank and Trust Co. EUR 872 779
Due from UBS AG EUR 3 071 754
Merrill Lynch Investment Solutions – AQRGlobal Relative Value UCITS Fund
Due from Bank of America USD 361 430
Due from Citibank NA USD 15 973 044
Due to Deutsche Bank AG USD (18 141 776)
Due from Goldman Sachs International USD 86 439 999
Due from JPMorgan Chase Bank NA USD 1 565 797
Due from Merrill Lynch International Bank Ltd. USD 75 027 046
Due to Merrill Lynch International Bank Ltd. USD (6 105 126)
Due from Morgan Stanley & Co. International Plc. USD 2 741 870
Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund EUR 3 158 511 0.27
Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund EUR 1 - 0.00
Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund USD 1 - 0.00
246 Merrill Lynch Investment Solutions
Notes to the financial statementsas at March 31, 2019 (cont.)
Audited annual report
Note 11 – Distributions
The Board of Directors resolved to distribute a dividend to Shareholders invested into the following classes:
Sub-Funds Class Record Date Reinvestment Date Currency Dividend Rate
Merrill Lynch Investment Solutions – AQR GlobalRelative Value UCITS Fund EUR A (INC) H 16 May 2018 23 May 2018 EUR 0.0815 per share
Merrill Lynch Investment Solutions – Global Debt -Government UCITS Fund GBP B (INC) H 16 May 2018 - GBP 0.1833 per share
Merrill Lynch Investment Solutions – Global Debt -Government UCITS Fund USD B (INC) 16 May 2018 - USD 0.0221 per share
Merrill Lynch Investment Solutions – Global Debt -Government UCITS Fund EUR B (INC) H 16 May 2018 - EUR 0.0229 per share
Merrill Lynch Investment Solutions - Global Debt -Credit UCITS Fund GBP B (INC) H 16 May 2018 - GBP 0.6090 per share
Merrill Lynch Investment Solutions - Global Debt -Credit UCITS Fund USD B (INC) 16 May 2018 - USD 0.0529 per share
Merrill Lynch Investment Solutions - Global Debt -Credit UCITS Fund EUR B (INC) H 16 May 2018 - EUR 0.0586 per share
Merrill Lynch Investment Solutions – Global Debt -Securitised UCITS Fund GBP B (INC) H 16 May 2018 - GBP 0.7314 per share
Merrill Lynch Investment Solutions – Global Debt -Securitised UCITS Fund USD B (INC) 16 May 2018 - USD 0.0608 per share
Merrill Lynch Investment Solutions – Global Debt -Securitised UCITS Fund EUR B (INC) H 16 May 2018 - EUR 0.0673 per share
Note 12 – Director fees
Unaffiliated directors were each paid an annual gross fee of USD 45 000 during the year ended March 31, 2019, which were borneby the SICAV.
Note 13 – Subsequent events
Merrill Lynch Investment Solutions – Merrill Lynch WNT Diversified Futures UCITS Fund was liquidated with effective date on 3rdApril 2019.
Merrill Lynch Investment Solutions – PSAM Global Event UCITS Fund was launched on 6th June 2019.
247Merrill Lynch Investment Solutions
Notes to the financial statementsas at March 31, 2019 (cont.)
Audited annual report
The reference portfolio used by each Sub-Fund is set out in the table below.
In terms of risk management, the Board of Directors choose the commitment approach for the Sub-Fund Merrill Lynch InvestmentSolutions – Merrill Lynch MLCX Commodity Enhanced Beta Fund, Merrill Lynch Investment Solutions – Global Debt - Credit UCITSFund, Merrill Lynch Investment Solutions – Global Debt - Government UCITS Fund, Merrill Lynch Investment Solutions – Global Debt- Securitised UCITS Fund and the absolute VaR approach in order to determine the global risk for:
The lowest, highest and average utilisation of the VaR limit during the year from April 1, 2018 to March 31, 2019 is calculated on adaily basis.
The level of leverage for the year ended March 31, 2019 is calculated by the sum of notionals approach.
The lowest, highest and average sum of the notionals of each Sub-Fund during the year from April 1, 2018 to March 31, 2019 iscalculated on a daily basis.
Global Risk Management (Unaudited Information) (cont.)
Audited annual report
Marcard, Stein & Co AG, Ballindamm 36, D-20095 Hamburg, has undertaken the function of Paying and Information Agent for theFederal Republic of Germany (the “German Paying and Information Agent”).
Applications for the redemption and conversion of shares may be sent to the German Paying and Information Agent.
All payments to investors, including redemption proceeds and potential distributions, may, upon request, be paid through the GermanPaying and Information Agent.
The prospectus, the key investor information documents, the articles of incorporation and the annual and semi-annual reports maybe obtained, free of charge, in hardcopy form at the office of the German Paying and Information Agent during normal openinghours.
The statement of changes in the composition of the investment portfolio is also available free of charge upon request at the officeof the German Paying and Information Agent.
Issue, redemption and conversion prices of shares and any other information to the shareholders are also available, free of charge,from the German Paying and Information Agent.
Fiscal information on taxable income to the shareholders are also available, free of charge, from the German Paying and InformationAgent.
The issue, redemption and conversion prices of shares and the notices to the shareholders will be published on the following websitewww.funds-invest.baml.com/.
250 Merrill Lynch Investment Solutions
Additional Information for Investors in the Federal Republic ofGermany
Audited annual report
SUPPLEMENTARY INFORMATION TO THE YEARLY REPORT
All OTC derivative transactions are entered into by the Funds under an International Swaps and Derivatives Associations, Inc. MasterAgreement (“ISDA Master Agreement”) or similar agreement. An ISDA Master Agreement is an agreement between the Funds anda counterparty that governs OTC derivative transactions including Total Return Swaps (“TRS”) entered into by the parties. Theparties’ exposures under the ISDA Master agreement are netted and collateralised together, therefore any collateral disclosuresprovided in this report are in respect of TRS transactions including CFDs and, if applicable, OTC derivative transactions conductedwith the same counterparties entered into by the Funds under the ISDA Master Agreement, not just TRS and CFDs.
Collateral received by the Sub-Fund under the ISDA Master Agreement is transferred tri-partitely or bilaterally. Collateral received bythe Sub-Fund in relation to OTC Derivatives transactions (including TRS and CFDs) are held by the Depositary and itssub-depositories. Cash collateral received by the relevant Sub-Fund is not reused or reinvested. Non-cash collateral received by therelevant Sub-Fund cannot be sold, re-invested or pledged.
All the revenues arising from Securities Financing Transactions, net of direct and indirect operational costs are returned to therelevant Sub-Fund. The fees and costs related to these transactions are negotiated at an arm’s length with the relevant counterparty,all in accordance with the Investment Restrictions set out in the Prospectus and the current market practice.
All reverse repurchase agreements are entered into by the Fund with a counterparty under a Global Master Repurchase Agreement(“GMRA”). All collateral received/posted by the Fund under the GMRA is held in a tri-party account. Collateral received by the Fund isheld in an account in the name of the Depositary on behalf of the Fund. Collateral received is segregated from the assets belongingto the Fund’s Depositary.
The following table details the value of TRS, CFDs and Repurchase agreements as a proportion of the Funds’ NAV, as at March 31,2019. The value of TRS, CFDs and Repurchase agreements is based on the underlying exposure value (notional).
Appendix I (Section A) – Securities Financing Transactions Regulation (SFTR)Disclosures (Unaudited) as at March 31, 2019
Audited annual report
The following table details the underlying exposure value (notional) in base currency for TRS, CFDs and Repurchase agreements,analyzed for top 10 counterparties, as at March 31, 2019.
Counterparty
Counterparty'scountry of
establishment
Underlyingexposure value
for TRS and CFDs
Underlyingexposure value
for Reverse Repurchase
Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral)Barclays Bank PLCCredit Suisse AGCredit Suisse Securities Europe Ltd.Deutsche Bank AGGoldman Sachs InternationalJP Morgan Securities PLCMerrill Lynch InternationalMorgan Stanley Capital Services LLCMorgan Stanley & Co International PLCSociete Generale International Ltd
United KingdomSwitzerland
United KingdomGermany
United KingdomUnited KingdomUnited Kingdom
United StatesUnited KingdomUnited Kingdom
554 987 286815 880 264
11 982 527518 131 567
1 559 010 0791 224 653 603
438 077 88120 350 082
244 842 46371 235 889
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Merrill Lynch Investment Solutions – York Event-Driven UCITS FundBank of America NABarclays Bank PLCCitibank NACredit Suisse Securities Europe LtdDeutsche Bank AGGoldman Sachs InternationalJPMorgan Chase Bank NAMorgan Stanley Capital Services LLCUBS AG
United StatesUnited Kingdom
United StatesUnited Kingdom
GermanyUnited Kingdom
United StatesUnited States
Switzerland
573 2291 015 0794 484 4581 069 727
622 0642 698 1711 260 669
23 333 8404 680 163
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Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS FundBank of America NACitibank NACredit Suisse Securities Europe LtdGoldman Sachs InternationalJPMorgan Chase Bank NAMorgan Stanley & Co International PLCUBS AG
Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS FundBank of America N.A.Deutsche Bank AGGoldman Sachs InternationalJP Morgan Chase Bank N.A.Merrill Lynch InternationalMorgan Stanley & Co. International Plc.
United StatesGermany
United KingdomUnited States
United KingdomUnited Kingdom
4 995 636641 366 741
1 923 782 3816 263 832
572 923 64617 746 284
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Merrill Lynch Investment Solutions – Merrill Lynch WNT Diversified Futures UCITS Fund (in liquidation)Merrill Lynch International United Kingdom 2 760 000
Merrill Lynch Investment Solutions – Merrill Lynch Enhanced Equity Volatility Premium FundMerrill Lynch International United Kingdom - 124 900 000
The following table lists the ten largest issuers by value of non-cash collateral posted by the Funds by way of title transfer in respectof TRS transactions (including CFDs and, if applicable, OTC derivative transactions conducted with the same counterparties) andRepurchase agreements as at March 31, 2019.
Issuer Local currencyNon-cash Collateral
Received
Merrill Lynch Investment Solutions – Merrill Lynch WNT Diversified Futures UCITS Fund (in liquidation)Reverse repurchaseiShares EUR High Yield Corp Bond UCITS ETFiShares Core Nikkei 225 ETFKabel Deutschland Holding AGSamsung SDI Co. Ltd.Franklin Liberty USD Investment Grade Corporate Bond UCITS ETFiShares MSCI EM Latin America UCITS ETFMcKesson Europe AGBNP Paribas Easy Low Carbon 100 Europe UCITS ETFLyxor MSCI AC Asia Ex Japan UCITS ETFSTADA Arzneimittel AG
The following table presents information on the safekeeping of collateral posted/(received) by the Funds in respect of TRStransactions (including CFDs and, if applicable, OTC derivative transactions conducted with the same counterparties) andRepurchase agreements as at March 31, 2019.
Received Pooled Received Segregated Posted Pooled Posted Segregated
Merrill Lynch InternationalBank of New York Mellon
Tri-PartyTri-Party
For other funds and counterparties, settlement and clearing is bilateral.
257Merrill Lynch Investment Solutions
Appendix I (Section A) – Securities Financing Transactions Regulation (SFTR)Disclosures (Unaudited) as at March 31, 2019 (cont.)
Audited annual report
The following disclosures are required for Index-Tracking Portfolio’s based on European Securities and Market Authority (“ESMA”)guidelines and other UCITS issues (ESMA/2012/832), issued on 18 December 2012 :
2,056.10 2,307.65 12.23% 1.23% Within 1 to 2%annually
0.70% Within tolerance.Difference fromIndex not inclusiveof fund fees andexecution costsfrom trading bonds
The anticipated tracking error for each portfolios under normal market circumstances is set out in the above table. Investors shouldnote that the actual performance of the portfolios will not necessarily be aligned with the anticipated tracking error as detailedabove. Tracking error has been calculated using current financial year historical data available and therefore may not capture allfactors that will impact a portfolio’s actual performance against its benchmark index.
258 Merrill Lynch Investment Solutions
Appendix II – Index Tracking Portfolios (Unaudited)
Audited annual report
UCITS remuneration figures disclosure.
From 1 January 2018 until 31 December 2018 the total amount of remuneration paid – in cash and/or restricted securities – bythe Management Company to its entire staff and relevant staff (composed during the reference period) in average of 28 employeeswas USD 4,595,527.
The Remuneration is based on an individual’s base salary and incentive compensation for 2018 – which is then proportionallysplit between time spent by the individual for the 2 funds which the Management Company has responsibilities for.
Quantitative information relevant to UCITS is outlined below:
Total remuneration for the financial year ending 31 December 2018 paid to 28 staff of the Management Companyand contracted staff from affiliate companies in respect of the management of the UCITS funds
USD 4, 595,527 made up of:- USD 3,107,159 of fixed remuneration- USD 1,488,368 of variable remuneration
Which includes:(a) Remuneration paid by the Management Company to senior management
USD 2,354,929
(b) Remuneration paid by the Management Company to other staff members whose actions have a material impacton the risk profile of the funds
USD 2,563,166
Information on the remuneration policy
In accordance with the guidelines set out in the Remuneration Policy approved by the CM Investment Solutions Limited boardof directors, staff are remunerated in a way which is consistent with and promotes sound and effective risk management and doesnot encourage risk-taking which is inconsistent with the risk profiles, rules or instruments of incorporation of the funds managedby the Company. The Remuneration Policy has been designed to ensure that it is aligned with the business strategy, objectives,values and interests of the Company and the funds it manages or the investors of such funds, and includes measures to avoidconflicts of interest.
Risk Management and Risk Tolerance.It is the Firm’s policy to promote sound and effective risk management and discourage risk-taking that exceeds the level of risktolerated by the Firm and the UCITS it manages. As such the Firm maintains:
• Strong disclosure practices, which provide investors with the information they need to determine whether to invest in theFund, monitor their investment and make a decision whether to redeem their investment based on the risk profile of theinvestment strategy.
• Robust valuation policies and procedures to provide for clear and consistent valuations of the investments in the Fund’sportfolio, with independent oversight provided by the Fund’s board or other governing body, third party administrators,independent auditors and expert valuation advisers, the latter particularly in the case of hard-to-value assets.
• Comprehensive and independent risk management processes to measure, monitor, report and manage risk, including stresstesting of the portfolio and liquidity risk management.
• Sound operational and regulatory systems and controls.
• A strong culture of compliance, sponsored by the Management Body with specific practices to address conflicts of interest.
Due to the nature of the market, and sensitivity of investors to both risk and performance, the Firm has determined that itsoffering is based on its ability to provide an agreed balance between risk and reward. This balance is respected in the Firm’s riskmanagement and remuneration policies.
The Management Company’s remuneration policy was updated to ensure the policy reflected the company remuneration post sale(from BAML). The policy was presented to and reviewed by the New Company’s Board of Directors and approved.