MERRILL LYNCH INVESTMENT SOLUTIONS SociCtC d’Investissement a Capital Variable Audited interim report for the period from November 5,2007 (date of incorporation) to March 31,2008 No subscription can be received on the basis of this report. Subscriptions are only valid if made on the basis of the current prospectus supplemented by the last available annual report of the Fund and the latest serni-annual report if published after such annual report.
Transcript
MERRILL LYNCH INVESTMENT SOLUTIONS SociCtC d’Investissement a Capital Variable
Audited interim report for the period from November 5,2007 (date of incorporation) to March 31,2008
No subscription can be received on the basis of this report. Subscriptions are only valid if made on the basis of the current prospectus supplemented by the last available annual report of the Fund and the latest serni-annual report if published after such annual report.
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MERRTLL LYNCH INVESTMENT SOLUTIONS Societe d’hvestissement a Capital Variable
Table of contents
Management and Administration
Information to the Shareholders
Independent Auditor’s Report
Statement of net assets at March 3 I , 2008
Statement of operations and changes in net assets for the period from November 5,2007 (date of incorporation) to March 3 I , 2008
Notes to the financial statements at March 3 1, 2008
Schedule of investments at March 3 1,2008
Geographical classification of investments
Economic classification of investments
1 - 2
3
4 - 5
6
7
8 - 14
15 - 21
22
23 - 25
MERRILL LYNCH INVESTMENT SOLUTIONS Soci6tC d’lnvestissement a Capital Variable
Management and Administration
Board of Directors
Chairman ofthe Board of Directors:
From the incorporation of the Company until Januay 7,2008
Mr Arif Mansuri Director,
Merrill Lynch International, 2 King Edward Street
London EC 1 A 1 HQ, United Kingdom
From January 7,2008 Mrs Murielle Maman Managing Director,
Merrill Lynch International, 2 King Edward Street
London EC 1 A 1 HQ, United Kingdom
Directors:
Mr Xavier Parain PrCsident, Merrill Lynch Invest SAS
1 12, avenue Klkber 75761 Paris Cedex 16, France
Mr Jean-Claude Wolter Avocat Honoraire,
232 rue Edith Cavell B - 1 180 Brussels, Belgium
Registered Ofice
16, boulevard Royal 1,-2449 Luxembourg
Custodian and Paying Agent
Societ6 Generale Bank & Trust 1 1, avenue Emile Reuter
L-2420 Luxembourg
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MERRILL LYNCH INVESTMENT SOLUTIONS Societe d’Investissement a Capital Variable
Management and Administration (cont.)
Investment Manager
Marshall Wace LLP The Adelphi, 1 3‘h Floor 1/11 John Adam Street London WC2N 6HT
Unitcd Kingdom
Administrative, Corporate and Domiciliary Agent
Euro-VL Luxembourg SA., 16, boulevard Royal L-2449 Luxembourg
Sponsor
Merrill Lynch International 2 King Edward Street London EC 1 A 1 HQ
United Kingdom
Legal Adviser
Linklaters I.LP 35, avenue John F. Kcnnedy
L-1855 Luxembourg
Investment Advisels
Marshall Wace Asia Limited 28/F One IFC One Harbour View Road
Hong Kong
Marshall Wace North America L.P. 55 Railroad Avenue, Greenwich
Connecticut U.S.A
Registrar Agent
European Fund Services S.A. 17, rue Antoine Jans L- 1820 Luxembourg
Listing Agent
SociCte GenCrale Bank & Trust 1 1, avenue Em ile Reuter
MERRILL LYNCH INVESTMENT SOLUTIONS Sociktk d’Investissement a Capital Variable
Information to the Shareholders
The annual general meeting of Shareholders is held, each year, at the registered office of the SICAV or at the place specified in the convening notice on the last Monday of July (at 12 noon Luxembourg time) or the next following Luxembourg Business Day.
The meetings of Shareholders of Shares of a particular Sub-Fund may decide on matters which are relevant only for the Sub-Fund conccrncd.
Notices to Shareholders will bc published in the Luxemburger Wort and / or in any other newspaper(s) in thosc countries where the Shares are sold, as determined by the Board of Directors.
Audited annual reports are sent to the Shareholders and are made available for public inspection at each of the registered ofices of the SlCAV and the Administrator within four months following the relevant accounting 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 public inspection at cach of the registered oftices of the SlCAV and the Administrator within two months following the rclevant accounting period.
The financial year ends on March 3 1 of each year.
The list of changes in the portfolio for the period from November 5, 2007 (date of incorporation) to March 31, 2008 is available, free of charge, at the registered office of the SICAV.
At March 3 1, 2008, seven Classes of Shares have been issued: EUR A (acc), EUR C (acc), lJSD A (acc), GBP A (inc), EUR B (acc). GBP B (inc), and GBP MGT (inc).
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Independent Auditor’s Report
To the Board of Directors MERRILL LYNCH INVESTMENT SOLUTIONS
PricewaterhouseCooprrs Societe a responsahilite 1imiti.r Reviseur d’Entrepriscs 400. route d’Esch B P 1443 L- I O 14 Luxcmbourg Telephone 1352 494848.1 Facsimile 4352 -191848-2YOO \\ww pwc corn Iu info@lu p ~ c corn
We have audited the accompanying financial statements of MERRILL LYNCH INVESTMENT SOLUTIONS, which comprise the statement of net assets and the schedule of investments as at March 3 1, 2008 and the statement of operations and changes in net assets for the period from November 5, 2007 (date of incorporation) to March 31, 2008 and a summary of significant accounting policies and other explanatory notes to the financial statements.
Board of Directors of the SICAV’s responsibility for the financial statements
The Board of Directors of the STCAV is responsible for the preparation and fair presentation of these financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements. This responsibility includes: designing, implementing and maintaining internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error; selecting and applying appropriate accounting policies; and making accounting estimates that are reasonable in the circumstances.
Auditor’s responsibility
Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with International Standards on Auditing as adopted by the Ynstitut des Rkviseurs d’htreprises”. Those standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance whether the financial statements are free from material misstatement.
An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial Statements. The procedurcs selected depend on the Auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the Auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedurcs that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control.
An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by the Board of Directors of the SICAV, as well as evaluating the overall presentation of the financial statements.
We bclieve that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. R.C.S Luxembourg B 65 477 ~ TVA I.Ul7564447
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Independent Auditor’s Report (cont.)
Opinion
In our opinion, these financial statements give a true and fair view of the financial position of MERRILL LYNCH INVESTMLN’I’ SOLUI’IONS as of March 3 1, 2008, and of the results of its operations and changes in its net assets for the period from November 5, 2007 (date of incorporation) to March 31, 2008 in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements.
Other matters
Supplementary information included in the interim report has been reviewed in the context of our mandate but has not been subject to specific audit procedures carried out in accordance with the standards described above. Consequently, we express no opinion on such information. However, we have no observation to make concerning such information in the contcxt of the financial statements taken as a whole.
PricewaterhouseCoopers S i r.1. Reviseur d’entreprises Represented by
Luxembourg, September 15,2008
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MERRILL LYNCH INVESTMENT SOLUTIONS SociCtC d’lnvestissernent a Capital Variable
Statement of net assets at March 31,2008 (expressed in Euro)
Notes EUH
ASSETS
Investments in securities at market value (Cost: EUR 93 221 255) Cash at bank Receivable on securities sold Swaps at market value Dividends receivable Unrealised gain on futures contracts Other assets
2.2 93 181 187 64 228 438 12 800 762
2.3, 9 417 352 101 896
2.4, 8 38 016 6 348
170 773 999
LIABILITIES
Payable on securities purchased lnvestment management fees payable Administration fees payable Performance fees payable “Taxe d’abonnement” payable Unrealised loss on forward foreign cxchange contracts Unrealised loss on futures contracts
Net assets at the end of the period
Represented by and equivalent to
E l X 101.3760 per share on 910 780.209 GBP 99.481 3 per share on 3 169.203 USD 100.1776 per share on 39 000.000 EUR 98.3959 pcr share on 74 000.000 GBP 98.3266 per share on 30 800.000 EUR 101.2026 pcr sharc on 161 105.314 G 13 I’ 102.8757 per share 011 194 844.700
20 534 667 256 642 3
4 88 995 3 15 907 6 7 800
2.5, 7 427 925 2.4, 8 1 590 899
22 922 835
Class EU A (acc) shares outstanding Class GBI’ A (inc) shares outstanding Class IJS A (acc) sharcs outstanding Class EIJ B (acc) sharcs outstanding Class CiBP B (inc) sharcs outstanding Class EU C (acc) shares outstanding Class GBP Managerncnt (inc) shares outstanding
The accompanying notes form an integral part of these financial statements. 6
MERRILL LYNCH INVESTMENT SOLUTIONS SociCtk d’Investissement a Capital Variable
Statement of operations and changes in net assets for the period from November 5,2007 (date of incorporation) to March 31,2008 (expressed in Euro)
Notes EUR
Net assets at the beginning of the period
INCOME
-
Dividends, net Bank interest Other income
EXPENSES
Investment management fees Operating and administrative fees Professional fees Performance fee “Taxe d’abonnement” lnterest and bank charges
182 572 609 268
14 996
806 836
3 372 399 4 90 762
10 000 3 17 833 6 12 444
104 800
608 238
Net investment gain 198 598
Net realised loss on sales of investments Net realised gain on futures 3 860 039 Net realised gain on swaps 3 719 856 Nct realised loss on forward foreign exchange contracts and foreign exchange 2.5, 2.7 (2 695 932)
Net realised loss for the period (633 0471
Change in net uiirealised appreciation/(deprcciation) on:
Change in net unrealised appreciation/(depreciation)
Decrease in net assets as a result of operations
Movements in capital
Subscriptions Redemptions
153 033 326 (3 144 189)
Net assets at the end of the period l6rmiuM
The accompanying notes form an integral part of these financial statements.
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MERRILL LYNCH INVESTMENT SOLUTIONS Societe d’Investissement a Capital Variable
Notes to the financial statements at March 31,2008
Note 1 - Activity
Merrill Lynch Investment Solutions (the ”SICAV”) has been incorporated on November 5, 2007 under Luxembourg laws as a “SociE‘te‘ d’Investissement u Capital Variable” for an unlimited period of time. The SICAV is governed by the provisions of Part 1 of the Luxeinbourg Law of December 20, 2002 relating to undertakings for collective investment, as may be amended from time to time.
The Articles of Incorporation created November 5 , 2007 and amended on November 22, 2007 are deposited with the Register of Commem and Companies of Luxembourg and have bccn published in the Memorial C, “Recueil des Suciite‘s et Associations” (the “Me‘moriuT’) on November 30, 2007. The SICAV is registered with the Register of Commetce and Companies of Luxembourg under the number B 133 445.
At March 3 1,2008, one Sub-Fund is available to investors:
Classes EU A (acc), EU 13 (acc), US A (acc), US B(accj, GBP A (acc) and GBP B (acc) are available only to institutional investors and denominated in Euro, US Dollars and Sterling respectively. The Shares are non-distributing.
Classes EU A (inc), EU B (inc), GBP A (inc) and GBP B (inc) are available only to institutional investors and denominated in Euro and Sterling respectively.
Classes EU C (incj and GBP C (incj are primarily intended for retail investors and denominated in Euro and Sterling respectively.
Classes EU C (acc) and GBP C (acc) are primarily intended for retail investors and denominated in Euro and Sterling respectively. The Shares are non-distributing.
Classes US Management (acc) and GBP Management (inc) are only available for subscription by the staff of thc Investment Manager and its affiliates.
At March 3 1, 2008, seven Classes of Shares have been issued: EUR A (acc), EUR C (accj, USD A (accj, GBP A (inc), EUR B (acc), GBP B (inc) and GBP MGT (inc).
x
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MERRTLL LYNCH INVESTMENT SOLUTIONS SociCtb d’Investissement a Capital Variable
Notes to the financial statements at March 31,2008 (cont.)
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 collective investment.
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, are valued on the basis of thc last known price, and if the securities or money market instruments are listed on several stock exchanges or regulated markets, the last known price of the stock exchange which is the principal market for security or money market in question, unlcss 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 i s based on the probable sales price estimated prudently and in good faith by the Board of Directors of the SICAV.
2.2.3 available net asset value of such UCIs at each Valuation Day.
Investments in other open-ended UCIs are valued on the basis of the respective last
2.2.4 rules set out in items 2.2.1 and 2.2.2.
Units or shares of a closed-ended UCI are valued in accordance with the valuation
2.3 Valuation of swaps
The valuation of the swaps is resultant from the sum of the unrealised, realised and other interest or fees on contracts for difference swaps.
2.4 Evaluation of the futures contracts
Initial margin dcposits on open futures at the period-end are included in “Cash at bank”. Unrealised apprcciatioris or depreciations are recorded as follows:
- in “Unrealised gain/(loss) on futures contracts”, in the statement of net assets;
- in “Change in net unrealised appreciation/(depreciation) on futures contracts” in the statement of operations and changcs in net assets.
Futures contracts are valued at their liquidation value based on the closing price on the market on which these futures are quoted.
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MERRILL LYNCH INVESTMENT SOLUTIONS Societk d’hvestissement a Capital Variable
Notes to the financial statements at March 31,2008 (cont.)
2.5 Forward foreign exchange contracts
Forward foreign exchange contracts are valued at the forward rates applicable at the statement of net assets date for the remaining period until maturity. Gains or losses resulting from forward foreign exchange contracts are rccognised in the statement of operations and changes in net assets.
2.6 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.
2.7 Foreign exchange translation
The accounts are maintained in euro and the financial statements are expressed in that currency.
The acquisition cost of securities expressed in a currency other than the euro is translated in euro at the exchange rates prevailing on the date of purchase.
Income and expenses expressed in other currencies than the euro are converted at exchange rates ruling at the transaction date.
Assets and liabilities expressed in other currencies than the euro are converted at exchange rates ruling at the end of the period. The realised or unrealised gains and losses on foreign exchange are recognised in the statement of operations and changes in net assets in determining the increase or decrease in net assets.
2.8 Income
Dividends are credited to income on the date upon which the relevant securities are first listed as “ex-dividend”. Interest income is accrued on a daily basis.
2.9 Formation expenses
Formation expenses are supported by the sponsor.
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MERRILL LYNCH INVESTMENT SOLUTIONS Socikti d’Investissement a Capital Variable
Notes to the financial statements at March 31,2008 (cont.)
Note 3 - Investment Management and Performance fees
The Investment Manager receives a monthly Investment Management fee and an annual Performance fee. The Investment Management fee, which is payable to the Investment Manager in connection with the services to be provided by it, is payable monthly in arrears and calculated on each banking day (as defined in the prospectus) on the net assets of each Class of Shares and at the annual rates mentioned below. The performance fee will be equal to a percentage figure of any “New Net appreciation” and will be payable in arrears within 7 Banking Days ofthc end of each Calculation period (12 months beginning at October 1 and ending on the following September 30) at the rates mentioned below:
Class of shares 1 (“U
Investment Management fee Performance fee
acc :
1.75% 25% of the outperfor mance above the Rench- mark
GBP A (inc)
1.75% 25% of the outperfor mance above the Bench- mark
US A (acc)
1.75% 25% of the outperfor mance above the Bench- mark
BU B (acc)
1.75% 15% of the outperfor mance above the High- Water Mark
GBP B (inc)
1.75% 15% of the outperfor mance above the High- Water Mark
~
EU C (act)
2.50% 15% of the outperfor mance above the High- Water Mark
Neither lnvestment Management fee nor Performance fee is payable in respect of Class GBP Management [ inc).
Note 4 - Operating and Administrative fee
In respect of each sub-funds, the SICAV shall pay to the Sponsor an Operating and Administrative fee equal to a certain percentage of the Net Asset Value of the rclcvant Share Class calculated in the same manner as for the calculation of the Investment Management Fee. The Operating and Administrative Fee shall be calculated and accrued as an expense of the relevant Share Class and shall be payable monthly in arrears.
Each of the Custodian, the Administrator and the Registrar Agent are entitled to receive from the Sponsor, fees pursuant to the relevant agreements between each of them and the SlCAV in accordance with usual market practice. In addition, reasonable disbursements and out-of-pocket expenses incurred by such parties are charged to the SlCAV as appropriate.
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MERRILL LYNCH INVESTMENT SOLUTIONS SociCtC d’hvestissement a Capital Variable
Notes to the financial statements at March 31,2008 (cont.)
Note 6 - Taxation
The SICAV is not liable to any Luxembourg tax other than an annual tax, payable quarterly, of 0.05% of the NAV of the Classes Ell C (acc) and GBP Management (inc) shares and 0.01% of the NAV of the Classes EU A (acc), GBP A (inc), US A (acc), EU B (acc) and GRP R (inc) shares. This NAV will exclude the proportion of net assets of the respective Class of shares as of the last day of the relevant quartcr represented by units or shares held in other Luxembourg undertakings for collective investment, to the extent that such units or shares have already been subject to the subscription tax provided for by the Law of December 20,2002 on undertakings for collective investment, as may be amended from time to time, for which no subscription tax shall be levied. Furthermore, the SICAV was liable to a once-and-for-all tax of EUR 1 250 that was paid upon incorporation.
Investment income from dividends and interest received by the SICAV may be subject to withholding taxes at varying rates. Such withholding taxes are usually not recoverable.
Note 7 - Unrealised loss on forward foreign exchange contracts
Purchase Sale Maturity date Unrealised gain/(loss)
At March 3 1 , 2008, the SICAV has outstanding forward foreign exchange contracts resulting in a net unrealised loss of EUR 427 925.
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MERRILL LYNCH INVESTMENT SOLUTIONS Sociiti d’Investissement a Capital Variable
Notes to the financial statements at March 31,2008 (cont.)
Note 8 - Futures contracts
Open futures contracts at March 3 1 ~ 2008 are detailed below:
Currency contract Details
(iBP EUR EUR lJSD EUK f lKD H K V ElJR JP Y CAD SBK SG L) USD CHF EUK hUD
Market Maturity
FTSE 100 Euronest Liffe Jun-OR CAC 4 0 Buronext Paris MONEP Apr-OR AMSTERDAM INDEX Luronext Amsterdam Apr-OR S&P 500 EMlNl CBE Jun-08 L)AX INDEX Eurex-L) Jun-08 14-SHARES INDFX Hong Kong Futures Exchange Apr-OX HANG SENG INDEX Hung Kong Fulurcs F,xchange Apr-OR IBEX INDEX MeRRenta Variable Apr-O8 NlKKEl 225 SIMEX Singapore Exchange Jun-08 SkP.TSE 60 1X FU.1. Monlrcal Exchange Jun-08 OhlX 30 INDEX Stockholm Stock Exchange Apr-08 MSCl SING IX E-rS Singapore Exchangc Apr-08 KlJSS MINI FUI. CBE lun-08 SWISS MKI- INDEX F1JT Eurex-Z. Jun-08 DJ EURO SI-OXX 50 Eurex-L) Jun-08 S&P ASX 200 INDEX Australian Stock Exchange Jun-OX
Number o f Sumbcr of 1:nrenliserl
cuntrncts contracts Commitment gain/(loss) bought sold
The Fund entered into contracts for difference swaps with two counterparties (Merrill Lynch and Deutsche Bank) with the following details:
1) Deutsche Bank
Commiiment of EUR (1 5 559 543) for the short portfolio, composed of75 securities Commitmeit of EUR 29 900 826 for the long portfolio, composed of 122 securities
Market value of EUR 323 91 7, detailed as follows: -unrealised on short portfolio: EUR (48 71 8) -unrealised on long portfolio: EUR 4 1 973 -realised result: EUR 330 661, corresponding to the realiscd on securities which is still held at the Counterparty (monthly reset)
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MERRILL LYNCH INVESTMENT SOLUTIONS SociCt6 d’hvestissement a Capital Variable
Notes to the financial statements at March 31,2008 (cont.)
Note 9 - Contracts for Difference Swaps (cont.)
2) Merrill Lynch
Commilment of EUR (1 10 656 325) for the short portfolio, composed of 597 securities Commitmeri of ElJR 60 002 180 for the long portfolio, composed of 693 securities
Market value of EUR 93 435, detailed as follows: -unrealised on short portfolio: EUR 342 753 -unrealised on long portfolio: EUR (74 999) -realised result: EUR (174 3 19), corresponding to the realised on securities which is still held at the Counterparty (monthly reset)
Note 10 - Exchange rates
The following exchange rates have been used as of March 3 1,2008:
EI.JR 790 265 FUR 274 133 EUK 74315 CHF 568 OXO SEK 316 134 ElJR 558 778 EUR 34 65 I E m 367 688 EUK I48 487
344 612 1 067 693
427 535 62 092 61 535
1 027 649 41 985
30 456 836 722 187 5;9 1 I3 879 603 132 199 448
1816 19R 616429 110 772 70 403
303 239 580 558 68 552
I51 286 296 653
115 597 121 741
301 872 65 414
63 096 76 626
294 713 36 689
572 592 72 660
1 I O 844 244 527
I Oh5 300 597 557 823 5 2 5
280 625 77 976
529 598 282 378 58140?
35 259 345 665 152 800
0 Ij 0 72 0 29
0 04 0 04
0 70 0 03 0 0:
0 57 0 l j
0 08
041
0 13 I 1 3 0 42
0 07
0 05 0 ? I 0 39
0 05
0 I O 0 20 0 08
0 08 0 20 0 04
u 0.1
0 05
fi 20
0 CJ?
0 39 u 05 0 07 0 17 0 77
0 40 0 i 6 0 IY 0 05
0 3h
0 1 Y
0 40 0 u2
0 2: 0 10
15
MERRILL LYNCH INVESTMENT SOLUTIONS Societk d’Investissement ii Capital Variable
Schedule of investments at March 31,2008 (cont.) (expressed in Euro)
Market \ d u e Market as a percentage
Quantity Descr i~t ion Currenu Goa !&e of net assch
ELR El ’K %,
Transferable securities admitted to an official stock exchange or dealt in on another regulated market (cont.)
Shares (cont.)
1 1 833 9 058 1 795 8 553
2 026 1874 2 695
1 1 083 57 8U7 47 080
75 944
41 456 5 084
I9 487 7 531
15 920
4 116 4 701
31 430 3 018 7 I 8 3
18 893 8 193
42 019 I 3 4 8 7 147 3 849 7 788
40 056 6311 1767
9 Yl6 5 883
7 075 15 181
28 539 79 587
8 407 2 802 1586 2 460
1904 3 252 2 4 1 1
3 601
BUZZ1 UNICEM CAP GEMINI CAKLSBEKG B CARREFOUR
CELESIO CCiG VERI1-AS CH ARI .ES VOEG El, E I iOl. DING CIE FINANCIERE RICHRMONT UNIT CIMPOK-CIMENTOS BE PORTUGAI. CIKTKA CONCESIONES DE I N f M E S T CIR CIE INDlJSTRlALl RIIJNI-I‘E SI’
COMMERZBANK CONTINENTAL
CREDIT SUTSSE GROUP N DAIMLERCHRYSLER N DANIEL1 & C.OFFICINE KNC DANONE DANSKT: RANK DAVIDE CAMPARI DEUI’SCHE BOERSE DEUTSCIIE LlJFTllANSA NAMEN DEUTSCHE POST DEUTSCIIE POSTBANK DEUTSCHE TELEKOM DEVOTEAM
DEXIA DRAKA HOLDING E ON EADS EDF
EFG INTEKNATIONAL H l Z E N CHEMICAL EI.EKTA AB R
ELlSA CORPORATION A
ENAGAS ENDESA ENEL EN1 EPCOS (NAMEN) ERSTE RANK DER OESTERKEICHISCH ESCADA ESSILOR IKTERNATIONAL E I.4M DEVELOPPEMENT ElJLER I IERMES
MERRILL LYNCH INVESTMENT SOLUTIONS SociCt6 d'Investissement a Capital Variable
Schedule of investments at March 31,2008 (cont.) (expressed in Euro)
Markct baluc Markci as a purccntagc
Ouantity Description Currcncv Cast ~~ value of net assets
EUR EUR 'KO
Transferable securities admitted to an official stock exchange or dealt in on another regulated market (cont.)
Shares (cont.)
3 006 565
3 271 37 980
5 244 1116
76 898 21 120
45 616 896
2 956 8 795 I 2 9 7
I I 809 1976 6 690
48 463 5 965
925 2 970 4 651
16517 506
21 398 j 796 9 382
2411
8 531
5 008
3 557 9 602
13 572 53 034 16 177
124 53x 45 935
5 159 13 454 30 I Y Y
6031 16 635 32 570 53 084
6 464 3 369
EURONAV EVS BROAUCAS-I' EQIJII'MENT EXACT HOLDING FIAT FINMECCANICA FLSMIDTH & C O R FORTIS FORTlJM FU4NCE T B I I C O M FRAPORT FRF,:D 01. SEN EN ERG Y FREEN E-1-
FRESRNIUS AG
FWSENllJS MEDICAI. CARE FUGRO NV CERTlFlCAT GAGFAH GA1.P ENERGIA SGPS CAMFSA COWORACION TECNOLOCICA GAS NATUKAL SDG GAZ DE FKANCE GAZPROM OAO ADR GENMAB GlVAlJDAN N GOLDEN OCEAN ('IROUP GOTTEX FUND MANAGEMEN-T HOLDINCi GRIFOLS GROVE RnumLLEs LAMBERT GROUPE STERIA SCA GRIJPO FERROVIAL HAMBURGER HAFEN
MERRILL LYNCH INVESTMENT SOLUTIONS SociCtk d'hvestissement a Capital Variable
Schedule of investments at March 31,2008 (cont.) (expressed in Euro)
Market valuc. Market as a pcrcctitage
value of net assets Quantity Description Currencv Cost -
Eiin EITR %
Transferable securities admitted to an official stock exchange or dealt in on another regulated market (cont.)
Shares (cont.)
I7 202 3 867
67 22 421
8 885 I 190
I I 87X 2 323
6 175 4 664 6 008
I 5 5 9 3 834
62 462
7 670 69 913 I7 466
331 5x2 2 934 2 970 6 634
10 609 3 316 2x11 2 085
936 2 135
28 741 1Y 023 3 966 5 136
47 6 954
34 299 I 0 8 0 6 763
79 926 1 1 705
1 875 15 771 3 569
2 146 4 306 4 816
1 10 565
ITALCEMENTI ITALCEMENTI RlSP JELMOLI t1OLDIKG E R O N I M O MARTINS SGPS SA
JULIUS BAEK HOLDlNCi K & S KAZAKIIGOLD GROUP GDR KBC ANCORA KBC GROUPE KESKO OYJ B KLOECKNER gL CO AG KONE R KONECKANES SHS KONINKI.IJKT: AHOLD NV KONINKLIJKE DSM N V KONINKLIJKE KPN NV
KONINKLIJKE WESSANEN NV LA SEDA DE BARCELONA LABORATORIOS ALMIRALL LACIARDERE LAND1 RENZO LANXESS LINDE LOG ISTA I.ONZA GROUP ACi N L'OKEAL LUKOIL SP ADR M REAL. B MEDIASET MERCK KGAA METRO hTEYER BURGER TECHNOLOGY MlCHELlN MILANO ASSICURAZIONI MILLICOM WI'L CELLULAR SDB MODERN TIMES GROlJP I3 \IOTA ENOIL h1.l-U AERO EKGlNES I-lOI.DING MUENCI IEhTR RUECKVERSICHEKUNGS NESI'E OIL NESTLE NOM NEUF CEGETEI. NEUROSEARCH NOBEL BIOCARE HOLDING NOKlA
EUK EUR CHF ElJR CHF E U K lJSD FUR EUR EUK ElJR EUR ELK ELR ELK EEK E U K EUR EUR EUR FUR EUK
EUR ElJR CHF FUR LSD w n EUR EUR EUK CFIF EUR EL'R
SRK SEK E U K EUK EUR EUR CI IF ElJR DK K CfIF EUR
MERRILL LYNCH INVESTMENT SOLUTIONS SociCtC d’Investissement a Capital Variable
Schedule of investments at March 31,2008 (cont.) (expressed in Euro)
MdrhCl \slue Market a$ a percentage
value of nct assets
EI’R EUH %
~- ~ Quantity Description Currency Cost
Transferable securities admitted to an official stock exchange or dealt in on another regulated market (cont.)
Shares (cont.)
16 856 49 580 26 680 10 876
1593 7 285 8021
1 I Oh7 18 533
6 5 5 19 844 2 050
120 035
1 5 9 1 2 718 4 531 2 725 2 219 5 33Y
33 828
6 601 3 73;
12 145
1 9 7 9 35 219
2 971 14 897 8 214
6811 8 823 8 739
23 299
35 898
15 957 3 948 5 959 1380 4 298
45 431 21 917 37 046
6 820 7 337 I689 3 751
NOKIAN KENKAA’I NORWEGIAN PROPERTY NOVARTIS N NOVO NORDISK B NUTRECO IIOLDIN(i NV NYRSTAR OAO SEVERSTAI. GDR ODBRTHLJR TECHNOLOGIES ORRASCON HUARTE LAIN SA
OC OERLIKON C O W
OU.l.OKUMPU OYJ A
PANALPINA WELTTRANSPORT PARMAIAT PAKl.NEKS GKOUI’ HOLDING N PERNOD RICARD PE-IKOLEUM CEO SEKVICES I’ETROI’LUS HOLDINGS PORSCHE VORZ. PREMIERE PRDNOVA E10 PROSAFE ST: PROSIERBN SAT 1 W D I A VZ PRYShlIAN CABLES & SYSTEMS Q-CELLS RAhfIRENT RANDSTAD HOLDING REED ELSEVIER NV KEMY COINTREAIJ RENAULT KESEKVOIR EXPLORATION TECHNOL RIIJ INTERNATIONAI. ROCIIE IiOI.DING DON JOUISSANCE ROYAI. DUTCH SHELL A SHAKES ROYAL PHILIPS ELECTRONICS KWE SAINT-GORAIN SAIPEM S A W 0 A SANOFI-AVENTIS SANTANDER CENTRAI. HISPANO SARAS SBM OFFSI IORE SCANIA AB B SCHINDLER IIOLDING PS SEI3 A
Transferable securities admitted to an official stock exchange or dealt in on another regulated market (cont.)
Shares (cont.)
63 498 1604
932 25 285
92 4 496 7 526 1219
41 639 I
3 005 6 449 6 510
51 053 6 174
24 450 5 691
1 1 212 5 621
19 723 2 709 9 544
41 816 I l l 0
545
I O 764 2 758 I 190
1 1 115
7 050 2 586
10 302 Z 070
29 025 28Y 183
54 903
10911
15 129 30 909
52 683 7 265 5 045
2 967 2 704 3 676
SECURII‘AS SYSTEMS B SES GLOBAL FDR SGL GROUP SIEMENS SlKA SLIGRO FOOL) GROUP NV SWZ KI‘RAC SMlT INTERNATIONALE NV SOCIEI-E GENERALE A SOCIETE GENERALE DS 08 SODEXO S0GECARI.E SOL MELIA SONAE INDUSTRIA SCiPS NV05 SONOVA HOLDING SSAB SWEDlSIl STEEL A STADA ARZNEIMITTEI, STATOII.HYDRO STMICKOELEC~IKONICS SUBSEA 7 SUEZ SVENSKA CELLULOSA SCA B SWEDlSll MATCH SWISS LIFE HOLDING N SWISSCOM N SYMRISE SYNGENTA NAMEN SYNTHES INC .I-ANDB ERG .l’ANCi.4NYIKA OIL COMPANY SDB TBCAN GROUP N TECHEM TECHNII’ TELE2 B TELECOM lTAl,lA RlSP TELEFONICA TEI.FKOM AUSTRIA TELENOK TEMENOS GROIJP N ’IEKKA 1-F 1
THALES THE SWATClI GROUP f H t SWATClI GROUP N THYSSENKRlJPP
SEK IO8 901 EUR 25 698 E u n 34 304 E u n I 7x9 848 CI IF I l l 390 EUR I l l 905 EUR 255 630 EIJK 78 016
MERRILL LYNCH INVESTMENT SOLUTIONS SociCtC d’Investissement a Capital Variable
Schedule of investments at March 31,2008 (cont.) (expressed in Euro)
Market value Market as a pcrccntage
Ouantitv Description Currencv Cost ~~ \aluu of net assets
EUR EI:R ‘%,
Transferable securities admitted to an official stock exchange or dealt in on another regulated market (con t.)
Shares (cont.)
I4 074 26 425
5 862 1 1 929
22 475 30 190 23 685 66 823
2 320
759
383 793 29 366
7 429 I8 973 1638 I 7 7 6
24 497 6 634 4 112
41 479 609
6 726 7 891
14 716 1 7 8 3
TIETOENATOR TlSCALl TNT TO(iNIJM TOMl.OM TOTAL TUBACEX UBS SA NOM UMICORE WIRAII . RODAMCO UNICREDIT SPA (!NILEVER CVA UNIT 4 A G K S S O NV US6 PEOP1.E NV VALE0 VALLOlJREC VEDIOR NV WOI. IA ENVI RONNEMENT VINCI VIVENDI VOI.KSWAGEN WAKTSILA COW B WOLTERS KLUWEK CVA YARA INTERNATIONAI. ZURICH FINANCIAI. SERVICES
I 158376 1 175 105 I l l 0 0 6 111 837 300 814 287 5;7
I34 857 132 332 536 809 538 217 348 213 ~ 355 803
1 264 935
1 664 906
0 15
0 04
0 0Y
0 1 1 0 40
0 96 0 1 1
0 83
0 05 0 08
I I O 0 42 0 09
0 19
0 0: 0 17 0 30 0 19
0 13
0 79 0 08
0 19
0 09 0 j 6 02.I
The accompanying notes form an integrdl part of these financial statements.
21
MERRILL LYNCH INVESTMENT SOLUTIONS Societe d’hvestissement a Capital Variable
Geographical classification of investments (as a percentage of net assets at March 31,2008)
France Germany Switzerland Netherlands ltaly Spain Finland Sweden Belgium Portugal Norway Denmark United Kingdom Luxembourg Austria Russia Cayman Islands United States Guernsey Bermuda Canada
MERRILL LYNCH 1NVESTMENT SOLUTlONS SociCtC d’Investissement a Capital Variable
Economic classification of investments (as a percentage of net assets at March 31,2008)
%
Commercial banks Pharmaceutical products Electricity Petroleum and gas integrated Communication equipment Biotechnology Cars and equipment Telephone Electrical equipment Chemicals elaborated Food industry Insurance general Building and building materials Chemicals Medias Telecommunication Miscellaneous services Machinery Auto parts Support services Steel Medical equipment and supplies Energy equipment and services Computer services Insurance Life insurance Transport Clothing Retail general Petroleum and gas Retail/wholesale food distribution Aerospace and defense industry Drinks Investment companies Tobacco Utility vehicles and trucks Engineering and industrial equipment Delivery services Steel and other metal
MERRILL LYNCH INVESTMENT SOLUTIONS SociCtk d’lnvestissement a Capital Variable
Economic classification of investments (cont.) (as a percentage of net assets at March 31,2008)
Breweries Building and public works Software and services Building material and furniture Software Radio and show Staff training and employment agencies Health service, cosmetic and household products Public health service Transportation Household equipment and textile Electrical and electronic equipment Hotels General distribution Food industry production Gas distribution Industrial equipment Industry diversified Livestock and fishery Mines Defense Aerospace Special and other financial activities Basic chemicals Utilities Hotels and beverages Components and electrical equipment Non cyclical consumer goods Food distribution and pharmaceuticals lnformation technology equipment Mortgage Reinsurance Telephone mobile Real estate Distillery and wines Specialised finance Pharmaceutical industry and biotechnology Body care products Pub1 ication
MERRILL LYNCH INVESTMENT SOLUTlONS SociCtC d’lnvcstissement a Capital Variable
Economic classification of investments (cont.) (as a percentage of net assets at March 31,2008)
Investment companies Distribution, food and pharmaceutical products Drilling and petroleum production Semi-conductors Financial companies Healthcare Sea transport Asset man age men t Hotels, restaurants and leisure Holding companies Forest and paper Clothing and fittings
