AURUM FCP Fonds Commun de Placement Annual Report for the period from March 13, 2009 (date of incorporation) to December 31, 2009 (Audited) AURUM FCP - USD Liquidity Fund No subscription can be received on the basis of financial reports. Subscriptions are only valid if made on the basis of the current prospectus which will be accompanied AURUM FCP - Cross Markets Fund by a copy of the latest available annual report and a copy of the latest available semi-annual report, if published after such annual report.
Table of Contents AURUM FCP Organisation 3 General Information 4 Directors' Report 5 Independent Auditor's Report 6 Statement of Net Assets 7 Statement of Operations and Changes in Net Assets 8 AURUM FCP - USD Liquidity Fund Statement of Investments and Other Net Assets 9 Portfolio Breakdowns 10 AURUM FCP - Cross Markets Fund Statement of Investments and Other Net Assets 11 Portfolio Breakdowns 13 Notes to the Financial Statements 14 2
Organisation AURUM FCP Management Company Luxembourg Financial Group Asset Management S.A. 19, Rue de Bitbourg L-1273 Luxembourg Grand Duchy of Luxembourg Directors of the Management Company Bodo Demisch, Chaiman of the Board; Johan Groothaert, Managing Director; Alexander Szewald, Director; Gerald Pittner, Director; Henry Kelly, Director; Christian Klar, Director (since July 23, 2009); Andreas G ü nther, Director (until July 22, 2009). Custodian and Paying Agent BNP Paribas Securities Services, Luxembourg Branch 33, rue de Gasperich L-5826 Hesperange Grand Duchy of Luxembourg Administrative Agent BNP Paribas Securities Services, Luxembourg Branch 33, rue de Gasperich L-5826 Hesperange Grand Duchy of Luxembourg Independent Auditor Ernst & Young S.A. 7, Parc d'Activit é Syrdall L-5365 Munsbach Grand Duchy of Luxembourg Legal and tax adviser Allen & Overy Luxembourg 33, Avenue J.F. Kennedy L-1855 Luxembourg Grand Duchy of Luxembourg 3
General Information AURUM FCP Fiscal year The Fiscal Year begins on 1 January and terminates on 31 December of each year, except for the first Fiscal Year which began on 13 March 2009 and ended on 31 December 2009. Periodic Reports Audited annual report and audited financial statements are established at the end of each Fiscal Year, and, for the first time as per 31 December 2009. In addition, unaudited semi-annual reports will be established as per the last day of the month of June and the first time as per 30 June 2009. Those financial reports will provide information on each of the Sub-Fund's assets as well as the consolidated accounts of the Fund and be made available to the Unitholders free of charge at the offices of the Management Company and Administrative Agent. The financial statements of each Sub-Fund are established in the Reference Currency of the Sub-fund but the consolidated accounts are in EUR. The portfolio movements can be obtained free of charge from the registered office of the Management Company. 4
Directors' Report AURUM FCP USD Liquidity Fund Market Review The Federal Open Market Committee ( “ FOMC ” ) maintained the current target range for the Federal Funds rate at 0.00% to 0.50% during the year under review. The Committee noted at the 23 September 2009 meeting that “ economic conditions are likely to warrant exceptionally low levels of the Federal Funds rate for an extended period ” of time. However, the FOMC did acknowledge that economic activity has improved over the few months to end December 2009, highlighting improvements in both the financial markets and the housing sector. Settings across the LIBOR curve declined throughout the year. Indeed, the 3-Month LIBOR setting continued to decline and stood at an all-time low of 0.24% near the end of December 2009. The Treasury bill curve also tightened during the year. Additionally, the amount of available supply in Treasury bills and notes continues to dwindle. At the same time, credit spreads tightened to pre-crisis levels. Performance and Activity The USD Liquidity Fund returned 0.67% in the 9 months from Fund inception to 30 December 2009. The performance of the Fund was largely attributable to moderate extension with a few positions in 9 to 12-month highly rated financial securities and shorter term certificates of deposits in the 2 to 4-month sector. While credit positions enhanced the overall yield of the portfolio, it also augmented the credit quality of the portfolio, increased liquidity positions and lengthened its maturity profile enabling us to stay in front of a continuously declining yield curve. As with months past, the Fund maintained a laddered portfolio structure. Available monies were primarily deployed in commercial paper and certificates of deposits due in approximately 2 to 4 months. In an effort to stay ahead of a continually declining yield curve and maintain duration, incremental yield was added through purchases of obligations in the financial sector due in approximately 120 to 180 days. Securities purchased during the second and third quarters of 2009 traded at wide spreads ranging from 0.80% to 1.20%. Towards the third quarter investments were also made in Treasury bills due in approximately 90 to 180 days at lower yields to augment the quality, liquidity and diversification of the portfolio. Towards the end of the year a substantial percentage of assets continued to be maintained in Treasury bills as credit spreads have tightened and again reached pre-crisis levels. Cross Markets Fund Performance and activity The Cross Markets Fund was launched on the 5th of October 2009. During the initial investment phase funds were mainly allocated to debt instruments split between government bonds, highly rated corporate bonds and mortgage bonds. This formed a well diversified fixed income portfolio with a duration of 1.92 years. In October the Fund also invested in warrants linked to the equity and commodity markets. The Net Asset Value (NAV) was stable just below 100 in October since the Fund mainly invested in debt instruments. In November the initial investment phase continued albeit the investment focus shifted towards the various warrant exposures. The warrant exposure increased and at the end of November the Fund was exposed via warrants to the equity-, commodity-, and FX-markets. During November the Fund rose with 0.71 percent with the NAV closing at 100.22 on month-end. During December the Fund invested in warrants linked to the equity-,interest rate-, and FX-markets. At the end of the month the Fund was exposed to equity-, FX-, interest rate-, and commodity markets. During December the Fund showed a negative performance of -0.47 percent where the weaker commodity currencies were the main contributor to the negative performance. The allocation between fixed income and warrants was 89 percent and 11 percent respectively. The Fund's net asset at year end 2009 were valued to SEK 601 million. Outlook The investment objective is to achieve a high level of risk adjusted performance and growth of capital. In normal market circumstances, the Fund will mainly invest in debt securities issued by high credit quality issuers, the remaining part of the portfolio being invested in more risky assets, i.e. exchange listed warrants and listed options, to create capital growth on the global stock-, interest rate-, foreign exchange-, and commodity markets. After the initial investment phase is complete the Fund expects to maintain an operational securities selection strategy in order to make an effective use of the Fund's available capital. The Fund is expected to continue to be active in global equity, fixed income, foreign exchange and commodity markets. In order to fulfil the investment strategy the Fund will stay well diversified and continuously position the overall portfolio for a limited downside risk while maintaining an attractive upside potential. The Board of Directors O/S, 2010. 5
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