AURUM FCP Fonds Commun de Placement Annual Report for the period - - PDF document

AURUM FCP

AURUM FCP - USD Liquidity Fund AURUM FCP - Cross Markets Fund

Annual Report for the period from March 13, 2009 (date of incorporation) to December 31, 2009 (Audited)

No subscription can be received on the basis of financial reports. Subscriptions are

• nly valid if made on the basis of the current prospectus which will be accompanied

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.

Fonds Commun de Placement

2

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

3

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 Günther, 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'Activité 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

4

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.

5

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.

6

Independent Auditor's Report

AURUM FCP

To the Unitholders of AURUM FCP 19, rue de Bitbourg L - 1273 Luxembourg We have audited the accompanying financial statements of AURUM FCP (the "Fund") and of each of its Sub-Funds, which comprise the statement

• f net assets, the statement of investments and other net assets as of December 31, 2009 and the statement of operations and changes in net

assets for the period from March 13, 2009 (date of incorporation) to December 31, 2009, and a summary of significant accounting policies and other explanatory notes to the financial statements. Responsibility of the Board of Directors of the Management Company for the financial statements The Board of Directors of the Management Company of the Fund 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. Responsibility of the “réviseur d’entreprises” 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 “Institut des Réviseurs d’Entreprises”. 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 procedures selected depend on the judgement of the “réviseur d’entreprises”, 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 “réviseur d’entreprises” considers internal control relevant to the entity’s preparation and fair presentation of the financial statements 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 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 Management Company, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements give a true and fair view of the financial position of AURUM FCP and of each of its Sub-Funds as of December 31, 2009, and of the results of their operations and changes in their net assets for the period from March 13, 2009 (date of incorporation) to December 31, 2009, in accordance with Luxembourg legal and regulatory requirements relating to the preparation and presentation of the financial statements. Other matter Supplementary information included in the annual 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 context of the financial statements taken as a whole. ERNST & YOUNG Société Anonyme Réviseur d’entreprises Kerry NICHOL Luxembourg, O/S, 2010

The accompanying notes are an integral part of these financial statements. 7

Statement of Net Assets as at December 31, 2009

AURUM FCP

Assets 209,619,178 Investment in securities at cost 450,135 Unrealised appreciation / (depreciation) on securities 210,069,313 Investment in securities at market value 2.2 724,767 Cash at bank 53,742 Dividends and interest receivable 2.3 102,981 Formation expenses 2.6 210,950,803 Total assets Liabilities 52,308 Accrued expenses

• Payable for investment purchased

603,726 Payable on redemption 656,034 Total liabilities 210,294,769 Net assets at the end of the year USD Notes AURUM FCP - USD Liquidity Fund 564,469,331 (1,639,377) 562,829,954 56,894,278 3,695,114

• 623,419,346

1,849,104 20,984,664

• 22,833,768

600,585,578 SEK AURUM FCP - Cross Markets Fund 201,202,871 153,708 201,356,579 6,058,944 398,160 71,776 207,885,459 216,960 2,048,438 420,789 2,686,187 205,199,272 EUR Combined Statements For the period from March 13, 2009 (date of incorporation) to December 31, 2009

Statement of changes in the number of units

* On March 24, 2009 AURUM FCP - USD Liquidity Fund has been launched. ** On October 5, 2009 AURUM FCP - Cross Markets Fund has been launched

Units outstanding at the beginning of the period Number of units issued Number of units redeemed Units outstanding at the end of the period Net Asset Value per unit Class A Units 1,006.67

• 422,901

(214,000) 208,901 Units outstanding at the beginning of the period Number of units issued Number of units redeemed Units outstanding at the end of the period Net Asset Value per unit Class B Units

• 99.66
• 5,213,677

(211,134) 5,002,543 99.90

• 1,021,127
• 1,021,127

The accompanying notes are an integral part of these financial statements. 8

Statement of Operations and Changes in Net Assets for the period from March 13, 2009 (date of incorporation) to December 31, 2009

AURUM FCP

Income 516,492 Interest on bonds 2.3 156,781 Bank interest 183 Income on reverse repos 673,456 Total income Expenses

• Management fees

5 31,747 Custodian fees 3 60,849 Administration fees 4 34,713 Professional fees 22,562 Taxe d'abonnement 6 198 Bank interest and charges 13,559 Amortisation of formation expenses 2.6 4,871 Printing & Publication fees 44,539 Other expenses 213,038 Total expenses 460,418 Net investment income / (loss) Net realised gain / (loss) on: 3,779,101 Investments (2,784,972) Foreign currencies transactions 1,454,547 Net realised gain / (loss) for the year Net change in unrealised appreciation / (depreciation) on: 450,135 Investments 1,904,682 Increase / (Decrease) in net assets as a result of operations 423,000,001 Proceeds received on subscription of shares (214,609,914) Net amount paid on redemption of shares

• Net assets at the beginning of the year

210,294,769 Net assets at the end of the year USD Notes AURUM FCP - USD Liquidity Fund 2,732,719

• 2,732,719

2,169,859 27,980 70,807 24,667 64,779

• 5,923

8,878 2,372,893 359,826 341,470 15,088 716,384 (1,639,377) (922,993) 622,544,204 (21,035,633)

• 600,585,578

SEK AURUM FCP - Cross Markets Fund 626,745 109,274 128 736,147 211,814 24,858 49,323 26,602 22,049 138 9,450 3,973 31,910 380,117 356,030 2,667,314 (1,939,614) 1,083,730 153,708 1,237,438 355,595,354 (151,633,520)

• 205,199,272

Combined Statements EUR

* On March 24, 2009 AURUM FCP - USD Liquidity Fund has been launched. ** On October 5, 2009 AURUM FCP - Cross Markets Fund has been launched

9

Statement of Investments and Other Net Assets as at December 31, 2009

AURUM FCP - USD Liquidity Fund

Transferable securities admitted to an official exchange listing Bonds Australia 9,996,970 4.75 10,000,000 9,996,970 4.75 USD 16/02/10 FRN St George Bank Canada 9,994,320 4.75 10,000,000 9,994,320 4.75 USD 20/04/10 FRN National Bank of Canada France 11,000,000 10,961,280 5.22 USD 14/05/10 FRN Dexia Credit Local 21,044,600 10.01 10,000,000 10,083,320 4.79 USD 23/09/11 FRN Dexia Credit Local Ireland 4,980,915 2.37 5,000,000 4,980,915 2.37 USD 26/02/10 FRN Bank of Ireland Netherlands 9,188,571 4.37 9,224,000 9,188,571 4.37 USD 07/02/11 FRN ABN Amro Bank NV New Zealand 10,991,585 5.23 11,000,000 10,991,585 5.23 USD 14/04/10 FRN ANZ National Bank International Ltd Norway 11,978,076 5.70 12,000,000 11,978,076 5.70 USD 29/11/10 FRN DNB Norbank ASA Spain 4,997,800 2.38 5,000,000 4,997,800 2.38 USD 12/03/10 FRN BBVA US Senior United States 9,978,060 4.74 93,150,897 44.30 Total Bonds Total Transferable securities admitted to an official exchange listing 93,150,897 44.30 10,000,000 9,978,060 4.74 USD 17/01/11 FRN JPMorgan Chase Other financial instruments Money market instruments United States 30,000,000 29,982,558 14.25 USD 10/06/10 ZC US Treasury Bill 29,000,000 28,985,903 13.78 USD 20/05/10 ZC US Treasury Bill 29,000,000 28,979,277 13.78 USD 27/05/10 ZC US Treasury Bill 116,918,416 55.59 116,918,416 55.59 Total Money market instruments Total Other financial instruments 116,918,416 55.59 29,000,000 28,970,678 13.78 USD 01/07/10 ZC US Treasury Bill Total investments (Cost : USD 209,619,178) 210,069,313 99.89 Cash at bank 724,767 0.34 Other net liabilities (499,311) (0.23) Total net assets 210,294,769 100.00 * Any differences in the market value and the percentage of net asset figures are the result of roundings. Currency Nominal Denomination Maturity Date Rate USD % of net assets * Market value * The accompanying notes are an integral part of these financial statements.

10

Portfolio Breakdowns

AURUM FCP - USD Liquidity Fund

Nature allocation % of portfolio % of net assets Money market instruments 55.66 55.59 Bonds 44.34 44.30 100.00 99.89 Country allocation % of portfolio % of net assets United States 60.41 60.33 France 10.02 10.01 Norway 5.70 5.70 New Zealand 5.23 5.23 Australia 4.76 4.75 Canada 4.76 4.75 Netherlands 4.37 4.37 Spain 2.38 2.38 Ireland 2.37 2.37 100.00 99.89 Top Ten Holdings US Treasury Bill 29,982,558 14.25 Government 10/06/10 ZC US Treasury Bill 28,985,903 13.78 Government 20/05/10 ZC US Treasury Bill 28,979,277 13.78 Government 27/05/10 ZC US Treasury Bill 28,970,678 13.78 Government 01/07/10 ZC DNB Norbank ASA 11,978,076 5.70 Banks 29/11/10 FRN ANZ National Bank International Ltd 10,991,585 5.23 Banks 14/04/10 FRN Dexia Credit Local 10,961,280 5.22 Banks 14/05/10 FRN Dexia Credit Local 10,083,320 4.79 Banks 23/09/11 FRN St George Bank 9,996,970 4.75 Banks 16/02/10 FRN National Bank of Canada 9,994,320 4.75 Banks 20/04/10 FRN Market value % of net assets Rate Maturity Date

USD

11

Statement of Investments and Other Net Assets as at December 31, 2009

AURUM FCP - Cross Markets Fund

Transferable securities admitted to an official exchange listing Bonds Supranational - Multinational 19,874,080 3.31 20,000,000 19,874,080 3.31 SEK 17/02/15 2.95 European Investment Bank Sweden 37,000,000 36,423,540 6.06 SEK 22/03/12 FRN AP Fastigheter 35,000,000 35,216,650 5.86 SEK 25/11/13 FRN Holmen AB 50,000,000 50,023,500 8.33 SEK 21/12/12 FRN Landshypotek 28,000,000 29,370,037 4.89 SEK 18/09/13 4.50 Lansforsakringar 27,000,000 28,197,989 4.70 SEK 19/06/13 4.25 Nordea Hypotek 28,000,000 26,993,400 4.49 SEK 20/05/15 3.90 Sandvik 37,000,000 38,602,470 6.43 SEK 18/06/14 4.50 Skandinav Enskil 37,000,000 40,555,700 6.75 SEK 19/12/12 6.00 Stadshypotek AB 25,000,000 27,521,750 4.58 SEK 08/10/12 5.50 Sweden Government Bond 72,000,000 78,880,321 13.14 SEK 01/04/12 1.07 Sweden I/L 28,000,000 27,201,916 4.53 SEK 21/03/14 FRN Teliasonera AB 447,288,833 74.47 28,000,000 28,301,560 4.71 SEK 17/03/11 FRN Volvo Treasury AB United States 27,142,641 4.52 494,305,554 82.30 Total Bonds 28,000,000 27,142,641 4.52 SEK 21/11/11 FRN HSBC Finance Corp Warrants Luxembourg 140 6,521,200 1.09 SEK 15/11/10 BNP Paribas Arbitrage Warrants 11,713,500 1.95 3,425 5,192,300 0.86 SEK 11/05/11 Merrill Lynch Warrants Netherlands 54 9,803,862 1.64 SEK 16/05/11 JP Morgan Structured Warrants 17,757,759 2.96 253 7,953,897 1.32 SEK 26/10/11 JP Morgan Structured Warrants Switzerland 199 2,007,910 0.34 SEK 16/09/10 UBS AG London Warrants 2,978,560 0.50 135 970,650 0.16 SEK 16/09/10 UBS AG London Warrants United Kingdom 65 3,360,500 0.56 SEK 11/01/11 JP Morgan Structured Warrants 79 3,280,830 0.55 NOK 11/01/11 JP Morgan Structured Warrants 21,081,331 3.50 1,900 14,440,001 2.39 SEK 23/12/13 UBS AG Warrants United States 235 5,036,050 0.84 SEK 26/05/11 Morgan Stanley Warrants Currency Denomination Maturity Date Rate SEK % of net assets * Market value * Quantity or Nominal

12

Statement of Investments and Other Net Assets as at December 31, 2009

AURUM FCP - Cross Markets Fund

14,993,250 2.50 68,524,400 11.41 Total Warrants Total Transferable securities admitted to an official exchange listing 562,829,954 93.71 440 9,957,200 1.66 SEK 13/05/11 Morgan Stanley Warrants Ishare Total investments (Cost : SEK 564,469,331) 562,829,954 93.71 Cash at bank 56,894,278 9.47 Other net liabilities (19,138,654) (3.18) Total net assets 600,585,578 100.00 * Any differences in the market value and the percentage of net asset figures are the result of roundings. Currency Denomination Maturity Date Rate SEK % of net assets * Market value * Quantity or Nominal The accompanying notes are an integral part of these financial statements.

13

Portfolio Breakdowns

AURUM FCP - Cross Markets Fund

Nature allocation % of portfolio % of net assets Bonds 87.83 82.30 Warrants 12.17 11.41 100.00 93.71 Country allocation % of portfolio % of net assets Sweden 79.46 74.47 United States 7.49 7.02 United Kingdom 3.75 3.50 Supranational - Multinational 3.53 3.31 Netherlands 3.16 2.96 Luxembourg 2.08 1.95 Switzerland 0.53 0.50 100.00 93.71 Top Ten Holdings Sweden I/L 78,880,321 13.14 Government 01/04/12 1.07 Landshypotek 50,023,500 8.33 Banks 21/12/12 FRN Stadshypotek AB 40,555,700 6.75 Banks 19/12/12 6.00 Skandinav Enskil 38,602,470 6.43 Banks 18/06/14 4.50 AP Fastigheter 36,423,540 6.06 Real estate 22/03/12 FRN Holmen AB 35,216,650 5.86 Forest products & Paper 25/11/13 FRN Lansforsakringar 29,370,037 4.89 Banks 18/09/13 4.50 Volvo Treasury AB 28,301,560 4.71 Auto Parts & Equipment 17/03/11 FRN Nordea Hypotek 28,197,989 4.70 Banks 19/06/13 4.25 Sweden Government Bond 27,521,750 4.58 Government 08/10/12 5.50 Market value % of net assets Rate Maturity Date

SEK

Notes to the Financial Statements as at December 31, 2009

AURUM FCP 14

Note 1. General information

The Fund is a Luxembourg fonds commun de placement (an unincorporated joint ownership of assets) governed by Part I of the Luxembourg law of 20 December 2002 and the Management Regulations. The Fund is managed in the exclusive interest of the Unitholders by the Management Company. The assets of the Fund, which are held in custody by the Custodian and Paying Agent, are segregated from those of the Management Company. The net assets of the Fund must reach an amount of EUR 1,250,000 within a period of 6 months following its authorisation by the CSSF and thereafter may not be less than this amount. The Fund has an umbrella structure consisting of one or several Sub-Funds. A separate portfolio of assets is maintained for each Sub- Fund and is invested in accordance with the Investment Objective and Investment Policy applicable to that Sub-fund. Luxembourg Financial Group Asset Management S.A. (the “Management Company”) is the management company of the Fund. The Management Company is a company incorporated in Luxembourg as a société anonyme on 21 March 2007. Its registered office is at 19, Rue de Bitbourg, L-1273 Luxembourg, Grand Duchy of Luxembourg. The Management Regulations have been deposited at the Registre de Commerce et des Sociétés, Luxembourg. The notice of the deposition has been published in the Mémorial on April 23, 2009. The Management Regulations may be amended by the Management Company at any time in accordance with Luxembourg Law and the Management Regulations. Notice of any such amendment will be published in the Mémorial. The rights of the Unitholders and creditors relating to a Sub-Fund or arising from the setting-up, operation and liquidation of a Sub-Fund are limited to the assets of that Sub-Fund. The assets of a Sub-Fund are exclusively dedicated to the satisfaction of the rights of the Unitholders relating to that Sub-Fund and the rights of those creditors whose claims have arisen in connection with the setting-up,

• peration and liquidation of that Sub-Fund.

Each Sub-fund is treated as a separate entity and operates independently, each portfolio of assets being invested for the exclusive benefit

• f this Sub-Fund. A purchase of Units relating to one particular Sub-Fund does not give the holder of such Units any rights with respect to

any other Sub-Fund. The Management Company may, at any time, create additional Classes whose features may differ from the existing Classes and additional Sub-Funds whose Investment Objectives may differ from those of the Sub-Funds then existing. As at December 31 2009, the Fund is represented by the following Sub-Funds: AURUM FCP – USD Liquidity Fund (launched on March 24, 2009). AURUM FCP – Cross Markets Fund (launched on October 5, 2009).

Note 2. Significant accounting policies

The financial statements have been prepared in accordance with Luxembourg generally accepted accounting principles applicable to investment funds. The following is a summary of significant accounting policies followed by the Sub-Funds. 2.1 Foreign exchange translation The Net Asset Value of each Sub-Fund and Class are calculated in the Reference Currency of the Sub-Fund or Class. The combined financial statements are expressed in EUR. All assets denominated in a currency other than the Reference Currency of the respective Sub-Fund/Class will be converted at the mid- market conversion rate between the Reference Currency and the currency of denomination on each valuation date. Foreign exchange rates used as of December 31, 2009 are the following: 1 EUR = 1.43475USD 1 EUR = 10.2443SEK Transactions in foreign currencies are translated at prevailing exchange rates at the transaction date. Gains or losses on foreign exchange are recognized in the statement of operations and changes in net assets in determining the net realized profit or loss for the period.

Notes to the Financial Statements (continued) as at December 31, 2009

AURUM FCP

15

Note 2. Significant accounting policies (continued)

2.2 Valuation of investments The value of the assets held by each Sub-Fund is calculated as follows: a) Transferable Securities or Money Market Instruments quoted or traded on an official stock exchange or any other Regulated Market, are valued on the basis of the 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 the security or Money Market Instrument in question, unless these prices are not representative. b) For Transferable Securities or Money Market Instruments not quoted or traded on an official stock exchange or any other Regulated Market, and for quoted Transferable Securities or Money Market Instruments, but for which the last known price is not representative, valuation is based on the probable sales price estimated prudently and in good faith by the Management Company. c) Units and shares issued by UCITS or other UCIs are valued at their last available net asset value. d) Liquid assets and Money Market Instruments with a maturity of less than 12 months may be valued at nominal value plus any accrued interest or using an amortised cost method. e) The liquidating value of warrants that are not traded on exchanges or on other Regulated Markets will be determined pursuant to the policies established in good faith by the Management Company, on a basis consistently applied. 2.3 Revenue recognition Interest is recognised on an accrual basis. Dividends, net of withholdings taxes, are recognized as income on the ex-dividend date. Interest income is accrued on a daily basis. 2.4 Distribution policy The Management Company may issue Accumulation Classes and Distribution Classes within the Classes of each Sub-Fund. Accumulation Classes capitalise their entire earnings whereas Distribution Classes pay dividends. For Distribution Classes, dividends, if any, will be declared and distributed on an annual basis. Moreover, interim dividends may be declared and distributed from time to time at a frequency determined by the Management Company. 2.5 Net Asset Value per Unit The Net Asset Value per Unit for a Transaction Day is calculated in the Reference Currency of the relevant Sub-Fund and is calculated by the Administrative Agent as at the NAV Calculation Day of the relevant Sub-Fund by dividing the Net Asset Value of the relevant Sub-Fund by the number of Units which are in issue on such Transaction Day in the relevant Sub-Fund The net assets of each Sub-Fund are equal to the difference between the sum of the assets of the Sub-Fund and its liabilities. 2.6 Formation expenses The Initial Sub-Fund will bear the formation and launching expenses incurred on behalf of, or in connection with, the formation of the Fund and the launching of the Initial Sub-Fund. These expenses will be written off over a period not exceeding five years.

Notes to the Financial Statements (continued) as at December 31, 2009

AURUM FCP 16

Note 3. Custodian fees

BNP Paribas Securities Services, Luxembourg Branch has been appointed as custodian of the assets, including the securities and cash, of the Fund pursuant to an agreement, dated 20 March 2009, with effect as of 13 March 2009. The Custodian and Paying Agent is entitled to receive, out of the assets of each Class within each Sub-Fund, a fee corresponding to a maximum of 0.30% per annum of the Net Asset Value.

Note 4. Administration fees

BNP Paribas Securities Services, Luxembourg Branch is the central administration and registrar and transfer agent of the Fund. As such, the Administrative Agent is entitled to receive, out of the assets of each Class within each Sub-fund, a fee corresponding to a maximum of 0.20% per annum of the Net Asset Value.

Note 5. Management fees

Luxembourg Financial Group Asset Management S.A. has been appointed as Management Company of the Fund. In consideration for all services provided by the Management Company, the Management Company is entitled to an annual Management Company Fee, payable monthly out of the assets of each Sub-Fund: AURUM FCP - USD Liquidity Fund Class A - 0.20% per annum of the average Net Asset Value. AURUM FCP – Cross Markets Fund Class A – 2.00% per annum of the average Net Asset Value. AURUM FCP – Cross Markets Fund Class B – 1.00% per annum of the average Net Asset Value. Following a Board of Directors decision dated October 14, 2009, the Management Company has decided to waive all the management fees charged and to be charged on the Sub-Fund AURUM FCP – USD Liquidity Fund.

Note 6. Taxation

The Fund's assets are subject to a subscription tax (taxe d'abonnement) in Luxembourg at a rate of 0.05% per annum on net assets (except for Sub-Funds or Classes which are reserved to Institutional Investors or UCIs which are subject to a tax at a reduced rate of 0.01% per annum on net assets), payable quarterly and calculated on the total NAV of the Fund on the last day of every calendar quarter. In case some Sub-Funds are invested in other Luxembourg UCIs, which in turn are subject to the subscription tax provided for by the 2002 Act, no subscription tax is due from the Fund on the portion of assets invested therein. As at December 31, 2009, the following subscription taxes apply to the Classes of the Sub-Funds AURUM FCP - USD Liquidity Fund Class A – 0.01% AURUM FCP – Cross Markets Fund Class A – 0.05% AURUM FCP – Cross Markets Fund Class B – 0.01% Under the current legislation, the unitholders are not subject to any taxes on capital gains, income, inheritance or other taxes in Luxembourg unless they are or were residents of Luxembourg or maintain a permanent establishment there with title to the units. Potential unitholders should seek information on the laws and regulations in force and, where appropriate, seek advice on subscription, purchase, possession and sale of units at their place of residence. Capital gains, dividends and interest on securities issued in other countries may be subject to irrecoverable withholding or capital gain taxes imposed by such countries.