AURUM FCP Fonds Commun de Placement Semi-Annual Report as at June - - PDF document

AURUM FCP

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

Semi-Annual Report as at June 30, 2010 (Unaudited)

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 Statement of Net Assets 5 Statement of Operations and Changes in Net Assets 6 Statistics 7 AURUM FCP - USD Liquidity Fund Statement of Investments and Other Net Assets 8 Portfolio Breakdowns 9 AURUM FCP - Cross Markets Fund Statement of Investments and Other Net Assets 10 Portfolio Breakdowns 12 Notes to the Financial Statements 13

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; 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 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 are established as per the last day of the month of June of each year. 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. The combined financial statements are in EUR. The portfolio movements can be obtained free of charge from the registered office of the Management Company.

The accompanying notes are an integral part of these financial statements. 5

Statement of Net Assets as at June 30, 2010

AURUM FCP

Assets 189,597,272 Investment in securities at cost 351,691 Unrealised appreciation / (depreciation) on securities 189,948,963 Investment in securities at market value 2.2 6,598,761 Cash at bank

• Receivable on Units sold

25,861 Dividends and interest receivable 2.3 92,306 Formation expenses 2.6 196,665,891 Total assets Liabilities 7 Bank overdraft 60,561 Accrued expenses

• Payable for investment purchased

60,568 Total liabilities 196,605,323 Net assets at the end of the period USD Notes AURUM FCP - USD Liquidity Fund 566,093,754 (50,128,420) 515,965,334 64,858,157 961,819 3,932,755

• 585,718,065
• 1,078,913

18,813,202 19,892,115 565,825,950 SEK AURUM FCP - Cross Markets Fund 214,212,710 (4,975,213) 209,237,497 12,195,797 100,969 433,961 75,358 222,043,582 6 162,703 1,974,953 2,137,662 219,905,920 EUR Combined Statements For the period ended June 30, 2010

Statement of changes in the number of units

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 1,007.58 208,901 40,224 (53,999) 195,126 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

• 91.23

5,002,543 1,571,712 (1,364,724) 5,209,531 91.92 1,021,127 144,364 (180,115) 985,376

The accompanying notes are an integral part of these financial statements. 6

Statement of Operations and Changes in Net Assets for the period ended June 30, 2010

AURUM FCP

Income 176,217 Interest on bonds 2.3 176,217 Total income Expenses

• Management fees

5 17,237 Custodian fees 3 33,153 Administration fees 4 10,835 Professional fees 10,665 Taxe d'abonnement 6 10,675 Amortisation of formation expenses 2.6 2,437 Printing & Publication fees 14,144 Other expenses 99,146 Total expenses 77,071 Net investment income / (loss) Net realised gain / (loss) on: 225,751 Investments

• Foreign currencies transactions

302,822 Net realised gain / (loss) for the period Net change in unrealised appreciation / (depreciation) on: (98,444) Investments 204,379 Increase / (Decrease) in net assets as a result of operations 40,500,000 Proceeds received on subscription of shares (54,393,825) Net amount paid on redemption of shares 210,294,769 Net assets at the beginning of the period

• Translation difference

196,605,323 Net assets at the end of the period USD Notes AURUM FCP - USD Liquidity Fund 6,283,416 6,283,416 5,568,300 94,869 158,285 89,375 129,689

• 13,625

144,300 6,198,443 84,973 (3,588,988) 21,835 (3,482,180) (48,489,043) (51,971,223) 167,548,546 (150,336,951) 600,585,578

• 565,825,950

SEK AURUM FCP - Cross Markets Fund 803,477 803,477 584,543 24,031 43,682 18,228 22,321 8,715 3,420 26,696 731,636 71,841 (192,460) 2,292 (118,327) (5,170,602) (5,288,929) 50,652,660 (60,188,661) 205,199,272 29,531,578 219,905,920 Combined Statements EUR

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

Statistics

AURUM FCP

31/12/08 31/12/09 30/06/10

• 210,294,769

196,605,323

• 1,006.67

1,007.58

• USD

USD Net Asset Value Net asset value Class A Units Net asset value Class B Units AURUM FCP - USD Liquidity Fund 31/12/08 31/12/09 30/06/10

• 600,585,578

565,825,950

• 99.66

91.23

• 99.90

91.92 SEK SEK SEK AURUM FCP - Cross Markets Fund

8

Statement of Investments and Other Net Assets as at June 30, 2010

AURUM FCP - USD Liquidity Fund

Transferable securities admitted to an official exchange listing Bonds France 10,031,440 5.10 10,000,000 10,031,440 5.10 USD 23/09/11 FRN Dexia Credit Local Netherlands 9,145,504 4.65 9,224,000 9,145,504 4.65 USD 07/02/11 FRN ABN Amro Bank NV Norway 11,986,236 6.10 12,000,000 11,986,236 6.10 USD 29/11/10 FRN DNB Norbank ASA United States 9,993,480 5.08 41,156,660 20.93 Total Bonds Total Transferable securities admitted to an official exchange listing 41,156,660 20.93 10,000,000 9,993,480 5.08 USD 17/01/11 FRN JPMorgan Chase Other transferable securities Money market instruments United States 40,000,000 39,895,283 20.30 USD 05/05/11 ZC US Treasury Bill 35,000,000 34,904,985 17.75 USD 02/06/11 ZC US Treasury Bill 29,000,000 28,999,839 14.75 USD 01/07/10 ZC US Treasury Bill 25,000,000 24,994,774 12.71 USD 12/08/10 ZC US Treasury Bill 148,792,303 75.68 148,792,303 75.68 Total Money market instruments Total Other financial instruments 148,792,303 75.68 20,000,000 19,997,422 10.17 USD 29/07/10 ZC US Treasury Bill Total investments (Cost : USD 189,597,272) 189,948,963 96.61 Cash at bank 6,598,754 3.36 Other net assets 57,606 0.03 Total net assets 196,605,323 100.00 * 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.

9

Portfolio Breakdowns

AURUM FCP - USD Liquidity Fund

Nature allocation % of portfolio % of net assets Money market instruments 78.33 75.68 Bonds 21.67 20.93 100.00 96.61 Country allocation % of portfolio % of net assets United States 83.60 80.76 Norway 6.31 6.10 France 5.28 5.10 Netherlands 4.81 4.65 100.00 96.61 Top Ten Holdings US Treasury Bill 39,895,283 20.30 Government 05/05/11 ZC US Treasury Bill 34,904,985 17.75 Government 02/06/11 ZC US Treasury Bill 28,999,839 14.75 Government 01/07/10 ZC US Treasury Bill 24,994,774 12.71 Government 12/08/10 ZC US Treasury Bill 19,997,422 10.17 Government 29/07/10 ZC DNB Norbank ASA 11,986,236 6.10 Banks 29/11/10 FRN Dexia Credit Local 10,031,440 5.10 Banks 23/09/11 FRN JPMorgan Chase 9,993,480 5.08 Banks 17/01/11 FRN ABN Amro Bank NV 9,145,504 4.65 Banks 07/02/11 FRN Market value % of net assets Rate Maturity Date

USD

10

Statement of Investments and Other Net Assets as at June 30, 2010

AURUM FCP - Cross Markets Fund

Transferable securities admitted to an official exchange listing Bonds Supranational - Multinational 20,330,400 3.59 20,000,000 20,330,400 3.59 SEK 17/02/15 2.950 European Investment Bank Sweden 37,000,000 36,724,350 6.49 SEK 22/03/12 FRN AP Fastigheter 35,000,000 35,041,300 6.19 SEK 25/11/13 FRN Holmen AB 28,000,000 29,611,260 5.23 SEK 18/09/13 4.500 Lansforsakringar 27,000,000 28,394,874 5.02 SEK 19/06/13 4.250 Nordea Hypotek 28,000,000 28,271,880 5.00 SEK 20/05/15 3.900 Sandvik 37,000,000 39,171,271 6.92 SEK 18/06/14 4.500 Skandinav Enskil 37,000,000 40,288,079 7.12 SEK 19/12/12 6.000 Stadshypotek AB 28,000,000 28,137,200 4.97 SEK 02/03/12 FRN Swedbank AB 25,000,000 27,247,250 4.82 SEK 08/10/12 5.500 Sweden Government Bond 72,000,000 78,946,560 13.96 SEK 01/04/12 1.079 Sweden I/L 399,325,544 70.58 28,000,000 27,491,520 4.86 SEK 21/03/14 FRN Teliasonera AB United States 27,500,199 4.86 447,156,143 79.03 Total Bonds 28,000,000 27,500,199 4.86 SEK 21/11/11 FRN HSBC Finance Corp Warrants Luxembourg 140 3,014,200 0.53 SEK 15/11/10 BNP Paribas Arbitrage Warrants 16,371,200 2.89 1,900 13,357,000 2.36 SEK 23/12/13 UBS AG Warrants Straus Index Netherlands 253 7,066,209 1.24 SEK 26/10/11 JP Morgan Structured Warrants 54 4,231,982 0.75 SEK 16/05/11 JP Morgan Structured Warrants 100 889,591 0.16 SEK 21/09/10 JP Morgan Structured Warrants 12,672,678 2.24 54 484,896 0.09 SEK 18/08/10 JP Morgan Structured Warrants Netherlands Antilles 1,476,175 0.26 3,425 1,476,175 0.26 SEK 25/05/11 Merrill Lynch International Warrants Sweden 52 3,032,785 0.54 SEK 28/03/10 JPMorgan Warrants on Msci Taiwan 765 2,340,900 0.41 SEK 18/11/10 Morgan Stanley Dax 5M 641 2,640,920 0.47 SEK 18/02/11 Morgan Stanley Dax 8M 670 4,137,080 0.73 SEK 23/12/10 Morgan Stanley Sek 9M 4,350,000 4,480,500 0.80 SEK 25/11/10 Swedbank Warrants 58 1,487,700 0.26 SEK 30/09/10 Swedbank Warrants 18,848,085 3.34 22 728,200 0.13 SEK 19/08/10 Swedbank Warrants United Kingdom 140 5,698,000 1.01 SEK 25/05/11 Barclays Bank Plc Warrants 74 1,147,000 0.20 SEK 16/02/11 JP Morgan Structured Warrants 69 731,400 0.13 SEK 17/01/11 JP Morgan Structured Warrants 50 515,000 0.09 SEK 22/11/10 JP Morgan Structured Warrants 16,593,023 2.93 1,322 8,501,623 1.50 SEK 04/03/15 UBS AG Warrants Carry Index United States 440 2,266,000 0.40 SEK 13/05/11 Morgan Stanley Warrants Ishare Currency Denomination Maturity Date Rate SEK % of net assets * Market value * Quantity or Nominal

11

Statement of Investments and Other Net Assets as at June 30, 2010

AURUM FCP - Cross Markets Fund

2,848,030 0.50 68,809,191 12.16 Total Warrants Total Transferable securities admitted to an official exchange listing 515,965,334 91.19 223 582,030 0.10 SEK 18/08/10 Morgan Stanley Warrants Ishares Brazil Total investments (Cost : SEK 566,093,754) 515,965,334 91.19 Cash at bank 64,858,157 11.46 Other net liabilities (14,997,541) (2.65) Total net assets 565,825,950 100.00 * 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.

12

Portfolio Breakdowns

AURUM FCP - Cross Markets Fund

Nature allocation % of portfolio % of net assets Bonds 86.66 79.03 Warrants 13.34 12.16 100.00 91.19 Country allocation % of portfolio % of net assets Sweden 81.04 73.92 United States 5.88 5.36 Supranational - Multinational 3.94 3.59 United Kingdom 3.22 2.93 Luxembourg 3.17 2.89 Netherlands 2.46 2.24 Netherlands Antilles 0.29 0.26 100.00 91.19 Top Ten Holdings Sweden I/L 78,946,560 13.96 Government 01/04/12 1.079 Stadshypotek AB 40,288,079 7.12 Banks 19/12/12 6.000 Skandinav Enskil 39,171,271 6.92 Banks 18/06/14 4.500 AP Fastigheter 36,724,350 6.49 Real estate 22/03/12 FRN Holmen AB 35,041,300 6.19 Forest products & Paper 25/11/13 FRN Lansforsakringar 29,611,260 5.23 Banks 18/09/13 4.500 Nordea Hypotek 28,394,874 5.02 Banks 19/06/13 4.250 Sandvik 28,271,880 5.00 Auto Parts & Equipment 20/05/15 3.900 Swedbank AB 28,137,200 4.97 Banks 02/03/12 FRN HSBC Finance Corp 27,500,199 4.86 Financial services 21/11/11 FRN Market value % of net assets Rate Maturity Date

SEK

Notes to the Financial Statements as at June 30, 2010

AURUM FCP

13

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 December 20, 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 March 21, 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 June 30, 2010, the Fund is represented by the following Sub-Funds: AURUM FCP – USD Liquidity Fund AURUM FCP – Cross Markets Fund

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 June 30, 2010 are the following: 1 EUR = 1.22490 USD 1 EUR = 9.53220 SEK 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 June 30, 2010

AURUM FCP 14

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 and warrants 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

• r 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 June 30, 2010

AURUM FCP

15

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 March 20, 2009, with effect as of March 13, 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, since the launch of the Sub-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 Luxembourg law of December 20, 2002, no subscription tax is due from the Fund on the portion of assets invested therein. As at June 30, 2010, 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.