Post on 11-Feb-2019
CFM UCITS ICAV (an open-ended umbrella fund with segregated liability between Sub-Funds)
(Registered Number C161756)
Semi-Annual Report and Unaudited Condensed
Financial Statements
For the six month period ended 30 June 2018
CFM UCITS ICAV
Contents Page
Management and Administration 1 - 2
Manager’s Report 3
Statement of Financial Position 4
Statement of Comprehensive Income 5
Statement of Changes in Net Assets Attributable to
Holders of Redeemable Participating Shares 6
Statement of Cash Flows 7
Notes to the Financial Statements 8 - 28
Condensed Schedule of Investments 29 - 58
Portfolio Changes 59
Other Additional Disclosures 60 - 62
CFM UCITS ICAV
Management and Administration
1
Registered office 32 Molesworth Street
Dublin 2
Ireland
Directors ~ Adrian Waters*
Des Fullam
Jacques Saulière
Manager (up to 20 June 2018)
Carne Global Fund Managers (Ireland) Limited
Second Floor, Block E
Iveagh Court
Harcourt Road
Dublin 2
Ireland
(from 20 June 2018)
Capital Fund Management S.A.
23 rue de l’Université
75007 Paris
France
Investment Manager (up to 20 June 2018)
Capital Fund Management S.A.
23 rue de l’Université
75007 Paris
France
Compliance Support Agent (from 20 June 2018)
Carne Global Fund Managers (Ireland) Limited
Second Floor, Block E
Iveagh Court
Harcourt Road
Dublin 2
Ireland
Depositary HSBC Institutional Trust Services (Ireland) DAC
1 Grand Canal Square
Grand Canal Harbour
Dublin 2
Ireland
Administrator HSBC Securities Services (Ireland) DAC
1 Grand Canal Square
Grand Canal Harbour
Dublin 2
Ireland
~ Non-executive directors
* Independent director
CFM UCITS ICAV
Management and Administration (continued)
2
Legal Advisor Maples and Calder
(Irish law) 75 St Stephen’s Green
Dublin 2
Ireland
Company Secretary MFD Secretaries Limited
2nd Floor, Beaux Lane House
Mercer Street Lower
Dublin 2
Ireland
Independent Auditor KPMG
Chartered Accountants, Statutory Audit Firm
1 Harbourmaster Place
IFSC
Dublin 1
Ireland
Bankers HSBC Bank USA, N.A.
452 Fifth Avenue, 8E6
New York, New York 10018
United States of America
BNP Paribas, London Branch
10 Harewood Ave
London, NW1 6AA
United Kingdom
CFM UCITS ICAV
Manager’s Report for the six month period ended 30 June 2018
3
At period-end, the NAV’s and the performance of the respective share classes of the Fund were:
Net asset value per
Share
Rate of
Return
Euro Class C Shares 902.87 (9.71%)
Euro Class I Shares 962.96 (9.73%)
Euro Class M Shares 989.61 (9.13%)
Euro Class N Shares 899.02 (10.10%)
Investment objective
The investment objective of the Fund is to achieve long-term capital appreciation through returns that seek
to be uncorrelated with returns of traditional asset classes, such as stocks and bonds.
Investment strategy
The Fund aims to achieve its investment objective by investing according to the CFM IS Behavioral
Program (the “Program”) designed by the Investment Manager. The Fund is a quantitative trading fund,
meaning that the Program executes trades for the Fund based on models and mathematical formulas, which
are systematic in nature, investing in assets drawn from the Fund's investment universe.
Development of AUM
The total nominal equity managed by Capital Fund Management SA and its affiliates decreased from
US$10,900m as of 1 January 2018 to US$10,400m as of 30 June 2018. CFM UCITS ICAV is a UCITS
Fund incorporated on 6 October 2016 and has at the time of this report one sub fund, namely CFM IS
Behavioral Fund, with a nominal equity of Euro 36m as of 30 June 2018.
Return Attribution
The CFM ISB Fund Program’s performance was negative for the period from 1 January 2018 to 30 June
2018. All strategies contributed negatively for the period to the performance during the accounting period.
Risk allocation
The risk allocation of the CFM ISB Fund Program (as measured by allocation of leveraged equity) to the
underlying strategies was set at 50% for Trend Following, 49% Equity Market Neutral and 1% for Universal
Value as at 30 June 2018.
Risk Management
During the accounting period, the daily VaR (95%) limit of the CFM ISB Fund Program of 0.90% was
reached 11 days out of 121 trading days during year 2018. The CFM ISB Fund Program experienced its
worst performing day in 2018 with a net daily loss of 3.00% on 5 February 2018. The best performing days
occurred on 19 January 2018 with a net daily gain of +1.67%.
CFM UCITS ICAV
Statement of Financial Position as at 30 June 2018
(Expressed in Euro)
The accompanying notes are an integral part of these financial statements.
4
CFM IS
Behavioral
Fund*
CFM IS
Behavioral
Fund*~
30 June 2018 31 December 2017
Note Euro Euro
Assets
Financial assets at fair value through profit or loss
- Transferable securities 3,4 9,368,740 10,078,490
- Financial derivative instruments 3,4 19,608,485 17,769,134
Cash and cash equivalents 11,459,185 8,667,318
Due from broker 22,546,038 17,732,641
Interest receivable 115,752 55,644
Dividends receivable 104,688 43,267
Fund expenses receivable 5 181,912 469,334
Total assets 63,384,800 54,815,828
Liabilities
Financial liabilities at fair value through profit or loss
- Financial derivative instruments 3,4 20,371,205 17,083,900
Due to broker 7,036,690 4,111,100
Dividends payable 90,245 54,862
Interest and stock loan fees payable 60,268 48,583
Investment management fees payable 5 26,539 11,160
Performance fees payable 5 - 5,347
Commission payable 2,341 1,051
Fund expenses payable 5 43,379 47,073
Liabilities (excluding net assets attributable to holders of
redeemable participating shares) 27,630,667 21,363,076
Net assets attributable to holders of redeemable
participating shares 35,754,133 33,452,752
*The Fund was the only Fund of the ICAV as at 30 June 2018 and 31 December 2017, the above details
and those in the accompanying notes also represent the total for the ICAV as at 30 June 2018 and 31
December 2017.
~The Fund was incorporated on 6 October 2016 and commenced operations on 21 December 2016.
CFM UCITS ICAV
Statement of Comprehensive Income for the six month period ended 30 June 2018
(Expressed in Euro)
The accompanying notes are an integral part of these financial statements.
5
CFM IS
Behavioral
Fund*
CFM IS
Behavioral
Fund*~
30 June 2018** 30 June 2017***
Note Euro Euro
Investment income
Interest income 203,787 197,433
Net loss on financial assets and liabilities at fair value
through profit or loss 3 (3,959,334)
(515,601)
Net gain/(loss) on foreign exchange 214,920 (12,684)
Total investment expense (3,540,627) (330,852)
Operating expenses
Operating fees 5 (43,961) (20,344)
Commission fees (28,614) (15,102)
Investment management fees 5 (80,398) (6,774)
Depositary fees (466) -
Performance fees 5 (140) -
Other expenses - (50)
Total operating expense (153,579) (42,270)
Net investment expense (3,694,206) (373,122)
Finance costs
Interest expense (440,654) (297,061)
Stock loan fee (55,544) -
Total finance costs (496,198) (297,061)
Decrease in net assets attributable to holders of
redeemable participating shares from operations (4,190,404)
(670,183)
*The Fund was the only Fund of the ICAV as at 30 June 2018 and 31 December 2017, the above details
and those in the accompanying notes also represent the total for the ICAV as at 30 June 2018 and 31
December 2017.
** For the period from 1 January 2018 to 30 June 2018.
*** For the period from 6 October 2016 (date of incorporation) to 30 June 2017.
~The Fund was incorporated on 6 October 2016 and commenced operations on 21 December 2016.
CFM UCITS ICAV
Statement of Changes in Net Assets Attributable to Holders of Redeemable
Participating Shares for the six month period ended 30 June 2018
(Expressed in Euro)
The accompanying notes are an integral part of these financial statements.
6
CFM IS
Behavioral
Fund*
CFM IS
Behavioral
Fund*~
30 June 2018** 30 June 2017***
Euro Euro
Net assets attributable to holders of redeemable
participating shares at the beginning of the period 33,452,752 -
Decrease in net assets attributable to holders of redeemable
participating shares from operations (4,190,404) (670,183)
Proceeds from redeemable participating shares issued 15,274,462 36,200,000
Payment on redemption of redeemable participating shares (8,782,677) (16,000,000)
Net assets attributable to holders of redeemable
participating shares at the end of the period 35,754,133 19,529,817
*The Fund was the only Fund of the ICAV as at 30 June 2018 and 31 December 2017, the above details
and those in the accompanying notes also represent the total for the ICAV as at 30 June 2018 and 31
December 2017.
** For the period from 1 January 2018 to 30 June 2018.
*** For the period from 6 October 2016 (date of incorporation) to 30 June 2017.
~The Fund was incorporated on 6 October 2016 and commenced operations on 21 December 2016.
CFM UCITS ICAV
Statement of Cash Flows for the six month period ended 30 June 2018
(Expressed in Euro)
The accompanying notes are an integral part of these financial statements.
7
CFM IS
Behavioral
Fund*
CFM IS
Behavioral
Fund*~
30 June 2018** 30 June 2017***
Euro Euro
Cash flows from operating activities
Decrease in net assets attributable to holders of
redeemable participating shares from operations (4,190,404) (670,183)
Increase in financial assets at fair value through profit or loss (1,129,601) (14,977,571)
Increase in financial liabilities at fair value through profit or loss 3,287,305 10,503,504
Net realised and unrealised foreign exchange (gain)/loss (214,920) 12,684
Increase in due from broker (4,813,397) (10,802,676)
Increase in due to broker 2,925,590 2,739,557
Increase in dividends receivable (61,421) (52,343)
Increase in interest receivable (60,108) (2,243)
Decrease/(increase) in fund expenses receivables 287,422 (242,375)
Increase in dividends payable 35,383 40,476
Increase in interest and stock loan fees payable 11,685 13,274
Increase in investment management fees payable 15,379 6,774
Increase commission payable 1,290 4,563
(Decrease)/increase in fund expenses payable (3,694) 20,342
Decrease in performance fee payable (5,347) -
Net cash used in operating activities (3,914,838) (13,406,217)
Cash flows from financing activities
Proceeds from redeemable participating shares issued 15,274,462 36,200,000
Payment on redemption of redeemable participating shares (8,782,677) (16,000,000)
Net cash provided by financing activities 6,491,785 20,200,000
Net increase in cash and cash equivalent 2,576,947 6,793,783
Cash and cash equivalents at beginning of the financial period 8,667,318 -
Effect of foreign exchange rate changes 214,920 (12,684)
Cash and cash equivalents at end of the financial period 11,459,185 6,781,099
Supplemental disclosures of cash flow information:
Interest received 143,679 195,190
Interest paid (434,413) (283,787)
*The Fund was the only Fund of the ICAV as at 30 June 2018 and 31 December 2017, the above details
and those in the accompanying notes also represent the total for the ICAV as at 30 June 2018 and 31
December 2017.
** For the period from 1 January 2018 to 30 June 2018.
*** For the period from 6 October 2016 (date of incorporation) to 30 June 2017.
~The Fund was incorporated on 6 October 2016 and commenced operations on 21 December 2016.
CFM UCITS ICAV
Notes to the Financial Statements for the six month period ended 30 June 2018
8
1. General
CFM UCITS ICAV (the “ICAV”) was incorporated as an open-ended umbrella Irish collective asset-
management vehicle with segregated liability between sub-funds to carry on business under the Irish
Collective Asset-Management vehicles Act 2015 (the “ICAV Act”) on 6 October 2016 with
registration number C161756. The ICAV is authorised by the Central Bank of Ireland as an ICAV
pursuant to Part 2 of the ICAV Act, the European Communities (Undertakings for Collective
Investment in Transferable Securities) Regulations 2011, (the “UCITS Regulations”) and the Central
Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective
Investment in Transferable Securities) Regulations, 2015 (the “Central Bank UCITS Regulations”).
Any liability incurred on behalf of or attributable to any Sub-Fund of the ICAV shall be discharged
solely out of the assets of the Sub-Fund. Notwithstanding the foregoing, there can be no assurance that
should an action be brought against the ICAV in the courts of another jurisdiction, the segregated nature
of the Sub-Funds would necessarily be upheld. As at 30 June 2018, the ICAV comprised of CFM IS
Behavioral Fund (the “Fund”) only. The Fund commenced its operations on 21 December 2016.
The investment objective of the Fund is to achieve long-term capital appreciation through returns that
seek to be uncorrelated with returns of traditional asset classes, such as stocks and bonds.
On 20 June 2018 the Central Bank of Ireland approved the replacement of Carne Global Fund
Managers (Ireland) Limited (the “Former Manager”) by Capital Fund Management S.A. (the “New
Manager”) as Manager of the ICAV.
2. Significant accounting policies
The significant accounting policies adopted by the ICAV in the preparation of these Financial
Statements are set out below.
(a) Basis of accounting
The Condensed Financial Statements have been prepared in accordance with International Financial
Reporting Standards (“IFRS”) as adopted for use in the European Union, and applied in accordance
with the “ICAV Act”, the “UCITS Regulations” and the “Central Bank Regulations”. The Condensed
Financial Statements have been prepared in accordance with International Accounting Standards
(“IAS”) 34 Interim Financial Reporting.
(b) Basis of measurement
The financial statements have been prepared on a historical cost basis, except for the non-derivative
financial instruments at fair value through profit or loss and derivative financial instruments which
have been valued at fair value through profit or loss.
(c) Going concern
These financial statements have been prepared on a going concern basis as the Directors have made an
assessment of the ICAV’s ability to continue as a going concern and are satisfied that the ICAV has
the resources to continue for the foreseeable future. Furthermore, the Directors are not aware of any
material uncertainties that may cast significant doubt upon the ICAV ability to continue as a going
concern.
CFM UCITS ICAV
Notes to the Financial Statements for the six month period ended 30 June 2018 (continued)
9
2. Significant accounting policies (continued)
(d) Consistency of accounting policies The accounting policies have been applied consistently by the ICAV throughout the period presented
in these financial statements.
(e) Financial assets and liabilities at fair value through profit or loss
Contracts for difference
Contracts for difference are agreements between the ICAV and third parties, which allow the ICAV to
acquire an exposure to the price movement of specific securities without actually purchasing the
securities. The changes in contract values are recorded as unrealised gains or losses and the ICAV
recognises a realised gain or loss when the contract is closed. Realised and unrealised gains and losses
on contracts for difference are recognised in the Statement of Comprehensive Income. At each
valuation point the difference in price between the contract price of the contracts for difference and the
market price of the underlying equity is recorded as unrealised gain or loss of the contracts for
difference. When a contracts for difference is closed the difference between the contract price of the
contracts for difference and the market price is recorded as a realised fair value gain or loss in the
Statement of Comprehensive Income.
Futures
Futures are valued at fair value based on the settlement price on the relevant valuation date. Futures
are contracts for delayed delivery of commodities in which the seller agrees to make delivery at a
specific future date of a specific commodity, at a specified price or yield. Gains and losses on futures
are recorded by the ICAV based on market fluctuations and are recorded as realised or unrealised
gains/(losses) dependent upon settlement terms of the contracts held. The ICAV includes bond futures,
commodity futures, currency futures, index futures and interest rate futures.
Swaps
Generally, a swap contract is an agreement that obligates two parties to exchange a series of cash flows
at specified intervals based upon or calculated by reference to changes in specified prices or rates for
a specified notional amount of the underlying assets. The payment flows are usually netted against
each other, with the difference being paid by one party to the other. The ICAV includes only equity
swaps.
Realised and unrealised gains and losses on all derivative contracts are recognised in the Statement of
Comprehensive Income.
Forward contracts
Forward contracts entered into by the ICAV represent a firm commitment to buy or sell an underlying
asset, or currency at a specified value and point in time based upon an agreed or contracted quantity.
Gain and loss on forward contracts are measured by the ICAV based upon fair value fluctuations and
are recorded as realised or unrealised gains or losses in the Statement Comprehensive Income. The
ICAV values forward contracts at last settlement prices or closing prices provided by certain third party
pricing sources.
CFM UCITS ICAV
Notes to the Financial Statements for the six month period ended 30 June 2018 (continued)
10
2. Significant accounting policies (continued)
(f) Changes to the accounting policies
New standards, amendments and interpretations effective from 1 January 2018
IFRS 9 - ‘Financial Instruments (effective 1 January, 2018):
The ICAV is required to adopt IFRS 9 Financial Instruments from 1 January 2018. IFRS 9 replaces
IAS 39 Financial Instruments: Recognition and Measurement. It includes revised guidance on the
classification and measurement of financial instruments, a new expected credit loss model for
calculating impairment on financial assets and new general hedge accounting requirements. It also
carries forward guidance on recognition and derecognition of financial instruments from IAS 39.
Classification of financial assets and financial liabilities:
IFRS 9 contains a new classification and measurement approach for financial assets that reflects the
business model in which assets are managed and their cash flow characteristics. The standard includes
three principal classification categories for financial assets: measured at amortised cost, fair value
through other comprehensive income (FVOCI) and fair value through profit or loss (FVTPL). It
eliminates the existing IAS 39 categories of held to maturity, loans and receivables and available for
sale.
Under IFRS 9, derivatives embedded in contracts where the host is a financial asset in the scope of the
standard are never bifurcated. Instead, the whole hybrid instrument is assessed for classification.
IFRS 9 largely retains the existing requirements in IAS 39 for the classification of financial liabilities.
However, although under IAS 39 all fair value changes of liabilities designated as at FVTPL are
recognised in Statement of Comprehensive Income, under IFRS 9 these fair value changes are generally
presented as follows:
- The amount of change in the fair value that is attributable to change in the credit risk of the
liability in presented in OCI; and
- The remaining amount of change in the fair value is presented in Statement of Comprehensive
Income.
Based on the ICAV’s assessment, this standard is not expected to have a material impact on the
classification of financial assets and financial liabilities of the ICAV. This is because:
• The financial instruments classified as held-for-trading under IAS 39 (derivatives) will continue
to be classified as such under IFRS 9;
• Other financial instruments currently measured at FVTPL under IAS 39 are designated into this
category because they are managed on a fair value basis in accordance with a documented
investment strategy. These investments will also be measured at fair value through profit or loss
based on the business model; and
• Financial instruments currently measured at amortised cost are: cash and cash equivalents,
receivables and payables. These instruments meet the solely principal and interest criterion and
are held in a held-to-collect business model. Accordingly, they will continue to be measured at
amortised cost under IFRS 9.
CFM UCITS ICAV
Notes to the Financial Statements for the six month period ended 30 June 2018 (continued)
11
2. Significant accounting policies (continued)
(f) Changes to the accounting policies (continued)
New standards, amendments and interpretations effective from 1 January 2018 (continued)
IFRS 9 - ‘Financial Instruments (effective 1 January, 2018): (continued)
Impairment of financial assets:
IFRS 9 replaces the “incurred loss” model in IAS 39 with a forward-looking “expected credit loss”
(ECL) model. This will require considerable judgement about how changes in economic factors affect
ECLs, which will be determined on a probability-weighted basis.
The new impairment model will apply to financial assets measured at amortised cost or FVOCI, expect
for investments in equity instruments.
Under IFRS 9, loss allowances will be measured on either of the following bases:
- 12-months ECLs: these are ECLs that result from possible default events within the 12 months
after the reporting date; and
- Lifetime ECLs: these are ECLs that result from all possible default events over the expected life
of a financial instrument.
Based on the ICAV’s assessment, changes to the impairment model are not expected to have a material
impact on the financial assets of the ICAV. This is because:
- The majority of the financial assets are measured at FVTPL and the impairment requirements do
not apply to such instruments; and
- The financial assets at amortised cost are short-term (i.e. no longer than 12 months), of high credit
quality and/or highly collateralised. Accordingly, the ECLs on such assets are expected to be
small.
Hedge accounting:
The ICAV does not apply hedge accounting; therefore, IFRS 9 hedge accounting-related changes do
not have an impact on the financial statements of the ICAV.
3. Financial assets and liabilities at fair value through profit or loss
CFM IS Behavioral
Fund
CFM IS Behavioral
Fund
30 June 2018 31 December 2017
Euro Euro
Financial assets at fair value through profit or loss
Transferable securities
- Treasury bills 9,368,740 10,078,490
Financial derivatives
- Contracts for difference 17,246,191 15,455,767
- Futures 533,898 723,701
- Swaps 1,602,733 1,589,666
- Forward contracts 225,663 -
Total financial assets at fair value through profit or loss 28,977,225 27,847,624
CFM UCITS ICAV
Notes to the Financial Statements for the six month period ended 30 June 2018 (continued)
12
3. Financial assets and liabilities at fair value through profit or loss (continued)
CFM IS Behavioral
Fund
CFM IS Behavioral
Fund
30 June 2018 31 December 2017
Euro Euro
Financial liabilities at fair value through profit or loss
Financial derivatives
- Contracts for difference (17,051,983) (14,607,211)
- Futures (477,436) (707,443)
- Swaps (2,656,843) (1,769,246)
- Forward contracts (184,943) -
Total financial liabilities at fair value through profit or
loss (20,371,205) (17,083,900)
CFM IS Behavioral
Fund
CFM IS Behavioral
Fund
30 June 2018* 30 June 2017**
Euro Euro
Realised gain/(loss) on financial assets and liabilities at
fair value through profit or loss
Loss on Treasury bills (14,980) -
Loss on Contracts for difference (178,637) (4,624)
(Loss)/gain on Futures (1,320,895) 184,442
Loss on Swaps (1,676,932) (39,385)
Loss on Forward contracts (138,029) -
Net realised (loss)/gain on financial assets and liabilities
at fair value through profit or loss (3,329,473) 140,433
Unrealised gain/(loss) on financial assets and liabilities
at fair value through profit or loss
Loss on Treasury bills (24,414) (872)
Gain/(loss) on Contracts for difference 188,159 (29,910)
Gain/(loss) on Futures 40,204 (480,252)
Loss on Swaps (874,530) (145,000)
Gain on Forward contracts 40,720 -
Net unrealised loss on financial assets and liabilities at
fair value through profit or loss (629,861) (656,034)
Net loss on financial assets and liabilities at fair value
through profit or loss (3,959,334) (515,601)
* For the period from 1 January 2018 to 30 June 2018.
** For the period from 6 October 2016 (date of incorporation) to 30 June 2017.
CFM UCITS ICAV
Notes to the Financial Statements for the six month period ended 30 June 2018 (continued)
13
4. Fair value measurement
The following table presents the financial instruments carried on the Statement of Financial Position
by caption and by level within the valuation hierarchy as at 30 June 2018.
CFM IS Behavioral Fund Level 1 Level 2 Level 3 Total
Euro Euro Euro Euro
Financial assets at fair value through
profit or loss
Transferable securities
- Treasury bills 9,368,740 - - 9,368,740
Financial derivatives
- Contracts for difference - 17,246,191 - 17,246,191
- Futures 533,898 - - 533,898
- Swaps - 1,602,733 - 1,602,733
- Forward contracts 225,663 225,663
Total financial assets at fair value
through profit or loss 9,902,638 19,074,587 - 28,977,225
Level 1 Level 2 Level 3 Total
Euro Euro Euro Euro
Financial liabilities at fair value through
profit or loss
Financial derivatives
- Contracts for difference - (17,051,983) - (17,051,983)
- Futures (477,436) - - (477,436)
- Swaps - (2,656,843) - (2,656,843)
- Forward contracts (184,943) (184,943)
Total financial liabilities at fair value
through profit or loss (477,436) (19,893,769) - (20,371,205)
The ICAV recognises transfers between levels of the fair value hierarchy as at the end of the reporting
period during which the change occurred.
There were no transfers between levels during the financial period from 1 January 2018 to 30 June
2018.
CFM UCITS ICAV
Notes to the Financial Statements for the six month period ended 30 June 2018 (continued)
14
4. Fair value measurement (continued)
The following table presents the financial instruments carried on the Statement of Financial Position
by caption and by level within the valuation hierarchy as at 31 December 2017.
CFM IS Behavioral Fund Level 1 Level 2 Level 3 Total
Euro Euro Euro Euro
Financial assets at fair value through
profit or loss
Transferable securities
- Treasury bills 10,078,490 - - 10,078,490
Financial derivatives
- Contracts for difference - 15,455,767 - 15,455,767
- Futures 723,701 - - 723,701
- Swaps - 1,589,666 - 1,589,666
Total financial assets at fair value
through profit or loss 10,802,191 17,045,433 - 27,847,624
Level 1 Level 2 Level 3 Total
Euro Euro Euro Euro
Financial liabilities at fair value through
profit or loss
Financial derivatives
- Contracts for difference - (14,607,211) - (14,607,211)
- Futures (707,443) - - (707,443)
- Swaps - (1,769,246) - (1,769,246)
Total financial liabilities at fair value
through profit or loss (707,443) (16,376,457) - (17,083,900)
The ICAV recognises transfers between levels of the fair value hierarchy as at the end of the reporting
period during which the change occurred.
There were no transfers between levels during the financial period form 6 October 2016 to 31
December 2017.
CFM UCITS ICAV
Notes to the Financial Statements for the six month period ended 30 June 2018 (continued)
15
4. Fair value measurement (continued)
IFRS 13 establishes a fair value hierarchy that prioritises the inputs to valuation techniques used to
measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active
markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to
unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy are described
in the table below.
Level 1 Inputs that reflect unadjusted quoted prices in active markets for identical assets or liabilities
that the ICAV has the ability to access at the measurement date;
Level 2 Inputs other than quoted prices that are observable for the asset or liability either directly or
indirectly, including inputs in markets that are not considered to be active;
Level 3 Inputs that are unobservable.
Inputs are used in applying the various valuation techniques and broadly refer to the assumptions that
market participants use to make valuation decisions, including assumptions about risk. Inputs may
include price information, volatility statistics, specific and broad credit data, liquidity statistics, and
other factors. A financial instrument’s level within the fair value hierarchy is based on the lowest level
of any input that is significant to the fair value measurement. However, the determination of what
constitutes “observable” requires significant judgment by the Directors. The Directors consider
observable data to be that market data which is readily available, regularly distributed or updated,
reliable and verifiable, not proprietary, and provided by independent sources that are actively involved
in the relevant market. The categorisation of a financial instrument within the hierarchy is based upon
the pricing transparency of the instrument and does not necessarily correspond to the Directors’
perceived risk of that instrument.
Transferable securities
Transferable securities whose values are based on quoted market prices in active markets are classified
within level 1. These include active listed equities and treasury bills. The Directors do not adjust the quoted
price for such instruments, even in situations where the ICAV holds a large position and a sale could
reasonably impact the quoted price.
Transferable securities that trade in markets that are not considered to be active, but are valued based on
quoted market prices, dealer quotations or alternative pricing sources supported by observable inputs are
classified within level 2.
Transferable securities classified within level 3 have significant unobservable inputs, as they trade
infrequently or not at all. There are no level 3 investments held at financial period end.
CFM UCITS ICAV
Notes to the Financial Statements for the six month period ended 30 June 2018 (continued)
16
4. Fair value measurement (continued)
Derivative instruments
Derivative instruments can be exchange-traded or privately negotiated over-the-counter (“OTC”).
Exchange-traded derivatives, such as contracts for difference, futures contracts and exchange traded option
contracts, are typically classified within level 1 or level 2 of the fair value hierarchy depending on whether
or not they are deemed to be actively traded. OTC derivatives, such as forward foreign exchange contracts
and equity swaps have inputs which can generally be corroborated by market data and are therefore
classified within level 2.
The ICAV has not disclosed the fair values for financial instruments measured at amortised cost, due
to/from broker and short-term receivables and payables because their carrying amounts are a reasonable
approximations of fair values.
No investments have been classified within Level 3 at any time during the year, consequently no
reconciliation of Level 3 fair value measurements is required.
For the period ended 30 June 2018, all other assets and liabilities, other than investments at fair value, whose
carrying amounts approximate fair value would have been considered to be classified within Level 2 of the
fair value hierarchy if such classification was required.
The ICAV redeems and issues redeemable Participating Shares at the amount equal to the proportionate
share of net assets of the ICAV at the time of subscription or redemption, calculated on a basis consistent
with that used in the financial statements. Accordingly, the carrying amount of Net assets attributable to
holders of Participating Shares approximates their fair value. The shares are categorised into Level 2 of the
fair value hierarchy.
The Fund may invest in Financial Derivatives Instruments ("FDI") for investment purposes, for hedging
purposes and for efficient portfolio management purposes.
5. Fees and expenses
Manager fees
The Manager shall be entitled to receive from the ICAV an annual fee in relation to each Sub-Fund or Class
(the “Management Fee”).
Up to 20 June 2018, the Former Manager was entitled to an annual fee of up to 0.03% of the Net Asset
Value of the Fund, payable monthly in arrears out of the assets of the Fund, subject to an annual minimum
fee of Euro 50,000.
From 20 June 2018 onwards, the New Manager shall be entitled to an annual fee payable monthly in arrears
out of the assets of the Fund. The Management Fee is equal to 1.85% per annum of the Net Asset Value of
the Class C Shares, 1.35% per annum of the Net Asset Value of the Class I Shares and Class N Shares and
1.40% per annum of the Net Asset Value of the Class P Shares. No Investment Management Fee was
payable in respect of Class M Shares.
The Former Manager has been appointed Compliance Support Agent to the Fund and shall be entitled to an
annual fee of up to 0.03% of the Net Asset Value of the Fund, payable monthly in arrears out of the assets
of the Fund, subject to an annual minimum fee of Euro 50,000.
CFM UCITS ICAV
Notes to the Financial Statements for the six month period ended 30 June 2018 (continued)
17
5. Fees and expenses (continued)
Manager fees
The Manager is also entitled to its typical set-up costs of Euro 10,000 and its reasonable out-of-pocket costs
and expenses incurred in the performance of its duties, including expenses relating to due diligence and
monitoring of the Fund. The Manager’s fee accrues and is calculated on each Dealing Day and is payable
monthly in arrears.
Management Fees from 1 January 2018 to 20 June 2018 which was incurred to Carne Global Fund
Managers (Ireland) Limited amounted to Euro 25,000 (from 6 October 2016 to 30 June 2017: Euro
13,870). No Management Fee was incurred to Capital Fund Management S.A. during the period from
21 June 2018 to 30 June 2018. As at 30 June 2018, Euro 12,500 was payable to Carne Global Fund
Managers (Ireland) Limited. (31 December 2017: Euro 12,500 was payable to Carne Global Fund
Managers (Ireland) Limited and Euro 38,870 was included under receivable from Investment
Manager). As at 30 June 2018, there was no Management Fees payable to Capital Fund Management
S.A.
Investment management fees
Up to 20 June 2018, the Investment Manager was entitled to receive from the ICAV a fee in relation
to each Sub-Fund or Class (the “Investment Management Fee”). Such fee was calculated and accrued
at each Valuation Point and payable monthly in arrears.
The Investment Manager was also entitled to be repaid out of the assets of the relevant Sub-Fund for
all of its reasonable out-of-pocket expenses incurred on behalf of the relevant Sub-Fund.
For CFM IS Behavioral Fund, the Investment Manager was entitled to receive an Investment
Management Fee from the ICAV equal to 1.85% per annum of the Net Asset Value of the Class C
Shares, 1.35% per annum of the Net Asset Value of the Class I Shares and Class N Shares and 1.40%
per annum of the Net Asset Value of the Class P Shares. No Investment Management Fee was payable
in respect of Class M Shares.
Investment Management Fees for the financial period amounted to Euro 80,398 (from 6 October 2016
to 30 June 2017: Euro 6,774), of which Euro 26,539 was payable at financial period end (31 December
2017: Euro 11,160). The ICAV no longer has a separate Investment Manager after 20 June 2018 since
the Manager performs such services too starting from such date.
Performance fees
Capital Fund Management S.A. (who was Investment Manager up to 20 June 2018, and Manager
thereafter) may also be entitled to receive a performance fee. The performance fee (the "Performance
Fee") shall be a percentage of the increase in Net Asset Value of each Share Class in excess of the
Share Classes High Water Mark (as defined below). The Performance Fee will be calculated and
accrued on each Valuation Point as an expense of the relevant Share Class and will be payable in
arrears, at the end of the Calculation Period.
For the purposes of the performance fee calculation, the "High Water Mark" attributable to each Class
is the greater of;
(a) The highest recorded Net Asset Value of the relevant Share Class at the end of the each Calculation
Period since inception of the Fund adjusted for subscriptions and redemptions; or,
(b) If no Performance Fee has ever been realised, then the Net Asset Value of the relevant Share Class
at the inception of the Fund adjusted for subscriptions and redemptions.
CFM UCITS ICAV
Notes to the Financial Statements for the six month period ended 30 June 2018 (continued)
18
5. Fees and expenses (continued)
Performance fees (continued)
For CFM IS Behavioral Fund, the Performance Fee in respect of the Class C Shares, Class I Shares
and Class P Shares is equal to 10% of the excess of the Net Asset Value per Share at the end of a
Performance Period over the High Water Mark. No performance fees shall be payable in respect of
Class M Shares and Class N Shares.
Performance fees for the financial period ended 30 June 2018 amounted to Euro 140 (from 6 October
2016 to 30 June 2017: Euro Nil). No performance fee was payable at the financial period end (31
December 2017: Euro 5,347).
Operating expenses
Expense Cap
The Investment Manager (and after 20 June 2018, the New Manager) has agreed to cap the annual
expense of the Fund (as defined below) to 0.20% of Net Assets Value of the Fund.
For the purpose of this section, “Annual Expenses” mean all fees, costs and expenses connected with
the establishment, management and operation of the ICAV and the Fund (with the exception of the
fees and expenses of the Investment Manager and its out-of-pocket expenses) including, but not limited
to, the Establishment Expenses, the fees and expenses (including out of pocket expenses) of the service
providers to the Fund, such as the fees payable to the Depositary, the Administrator and the Distributor,
the operational expenses (as detailed in the Supplement of the Fund under the heading “Other Fees and
Expenses” and only to the extent that such operational expenses are not excluded) and the Directors
fees (as detailed under the heading “Directors’ Fees” in the Prospectus) and out of pocket expenses.
“Annual Expenses” shall not, however, include any taxation (including stamp duty) to which the ICAV
may be liable, exchange fees, commissions, brokerage fees, settlement and clearing fees and other
expenses incurred with respect to the Investments and any extraordinary or exceptional costs and
expenses as may arise from time to time such as material litigation in relation to the ICAV or the Fund.
As noted earlier and for the avoidance of doubt, the “Annual Expenses” do not include the Investment
Manager fees, Performance Fees and expenses of the Investment Manager. The foregoing fees, costs
and expenses, where arising, will be borne by the ICAV or the Fund, as applicable.
The Operating expenses of Euro 43,379 were charged during the period ended 30 June 2018. Expenses
above the Expense Cap were borne by the New Manager. As at 30 June 2018, a net value of Euro
138,533 is receivable from the New Manager.
For the six month period ended 30 June 2018
Amount in
Euro
Amount in % of
the average NAV
Operating expenses cap (%) charged to the fund 43,379 0.10%(1)
Invoices paid by the Fund during the period 181,912 0.42%(2)
Amount to be reimbursed by Manager 138,533 0.32%
Net operating expenses charged to the Fund 43,379 0.10%(1)
(1) 0.10% for the period (not annualised) hence equivalent to 0.20% annualised as mentioned above as
“Expense Cap”.
CFM UCITS ICAV
Notes to the Financial Statements for the six month period ended 30 June 2018 (continued)
19
5. Fees and expenses (continued)
Expense Cap (continued) For the six month period ended 30 June 2018 (continued) (2) Below all detailed expenses invoices of the Fund (not charged to the fund).
Amount in
Euro
Amount in % (of
the average NAV)
Accounting Fees 4,500 0.01%
Administration Fees 30,000 0.07%
Audit Fees 15,221 0.04%
Corporate Secretarial Fees 825 0.00%
Depository Fees 15,000 0.03%
Director Fees 6,499 0.02%
Legal Fees 11,791 0.03%
Out of Pocket Fees 1,800 0.00%
Registration Fees 13,252 0.03%
Compliance Support Agent Fees* 75,434 0.17%
Tax Refund 90 0.00%
Tax Reporting Fees 2,500 0.01%
Transparency Fees 5,000 0.01%
181,912 0.42% * Compliance Support Agent Fees generally include professional fees paid to Carne and any other
related services during the period.
The Operating expenses of Euro 20,342 were charged during the period from 6 October 2016 to 30
June 2017. Expenses above the Expense Cap was borne by the Investment Manager. As at 30 June
2017, a net value of Euro 242,483 was receivable from the Investment Manager.
For the period from 6 October 2016 to 30 June 2017
Amount in
Euro
Amount in % of
the average NAV
Operating expenses cap (%) charged to the fund 20,342 0.10%(1)
Invoices paid by the Fund during the period 262,825 1.34%(2)
Amount to be reimbursed by IM 242,483 1.24%
Net operating expenses charged to the Fund 20,342 0.10%(1) (1) 0.10% for the period (not annualised) hence equivalent to 0.20% annualised as mentioned above
as “Expense Cap”.
CFM UCITS ICAV
Notes to the Financial Statements for the six month period ended 30 June 2018 (continued)
20
5. Fees and expenses (continued)
Expense Cap (continued)
For the period from 6 October 2016 to 30 June 2017 (continued)
(2) Below all detailed expenses invoices of the Fund (not charged to the fund).
Amount in
Euro
Amount in % (of
the average NAV)
Accounting Fees 3,750 0.02%
Administration Fees 25,000 0.13%
Corporate Secretarial Fees 18,438 0.09%
Depository Fees 12,500 0.06%
Legal Fees 138,230 0.71%
Other expenses 21,950 0.11%
Compliance Support Agent Fees* 38,913 0.20%
Registration Fees 2,169 0.01%
Tax Reporting Fees 1,875 0.01%
262,825 1.34%
* Compliance Support Agent Fees generally include professional fees paid to Carne and any other
related services during the period
Administration fees
The Administrator is entitled to an annual fee (the “Administration fee”) out of the assets of the Fund,
payable monthly in arrears at a rate which shall not exceed 0.09% per annum of the Net Asset Value
of the Fund. The fee to the Administrator is subject to a minimum fee of Euro 5,000 per month plus
VAT, if any, thereon.
The Administrator shall also be entitled to a fee for providing certain reports and to be repaid out of
the assets of the ICAV all of its reasonable out-of-pocket expenses incurred on behalf of the ICAV.
Each Sub-Fund will bear its proportion of the expenses of the Administrator.
Administration and financial statement preparation fees for the financial period ended 30 June 2018
amounted to Euro 34,500 (6 October 2016 to 30 June 2017: Euro 28,750). As at 30 June 2018,
administration and financial statement preparation fees of Euro 23,000 are included under receivable
from Capital Fund Management S.A., (31 December 2017: Euro 63,250 was included under receivable
from Investment Manager).
Depositary fees
The Depositary is entitled to an annual fee out of the assets of the Fund, payable monthly in arrears at
a rate which shall not exceed 0.03% per annum of the Net Asset Value of the Fund. The fee to the
Depositary is subject to a minimum fee of Euro 2,500 per month plus VAT, if any, thereon.
The Depositary shall also be entitled to be repaid all of its properly incurred disbursements out of the
assets of the relevant Fund, including the expenses of any sub-custodian appointed by it which shall
be at normal commercial rates together with VAT, if any, thereon. The Fund will bear its proportion
of the fees and expenses of the Depositary.
Depositary fees for the financial period ended 30 June 2018 amounted to Euro 15,000 (6 October 2016
to 30 June 2017: Euro 12,500). As at 30 June 2018, depositary fees of Euro 10,000 are included under
receivable from Capital Fund Management S.A., (31 December 2017: Euro 27,500 were included
under receivable from Investment Manager).
CFM UCITS ICAV
Notes to the Financial Statements for the six month period ended 30 June 2018 (continued)
21
5. Fees and expenses (continued)
Directors’ fees and expenses
The Directors shall be entitled to be paid a fee from the assets of the ICAV by way of remuneration
for their services at a rate to be determined from time to time by the ICAV in a general meeting, the
ordinary remuneration of each Director shall be determined by resolution of Directors. The maximum
fee per Director shall be Euro 25,000 plus VAT if any, per annum (adjusted on an ongoing basis for
inflation by reference to the Irish Consumer Price Index). The maximum fee per Director may be
increased by up to Euro 3,000 plus VAT, if any, per annum for any new Sub-Fund launched. Directors
who are employees of the Investment Manager or New Manager shall not be entitled to a fee. Any
additional fees necessitated by the addition of new Sub-Funds shall be apportioned equally among the
new Sub-Funds and, to the extent they do not impact on Shareholders in existing Sub-Funds, will not
be subject to existing Shareholder approval. The Directors will be entitled to be reimbursed by the
ICAV for all reasonable disbursements incurred in connection with the business of the ICAV or
discharging their duties. Directors’ fees shall be payable semi-annually in arrears and shall be
apportioned equally among the Sub-Funds.
Directors’ fees for the financial period ended 30 June 2018 amounted to Euro 6,499 (6 October 2016
to 30 June 2017: Euro 20,450). As at 30 June 2018, directors’ fees of Euro 6,499 are included under
receivable from Capital Fund Management S.A., (31 December 2017: Euro 39,269 was included under
receivable from Investment Manager).
Corporate Secretarial fees
The ICAV has appointed MFD Secretaries Limited as Company Secretary. Company Secretarial fees
for the financial period ended 30 June 2018 amounted to Euro 825 are included under receivable from
Capital Fund Management S.A., (6 October 2016 to 30 June 2017: Euro 18,438). As at 30 June 2018,
Company Secretarial fees of Euro 825 was payable (31 December 2017: Euro: 19,535 was included
under receivable from Investment Manager).
Transaction costs
Transaction costs are incremental costs, which are separately identifiable and directly attributable to
the acquisition or disposal of a financial asset. Transaction costs include fees and commissions paid to
brokers and agents. For CFM IS Behavioral Fund, total transaction costs for the financial period ended
30 June 2018 amounted to Euro 15,281 included in the cost of purchases of investments (from 6
October 2016 to 30 June 2017: Euro 7,550).
CFM UCITS ICAV
Notes to the Financial Statements for the six month period ended 30 June 2018 (continued)
22
6. Share capital and redeemable participating shares The authorised share capital of the ICAV is 300,000 redeemable non-participating Shares of no par
value and 500,000,000,000 participating Shares of no par value. Non-participating Shares do not entitle
the holders thereof to any dividend and on a winding up entitle the holders thereof to receive the
consideration paid therefor but do not otherwise entitle them to participate in the assets of the ICAV.
The Directors have the power to allot shares in the capital of the ICAV on such terms and in such
manner as they may think fit.
The Fund has following share classes:
Currency Share class
Euro Class C, I, M, N, P
CHF Class C, I, P
JPY Class C, I, P
GBP Class C, I, P
USD Class C, I, P
As at 30 June 2018 Class C Shares (Euro), Class I Shares (Euro), Class M Shares (Euro) and Class N
Shares (Euro) of the Fund were in issue.
The movement in the number of redeemable participating shares for the financial period ended 30 June
2018 is as follows:
CFM IS Behavioral Fund
At the
beginning of the
financial period
Shares
Issued
Shares
Redeemed
At the
end of the
financial period
Euro Class C Shares - 18 - 18
Euro Class I Shares 10 - - 10
Euro Class M Shares 30,709 1,567 (6,755) 25,521
Euro Class N Shares - 11,649 - 11,649
USD Class I Shares - 2,000 (2,000) -
The movement in the number of redeemable participating shares for the financial period from 6 October
2016 to 30 June 2017 is as follows:
CFM IS Behavioral Fund
At the
beginning of the
financial period
Shares
Issued
Shares
Redeemed
At the
end of the
financial period
Euro Class I Shares - 1,000 - 1,000
Euro Class M Shares - 35,227 (16,025) 19,202
The ICAV does not have any external capital requirements.
CFM UCITS ICAV
Notes to the Financial Statements for the six month period ended 30 June 2018 (continued)
23
7. Taxation
Under current law and practice the ICAV qualifies as an investment undertaking as defined in Section
739B of the Taxes Consolidation Act, 1997, as amended. As such, it is not chargeable to Irish tax on its
income or gains.
However, Irish tax may arise on the happening of a “chargeable event”. A chargeable event includes
any distribution payments to shareholders or any encashment, redemption, cancellation or transfer of
shares.
No Irish tax will arise on the ICAV regarding chargeable events.
A Chargeable Event does not include:
(i) any transaction in relation to Shares held in a recognised clearing system;
(ii) any exchange by a Shareholder effected by way of a bargain made at arm's length by the ICAV,
of Shares in the ICAV for other Shares in the ICAV;
(iii) certain transfers of Shares between spouses or civil partners and former spouses or former civil
partners;
(iv) an exchange of Shares arising on a qualifying amalgamation or reconstruction of the ICAV with
another Irish investment undertaking; or
(v) the cancellation of Shares in the ICAV arising from an exchange in relation to a scheme of
amalgamation.
On the happening of a Chargeable Event, the ICAV shall be entitled to deduct the appropriate amount
of tax on any payment made to a Shareholder in respect of the Chargeable Event. On the occurrence of
a Chargeable Event where no payment is made by the ICAV to the Shareholder, the ICAV may
appropriate or cancel the required number of Shares to meet the tax liability.
Income, interest and capital gains (if any) received on investments made by the ICAV may be subject
to withholding taxes imposed by the country from which the investment income/gains are received and
such taxes may not be recoverable by the ICAV or its shareholders.
8. Soft commissions
There were no soft commission arrangements affecting the ICAV during the financial period ended 30
June 2018. Further the Investment Manager or the New Manager did not receive any payments under
directed brokerage services or similar arrangement (from 6 October 2016 to 30 June 2017: Euro Nil).
CFM UCITS ICAV
Notes to the Financial Statements for the six month period ended 30 June 2018 (continued)
24
9. Net asset value table
The following table discloses the dealing Net Asset Value, the shares in issue and Net Asset Value per
Share for each Share Class of the Fund as at 30 June 2018.
CFM IS Behavioral Fund
Net
Asset Value Shares
Net Asset Value
per Share
30 June 2018 in Issue 30 June 2018
Euro Class C Shares 16,252 18 902.87
Euro Class I Shares 9,630 10 962.96
Euro Class M Shares 25,255,555 25,521 989.61
Euro Class N Shares 10,472,695 11,649 899.02
The following table discloses the dealing Net Asset Value, the shares in issue and Net Asset Value per
Share for each Share Class of the Fund as at 31 December 2017.
CFM IS Behavioral Fund
Net
Asset Value Shares
Net Asset Value
per Share
31 December 2017 in Issue 31 December 2017
Euro Class I Shares 10,667 10 1,066.71
Euro Class M Shares 33,442,085 30,709 1,089.01
10. Exchange rates
The following exchange rates were used to translate assets and liabilities into the functional currency
Euro for the Fund:
30 June 31 December
2018 2017
Australian Dollar 0.6340 0.6504
Brazilian Real 0.2207 0.2514
Canadian Dollar 0.6517 0.6629
Czech Koruna 0.0385 0.0392
Danish Krone 0.1342 0.1343
Hong Kong Dollar 0.1091 0.1066
Hungarian Forint 0.0030 0.0032
Indian Rupee 0.0125 0.0130
Israeli New Shekel 0.2341 0.2400
Japanese Yen 0.0077 0.0074
New Zealand Dollar 0.5799 0.5912
CFM UCITS ICAV
Notes to the Financial Statements for the six month period ended 30 June 2018 (continued)
25
10. Exchange rates (continued)
The following exchange rates were used to translate assets and liabilities into the functional currency
Euro for the Fund:
30 June 31 December
2018 2017
Norwegian Krone 0.1050 0.1015
Polish Zloty 0.2288 0.2394
Pound Sterling 1.1305 1.1259
Singapore Dollar 0.6281 0.6228
South African Rand 0.0623 0.0674
South Korean Won 0.0008 0.0008
Swedish Krona 0.0952 0.1020
Swiss Frank 0.8640 0.8554
Turkish Lira 0.1866 0.2202
United States Dollar 0.8559 0.8329
11. Comparative figures
The comparative figures shown in the Statement of Financial Position are as at 31 December 2017.
The comparative figures shown in the Statement of Comprehensive Income, Statement of Changes in
Net Assets Attributable to Holders of Redeemable Participating Shares and Statement of Cash Flows
relate to the period from 6 October 2017 to 30 June 2017.
12. Related parties
In accordance with IAS 24 “Related Party Disclosures” the related parties to the ICAV are outlined
below.
The ICAV’s connected and related parties include the Directors, the Administrator, the Former
Manager, the New Manager, the Investment Manager and the Depositary. Amounts incurred during the
year and amounts due as at the Statement of Financial Position date in relation to these related parties
are shown on the face of the financial statements.
Key Management Personnel
The New Manager is also the sponsor, adviser and investment manager to a number of other entities
and the Directors of the ICAV may serve as directors of such entities.
CFM UCITS ICAV
Notes to the Financial Statements for the six month period ended 30 June 2018 (continued)
26
12. Related parties (continued)
The below table provides an analysis of related party transactions for the financial period ended 30 June
2018.
Fees
receivable from
investment
manager/(payable)
as at
Total fees 30 June 2018
Related party Type of fee Euro Euro
Directors Directors’ fees 6,499 6,499
Capital Fund Management S.A. Investment management fees 80,398 (26,539)
The below table provides an analysis of related party transactions for the financial period from 6 October
2016 to 30 June 2017 and fees receivable and payable from investment manager as at 31 December
2017.
Fees
Total fees for
the period from
receivable from
investment
manager/(payable)
6 October 2016 to as at
30 June 2017 31 December 2017
Related party Type of fee Euro Euro
Directors Directors’ fees 20,450 39,269
Capital Fund Management S.A. Investment management fees 6,774 (11,160)
MFD Secretaries Limited Corporate Secretarial Fees 18,438 19,535
Jacques Saulière acts as the co-CEO of Capital Fund Management S.A. and a Director of the ICAV.
Jacques Saulière who is an employee of the New Manager shall not be entitled to a Directors fee.
Des Fullam a Director of the ICAV, is also an employee of Carne Global Financial Services Limited,
the parent Company of the Former Manager. Carne Global Financial Services Limited earned fees
during the year in respect of Manager fees, Director support services and other fund governance services
provided to the ICAV the fees amounted to Euro 25,000 (6 October 2016 to 30 June 2017: Euro 13,870),
Euro Nil (6 October 2016 to 30 June 2017: Euro 6,078) and Euro 77,934 (6 October 2016 to 30 June
2017: Euro 40,788), respectively.
All Class I shares are owned by Capital Fund Management.
Class M Shares are issued only to the New Manager, its partners, employees and affiliates. Bank
Lombard Ordier & Co, CB on behalf of CFM Institutional Systematic Diversified and JPMC Nominees
Limited Re Natwest as Depositary of TM Fulcrum hold more than 10% of shares as at 30 June 2018
and 31 December 2017.
Jacques Saulière maintains an indirect holding in Class M Shares of the Fund through his investment in
CFM Institutional Systematic Diversified, a Shareholder of the Fund.
CFM UCITS ICAV
Notes to the Financial Statements for the six month period ended 30 June 2018 (continued)
27
12. Related parties (continued)
During the period, the ICAV carried out Treasury bill trades of 6,500,000 (6 October 2016 to 30 June
2017: 5,000,000) units and no FX hedge transactions were recorded with HSBC Bank Plc, an affiliate
of the Depositary (31 December 2017: (1,301)).
The Directors are not aware of any related party transactions other than those disclosed in these financial
statements.
Connected Persons
The Central Bank UCITS Regulations require that any transaction carried out with a UCITS by a
management company or Depositary to the UCITS, the delegates or sub-delegates of the management
company or Depositary, and any associated or group of such a management company, Depositary,
delegate or sub-delegate (the “connected persons”) must be carried out as if negotiated at arm’s length.
Transactions must be in the best interests of the Shareholders.
The Directors are satisfied that there are arrangements in place, to ensure that the obligations set out in
Regulation 41(1) of the Central Bank UCITS Regulations are applied to all transactions with connected
persons, and are satisfied that transactions with connected persons entered into during the period
complied with the obligations set out in Regulation 41(1) of the Central Bank UCITS Regulations.
13. Efficient portfolio management for investment purposes
Subject to the conditions and within the limits from time to time laid down by the Central Bank of
Ireland, and except as otherwise stated in the investment objective and policies of the ICAV, the New
Manager may employ investment techniques and instruments such as futures, options, forward foreign
currency contracts and other derivatives for investment purposes or efficient portfolio management.
Furthermore, new techniques and instruments may be developed which may be suitable for use by the
ICAV in the future, and may employ such techniques and instruments subject to the prior approval of,
and any restrictions imposed by, the Central Bank of Ireland.
Realised and unrealised gains and losses on exchange traded derivatives and over the counter markets
are recognised in the Statement of Comprehensive Income.
14. Capital Management
Participating Shares in the ICAV provide an investor with the right to request redemption of their shares
for cash at value proportionate to the investors’ shares in the ICAV’s net assets and are classified as
liabilities. ICAV’s objective, in managing the Participating Shares, is to ensure a stable base to
maximise returns to investors and to manage liquidity and to manage liquidity risk arising from
redemptions.
CFM UCITS ICAV
Notes to the Financial Statements for the six month period ended 30 June 2018 (continued)
28
15. Significant events during the financial period
On 6 December 2017 the Board of Directors approved a change of the Manager from Carne Global
Fund Managers (Ireland) Limited to Capital Fund Management S.A. The Central Bank of Ireland
approved this change effective 20 June 2018.
Euro Class N and USD Class I Shares were launched on 4 January 2018 and Euro Class C was launched
on 06 February 2018 as new share classes of the ICAV.
There were no other significant events other than mentioned above during the financial period from 1
January 2018 to 30 June 2018.
16. Significant events subsequent to the financial period end
There were no subsequent events affecting the ICAV since the period end.
17. Approval of financial statements
The financial statements were approved and authorised for issue by the Board of Directors on 29 August
2018.
CFM UCITS ICAV CFM IS Behavioral Fund
Condensed Schedule of Investments as at 30 June 2018
(Expressed in Euro)
29
Fair
Value % of Net
Holdings Financial assets at fair value through profit or loss Euro Asset Value
Investments in securities at fair value - fixed income
(31 December 2017: 30.13%)
Government Securities (31 December 2017: 30.13%)
Belgium
2,500,000 French Discount T-Bill 0% 07/11/2018×* 2,505,388 7.01
3,000,000 French Discount T-Bill 0% 05/12/2018×* 3,007,725 8.41
5,513,113 15.42
Netherlands
3,000,000 Netherlands Government Bill 4% 15/07/2018×* 3,004,350 8.40
3,004,350 8.40
United States of America
1,000,000 US Treasury Bill 0% 11/10/2018* 851,277 2.38
851,277 2.38
Total investments in securities at fair value - fixed
income (31 December 2017: 30.13%) 9,368,740 26.20
Unrealised gain on derivative contracts at fair value -
contracts for difference (31 December 2017: 46.20%)~
Australia
Communications 92,801 0.26
Consumer Discretionary 188,847 0.53
Consumer Staples 150,544 0.42
Energy 123,852 0.35
Financial 106,004 0.30
Health Care 155,486 0.43
Industrial 319,932 0.89
Materials 245,630 0.69
Real Estate 409,256 1.14
Technology 159,451 0.45
Utilities 11,156 0.03
1,962,959 5.49
Belgium
Financial 1,858 0.01
Health Care 3,030 0.01
Industrial 37,546 0.10
Materials 9,953 0.03
Real Estate 1,137 -
53,524 0.15
~ The counterparty of contracts for difference is Barclays Bank Plc.
×Positions representing 5% or more of the Net Asset Value are shown separately.
CFM UCITS ICAV CFM IS Behavioral Fund
Condensed Schedule of Investments as at 30 June 2018 (continued)
(Expressed in Euro)
30
Fair
Value % of Net
Financial assets at fair value through profit or loss Euro Asset Value
Unrealised gain on derivative contracts at fair value -
contracts for difference (31 December 2017: 46.20%) (continued) ~
Bermuda
Industrial 16,288 0.05
16,288 0.05
Canada
Materials 6,889 0.02
6,889 0.02
Denmark
Consumer Discretionary 21,882 0.06
Consumer Staples 60,431 0.17
Financial 3,684 0.01
Health Care 252,339 0.71
Industrial 427,263 1.19
765,599 2.14
Faeroe Islands
Consumer Staples 35,943 0.10
35,943 0.10
Finland
Communications 25,529 0.07
Consumer Discretionary 51,097 0.14
Consumer Staples 8,066 0.02
Energy 170,688 0.48
Industrial 162,772 0.46
Materials 566,452 1.58
984,604 2.75
France
Communications 39,141 0.11
Consumer Discretionary 501,450 1.40
Consumer Staples 3,414 0.01
Financial 17,150 0.05
Industrial 129,250 0.36
Materials 140,672 0.39
Real Estate 31,669 0.09
~ The counterparty of contracts for difference is Barclays Bank Plc.
CFM UCITS ICAV CFM IS Behavioral Fund
Condensed Schedule of Investments as at 30 June 2018 (continued)
(Expressed in Euro)
31
Fair
Value % of Net
Financial assets at fair value through profit or loss Euro Asset Value
Unrealised gain on derivative contracts at fair value -
contracts for difference (31 December 2017: 46.20%) (continued) ~
France (continued)
Technology 10,338 0.03
Utilities 2,786 0.01
875,870 2.45
Germany
Communications 34,265 0.10
Consumer Discretionary 567,227 1.59
Consumer Staples 84,033 0.24
Financial 40,858 0.11
Health Care 1,291 -
Industrial 491,449 1.37
Materials 280,717 0.79
Real Estate 42,264 0.12
Technology 305,626 0.85
1,847,730 5.17
Gibraltar
Consumer Discretionary 3,118 0.01
3,118 0.01
Jersey C.I.
Consumer Discretionary 142,117 0.40
Financial 9,557 0.03
Materials 283,020 0.79
434,694 1.22
Malta
Consumer Discretionary 248,355 0.69
248,355 0.69
Netherlands
Communications 1,915 0.01
Consumer Staples 13,185 0.04
Financial 12,052 0.03
Real Estate 8,492 0.02
Technology 225,194 0.63
260,838 0.73
~ The counterparty of contracts for difference is Barclays Bank Plc.
CFM UCITS ICAV CFM IS Behavioral Fund
Condensed Schedule of Investments as at 30 June 2018 (continued)
(Expressed in Euro)
32
Fair
Value % of Net
Financial assets at fair value through profit or loss Euro Asset Value
Unrealised gain on derivative contracts at fair value -
contracts for difference (31 December 2017: 46.20%) (continued) ~
New Zealand
Communications 97,636 0.27
Consumer Discretionary 1,461 -
Consumer Staples 27,879 0.08
Health Care 106,480 0.30
233,456 0.65
Norway
Communications 206,344 0.58
Consumer Staples 587,835 1.65
Energy 654,895 1.83
Financial 65,541 0.18
Real Estate 22,336 0.06
1,536,951 4.30
Portugal
Communications 5,008 0.01
Consumer Staples 9,721 0.03
Energy 121,974 0.34
Financial 13,685 0.04
Industrial 19,754 0.06
Materials 129,991 0.36
Utilities 78,437 0.22
378,570 1.06
Spain
Communications 199,888 0.56
Consumer Discretionary 396,466 1.11
Consumer Staples 6,944 0.02
Financial 22,664 0.06
Industrial 277,399 0.77
Materials 363,295 1.02
Real Estate 12,698 0.04
Utilities 12,370 0.03
1,291,724 3.61
~ The counterparty of contracts for difference is Barclays Bank Plc.
CFM UCITS ICAV CFM IS Behavioral Fund
Condensed Schedule of Investments as at 30 June 2018 (continued)
(Expressed in Euro)
33
Fair
Value % of Net
Financial assets at fair value through profit or loss Euro Asset Value
Unrealised gain on derivative contracts at fair value -
contracts for difference (31 December 2017: 46.20%) (continued) ~
Sweden
Consumer Discretionary 297,651 0.83
Consumer Staples 657,383 1.84
Financial 553 -
Industrial 193,031 0.54
Materials 420,849 1.18
Real Estate 15,151 0.04
1,584,618 4.43
Switzerland
Communications 66,391 0.18
Consumer Discretionary 2,100 0.01
Consumer Staples 39,740 0.11
Financial 12,000 0.03
Industrial 26,328 0.07
Technology 317,131 0.89
Utilities 9,345 0.03
473,035 1.32
United Kingdom
Communications 91,341 0.26
Consumer Discretionary 1,179,993 3.30
Consumer Staples 795,335 2.23
Financial 7,527 0.02
Materials 2,101,615 5.88
Real Estate 62,292 0.17
Technology 735 -
4,238,838 11.86
United States of America
Communications 12,588 0.04
12,588 0.04
Total unrealised gain on derivative contracts at fair
value - contracts for difference
(31 December 2017: 46.20%)**** 17,246,191 48.24
~ The counterparty of contracts for difference is Barclays Bank Plc.
CFM UCITS ICAV CFM IS Behavioral Fund
Condensed Schedule of Investments as at 30 June 2018 (continued)
(Expressed in Euro)
34
Fair
Value % of Net
Financial assets at fair value through profit or loss Euro Asset Value
Unrealised gain on derivative contracts at
fair value - futures (31 December 2017: 2.16%)
Australia
Financial 23,374 0.07
23,374 0.07
China Peoples' Republic of
Financial 1,147 -
1,147 -
European Union
Financial 88,718 0.25
88,718 0.25
Germany
Financial 168,305 0.47
168,305 0.47
Hong Kong
Financial 5,635 0.02
5,635 0.02
Japan
Financial 16,546 0.05
16,546 0.05
Singapore
Financial 449 -
449 -
Spain
Financial 18,180 0.05
18,180 0.05
Taiwan
Financial 2,157 0.01
2,157 0.01
United Kingdom
Financial 4,510 0.01
4,510 0.01
CFM UCITS ICAV CFM IS Behavioral Fund
Condensed Schedule of Investments as at 30 June 2018 (continued)
(Expressed in Euro)
35
Fair
Value % of Net
Financial assets at fair value through profit or loss Euro Asset Value
Unrealised gain on derivative contracts at
fair value - futures (31 December 2017: 2.16%) (continued)
United States of America
Financial 204,877 0.57
204,877 0.57
Total unrealised gain on derivative contracts at fair
value - futures (31 December 2017: 2.16%)*** 533,898 1.50
Unrealised gain on derivative contracts at
fair value - swaps (31 December 2017: 4.76%)±
Australia
Communications 3,291 0.01
Consumer Discretionary 808 -
Consumer Staples 894 -
Energy 4,238 0.01
Financial 382 -
Health Care 2,746 0.01
Industrial 419 -
Materials 7,857 0.02
Real Estate 5,610 0.02
Technology 2,271 0.01
28,516 0.08
Austria
Technology 35,441 0.10
35,441 0.10
Belgium
Real Estate 23 -
Technology 135 -
Utilities 3 -
161 -
± The counterparties of swap derivatives are Deutsche Bank AG, JP Morgan Securities Plc and Nomura
International Plc.
CFM UCITS ICAV CFM IS Behavioral Fund
Condensed Schedule of Investments as at 30 June 2018 (continued)
(Expressed in Euro)
36
Fair
Value % of Net
Financial assets at fair value through profit or loss Euro Asset Value
Unrealised gain on derivative contracts at fair value - swaps
(31 December 2017: 4.76%) (continued) ±
Bermuda
Consumer Discretionary 48,782 0.14
Consumer Staples 396 -
Energy 23,695 0.07
Materials 203 -
73,076 0.21
Brazil
Consumer Staples 3,525 0.01
Energy 1,726 -
5,251 0.01
British Virgin Islands
Consumer Discretionary 25,856 0.07
25,856 0.07
Canada
Communications 14,557 0.04
Consumer Discretionary 19,457 0.06
Consumer Staples 18,002 0.05
Energy 12,154 0.03
Financial 3,613 0.01
Health Care 11 -
Industrial 2,861 0.01
Materials 13,205 0.04
Real Estate 2,611 0.01
Technology 1,025 -
Utilities 390 -
87,886 0.25
Cayman Islands
Communications 14,474 0.04
Technology 2 -
14,476 0.04
± The counterparties of swap derivatives are Deutsche Bank AG, JP Morgan Securities Plc and Nomura
International Plc.
CFM UCITS ICAV CFM IS Behavioral Fund
Condensed Schedule of Investments as at 30 June 2018 (continued)
(Expressed in Euro)
37
Fair
Value % of Net
Financial assets at fair value through profit or loss Euro Asset Value
Unrealised gain on derivative contracts at fair value - swaps
(31 December 2017: 4.76%) (continued) ±
China Peoples' Republic of
Financial 373 -
373 -
Colombia
Energy 168 -
168 -
Curacao
Energy 13,547 0.04 13,547 0.04
Denmark
Communications - -
Consumer Staples 6,355 0.02
Industrial 52,242 0.14
Technology 21 -
58,618 0.16
Faeroe Islands
Consumer Staples 191 -
191 -
Finland
Communications 1,415 0.01
Consumer Staples 5 -
Health Care 854 -
Industrial 4,697 0.01
6,971 0.02
France
Communications 1,514 -
Consumer Discretionary 5,358 0.02
Energy 298 -
Financial 158 -
± The counterparties of swap derivatives are Deutsche Bank AG, JP Morgan Securities Plc and Nomura
International Plc.
CFM UCITS ICAV CFM IS Behavioral Fund
Condensed Schedule of Investments as at 30 June 2018 (continued)
(Expressed in Euro)
38
Fair
Value % of Net
Financial assets at fair value through profit or loss Euro Asset Value
Unrealised gain on derivative contracts at fair value - swaps
(31 December 2017: 4.76%) (continued) ±
France (continued)
Health Care 7 -
Industrial 4,097 0.01
Real Estate 60 -
Technology 1 -
11,493 0.03
Germany
Communications 181 -
Consumer Discretionary 29,906 0.08
Financial 59 -
Industrial 8,513 0.03
Materials 19,093 0.05
Real Estate 278 -
Technology 3,839 0.01
61,869 0.17
Ireland
Consumer Discretionary 2 -
Health Care 35,809 0.10
Industrial 1,809 0.01
37,620 0.11
Japan
Communications 43,072 0.12
Consumer Discretionary 54,362 0.15
Consumer Staples 14,366 0.04
Energy 9,792 0.03
Financial 5,308 0.01
Health Care 32,052 0.09
Industrial 76,367 0.21
Materials 14,242 0.04
Real Estate 1,008 -
Technology 10,047 0.03
Utilities 12,772 0.04
273,388 0.76
± The counterparties of swap derivatives are Deutsche Bank AG, JP Morgan Securities Plc and Nomura
International Plc.
CFM UCITS ICAV CFM IS Behavioral Fund
Condensed Schedule of Investments as at 30 June 2018 (continued)
(Expressed in Euro)
39
Fair
Value % of Net
Financial assets at fair value through profit or loss Euro Asset Value
Unrealised gain on derivative contracts at fair value - swaps
(31 December 2017: 4.76%) (continued) ±
Jersey C.I.
Communications 1,235 -
Consumer Discretionary 3,878 0.01
Financial 3 -
5,116 0.01
Netherlands
Consumer Discretionary 8,232 0.02
Energy 7,634 0.02
Health Care 15 -
Materials 3,277 0.01
Real Estate 19 -
Technology 951 0.01
20,128 0.06
New Zealand
Communications 691 -
Health Care 505 -
1,196 -
Norway
Energy 2,199 0.01
Financial 1,447 -
3,646 0.01
Portugal
Energy 2,040 0.01
Materials 1,312 -
Utilities 49 -
3,401 0.01
South Africa
Materials 23 -
23 -
± The counterparties of swap derivatives are Deutsche Bank AG, JP Morgan Securities Plc and Nomura
International Plc.
CFM UCITS ICAV CFM IS Behavioral Fund
Condensed Schedule of Investments as at 30 June 2018 (continued)
(Expressed in Euro)
40
Fair
Value % of Net
Financial assets at fair value through profit or loss Euro Asset Value
Unrealised gain on derivative contracts at fair value - swaps
(31 December 2017: 4.76%) (continued) ±
Spain
Consumer Staples 4,979 0.01
Energy 9,701 0.03
Financial 45 -
Real Estate 196 -
Utilities 97 -
15,018 0.04
Sweden
Consumer Discretionary 932 -
Consumer Staples 5,284 0.02
Financial 39 -
Health Care 616 -
Industrial 444 -
Materials 8 -
Real Estate 26 -
7,349 0.02
Switzerland
Communications 241 -
Consumer Discretionary 19,111 0.06
Consumer Staples 367 -
Financial 20 -
Industrial 535 -
Materials 460 -
Technology 7,194 0.02
Utilities 115 -
28,043 0.08
United Kingdom
Communications 19 -
Consumer Discretionary 4,128 0.01
Consumer Staples 15,818 0.04
± The counterparties of swap derivatives are Deutsche Bank AG, JP Morgan Securities Plc and Nomura
International Plc.
CFM UCITS ICAV CFM IS Behavioral Fund
Condensed Schedule of Investments as at 30 June 2018 (continued)
(Expressed in Euro)
41
Fair
Value % of Net
Financial assets at fair value through profit or loss Euro Asset Value
Unrealised gain on derivative contracts at fair value - swaps
(31 December 2017: 4.76%) (continued) ±
United Kingdom (continued)
Energy 37,794 0.11
Financial 4 -
Health Care 18,222 0.05
Industrial 27,399 0.08
Materials 2,080 0.01
Real Estate 29 -
105,493 0.30
United States of America
Communications 28,913 0.08
Consumer Discretionary 219,224 0.61
Consumer Staples 72,356 0.20
Energy 55,302 0.16
Financial 3,805 0.01
Health Care 146,311 0.41
Industrial 92,404 0.26
Materials 13,613 0.04
Technology 46,022 0.13
Utilities 469 -
678,419 1.90
Total unrealised gain on derivative contracts at fair
value - swaps (31 December 2017: 4.76%)**** 1,602,733 4.48
± The counterparties of swap derivatives are Deutsche Bank AG, JP Morgan Securities Plc and Nomura
International Plc.
CFM UCITS ICAV CFM IS Behavioral Fund
Condensed Schedule of Investments as at 30 June 2018 (continued)
(Expressed in Euro)
42
Financial assets at fair value through profit or loss
Unrealised gain on derivative contracts at fair value - forward contracts±
(31 December 2017: Nil)
Bought Amount Sold Amount
Maturity
Date
Unrealised
Gain
% of Net
Asset Value
EUR 6,796 CZK 174,836 19/09/2018 84 -
EUR 447,777 HUF 143,354,557 19/09/2018 12,869 0.04
EUR 1,605,214 NOK 15,302,213 19/09/2018 2,124 0.01
EUR 8,272 PLN 35,555 19/09/2018 176 -
EUR 1,781,876 SEK 18,275,629 19/09/2018 34,700 0.10
INR 143,112 USD 2,068 19/09/2018 1 -
TRY 415,258 USD 85,778 19/09/2018 1,444 -
USD 3,719,482 BRL 13,933,641 19/09/2018 131,936 0.37
USD 327,357 INR 22,517,552 19/09/2018 1,552 -
USD 115,750 SGD 155,895 19/09/2018 977 -
USD 1,781,876 SEK 18,275,629 19/09/2018 19,684 0.05
USD 143,112 USD 2,068 19/09/2018 3,600 0.01
ZAR 415,258 USD 85,778 19/09/2018 39 -
USD 844,904 ILS 3,001,298 20/09/2018 16,477 0.05
Total unrealised gain on derivative contracts at fair value
- forward contracts (31 December 2017: Nil)**** 225,663 0.63
Total investments in securities and derivative contracts, at
fair value (31 December 2017: 83.25%) 28,977,225 81.05
± The counterparty of forward contracts is Deutsche Bank.
CFM UCITS ICAV CFM IS Behavioral Fund
Condensed Schedule of Investments as at 30 June 2018 (continued)
(Expressed in Euro)
43
Fair % of Net
Value Asset
Financial liabilities at fair value through profit or loss Euro Value
Unrealised loss on derivative contracts at fair value -
contracts for difference (31 December 2017: (43.67%))~
Australia
Communications (74,560) (0.21)
Consumer Discretionary (271,410) (0.76)
Consumer Staples (404,378) (1.13)
Energy (71,393) (0.20)
Financial (98,165) (0.28)
Health Care (258,663) (0.72)
Industrial (453,180) (1.27)
Materials (243,600) (0.68)
Real Estate (25,638) (0.07)
Technology (2,263) (0.01)
Utilities (80,206) (0.22)
(1,983,456) (5.55)
Austria
Technology (415,878) (1.16)
(415,878) (1.16)
Belgium
Consumer Staples (689,977) (1.93)
Materials (498,774) (1.39)
Technology (6,299) (0.02)
(1,195,050) (3.34)
Bermuda
Industrial (13,234) (0.04)
Materials (16,940) (0.05)
(30,174) (0.09)
Denmark
Consumer Staples (12,478) (0.03)
Health Care (123,464) (0.35)
Industrial (406,554) (1.14)
Technology (28,169) (0.08)
(570,665) (1.60)
~ The counterparty of contracts for difference is Barclays Bank Plc.
CFM UCITS ICAV CFM IS Behavioral Fund
Condensed Schedule of Investments as at 30 June 2018 (continued)
(Expressed in Euro)
44
Fair % of Net
Value Asset
Financial liabilities at fair value through profit or loss Euro Value
Unrealised loss on derivative contracts at fair value -
contracts for difference (31 December 2017: (43.67%) (continued) ~
Finland
Communications (79,156) (0.22)
Health Care (23,598) (0.07)
Industrial (164,704) (0.46)
(267,458) (0.75)
France
Communications (570,944) (1.60)
Consumer Discretionary (328,828) (0.92)
Consumer Staples (618,774) (1.73)
Energy (1,197) -
Health Care (13,602) (0.04)
Industrial (573,855) (1.60)
(2,107,200) (5.89)
Germany
Communications (54,587) (0.15)
Consumer Discretionary (116,549) (0.33)
Health Care (459,350) (1.29)
Industrial (666,543) (1.86)
Materials (759,835) (2.13)
Technology (190,281) (0.53)
Utilities (759,335) (2.12)
(3,006,480) (8.41)
Ireland
Consumer Staples (81,675) (0.23)
Health Care (1,391) -
Industrial (83,223) (0.23)
(166,289) (0.46)
Isle of Man
Consumer Discretionary (16,349) (0.05)
(16,349) (0.05)
~ The counterparty of contracts for difference is Barclays Bank Plc.
CFM UCITS ICAV CFM IS Behavioral Fund
Condensed Schedule of Investments as at 30 June 2018 (continued)
(Expressed in Euro)
45
Fair
Value % of Net
Financial liabilities at fair value through profit or loss Euro Asset Value
Unrealised loss on derivative contracts at fair value -
contracts for difference (31 December 2017: (43.67%) (continued) ~
Jersey C.I.
Communications (89,688) (0.25)
(89,688) (0.25)
Luxembourg
Energy (81,107) (0.23)
Health Care (31,919) (0.09)
(113,026) (0.32)
Netherlands
Consumer Discretionary (173) -
Energy (44,169) (0.12)
Health Care (111,727) (0.31)
Industrial (315,184) (0.88)
Materials (531,064) (1.49)
Technology (6,773) (0.02)
(1,009,090) (2.82)
New Zealand
Technology (3,510) (0.01)
(3,510) (0.01)
Norway
Consumer Discretionary (27,900) (0.08)
Energy (268,690) (0.75)
Materials (67,407) (0.19)
(363,997) (1.02)
Spain
Communications (1,361) -
Consumer Discretionary (249,851) (0.70)
Energy (600,504) (1.68)
Health Care (27,460) (0.08)
Industrial (6,537) (0.02)
(885,713) (2.48)
~ The counterparty of contracts for difference is Barclays Bank Plc.
CFM UCITS ICAV CFM IS Behavioral Fund
Condensed Schedule of Investments as at 30 June 2018 (continued)
(Expressed in Euro)
46
Fair
Value % of Net
Financial liabilities at fair value through profit or loss Euro Asset Value
Unrealised loss on derivative contracts at fair value -
contracts for difference (31 December 2017: (43.67%) (continued) ~
Sweden
Communications (150,223) (0.42)
Consumer Discretionary (84,365) (0.24)
Consumer Staples (7,132) (0.02)
Health Care (2,089) -
Industrial (674,631) (1.89)
(918,440) (2.57)
Switzerland
Communications (18,234) (0.05)
Consumer Discretionary (310,811) (0.87)
Consumer Staples (68,833) (0.19)
Health Care (629,538) (1.76)
Industrial (158,407) (0.44)
(1,185,823) (3.31)
United Kingdom
Communications (12,900) (0.04)
Consumer Discretionary (309,465) (0.86)
Consumer Staples (162,633) (0.45)
Energy (785,405) (2.20)
Financial (2,593) (0.01)
Health Care (351,822) (0.98)
Industrial (898,415) (2.51)
Materials (99,043) (0.28)
Technology (69,186) (0.19)
Utilities (19,827) (0.06)
(2,711,289) (7.58)
United States of America
Health Care (12,408) (0.03)
(12,408) (0.03)
Total unrealised loss on derivative contracts at fair
value - contracts for difference
(31 December 2017: (43.67%)) (17,051,983) (47.69)
~ The counterparty of contracts for difference is Barclays Bank Plc.
CFM UCITS ICAV CFM IS Behavioral Fund
Condensed Schedule of Investments as at 30 June 2018 (continued)
(Expressed in Euro)
47
Fair
Value % of Net
Financial liabilities at fair value through profit or loss Euro Asset Value
Unrealised loss on derivative contracts at
fair value - futures (31 December 2017: (2.11%)
Australia
Financial (15,809) (0.04)
(15,809) (0.04)
Canada
Financial (53,721) (0.15)
(53,721) (0.15)
France
Financial (17,320) (0.05)
(17,320) (0.05)
Germany
Financial (21,960) (0.06)
(21,960) (0.06)
Hong Kong
Financial (704) -
(704) -
Italy
Financial (5,530) (0.02)
(5,530) (0.02)
Japan
Financial (30,996) (0.09)
(30,996) (0.09)
Korea Republic of (South Korea)
Financial (87,490) (0.24)
(87,490) (0.24)
Netherlands
Financial (25,650) (0.07)
(25,650) (0.07)
CFM UCITS ICAV CFM IS Behavioral Fund
Condensed Schedule of Investments as at 30 June 2018 (continued)
(Expressed in Euro)
48
Fair
Value % of Net
Financial liabilities at fair value through profit or loss Euro Asset Value
Unrealised loss on derivative contracts at
fair value - futures (31 December 2017: (2.11%) (continued)
South Africa
Financial (15,917) (0.05)
(15,917) (0.05)
United Kingdom
Financial (20,536) (0.06)
(20,536) (0.06)
United States of America
Financial (181,803) (0.51)
(181,803) (0.51)
Total unrealised loss on derivative contracts at fair
value - futures (31 December 2017: (2.11%)) (477,436) (1.34)
Unrealised loss on derivative contracts at
fair value - swaps (31 December 2017: (5.29%)±
Australia
Communications (678) -
Consumer Discretionary (3,085) (0.01)
Consumer Staples (7,164) (0.02)
Energy (1,065) -
Financial (2,272) (0.01)
Health Care (1,062) -
Industrial (11,855) (0.03)
Materials (2,163) (0.01)
Real Estate (160) -
Utilities (1,590) (0.01)
(31,094) (0.09)
Belgium
Financial (92) -
Industrial (618) -
Materials (2,429) (0.01)
Real Estate (5) -
(3,144) (0.01)
± The counterparties of swap derivatives are Deutsche Bank AG, JP Morgan Securities Plc and Nomura
International Plc.
CFM UCITS ICAV CFM IS Behavioral Fund
Condensed Schedule of Investments as at 30 June 2018 (continued)
(Expressed in Euro)
49
Fair
Value % of Net
Financial liabilities at fair value through profit or loss Euro Asset Value
Unrealised loss on derivative contracts at
fair value - swaps(31 December 2017: (5.29%) (continued) ±
Bermuda
Industrial (766) -
(766) -
Brazil
Communications (1,465) -
Materials (17,237) (0.05)
(18,702) (0.05)
Canada
Communications (8,025) (0.02)
Consumer Discretionary (11,260) (0.03)
Consumer Staples (6,886) (0.02)
Energy (10,264) (0.03)
Financial (20,275) (0.06)
Industrial (12,253) (0.03)
Materials (72,087) (0.20)
Real Estate (7,523) (0.02)
Technology (24,852) (0.07)
Utilities (6,490) (0.02)
(179,915) (0.50)
Cayman Islands
Communications (67,698) (0.19)
Consumer Discretionary (5,489) (0.02)
Industrial (421) -
Technology (3,493) (0.01)
(77,101) (0.22)
Chile
Materials (42,269) (0.12)
(42,269) (0.12)
Colombia
Energy (5) -
(5) -
± The counterparties of swap derivatives are Deutsche Bank AG, JP Morgan Securities Plc and Nomura
International Plc.
CFM UCITS ICAV CFM IS Behavioral Fund
Condensed Schedule of Investments as at 30 June 2018 (continued)
(Expressed in Euro)
50
Fair
Value % of Net
Financial liabilities at fair value through profit or loss Euro Asset Value
Unrealised loss on derivative contracts at
fair value - swaps (31 December 2017: (5.29%) (continued) ±
Denmark
Consumer Discretionary (1,438) -
Financial (94) -
Health Care (16,278) (0.05)
(17,810) (0.05)
Finland
Communications (54) -
Consumer Discretionary (7,595) (0.02)
Energy (1,541) -
Industrial (104) -
Materials (13,026) (0.04)
(22,320) (0.06)
France
Communications (1) -
Consumer Discretionary (64,432) (0.18)
Consumer Staples (808) -
Health Care (1,445) (0.01)
Industrial (1,485) -
Materials (42,696) (0.12)
Real Estate (100) -
Technology (236) -
(111,203) (0.31)
Germany
Communications (9,818) (0.03)
Consumer Discretionary (46,399) (0.13)
Consumer Staples (1,250) -
Financial (763) -
Health Care (5,981) (0.02)
Industrial (4,299) (0.01)
Materials (30,248) (0.09)
Real Estate (550) -
Technology (38,993) (0.11)
Utilities (559) -
(138,860) (0.39)
± The counterparties of swap derivatives are Deutsche Bank AG, JP Morgan Securities Plc and Nomura
International Plc.
CFM UCITS ICAV CFM IS Behavioral Fund
Condensed Schedule of Investments as at 30 June 2018 (continued)
(Expressed in Euro)
51
Fair
Value % of Net
Financial liabilities at fair value through profit or loss Euro Asset Value
Unrealised loss on derivative contracts at
fair value - swaps (31 December 2017: (5.29%) (continued) ±
Gibraltar
Consumer Discretionary (88) -
(88) -
Ireland
Consumer Staples (2,958) (0.01)
Health Care (6,205) (0.02)
Technology (619) -
(9,782) (0.03)
Japan
Communications (52,382) (0.15)
Consumer Discretionary (188,130) (0.53)
Consumer Staples (37,953) (0.11)
Energy (1,996) -
Financial (3,641) (0.01)
Health Care (39,414) (0.11)
Industrial (96,692) (0.27)
Materials (84,096) (0.23)
Real Estate (2,371) (0.01)
Technology (20,455) (0.06)
Utilities (10,751) (0.03)
(537,881) (1.51)
Jersey C.I.
Materials (13,110) (0.04)
(13,110) (0.04)
Luxembourg
Energy (674) -
Industrial (13,940) (0.04)
(14,614) (0.04)
Malta
Consumer Discretionary (73) -
(73) -
± The counterparties of swap derivatives are Deutsche Bank AG, JP Morgan Securities Plc and Nomura
International Plc.
CFM UCITS ICAV CFM IS Behavioral Fund
Condensed Schedule of Investments as at 30 June 2018 (continued)
(Expressed in Euro)
52
Fair
Value % of Net
Financial liabilities at fair value through profit or loss Euro Asset Value
Unrealised loss on derivative contracts at
fair value - swaps (31 December 2017: (5.29%) (continued) ±
Mexico
Communications (5,314) (0.01)
(5,314) (0.01)
Netherlands
Communications (72) -
Consumer Discretionary (54,672) (0.15)
Consumer Staples (221) -
Financial (878) -
Industrial (8,640) (0.03)
Real Estate (299) -
Technology (79,126) (0.22)
(143,908) (0.40)
New Zealand
Communications (862) -
Consumer Staples (1) -
Technology (292) -
(1,155) -
Norway
Communications (1,012) -
Consumer Staples (9,736) (0.03)
Energy (2,634) (0.01)
Industrial (7) -
Materials (345) -
Real Estate (799) -
(14,533) (0.04)
Panama
Consumer Discretionary (63,629) (0.18)
(63,629) (0.18)
Papua New Guinea
Materials (402) -
(402) -
± The counterparties of swap derivatives are Deutsche Bank AG, JP Morgan Securities Plc and Nomura
International Plc.
CFM UCITS ICAV CFM IS Behavioral Fund
Condensed Schedule of Investments as at 30 June 2018 (continued)
(Expressed in Euro)
53
Fair
Value % of Net
Financial liabilities at fair value through profit or loss Euro Asset Value
Unrealised loss on derivative contracts at
fair value - swaps (31 December 2017: (5.29%) (continued) ±
Portugal
Consumer Discretionary (404) -
Consumer Staples (152) -
Financial (374) -
Industrial (1,471) -
Materials (1,845) (0.01)
(4,246) (0.01)
Russian Federation
Communications (29,874) (0.08)
(29,874) (0.08)
South Africa
Materials (3) -
(3) -
Spain
Communications (20,689) (0.06)
Consumer Discretionary (39,156) (0.11)
Health Care (288) -
Industrial (2,938) (0.01)
Technology (38) -
(63,109) (0.18)
Sweden
Communications (22) -
Consumer Discretionary (10,624) (0.03)
Consumer Staples (13,660) (0.04)
Financial (43) -
Health Care (20) -
Industrial (3,700) (0.01)
Materials (11,884) (0.03)
Real Estate (1,056) -
(41,009) (0.11)
± The counterparties of swap derivatives are Deutsche Bank AG, JP Morgan Securities Plc and Nomura
International Plc.
CFM UCITS ICAV CFM IS Behavioral Fund
Condensed Schedule of Investments as at 30 June 2018 (continued)
(Expressed in Euro)
54
Fair
Value % of Net
Financial liabilities at fair value through profit or loss Euro Asset Value
Unrealised loss on derivative contracts at
fair value - swaps (31 December 2017: (5.29%) (continued) ±
Switzerland
Consumer Staples (618) -
Financial (1) -
Health Care (8,249) (0.03)
Industrial (354) -
(9,222) (0.03)
United Kingdom
Communications (1,048) -
Consumer Discretionary (55,674) (0.16)
Consumer Staples (11,429) (0.03)
Energy (4,905) (0.01)
Financial (103) -
Health Care (17,806) (0.05)
Industrial (9,715) (0.03)
Materials (29,391) (0.08)
Real Estate (122) -
Technology (6,934) (0.02)
(137,127) (0.38)
United States of America
Communications (55,912) (0.16)
Consumer Discretionary (192,355) (0.54)
Consumer Staples (86,148) (0.24)
Energy (46,693) (0.13)
Financial (1,353) (0.01)
Health Care (301,493) (0.84)
Industrial (79,699) (0.22)
Materials (59,677) (0.17)
Real Estate (4,497) (0.01)
Technology (94,237) (0.26)
Utilities (2,511) (0.01)
(924,575) (2.59)
Total unrealised loss on derivative contracts
at fair value - swaps (31 December 2017: (5.29%)) (2,656,843) (7.43)
± The counterparties of swap derivatives are Deutsche Bank AG, JP Morgan Securities Plc and Nomura
International Plc.
CFM UCITS ICAV CFM IS Behavioral Fund
Condensed Schedule of Investments as at 30 June 2018 (continued)
(Expressed in Euro)
55
Financial liabilities at fair value through profit or loss
Unrealised loss on derivative contracts at fair value - forward contracts±
(31 December 2017: Nil)
Bought Amount Sold Amount
Maturity
Date
Unrealised
Loss
% of Net
Asset Value
BRL 2,691,431 USD 713,209 19/09/2018 (21,020) (0.06)
CZK 7,662,156 EUR 298,005 19/09/2018 (3,876) (0.01)
HUF 5,943,588 EUR 18,207 19/09/2018 (175) -
INR 74,185,122 USD 1,086,651 19/09/2018 (12,051) (0.04)
NOK 843,318 EUR 88,814 19/09/2018 (466) -
PLN 2,270,712 EUR 527,976 19/09/2018 (10,910) (0.03)
SEK 1,136,608 EUR 110,325 19/09/2018 (1,664) (0.01)
SGD 4,416,348 USD 3,317,697 19/09/2018 (60,537) (0.17)
TRY 71,923 USD 15,237 19/09/2018 (74) -
USD 219,947 INR 15,308,311 19/09/2018 (1,159) -
USD 122,120 SGD 166,498 19/09/2018 (235) -
USD 9,211 TRY 44,780 19/09/2018 (189) -
USD 162,674 ZAR 2,276,201 19/09/2018 (1,199) -
ZAR 26,862,046 USD 2,019,769 19/09/2018 (70,917) (0.20)
ILS 237,341 USD 65,836 20/09/2018 (471) -
Total unrealised loss on derivative contracts at fair value -
forward contracts (31 December 2017: Nil) (184,943) (0.52)
Total unrealised loss on derivative contracts at fair value
(31 December 2017: (51.07%) (20,371,205) (56.98)
Total investments (31 December 2017: 32.18%) 8,606,020 24.07
Cash and cash equivalents 11,459,185 32.05
Other net assets and liabilities 15,688,928 43.88
Total net assets 35,754,133 100.00
± The counterparties of forward contracts are Deutsche Bank AG.
CFM UCITS ICAV CFM IS Behavioral Fund
Condensed Schedule of Investments as at 30 June 2018 (continued)
(Expressed in Euro)
56
Fair
Value % of
Analysis of Total Assets as at 30 June 2018 Euro Total Assets
*Transferable securities admitted to an official stock exchange listing 9,368,740 14.78
***Financial derivative instruments dealt in on a regulated market 533,898 0.84
****OTC financial derivative instruments 19,074,587 30.09
Deposits with credit institutions 11,459,185 18.08
Other current assets 22,948,390 36.21
Total 63,384,800 100.00
Fair
Value % of
Analysis of Total Assets as at 31 December 2017 Euro Total Assets
*Transferable securities admitted to an official stock exchange listing 8,076,200 14.73
**Transferable securities traded in a regulated market 2,002,290 3.65
***Financial derivative instruments dealt in on a regulated market 723,701 1.32
****OTC financial derivative instruments 17,045,433 31.10
Deposits with credit institutions 8,667,318 15.81
Other current assets 18,300,886 33.39
Total 54,815,828 100.00
Analysis by maturity
30 June 2018 31 December 2017
Euro Euro
Contracts for difference
No stated maturity 194,208 848,556
Futures
Less than one month (48,246) 2,597
One to six months 54,390 (8,562)
Six months to one year 36,906 (1,171)
More than one year 13,412 23,394
Swap contracts
No stated maturity (1,054,110) (179,580)
Forward contracts
One to six months 40,720 -
CFM UCITS ICAV CFM IS Behavioral Fund
Condensed Schedule of Investments as at 30 June 2018 (continued)
(Expressed in Euro)
57
Analysis by currency
30 June 2018 31 December 2017
Unrealised gain
on derivative
contracts at
fair value
Unrealised loss
on derivative
contracts at
fair value
Unrealised gain
on derivative
contracts at
fair value
Unrealised loss
on derivative
contracts at
fair value
Contracts for difference
AUD 2,223,007 (2,079,149) 1,933,136 (1,814,063)
CHF 471,743 (1,601,701) 266,520 (787,778)
DKK 765,599 (570,665) 725,513 (508,928)
EUR 5,358,524 (8,844,799) 5,881,204 (7,877,426)
GBP 4,996,982 (2,578,891) 4,108,412 (2,769,345)
NOK 1,589,182 (458,338) 856,680 (255,363)
SEK 1,841,154 (918,440) 1,684,302 (594,308)
17,246,191 (17,051,983) 15,455,767 (14,607,211)
30 June 2018 31 December 2017
Unrealised gain
on derivative
contracts at
fair value
Unrealised loss
on derivative
contracts at
fair value
Unrealised gain
on derivative
contracts at
fair value
Unrealised loss
on derivative
contracts at
fair value
Futures
AUD 23,374 (15,809) 11,228 (13,226)
CAD - (53,721) 140,137 -
CHF 734 - - -
EUR 275,203 (70,460) 22,392 (475,722)
GBP 3,776 (20,536) 8,568 (90,677)
HKD 5,635 (704) 43,136 -
JPY 16,546 (30,996) 79,501 (5,036)
KRW - (87,490) 31,539 -
SGD 449 - 3,989 -
USD 208,181 (181,803) 379,195 (122,782)
ZAR - (15,917) 4,016 -
533,898 (477,436) 723,701 (707,443)
Swaps
AUD 28,691 (32,656) 29,520 (34,406)
CAD 86,588 (106,135) 51,568 (87,582)
CHF 63,484 (9,125) 21,352 (12,117)
DKK 58,618 (3,308) 29,026 (1,872)
EUR 110,803 (391,056) 157,097 (59,500)
GBP 101,911 (153,194) 183,358 (108,436)
JPY 269,643 (537,881) 222,548 (489,159)
NOK 3,308 (16,041) 2,352 (18,228)
SEK 7,349 (41,476) 60,755 (44,353)
USD 872,338 (1,365,971) 832,090 (913,593)
1,602,733 (2,656,843) 1,589,666 (1,769,246)
CFM UCITS ICAV CFM IS Behavioral Fund
Condensed Schedule of Investments as at 30 June 2018 (continued)
(Expressed in Euro)
58
Analysis by currency (continued)
Forward contracts 30 June 2018
Bought Currency Sold Currency
Unrealised gain on
derivative
contracts at
fair value
Unrealised loss on
derivative
contracts at
fair value
BRL USD - (21,020)
CZK EUR - (3,876)
EUR CZK 84 -
EUR HUF 12,869 -
EUR NOK 2,124 -
EUR PLN 176 -
EUR SEK 34,700 -
HUF EUR - (175)
ILS USD - (471)
INR USD 1 (12,051)
NOK EUR - (466)
PLN EUR - (10,910)
SEK EUR - (1,664)
SGD USD - (60,537)
TRY USD 1,444 (74)
USD BRL 131,936 -
USD ILS 16,477
USD INR 1,552 (1,159)
USD SGD 977 (235)
USD TRY 19,684 (189)
USD ZAR 3,600 (1,199)
ZAR USD 39 (70,917)
225,663 (184,943)
Leverage generated by derivatives 30 June 2018 31 December 2017
Notional Market Values of Long Positions-
Contracts for difference 17,245,971 15,455,767
Futures 41,074,161 (104,385,351)
Swaps (1,973,960) 6,174,910
Notional Market Values of Short Positions-
Contracts for difference (17,051,870) (14,607,211)
Futures (44,009,539) 92,757,399
Swaps 3,474,037 (6,834,134)
CFM UCITS ICAV CFM IS Behavioral Fund
Portfolio Changes for the six month period ended 30 June 2018
(Expressed in Euro)
59
Cost in Proceeds in
Major purchases Euro Major sales Euro
French Discount T-Bill 0%
05/12/2018 3,014,880
Belgium Treasury Certificate 0%
11/01/2018 (5,000,000)
French Discount T-Bill 0%
07/11/2018 2,511,153
Dutch Treasury Certificate 0%
28/02/2018 (2,000,000)
US Treasury Bill 0% 11/10/2018 803,611
The Statement of Significant Purchases and Sales reflect the aggregate purchases of a security exceeding
one percent of the total value of purchases and aggregate disposals of a security greater than one percent of
the total sales for the period. All the purchases and sales during the period have been disclosed.
CFM UCITS ICAV CFM IS Behavioral Fund
Other Additional Disclosures as at 30 June 2018
(Expressed in Euro)
60
Total Expense Ratio
The Total Expense Ratio (“TER”) is calculated according to the following formula: (total expenses / AF)*
100;
AF (= average fund assets)
CFM UCITS ICAV
%
30 June 2018
CFM IS Behavioral Fund 0.10%*
* 0.10% for the period (not annualised) hence equivalent to 0.20% annualised “Expense Cap”.
%
31 December 2017
CFM IS Behavioral Fund 0.20%
CFM UCITS ICAV CFM IS Behavioral Fund
Other Additional Disclosures as at 30 June 2018
(Expressed in Euro)
61
Securities Financing Transaction
The ICAV is subject to the Regulation (EU) 2015/2365 on Transparency of Securities Financing
Transactions and of Reuse and Amending Regulation (EU) No 648/2012 of the European Parliament
(“SFTR”). The regulation was issued on November 25, 2015 effective for all alternative investment Funds
from January 12, 2016. The disclosure requirements accompanying this regulation are effective for annual
reports published after January 13, 2017. This regulation has therefore been adopted for these Financial
Statements dated 30 June 2018 due to the date the financial statements are available to be issued falling
after this effective date.
A Securities Financing Transaction (“SFT”) is defined per Article 3(11) of the SFTR as;
a repurchase transaction or a reverse repurchase transaction;
a securities or commodities lending and securities or commodities borrowing;
a buy-sell back transaction or sell-buy back transaction;
a margin lending transaction.
As at 30 June 2018 the Fund held the following type of SFT:
Contracts For Difference (“CFDs”)
Equity swaps (“Swaps”)
The amount of securities and commodities on loan as a proportion of total lendable assets (excluding cash
and cash equivalents) was 100% as at 30 June 2018.
GLOBAL DATA:
Type of Asset Absolute Amount (Euro) Proportion of AUM (%)
CFDs 34,298,174 95.93
Swaps 4,259,576 11.91
CONCENTRATION DATA:
The CFDs & Swaps positions are collateralised by cash as follows:
Type of Asset Counterparty Counterparty
CFDs Barclays Bank Plc EUR 2,167,379
Swaps Deutsche Bank AG EUR 2,514,458
Swaps JP Morgan Securities Plc USD 2,801,410
Swaps Nomura International Plc USD 629,471
CFM UCITS ICAV has not been fully collateralised in securities issued by member states, however cash
or non-cash assets such as government debt may be used as collateral when necessary.
CFM UCITS ICAV CFM IS Behavioral Fund
Other Additional Disclosures as at 30 June 2018
(Expressed in Euro)
62
Securities Financing Transaction (continued)
CONCENTRATION DATA: (continued)
The counterparties of the CFDs and Swap are as follows:
Counterparty Gross volume of outstanding
trades
1 Barclays Bank Plc 34,298,174
2 Deutsche Bank AG 1,947,461
3 JP Morgan Securities Plc 1,631,050
4 Nomura International Plc 681,065
AGGREGATE TRANSACTION DATA:
Type of
collateral Currency
Maturity
tenor
(collateral)
Country of
counterparty
establishment
(not collateral)
Settlement
and
clearing
Deutsche Bank
AG
Cash Euro Open
Transaction Germany Bilateral
JP Morgan
Securities Plc
Cash Euro Open
Transaction UK Bilateral
Barclays Bank
Plc
Cash Euro Open
Transaction UK Bilateral
Nomura
International Plc
Cash Euro Open
Transaction UK Bilateral
The counterparties have the right to rescue 100% of the posted collateral.
SAFEKEEPING:
Custodian Collateral assets safe-kept
Barclays Bank Plc EUR 2,167,379
Deutsche Bank AG EUR 2,514,458
JP Morgan Securities Plc USD 2,801,410
Nomura International Plc USD 629,471
The collateral is generally held with counterparties in non-segregated accounts.
RETURN/COSTS:
Absolute Costs % Overall Returns
Collective investment undertaking: (292,411) 6.98%