Merrill Lynch Investment Solutions

Unaudited semi-annual report as at September 30, 2018

Société d’Investissement à Capital Variable

R.C.S. Luxembourg B 133.445

No subscription can be received on the basis of these financial statements. Subscriptions may only be accepted on the basis of the current prospectus accompanied by an application form, the key investor information documents, the latest available annual report of the fund and the latest semi-annual report if published thereafter.

Table of contents Page Management and Administration 2

Information to the Shareholders 6

Additional Information for Investors in the Federal Republic of Germany 10

Statements of Net Assets as at September 30, 2018 11

Statistical information 14

Schedule of Investments as at September 30, 2018 28

Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral) 28

Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund 69

Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund 76

Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund 84

Merrill Lynch Investment Solutions – Merrill Lynch WNT Diversified Futures UCITS Fund 102

Merrill Lynch Investment Solutions – Merrill Lynch Enhanced Equity Volatility Premium Fund 112

Merrill Lynch Investment Solutions – Merrill Lynch MLCX Commodity Enhanced Beta Fund 114

Merrill Lynch Investment Solutions – Merrill Lynch MLCX Commodity Alpha Fund 116

Merrill Lynch Investment Solutions – Zeal Greater China Long Short UCITS Fund 118

Merrill Lynch Investment Solutions – Ramius Merger Arbitrage UCITS Fund 121

Merrill Lynch Investment Solutions – Merrill Lynch Enhanced Cross-Asset Volatility Premium Fund 126

Merrill Lynch Investment Solutions – KLS Fixed Income UCITS Fund 128

Merrill Lynch Investment Solutions – Millburn Diversified UCITS Fund 148

Merrill Lynch Investment Solutions – Global Debt - Credit UCITS Fund 153

Merrill Lynch Investment Solutions – Global Debt - Government UCITS Fund 174

Merrill Lynch Investment Solutions – Global Debt - Securitised UCITS Fund 204

Notes to the financial statements as at September 30, 2018 216

Securities Financing Transactions Regulation (SFTR) Disclosures (Unaudited) 233

Index Tracking Portfolios (Unaudited) 238

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Unaudited semi-annual report

Board of Directors of the SICAV

Chairman Mr Claude Kremer, Partner, Arendt & Medernach S.A., 41A, avenue John F. Kennedy, L-2082 Luxembourg, Grand Duchy of Luxembourg

Members Mr Paul Guillaume, Managing Partner, Altra Partners S.A., 370 route de Longwy, L-1940 Luxembourg, Grand Duchy of Luxembourg

Mr Philippe Lopategui, Managing Director, Merrill Lynch International, 2 King Edward Street, London EC1A 1HQ, United Kingdom

Mr Thomas Nummer, Independent Director, TRINOVA S.A., 5 Heienhaff, L-1736 Senningerberg, Grand Duchy of Luxembourg

Board of Directors of the Management Company

Members Mr Simon Greenwell, Managing Director, Merrill Lynch International, 2 King Edward Street, London EC1A 1HQ, United Kingdom

Mr Gavin Lay, Managing Director, Merrill Lynch International, 2 King Edward Street, London EC1A 1HQ, United Kingdom

Mr Charles Peters, Managing Director, Merrill Lynch International, 2 King Edward Street, London EC1A 1HQ, United Kingdom

Management Company CM Investment Solutions Limited, Bank of America Merrill Lynch Financial Centre, 2 King Edward Street, London EC1A 1HQ, United Kingdom

Registered Office of the SICAV State Street Bank Luxembourg S.C.A., 49 avenue J. F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg

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Unaudited semi-annual report

Depository and Paying Agent State Street Bank Luxembourg S.C.A., 49 avenue J. F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg

Registrar and Transfer Agent State Street Bank Luxembourg S.C.A., 49 avenue J. F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg

Administrative, Corporate and Domiciliary Agent State Street Bank Luxembourg S.C.A., 49 avenue J. F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg

Global Distributor Merrill Lynch International, 2 King Edward Street, London EC1A 1HQ, United Kingdom

Legal Advisor Arendt & Medernach S.A., 41A Avenue J. F. Kennedy, L-2082 Luxembourg, Grand Duchy of Luxembourg

Listing Agent State Street Bank Luxembourg S.C.A., 49 avenue J. F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg

Auditor PricewaterhouseCoopers, Société coopérative, 2, rue Gerhard Mercator, L-2182 Luxembourg, Grand Duchy of Luxembourg

Investment Managers For the Sub-Fund Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral): Marshall Wace LLP, The Adelphi, 13th Floor, 1/11 John Adam Street, London WC2N 6HT, United Kingdom

For the Sub-Funds Merrill Lynch Investment Solutions – York Event-Driven UCITS Fund and Merrill Lynch Investment Solutions – York Asian Event-Driven UCITS Fund: York UCITS Holdings, LLC, 767 Fifth Avenue, 17th Floor, New York 10153, USA

For the Sub-Fund Merrill Lynch Investment Solutions – AQR Global Relative Value UCITS Fund: AQR Capital Management LLC, Two Greenwich Plaza, 3rd Floor, Greenwich, CT 06830, USA

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Management and Administration (cont.)

Unaudited semi-annual report

Investment Managers (cont.)

For the Sub-Funds Merrill Lynch Investment Solutions – Merrill Lynch WNT Diversified Futures UCITS Fund: Winton Capital Management Limited (“Winton”), The Oxford Science Park, Oxford OX4 4GA, United Kingdom

For the Sub-Funds Merrill Lynch Investment Solutions – Merrill Lynch Enhanced Equity Volatility Premium Fund, Merrill Lynch MLCX Commodity Enhanced Beta Fund, Merrill Lynch MLCX Commodity Enhanced Beta ex Agriculture Fund1, Merrill Lynch MLCX Commodity Alpha Fund and Merrill Lynch Enhanced Cross-Asset Volatility Premium Fund: CM Investment Solutions Limited, Bank of America Merrill Lynch Financial Centre, 2 King Edward Street, London EC1A 1HQ, United Kingdom

For the Sub-Fund Merrill Lynch Investment Solutions – Zeal Greater China Long Short UCITS Fund: Zeal Asset Management Limited, Suite 2605, Tower 1, Lippo Centre, 89 Queensway, Hong Kong

For the Sub-Funds Merrill Lynch Investment Solutions – Ramius Merger Arbitrage UCITS Fund: Ramius Advisors LLC, 599 Lexington Avenue, New York, NY 10022, USA

Investment Managers (cont.) For the Sub-Fund Merrill Lynch Investment Solutions – KLS Fixed Income UCITS Fund: KLS Diversified Asset Management LP, 452 Fifth Avenue, 22nd Floor, New York, NY 10018, USA

For the Sub-Fund Merrill Lynch Investment Solutions – Millburn Diversified UCITS Fund: Millburn Ridgefield Corporation, 411 West Putnam Avenue, Greenwich, CT 06830, USA

For the Sub-Funds: Merrill Lynch Investment Solutions– Global Debt - Securitised UCITS Fund, Global Debt - Government UCITS Fund and Global Debt - Credit UCITS Fund: Blackrock Investment Management (UK) Limited, 12 Throgmorton Avenue, London, EC2N 2DL, United Kingdom

1 Merrill Lynch MLCX Commodity Enhanced Beta ex Agriculture Fund was liquidated on June 14, 2018

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Unaudited semi-annual report

Investment Advisors For the Sub-Fund Merrill Lynch Investment Solutions – Marshall Wace TOPS UCITS Fund (Market Neutral):

Marshall Wace Asia Limited, 28/F One IFC One Harbour View Road, Hong Kong

Marshall Wace North America L.P., 55 Railroad Avenue, Greenwich, Connecticut, USA

For the Sub-Fund Merrill Lynch Investment Solutions – Merrill Lynch Enhanced Equity Volatility Premium Fund: Union Investment Institutional GmbH, Product Management, Wiesenhüttenstraße 10, 60329 Frankfurt am Main, Germany

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Management and Administration (cont.)

Unaudited semi-annual report

The annual general meeting of Shareholders is held, each year, at the registered office of the SICAV or at the place specified in the convening notice on the last Monday of July (at 12 noon Luxembourg time) or the next following Luxembourg Business Day.

The meetings of Shareholders of Shares of a particular Sub-Fund may decide on matters which are relevant only for the Sub-Fund concerned.

Notices to Shareholders will be published in the Luxemburger Wort and / or in any other newspaper(s) in those countries where the Shares are sold, as determined by the Board of Directors.

Audited annual reports are made available on the website www.funds-invest.baml.com/ and for shareholders’ inspection at each of the registered offices of the SICAV and of the Custodian Bank. They will be published within four months following the relevant accounting period, and the latest annual report is made available at least eight days before the annual general meeting. Moreover, unaudited semi-annual reports are made available for shareholders’ inspection at each of the registered offices of the SICAV and of the Depositary Bank and will be published within two months following the relevant accounting period.

The financial year ends on March 31 of each year.

The list of changes in the portfolio, for the period ended September 30, 2018, is available at the register