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  • 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

    1Merrill Lynch Investment Solutions

    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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    Management and Administration

    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

    3Merrill Lynch Investment Solutions

    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

    4 Merrill Lynch Investment Solutions

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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

    5Merrill Lynch Investment Solutions

    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