report and audited financial statements for the year ended ......portfolio statement 151-177...

CHEYNE SELECT UCITS FUND plc

(an open-ended variable capital investment company incorporated under the laws of Ireland pursuant

to the European Communities (Undertakings for Collective Investment in Transferable Securities

Regulations 2011) and the Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1))

(Undertakings for Collective Investment in Transferable Securities) Regulations 2015).

Report and Audited Financial Statements

For the year ended 31 December 2017

Registration No: 472277


1

CONTENTS

Page

Company Information 2

Investment Manager’s Reports 3-7

Affirmation of the Commodity Pool Operator 7

Directors’ Report 8-12

Statement of Directors’ Responsibilities 13

Report of the Depositary to the Shareholders 14

Statement of the Depositary’s Responsibilities 15-16

Independent Auditor’s Report 17-19

Aggregated Statement of Financial Position 19

Aggregated Statement of Comprehensive Income 20

Aggregated Statement of Changes in Net Assets Attributable to

Holders of Redeemable Shares 21

Aggregated Statement of Cash Flows 22

Notes to the Aggregated Financial Statements 23-40

Financial Statements for the Funds:

Cheyne Convertibles Absolute Return Fund 41-69

Cheyne Global Credit Fund 70-98

Cheyne European Mid Cap Equity Fund (In Wind Down) 99-125

Cheyne Enhanced Global Credit Fund 126-150

Portfolio Statement 151-177

Significant Portfolio Changes (Unaudited) 178-185

Additional Information (Unaudited) 184-185


2

COMPANY INFORMATION

DIRECTORS

Jeff Bronheim (British resident)1

John Skelly (Irish resident)1 (resigned 27 February 2018)

Bronwyn Wright (Irish resident)1

Noel Ford (Irish resident)1 (appointed 5 February 2018)

1 independent non-executive Director

REGISTERED OFFICE

La Touche House

Custom House Dock

IFSC

Dublin 1

Ireland

INVESTMENT MANAGER AND

PORTFOLIO SUPPORT MANAGER INVESTMENT ADVISOR

Cheyne Capital Management (UK) LLP Cheyne Capital International L.P.

Stornoway House Mercury House

13 Cleveland Row 1st Floor, 101 Front Street

London SW1A 1DH Hamilton HM12

United Kingdom Bermuda

ADMINISTRATOR AND SECRETARY* AUDITORS CUSTODIAN AND DEPOSITARY

SERVICES PROVIDER

SS&C Financial Services (Ireland) Limited KPMG LLP Citi Depositary Services Ireland DAC

La Touche House 15 Canada Square 1 North Wall Quay

Custom House Dock Canary Wharf Dublin 1

IFSC London, E14 5GL Ireland

Dublin 1 United Kingdom

Ireland

LEGAL ADVISORS

(as to Irish law) (as to United States and English law)

Dechert Dechert LLP

Third Floor 160 Queen Victoria Street

3 George’s Dock London EC4V 4QQ

Dublin 1 United Kingdom

Ireland

*With effect from 17 January 2017, the administrator and secretary, GlobeOp Financial Services (Ireland)

Limited changed its name to SS&C Financial Services (Ireland) Limited.


3

INVESTMENT MANAGER’S REPORTS

Cheyne Convertibles Absolute Return Fund

The Cheyne Convertibles Absolute Return Fund Class S2 (UCITS IV) returned +6.24% in 2017 with

annualised volatility of 4.0% since inception. This compares with the Thomson Reuters Global Focus

Hedged Convertible Bond Index (EUR) and the Hedge Fund Research HFRX Relative Value Fixed Income

Convertible Arbitrage Index which returned +4.39% and +7.22% over the same time period with annualised

volatility of 5.5% and 4.4% respectively, the MSCI AC World Local Equity Index returned +17.49% (volatility

12.2%), and the Dow Jones Corporate Bond Index returned +2.67% (volatility 4.9%).

2017 was largely characterised by robust risk asset performance as economic growth, healthy corporate

earnings, gentle inflation trends and supportive tones from policy makers across the globe provided fertile

ground for several equity gauges to reach all-time highs, while keeping volatility notably depressed.

Emerging markets performed positively as initial concerns around protectionist trade policy from the Trump

administration failed to materialise. Soothing political events in the Eurozone also provided support as Dutch

and French presidential election verdicts favoured centrist pro-European parties with fears of a Eurozone

break-up now largely mitigated. Elsewhere, Japan also proved a notable performer as the re-election of

Shinzo Abe in October added political stability and confidence to an already booming corporate backdrop.

Convertible bonds remained resilient throughout 2017 supported by strong investor demand, solid equity

markets and tightening credit spreads. US convertibles were the notable performers, as expectations of US

tax reform and normalisation trajectory led US equities to new highs. Japanese convertibles, although still

positive for the year, were a laggard as bond valuations retreated due to a fall in local volatility markets.

Global issuance for 2017 stood at $72.5 billion, a ~7% decrease vs. 2016. US and Europe were the

dominant regions, contributing ~50% and ~30% respectively, according to UBS. New supply came in the

form of lower coupons, higher initial conversion premium bonds with a range of structures as issuers

capitalised on favourable market supply and demand dynamics, in light of the prospect of interest rate

normalisation. A further positive was the diversification of issuers from a sector and credit standpoint with

notable new supply coming from two super-size Anglo American mandatory converts (£2,000m, 3year &

£1,500m, 3year), a jumbo deal from repeat issuer, US cable and satellite enterprise Dish Networks

($1,000m, 7year), and a sizeable issue from Chinese social media operator, Weibo ($900m, 5year). 2017

also produced several liability management exercises and a handful of M&A deals not only targeting

convertible issuers but also resulting in convertible issuance to assist funding the transactions in question.

As we embark on 2018, deeper into unknown territory with the knowledge the current bull cycle is now one

of the longest in market history, we remain cognizant of the durability of further economic expansion. With

increasing potential for fiscal tightening policy, not only in the US but also across the globe, the potential for

dispersion in valuation components could lead to a notable rerate of not only equity markets but also credit

and volatility markets. The inherent combination of upside optionality and downside protection, coupled with

what is largely an under researched and overlooked asset class remains compelling, both from an absolute

and relative basis to other asset classes in our opinion. Navigating the current environment, we believe the

search for value will become more challenging. We consider the Fund to be well positioned to continue to

benefit owing to the fundamental bias where analysis and security selection augments the inherently

positive risk-reward profile of the Cheyne convertibles strategy.


4

INVESTMENT MANAGER’S REPORTS (Continued)

Cheyne Global Credit Fund

The Cheyne Global Credit Fund Class GCDH-I1 returned +1.9% during 2017, taking annualised returns

since inception of the Fund in April 2012 to 4.1% and annualised volatility to 3.7%. The Fund’s recently

launched Duration Class GCD-IJ3, which has higher levels of exposure to interest rate movements than the

Duration Hedged Classes, returned 0.8% for the year.

2017 was supportive for credit, with the major investment-grade indices grinding tighter to close out what

was a strong year overall. The year began on a positive note for global markets, with encouraging

macroeconomic data and expectations that President Trump’s inauguration would be followed by rapid

progress on his planned tax reform and fiscal stimulus programme. As the year progressed, however, the

failure to pass revisions to healthcare legislation planted doubts as to the administration’s ability to

implement its policies. European politics continued to be front and centre with a busy election calendar in

Europe, which resulted in supportive market outcomes from the Dutch and French presidential elections,

and the UK Conservative party losing its parliamentary majority, casting doubt over the government’s ability

to progress in negotiations with the European Union. Financial markets were heavily influenced by central

bank policy with the Bank of England raising its benchmark rate for the first time since 2007.

The financial sector led performance during 2017, accounting for the greatest share of gains. Banks

benefited from renewed strength due to expectations of eased regulatory standards from the U.S.

administration. Some of the better performing credits in the portfolio included media companies under the

Liberty Global umbrella, which were supported by an agreement to dispose of the Austrian cable unit, UPC.

This transaction was seen as a necessary hurdle for Liberty to pursue a long rumoured tie-up with

Vodafone. Automotive businesses also performed well, and the Fund’s exposure to the likes of Jaguar Land

Rover and American Axle & Manufacturing saw spread tightening during the year.

Underperformers in 2017 included Windstream Services, which experienced considerable volatility after an

activist investor submitted a notice of default suggesting the company breached covenants tied to its bonds

when it spun off some of its infrastructure in a 2015 transaction. While we maintain the view that

Windstream’s business is capable of servicing its debt load, when the market recovered we decided to exit

the Fund’s short-dated position. This was due to our concern that an ongoing legal battle could have a

longer term operational impact on the business should customers become uneasy. Frontier

Communications also underperformed, as the wireline telecom company’s broadband business struggles

continued. Given the company’s debt level, along with challenges surrounding the broader wireline telecom

sector, we decided to exit the Fund’s small position.

We enter 2018 with credit spreads at the tight end of the recent range which is representative of relatively

strong fundamentals (especially in investment grade), the continuation of monetary stimulus (although on a

declining trajectory) and general investor complacency (best seen through extremely low levels of implied

volatility across all asset classes and the existence of many crowded trades e.g. short duration high yield).

While general consensus is that risk-asset returns will be lower this year we think dispersion of returns will

be considerably higher and stock-picking skills become increasingly important. We remain optimistic that the

Fund will deliver attractive risk-adjusted returns for another year.


5


Cheyne European Mid Cap Equity Fund

The Cheyne European Mid Cap Equity Fund (UCITS) invested in European mid cap equities on a long short

basis, with low net exposure, seeking to generate returns predominantly through alpha generation rather

than beta capture.

In 2017, the Fund returned 0.95% (class I2-EUR) compared to 13.6% by the Stoxx Europe Mid 200 Price

Index.

The long book contributed 16.0% on average gross long exposure of 78.6%, implying strong alpha

generation compared to the Stoxx Europe Mid 200 Price Index. The largest single name contributors were

an Italian industrial machinery group which IPO’d in September, with the shares subsequently well received

by the market, +146 bps, a semiconductor device manufacturer which significantly beat earnings

expectations, +135 bps, and a Dutch metals player which supplies batteries and benefits from the growth in

smartphones and electric car technology, +131 bps. The largest detractors were a Danish jewellery group

which disappointed shareholders with weaker than expected profits and sales, -101 bps, a UK serviced

office space provider which warned on profits, -88 bps, and a German supplier to the auto industry which

experienced mixed fortunes over the course of the year, -77 bps.

The short side of the book (including indices) detracted -10.7% on average gross short exposure of -65%,

implying a small amount of negative alpha generation compared to the Stoxx Europe Mid 200 Price Index.

The largest contributors were an electronic trading firm which experienced declining fortunes on the back of

lower trading activity in the market, +47 bps, a Swedish interiors company which delivered disappointing

growth figures and consequently suffered from broker downgrades, +41 bps, and a renewable energy

equipment company which reported weak results and announced a raft of job cuts, +30 bps. On the

negative side, the largest detractors were a semiconductor player which beat earnings expectations and

experienced gains in its share price over the course of the year, -87 bps, a French auto parts maker which

posted profit rises following cost cutting measures and strong sales of its car seats, -83 bps, and a German

technology manufacturing company which delivered better than expected sales growth, -70 bps.

Overall, performance was better than 2016, when the Fund struggled to generate positive returns as share

prices were dominated by macro concerns (notably the Brexit referendum and the US election), but the

reversal of its fortunes was insufficiently strong to reverse a decline in marketing interest for the strategy,

and consequently the assets under management of the Fund fell over the course of the year with the Fund’s

remaining investors redeemed during December 2017 and consequently the Fund closed with a final

valuation dated 22 December 2017.


6


Cheyne Enhanced Global Credit Fund

The Cheyne Enhanced Global Credit Fund launched on 5 December 2017 with Class EGC-I1 returning

+0.07% during 2017, generating a small positive return as we sought to construct a balanced, diversified

portfolio.

The largest positive contributor to performance this month was Virgin Media, which benefitted from news

that its parent, Liberty Global, agreed to dispose of its Austrian cable unit for €1.9Bn. This transaction was

seen as a necessary hurdle for Liberty to pursue a long rumoured tie-up with Vodafone. The UK insurer,

Aviva, also moved tighter over the course of the month, a continuing trend that can be partially attributed to

strong cash flow to equity. While an increased distribution of cash to shareholders is not necessarily credit-

positive, the underlying strength of the business and its ability to generate excess cash is seen as

favourable to debtholders. Dell Inc. also performed well after filing strong Q3 earnings.

Underperformers during the month included Nokia, as the company’s Chief Operating Officer departed after

a short stint on the job. We view the market’s reaction as slightly overstated, and given the appointment of a

20-year veteran of the company to replace him, we do not anticipate any material impact on the business

from this change.

We enter 2018 with credit spreads at the tight end of the recent range which is representative of relatively

strong fundamentals (especially in investment grade), the continuation of monetary stimulus (although on a

declining trajectory) and general investor complacency (best seen through extremely low levels of implied

volatility across all asset classes and the existence of many crowded trades e.g. short duration high yield).

While general consensus is that risk-asset returns will be lower this year. We think dispersion of returns will

be considerably higher and stock-picking skills become increasingly important. We remain optimistic that the

Fund will deliver attractive risk-adjusted returns for another year.


8

DIRECTORS’ REPORT FOR THE YEAR ENDED 31 DECEMBER 2017

The Directors present their report together with the audited financial statements of Cheyne Select UCITS

Fund plc (the “Company”) for the year ended 31 December 2017.

Company Background

The Company is an open-ended umbrella type investment company with variable capital incorporated in

Ireland under the Companies Act, 2014 on 23 June 2009 under registration number 472277 and authorised

by the Central Bank of Ireland, as an Undertaking for Collective Investment in Transferable Securities

(UCITS) pursuant to the European Communities (Undertakings for Collective Investment in Transferable

Securities) Regulations 2011 (the “UCITS Regulations”). The Company is structured in the form of an

umbrella fund which can consist of different funds comprising of one or more Classes. As at 31 December

2017, the Company had three funds in existence, Cheyne Convertibles Absolute Return Fund, Cheyne

Global Credit Fund and Cheyne Enhanced Global Credit Fund (the Funds). The Cheyne Enhanced Global

Credit Fund launched on 5 December 2017.

Effective 31 December 2017, Cheyne European Mid Cap Equity Fund was closed. The financial statements

of this Fund have been prepared on a wind down basis.

Principal Activities

A review of the principal activities and future developments is included in the Investment Manager’s

Reports on pages 3 to 7 and outlined below.

Cheyne Convertibles Absolute Return Fund

The Fund’s investment objective is to provide total return through a combination of yield and capital

appreciation. The Fund will invest primarily in global Convertible Securities. The Fund may also invest in

global non-Convertible Securities including fixed income securities, such as fixed and floating rate

corporate and government bonds, equities and certain derivative products, such as contracts for difference

(CFD), futures, forwards, options and swaps (including credit default swaps (CDS)).

Cheyne Global Credit Fund

The Fund’s investment objective is to maximise total rates of return, meaning capital appreciation plus

income from its investments, over the medium term from returns on corporate debt and derivatives thereof,

with prudent levels of risk while maintaining generally moderate levels of volatility. The Fund seeks to

achieve its objective primarily through long or synthetic short exposure to the credit risk of corporates in

developed markets via CDS and/or direct investment in corporate debt securities (or via Financial

Derivative Instruments (FDI)). The Fund may also invest in interest rates swaps, interest rate futures,

forward rate agreements, options and credit linked notes.

Cheyne European Mid Cap Equity Fund

The Fund’s investment objective was to seek to generate attractive risk adjusted total rates of return,

meaning capital appreciation plus income on its investments, principally through investments in equity

securities of companies with market capitalisation of between EUR500 million and EUR10 billion that are

either listed on stock exchanges in Europe or whose business is primarily in Europe and other equity

related securities and derivative instruments. The Fund could have invested in companies with smaller or

larger market capitalisation to a limited extent, and could have invested in equity indices which compliment

or hedge against certain of its investments. The Fund also invested in futures, currency forwards, options,

swaps and CFD.

Cheyne Enhanced Global Credit Fund

The Fund’s investment objective is to maximise total rates of return, meaning capital appreciation plus

income from its investments, over the medium term primarily from returns on corporate debt and derivatives

thereof, with prudent levels of risk while maintaining generally moderate levels of volatility. The Fund seeks

to achieve its objective primarily through long or synthetic short exposure to the credit risk of corporates in

developed markets via CDS and/or direct investment in debt securities or via FDI. The Fund may also invest

in interest rate swaps, interest rate futures, forward rate agreements, options and credit linked notes.


9

DIRECTORS’ REPORT FOR THE YEAR ENDED 31 DECEMBER 2017 (Continued)

Corporate Governance Code

A corporate governance code (the IFIA code) was issued by the Irish Funds in December 2011 that may be

adopted on a voluntary basis by Irish authorised collective investment schemes effective 1 January 2012

with a twelve month transitional period. The IFIA Code may be inspected on/obtained from

www.irishfunds.ie.

In December 2012, the Board adopted the IFIA Code having regard for certain other key pillars of

governance within the collective investment fund governance structure, including the uniqueness of the

independent segregation of duties as between the investment manager, the administrator (with

responsibility for the calculation of the net asset value (NAV), amongst other duties) and the independent

custodian and depositary services provider (with responsibility for safeguarding the assets of the Company

and overseeing how the Company is managed), such segregation of duties/functions being achieved

through delegation of respective responsibilities to and appointment of suitably qualified and also regulated

third party entities who are subject to regulatory supervision.

The Company has no employees and all of the Directors are non-executive. Consistent with the regulatory

framework applicable to investment fund companies, the Company, consequently, operates under the

delegated model whereby it has delegated management (including investment management),

administration and distribution functions to third parties (without abrogating the Board’s overa ll

responsibility). The Board has in place mechanisms for monitoring the exercise of such delegated functions

which are always subject to the supervision and direction of the Board. These delegations of functions and

the appointment of regulated third party entities are detailed in the Company’s Prospectus and

Supplements. In summary, they are:

1. The Board has delegated the performance of the investment management functions in respect of the

Company and of its Funds to Cheyne Capital Management (UK) LLP (the “Investment Manager”).

The Investment Manager has direct responsibility for the decisions relating to the day to day running

of the Funds and is accountable to the Board of the Company for the investment performance of the

Funds. The Investment Manager has internal controls and risk management processes in place to

ensure that all applicable risks pertaining to their management of the Funds are identified, monitored

and managed at all times and appropriate reporting is made to the Board on a regular basis. The

Investment Manager is regulated by and under the supervision of the regulator of their operating

jurisdiction, the Financial Conduct Authority of the United Kingdom (the “FCA”);

2. The Board has delegated its responsibilities for administration to SS&C Financial Services (Ireland)

Limited (the “Administrator”) which has responsibility for the day to day administration of the

Company and the Funds including the calculation of the NAVs. The Administrator is regulated by and

under the supervision of the Central Bank of Ireland.

The Company also has appointed Citi Depositary Services Ireland DAC (the “Depositary”) as depositary of

its assets which has responsibility for the safekeeping of such assets in accordance with the UCITS

Regulations and exercising independent oversight over how the Company is managed. The Depositary is

regulated by and under the supervision of the Central Bank of Ireland.

The Board receives reports on a regular (and at least quarterly) basis from each of its delegate service

providers and the Depositary which enable it to assess the performance of the delegate service providers

and the Depositary (as the case may be).

Mr. Bronheim, a Director, resigned as General Counsel for the Investment Manager on 31 December 2017.


10


Future Developments

The Directors expect to increase the level of assets and potentially launch new Funds going forward.

Results

The assets and liabilities and financial position of the Company at the end of the financial year are shown in

the Aggregated Statement of Financial Position on page 19. The performance of the business of the

Company for the financial year are shown in the Aggregated Statement of Comprehensive Income on page

20.

Books of Account

The measures taken by the Directors to secure compliance with the Company’s obligation to keep adequate

accounting records are the use of appropriate systems and procedures. In this regard SS&C Financial

Services (Ireland) Limited has been appointed for the purpose of maintaining adequate accounting records.

Risk Management Objectives and Policies

The primary risks the Directors have assessed as being relevant to the Company are market risk, credit risk

and liquidity risk. A detailed assessment of the risk management objectives and policies mitigating these

risks are detailed in Note 6 of the aggregated financial statements. Additional risk disclosures such as

cybersecurity, custody and title risk are included in the additional information section on page 185. A more

detailed list of risks are set out in the Company’s Prospectus and Supplements.

Directors

All Directors of the Company at any time during the financial year are as follows:

Jeff Bronheim (British resident)

John Skelly (Irish resident) (resigned 27 February 2018)

Bronwyn Wright (Irish resident)

Noel Ford (Irish resident) (appointed 5 February 2018)

Company Secretary

With effect from 17 January 2017, the secretary of the Company; GlobeOp Financial Services (Ireland)

Limited changed its name to SS&C Financial Services (Ireland) Limited. For the year ended 31 December

2017, the Company Secretary held no interest in the shares of the Company.

Directors’ Interests

As at 31 December 2017 none of the Directors held shares in the Company. For details of Directors’ fees,

see Note 4 of the aggregated financial statements and the individual Funds’ notes for details on the amount

charged to the individual funds and balance remaining unpaid at year end.


11


Statutory Auditors

The Company’s Statutory Auditors, KPMG LLP, have indicated their willingness to continue in office in

accordance with Section 383(2) of the Companies Act, 2014.

Directors’ Compliance Statement

The Directors acknowledge that they are responsible for securing the Company’s compliance with the relevant obligations as set out in section 225 of the Companies Act, 2014.

The Directors confirm that:

1) A compliance policy document has been drawn up that sets out policies, that in their opinion areappropriate to the company, respecting compliance by the Company with its relevant obligations;

2) appropriate arrangements or structures are in place that are, in their opinion, designed to securematerial compliance with the Company's relevant obligations, and

3) during the financial year, the arrangements or structures referred to in 2) have been reviewed.

Audit Committee

The Directors believe that there is no requirement to form an audit committee as the Board is formed of non-executive Directors with two independent Directors and the Company complies with the provisions of the Corporate Governance Code. The Directors have delegated the day to day investment management and administration of the Company to the Investment Manager and to the Administrator respectively and has appointed Citi Depositary Services Ireland DAC as the Depositary of the assets of the Company.

Relevant Audit Information

All relevant information in connection with preparing the Auditor’s Report has been disclosed to the

auditors, and that each Director has taken all necessary steps to make himself or herself aware of all

relevant audit information.

Distributions

There were no distributions made by the Company during the year.

Transactions with Connected Persons

In accordance with Regulations 41(1) of 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"), the Directors are satisfied that there are in place arrangements, evidenced by

written procedures, to ensure that all transactions with its Investment Manager, Depositary, and the

delegates or sub-delegates of the Investment Manager or Depositary; and any associated or group

companies of these (“Connected Persons”) are conducted at arm’s length and are in the best interests of

the shareholders of the Company. The Directors are satisfied that all transactions with the Connected

Persons that were entered into during the year complied with the obligations set out in this paragraph.


15

STATEMENT OF THE DEPOSITARY’S RESPONSIBILITIES

The Depositary is required under Central Bank (Supervision And Enforcement) Act 2013 (Section 48(1))

(Undertakings For Collective Investment In Transferable Securities) Regulations 2015 to:

1. ensure that the sale, issue, repurchase, redemption and cancellation of shares affected by or on behalf

of the Company are carried out in accordance with the Regulations and in accordance with the

Memorandum and Articles of Association.

2. ensure that the value of shares is calculated in accordance with the Regulations and the Memorandum

and Articles of Association.

3. carry out the instructions of the Company unless they conflict with the Regulations or the Memorandum

and Articles of Association.

4. ensure that in transactions involving the Company’s assets, any consideration is remitted to it within

time limits which are acceptable market practice in the context of a particular transaction.

5. ensure that the Company's income is applied in accordance with the Regulations and the

Memorandum and Articles of Association.

6. enquire into the conduct of the Company in each annual accounting period and report thereon to the

shareholders. The Depositary’s report shall be delivered to the Company in good time to enable the

Company to include a copy of the report in its Annual Report. The Depositary's Report shall state

whether in the Depositary’s opinion the Company has been managed in that period:

(i) in accordance with the limitations imposed on the investment and borrowing powers of the

Company and Depositary by the Memorandum and Articles of Association and the Regulations;

and

(ii) otherwise in accordance with the provisions of the Memorandum and Articles of Association and

the Regulations.

If the Company does not comply with (i) or (ii) above, the Depositary must state why this is the case

and outline the steps which the Depositary has taken to rectify the situation.

7. to establish and implement written procedures for the purpose of dealing with any breach by the

relevant UCITS or by the depositary of any of the following:

(i) the UCITS Regulations;

(ii) any requirement that the Bank imposes on the relevant UCITS or on the Depositary, including the

UCITS Regulations; or

(iii) any provision of the prospectus of the Company.

8. notify the Central Bank of Ireland promptly of any material breach of requirement, obligation or

conditions imposed by the Central Bank of Ireland or provisions of the Prospectus with regard to the

Company.

9. notify the Central Bank of Ireland promptly of any non-material breach of requirement, obligation or

conditions imposed by the Central Bank of Ireland or provisions of the Prospectus with regard to the

Company, if the relevant breach is not resolved within four weeks of the Depositary becoming aware of

that breach.

10. ensure that there is legal separation of non-cash assets that are held under custody and that such

assets are held on a fiduciary basis; and


16

STATEMENT OF THE DEPOSITARY’S RESPONSIBILITIES (Continued)

11. maintain appropriate internal controls to ensure that records identify the nature and amount of every

asset in custody, the ownership of each asset and where the documents of title to that asset are

located.

In any jurisdiction that does not recognise fiduciary duties, the Depositary shall ensure that, under the law

governing the relevant asset, the legal entitlement of the Company to the relevant asset is assured.

The Depositary also takes into its custody or under its control all the assets of the Company and holds

them in safekeeping for the shareholders.


20

AGGREGATED STATEMENT OF COMPREHENSIVE INCOME

FOR THE YEAR ENDED 31 DECEMBER 2017

Note 31-Dec-17*

EUR

31-Dec-16

EUR

Income

Net (loss) on financial assets and liabilities at fair value

through profit or loss (3,048,533) (4,100,627)

Net (loss)/gain on foreign exchange (1,143,576) 202,727

Interest income 19,050,991 14,879,838

Dividend income 495,531 1,398,300

Total income 15,354,413 12,380,238

Expenses

Interest expense (11,106,979) (5,866,071)

Dividend expense (1,261,665) (2,574,319)

Administration fee 4(a) (355,422) (383,559)

Custodian fee 4(b) (104,736) (93,957)

Depositary services fees 4(b) (60,287) (54,050)

Investment advisor fee 4(c) (1,036,731) (1,374,873)

Investment management fee 4(d) (1,534,936) (2,024,270)

Performance fee 4(e) (637,721) (274,504)

Portfolio support fee 4(f) (182,420) (200,199)

Research and data recharge 4(g) (241,541) (185,042)

Directors’ fees 4(h) (64,786) (68,000)

Audit fee 4(i) (138,311) (110,325)

Other expenses (549,977) (562,049)

Commission fees (11,867) (42,070)

Liquidation fee (4,225) -

Total expenses (17,291,604) (13,813,288)

Withholding tax (8,011) (14,120)

Decrease in Net Assets Attributable to Holders of Redeemable

Shares (1,945,202) (1,447,170)

*Cheyne Enhanced Global Credit Fund launched on 5 December 2017 and the Cheyne European Mid Cap

Equity Fund had its last valuation date as of 22 December when all remaining investors were redeemed.

For the purposes of aggregating the financial statements of the Funds, the Statement of Comprehensive

Income figures for the Cheyne Enhanced Global Credit Fund had been translated from US Dollar to Euro at

the average exchange rate for the year ended 31 December 2017.

The Company had no recognised gains or losses during the financial year other than those reported in the

Statement of Comprehensive Income. All results are from continuing operations.


21

AGGREGATED STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS

OF REDEEMABLE SHARES FOR THE YEAR ENDED 31 DECEMBER 2017

31-Dec-17*

EUR

31-Dec-16

EUR

Net assets attributable to holders of redeemable shares at

beginning of the Year 204,723,861 339,244,628

Decrease in net assets attributable to holders of redeemable shares from

operations (1,945,202) (1,447,170)

Issue of redeemable shares during the year 303,561,844 63,549,592

Redemption of redeemable shares during the year (107,218,795) (196,623,189)

Foreign exchange translation** (3,458,003) -

Net assets attributable to holders of redeemable shares at end of

the year 395,663,705 204,723,861

*Cheyne Enhanced Global Credit Fund launched on 5 December 2017 and the Cheyne European Mid

Cap Equity Fund had its last valuation date as of 22 December when all remaining investors were

redeemed.

**For the purposes of aggregating the financial statements of the Funds, the Statement of

Comprehensive Income, Statement of Changes in Net Assets Attributable to Holders of Redeemable

Participating Shares have been translated at the average exchange rate for the year ended 31

December 2017. The resulting gain or loss that arose at the Company level had no effect on the Net

Asset Value per share attributable to the individual Funds.


22

AGGREGATED STATEMENT OF CASH FLOWS FOR THE YEAR ENDED 31 DECEMBER 2017

31-Dec-17*

EUR

31-Dec-16

EUR

Cash flows from operating activities

Decrease in net assets attributable to holders of redeemable shares

from operations (1,945,202) (1,447,170)

Adjusted for working capital changes

Decrease in margin cash due from brokers 2,136,403 3,061,688

(Increase)/decrease in investments in transferable securities (146,961,676) 109,911,671

(Increase)/decrease investments in financial derivative instruments (21,795,730) 2,964,007

(Increase)/decrease in sales awaited settlement (18,601) 3,719,967

(Increase)/decrease in other receivables and assets (1,727,448) 3,203,378

Increase in margin cash due to brokers 7,795,197 859,292

Increase/(decrease) in purchases awaiting settlement 186,274 (8,386,291)

Increase/(decrease) in accrued expenses and other payables 314,696 (199,659)

Net cash (outflow)/inflow from operating activities (162,016,087) 113,686,883

Financing

Proceeds from issuance of redeemable shares 303,561,844 63,388,592

Redemptions paid on redeemable shares (91,466,501) (196,623,189)

Net cash inflow/(outflow) from financing activities 212,095,343 (133,234,597)

Increase/(decrease) in cash and cash equivalents 50,079,256 (19,547,714)

Cash and cash equivalents at start of year 6,838,935 26,386,649

Notional foreign exchange adjustment** (3,458,003) -

Cash and cash equivalents at end of the year 53,460,188 6,838,935

Supplemental cash flow information

Net cash from operating activities includes:

Interest received 16,894,001 18,065,518

Interest paid (10,401,908) (5,949,209)

Dividend received 154,720 1,389,175

Dividend paid (1,243,223) (2,533,843)

*Cheyne Enhanced Global Credit Fund launched on 5 December 2017 and the Cheyne European Mid Cap Equity

Fund had its last valuation date as of 22 December when all remaining investors were redeemed.

**For the purposes of aggregating the financial statements of the Funds for the year ended 31 December

2017, the Statement of Cash Flows figures for the Cheyne Enhanced Global Credit Fund had been

translated from US Dollar to Euro at the average exchange rate for the year ended 31 December 2017.


23

NOTES TO THE AGGREGATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2017

1. General Information

Cheyne Select UCITS Fund plc (the “Company” or the “Umbrella”) is an open-ended umbrella investment

company with variable capital and segregated liability between its funds (each a “Fund”, together the

“Funds”), incorporated in Ireland under the Companies Act, 2014 on 23 June 2009 under registration

number 472277 and authorised by the Central Bank of Ireland, as an Undertaking for Collective

Investment in Transferable Securities (UCITS) pursuant to the European Communities (Undertakings for

Collective Investment in Transferable Securities) Regulations, 2011.

The Company is organised as an umbrella fund with constituent Funds. As at 31 December 2017, there

were three Funds in existence, the Cheyne Convertibles Absolute Return Fund, the Cheyne Global Credit

Fund and the Cheyne Enhanced Global Credit Fund. Cheyne European Mid Cap Equity Fund had its last

valuation date as of 22 December when all remaining investors were redeemed. Each Fund will be treated

as bearing its own liabilities and the Company is not liable as a whole to third parties provided, however, if

the Directors are of the opinion that a particular liability does not relate to any particular Fund or Funds,

that liability shall be borne jointly by all Funds pro rata to their respective net asset values at the time when

the allocation is made. The Company was authorised by the Central Bank of Ireland on 3 September

2009. Segregated liability under Irish law applies as between the Funds.

The investment objective of each Fund is disclosed in the Directors’ Report and notes of the individual

Funds.

All funds have base currency of EUR except Cheyne Enhanced Global Credit Fund which has USD.

As at 31 December 2017 the Company had no employees.

Investment Manager Registration

Cheyne Capital Management (UK) LLP (the “Investment Manager”) is authorised by the Financial Conduct

Authority (FCA) as an Alternative Investment Fund Manager (AIFM) under the Alternative Investment Fund

Managers Directive (AIFMD).

The Investment Manager is registered with the Commodity Futures Trading Commission (CFTC) and the

National Futures Association (NFA).

The Investment Manager is also registered with the U.S. Securities and Exchange Commission (SEC)

under Section 203 of the Investment Advisors Act of 1940.

2. Basis of Preparation

(a) Statement of Compliance

The financial statements have been prepared in accordance with International Financial Reporting

Standards (IFRS) as adopted by the European Union, the requirements of the Companies Act 2014 and

the UCITS Regulations.


24


(Continued)

2. Basis of Preparation (continued)

(b) Basis of Measurement

The financial statements have been prepared on a historical cost basis, except for financial instruments

classified at fair value through profit or loss which have been measured at fair value and for cash and cash

equivalents, margin cash due to/from brokers and other accrued assets and liabilities, which are classified

at amortised cost.

The accounting policies adopted are consistent with those of the previous financial year.

(c) Functional and Presentation Currency

Items included in the Company’s financial statements are measured in Euro (EUR) which is the currency

of the primary economic environment in which it operates (the “functional currency”).

(d) Use of Estimates and Judgements

The preparation of the financial statements in conformity with IFRS requires management to make

judgements, estimates and assumptions that affect the application of accounting policies and the reported

amounts of assets and liabilities, income and expenses. Actual results may differ from these estimates.

Estimates and underlying assumptions are reviewed on an ongoing basis. Revisions to accounting

estimates are recognised in the period in which the estimates are revised and in any future periods

affected.

(e) Other Accounting Developments

New standards and amendments – applicable 1 January 2017:

Disclosure Initiative (Amendments to IAS 7)

The IASB requires disclosures that enable users of financial statements to evaluate changes in liabilities

arising from financing activities, including both changes arising from cash flow and non-cash changes.

One way to meet this new disclosure requirement is to provide a reconciliation between the opening and

closing balances for liabilities arising from financing activities. However, the objective could also be

achieved in other ways, which might be a relief for financial institutions or other entities that already

present enhanced disclosures in this area.

Although disclosure of changes in other assets and liabilities is possible, such supplementary disclosure

should be disclosed separately from changes in liabilities arising from financing activities.


25


(Continued)


(e) Other Accounting Developments (continued)

New standards and amendments – applicable 1 January 2017: (continued)

Recognition of Deferred Tax Assets for Unrealised Losses (Amendments to IAS 12)

IASB clarifies deferred tax treatment for debt instruments under IAS 12.

The amendments clarify that the existence of a deductible temporary difference depends solely on a

comparison of the carrying amount of an asset and its tax base at the end of the reporting period, and is

not affected by possible future changes in the carrying amount or expected manner of recovery of the

asset. Therefore, assuming that the tax base remains at the original cost of the debt instrument, there is a

temporary difference.

Annual improvements to IFRS 2014-2016 Cycle – various standards (Amendments to IFRS 12)

IFRS 12 Disclosure of Interests in Other Entities

The disclosure requirements for interests in other entities also apply to interests that are classified as held

for sale or distribution.

These amendments do not have a material impact on the Company’s financial statements.

New standards, amendments and interpretations which are relevant to the Company and not yet

effective:

IFRS 9 Financial Instruments

IFRS 9, published in July 2014, replaces the existing guidance in IAS 39 Financial Instruments:

Recognition and Measurement. IFRS 9 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 the guidance on recognition and

de-recognition of financial instruments from IAS 39. Based on the initial assessment, this standard is not

expected to have a material impact on the Company. This is because the financial instruments currently

measured at fair value through profit or loss will continue to be measured at fair value through profit or

loss under IFRS 9 and those currently measured at amortised cost will continue to be measured at

amortised cost under IFRS 9.

IFRS 9 is effective for annual reporting periods beginning on or after 1 January 2018, with early adoption

permitted.


26


(Continued)


(e) Other Accounting Developments (continued)

New standards, amendments and interpretations which are relevant to the Company and not yet

effective: (continued)

IFRS 15 Revenue from Contracts with Customers

IFRS 15 specifies how and when an IFRS reporter will recognise revenue as well as requiring such

entities to provide users of financial statements with more informative, relevant disclosures. The standard

provides a single, principles based five-step model to be applied to all contracts with customers.

IFRS 15 was issued in May 2014 and applies to an annual reporting period beginning on or after 1

January 2018. On 12 April 2016, clarifying amendments were issued that have the same effective date as

the standard itself.

International Financial Reporting Interpretations Committee 22 (IFRIC 22) – Foreign Currency

Transactions and Advance Consideration

When foreign currency consideration is paid or received in advance of the item it relates to – which may

be an asset, an expense or income – IAS 21 The Effects of Changes in Foreign Exchange Rates is not

clear on how to determine the transaction date for translating the related item.

This has resulted in diversity in practice regarding the exchange rate used to translate the related item.

IFRIC 22 clarifies that the transaction date is the date on which the company initially recognises the

prepayment or deferred income arising from the advance consideration.

For transactions involving multiple payments or receipts, each payment or receipt gives rise to a separate

transaction date.

The above amendments need to be applied to annual periods beginning on or after 1 January 2018.

These amendments are not expected to have a material impact on the Company’s financial statements.


27


(Continued)


(f) Going Concern

The Company’s management has made an assessment of the Company’s ability to continue as a going

concern and is satisfied that the Company has the resources to continue in business for the foreseeable

future. Furthermore, the management is not aware of any material uncertainties that may cast significant

doubt upon the Company’s ability to continue as a going concern. Therefore, the financial statements are

prepared on the going concern basis with the exception of the financial statements of Cheyne European

Mid Cap Equity Fund. The financial statements of this fund has been prepared on a wind down basis.

3. Significant Accounting Policies

(a) Interest Income and Expense Recognition

Interest income and expense are recognised in the Aggregated Statement of Comprehensive Income on

an accrual basis.

(b) Expenses

Expenses are accounted for on an accrual basis and are charged to the Aggregated Statement of

Comprehensive Income.

(c) Foreign Currency

Transactions in foreign currencies were translated into United States Dollar (USD) for Cheyne Enhanced

Global Credit Fund and EUR for the remaining Funds, at the spot exchange rate at the date of the

transaction. Monetary assets and liabilities denominated in foreign currencies at the reporting date were

retranslated into USD for Cheyne Enhanced Global Credit Fund and EUR for the remaining Funds, at the

spot exchange rate at that date. Non-monetary assets and liabilities denominated in foreign currencies

that are measured at fair value through profit or loss were retranslated into USD for Cheyne Enhanced

Global Credit Fund and EUR for the remaining Funds, at the spot exchange rate at the date that the fair

value was determined. Non-monetary assets and liabilities that are measured in terms of historical cost

in a foreign currency are translated using the exchange rate at the date of the transaction.

Foreign currency differences arising on retranslation and on financial instruments at fair value through

profit or loss are recognised in the Statement of Comprehensive Income.

(d) Investments

Classification

In accordance with IFRS 13, the Company classifies its investments as financial assets and liabilities at

fair value through profit or loss. These financial assets and liabilities are classified as held for trading.

Financial assets or financial liabilities held for trading are those acquired or incurred principally for the

purposes of selling or repurchasing in the short term. The Board of Directors agreed to classify all

investments held by the Company as held for trading.

Financial assets that are classified as loans and receivables include cash and cash equivalents, margin

cash due from brokers and receivable accounts.

Financial liabilities that are classified as held at amortised cost include margin cash due to brokers and

payable accounts.


28


(Continued)

3. Significant Accounting Policies (continued)

(d) Investments (continued)

Recognition/de-recognition

The Company recognises financial assets and financial liabilities at fair value through profit or loss on the

trade date; that is the date it commits to purchase the instruments. From this date any gains and losses

arising from changes in fair value of the assets or liabilities are recognised. Financial assets are

derecognised when the rights to receive cash flows from the investments have expired or the Company

has transferred substantially all risks and rewards of ownership of the financial assets or in which the

Company neither transfers nor retains substantially all the risks and rewards of ownership and does not

retain control of the financial assets.

Valuation of investments

The Investment Manager has established an internal control infrastructure over the valuation of financial

instruments that requires ongoing oversight by the pricing committee. These management control

functions are segregated from the trading and investing functions. The Investment Manager employs

resources to help ensure that the pricing committee is able to function at an appropriate level of quality

and effectiveness. The Investment Manager reviews the segregation of duties within its internal control

infrastructure. Specifically, the pricing committee is responsible for establishing and monitoring

compliance with valuation policies. Within the trading and investing functions, the Investment Manager

has established policies and procedures that relate to the approval of all new transaction types,

transaction pricing sources and fair value hierarchy coding within the financial reporting system.

The fair value of financial instruments traded in active markets (such as publicly traded derivatives and

securities) are based on quoted market prices at the Statement of Financial Position date. The financial

instruments held by the Company are presented in the Statement of Financial Position at the current

quoted mid-price in accordance with the valuation provisions of the Prospectus. Following the adoption of

IFRS 13, no adjustment to “mid to bid” is required as mid-market prices are allowed to be used to value

financial assets and liabilities.

The Company may from time to time invest in financial instruments that are not traded in an active market

(for example in over-the-counter derivatives). The fair value is determined by using valuation techniques.

The Company uses a variety of methods and makes assumptions that are based on market conditions

existing at each Statement of Financial Position. Valuation techniques used include the use of comparable

recent arm’s length transactions, discounted cash flow analysis, option pricing models and other valuation

techniques commonly used by market participants.

Exchange traded derivative instruments dealt on a Recognised Exchange shall be valued at the

settlement price on the relevant Valuation Day for such instruments on such a market. If the settlement

price is not available, their probable realisation value shall be as determined with care and in good faith by

the Directors and approved for that purpose by the Custodian.

Forward currency contracts

Forward foreign exchange contracts will be valued by reference to the forward price at which a new

forward contract of the same size and maturity could be undertaken at the valuation date. The unrealised

gain or loss on open forward currency contracts is calculated as the difference between the contract rate

and this forward price and is recognised in the Aggregated Statement of Comprehensive Income.


29


(Continued)


(e) Offsetting Financial Instruments

Financial assets and liabilities are offset and the net amount reported in the Aggregated Statement of

Financial Position when there is a legally enforceable right to offset the recognised amounts, there is an

intention to settle on a net basis, or realise the asset and settle the liability simultaneously.

(f) Realised and Unrealised Gains and Losses

All realised and unrealised gains and losses on securities are recognised as net gain/loss on financial

assets and liabilities at fair value through profit or loss in the Aggregated Statement of Comprehensive

Income. Foreign currency gains/losses on cash and cash equivalents are included in net gain on foreign

exchange in the Aggregated Statement of Comprehensive Income. Realised gains and losses on

disposals of financial instruments are calculated using the first-in-first-out (FIFO) method.

The unrealised gain or loss on open forward exchange contracts is calculated as the difference between

the contracted rate and the rate to close out the contract. Realised gains or losses include net gains on

contracts, which have been settled or offset by other contracts.

(g) Taxation

Under current law and practice the Company qualifies as an investment undertaking as defined in Section

739B of the Taxes Consolidation Act, 1997, as amended. On this basis, it is not chargeable to Irish tax on

its income or gains. However, Irish tax may arise on the occurrence of a “chargeable event”.

A chargeable event includes any distribution payments to shareholders or any encashment, redemption or

transfer of shares on the ending of a “relevant period”. A relevant period is an eight year period beginning

with the acquisition of shares by the shareholders. Each subsequent period of eight years immediately

after the preceding relevant period will also constitute a relevant period.

A gain on a chargeable event does not arise in respect of:

(i) any transactions in relation to units held in a recognised clearing system as designated by order of

the Revenue Commissioners of Ireland; or

(ii) an exchange of shares arising on a qualifying amalgamation or reconstruction of the Company

with another Company; or

(iii) certain exchanges of shares between spouses and former spouses; or

(iv) an exchange by a shareholder, effected by way of an arm’s length bargain where no payment is

made to the shareholder of shares in the Company for other shares in the Company.

No Irish tax will arise on the Fund in respect of chargeable events in respect of:

(a) a shareholder who is not Irish resident and not ordinarily resident in Ireland at the time of the

chargeable event, provided appropriate valid statutory declarations in accordance with the

provisions of the Taxes Consolidation Act, 1997, as amended are held by the Company; and

(b) certain exempted Irish tax resident shareholders who have provided the Company with the

necessary signed statutory declarations.


30


(Continued)


(g) Taxation (continued)

In the absence of an appropriate declaration, the Company will be liable to Irish tax on the occurrence of a

chargeable event.

There were no chargeable events during the year under review. Dividends, interest and capital gains (if

any) received on investments made by the Company 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 Company or its shareholders.

(h) Cash and Cash Equivalents

Cash and cash equivalents, with the exception of margin cash and collateral, is held with Citibank N.A. in

the name of Citi Depositary Services Ireland DAC (the “Depositary”). Cash and cash equivalents comprise

deposits with banks and highly liquid financial assets with maturities of three months or less from the date

of acquisition that are subject to an insignificant risk of changes in their fair value and are used by the

Funds in the management of short-term commitments, other than cash collateral provided in respect of

derivatives and securities borrowing transactions.

(i) Transaction Costs

Transaction costs are defined as the incremental costs that are directly attributable to the acquisition,

issue or disposal of a financial asset or financial liability. An incremental cost is one that would not have

been incurred if the entity had not acquired, issued or disposed of the financial instrument. When a

financial asset or financial liability is recognised initially, an entity shall measure it at its fair value through

profit or loss plus, transaction costs that are directly attributable to the acquisition or issue of the financial

asset or financial liability. Transaction costs on the purchase and sale of bonds and forwards are included

in the purchase and sale price of the investment. They cannot be practically or reliably gathered as they

are embedded in the cost of the investment and cannot be separately verified or disclosed.

Transaction costs on purchases and sales of investments for which transaction costs cannot be practically

or reliably gathered are included in net gains/(losses) on financial assets and liabilities through profit or

loss included in the Statement of Comprehensive Income for each Fund.

4. Fees and Expenses

(a) Administration Fee

SS&C Financial Services (Ireland) Limited is the “Administrator” of the Company pursuant to an

Administration Agreement dated 12 March 2016. The Company shall pay the Administration fee out of the

relevant Funds as disclosed in the notes to the financial statements of the individual Funds.

The Administration fee is subject to aggregate minimums, the scale fee or minimum fees will be charged

pro rata (based on assets) to the Funds in the Umbrella. In the event that some Funds would otherwise

have been on scale fees and other Funds would have been on minimums then those Funds that would

have been on scale fees are allocated, out of the total fee, the amount they would have paid under the

scale fee and the other Funds are allocated the balance of the total fee. This balance is then allocated pro

rata, to asset size, across the relevant Funds.


31


(Continued)

4. Fees and Expenses (continued)

(a) Administration Fee (continued)

In addition to such base remuneration, the Administrator shall also be entitled to charge the Funds fees

relating to any additional services required in relation to corporate secretarial, audit support, tax assistance

or investor rebate services, as may be agreed with the Company and which shall be charged at normal

commercial rates.

The Administrator is also entitled to be reimbursed by the Company for all of its out-of-pocket expenses

reasonably incurred on behalf of the Funds.

(b) Depositary and Global Transaction Services Fee

Citi Depositary Services Ireland DAC acts as the “Depositary” of the Company pursuant to the Depositary

Services agreement originally dated 9 November 2015 and updated on 13 October 2016 following the 18

March 2016 UCITS V Directive, which gave the Depositary additional operational and oversight

responsibilities.

Depositary fees are subject to aggregate minimums, the scale fee or minimum fees will be charged pro

rata (based on assets) to the Funds in the Umbrella. In the event that some Funds would otherwise have

been on scale fees and other Funds would have been on minimums then those Funds that would have

been on scale fees are allocated, out of the total fee, the amount they would have paid under the scale fee

and the other Funds are allocated the balance of the total fee. This balance is then allocated pro rata, to

asset size, across the relevant Funds.

In addition to such remuneration, Citibank N.A shall also be entitled, on behalf of the Depositary to charge

the Funds fees relating to any custody or transactional services, as may be agreed with the Company and

which shall be charged at standard commercial rates, subject to an annual minimum.

(c) Investment Advisor Fee

The Company appointed Cheyne Capital International LP as Investment Adviser to provide advisory

services in respect of the Company pursuant to the Investment Advisory Agreement.

The Investment Advisor shall be entitled to receive out of the assets of each Fund attributable to shares of

each Class and/or Series such periodic investment advisory fee or fees (each an ‘Investment Advisory

Fee’) as may be set out in the notes to the financial statements of the individual Funds.


32


(Continued)


(d) Investment Management Fee

The Company appointed Cheyne Capital Management (UK) LLP, an investment management entity

incorporated in England, as Investment Manager to implement the investment strategy as specified in the

Prospectus and the Supplements to the Prospectus.

The Investment Manager shall be entitled to receive out of the assets of the Company an annual

Investment Management Fee, accrued daily and payable monthly in arrears as may be set out in the notes

to the financial statements of the individual Funds.

The Investment Manager is also entitled to be reimbursed by the Funds for all of its out-of-pocket

expenses and vouched internal legal costs reasonably incurred on behalf of the Funds.

(e) Performance fee

The performance fee charged to the Funds for the year is shown in the Statement of Comprehensive

Income of the individual Funds and is set out in the notes to the financial statements of the individual

Funds.

(f) Portfolio Support Fee

The Investment Manager shall be entitled to receive a monthly fee for providing certain middle office and

operational support services to the Company (the “Portfolio Support Fee”) as may be set out in the notes

to the financial statements of the individual Funds.

(g) Research and data recharge

When trading equity securities, the Investment Manager on behalf of the Company may use execution-

only or full service brokerage. When using full service brokerage, in addition to order execution,

commission-sharing arrangements will be used to accumulate balances to be used in compliance with

FCA Rules solely for the purchase, on behalf of the Company, of substantive research.

The Company will also reimburse the Investment Manager for monies spent by the Investment Manager to

obtain other research, market data, corporate access, analysis and/or other similar services for the

Company, up to a maximum of 0.10% per annum of the average net asset value of the Fund.

(h) Directors' Fees

The Articles authorise the Directors to charge a fee for their services at a rate determined by the Directors

up to a maximum fee per Director of GBP25,000 per annum for the Umbrella. All Directors will be entitled

to reimbursement by the Company of expenses properly incurred in connection with the business of the

Company or the discharge of their duties. Each Fund bears the cost of Directors’ fees and expenses

payable in respect of the relevant Fund. The Directors’ fees for each Fund are shown in the notes to the

financial statements of the individual Funds. The Company has engaged Grant Thornton to provide

Directors payroll services on a quarterly basis.

(i) Audit Fee

In accordance with the European Communities (Statutory Audits) (Directive 2006/43/EC) Regulations 2010

(S.I. No. 220 of 2010), the Company is obliged to disclose fees paid to the Fund’s Auditor. The Audit fees

for each Fund are shown in the notes to the financial statements of the individual Funds.


33


(Continued)

5. Redeemable Shares

The authorised share capital of the Company is 500,000,000,000 shares of no par value and 300,000

redeemable Non-Participating shares of EUR1.00 each.

Non-Participating shares do not entitle the holders thereof to any dividend and on winding up entitle the

holders thereof to receive the amount paid up thereon but do not otherwise entitle them to participate in

the assets of the Company.

The rights attached to the shares issued in any Class or Fund may, whether or not the Company is being

wound up, be varied or abrogated with the consent in writing of the shareholders of three-quarters of the

issued shares of that Class or Fund, or with the sanction of an ordinary resolution passed at a general

meeting of the shareholders of that Class or Fund. Every shareholder or holder of Non-Participating

shares present in person or by proxy who votes on a show of hands shall be entitled to one vote.

There are two Non-Participating shares currently in issue which were taken by the subscribers to the

Company and are held by nominees of the Investment Manager.

6. Risk Associated with Financial Instruments

Market risk

The Company is exposed to market risk (which includes interest rate risk, currency risk, other price risk)

arising from the financial instruments it holds. The Company uses derivatives and other instruments for

trading purposes and in connection with its risk management activities. The Company has investment

guidelines that set out its overall business strategies, its tolerance for risk and its general risk management

philosophy and has established processes to monitor and control economic hedging transactions in a

timely and accurate manner.

The Company’s assets and liabilities comprise financial instruments which include:

Investments in preference shares, ordinary shares, convertible bonds, forward currency contracts,

future currency and index contracts, contracts for difference (CFD), options, corporate and sovereign

bonds, commercial and residential mortgage backed securities (CMBS & RMBS), credit default swaps

(CDS), asset swapped convertible option transactions (ASCOT) and closed ended funds. These are

held in accordance with the Company’s investment objectives and policies; and

Cash, liquid resources and short-term debtors and creditors that arise directly from its investment

activities.

As an investment company, the Company buys, sells or holds financial assets and liabilities in order to

take advantage of changes in market prices.

The Company trades in financial instruments and may take positions in over the counter instruments

including derivatives, to take advantage of the market movements in the global capital markets.


34


(Continued)

6. Risk Associated with Financial Instruments (continued)

Market risk (continued)

The Investment Manager actively monitors market prices throughout the year and reports to the Board of

Directors, which meets periodically in order to consider investment performance. The risk management

function of the Investment Manager monitors the market, credit and liquidity risk of the portfolio on a daily

basis and reports periodically to the Board of Directors. Stress testing is performed on a daily basis and is

part of the daily risk management reports available to the Investment Manager and the risk management

team. Leverage and diversification of the Company’s investments is monitored and reported on daily in

order to maintain a clear understanding of the portfolio risk.

The Investment Manager operates a risk management process on behalf of the Company in relation to its

use of derivatives which allows it to accurately measure, monitor and manage the various risks associated

with derivatives and which is intended to ensure that the Company’s derivatives exposure remains within

the limits described within this note.

This risk management process will also take into account any exposure created through derivatives

embedded in transferable securities which the Investment Manager may acquire for the Company in

accordance with its investment objective and policies. Global exposure is measured using the

“Commitment approach” or “Value-at-Risk” on a daily basis.

The Investment Manager may also use future currency contracts, forward currency contracts, options,

swaps (including CDS), CFD and ASCOT as an alternative to acquiring the underlying or the related

securities, alone or in conjunction with the securities, in any case where such investment may be

accomplished in a more efficient or less costly way through the use of derivatives. Such instruments may

also be used to maintain or reduce exposure to the market while managing the cash flows from

subscriptions and redemptions into and out of the Company more efficiently than by buying and selling

transferable securities.

The key risk metrics that are monitored on a daily basis are the following:

Gross exposure

Net exposure

Sector exposure

Country exposure

Ratings exposure

Top 10 long/short positions

Gross leverage (Gross assets/NAV)

Foreign exchange exposure

Interest rate exposure

Credit risk – Spread exposure & Jump-to-Default

Optionality exposure – Gamma & Vega

Worst case loss exposure along stresses

Value-at-Risk (VaR)

Limits (in all above risk metrics)


35


(Continued)

6. Risk Associated with Financial Instruments (continued)

Market risk (continued)

Sensitivity analysis

These financial statements contain a number of sensitivity analyses. These are typically based on a

change in one variable while holding all other variables constant. In practice this is unlikely to occur, and

changes in some of the assumptions may be correlated – for example, changes in foreign currency rates

and changes in market values.

In addition, as the sensitivity analyses use historical data as a basis for determining future events, they do

not encompass all possible scenarios, particularly those that are of an extreme nature.

Please refer to the individual Funds’ notes for details on their market risk.

Interest rate risk

Interest rate risk is the risk that the fair value or future cash flows of a financial instrument will fluctuate

because of changes in market interest rates.

The Company can be exposed to both fair value and cash flow interest rate risk through its investments.

Cash flow interest rate risk also arises on the balances held with the Custodian. The rest of the

Company’s financial assets are equity shares which neither pay interest nor have a maturity date and non-

interest bearing derivative instruments.

Please refer to the individual Funds’ notes for details on their interest rate risk.

Foreign currency risk

Currency risk is the risk that the fair value or future cash flows of a financial instrument will fluctuate

because of changes in foreign currency exchange rates.

To help mitigate this risk/exposure the Company engages in currency economic hedging activities to

protect against the volatility associated with investments denominated in foreign currencies and other

assets and liabilities created in the normal course of business. The Company primarily utilises forward

exchange contracts with maturities of less than twelve months to hedge foreign-currency-denominated

financial assets and financial liabilities.

Increases or decreases in the Company’s foreign-currency-denominated financial assets and financial

liabilities are partially offset by gains and losses on the economic hedging instruments.

The Company’s total net exposure to foreign currencies is monitored and the risk is managed in

accordance with predefined risk limits, which are based on historical performance of exchange rates and

their impact on the NAV.

Please refer to the individual Funds’ notes for details on their foreign currency risk.


36


(Continued)

6. Risks Associated with Financial Instruments (continued)

Other price risk

Other price risk is the risk that the value of the instrument/portfolio will fluctuate as a result of changes in

market prices.

The NAV of the Company is therefore exposed to the daily market movements of the international equity

and capital markets and related indices. The Investment Manager, on an on-going basis, will actively trade

principal and hedging positions and manage the portfolio risk in accordance with parameters set out in the

Company’s Prospectus. All relevant underlying equity, credit spread and index risk factors are monitored

and stressed on a daily basis in order to mitigate all unnecessary market risk.

The Company is managed so as to observe the following restrictions:

no more than 10% of the value of the net assets of the Company will be invested in transferable

securities or money market instruments issued by the same issuer calculated at the time of

investment, provided that the total value of transferable securities and money market instruments

held in the issuers in each of which the Company invests more than 5% is less than 40%;

no more than 20% of the value of the net assets of the Company will be invested in deposits made

with the same credit institution;

the risk exposure of the Company to a counterparty to an OTC derivative will not exceed 5% of net

assets for eligible counterparties or 10% for qualifying credit institutions;

legal or management control of underlying investments is not taken; and

the Company adheres to the general principle of diversification in respect of all its assets attributable

to the Class portfolio.

Please refer to the individual Funds’ notes for details on their other price risk.

Credit Risk

Credit risk is the risk that an issuer or counterparty will be unable to meet a commitment that it has entered

into with the Company. The Company may enter into OTC transactions with a number of highly-rated

counterparties.

The creditworthiness of these counterparties is monitored closely and the credit exposure is very well

diversified (no counterparty with more than 10% of net assets, as detailed in other price risk above). The

assets of the Company are, under UCITS guidelines, only to be invested with counterparties which have a

minimum credit rating of A-2 from Standard & Poor’s or equivalent, or is deemed by the UCITS to have an

implied rating of A-2 or equivalent. Alternatively, an unrated counterparty will be acceptable where the

UCITS is indemnified or guaranteed against losses suffered as a result of a failure by the counterparty, by

an entity which has and maintains a rating of A-2 or equivalent. This restriction does not apply to

transactions effected with any counterparty which advances full and appropriate collateral to the Company

in respect of such transactions.

Substantially all the assets of the Company are held by the Custodian and Depositary Services Provider,

Citi Depositary Services Ireland DAC and margin cash is held with Bank of America, Bank of Nomura,

Barclays, BNP Paribas, Citibank, Credit Suisse, Deutsche Bank, Goldman Sachs, JP Morgan Chase,

Morgan Stanley, Societe Generale and UBS at year end. The Company monitors its risk by monitoring the

credit quality and normally foreseeable levels of financial positions of the counterparty that the Company

uses. The Company monitors the long-term credit ratings of its counterparties and details them in the

notes of the individual Funds.

Please refer to the individual Funds’ notes for details on their credit risk.


37


(Continued)


Liquidity risk

Liquidity risk is the risk that the Company will encounter difficulty in meeting obligations associated with

financial liabilities.

The liquidity risk associated with the mismatching of assets and liabilities (redemptions) is monitored at

the position and portfolio level. The Company employs leverage and any margin call driven liabilities are

met by the appropriate cash reserve. The cash reserve is monitored daily by the Investment Manager.

The Company’s Prospectus provides for the regular creation and cancellation of interests and is therefore

exposed to the liquidity risk of meeting Company’s redemptions at any time. The Company seeks to invest

in liquid securities that can be liquidated with little notice and maintains an adequate level of cash in order

to meet particular redemptions at any time.

Please refer to the individual Funds’ notes for details on their liquidity risk.

7. Fair Value Estimation

The Company has adopted IFRS 13. This requires the Company to classify fair value measurements

using a fair value hierarchy that reflects the significance of the inputs used in making the measurements.

The fair value hierarchy of inputs is summarised in the three broad levels listed below.

Level 1: Quoted prices (unadjusted) in active markets for identical assets or liabilities.

Level 2: Inputs other than quoted prices included within Level 1 that are observable for the asset or

liability, either directly (that is, as prices) or indirectly (that is, derived from prices).

Level 3: Inputs for the asset or liability, which are not based on observable market data (that is,

unobservable inputs).

The level in the fair value hierarchy within which the fair value measurement is categorised in its entirety is

determined on the basis of the lowest level input that is significant to the fair value measurement. For

example if a fair value measurement uses observable inputs that require significant adjustment based on

unobservable inputs, that measurement is Level 3. Assessing the significance of a particular input to the

fair value measurement in its entirety requires judgement, considering factors specific to the asset or

liability.

The determination of what constitutes “observable” requires significant judgement by the Company. The

Company considers observable data to be that market data that 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.

A table showing the classification of financial instruments recognised at fair value, analysed within the

hierarchy is shown in the financial Instruments at fair value through profit or loss disclosure within the

statements of each Fund.


38


(Continued)

8. Exchange Rates

The following exchange rates were used to translate assets and liabilities into the base currency.

Currency 31-Dec-17 31-Dec-16

AUD 1.5353 1.4566

CAD 1.5045 1.4145

CHF 1.1702 1.0720

CNY 7.8196 7.3300

DKK - 7.4355

EUR 1.0000 1.0000

GBP 0.8877 0.8536

HKD 9.3870 8.1776

JPY 135.2701 123.0208

NOK 9.8218 9.0790

SEK 9.8316 9.5820

SGD 1.6047 1.5238

USD 1.2008 1.0548

9. Related Party Transactions

Parties are considered related if one party has the ability to control the other party or exercise significant

influence over the other party in making financial or operational decisions.

Mr. Bronheim, a Director, resigned as General Counsel for the Investment Manager on 31 December

2017 and is also a Director of other Cheyne managed funds.

Mr Skelly, a Director until he resigned on 27 February, 2018 is an employee of Carne Global Financial

Services Limited which provides Money Laundering Reporting Officer (MLRO) and Designated Person

Oversight services to the Company. During the year, EUR24,443 (31 December 2016: EUR54,945) was

paid to Carne Global Financial Services Limited, EUR13,849 (31 December 2016: EUR770) remained

unpaid as at 31 December 2017. Mr. Skelly is also a Director of other Cheyne managed funds.

Ms. Wright is also a Director of other Cheyne managed funds.

Mr Ford is also a Director of other Cheyne managed funds.

Directors’ Remuneration

For the year ended 31 December 2017, Directors’ fees of EUR64,786 (2016: EUR68,000) were incurred

and payable as at 31 December 2017 were EUR1,309 (2016: EURNil).

Except as noted above, there were no material contracts in place involving any of the Directors as at 31

December 2017, nor at any other time during the year then ended.


39


(Continued)

9. Related Party Transactions (continued)

Investment Manager

Cheyne Capital Management (UK) LLP acts as Investment Manager of the Company and provides day-to-

day management of the investment program and UK marketing services.

Investment Advisor

Cheyne Capital International L.P. acts as Investment Advisor of the Company and provides advisory

services, strategic advice and marketing assistance.

Portfolio Support Manager

Cheyne Capital Management (UK) LLP acts as Portfolio Support Manager and provides certain middle

office, operational support and fund accounting services.

Investment Management and Portfolio Support fees

Management, performance, portfolio support fees, Investment Manager out of pocket expenses and

internal legal cost reimbursements are incurred by and paid for by the Company.

Research and Data Recharge

Research and data recharge may be paid for by the Investment Manager and then reimbursed by the

Company.

Other Related Parties

Transactions with other related parties are detailed in the individual Funds’ related party transactions

notes.

10. Contingent Liabilities

As at 31 December 2017, the Company did not have any significant commitments or contingent liabilities,

other than those which are disclosed in the Aggregated Financial Statements.

11. Soft Commissions

During the year, the Investment Manager has not entered into any soft commission arrangements with brokers.

The Investment Manager has in compliance with the FCA’s rules on dealing commission implemented a

number of commission sharing arrangements in order to purchase substantive research. Commission

sharing arrangements have been applied to Cheyne European Mid Cap Equity Fund.

12. Distributions

There were no distributions paid or proposed by the Company for the year.


40


(Continued)

13. Significant Events During the Year

With effect from 17 January 2017, the administrator and secretary, GlobeOp Financial Services (Ireland)

Limited changed its name to SS&C Financial Services (Ireland) Limited.

An updated Supplement for each Fund and an updated Prospectus was issued on 19 January 2017.

During the year Class X1 (EUR) share class was introduced by Cheyne Convertible Absolute Return

Fund.

Following the issue of the updated Supplement on 19 January 2017, non-duration hedged classes were

introduced by Cheyne Global Credit Fund.

A new supplement for Cheyne Enhanced Global Credit Fund was issued on 11 October 2017 and the

Fund launched on 5 December 2017.

Cheyne European Mid Cap Equity Fund had its last valuation date as of 22 December when all remaining

investors were redeemed. The financial statements of the Fund have been prepared on a wind down

basis. The Fund’s final NAV as at 31 December 2017 of EUR15,752,294 was paid to investors on 17

January 2018.

Mr. Bronheim, a Director, resigned as General Counsel for the Investment Manager on 31 December 2017

and is also a Director of other Cheyne managed funds.

There are no other significant events affecting the Company since the year end.

14. Subsequent Events Since the Year End

Mr Ford was appointed as Director on 5 February, 2018.

Mr Skelly, a Director, resigned from the Board on 27 February, 2018.

There are no other significant events affecting the Company since the year end.

15. Approval of Financial Statements

The Directors approved the financial statements on 29 March 2018.

41

CHEYNE CONVERTIBLES ABSOLUTE RETURN FUND

AUDITED FINANCIAL STATEMENTS


A claim of exemption under Regulation §4.7 has been filed with the Commodity Futures Trading Commission

for Cheyne Convertibles Absolute Return Fund


The accompanying notes form an integral part of the financial statements

42

STATEMENT OF FINANCIAL POSITION AS AT 31 DECEMBER 2017

Note

31-Dec-17

EUR

31-Dec-16

EUR

Assets

Cash and cash equivalents 5 2,335,615 7,992

Margin cash due from brokers 5 21,760,605 9,256,526

Financial assets at fair value through profit or loss:

Investments in transferable securities 3 66,125,452 27,853,343

Investments in financial derivative instruments 3 5,872,474 4,088,722

Sales awaiting settlement 18,544 -

Other receivables 4 139,146 201,352

Total assets 96,251,836 41,407,935

Liabilities

Bank overdraft 5 (61,987) -

Margin cash due to brokers 5 (428,991) (416,989)

Financial liabilities at fair value through profit or loss:

Investments in financial derivative instruments 3 (989,484) (1,289,610)

Purchases awaiting settlement (186,274) -

Investment advisor fee payable 2(c) (28,018) (20,511)

Investment management fee payable 2(d) (41,642) (29,945)

Performance fee payable 2(e) (113,274) (7,793)

Portfolio support fee payable 2(f) (4,575) (2,672)

Research and data recharge payable 2(g) (10,900) (19,433)

Accrued expenses 6 (211,931) (124,321)

Total liabilities (excluding Net Assets Attributable to

Holders of Redeemable Shares) (2,077,076) (1,911,274)

Net Assets Attributable to Holders of Redeemable Shares 94,174,760 39,496,661

Net Asset Value per Redeemable Share

31-Dec-17 31-Dec-16 31-Dec-15

Class D1 (USD)

Number of shares per class 267.35 291.35 383.35

Net Asset Value per share USD1,262.23 USD1,178.04 USD1,160.46

Net Asset Value EUR281,026 EUR325,406 EUR409,519

Class D2 (EUR)


Net Asset Value per share EUR1,173.77 EUR1,119.13 EUR1,115.62


Class D3 (GBP)

Number of shares per class - - 26.11

Net Asset Value per share - - GBP1,156.88

Net Asset Value - - EUR40,982



43

STATEMENT OF FINANCIAL POSITION AS AT 31 DECEMBER 2017 (Continued)

Net Asset Value per Redeemable Share (Continued)

31-Dec-17 31-Dec-16 31-Dec-15

Class D4 (CHF)


Net Asset Value per share CHF1,186.60 CHF1,133.71 CHF1,138.14


Class I1 (USD)

Number of shares per class 10,915.25 7,165.89 24,934.17


Net Asset Value EUR11,889,679 EUR8,287,079 EUR27,447,823

Class I2 (EUR)




Class I3 (GBP)


Net Asset Value per share GBP1,271.91 GBP1,199.93 GBP1,181.99


Class I4 (CHF)


Net Asset Value per share CHF1,146.13 CHF1,092.17 CHF1,090.89


Class S1 (USD)



Net Asset Value EUR60,076 EUR63,101 EUR1,183,314

Class S2 (EUR)

Number of shares per class 50.00 157.87 1,108.10


Net Asset Value EUR73,237 EUR217,663 EUR1,504,077

Class S3 (GBP)

Number of shares per class - 6.86 128.69

Net Asset Value per share - GBP1,398.71 GBP1,367.02

Net Asset Value - EUR11,249 EUR238,701

Class X1 (EUR)

Number of shares per class 396,500.00 - -

Net Asset Value per share EUR99.84 - -

Net Asset Value EUR39,587,432 - -



44

STATEMENT OF COMPREHENSIVE INCOME FOR THE YEAR ENDED 31 DECEMBER 2017

Note

31-Dec-17

EUR

31-Dec-16

EUR

Income

Net gain on financial assets and liabilities at fair value through

profit or loss 11 2,740,054 554,132

Net (loss)/gain on foreign exchange (184,892) 190,514

Interest income 1,492,683 1,641,914

Dividend income 122,586 208,764

Total income 4,170,431 2,595,324

Expenses


Dividend expense (765,272) (1,135,888)


Custodian fee 2(b) (19,407) (16,789)


Investment advisor fee 2(c) (260,413) (357,251)

Investment management fee 2(d) (385,274) (525,693)




Directors’ fees 2(h) (14,711) (17,359)

Audit fee 2(i) (33,422) (34,838)

Other expenses 2(j) (135,859) (114,398)


Total expenses (3,459,899) (3,945,463)

Withholding tax (1,497) (13,134)

Increase/(decrease) in Net Assets Attributable to Holders of

Redeemable Shares 709,035 (1,363,273)

The Fund has no recognised gains or losses during the financial year other than those reported in the




45

STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF

REDEEMABLE SHARES FOR THE YEAR ENDED 31 DECEMBER 2017

31-Dec-17

EUR

31-Dec-16

EUR

Net assets attributable to holders of redeemable shares at beginning of

the year 39,496,661 84,350,763

Increase/(decrease) in net assets attributable to holders of redeemable

shares from operations 709,035

(1,363,273)



Net assets attributable to holders of redeemable shares at end of the

year 94,174,760 39,496,661



46

STATEMENT OF CASH FLOWS FOR THE YEAR ENDED 31 DECEMBER 2017

31-Dec-17

EUR

31-Dec-16

EUR


Increase/(decrease) in net assets attributable to holders of redeemable shares

from operations 709,035 (1,363,273)


(Increase)/decrease in margin cash due from brokers (12,504,079) 8,517,483


Increase in investments in financial derivative instruments (2,083,878) (1,413,240)

(Increase)/decrease in sales awaiting settlement (18,544) 3,719,967

Decrease in other receivables 62,206 317,537

Increase in margin cash due to brokers 12,002 349,512

Increase/(decrease) in purchases awaiting settlement 186,274 (8,188,925)

Increase/(decrease) in accrued expenses and other payables 205,665 (162,076)


Financing




Increase/(decrease) in cash and cash equivalents 2,265,636 (172,348)

Cash and cash equivalents at start of year 7,992 180,340

Cash and cash equivalents at end of the year 2,273,628 7,992




Interest paid (1,325,747) (1,567,998)

Dividend received 128,849 202,501

Dividend paid (708,078) (1,130,013)


47

NOTES TO THE FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2017


The investment objective of the Cheyne Convertibles Absolute Return Fund (the “Fund”) is to provide total

return through a combination of yield and capital appreciation. The Fund will invest primarily in global

convertible securities. The Fund may also invest in global non-convertible securities including fixed income

securities, such as fixed and floating rate corporate and government bonds, equities, and certain derivative

products, such as CFD, futures, forward currency contracts (including forward rate agreements), options

(both writing and purchasing) and swaps (including CDS).

As at 31 December 2017, there are twelve Classes of shares in the Fund, of which Class D, Class I and

Class X shares are available for subscription and details of which are set out below:

Funded Classes: Class D1 (USD), Class D2 (EUR), Class D4 (CHF), Class I1 (USD), Class I2 (EUR), Class I3 (GBP), Class I4 (CHF), Class S2 (EUR), Class S3 (GBP) and Class X1 (EUR).

Unfunded Class:

Class D3 (GBP) and Class S1 (USD).




Administration Agreement dated 12 March 2016.

The Administrator receives out of the assets of the Fund an annual fee, accrued daily and payable monthly

in arrears, based on the net asset value (NAV) of the Fund, of up to a maximum of 0.12%, subject to a

minimum annual administration fee of EUR77,000 and an additional fee of EUR1,150 per month for weekly

valuations and an additional fee of EUR1,750 per month for indicative daily valuations (plus VAT, if any

thereon). The minimum fee may be fully or partially waived by the Administrator for such period or periods

of time as may be agreed between the Fund and the Administrator from time to time.

In addition to such base remuneration, the Administrator shall also be entitled to charge the Fund fees



commercial rates.

During the year, an administration fee of EUR94,454 (31 December 2016: EUR106,476) was charged to

the Fund out of which, EUR10,048 (31 December 2016: EUR6,947) remained unpaid as at 31 December

2017.





responsibilities.

The Depositary shall be entitled to receive out of the assets of the Fund an annual fee, accrued daily and

payable monthly in arrears, a fee of up to a maximum fee of 0.025% of the NAV of the Fund, subject to a

minimum annual Depositary services fee of EUR15,000 when an entity within Citigroup is the sub-

custodian and EUR21,000 when any other sub-custodian is used.


48

NOTES TO THE FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2017 (Continued)


(b) Depositary and Global Transaction Services Fee (continued)



which shall be charged at standard commercial rates, subject to a minimum annual Global Transaction

Services Fee of USD20,000.

During the year depositary services fees of EUR12,697 (31 December 2016: EUR13,050) was charged to

the Fund, EUR4,058 (31 December 2016: EUR1,857) remained unpaid as at 31 December 2017.

During the year a custodian fee of EUR19,407 (31 December 2016: EUR16,789) was charged to the

Fund, EUR3,125 (31 December 2016: EUR1,580) remained unpaid as at 31 December 2017.


The Fund appointed Cheyne Capital International Limited as Investment Advisor to provide advisory

services in respect of the Fund pursuant to the Investment Advisory Agreement.

The Investment Advisor shall be entitled to receive, out of the assets of the Fund an annual fee, accrued

daily and calculated and paid at a rate of 1.10% per annum of the NAV of the Fund allocable to Class D

shares, a rate of 0.60% per annum of the NAV of the Fund allocable to Class I shares, a rate of 0.30% per

annum of the NAV of the Fund allocable to Class S shares and a rate of 0.00% per annum of the NAV of

the Fund allocable to Class X1 (EUR) shares. The Investment Advisor is also entitled to be reimbursed by

the Fund for all of its out-of-pocket expenses reasonably incurred on behalf of the Fund.

During the year an investment advisor fee of EUR260,413 (31 December 2016: EUR357,251) was

charged to the Fund, EUR28,018 (31 December 2016: EUR20,511) remained unpaid as at 31 December

2017.


The Investment Manager is entitled to receive out of the assets of the Fund an annual Investment

Management Fee, accrued at each Valuation Point and payable monthly in arrears at a rate of 0.45% per

annum of the NAV of the Fund allocable to Class S shares, 0.90% per annum of the NAV of the Fund

allocable to Class I and D shares. There is no Management Fee with respect to Class X1 shares.

The Investment Manager is also entitled to be reimbursed by the Fund for all of its out-of-pocket expenses

and vouched internal legal costs reasonably incurred on behalf of the Fund. The reimbursement for the

Investment Manager for out of pocket expenses and legal costs were EUR7,448 (31 December 2016:

EUR5,185).

During the year an investment management fee of EUR385,274 (31 December 2016: EUR525,693) was

charged to the Fund, EUR41,642 (31 December 2016: EUR29,945) remained unpaid as at 31 December 2017.


49



(e) Performance fee

The Investment Manager and the Investment Advisor shall be entitled to receive a total performance fee

equal to 15% (out of the assets allocable to Class I and D shares) of the increase in the NAV of the

relevant Class over the relevant performance hurdle and any relevant High Water Mark (HWM) during a

performance period, disregarding any uncrystallised performance fee. The Investment Manager shall be

entitled to receive out of the assets allocable to Class S shares a performance fee equal to 10% of the

increase in the NAV of the relevant Class over the HWM during a performance period, disregarding any

uncrystallised performance fee. For Class I and D shares, 60% of any performance fee will be due to the

Investment Manager and 40% will be due to the Investment Advisor. The performance fee for Class S will

be due to the Investment Manager. There is no performance fee with respect to Class X1 shares. The

initial performance period commenced on the first business day after expiry of the initial offer period.

The performance hurdle is the relevant interest rate used for each performance period in the calculation of

the performance fee, the interest rate is (i) for any EUR Share Class, the 3 month EURIBOR (Euro

Interbank Offered Rate) on the first day of the performance period, (ii) for any USD Share Class, the 3

month dollar LIBOR on the first day of the performance period, (iii) for any CHF Share Class, the 3 month

Swiss Franc LIBOR on the first day of the performance period and (iv) for any GBP Share Class, the 3

month GBP LIBOR on the first day of the performance period.

The HWM ensures that, if the class falls in value, a performance fee will only be payable on that part of

any subsequent performance of the class that is in excess of the current HWM value.

The HWM is initially the value invested in the class, and is adjusted at each valuation point to take account

of subscriptions, redemptions and distributions impacting the valuation at that date. The HWM is increased

by the value of subscriptions, reduced by the value of distributions, and prorated down by the proportion of

shares of the class redeeming.

If the class falls in value in relation to the HWM following payment of the performance fee in any previous

period, the Investment Manager will retain all performance fee previously crystallised for that class but no

further performance fee will be charged until performance above the HWM is achieved by the class.

The performance fee shall accrue at each valuation point and accordingly the NAV will be adjusted to

reflect such fee. Notwithstanding the foregoing, any accrued performance fee referable to shares

redeemed prior to the end of the performance period shall crystallise and become payable to the

Investment Manager following such redemption. The performance period is each calendar quarter. This

crystallising performance fee is calculated as a pro rata portion of the un-crystallised performance fee

which forms part of the price at which the relevant shareholder redeemed.

During the year a performance fee of EUR343,034 (31 December 2016: EUR7,805) was charged to the

Fund, EUR113,274 (31 December 2016: EUR7,793) remained unpaid as at 31 December 2017. The

performance fee is periodically verified by the Depositary.


50




The Investment Manager shall be entitled to receive an annual portfolio support fee of 0.08% per annum of

the first EUR200 million of the NAV of the Fund, 0.06% per annum of the NAV of the Fund between

EUR200 million and EUR400 million; 0.04% per annum of the NAV of the Fund between EUR400 million

and EUR650 million; and 0.02% per annum of the NAV of the Fund in excess of EUR650 million.

During the year a portfolio support fee of EUR35,218 (31 December 2016: EUR47,227) was charged to

the Fund and EUR4,575 (31 December 2016: EUR2,672) remained unpaid as at 31 December 2017.


When trading equity securities, the Investment Manager on behalf of the Fund may use execution-only or

full service brokerage. When using full service brokerage, in addition to order execution, commission-

sharing arrangements will be used to accumulate balances to be used solely for the purchase, on behalf

of the Fund, of substantive research in compliance with FCA Rules.

The Fund will also reimburse the Investment Manager for monies spent by the Investment Manager to

obtain other research, market data, corporate access, analysis and/or other similar services for the

Company, up to a maximum of 0.10% per annum of the average net asset value of the Fund.

The research and data recharge and VAT that were charged to the Fund are as follows:

31-Dec-17 31-Dec-16

EUR EUR

Research and data recharge * (32,613) (46,643)

VAT (3,891) (5,105)

Total (36,504) (51,748)

* Research and data recharge disclosed in the table above are exclusive of VAT. The research and data

recharge recognised in the Statement of Comprehensive Income are inclusive of VAT.

(h) Directors’ Fees



to reimbursement by the Fund of expenses properly incurred in connection with the business of the Fund

or the discharge of their duties.

During the year Directors’ fees of EUR14,711 (31 December 2016: EUR17,359) were charged to the Fund,

EURNil (31 December 2016: EURNil) remained unpaid as at 31 December 2017.

(i) Audit Fee

In accordance with the European Communities (Statutory Audits) (Directive 2006/43/EC) Regulations

2010 (S.I. No. 220 of 2010), the Fund is obliged to disclose fees paid to the Fund’s Auditor. During the

year, an audit fee of EUR33,422 (31 December 2016: EUR34,838) was charged to the Fund, of which

EUR29,044 (31 December 2016: EUR8,838) was payable at year end. Payment in respect of other

assurance, tax advisory and other non-audit fees are EUR3,388 (31 December 2016: EUR4,490).


51



(j) Other Expenses

31-Dec-17

EUR

31-Dec-16

EUR

Directors expenses (383) (464)

Insurance expense (4,407) (11,298)

Legal fees (70,000) (71,996)

Miscellaneous expenses (59,735) (37,739)

VAT services fee expense (1,334) 7,099

(135,859) (114,398)

3. Financial Assets and Liabilities at fair value through profit or loss

Financial assets at fair value through profit or loss

31-Dec-17

EUR

31-Dec-16

EUR

Held for Trading:

Convertible bonds 66,125,452 27,853,343

Options 4,626,183 3,091,995

Unrealised gain on CFD 796,382 795,189

Unrealised gain on forward currency contracts 449,909 201,538

71,997,926 31,942,065

Financial liabilities at fair value through profit or loss

31-Dec-17

EUR

31-Dec-16

EUR

Held for Trading:

Options - (277,675)

Unrealised loss on CFD (780,618) (811,036)

Unrealised loss on forward currency contracts (208,866) (200,899)

(989,484) (1,289,610)

4. Other Receivables

31-Dec-17

EUR

31-Dec-16

EUR

Interest receivable on securities 137,423 189,485

Dividend receivable on securities - 6,263

Prepaid insurance expenses 1,723 5,604

139,146 201,352


52


5. Cash and Cash Equivalents

31-Dec-17

EUR

31-Dec-16

EUR

Cash and cash equivalents*:

-CHF 9 133

-EUR 2,334,946 7,148

-GBP 301 313

-HKD 7 8

-JPY 239 262

-USD 113 128

2,335,615 7,992

Margin cash due from brokers:

-AUD 466 491

-CAD 435 463

-CHF 2,442 1,392

-EUR 18,941,875 7,589,939

-GBP 138,706 2,938

-HKD 129,235 262

-JPY - 366

-SEK 13 13

-SGD 71 75

-USD 2,547,362 1,660,587

21,760,605 9,256,526

Bank overdraft*:

-CHF (48,920) -

-EUR (13,067) -

(61,987) -

Margin cash due to brokers:

-CHF (45) -

-EUR (43) (42)

-GBP (144,964) (213,072)

-JPY (283,939) (203,875)

(428,991) (416,989)

Total 23,605,242 8,847,529

* Cash and cash equivalents and bank overdraft are held with the Custodian.


53


6. Accrued Expenses

The table below details the accrued expenses at year end:

31-Dec-17

EUR

31-Dec-16

EUR

Interest payable (7,898) (14,445)

Dividend payable (77,800) (20,606)

Administrator fee payable (10,048) (6,947)

Custodian fees payable (3,125) (1,580)

Depositary services fees payable (4,058) (1,857)

Audit fees payable (29,044) (8,838)

Legal fees payable (57,230) (44,850)

Directors expense payable (972) (758)

Miscellaneous expenses payable (21,480) (24,164)

VAT services fees payable (276) (276)

Total (211,931) (124,321)


As at 31 December 2017, there are twelve Classes of shares in the Fund, of which Classes D, I and X

shares are available for subscription and details of which are set out in the table below:

Class of Share Minimum Subscription Minimum Holding

Available for

Subscription

Class D1 (USD) USD50,000 USD25,000 Yes

Class D2 (EUR) EUR50,000 EUR25,000 Yes

Class D3 (GBP) GBP50,000 GBP25,000 Yes

Class D4 (CHF) CHF50,000 CHF25,000 Yes

Class I1 (USD) USD100,000 USD50,000 Yes

Class I2 (EUR) EUR100,000 EUR50,000 Yes

Class I3 (GBP) GBP100,000 GBP50,000 Yes

Class I4 (CHF) CHF100,000 CHF50,000 Yes

Class S1 (USD) USD5,000,000 USD4,000,000 No

Class S2 (EUR) EUR3,500,000 EUR3,000,000 No

Class S3 (GBP) GBP3,000,000 GBP2,000,000 No

Class X1 (EUR) EUR35,000,000 EUR35,000,000 Yes

During the first initial offer period, from 4 September 2009 to 30 November 2009, shares were offered at

an initial price of USD1,000 for Class S1 (USD) and EUR1,000 for Class S2 (EUR). Effective from 2

December 2011, the seeding Share Classes, Class S1 (USD), Class S2 (EUR) and Class S3 (GBP) of

the Fund are closed to new investments.

During the second initial offer period, from 8 March 2010 to 30 June 2010, shares in Class I1 (USD) and

Class D1 (USD) were available at an initial price of USD1,000 and shares in Class I2 (EUR) and Class D2

(EUR) were available at an initial price of EUR1,000. Shares in Classes I1 (USD), D1 (USD), I2 (EUR)

and D2 (EUR) are currently available at prices calculated with reference to the NAV per share.

During the third initial offer period, from 18 June 2010 to 30 June 2010, shares in Class I3 (GBP), Class

D3 (GBP) and Class S3 (GBP) were offered at an initial price of GBP1,000. Shares in Class I3 (GBP) and

Class D3 (GBP) are currently available at prices calculated with reference to the NAV per share.


54


7. Redeemable Shares (continued)

During the fourth initial offer period, from 21 May 2012 to 20 July 2012, shares in Class I4 (CHF) and

Class D4 (CHF) were offered at an initial price of CHF1,000. Shares in Class I4 (CHF) and Class D4

(CHF) are currently available at prices calculated with reference to the NAV per share.

During the fifth initial offer period, from 14 December 2017 to 14 June 2018, shares in Class X1 (EUR)

were offered at an initial price of EUR100. Shares in Class X1 (EUR) are currently available at prices

calculated with reference to the NAV per share.

Following the initial offer periods, applications received by the Administrator prior to the dealing deadline

for any dealing day will be processed on that dealing day. Any applications received after the dealing

deadline for a particular dealing day will be processed on the following dealing day unless the Directors in

their absolute discretion otherwise determine to accept one or more applications received after the dealing

deadline for processing on that dealing day, provided that such applications have been received prior to

the valuation point for the particular dealing day.

Requests for redemptions received prior to the dealing deadline for any dealing day will be processed on

that dealing day. Any requests for redemption received after the dealing deadline for a dealing day will be

processed on the next dealing day unless the Directors in their absolute discretion determine otherwise

provided that such redemption request(s) have been received prior to the valuation point for the particular

dealing day. Redemption requests will only be accepted for processing where cleared funds and

completed documents including documentation relating to money laundering prevention checks are in

place from original subscriptions. No redemption payment will be made from an investor account until the

original Application Form and all documentation required by or on behalf of the Fund (including any

documents in connection with anti-money laundering procedures) has been received from the investor and

the anti-money laundering procedures have been completed.

The minimum value of shares which a shareholder may redeem in any one redemption transaction is

EUR2,000 (or its GBP/USD/CHF equivalent). In the event of a shareholder requesting a redemption which

would, if carried out, leave the shareholder holding shares of a class having a NAV less than the relevant

minimum holding, the Fund may, if it thinks fit, redeem the whole of the shareholder's holding.

It is not the current intention of the Directors to charge a redemption fee. However, the Directors are

empowered to charge a redemption fee of up to 3% of the redemption monies and may exercise their

discretion in this respect. The Directors may differentiate between shareholders of the Fund by waiving or

reducing the redemption fee chargeable to certain shareholders. The Directors will give not less than one

month’s notice to shareholders of their intention to introduce a redemption fee generally. In the event of a

redemption fee being charged, shareholders should view their investment as medium to long-term.

There are no holdings in Class D3 (GBP) as at 31 December 2017. Shares transactions during the year in

respect of each share class are shown below:

31-Dec-17

Class D1

(USD)

Class D2

(EUR)

Class D4

(CHF)

Class I1

(USD)

Class I2

(EUR)

Number of Shares

At beginning of year 291.35 798.92 65.26 7,165.89 19,669.92

Issued 22.00 - - 3,924.69 10,679.61

Redeemed (46.00) (572.27) (14.00) (175.33) (1,087.04)

At end of the year 267.35 226.65 51.26 10,915.25 29,262.49


55



31-Dec-17

(continued) Class I3

(GBP)

Class I4

(CHF)

Class S1

(USD)

Class S2

(EUR)

Class S3

(GBP)

Class X1

(EUR)

Number of Shares

At beginning of year 2,511.03 2,469.48 47.54 157.87 6.86 -

Issued 116.65 56.85 - - - 396,500

Redeemed (260.00) (887.72) - (107.87) (6.86) -

At end of the year 2,367.68 1,638.61 47.54 50.00 - 396,500

31-Dec-16

Class D1

(USD)

Class D2

(EUR)

Class D3

(GBP)

Class D4

(CHF)

Class I1

(USD)

Class I2

(EUR)

Number of Shares

At beginning of year 383.35 827.36 26.11 76.26 24,934.17 34,660.79

Issued - 45.24 - - 4,998.37 1,449.48

Redeemed (92.00) (73.68) (26.11) (11.00) (22,766.65) (16,440.35)

At end of the year 291.35 798.92 - 65.26 7,165.89 19,669.92

Class I3

(GBP)

Class I4

(CHF)

Class S1

(USD)

Class S2

(EUR)

Class S3

(GBP)

Number of Shares

At beginning of year 4,301.27 4,391.75 943.68 1,108.10 128.69

Issued 22.12 89.79 - - -

Redeemed (1,812.36) (2,012.06) (896.14) (950.23) (121.83)

At end of the year 2,511.03 2,469.48 47.54 157.87 6.86

The aggregate nominal value of shares of each class subscribed is shown below:

Share class Consideration

received

2017

Consideration

received

2016

Class D1 (USD) 22,737 -

Class D2 (EUR) - 49,000

Class I1 (USD) 4,361,676 5,408,418

Class I2 (EUR) 13,394,512 1,700,000

Class I3 (GBP) 166,423 33,414

Class I4 (CHF) 56,578 87,750

Class X1 (EUR) 39,650,000 -

Total consideration received 57,651,926 7,278,582


56


8. Risks Associated with Financial Instruments

Interest rate risk

An increase in 50 basis points in interest rates as at the reporting date would have decreased the net

assets attributable to the holders of redeemable shares and changes in net assets attributable to holders

of redeemable shares by EUR448,653 (31 December 2016: EUR183,504). This is because of an increase

in interest income and a reduction in the value of the portfolio. A decrease of 50 basis points would have

had an equal but opposite effect.

The following table details the Fund’s exposure to interest rate risks. It includes the Fund’s assets and

trading liabilities at fair values, categorised by maturity date measured by the carrying value of the assets

and liabilities.

31-Dec-17

Assets

<1

month

1 - 3

months

3 - 12

months

>12

months

Non-

interest

bearing

Total

Held for Trading: EUR EUR EUR EUR EUR EUR

Convertible bonds - - 32,824,144 33,301,308 - 66,125,452

Options - - - - 4,626,183 4,626,183

Unrealised gain on CFD - - - - 796,382 796,382

Unrealised gain on forward

currency contracts - -

-

- 449,909 449,909

Loans and receivables:

Cash and cash equivalents 2,335,615 - - - - 2,335,615

Margin cash due from

brokers 21,760,605

-

-

-

- 21,760,605

Other receivables - - - - 139,146 139,146

Sales awaiting settlement - - - - 18,544 18,544

Total assets 24,096,220 - 32,824,144 33,301,308 6,030,164 96,251,836

Liabilities

<1

month

1 - 3

months

3 - 12

months

>12

months

Non-

interest

bearing

Total


Unrealised loss on CFD - - - - (780,618) (780,618)

Unrealised loss on forward

currency contracts

-

-

-

- (208,866) (208,866)

Other financial liabilities

measured at amortised cost:

Bank overdraft (61,987) - - - - (61,987)

Margin cash due to brokers (428,991) - - - - (428,991)

Accrued expenses and

other payables -

-

-

- (410,340) (410,340)

Purchase awaiting

settlement -

-

-

- (186,274) (186,274)

Total liabilities (490,978) - - - (1,586,098) (2,077,076)


57



Interest rate risk (continued)

31-Dec-16

Assets

<1

month

1 - 3

months

3 - 12

months

>12

months

Non-

interest

bearing

Total


Convertible bonds - - 2,161,893 25,691,450 - 27,853,343

Options - - - - 3,091,995 3,091,995

Unrealised gain on CFD - - - - 795,189 795,189


currency contracts - -

-

- 201,538 201,538


Cash and cash equivalents 7,992 - - - - 7,992


brokers 9,256,526

-

-

-

- 9,256,526


Total assets 9,264,518 - 2,161,893 25,691,450 4,290,074 41,407,935

Liabilities

<1

month

1 - 3

months

3 - 12

months

>12

months

Non-

interest

bearing

Total


Options - - - - (277,675) (277,675)

Unrealised loss on CFD - - - - (811,036) (811,036)


currency contracts

-

-

-

- (200,899) (200,899)

Other financial liabilities

measured at amortised cost:



other payables -

-

-

- (204,675)

(204,675)



58




The following table provides an analysis of the Fund’s net exposure to foreign currencies after including

forward foreign currency contracts with the exception of contracts used for hedging foreign currency share

classes as at 31 December 2017 and 31 December 2016:

31-Dec-17 31-Dec-16

Currency EUR EUR

AUD 466 491

CAD 435 463

CHF (46,514) 1,525

CNY - (5,169)

GBP 8,248 (120,628)

HKD 133,326 270

JPY (52,703) (91,517)

SEK 13 13

SGD 71 75

USD 275,179 268,241

THB 46,607 -

Total 365,128 53,764

An increase in 50 basis points in Euro rates as at the reporting date would have decreased the net assets

attributable to the holders of redeemable shares and changes in net assets attributable to the holders of

redeemable shares by EUR1,826 (31 December 2016: EUR269). A decrease of 50 basis points would

have had an equal but opposite effect.

Exchange rates used are outlined on page 38 of these financial statements.

Other price risk

For the Fund, the Investment Manager monitors the effect of a 50% negative movement on all equity

markets, an increase in volatility by 10bps and a rise in yields by 100 and 50bps on the NAV assuming a

correlation of 1 in these markets. The results of this test on the portfolio are presented in the following

table.

NAV Effect

31-Dec-17

NAV Effect

31-Dec-16

EUR EUR

Stocks down 50% 2,151,549 1,154,986

Volatility increase by 10 bps 390,896 3,655,367

Yields rising by 100 bps (3,163,599) (428,136)

Yields rising by 50 bps (1,742,179 (227,476)


59



Other price risk (continued)

The tables below analyse the Fund’s concentration of mark-to-market risk by geographical and sector

distribution for 31 December 2017 and 31 December 2016 (excluding cash).

Country of risk exposure 31 December 2017 and 31 December 2016:

Country of risk

Notional Exposure

Notional Exposure

Notional Exposure

Notional Exposure

Long Short

Long Short

EUR EUR Long Short EUR EUR Long Short

31-Dec-17 31-Dec-17 (%NAV) (%NAV) 31-Dec-16 31-Dec-16 (% NAV) (% NAV)

United States 33,517,863 (18,951,267) 35.59 (20.14) 26,502,628 (19,542,092) 67.10 (49.48)

Belgium 32,519,833 (1,326,080) 34.53 (1.41) 1,296,517 (170,289) 3.28 (0.43)

Germany 13,562,601 (6,063,975) 14.40 (6.44) 10,517,554 (5,907,558) 26.63 (14.96)

Italy 10,999,706 (9,201,275) 11.68 (9.77) 7,633,365 (3,767,250) 19.33 (9.54)

China 10,940,587 (4,429,646) 11.62 (4.70) 5,276,657 (2,034,977) 13.36 (5.15)

France 9,775,042 (4,023,498) 10.38 (4.27) 1,400,329 (2,793,000) 3.55 (7.07)

Netherlands 9,534,363 (2,731,384) 10.12 (2.90) 6,312,784 (1,044,929) 15.98 (2.65)

Britain 8,559,727 (5,951,861) 9.09 (6.32) 3,446,265 (2,882,752) 8.73 (7.30)

Japan 6,170,330 (8,809,414) 6.55 (9.35) 5,421,067 (4,994,659) 13.73 (12.65)

Austria 4,279,356 (1,838,121) 4.54 (1.95) - - 0.00 -

Norway 4,029,750 (2,669,869) 4.28 (2.84) 2,616,102 (1,868,514) 6.62 (4.73)

Spain 3,661,860 (2,874,826) 3.90 (3.05) 2,176,134 (703,039) 5.51 (1.78)

Hungary 3,561,000 (2,052,987) 3.78 (2.18) 3,420,293 (1,198,077) 8.66 (3.03)

Russia 2,398,834 (1,984,956) 2.55 (2.11) - - 0.00 -

UAE 1,904,407 - 2.02 - 938,168 - 2.38 -

Taiwan 1,596,449 - 1.70 - 470,217 - 1.19 -

Thailand 1,100,946 - 1.17 - - - 0.00 -

Denmark 1,049,662 - 1.11 - - - 0.00 -

South Africa 660,119 - 0.70 - 4,254,000 (2,484,366) 10.76 (6.29)

Philippines 558,285 - 0.59 - - - 0.00 -

Hong Kong 529,726 - 0.56 - 1,761,759 - 4.46 -

Portugal 520,868 - 0.55 - 1,625,394 - 4.12 -

Switzerland - (1,275,955) - (1.35) - - 0.00 -

Sweden - - - - 2,027,000 - 5.13 -

Total 161,431,314 (74,185,114) 171.41 (78.38) 87,096,233 (49,391,502) 220.52 (125.06)


60




Sector exposure 31 December 2017 and 31 December 2016:

Sector of risk

Notional Exposure

Notional Exposure

Notional Exposure

Notional Exposure

Long Short

Long Short


31-Dec-17 31-Dec-17 (% NAV) (% NAV) 31-Dec-16 31-Dec-16 (%NAV) (%NAV)

Technology 31,298,574 (16,545,435) 33.23 (17.57) 8,720,135 (6,038,963) 22.08 (15.29)

Government 30,027,780 - 31.89 - - - - -

Consumer, Non-cyclical 22,805,139 (12,428,315) 24.22 (13.20)

15,113,083 (9,499,736) 38.26 (24.05)

Basic Materials 16,226,902 (9,553,654) 17.23 (10.14) 3,728,278 (1,044,929) 9.44 (2.65)

Industrial 15,142,692 (10,671,528) 16.08 (11.33)

13,904,621 (10,157,006) 35.20 (25.72)

Financial 14,165,921 (6,639,334) 15.04 (7.05) 6,876,619 (2,130,278) 17.41 (5.39)

Communications 11,102,646 (3,605,630) 11.79 (3.83)

15,173,938 (8,879,362) 38.43 (22.48) Consumer, Cyclical 7,669,843 (5,629,603) 8.14 (5.99) 8,195,724 (5,305,635) 20.75 (13.43)

Energy 7,453,448 (4,627,511) 7.91 (4.91)

12,404,267 (6,335,593) 31.41 (16.05)

Utilities 5,338,477 (4,484,104) 5.67 (4.76) 952,568 - 2.41 -

Materials 199,892 - 0.21 - - - - -

Diversified - - - - 2,027,000 - 5.13 -

Total 161,431,314 (74,185,114) 171.41 (78.78) 87,096,233 (49,391,502) 220.52 (125.06)

The country and sector risk tables have been prepared using the underlying notional exposure where relevant,

and will not therefore reconcile to financial assets at fair value. This reflects how other price risk is monitored

and managed by the Investment Manager.

The Fund also uses absolute Value-at-Risk (VaR) analysis, which is a statistically based estimate of the

potential loss on the current portfolio from adverse market movements.

The absolute VaR figure cannot be greater than 20% of the NAV of the Fund.

The calculation of the absolute VaR is carried out in accordance with the following parameters:

1. one-tailed confidence interval of 99%;

2. holding period equivalent to 1 month (20 business days);

3. effective observation period (history) of risk factors of at least 1 year (250 business days);

4. daily calculation.

The VaR model is validated and audited at year end through the use of backtesting procedures. The results of

the backtesting procedures are communicated to the Board of Directors especially when there are signs of

excessive VaR back testing overshoots. Stress testing is also employed to highlight the validity of the

calculation model and suggest corrective actions in terms of model parameters and calibration.


61




The main risk covered by the VaR model is market risk. The model’s methodology is historical simulation

where no assumptions regarding returns distributions are made. The backtesting procedure includes

checking the Fund’s returns versus the VaR levels calculated by the risk engine. The time horizon used for

the backtesting of the VaR model is one day using one year’s historical data.

Historical simulation generates scenarios by applying risk factor movements from a historical period to

today’s risk factor levels then re-pricing each security from the new risk factor levels. There is no

distributional assumption (e.g. normality or log normality) neither for the risk factors nor for the securities.

Instead, distributions of underlying risk factors are taken exactly as found over the specified historical time

period. This method accurately prices all types of complex non-linear positions as well as simple linear

instruments. It also provides a full distribution of potential portfolio gains and losses (which need not be

symmetrical). If the underlying risk factors exhibit non-normal behaviour such as fat tails or mean

reversion, then the resulting VaR figure will include these effects. However, tail risk can only be examined

if the historical data set includes tail events.

Leverage has been computed using the sum of notionals approach, as recommended by the Central Bank

of Ireland. This approach does not allow for any kind of netting or hedging. The average leverage of 351%

(31 December 2016: 351%) has been computed using data calculated daily and was calculated over the

year ranging from 1 January 2017 until 31 December 2017.

VaR utilisation during 2017

Lowest Highest Average

1.44% 8.11% 4.51%



2.25% 6.72% 4.09%


62



Credit risk

The tables below indicate the long-term credit ratings of the counterparties of financial assets held as at 31

December 2017 and 31 December 2016:

31-Dec-17

Moody’s Standard & Poors Fitch

Barclays Baa2 BBB A

Bank of America A3 A- A

Bank of Nomura Baa1 A- A-

Bank of New York Mellon A1 A AA-

BNP Paribas Aa3 A A+

Citibank Baa1 BBB+ A

Citi Global Markets A2 A+ A

Credit Suisse Baa2 BBB+ A-

Deutsche Bank Baa2 A- BBB+

Goldman Sachs A3 BBB+ A

HSBC A2 A AA-

JP Morgan A3 A- A+

Morgan Stanley A3 BBB+ A

Societe Generale A2 A A

State Street A1 A AA-

UBS A1 A+ AA-

31-Dec-16


BNP Paribas A1 A A+

Bank of America Baa1 BBB+ A

Bank of Nomura Baa1 A- NR

Citibank A1 A+ A+

Daiwa Securities Group Baa1 A- A-

JP Morgan A3 A- A+

Mizuho Bank A1 A N/A



Standard Chartered Bank A1 BBB+ A+


63



Credit risk (continued)

Concentrations of credit risk exist when changes in economic, industry or geographic factors affect

counterparties whose aggregate credit exposure is significant in relation to the Fund’s total credit exposure

(see above concentration risk tables under other price risk). The Fund’s portfolio of financial instruments is

broadly diversified along industry, product and geographic lines, and transactions are entered into with a

range of counterparties, thereby mitigating any significant concentration of credit risk.

The table below indicates the credit ratings of the securities held:

Rating

Notional Exposure

Notional Exposure

Notional Exposure

Notional Exposure

Long Short Long Short


31-Dec-17 31-Dec-17 (% NAV) (% NAV) 31-Dec-16 31-Dec-16 (% NAV) (% NAV)

BBB- 9,634,419 - 10.23 - 2,136,204 - 5.41 -

B- 3,442,132 - 3.66 - - - - -

A- 2,206,315 - 2.34 - 2,240,888 - 5.67 -

BB+ 2,069,825 - 2.20 - 3,285,904 - 8.32 -

AA- 1,904,407 - 2.02 - 938,168 - 2.38 -

B+ 873,894 - 0.93 - - - - -

A 410,260 - 0.44 - 2,998,548 (2,882,752) 7.59 (7.30)

BB- 399,077 - 0.42 - - - - -

BBB+ - - - - 511,613 (2,509,601) 1.30 (6.35)

BB - - - - - (1,882,152) - (4.77)

A+ - - - - 809,191 - 2.05 -

B - - - - - (1,602,985) - (4.06) Not rated

140,490,985 (74,185,114) 149.17 - 74,175,717 (40,514,012) 187.80 (102.58)

Total 161,431,314 (74,185,114) 171.41 (78.78) 87,096,233 (49,391,502) 220.52 (125.06)


64




The Fund’s maximum credit risk exposure for financial instruments is as follows:

Financial Instrument Total Total

31-Dec-17 31-Dec-16

EUR EUR

Cash and cash equivalents 2,335,615 7,992

Margin cash due from brokers 21,760,605 9,256,526

Convertible bonds 66,125,452 27,853,343

Options 4,626,183 3,091,995

Unrealised gain on CFD 796,382 795,189


Other receivables 139,146 201,352

Sales awaiting settlement 18,544 -

Total 96,251,836 41,407,935

Liquidity risk

The following table details the residual contractual maturities of financial liabilities at 31 December 2017:

<1

month

1 - 3

months

>3

months

No

maturity Total

EUR EUR EUR EUR EUR

Bank overdraft (61,987) - - - (61,987)

Margin cash due to brokers (428,991) - - - (428,991)

Options - - - - -

Unrealised loss on CFD (780,618) - - - (780,618)

Unrealised loss on forward currency

contracts - (208,866) - - (208,866)

Accrued expenses and other

payables (410,340) - - - (410,340)

Purchases awaiting settlement (186,274) - - - (186,274)

Net assets attributable to holders of

redeemable shares (94,174,760) - - - (94,174,760)

Total liabilities (including net

assets attributable to redeemable

shares) (96,042,970) (208,866) - - (96,251,836)


65



Liquidity risk (continued)


For details on market risk, please refer to Note 6 of the aggregated financial statements.


The following table analyses within the fair value hierarchy the Fund’s financial assets and liabilities

measured at fair value at 31 December 2017:

Assets Level 1

EUR

Level 2

EUR

Level 3

EUR

Total

EUR

Financial assets held for trading:

Convertible bonds - 66,125,452 - 66,125,452

Options - 4,626,183 - 4,626,183

Unrealised gains on CFD - 796,382 - 796,382

Unrealised gains on forward currency

contracts - 449,909 - 449,909

Total assets - 71,997,926 - 71,997,926

Liabilities

Financial liabilities held for trading:

Unrealised loss on CFD - (780,618) - (780,618)


contracts - (208,866) - (208,866)

Total liabilities - (989,484) - (989,484)

<1

month

1 - 3

months

>3

months

No

maturity Total

EUR EUR EUR EUR EUR


Options - - (277,675) - (277,675)

Unrealised loss on CFD (811,036) - - - (811,036)


contracts - (200,899) - - (200,899)


payables (204,675) - - - (204,675)

Net assets attributable to holders of




shares) (40,929,361) (200,899) (277,675) - (41,407,935)


66


9. Fair Value Estimation (continued)



Assets Level 1

EUR

Level 2

EUR

Level 3

EUR

Total

EUR


Convertible bonds - 27,853,343 - 27,853,343

Options - 3,091,995 - 3,091,995

Unrealised gains on CFD - 795,189 - 795,189

Unrealised gains on forward currency

contracts -

201,538 -

201,538

Total assets - 31,942,065 - 31,942,065

Liabilities


Options - (277,675) - (277,675)

Unrealised loss on CFD - (811,036) - (811,036)


contracts -

(200,899) -

(200,899)

Total liabilities - (1,289,610) - (1,289,610)

Level 2 bonds are priced based on Bloomberg’s BVAL methodology, which derives a price based on

comparable actively traded bonds.

Derivatives have been valued using market observable inputs.

The policies for determining when transfers take place is that transfers between levels are deemed to have

occurred on the date of the event or the change in circumstances that caused the transfer.

There were no significant movements or transfers between Level 1, Level 2, and Level 3 during the year

ended 31 December 2017 or 2016.

10. Offsetting of Financial Instruments

The Fund has not offset any financial assets and financial liabilities in the Statement of Financial Position.

The disclosure set out in the tables below include financial assets and financial liabilities that are subject to

an enforceable master netting or similar agreement that covers similar financial instruments. The similar

agreements include derivative clearing agreements, global master repurchase agreements and global

master securities lending agreements, reverse sale and repurchase agreements, and securities borrowing

agreements.

The ISDA and similar master netting agreements do not meet the criteria for offsetting in the Statement of

Financial Position. This is because they create a right of set-off of recognised amounts that is enforceable

only following an event of default, insolvency or bankruptcy of the Fund or the counterparties. In addition,

the Fund and its counterparties do not intend to settle on a net basis or to realise the assets and settle the

liabilities simultaneously.


67


10. Offsetting of Financial Instruments (continued)

Derivative assets and liabilities of the Fund are held with each counterparty and the margin balance

maintained by the Fund is for the purpose of providing collateral on derivative positions.

The following tables provides information on the financial impact of potential netting for instruments subject

to an enforceable master netting arrangement or similar agreement as at 31 December 2017 and 31

December 2016.

Financial assets subject to offsetting at 31 December 2017:

(a) (b) (c)=(a)-(b) (d)

Related amounts not offset in the Statement of Financial Position

(e)=(c)-(d)

Gross amounts of recognised

financial assets

Gross amounts offset in

the statement

of financial position

Net amount presented

on the statement


Financial instruments

Cash collateral received Net amount

EUR EUR EUR EUR EUR EUR


BNP Paribas 342,303 - 342,303 342,303 - -

Morgan Stanley 5,092,937 - 5,092,937 260,631 284,049 4,548,257

Societe Generale 437,234 - 437,234 384,909 52,325 -

Total 5,872,474 - 5,872,474 987,843 336,374 4,548,257

Financial liabilities subject to offsetting at 31 December 2017:

(a) (b) (c)=(a)-(b) (d)


(e)=(c)-(d)


liabilities


the statement



on the statement



Cash collateral

pledged Net amount



BNP Paribas (343,944) - (343,944) (342,303) (1,641) -

Morgan Stanley (260,631) - (260,631) (260,631) - -

Societe Generale (384,909) - (384,909) (384,909) - -

Total (989,484) - (989,484) (987,843) (1,641) -


68




(a) (b) (c)=(a)-(b) (d)


(e)=(c)-(d)


financial assets


the statement



on the statement






Bank of America 193,395 - 193,395 - - 193,395

Bank of Nomura 1,804,296 - 1,804,296 - - 1,804,296

BNP Paribas 164,549 - 164,549 112,691 51,858 - Daiwa Securities Group 254,528 - 254,528 - - 254,528

Mizuho Bank 421,415 - 421,415 - - 421,415

Morgan Stanley 654,546 - 654,546 510,693 143,853 -

Societe Generale 595,993 - 595,993 595,993 - -

Total 4,088,722 - 4,088,722 1,219,377 195,711 2,673,634


(a) (b) (c)=(a)-(b) (d)


(e)=(c)-(d)


liabilities


the statement



on the statement



Cash collateral

pledged Net amount



BNP Paribas (112,691) - (112,691) (112,691) - -

Morgan Stanley (510,693) - (510,693) (510,693) - -

Societe Generale (666,226) - (666,226) (595,993) (70,233) -

Total (1,289,610) - (1,289,610) (1,219,377) (70,233) -


69


11. Net Gain/(Loss) on Financial Assets and Liabilities at Fair Value through Profit or Loss

31-Dec-17

EUR

31-Dec-16

EUR

Held for trading:

Net realised gain/(loss) on investments 1,775,094 (658,584)

Movement in unrealised gain on investments 964,960 1,212,716

Net gain on financial assets and liabilities at fair value

through profit or loss 2,740,054 554,132


For details of related party transactions please see Note 9 of the aggregated financial statements.

During the year Directors’ fees of EUR14,711 (31 December 2016: EUR17,359) were charged to the

Fund.


charged to the Fund.



During the year the reimbursements to the Investment Manager for out of pocket expenses and legal costs

were EUR7,448 (31 December 2016: EUR5,185).


Fund.


the Fund.

During the year research and data recharge of EUR36,504 (31 December 2016: EUR51,748) was charged

to the Fund. The research and data recharge’ amounts disclosed in this note are VAT inclusive.

Other related parties

As at 31 December 2017, 0.4990 (31 December 2016: 0.7484) shares of Class I3 (GBP) are held by

Cheyne Capital Management (UK) LLP which is the investment manager and portfolio support manager of

the Fund.

As at 31 December 2017, 14,197.19(31 December 2016: 11,832.71) shares of Class I2 (EUR) are held by

FCP Diversification Prudentielle which was managed by the same Investment Manager.


During the year Class X1 (EUR) share class was introduced by Cheyne Convertible Absolute Return Fund.

There were no other significant events during the year.


There are no significant events affecting the Fund since the year end.

70

CHEYNE GLOBAL CREDIT FUND



A claim of exemption under Regulation §4.7 has been filed with the Commodity Futures Trading Commission

for Cheyne Global Credit Fund



71


Note

31-Dec-17

EUR

31-Dec-16

EUR

Assets

Cash and cash equivalents 5 32,083,921 2,545,905



Investments in transferable securities 3 199,147,566 80,274,875

Investments in financial derivative instruments 3 21,689,949 10,096,291

Sales awaiting settlement 57 -

Other receivables 4 2,977,614 1,148,408

Total assets 260,826,062 107,607,271

Liabilities

Bank overdraft 5 (4,225,893) (176,375)

Margin cash due to brokers 5 (6,656,182) (1,690,848)


Investments in financial derivative instruments 3 (1,295,239) (983,096)



Performance fee payable 2(e) (46,935) (81,696)

Portfolio support fee payable 2(f) (15,079) (7,268)



Total liabilities (excluding Net Assets Attributable to Holders

of Redeemable Shares) (12,582,279) (3,160,710)


Adjustment for revaluation of net assets attributable to Redeemable

Shareholders 12 - 6,345




72



31-Dec-17 31-Dec-16 31-Dec-15

Class GCDH-D1 (EUR)*

(Previously Class GC-D1(EUR))


Net Asset Value per share EUR105.07 EUR103.56 EUR98.88


Class GCDH-I1 (EUR)*

(Previously Class GC-I1(EUR))


Net Asset Value per share EUR125.98 EUR123.61 EUR117.44


Class GCDH-I2 (USD)*

(Previously Class GC-I2(USD))


Net Asset Value per share USD122.00 USD117.21 USD110.09


Class GCDH-I3 (GBP)*

(Previously Class GC-I3(GBP))


Net Asset Value per share GBP111.41 GBP108.41 GBP102.21


Class GCDH-I4 (CHF)*

(Previously Class GC-I4(CHF))


Net Asset Value per share CHF111.67 CHF110.16 CHF105.28


Class GCD-IJ3 (GBP)**


Net Asset Value per share GBP100.83 - -


Class GCDH-IJ3 (GBP)**


Net Asset Value per share GBP101.47 - -


* On 19 January 2017, these Classes were renamed and were re-designated as Duration Hedged Classes.

** These Classes were launched on 30 May 2017.



73


Note

31-Dec-17

EUR

31-Dec-16

EUR

Income

Net loss on financial assets and liabilities at fair value

through profit or loss 11 (5,581,425)

(1,573,673)

Net loss on foreign exchange (1,117,226) (19,562)

Interest income 15,968,354 11,556,841

Total income 9,269,703 9,963,606

Expenses



Custodian fee 2(b) (32,270) (24,413)







Directors’ fees 2(h) (35,665) (28,499)

Audit fee 2(i) (35,888) (41,424)

Other expenses 2(j) (222,552) (263,994)

Commission fees (3,572) (267)

Total expenses (10,979,481) (5,104,380)

(Decrease)/increase in Net Assets Attributable to

Holders of Redeemable Shares (1,709,778) 4,859,226





74



31-Dec-17

EUR

31-Dec-16

EUR

Net assets attributable to holders of redeemable shares at beginning of

the year 104,446,561 163,084,971

(Decrease)/increase in net assets attributable to holders of redeemable

shares from operations (1,709,778)

4,859,226



Net assets attributable to holders of redeemable shares at end of the

year 248,243,783 104,446,561



75

STATEMENT OF CASH FLOWS FOR THE YEAR ENDED 31 DECEMBER 2017

31-Dec-17

EUR

31-Dec-16

EUR


(Decrease)/increase in net assets attributable to holders of redeemable

shares from operations (1,709,778) 4,859,226


Decrease/(increase) in margin cash due from brokers 8,614,837 (6,653,625)


(Increase)/decrease in investments in financial derivative instruments (11,281,515) 2,960,794

Increase in sales awaiting settlement (57) -

(Increase)/decrease in other receivables and assets (1,829,206) 2,870,886

Increase in margin cash due to brokers 4,965,334 427,849

Increase in accrued expenses and other payables 94,574 10,813


Financing





Cash and cash equivalents at start of year 2,369,530 11,830,968

Cash and cash equivalents at end of the year 27,858,028 2,369,530




Interest paid (8,354,933) (2,933,778)


76

NOTES TO THE FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2017


The investment objective of the Cheyne Global Credit Fund (the “Fund”) is to maximise total rates of

return, meaning capital appreciation plus income of its investments, over the medium term from returns on

corporate debt and derivatives thereof, with prudent levels of risk while maintaining generally moderate

levels of volatility. The Fund invests in CDS and fixed income securities.

The Fund offers duration hedged share classes for investors wishing to minimise exposure to interest rate

movements. The Investment Manager may decide to engage in hedging transactions (including Duration

Hedging) in order to mitigate losses or to adjust the average duration of the overall portfolio, but it may not

be able to remove all credit or interest rate exposure to Corporates. Hedging transactions could take the

form of buying or selling credit protection on certain corporates or credit indices using CDS or using

interest rate FDIs.

As at 31 December 2017, there are eighteen Classes of shares in the Fund, all of which are available for

subscription and details of which are set out below:

Funded Classes:

Class GCDH-D1 (EUR), Class GCDH-I1 (EUR), Class GCDH-I2 (USD), Class GCDH-I3 (GBP), Class

GCDH-I4 (CHF), Class GCD-IJ3 (GBP) and Class GCDH-IJ3 (GBP).

Unfunded Classes:

Class GCD-D1 (EUR), Class GCD-I1 (EUR), Class GCD-I2 (USD), Class GCD-I3 (GBP), Class GCD-I4

(CHF), Class GCD-I5 (NOK), Class GCDH-I5 (NOK), Class GCD-IJ1 (EUR), Class GCD-IJ2 (USD), Class

GCDH-IJ1 (EUR) , Class GCDH-IJ2 (USD).




Administration Agreement dated 12 March 2016. The Administrator receives out of the assets of the Fund

an annual fee, accrued at each valuation point and payable monthly in arrears, based on the net asset

value (NAV) of the Fund, of up to a maximum of 0.12%, subject to a minimum annual administration fee of

EUR77,000 and an additional fee of EUR1,150 per month for weekly valuation and an additional fee of

EUR1,750 per month for indicative daily valuations, where applicable (plus VAT, if any thereon). The

minimum fee may be fully or partially waived by the Administrator for such period or periods of time as may

be agreed between the Fund and the Administrator from time to time.




commercial rates.

During the year an administration fee of EUR206,157 (31 December 2016: EUR169,302) was charged to

the Fund, out of which EUR23,108 (31 December 2016: EUR13,746) remained unpaid as at 31 December

2017.





responsibilities.


77



(c) Depositary and Global Transaction Services Fee (continued)







which shall be charged at standard commercial rates, subject to a minimum annual Global Transaction


During the year depositary services fees of EUR37,939 (31 December 2016: EUR23,798) was charged to


During the year custodian fee of EUR32,270 (31 December 2016: EUR24,413) were charged to the Fund,

out of which EUR4,000 (31 December 2016: EUR3,049) remained unpaid as at 31 December 2017.




The Investment Advisor shall be entitled to receive, out of the assets of the Fund, an annual fee, accrued

at each Valuation Point and payable monthly in arrears at a rate of 0.90% per annum of the NAV of the

Fund allocable to Class GCD-D and Class GCDH-D shares, at a rate of 0.40% per annum of the NAV of

the Fund allocable to Class GCD-I and Class GCDH-I shares, at a rate of 0.30% per annum of the NAV of

the Fund allocable to Class GCD-IJ, Class GCDH-IJ shares. The Investment Advisor is also entitled to be

reimbursed by the Fund for all of its out-of-pocket expenses reasonably incurred on behalf of the Fund.

During the year investment advisory fees of EUR594,718 (31 December 2016: EUR471,183) were

charged to the Fund, out of which EUR70,362 (31 December 2016: EUR37,902) remained unpaid as at 31

December 2017.


The Investment Manager, Cheyne Capital Management (UK) LLP, is entitled to receive out of the assets

of the Fund an annual Investment Management Fee, accrued at each Valuation Point and payable

monthly in arrears at a rate of 0.60% per annum of the NAV of the Fund allocable to Class GCD-I, Class

GCDH-I, Class GCD-D and Class GCDH-D Shares and at a rate of 0.45% per annum of the NAV of the

Fund allocable to Class GCD-IJ and Class GCDH-IJ shares.

The Investment Manager is entitled to be reimbursed by the Fund for all of its out-of-pocket expenses and

vouched internal legal costs reasonably incurred on behalf of the Fund. The reimbursement for the year

were EUR13,050 (31 December 2016: EUR6,003), EURNil (31 December 2016: EURNil) remained unpaid

as at 31 December 2017.


charged to the Fund, out of which EUR103,833 (31 December 2016: EUR54,508) remained unpaid as at

31 December 2017.


78



(e) Performance fee

The Investment Manager and the Investment Advisor shall be entitled to receive, out of the assets

allocable to Class GCD-I, GCDH-I, GCD-D1 and GCDH-D1 shares, a total performance fee equal to 10%

of the increase in the NAV of the relevant Class over the relevant High Water Mark (HWM) during a

performance period, disregarding any un-crystallised performance fee. 60% of any performance fee will be

due to the Investment Manager and 40% will be due to the Investment Advisor. No performance fee is

payable in respect of Class GCD-IJ, Class GCDH-IJ shares. The initial performance period commenced on

the first business day after expiry of the initial offer period.

The performance hurdle is the relevant interest rate used for each performance period in the calculation of

the performance fee, the interest rate is (i) for any EUR Share Class, the 3 month EURIBOR (Euro


month Dollar LIBOR on the first day of the performance period, (iii) for any CHF Share Class, the 3 month

Swiss Franc LIBOR on the first day of the performance period, (iv) for any GBP Share Class, the 3 month

GBP LIBOR on the first day of the performance period, and (v) for any NOK Share Class, the 3 month

NOK LIBOR on the first day of the performance period.



The HWM is initially the value invested in the class, and is adjusted at each valuation point to take account

of subscriptions, redemptions and distributions impacting the valuation at that date. The HWM is increased

by the value of subscriptions, reduced by the value of distributions, and prorated down by the proportion of

shares of the class redeeming.







Investment Manager following such redemption. The performance period is each calendar quarter.

This crystallising performance fee is calculated as a pro rata portion of the un-crystallised performance fee

which forms part of the price at which the relevant shareholder redeemed.


Fund, out of which EUR46,935 (31 December 2016: EUR81,696) remained unpaid as at 31 December

2017. The performance fee is periodically verified by the Depositary.


The Investment Manager shall be entitled to receive an annual portfolio support fee of 0.08% per annum of




During the year a portfolio support fee of EUR122,524 (31 December 2016: EUR90,522) was charged to the

Fund, out of which EUR15,079 (31 December 2016: EUR7,268) remained unpaid as at 31 December 2017.


79





obtain other research, market data, corporate access, analysis and/or other similar services for the Fund,

up to a maximum of 0.10% per annum of the average net asset value of the Fund.

The research and data recharge and VAT in respect of the research and data fee were charged to the

Fund are as follows:

31-Dec-17 31-Dec-16

EUR EUR


VAT (14,545) (25,927)

Total (159,719) (116,407)



(h) Directors' Fees



to reimbursement by the Fund of expenses properly incurred in connection with the business of the Fund

or the discharge of their duties.


Fund, out of which EURNil (31 December 2016: EURNil) remained unpaid as at 31 December 2017.

(i) Audit Fee



year, an audit fee of EUR35,888 (31 December 2016: EUR41,424) was charged to the Fund, of which


assurance, tax advisory and other non-audit fees are EUR11,283 (31 December 2016: EUR12,097).

(j) Other Expenses

31-Dec-17

EUR

31-Dec-16

EUR

Directors expenses (1,327) 26


Legal fees (97,000) (126,130)


VAT services fee expense (3,937) (6,770)

Total (222,552) (263,994)


80




31-Dec-17

EUR

31-Dec-16

EUR

Held for Trading:

Fixed income securities 199,147,566 80,274,875

CDS 20,081,545 9,415,541

Swaptions 207,032 46,996

Unrealised gain on futures 749,692 -


220,837,515 90,371,166


31-Dec-17

EUR

31-Dec-16

EUR

Held for Trading:

CDS (275,122) (720,620)

Swaptions (30,458) (45,212)


(1,295,239) (983,096)


31-Dec-17

EUR

31-Dec-16

EUR

Interest receivable on securities 2,932,904 1,120,688

Miscellaneous receivable 44,710 27,720

2,977,614 1,148,408


31-Dec-17

EUR

31-Dec-16

EUR


-CHF 122,747 153,813

-EUR 29,061,666 2,109,003

-GBP 1,065,882 -

-USD 1,833,626 283,089

32,083,921 2,545,905


-EUR 2,797,350 8,510,398

-GBP 2,094,548 742,961

-USD 35,057 4,288,433

4,926,955 13,541,792

Bank overdraft*:

-EUR (3,451,512) (176,375)

-GBP (430,414) -

-USD (343,967) -

(4,225,893) (176,375)

Margin cash due to brokers

-EUR (6,140,636) (1,619,691)

-GBP (424,193) -

-USD (91,353) (71,157)

(6,656,182) (1,690,848)


81


5. Cash and Cash Equivalents (continued)

31-Dec-17

EUR

31-Dec-16

EUR

Total 26,128,801 14,220,474

* Cash and cash equivalents and bank overdraft are held with the Custodian.

6. Accrued Expenses


31-Dec-17

EUR

31-Dec-16

EUR

Interest payable (11,535) -

Administration fees payable (23,108) (13,746)

Custodian fee payable (4,000) (3,049)



Directors expense payable (1,522) (445)


VAT services fees payable - (326)

Total (132,545) (78,837)

7 Redeemable Shares

As at 31 December 2017, there are 18 Classes of Shares in the Fund, of which all are available for

subscription and details of which are set out in the table below:


Available for

Subscription

Class GCD-IJ1 (EUR) EUR50,000,000 EUR50,000,000 Yes

Class GCD-IJ2 (USD) USD50,000,000 USD50,000,000 Yes

Class GCD-IJ3 (GBP) GBP50,000,000 GBP50,000,000 Yes

Class GCDH-IJ1 (EUR) EUR50,000,000 EUR50,000,000 Yes

Class GCDH-IJ2 (USD) USD50,000,000 USD50,000,000 Yes

Class GCDH-IJ3 (GBP) GBP50,000,000 GBP50,000,000 Yes

Class GCD-I1 (EUR) EUR100,000 EUR50,000 Yes

Class GCD-I2 (USD) USD100,000 USD50,000 Yes

Class GCD-I3 (GBP) GBP100,000 GBP50,000 Yes

Class GCD-I4 (CHF) CHF100,000 CHF50,000 Yes

Class GCD-I5 (NOK) NOK1,000,000 NOK500,000 Yes

Class GCDH-I1 (EUR) EUR100,000 EUR50,000 Yes

Class GCDH-I2 (USD) USD100,000 USD50,000 Yes

Class GCDH-I3 (GBP) GBP100,000 GBP50,000 Yes

Class GCDH-I4 (CHF) CHF100,000 CHF50,000 Yes

Class GCDH-I5 (NOK) NOK1,000,000 NOK250,000 Yes

Class GCD-D1 (EUR) EUR50,000 EUR25,000 Yes

Class GCDH-D1 (EUR) EUR50,000 EUR25,000 Yes


82



During the first initial offer period, from 12 April 2012 to 30 April 2012, shares were offered at an initial

price of EUR100 for Class GCDH-I1 (EUR), and USD100 for Class GCDH-I2 (USD). Shares in Classes

GCDH-I1 (EUR) and GCDH-I2 (USD) are currently available at prices calculated with reference to the

NAV per share.

During the second initial offer period, from 22 April 2013 to 30 August 2013, shares were offered at an

initial price of EUR100 for Class GCDH-D1 (EUR), USD100 for Class GCDH-D2 (USD), GBP100 for

Class GCDH-D3 (GBP), CHF100 for Class GCDH-D4 (CHF), GBP100 for Class GCDH-I3 (GBP) and

CHF100 for Class GCDH-I4 (CHF). Shares in Classes GCDH-D1 (EUR), GCDH-I3 (GBP) and GCDH-I4

(CHF) are currently available at prices calculated with reference to the NAV per share.

During the third initial offer period, from 7 August 2014 to 3 November 2014, shares were offered at an

initial price of USD100 for GCDH-D2 (USD), GBP100 for Class GCDH-D3 (GBP) and CHF100 for Class

GCDH-D4 (CHF).

During the fourth initial offer period, from 4 March 2015 to 14 September 2016, shares were offered at an

initial price of EUR 100 for GCD-IJ1 (EUR), USD 100 for Class GCD-IJ2 (USD), GBP 100 for Class GCD-

IJ3 (GBP), EUR 100 for Class GCDH-IJ1 (EUR), USD 100 Class GCDH-IJ2 (USD), GBP 100 for Class

GCDH-IJ3 (GBP), NOK100 for GCDH-D5 (NOK) and NOK100 for Class GCDH-I5 (NOK).

Following the initial offer periods, applications received by the Administrator prior to the dealing deadline

for any dealing day will be processed on that dealing day. Any applications received after the dealing

deadline for a particular dealing day will be processed on the following dealing day unless the Directors in

their absolute discretion otherwise determine to accept one or more applications received after the dealing

deadline for processing on that dealing day, provided that such applications have been received prior to

the valuation point for the particular dealing day.









documents in connection with anti-money laundering procedures) has been received from the investor and

the anti-money laundering procedures have been completed.


EUR2,000 (or its GBP/USD/NOK equivalent). In the event of a shareholder requesting a redemption

which would, if carried out, leave the shareholder holding shares of a class having a NAV less than the

relevant minimum holding, the Fund may, if it thinks fit, redeem the whole of the shareholder's holding.



discretion in this respect. The Directors may differentiate between shareholders of the Fund by waiving or

reducing the redemption fee chargeable to certain shareholders. The Directors will give not less than one

month's notice to shareholders of their intention to introduce a redemption fee generally. In the event of a

redemption fee being charged, shareholders should view their investment as medium to long-term.


83



There were no holdings in Class GCDH-D2 (USD), Class GCDH-D3 (GBP), Class GCDH-D4 (CHF), Class

GCDH-D5 (NOK) and Class GCDH-I5 (NOK) as at 31 December 2017. Shares transactions during the

year in respect of each share class are shown below:

31-Dec-17

Class

GCDH-D1

(EUR)

Class

GCDH-I1

(EUR)

Class

GCDH-I2

(USD)

Class

GCDH-I3

(GBP)

Class

GCDH-I4

(CHF)

Number of Shares

At beginning of year 35,689.32 571,702.65 188,513.93 15,708.54 69,511.06

Issued 5,001.87 363,906.68 104,477.05 10,602.29 35,710.66

Redeemed (16,694.24) (259,324.23) (50,181.69) (807.39) (10,610.64)

At end of the year 23,996.95 676,285.10 242,809.29 25,503.44 94,611.08

Class

GCD-IJ3

(GBP)

Class

GCDH-IJ3

(GBP)

Number of Shares

At beginning of year - -

Issued 566,533.61 537,511.61

Redeemed (9,111.59) (9,912.82)

At end of the year 557,422.02 527,598.79

31-Dec-16

Class

GCDH-D1

(EUR)

Class

GCDH-I1

(EUR)

Class

GCDH-I2

(USD)

Class

GCDH-I3

(GBP)

Class

GCDH-I4

(CHF)

Number of Shares

At beginning of year 94,015.39 969,780.71 308,575.59 10,041.55 75,012.91

Issued 23,779.01 247,501.48 60,276.48 7,820.92 25,630.42

Redeemed (82,105.08) (645,579.54) (180,338.14) (2,153.93) (31,132.27)

At end of the year 35,689.32 571,702.65 188,513.93 15,708.54 69,511.06


Share Class Consideration

received

2017

Consideration

received

2016

Class GCDH-D1 (EUR) 522,916 2,400,000

Class GCDH-I1 (EUR) 45,404,311 29,861,178

Class GCDH-I2 (USD) 11,152,266 6,110,245

Class GCDH-I3 (GBP) 1,325,473 958,782

Class GCDH-I4 (CHF) 3,653,890 2,552,900

Class GCD-IJ3 (GBP) 64,731,857 -

Class GCDH-IJ3 (GBP) 61,542,805 -

Total consideration received 188,333,518 41,883,105


84



Interest rate risk

An increase in 50 basis points in interest rates as at the reporting date would have increased the net


of redeemable shares by EUR1,225,414 (31 December 2016: EUR515,951). A decrease of 50 basis

points would have had an equal but opposite effect.



and liabilities.

31-Dec-17

Assets

<1

month

1 - 3

months

3 - 12

months

>12

months

Non-

interest

bearing

Total


Fixed income securities - 61,306,329 59,115,031 78,726,206 - 199,147,566

CDS - 7,353 416,426 19,657,766 - 20,081,545

Swaptions - - - - 207,032 207,032


currency contracts

-

-

-

- 651,680 651,680

Unrealised gain on futures - - - - 749,692 749,692




brokers 4,926,955

-

-

-

- 4,926,955

Other receivables - - - - 2,977,614 2,977,614

- - - - 57 57

Total assets 37,010,876 61,313,682 59,531,457 98,383,972 4,586,075 260,826,062

31-Dec-17

Liabilities

<1

month

1 - 3

months

3 - 12

months

>12

months

Non-

interest

bearing

Total


CDS - - (46,405) (228,717) - (275,122)

Swaptions - - - - (30,458) (30,458)

Unrealised loss on

forward currency

contracts - - - - (989,659) (989,659)

Other financial liabilities measured at

amortised cost:

Bank overdraft (4,225,893) - - - - (4,225,893)

Margin cash due to

brokers (6,656,182) - - - - (6,656,182)


other payables - - - - (404,965) (404,965)

Total liabilities (10,882,075) - (46,405) (228,717) (1,425,082) (12,582,279)


85




31-Dec-16

Assets

<1

month

1 - 3

months

3 - 12

months

>12

months

Non-

interest

bearing

Total


Fixed income securities - 15,936,447 21,376,122 42,962,306 - 80,274,875

CDS - 1,911 48,995 9,364,635 9,415,541

Swaptions - - - - 46,996 46,996


currency contracts

-

-

-

-

633,754

633,754




brokers

13,541,792

-

-

-

-

13,541,792

Other receivables - - - - 1,148,408 1,148,408

Total assets 16,087,697 15,938,358 21,425,117 52,326,941 1,829,158 107,607,271

31-Dec-16

Liabilities

<1

month

1 - 3

months

3 - 12

months

>12

months

Non-

interest

bearing

Total


CDS - (8,359) (26,218) (686,043) (720,620)

Swaptions - - - - (45,212) (45,212)

Unrealised loss on

forward currency

contracts - - - -

(217,264)

(217,264)


amortised cost:

Bank overdraft (176,375) - - - - (176,375)

Margin cash due to

brokers

(1,690,848) - - - -

(1,690,848)


other payables - - - -

(310,391)

(310,391)

Total liabilities (1,867,223) (8,359) (26,218) (686,043) (572,867) (3,160,710)


86





forward foreign currency contracts with the exception of contracts used for hedging foreign currency share

classes as at 31 December 2017 and 31 December 2016:

31-Dec-17 31-Dec-16

Currency EUR EUR

CHF 122,747 153,813

GBP 850,028 (46,417)

USD 228,089 18,400

Total 1,200,864 125,796

An increase in 50 basis points in Euro rates as at the reporting date would have decreased the net assets


redeemable shares by EUR6,004 (31 December 2016: an increase of EUR629). A decrease of 50 basis

points would have had an equal but opposite effect.


Other price risk

The Fund will seek to establish a convex payoff profile, minimise spread sensitivity while realising positive

carry from taking default exposure. Credit spread movements are the primary risk factors that could have a

material impact on the NAV of the Fund when trying to establish this convex profile. Credit spread risk is

managed through rigorous quantitative (i.e. liquidity, leverage and profitability) and qualitative (i.e.

business plans, competition etc.) evaluations of the credit fundamentals of the different obligors.

The NAV of the Fund is therefore exposed to the credit/default risk of certain reference entities via the use

of credit derivatives. The Investment Manager, on an on-going and actively managed basis, commits the

Fund through the Swap Agreement to buy and sell credit protection in relation to reference entities. If credit

protection has been sold, the Fund may be required to make a payment if a credit event occurs in relation

to a reference entity, and, if it has bought credit protection, may receive a payment if such a credit event

occurs.

Sector and geographic risk is monitored and is subject to the following constraints:

1. Maximum single issuer concentration.

2. Maximum sector exposure.

3. Maximum exposure outside EU/North America.

4. Maximum sub-investment grade concentration.


87




All risk factors are monitored on a daily basis by the Investment Manager and the underlying parameters

are stressed on an on-going basis in order to determine the impact of any material movements in the credit

fundamentals of the underlying obligors.

Credit Spread

+100% -100%

Year

NAV% CCY NAV% CCY

31-Dec-17 (4.18)% (10,385,505) 5.64% 14,009,735

31-Dec-16 (5.87)% (6,131,013) 5.82% 6,078,790


distribution for 31 December 2017 and 31 December 2016 (excluding cash).

Country of risk exposure 31 December 2017 and 31 December 2016:

Country of risk

Notional Exposure

Notional Exposure

Notional Exposure

Notional Exposure



31-Dec-17 31-Dec-17

(% NAV)

(% NAV)

31-Dec-16 31-Dec-16 (%

NAV) (%

NAV)

Britain

262,556,886 (26,560,706)

105.61 (10.73) 82,606,092 (16,865,695) 79.09 (16.15) United States

258,225,253 (36,002,057)

104.02 (14.50) 152,119,236 (32,721,713)

145.63 (31.33)

Germany 90,788,282 (54,525,400) 36.57 (21.96) 26,513,952 - 25.39 -

France 49,461,914 - 19.92 - 32,550,000 - 31.16 -

Switzerland 38,499,411 (2,000,000) 15.51 (0.81) 12,059,568 (2,000,000) 11.55 (1.91)

Netherlands 29,458,315 - 11.87 - 9,500,000 - 9.10 -

Canada 16,652,789 - 6.71 - - - - -

Sweden 11,096,989 - 4.47 - 6,500,000 - 6.22 -

Denmark 9,173,515 - 3.70 - 5,000,000 - 4.79 -

Italy 9,000,000 - 3.63 - - - - -

Spain 8,500,000 - 3.42 - 3,500,000 - 3.35 -

Finland 8,000,000 - 3.22 - 5,000,000 - 4.79 -

Australia 4,995,837 - 2.01 - - - - -

Belgium 4,318,005 - 1.74 - 4,865,818 - 4.66 -

Austria - - - - 2,861,693 - 2.74 -

Total 800,727,196 (119,088,163) 322.40 (48.00) 343,076,359 (51,587,408) 328.47 (49.39)


88




Sector exposure 31 December 2017 and 31 December 2016:

Sector of risk

Notional Exposure

Notional Exposure

Notional Exposure

Notional Exposure



31-Dec-17 31-Dec-17 (%

NAV) (%

NAV) 31-Dec-16 31-Dec-16 (%

NAV) (%

NAV)

Government

172,580,026 (54,525,400) 69.33 (21.95) 3,005,187 - 2.88 -

Index

128,981,621 (58,399,566) 51.96 (23.53) 35,332,754 (38,191,937)

33.83 (36.57)

Communications 89,557,121 - 36.08 (0.03) 50,054,526 -

47.92 -

Financial 86,950,362 (4,163,197) 35.03 (1.68)

101,656,834 (11,395,471)

97.33 (10.91)

Consumer, Cyclical 78,413,135 - 31.59 - 51,240,988 -

49.06 -

Consumer, Non-cyclical 71,109,853 - 28.65 - 29,264,686 -

28.02 -

Utilities 51,353,883 - 20.69 - 16,348,868 -

15.65 -

Basic Materials 47,610,005 (2,000,000) 19.18 (0.81) 12,442,966 (2,000,000)

11.91 (1.91)

Industrial 38,847,223 - 15.65 - 17,034,314 -

16.31 -

Energy 21,413,892 - 8.63 - 8,549,669 - 8.19 -

Technology 7,910,075 - 3.19 - 8,145,567 - 7.80 -

Transportation 4,000,000 - 1.61 - 4,000,000 - 3.83 -

Electric 2,000,000 - 0.81 - 2,000,000 - 1.91 - Aerospace & Defense 4,000,000 - 3.83 -

Total 800,727,196 (119,088,163) 322.40 (48.00) 343,076,359 (51,587,408) 328.47 (49.39)

The country and sector risk tables have been prepared using the underlying notional exposure where

relevant, and will not therefore reconcile to financial assets at fair value. This reflects how other price risk is

monitored and managed by the Investment Manager.










89




The VaR model is validated and audited at year end through the use of backtesting procedures. The results

of the backtesting procedures are communicated to the Board of Directors especially when there are signs

of excessive VaR back testing overshoots. Stress testing is also employed to highlight the validity of the

calculation model and suggest corrective actions in terms of model parameters and calibration.











symmetrical). If the underlying risk factors exhibit non-normal behaviour such as fat tails or mean reversion,

then the resulting VaR figure will include these effects. However, tail risk can only be examined if the

historical data set includes tail events.

Leverage has been computed using the sum of notionals approach, as recommended by the Central Bank

of Ireland. This approach does not allow for any kind of netting or hedging. The average leverage of 386%

(31 December 2016: 386%) has been computed using data calculated daily and was calculated over the

year ranging from inception of the Fund until 31 December 2017.

The leverage is a measure of (i) the derivative usage and (ii) any leverage generated by the reinvestment

of the cash received as collateral when using efficient portfolio management techniques, and therefore

does not take into account other physical assets directly held in the portfolio of the relevant Fund. The

efficient portfolio management techniques refer to the use of a combination of investing in sovereign

government bonds and short dated high quality corporate bonds as cash equivalent collateral. The

selection of these investments is based on credit quality of the borrowing entity and the short duration of

these bonds.



0.85% 1.72% 1.19%



1.30% 3.59% 1.95%


90



Credit risk

The tables below indicate the long-term credit ratings of the counterparties of financial assets held as at 31

December 2017 and 31 December 2016:

31-Dec-17


Barclays Baa2 BBB A










HSBC A2 A AA-

JP Morgan A3 A- A+




UBS A1 A+ AA-

31-Dec-16


Bank of America Baa1 BBB+ A

Bank of Nomura Baa1 A- NR

Barclays Baa2 BBB A

BNP Paribas A1 A A+

Citibank A1 A+ A+


Deutsche Bank A3 BBB+ A-


JP Morgan Chase A3 A- A+



UBS Ba1 A- A


91





counterparties whose aggregate credit exposure is significant in relation to the Fund’s total credit exposure

(see above concentration risk tables under other price risk). The Fund’s portfolio of financial instruments is

broadly diversified along industry, product and geographic lines, and transactions are entered into with a

range of counterparties, thereby mitigating any significant concentration of credit risk.


Rating

Notional Exposure

Notional Exposure

Notional Exposure

Notional Exposure



31-Dec-17 31-Dec-17 (% NAV) (% NAV) 31-Dec-16 31-Dec-16 (% NAV) (% NAV)

AA 130,974,661 - 52.61 - 3,801,556 - 3.64 -

BBB+ 127,820,712 (4,163,197) 51.49 (1.68) 16,839,564 - 16.12 -

BBB 104,041,194 (2,000,000) 41.91 (0.81) 22,486,631 - 21.53 -

A- 65,551,931 - 26.41 - 4,865,818 - 4.66 -

BBB- 56,076,045 - 22.59 - 6,309,568 - 6.04 -

AAA 54,627,259 (54,525,400) 22.01 (21.96) 3,005,187 - 2.88 -

BB+ 35,820,150 - 14.43 - - - 0 -

A 29,343,576 - 11.82 - 16,927,862 - 16.21 -

BB 15,322,746 - 6.17 - - - 0 -

BB- 14,159,034 - 5.70 - - - 0 -

AA- 14,000,000 - 5.64 - - - 0 -

A+ 13,616,782 - 5.49 - 7,008,765 - 6.71 -

B+ 1,665,279 - 0.67 - - - 0 - Not rated 137,707,827 (58,399,566) 55.46 (23.55) 261,831,408 (51,587,408) 250.68 (49.39)

Total 800,727,196 (119,088,163) 322.40 (48.00) 343,076,359 (51,587,408) 328.47 (49.39)


Financial Instrument

31-Dec-17

EUR

31-Dec-16

EUR

Cash and cash equivalents 32,083,921 2,545,905


Fixed income securities 199,147,566 80,274,875

CDS 20,081,545 9,415,541

Swaptions 207,032 46,996

Unrealised gain on futures 749,692 -

Unrealised gain on foreign currency forward contracts 651,680 633,754

Sales awaiting settlement 57 -

Other receivables 2,977,614 1,148,408

Total 260,826,062 107,607,271


92



Liquidity risk


<1 1-3 >3 No

Total

month months months maturity

EUR EUR EUR EUR EUR

Bank overdraft (4,225,893) - - - (4,225,893)

Margin cash due to brokers (6,656,182) - - - (6,656,182)

CDS - - (275,122) - (275,122)

Swaptions - (30,458) - - (30,458)


currency contracts - (989,659) - - (989,659)


payables (404,965) - - - (404,965)

Net assets attributable to holder

of redeemable shares (248,243,783) - - - (248,243,783)


assets attributable to

redeemable shares) (259,530,823) (1,020,117) (275,122) - (260,826,062)


<1 1-3 >3 No

Total


EUR EUR EUR EUR EUR

Bank overdraft (176,375) - - - (176,375)


CDS - (8,359) (712,261) - (720,620)

Swaptions (28,346) (16,866) - - (45,212)


currency contracts -

(217,264) -

- (217,264)


payables (310,391) - -

- (310,391)

Net assets attributable to holder of

redeemable shares

(104,446,561) - -

-

(104,446,561)


assets attributable to

redeemable shares)

(106,652,521)

(242,489)

(712,261)

-

(107,607,271)



93





Assets Level 1 Level 2 Level 3 Total

EUR EUR EUR EUR


Fixed income securities - 199,147,566 - 199,147,566

CDS - 20,081,545 - 20,081,545

Swaptions - 207,032 - 207,032

Unrealised gains on futures 749,692 - - 749,692



651,680 - 651,680

Total assets 749,692 220,087,823 - 220,837,515

Liabilities


Swaptions - (30,458) - (30,458)

Unrealised loss on futures (275,122) - - (275,122)


contracts - (989,659) - (989,659)

Total liabilities (275,122) (1,020,117) - (1,295,239)




EUR EUR EUR EUR



CDS - 9,415,541 - 9,415,541

Swaptions - 46,996 - 46,996



633,754 -

633,754

Total assets - 90,371,166 - 90,371,166

Liabilities


CDS - (720,620) - (720,620)

Swaptions - (45,212) - (45,212)


contracts - (217,264) - (217,264)





94




The policies for determining when transfers take place is that transfers between levels are deemed to have

occurred on the date of the event or the change in circumstances that caused the transfer.


ended 31 December 2017 or 2016.



The disclosure set out in the tables below include financial assets and financial liabilities that are subject to

an enforceable master netting or similar agreement that covers similar financial instruments. The similar



agreements.








The following tables provides information on the financial impact of potential netting for instruments subject

to an enforceable master netting arrangement or similar agreement as at 31 December 2017 and 31

December 2016.


95




(a) (b) (c)=(a)-(b) (d) Related amounts not

offset in the Statement of Financial Position

(e)=(c)-(d)

Gross amounts

of recognised

assets


the statement


Net amount

presented on the

statement of financial

position Financial

instruments




Bank of America 1,754,026 - 1,754,026 - 648,513 1,105,513 Bank of Nomura 95,268 - 95,268 - - 95,268 Barclays 5,417,784 - 5,417,784 73,599 2,648,360 2,695,825 BNP Paribas 3,753,430 - 3,753,430 - 2,410,000 1,343,430 Citibank 5,085,814 - 5,085,814 1,067,307 91,521 3,926,986 Credit Suisse 1,925,513 - 1,925,513 46,405 197,190 1,681,918 Deutsche Bank 48,843 - 48,843 - - 48,843 Goldman Sachs 748,445 - 748,445 2,157 - 746,288 JP Morgan Chase

230,198

-

230,198

105,771

-

124,427

Morgan Stanley 1,966,992 - 1,966,992 - 660,598 1,306,394 Societe Generale 663,636 - 663,636 - - 663,636

Total 21,689,949 - 21,689,949 1,295,239 6,656,182 13,738,528




(e)=(c)-(d)

Gross amounts

of recognised

liabilities


the statement


Net amount

presented on the


position Financial

instruments

Cash collateral pledged Net amount


Financial liabilities at fair value through profit or loss Barclays (73,599) - (73,599) (73,599) - -

Citibank (1,067,307) - (1,067,307) (1,067,307) - - Credit Suisse (46,405) - (46,405) (46,405) - - Goldman Sachs (2,157) - (2,157) (2,157) - - JP Morgan Chase (105,771) - (105,771) (105,771) - -

Total (1,295,239) - (1,295,239) (1,295,239) - -


96




(a) (b) (c)=(a)-(b) (d)

Related amounts not offset in the Statement of

Financial Position

(e)=(c)-(d)

Gross amounts

of recognised

assets


the statement


Net amount

presented on the


position Financial

instruments




Bank of America 1,167,289 - 1,167,289 60,212 399,710 707,367 Bank of Nomura 272,512 - 272,512 - - 272,512 Barclays 2,982,062 - 2,982,062 241,645 - 2,740,417 BNP Paribas 969,644 - 969,644 40,427 260,000 669,217 Citibank 1,308,737 - 1,308,737 332,266 71,155 905,316 Credit Suisse 1,047,212 - 1,047,212 138,666 247,729 660,817 Deutsche Bank 83,665 - 83,665 - 50,000 33,665 Goldman Sachs 376,190 - 376,190 84,698 - 291,492 JP Morgan Chase

761,446

-

761,446

77,332

-

684,114

Morgan Stanley 360,527 - 360,527 7,850 239,252 113,425 Societe Generale 762,723 - 762,723 - 423,000 339,723 UBS 4,284 - 4,284 - - 4,284

Total 10,096,291 - 10,096,291 983,096 1,690,846 7,422,349


(a) (b) (c)=(a)-(b) (d)

Related amounts not offset in the Statement of

Financial Position

(e)=(c)-(d)

Gross amounts

of recognised

liabilities


the statement


Net amount

presented on the


position Financial

instruments



Financial liabilities at fair value through profit or loss Bank of America (60,212) - (60,212) (60,212) - -

Barclays (241,645) - (241,645) (241,645) - - BNP Paribas (40,427) - (40,427) (40,427) - - Citibank (332,266) - (332,266) (332,266) - - Credit Suisse (138,666) - (138,666) (138,666) - - Goldman Sachs (84,698) - (84,698) (84,698) - - JP Morgan Chase

(77,332)

-

(77,332)

(77,332)

-

-

Morgan Stanley (7,850) - (7,850) (7,850) - -

Total (983,096) - (983,096) (983,096) - -


97


11. Net Gain/(Loss) on Financial Assets and Liabilities at Fair Value Through Profit or Loss

31-Dec-17

EUR

31-Dec-16

EUR

Held for trading:

Net realised loss on investments (2,685,068) (10,040,308)

Movement in unrealised (loss)/gain on investments (2,896,357) 8,466,635


through profit or loss (5,581,425)

(1,573,673)

12. Net Assets Attributable to Holders of Redeemable Shares

In accordance with the provisions of the Prospectus, formation costs are amortised and then written off

over a period of 60 months. This treatment is contrary to IFRS which requires such costs to be expensed

when incurred. Therefore, for reporting purposes, an adjustment of EURNil (31 December 2016:

EUR6,345) is made to reconcile the Statement of Financial Position. During the year ended 31 December

2017 there were no new invoices for formation costs. The cumulative differences are included as

“Adjustment for revaluation of net assets attributable to holders of redeemable shares” in the Statement of

Financial Position.




Fund.

During the year an investment advisory fee of EUR594,718 (31 December 2016: EUR471,183) was




During the year the reimbursements to the Investment Manager for out of pocket expenses and legal costs

were EUR13,050 (31 December 2016: EUR6,003).


Fund.


the Fund.

During the year research and data recharge of EUR159,719 (31 December 2016: EUR116,407) was

charged to the Fund. The research and data recharge amounts disclosed in this note are VAT inclusive.


98




As at 31 December 2017, 3853.44 (31 December 2016: 676.69) shares of Class GCDH-I3 (GBP)

(Previously Class GC-I3(GBP)) are held by Cheyne Capital Management (UK) LLP which is the

Investment Manager and Portfolio Support Manager of the Fund.

As at 31 December 2017, Nil (31 December 2016: 163,225.75) shares of Class GCDH-I1 (EUR)

(Previously Class GC-I1(EUR)) are held by Stornoway Investment Ireland Limited. Jeff Bronheim and John

Skelly, who are Directors for the Fund, are also Directors for Stornoway Investment (Ireland) Limited.


Effective 26 January 2017, the dealing deadline for redemptions was reduced from 3 business days to 1

business day.

Re-Named Share Classes

To ensure that the existing share Classes of the Fund retain their existing investment objective, post the

addition of duration to the investment objective the Investment Manager will seek to minimise the exposure

to such interest rate movements in those existing share Classes ("Duration Hedged Classes"). Therefore,

these share Classes have been renamed as "Duration Hedged" and had the letters DH added to their

names.

Consequently, share Classes which do not have the letters "DH" added to in their name will now have

duration exposure. Investors in the renamed DH classes should see no change in their investment

objective.

The following Classes are re-named as duration hedged as shown:

Previous Name New Name

GC-I1 (EUR) GCDH-I1 (EUR)

GC-I2 (USD) GCDH-I2 (USD)

GC-I3 (GBP) GCDH-I3 (GBP)

GC-I4 (CHF) GCDH-I4 (CHF)

GC-I5 (NOK) GCDH-I5 (NOK)

GC-D1 (EUR) GCDH-D1 (EUR)




99

CHEYNE EUROPEAN MID CAP EQUITY FUND

AUDITED FINANCIAL STATEMENTS (IN WIND DOWN)


CHEYNE EUROPEAN MID CAP EQUITY FUND (IN WIND DOWN)


100


Note

31-Dec-17*

EUR

31-Dec-16

EUR

Assets

Cash and cash equivalents 5 14,280,529 6,809,367



Investments in transferable securities 3 - 49,229,944

Investments in financial derivative instruments 3 86,357 1,717,317

Sales awaiting settlement - -

Other receivables 4 349,936 475,387

Total assets 16,041,734 65,582,572

Liabilities

Bank overdraft 5 (796) (2,347,954)

Margin cash due to brokers 5 (16,255) (138,552)


Investments in financial derivative instruments 3 (108,109) (2,064,165)



Portfolio support fee payable 2(f) (765) (4,379)



Liquidation fee payable (4,225) -

Redemption payable (15,752,294)

Total liabilities (excluding Net Assets Attributable to Holders

of Redeemable Shares) (16,041,734) (4,801,933)

Net Assets Attributable to Holders of Redeemable Shares - 60,780,639

Adjustment for revaluation of net assets attributable to

Redeemable Shareholders 12 - 4,196

Net Assets Attributable to Holders of Redeemable Shares - 60,784,835

*The Cheyne European Mid Cap Equity Fund had its last valuation date as of 22 December 2017, when all

remaining investors were redeemed.



101



31-Dec-17* 31-Dec-16 31-Dec-15

Class MC-I1 (USD)

Number of shares per class - 13,365.29 19,542.49

Net Asset Value per share - USD1,060.35 USD1,118.09

Net Asset Value - EUR13,436,227 EUR20,114,460

Class MC-I2 (EUR)


Net Asset Value per share - EUR1,065.00 EUR1,136.03


Class MC-I3 (GBP)

Number of shares per class - 1.23 -

Net Asset Value per share - GBP1,134.47 -

Net Asset Value - EUR1,635 -

Class MC-I4 (CHF)


Net Asset Value per share - CHF964.79 CHF1,035.53


* The Cheyne European Mid Cap Equity Fund had its last valuation date as of 22 December when all




102


Note

31-Dec-17*

EUR

31-Dec-16

EUR

Income

Net loss on financial assets and liabilities at fair value through

profit or loss 11 (172,236) (3,081,086)

Net gain on foreign exchange 98,062 31,775

Interest income 725,646 1,681,083

Dividend income 372,945 1,189,536

Total income/(loss) 1,024,417 (178,692)

Expenses

Interest expense (732,723) (1,447,428)

Dividend expense (496,393) (1,438,431)


Custodian fee 2(b) (50,328) (52,755)






Directors’ fees 2(h) (13,249) (22,142)

Audit fee 2(i) (36,325) (34,063)

Other expenses 2(j) (171,141) (183,657)


Liquidation fee (4,225) -

Total expenses (2,053,027) (4,763,445)

Withholding tax (6,514) (986)

Decrease in Net Assets Attributable to Holders of

Redeemable Shares (1,035,124) (4,943,123)


Statement of Comprehensive Income.

* The Cheyne European Mid Cap Equity Fund had its last valuation date as of 22 December 2017, when all




103



31-Dec-17*

EUR

31-Dec-16

EUR

Net assets attributable to holders of redeemable shares at

beginning of the period/year 60,780,639 91,808,894

Decrease in net assets attributable to holders of redeemable shares

from operations (1,035,124) (4,943,123)

Issue of redeemable shares during the period/year 963,900 14,387,905

Redemption of redeemable shares during the period/year (60,709,415) (40,473,037)

Net assets attributable to holders of redeemable shares at end of

the period/year - 60,780,639





104

STATEMENT OF CASH FLOWS FOR THE YEAR 31 DECEMBER 2017

31-Dec-17*

EUR

31-Dec-16

EUR


Decrease in net assets attributable to holders of redeemable shares from

operations (1,035,124) (4,943,123)


Decrease in margin cash due from brokers 6,025,645 1,197,830

Decrease in investments in transferable securities 49,229,944 18,809,920

(Increase)/decrease in investments in financial derivative instruments (325,096) 1,416,453

Increase in sales awaiting settlements - -

Decrease in other receivables 125,451 14,955

(Decrease)/increase in margin cash due to brokers (122,297) 81,931

Decrease in purchases awaiting settlements - (197,366)

Decrease in accrued expenses and other payables (86,982) (48,396)

Net cash inflow from operating activities 53,811,541 16,332,204

Financing

Proceeds from issuance of redeemable shares 963,900 14,226,905


Net cash outflow from financing activities (43,993,221) (26,246,132)


Cash and cash equivalents at start of period/year 4,461,413 14,375,341

Cash and cash equivalents at end of the period/year 14,279,733 4,461,413




Interest paid (721,228) (1,447,433)

Dividend received 25,871 1,186,674

Dividend paid (535,145) (1,403,830)




105

NOTES TO THE FINANCIAL STATEMENTS FOR THE YEAR 31 DECEMBER 2017


The investment objective of the Cheyne European Mid Cap Equity Fund (the “Fund”) was to seek to

generate attractive risk adjusted total rates of return, meaning capital appreciation plus income of its

investments, principally through investments in equity securities of companies with market capitalisation

of between EUR500 million and EUR10 billion that were either listed on stock exchanges in Europe or

whose business was primarily in Europe, and other equity related securities and derivative instruments.

The Fund had eight Classes of shares in the Fund, all of which were available for subscription and details

of which are set out below:

Funded Classes:

Class MC-I1 (USD), Class MC-I2 (EUR), Class MC-I3 (GBP) and Class MC-I4 (CHF).

Unfunded Classes:

Class MC-D1(USD), Class MC-D2 (EUR), Class MC-D3(GBP) and Class MC-D4(CHF).

The Cheyne European Mid Cap Equity Fund had its last valuation date as of 22 December 2017, when all

remaining investors were redeemed. As such these financial statements have been prepared on a wind

down basis.



SS&C Financial Services (Ireland) Limited was the “Administrator” of the Company pursuant to an


The Administrator was entitled to receive out of the assets of the Fund an annual fee, accrued daily and

payable monthly in arrears, based on the net asset value (NAV) of the Fund, of up to a maximum of

0.12%, subject to a minimum annual administration fee of EUR77,000 and an additional fee of EUR1,150

per month for weekly valuations and an additional fee of EUR1,750 per month for indicative daily

valuations (plus VAT, if any thereon). The minimum fee may be fully or partially waived by the

Administrator for such period or periods of time as was agreed between the Fund and the Administrator

from time to time.

In addition to such base remuneration, the Administrator was also entitled to charge the Fund fees

relating to any additional services required in relation to corporate secretarial, audit support, tax

assistance or investor rebate services, as was agreed with the Company and which was charged at

normal commercial rates.

During the period an administration fee of EUR49,086 (31 December 2016: EUR107,781) was charged to



Citi Depositary Services Ireland DAC acted as the “Depositary” of the Company pursuant to the

Depositary Services agreement originally dated 9 November 2015 and updated on 13 October 2016

following the 18 March 2016 UCITS V Directive, which gave the Depositary additional operational and

oversight responsibilities.

The Depositary was entitled to receive out of the assets of the Fund an annual fee, accrued daily and



custodian and EUR21,000 when any other sub-custodian was used.


106




In addition to such remuneration, Citibank N.A was also entitled, on behalf of the Depositary to charge

the Funds fees relating to any custody or transactional services, as may be agreed with the Company

and which was charged at standard commercial rates, subject to a minimum annual Global Transaction


During the year depositary services fees of EUR8,674 (31 December 2016: EUR17,202) were charged to


During the year a custodian fee of EUR50,328 (31 December 2016: EUR52,755) was charged to the

Fund, EUR12,000 (31 December 2016: EUR3,135) remained unpaid as at 31 December 2017.


The Fund appointed Cheyne Capital International L.P. as Investment Advisor to provide advisory services

in respect of the Fund pursuant to the Investment Advisory Agreement.

The Investment Advisor was normally entitled to receive out of the assets of the Fund an annual fee,

accrued daily and calculated and paid at a rate of 0.70% per annum of the NAV of the Fund allocable to

Class MC-I shares and a rate of 1.20% per annum of the NAV of the Fund allocable to Class MC-D

shares. As agreed on 17 August 2017, from 1 August 2017 to 1 February 2018, the Investment Advisor

was entitled to receive out of the assets of the Fund a reduced annual fee, accrued daily and calculated

and paid at a rate of 0.40% per annum of the NAV of the Fund allocable to Class MC-I shares and a rate

of 0.90% per annum of the NAV of the Fund allocable to Class MC-D shares.

The Investment Advisor was also entitled to be reimbursed by the Fund for all of its out-of-pocket

expenses reasonably incurred on behalf of the Fund.



2017.


The Investment Manager was normally entitled to receive out of the assets of the Fund an annual

Investment Management Fee, accrued at each Valuation Point and payable monthly in arrears at a rate

of 1.05% per annum of the NAV of the Fund allocable to Class MC-I and Class MC-D shares. As agreed

on 17 August 2017, from 1 August 2017 to 1 February 2018, the Investment Manager was entitled to

receive out of the assets of the Fund a reduced annual fee, accrued at each Valuation Point and payable

monthly in arrears at a rate of 0.60% per annum of the NAV of the Fund allocable to Class MC-I and

Class MC-D shares.

The Investment Manager was also entitled to be reimbursed by the Fund for all of its out-of-pocket

expenses and vouched internal legal costs reasonably incurred on behalf of the Fund. The

reimbursement for the year was EUR7,448 (31 December 2016: EUR804).



2017.


107



(e) Performance fee

The Investment Manager and the Investment Advisor were entitled to receive, out of the assets allocable

to Class MC-I and MC-D shares, a total performance fee equal to 20% of the increase in the NAV of the

relevant Class over the High Water Mark (HWM) during a performance period, disregarding any

uncrystallised performance fee. 60% of any performance fee was due to the Investment Manager and

40% was due to the Investment Advisor. The initial performance period commenced on the first business

day after expiry of the initial offer period.

The HWM ensures that, if the class falls in value, a performance fee was only payable on that part of any

subsequent performance of the class that is in excess of the current HWM value.

The HWM was initially the value invested in the class, and was adjusted at each valuation point to take

account of subscriptions, redemptions and distributions impacting the valuation at that date. The HWM

was increased by the value of subscriptions, reduced by the value of distributions, and prorated down by

the proportion of shares of the class redeeming.


period, the Investment Manager retained all performance fee previously crystallised for that class but no

further performance fee was charged until performance above the HWM was achieved by the class.

The performance fee was accrued at each valuation point and accordingly the NAV was adjusted to


redeemed prior to the end of the performance period crystallised and become payable to the Investment

Manager following such redemption. This crystallising performance fee was calculated as a pro rata

portion of the un-crystallised performance fee which forms part of the price at which the relevant

shareholder redeemed.

During the year a performance fee of EURNil (31 December 2016: EURNil) was charged to the Fund,

EURNil (31 December 2016: EURNil) remained unpaid as at 31 December 2017. The performance fee

was periodically verified by the Depositary.


The Investment Manager was entitled to receive an annual Portfolio Support Fee out of the assets of the

Fund, accrued at each Valuation Point and payable monthly in arrears at a rate of 0.08% per annum of





the Fund, of which EUR765 (31 December 2016: EUR4,379) remained unpaid as at 31 December 2017.


108




When trading equity securities, the Investment Manager on behalf of the Fund may have used execution-

only or full service brokerage. When using full service brokerage, in addition to order execution,

commission-sharing arrangements were used to accumulate balances to be used solely for the

purchase, on behalf of the Fund, of substantive research in compliance with FCA Rules.

The Fund would also reimburse the Investment Manager for monies spent by the Investment Manager to



The research and data recharge and VAT that were charged to the Fund are as follows:

31-Dec-17 31-Dec-16

EUR EUR


VAT (15,233) (1,876)

Total (41,342) (16,887)

* Research and data recharge disclosed in the table above are exclusive of VAT. The Research and data


(h) Directors’ Fees

The Articles authorised the Directors to charge a fee for their services at a rate determined by the

Directors up to a maximum fee per Director of GBP25,000 per annum for the Umbrella. All Directors were

entitled to reimbursement by the Fund of expenses properly incurred in connection with the business of

the Fund or the discharge of their duties.


Fund, EURNil (31 December 2016: EURNil) remained unpaid as at 31 December 2017.

(i) Audit Fee


2010 (S.I. No. 220 of 2010), the Fund was obliged to disclose fees paid to the Fund’s Auditor. During the

year, an audit fee of EUR36,325 (31 December 2016: EUR34,063) was charged to the Fund of which


assurance, tax advisory and other non-audit fees were EUR5,288 (31 December 2016: EUR10,278).

(j) Other Expenses

31-Dec-17

EUR

31-Dec-16

EUR

Directors expenses (259) (626)


Legal fees (48,767) (104,586)


VAT services fee expense 1,079 (6,819)

(171,141) (183,657)


109


3. Financial Assets at fair value through profit or loss


31-Dec-17

EUR

31-Dec-16

EUR

Held for Trading

Common stocks - 18,964,354

Fixed income securities - 30,265,590

Unrealised gain on CFD - 1,628,189


Unrealised gain on futures - -

86,357 50,947,261


Held for Trading

Unrealised loss on CFD - (1,795,053)


Unrealised loss on futures - (39,691)

(108,109) (2,064,165)


31-Dec-17

EUR

31-Dec-16

EUR

Interest receivable on securities - 467,472

Dividend receivable on securities 349,936 2,862

Miscellaneous receivable - 5,053

349,936 475,387


31-Dec-17

EUR

31-Dec-16

EUR


-CHF 156 48,561

-DKK 254 16,607

-EUR 7,136,028 4,411,062

-GBP 3,535 1,534,378

-NOK - 14,859

-SEK 20,432 13,311

-USD 7,120,124 770,589

14,280,529 6,809,367


110


5. Cash and Cash Equivalents (continued)

31-Dec-17

EUR

31-Dec-16

EUR


-CHF 570 622

-DKK 5 2,007

-EUR 1,324,123 7,231,926

-GBP 2 109,747

-NOK 76 4,923

-SEK 46 1,248

-USD 95 84

1,324,912 7,350,557

Bank overdraft *:

-CHF (616) (45,460)

-GBP (128) (1,533,964)

NOK (52) -

-USD - (768,530)

(796) (2,347,954)


-CHF - (4,374)

-DKK - (432)

-EUR - (8,792)

-GBP (87) (122,186)

-SEK (16,162) (2,761)

-USD (6) (7)

(16,255) (138,552)

Total 15,588,391 11,673,418

* Cash and cash equivalents and bank overdraft were held with the Custodian.

6. Accrued Expenses


31-Dec-17

EUR

31-Dec-16

EUR

Interest payable (14,353) (2,858)

Dividend payable (9,616) (48,368)

Administration fee payable (2,300) (7,843)

Custodian fee payable (12,000) (3,135)



Legal fees payable (6,589) -

Directors expense payable (550) (454)


VAT services fees payable (522) (2,000)

Total (146,024) (111,777)


111



As at 31 December 2017, there were eight classes of shares in the Fund, all of which were available for



Available for

Subscription

Class MC-I1 (USD) USD100,000 USD50,000 No

Class MC-I2 (EUR) EUR100,000 EUR50,000 No

Class MC-I3 (GBP) GBP100,000 GBP50,000 No

Class MC-I4 (CHF) CHF100,000 CHF50,000 No

Class MC-D1 (USD) USD50,000 USD25,000 No

Class MC-D2 (EUR) EUR50,000 EUR25,000 No

Class MC-D3 (GBP) GBP50,000 GBP25,000 No

Class MC-D4 (CHF) CHF50,000 CHF25,000 No

During the initial offer period, from 9 October 2013 to 30 November 2013, shares in Class MC-I1 (USD)

and Class MC-D1 (USD) were available at an initial price of USD1,000, shares in Class MC-I2 (EUR) and

Class MC-D2 (EUR) were available at an initial price of EUR1,000, shares in Class MC-I3 (GBP) and

Class MC-D3 (GBP) were available at an initial price of GBP1,000 and shares in Class MC-I4 (CHF) and

MC-D4 (CHF) were available at an initial price of CHF1,000. Shares in Classes MC-I1 (USD), MC-I2

(EUR), MC-I3 (GBP) and MC-D2 (EUR) were currently available at prices calculated with reference to the

NAV per share.

During the second initial offer period, from 7 August 2014 to 3 Nov 2014, shares in class MC-D1 (USD)

were available at an initial price of USD1,000, shares in Class MC-D3 (GBP) were available at an initial

price of GBP1,000 and shares in Class MC-I4 (CHF) and MC-D4 (CHF) were available at an initial price

of CHF1,000.

Following the relevant initial offer period, applications received by the Administrator prior to the dealing

deadline for any dealing day were processed on that dealing day. Any applications received after the

dealing deadline for a particular dealing day were processed on the following dealing day unless the

Directors in their absolute discretion, in exceptional circumstances, otherwise determine to accept one or

more applications received after the dealing deadline for processing on that dealing day, provided that

such applications have been received prior to the Valuation Point for the particular dealing day.

Requests for redemption received prior to the dealing deadline for any dealing day were processed on

that dealing day. Any requests for redemption received after the dealing deadline for a dealing day were

processed on the next dealing day unless the Directors in their absolute discretion, in exceptional

circumstances, determine otherwise provided that such redemption request(s) have been received prior

to the Valuation Point for the particular dealing day. Redemption requests were only accepted for

processing where cleared funds and completed documents including documentation relating to money

laundering prevention checks were in place from original subscriptions. No redemption payments were

made from an investor holding until the original Application Form and all documentation required by or on

behalf of the Company (including any documents in connection with anti-money laundering procedures)

had been received from the investor and the anti-money laundering procedures had been completed.

The minimum value of shares which a Shareholder may redeem in any one redemption transaction was

EUR2,000 (or its USD/GBP/CHF equivalent). In the event of a Shareholder requesting a redemption

which would, if carried out, leave the Shareholder holding shares of a Class having a NAV less than the

relevant Minimum Holding, the Company may, if it thinks fit, redeem the whole of the Shareholder’s

holding.


112



It was not the intention of the Directors to charge a redemption fee. However, the Directors were


discretion in this respect. The Directors may have differentiated between Shareholders of the Fund by

waiving or reducing the redemption fee chargeable to certain Shareholders. The Directors would have

given not less than one month's notice to Shareholders of their intention to introduce a redemption fee

generally. In the event of a redemption fee being charged, Shareholders would have viewed their

investment as medium to long-term.

There were no holdings in Class MC-D1 (USD), Class MC-D2 (EUR), Class MC-D3 (GBP) and Class

MC-D4 (CHF) as at 31 December 2017. Shares transactions during the year in respect of each share

class are shown below:

31-Dec-17

Class MC-I1

USD

Class MC-I2

EUR

Class MC-I3

GBP

Class MC-I4

CHF

Number of Shares

At beginning of year 13,365.29 42,318.24 1.23 2,531.06

Issued - - - -

Redeemed (13,365.29) (42,318.24) (1.23) (2,531.06)

At end of the year - - - -

31-Dec-16

Class MC-I1

USD

Class MC-I2

EUR

Class MC-I3

GBP

Class MC-I4

CHF

Number of Shares

At beginning of year 19,542.49 58,873.35 - 5,060.26

Issued 497.80 10,782.44 1.23 2,137.39

Redeemed (6,675.00) (27,337.55) - (4,666.59)

At end of the year 13,365.29 42,318.24 1.23 2,531.06

The aggregate nominal value of shares of each class subscribed are shown below:

Share class Consideration

received

2017

Consideration

received

2016

Class MC-I1 (USD) - 490,455

Class MC-I2 (EUR) 963,900 11,880,624

Class MC-I3 (GBP) - 1,681

Class MC-I4 (CHF) - 2,015,145

Total consideration received 963,900 14,387,905


Interest Rate Risk

Cash flow interest risk arises on cash and cash equivalents. An increase in 50 basis points in interest

rates as at the reporting date would have decreased the net assets attributable to the holders of

redeemable shares and changes in net assets attributable to holders of redeemable shares by

EUR77,942 (2016: EUR209,695). A decrease of 50 basis points would have had an equal but opposite

effect.


113






and liabilities.

31-Dec-17

<1

month

1 - 3

months

3 - 12

months

>12

months

Non-

interest

bearing Total

Assets EUR EUR EUR EUR EUR EUR

Held for trading:


currency contracts - - - - 86,357 86,357



Margin cash due from brokers 1,324,912 - - - - 1,324,912


Sales awaiting settlement - - - - - -

Total assets 15,605,441 - - - 349,936 16,041,734

<1

month

1 - 3

months

3 - 12

months

>12

months

Non-

interest

bearing Total

Liabilities EUR EUR EUR EUR EUR EUR

Held for trading:


currency contracts (108,109) (108,109)


amortised cost:

Bank overdraft (796) - - - - (796)



payables - - - - (15,916,574) (15,916,574)



114




31-Dec-16

<1

month

1 - 3

months

3 - 12

months

>12

months

Non-

interest

bearing Total

Assets EUR EUR EUR EUR EUR EUR

Held for Trading:

Common stocks - - - - 18,964,354 18,964,354

Fixed income securities - 13,022,490 17,243,100 - - 30,265,590

Unrealised gain on CFD - - - - 1,628,189 1,628,189


currency contracts - - - - 89,128 89,128



Margin cash due from brokers 7,350,557 - - - - 7,350,557


Total assets 14,159,924 13,022,490 17,243,100 - 21,157,058 65,582,572

<1

month

1 - 3

months

3 - 12

months

>12

months

Non-

interest

bearing Total

Liabilities EUR EUR EUR EUR EUR EUR

Held for Trading:

Unrealised loss on CFD - - - - (1,795,053) (1,795,053)



-

-

-

(229,421)

(229,421)

Unrealised loss on futures - - - - (39,691) (39,691)


amortised cost:

Bank overdraft (2,347,954) - - - - (2,347,954)



payables - - -

- (251,262) (251,262)

Total liabilities (2,486,506) - - - (2,315,427) (4,801,933)


115





forward foreign currency contracts with the exception of contracts used for hedging foreign currency

share classes as at 31 December 2017 and 31 December 2016:

Total Total

31-Dec-17 31-Dec-16

Currency EUR EUR

CHF 110 (11,938)

DKK 254 3,387,280

GBP 3,450 37,296

NOK 24 16,409

SEK 4,316 (6,851)

USD 7,120,213 2,136

Total 7,128,367 3,424,332

An increase in 50 basis points in Euro rates as at the reporting date would had decreased the net assets


redeemable shares by EUR35,642 (31 December 2016: EUR17,122). A decrease of 50 basis points

would have had an equal but opposite effect.



116



Other price risk


distribution for 31 December 2016 (excluding cash).

There was no country of exposure on 31 December 2017 as the Cheyne European Mid Cap Equity Fund

had its last valuation date as of 22 December 2017, when all remaining investors were redeemed.

Country of risk exposure as at 31 December 2016:

Country of risk Notional Exposure Notional Exposure

Long Short EUR EUR Long Short

31-Dec-16 31-Dec-16 (% NAV) (% NAV)

France 27,546,671 (1,581,886) 45.31 (2.60)

Germany 22,825,932 (8,480,479) 37.54 (13.95)

Italy 7,292,887 (5,566,041) 12.00 (9.16)

Britain 6,553,181 (14,429,547) 10.78 (23.74)

Ireland 5,841,168 - 9.61 -

Denmark 3,176,169 - 5.23 -

Norway 2,910,001 (3,919,560) 4.79 (6.45)

Sweden 2,028,507 (1,561,375) 3.34 (2.57)

Belgium 1,384,092 - 2.28 -

Netherlands 483,920 (326,988) 0.80 (0.54)

Spain - (711,436) - (1.17)

Finland - (1,214,558) - (2.00)

Switzerland - (2,197,221) - (3.61)

Europe - (4,333,466) - (7.13)

Total 80,042,528 (44,322,557) 131.68 (72.92)


117




There was no sector of exposure on 31 December 2017 as the Fund closed on 22 December 2017 and

Investors were fully redeemed by 31 December 2017.

Sector exposure as at 31 December 2016:

Sector of risk

Notional Exposure Notional Exposure

Long Short

EUR EUR Long Short

31-Dec-16 31-Dec-16 (% NAV) (% NAV)

Government 30,700,083 - 50.51 -

Industrial 14,995,712 (8,981,300) 24.67 (14.78)

Consumer, Non-cyclical 8,912,795 (6,464,744) 14.66 (10.63)

Consumer, Cyclical 6,899,475 (10,069,412) 11.35 (16.57)

Energy 6,616,685 (2,985,430) 10.89 (4.91)

Financial 6,348,723 (864,014) 10.44 (1.42)

Basic Materials 2,710,202 (4,409,446) 4.46 (7.25)

Technology 2,691,809 (711,436) 4.43 (1.17)

Communication 167,044 (1,502,641) 0.27 (2.47)

Diversified - (513,886) - (0.85)

Index - (7,820,248) - (12.87)

Total 80,042,528 (44,322,557) 131.68 (72.92)


relevant, and will not therefore reconcile to financial assets at fair value. This reflected how other price risk

was monitored and managed by the Investment Manager.

The Fund also used absolute Value-at-Risk (VaR) analysis, which was a statistically based estimate of the








The VaR model was validated and audited at year end through the use of backtesting procedures. The

results of the backtesting procedures were communicated to the Board of Directors especially when there

were signs of excessive VaR back testing overshoots. Stress testing was also employed to highlight the

validity of the calculation model and suggest corrective actions in terms of model parameters and

calibration.


118




The main risk covered by the VaR model was market risk. The model’s methodology was the historical

simulation where no assumptions regarding returns distributions were made. The backtesting procedure

includes checking the Fund’s returns versus the VaR levels calculated by the risk engine. The time horizon

used for the backtesting of the VaR model is one day using one year’s historical data.


today’s risk factor levels then re-pricing each security from the new risk factor levels. There were no


Instead, distributions of underlying risk factors were taken exactly as found over the specified historical

time period. This method accurately prices all types of complex non-linear positions as well as simple

linear instruments. It also provides a full distribution of potential portfolio gains and losses (which need not

be symmetrical). If the underlying risk factors exhibit non-normal behaviour such as fat tails or mean

reversion, then the resulting VaR figure include these effects. However, tail risk can only be examined if

the historical data set includes tail events.

Leverage has been computed using the sum of notionals approach, as recommended by the Central

Bank of Ireland. This approach does not allow for any kind of netting or hedging. The average leverage of

Nil (31 December 2016: 15%) has been computed using data calculated daily and was calculated over

the period ranging from inception of the Fund until 31 December 2016.



2.78% 10.47% 5.75%

Credit risk

The tables below indicate the long-term credit ratings of the counterparties of financial assets held as at

31 December 2017 and 31 December 2016:

31-Dec-17

Moody’s Standard & Poor’s Fitch





119




31-Dec-16

Moody’s Standard & Poor’s Fitch

Citibank A1 A+ A+




counterparties whose aggregate credit exposure is significant in relation to the Fund’s total credit

exposure (see above concentration risk tables under other price risk). The Fund’s transactions were

entered into with a range of counterparties, thereby mitigating any significant concentration of credit risk.

As at 31 December 2017, the Fund did not hold any financial instruments so therefore it was not exposed

to any credit risk..

The table below indicates the credit ratings of the securities held as at 31 December 2016:

Rating

Notional Exposure Notional Exposure

Long Short

EUR EUR Long Short

31-Dec-16 31-Dec-16 (% NAV) (% NAV)

AAA 13,022,477 - 21.42 -

AA 17,677,606 - 29.08 -

Not rated 49,342,445 (44,322,557) 81.18 (72.92)

Total 80,042,528 (44,322,557) 131.68 (72.92)

Financial Instruments Total Total

31-Dec-17

EUR

31-Dec-16

EUR

Cash and cash equivalents 14,280,529 6,809,367


Common stocks - 18,964,354

Fixed income securities - 30,265,590

Unrealised gain on CFD - 1,628,189


Other receivables 349,936 475,387

Sales awaiting settlement - -

Total 16,041,734 65,582,572


120



Liquidity risk


<1

month

1 - 3

months

>3

months

No

maturity Total

EUR EUR EUR EUR EUR

Bank overdraft (796) - - - (796)



currency contracts (108,109) (108,109)


payables (15,916,574) - - - (15,916,574)

Net assets attributable to

holder of redeemable shares - - - - -

Total liabilities (including

net assets attributable to

holders of redeemable

shares) (15,933,625) (108,109) - - (16,041,734)


<1

month

1 - 3

months

>3

months

No

maturity Total

EUR EUR EUR EUR EUR

Bank overdraft (2,347,954) - - - (2,347,954)



payables (251,262) - -

- (251,262)

Unrealised loss on CFD (1,795,053) - - - (1,795,053)


currency contracts (229,421) - -

- (229,421)

Unrealised loss on futures - (39,691) - - (39,691)

Net assets attributable to holder

of redeemable shares (60,780,639) - -

- (60,780,639)


assets attributable to holders

of redeemable shares) (65,542,881) (39,691) -

- (65,582,572)



121




measured at fair value at 31 December 2017

:


EUR EUR EUR EUR


Unrealised gain on forward currency contracts - 86,357 - 86,357

Total assets - 86,357 - 86,357

Liabilities


Unrealised loss on forward currency contracts - (108,109) - (108,109)





EUR EUR EUR EUR


Common stocks 18,964,354 - - 18,964,354


Unrealised gain on CFD - 1,628,189 - 1,628,189

Unrealised gain on forward currency contracts - 89,128 - 89,128

Total assets 18,964,354 31,982,907 - 50,947,261

Liabilities


Unrealised loss on CFD - (1,795,053) - (1,795,053)

Unrealised loss on forward currency contracts - (229,421) - (229,421)

Unrealised loss on futures (39,691) - - (39,691)

Total liabilities (39,691) (2,024,474) - (2,064,165)


122




The policies for determining when transfers take place were that transfers between levels are deemed to

have occurred on the date of the event or the change in circumstances that caused the transfer.


ended 31 December 2016.



The disclosure set out in the tables below include financial assets and financial liabilities that are subject

to an enforceable master netting or similar agreement that covers similar financial instruments. The similar



agreements.


Financial Position. This was because they create a right of set-off of recognised amounts that was

enforceable only following an event of default, insolvency or bankruptcy of the Fund or the counterparties.

In addition, the Fund and its counterparties do not intend to settle on a net basis or to realise the assets

and settle the liabilities simultaneously.

Derivative assets and liabilities of the Fund were held with each counterparty and the margin balance

maintained by the Fund was for the purpose of providing collateral on derivative positions.

The following tables provides information on the financial impact of potential netting for instruments

subject to an enforceable master netting arrangement or similar agreement as at 31 December 2017.


(a) (b) (c)=(a)-(b) (d) (e)=(c)-(d)


assets


the statement



on the statement


Related amounts not set-off in the

statement of financial position




Financial assets at fair value through profit or loss Citibank 86,357 - 86,357 86,357 - -

Total 86,357 - 86,357 86,357 - -


123




(a) (b) (c)=(a)-(b) (d) (e)=(c)-(d)


the statement



on the statement





liabilities Financial

instruments



Financial liabilities at fair value through profit or loss Citibank (108,109) - (108,109) 86,357 - (21,752)

Total (108,109) - (108,109) 86,357 - (21,752)


(a) (b) (c)=(a)-(b) (d) (e)=(c)-(d)


assets


the statement



on the statement







Financial assets at fair value through profit or loss Citibank 89,128 - 89,128 89,128 - -

Goldman Sachs 1,628,189 - 1,628,189 1,435,529 28,501 164,159

Total 1,717,317 - 1,717,317 1,524,657 28,501 164,159


(a) (b) (c)=(a)-(b) (d) (e)=(c)-(d)


the statement



on the statement





liabilities Financial

instruments



Financial liabilities at fair value through profit or loss Citibank (229,421) - (229,421) (89,128) - (140,293)

Goldman Sachs (1,435,529) - (1,435,529) (1,435,529) - - Morgan Stanley (399,215) - (399,215) - (399,215) -

Total (2,064,165) - (2,064,165) (1,524,657) (399,215) (140,293)


124


11. Net Gain/(Loss) on Financial Assets and Liabilities at Fair Value through Profit or Loss

31-Dec-17

EUR

31-Dec-16

EUR

Held for trading:

Net realised gain/(loss) on investments 519,412 (2,460,935)

Movement in unrealised loss on investments (691,648) (620,151)

Net loss on financial assets and liabilities at fair value through

profit or loss (172,236) (3,081,086)


In accordance with the provisions of the Prospectus, formation costs were amortised and then written off

over a period of 60 months. This treatment was contrary to IFRS which requires such costs to be

expensed when incurred. Therefore, for reporting purposes, an adjustment of EURNil (31 December

2016: EUR4,196) is made to reconcile the Statement of Financial Position. During the year ended 31

December 2017 there were no new invoices for formation costs (31 December 2016: EURNil). The

cumulative differences are included as “Adjustment for revaluation of net assets attributable to holders of

redeemable shares” in the Statement of Financial Position.




Fund.

During the year an investment advisory fee of EUR169,673 (31 December 2016: EUR546,439) was




During the year the reimbursements to the Investment Manager for out of pocket expenses and legal

costs were EUR7,448 (31 December 2016: EUR804).


the Fund.

During the year research and data recharge of EUR41,342 (31 December 2016: EUR16,887) was

charged to the Fund. The research and data recharge’ amounts disclosed in this note are VAT inclusive.


125




As at 31 December 2017, 0.4990 (31 December 2016: 1.23) shares of Class MC-I3 (GBP) were held by

Cheyne Capital Management (UK) LLP which was the investment manager and portfolio support

manager of the Fund.

As at 31 December 2017, Nil (31 December 2016: 12,450.54) shares in MC-I1 (USD) were held by

Cheyne Global Equity Fund L.P. which was managed by the same Investment Manager.

As at 31 December 2017, 14,197.19 (31 December 2016: 12,654.86) shares of Class MC-I2 (EUR) were

held by FCP Diversification Prudentielle which was managed by the same Investment Manager.


Effective 1 August 2017 to 1 February 2018, the Investment Advisor reduced its annual fee, from 0.70%

to 0.40% per annum of the NAV of the Fund allocable to Class MC-I shares and from 1.20% to 0.90% per

annum of the NAV of the Fund allocable to Class MC-D shares.

Effective 1 August 2017 to 1 February 2018, the Investment Manager reduced its annual fee, from 1.05%

to 0.60% per annum of the NAV of the Fund allocable to Class MC-I and Class MC-D shares.

The Cheyne European Mid Cap Equity Fund had its last valuation date as of 22 December when all

remaining investors were redeemed. As such these termination financial statements have been prepared

on wind down basis.

The Fund’s final NAV as at 22 December 2017 of EUR15,752,294 was paid to investors on 17 February

2018.




126

CHEYNE ENHANCED GLOBAL CREDIT FUND


FOR THE PERIOD FROM 5 DECEMBER 2017 (DATE OF COMMENCEMENT)

TO 31 DECEMBER 2017



127


Note

31-Dec-17*

USD

Assets

Cash and cash equivalents 5 10,865,798


Investments in transferable securities 3 46,887,422

Investments in financial derivative instruments 3 10,060,279

Other receivables 4 103,148

Total assets 67,916,647

Liabilities

Margin cash due to brokers 5 (3,530,542)


Investments in financial derivative instruments 3 (327,506)

Investment advisor fee payable 2(c) (13,449)

Investment management fee payable 2(d) (31,381)

Portfolio support fee payable 2(f) (3,586)

Research and data recharge payable 2(g) (4,483)

Accrued expenses 6 (68,909)

Total liabilities (excluding Net Assets Attributable to Holders of

Redeemable Shares) (3,979,856)

Net Assets Attributable to Holders of Redeemable Shares 63,936,791

*Cheyne Enhanced Global Credit Fund launched on 5 December 2017



128



31-Dec-17*

Class EGC-I1 (USD)

Number of shares per class 600,000.00

Net Asset Value per share USD100.07

Net Asset Value EUR60,039,300

Class EGC-I2 (EUR)

Number of shares per class 32,500.00

Net Asset Value per share EUR99.87

Net Asset Value EUR3,897,491

*Cheyne Enhanced Global Credit Fund launched on 5 December 2017



129

STATEMENT OF COMPREHENSIVE INCOME

FOR THE PERIOD FROM 5 DECEMBER 2017 (DATE OF COMMENCEMENT) TO 31 DECEMBER 2017

Note

31-Dec-17*

USD

Income

Net loss on financial assets and liabilities at fair value through profit or loss 11 (39,382)

Net gain on foreign exchange 68,195

Interest income 974,568

Total income 1,003,381

Expenses

Interest expense (776,431)

Administration fee 2(a) (6,455)

Custodian fee 2(b) (3,079)

Depositary services fees 2(b) (1,102)

Investment advisor fee 2(c) (13,449)

Investment management fee 2(d) (31,381)

Portfolio support fee 2(f) (3,586)

Research and data recharge 2(g) (4,483)

Directors’ fees 2(h) (1,309)

Audit fee 2(i) (36,845)

Other expenses 2(j) (23,030)

Total expenses (901,150)

Increase in Net Assets Attributable to Holders of Redeemable Shares

102,231

*Cheyne Enhanced Global Credit Fund launched on 5 December 2017.



130


REDEEMABLE SHARES FOR THE PERIOD FROM

5 DECEMBER 2017 (DATE OF COMMENCEMENT) TO 31 DECEMBER 2017

31-Dec-17*

USD

Net assets attributable to holders of redeemable shares at beginning of the

period -

Increase in net assets attributable to holders of redeemable shares from operations 102,231

Issue of redeemable shares during the period 63,834,560

Net assets attributable to holders of redeemable shares at end of the period 63,936,791




131

STATEMENT OF CASH FLOWSFOR THE PERIOD FROM 5 DECEMBER 2017

(DATE OF COMMENCEMENT) TO 31 DECEMBER 2017

31-Dec-17*

USD


Increase in net assets attributable to holders of redeemable shares from operations 102,231


Increase in investments in transferable securities (46,887,422)

Increase in investments in financial derivative instruments (9,732,773)

Increase in other receivables (103,148)

Increase in margin cash due to brokers 3,530,542

Increase in accrued expenses and other payables 121,808

Net cash outflow from operating activities (52,968,762)

Financing

Proceeds from issuance of redeemable shares 63,834,560

Net cash inflow from financing activities 63,834,560

Increase in cash and cash equivalents 10,865,798

Cash and cash equivalents at start of period -

Cash and cash equivalents at end of the period 10,865,798

Interest received 871,420

Interest paid (776,431)



132

NOTES TO THE FINANCIAL STATEMENTS FOR THE PERIOD FROM 5 DECEMBER 2017

(DATE OF COMMENCEMENT) TO 31 DECEMBER 2017


The investment objective of the Cheyne Enhanced Global Credit Fund (the “Fund”) is to maximise total

rates of return, meaning capital appreciation plus income of its investments, over the medium term from

returns on corporate debt and derivatives thereof, with prudent levels of risk while maintaining generally

moderate levels of volatility. The Fund will seek to achieve its objective primarily through long or synthetic

short exposure to the credit risk of Corporates in Developed Markets via CDS, and/or direct investment in

debt securities (or via FDI).

As at 31 December 2017, there are five Classes of shares in the Fund, all of which are available for


Funded Classes:

Class EGC - I1 (USD), Class EGC - I2 (EUR).

Unfunded Classes:

Class EGC - D1 (USD), Class EGC – D2 (EUR), Class EGC – D3 (GBP), Class EGC – D4 (CHF), Class

EGC – D5(SGD), Class EGC Dist - I1 (USD), Class EGC Dist - I2 (EUR), Class EGC Dist - I3 (GBP),

Class EGC Dist – I4 (CHF), Class EGC Dist – I5 (SGD), Class EGC Dist - D1 (USD), Class EGC Dist –

D2 (EUR), Class EGC Dist – D3 (GBP), Class EGC Dist – D4 (CHF), Class EGC Dist – D5 (SGD), Class

EGC - I3 (GBP), Class EGC – I4 (CHF), Class EGC – I5 (SGD).





The Administrator receives out of the assets of the Fund an annual fee, accrued at each valuation point

and payable monthly in arrears, based on the net asset value (NAV) of the Fund, of up to a maximum of

0.12%, subject to a minimum annual administration fee of EUR58,000 for the first year of the Fund’s

operation and EUR77,000 in subsequent years and an additional fee of EUR1,550 per month for weekly

valuation and an additional fee of EUR1,750 per month for indicative daily valuations, where applicable

(plus VAT, if any thereon). The minimum fee may be fully or partially waived by the Administrator for such

period or periods of time as may be agreed between the Fund and the Administrator from time to time.


relating to any additional services required in relation to corporate secretarial, audit support, tax

assistance or investor rebate services, as may be agreed with the Company and which shall be charged

at normal commercial rates.

During the period an administration fee of USD6,455 was charged to the Fund, out of which USD6,455

remained unpaid as at 31 December 2017.



Services agreement, which gave the Depositary additional operational and oversight responsibilities.


133


(DATE OF COMMENCEMENT) TO 31 DECEMBER 2017 (continued)







In addition to such remuneration, Citibank N.A shall also be entitled, on behalf of the Depositary to

charge the Funds fees relating to any custody or transactional services, as may be agreed with the

Company and which shall be charged at standard commercial rates.

During the period depositary services fees of USD1,102 was charged to the Fund, out of which

USD1,102 remained unpaid as at 31 December 2017.

During the period custodian fee of USD3,079 were charged to the Fund, out of which USD3,079





The Investment Advisor shall be entitled to receive, out of the assets of the Fund, an annual fee, accrued

at each Valuation Point and payable monthly in arrears at a rate of 0.30% per annum of the NAV of the

Fund allocable to Class I and at a rate of 0.90% per annum of the NAV of the Fund allocable to Class D.

The Investment Advisor is also entitled to be reimbursed by the Fund for all of its out-of-pocket expenses

reasonably incurred on behalf of the Fund.

During the period investment Advisor fees of USD13,449 were charged to the Fund, out of which



The Investment Manager, Cheyne Capital Management (UK) LLP, is entitled to receive out of the assets

of the Fund an annual Investment Management Fee, accrued at each Valuation Point and payable

monthly in arrears at a rate of 0.70% per annum of the NAV of the Fund allocable to Class I and at a rate

of 0.60% per annum of the NAV of the Fund allocable to Class D.

The Investment Manager is entitled to be reimbursed by the Fund for all of its out-of-pocket expenses and

vouched internal legal costs reasonably incurred on behalf of the Fund. The reimbursement for the period

was USDNil, USDNil remained unpaid as at 31 December 2017.

During the period an investment management fee of USD31,381 was charged to the Fund, out of which



134




(e) Performance fee

The Investment Manager and the Investment Advisor shall be entitled to receive, out of the assets

allocable to Class I, R and D shares, a total performance fee equal to 10% of the increase in the NAV of

the relevant Class over the relevant High Water Mark (HWM) during a performance period, disregarding

any un-crystallised performance fee. 60% of any performance fee will be due to the Investment Manager

and 40% will be due to the Investment Advisor. The initial performance period commenced on the first

business day after expiry of the initial offer period.

The performance hurdle is the relevant interest rate used for each performance period in the calculation

of the performance fee, the interest rate is (i) for any EUR Share Class, the 3 month EURIBOR (Euro


month Dollar LIBOR on the first day of the performance period, (iii) for any CHF Share Class, the 3 month

Swiss Franc LIBOR on the first day of the performance period, (iv) for any GBP Share Class, the 3 month

GBP LIBOR on the first day of the performance period, and (v) for any SGD Share Class, the 3 month

SGD LIBOR on the first day of the performance period.



The HWM is initially the value invested in the class, and is adjusted at each valuation point to take

account of subscriptions, redemptions and distributions impacting the valuation at that date. The HWM is

increased by the value of subscriptions, reduced by the value of distributions, and prorated down by the

proportion of shares of the class redeeming.







Investment Manager following such redemption. The performance period is each calendar quarter.

This crystallising performance fee is calculated as a pro rata portion of the un-crystallised performance

fee which forms part of the price at which the relevant shareholder redeemed.

During the period a performance fee of USDNil was charged to the Fund, out of which USDNil remained

unpaid as at 31 December 2017. The performance fee is periodically verified by the Depositary.


The Investment Manager shall be entitled to receive an annual portfolio support fee of 0.08% per annum

of the first EUR200 million of the NAV of the Fund, 0.06% per annum of the NAV of the Fund between



During the period a portfolio support fee of USD3,586 was charged to the Fund, out of which USD3,586



135








The research and data recharge and VAT in respect of the research and data fee were charged to the

Fund are as follows:

31-Dec-17

USD

Research and data recharge * (4,483)

VAT -

Total (4,483)



(h) Directors' Fees

The Articles authorise the Directors to charge a fee for their services at a rate determined by the

Directors up to a maximum fee per Director of GBP25,000 per annum for the Umbrella. All Directors will

be entitled to reimbursement by the Fund of expenses properly incurred in connection with the business

of the Fund or the discharge of their duties.

During the period Directors’ fees of USD1,309 were charged to the Fund, out of which USD1,309


(i) Audit Fee



period, an audit fee of USD36,845 was charged to the Fund, of which USD36,845 was payable at year

end. Payment in respect of other assurance, tax advisory and other non-audit fees are USDNil.

(j) Other Expenses

31-Dec-17

USD

Directors expenses (25.00)

Insurance expense (1,111.00)

Legal fees (8,297.00)

Miscellaneous expenses (13,541.00)

VAT services fee expense (56.00)

(23,030)


136





31-Dec-17

USD

Held for Trading:

Fixed income securities 46,887,422

CDS 9,695,367

Swaptions 312,577

Unrealised gain on forward currency contracts 52,335

56,947,701


31-Dec-17

USD

Held for Trading:

CDS (168,442)

Unrealised loss on forward currency contracts (159,064)

(327,506)


31-Dec-17

USD

Interest receivable on securities 103,148

103,148


31-Dec-17

USD


-EUR 4,191,665

-USD 6,674,133

10,865,798


-EUR (542)

-USD (3,530,000)

(3,530,542)

Total 7,335,256

* Cash and cash equivalents are held with the Custodian.


137



6. Accrued Expenses


31-Dec-17

USD

Administration fees payable (6,455)

Custodian fee payable (3,079)

Depositary services fees payable (1,102)

Audit fees payable (36,845)

Directors fee payable (1,309)

Legal fees payable (8,297)

Directors expense payable (25)

Miscellaneous expenses payable (10,630)

Insurance Expense Payable (1,111)

VAT services fees payable (56)

Total (68,909)

7 Redeemable Shares

As at 31 December 2017, there are 20 Classes of Shares in the Fund, of which all are available for

subscription and details of which are set out in the table below:


Available for

Subscription

Class EGC - I1 (USD) USD100,000 USD50,000 Yes

Class EGC - I2 (EUR) EUR100,000 EUR50,000 Yes

Class EGC - I3 (GBP) GBP100,000 GBP50,000 Yes

Class EGC – I4 (CHF) CHF100,000 CHF50,000 Yes

Class EGC – I5 (SGD) SGD100,000 SGD50,000 Yes

Class EGC - D1 (USD) USD50,000 USD25,000 Yes

Class EGC – D2 (EUR) EUR50,000 EUR25,000 Yes

Class EGC – D3 (GBP) GBP50,000 GBP25,000 Yes

Class EGC – D4 (CHF) CHF50,000 CHF25,000 Yes

Class EGC – D5(SGD) SGD100,000 SGD50,000 Yes

Class EGC Dist - I1 (USD) USD100,000 USD50,000 Yes

Class EGC Dist - I2 (EUR) EUR100,000 EUR50,000 Yes

Class EGC Dist - I3 (GBP) GBP100,000 GBP50,000 Yes

Class EGC Dist – I4 (CHF) CHF100,000 CHF50,000 Yes

Class EGC Dist – I5 (SGD) SGD100,000 SGD50,000 Yes


138




Class of Share

Minimum

Subscription Minimum Holding

Available for

Subscription

Class EGC Dist - D1 (USD) USD50,000 USD25,000 Yes

Class EGC Dist – D2 (EUR) EUR50,000 EUR25,000 Yes

Class EGC Dist – D3 (GBP) GBP50,000 GBP25,000 Yes

Class EGC Dist – D4 (CHF) CHF50,000 CHF25,000 Yes

Class EGC Dist – D5 (SGD) SGD100,000 SGD50,000 Yes

Following the initial offer period, which closes on 11 April 2018, shares were offered at an initial price of

100 in each of the relevant currencies. Shares are currently available at prices calculated with reference

to the NAV per share were applications received by the Administrator prior to the dealing deadline for any

dealing day will be processed on that dealing day.

Any applications received after the dealing deadline for a particular dealing day will be processed on the

following dealing day unless the Directors in their absolute discretion otherwise determine to accept one

or more applications received after the dealing deadline for processing on that dealing day, provided that

such applications have been received prior to the valuation point for the particular dealing day.









documents in connection with anti-money laundering procedures) has been received from the investor

and the anti-money laundering procedures have been completed.


EUR2,000 (or its GBP/USD/NOK equivalent). In the event of a shareholder requesting a redemption

which would, if carried out, leave the shareholder holding shares of a class having a NAV less than the

relevant minimum holding, the Fund may, if it thinks fit, redeem the whole of the shareholder's holding.



discretion in this respect. The Directors may differentiate between shareholders of the Fund by waiving

or reducing the redemption fee chargeable to certain shareholders. The Directors will give not less than

one month's notice to shareholders of their intention to introduce a redemption fee generally. In the event

of a redemption fee being charged, shareholders should view their investment as medium to long-term.


139




There were no holdings in any of the other share classes listed in Note 1 as at 31 December 2017.

Shares transactions during the period in respect of each share class are shown below:

31-Dec-17

Class EGC

I1 (USD)

Class EGC

I2 (EUR)

Number of Shares

At beginning of period - -

Issued 600,000.00 32,500.00

At end of the period 600,000.00 32,500.00


Share Class

Consideration

received

2017

Class EGC-I1 (USD) 60,000,000

Class EGC-I2 (EUR) 3,834,560

Total consideration received 63,834,560


Interest rate risk

An increase in 50 basis points in interest rates as at the reporting date would have increased the net


of redeemable shares by USD319,590. A decrease of 50 basis points would have had an equal but

opposite effect.


140







and liabilities.

31-Dec-17

Assets

<1

month

1 - 3

months

3 - 12

months

>12

months

Non-

interest

bearing

Total

Held for Trading: USD USD USD USD USD USD

Fixed income securities - 31,965,427 14,921,995 - - 46,887,422

CDS - - - 9,695,367 - 9,695,367

Swaptions - - - - 312,577 312,577


currency contracts

-

-

-

- 52,335 52,335




brokers

-

-

-

-

-

-


Total assets 10,865,798 31,965,427 14,921,995 9,695,367 468,060 67,916,647

31-Dec-17

Liabilities

<1

month

1 - 3

months

3 - 12

months

>12

months

Non-

interest

bearing

Total

Held for Trading: USD USD USD USD USD USD

CDS - - - - (168,442) (168,442)


currency contracts - - - - (159,064) (159,064)


amortised cost:

Margin cash due to brokers (3,530,542) - - - - (3,530,542)


other payables - - - - (121,808) (121,808)

Total liabilities (3,530,542) - - - (449,314) (3,979,856)


141






forward foreign currency contracts with the exception of contracts used for hedging foreign currency

share classes as at 31 December 2017:

31-Dec-17

Currency USD

EUR 3,836,237

Total 3,836,237

An increase in 50 basis points in USD rates as at the reporting date would have decreased the net

assets attributable to the holders of redeemable shares and changes in net assets attributable to the

holders of redeemable shares by USD19,181. A decrease of 50 basis points would have had an equal

but opposite effect.


Other price risk

The Fund will seek to establish a convex payoff profile, minimise spread while realising positive carry

from taking default exposure. Credit spread movements are the primary risk factors that could have a

material impact on the NAV of the Fund when trying to establish this convex profile. Credit spread risk is

managed through rigorous quantitative (i.e. liquidity, leverage and profitability) and qualitative (i.e.

business plans, competition etc.) evaluations of the credit fundamentals of the different obligors.

The NAV of the Fund is therefore exposed to the credit/default risk of certain reference entities via the

use of credit derivatives. The Investment Manager, on an on-going and actively managed basis, commits

the Fund through the Swap Agreement to buy and sell credit protection in relation to reference entities. If

credit protection has been sold, the Fund may be required to make a payment if a credit event occurs in

relation to a reference entity, and, if it has bought credit protection, may receive a payment if such a credit

event occurs.

Sector and geographic risk is monitored and is subject to the following constraints:

1. Maximum single issuer concentration.

2. Maximum sector exposure.

3. Maximum exposure outside EU/North America.

4. Maximum sub-investment grade concentration.


142





All risk factors are monitored on a daily basis by the Investment Manager and the underlying parameters

are stressed on an on-going basis in order to determine the impact of any material movements in the

credit fundamentals of the underlying obligors.

Credit Spread

+100% -100%

Year

NAV% CCY NAV% CCY

31-Dec-17 0.00% Nil 0.00 % Nil


distribution for 31 December 2017 (excluding cash).

Country of risk exposure 31 December 2017:

Country of risk

Notional Exposure

Notional Exposure

Long Short

USD USD Long Short

31-Dec-17 31-Dec-17 (% NAV) (% NAV)

United States 170,287,380 (38,887,175) 266.31 (60.85)

Britain 97,881,499 (34,810,965) 153.09 (54.45)

France 9,608,000 - 15.03 -

Switzerland 9,608,000 - 15.03 -

Canada 6,000,000 - 9.38 -

Germany 4,804,000 - 7.51 -

Netherlands 4,804,000 - 7.51 -

Italy 4,804,000 - 7.51 -

Spain 4,804,000 - 7.51 -

Sweden 3,603,000 - 5.64 -

Belgium 2,402,000 - 3.76 -

Finland 2,402,000 - 3.76 -

Denmark 2,402,000 - 3.76 -

Total 323,409,879 (73,698,140) 505.80 (115.30)


143





Sector exposure 31 December 2017:

Sector of risk

Notional Exposure

Notional Exposure

Long Short

USD USD Long Short

31-Dec-17 31-Dec-17 (%

NAV) (% NAV)

Index 113,447,500 (73,698,140)

177.42 (115.27)

Government 46,887,379 - 73.33 -

Communications 26,814,000 - 41.94 (0.03)

Financial 29,211,000 - 45.69 -

Consumer, Cyclical 23,907,000 - 37.39 -

Consumer, Non-cyclical 22,613,000 - 35.37 -

Utilities 19,814,000 - 30.99 -

Industrial 15,010,000 - 23.48 -

Energy 11,402,000 - 17.83 -

Basic Materials 9,804,000 - 15.33 -

Technology 3,500,000 - 5.47 -

financial 2,402,000 - 3.76 -

Oil & Gas 1,000,000 - 1.56 -

Total 323,409,879 (73,698,140) 505.80 (115.30)


relevant, and will not therefore reconcile to financial assets at fair value. This reflects how other price risk

is monitored and managed by the Investment Manager.










144





The VaR model is validated and audited at period end through the use of backtesting procedures. The

results of the backtesting procedures are communicated to the Board of Directors especially when there

are signs of excessive VaR back testing overshoots. Stress testing is also employed to highlight the

validity of the calculation model and suggest corrective actions in terms of model parameters and

calibration.











symmetrical). If the underlying risk factors exhibit non-normal behaviour such as fat tails or mean

reversion, then the resulting VaR figure will include these effects. However, tail risk can only be examined

if the historical data set includes tail events.

Leverage has been computed using the sum of notionals approach, as recommended by the Central

Bank of Ireland. This approach does not allow for any kind of netting or hedging. The average leverage of

xxx% has been computed using data calculated daily and was calculated over the year ranging from

inception of the Fund until 31 December 2017.

The leverage is a measure of (i) the derivative usage and (ii) any leverage generated by the reinvestment

of the cash received as collateral when using efficient portfolio management techniques, and therefore

does not take into account other physical assets directly held in the portfolio of the relevant Fund. The

efficient portfolio management techniques refer to the use of a combination of investing in sovereign

government bonds and short dated high quality corporate bonds as cash equivalent collateral. The

selection of these investments is based on credit quality of the borrowing entity and the short duration of

these bonds.



0.17% 1.60 % 1.21 %


145




Credit risk

The tables below indicate the long-term credit ratings of the counterparties of financial assets held as at

31 December 2017:

31-Dec-17


Barclays Baa2 BBB A










HSBC A2 A AA-

JP Morgan A3 A- A+




UBS A1 A+ AA-


counterparties whose aggregate credit exposure is significant in relation to the Fund’s total credit

exposure (see above concentration risk tables under other price risk). The Fund’s portfolio of financial

instruments is broadly diversified along industry, product and geographic lines, and transactions are

entered into with a range of counterparties, thereby mitigating any significant concentration of credit risk.


Rating

Notional Exposure

Notional Exposure

Long Short

USD USD Long Short

31-Dec-17 31-Dec-17 (% NAV) (% NAV)

AAA 46,887,379 - 73.33 -

BBB+ 36,618,000 - 57.27 -

BBB 34,015,000 - 53.20 -

A- 22,814,000 - 35.68 -

BBB- 21,206,000 - 33.17 -

BB+ 12,706,000 - 19.87 -

A 12,402,000 - 19.40 -

BB- 6,304,000 - 9.86 -

BB 5,603,000 - 8.76 -

AA- 4,804,000 - 7.51 -


146




Credit risk(continued)


Rating

Notional Exposure

Notional Exposure

Long Short

USD USD Long Short

31-Dec-17 31-Dec-17 (% NAV) (% NAV)

AA 3,000,000 - 4.69 -

A+ 2,402,000 - 3.76 - Not rated

114,648,500 (73,698,140) 179.30 (115.30)

Total 323,409,879 (73,698,140) 505.80 (115.30)


Financial Instrument

31-Dec-17

USD

Cash and cash equivalents 10,865,798

Fixed income securities 46,887,422

CDS 9,695,367

Swaptions 312,577

Unrealised gain on foreign currency forward contracts 52,335

Other receivables 103,148

Total 67,916,647

Liquidity risk


<1 1-3 >3 No

Total


USD USD USD USD USD


CDS - - (168,442) - (168,442)


contracts - (159,064) - - (159,064)


payables (121,808) - - - (121,808)

Net assets attributable to holder of




shares) (67,589,141) (159,064) (168,442) - (67,916,647)



147







USD USD USD USD



CDS - 9,695,367 - 9,695,367

Swaptions - 312,577 - 312,577


currency contracts - 52,335 - 52,335

Total assets - 56,947,701 - 56,947,701

Liabilities


CDS - (168,442) - (168,442)


contracts - (159,064) - (159,064)





The policies for determining when transfers take place is that transfers between levels are deemed to

have occurred on the date of the event or the change in circumstances that caused the transfer.


ended 31 December 2017.



The disclosure set out in the tables below include financial assets and financial liabilities that are subject

to an enforceable master netting or similar agreement that covers similar financial instruments. The similar



agreements.


148











The following tables provides information on the financial impact of potential netting for instruments

subject to an enforceable master netting arrangement or similar agreement as at 31 December 2017.




(e)=(c)-(d)

Gross amounts

of recognised

assets


the statement


Net amount

presented on the


position Financial

instruments


USD USD USD USD USD USD


Citibank 10,060,279 - 10,060,279 327,506 542 9,732,231

Total 10,060,279 - 10,060,279 327,506 542 9,732,231


149







(e)=(c)-(d)

Gross amounts

of recognised

liabilities


the statement


Net amount

presented on the


position Financial

instruments


USD USD USD USD USD USD

Financial liabilities at fair value through profit or loss Citibank (327,506) - (327,506) (327,506) - -

Total (327,506) - (327,506) (327,506) - -

11. Net Gain/(Loss) on Financial Assets and Liabilities at Fair Value Through Profit or Loss

31-Dec-17

USD

Held for trading:

Net realised gain on investments 16,988

Movement in unrealised loss on investments (56,370)


through profit or loss

(39,382)


In accordance with the provisions of the Prospectus, formation costs are amortised and then written off over

a period of 60 months. This treatment is contrary to IFRS which requires such costs to be expensed when

incurred. Therefore, for reporting purposes, an adjustment of USDNil is made to reconcile the Statement of

Financial Position. During the year ended 31 December 2017 there were no new invoices for formation

costs. The cumulative differences are included as “Adjustment for revaluation of net assets attributable to

holders of redeemable shares” in the Statement of Financial Position.


150





During the period Directors’ fees of USD1,309 were charged to the Fund.

During the period an investment advisory fee of USD13,449 was charged to the Fund.

During the period an investment management fee of USD31,381 was charged to the Fund.

During the period the reimbursements to the Investment Manager for out of pocket expenses and legal

costs were USDNil.

During the period a performance fee of USDNil was charged to the Fund.

During the period a portfolio support fee of USD3,586 was charged to the Fund.

During the period research and data recharge of USD4,483 was charged to the Fund. The research and

data recharge amounts disclosed in this note are VAT inclusive.


As at 31 December 2017, 500,000 shares of Class EGC-I1 (USD) are held by Cheyne Diversified TRCF

Programme Inc, which is managed by the same Investment Manager.


The Fund launched on 5 December 2017 and its first NAV was produced on the 6 December 2017.

There were no other significant events during the period.




151

PORTFOLIO STATEMENT AS AT 31 DECEMBER 2017



Convertible bonds

Nominal Description

Fair Value % of

EUR Net Assets

EUR

1,100,000 Aabar Investments Pjsc 0.50% 27/03/2020

1,003,549 1.07%

1,000,000 America Movil Sab De Cv 0.00% 28/05/2020

992,706 1.05%

500,000 Amorim Energia Bv 3.38% 03/06/2018

520,868 0.55%

1,000,000 Bayer Ag 0.05% 15/06/2020

1,213,610 1.29%

1,000,000 Bekaert Sa 0.00% 09/06/2021

1,017,253 1.08%

1,000,000 Be Semiconductor Industries Nv 0.50% 06/12/2024

1,019,374 1.08%

800,000 Capital Stage Finance Bv 5.25% 13/03/2100

843,829 0.90%

1,000,000 Gn Store Nord 0.00% 31/05/2022

1,049,662 1.11%

33,700 Genfit 3.50% 16/10/2022

1,015,643 1.08%

20,250 Maisons Du Monde Sa 0.13% 06/12/2023

1,061,990 1.13%

1,000,000 Oci Nv 3.88% 25/09/2018

1,013,916 1.08%

1,500,000 Rocket Internet 3.00% 22/07/2022

1,560,286 1.66%

30,000,000 Treasury Certificates 0.00% 08/02/2018 30,027,765 31.88%

42,340,451 44.96%

GBP

1,000,000

St Modwen Properties Securities Jersey Ltd 2.88% 06/03/2019

1,133,303 1.20%

1,133,303 1.20%

HKD

4,000,000 Asm Pacific Technology Ltd 2.00% 28/03/2019

520,555 0.56%

5,000,000 Harvest International Co 0.00% 21/11/2022

529,513 0.56%

7,000,000 Zhongsheng Group 0.00% 25/10/2018

763,710 0.81%

1,813,778 1.93%

JPY

100,000,000 Toppan Printing Co Ltd 0.00% 19/12/2019

791,825 0.84%

100,000,000 Wessex Ltd 0.00% 20/11/2020

23,656 0.03%

150,000,000 Wessex Ltd 0.00% 30/11/2020

168,274 0.17%

983,755 1.04%

THB

25,000,000 Bangkok Dusit Md 0.00% 18/09/2019

683,470 0.73%

683,470 0.73%


152

PORTFOLIO STATEMENT AS AT 31 DECEMBER 2017 (Continued)

CHEYNE CONVERTIBLES ABSOLUTE RETURN FUND (Continued)

Financial assets at fair value through profit or loss (continued)

Convertible bonds (continued)

Nominal Description

Fair Value % of

EUR Net Assets

USD

500,000 Amag Pharmaceuticals Inc 3.25% 06/01/2022

360,522 0.38%

600,000 Ayc Finance Ltd 0.50% 5/02/2019

560,976 0.60%

2,000,000 Biomarin Pharmaceuticals 0.60% 01/08/2024

1,664,741 1.77%

1,600,000 Dp World Ltd 1.75% 19/06/2024

1,406,840 1.49%

1,500,000 Electronics For Imaging Inc 0.75% 01/09/2019

1,214,283 1.29%

500,000 Haitian International Holdings Ltd 2.00% 13/02/2019

467,702 0.50%

1,200,000 Hon Hai Precision Indust 0% 06/11/2022

999,161 1.06%

500,000 Hubspot Inc 0.00% 06/01/2022

479,299 0.51%

1,000,000 Iac Financeco Inc 0.88% 01/10/2022

882,771 0.94%

1,000,000 Isat 3.88% 09/09/2023

881,095 0.94%

700,000 Liteus 0.25% 15/03/2014

653,050 0.69%

600,000 Nat Bk Abu Dhabi 1.00% 03/12/2018

497,885 0.53%

500,000 Nuance Communications 1.00% 15/12/2035

399,144 0.42%

2,000,000 Nxp Semiconductors Nv 1.00% 01/12/2019

2,070,170 2.20%

500,000 Shanghai Port Group Bvi 0% 09/08/2021

410,329 0.44%

500,000 Shui On Development Hldg 7.5% 31/12/2049

459,961 0.49%

800,000 Sibanye Gold Ltd 1.88% 26/09/2023

660,229 0.70%

500,000 Singha Estate Pcl 2.00% 20/07/2022

417,030 0.44%

1,000,000 Telenor East Holding As 0.25% 20/09/2019

888,691 0.94%

500,000 Wayfair Inc 0.38% 01/09/2022

436,040 0.46%

2,000,000 Weibo Corp 1.25% 15/11/2022

1,842,602 1.96%

700,000 Yangtz 0.00% 09/11/2021

639,955 0.68%

500,000 Zillow Inc 2.00% 01/12/2021

456,585 0.48%

500,000 Zhen Ding Technology Holding Ltd 0.00% 26/06/2019

421,634 0.45%

19,170,695 20.36%

Total convertible bonds 66,125,452 70.22%


153




Options

Strike Maturity

Fair Value % of

Notional Securities Covered Price Date Counterparty EUR Net Assets

JPY

200,000,000 Asics Corp L No 40 08/04/2020 Morgan Stanley 13,759 0.02%

100,000,000 Aeon Financial No 45 06/09/2019 Morgan Stanley 85,048 0.09%

400,000,000 Gs Yuasa No 40 13/03/2019 Morgan Stanley 47,981 0.05%

100,000,000 His Corp No 55 30/08/2019 Morgan Stanley 57,537 0.06%

200,000,000 Hosele No 76 23/08/2022 Morgan Stanley 199,892 0.21%

100,000,000 K'S Denki Corp No 80 30/03/2021 Morgan Stanley 137,485 0.15%

200,000,000 Kyusel No 55 31/03/2022 Morgan Stanley 67,144 0.07%

200,000,000 Lixil Group Corp No 40 04/03/2022 Morgan Stanley 133,697 0.14%

250,000,000 Mit Chem No 40 30/03/2022 Morgan Stanley 264,045 0.28%

200,000,000 Mitsumi No 50 03/08/2020 Morgan Stanley 475,079 0.50%

200,000,000 Nissho No 55 29/01/2019 Morgan Stanley 316,485 0.34%

100,000,000 Obara Group Inc No 70 08/04/2020 Morgan Stanley 63,722 0.07%

200,000,000 Sbi holding No 131 01/09/2022 Morgan Stanley 717,271 0.76%

200,000,000 Suzuki Motor Corp No 75 31/03/2023 Morgan Stanley 944,090 1.00%

300,000,000 Takashimaya Co Ltd No 35 11/12/2018 Morgan Stanley 22,358 0.02%

400,000,000 T&D Holdings Inc No 28 06/05/2020 Morgan Stanley 154,558 0.16%

150,000,000 Terumo Corp No 35 06/12/2021 Morgan Stanley 465,960 0.50%

200,000,000 Yamada Denki Co Ltd No 55 28/06/2019 Morgan Stanley 284,183 0.30%

4,450,294 4.72%

USD

1,400,000 Enno No 170 04/03/2019 Morgan Stanley 175,889 0.19%

175,889 0.19%

Total options

4,626,183 4.91%


154




Contracts for difference

Unrealised Gain % of

Notional Securities Counterparty EUR Net Assets

EUR

900,000 Ablynx Nv 3.25% 27/05/2020 BNP Paribas 25,494 0.03%

2,000,000 Be Semiconductor Industries Nv 2.50% 12/02/2023 Societe Generale 29,999 0.03%

(39,070) Be Semiconductor Industries Societe Generale 21,293 0.02%

(159,500) Buzzi Unicem Spa BNP Paribas 77,358 0.09%

(27,930) Eurazeo Sa BNP Paribas 419 0.00%

(36,976) Evonik Industries Ag BNP Paribas 10,815 0.01%

(51,650) Fresenius Se & Co Kgaa BNP Paribas 28,924 0.03%

(313,040) Iberdrola Sa BNP Paribas 16,122 0.02%

2,000,000 Immofinanz Ag 2.00% 24/01/2024 BNP Paribas 23,469 0.02%

(16,360) Leg Immobilien Ag BNP Paribas 3,190 0.00%

1,000,000 Maire Tecnimont 5.75% 20/02/2019 BNP Paribas 17,173 0.02%

1,000,000 Nh Hotel Group Sa 4.00% 11/08/2018 Societe Generale 12,640 0.01%

(134,400) Prysmian Spa BNP Paribas 56,448 0.06%

(213,020) Subsea 7 Sa Societe Generale 5,051 0.01%

(29,200) Ubisoft Entertainment Societe Generale 35,770 0.04%

364,165 0.39%

GBP

3,000,000 Volcan Holdings Plc 4.13% 11/04/2020 Societe Generale 147,727 0.16%

2,000,000 Volcan Holdings Plc 3.78% 10/10/2020 Societe Generale 26,765 0.03%

174,492 0.19%

HKD

(414,700) Enn Energy Holdings Ltd BNP Paribas 15,462 0.02%

15,462 0.02%

JPY

(31,300) Dcm Holdings Co Ltd Morgan Stanley 10,412 0.01%

(45,000) Minebea Mitsumi Inc Morgan Stanley 1,996 0.00%

(50,000) Mitsubishi Chemical Holdings Morgan Stanley 4,436 0.00%

16,844 0.01%


155




Contracts for difference (continued)



USD

(94,300) Aerojet Rocketdyne Holdings Societe Generale 14,528 0.02%

2,500,000 Allscripts Healthcare Solutions Inc BNP Paribas 4,755 0.00%

(33,300) Altaba Inc BNP Paribas 6,101 0.01%

(73,100) Allscripts Healthcare Solution BNP Paribas 2,070 0.00%

(44,500) Citrix Systems Inc Societe Generale 16,121 0.01%

(53,600) Ctrip.Com International Ltd BNP Paribas 24,327 0.03%

(15,000) Meritor Inc BNP Paribas 4,934 0.01%

(46,480) Molina Healthcare Inc Societe Generale 28,450 0.03%

(7,800) Restoration Hard Societe Generale 27,996 0.03%

(30,102) Salesforce.Com Inc Societe Generale 9,651 0.01%

2,000,000 Severstal 0.50% 29/04/2021 Societe Generale 10,893 0.01%

(70,100) Stmicroelectronics Nv Societe Generale 9,702 0.01%

(36,700) Workday Inc Societe Generale 40,649 0.04%

(50,100) Wright Medical Group Inc BNP Paribas 25,242 0.03%

225,419 0.24%

Total unrealised gain on contracts for difference 796,382 0.85%


Maturity


Date Counterparty Amount Bought

Amount Sold EUR Net Assets

20/03/2018 Morgan Stanley EUR21,854,494

USD(25,999,000) 309,742 0.33%


JPY(662,206,000) 92,550 0.10%


HKD(17,190,000) 28,086 0.03%


GBP(1,067,000) 8,053 0.01%

20/03/2018 Morgan Stanley EUR647,269

THB(25,000,000) 10,407 0.01%

20/03/2018 Morgan Stanley EUR49,026

CHF(57,272) 35 0.00%

20/03/2018 Morgan Stanley CHF8,500 EUR(7,255) 16 0.00%

20/03/2018 Morgan Stanley EUR285,398 JPY(38,500,000) 990 0.00%

20/03/2018 Morgan Stanley EUR49,124 CHF(57,393) 30 0.00%

449,909 0.48%

Total unrealised gain on forward currency contracts 449,909 0.48%


156




Options

Strike Maturity

Fair Value % of

Notional Securities Covered Price Date Counterparty EUR Net Assets

USD

1,000,000 Srtgij No 580 26/05/2018 Morgan Stanley - 0.00%

- 0.00%

Total options

- 0.00%

Contracts for difference

Unrealised Loss % of


EUR

(64,000) Ablynx Nv BNP Paribas (21,440) (0.02)%

2,000,000 Acs Actividades Finance 2.58% 22/10/2018 BNP Paribas (24,700) (0.03)%

3,000,000 Buzzi Unicem Spa 1.38% 17/07/2019 BNP Paribas (73,230) (0.07)%

2,328,550 Credit Agricole Sa 0.00% 03/10/2019 BNP Paribas (5,355) (0.01)%

3,000,000 Fresenius Se 0.00% 24/09/ 2019 BNP Paribas (27,780) (0.03)%

(462,000) Immofinanz Ag Jpmorgan BNP Paribas (21,252) (0.02)%

1,000,000 Leg Immobilien Ag 0.50% 01/07/2021 BNP Paribas (5,312) (0.01)%

3,000,000 Magyar Nemzeti Vagyonkezelo Zrt 3.38% 02/04/2019 Societe Generale (4,278) 0.00%

(184,758) Maire Tecnimont Spa Morgan Stanley (8,129) (0.01)%

(268,400) Maire Tecnimont Spa BNP Paribas (11,810) (0.01)%

(142,309) Nh Hotel Group Sa Societe Generale (7,115) (0.01)%

3,000,000 Prysmian Space 1.25% 08/03/2018 BNP Paribas (58,052) (0.06)%

4,000,000 Rag-Stiftung 0.00% 31/12/2018 BNP Paribas (6,564) (0.01)%

(93,930) Richter Gedeon Nyrt Societe Generale (21,303) (0.02)%

2,700,000 Siem Industries Inc 2.25% 02/06/2021 Societe Generale (3,464) 0.00%

36,500 Ubisoft Entertainment 0.00% 27/09/2021 Societe Generale (43,399) (0.05)%

(343,183) (0.36)%

GBP

(341,498) Anglo American Plc Societe Generale (94,254) (0.10)%

(94,254) (0.10)%

JPY

(94,000) Sbi Holdings Inc/Japan Morgan Stanley (4,169) 0.00%

(54,000) Nipro Corp Morgan Stanley (7,784) (0.01)%

(43,700) Suzuki Motor Corp Morgan Stanley (16,476) (0.03)%

(29,000) Terumo Corp Morgan Stanley - 0.00%

(342,000) Yamada Denki Co Ltd Morgan Stanley (13,906) (0.01)% (22,000) Kandenko Co Ltd Morgan Stanley (1,301) 0.00%

(43,636) (0.05)%


157



Financial liabilities at fair value through profit or loss (continued)

Contracts for difference (continued)



USD

3,000,000 Aerojet Rocketdyne Holdings 2.25% 15/12/2023 Societe Generale (6,721) (0.01)%

2,000,000 Altaba Inc 0.00% 01/12/2018 BNP Paribas (8,520) (0.01)% (11,200) Ams Ag Societe Generale (1,654) 0.00% 2,000,000 Amssw 0.79% 28/09/2022 Societe Generale (9,750) (0.01)%

4,000,000 Citrix Systems Inc 0.50% 15/04/2019 Societe Generale (26,780) (0.03)%

3,000,000 Ctrip.Com International Ltd 1.25% 10/15/2018 BNP Paribas (35,583) (0.04)%

3,000,000 Molina Healthcare Inc 1.58% 15/08/2044 Societe Generale (86,953) (0.09)%

1,000,000 Mtor 3.25% 15/10/2037 BNP Paribas (1,843) (0.01)%

2,000,000 Restoration Hard 0.00% 15/06/2019 Societe Generale (18,588) (0.02)%

2,000,000 Salesforce.Com 0.25% 01/04/2018 Societe Generale (15,731) (0.02)%

(154,600) Severstal - Gdr Reg S Uni Societe Generale (12,846) (0.01)% 2,000,000 Stm 0.00% 07/03/2022 Societe Generale (3,367) 0.00% 3,500,000 Workday Inc 0.75% 15/07/2018 Societe Generale (28,706) (0.03)% 3,000,000 Wright Medical Group Inc BNP Paribas (17,677) (0.02)% 3,000,000 Xinaog 0.00% 26/02/2018 BNP Paribas (24,826) (0.03)%

(299,545) (0.33)%

Total unrealised loss on contracts for difference (780,618) (0.84)%


Maturity




20/03/2018 Morgan Stanley CHF2,053,000 EUR(1,767,816) (11,668) (0.02)%

20/03/2018 Morgan Stanley GBP3,005,000 EUR(3,400,376) (22,679) (0.02)%

20/03/2018 Morgan Stanley USD14,504,000 EUR(12,191,914) (172,795) (0.18)%

20/03/2018 Morgan Stanley USD100,000 EUR(83,786) (918) 0.00%

20/03/2018 Morgan Stanley GBP17,300 EUR(19,447) (2) 0.00%

20/03/2018 Morgan Stanley USD112,200 EUR(93,781) (804) 0.00%

(208,866) (0.22)%

Total unrealised loss on forward currency contracts (208,866) (0.22)%


158



Fair Value % of

EUR Net Assets

Total financial assets at fair value through profit or loss 71,997,926 76.46%

Total financial liabilities at fair value through profit or loss (989,484) (1.06)%

Other net assets 23,166,318 24.60%

Net Assets Attributable to Holders of Redeemable Shares 94,174,760 100.00%

% of

Analysis of Total Assets:

Total Assets

a) Transferable securities and money market instruments admitted to official stock exchange listings or a traded regulated market 68.70%

b) Transferable securities and money market instruments other than those admitted to official stock exchange listings or another traded regulated market 0.00%

c) Recently issued transferable securities which will be admitted official stock exchange listings or traded on a regulated market within a year of issue 0.00%

d) Financial derivative instruments dealt with on a regulated exchange

6.10%

e) OTC Derivatives

0.00%

f) Other assets

25.20%

Total Assets

100.00%


159




Fixed income securities

Nominal Description

Fair Value % of

EUR Net Assets


EUR

7,000,000 Air France Kim 6.25% 18/01/2018 7,017,745 2.83%

3,350,000 American International Group Inc 4.88% 15/03/2067 3,231,160 1.30%

1,000,000 Auchan Holding Sa 3.63% 19/10/2018 1,030,823 0.42%

3,000,000 Bg Energy Capital Plc 3.00% 16/11/2018 3,085,221 1.24%

55,000,000 Bundesrepub Deutschland 0.25% 15/02/2027 54,493,560 21.95%

1,234,000 Ciba Special Chemical Fin 4.87% 20/06/2018 1,263,290 0.51%

3,500,000 Deutsche Telekom International Finance 6.63% 29/03/2018 3,556,445 1.43%

5,900,000 Electricite De France Sa 5.00% 05/02/2018 5,928,476 2.39%

3,592,000 Schhyg 0.00% 27/11/2018 3,596,989 1.45%

2,000,000 Glencore Finance Europe 4.63% 03/04/2018 2,023,192 0.81%

5,141,000 Heidelbergcement Fin Lux 5.63% 01/01/2018 5,141,000 2.07%

2,000,000 Opel Finance International 0.85% 23/02/2018 2,003,212 0.81%

4,506,000 Royal Bank of Scotland Plc 6.94% 09/04/2018 4,588,071 1.85%

4,000,000 Tdc A/S 4.63% 23/02/2018 4,025,362 1.62%

2,400,000 Thyssenkrupp Ag 4.63% 23/02/2018 2,461,656 0.99%

7,500,000 Unilever Nv 0.00% 03/06/2018 7,510,778 3.02%

4,300,000 Whirlpool Emea Spa 4.25% 26/04/2018 4,360,875 1.76%

7,000,000 Wolters Kluwer Nv 6.63% 10/04/2018 7,125,993 2.87%

122,443,848 49.32%

GBP

21,000,000 United Kingdom Treasury Bill 5.00% 07/03/2018 23,856,785 9.61%



54,263,095 21.86%

USD

5,000,000 Anheuser-Busch Inbev Finance Inc 1.90% 01/02/2021 4,300,662 1.73%

5,000,000 American Express Credit Corp 1.54% 18/03/2019 4,183,426 1.69%

500,000 Bmw Us Capital Llc 1.37% 13/09/2013 418,618 0.17%

1,024,000 Nestle Holdings Inc 1.25% 16/01/2018 852,702 0.34%

2,500,000 Siemens Financieringsmaatschappij Nv 1.28% 13/09/2019 2,089,490 0.84%

5,000,000 At&T Inc 1.56% 30/06/2020 4,220,817 1.70%

3,500,000 Verizon Communications Inc 1.00% 20/06/2022 2,973,369 1.20%

4,000,000 Wells Fargo & Co 1.91% 26/07/2021 3,401,539 1.37%

22,440,623 9.04%

Total fixed income securities

199,147,566 80.22%


160


CHEYNE GLOBAL CREDIT FUND (Continued)


Credit default swaps

Notional Description Counterparty Fair Value % of

EUR Net Assets

EUR

(4,000,000) Ahold 1.00% 20/12/2022 Societe Generale 90,978 0.04%

(500,000) Airbus Group Se 1.00% 20/12/2020 BNP Paribas 12,583 0.01%

(3,000,000) Allianz Se 1.00% Sell CDS 20/06/20222 Societe Generale 87,292 0.04%

(3,500,000) Auchan Sa 6.00% 15/04/2019 Barclays 87,552 0.04%

(3,000,000) Bae Sys Plc 1.00% 20/03/2019 Citibank 69,461 0.03%

(5,000,000) Batsun 1.00% 20/12/2022 Societe Generale 113,299 0.05%

(2,000,000) Batsun 2.76% 20/12/2022 Societe Generale 45,320 0.02%

(4,500,000) British Sky Broadcast 6.00% 21/05/2027 Barclays 114,052 0.05%

(4,000,000) British Airways Plc 5.00% 20/06/2019 Bank of America 281,374 0.11%

(5,500,000) British Telecom Plc 1.00% 20/12/2022 Bank of America 121,369 0.05%

(2,000,000) British Telecom Plc 1.00% 20/12/2022 Credit Suisse 44,134 0.02%

(3,000,000) Carlsberg Breweries A/S 1.00% 20/12/2020 BNP Paribas 75,764 0.03%

(3,000,000) Carrefour 1.00% 20/06/2022 Barclays 69,850 0.03%

(2,000,000) Carrefour 1.00% 20/06/2022 Citibank 46,567 0.02%

(1,000,000) Carrefour 1.00% 20/06/2022 JP Morgan Chase 23,283 0.01%

(6,000,000) Centrica Mmr Euro 1.00% 20/12/2022 Morgan Stanley 79,284 0.03%

(3,000,000) Cgnu Plc 6.13% 14/11/2036 Barclays 31,925 0.01%

(3,000,000) Cgnu Plc 6.13% 14/11/2036 JP Morgan Chase 12,115 0.00%

(3,000,000) Clariant Ag 1.00% 20/06/2022 Citibank 49,797 0.02%

(1,000,000) Cnh Industrial Nv 5.00% 20/12/2018 Deutsche Bank Ag 48,843 0.02%

(4,500,000) Compagnie Financiere Du Groupe Michelin 1.00% 20/12/2020 Barclays 119,450 0.05%

(500,000) Continental Aktiengesellschaft 5.00% 20/03/2018 Credit Suisse 5,577 0.00%

(2,000,000) Continental Aktiengesellschaft 5.00% 20/06/2018 Bank of Nomura 47,652 0.02%

(5,000,000) Credit Suisse Group Ltd 3.00% 20/06/2019 BNP Paribas 207,673 0.08%

(1,750,000) Daimler Ag 1.00% 20/06/2020 Citibank 36,294 0.01%

(2,000,000) E.On Se 1.00% 20/12/2020 JP Morgan Chase 51,125 0.02%

(2,000,000) Electricite De France Sa 5.38% 21/02/2023 Credit Suisse 40,636 0.02%

(3,500,000) Electrolux Ab 1.00% 05/12/2019 Barclays 98,456 0.04%

(2,000,000) Enel Spa 1.00% 20/12/2022 Citibank 43,584 0.02%

(2,000,000) Enel Spa 1.00% 20/12/2022 Societe Generale 43,584 0.02%

(3,000,000) Enel Spa 4.75% 20/12/2022 Credit Suisse 65,376 0.03%


161




Credit default swaps (continued)


EUR Net Assets

EUR (continued)

(2,000,000) Engie 1.00% 20/06/2022 BNP Paribas 57,911 0.02%

(2,000,000) Engie 1.00% 20/06/2022 Citibank 57,911 0.02%

(3,000,000) E.On Se 1.00% 20/06/2022 Credit Suisse 90,077 0.04%

(1,250,000) F 5.00% 20/12/2018 Goldman Sachs 178,525 0.07%

(2,000,000) Fcaim 4.50% 20/12/2022 Credit Suisse 320,088 0.13%

(2,000,000) Fiat Industrial Spa 5.00% 20/06/2018 Bank of Nomura 47,616 0.02%

(2,000,000) Gas Natural Capital Markets Sa 4.38% 20/06/2022 Barclays 44,482 0.02%

(1,500,000) Gknln 1.00% 20/06/2022 Barclays 3,673 0.00%

(750,000) Glencore International Ag 1.00% 20/06/2020 Morgan Stanley 6,805 0.00%

(4,000,000) Glencore International Ag 5.00% 20/12/2022 BNP Paribas 714,767 0.29%

(2,000,000) Heathrow Funding Ltd 4.60% 15/02/2020 BNP Paribas 35,308 0.01%

(5,000,000) Heathrow Funding Ltd 4.60% 15/02/2020 Barclays 88,269 0.04%

(1,000,000) Heidelbergcement Ag 5.00% 20/06/2018 Goldman Sachs 23,771 0.01%

(3,500,000) Iberdrola 1.00% 20/12/2020 Barclays 86,207 0.03%

(2,000,000) Iberdrola 1.00% 20/12/2020 Credit Suisse 57,507 0.02%

(1,000,000) Iberdrola Sa 1.00% 20/12/2022 Barclays 28,345 0.01%

(1,000,000) Imperial Brands Plc 1.00% 20/12/2022 BNP Paribas 20,164 0.01%

(2,000,000) Imperial Brands Plc 6.25% 20/12/2022 BNP Paribas 40,328 0.02%

(3,000,000) Imperial Tobacco Group Plc 1.00% 20/12/2020 Barclays 62,581 0.03%

(47,750,000) Itraxx Europe 27 1.00% 20/12/2022 Citibank 1,295,129 0.52%

(1,000,000) Jaguar Land Rover Automo 5.00% 15/02/2022 BNP Paribas 140,512 0.06%

(3,000,000) Jaguar Land Rover Automo 5.00% 20/06/2022 Barclays 487,558 0.20%

(4,000,000) Kering 1.00% 20/12/2018 Barclays 37,157 0.01%

(1,000,000) Lafarge 1.00% 20/09/2018 Credit Suisse 6,907 0.00%

(4,500,000) LafargeHolcim Ltd 1.00% 20/12/2022 Societe Generale 72,640 0.03%

(2,000,000) LafargeHolcim Ltd 1.00% 20/12/2022 Goldman Sachs 32,284 0.01%

(2,000,000) Lloyds Bank Plc 1.00% 20/06/2022 JP Morgan Chase 34,876 0.01%

(1,000,000) Lloyds Bank Plc 1.00% 20/12/2020 Credit Suisse 17,990 0.01%

(4,000,000) Nokia Oyj 5.00% 20/12/2022 BNP Paribas 731,420 0.29%


162






EUR Net Assets

EUR (continued)

(4,300,000) Pernod Ricard 1.00% 20/06/2019 Barclays 60,647 0.02%

(1,000,000) Rbos 1.00% 20/06/2021 Bank of America 18,331 0.01%

(1,000,000) Rolls-Royce Plc 1.00% 20/06/2022 Barclays 16,212 0.01%

(3,000,000) Rolls-Royce Plc 1.00% 20/12/2020 Citibank 56,010 0.02%

(3,000,000) Rwe 1.00% 20/12/2021 Societe Generale 81,688 0.03%

(2,000,000) Schaeffler Fin Bv 2.50% 20/12/2022 BNP Paribas 418,029 0.17%

(2,500,000) Schaeffler Fin Bv 5.00% 20/06/2022 Barclays 482,687 0.19%

(4,000,000) Sminln 1.00% 20/12/2022 BNP Paribas 46,956 0.02%

(1,000,000) Stora Enso Corp 5.00% 20/06/2022 Bank of America 212,328 0.09%

(3,000,000) Stora Enso Oyj 5.00% 20/12/2020 Barclays 426,661 0.17%

(3,000,000) Sunrise Comms Hldgs Sa 5.00% 20/06/2022 Citibank 584,185 0.24%

(1,000,000) Sunrise Comms Hldgs Sa 5.00% 20/06/2022 BNP Paribas 194,728 0.08%

(2,500,000) Swiss Reins Co Ltd 1.00% 20/06/2022 Citibank 32,749 0.01%

(2,000,000) Swiss Reins Co Ltd 1.00% 20/06/2022 Societe Generale 26,199 0.01%

(2,000,000) Tdc A/S 1.00% 20/12/2019 Credit Suisse 28,242 0.01%

(2,000,000) Telefonaktiebolaget L M Ericsson 1.00% 20/12/2020 JP Morgan Chase 9,960 0.00%

(2,000,000) Thyssenkrupp Ag 1.00% 20/12/2020 Barclays 26,559 0.01%

(1,000,000) Thyssenkrupp Ag 1.00% 20/12/2022 Barclays 3,551 0.00%

(1,000,000) Upc Hldg Bv 5.00% 20/06/2022 Citibank 159,728 0.06%

(2,000,000) Upcb 5.00% 20/12/2021 Barclays 301,622 0.12%

(1,000,000) Veolia Environnement 1.00% 20/12/2020 Citibank 30,769 0.01%

(4,000,000) Veolia Environnement 1.00% 20/12/2020 Barclays 101,447 0.04%

(2,000,000) Vmed 5.00% 20/12/2021 Barclays 280,495 0.11%

(5,500,000) Vodafone Gp Plc 1.00% 20/12/2022 Bank of America 124,349 0.05%

(2,000,000) Vodafone Gp Plc 1.00% 20/12/2022 Societe Generale 45,218 0.02%

(750,000) Volkswagen Aktiengesellschaft 1.00% 20/06/2020 Citibank 14,822 0.01%

(4,000,000) WPP 2005 Ltd 1.00% 20/06/2022 Barclays 76,519 0.03%

(2,000,000) WPP 2005 Ltd 1.00% 20/06/2022 JP Morgan Chase 38,260 0.02%

(4,500,000) Zurich Ins Co Ltd 1.00% 20/12/2022 Societe Generale 57,418 0.02%

(2,000,000) Zurich Ins Co Ltd 1.00% 20/12/2022 Citibank 25,519 0.01%

11,066,945 4.46%


163






EUR Net Assets

USD

(2,500,000) Ally Financial Inc 5.00% 20/12/2018 BNP Paribas 97,926 0.04%

(1,000,000) American Axle & Manufacturing Inc 5.00% 20/06/2022 Goldman Sachs 97,008 0.04%

(3,000,000) American Axle & Manufacturing Inc 5.00% 20/06/2022 Barclays 248,554 0.10%

(2,000,000) American Axle & Manufacturing Inc 6.63% 15/10/2022 Goldman Sachs 187,432 0.08%

(3,000,000) At&T Inc 1.00% 20/12/2022 Citibank 41,483 0.02%

(2,000,000) At&T Inc 1.00% 20/12/2022 Morgan Stanley 27,655 0.01%

(4,000,000) Bank of America Corp 1.00% 20/06/2022 Barclays 92,716 0.04%

(2,000,000) Bank of America Corp 1.00% 20/06/2022 BNP Paribas 46,358 0.02%

(2,000,000) Barrick Gold Corp 1.00% 20/06/2022 Goldman Sachs 33,971 0.01%

(3,000,000) Barrick Gold Corp 1.00% 20/12/2022 Citibank 46,463 0.02%

(2,000,000) Barrick Gold Corp 1.00% 20/12/2022 BNP Paribas 30,975 0.01%

(4,000,000) Berkshire Hathaway Inc 1.00% 20/02/2022 Citibank 75,135 0.03%

(2,000,000) Berkshire Hathaway Inc 1.55% 20/12/2022 Morgan Stanley 37,567 0.02%

(5,000,000) Berkshire Hathaway Inc 2.75% 20/12/2022 Morgan Stanley 93,919 0.04%

(3,000,000) BHP Billiton Ltd 1.00% 20/06/2022 Morgan Stanley 63,310 0.03%

(1,000,000) Boston Scientific Corporation 1.00% 20/03/2018 Barclays 1,776 0.00%

(4,000,000) Carnival Corp 1.00% 20/06/2021 Barclays 96,216 0.04%

(87,100,000) Cdx Na Ig 29 1.00% 20/12/2022 Citibank 1,727,094 0.69%

(2,000,000) Comcast Corp 1.00% 20/06/2022 Credit Suisse 49,008 0.02%

(4,000,000) Comcast Corp 1.00% 20/12/2022 Morgan Stanley 101,143 0.04%

(5,000,000) Coxent 6.80% 01/08/28 Morgan Stanley 67,855 0.03%

(2,000,000) Domtar Corp 1.00% 20/06/2022 Barclays 39,248 0.02%

(2,000,000) Domtar Corp 1.00% 20/06/2022 Bank of America 39,248 0.02%

(5,000,000) Dow Chem Co 1.00% 20/12/2022 Morgan Stanley 131,469 0.05%

(3,000,000) Dow Chem Co 1.00% 20/12/2022 Barclays 78,882 0.03%

(4,000,000) Ecacn 6.50% 20/12/2022 Bank of America 43,458 0.02%

(5,000,000) Emn 7.60% 20/12/2022 Morgan Stanley 133,259 0.05%

(3,000,000) Enbridge Inc 1.00% 20/12/2022 Barclays 12,404 0.00%

(2,000,000) Enbridge Inc 1.00% 20/12/2022 Goldman Sachs 8,269 0.00%

(4,000,000) Enbridge Inc 3.50% 20/12/2022 Goldman Sachs 16,539 0.01%

(6,000,000) Expedia 1.00% 20/12/2022 Credit Suisse 77,395 0.03%

(2,000,000) FirstEnergy Corp 1.00% 20/06/2022 Morgan Stanley 24,000 0.01%


164






EUR Net Assets

USD (continued)

(2,000,000) FirstEnergy Corp 1.00% 20/06/2022 BNP Paribas 24,000 0.01%

(1,000,000) FirstEnergy Corp 1.00% 20/12/2022 Citibank 9,683 0.00%

(3,000,000) FirstEnergy Corp 1.00% 20/12/2022 Morgan Stanley 29,050 0.01%

(2,000,000) Ford Motor Co 5.00% 20/12/2022 Barclays 323,046 0.13%

(4,000,000) General Electronix 2.7% 20/12/2022 Bank of America 92,278 0.04%

(3,000,000) Gm 5.00% 20/12/2022 Barclays 478,503 0.19%

(2,000,000) Gm 5.00% 20/12/2022 Bank of America 319,002 0.13%

(3,000,000) Goodyear Tire & Rubber Co 5.00% 20/12/2022 Barclays 440,658 0.18%

(3,000,000) Hewlett Packard 4.65% 20/12/2022 Morgan Stanley 138,696 0.06%

(5,000,000) JPMorgan Chase & Co 1.00% 20/06/2022 Goldman Sachs 116,066 0.05%

(1,000,000) JPMorgan Chase & Co 1.00% 20/06/2022 BNP Paribas 23,213 0.01%

(2,000,000) L Brands Inc 1.00% 20/06/2021 BNP Paribas 4,978 0.00%

(3,000,000) Lincoln National Corporation 1.00% 20/06/2019 Bank of America 32,393 0.01%

(3,000,000) Mdlz 4.00% 20/12/2022 Morgan Stanley 66,912 0.03%

(5,000,000) Mdlz 4.00% 20/12/2022 Bank of America 111,522 0.04%

(3,000,000) Meritor Inc 5.00% 20/12/2019 Bank of America 203,304 0.08%

(3,000,000) Metlife Inc 1.00% 20/12/2020 Credit Suisse 56,421 0.02%

(2,000,000) Metlife Inc 1.00% 20/12/2020 Morgan Stanley 39,450 0.02%

(2,000,000) Navient Corporation 5.00% 20/06/2018 Barclays 37,297 0.02%

(2,000,000) Palte Group 7.87% 20/12/2022 Credit Suisse 322,838 0.13%

(4,000,000) Palte Group 7.87% 20/12/2022 BNP Paribas 645,675 0.26%

(3,000,000) Rio Tinto Ltd 1.00% 20/06/2022 Morgan Stanley 54,217 0.02%

(3,000,000) Royal Caribbean Cruises Ltd 5.00% 20/06/2020 Credit Suisse 293,375 0.12%

(2,000,000) Simon Property Group L p 1.00% 20/12/2022 Goldman Sachs 24,805 0.01%

(3,000,000) Simon Property Group L p 1.00% 20/12/2022 Morgan Stanley 37,208 0.01%

(1,000,000) Supervalu Inc 5.00% 20/09/2018 JP Morgan Chase 22,892 0.01%

(1,000,000) Supervalu Inc 5.00% 20/12/2018 Goldman Sachs 29,774 0.01%

(1,500,000) The Hartford Financial Services Group Inc 1.00% 20/06/2020 Credit Suisse 27,108 0.01%

(1,000,000) The Hartford Financial Services Group Inc 1.00% 20/06/2022 Credit Suisse 27,034 0.01%

(3,000,000) The Hartford Financial Services Group Inc 1.00% 20/12/2022 Morgan Stanley 85,500 0.03%

(3,000,000) The Interpublic Group of Co Inc 1.00% 20/06/2018 JP Morgan Chase 11,142 0.00%


165






EUR Net Assets

USD (continued)

(1,000,000)

The Interpublic Group of Co Inc 1.00% 20/09/2018 Credit Suisse 5,448 0.00%

(4,000,000) The Kroger Co. 1.00% 20/12/2022 Barclays 28,155 0.01%

(3,000,000) Toll Bros Inc 1.00% 20/06/2022 BNP Paribas 36,162 0.01%

(3,000,000) Toll Bros Inc 4.75% 20/06/2022 JP Morgan Chase 26,544 0.01%

(3,000,000) Tyson Foods Inc 1.00% 20/06/2022 Credit Suisse 78,054 0.03%

(2,000,000) Tyson Foods Inc 1.00% 20/06/2022 Bank of America 52,036 0.02%

(2,000,000) Utd Rents North America Inc 5.00% 20/12/2022 Barclays 312,298 0.13%

(2,000,000) Utd Rents North America Inc 5.75% 20/12/2022 Credit Suisse 312,298 0.13%

(2,000,000) Valero Energy Corp 1.00% 20/06/2022 Bank of America 48,105 0.02%

(2,000,000) Valero Energy Corp 1.00% 20/12/2022 Barclays 48,960 0.02%

(1,000,000) Verizon Communications Inc 1.00% 20/06/2022 BNP Paribas 15,832 0.01%

(3,000,000) Whirlpool Corp 1.00% 20/06/2022 Bank of America 54,933 0.02%

9,014,600 3.63%

Total credit default swaps

20,081,545 8.09%

Futures


EUR Net Assets

EUR

(337) Euro-Bund Future Mar18 Morgan Stanley 435,900 0.17%

435,900 0.17%

GBP

445 Long Gilt Future Mar 18 Morgan Stanley 313,792 0.13%

313,792 0.13%

Total unrealised gain on futures 749,692 0.30%


166




Swaptions

Strike Maturity

Fair value % of

Notional Description Covered Price Date Counterparty EUR Net Assets

EUR

50,000,000

Itraxx Main 28 Apr 18 No 1 18/4/2018 BNP Paribas 65,460 0.03%

60,000,000 Itraxx Main 28 Feb 18 No 1 21/2/2018 Citibank 31,752 0.01%

97,212 0.04%

USD

60,000,000 Cdx Ig Feb 18 No 1 21/2/2018 Barclays 43,115 0.02%

60,000,000 Cdx Ig Apr 18 No 1 18/4/2018 BNP Paribas 66,705 0.03%

109,820 0.05%

Total swaptions

207,032 0.09%


Maturity




20/03/2018 Citibank EUR354,115 USD(419,964) 6,101 0.00%

20/03/2018 Citibank EUR33,065,222 USD(39,300,000) 498,249 0.20%

20/03/2018 Citibank EUR68,115 CHF(79,411) 186 0.00%

20/03/2018 Citibank EUR56,347,234 GBP(50,000,000) 145,949 0.06%

20/03/2018 Citibank GBP400,000 EUR(449,514) 96 0.00%

20/03/2018 Citibank EUR91,692 USD(109,750) 745 0.00%

20/03/2018 Citibank CHF31,000 EUR(26,451) 67 0.00%

20/03/2018 Citibank GBP179,771 EUR(201,954) 113 0.00%

20/03/2018 Citibank EUR337,382 GBP(300,000) 174 0.00%



167






EUR Net Assets

EUR

2,000,000

Glencore International Ag 5.00% 20/06/2022 Credit Suisse (46,405) (0.02)%

(2,000,000) Ericb 4.25% 20/12/2022 Barclays (39,973) (0.02)%

(2,000,000) Thyssenkrupp Ag 4.00% 20/12/2022 Goldman Sachs (2,157) 0.00%

(88,535) (0.04)%

USD

5,000,000

American International Group Inc 1.00% 20/12/2027 Barclays (16,867) (0.01)%

(2,500,000) Dell 1.00% 20/12/2022 JP Morgan Chase (105,771) (0.04)%

(5,000,000) Hess 1.00% 20/12/2022 Citibank (63,949) (0.03)%

(186,587) (0.08)%


(275,122) (0.12)%

Swaptions

Strike Maturity

Fair value % of


EUR

(60,000,000)

Itraxx Main 28 Feb 18 No 1 21/02/2018 Citibank (13,699) (0.01)%

(13,699) (0.01)%

USD

(60,000,000) Cdx Ig Apr 18 No 1 21/02/2018 Barclays (16,759) (0.01)%

(16,759) (0.01)%

Total Swaptions (30,458) (0.02)%


168




Maturity

Unrealised loss % of

Date Counterparty Amount Bought Amount Sold EUR Net Assets

20/03/2018 Citibank GBP10,380,214 EUR(11,791,236) (123,608) (0.05)%

20/03/2018 Citibank GBP10,872,768 EUR(12,376,889) (155,619) (0.06)%

20/03/2018 Citibank USD29,804,364 EUR(25,076,028) (377,861) (0.14)%

20/03/2018 Citibank GBP438,710 EUR(496,784) (3,662) 0.00%

20/03/2018 Citibank CHF10,626,110 EUR(9,153,338) (63,701) (0.03)%

20/03/2018 Citibank GBP50,000 EUR(56,347) (146) 0.00%

20/03/2018 Citibank GBP87,648,646 EUR(98,775,176) (255,844) (0.10)%

20/03/2018 Citibank GBP483,059 EUR(545,048) (2,078) 0.00%

20/03/2018 Citibank GBP476,381 EUR(538,169) (2,705) 0.00%

20/03/2018 Citibank GBP1,032,169 EUR(1,160,652) (468) 0.00%

20/03/2018 Citibank GBP110,624 EUR(124,597) (253) 0.00%

20/03/2018 Citibank GBP472,447 EUR(532,047) (1,004) 0.00%

20/03/2018 Citibank USD337,000 EUR(281,796) (2,532) 0.00%

20/03/2018 Citibank GBP127,300 EUR(143,101) (13) 0.00%

20/03/2018 Citibank GBP151,704 EUR(170,684) (165) 0.00%



169



Fair Value % of

EUR Net Assets


Total financial liabilities at fair value through profit or loss (1,295,239) (0.52)%



% of

Analysis of Total Assets:

Total Assets a) Transferable securities and money market instruments admitted to official stock

exchange listings or a traded regulated market 76.35% b) Transferable securities and money market instruments other than those admitted to

official stock exchange listings or another traded regulated market 0.00% c) Recently issued transferable securities which will be admitted official stock exchange

listings or traded on a regulated market within a year of issue 0.00%

d) Financial derivative instruments dealt with on a regulated exchange 0.00%

e) OTC Derivatives

8.32%

f) Other assets

15.33%

Total Assets

100.00%


170





Maturity




01/03/2018 Citibank EUR26,867 DKK(200,000) 5 0.00% 01/03/2018 Citibank GBP67,000 EUR(75,424) 48 0.00% 01/03/2018 Citibank NOK268,000 EUR(26,832) 452 0.00% 01/03/2018 Citibank EUR115,762 GBP(102,000) 865 0.00% 01/03/2018 Citibank EUR27,430 NOK(268,000) 146 0.00% 01/03/2018 Citibank EUR1,467,607 USD(1,747,000) 13,021 0.00% 01/03/2018 Citibank EUR7,230,965 USD(8,598,340) 71,820 0.00%




Maturity




01/03/2018 Citibank EUR42,966 DKK(320,000) (13) 0.00%

01/03/2018 Citibank DKK520,000 EUR(69,917) (75) 0.00%

01/03/2018 Citibank GBP35,000 EUR(39,692) (266) 0.00%

01/03/2018 Citibank GBP1,389 EUR(1,572) (7) 0.00%

01/03/2018 Citibank USD1,747,000 EUR(1,460,806) (6,220) 0.00%

01/03/2018 Citibank USD8,598,340 EUR(7,260,670) (101,526) 0.00%

01/03/2018 Citibank EUR1,563 GBP(1,389) (2) 0.00%

Total unrealised gain on forward currency contracts (108,109) 0.00%


171


CHEYNE EUROPEAN MID CAP EQUITY FUND (Continued)

Fair Value % of

EUR Net Assets

Total financial assets at fair value through profit or loss 86,357 0.00%

Total financial liabilities at fair value through profit or loss (108,109) 0.00%

Other net assets 21752 0.00%

Net Assets Attributable to Holders of Redeemable Shares - 0.00%

% of

Analysis of Total Assets: Net Assets a) Transferable securities and money market instruments admitted to official stock





e) OTC financial derivative instruments 0.00%

f) Other assets 0.00%

Total Assets 0.00%


172





Nominal Description

Fair Value % of

EUR Net Assets


USD

7,000,000 United States Treasury Bill 0.00% 01/04/2018 6,999,575 10.95%






46,887,422 73.33%

Total fixed income securities 46,887,422 73.33%



EUR Net Assets

EUR

(2,000,000)

Anheuser Busch Inbev Finance Inc 2.25% 24/09/2020 Citibank 73,068 0.11%

(2,000,000) Aviva Plc 1.00% 20/12/2022 Citibank 9,699 0.02%

(2,000,000) Bae Sys Plc 1.00% 20/12/2022 Citibank 54,465 0.09%

(2,000,000) Bat Sys Plc 1.00% 20/12/2022 Citibank 54,420 0.09%

(2,000,000) Bp Capital Markets Plc 4.20% 15/06/2018 Citibank 66,281 0.10%

(2,000,000) Bt Group Plc 1.00% 20/12/2022 Citibank 52,996 0.08%

(1,000,000) Carlb As 2.63% 15/11/2022 Citibank 38,006 0.06%

(1,000,000) Carrefour 1.00% 20/06/2022 Citibank 55,357 0.10%

(2,000,000) Centrica 1.00% 20/12/2022 Citibank 31,735 0.05%

(1,000,000) Clariant Ag 1.00% 20/12/2022 Citibank 17,176 0.03%

(2,000,000) Dgfp 3.38% 30/03/2022 Citibank 76,313 0.12%

(2,000,000) Electricite De France Sa 3.63% 21/02/2033 Citibank 48,796 0.08%

(2,000,000) Enel Spa 4.75% 06/12/2018 Citibank 52,336 0.08%

(1,000,000) Fiat Chrysler Automobiles Nv 5.00% 20/12/2022 Citibank 192,180 0.30%

(1,000,000) Fncim 5.75% 12/12/2018 Citibank 229,978 0.36%

(2,000,000) Gasnatural 1.00% 20/12/2022 Citibank 51,660 0.08%

(1,000,000) Glencoreint 5.00% 20/12/2022 Citibank 214,573 0.34%

(1,000,000) Heathrow Funding Ltd 1.00% 15/02/2020 Citibank 21,199 0.03%

(1,000,000) Heathrow Funding Ltd 4.60% 15/02/2020 Citibank 21,199 0.03%


173


CHEYNE ENHANCED GLOBAL CREDIT FUND (Continued)




EUR Net Assets

EUR (continued)

(2,000,000) Iberdrola 1.00% 20/12/2022 Citibank 69,055 0.11%

(2,000,000) Imperial Brands 1.00% 20/12/2022 Citibank 48,426 0.08%

(47,500,000) Itraxx Europe 28 1.00% 20/12/2022 Citibank 1,547,048 2.42%

(1,000,000) Jaguar Land Rover Automo 5.00% 15/02/2022 Citibank 205,593 0.32%

(1,000,000) Koninklijke Ahold Delhaize 1.00% 20/12/2022 Citibank 54,623 0.10%

(1,000,000) LafargeHolcim Ltd 1.00% 20/12/2022 Citibank 19,384 0.03%

(1,000,000) LafargeHolcim Ltd 3.00% 22/11/2022 Citibank 19,384 0.03%

(1,000,000) Lloyds Bank Plc 3.10% 07/06/2021 Citibank 26,079 0.04%

(2,000,000) National Grid Transco Plc 5.00% 02/07/2018 Citibank 66,520 0.10%

(1,000,000) Nokia Oyj 5.00% 20/12/2022 Citibank 219,572 0.34%

(1,000,000) Nokia Oyj 6.75% 02/04/2019 Citibank 219,572 0.34%

(1,000,000) Person Plc 1.00% 20/12/2022 Citibank 18,319 0.03%

(2,000,000) Rolls-Royce Plc 1.00% 20/12/2022 Citibank 34,293 0.05%

(2,000,000) Royal Bank of Scotland Plc 1.63% 25/06/2019 Citibank 29,596 0.05%

(1,000,000) Schaeffler Finance Bv 5.00% 20/12/2022 Citibank 250,985 0.39%

(2,000,000) Swissre Finance Bermuda Citibank 27,427 0.04%

(1,000,000) Tdc A/S 1.00% 20/12/2012 Citibank 9,218 0.01%

(1,000,000) Tesco Plc 6.00% 14/12/2029 Citibank 2,520 0.00%

(1,000,000) Unity 6.13% 15/01/2025 Citibank 218,460 0.34%

(1,000,000) Upcb 5.50% 15/01/2028 Citibank 202,247 0.32%

(2,000,000) Veolia Environnement 5.38% 28/05/2018 Citibank 76,394 0.12%

(1,000,000) Vmed 5.00% 20/12/2022 Citibank 180,461 0.28%

(1,000,000) Vmed 7.00% 15/04/2023 Citibank 180,461 0.28%

(1,000,000) Vodafone Gp Plc 1.00% 20/12/2022 Citibank 27,149 0.04%

(1,000,000) Vodafone Gp Plc 1.00% 20/12/2022 Citibank 27,149 0.04%

(1,000,000) Volkswagen Aktiengesellschaft 1.00% 20/12/2022 Citibank 28,664 0.04%

(2,000,000) Volvo 1.00% 20/12/2022 Citibank 63,845 0.10%

(1,000,000) WPP 2005 Ltd 1.00% 20/12/2022 Citibank 21,796 0.03%

(2,000,000) Zurich Ins Co Ltd 1.00% 20/12/2022 Citibank 30,643 0.05%

5,286,320 8.27%

USD

(1,000,000) American Axle & Manufacturing Inc 5.00% 20/06/2022 Citibank 112,534 0.18%

(500,000) American Axle & Manufacturing Inc 6.63% 15/10/2022 Citibank 56,267 0.09%


174






EUR Net Assets

USD (continued)

(1,000,000)

American International Group Inc 6.00% 01/05/2036 Citibank 20,947 0.03%

(2,000,000) At&T Inc 1.00% 20/12/2022 Citibank 33,208 0.05%

(1,000,000) At&T Inc 2.45% 30/06/2020 Citibank 16,604 0.03%



(1,000,000) Berkshire Hathaway Inc Citibank 22,555 0.03%

(1,000,000) Berkshire Hathaway Inc 1.00% 20/02/2022 Citibank 45,111 0.07%

(2,000,000) C 6.13% 15/05/2018 Citibank 56,048 0.09%

(1,000,000) Cbs Corp 4.30% 15/02/2021 Citibank 11,477 0.02%

(56,400,000) Cdx Na Ig 29 1.00% 20/12/2022 Citibank 1,342,911 2.10%

(2,000,000) Comcast Corp 1.00% 20/12/2022 Citibank 60,726 0.09%

(1,000,000) Coxcommunications 1.00% 20/12/2022 Citibank 16,296 0.03%

(1,000,000) Coxent 6.80% 01/08/28 Citibank 16,296 0.03%

(1,000,000) Devon Energy Corp Citibank 11,145 0.02%

(1,000,000) Dow Chem Co 1.00% 20/12/2022 Citibank 31,574 0.05%

(1,000,000) Dow Chem Co 7.38% 01/11/2029 Citibank 31,574 0.05%

(1,000,000) Eastmanchemical 1.00% 20/12/2022 Citibank 32,004 0.05%

(1,000,000) Ecacn 6.50% 15/05/2019 Citibank 13,046 0.02%

(2,000,000) Enbridge Inc Citibank 9,930 0.02%

(1,000,000) Encana Corp 1.00% 20/12/2022 Citibank 13,046 0.02%

(1,000,000) Expedia 1.00% 20/12/2022 Citibank 15,489 0.02%

(1,000,000) Expedia 4.50% 15/08/2024 Citibank 15,489 0.02%



(1,000,000) Ford Motor Co 5.00% 20/12/2022 Citibank 387,913 0.61%

(2,000,000) General Electronix 1.00% 20/12/2022 Citibank 55,403 0.09%

(1,000,000) General Motors Corp 5.00% 20/12/2022 Citibank 383,057 0.60%

(1,000,000) Hewlett Packard INC 1.00% 20/12/2022 Citibank 47,585 0.07%

(2,000,000) JPMorgan Chase & Co 1.00% 20/12/2022 Citibank 58,864 0.09%

(1,000,000) Kinder Morgan Inc 1.00% 12/01/2019 Citibank 8,974 0.01%

(1,000,000) Kinder Morgan Inc 3.05% 20/12/2022 Citibank 8,974 0.01%

(2,000,000) Metlife Inc 4.75% 02/08/2021 Citibank 47,372 0.07%

(2,000,000) Mondelez International, Inc 1.00% 20/12/2022 Citibank 53,566 0.08%

(1,000,000) Mondelez International, Inc 4.10% 02/01/2024 Citibank 26,783 0.04%


175






EUR Net Assets

USD (continued)

(1,000,000) Newell Brands 1.00% 20/12/2022 Citibank 17,298 0.03%

(1,000,000) Newell Brands 3.85% 04/01/2023 Citibank 17,298 0.03%

(1,000,000) Palte Group 5.00% 20/12/2022 Citibank 193,832 0.30%

(1,000,000) Palte Group 7.88% 15/06/2032 Citibank 193,832 0.30%

(2,000,000) Prudential financial 1.00% 20/12/2022 Citibank 46,559 0.07%

(1,000,000) Royal Caribbean Cruises Ltd 5.00% 20/06/2022 Citibank 211,983 0.33%

(1,000,000) Ryder System Inc 2.55% 06/01/2019 Citibank 26,974 0.04%

(1,000,000) Simon Property Group Lp 1.00% 20/12/2022 Citibank 14,893 0.02%

(1,000,000) Simon Property Group Lp 4.38% 03/01/2021 Citibank 14,893 0.02%

(2,000,000) Target 1.00% 20/12/2022 Citibank 47,035 0.07%

(1,000,000) The Kroger Co. 1.00% 20/12/2022 Citibank 16,905 0.03%

(1,000,000) Toll Bros Inc 1.00% 20/12/2022 Citibank 10,625 0.02%

(1,000,000) Toll Bros Inc 4.38% 15/04/2023 Citibank 10,625 0.02%

(2,000,000) Utd Rents North America Inc 5.75% 28/05/2018 Citibank 375,007 0.59%

(2,000,000) Wells Fargo & Co 1.00% 20/12/2022 Citibank 55,607 0.09%

(1,000,000) Whirlpool Corp 1.00% 20/12/2022 Citibank 20,833 0.03%

4,409,047 6.89%


9,695,367 15.16%

Swaptions

Strike Maturity

Fair value % of


EUR

100,000,000

Itraxx Main 28 Apr 18 No 1 18/4/2018 Citibank 152,324 0.24%

152,324 0.24%

USD

120,000,000 Cdx Ig Apr 18 No 1 21/02/2018 Citibank 160,253 0.25%

160,253 0.25%

Total swaptions

312,577 0.49%


176





Maturity




20/03/2018 Citibank EUR3,250,000 USD(3,869,580) 52,335 0.08%





EUR Net Assets

EUR

(1,000,000) Ericb 1.00% 15/05/2022 Citibank (24,000) (0.04)%

(1,000,000) Gknln 1.00% 20/12/2022 Citibank (2,090) 0.00%

(1,000,000) Next Plc 5.38% 26/10/2021 Citibank (8,859) (0.01)%

(1,000,000) Sbryln 1.25% 21/11/2019 Citibank (23,963) (0.04)%

(1,000,000) Thyssenkrupp Ag 1.00% 20/12/2022 Citibank (1,295) 0.00%

(1,000,000) Thyssenkrupp Ag 4.00% 27/08/2018 Citibank (1,295) 0.00%

(61,502) (0.09)%

USD

(1,000,000)

Anadarko Petroleum Corp 6.95% 15/06/2019 Citibank (19) 0.00%

(1,000,000) Dell 1.00% 20/12/2022 Citibank (76,205) (0.12)%

(1,000,000) Hess Corp 1.00% 20/12/2022 Citibank (30,716) (0.05)%

(106,940) (0.17)%


(168,442) (0.26)%


Maturity


Date Counterparty Amount Bought Amount Sold EUR Net Assets

20/03/2018 Citibank USD9,494,880 EUR(8,000,000) (159,064) (0.25)%



177



Fair Value % of

EUR Net Assets


Total financial liabilities at fair value through profit or loss (327,506) (0.51)%



% of

Analysis of Total Assets: Net Assets a) Transferable securities and money market instruments admitted to official stock





e) OTC financial derivative instruments 14.81%

f) Other assets 16.15%

Total Assets 100.00%


178

SIGNIFICANT PORTFOLIO CHANGES FOR THE YEAR ENDED 31 DECEMBER 2017 (UNAUDITED)


Material Purchases

Nominal Investments Cost EUR

30,000,000 Treasury Certificates 0.00% 08/02/2018 30,046,377

33,580 Armisg 0.00% 31/03/2023 11,893,650

10,500,000 Bayer Ag 0.05% 15/06/2020 11,168,750

7,600,000 Leg Immobilien Ag 0.88% 01/09/2025 7,695,650

8,000,000 Stmicroelectronics Nv 0.25% 03/07/2024 7,212,711

6,500,000 Deutsche Wohnen Ag 0.33% 26/07/2024 6,552,000

6,500,000 Teggr 0.63% 01/09/2022 6,511,750

185,725 Elisgp 0.00% 10/06/2023 6,024,806

7,000,000 Qgen 0.50% 13/09/2023 5,899,142

5,000,000 Nice Systems Inc 1.25% 15/01/2024 4,831,745

5,000,000 Neurocrine Biosciences 2.25% 15/05/2024 4,776,147

5,000,000 Ctrip.Com International Ltd 4,757,567

5,000,000 Veeco Instruments Inc 2.70% 15/01/2023 4,748,439

1,030,048 Cie Generale Des Establi 0.00% 10/01/2022 4,745,953

4,500,000 Gn Store Nord 0.00% 31/05/2022 4,567,000

5,000,000 Stm 0.00% 07/03/2022 4,547,347

5,000,000 Weibo Corp 1.25% 15/11/2022 4,462,231

39,000,000 Harvest International Co 0.00% 21/11/2022 4,365,321

4,000,000 Abigrove Ltd 0.00% 16/02/2022 3,802,804

4,000,000 Microchip Technology Inc 1.63% 15/02/2027 3,765,237

531,939 Vkfp 4.13% 04/10/2022 3,723,768

450,000,000 Sbi Holdings 0.00% 14/09/2022 3,585,841

3,500,000 Viavi Solutions Inc 1.00% 01/03/2024 3,299,689

3,000,000 Workday Inc 0.75% 15/07/2018 3,234,996

3,000,000 Dycom Industries, Inc 0.75% 15/09/2021 3,144,109


179


(Continued)

CHEYNE CONVERTIBLES ABSOLUTE RETURN FUND (continued)

Material Sales

Nominal Investment Proceeds

EUR

33,580 Armisg 0.00% 31/03/2023 11,900,750

9,500,000 Bayer Ag 0.05% 15/06/2020 10,156,500

7,600,000 Leg Immobilien Ag 0.25% 01/09/2025 7,703,925


6,500,000 Deutsche Wohnen Ag 0.33% 26/07/2024 6,550,250

6,500,000 Teggr 0.63% 01/09/2022 6,512,500

185,725 Elisgp 0.00% 06/10/2023 6,044,878

7,000,000 Qgen 0.50% 13/09/2023 5,907,819

5,000,000 Nice Systems Inc 1.25% 15/01/2024 4,883,235

5,000,000 Neurocrine Biosciences 2.25% 15/05/2024 4,804,644


1,030,048 Cie Generale Des Establi 0.00% 10/01/2022 4,745,843

5,000,000 Ctrip.Com International Ltd 4,723,987

5,000,000 Veeco Instruments Inc 2.70% 15/01/2023 4,717,514

34,000,000 Harvest International Co 0.00% 21/11/2022 3,851,667

4,000,000 Abigrove Ltd 0.00% 16/02/2022 3,803,146

4,000,000 Microchip Technology Inc 1.63% 15/02/2027 3,760,591

531,939 Vkfp 4.13% 04/10/2022 3,735,116

450,000,000 Sbi Holdings 0.00% 14/09/2022 3,604,733

3,500,000 Gn Store Nord 0.00% 31/05/2022 3,568,500

3,500,000 Viavi Solutions Inc 1.00% 01/03/2024 3,307,689

3,000,000 Workday Inc 0.75% 15/07/2018 3,239,719

3,000,000 Dycom Industries, Inc 0.75% 15/09/2021 3,160,939

3,000,000 Dp World Ltd., Group 0.05% 30/06/2025 3,076,250

3,000,000 Caixab 1.00% 25/11/2017 3,063,550


180


(Continued)


Material Purchases


95,000,000 Bundesrepublik Deutschland 0.00% 15/08/2026 93,310,900


21,000,000 United Kingdom Treasury Bill 5.00% 07/03/2018 24,062,515




7,500,000 Unilever Nv 0.00% 03/06/2018 7,518,000

7,000,000 Wolters Kluwer Nv 6.38% 10/04/2018 7,161,350

7,000,000 Air France Kim 6.25% 18/01/2018 7,059,879

5,900,000 Electricite De France Sa 5.00% 05/02/2018 5,942,952

5,200,000 Ldoim 4.38% 05/12/2017 5,236,400

5,141,000 Heidelbergcement Fin Lux 5.63% 04/01/2018 5,187,339

5,000,000 Belgian 0300 5.50% 28/09/2017 5,107,500

5,000,000 Belgian 0323 3.50% 28/06/2017 5,064,200

4,506,000 Royal Bank of Scotland Plc 6.93% 09/04/2018 4,697,235

5,000,000 United States Treasury Bill 0.00% 11/05/2017 4,672,146


4,300,000 Whirlpool Emea Spa 4.50% 26/04/2018 4,414,700

4,000,000 Tdc A/S 4.38% 23/02/2018 4,093,000

4,275,000 Reynolds American Inc 2.30% 21/08/2017 4,027,335

4,116,000 Lvmh Moet Hennessy Vuitt 1.63% 29/06/2017 3,868,692

3,692,000 Tscoln 1.25% 13/11/2017 3,693,698

3,642,000 Morgan Stanley 5.50% 02/10/2017 3,664,945

3,592,000 Essity Ab 0.00% 27/11/2018 3,600,621

3,500,000 Deutsche Telekom International Finance 6.63% 29/03/2018 3,568,250


181


(Continued)

CHEYNE GLOBAL CREDIT FUND (continued)

Material Sales/Maturity


EUR



- Jpmorgan Chase & Co 0.00% 30/05/2017 6,558,506

6,000,000 American International Group Inc 4.88% 15/03/2067 5,655,000

- Ldoim 4.38% 05/12/2017 5,200,000

- Hewlett Packard Enterprise Co 0.00% 05/10/2017 5,121,858

5,000,000 Belgian 0300 5.50% 28/09/2017 5,089,950

5,000,000 Belgian 0323 3.50% 28/06/2017 5,008,350

- Lloyds Banking Group Plc 0.00% 21/03/2017 5,000,000

- United States Treasury Bill 0.00% 11/05/2017 4,600,662


- Tscoln 1.25% 13/11/2017 3,692,000

- Shell International Finance Bv 0.00% 10/05/2017 3,680,191

- Morgan Stanley 5.50% 02/10/2017 3,642,000

- Reynolds American Inc 2.30% 21/08/2017 3,617,516

- Lvmh Moet Hennessy Vuitt 1.63% 29/06/2017 3,602,153

- Bundesschatzanweisungen 0.00% 10/03/2017 3,000,000

- Bhp Billiton Finance Usa Ltd 1.63% 24/02/17 2,838,490

- Goldman Sachs Group Inc/The 4.38% 16/03/2017 2,000,000

- Goldman Sachs Group Inc/The 5.63% 15/01/2017 1,882,353

- Glencore Funding Llc 5.50% 15/06/2017 1,793,722

- Smiths Group Plc 4.13% 05/05/2017 1,597,000

- Ebay Inc 0.00% 28/07/2017 1,455,691

- The Kroger Co. 6.40% 15/08/2017 1,369,629

- Ford Motor Credit Co Llc 0.00% 17/01/2017 1,154,907


182


(Continued)


Material Purchases


11,388,660 France Government Bond Oat 1.00% 25/07/2017 11,523,087

8,450,000 Bundesschatzanw 0.00% 15/12/2017 8,463,423


233,923 Amg Advanced Metallurgical 5,879,384

75,058 Covestro Ag 5,093,058

5,000,000 French Republic Government Bond Oat 3.75% 25/04/2017 5,040,950




18,150 Adidas Ag 3,001,853

105,400 Qiagen Nv 2,903,607

66,370 Be Semiconductor Industries 2,890,566

63,200 Nokian Renkaat Oyj 2,396,790

67,256 Huhtamaki Oyj 2,372,070

66,145 Micron Technology Inc Socgen 2,238,333

65,000 Konecranes Oyj 2,212,675

101,350 Altice Nv 2,029,789

49,500 Gea Group Ag 1,939,879

24,700 Akzo Nobel 1,906,687

70,450 Prysmian Spa 1,892,703

98,550 S&T Ag 1,721,550

33,800 Gemalto 1,608,949

107,001 Gima Tt Spa 1,607,758

270,050 Ovs Spa 1,579,615

63,000 Koninklijke Volkerwessels 1,457,638

8,620 Lam Research Corp 1,376,235

27,900 Brenntag Ag 1,369,441

20,486 Aumann Ag 1,335,394

31,000 Kone Oyj 1,307,800

2,527,188 Saipem Spa 1,302,276


183


(Continued)

CHEYNE EUROPEAN MID CAP EQUITY FUND (continued)



EUR



6,833,196 France Government Bond Oat 1.00% 25/07/2017 11,422,772



233,923 Amg Advanced Metallurgical 6,400,839

149,110 Gea Group Ag 5,656,260

75,058 Covestro Ag 5,389,691

9,452,334 Saipem Spa 4,579,170

- Bundesschatzanw 0.00% 15/09/2017 4,000,000

- French Republic Government Bond Oat 4.25% 25/10/2017 4,000,000


18,150 Adidas Ag 3,041,027

66,370 Be Semiconductor Industries 3,040,359

105,400 Qiagen Nv 2,918,357

17,301 Linde Ag 2,677,732

46,564 Aurelius Equity Opportunities Se & Co Kgaa 2,505,060

66,145 Micron Technology Inc Socgen 2,446,066

63,200 Nokian Renkaat Oyj 2,370,219

65,000 Konecranes Oyj 2,369,782

67,256 Huhtamaki Oyj 2,338,294

101,350 Altice Nv 2,056,997

70,450 Prysmian Spa 1,927,402

24,700 Akzo Nobel 1,868,138

107,001 Gima Tt Spa 1,835,827


184


(Continued)


Material Purchases










100,000,000 Itraxx Main 28 Apr 18 249,337

120,000,000 Cdx Ig Apr 18 240,000


185


(Continued)

CHEYNE ENHANCED GLOBAL CREDIT FUND (continued)



EUR




186

ADDITIONAL INFORMATION (UNAUDITED)


1. REMUNERATION DISCLOSURE PROVIDED BY CHEYNE CAPITAL MANAGEMENT (UK) LLP

The Company is required to adopt a UCITS remuneration policy, which is consistent with the remuneration

principles outlined in the UCITS V Directive. The remuneration policy is designed to ensure that any relevant

conflicts of interest can be managed appropriately at all times and that the remuneration of its senior staff is in

line with the risk policies and objectives of the Funds it manages. In addition, the remuneration principles

outlined in UCITS V, require the Company to make certain quantitative remuneration disclosures.

The Investment Manager, Cheyne Capital Management (UK) LLP (“CCM(UK)LLP”), is authorised in the United

Kingdom by the Financial Conduct Authority as an Alternative Investment Fund Manager (“AIFM”).

CCM(UK)LLP has implemented a Remuneration Policy that is applicable to all remuneration matters within the

firm, with a particular focus on those persons who have been identified as having a material impact on the risk

profile of the AIFM (“Code Staff”). This includes senior management, risk takers and control functions.

The quantitative disclosures required under UCITS V are outlined below:


Quantitative information on remuneration of Code Staff

Business Area

Number of Code

Staff

AIFM Total Remuneration (all

variable)

Code Staff relevant to

the Company

Remuneration derived from the Company (all variable)

Deferred Remuneration

derived from the Company

Portfolio Management

19 16,898,513 1 GBP137,656 GBPNil

Senior

Management 7 GBP2,386,568 7 GBP25,661 GBP147

Total 26 GBP19,285,081 8 GBP163,317 GBP147



Business Area

Number of Code

Staff


variable)


the Company





7 GBP505,794 GBP56,273

Senior

Management 7 GBP47,149 GBP269

Total 14 GBP552,943 GBP56,542


187

ADDITIONAL INFORMATION (UNAUDITED) (continued)


1. REMUNERATION DISCLOSURE PROVIDED BY CHEYNE CAPITAL MANAGEMENT (UK) LLP

(Continued)



Business Area

Number of Code

Staff


variable)


the Company





1 GBP262,746 GBPNil

Senior

Management 7 GBP42,462 GBP243

Total 8 GBP305,208 GBP243


As these financial statements are produced before the completion of the first full calendar year, the Company

does not consider that the quantitative remuneration data available to it is sufficiently relevant, or that it provides

a proper basis for comparison and it has therefore elected not to make any quantitative remuneration

disclosures at this time. The quantitative disclosures required under UCITS V will be made in the 2018 financial

statements.

Remuneration Code information is provided as required under the FCA Rules (BIPRU 11.5.18).

2. THE SFT REGULATION

The Securities Financing Transactions Regulation (SFT Regulation) introduces mandatory reporting for

securities financing transactions (SFTs) and sets minimum disclosure and consent requirements on the re-use

of collateral, with the aim of reforming shadow banking and improving transparency in the SFT market. The SFT

Regulation was formally adopted by the EU on 16 November 2015 and came into force on 12 January 2016. An

SFT consists of any transaction that uses assets belonging to a counterparty to generate financing means and

comprise for the following:

repurchase transactions;

securities or commodities lending, securities or commodities borrowing;

any transaction having an equivalent economic effect, in particular a buy/sell-back or sell/buy-back

transaction; and

margin lending transaction.

For the year ended 31 December 2017, the Company did not hold any SFTs. The periodical disclosure

requirements under SFT Regulation in accordance with Section A of the Annex to SFT Regulation do not apply.


188

ADDITIONAL INFORMATION (UNAUDITED) (continued)


3. DISTRIBUTION OF FINANCIAL STATEMENTS WAIVER

The State of the origin of the Fund is Ireland. In Switzerland, the Representative is Acolin Fund Services AG,

Affolternstrasse 56, CH-8050 Zurich, Switzerland, whilst the Paying agent is Banque Cantonale de Geneve, 17

quai de I’lle, 1204 Geneve, Switzerland. The Basic documents of the Fund such as the Prospectus, the key

investor information document (KIID), the articles of association as well as the semi-annual and annual reports

may be obtained free of charge at the office of the Swiss Representative. The current document is intended for

information purposes only and shall not to be used as an offer to buy and/or sell shares. The performance

shown does not take account of any commissions and costs charged when subscribing to and redeeming

shares. Past performance may not be reliable guide to future performance.

4. CYBERSECURITY RISK

Cybersecurity breaches may occur allowing an unauthorized party to gain access to assets of the Funds,

Shareholder data, or proprietary information, or may cause the Company, the Investment Manager, the

Distributor, the Administrator, the Custodian or other service providers to suffer data corruption or lose

operational functionality. The Funds may be affected by intentional cybersecurity breaches which include

unauthorized access to systems, networks, or devices (such as through “hacking” activity); infection from

computer viruses or other malicious software code; and attacks that shut down, disable, slow, or otherwise

disrupt operations, business processes, or website access or functionality. In addition, unintentional incidents

can occur, such as the inadvertent release of confidential information (possibly resulting in the violation of

applicable privacy laws). A cybersecurity breach could result in the loss or theft of Shareholder data or funds,

the inability to access electronic systems, loss or theft of proprietary information or corporate data, physical

damage to a computer or network system, or costs associated with system repairs. Such incidents could cause

the Company, the Investment Manager, the Distributor, the Administrator, the Custodian, or other service

providers to incur regulatory penalties, reputational damage, additional compliance costs, or financial loss.

Consequently, Shareholders may lose some or all of their invested capital. In addition, such incidents could

affect issuers in which a Fund invests, and thereby cause a Fund’s investments to lose value, as a result of

which investors, including the relevant Fund and its Shareholders, could potentially lose all or a portion of their

investment with that issuer.

5. CUSTODY AND TITLE RISK

The Depositary is under a duty to take into custody and to hold the property of each Sub-Fund of the Company

on behalf of its Shareholders. The Central Bank of Ireland legally requires the Depositary to separately hold the

non-cash assets of each Sub-Fund and to maintain sufficient records to clearly identify the nature and amount of

all assets that it holds, the ownership of each asset and where the documents of title to such assets are

physically located. When the Depositary employs a sub-custodian the Depositary retains responsibility for the

assets of the Sub-Fund. However, it should be noted that not all jurisdictions have the same rules and

regulations as Ireland regarding the custody of assets and the recognition of the interests of a beneficial owner

such as a Sub-Fund. Therefore, in such jurisdictions, there is a risk that if a sub-custodian becomes bankrupt or

insolvent, the Sub-Fund’s beneficial ownership of the assets held by such sub-custodian may not be recognised

and consequently the creditors of the sub-custodian may seek to have recourse to the assets of the Sub-Fund.

In those jurisdictions where the Sub-Fund’s beneficial ownership of its assets is ultimately recognised, the Sub-

Fund may suffer delay and cost in recovering those assets. The Sub-Funds may invest in markets where

custodial and/or settlement systems are not fully developed, such as Russia and Argentina, the assets of a Sub-

Fund which are traded in such markets and which have been entrusted to sub-custodians, in circumstances

where the use of such sub-custodians is necessary, may be exposed to risk.

report and audited financial statements for the year ended ......portfolio statement 151-177...

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