Ifrs Illustrative Financial Statements Investment Funds Dec2011 8628

IFRS
Illustrative nancial
statements:
Investment funds
December 2011

kpmg.com/ifrs
Contents
Financial statements
Statement of nancial position 3
Statement of comprehensive income 5
Statement of changes in net assets
attributable to holders of redeemable shares 7
Statement of cash ows 9
Notes to the nancial statements 11
Appendices
I Example disclosures for entities that early adopt
IFRS 9 Financial Instruments (October 2010) 79
II Example disclosures of segment reporting multiple
segment fund 91
III Example disclosures of open-ended fund with puttable
instruments classied as equity 99
IV Example disclosures of schedule of investments
unaudited 109
V Example disclosures of exposure to market risk
Value-at-Risk analysis 113
Technical guide 116
Contact us 118
2011 KPMG IFRG Limited, a UK company, limited by guarantee. All rights reserved.
Whats new?
Major changes from the December 2010 edition of Illustrative nancial statements: Investment funds are highlighted by a
double line border running down the left margin of the text within this document. The major change from the December 2010
edition is example disclosures for the early adoption of IFRS 9 Financial instruments issued in October 2010.
About this publication
These illustrative nancial statements have been produced by the KPMG International Standards Group (part of KPMG IFRG
Limited), and the views expressed herein are those of the KPMG International Standards Group.
Content
The purpose of this publication is to assist you in preparing annual nancial statements of an investment fund in accordance
with IFRSs. It illustrates one possible format of nancial statements for fund-specic entities based on a ctitious tax-exempt
open-ended single-fund investment company, which does not form part of a consolidated entity nor holds investments in
any subsidiaries, associates or joint venture entities. The companys redeemable shares are classied as nancial liabilities
and the management shares meet the denition of equity; the company is outside the scope of IFRS 8 Operating Segments.
The company is not a rst-time adopter of IFRSs (see Technical guide). Appendix I illustrates example disclosures for the
early adoption of IFRS 9. Appendix II provides an example of disclosures for a fund within the scope of IFRS 8 with multiple
reportable segments. Appendix III provides an example of disclosures for a fund whose puttable instruments are classied as
equity.
This publication reects IFRSs in issue at 20 December 2011 that are required to be applied by an entity with an annual period
beginning on 1 January 2011 (currently effective requirements). IFRSs that are effective for annual periods beginning after
1January 2011 (forthcoming requirements) have not been adopted early in preparing these illustrative nancial statements.
However, example disclosures for the early adoption of IFRS 9 are included in Appendix I. This publication focuses on disclosure
requirements that are specic to funds activities. For other disclosures that might be relevant, please refer to our publications
Illustrative nancial statements and Illustrative nancial statements: Banks.
This publication illustrates only the nancial statements component of a nancial report. However, typically a nancial report
will include at least some additional commentary by management, either in accordance with local laws and regulations or at the
election of the fund (see Technical guide).
When preparing nancial statements in accordance with IFRSs, a fund should have regard to its local legal and regulatory
requirements. This publication does not consider any requirements of a particular jurisdiction.
In response to the Financial Stability Board report Enhancing Market and Institutional Resilience the IASB established an Expert
Advisory Panel (the panel) to assist the IASB in reviewing best practices in the area of valuation techniques and formulating any
necessary additional guidance on valuation methods for nancial instruments and related disclosures when markets are no
longer active. The panel issued its nal report Measuring and disclosing the fair value of nancial instruments in markets that are
no longer active on 31 October 2008. Part 2 of the report contains guidance on disclosures. This publication does not illustrate
these disclosures, unless they are also required by IFRS 7. For an illustrative example of disclosures in the panels report and
explanatory notes see our publication Illustrative nancial statements: Banks published in July 2011.
IFRSs and their interpretation change over time. Accordingly, these illustrative nancial statements should not be used as a
substitute for referring to the standards and interpretations themselves.
References
The illustrative nancial statements are contained on the odd-numbered pages of this publication. The even-numbered pages
contain explanatory comments and notes on the disclosure requirements of IFRSs. The illustrative examples, together with the
explanatory notes, however, are not intended to be seen as a complete and exhaustive summary of all disclosure requirements
that are applicable under IFRSs. For an overview of all disclosure requirements that are applicable under IFRSs, see our
publication Disclosure checklist.
To the left of each item disclosed, a reference to the relevant currently effective standard is provided; generally the references
relate only to disclosure requirements, except that note 3 highlights some accounting requirements in relation to signicant
accounting policies. These illustrative nancial statements also contain references to our publication Insights into IFRS
(8thEdition).
2 | Illustrative nancial statements: Investment funds
Explanatory note
1. IAS 1.55, 58 Additional line items, headings and subtotals are presented separately in the statement of nancial
position when such presentation is relevant to an understanding of the entitys nancial position. The
judgement used is based on an assessment of the nature and liquidity of the assets, the function of
assets within the entity, as well as the amounts, nature and timing of liabilities. Additional line items
may include, e.g. prepayments.
IAS 1.57 IAS 1 does not prescribe the order or format in which an entity presents items. Additional line
items are included when the size, nature or function of an item or aggregation of similar items is
such that separate presentation is relevant to an understanding of the entitys nancial position and
the descriptions used, and the ordering of items or aggregation of similar items may be amended
according to the nature of the entity and its transactions to provide information that is relevant to an
understanding of an entitys nancial position.
2. IAS 1.60, 61 In these illustrative nancial statements we have presented assets and liabilities broadly in order of
liquidity. An entity also may present its assets and liabilities using a current/non-current classication
if such presentation provides reliable and more relevant information. For each asset and liability line
item that combines amounts expected to be recovered or settled within (1) no more than 12 months
after the end of the reporting period, and (2) more than 12 months after the end of the reporting
period, an entity discloses in the notes the amount expected to be recovered or settled after more
than 12 months.
3. IFRS 7.8 The carrying amounts of each of the categories of nancial assets and nancial liabilities are required
to be disclosed in either the statement of nancial position or the notes. In these illustrative nancial
statements this information is presented in the notes.
4. It has been assumed for the purpose of these illustrative nancial statements that management
shares issued by the Fund meet the denition of equity. Determination of whether an instrument
meets the denition of equity can be complex and is further discussed in our publication Insights into
IFRS (7.3.50 310).
5. IAS 32 IE32 In these illustrative nancial statements presentation of the statement of nancial position follows
the Example 7 in IAS 32.
6. IAS 39.48A,
AG72
In accordance with IAS 39 the best measure of fair value of a nancial asset and nancial liability
is a quoted price in an active market. The quoted price for an asset held is usually the current bid
price and for a liability held is the asking price. On the other hand, in accordance with the Funds
prospectus, the redemption amounts of the redeemable shares are calculated using the mid-market
prices of the Funds underlying investments/securities sold short.
Owing to the differences in the measurement bases of the Funds underlying investments/
securities sold short and the redemption amounts of the redeemable shares, a mismatch results
in the statement of nancial position giving rise to a presentation issue. In our view, one solution
may be to present the net assets attributable to holders of redeemable shares in a two-line format.
The rst line would be the amount of the net assets attributable to holders of redeemable shares
measured in accordance with the prospectus, which reects the actual redemption amount at
which the redeemable shares would be redeemed at the reporting date, and the next line would
include an adjustment for the difference between this and the amount recognised in the statement
of nancial position. This reects the fact that for a fund with no equity all recognised income and
expense is attributed to holders of redeemable shares, which also means that if all the shares are
redeemed, then a dilution levy of such amount would be required. This issue is discussed in our
publication Insights into IFRS (7.6.220.60 75). The treatment in a fund with no equity is applied in
these illustrative nancial statements to a fund with minimal equity as equity holders are entitled to a
minimal xed monetary amount on liquidation and the remaining net assets are attributed to holders
of redeemable shares.
Illustrative nancial statements: Investment funds | 3
Statement of nancial position
1, 2, 3, 4, 5
IAS 1.10(a), 113 31 December 31 December
In thousands of euro Note 2011 2010
Assets
IAS 1.54(i) Cash and cash equivalents 51 71
IAS 1.54(d) Balances due from brokers 10 4,619 3,121
IAS 1.54(d) Receivables from reverse repurchase agreements 11 4,744 3,990
IAS 1.54(h) Other receivables 29 46
IAS 1.54(d) Non-pledged nancial assets at fair value through prot or loss 12 26,931 24,471
IAS 1.54(d), 39.37(a) Pledged nancial assets at fair value through prot or loss 12 2,691 2,346
Total assets 39,065 34,045
Equity
5
Share capital 13 10 10
Total equity 10 10
Liabilities
IAS 1.54(m) Balances due to brokers 10 143 275
IAS 1.54(m) Payables under repurchase agreements 11 2,563 2,234
IAS 1.54(k) Other payables 103 101
IAS 1.54(m) Financial liabilities at fair value through prot or loss 12 3,621 1,446
Total liabilities (excluding net assets attributable to
holders of redeemable shares) 6,430 4,056
IAS 1.6, 54(m), Net assets attributable to holders of redeemable
32.IE32 shares
6
14 32,625 29,979
Represented by:
Net assets attributable to holders of redeemable shares
(valued in accordance with prospectus)
6
32,647 29,996
Adjustment from mid-market prices to bid/ask-market prices
6
14 (22) (17)
32,625 29,979
The notes on pages 11 to 77 are an integral part of these nancial statements.
Explanatory note
1. IAS 1.81 Total comprehensive income is the changes in equity during a period other than those changes
resulting from transactions with owners in their capacity as owners, which is presented either in:
one statement, i.e. a statement of comprehensive income; or
two statements, i.e. a separate income statement and a statement beginning with prot or loss and
displaying components of other comprehensive income.
IAS 1.81(a) This illustration is based on a single statement of comprehensive income as the Fund has no other
components of other comprehensive income other than prot or loss for the period. For an example
of the two statements approach, please refer to our publication Illustrative nancial statements.
IAS 32.IE32 In these illustrative nancial statements presentation of the statement of comprehensive income
follows the Example 7 in IAS 32.
IFRS 7.20 Items of income and expense are offset only when required or permitted by an IFRS. IFRS 7 allows
the net presentation of certain gains and losses on nancial assets and nancial liabilities. This issue
is discussed in our publication Insights into IFRS (4.1.170).
IAS 1.85 An entity presents additional line items, headings and subtotals when this is relevant to an
understanding of its nancial performance.
2. IAS 1.99 An entity presents an analysis of expenses based on function or nature. Items are classied in
accordance with their nature or function regardless of materiality. In these illustrative nancial
statements, this analysis is based on the nature of expenses.
IAS 1.87 No items of income or expense may be presented as extraordinary. The nature and amounts of
material items are disclosed as a separate line item in the statement of comprehensive income or in
the notes. This issue is discussed in our publication Insights into IFRS (4.1.84 86).
3. IAS 1.82(a) IFRSs do not specify whether revenue should be presented only as a single line item in the
statement of comprehensive income, or whether an entity also may include the individual
components of revenue in the statement of comprehensive income, with a subtotal for revenue
from continuing operations. In these illustrative nancial statements, the most relevant measure
of revenue is considered to be the sum of interest income, dividend income, net foreign exchange
loss and net gain from nancial instruments at fair value through prot or loss. However, other
presentations are possible.
4. IFRS 7.20(c)(ii) Fee income and expense arising from trust and other duciary activities that result in the holding or
investing of assets on behalf of individuals, trusts, retirement benet plans and other institutions are
required to be disclosed. In these illustrative nancial statements this disclosure has been given in
the statement of comprehensive income. Alternatively, it may be given in the notes.
5. IAS 32.35, 40 Interest, dividends, gains and losses relating to a nancial instrument or a component that is a
nancial liability are recognised as income or expense in prot or loss. Because redeemable shares
are classied as nancial liabilities, any distributions on these shares are presented as nance costs.
Interest expense and dividends payable on securities sold short have been classied as operating
expense, but, depending on the facts and circumstances, presentation as part of nance cost is also
possible.
6. IAS 12.2 In our view, withholding taxes attributable to investment income (e.g. dividends received) should be
recognised as part of tax expense, with the investment income recognised on a gross basis. This
issue is discussed in our publication Insights into IFRS (3.13.420.30).
7. IAS 33.2, 3 An entity with publicly traded ordinary shares or in the process of issuing ordinary shares that are
to be publicly traded, should present basic and diluted earnings per share (EPS) in the statement
of comprehensive income. The requirements to present EPS only apply to those funds whose
ordinary shares are classied as equity. Nevertheless, some funds may wish to or may be required
by local regulations to present EPS. When an entity voluntarily presents EPS data, that data should
be calculated and presented in accordance with IAS 33. This issue is discussed in our publication
Insights into IFRS (5.3.370).
Statement of comprehensive income
1, 2
IAS 1.10(b), 81(a) For the year ended 31 December
Interest income
3
7 603 429
IAS 18.35(b)(v) Dividend income
3
272 229
IAS 1.35 Net foreign exchange loss
3
(19) (16)
IFRS 7.20(a) Net gain from nancial instruments at fair value through
prot or loss
3
8 3,251 2,397
IAS 1.82(a) Total revenue
3
4,107 3,039
IAS 1.99 Investment management fees
4
(478) (447)
IAS 1.99 Custodian fees
4
(102) (115)
IAS 1.99 Administration fees
4
(66) (62)
IAS 1.99 Directors fees (26) (15)
IAS 1.99 Transaction costs (54) (73)
IAS 1.99 Audit and legal fees (74) (67)
IFRS 7.20(b) Interest expense
5
(75) (62)
Dividend expense on securities sold short
5
(45) (19)
IAS 1.99 Other operating expenses (8) (41)
Total operating expenses (928) (901)
IAS 1.85 Operating prot before nance costs 3,179 2,138
IAS 32.40 Dividends to holders of redeemable shares
5
14 (178) (91)
IAS 1.82(b) Total nance costs (178) (91)
IAS 1.85 Increase in net assets attributable to holders of redeemable
shares before tax 3,001 2,047
IAS 1.82(d) Withholding tax expense
6
9 (45) (39)
IAS 1.6, 1.82(f), Increase in net assets attributable to holders of
32.IE32 redeemable shares 2,956 2,008
Explanatory note
1. IAS 1.106 A complete set of nancial statements comprises, as one of its statements, a statement of
changes in equity. However, as equity in the Fund is minimal and there were no changes in equity
balances, no statement of changes in equity is presented. Instead, a statement of changes in net
assets attributable to holders of redeemable shares is presented. Although IFRSs do not require
presentation of this statement, it may provide users of the nancial statements with relevant and
useful information with respect to the components underlying the movements in the net assets of
the Fund attributable to the holders of redeemable shares during the year.
2. IAS 1.110 When a change in accounting policy, either voluntarily or as a result of the initial application of a
standard, has an effect on the current period or any prior period, an entity presents the effects of
retrospective application or retrospective restatement recognised in accordance with IAS 8 in the
statement of changes in equity. These illustrative nancial statements do not demonstrate example
of IAS 8 disclosures; for an example of such disclosures, please refer to our publication Illustrative
nancial statements.
Statement of changes in net assets attributable to holders of
redeemableshares
1
IAS 1.106 For the year ended 31 December
Balance at 1 January 14 29,979 18,461
Increase in net assets attributable to holders of redeemable
shares 2,956 2,008
Contributions and redemptions by holders of redeemable
shares:
Issue of redeemable shares during the year 6,668 15,505
Redemption of redeemable shares during the year (6,978) (5,995)
Total contributions and redemptions by holders of
redeemable shares (310) 9,510
Balance at 31 December 14 32,625 29,979
Explanatory note
1. IAS 7.18, 19 In these illustrative nancial statements cash ows from operating activities are presented using the
direct method, whereby major classes of cash receipts and payments related to operating activities
are disclosed. An entity also may present operating cash ows using the indirect method, whereby
prot or loss is adjusted for the effects of non-cash transactions, accruals and deferrals, and items
of income or expense associated with investing or nancing cash ows. For an example statement
of cash ows presenting operating cash ows using the indirect method see our publications
Illustrative nancial statements or Illustrative nancial statements: Banks.
IAS 7.43 When applicable, an entity discloses investing and nancing transactions that are excluded from the
statement of cash ows because they do not require the use of cash or cash equivalents in a way
that provides all relevant information about these activities.
2. IAS 7.33, 34 Interest paid and interest and dividends received are usually classied as operating cash ows for
a nancial institution. Dividends paid may be classied as a nancing cash ow as they represent
a cost of obtaining nancial resources. The Fund has adopted this classication for dividends paid
to the holders of redeemable shares. In these illustrative nancial statements dividends paid on
securities sold short are classied as operating cash ows as they result directly from holding short
positions as part of the operating activities of the Fund.
3. IAS 7.14(g), 15 In these illustrative nancial statements gross receipts from the sale of, and gross payments to
acquire, investment securities have been classied as components of cash ows from operating
activities as they form part of the Funds dealing operations.
IAS 7.16(g), (h) Receipts from and payments for futures, forwards, options and swap contracts are presented as
part of either investing or nancing activities, provided that they are not held for dealing or trading
purposes, in which case they are presented as part of operating activities. However, when a hedging
instrument is accounted for as a hedge of an identiable position, the cash ows of the hedging
instrument are classied in the same manner as the cash ows of the positions being hedged. This
issue is discussed in our publication Insights into IFRS (2.3.60.10).
If hedge accounting is not applied to a derivative instrument that is entered into as an economic
hedge, then in our view derivative gains and losses may be shown in the statement of
comprehensive income as either operating or nancing items depending on the nature of the item
being economically hedged. In our view, the possibilities for the presentation in the statement of
comprehensive income also apply to the presentation in the statement of cash ows. This issue is
discussed in our publication Insights into IFRS (7.8.220 225).
4. IAS 7.22 Cash ows from operating, investing or nancing activities may be reported on a net basis if the
cash receipts and payments are on behalf of customers and the cash ows reect the activities of
the customer, or when the cash receipts and payments for items concerned turn over quickly, the
amounts are large and the maturities are short.
Statement of cash ows
1
IAS 1.10(d), 113 For the year ended 31 December
IAS 7.10 Cash ows from operating activities
IAS 7.31, 33 Interest received
2
619 454
IAS 7.31, 33 Interest paid
2
(73) (63)
IAS 7.31, 33 Dividends received
2
227 228
IAS 7.31, 33 Dividends paid on securities sold short
2
(45) (19)
IAS 7.15 Proceeds from sale of investments
3
9,382 8,271
IAS 7.15 Purchase of investments
3
(10,613) (17,713)
IAS 7.15 Acquisition of investments
3
(10,613) (17,713)
IAS 7.22(b) Net non-dividend receipts/(payments) on securities sold short
4
629 (2)
IAS 7.22(b) Net receipts/(payments) from derivative activities
4
1,581 (3)
IAS 7.22(b) Net non-interest (payments)/receipts from repurchase
and reverse repurchase agreements
4
(428) 299
IAS 7.14 Operating expenses paid (808) (848)
Net cash from/(used in) operating activities 471 (9,396)
IAS 7.10, 21 Cash ows from nancing activities
IAS 7.17 Proceeds from issue of redeemable shares 14 6,668 15,505
IAS 7.17 Payments on redemption of redeemable shares 14 (6,978) (5,995)
IAS 7.34 Dividends paid to holders of redeemable shares
2
14 (178) (91)
Net cash (used in)/from nancing activities (488) 9,419
Net (decrease)/increase in cash and cash equivalents (17) 23
Cash and cash equivalents at 1 January 71 50
IAS 7.28 Effect of exchange rate uctuations on cash and cash equivalents (3) (2)
Cash and cash equivalents at 31 December 51 71
Explanatory note
1. IAS 1.7 The notes include narrative descriptions or break-downs of amounts disclosed in the primary
statements. They also include information about items that do not qualify for recognition in the
nancial statements.
Notes to the nancial statements
1
Page
1. Reporting entity 13
2. Basis of preparation 13
3. Signicant accounting policies 15
4. Financial risk management 27
5. Use of estimates and judgements 55
6. Classications and fair values of nancial assets and liabilities 63
7. Interest income 65
8. Net gain from nancial instruments at fair value through prot or loss 65
9. Withholding tax expense 65
10. Balances due from/to brokers 67
11. Receivables from reverse repurchase agreements and payables
under repurchase agreements 67
12. Financial assets and nancial liabilities at fair value through prot or loss 69
13. Equity 69
14. Net assets attributable to holders of redeemable shares 71
15. Related parties and other key contracts 75
16. Subsequent events 77
Explanatory note
1. If nancial statements are prepared on the basis of national accounting standards that are modied
or adapted from IFRSs and are made publicly available by publicly traded companies, then the
International Organization of Securities Commissions (IOSCO) has recommended including the
following minimum disclosures:
a clear and unambiguous statement of the reporting framework on which the accounting policies
are based;
a clear statement of the entitys accounting policies on all material accounting areas;
an explanation of where the respective accounting standards can be found;
a statement explaining that the nancial statements are in compliance with IFRSs as issued by the
IASB, if this is the case; and
a statement explaining in what regard the standards and the reporting framework used differ from
IFRSs as issued by the IASB, if this is the case.
2. IAS 1.36 When the entity changes the end of its reporting period and annual nancial statements are
presented for a period longer or shorter than one year, it discloses the reason for the change and the
fact that comparative amounts presented are not entirely comparable.
In this and other cases an entity may wish to present pro forma information that is not required by
IFRSs, e.g. pro forma comparative nancial statements prepared as if the change in the end of the
reporting period were effective for all periods presented. The presentation of pro forma information is
discussed in our publication Insights into IFRS (2.1.80).
3. IAS 1.19, 20, 23 In the extremely rare circumstances in which management concludes that compliance with a
requirement of a standard or an interpretation would be so misleading that it would conict with the
objective of nancial statements set out in the Conceptual Framework for Financial Reporting, an
entity may depart from the requirement if the relevant regulatory framework requires or otherwise
does not prohibit such a departure. Extensive disclosures are required in these circumstances.
4. IAS 10.17 An entity discloses the date when the nancial statements were authorised for issue and who gave
that authorisation. If the entitys owners or others have the power to amend the nancial statements
after their issue, then the entity discloses that fact.
5. IAS 1.25, 10.16 Taking account of specic requirements in its jurisdiction, an entity discloses any material
uncertainties related to events or conditions that may cast signicant doubt upon the entitys ability
to continue as a going concern, whether they arise during the period or after the end of the reporting
period.
6. IAS 21.53, 54 If the nancial statements are presented in a currency different from the entitys functional currency,
then the entity discloses that fact, its functional currency, and the reason for using a different
presentation currency. If there is a change in the functional currency, then the entity discloses that
fact together with the reason for the change.
7. IAS 1.122124 An entity discloses the judgements, apart from those involving estimations, that management has
made in the process of applying the entitys accounting policies and that have the most signicant
effect on the amounts recognised in the nancial statements. The examples that are provided in
IAS1 indicate that such disclosure is based on qualitative data.
IAS 1.125, 129 An entity discloses the assumptions that it has made about the future, and other major sources
of estimation uncertainty at the reporting date, that have a signicant risk of resulting in a material
adjustment to the carrying amounts of assets and liabilities within the next nancial year. The
examples that are provided in IAS 1 indicate that such disclosure is based on quantitative data, e.g.
appropriate discount rates.
IAS 1.10(e), 51(a), 1. Reporting entity
(b), 1.138(a), (b)
[Name] (the Fund) is a company domiciled in [country]. The address of the Funds registered ofce
is [address]. The Funds shares are not traded in a public market and it does not le its nancial
statements with a securities commission or other regulatory organisation for the purpose of issuing
any class of instruments in a public market.
The Fund is an open-ended investment fund primarily involved in investing in a highly diversied
portfolio of equity securities issued by companies listed on major European stock exchanges and on
the New York Stock Exchange (NYSE), unlisted companies, unlisted investment funds, international
derivatives and investment grade debt securities with the objective of providing shareholders with
above average returns over the medium to long term.
IAS 1.138(a), (b) The investment activities of the Fund are managed by XYZ Capital Limited (the investment manager)
and the administration of the Fund is delegated to ABC Fund Services Limited (the administrator).
IAS 1.112(a) 2. Basis of preparation
1
(a) Statement of compliance
IAS 1.16 The nancial statements of the Fund as at and for the year ended 31 December 2011
2
have been
prepared in accordance with International Financial Reporting Standards (IFRSs).
3
IAS 10.17 The nancial statements were authorised for issue by the board of directors on [date].
4
(b) Basis of measurement
5
IAS 1.117(a) The nancial statements have been prepared on the historical cost basis except for nancial
instruments at fair value through prot or loss, which are measured at fair value.
(c) Functional and presentation currency
6
IAS 1.51(d), (e) These nancial statements are presented in euro, which is the Funds functional currency. All nancial
information presented in euro has been rounded to the nearest thousand.
(d) Use of estimates and judgements
7
The preparation of the nancial statements in conformity with IFRSs requires management to
make judgements, estimates and assumptions that affect the application of accounting policies and
the reported amounts of assets, 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.
IAS 1.122, 125 Information about assumptions and estimation uncertainties that have a signicant risk of resulting
in a material adjustment within the next nancial year, as well as critical judgements in applying
accounting policies that have the most signicant effect on the amounts recognised in the nancial
statements are included in notes 4 and 5.
Explanatory note
1. When a change in accounting policy is the result of the adoption of a new, revised or amended
IFRS, an entity applies the specic transitional requirements in that IFRS. However, in our view
an entity nonetheless should comply with the disclosure requirements of IAS 8 to the extent that
the transitional requirements do not include disclosure requirements. Even though it could be
argued that the disclosures are not required because they are set out in the IAS 8 requirements for
voluntary changes in accounting policy, we believe that they are necessary in order to give a fair
presentation. This issue is discussed in our publication Insights into IFRS (2.8.10). For an example
of disclosures relating to a change in accounting policy see our publication Illustrative nancial
statements.
2. IAS 8.28, 29 When a change in accounting policy, either voluntarily or as a result of the initial application of a
standard, has an effect on the current period or any prior period, an entity discloses, among other
things, the amount of the adjustment for each nancial statement line item affected.
IAS 8.49 If any prior period errors are corrected in the current years nancial statements, then an entity
discloses:
the nature of the prior period error;
to the extent practicable, the amount of the correction for each nancial statement line item
affected, and, if IAS 33 applies to the entity, basic and diluted earnings per share for each prior period
presented;
the amount of the correction at the beginning of the earliest prior period presented; and
if retrospective restatement is impracticable for a particular prior period, then the circumstances
that led to the existence of that condition and a description of how and from when the error has
been corrected.
3. IAS 1.117(b) The accounting policies describe each specic accounting policy that is relevant to an understanding
of the nancial statements.
IAS 8.5 Accounting policies are the specic principles, bases, conventions, rules and practices that an entity
applies in preparing and presenting nancial statements.
4. The accounting policies disclosed in these illustrative nancial statements reect the facts and
circumstances of the ctitious open-ended single-fund investment company on which these nancial
statements are based. They should not be relied upon for a complete understanding of IFRSs and
should not be used as a substitute for referring to the standards and interpretations themselves. The
accounting policy disclosures appropriate for an entity depend on the facts and circumstances of that
entity, including the accounting policy choices an entity makes, and may differ from the disclosures
illustrated in these illustrative nancial statements.
5. IFRS 7.B5(e) An entity discloses how the statement of comprehensive income amounts are determined, e.g.
whether net gains and losses of nancial assets and liabilities measured at fair value through prot or
loss include interest and dividend income.
IFRS 7.20(b) In these illustrative statements interest income for nancial assets at fair value through prot or
loss is presented separately from net gain from nancial instruments at fair value through prot or
loss. However, other presentations, e.g. inclusion of interest income with the gain from nancial
instruments at fair value through prot or loss, are permitted.
6. The method of calculating the effective interest rate is discussed in our publication Insights into IFRS
(7.6.290).
2. Basis of preparation (continued)
(e) Changes in accounting policies
1, 2
There were no changes in the accounting policies of the Fund during the year.
IAS 1.112(a), 3. Signicant accounting policies
3, 4
117(a), (b)
The accounting policies set out below have been applied consistently to all periods presented in
these nancial statements.
(a) Foreign currency
IAS 21.21, 23(a) Transactions in foreign currencies are translated into euro at the exchange rate at the dates of the
transactions. Monetary assets and liabilities denominated in foreign currencies at the reporting date
are retranslated into euro at the exchange rate at that date.
IAS 21.23 Non-monetary assets and liabilities denominated in foreign currencies that are measured at fair value
are retranslated into euro at the exchange rate at the date that the fair value was determined.
Foreign currency differences arising on retranslation are recognised in prot or loss as net foreign
exchange loss, except for those arising on nancial instruments at fair value through prot or loss,
which are recognised as a component of net gain from nancial instruments at fair value through
prot or loss.
IFRS 7.B5(e) (b) Interest
5, 6
IAS 18.35(b)(iii) Interest income and expense, including interest income from non-derivative nancial assets at fair
value through prot or loss, are recognised in prot or loss, using the effective interest method.
The effective interest rate is the rate that exactly discounts the estimated future cash payments and
receipts through the expected life of the nancial instrument (or, when appropriate, a shorter period)
to the carrying amount of the nancial instrument. When calculating the effective interest rate, the
Fund estimates future cash ows considering all contractual terms of the nancial instrument, but
not future credit losses. Interest received or receivable, and interest paid or payable are recognised in
prot or loss as interest income and interest expense, respectively.
IFRS 7.21, B5(e) (c) Dividend income and dividend expense
Dividend income is recognised in prot or loss on the date that the right to receive payment is
established. For quoted equity securities this is usually the ex-dividend date. For unquoted equity
securities this is usually the date when the shareholders have approved the payment of a dividend.
Dividend income from equity securities designated as at fair value through prot or loss is recognised
in prot or loss as a separate line item.
The Fund incurs expenses on short positions in equity securities equal to the dividends due on these
securities. Such dividend expense is recognised in prot or loss as operating expense when the
shareholders right to receive payment is established.
IFRS 7.B5(e) (d) Dividends to holders of redeemable shares
Dividends payable to holders of redeemable shares are recognised in prot or loss as nance costs
when they are authorised and no longer at the discretion of the Fund. [Provide more detail to reect
the circumstances of the particular fund].
Explanatory note
1. IFRS 7.B5(e) In these illustrative nancial statements net gain from nancial instruments at fair value through
prot or loss includes:
gains and losses, other than interest and dividend income, on nancial assets and nancial liabilities
designated as at fair value through prot or loss;
gains and losses, other than dividends payable on securities sold short classied as held for trading;
and
gains and losses on all derivatives.
However, other presentations are possible, e.g. this line also could include interest and dividend
income, interest expense and dividends on securities sold short.
2. In our view, an entity may apply any reasonable cost allocation method to determine the cost of
nancial assets sold that are part of a homogeneous portfolio (e.g. average cost or rst-in, rst-
out). The selected method should be applied consistently. This issue is discussed in our publication
Insights into IFRS (7.5.290.50 60).
3. IFRS 7.28 An entity discloses the following in respect of any day one gain or loss:
an accounting policy; and
the aggregate difference still to be recognised in prot or loss, and a reconciliation between the
opening and closing balance thereof.
4. IAS 39.9, 11A Financial assets or liabilities (other than those classied as held for trading) may be designated upon
initial recognition as at fair value through prot or loss, in any of the following circumstances, if they:
eliminate or signicantly reduce a measurement or recognition inconsistency (accounting
mismatch) that would otherwise arise from measuring assets and liabilities or recognising the gains
or losses on them on different bases;
are part of a group of nancial assets and/or nancial liabilities that is managed and for which
performance is evaluated and reported to key management on a fair value basis in accordance with a
documented risk management or investment strategy; or
are hybrid contracts in which an entity is permitted to designate the entire contract at fair value
through prot or loss.
IAS 39.AG4B These illustrative nancial statements demonstrate the fair value option for debt securities and
equity investments that are managed and evaluated on a fair value basis as part of the Funds
documented investment strategy.
3. Signicant accounting policies (continued)
IFRS 7.21, B5(e) (e) Net gain from nancial instruments at fair value through prot or loss
1
Net gain from nancial instruments at fair value through prot or loss includes all realised and
unrealised fair value changes and foreign exchange differences, but excludes interest and dividend
income, and dividend expense on securities sold short.
Net realised gain from nancial instruments at fair value through prot or loss is calculated using the
average cost method.
2
IFRS 7.21 (f) Fees and commission expenses
Fees and commission expenses are recognised in prot or loss as the related services are
performed.
(g) Tax
IAS 12.2 Under the current system of taxation in [insert name of the country of domicile] the Fund is exempt
from paying income taxes. The Fund has received an undertaking from [insert name of the relevant
government body] of [insert name of the country of domicile] exempting it from tax for a period of
[insert number of] years up till [insert year of expiry].
However, some dividend and interest income received by the Fund are subject to withholding tax
imposed in certain countries of origin. Income that is subject to such tax is recognised gross of the
taxes and the corresponding withholding tax is recognised as tax expense.
IFRS 7.21 (h) Financial assets and nancial liabilities
IAS 39.14, 38 (i) Recognition and initial measurement
3
IFRS 7.B5(c) Financial assets and liabilities at fair value through prot or loss are recognised initially on the trade
date, which is the date that the Fund becomes a party to the contractual provisions of the instrument.
Other nancial assets and liabilities are recognised on the date they are originated.
Financial assets and nancial liabilities at fair value through prot or loss are recognised initially at fair
value, with transaction costs recognised in prot or loss. Financial assets or nancial liabilities not
at fair value through prot or loss are recognised initially at fair value plus transaction costs that are
directly attributable to their acquisition or issue.
(ii) Classication
The Fund classies nancial assets and nancial liabilities into the following categories:
Financial assets at fair value through prot or loss:

Held for trading derivative nancial instruments

Designated as at fair value through prot or loss debt securities and equity investments.
4
Financial assets at amortised cost:

Loans and receivables cash and cash equivalents, balances due from brokers, receivables from
reverse repurchase agreements and other receivables.
Financial liabilities at fair value through prot or loss:

Held for trading securities sold short and derivative nancial instruments.
Financial liabilities at amortised cost:

Other liabilities balances due to brokers, payables under repurchase agreements, redeemable
shares and other payables.
This page has been left blank intentionally.
(h) Financial assets and nancial liabilities (continued)
(ii) Classication (continued)
IAS 39.9, AG15 A nancial instrument is classied as held for trading, if:

it is acquired or incurred principally for the purpose of selling or repurchasing it in the near term;

on initial recognition it is part of a portfolio that is managed together and for which there is
evidence of a recent pattern of short-term prot taking; or

it is a derivative, other than a designated and effective hedging instrument.
IAS 39.9 The Fund has designated certain nancial assets as at fair value through prot or loss when the
assets are managed, evaluated and reported internally on a fair value basis.
A non-derivative nancial asset with xed or determinable payments may be classied as a loan
and receivable unless it is quoted in an active market, or it is an asset for which the holder may not
recover substantially all of its initial investment, other than because of credit deterioration.
Note 6 provides a reconciliation of line items in the statement of nancial position to the categories
of nancial instruments, as dened by IAS 39.
IAS 39.58 (iii) Amortised cost measurement
The amortised cost of a nancial asset or liability is the amount at which the nancial asset or
liability is measured at initial recognition, minus principal repayments, plus or minus the cumulative
amortisation using the effective interest method of any difference between the initial amount
recognised and the maturity amount, minus any reduction for impairment.
IAS 39.48 (iv) Fair value measurement
Fair value is the amount for which an asset could be exchanged, or a liability settled, between
knowledgeable, willing parties in an arms length transaction on the measurement date.
IAS 39.48A When available, the Fund measures the fair value of an instrument using quoted prices in an active
market for that instrument. A market is regarded as active if quoted prices are readily and regularly
available and represent actual and regularly occurring market transactions on an arms length basis.
If a market for a nancial instrument is not active, then the Fund establishes fair value using a
valuation technique. Valuation techniques include using recent arms length transactions between
knowledgeable, willing parties (if available), reference to the current fair value of other instruments
that are substantially the same, discounted cash ow analyses and option pricing models. The chosen
valuation technique makes maximum use of market inputs, relies as little as possible on estimates
specic to the Fund, incorporates all factors that market participants would consider in setting a price,
and is consistent with accepted economic methodologies for pricing nancial instruments. Inputs
to valuation techniques reasonably represent market expectations and measures of the risk-return
factors inherent in the nancial instrument. The Fund calibrates valuation techniques and tests them
for validity using prices from observable current market transactions in the same instrument or based
on other available observable market data.

IAS 39.48 (iv) Fair value measurement (continued)
IFRS 7.28(a) The best evidence of the fair value of a nancial instrument at initial recognition is the transaction
price, i.e. the fair value of the consideration given or received, unless the fair value of that
instrument is evidenced by comparison with other observable current market transactions in the
same instrument (i.e. without modication or repackaging) or based on a valuation technique
whose variables include only data from observable markets. When transaction price provides the
best evidence of fair value at initial recognition, the nancial instrument is initially measured at
the transaction price and any difference between this price and the value initially obtained from a
valuation model is subsequently recognised in prot or loss on an appropriate basis over the life of
the instrument but not later than when the valuation is supported wholly by observable market data
or the transaction is closed out.
Assets and long positions are measured at a bid price; liabilities and securities sold short are
measured at an asking price.
IFRS 7.B5E All changes in fair value, other than interest and dividend income and expense, are recognised in
prot or loss as part of net gain from nancial instruments at fair value through prot or loss.
(v) Impairment
IFRS 7.B5(f) A nancial asset not classied at fair value through prot or loss is assessed at each reporting date to
determine whether there is objective evidence of impairment. A nancial asset or a group of nancial
assets is impaired if there is objective evidence of impairment as a result of one or more events
that occurred after the initial recognition of the asset(s), and that loss event(s) had an impact on the
estimated future cash ows of that asset(s) that can be estimated reliably.
IAS 39.65 Objective evidence that nancial assets are impaired includes signicant nancial difculty of the
borrower or issuer, default or delinquency by a borrower, restructuring of amount due on terms that
the Fund would not consider otherwise, indications that a borrower or issuer will enter bankruptcy, or
adverse changes in the payment status of the borrowers.
IAS 39.65, 66 An impairment loss in respect of a nancial asset measured at amortised cost is calculated as the
difference between its carrying amount and the present value of the estimated future cash ows
discounted at the assets original effective interest rate. Losses are recognised in prot or loss and
reected in an allowance account against receivables. Interest on the impaired asset continues to
be recognised. When an event occurring after the impairment was recognised causes the amount of
impairment loss to decrease, the decrease in impairment loss is reversed through prot or loss.
Explanatory note
1. IAS 1.35 Gains and losses arising from a group of similar transactions are reported on a net basis, e.g. foreign
currency gains and losses or gains and losses arising on nancial instruments held for trading.
However, such gains and losses are reported separately if they are material.
IAS 39.1542 (vi) Derecognition
The Fund derecognises a nancial asset when the contractual rights to the cash ows from the
asset expire, or it transfers the rights to receive the contractual cash ows in a transaction in which
substantially all the risks and rewards of ownership of the nancial asset are transferred or in which
the Fund neither transfers nor retains substantially all the risks and rewards of ownership and does
not retain control of the nancial asset. Any interest in such transferred nancial assets that is
created or retained by the Fund is recognised as a separate asset or liability.
On derecognition of a nancial asset, the difference between the carrying amount of the asset (or
the carrying amount allocated to the portion of the asset derecognised), and consideration received
(including any new asset obtained less any new liability assumed) is recognised in prot or loss.
The Fund enters into transactions whereby it transfers assets recognised on its statement of nancial
position, but retains either all or substantially all of the risks and rewards of the transferred assets or
a portion of them. If all or substantially all risks and rewards are retained, then the transferred assets
are not derecognised. Transfers of assets with retention of all or substantially all risks and rewards
include securities lending and repurchase transactions.
The Fund derecognises a nancial liability when its contractual obligations are discharged, cancelled
or expire.
(vii) Offsetting
IAS 32.42 Financial assets and liabilities are offset and the net amount presented in the statement of nancial
position when, and only when, the Fund has a legal right to offset the amounts and it intends either
to settle on a net basis or to realise the asset and settle the liability simultaneously.
Income and expenses are presented on a net basis only when permitted under IFRSs, e.g. for gains
and losses arising from a group of similar transactions, such as gains and losses from nancial
instruments at fair value through prot or loss.
1
(viii) Specic instruments
IAS 7.46 Cash and cash equivalents
Cash and cash equivalents comprise deposits with banks and highly liquid nancial assets with
maturities of three months or less from the acquisition date that are subject to an insignicant risk of
changes in their fair value and are used by the Fund in the management of short-term commitments,
other than cash collateral provided in respect of derivatives, securities sold short and securities
borrowing transactions.
Receivables and payables under repurchase agreements and securities lent and borrowed
IAS 39.AG51(a)(c) When the Fund purchases a nancial asset and simultaneously enters into an agreement to resell the
same or substantially similar asset at a xed price on a future date (reverse repo), the arrangement
is accounted for as a loan and receivable, recognised in the statement of nancial position as
receivables from reverse repurchase agreements, and the underlying asset is not recognised in the
Funds nancial statements.
Explanatory note
1. IAS 1.31 When new standards, amendments to standards and interpretations will have no, or no material,
effect on the nancial statements of the entity, it is not necessary to list them as such a disclosure
will not be material.
2. See Appendix I for example disclosures on the early adoption of IFRS 9.
3.
The following standards, interpretations and amendments have been issued with effective dates
relating to periods beginning on or after 1 January 2011.
In October 2010 the IASB issued Disclosures Transfers of Financial Assets (Amendments to
IFRS7) with an effective date of 1 July 2011.
In October 2010 the IASB issued IFRS 9 (2010) which superseded the previous version that was
issued in November 2009 (IFRS 9 (2009)). In December 2011 the IASB issued amendment to
IFRS 9 that extended the effective date of the standard to annual period beginning on or after
1January 2015 and modied its transitional provisions so that entities that initially apply IFRS 9 in
periods beginning:
before 1 January 2012 need not restate prior periods and are not required to provide alternative
disclosures specied in the standard;
on or after 1 January 2012 and before 1 January 2013 must elect to either restate prior periods or
to provide alternative disclosures; or
on or after 1 January 2013 must provide alternative disclosures and do not need to restate prior
periods.
See Appendix I for an illustrative example of the early adoption of IFRS 9.
In December 2010 the IASB issued Deferred Tax: Recovery of Underlying Assets Amendments
to IAS 12 with an effective date of 1 January 2012.
In May 2011 the IASB issued IFRS 10 Consolidated Financial Statements, IFRS 11 Joint
Arrangements, IFRS 12 Disclosure of Interests in Other Entities and IFRS 13 Fair Value
Measurement, which all have an effective date of 1 January 2013. The IASB also issued IAS27
Separate Financial Statements (2011), which supersedes IAS 27 (2008) and IAS 28 Investments in
Associates and Joint Ventures (2011), which supersedes IAS 28 (2008). All these standards have
an effective date of 1January 2013.
In June 2011 the IASB issued Presentation of Items of Other Comprehensive Income
(Amendments to IAS 1 Presentation of Financial Statements) with an effective date of 1 July
2012. For example disclosures for entities that early adopt the amendments, please refer to
Appendix III in our publication Illustrative nancial statements.
In June 2011 the IASB issued an amended IAS 19 Employee Benets, with an effective date of
1January 2013.
(viii) Specic instruments (continued)
Receivables and payables under repurchase agreements and securities lent and borrowed
(continued)
When the Fund sells a nancial asset and simultaneously enters into an agreement to repurchase
the same or similar asset at a xed price on a future date (repo), the arrangement is accounted
for as a borrowing, recognised in the statement of nancial position as payables under repurchase
agreements, and the underlying asset continues to be recognised in the Funds nancial statements.
Securities borrowed by the Fund are not recognised in the statement of nancial position. If the
Fund subsequently sells the borrowed securities, the arrangement is accounted for as a short sold
position, recognised in the statement of nancial position as nancial liabilities at fair value through
prot or loss, classied as held for trading and measured at fair value through prot or loss. Cash
collateral for borrowed securities is included within balances due from brokers.
IAS 39.AG51(a) Securities lent by the Fund are not derecognised from the Funds statement of nancial position.
The Fund discloses cash collateral pledged by the borrower in note 11. When the counterparty has
the rights to sell or repledge the securities, the Fund reclassies them in the statement of nancial
position as pledged nancial assets at fair value through prot or loss.
Receivables from reverse repurchase agreements and payables under repurchase agreements are
subsequently measured at amortised cost.
Redeemable shares
The Fund classies nancial instruments issued as nancial liabilities or equity instruments in
accordance with the substance of the contractual terms of the instruments.
The Fund has two classes of redeemable shares in issue: Class A and Class B that rank pari passu in
all material respects and have the same terms and conditions other than [list down the differences
in terms between the Class A shares and Class B shares, e.g. management fee rate, incentive fees
etc.]. The redeemable shares provide investors with the right to require redemption for cash at a
value proportionate to the investors share in the Funds net assets, after deduction of the nominal
amount of equity share capital, at each monthly [daily/quarterly] redemption date and also in the
event of the Funds liquidation.
The redeemable shares are classied as nancial liabilities and are measured at the present value
of the redemption amounts. In accordance with the Funds prospectus, the redemption amounts of
the individual redeemable shares are calculated using the mid-market prices of the Funds underlying
investments/securities sold short. However, in accordance with the Funds accounting policies, assets
and long positions are measured at a bid price and liabilities and securities sold short are measured at
the asking price (see note 3(h)(iv)). The adjustment from mid-market prices basis to bid-ask prices is
included in computing the total redemption amount of the redeemable shares and is presented as an
adjustment in the statement of nancial position.
IAS 8.30, 31 (i) New standards and interpretations not adopted
1, 2, 3
A number of new standards, amendments to standards and interpretations are effective for annual
periods beginning after 1 January 2011, and have not been applied in preparing these nancial
statements. None of these are expected to have a signicant effect on the measurement of the
amounts recognised in the nancial statements of the Fund. However, IFRS 9 will change the
classication of nancial assets.
Explanatory note
1. IFRS 7.1, 31 An entity discloses information that enables users of its nancial statements to evaluate the nature
and extent of risks arising from nancial instruments to which it is exposed at the end of and during
the reporting period. Those risks typically include, but are not limited to, credit risk, liquidity risk and
market risk.
IFRS 7.33 For each type of risk, an entity discloses:
(1) the exposures to risk and how they arise;
(2) its objectives, policies and processes for managing the risk and the methods used to measure
the risk; and
(3) any changes in (1) or (2) from the previous period.
IFRS 7.32A
An entity makes qualitative disclosures in the context of quantitative disclosures that enables users
to link related disclosures and hence form an overall picture of the nature and extent of risks arising
from nancial instruments. Interaction between qualitative and quantitative disclosures contributes
to disclosure of information in a way that better enables users to evaluate an entitys exposure to
risks.
IFRS 7.B6 The disclosures required by IFRS 7.3141 in respect of the nature and extent of risks arising from
nancial instruments are either presented in the nancial statements or incorporated by cross-
reference from the nancial statements to another statement, such as a management commentary
or risk report, that is available to users of the nancial statements on the same terms as the nancial
statements and at the same time. The location of these disclosures may be guided by local laws.
In these illustrative nancial statements, these disclosures have been presented in the nancial
statements.
IFRS 7 requires only risk disclosures for nancial instruments. Financial risk exposures from non-
nancial instruments, e.g. credit risk from operating leases, are disclosed separately if an entity
chooses to disclose its entire nancial risk position.
IFRS 7.35, IG20 If the quantitative data at the reporting date are not representative of an entitys risk exposure during
the year, then an entity provides further information that is representative, e.g. the entitys average
exposure to risk during the year. For example, the IFRS7 implementation guidance indicates that
if an entity typically has a large exposure to a particular currency but unwinds that position at the
reporting date, then it might present a graph that shows the currency exposure at various times
during the period, or disclose the highest, lowest and average exposures.
2. In these illustrative nancial statements the disclosures in respect of nancial risk management have
been presented to illustrate different potential scenarios and situations that an entity may encounter
in practice. An entity tailors its respective disclosures for the specic facts and circumstances
relative to its business and risk management practices, and also takes into account the signicance
of its exposure to risks from the use of nancial instruments.
3. IFRS 7.3, 5 The disclosure requirements of IFRS 7 are limited to nancial instruments that fall within the scope
of that standard; therefore, operational risks that do not arise from the entitys nancial instruments
are excluded from the requirements.
4. IAS 1.134 The entity discloses information that enables users of its nancial statements to evaluate its
objectives, policies and processes for managing capital.
IAS 8.30, 31 (i) New standards and interpretations not adopted (continued)
The standard is not expected to have an impact on the measurement basis of the nancial assets
since the majority of the Funds nancial assets are measured at fair value through prot or loss.
IFRS 9 deals with recognition, derecognition, classication and measurement of nancial assets and
nancial liabilities. Its requirements represent a signicant change from the existing requirements in
IAS 39 in respect of nancial assets. The standard contains two primary measurement categories for
nancial assets: at amortised cost and fair value. A nancial asset would be measured at amortised
cost if it is held within a business model whose objective is to hold assets in order to collect
contractual cash ows, and the assets contractual terms give rise on specied dates to cash ows
that are solely payments of principal and interest on the principal outstanding. All other nancial
assets would be measured at fair value. The standard eliminates the existing IAS 39 categories of
held to maturity, available for sale and loans and receivables.
For an investment in an equity instrument that is not held for trading, the standard permits an
irrevocable election, on initial recognition, on an individual share-by-share basis, to present all fair
value changes from the investment in other comprehensive income. No amount recognised in other
comprehensive income would ever be reclassied to prot or loss. However, dividends on such
investments are recognised in prot or loss, rather than other comprehensive income unless they
clearly represent a partial recovery of the cost of the investment. Investments in equity instruments
in respect of which an entity does not elect to present fair value changes in other comprehensive
income would be measured at fair value with changes in fair value recognised in prot or loss.
The standard requires that derivatives embedded in contracts with a host that is a nancial asset
within the scope of the standard are not separated; instead the hybrid nancial instrument is
assessed in its entirety as to whether it should be measured at amortised cost or fair value.
IFRS 9.B5.7.5, IFRS 9 requires that the effects of changes in credit risk of liabilities designated as at fair value
B5.7.8 through prot or loss are presented in other comprehensive income unless such treatment
would create or enlarge an accounting mismatch in prot or loss, in which case all gains or
losses on that liability are presented in prot or loss. Other requirements of IFRS 9 relating to
classication and measurement of nancial liabilities are unchanged from IAS 39.
The requirements of IFRS 9 relating to derecognition are unchanged from IAS 39.
The standard is effective for annual periods beginning on or after 1 January 2015. Earlier application is
permitted. The Fund does not plan to adopt this standard early.
IFRS 7.31 4. Financial risk management
1, 2
(a) Introduction and overview
IFRS 7.31, 32 The Fund has exposure to the following risks from nancial instruments:

credit risk

liquidity risk

market risk

operational risk.
3
IFRS 7.33 This note presents information about the Funds exposure to each of the above risks, the Funds
objectives, policies and processes for measuring and managing risk, and the Funds
management of capital.
4
Explanatory note
1. IFRS 7.34 IFRS 7 requires the disclosure of summary quantitative data on credit risk to be based on information
provided internally to the entitys key management personnel, as dened in IAS 24, e.g. the entitys
board of directors or chief executive. An entity explains how those data are determined. This issue is
The standard also requires specic additional disclosures to be made unless covered by the
information provided to management.
exposure to risk during the year.
The example shown in these illustrative nancial statements in relation to credit risk assumes
that the primary bases for reporting to key management personnel on credit risk is monitoring of
credit ratings of counterparties to debt securities, reverse repurchase and derivatives transactions,
brokers and bankers and industry concentration of debt securities. However, other presentations
arepossible.
4. Financial risk management

(continued)
(a) Introduction and overview (continued)
(i) Risk management framework
IFRS 7.31 The Fund maintains positions in a variety of derivative and non-derivative nancial instruments in
accordance with its investment management strategy. [Insert description of the Funds investment
strategy as outlined in the Funds prospectus]. The Funds investment portfolio comprises listed
and unlisted equity and debt securities, derivative nancial instruments and investments in unlisted
investment funds.
The Funds investment manager has been given a discretionary authority to manage the assets in
line with the Funds investment objectives. Compliance with the target asset allocations and the
composition of the portfolio is monitored by the board of directors on a [daily/weekly/monthly] basis.
In instances where the portfolio has diverged from target asset allocations, the Funds investment
manager is obliged to take actions to rebalance the portfolio in line with the established targets,
within prescribed time limits.
During 2011 higher levels of market volatility persisted across all asset classes. Uncertainty over the
levels of borrowing by governments in the major economies and concerns over the performance of
sovereign debt in the Eurozone substantially increased market volatility. The largest impact resulted
from the general widening of credit spreads. The Fund sought to mitigate the market and credit risk
by diversifying away from exposures to countries with the highest uncertainty and volatility and
through increased diversication of its investment portfolio.
The Fund does not have a direct exposure to the sovereign risk of Eurozone countries. Exposures to
other Eurozone counterparties are as follows:
Debt Equity
In thousands of euro securities investments Derivatives Total
2011
Germany 4,568 3,789 156 8,513
France 3,038 2,145 82 5,265
Spain 1,154 2,282 26 3,462
Portugal 925 115 16 1,056
9,685 8,331 280 18,296
Debt Equity
In thousands of euro securities investments Derivatives Total
2010
Germany 4,489 2,825 136 7,450
France 2,039 2,125 56 4,220
Spain 3,138 1,311 24 4,473
Portugal 915 114 9 1,038
10,581 6,375 225 17,181
IFRS 7.33 (b) Credit risk
1
Credit risk is the risk that a counterparty to a nancial instrument will fail to discharge an obligation
or commitment that it has entered into with the Fund, resulting in a nancial loss to the Fund. It
arises principally from debt securities held, and also from derivative nancial assets, cash and cash
equivalents, balances due from brokers and receivables from reverse repurchase agreements. For
risk management reporting purposes the Fund considers and consolidates all elements of credit risk
exposure (such as individual obligor default risk, country and sector risk).
Explanatory note
1. IFRS 7.36(a) An entity discloses information about the nature and extent of its exposure to credit risk. The
disclosure of the maximum exposure to credit risk ignores any collateral held or other credit
enhancement. This disclosure is not required for nancial instruments whose carrying amount best
represents the maximum exposure to credit risk.
IFRS 7.B9, B10 The maximum credit risk exposure typically is the gross carrying amount of the nancial asset, net of
any amounts offset in accordance with IAS 32 and any impairment losses recognised in accordance
with IAS 39.
IFRS 7.36,
B1B3
The disclosures in respect of credit risk apply to each class of nancial asset, which is not dened
in IFRS 7. Classes are distinct from the categories of nancial instruments specied in IAS 39. In
determining classes of nancial instruments, an entity at a minimum distinguishes instruments
measured at amortised cost from those measured at fair value, and treats as a separate class or
classes those nancial instruments outside the scope of IFRS 7.
IFRS 7.IG21
IG29
The IFRS 7 implementation guidance provides additional guidance on the disclosures without
specifying a minimum standard disclosure.
4. Financial risk management (continued)
(b) Credit risk (continued)
(i) Management of credit risk
IFRS 7.33(b) The Funds policy over credit risk is to minimise its exposure to counterparties with perceived
higher risk of default by dealing only with counterparties meeting the credit standards set out in the
Funds prospectus and by taking collateral. [Insert specic risk management policies and investment
guidelines relating to credit risk as outlined in the Funds prospectus].
IFRS 7.33(b) Credit risk is monitored on a [daily/weekly/monthly] basis by the investment manager in accordance
with policies and procedures in place. [Insert specic risk management procedures. This should
include how the risk is managed and measured]. The Funds credit risk is monitored on a [monthly,
quarterly, other] basis by the board of directors. Where the credit risk is not in accordance with
the investment policy or guidelines of the Fund, the investment manager is obliged to rebalance
the portfolio within [state number of days] days of each determination that the portfolio is not in
compliance with the stated investment parameters.
(ii) Exposure to credit risk
1
IFRS 7.36(a), (b) The Funds maximum credit risk exposure (without taking into account collateral and other credit
enhancements) at the reporting date is represented by the respective carrying amounts of the
relevant nancial assets in the statement of nancial position. The risk on some of these exposures,
principally receivables from reverse repurchase agreements, is mitigated by collateral held (see
note 11).
(iii) Investments in debt securities
IFRS 7.36(a), (b) The Funds maximum credit risk exposure (without taking into account collateral and other credit
enhancements) at the reporting date is represented by the respective carrying amounts of the relevant
nancial assets in the statement of nancial position. The risk on some of these exposures, principally
receivables from reverse repurchase agreements, is mitigated by collateral held (see note 11).
IFRS 7.34(c) At 31 December, the Fund was invested in debt securities with the following credit quality:
IFRS 7.36(c) Rating 2011 2010
AAA/Aaa 12.8% 35.8%
AA/Aa 83.1% 61.1%
BBB/Baa 4.1% 3.1%
Total 100.0% 100.0%
(iv) Derivative nancial instruments
IFRS 7.36(c) The Fund enters in two types of derivative transactions: exchange-traded derivatives and over-the-
counter (OTC) derivatives. Credit risk arising from exchange-traded derivatives is mitigated by margin
requirements. OTC derivatives expose the Fund to the risk that the counterparties to the derivative
nancial instruments might default on their obligations to the Fund.
IFRS 7.36(b), (c) Derivative nancial instruments are transacted with counterparties that are rated at least AA based
on rating agency [X] ratings, within predetermined limits, and with whom the Fund has signed master
netting agreements. Master netting agreements provide for the net settlement of contracts with the
same counterparty in the event of default. As a result of master netting agreements, at 31 December
2011, the Fund would be entitled to offset derivative assets of 451 thousand (2010: 299 thousand)
against derivative liabilities in the event of counterparty defaults. For the purposes of reporting in the
statement of nancial position, the derivative nancial assets and liabilities have not been offset, as
they do not meet the offsetting criteria. The net exposure to credit risk mitigated by master netting
arrangements may change signicantly within a short period of time due to the highly volatile nature
of the fair value of the derivatives.
Explanatory note
1. IFRS 7.37(b) An entity discloses a description of collateral held by the entity as security and other credit
enhancements and their nancial effect in respect of the amount that best represents maximum
exposure to credit risk.
2. IFRS 7.B8, IG18,
IG19
The identication of concentrations of risk requires judgement taking into account the circumstances
of the entity. For example, concentrations of credit risk may arise from industry sectors, credit
rating or other measures of credit quality, geographical distribution or a limited number of individual
counterparties. Therefore, the disclosure of risk concentrations includes a description of the shared
characteristics.
(iv) Derivative nancial instruments (continued)
The following table sets out the fair values and the notional amount of derivative assets and liabilities
held by the Fund as at the reporting date:
2011 2011 2010 2010
In thousands of euro Fair value Notional Fair value Notional
Derivative assets
Listed equity index options 249 5,000 29 400
Foreign currency forward contracts 219 2,000 300 2,700
Equity indices futures contracts 54 7,500 - -
Foreign currency futures contracts 23 2,500 106 1,500
Total derivative assets 545 17,000 435 4,600
2011 2011 2010 2010
In thousands of euro Fair value Notional Fair value Notional
Derivative liabilities
Listed equity index options (1,066) (16,000) (756) (15,000)
Foreign currency forward contracts (822) (10,000) (106) (1,200)
Credit default swaps (485) (12,800) - -
Interest rate swaps (464) (5,900) (372) (4,000)
Total derivative liabilities (2,837) (44,700) (1,234) (20,200)
(v) Balances due from brokers
IFRS 7.36(c) Balances due from brokers represent margin accounts, cash collateral for borrowed securities and
sale transactions awaiting settlement. Credit risk relating to unsettled transactions is considered
small due to the short settlement period involved and the high credit quality of the brokers used. As
at the reporting date 72% (2010: 69%) of the balances due from brokers are concentrated amongst
three brokers (2010: four brokers) whose credit rating was AA (2010: AA). The investment manager
monitors the nancial position of the brokers on a quarterly basis.
(vi) Cash and cash equivalents
IFRS 7.36(c) The Funds cash and cash equivalents are held mainly with XYZ Bank, which is rated AA (2010: AA)
based on rating agency [X] ratings. The investment manager monitors the nancial position of XYZ
Bank on a quarterly basis.
(vii) Receivables from reverse repurchase agreements
1
IFRS 7.36(b) The Fund enters into reverse repurchase agreements that may result in credit loss in the event that
the counterparty to the transaction is unable to full its contractual obligations to the Fund, and
the collateral value decreases rapidly and is insufcient to cover the amount due. At 31 December
2011 the fair value of debt securities held as collateral against receivables from reverse repurchase
agreements was 4,999 thousand (2010: 4,190 thousand). In instances in which the value of
the collateral decreases below the predetermined collateral coverage, the agreement requires the
counterparty to post additional collateral. In addition, the Fund minimises its credit risk by monitoring
counterparty creditworthiness (see note 11).
(viii) Concentration of credit risk
2
IFRS 7.34(c) The investment manager reviews credit concentration of debt securities held based on counterparties
and industries [and geographical location].
Explanatory note
1. IFRS 7.37(a) An entity discloses an ageing analysis of nancial assets that are past due at the reporting date, but
not impaired. This disclosure is required for all classes of nancial assets. These illustrative nancial
statements do not demonstrate such disclosures; for an example please refer to our publications
Illustrative nancial statements and Illustrative nancial statements: Banks.
2. IFRS 7.34(a),
B10A
IFRS 7 requires the disclosure of summary quantitative data on liquidity risk to be based on
information provided internally to the entitys key management personnel, as dened in IAS 24, e.g.
the entitys board of directors or chief executive. An entity explains how those data are determined.
The example shown in these illustrative nancial statements in relation to liquidity risk assumes that
the primary basis for reporting to key management personnel on liquidity risk is the ratio of liquid
assets to anticipated redemptions and monthly redemption levels. The example also assumes that
this is the entitys approach to managing liquidity risk. However, other presentations are possible.
(viii) Concentration of credit risk (continued)
IFRS 7.B8(a) As at the reporting date, the Funds debt securities exposures were concentrated in the following
industries:
2011 2010
% %
Banks/nancial services 48.8 54.5
Automotive manufacturing 15.1 12.3
Information technology 12.5 8.0
Pharmaceutical 8.2 13.1
Other 15.4 12.1
100.0 100.0
There were no signicant concentrations in this portfolio of credit risk to any individual issuer or
group of issuers at 31 December 2011 or 31 December 2010. No individual investment exceeded 5%
of the net assets attributable to the holders of redeemable shares either at 31 December 2011 or
31 December 2010.
(ix) Settlement risk
The Funds activities may give rise to risk at the time of settlement of transactions. Settlement risk
is the risk of loss due to the failure of an entity to honour its obligations to deliver cash, securities or
other assets as contractually agreed.
For the majority of transactions the Fund mitigates this risk by conducting settlements through
a broker to ensure that a trade is settled only when both parties have fullled their contractual
settlement obligations. Settlement limits form part of the credit approval and limit monitoring
processes described earlier.
IFRS 7.37 (x) Past due and impaired assets
1
No nancial assets carried at amortised cost were past due or impaired either at 31 December 2011
or 31 December 2010.
IFRS 7.39 (c) Liquidity risk
2
Liquidity risk is the risk that the Fund will encounter difculty in meeting the obligations associated
with its nancial liabilities that are settled by delivering cash or another nancial asset.
IFRS 7.39(c) (i) Management of liquidity risk
The Funds policy and the investment managers approach to managing liquidity is to ensure, as far as
possible, that it will always have sufcient liquidity to meet its liabilities when due, under both normal
and stress conditions, including estimated redemptions of shares, without incurring unacceptable
losses or risking damage to the Funds reputation.
The Funds prospectus provides for the monthly [daily/quarterly] creation and cancellation of
shares and it is therefore exposed to the liquidity risk of meeting shareholder redemptions at each
redemption date [at any time].
The Funds nancial assets include unlisted equity investments, which generally are illiquid. In
addition, the Fund holds investments in unlisted open-ended investment funds, which may be subject
to redemption restrictions such as side pockets or redemption gates. As a result, the Fund may not
be able to liquidate some of its investments in these instruments in due time in order to meet its
liquidity requirements.
Explanatory note
1. IFRS 7.39 In addition to disclosures based on information provided internally to key management personnel, an
entity also discloses:
a maturity analysis for non-derivative nancial liabilities;
a maturity analysis for derivative nancial liabilities, which should include those instruments for
which contractual maturities are essential for an understanding of the timing of the cash ows; and
a description of how it manages the liquidity risk inherent in the above.
2. IFRS 7.B11D The contractual amounts disclosed in this analysis are gross undiscounted cash ows and therefore
may not agree with the carrying amounts in the statement of nancial position.
IFRS 7 does not dene contractual maturities. It therefore leaves open to interpretation the amounts
that need to be included in the analysis for certain types of nancial liabilities, such as derivatives
and perpetual instruments. In our view, both the interest and principal cash ows should be included
in the analysis, as this best represents the liquidity risk being faced by the entity. This issue is
discussed in our publication Insights into IFRS (7.8.390.70).
IFRS 7.B11 In preparing the contractual maturity analyses for nancial liabilities, an entity uses its judgement to
determine an appropriate number of time bands. This issue is further discussed in our publication
Insights into IFRS (7.8.390.80).
IFRS 7.B11E An entity discloses how it manages liquidity risk inherent in its maturity analyses for derivative and
non-derivative nancial liabilities. An entity also discloses a maturity analysis of nancial assets that
it holds for managing liquidity risk, if such information is necessary to enable users of its nancial
statements to evaluate the nature and extent of liquidity risk.
3. IFRS 7.B11B In these illustrative nancial statements it is assumed that disclosure of contractual maturities for all
derivative nancial liabilities held by the Fund is essential for an understanding of the timing of the
cash ows.
(c) Liquidity risk (continued)
(i) Management of liquidity risk (continued)
The Funds investments in listed securities are considered to be readily realisable as they are actively
traded on major European stock exchanges and on the NYSE.
IFRS 7.33(b), 39(c), The Funds liquidity risk is managed on a daily basis by the investment manager in accordance
B11E with policies and procedures in place. [Insert specic risk management policies and investment
guidelines relating to liquidity risk as outlined in the Funds prospectus as well as the risk
management procedures. This should include how the risk is managed and measured].
The Funds overall liquidity risk is monitored on a [monthly, quarterly, other] basis by the board of
directors. The Funds redemption policy only allows for redemptions on the last day of each month
[quarter, other] and shareholders must provide 14 days notice. It is the investment managers policy
to have liquid assets comprising cash and cash equivalents and investments for which there is an
active and liquid market equal to at least 105% of [monthly, quarterly, other] anticipated redemptions.
The board of directors is empowered to impose a redemption gate should redemption levels exceed
10% of the net assets value of the Fund in any redemption period.
IFRS 7.B11F(a), In addition, the Fund maintains the lines of credit of 300 thousand that it can access to meet
50(a) liquidity needs. If the line of credit is drawn, interest would be payable at the rate of Euribor plus
160 basis points (2010: Euribor plus 150 basis points). The Fund has no restrictions on the use of
this facility.
IFRS 7.39(a), (b) (ii) Maturity analysis for nancial liabilities
1, 2
The following are the contractual maturities of nancial liabilities, including estimated interest
payments.
Gross
nominal
Carrying inow/ Less than 1 to 3 3 months
IFRS 7.B11 In thousands of euro amount (outow) 1 month months to 1 year
31 December 2011
Non-derivative liabilities
Securities sold short (784) (784) (784) - -
Balances due to brokers (143) (143) (143) - -
Payables under repurchase
agreements (2,563) (2,755) (1,213) (1,542) -
Other payables (103) (103) (103) - -
Net assets attributable to
holders of redeemable shares (32,625) (32,647) (32,647) - -
IFRS 7.B11B Derivative liabilities
3
(2,837) - - - -
Outows - (9,182) (7,542) (1,640) -
Inows - 6,250 5,500 750 -
(39,055) (39,364) (36,932) (2,432) -
Explanatory note
1. IFRS 7. 34(a) IFRS 7 requires the disclosure of summary quantitative data on market risk to be based on
information provided internally to the entitys key management personnel, as dened in IAS 24, e.g.
the entitys board of directors or chief executive. An entity explains how those data are determined.
This issue is discussed in our publication Insights into IFRS (7.8.340).
In these illustrative nancial statements, the following primary basis for market risk reporting to key
management personnel is assumed:
for interest rate risk gap analysis and the weighted average number of days to maturity
for foreign exchange risk analysis of concentration risk in relation to individual currencies arising
from both monetary and non-monetary assets and liabilities.
for other price risk analysis of the portfolio diversication by asset type and industry concentration
of equity investments.
However, other presentations are possible.
2. IFRS 7.40(a) An entity discloses how prot or loss and net assets attributable to holders of redeemable shares
would have been affected by changes in a relevant risk variable that were reasonably possible at the
reporting date. Such a sensitivity analysis is disclosed for each type of market risk to which the entity
is exposed at the reporting date.
IFRS 7.41 In these illustrative nancial statements it is assumed that the Fund does not prepare a sensitivity
analysis such as a Value-at-Risk analysis (VaR) that reects the interdependencies between risk
variables. However, we have illustrated in Appendix V an example disclosure for a fund that uses a
VaR analysis.
(c) Liquidity risk (continued)
(ii) Maturity analysis for nancial liabilities (continued)
Gross
nominal
Carrying inow/ Less than 1 to 3 3 months
IFRS 7.B11 In thousands of euro amount (outow) 1 month months to 1 year
31 December 2010
Non-derivative liabilities
Securities sold short (212) (212) (212) - -
Balances due to brokers (275) (275) (275) - -
agreements (2,234) (2,408) - (2,408) -
Other payables (101) (101) (101) - -
holders of redeemable shares (29,979) (29,996) (29,996) - -
IFRS 7.B11B Derivative liabilities (1,234) - - - -
Outows - (5,330) (2,398) (372) (2,560)
Inows - 4,000 2,000 - 2,000
(34,035) (34,322) (30,982) (2,780) (560)
IFRS 7.39(a), (c), The table above shows the undiscounted cash ows of the Funds nancial liabilities on the basis of
B11C, B11D their earliest possible contractual maturity. The gross amounts include interest payable when
appropriate. The Funds expected cash ows on these instruments do not vary signicantly from this
analysis, except for net assets attributable to the holders of redeemable shares, which the Fund has
a contractual obligation to redeem within 14 days. Historical experience indicates that these shares
are held by the shareholders on a medium or long term basis. Based on average historic information,
redemption levels are expected to approximate 600 thousand per month (2010: 500 thousand per
month); however, actual monthly redemptions could differ signicantly from this estimate particularly
in the current economic environment.
IFRS 7.39(b), (c), For derivative nancial instruments, the gross nominal inow/(outow) disclosed in the table
B11B, B11D represents the contractual undiscounted cash ows relating to these instruments. The disclosure
shows net cash ow amounts for derivatives that are net cash settled and gross cash inow
and outow amounts for derivatives that have simultaneous gross cash settlement, e.g. forward
exchange contracts and currency swaps.
IFRS 7.31, 32 (d) Market risk
1, 2
Market risk is the risk that changes in market prices, such as interest rates, equity prices, foreign
exchange rates and credit spreads (not relating to changes in the obligors/issuers credit standing)
will affect the Funds income or the fair value of its holdings of nancial instruments. The objective
of market risk management is to manage and control market risk exposures within acceptable
parameters, while optimising the return.
IFRS 7.39(c) (i) Management of market risk
The Funds strategy for the management of market risk is driven by the Funds investment objective.
[Insert description of the investment objective as outlined in the Funds prospectus].
(d) Market risk (continued)
(i) Management of market risk (continued)
The Funds market risk is managed on a daily basis by the investment manager in accordance with
policies and procedures in place. [Insert specic risk management policies and investment guidelines
relating to market risk as outlined in the Funds prospectus. This should include how the risk is
managed and measured]. The Funds market positions are monitored on a [monthly, quarterly, other]
basis by the board of directors.
An overview of the Funds investment portfolio at 31 December 2011 is set out in Appendix IV
(unaudited).
The Fund uses derivatives to manage its exposure to foreign currency, interest rate and other price
risks. The instruments used include interest rate swaps, forward contracts, futures and options. The
Fund does not apply hedge accounting.
(ii) Interest rate risk
The Fund is exposed to the risk that the fair value or future cash ows of its nancial instruments
will uctuate as a result of changes in market interest rates. In respect of the Funds interest-bearing
nancial instruments, the Funds policy is to transact in nancial instruments that mature or reprice
in the short term, i.e. no longer than 12 months. Accordingly, the Fund would be subject to limited
exposure to fair value or cash ow interest rate risk due to uctuations in the prevailing levels of
market interest rates.
IFRS 7.34(a) A summary of the Funds interest rate gap position, analysed by the earlier of contractual re-pricing or
maturity date, is as follows:
Less than 1 to 3 3 months
In thousands of euro 1 month months to 1 year Total
31 December 2011
Assets
Cash and cash equivalents 51 - - 51
Financial assets at fair value through
prot or loss:
Debt securities 4,891 3,091 2,069 10,051
Receivables from reverse repurchase
agreements 550 4,194 - 4,744
Total assets 5,492 7,285 2,069 14,846
Liabilities
Payables under repurchase agreements (1,286) (1,277) - (2,563)
Total liabilities (1,286) (1,277) - (2,563)
Effect of derivatives held for interest rate
risk management - 1,100 (1,100) -
Total interest sensitivity gap 4,206 7,108 969 12,283
Explanatory note
1. IFRS 7. 40(a) IAS 32 requires disclosure of sensitivity analysis, showing how prot or loss and equity would have
been affected by changes in the relevant risk variable that were reasonably possible at the end of the
reporting period. As the Fund presents its statement of comprehensive income and the statement
of nancial position following Example 7 of IAS 32, the sensitivity analysis disclose how changes in
and net assets attributable to holders of redeemable shares would have been affected by reasonably
possible changes in the relevant risk.
(ii) Interest rate risk (continued)
Less than 1 to 3 3 months
In thousands of euro 1 month months to 1 year Total
31 December 2010
Assets
Cash and cash equivalents 71 - - 71
prot or loss:
Debt securities 4,987 6,422 3,102 14,511
agreements 480 3,510 - 3,990
Total assets 5,538 9,932 3,102 18,572
Liabilities
Payables under repurchase agreements (392) (1,842) - (2,234)
Total liabilities (392) (1,842) - (2,234)
Effect of derivatives held for interest rate
risk management - 2,500 (2,500) -
Total interest sensitivity gap 5,146 10,590 602 16,338
IFRS 7.34(a) In order to manage interest rate risk the Fund aims to maintain a weighted average days to maturity,
or contractual re-pricing date if earlier, for debt securities of less than 90 days. [Insert specic risk
management policies and investment guidelines relating to interest rate risk as outlined in the Funds
prospectus]. At the reporting date the weighted average days to maturity, or contractual re-pricing
date if earlier, is 70.3 days (2010: 79.8 days).
IFRS 7.33(b) The internal procedures require the investment manager to manage interest rate risk on a daily basis
in accordance with policies and procedures in place. [Insert specic risk management procedures.
This should include how the risk is managed and measured]. The Funds interest rate risk is monitored
on a [monthly, quarterly, other] basis by the board of directors. Where the interest rate risk is not
in accordance with the investment policy or guidelines of the Fund, the investment manager is
required to rebalance the portfolio within [state number of days] days of each determination of
such occurrence.
IFRS 7.40 The sensitivity analysis reects how changes in and net assets attributable to holders of redeemable
shares would have been affected by changes in the relevant risk variable that were reasonably
possible at the reporting date. [Insert any other information on type of model, assumptions and
parameters used in the sensitivity analysis.]

1

(ii) Interest rate risk (continued)
IFRS 7.B19 Management have determined that a uctuation in interest rates of 50 basis points is reasonably
possible, considering the economic environment in which the Fund operates. The table below sets
out the effect on the Funds net assets attributable to holders of redeemable shares of a reasonably
possible increase or reduction of 50 basis points in interest rates at 31 December. The impact of
such increase or reduction has been estimated by calculating the fair value changes of the xed
interest debt securities and other xed interest bearing assets less liabilities. The Fund does not have
positions bearing oating rate of interest. This analysis assumes that all other variables, in particular
foreign currency rates, remain constant.
Effect in thousands of euros 2011 2010
Net impact on changes in and net assets attributable to holders of
redeemable shares (61.4) (81.7)
Effect in %
Net impact on net assets attributable to holders of redeemable shares (0.19%) (0.27%)
(iii) Currency risk
The Fund invests in nancial instruments and enters into transactions that are denominated in
currencies other than its functional currency, primarily in US Dollars (USD), Pound Sterling (GBP) and
Swiss Francs (CHF). Consequently, the Fund is exposed to risk that the exchange rate of its currency
relative to other foreign currencies may change in a manner that has an adverse effect on the fair
value or future cash ows of that portion of the Funds nancial assets or liabilities denominated in
currencies other than the euro.
IFRS 7.33(b) The Funds policy with respect to managing its currency risk is to limit its total foreign currency
exposure to less than 50% of the Funds net assets, with no individual foreign currency exposure
being greater than 25% of the net assets. [Insert specic risk management policies and investment
guidelines relating to currency risk as outlined in the Funds prospectus].
The Funds currency risk is managed on a daily basis by the investment manager in accordance
with policies and procedures in place. [Insert specic risk management procedures taken by the
investment manager on currency risk. This should include how the risk is managed and measured].
The Funds currency positions and exposures are monitored on a [monthly, quarterly, other] basis by
the board of directors.
IFRS 7.34(a) At the reporting date the carrying value of the Funds net nancial assets and liabilities held in
individual foreign currencies expressed in euro and as a percentage of its net assets were as follows:
2011 2010
Thousands % of net Thousands % of net
Currency of euro assets of euro assets
USD 7,536 23.1% 4,287 14.3%
GBP 2,023 6.2% 959 3.2%
CHF 881 2.7% 779 2.6%
10,440 32.0% 6,025 20.1%
(iii) Currency risk (continued)
IFRS 7.40 The table below sets out the effect on the Funds changes in and net assets attributable to holders of
redeemable shares of a reasonably possible weakening of euro against the USD by 5% (2010: 4%),
GBP by 3% (2010: 2%) and CHF by 7% (2010: 6%) at 31 December. The analysis assumes that all
other variables, in particular interest rates, remain constant.
Effect in thousands of euros 2011 2010
USD 377 187
GBP 61 21
CHF 62 51
Effect in % of net assets 2011 2010
USD 1.2% 0.6%
GBP 0.2% 0.1%
CHF 0.2% 0.2%
A strengthening of euro against the above currencies would have resulted in an equal but opposite
effect to the amounts shown above.
(iv) Other market price risk
Other price risk is the risk that the fair value of the nancial instrument will uctuate as a result of
changes in market prices (other than those arising from interest rate risk or currency risk), whether
caused by factors specic to an individual investment, its issuer or factors affecting all instruments
traded in the market.
IFRS 7.33(b) Price risk is managed by the investment manager by diversifying the portfolio and economically
hedging using derivative nancial instruments such as options or futures contracts. [Disclose any
additional investment strategies adopted by the Fund and management with respect to its policies on
managing price risk].
The Funds policy for concentration of its investment portfolio prole is as follows:
Equity investments listed on European stock exchanges
and on the NYSE Up to 80% of net assets
Unlisted equity investments Up to 15% of net assets
Unlisted open-ended investment funds Up to 15% of net assets
Listed corporate debt securities Up to 40% of net assets
Equity investments sold short Up to 30% of net assets
IFRS 7.33(b) The internal procedures require the investment manager to manage price risk on a daily basis. [Insert
specic risk management procedures. This should include how risk is managed and measured]. The
Funds procedures require price risk to be monitored on a [monthly, quarterly, other] basis by the
board of directors.
Where the price risk is not in accordance with the investment policy or guidelines of the Fund, the
investment manager is required to rebalance the portfolio within [state number of days] days of each
determination of such occurrence.
(iv) Other market price risk (continued)
IFRS 7.34(a) The following table sets out concentration of the investment assets and liabilities excluding
derivatives held by the Fund as at the reporting date:
2011 2010
% of % of
net assets net assets
Equity investments:
Exchange traded equity investments 51.8 35.5
Unlisted private equity investments 1.5 -
Unlisted open-ended investment funds 5.0 4.0
Total equity investments 58.3 39.5
Debt securities:
Exchange traded debt securities 30.8 48.4
Total debt securities 30.8 48.4
Total investment assets 89.1 87.9
Securities sold short (2.4) (0.7)
Total investment liabilities (2.4) (0.7)
IFRS 7.34(c), B8(a) The investment manager further monitors concentration of risk based on counterparties and
industries [and geographical location]. The Funds equity investments are concentrated in the following
industries:
2011 2010
% %
Healthcare 18.6 21.2
Energy 17.5 15.8
Telecommunication 16.9 14.3
Banks/nancial services 15.9 13.5
Information technology 14.5 13.2
Biotechnology 5.6 2.9
Automotive manufacturing 5.1 8.3
Pharmaceutical 3.2 3.1
Other 2.7 7.7
100.0 100.0
There were no signicant concentrations of risk to issuers at 31 December 2011 or 31 December
2010. No exposure to any individual issuer exceeded 5% of the net assets attributable to the holders
of redeemable shares either at 31 December 2011 or 31 December 2010.
Explanatory note
1. IFRS 7.3, 5 The disclosure requirements of IFRS 7 are limited to nancial instruments that fall within the scope
of that standard; therefore, operational risks that do not arise from the entitys nancial instruments
are excluded from the requirements.
(iv) Other market price risk (continued)
IFRS 7.40 The Fund estimates the future reasonably possible market price uctuations for equity investments
on an individual investment basis.
The table below sets out the effect on the Funds changes in and net assets attributable to holders
of redeemable shares of a reasonably possible weakening in the individual equity market prices of
4% at 31 December. The analysis assumes that all other variables, in particular interest and foreign
currency rates remain constant.
Effect in thousands of euro 2011 2010
Exchange traded equity investments (561) (352)
Securities sold short 25 7
Effect in % of net assets 2011 2010
Exchange traded equity investments (1.7%) (1.2%)
Securities sold short 0.0% 0.0%
A strengthening in the individual equity market prices of 4% at 31 December would have resulted in
an equal but opposite effect to the amounts shown above.
All investments in listed corporate debt securities are xed income instruments and have maturities
of six months or less. The Fund expects minimal price uctuations for these investments, other than
those arising from interest rate or credit risk. As a result, the Fund is not subject to signicant other
price risk on these investments.
The Fund has invested in unlisted open-ended investment funds with underlying equity portfolios that
are benchmarked against certain indices. The Fund estimates the reasonable change in future value
of the funds by combining the expected market increase or reduction of the relevant index with the
beta coefcient of the portfolio of stocks. Beta is a measure of a stocks or stock portfolios volatility
in comparison to a relevant broad-based stock market or an index, and is calculated using regression
analysis based on historical returns.
Considering the reasonably possible index increase of 0.5%, the effect on the Funds changes
in and net assets attributable to holders of redeemable shares is an increase of 8 thousand at
31 December 2011 (2010: 6 thousand). A weakening of the indices would have resulted in an equal
but opposite effect to the amounts shown above.
(e) Operational risk
1
Operational risk is the risk of direct or indirect loss arising from a wide variety of causes associated
with the processes, technology and infrastructure supporting the Funds activities with nancial
instruments either internally within the Fund or externally at the Funds service providers, and from
external factors other than credit, market and liquidity risks such as those arising from legal and
regulatory requirements and generally accepted standards of investment management behaviour.
Explanatory note
1. IAS 1.135 The disclosures in respect of capital management are based on the information provided internally to
key management personnel of the entity, as dened in IAS 24, e.g. the entitys board of directors.
IAS 1.135(c)(e) When applicable, an entity discloses changes in quantitative and qualitative data about its objectives,
policies and processes for managing capital as compared to the prior period, a statement of whether
it has complied with externally imposed capital requirements and any instances of non-compliance
therewith.
IAS 1.136 When an aggregate disclosure of capital requirements and how capital is managed would not
provide useful information or distorts a nancial statement users understanding of an entitys capital
resources, the entity discloses separate information for each capital requirement to which the entity
is subject.
2. IAS 1.135(a)(ii) When an entity is subject to additional externally imposed capital requirements, the nature of those
requirements is incorporated into the management of capital.
3. The example disclosures presented in these illustrative nancial statements illustrates a possible
disclosure for an entity with minimal equity and with net assets attributable to the holders of
redeemable shares. However, other presentations are possible.
The example disclosures are not designed to comply with any particular regulatory framework and
assume that the Fund has no externally imposed capital requirements other than the requirement
to issue non-redeemable management shares at the inception of the Fund. Other funds may have
additional externally imposed requirements imposed by a jurisdictions regulators; if this arises, then
disclosures of these externally imposed requirements are required.
(e) Operational risk (continued)
The Funds objective is to manage operational risk so as to balance limiting of nancial losses and
damage to its reputation with achieving its investment objective of generating returns to investors.
The primary responsibility for the development and implementation of controls over operational
risk rests with the board of directors. This responsibility is supported by the development of overall
standards for the management of operational risk, which encompasses the controls and processes
at the service providers and the establishment of service levels with the service providers, in the
following areas:

requirements for appropriate segregation of duties between various functions, roles and
responsibilities;

requirements for the reconciliation and monitoring of transactions;

compliance with regulatory and other legal requirements;

documentation of controls and procedures;

requirements for the periodic assessment of operational risk faced, and the adequacy of controls
and procedures to address the risks identied;

contingency plans;

ethical and business standards; and

risk mitigation, including insurance if this is effective.
The directors assessment over the adequacy of the controls and processes in place at the service
providers with respect to operational risk is carried out via regular [or ad-hoc] discussions with
the service providers and a review of the service providers SAS 70 reports on internal controls, if
available.
Substantially all of the assets of the Fund are held by [insert the name of the custodian]. Bankruptcy
or insolvency of the Funds custodian may cause the Funds rights with respect to the securities held
by the custodian to be delayed or limited. The investment manager monitors credit ratings and capital
adequacy of its custodian on a [monthly, quarterly, other] basis, and reviews the ndings documented
in the SAS 70 report on the internal controls annually.
The Fund has provided the custodian a general lien over the nancial assets held in custody for the
purpose of covering the exposure from providing custody services. The general lien is part of the
standard contractual terms of the custody agreement.
IAS 1.134, 135(a)(ii) (f) Capital management
1, 2, 3
The Fund is required by the [title of legislation or regulation] to maintain authorised and paid up capital
at a minimum amount of 10 thousand in the form of management shares [explain the reason for
issuing the shares, if different from above]. The holders of management shares are entitled to a
repayment of up to par value only upon the winding up of the Fund in priority to redeemable shares.
The Fund is not subject to other externally imposed capital requirements.
The redeemable shares issued by the Fund provide an investor with the right to require redemption
for cash at a value proportionate to the investors share in the Funds net assets at each monthly
redemption date and are classied as liabilities. See note 14 for a description of the terms of the
redeemable shares issued by the Fund. The Funds objectives in managing the redeemable shares
are to ensure a stable base to maximise returns to all investors, and to manage liquidity risk arising
from redemptions. The Funds management of the liquidity risk arising from redeemable shares is
discussed in note 4(c).
Explanatory note
1. IFRS 7.27 An entity discloses for each class of nancial instruments the methods and, when a valuation
technique is used, the signicant assumptions applied in determining the fair values of nancial
assets and nancial liabilities. If there has been a change in valuation technique, then the entity
discloses both the change and the reasons for the change.
In October 2008 the IASB posted to its website (www.ifrs.org) the nal report of its Expert Advisory
Panel (the Panel) Measuring and disclosing the fair value of nancial instruments in markets that
are no longer active (the Panel Report), together with an IASB Staff Summary Using judgement
to measure the fair value of nancial instruments when markets are no longer active (the Staff
Summary).
The Panel Report summarises the Panels discussions at its seven meetings in 2008 and identies
practices that experts use for measuring the fair value of nancial instruments when markets
become inactive, and practices for fair value disclosures in such situations. The Panel Report and
the accompanying Staff Summary are intended to respond to uncertainty about how to measure
fair values when markets are inactive and about what disclosures may be appropriate in such
circumstances. The Panel Report addresses issues such as determining whether a market is inactive
and using transaction prices and internal models in measuring fair values. The Panel Report and the
accompanying Staff Summary do not have the same authority as standards and interpretations;
however, they do provide useful educational guidance on fair value measurement.
2.
IFRS 13 Fair Value Measurement, published by the IASB in May 2011 and effective 1 January 2013,
will replace existing guidance on fair value measurement in different IFRSs with a single denition
of fair value, a framework for measuring fair values and disclosures about fair value measurements.
3. IFRS 7.29(a) For nancial instruments such as short-term trade receivables and payables, no disclosure of fair
value is required when the carrying amount is a reasonable approximation of fair value.
5. Use of estimates and judgements
IAS 1.125 (a) Key sources of estimation uncertainty
(i) Determining fair values
1, 2, 3
The determination of fair value for nancial assets and liabilities for which there is no observable
market price requires the use of valuation techniques as described in note 3(h)(iv). For nancial
instruments that trade infrequently and have little price transparency, fair value is less objective, and
requires varying degrees of judgement depending on liquidity, concentration, uncertainty of market
factors, pricing assumptions and other risks affecting the specic instrument.
IAS 1.122 (b) Critical accounting judgements in applying the Funds accounting policies
(i) Valuation of nancial instruments
The Funds accounting policy on fair value measurements is discussed in note 3(h)(iv).
IFRS 7.27A The Fund measures fair values using the following fair value hierarchy that reects the signicance of
the inputs used in making the measurements:

Level 1: Quoted price (unadjusted) in an active market for an identical instrument.

Level 2: Valuation techniques based on observable inputs, either directly (i.e. as prices) or indirectly
(i.e. derived from prices). This category includes instruments valued using: quoted prices in active
markets for similar instruments; quoted prices for identical or similar instruments in markets that
are considered less than active; or other valuation techniques for which all signicant inputs are
directly or indirectly observable from market data.

Level 3: Valuation techniques using signicant unobservable inputs. This category includes all
instruments for which the valuation technique includes inputs not based on observable data and
the unobservable inputs have a signicant effect on the instruments valuation. This category
includes instruments that are valued based on quoted prices for similar instruments for which
signicant unobservable adjustments or assumptions are required to reect differences between
the instruments.
IFRS 7.27 Fair values of nancial assets and nancial liabilities that are traded in active markets are based on
quoted prices or dealer price quotations. For all other nancial instruments the Fund determines fair
values using valuation techniques. Valuation techniques include net present value and discounted
cash ow models, comparison to similar instruments for which market observable prices exist,
Black-Scholes, binomial or trinomial option pricing models and other valuation models. Assumptions
and inputs used in valuation techniques include risk-free and benchmark interest rates, credit
spreads and other premia used in estimating discount rates, bond and equity prices, foreign currency
exchange rates, equity and equity index prices and expected price volatilities and correlations. The
objective of valuation techniques is to arrive at a fair value determination that reects the price of the
nancial instrument at the reporting date that would have been determined by market participants
acting at arms length.
The Fund uses widely recognised valuation models for determining the fair value of common and
more simple nancial instruments such as interest rate and currency swaps that use only observable
market data and require little management judgement and estimation. Observable prices and model
inputs are usually available in the market for listed debt and equity investments, exchange traded
derivatives and simple over the counter derivatives, e.g. interest rate swaps.
Explanatory note
1. IFRS 7.27A For fair value measurements recognised in the statement of nancial position disclosure of the
fair value hierarchy is required. 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 signicant to the fair value measurement in its entirety. For this purpose, the signicance of an
input is assessed against the fair value measurement in its entirety. If a fair value measurement
uses observable inputs that require signicant adjustments based on unobservable inputs, then
that measurement is a Level 3 measurement. Assessing the signicance of a particular input to the
fair value measurement in its entirety requires judgement, considering factors specic to the asset
or liability. In instances where multiple unobservable inputs are used, in our view the unobservable
inputs should be considered in total for the purpose of determining their signicance.
The application of IFRS 7 requirements to fair value hierarchy is discussed in our publications
IFRS Practice Issues: Fair Value Hierarchy (December 2009) and Insights into IFRS (7.8.280.60
7.7.300.190).
5. Use of estimates and judgements (continued)
(b) Critical accounting judgements in applying the Funds accounting policies
(continued)
(i) Valuation of nancial instruments (continued)
Availability of observable market prices and model inputs reduces the need for management
judgement and estimation and also reduces the uncertainty associated with determination of fair
values. Availability of observable market prices and inputs varies depending on the products and
markets and is prone to changes based on specic events and general conditions in the nancial
markets.
For more complex instruments the Fund uses proprietary valuation models, which usually are
developed from recognised valuation models. Some or all of the signicant inputs into these models
may not be observable in the market, and are derived from market prices or rates or are estimated
based on assumptions. Examples of instruments involving signicant unobservable inputs include
certain over the counter derivatives, credit default swaps and certain securities for which there is
no active market. Valuation models that employ signicant unobservable inputs require a higher
degree of management judgement and estimation in the determination of fair value. Management
judgement and estimation are usually required for selection of the appropriate valuation model to
be used, determination of expected future cash ows on the nancial instrument being valued,
determination of probability of counterparty default and selection of appropriate discount rates.
The Fund has an established control framework with respect to the measurement of fair values.
This framework includes a portfolio valuation function, which is independent of front ofce
management and reports to the board of directors, who have overall responsibility for signicant
fair value measurements. Specic controls include: verication of observable pricing inputs and
reperformance of model valuations; a review and approval process for new models and changes to
such models; calibration and back testing of models against observed market transactions; analysis
and investigation of signicant daily valuation movements; review of signicant unobservable inputs
and valuation adjustments; and reporting of signicant valuation issues to the board of directors.
IFRS 7.27B(a) The table below analyses nancial instruments measured at fair value at the end of the reporting
period by the level in the fair value hierarchy into which the fair value measurement is categorised:
1
In thousands of euro Level 1 Level 2 Level 3 Total
31 December 2011
prot or loss
Equity investments 16,894 1,101 1,031 19,026
Debt securities 7,982 2,069 - 10,051
Derivative nancial instruments 326 219 - 545
25,202 3,389 1,031 29,622
Financial liabilities at fair value through
prot or loss
Securities sold short - (784) - (784)
Derivative nancial instruments (1,066) (1,286) (485) (2,837)
(1,066) (2,070) (485) (3,621)
(continued)
In thousands of euro Level 1 Level 2 Level 3 Total
31 December 2010
prot or loss
Equity investments 10,657 950 264 11,871
Debt securities 8,826 5,685 - 14,511
Derivative nancial instruments 29 406 - 435
19,512 7,041 264 26,817
Financial liabilities at fair value through
prot or loss
Securities sold short - (212) - (212)
Derivative nancial instruments (756) (478) - (1,234)
(756) (690) - (1,446)
IFRS 7.27B(b) During 2011 debt securities with a carrying amount of 200 thousand were transferred from Level 1
to Level 2 because public price quotations in an active market for these instruments were no
longer available. However, there was sufcient information available to measure fair values of these
securities based on observable market inputs.
IFRS 7.27B(c), The following table shows a reconciliation from the beginning balances to the ending balances
IG13B for fair value measurements in Level 3 of the fair value hierarchy:
Unlisted Unlisted
open-ended private Derivative
investment equity nancial
In thousands of euro funds investments instruments Total
Balance at 1 January 2011 264 - - 264
IFRS 7.27B(c)(i) Total gains or losses recognised in prot
or loss 57 25 (171) (89)
IFRS 7.27B(c)(iii) Purchases 269 475 (152) 592
IFRS 7.27B(c)(iii) Sales (59) - - (59)
IFRS 7.27B(c)(iv) Transfers into Level 3 - - (267) (267)
IFRS 7.27B(c)(iv) Transfers out of Level 3 - - 105 105
Balance at 31 December 2011 531 500 (485) 546
IFRS 7.27B(d) Total gains or losses for the period included
in prot or loss relating to assets and liabilities
held at the end of the reporting period: 42 25 (152) (85)
Explanatory note
1. IFRS 7.27B(e) For fair value measurements in Level 3, if changing one or more of the inputs to reasonably
possible alternative assumptions would change fair value signicantly, then the entity states that
fact and discloses, by class of nancial instruments, the effect of those changes. For this purpose,
signicance is judged with respect to prot or loss, and total assets or total liabilities, or, when
changes in fair value are recognised in other comprehensive income, total equity. In our view,
reasonably possible alternative assumptions are those that could reasonably have been included
in the valuation model at the reporting date based on the circumstances at the reporting date. This
issue is discussed in our publication Insights into IFRS (7.8.300.180 190).
(continued)
These gains and losses are recognised in prot or loss as net gain from nancial instruments at fair
value through prot or loss.
IFRS 7.27 During 2011, the Fund acquired 2.5% of the common shares of [name of entity], a newly incorporated
company concentrating on business-to-business opportunities of golng related products and
services through the internet. The Fund paid 475 thousand for its investment. As [name of entity]
is not listed on any stock exchange, a quoted price in active market is not available. The investment
manager estimates the fair value of this investment to be 500 thousand as at 31 December 2011
based on [insert methods, assumptions and judgements used in calculating fair value].
IFRS 7.27B(e) Although the Fund believes that its estimates of fair value are appropriate, the use of different
methodologies or assumptions could lead to different measurements of fair value. For fair value
measurements in Level 3, changing one or more of the assumptions used to reasonably possible
alternative assumptions would have the following effects on changes in net assets attributable to
holders of redeemable shares:
1
In thousands of euro Favourable (Unfavourable)
2011
Unlisted open-ended investment funds 18 (19)
Derivative nancial instruments 25 (29)
Unlisted private equity investments 43 (41)
2010
Unlisted open-ended investment funds 5 (7)
The favourable and unfavourable effects of using reasonably possible alternative assumptions have
been calculated by recalibrating the model values using expected cash ows and risk-adjusted
discount rates based on averages of the upper and lower quartiles respectively of the Funds ranges
of possible estimates. Key inputs and assumptions used in the models at 31 December 2011 include
[insert inputs and assumptions used in calculating the favourable and unfavourable effects of using
reasonably possible alternative assumptions].
(ii) Determination of functional currency
Functional currency is the currency of the primary economic environment in which the Fund
operates. When indicators of the primary economic environment are mixed, management uses
its judgement to determine the functional currency that most faithfully represents the economic
effect of the underlying transactions, events and conditions. Management has determined that the
functional currency of the Fund is euro. The majority of the Funds investments and transactions are
denominated in euro. Investor subscriptions and redemptions are also received and paid in euro.
Explanatory note
1. IFRS 7.25, 29,
B1B3
The disclosures of fair values apply to each class of nancial assets and nancial liabilities, which
is not dened in IFRS 7. Classes are distinct from the categories of nancial instruments specied
in IAS 39. In determining classes of nancial instruments an entity at a minimum distinguishes
instruments measured at amortised cost from those measured at fair value, and treats as a separate
class or classes those nancial instruments outside the scope of IFRS 7.
Disclosures of fair value are not required in certain circumstances, for example when the carrying
amount is a reasonable approximation of fair value, such as short-term trade receivables and
payables.
6. Classications and fair values of nancial assets and liabilities
1
IFRS 7.6, 8, 25 The table below provides a reconciliation of the line items in the Funds statement of nancial
position to the categories of nancial instruments.
Designated Loans Total
as at and Other carrying
In thousands of euro Note Trading fair value receivables liabilities amount
31 December 2011
Cash and cash equivalents - - 51 - 51
Balances due from brokers 10 - - 4,619 - 4,619
agreements 11 - - 4,744 - 4,744
Other receivables - - 29 - 29
Non-pledged nancial assets at fair value
through prot or loss 12 545 26,386 - - 26,931
Pledged nancial assets at fair value
through prot or loss 12 - 2,691 - - 2,691
545 29,077 9,443 - 39,065
Balances due to brokers 10 - - - 143 143
Payables under repurchase agreements 11 - - - 2,563 2,563
Other payables - - - 103 103
Financial liabilities at fair value
through prot or loss 12 3,621 - - - 3,621
Net assets attributable to holders
of redeemable shares 14 - - - 32,625 32,625
3,621 - - 35,434 39,055
31 December 2010
agreements 11 - - 3,990 - 3,990
Non-pledged nancial assets at fair value
through prot or loss 12 435 24,036 - - 24,471
Pledged nancial assets at fair value
through prot or loss 12 - 2,346 - - 2,346
435 26,382 7,228 - 34,045
Payables under repurchase agreements 11 - - - 2,234 2,234
Net assets attributable to holders
of redeemable shares 14 - - - 29,979 29,979
1,446 - - 32,589 34,035
IFRS 7.25, 29 The nancial instruments not accounted for at fair value through prot or loss are short-term nancial
assets and liabilities whose carrying amounts approximate fair value.
Explanatory note
1. IFRS 7.20(b) An entity discloses, either in prot or loss or in the notes, total interest income and total interest
expense, calculated using the effective interest method, for nancial assets and nancial liabilities
that are not at fair value through prot or loss.
If interest income or expense includes both amounts from instruments at fair value through prot or
loss and from instruments not at fair value through prot or loss, then the disclosure of total interest
income and total interest expense for nancial assets that are not at fair value through prot or loss
is required.
IFRS 7.B5(e) In these illustrative statements interest income for nancial assets at fair value through prot or loss
is presented separately from net gain from nancial instruments at fair value through prot or loss.
Presentations other than that shown in these illustrative nancial statements are possible. For
example, an entity may present interest income and interest expense on nancial instruments
designated as at fair value through prot or loss within net gain from nancial instruments at fair
2. IFRS 7.20(a)(i) An entity discloses, either in prot or loss or in the notes, the net gains or net losses on nancial
assets or nancial liabilities at fair value through prot or loss (separately for those designated upon
initial recognition and those classied as held for trading in accordance with IAS 39).
In these illustrative nancial statements:
net gain from held for trading nancial instruments includes the entire prot or loss impact (gains
and losses) for held for trading assets and liabilities, excluding dividends on securities sold short;
and
net gain from nancial instruments designated as at fair value through prot or loss includes the
entire prot or loss impact of assets and liabilities designated as at fair value through prot or loss
upon initial recognition, but excluding interest income and dividend income.
However, other presentations are possible.
3. There is no requirement under IFRS to disclose an analysis of gains and losses on nancial
instruments accounted for at fair value through prot or loss account into realised and unrealised
portions. However, such information may be useful to investors and therefore many funds include it
in their nancial statements.
IAS 18.35(b)(iii) 7. Interest income
1
In thousands of euro 2011 2010
IFRS 7.20(b) Interest income on nancial assets carried at amortised cost:
Cash and cash equivalents 2 35
Receivables from reverse repurchase agreements 237 211
239 246
Interest income on nancial instruments designated as at fair value
through prot or loss:
Debt securities 364 183
603 429
8. Net gain from nancial instruments at fair value through prot
or loss
2
IFRS 7.20(a)(i) Net gain from held for trading nancial instruments:
Securities sold short 58 57
Derivative nancial instruments 88 (37)
146 20
IFRS 7.20(a)(i) Net gain from nancial assets designated as at fair value through prot
or loss:
Equity investments 3,004 1,536
Debt securities 101 841
3,105 2,377
3,251 2,397
Net gain from nancial instruments at fair value through prot or loss:
3
Realised 1,585 1,208
Unrealised 1,666 1,189
3,251 2,397
The realised gain from nancial instruments at fair value through prot or loss represents the
difference between the carrying amount of a nancial instrument at the beginning of the reporting
period, or transaction price when purchased in the current reporting period and its sale/settlement
price.
The unrealised gain represents the difference between the carrying amount of a nancial instrument
at the beginning of the period, or transaction price when purchased in the current reporting period
and its carrying amount at the end of the period.
9. Withholding tax expense
IAS 12.81(c) The Fund is exempt from paying income taxes under the current system of taxation in [insert name
of the country of domicile]. Certain dividend and interest income received by the Fund are subject
to withholding tax imposed in the country of origin. During the year the average withholding tax rate
was 15% (2010: 15%).
Explanatory note
1. IFRS 7.15 If an entity has accepted collateral that it is permitted to sell or repledge in the absence of a default
by the owner of the collateral, then it discloses:
the fair value of collateral accepted (nancial and non-nancial assets);
the fair value of any such collateral sold or repledged, and whether the entity has an obligation to
return it; and
the material terms and conditions associated with its use of this collateral.
2. IFRS 7.14 If an entity has pledged any nancial asset as collateral, then it discloses:
the carrying amount of nancial assets pledged as collateral for liabilities or contingent liabilities; and
the material terms and conditions related to assets pledged as collateral.
10. Balances due from/to brokers
Balances due from brokers
IAS 39 IG D.1.1 Margin accounts 3,491 2,544
IAS 39 IG D.1.1 Cash collateral for borrowed securities 823 223
IAS 39.38 Sales transactions awaiting settlement 305 354
4,619 3,121
Balances due to brokers
IAS 39.38 Purchase transactions awaiting settlement 143 275
Margin accounts represent cash deposits with brokers, transferred as collateral against open futures
and forward contracts.
IAS 39.38 In accordance with the Funds policy of trade date accounting for regular way sale and purchase
transactions, sales/purchase transactions awaiting settlement represent amounts receivable/payable
for securities sold/purchased, but not yet settled as at the reporting date.
IAS 39.AG51(a), (b) 11. Receivables from reverse repurchase agreements and payables
under repurchase agreements
Receivables from reverse repurchase agreements 4,744 3,990
IFRS 7.15(a) The fair value of collateral accepted in respect of the above
1
4,999 4,190
Payables under repurchase agreements 2,563 2,234
The fair value of collateral provided in respect of the above
2
2,691 2,346
No individual trades are under-collateralised and the collateral margin on each transaction is at least 5%.
IAS 39.AG51(b) Collateral accepted includes investment grade securities that the Fund is permitted to sell or
repledge. The Fund has not recognised these securities in the statement of nancial position.
IFRS 7.15(b) At 31 December 2011 the fair value of nancial assets accepted as collateral that have been sold
or repledged is 154 thousand (2010: 166 thousand). The Fund is obliged to return equivalent
securities.
IFRS 7.14(a), Collateral provided presented in the table above includes securities sold under the repurchase
IAS 39.37(a) agreements, for which the counterparty has the right to repledge or sell the collateral. The pledged
debt securities are recognised in the statement of nancial position as pledged nancial assets as fair
IFRS 7.14(b) These transactions are conducted under terms that are usual and customary to securities repurchase
transactions and borrowing and lending activities.
12. Financial assets and nancial liabilities at fair value through
prot or loss
Pledged nancial assets at fair value through prot or loss
IFRS 7.8(a)(i) Financial assets designated as at fair value through prot or loss:
Debt securities 2,691 2,346
Non-pledged nancial assets at fair value through prot or loss
IFRS 7.8(a)(ii) Held for trading assets:
Derivative nancial instruments:
Equity 303 29
Foreign exchange 242 406
545 435
IFRS 7.8(a)(i) Financial assets designated as at fair value through prot or loss:
Debt securities 7,360 12,165
Equity investments 19,026 11,871
26,386 24,036
26,931 24,471
Financial liabilities at fair value through prot or loss
IFRS 7.8(a)(ii) Held for trading liabilities:
Securities sold short equity 784 212
Derivative nancial instruments:
Equity 1,066 756
Foreign exchange 822 106
Credit 485 -
Interest rate 464 372
2,837 1,234
3,621 1,446
IFRS 7.21, B5(a) The Fund designates all debt and equity investments at fair value through prot or loss upon initial
recognition as it manages these securities on a fair value basis in accordance with its documented
investment strategy. Internal reporting and performance measurement of these securities are on a
fair value basis.
13. Equity
Authorised, issued and fully paid management voting shares
Authorised Issued and fully paid
Number of shares 2011 2010 2011 2010
Management shares of 1 each 1,000,000 1,000,000 10,000 10,000
Authorised Issued and fully paid
In thousands of euro 2011 2010 2011 2010
Management shares 1,000 1,000 10 10
Explanatory note
1. IAS 1.80 An entity without share capital, such as a partnership or trust, discloses information equivalent to
that required by IAS 1.79(a), showing changes during the period in each category of equity interest,
and the rights, preferences and restrictions attaching to each category of equity interest.
The Fund has minimal equity and net assets (after deducting the equity interest) accrue to the
holders of redeemable shares. Accordingly, disclosures of changes during the period in the
redeemable shares classied as nancial liabilities, and the rights, preferences and restrictions
attached to the redeemable shares, if applicable, provide users with relevant and helpful information.
2. IAS 1.79(a)(iii) If shares have no par value, then an entity discloses that fact.
3. IAS 1.79(a)(ii) An entity discloses the number of shares issued but not fully paid.
4. IAS 1.79 (a)(vii) An entity discloses details of shares reserved for issue under options and sales contracts, including
the terms and amounts.
13. Equity (continued)
The holders of management shares are entitled to receive notice of, and to vote at general meetings
of the Fund. Dividends may not be declared in respect of the management shares. The holders of
these shares are only entitled to a repayment of an amount up to par value upon the winding up of
the Fund and such payment is in priority to the holders of the redeemable shares. At December 2011
and 2010, the management shares were held by the investment manager.
14. Net assets attributable to holders of redeemable shares
1
(a) Redeemable shares
The analysis of movements in the number of redeemable shares and net assets attributable to
holders of redeemable shares during the year were as follows:
IAS 1.79(a)(i), (iii) Authorised redeemable shares
2011 2010
Number of shares Class A Class B Total Class A Class B Total
Redeemable shares
of 0.01 each
2
4,000,000 900,000 4,900,000 4,000,000 900,000 4,900,000
In thousands of euro
Redeemable shares
of 0.01 each
2
40 9 49 40 9 49
IAS 1.79(a)(ii), (iv) Issued and fully paid
3
2011 2010
IAS 1.135(b), (c) Number of shares Class A Class B Total Class A Class B Total
Balance at 1 January 201,436 59,095 260,531 116,818 56,082 172,900
Issue of redeemable
shares during the year 52,800 3,400 56,200 138,818 3,013 141,831
Redemption of
redeemable shares
during the year (53,100) (4,419) (57,519) (54,200) - (54,200)
Balance at 31 December 201,136 58,076 259,212 201,436 59,095 260,531
2011 2010
In thousands of euro Class A Class B Total Class A Class B Total
Balance at 1 January 23,242 6,737 29,979 12,498 5,963 18,461
Increase in net assets
attributable to holders of
redeemable shares 2,344 612 2,956 1,563 445 2,008
Issue of redeemable
shares during the year 6,275 393 6,668 15,176 329 15,505
Redemption of
redeemable shares
during the year (6,448) (530) (6,978) (5,995) - (5,995)
Balance at 31 December 25,413 7,212 32,625 23,242 6,737 29,979
Net assets value per
share (in euro) 126.35 124.18 115.38 114.00

(continued)
(a) Redeemable shares (continued)
IAS 1.79(a)(v), 80 The rights attaching to the redeemable shares are as follows:

Redeemable shares may be redeemed on the last business day of each month or such other date
or dates as the board of directors shall from time to time determine (valuation day) at the net
asset value per share of the respective class based on mid-market prices of those assets. The
shareholder must request such redemption at least 14 days prior to the last business day of each
month or such other day as the directors may determine.

Redeemable shares carry a right to receive notice of, attend and vote at any general meeting of the
Fund.

The holders of the redeemable shares are entitled to receive all dividends declared and paid
by the Fund. Upon winding up, the holders are entitled to a return of capital based on the net
asset value per share of their respective classes after deduction of the nominal amount of the
management shares. [explain the differences in entitlements to net assets of Class A and Class B,
e.g. management fee rate].
Notwithstanding the redeemable shareholders rights to redemptions above, the Fund has the right,
as set out in its prospectus, to impose a redemption gate limit of 10% of the net assets of the Fund
in any redemption period in order to manage redemption levels and maintain the strength of the
Funds capital base.
(b) Dividends
IAS 1.107 During the year the Fund declared and paid a dividend as follows:
2011 2010
Class A Class B Total Class A Class B Total
Interim dividend paid on
[date]
Dividend per share (euro) 0.67 0.73 0.54 0.50
Dividend (thousands of euro) 135 43 178 63 28 91
IAS 1.137(a), Subsequent to the year end, the Fund declared an additional dividend in respect of 2011, which was
10.12, 13 paid on [insert date] 2012, as follows:
Class A Class B Total
Dividend per share (euro) 0.28 0.31
Dividend (thousands of euro) 57 18 75
The additional dividend has not been recognised in the nancial statements and there were no tax
consequences.
Explanatory note
1. IAS 39.48A,
AG72
In accordance with IAS 39 the best measure of fair value of a nancial asset and nancial liability is a
quoted price in an active market. The appropriate quoted price for an asset held is usually the current
bid price and for a liability held is the asking price. In these illustrative nancial statements we have
assumed that in accordance with the Funds prospectus, the redemption amounts of the redeemable
shares are calculated using the mid-market prices of the Funds underlying investments/securities
sold short.
Owing to the differences in the measurement bases of the Funds underlying investments/securities
sold short and the redemption amounts of the redeemable shares, a mismatch results in the
statement of nancial position giving rise to a presentation issue. In our view, one solution may be
to present the net assets attributable to holders of redeemable shares in a two-line format. The rst
line would be the amount of the net assets attributable to holders of redeemable shares measured
in accordance with the prospectus, which reects the actual redemption amount at which the
redeemable shares would be redeemed at the reporting date, and the next line would include an
adjustment for the difference between this and the amount recognised in the statement of nancial
position.
This reects the fact that, for a fund with no equity, all recognised income and expense is attributed
to holders of redeemable shares, which also means that if all the shares are redeemed, then a
dilution levy of such amount would be required. This issue is discussed in our publication Insights
into IFRS (7.6.220.60 75). The treatment in a fund with no equity is applied by analogy in these
illustrative nancial statements to a fund with minimal equity.
2. There is no requirement under IFRS to disclose a reconciliation of net assets and net assets per
share as presented in the nancial statements, to net assets and net assets per share calculated
in accordance with the Funds prospectus using mid-market prices for the underlying nancial
instruments. However, such information may be useful to investors and therefore funds may wish to
disclose this voluntarily.
3. For a more comprehensive illustration of related party disclosures, see our publication Illustrative
nancial statements.
4. In our view, materiality considerations cannot be used to override the explicit requirements of IAS 24
for the disclosure of elements of key management personnel compensation. This issue is discussed
in our publication Insights into IFRS (5.5.110.20).
5. IAS 24.18(b)(ii) An entity discloses details of any guarantees given or received in respect of outstanding balances
with related parties.
(continued)
(c) Reconciliation of net assets and net assets value per share
1, 2
In accordance with the Funds prospectus, the net assets of the Fund are computed at mid-market
prices of the underlying nancial instruments for the purpose of calculating redemption amounts of
the redeemable shares. However, for nancial reporting purposes under IFRSs, the nancial assets
are required to be valued at bid prices and nancial liabilities at ask prices.
A reconciliation of the net assets and net assets value per share between the amounts computed as
per the Funds prospectus and the amounts computed in accordance with IFRSs is as follows:
2011 2010
In thousands of euro Class A Class B Total Class A Class B Total
Net assets as per
prospectus 25,430 7,217 32,647 23,255 6,741 29,996
Adjustment from mid-
prices to bid/ask-prices (17) (5) (22) (13) (4) (17)
Net assets as per nancial
reporting 25,413 7,212 32,625 23,242 6,737 29,979
2011 2010
In euro Class A Class B Class A Class B
Net assets value per share
as per published prices 126.43 124.26 115.45 114.07
Adjustment from mid-
prices to bid/ask-prices (0.08) (0.08) (0.07) (0.07)
Net assets value per share
as per nancial reporting 126.35 124.18 115.38 114.00
IAS 24.9, 11, 15. Related parties and other key contracts
12, 1618
(a) Related parties
3, 4, 5
Investment manager
The Fund appointed XYZ Capital Limited, an investment management company incorporated in
[name of country], to implement the investment strategy as specied in the prospectus. Under the
Investment Management Agreement, the investment manager receives a management fee at an
annual rate of 1.5% of the net assets value attributable to holders of redeemable shares on each
day. The investment management fees incurred during the year amounted to 478 thousand (2010:
447 thousand). Included in other payables at 31 December 2011 are investment management
fees payable of 49 thousand (2010: 47 thousand). The investment management contract can be
terminated by the Fund at any time.
At 31 December 2011, 20,000 Class A redeemable shares (2010: 20,000 Class A redeemable shares)
and all Class B redeemable shares (2010: all Class B redeemable shares) were held by employees of
the investment manager.
At 31 December 2011, all management shares were held by the investment manager (2010: all
management shares).
Explanatory note
1. In these illustrative nancial statements the administrator is not a related party. However, details of
the terms of the contract with the administrator have been disclosed by virtue of the administrator
being a key service provider to the Fund. In some instances, the administrator may be a related party
of the Fund and this should be disclosed accordingly.
2. IAS 10.21, 22 For each material category of non-adjusting event after the end of the reporting period, an entity
discloses the nature of the event and an estimate of its nancial effect, or a statement that such
an estimate cannot be made. Paragraph 22 of IAS 10 Events after the Reporting Period provides
examples of non-adjusting events that normally would require disclosure. For an example of the
subsequent events disclosures, see our publication Illustrative nancial statements.

IAS 24.9, 11, 15. Related parties and other key contracts (continued)
12, 1618
(a) Related parties

(continued)
Transactions with key management personnel
The total directors fees paid for the year was 26 thousand (2010: 15 thousand). This amount has
been fully settled during the year. The listing of the members of the board of directors is shown on
page [state page number] of the annual report.
The directors did not hold any shares in the Fund during or as at the end of the nancial year.
(b) Other key contracts
Administrator
1
The Fund appointed ABC Fund Services Limited, a fund administration company incorporated in
[name of country], to provide administrative services including nancial accounting services to
the Fund. Under the Fund Administration Agreement, the administrator receives an administration
fee monthly in arrears at an annual rate of 0.22% of the net assets value attributable to holders of
redeemable shares on each valuation day as dened in the prospectus. The administration fees paid
during the year amounted to 66 thousand (2010: 62 thousand). Included in other payables at
31 December 2011 are administration fees payable of 6 thousand (2010: 6 thousand). The Fund
Administration Agreement can be terminated by the Fund at any time.
IAS 24.9, 11 16. Subsequent events
2
[Disclose subsequent events, if any].
Explanatory note
1. The purpose of this Appendix is to assist in the preparation of disclosures in annual nancial
statements for early adoption of IFRS 9. The example assumes the same fact pattern as in the
main illustrative nancial statements and it illustrates one possible format for the disclosures; other
formats are possible.
The Appendix illustrates the key changes to the nancial statements. In addition, consequential
changes may be required to other parts of the nancial statements that refer to the nancial assets
and nancial liabilities classications.
2. IFRS 9.7.1.1
The chapters of IFRS 9 released by 1 January 2011 were issued in two parts:
IFRS 9 (2009) was issued in November 2009 and provides guidance on classication and
measurement of nancial assets; and
IFRS 9 (2010) was issued in October 2010 and expands IFRS 9 (2009) by including also guidance
on classication, measurement and derecognition of nancial liabilities.
In addition, a limited amendment to transitional provisions of IFRS 9 was issued in December 2011.
IFRS 9.7.3.2
The effective date for both parts is periods beginning on or after 1 January 2015 with early
application permitted. An entity applying IFRS 9 early may implement IFRS 9 (2009) or IFRS 9
(2010). If an entity applies IFRS 9 early, then it discloses the fact.
IFRS 9.7.1, 7.3.2
We assume the Fund has not already applied IFRS 9 (2009), and therefore is required to apply all
of the requirements of IFRS 9 (2010) at the same time. For annual periods beginning before
1January 2015, an entity may elect to apply IFRS 9 (2009) instead of applying IFRS 9 (2010).
Therefore, other IFRS 9 (2009) and IFRS 9 (2010) adoption scenarios are possible. See Appendix I
in our publication Illustrative nancial statements: Investment funds (December 2010) for an
illustration of the early adoption of IFRS 9 (2009).
3. IFRS 9.7.1, 7.2.2
The date of initial application is the beginning or the rst reporting period in which the entity
adopts IFRS 9 (2010), for entities initially applying IFRS 9 (2010) on or after 1 January 2011. In our
view, if an entity sequentially adopts IFRS 9 (2009) then IFRS 9 (2010), then the entity may have
two different dates of initial application; one with respect to IFRS 9 (2009) and one with respect to
IFRS 9 (2010). The date of initial application related to IFRS 9 (2009) is determined when the entity
adopts IFRS9 (2009) and applies its transition requirements. The second date of initial application
related to IFRS9 (2010) is determined when the entity adopts IFRS 9 (2010). This second date of
initial application generally does not impact the previous adoption of IFRS 9 (2009) but is used with
respect to applying the incremental transition reliefs of IFRS 9 (2010) that relate to classication
and measurement of nancial liabilities. However, if the entity previously elected not to restate
comparative information on adoption of IFRS 9 (2009) but does restate comparative information
on adoption of IFRS 9 (2010), then the restated nancial statements must reect all the
requirements in IFRS 9 (2010).
4. IFRS 9.8.2.12
As the Fund is applying IFRS 9 for the reporting period beginning before 1 January 2012, it does
not restate prior periods. Given that different accounting policies will apply to nancial assets
during the periods presented, both the pre- and post-adoption accounting policies for nancial
assets are disclosed.
IFRS 9.8.2.3
If an entity elects to apply the standard at a date that is not the beginning of an annual reporting
period, then the entity discloses that fact and the reasons for applying the standard from that date.
5. IFRS 9.7.2.14
If an entity does not restate prior periods, then the entity recognises any differences between
the previous carrying amount and the carrying amount at the beginning of the annual period
that includes the date of initial application in the opening retained earnings (or other component of
equity, as appropriate) of the reporting period that includes the date of initial application. This issue
is discussed in our publication Insights into IFRS (7A.660.10).
Appendix I
Example disclosures for entities that early adopt IFRS 9 Financial
Instruments (October 2010)
1, 2, 3
2. Basis of preparation
(x) Change in accounting policy
2
IFRS 9.8.2.1, The Fund has early adopted IFRS 9 Financial Instruments issued in October 2010 (IFRS 9) as
IAS 8.28 amended in December 2011 with a date of initial application of 1 January 2011.
IFRS 9 contains two primary measurement categories for nancial assets: amortised cost and fair
value. Unless it is designated as measured at fair value, a nancial asset is measured at amortised
cost if it is held within a business model whose objective is to hold assets in order to collect
contractual cash ows, and the assets contractual terms give rise on specied dates to cash ows
that are solely payments of principal and interest on the principal outstanding. All other nancial
assets are measured at fair value. The standard eliminates the existing IAS 39 categories of held to
maturity, available-for-sale and loans and receivables.

IFRS 9 requires that derivatives embedded in contracts with a host that is a nancial asset within the
scope of the standard are not separated; instead the hybrid nancial instrument is assessed in its
entirety as to whether it should be measured at amortised cost or fair value.

For investments in equity instruments that are not held for trading, IFRS 9 allows an irrevocable
election, on an investment-by-investment basis, to present fair value changes from the investment in
other comprehensive income. Dividends on such investments are generally recognised in prot or
loss.

IFRS 9.B5.7.5, IFRS 9 requires that the effects of changes in credit risk of liabilities designated as at fair value
B5.7.8 through prot or loss are presented in other comprehensive income unless such treatment would
create or enlarge an accounting mismatch in prot or loss, in which case all gains or losses on that
liability is presented in prot or loss.

IFRS 9.7.2.1, Changes in accounting policies resulting from the adoption of IFRS 9 have been applied on a
IAS 8.28 retrospective basis except as described below from 1 January 2011 without restatement of prior
periods.
In accordance with the transitional provisions of IFRS 9, the Fund classied nancial assets held at
the date of initial application based on the facts and circumstances of the business model in which
the nancial assets were held at that date. This classication resulted in the Fund continuing to
account for nancial assets as at fair value through prot or loss or amortised cost and did not require
reclassication between these two categories on the date of initial application.
The adoption of IFRS 9 had no impact on the statement of comprehensive income or statement of
changes in net assets attributable to holders of redeemable shares as the measurement basis for
nancial assets and nancial liabilities remained the same.
For more information and details on the new classication see notes x.
Explanatory note
1. IFRS 9.4.1.1(a),
B4.1.1, B4.1.2
The assessment of the objective of an entitys business model for managing nancial
assets is not based on managements intentions with respect to an individual instrument but
rather is determined at a higher level of aggregation. This assessment of the business model
objective should reect the way an entity manages its business (or businesses). A reporting
entity may have more than one business model for managing nancial assets. This issue is
discussed in our publication Insights into IFRS (7A.50).
2. IFRS 9.4.1.1
In our view, in making this assessment, an entity should consider the stated objective of
IFRS 9 to provide relevant and useful information to users of the nancial statements for
their assessment of the amounts, timing and uncertainty of the entitys future cash ows.
The more that a business model envisages holding nancial assets for an extended period
or until maturity in order to collect contractual cash ows, the more relevant and useful
amortised cost information is. Conversely, the more that a business model envisages asset
sales signicantly prior to maturity, the less relevant and useful amortised cost information
becomes and the more relevant and useful is fair value information. We believe that the
following are among the factors that an entity may consider in making such an assessment
for a portfolio of assets:

managements stated policies and objectives for the portfolio and the operation of those
policies in practice;
how management evaluates the performance of the portfolio;
whether managements strategy focuses on earning contractual interest revenues;
the degree of frequency of expected asset sales;
the reasons for asset sales; and
whether assets that are sold are held for an extended period of time relative to their
contractual maturity or are sold shortly after acquisition or an extended time before maturity.
3. IFRS 9.4.5 At initial recognition, entities have the option to designate a nancial asset that meets the amortised
cost criteria at fair value through prot or loss if doing so eliminates or signicantly reduces an
accounting mismatch. Many available-for-sale debt investments that currently are measured at fair
value will qualify for amortised cost accounting, e.g. simple debt instruments that are quoted in an
active market (such as vanilla government and corporate bonds). However, those that do not qualify
will be measured at fair value through prot or loss rather than through other comprehensive income.
This is further discussed in our publication Insights into IFRS (7A.40.20 30, 7A.200).
Instruments (October 2010) (continued)
IAS 1.112(a), 3. Signicant accounting policies
117(a), (b)
The accounting policies set out below have been applied consistently to all periods presented in
these nancial statements, except for the impact of early adoption of IFRS 9. The 2010 comparatives
related to nancial assets have been prepared in accordance with IAS 39 as permitted by the
transition provisions of IFRS 9.
IFRS 7.21 (h) Financial assets and nancial liabilities
(ii) Classication
Policy applicable from 1 January 2011
The Fund classies nancial assets and nancial liabilities into the following categories:
IFRS 9.4.1 Financial assets:

Measured at fair value through prot or loss derivative nancial instruments, debt securities and
equity investments

Measured at amortised cost cash and cash equivalents, balances due from brokers, receivables
from reverse repurchase agreements and other receivables.
IAS 39.9 Financial liabilities at fair value through prot or loss:


IFRS 9.5.2 A nancial asset is subsequently measured at amortised cost, if it is held within a business model
with an objective to hold assets in order to collect contractual cash ows; and the contractual terms
of the nancial asset give rise, on specied dates, to cash ows that are solely payments of principal
and interest.
1, 2, 3
Financial assets other than those classied as nancial assets measured at amortised cost are
subsequently measured at fair value with all changes in fair value recognised in prot or loss.
IAS 39.9, AG15 A nancial liability is classied as held for trading, if:

it is acquired or incurred principally for the purpose of selling or repurchasing in the near term;


of nancial instruments, as dened by IFRS 9.

(ii) Classication (continued)
Policy applicable prior to 1 January 2011
IAS 39.9 The Fund classies nancial assets and nancial liabilities into the following categories:
Financial assets at fair value through prot or loss:

Held for trading derivative nancial instruments

Designated as at fair value through prot or loss debt securities and equity investments.
Financial assets at amortised cost:

Loans and receivables cash and cash equivalents, balances due from brokers, receivables from
reverse repurchase agreements and other receivables.
Financial liabilities at fair value through prot or loss:

IAS 39.9, AG15 A nancial instrument is classied as held for trading, if:

it is acquired or incurred principally for the purpose of selling or repurchasing in the near term;


IAS 39.AG4B The Fund has designated certain nancial assets as at fair value through prot or loss when the
assets are managed, evaluated and reported internally on a fair value basis.
A non-derivative nancial asset with xed or determinable payments may be classied as a loan
and receivable unless it is quoted in an active market, or it is an asset for which the holder may not
recover substantially all of its initial investment, other than because of credit deterioration.
of nancial instruments, as dened by IAS 39.
Explanatory note
1. IFRS 7.44I
When an entity rst applies IFRS 9, it discloses (in tabular format unless another format is
more appropriate) for each class of nancial assets and nancial liabilities at the date of initial
application:
the original measurement category and carrying amount determined in accordance with IAS 39;
the new measurement category and carrying amount determined in accordance with IFRS 9; and
the amount of any nancial assets in the statement of nancial position that were previously
designated as at fair value through prot or loss but are no longer so designated, distinguishing
between those that IFRS 9 requires an entity to reclassify and those that an entity elects to
reclassify.
IFRS 7.44J
When an entity rst applies IFRS 9, it discloses qualitative information to enable users to
understand:
how it applied the classication requirements in IFRS 9 to those nancial assets and nancial
liabilities whose classication has changed as a result of applying IFRS 9; and
the reasons for any designation or de-designation of nancial assets or nancial liabilities as
measured at fair value through prot or loss.
X. Classication of nancial assets on the date of initial
application of IFRS 9
1
IFRS 7.44I The following table summarises the transitional classication and measurement adjustments to the
Funds nancial assets on 1 January 2011, the Funds date of initial application of IFRS 9 (2010):
Original New Original carrying New carrying
classication classication amount amount
In thousands of euro under IAS 39 under IFRS 9 under IAS 39 under IFRS 9
Designated as
at fair value Fair value
through through
Debt and equity investments prot or loss prot or loss 26,382 26,382
Fair value
Held for through
Derivative nancial assets trading prot or loss 435 435
Balances due from brokers,
receivables from reverse
repurchase agreements and Loans and Amortised
other receivables receivables cost 7,157 7,157
Loans and Amortised
Cash and cash equivalents receivables cost 71 71
Derivative nancial liabilities, Held for Held for
securities sold short trading trading 1,446 1,446
Balances due to brokers,
payables under repurchase
agreements and other payables,
net assets attributable to holders Other Other
of redeemable shares liabilities liabilities 32,589 32,589
IFRS 7.44I(c) Financial assets of 26,382 thousand previously designated as at fair value through prot loss now
meet the criteria for mandatory measurement at fair value through prot or loss as they are actively
managed in order to realise fair value changes.
IFRS 7.6, 8, 25 The table below provides reconciliation of the line items in the Funds statement of nancial position
to the categories of nancial instruments.
Fair value
through Total
prot or loss Amortised carrying
In thousands of euro Note mandatory cost amount
31 December 2011
Cash and cash equivalents - 51 51
Balances due from brokers 10 - 4,619 4,619
Receivables from reverse repurchase agreements 11 - 4,744 4,744
Other receivables - 29 29
Non-pledged nancial assets at
fair value through prot or loss 12 26,931 - 26,931
Pledged nancial assets at
fair value through prot or loss 12 2,691 - 2,691
29,622 9,443 39,065
Balances due to brokers 10 - 143 143
Payables under repurchase agreements 11 - 2,563 2,563
Other payables - 103 103
through prot or loss 12 3,621 - 3,621
holders of redeemable shares 14 - 32,625 32,625
3,621 35,434 39,055
Explanatory note
1. IFRS 7.12B An entity discloses if it has reclassied any nancial assets:
the date of reclassication;
a detailed explanation of the change in business model and a qualitative description of its effect on
the entitys nancial statements; and
the cumulative amount reclassied into and out of each category.
IFRS 7.12C For each reporting period following reclassication until derecognition, an entity discloses for assets
reclassied so that they are measured at amortised cost:
the effective interest rate determined on the date of reclassication; and
the interest income or expense recognised.
IFRS 7.12D If an entity has reclassied nancial assets so that they are measured at amortised cost since its last
annual reporting date, it discloses:
the fair value of the nancial assets at the end of the reporting period; and
the fair value gain or loss that would have been recognised in prot or loss during the reporting
period if the nancial assets had not been reclassied.
(continued)
Designated Loans Total
as at and Other carrying
In thousands of euro Note Trading fair value receivables liabilities amount
31 December 2010
Receivables from reverse
repurchase agreements 11 - - 3,990 - 3,990
Non-pledged nancial assets at
fair value through prot or loss 12 435 24,036 - - 24,471
Pledged nancial assets at
fair value through prot or loss 12 - 2,346 - - 2,346
435 26,382 7,228 - 34,045
agreements 11 - - - 2,234 2,234
holders of redeemable shares 14 - - - 29,979 29,979
1,446 - - 32,589 34,035
IFRS 7.25, 29 The nancial instruments not accounted for at fair value through prot or loss are short-term nancial
assets and liabilities whose carrying amounts approximate fair value.
(X) Reclassications
1
IFRS 7.12B There were no reclassications of nancial assets during 2011 (2010: nil).
Explanatory note
1. This Appendix provides examples of the disclosures required for a multiple-segment fund that falls
within the scope of IFRS 8.
2. IFRS 8.2, 3 An entity is required to present segment information if its securities are publicly traded, or if it
is in the process of issuing equity or debt securities in public securities markets. Other entities
may choose to present segment information, but such entities should not describe information as
segment information unless this information complies fully with IFRS 8.
3. IAS 33.2, 3 An entity with publicly traded ordinary shares or in the process of issuing ordinary shares that are
to be publicly traded, should present basic and diluted earnings per share (EPS) in the statement
of comprehensive income. The requirements to present EPS only apply to those funds whose
ordinary shares are classied as equity. Nevertheless, some funds may wish to or may be required
by local regulations to present EPS. When an entity voluntarily presents EPS data, that data should
be calculated and presented in accordance with IAS 33. This issue is discussed in our publication
Insights into IFRS (5.3.370). This publication does not illustrate these disclosures. For an illustrative
example of EPS disclosures see our publications Illustrative nancial statements and Illustrative
nancial statements: Banks.
Appendix II
Example disclosures of segment reporting multiple-segment
fund
1, 2, 3
3. Signicant accounting policies
(x) Segment reporting
IFRS 8.25 Segment results that are reported to the board of directors include items directly attributable to a
segment as well as those that can be allocated on a reasonable basis. Unallocated items comprise
mainly audit, directors and legal fees and other operating expenses.
X. Operating segments
IFRS 8.2022 The Fund has two reportable segments, being the equity sub-portfolio and the debt sub-portfolio.
Each of the sub-portfolios is managed separately as they entail different investment objectives and
strategies and contain investments in different products.
For each of the sub-portfolios, the board of directors reviews internal management reports on
a quarterly basis. The objectives and principal investment products of the respective reportable
segments are as follows:
Segment Investment objectives and principal investment products
Equity sub-portfolio To achieve capital appreciation through investing in a diversied
portfolio of equity securities issued by European and NYSE listed and
European unlisted companies.
Debt sub-portfolio To achieve the highest possible yield from investments in the US and
European debt market within the parameters set out in the Funds prospectus.
IFRS 8.20, 27(a) Information regarding the results of each reportable segment is included below. Performance
is measured based on segment prot, as included in the internal management reports that are
reviewed by the board of directors. Segment prot is used to measure performance as management
believes that such information is the most relevant in evaluating the results relative to similar entities.
There are no transactions between reportable segments.
IFRS 8.27(b) Segment information is measured on the same basis as those used in the preparation of the Funds
nancial statements with the exception of the valuation of nancial instruments. For the purpose
of segment reporting nancial instruments are measured in accordance with the method set out in
the Funds prospectus, this being at the mid-price of the securities as at the valuation day. For the
purpose of nancial reporting, nancial instruments are measured in accordance with the principles
set out in IAS 39, this being at bid prices for nancial assets and ask prices for nancial liabilities.
Explanatory note
1. IFRS 8.23 An entity discloses the following about each reportable segment if the specied amounts are
included in the measure of prot or loss reviewed by the chief operating decision maker (CODM),
or are otherwise provided regularly to the CODM, even if not included in that measure of segment
prot or loss:
revenues from external customers;
revenues from transactions with other operating segments of the same entity;
interest revenue;
interest expense;
depreciation and amortisation;
material items of income and expense disclosed in accordance with IAS 1;
equity-accounted earnings;
tax expense or income; and
material non-cash items other than depreciation and amortisation.
2. IFRS 8.23 An entity presents interest revenue separately from interest expense for each reportable segment
unless a majority of the segments revenues are from interest and the CODM relies primarily on net
interest revenue to assess the performance of the segment and to make decisions about resources
to be allocated to the segment. In that situation, an entity may report that segments interest
revenue net of interest expense, and disclose that it has done so.
3. IFRS 8.23 IFRS 8 requires that a measure of segment assets be disclosed only if the amounts are regularly
provided to the CODM, consistent with the equivalent requirement for the measure of segment
liabilities.
Example disclosures of segment reporting multiple-segment fund
(continued)
X. Operating segments (continued)
(x) Information about operating segments
1
Equity sub- Debt sub-
In thousands of euro portfolio portfolio Total
2011
IFRS 8.23(a) External revenues:
IFRS 8.23(c) Interest income
2
39 564 603
IFRS 8.23(f) Dividend income 272 - 272
IFRS 8.23(f) Net foreign exchange loss (15) (4) (19)
IFRS 8.23(f) Net gain from nancial instruments
IFRS 8.23(b) at fair value through prot or loss 3,122 134 3,256
IFRS 8.32 Total segment revenue 3,418 694 4,112
Segment expenses:
IFRS 8.23(f) Investment management fees (349) (129) (478)
IFRS 8.23(f) Custodian fees (88) (14) (102)
IFRS 8.23(f) Administration fees (51) (15) (66)
IFRS 8.23(f) Transaction costs (48) (6) (54)
IFRS 8.23(d) Interest expense
2
(75) - (75)
IFRS 8.23(f) Dividend expense (45) - (45)
IFRS 8.23(h) Withholding tax expense (45) - (45)
Total segment expenses (701) (164) (865)
IFRS 8.21(b) Reportable segment prot 2,717 530 3,247
IFRS 8.21(b) Reportable segment assets
3
28,164 10,923 39,087
IFRS 8.21(b) Reportable segment liabilities, excluding net assets
attributable to holders of redeemable shares 5,379 1,004 6,383
2010
IFRS 8.23(a) External revenues:
IFRS 8.23(c) Interest income
2
38 391 429
IFRS 8.23(f) Dividend income 229 - 229
IFRS 8.23(f) Net foreign exchange loss (10) (6) (16)
IFRS 8.23(f) Net gain from nancial instruments
IFRS 8.23(b) at fair value through prot or loss 1,596 805 2,401
IFRS 8.32 Total segment revenue 1,853 1,190 3,043
(continued)
(x) Information about operating segments (continued)
Equity sub- Debt sub-
In thousands of euro portfolio portfolio Total
2010 (continued)
Segment expenses:
IFRS 8.23(f) Investment management fees (316) (131) (447)
IFRS 8.23(f) Custodian fees (56) (59) (115)
IFRS 8.23(f) Administration fees (41) (21) (62)
IFRS 8.23(f) Transaction costs (59) (14) (73)
IFRS 8.23(d) Interest expense (62) - (62)
IFRS 8.23(f) Dividend expense (19) - (19)
IFRS 8.23(h) Withholding tax expense (39) - (39)
Total segment expenses (592) (225) (817)
IFRS 8.21(b) Reportable segment prot 1,261 965 2,226
IFRS 8.21(b) Reportable segment assets 18,909 15,153 34,062
IFRS 8.21(b) Reportable segment liabilities, excluding net assets
attributable to holders of redeemable shares 2,736 1,271 4,007
(x) Reconciliations of reportable segment revenues, prot or loss and assets and
liabilities
IFRS 8.28(a) Revenues
All segment revenues are from external sources. There are no inter-segment transactions between
the reportable segments during the year.
Reportable segment revenue 4,112 3,043
Adjustment from mid-market prices to bid/ask-market prices (5) (4)
Total net revenue 4,107 3,039
IFRS 8.28(b) Prot or loss
Reportable segment prot 3,247 2,226
Unallocated amounts:
Professional fees and other operating expenses (108) (123)
Dividends to holders of redeemable shares (178) (91)
Change in net assets attributable to holders of redeemable shares 2,956 2,008
Explanatory note
1. IFRS 8.3133 An entity presents entity-wide disclosures related to the following items regardless of whether the
information is used by the CODM in assessing segment performance :
revenue from external customers for products and services;
revenue from external customers by geographical areas; and
non-current assets other than nancial instruments, deferred tax assets, post-employment benet
assets, and rights arising from insurance contracts.
The above information is provided by both the entitys country of domicile and by an individual
foreign country, if material. In our view, disclosing such information by region, e.g. Europe or Asia,
does not meet the requirement to disclose the information by an individual foreign country, if
material. Such information should be disclosed by the individual foreign country, e.g. France, the
Netherlands, Singapore, when material. These disclosures apply to all entities subject to IFRS 8,
including entities that have only one reportable segment. However, information required by the
entity-wide disclosures need not be repeated if it is included already in the segment disclosures. This
issue is discussed in our publication Insights into IFRS (5.2.230.10 13).
(continued)
(x) Reconciliations of reportable segment revenues, prot or loss and assets and
liabilities (continued)
IFRS 8.28(c) Assets
Total assets for reportable segments 39,087 34,062
IFRS 8.28(d) Liabilities (excluding net assets attributable to holders of redeemable shares)
Total liabilities for reportable segments 6,383 4,007
Other unallocated amounts:
Accrued professional fees and other operating expenses 47 49
Total liabilities (excluding net assets attributable
to holders of redeemable shares) 6,430 4,056
IFRS 8.31 (x) Geographical information
1
In presenting information on the basis of geography, segment revenue and segment assets are based
on the domicile countries of the investees and counterparties to derivative transactions.
[Country of United United Other
In thousands of euro domicile] States Kingdom Europe Total
2011
IFRS 8.33(a) External revenues
Total revenue 50 945 1,127 1,985 4,107
2010
IFRS 8.33(a) External revenues
Total revenue 23 699 893 1,424 3,039
IFRS 8.33(b) The Fund did not hold any non-current assets during the year (2010: nil).
IFRS 8.34 (x) Major customers
The Fund regards the holders of redeemable shares as customers, as it relies on their funding for
continuing operations and meeting its objectives. The Funds shareholding structure is not exposed
to a signicant shareholder concentration, other than shares held by employees of the investment
manager who hold all the Class B shares issued. The Funds largest holder of redeemable shares
excluding shares held by employees of the investment manager as at 31 December 2011 represents
2.32% (2010: 1.89%) of the Funds net asset value attributable to holders of redeemable shares.
Explanatory note
1. IAS 32.15 This Appendix provides an example of the presentation and disclosures required for an open-ended
fund whose redeemable shares are classied as equity under IAS 32. For the purpose of this
Appendix, it is assumed that the redeemable shares meet all the conditions for equity classication
under IAS32.16A and 16B.
However, terms and conditions of the instruments issued by a fund would require careful analysis to
determine whether the issued puttable instruments should be classied as equity. For example, in
many cases, presence of another equity instrument (e.g. the management shares) may prevent such
classication.
The example illustrates the key changes to the nancial statements resulting from the classication
of redeemable shares as equity. In addition, consequential changes will be required to other parts of
the nancial statements that discuss the redeemable shares in the context of a liability treatment,
e.g. references to redeemable shares in the risk management section as the redeemable shares
classied as equity are excluded from the scope of IFRS 7.
2. In certain jurisdictions a collective investment scheme may be structured as an umbrella fund that
operates one or more sub-funds, whereby investors purchase instruments that entitle the holder
to a share of the net assets of a particular sub-fund. The umbrella fund and sub-funds together
form a legal entity although the assets and the obligations of individual funds are fully or partially
segregated.
Generally, we expect units issued by umbrella investment funds, which consist of several sub-
funds, to fail equity classication in the separate nancial statements of the umbrella fund. In our
view, different contractual features that would violate the identical features test include different
rates of management fees, choice on issuance by holders whether to receive income or additional
units as distributions, different lock-up periods, different reference assets on which pro rata share
of net assets is calculated or different currencies in which payments are denominated. This issue is
Appendix III
Example disclosures of open-ended fund with puttable instruments
classied as equity
1, 2
Statement of nancial position
IAS 1.10(a), 60, 113 As at 31 December
Assets
IAS 1.54(i) Cash and cash equivalents 51 71
IAS 1.54(d) Balances due from brokers 10 4,619 3,121
IAS 1.54(d) Receivables from reverse repurchase agreements 11 4,744 3,990
IAS 1.54(h) Other receivables 29 46
IAS 1.54(d) Non-pledged nancial assets at fair value through prot or loss 12 26,931 24,471
IAS 1.54(d), 39.37(a) Pledged nancial assets at fair value through prot or loss 12 2,691 2,346
Equity
IAS 1.54(r) Share capital 59 59
IAS 1.54(r) Share premium 25,141 25,451
IAS 1.54(r) Retained earnings 7,435 4,479
Total equity 32,635 29,989
Liabilities
IAS 1.54(m) Balances due to brokers 10 143 275
IAS 1.54(m) Payables under repurchase agreements 11 2,563 2,234
IAS 1.54(k) Other payables 103 101
IAS 1.54(m) Financial liabilities at fair value through prot or loss 12 3,621 1,446
Total liabilities 6,430 4,056
Total equity and liabilities 39,065 34,045
Explanatory note
1. IAS 33.2, 3, 5 An entity with publicly-traded ordinary shares or potential ordinary shares, or in the process of
issuing ordinary shares or potential ordinary shares that are to be publicly traded, should present
basic and diluted EPS in the statement of comprehensive income. The requirements to present EPS
only apply to those funds whose ordinary shares are classied as equity.
In our view, puttable instruments that qualify for equity classication instead of nancial liability
classication under IAS 32 are not ordinary shares for the purposes of IAS 33. We believe that it is
not appropriate to apply by analogy the limited scope exemption under IAS32 for EPS calculation
purposes. Accordingly, in our view, the EPS presentation is not required for, or as a result of
the existence of, such instruments. This issue is discussed in our publication Insights into IFRS
(5.3.10.80).
classied as equity (continued)
Statement of comprehensive income
1
IAS 1.10(b), 81(a) For the year ended 31 December
Interest income 7 603 429
IAS 18.35(b)(v) Dividend income 272 229
IAS 1.35 Net foreign exchange loss (19) (16)
IFRS 7.20(a) Net gain from nancial instruments at fair value through prot or loss 8 3,251 2,397
IAS 1.82(a) Total revenue 4,107 3,039
IAS 1.99 Investment management fees (478) (447)
IAS 1.99 Custodian fees (102) (115)
IAS 1.99 Administration fees (66) (62)
IAS 1.99 Directors fees (26) (15)
IAS 1.99 Transaction costs (54) (73)
IAS 1.99 Audit and legal fees (74) (67)
IFRS 7.20(b) Interest expense (75) (62)
Dividend expense on securities sold short (45) (19)
IAS 1.99 Other operating expenses (8) (41)
Total operating expenses (928) (901)
IAS 1.85 Prot before tax 3,179 2,138
IAS 1.82(d) Withholding tax expense 9 (45) (39)
IAS 1.82(f) Prot for the period 3,134 2,099
Explanatory note
1. IAS 32.33 If an entity reacquires its own equity instruments, then those instruments (treasury shares) are
deducted from equity. No gain or loss is recognised in prot or loss on the purchase, sale, issue
or cancellation of an entitys own equity instruments. Consideration paid or received is recognised
directly in equity.
IFRS does not mandate a specic method of presenting treasury shares within equity. Laws may
prescribe the allocation method. Therefore, an entity should take into account its legal environment
when choosing how to present its own shares within equity. This issue is discussed, and certain
possible presentation alternatives are explained, in our publication Insights into IFRS (7.3.480).
In this illustrative example we have selected the following presentation:
the par value of treasury shares purchased is debited to share capital;
the par value of treasury shares sold or re-issued is credited to share capital; and
any premium or discount to par value is shown as an adjustment to share premium.
2. IAS 1.80 In cases when an entity without share capital (e.g. a partnership or trust) discloses information
equivalent to that required for other entities, it discloses movements during the period in each
category of equity interest, and the rights, preferences, and restrictions attaching to each category of
equity interest.
Statement of changes in equity
1
Management Redeemable
share share Share Retained
In thousands of euro capital capital premium earnings Total
Balance at 1 January 2010 10 48 15,942 2,471 18,471
Total comprehensive income
for the year
IAS 1.106(d)(i) Prot or loss - - - 2,099 2,099
Transactions with owners,
recognised directly in equity
IAS 1.106(d)(iii) Contributions, redemptions and
distributions to shareholders:
Issue of shares - 1 15,504 - 15,505
Redemption of shares - - (5,995) - (5,995)
Dividends paid to shareholders - - - (91) (91)
Total transactions with owners - 1 9,509 (91) 9,419
Balance at 31 December 2010 10 49 25,451 4,479 29,989
Total comprehensive income
for the year
IAS 1.106(d)(i) Prot or loss - - - 3,134 3,134
Transactions with owners,
recognised directly in equity
IAS 1.106(d)(iii) Contributions, redemptions and
distributions to shareholders:
Issue of shares - 1 6,667 - 6,668
Redemption of shares - (1) (6,977) - (6,978)
Dividends paid to shareholders - - - (178) (178)
Total transactions with owners - - (310) (178) (488)
Balance at 31 December 2011 10 49 25,141 7,435 32,635
X. Signicant accounting policies
IFRS 7.21 (x) Share capital
Redeemable shares
The Fund classies nancial instruments issued as nancial liabilities or equity instruments in
accordance with the substance of the contractual terms of the instruments.
The Fund has two classes of redeemable shares in issue: Class A and Class B. Both are the most
subordinate classes of nancial instruments issued by the Fund and, on liquidation of the Fund
they entitle the holders to the residual net assets, after repayment of the nominal amount of
equity shares. They rank pari passu in all material respects and have identical terms and conditions.
The redeemable shares provide investors with the right to require redemption for cash at a value
proportionate to the investors share in the Funds net assets at each monthly [daily/quarterly]
redemption date and also in the event of the Funds liquidation.
IAS 32.16, 18(b) A puttable nancial instrument that includes a contractual obligation for the Fund to repurchase or
redeem that instrument for cash or another nancial asset is classied as equity if it meets all of the
following conditions:

it entitles the holder to a pro rata share of the Funds net assets in the event of the Funds
liquidation;

it is in the class of instruments that is subordinate to all other classes of instruments;

all nancial instruments in the class of instruments that is subordinate to all other classes of
instruments have identical features;

apart from the contractual obligation for the Fund to repurchase or redeem the instrument for cash
or another nancial asset, the instrument does not include any other features that would require
classication as a liability; and

the total expected cash ows attributable to the instrument over its life are based substantially on
the prot or loss, the change in the recognised net assets or the change in the fair value of the
recognised and unrecognised net assets of the Fund over the life of the instrument.
The Funds redeemable shares meet these conditions and are classied as equity.
Incremental costs directly attributable to the issue or redemption of redeemable shares are
recognised directly in equity as a deduction from the proceeds or part of the acquisition cost.
Repurchase of redeemable shares
When redeemable shares recognised as equity are redeemed, the par value of the shares is
presented as a deduction from share capital. Any premium or discount to par value is recognised
as an adjustment to share premium, or if share premium is insufcient, as an adjustment to
retained earnings.
X. Financial risk management
IAS 1.134 (x) Capital management
IAS 1.136A(a) At 31 December 2011 the Fund had 32,625 thousand (2010: 29,979 thousand) of redeemable
share capital classied as equity.
IAS 1.136A(b) The Funds objectives in managing the redeemable share capital is to ensure a stable and strong base
to maximise returns to all investors, and to manage liquidity risk arising from redemptions.
The Fund utilises the following tools in the management of share redemptions:

regular monitoring of the level of daily subscriptions and redemptions and maintenance of liquid
assets equal to 105% of the expected redemptions; and

the right to impose a redemption gate limit of 10% of the net assets of the Fund in any redemption
period.
IAS 1.136A(c), (d) Based on historic information over the last 12 months, redemption levels are expected to
approximate 600 thousand and the average monthly level of redemptions net of new subscriptions
are expected to approximate 26 thousand. However, the actual level of redemptions may differ
signicantly from the historic experience.
IAS 1.136A(b) There were no changes in the policies and procedures during the year with respect to the Funds
approach to its redeemable share capital management.
IAS 1.135(a)(ii) The Fund is required by the [title of legislation or regulation] to maintain authorised and paid up capital
at a minimum amount of 10 thousand in the form of management shares [explain the reason for
issuing the shares, if different from above]. The holders of management shares are entitled to a
repayment of up to par value only upon the winding up of the Fund in priority to redeemable shares.
The Fund is not subject to other externally imposed capital requirements.
Explanatory note
1. IAS 1.9, 10 A schedule of investments is not a required statement under IFRS. However, entities may provide
such a schedule on a voluntary basis within or outside the nancial statements. For example, if a
fund is listed on a stock exchange it may be required to include a schedule of investments within the
audited nancial statements to comply with the listing requirements of the exchange.
A schedule of investments, when included within the audited nancial statements, is presented in
the notes.
These illustrative nancial statements are based on the assumption that a schedule of investments
is not required to be included within the audited nancial statements. Reports and statements
presented outside the nancial statements are outside the scope of IFRS. If a fund presents its
schedule of investments outside the nancial statements, it should provide sufcient information
within the nancial statements on the nature and amounts of the investments to meet the
requirement in IFRS 7.
Appendix IV
Example disclosures of schedule of investments unaudited
1
For the year ended 31 December 2011
Percentage
Fair value of net assets
Assets
Derivative nancial instruments
Listed equity index options 249 0.8%
Foreign currency forward contracts 219 0.6%
Equity indices futures contracts 54 0.2%
Foreign currency futures contracts 23 0.1%
Total derivative nancial instruments 545 1.7%
Equity investments
NYSE and European exchange-traded equity investments:
44,000 shares of [name of entity] 1,200 3.7%
32,000 shares of [name of entity] 996 3.1%
Total 16,894 51.8%
Unlisted open-ended investment funds:
25,615 units [name of entity] 640 2.0%
Total 1,632 5.0%
Unlisted private equity investments:
Total 500 1.5%
Total equity investments 19,026 58.3%
Example disclosures of schedule of investments unaudited
(continued)
For the year ended 31 December 2011
Percentage
Fair value of net assets
Assets (continued)
NYSE and European exchange-traded debt securities
[name of entity] 4.9% 15/03/2012 1,091 3.4%
[name of entity] 3.8% 10/04/2012 1,046 3.2%
[name of entity] 3.3% 26/10/2012 1,023 3.1%
[name of entity] 3.4% 10/03/2012 1,012 3.1%
[name of entity] 3.2% 26/03/2012 988 3.0%
[name of entity] 2.8% 5/01/2012 982 3.0%
[name of entity] 3.0% 10/01/2012 826 2.5%
[name of entity] 2.8% 15/01/2012 806 2.5%
[name of entity] 2.9% 31/01/2012 796 2.5%
[name of entity] 3.0% 6/01/2012 750 2.3%
[name of entity] 2.9% 10/01/2012 731 2.2%
Total debt securities 10,051 30.8%
Total derivative nancial instruments and debt and equity
investments 29,622 90.8%
Liabilities
Derivative nancial instruments
Listed equity index options (1,066) (3.3%)
Foreign currency forward contracts (822) (2.5%)
Credit default swaps (485) (1.5%)
Interest rate swaps (464) (1.4%)
Total derivative nancial instruments (2,837) (8.7%)
Securities sold short
NYSE and European exchange-traded equity investments:
5,000 shares of [name of entity] (50) (0.1%)
Total securities sold short (784) (2.4%)
Total derivative nancial instruments and securities sold short (3,621) (11.1%)
Total net investments (assets less liabilities) 26,001 79.7%
Cash and cash equivalents 51 0.2%
Other assets in excess of other liabilities and equity 6,573 20.1%
Total net assets 32,625 100.0%
Explanatory note
1. IFRS 7.41 This Appendix sets out an example of disclosures of sensitivity analysis for market risk using a Value-
at-Risk methodology. When an entity presents information on this basis, it shall disclose:
an explanation of the method used in preparing such a sensitivity analysis and the main parameters
and assumptions underlying the data provided; and
an explanation of the objective of the method used and of limitations that may result in the
information not fully reecting the fair value of the assets and liabilities involved.
Appendix V
Example disclosures of exposure to market risk
Value-at-Risk analysis
IFRS 7.41 The principal tool used to measure and control market risk exposure of the Fund is a Value-at-Risk
analysis (VaR). The VaR of the Funds portfolio is the estimated loss that may arise on the portfolio
over a specied period of time (holding period) from an adverse market movement within a specied
probability (condence level). The VaR model used by the Fund is based on a 99% condence level
and assumes a 10-day holding period. The VaR model used is based mainly on historical simulation.
Taking account of market data from the previous two years and observed relationships between
different markets and prices, the model generates a wide range of plausible future scenarios for
market price movements.
[Insert any other information on type of model, assumptions and parameters used in the VaR
calculation and any limitations to the method.]
Although VaR is an important tool for measuring market risk, the assumptions on which the model is
based give rise to some limitations, including the following:

A 10-day holding period assumes that it is possible to hedge or dispose of positions within that
period. This may not be the case for certain highly illiquid assets or in situations in which there is
severe general market illiquidity.

A 99% condence level does not reect losses that may occur beyond this level, meaning that
within the model used there is a 1% probability that losses could exceed the VaR.

VaR is calculated on an end-of-day basis and does not reect exposures that may arise on positions
during the trading day.

The use of historical data as a basis for determining the possible range of future outcomes may
not always cover all possible scenarios, especially those of an exceptional nature.

The VaR measure is dependent upon the Funds position and the volatility of market prices.

The VaR of an unchanged position reduces if market price volatility declines and vice versa.
The Fund uses VaR limits for total market risk and specic foreign exchange, interest rate, equity,
credit spread and other price risks. VaR limits are allocated to trading portfolios.
The overall structure of VaR limits is subject to review and approval by the board of directors. VaR
is measured weekly. Weekly reports of utilisation of VaR limits are submitted to [insert name] and
regular summaries are submitted to the board of directors.
During 2011 higher levels of market volatility persisted across all asset classes. Uncertainty over the
levels of borrowing by governments in the major economies and concerns over the performance of
sovereign debt in the Eurozone substantially increased market volatility. The largest impact resulted
from the general widening of credit spreads. The Fund sought to mitigate the market and credit risk
by diversifying away from exposures to countries with the highest uncertainty and volatility and
through increased diversication of its investment portfolio.

Example disclosures of exposure to market risk
Value-at-Risk analysis (continued)
A summary of the VaR position of the Funds portfolios at 31 December and during the period is as
follows:
At 31
IFRS 7.41 In thousands of euro December Average Maximum Minimum
2011
Foreign currency risk 12.04 10.04 15.06 7.97
Interest rate risk 27.41 22.05 39.48 17.53
Credit spread risk 19.07 16.97 19.52 15.66
Other price risk 3.28 3.01 4.02 2.42
Covariance (2.76) (3.08) - -
Overall 59.04 48.99 78.08 43.58
2010
Foreign currency risk 9.28 8.40 12.05 4.64
Interest rate risk 20.43 18.05 26.52 13.72
Credit spread risk 6.08 5.11 8.83 3.50
Other price risk 3.32 2.89 4.56 2.07
Covariance (2.24) (2.08) - -
Overall 36.87 32.37 51.96 23.93
The limitations of the VaR methodology are recognised by supplementing VaR limits with other
position and sensitivity limit structures, including limits to address potential concentration risks.
In addition, the Fund uses a wide range of stress tests to model the nancial impact of a variety
of exceptional market scenarios, such as periods of prolonged market illiquidity, on the Funds
overall position.
Technical guide
Form and content of nancial statements
IAS 1 sets out the overall requirements for the presentation of nancial statements, including their content and structure.
Other standards and interpretations deal with the recognition, measurement and disclosure requirements related to specic
transactions and events. IFRSs are not limited to a particular legal framework. Therefore nancial statements prepared under
IFRSs often contain supplementary information required by local statute or listing requirements, such as a directors report (see
below) and, more specically for funds, an investment managers report and trustees report.
Choice of accounting policies
The accounting policies disclosed in these illustrative nancial statements reect the facts and circumstances of the ctitious
tax-exempt open-ended single-fund investment company on which these nancial statements are based. They should not be
relied upon for a complete understanding of the requirements of IFRSs and should not be used as a substitute for referring to
the standards and interpretations themselves. The accounting policy disclosures appropriate for an entity depend on the facts
and circumstances of that entity, including the accounting policy choices an entity makes, and may differ from the disclosures
presented in these illustrative nancial statements. The recognition and measurement requirements of IFRSs are discussed in
our publication Insights into IFRS (8th Edition).
Reporting by directors
Generally local laws and regulations determine the extent of reporting by directors (or similar) in addition to the presentation of
nancial statements. IAS 1 encourages, but does not require, entities to present, outside the nancial statements, a nancial
review by management. The review describes and explains the main features of the entitys nancial performance and nancial
position, and the principal uncertainties it faces. Such a report may include a review of:
the main factors and inuences determining nancial performance, including changes in the environment in which the entity
operates, the entitys response to those changes and their effect, and its policy for investment to maintain and enhance
nancial performance, including its dividend policy;
the entitys sources of funding; and
the entitys resources not recognised in the statement of nancial position in accordance with IFRSs.
First-time adopters of IFRSs
These illustrative nancial statements assume that the entity is not a rst-time adopter of IFRSs. IFRS 1 First-time Adoption
of International Financial Reporting Standards applies to an entitys rst nancial statements prepared in accordance with
IFRSs. IFRS 1 requires extensive disclosures explaining how the transition from previous GAAP to IFRSs affected the
reported nancial position, nancial performance and cash ows of an entity. These disclosures include reconciliations of
equity and reported total prot or loss at the date of transition to IFRSs and at the end of the comparative period presented
in the entitys rst IFRS nancial statements, explaining material adjustments to the statements of nancial position, changes
in equity and comprehensive income, and identifying separately the correction of any errors made under previous GAAP.
An entity that presented a statement of cash ows under previous GAAP also explains any material adjustments to its
statement of cash ows. For more information see KPMGs Illustrative nancial statements for rst-time adopters, published
in February2010, or Illustrative condensed interim nancial statements: First-time adoption, published in July 2011.
Other ways KPMG member rm professionals can help
A more detailed discussion of the general accounting issues that arise from the application of IFRSs can be found in our
publication Insights into IFRS (8th Edition).
In addition to Insights into IFRS, we have a range of publications that can assist you further, including:
IFRS compared to US GAAP
Illustrative nancial statements
Illustrative nancial statements: Banks
Illustrative nancial statements: First-time adopters
IFRS Handbooks, which include extensive interpretative guidance and illustrative examples to elaborate or clarify the
practical application of a standard
New on the Horizon publications, which discuss consultation papers
IFRS Practice Issues publications, which discuss specic requirements of pronouncements
First Impressions publications, which discuss new pronouncements
Newsletters, which highlight recent developments
Disclosure checklist.
IFRS-related technical information is available at www.kpmg.com/ifrs.
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Acknowledgements
We would like to acknowledge the principal contributors to this publication. They are Ewa Bialkowska and ArinaTomiste of
the KPMG International Standards Group.
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kpmg.com/ifrs
Publication name: Illustrative nancial statements: Investment funds
Publication number: 314800
Publication date: December 2011
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IFRS

how management evaluates the performance of the portfolio;

whether managements strategy focuses on earning contractual interest revenues;

the degree of frequency of expected asset sales;

the reasons for asset sales; and

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