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CFM UCITS ICAV (an open-ended umbrella fund with segregated liability between Sub-Funds)

(Registered Number C161756)

Semi-Annual Report and Unaudited Condensed

Financial Statements

For the six month period ended 30 June 2018

CFM UCITS ICAV

Contents Page

Management and Administration 1 - 2

Manager’s Report 3

Statement of Financial Position 4

Statement of Comprehensive Income 5

Statement of Changes in Net Assets Attributable to

Holders of Redeemable Participating Shares 6

Statement of Cash Flows 7

Notes to the Financial Statements 8 - 28

Condensed Schedule of Investments 29 - 58

Portfolio Changes 59

Other Additional Disclosures 60 - 62

CFM UCITS ICAV

Management and Administration

1

Registered office 32 Molesworth Street

Dublin 2

Ireland

Directors ~ Adrian Waters*

Des Fullam

Jacques Saulière

Manager (up to 20 June 2018)

Carne Global Fund Managers (Ireland) Limited

Second Floor, Block E

Iveagh Court

Harcourt Road

Dublin 2

Ireland

(from 20 June 2018)

Capital Fund Management S.A.

23 rue de l’Université

75007 Paris

France

Investment Manager (up to 20 June 2018)

Capital Fund Management S.A.

23 rue de l’Université

75007 Paris

France

Compliance Support Agent (from 20 June 2018)

Carne Global Fund Managers (Ireland) Limited

Second Floor, Block E

Iveagh Court

Harcourt Road

Dublin 2

Ireland

Depositary HSBC Institutional Trust Services (Ireland) DAC

1 Grand Canal Square

Grand Canal Harbour

Dublin 2

Ireland

Administrator HSBC Securities Services (Ireland) DAC

1 Grand Canal Square

Grand Canal Harbour

Dublin 2

Ireland

~ Non-executive directors

* Independent director

CFM UCITS ICAV

Management and Administration (continued)

2

Legal Advisor Maples and Calder

(Irish law) 75 St Stephen’s Green

Dublin 2

Ireland

Company Secretary MFD Secretaries Limited

2nd Floor, Beaux Lane House

Mercer Street Lower

Dublin 2

Ireland

Independent Auditor KPMG

Chartered Accountants, Statutory Audit Firm

1 Harbourmaster Place

IFSC

Dublin 1

Ireland

Bankers HSBC Bank USA, N.A.

452 Fifth Avenue, 8E6

New York, New York 10018

United States of America

BNP Paribas, London Branch

10 Harewood Ave

London, NW1 6AA

United Kingdom

CFM UCITS ICAV

Manager’s Report for the six month period ended 30 June 2018

3

At period-end, the NAV’s and the performance of the respective share classes of the Fund were:

Net asset value per

Share

Rate of

Return

Euro Class C Shares 902.87 (9.71%)

Euro Class I Shares 962.96 (9.73%)

Euro Class M Shares 989.61 (9.13%)

Euro Class N Shares 899.02 (10.10%)

Investment objective

The investment objective of the Fund is to achieve long-term capital appreciation through returns that seek

to be uncorrelated with returns of traditional asset classes, such as stocks and bonds.

Investment strategy

The Fund aims to achieve its investment objective by investing according to the CFM IS Behavioral

Program (the “Program”) designed by the Investment Manager. The Fund is a quantitative trading fund,

meaning that the Program executes trades for the Fund based on models and mathematical formulas, which

are systematic in nature, investing in assets drawn from the Fund's investment universe.

Development of AUM

The total nominal equity managed by Capital Fund Management SA and its affiliates decreased from

US$10,900m as of 1 January 2018 to US$10,400m as of 30 June 2018. CFM UCITS ICAV is a UCITS

Fund incorporated on 6 October 2016 and has at the time of this report one sub fund, namely CFM IS

Behavioral Fund, with a nominal equity of Euro 36m as of 30 June 2018.

Return Attribution

The CFM ISB Fund Program’s performance was negative for the period from 1 January 2018 to 30 June

2018. All strategies contributed negatively for the period to the performance during the accounting period.

Risk allocation

The risk allocation of the CFM ISB Fund Program (as measured by allocation of leveraged equity) to the

underlying strategies was set at 50% for Trend Following, 49% Equity Market Neutral and 1% for Universal

Value as at 30 June 2018.

Risk Management

During the accounting period, the daily VaR (95%) limit of the CFM ISB Fund Program of 0.90% was

reached 11 days out of 121 trading days during year 2018. The CFM ISB Fund Program experienced its

worst performing day in 2018 with a net daily loss of 3.00% on 5 February 2018. The best performing days

occurred on 19 January 2018 with a net daily gain of +1.67%.

CFM UCITS ICAV

Statement of Financial Position as at 30 June 2018

(Expressed in Euro)

The accompanying notes are an integral part of these financial statements.

4

CFM IS

Behavioral

Fund*

CFM IS

Behavioral

Fund*~

30 June 2018 31 December 2017

Note Euro Euro

Assets

Financial assets at fair value through profit or loss

- Transferable securities 3,4 9,368,740 10,078,490

- Financial derivative instruments 3,4 19,608,485 17,769,134

Cash and cash equivalents 11,459,185 8,667,318

Due from broker 22,546,038 17,732,641

Interest receivable 115,752 55,644

Dividends receivable 104,688 43,267

Fund expenses receivable 5 181,912 469,334

Total assets 63,384,800 54,815,828

Liabilities

Financial liabilities at fair value through profit or loss

- Financial derivative instruments 3,4 20,371,205 17,083,900

Due to broker 7,036,690 4,111,100

Dividends payable 90,245 54,862

Interest and stock loan fees payable 60,268 48,583

Investment management fees payable 5 26,539 11,160

Performance fees payable 5 - 5,347

Commission payable 2,341 1,051

Fund expenses payable 5 43,379 47,073

Liabilities (excluding net assets attributable to holders of

redeemable participating shares) 27,630,667 21,363,076

Net assets attributable to holders of redeemable

participating shares 35,754,133 33,452,752

*The Fund was the only Fund of the ICAV as at 30 June 2018 and 31 December 2017, the above details

and those in the accompanying notes also represent the total for the ICAV as at 30 June 2018 and 31

December 2017.

~The Fund was incorporated on 6 October 2016 and commenced operations on 21 December 2016.

CFM UCITS ICAV

Statement of Comprehensive Income for the six month period ended 30 June 2018

(Expressed in Euro)


5

CFM IS

Behavioral

Fund*

CFM IS

Behavioral

Fund*~

30 June 2018** 30 June 2017***

Note Euro Euro

Investment income

Interest income 203,787 197,433

Net loss on financial assets and liabilities at fair value

through profit or loss 3 (3,959,334)

(515,601)

Net gain/(loss) on foreign exchange 214,920 (12,684)

Total investment expense (3,540,627) (330,852)

Operating expenses

Operating fees 5 (43,961) (20,344)

Commission fees (28,614) (15,102)

Investment management fees 5 (80,398) (6,774)

Depositary fees (466) -

Performance fees 5 (140) -

Other expenses - (50)

Total operating expense (153,579) (42,270)

Net investment expense (3,694,206) (373,122)

Finance costs

Interest expense (440,654) (297,061)

Stock loan fee (55,544) -

Total finance costs (496,198) (297,061)

Decrease in net assets attributable to holders of

redeemable participating shares from operations (4,190,404)

(670,183)



December 2017.

** For the period from 1 January 2018 to 30 June 2018.

*** For the period from 6 October 2016 (date of incorporation) to 30 June 2017.


CFM UCITS ICAV

Statement of Changes in Net Assets Attributable to Holders of Redeemable

Participating Shares for the six month period ended 30 June 2018

(Expressed in Euro)


6

CFM IS

Behavioral

Fund*

CFM IS

Behavioral

Fund*~

30 June 2018** 30 June 2017***

Euro Euro


participating shares at the beginning of the period 33,452,752 -

Decrease in net assets attributable to holders of redeemable

participating shares from operations (4,190,404) (670,183)

Proceeds from redeemable participating shares issued 15,274,462 36,200,000

Payment on redemption of redeemable participating shares (8,782,677) (16,000,000)


participating shares at the end of the period 35,754,133 19,529,817



December 2017.




CFM UCITS ICAV

Statement of Cash Flows for the six month period ended 30 June 2018

(Expressed in Euro)


7

CFM IS

Behavioral

Fund*

CFM IS

Behavioral

Fund*~

30 June 2018** 30 June 2017***

Euro Euro

Cash flows from operating activities

Decrease in net assets attributable to holders of

redeemable participating shares from operations (4,190,404) (670,183)

Increase in financial assets at fair value through profit or loss (1,129,601) (14,977,571)

Increase in financial liabilities at fair value through profit or loss 3,287,305 10,503,504

Net realised and unrealised foreign exchange (gain)/loss (214,920) 12,684

Increase in due from broker (4,813,397) (10,802,676)

Increase in due to broker 2,925,590 2,739,557

Increase in dividends receivable (61,421) (52,343)

Increase in interest receivable (60,108) (2,243)

Decrease/(increase) in fund expenses receivables 287,422 (242,375)

Increase in dividends payable 35,383 40,476

Increase in interest and stock loan fees payable 11,685 13,274

Increase in investment management fees payable 15,379 6,774

Increase commission payable 1,290 4,563

(Decrease)/increase in fund expenses payable (3,694) 20,342

Decrease in performance fee payable (5,347) -

Net cash used in operating activities (3,914,838) (13,406,217)

Cash flows from financing activities

Proceeds from redeemable participating shares issued 15,274,462 36,200,000

Payment on redemption of redeemable participating shares (8,782,677) (16,000,000)

Net cash provided by financing activities 6,491,785 20,200,000

Net increase in cash and cash equivalent 2,576,947 6,793,783

Cash and cash equivalents at beginning of the financial period 8,667,318 -

Effect of foreign exchange rate changes 214,920 (12,684)

Cash and cash equivalents at end of the financial period 11,459,185 6,781,099

Supplemental disclosures of cash flow information:

Interest received 143,679 195,190

Interest paid (434,413) (283,787)



December 2017.




CFM UCITS ICAV

Notes to the Financial Statements for the six month period ended 30 June 2018

8

1. General

CFM UCITS ICAV (the “ICAV”) was incorporated as an open-ended umbrella Irish collective asset-

management vehicle with segregated liability between sub-funds to carry on business under the Irish

Collective Asset-Management vehicles Act 2015 (the “ICAV Act”) on 6 October 2016 with

registration number C161756. The ICAV is authorised by the Central Bank of Ireland as an ICAV

pursuant to Part 2 of the ICAV Act, the European Communities (Undertakings for Collective

Investment in Transferable Securities) Regulations 2011, (the “UCITS Regulations”) and the Central

Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective

Investment in Transferable Securities) Regulations, 2015 (the “Central Bank UCITS Regulations”).

Any liability incurred on behalf of or attributable to any Sub-Fund of the ICAV shall be discharged

solely out of the assets of the Sub-Fund. Notwithstanding the foregoing, there can be no assurance that

should an action be brought against the ICAV in the courts of another jurisdiction, the segregated nature

of the Sub-Funds would necessarily be upheld. As at 30 June 2018, the ICAV comprised of CFM IS

Behavioral Fund (the “Fund”) only. The Fund commenced its operations on 21 December 2016.

The investment objective of the Fund is to achieve long-term capital appreciation through returns that

seek to be uncorrelated with returns of traditional asset classes, such as stocks and bonds.

On 20 June 2018 the Central Bank of Ireland approved the replacement of Carne Global Fund

Managers (Ireland) Limited (the “Former Manager”) by Capital Fund Management S.A. (the “New

Manager”) as Manager of the ICAV.

2. Significant accounting policies

The significant accounting policies adopted by the ICAV in the preparation of these Financial

Statements are set out below.

(a) Basis of accounting

The Condensed Financial Statements have been prepared in accordance with International Financial

Reporting Standards (“IFRS”) as adopted for use in the European Union, and applied in accordance

with the “ICAV Act”, the “UCITS Regulations” and the “Central Bank Regulations”. The Condensed

Financial Statements have been prepared in accordance with International Accounting Standards

(“IAS”) 34 Interim Financial Reporting.

(b) Basis of measurement

The financial statements have been prepared on a historical cost basis, except for the non-derivative

financial instruments at fair value through profit or loss and derivative financial instruments which

have been valued at fair value through profit or loss.

(c) Going concern

These financial statements have been prepared on a going concern basis as the Directors have made an

assessment of the ICAV’s ability to continue as a going concern and are satisfied that the ICAV has

the resources to continue for the foreseeable future. Furthermore, the Directors are not aware of any

material uncertainties that may cast significant doubt upon the ICAV ability to continue as a going

concern.

CFM UCITS ICAV

Notes to the Financial Statements for the six month period ended 30 June 2018 (continued)

9

2. Significant accounting policies (continued)

(d) Consistency of accounting policies The accounting policies have been applied consistently by the ICAV throughout the period presented

in these financial statements.

(e) Financial assets and liabilities at fair value through profit or loss

Contracts for difference

Contracts for difference are agreements between the ICAV and third parties, which allow the ICAV to

acquire an exposure to the price movement of specific securities without actually purchasing the

securities. The changes in contract values are recorded as unrealised gains or losses and the ICAV

recognises a realised gain or loss when the contract is closed. Realised and unrealised gains and losses

on contracts for difference are recognised in the Statement of Comprehensive Income. At each

valuation point the difference in price between the contract price of the contracts for difference and the

market price of the underlying equity is recorded as unrealised gain or loss of the contracts for

difference. When a contracts for difference is closed the difference between the contract price of the

contracts for difference and the market price is recorded as a realised fair value gain or loss in the

Statement of Comprehensive Income.

Futures

Futures are valued at fair value based on the settlement price on the relevant valuation date. Futures

are contracts for delayed delivery of commodities in which the seller agrees to make delivery at a

specific future date of a specific commodity, at a specified price or yield. Gains and losses on futures

are recorded by the ICAV based on market fluctuations and are recorded as realised or unrealised

gains/(losses) dependent upon settlement terms of the contracts held. The ICAV includes bond futures,

commodity futures, currency futures, index futures and interest rate futures.

Swaps

Generally, a swap contract is an agreement that obligates two parties to exchange a series of cash flows

at specified intervals based upon or calculated by reference to changes in specified prices or rates for

a specified notional amount of the underlying assets. The payment flows are usually netted against

each other, with the difference being paid by one party to the other. The ICAV includes only equity

swaps.

Realised and unrealised gains and losses on all derivative contracts are recognised in the Statement of

Comprehensive Income.

Forward contracts

Forward contracts entered into by the ICAV represent a firm commitment to buy or sell an underlying

asset, or currency at a specified value and point in time based upon an agreed or contracted quantity.

Gain and loss on forward contracts are measured by the ICAV based upon fair value fluctuations and

are recorded as realised or unrealised gains or losses in the Statement Comprehensive Income. The

ICAV values forward contracts at last settlement prices or closing prices provided by certain third party

pricing sources.

CFM UCITS ICAV


10


(f) Changes to the accounting policies

New standards, amendments and interpretations effective from 1 January 2018

IFRS 9 - ‘Financial Instruments (effective 1 January, 2018):

The ICAV is required to adopt IFRS 9 Financial Instruments from 1 January 2018. IFRS 9 replaces

IAS 39 Financial Instruments: Recognition and Measurement. It includes revised guidance on the

classification and measurement of financial instruments, a new expected credit loss model for

calculating impairment on financial assets and new general hedge accounting requirements. It also

carries forward guidance on recognition and derecognition of financial instruments from IAS 39.

Classification of financial assets and financial liabilities:

IFRS 9 contains a new classification and measurement approach for financial assets that reflects the

business model in which assets are managed and their cash flow characteristics. The standard includes

three principal classification categories for financial assets: measured at amortised cost, fair value

through other comprehensive income (FVOCI) and fair value through profit or loss (FVTPL). It

eliminates the existing IAS 39 categories of held to maturity, loans and receivables and available for

sale.

Under IFRS 9, derivatives embedded in contracts where the host is a financial asset in the scope of the

standard are never bifurcated. Instead, the whole hybrid instrument is assessed for classification.

IFRS 9 largely retains the existing requirements in IAS 39 for the classification of financial liabilities.

However, although under IAS 39 all fair value changes of liabilities designated as at FVTPL are

recognised in Statement of Comprehensive Income, under IFRS 9 these fair value changes are generally

presented as follows:

- The amount of change in the fair value that is attributable to change in the credit risk of the

liability in presented in OCI; and

- The remaining amount of change in the fair value is presented in Statement of Comprehensive

Income.

Based on the ICAV’s assessment, this standard is not expected to have a material impact on the

classification of financial assets and financial liabilities of the ICAV. This is because:

• The financial instruments classified as held-for-trading under IAS 39 (derivatives) will continue

to be classified as such under IFRS 9;

• Other financial instruments currently measured at FVTPL under IAS 39 are designated into this

category because they are managed on a fair value basis in accordance with a documented

investment strategy. These investments will also be measured at fair value through profit or loss

based on the business model; and

• Financial instruments currently measured at amortised cost are: cash and cash equivalents,

receivables and payables. These instruments meet the solely principal and interest criterion and

are held in a held-to-collect business model. Accordingly, they will continue to be measured at

amortised cost under IFRS 9.

CFM UCITS ICAV


11


(f) Changes to the accounting policies (continued)

New standards, amendments and interpretations effective from 1 January 2018 (continued)

IFRS 9 - ‘Financial Instruments (effective 1 January, 2018): (continued)

Impairment of financial assets:

IFRS 9 replaces the “incurred loss” model in IAS 39 with a forward-looking “expected credit loss”

(ECL) model. This will require considerable judgement about how changes in economic factors affect

ECLs, which will be determined on a probability-weighted basis.

The new impairment model will apply to financial assets measured at amortised cost or FVOCI, expect

for investments in equity instruments.

Under IFRS 9, loss allowances will be measured on either of the following bases:

- 12-months ECLs: these are ECLs that result from possible default events within the 12 months

after the reporting date; and

- Lifetime ECLs: these are ECLs that result from all possible default events over the expected life

of a financial instrument.

Based on the ICAV’s assessment, changes to the impairment model are not expected to have a material

impact on the financial assets of the ICAV. This is because:

- The majority of the financial assets are measured at FVTPL and the impairment requirements do

not apply to such instruments; and

- The financial assets at amortised cost are short-term (i.e. no longer than 12 months), of high credit

quality and/or highly collateralised. Accordingly, the ECLs on such assets are expected to be

small.

Hedge accounting:

The ICAV does not apply hedge accounting; therefore, IFRS 9 hedge accounting-related changes do

not have an impact on the financial statements of the ICAV.

3. Financial assets and liabilities at fair value through profit or loss

CFM IS Behavioral

Fund

CFM IS Behavioral

Fund


Euro Euro


Transferable securities

- Treasury bills 9,368,740 10,078,490

Financial derivatives

- Contracts for difference 17,246,191 15,455,767

- Futures 533,898 723,701

- Swaps 1,602,733 1,589,666

- Forward contracts 225,663 -

Total financial assets at fair value through profit or loss 28,977,225 27,847,624

CFM UCITS ICAV


12

3. Financial assets and liabilities at fair value through profit or loss (continued)

CFM IS Behavioral

Fund

CFM IS Behavioral

Fund


Euro Euro



- Contracts for difference (17,051,983) (14,607,211)

- Futures (477,436) (707,443)

- Swaps (2,656,843) (1,769,246)

- Forward contracts (184,943) -

Total financial liabilities at fair value through profit or

loss (20,371,205) (17,083,900)

CFM IS Behavioral

Fund

CFM IS Behavioral

Fund

30 June 2018* 30 June 2017**

Euro Euro

Realised gain/(loss) on financial assets and liabilities at

fair value through profit or loss

Loss on Treasury bills (14,980) -

Loss on Contracts for difference (178,637) (4,624)

(Loss)/gain on Futures (1,320,895) 184,442

Loss on Swaps (1,676,932) (39,385)

Loss on Forward contracts (138,029) -

Net realised (loss)/gain on financial assets and liabilities

at fair value through profit or loss (3,329,473) 140,433

Unrealised gain/(loss) on financial assets and liabilities

at fair value through profit or loss

Loss on Treasury bills (24,414) (872)

Gain/(loss) on Contracts for difference 188,159 (29,910)

Gain/(loss) on Futures 40,204 (480,252)

Loss on Swaps (874,530) (145,000)

Gain on Forward contracts 40,720 -

Net unrealised loss on financial assets and liabilities at

fair value through profit or loss (629,861) (656,034)

Net loss on financial assets and liabilities at fair value

through profit or loss (3,959,334) (515,601)

* For the period from 1 January 2018 to 30 June 2018.

** For the period from 6 October 2016 (date of incorporation) to 30 June 2017.

CFM UCITS ICAV


13

4. Fair value measurement

The following table presents the financial instruments carried on the Statement of Financial Position

by caption and by level within the valuation hierarchy as at 30 June 2018.

CFM IS Behavioral Fund Level 1 Level 2 Level 3 Total

Euro Euro Euro Euro

Financial assets at fair value through

profit or loss


- Treasury bills 9,368,740 - - 9,368,740


- Contracts for difference - 17,246,191 - 17,246,191

- Futures 533,898 - - 533,898

- Swaps - 1,602,733 - 1,602,733

- Forward contracts 225,663 225,663

Total financial assets at fair value

through profit or loss 9,902,638 19,074,587 - 28,977,225

Level 1 Level 2 Level 3 Total

Euro Euro Euro Euro

Financial liabilities at fair value through

profit or loss


- Contracts for difference - (17,051,983) - (17,051,983)

- Futures (477,436) - - (477,436)

- Swaps - (2,656,843) - (2,656,843)

- Forward contracts (184,943) (184,943)

Total financial liabilities at fair value

through profit or loss (477,436) (19,893,769) - (20,371,205)

The ICAV recognises transfers between levels of the fair value hierarchy as at the end of the reporting

period during which the change occurred.

There were no transfers between levels during the financial period from 1 January 2018 to 30 June

2018.

CFM UCITS ICAV


14

4. Fair value measurement (continued)

The following table presents the financial instruments carried on the Statement of Financial Position

by caption and by level within the valuation hierarchy as at 31 December 2017.

CFM IS Behavioral Fund Level 1 Level 2 Level 3 Total

Euro Euro Euro Euro

Financial assets at fair value through

profit or loss


- Treasury bills 10,078,490 - - 10,078,490


- Contracts for difference - 15,455,767 - 15,455,767

- Futures 723,701 - - 723,701

- Swaps - 1,589,666 - 1,589,666

Total financial assets at fair value

through profit or loss 10,802,191 17,045,433 - 27,847,624

Level 1 Level 2 Level 3 Total

Euro Euro Euro Euro

Financial liabilities at fair value through

profit or loss


- Contracts for difference - (14,607,211) - (14,607,211)

- Futures (707,443) - - (707,443)

- Swaps - (1,769,246) - (1,769,246)

Total financial liabilities at fair value

through profit or loss (707,443) (16,376,457) - (17,083,900)

The ICAV recognises transfers between levels of the fair value hierarchy as at the end of the reporting

period during which the change occurred.

There were no transfers between levels during the financial period form 6 October 2016 to 31

December 2017.

CFM UCITS ICAV


15


IFRS 13 establishes a fair value hierarchy that prioritises the inputs to valuation techniques used to

measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active

markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to

unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy are described

in the table below.

Level 1 Inputs that reflect unadjusted quoted prices in active markets for identical assets or liabilities

that the ICAV has the ability to access at the measurement date;

Level 2 Inputs other than quoted prices that are observable for the asset or liability either directly or

indirectly, including inputs in markets that are not considered to be active;

Level 3 Inputs that are unobservable.

Inputs are used in applying the various valuation techniques and broadly refer to the assumptions that

market participants use to make valuation decisions, including assumptions about risk. Inputs may

include price information, volatility statistics, specific and broad credit data, liquidity statistics, and

other factors. A financial instrument’s level within the fair value hierarchy is based on the lowest level

of any input that is significant to the fair value measurement. However, the determination of what

constitutes “observable” requires significant judgment by the Directors. The Directors consider

observable data to be that market data which is readily available, regularly distributed or updated,

reliable and verifiable, not proprietary, and provided by independent sources that are actively involved

in the relevant market. The categorisation of a financial instrument within the hierarchy is based upon

the pricing transparency of the instrument and does not necessarily correspond to the Directors’

perceived risk of that instrument.


Transferable securities whose values are based on quoted market prices in active markets are classified

within level 1. These include active listed equities and treasury bills. The Directors do not adjust the quoted

price for such instruments, even in situations where the ICAV holds a large position and a sale could

reasonably impact the quoted price.

Transferable securities that trade in markets that are not considered to be active, but are valued based on

quoted market prices, dealer quotations or alternative pricing sources supported by observable inputs are

classified within level 2.

Transferable securities classified within level 3 have significant unobservable inputs, as they trade

infrequently or not at all. There are no level 3 investments held at financial period end.

CFM UCITS ICAV


16


Derivative instruments

Derivative instruments can be exchange-traded or privately negotiated over-the-counter (“OTC”).

Exchange-traded derivatives, such as contracts for difference, futures contracts and exchange traded option

contracts, are typically classified within level 1 or level 2 of the fair value hierarchy depending on whether

or not they are deemed to be actively traded. OTC derivatives, such as forward foreign exchange contracts

and equity swaps have inputs which can generally be corroborated by market data and are therefore

classified within level 2.

The ICAV has not disclosed the fair values for financial instruments measured at amortised cost, due

to/from broker and short-term receivables and payables because their carrying amounts are a reasonable

approximations of fair values.

No investments have been classified within Level 3 at any time during the year, consequently no

reconciliation of Level 3 fair value measurements is required.

For the period ended 30 June 2018, all other assets and liabilities, other than investments at fair value, whose

carrying amounts approximate fair value would have been considered to be classified within Level 2 of the

fair value hierarchy if such classification was required.

The ICAV redeems and issues redeemable Participating Shares at the amount equal to the proportionate

share of net assets of the ICAV at the time of subscription or redemption, calculated on a basis consistent

with that used in the financial statements. Accordingly, the carrying amount of Net assets attributable to

holders of Participating Shares approximates their fair value. The shares are categorised into Level 2 of the

fair value hierarchy.

The Fund may invest in Financial Derivatives Instruments ("FDI") for investment purposes, for hedging

purposes and for efficient portfolio management purposes.

5. Fees and expenses

Manager fees

The Manager shall be entitled to receive from the ICAV an annual fee in relation to each Sub-Fund or Class

(the “Management Fee”).

Up to 20 June 2018, the Former Manager was entitled to an annual fee of up to 0.03% of the Net Asset

Value of the Fund, payable monthly in arrears out of the assets of the Fund, subject to an annual minimum

fee of Euro 50,000.

From 20 June 2018 onwards, the New Manager shall be entitled to an annual fee payable monthly in arrears

out of the assets of the Fund. The Management Fee is equal to 1.85% per annum of the Net Asset Value of

the Class C Shares, 1.35% per annum of the Net Asset Value of the Class I Shares and Class N Shares and

1.40% per annum of the Net Asset Value of the Class P Shares. No Investment Management Fee was

payable in respect of Class M Shares.

The Former Manager has been appointed Compliance Support Agent to the Fund and shall be entitled to an

annual fee of up to 0.03% of the Net Asset Value of the Fund, payable monthly in arrears out of the assets

of the Fund, subject to an annual minimum fee of Euro 50,000.

CFM UCITS ICAV


17

5. Fees and expenses (continued)

Manager fees

The Manager is also entitled to its typical set-up costs of Euro 10,000 and its reasonable out-of-pocket costs

and expenses incurred in the performance of its duties, including expenses relating to due diligence and

monitoring of the Fund. The Manager’s fee accrues and is calculated on each Dealing Day and is payable

monthly in arrears.

Management Fees from 1 January 2018 to 20 June 2018 which was incurred to Carne Global Fund

Managers (Ireland) Limited amounted to Euro 25,000 (from 6 October 2016 to 30 June 2017: Euro

13,870). No Management Fee was incurred to Capital Fund Management S.A. during the period from

21 June 2018 to 30 June 2018. As at 30 June 2018, Euro 12,500 was payable to Carne Global Fund

Managers (Ireland) Limited. (31 December 2017: Euro 12,500 was payable to Carne Global Fund

Managers (Ireland) Limited and Euro 38,870 was included under receivable from Investment

Manager). As at 30 June 2018, there was no Management Fees payable to Capital Fund Management

S.A.

Investment management fees

Up to 20 June 2018, the Investment Manager was entitled to receive from the ICAV a fee in relation

to each Sub-Fund or Class (the “Investment Management Fee”). Such fee was calculated and accrued

at each Valuation Point and payable monthly in arrears.

The Investment Manager was also entitled to be repaid out of the assets of the relevant Sub-Fund for

all of its reasonable out-of-pocket expenses incurred on behalf of the relevant Sub-Fund.

For CFM IS Behavioral Fund, the Investment Manager was entitled to receive an Investment

Management Fee from the ICAV equal to 1.85% per annum of the Net Asset Value of the Class C

Shares, 1.35% per annum of the Net Asset Value of the Class I Shares and Class N Shares and 1.40%

per annum of the Net Asset Value of the Class P Shares. No Investment Management Fee was payable

in respect of Class M Shares.

Investment Management Fees for the financial period amounted to Euro 80,398 (from 6 October 2016

to 30 June 2017: Euro 6,774), of which Euro 26,539 was payable at financial period end (31 December

2017: Euro 11,160). The ICAV no longer has a separate Investment Manager after 20 June 2018 since

the Manager performs such services too starting from such date.

Performance fees

Capital Fund Management S.A. (who was Investment Manager up to 20 June 2018, and Manager

thereafter) may also be entitled to receive a performance fee. The performance fee (the "Performance

Fee") shall be a percentage of the increase in Net Asset Value of each Share Class in excess of the

Share Classes High Water Mark (as defined below). The Performance Fee will be calculated and

accrued on each Valuation Point as an expense of the relevant Share Class and will be payable in

arrears, at the end of the Calculation Period.

For the purposes of the performance fee calculation, the "High Water Mark" attributable to each Class

is the greater of;

(a) The highest recorded Net Asset Value of the relevant Share Class at the end of the each Calculation

Period since inception of the Fund adjusted for subscriptions and redemptions; or,

(b) If no Performance Fee has ever been realised, then the Net Asset Value of the relevant Share Class

at the inception of the Fund adjusted for subscriptions and redemptions.

CFM UCITS ICAV


18


Performance fees (continued)

For CFM IS Behavioral Fund, the Performance Fee in respect of the Class C Shares, Class I Shares

and Class P Shares is equal to 10% of the excess of the Net Asset Value per Share at the end of a

Performance Period over the High Water Mark. No performance fees shall be payable in respect of

Class M Shares and Class N Shares.

Performance fees for the financial period ended 30 June 2018 amounted to Euro 140 (from 6 October

2016 to 30 June 2017: Euro Nil). No performance fee was payable at the financial period end (31

December 2017: Euro 5,347).

Operating expenses

Expense Cap

The Investment Manager (and after 20 June 2018, the New Manager) has agreed to cap the annual

expense of the Fund (as defined below) to 0.20% of Net Assets Value of the Fund.

For the purpose of this section, “Annual Expenses” mean all fees, costs and expenses connected with

the establishment, management and operation of the ICAV and the Fund (with the exception of the

fees and expenses of the Investment Manager and its out-of-pocket expenses) including, but not limited

to, the Establishment Expenses, the fees and expenses (including out of pocket expenses) of the service

providers to the Fund, such as the fees payable to the Depositary, the Administrator and the Distributor,

the operational expenses (as detailed in the Supplement of the Fund under the heading “Other Fees and

Expenses” and only to the extent that such operational expenses are not excluded) and the Directors

fees (as detailed under the heading “Directors’ Fees” in the Prospectus) and out of pocket expenses.

“Annual Expenses” shall not, however, include any taxation (including stamp duty) to which the ICAV

may be liable, exchange fees, commissions, brokerage fees, settlement and clearing fees and other

expenses incurred with respect to the Investments and any extraordinary or exceptional costs and

expenses as may arise from time to time such as material litigation in relation to the ICAV or the Fund.

As noted earlier and for the avoidance of doubt, the “Annual Expenses” do not include the Investment

Manager fees, Performance Fees and expenses of the Investment Manager. The foregoing fees, costs

and expenses, where arising, will be borne by the ICAV or the Fund, as applicable.

The Operating expenses of Euro 43,379 were charged during the period ended 30 June 2018. Expenses

above the Expense Cap were borne by the New Manager. As at 30 June 2018, a net value of Euro

138,533 is receivable from the New Manager.

For the six month period ended 30 June 2018

Amount in

Euro

Amount in % of

the average NAV

Operating expenses cap (%) charged to the fund 43,379 0.10%(1)

Invoices paid by the Fund during the period 181,912 0.42%(2)

Amount to be reimbursed by Manager 138,533 0.32%

Net operating expenses charged to the Fund 43,379 0.10%(1)

(1) 0.10% for the period (not annualised) hence equivalent to 0.20% annualised as mentioned above as

“Expense Cap”.

CFM UCITS ICAV


19


Expense Cap (continued) For the six month period ended 30 June 2018 (continued) (2) Below all detailed expenses invoices of the Fund (not charged to the fund).

Amount in

Euro

Amount in % (of

the average NAV)

Accounting Fees 4,500 0.01%

Administration Fees 30,000 0.07%

Audit Fees 15,221 0.04%

Corporate Secretarial Fees 825 0.00%

Depository Fees 15,000 0.03%

Director Fees 6,499 0.02%

Legal Fees 11,791 0.03%

Out of Pocket Fees 1,800 0.00%

Registration Fees 13,252 0.03%

Compliance Support Agent Fees* 75,434 0.17%

Tax Refund 90 0.00%

Tax Reporting Fees 2,500 0.01%

Transparency Fees 5,000 0.01%

181,912 0.42% * Compliance Support Agent Fees generally include professional fees paid to Carne and any other

related services during the period.

The Operating expenses of Euro 20,342 were charged during the period from 6 October 2016 to 30

June 2017. Expenses above the Expense Cap was borne by the Investment Manager. As at 30 June

2017, a net value of Euro 242,483 was receivable from the Investment Manager.

For the period from 6 October 2016 to 30 June 2017

Amount in

Euro

Amount in % of

the average NAV

Operating expenses cap (%) charged to the fund 20,342 0.10%(1)

Invoices paid by the Fund during the period 262,825 1.34%(2)

Amount to be reimbursed by IM 242,483 1.24%

Net operating expenses charged to the Fund 20,342 0.10%(1) (1) 0.10% for the period (not annualised) hence equivalent to 0.20% annualised as mentioned above

as “Expense Cap”.

CFM UCITS ICAV


20


Expense Cap (continued)

For the period from 6 October 2016 to 30 June 2017 (continued)

(2) Below all detailed expenses invoices of the Fund (not charged to the fund).

Amount in

Euro

Amount in % (of

the average NAV)

Accounting Fees 3,750 0.02%

Administration Fees 25,000 0.13%

Corporate Secretarial Fees 18,438 0.09%

Depository Fees 12,500 0.06%

Legal Fees 138,230 0.71%

Other expenses 21,950 0.11%

Compliance Support Agent Fees* 38,913 0.20%

Registration Fees 2,169 0.01%

Tax Reporting Fees 1,875 0.01%

262,825 1.34%

* Compliance Support Agent Fees generally include professional fees paid to Carne and any other

related services during the period

Administration fees

The Administrator is entitled to an annual fee (the “Administration fee”) out of the assets of the Fund,

payable monthly in arrears at a rate which shall not exceed 0.09% per annum of the Net Asset Value

of the Fund. The fee to the Administrator is subject to a minimum fee of Euro 5,000 per month plus

VAT, if any, thereon.

The Administrator shall also be entitled to a fee for providing certain reports and to be repaid out of

the assets of the ICAV all of its reasonable out-of-pocket expenses incurred on behalf of the ICAV.

Each Sub-Fund will bear its proportion of the expenses of the Administrator.

Administration and financial statement preparation fees for the financial period ended 30 June 2018

amounted to Euro 34,500 (6 October 2016 to 30 June 2017: Euro 28,750). As at 30 June 2018,

administration and financial statement preparation fees of Euro 23,000 are included under receivable

from Capital Fund Management S.A., (31 December 2017: Euro 63,250 was included under receivable

from Investment Manager).

Depositary fees

The Depositary is entitled to an annual fee out of the assets of the Fund, payable monthly in arrears at

a rate which shall not exceed 0.03% per annum of the Net Asset Value of the Fund. The fee to the

Depositary is subject to a minimum fee of Euro 2,500 per month plus VAT, if any, thereon.

The Depositary shall also be entitled to be repaid all of its properly incurred disbursements out of the

assets of the relevant Fund, including the expenses of any sub-custodian appointed by it which shall

be at normal commercial rates together with VAT, if any, thereon. The Fund will bear its proportion

of the fees and expenses of the Depositary.

Depositary fees for the financial period ended 30 June 2018 amounted to Euro 15,000 (6 October 2016

to 30 June 2017: Euro 12,500). As at 30 June 2018, depositary fees of Euro 10,000 are included under

receivable from Capital Fund Management S.A., (31 December 2017: Euro 27,500 were included

under receivable from Investment Manager).

CFM UCITS ICAV


21


Directors’ fees and expenses

The Directors shall be entitled to be paid a fee from the assets of the ICAV by way of remuneration

for their services at a rate to be determined from time to time by the ICAV in a general meeting, the

ordinary remuneration of each Director shall be determined by resolution of Directors. The maximum

fee per Director shall be Euro 25,000 plus VAT if any, per annum (adjusted on an ongoing basis for

inflation by reference to the Irish Consumer Price Index). The maximum fee per Director may be

increased by up to Euro 3,000 plus VAT, if any, per annum for any new Sub-Fund launched. Directors

who are employees of the Investment Manager or New Manager shall not be entitled to a fee. Any

additional fees necessitated by the addition of new Sub-Funds shall be apportioned equally among the

new Sub-Funds and, to the extent they do not impact on Shareholders in existing Sub-Funds, will not

be subject to existing Shareholder approval. The Directors will be entitled to be reimbursed by the

ICAV for all reasonable disbursements incurred in connection with the business of the ICAV or

discharging their duties. Directors’ fees shall be payable semi-annually in arrears and shall be

apportioned equally among the Sub-Funds.

Directors’ fees for the financial period ended 30 June 2018 amounted to Euro 6,499 (6 October 2016

to 30 June 2017: Euro 20,450). As at 30 June 2018, directors’ fees of Euro 6,499 are included under

receivable from Capital Fund Management S.A., (31 December 2017: Euro 39,269 was included under

receivable from Investment Manager).

Corporate Secretarial fees

The ICAV has appointed MFD Secretaries Limited as Company Secretary. Company Secretarial fees

for the financial period ended 30 June 2018 amounted to Euro 825 are included under receivable from

Capital Fund Management S.A., (6 October 2016 to 30 June 2017: Euro 18,438). As at 30 June 2018,

Company Secretarial fees of Euro 825 was payable (31 December 2017: Euro: 19,535 was included

under receivable from Investment Manager).

Transaction costs

Transaction costs are incremental costs, which are separately identifiable and directly attributable to

the acquisition or disposal of a financial asset. Transaction costs include fees and commissions paid to

brokers and agents. For CFM IS Behavioral Fund, total transaction costs for the financial period ended

30 June 2018 amounted to Euro 15,281 included in the cost of purchases of investments (from 6

October 2016 to 30 June 2017: Euro 7,550).

CFM UCITS ICAV


22

6. Share capital and redeemable participating shares The authorised share capital of the ICAV is 300,000 redeemable non-participating Shares of no par

value and 500,000,000,000 participating Shares of no par value. Non-participating Shares do not entitle

the holders thereof to any dividend and on a winding up entitle the holders thereof to receive the

consideration paid therefor but do not otherwise entitle them to participate in the assets of the ICAV.

The Directors have the power to allot shares in the capital of the ICAV on such terms and in such

manner as they may think fit.

The Fund has following share classes:

Currency Share class

Euro Class C, I, M, N, P

CHF Class C, I, P

JPY Class C, I, P

GBP Class C, I, P

USD Class C, I, P

As at 30 June 2018 Class C Shares (Euro), Class I Shares (Euro), Class M Shares (Euro) and Class N

Shares (Euro) of the Fund were in issue.

The movement in the number of redeemable participating shares for the financial period ended 30 June

2018 is as follows:

CFM IS Behavioral Fund

At the

beginning of the

financial period

Shares

Issued

Shares

Redeemed

At the

end of the

financial period

Euro Class C Shares - 18 - 18

Euro Class I Shares 10 - - 10

Euro Class M Shares 30,709 1,567 (6,755) 25,521

Euro Class N Shares - 11,649 - 11,649

USD Class I Shares - 2,000 (2,000) -

The movement in the number of redeemable participating shares for the financial period from 6 October

2016 to 30 June 2017 is as follows:


At the

beginning of the

financial period

Shares

Issued

Shares

Redeemed

At the

end of the

financial period

Euro Class I Shares - 1,000 - 1,000

Euro Class M Shares - 35,227 (16,025) 19,202

The ICAV does not have any external capital requirements.

CFM UCITS ICAV


23

7. Taxation

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

739B of the Taxes Consolidation Act, 1997, as amended. As such, it is not chargeable to Irish tax on its

income or gains.

However, Irish tax may arise on the happening of a “chargeable event”. A chargeable event includes

any distribution payments to shareholders or any encashment, redemption, cancellation or transfer of

shares.

No Irish tax will arise on the ICAV regarding chargeable events.

A Chargeable Event does not include:

(i) any transaction in relation to Shares held in a recognised clearing system;

(ii) any exchange by a Shareholder effected by way of a bargain made at arm's length by the ICAV,

of Shares in the ICAV for other Shares in the ICAV;

(iii) certain transfers of Shares between spouses or civil partners and former spouses or former civil

partners;

(iv) an exchange of Shares arising on a qualifying amalgamation or reconstruction of the ICAV with

another Irish investment undertaking; or

(v) the cancellation of Shares in the ICAV arising from an exchange in relation to a scheme of

amalgamation.

On the happening of a Chargeable Event, the ICAV shall be entitled to deduct the appropriate amount

of tax on any payment made to a Shareholder in respect of the Chargeable Event. On the occurrence of

a Chargeable Event where no payment is made by the ICAV to the Shareholder, the ICAV may

appropriate or cancel the required number of Shares to meet the tax liability.

Income, interest and capital gains (if any) received on investments made by the ICAV may be subject

to withholding taxes imposed by the country from which the investment income/gains are received and

such taxes may not be recoverable by the ICAV or its shareholders.

8. Soft commissions

There were no soft commission arrangements affecting the ICAV during the financial period ended 30

June 2018. Further the Investment Manager or the New Manager did not receive any payments under

directed brokerage services or similar arrangement (from 6 October 2016 to 30 June 2017: Euro Nil).

CFM UCITS ICAV


24

9. Net asset value table

The following table discloses the dealing Net Asset Value, the shares in issue and Net Asset Value per

Share for each Share Class of the Fund as at 30 June 2018.


Net

Asset Value Shares

Net Asset Value

per Share

30 June 2018 in Issue 30 June 2018

Euro Class C Shares 16,252 18 902.87

Euro Class I Shares 9,630 10 962.96

Euro Class M Shares 25,255,555 25,521 989.61

Euro Class N Shares 10,472,695 11,649 899.02

The following table discloses the dealing Net Asset Value, the shares in issue and Net Asset Value per

Share for each Share Class of the Fund as at 31 December 2017.


Net

Asset Value Shares

Net Asset Value

per Share

31 December 2017 in Issue 31 December 2017

Euro Class I Shares 10,667 10 1,066.71

Euro Class M Shares 33,442,085 30,709 1,089.01

10. Exchange rates

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

Euro for the Fund:

30 June 31 December

2018 2017

Australian Dollar 0.6340 0.6504

Brazilian Real 0.2207 0.2514

Canadian Dollar 0.6517 0.6629

Czech Koruna 0.0385 0.0392

Danish Krone 0.1342 0.1343

Hong Kong Dollar 0.1091 0.1066

Hungarian Forint 0.0030 0.0032

Indian Rupee 0.0125 0.0130

Israeli New Shekel 0.2341 0.2400

Japanese Yen 0.0077 0.0074

New Zealand Dollar 0.5799 0.5912

CFM UCITS ICAV


25

10. Exchange rates (continued)

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

Euro for the Fund:

30 June 31 December

2018 2017

Norwegian Krone 0.1050 0.1015

Polish Zloty 0.2288 0.2394

Pound Sterling 1.1305 1.1259

Singapore Dollar 0.6281 0.6228

South African Rand 0.0623 0.0674

South Korean Won 0.0008 0.0008

Swedish Krona 0.0952 0.1020

Swiss Frank 0.8640 0.8554

Turkish Lira 0.1866 0.2202

United States Dollar 0.8559 0.8329

11. Comparative figures

The comparative figures shown in the Statement of Financial Position are as at 31 December 2017.

The comparative figures shown in the Statement of Comprehensive Income, Statement of Changes in

Net Assets Attributable to Holders of Redeemable Participating Shares and Statement of Cash Flows

relate to the period from 6 October 2017 to 30 June 2017.

12. Related parties

In accordance with IAS 24 “Related Party Disclosures” the related parties to the ICAV are outlined

below.

The ICAV’s connected and related parties include the Directors, the Administrator, the Former

Manager, the New Manager, the Investment Manager and the Depositary. Amounts incurred during the

year and amounts due as at the Statement of Financial Position date in relation to these related parties

are shown on the face of the financial statements.

Key Management Personnel

The New Manager is also the sponsor, adviser and investment manager to a number of other entities

and the Directors of the ICAV may serve as directors of such entities.

CFM UCITS ICAV


26

12. Related parties (continued)

The below table provides an analysis of related party transactions for the financial period ended 30 June

2018.

Fees

receivable from

investment

manager/(payable)

as at

Total fees 30 June 2018

Related party Type of fee Euro Euro

Directors Directors’ fees 6,499 6,499

Capital Fund Management S.A. Investment management fees 80,398 (26,539)

The below table provides an analysis of related party transactions for the financial period from 6 October

2016 to 30 June 2017 and fees receivable and payable from investment manager as at 31 December

2017.

Fees

Total fees for

the period from

receivable from

investment

manager/(payable)

6 October 2016 to as at


Related party Type of fee Euro Euro

Directors Directors’ fees 20,450 39,269

Capital Fund Management S.A. Investment management fees 6,774 (11,160)

MFD Secretaries Limited Corporate Secretarial Fees 18,438 19,535

Jacques Saulière acts as the co-CEO of Capital Fund Management S.A. and a Director of the ICAV.

Jacques Saulière who is an employee of the New Manager shall not be entitled to a Directors fee.

Des Fullam a Director of the ICAV, is also an employee of Carne Global Financial Services Limited,

the parent Company of the Former Manager. Carne Global Financial Services Limited earned fees

during the year in respect of Manager fees, Director support services and other fund governance services

provided to the ICAV the fees amounted to Euro 25,000 (6 October 2016 to 30 June 2017: Euro 13,870),

Euro Nil (6 October 2016 to 30 June 2017: Euro 6,078) and Euro 77,934 (6 October 2016 to 30 June

2017: Euro 40,788), respectively.

All Class I shares are owned by Capital Fund Management.

Class M Shares are issued only to the New Manager, its partners, employees and affiliates. Bank

Lombard Ordier & Co, CB on behalf of CFM Institutional Systematic Diversified and JPMC Nominees

Limited Re Natwest as Depositary of TM Fulcrum hold more than 10% of shares as at 30 June 2018

and 31 December 2017.

Jacques Saulière maintains an indirect holding in Class M Shares of the Fund through his investment in

CFM Institutional Systematic Diversified, a Shareholder of the Fund.

CFM UCITS ICAV


27

12. Related parties (continued)

During the period, the ICAV carried out Treasury bill trades of 6,500,000 (6 October 2016 to 30 June

2017: 5,000,000) units and no FX hedge transactions were recorded with HSBC Bank Plc, an affiliate

of the Depositary (31 December 2017: (1,301)).

The Directors are not aware of any related party transactions other than those disclosed in these financial

statements.

Connected Persons

The Central Bank UCITS Regulations require that any transaction carried out with a UCITS by a

management company or Depositary to the UCITS, the delegates or sub-delegates of the management

company or Depositary, and any associated or group of such a management company, Depositary,

delegate or sub-delegate (the “connected persons”) must be carried out as if negotiated at arm’s length.

Transactions must be in the best interests of the Shareholders.

The Directors are satisfied that there are arrangements in place, to ensure that the obligations set out in

Regulation 41(1) of the Central Bank UCITS Regulations are applied to all transactions with connected

persons, and are satisfied that transactions with connected persons entered into during the period

complied with the obligations set out in Regulation 41(1) of the Central Bank UCITS Regulations.

13. Efficient portfolio management for investment purposes

Subject to the conditions and within the limits from time to time laid down by the Central Bank of

Ireland, and except as otherwise stated in the investment objective and policies of the ICAV, the New

Manager may employ investment techniques and instruments such as futures, options, forward foreign

currency contracts and other derivatives for investment purposes or efficient portfolio management.

Furthermore, new techniques and instruments may be developed which may be suitable for use by the

ICAV in the future, and may employ such techniques and instruments subject to the prior approval of,

and any restrictions imposed by, the Central Bank of Ireland.

Realised and unrealised gains and losses on exchange traded derivatives and over the counter markets

are recognised in the Statement of Comprehensive Income.

14. Capital Management

Participating Shares in the ICAV provide an investor with the right to request redemption of their shares

for cash at value proportionate to the investors’ shares in the ICAV’s net assets and are classified as

liabilities. ICAV’s objective, in managing the Participating Shares, is to ensure a stable base to

maximise returns to investors and to manage liquidity and to manage liquidity risk arising from

redemptions.

CFM UCITS ICAV


28

15. Significant events during the financial period

On 6 December 2017 the Board of Directors approved a change of the Manager from Carne Global

Fund Managers (Ireland) Limited to Capital Fund Management S.A. The Central Bank of Ireland

approved this change effective 20 June 2018.

Euro Class N and USD Class I Shares were launched on 4 January 2018 and Euro Class C was launched

on 06 February 2018 as new share classes of the ICAV.

There were no other significant events other than mentioned above during the financial period from 1

January 2018 to 30 June 2018.

16. Significant events subsequent to the financial period end

There were no subsequent events affecting the ICAV since the period end.

17. Approval of financial statements

The financial statements were approved and authorised for issue by the Board of Directors on 29 August

2018.

CFM UCITS ICAV CFM IS Behavioral Fund

Condensed Schedule of Investments as at 30 June 2018

(Expressed in Euro)

29

Fair

Value % of Net

Holdings Financial assets at fair value through profit or loss Euro Asset Value

Investments in securities at fair value - fixed income

(31 December 2017: 30.13%)

Government Securities (31 December 2017: 30.13%)

Belgium

2,500,000 French Discount T-Bill 0% 07/11/2018×* 2,505,388 7.01

3,000,000 French Discount T-Bill 0% 05/12/2018×* 3,007,725 8.41

5,513,113 15.42

Netherlands

3,000,000 Netherlands Government Bill 4% 15/07/2018×* 3,004,350 8.40

3,004,350 8.40


1,000,000 US Treasury Bill 0% 11/10/2018* 851,277 2.38

851,277 2.38

Total investments in securities at fair value - fixed

income (31 December 2017: 30.13%) 9,368,740 26.20

Unrealised gain on derivative contracts at fair value -

contracts for difference (31 December 2017: 46.20%)~

Australia

Communications 92,801 0.26

Consumer Discretionary 188,847 0.53

Consumer Staples 150,544 0.42

Energy 123,852 0.35

Financial 106,004 0.30

Health Care 155,486 0.43

Industrial 319,932 0.89

Materials 245,630 0.69

Real Estate 409,256 1.14

Technology 159,451 0.45

Utilities 11,156 0.03

1,962,959 5.49

Belgium





Real Estate 1,137 -

53,524 0.15

~ The counterparty of contracts for difference is Barclays Bank Plc.

×Positions representing 5% or more of the Net Asset Value are shown separately.


Condensed Schedule of Investments as at 30 June 2018 (continued)

(Expressed in Euro)

30

Fair

Value % of Net

Financial assets at fair value through profit or loss Euro Asset Value


contracts for difference (31 December 2017: 46.20%) (continued) ~

Bermuda


16,288 0.05

Canada


6,889 0.02

Denmark






765,599 2.14

Faeroe Islands


35,943 0.10

Finland




Energy 170,688 0.48



984,604 2.75

France











(Expressed in Euro)

31

Fair

Value % of Net




France (continued)



875,870 2.45

Germany





Health Care 1,291 -





1,847,730 5.17

Gibraltar


3,118 0.01

Jersey C.I.




434,694 1.22

Malta


248,355 0.69

Netherlands






260,838 0.73




(Expressed in Euro)

32

Fair

Value % of Net




New Zealand


Consumer Discretionary 1,461 -



233,456 0.65

Norway



Energy 654,895 1.83



1,536,951 4.30

Portugal



Energy 121,974 0.34





378,570 1.06

Spain









1,291,724 3.61




(Expressed in Euro)

33

Fair

Value % of Net




Sweden



Financial 553 -




1,584,618 4.43

Switzerland








473,035 1.32

United Kingdom


Consumer Discretionary 1,179,993 3.30



Materials 2,101,615 5.88


Technology 735 -

4,238,838 11.86



12,588 0.04

Total unrealised gain on derivative contracts at fair

value - contracts for difference

(31 December 2017: 46.20%)**** 17,246,191 48.24




(Expressed in Euro)

34

Fair

Value % of Net


Unrealised gain on derivative contracts at

fair value - futures (31 December 2017: 2.16%)

Australia


23,374 0.07

China Peoples' Republic of

Financial 1,147 -

1,147 -

European Union


88,718 0.25

Germany


168,305 0.47

Hong Kong


5,635 0.02

Japan


16,546 0.05

Singapore

Financial 449 -

449 -

Spain


18,180 0.05

Taiwan


2,157 0.01

United Kingdom


4,510 0.01



(Expressed in Euro)

35

Fair

Value % of Net



fair value - futures (31 December 2017: 2.16%) (continued)



204,877 0.57


value - futures (31 December 2017: 2.16%)*** 533,898 1.50


fair value - swaps (31 December 2017: 4.76%)±

Australia


Consumer Discretionary 808 -

Consumer Staples 894 -

Energy 4,238 0.01

Financial 382 -


Industrial 419 -




28,516 0.08

Austria


35,441 0.10

Belgium

Real Estate 23 -

Technology 135 -

Utilities 3 -

161 -

± The counterparties of swap derivatives are Deutsche Bank AG, JP Morgan Securities Plc and Nomura

International Plc.



(Expressed in Euro)

36

Fair

Value % of Net


Unrealised gain on derivative contracts at fair value - swaps

(31 December 2017: 4.76%) (continued) ±

Bermuda



Energy 23,695 0.07

Materials 203 -

73,076 0.21

Brazil


Energy 1,726 -

5,251 0.01

British Virgin Islands


25,856 0.07

Canada




Energy 12,154 0.03


Health Care 11 -




Technology 1,025 -

Utilities 390 -

87,886 0.25

Cayman Islands


Technology 2 -

14,476 0.04


International Plc.



(Expressed in Euro)

37

Fair

Value % of Net




China Peoples' Republic of

Financial 373 -

373 -

Colombia

Energy 168 -

168 -

Curacao

Energy 13,547 0.04 13,547 0.04

Denmark

Communications - -



Technology 21 -

58,618 0.16

Faeroe Islands


191 -

Finland



Health Care 854 -


6,971 0.02

France

Communications 1,514 -


Energy 298 -

Financial 158 -


International Plc.



(Expressed in Euro)

38

Fair

Value % of Net




France (continued)

Health Care 7 -


Real Estate 60 -

Technology 1 -

11,493 0.03

Germany

Communications 181 -


Financial 59 -



Real Estate 278 -


61,869 0.17

Ireland




37,620 0.11

Japan




Energy 9,792 0.03





Real Estate 1,008 -



273,388 0.76


International Plc.



(Expressed in Euro)

39

Fair

Value % of Net




Jersey C.I.

Communications 1,235 -


Financial 3 -

5,116 0.01

Netherlands


Energy 7,634 0.02

Health Care 15 -


Real Estate 19 -

Technology 951 0.01

20,128 0.06

New Zealand


Health Care 505 -

1,196 -

Norway

Energy 2,199 0.01

Financial 1,447 -

3,646 0.01

Portugal

Energy 2,040 0.01

Materials 1,312 -

Utilities 49 -

3,401 0.01

South Africa

Materials 23 -

23 -


International Plc.



(Expressed in Euro)

40

Fair

Value % of Net




Spain


Energy 9,701 0.03

Financial 45 -

Real Estate 196 -

Utilities 97 -

15,018 0.04

Sweden



Financial 39 -

Health Care 616 -

Industrial 444 -

Materials 8 -

Real Estate 26 -

7,349 0.02

Switzerland




Financial 20 -

Industrial 535 -

Materials 460 -


Utilities 115 -

28,043 0.08

United Kingdom

Communications 19 -




International Plc.



(Expressed in Euro)

41

Fair

Value % of Net




United Kingdom (continued)

Energy 37,794 0.11

Financial 4 -




Real Estate 29 -

105,493 0.30





Energy 55,302 0.16






Utilities 469 -

678,419 1.90


value - swaps (31 December 2017: 4.76%)**** 1,602,733 4.48


International Plc.



(Expressed in Euro)

42


Unrealised gain on derivative contracts at fair value - forward contracts±

(31 December 2017: Nil)

Bought Amount Sold Amount

Maturity

Date

Unrealised

Gain

% of Net

Asset Value

EUR 6,796 CZK 174,836 19/09/2018 84 -

EUR 447,777 HUF 143,354,557 19/09/2018 12,869 0.04

EUR 1,605,214 NOK 15,302,213 19/09/2018 2,124 0.01

EUR 8,272 PLN 35,555 19/09/2018 176 -

EUR 1,781,876 SEK 18,275,629 19/09/2018 34,700 0.10

INR 143,112 USD 2,068 19/09/2018 1 -

TRY 415,258 USD 85,778 19/09/2018 1,444 -

USD 3,719,482 BRL 13,933,641 19/09/2018 131,936 0.37

USD 327,357 INR 22,517,552 19/09/2018 1,552 -

USD 115,750 SGD 155,895 19/09/2018 977 -

USD 1,781,876 SEK 18,275,629 19/09/2018 19,684 0.05

USD 143,112 USD 2,068 19/09/2018 3,600 0.01

ZAR 415,258 USD 85,778 19/09/2018 39 -

USD 844,904 ILS 3,001,298 20/09/2018 16,477 0.05

Total unrealised gain on derivative contracts at fair value

- forward contracts (31 December 2017: Nil)**** 225,663 0.63

Total investments in securities and derivative contracts, at

fair value (31 December 2017: 83.25%) 28,977,225 81.05

± The counterparty of forward contracts is Deutsche Bank.



(Expressed in Euro)

43

Fair % of Net

Value Asset

Financial liabilities at fair value through profit or loss Euro Value

Unrealised loss on derivative contracts at fair value -

contracts for difference (31 December 2017: (43.67%))~

Australia

Communications (74,560) (0.21)

Consumer Discretionary (271,410) (0.76)

Consumer Staples (404,378) (1.13)

Energy (71,393) (0.20)

Financial (98,165) (0.28)

Health Care (258,663) (0.72)

Industrial (453,180) (1.27)

Materials (243,600) (0.68)

Real Estate (25,638) (0.07)

Technology (2,263) (0.01)

Utilities (80,206) (0.22)

(1,983,456) (5.55)

Austria

Technology (415,878) (1.16)

(415,878) (1.16)

Belgium


Materials (498,774) (1.39)


(1,195,050) (3.34)

Bermuda

Industrial (13,234) (0.04)

Materials (16,940) (0.05)

(30,174) (0.09)

Denmark


Health Care (123,464) (0.35)

Industrial (406,554) (1.14)

Technology (28,169) (0.08)

(570,665) (1.60)




(Expressed in Euro)

44

Fair % of Net

Value Asset

Financial liabilities at fair value through profit or loss Euro Value


contracts for difference (31 December 2017: (43.67%) (continued) ~

Finland


Health Care (23,598) (0.07)

Industrial (164,704) (0.46)

(267,458) (0.75)

France




Energy (1,197) -

Health Care (13,602) (0.04)

Industrial (573,855) (1.60)

(2,107,200) (5.89)

Germany



Health Care (459,350) (1.29)

Industrial (666,543) (1.86)

Materials (759,835) (2.13)

Technology (190,281) (0.53)

Utilities (759,335) (2.12)

(3,006,480) (8.41)

Ireland


Health Care (1,391) -

Industrial (83,223) (0.23)

(166,289) (0.46)

Isle of Man


(16,349) (0.05)




(Expressed in Euro)

45

Fair

Value % of Net

Financial liabilities at fair value through profit or loss Euro Asset Value



Jersey C.I.


(89,688) (0.25)

Luxembourg

Energy (81,107) (0.23)

Health Care (31,919) (0.09)

(113,026) (0.32)

Netherlands

Consumer Discretionary (173) -

Energy (44,169) (0.12)

Health Care (111,727) (0.31)

Industrial (315,184) (0.88)

Materials (531,064) (1.49)


(1,009,090) (2.82)

New Zealand


(3,510) (0.01)

Norway


Energy (268,690) (0.75)

Materials (67,407) (0.19)

(363,997) (1.02)

Spain

Communications (1,361) -


Energy (600,504) (1.68)

Health Care (27,460) (0.08)

Industrial (6,537) (0.02)

(885,713) (2.48)




(Expressed in Euro)

46

Fair

Value % of Net




Sweden





Industrial (674,631) (1.89)

(918,440) (2.57)

Switzerland




Health Care (629,538) (1.76)

Industrial (158,407) (0.44)

(1,185,823) (3.31)

United Kingdom




Energy (785,405) (2.20)

Financial (2,593) (0.01)

Health Care (351,822) (0.98)

Industrial (898,415) (2.51)

Materials (99,043) (0.28)

Technology (69,186) (0.19)

Utilities (19,827) (0.06)

(2,711,289) (7.58)


Health Care (12,408) (0.03)

(12,408) (0.03)

Total unrealised loss on derivative contracts at fair

value - contracts for difference

(31 December 2017: (43.67%)) (17,051,983) (47.69)




(Expressed in Euro)

47

Fair

Value % of Net


Unrealised loss on derivative contracts at

fair value - futures (31 December 2017: (2.11%)

Australia

Financial (15,809) (0.04)

(15,809) (0.04)

Canada

Financial (53,721) (0.15)

(53,721) (0.15)

France

Financial (17,320) (0.05)

(17,320) (0.05)

Germany

Financial (21,960) (0.06)

(21,960) (0.06)

Hong Kong

Financial (704) -

(704) -

Italy

Financial (5,530) (0.02)

(5,530) (0.02)

Japan

Financial (30,996) (0.09)

(30,996) (0.09)

Korea Republic of (South Korea)

Financial (87,490) (0.24)

(87,490) (0.24)

Netherlands

Financial (25,650) (0.07)

(25,650) (0.07)



(Expressed in Euro)

48

Fair

Value % of Net



fair value - futures (31 December 2017: (2.11%) (continued)

South Africa

Financial (15,917) (0.05)

(15,917) (0.05)

United Kingdom

Financial (20,536) (0.06)

(20,536) (0.06)


Financial (181,803) (0.51)

(181,803) (0.51)

Total unrealised loss on derivative contracts at fair

value - futures (31 December 2017: (2.11%)) (477,436) (1.34)


fair value - swaps (31 December 2017: (5.29%)±

Australia

Communications (678) -



Energy (1,065) -

Financial (2,272) (0.01)


Industrial (11,855) (0.03)

Materials (2,163) (0.01)

Real Estate (160) -

Utilities (1,590) (0.01)

(31,094) (0.09)

Belgium

Financial (92) -

Industrial (618) -

Materials (2,429) (0.01)

Real Estate (5) -

(3,144) (0.01)


International Plc.



(Expressed in Euro)

49

Fair

Value % of Net



fair value - swaps(31 December 2017: (5.29%) (continued) ±

Bermuda

Industrial (766) -

(766) -

Brazil


Materials (17,237) (0.05)

(18,702) (0.05)

Canada




Energy (10,264) (0.03)

Financial (20,275) (0.06)

Industrial (12,253) (0.03)

Materials (72,087) (0.20)

Real Estate (7,523) (0.02)

Technology (24,852) (0.07)

Utilities (6,490) (0.02)

(179,915) (0.50)

Cayman Islands



Industrial (421) -


(77,101) (0.22)

Chile

Materials (42,269) (0.12)

(42,269) (0.12)

Colombia

Energy (5) -

(5) -


International Plc.



(Expressed in Euro)

50

Fair

Value % of Net



fair value - swaps (31 December 2017: (5.29%) (continued) ±

Denmark

Consumer Discretionary (1,438) -

Financial (94) -

Health Care (16,278) (0.05)

(17,810) (0.05)

Finland



Energy (1,541) -

Industrial (104) -

Materials (13,026) (0.04)

(22,320) (0.06)

France



Consumer Staples (808) -

Health Care (1,445) (0.01)

Industrial (1,485) -

Materials (42,696) (0.12)

Real Estate (100) -

Technology (236) -

(111,203) (0.31)

Germany



Consumer Staples (1,250) -

Financial (763) -

Health Care (5,981) (0.02)


Materials (30,248) (0.09)

Real Estate (550) -

Technology (38,993) (0.11)

Utilities (559) -

(138,860) (0.39)


International Plc.



(Expressed in Euro)

51

Fair

Value % of Net




Gibraltar


(88) -

Ireland


Health Care (6,205) (0.02)

Technology (619) -

(9,782) (0.03)

Japan




Energy (1,996) -

Financial (3,641) (0.01)

Health Care (39,414) (0.11)

Industrial (96,692) (0.27)

Materials (84,096) (0.23)

Real Estate (2,371) (0.01)

Technology (20,455) (0.06)

Utilities (10,751) (0.03)

(537,881) (1.51)

Jersey C.I.

Materials (13,110) (0.04)

(13,110) (0.04)

Luxembourg

Energy (674) -

Industrial (13,940) (0.04)

(14,614) (0.04)

Malta


(73) -


International Plc.



(Expressed in Euro)

52

Fair

Value % of Net




Mexico


(5,314) (0.01)

Netherlands




Financial (878) -


Real Estate (299) -

Technology (79,126) (0.22)

(143,908) (0.40)

New Zealand



Technology (292) -

(1,155) -

Norway



Energy (2,634) (0.01)

Industrial (7) -

Materials (345) -

Real Estate (799) -

(14,533) (0.04)

Panama


(63,629) (0.18)

Papua New Guinea

Materials (402) -

(402) -


International Plc.



(Expressed in Euro)

53

Fair

Value % of Net




Portugal



Financial (374) -

Industrial (1,471) -

Materials (1,845) (0.01)

(4,246) (0.01)

Russian Federation


(29,874) (0.08)

South Africa

Materials (3) -

(3) -

Spain



Health Care (288) -


Technology (38) -

(63,109) (0.18)

Sweden




Financial (43) -

Health Care (20) -


Materials (11,884) (0.03)

Real Estate (1,056) -

(41,009) (0.11)


International Plc.



(Expressed in Euro)

54

Fair

Value % of Net




Switzerland


Financial (1) -

Health Care (8,249) (0.03)

Industrial (354) -

(9,222) (0.03)

United Kingdom




Energy (4,905) (0.01)

Financial (103) -

Health Care (17,806) (0.05)


Materials (29,391) (0.08)

Real Estate (122) -


(137,127) (0.38)





Energy (46,693) (0.13)

Financial (1,353) (0.01)

Health Care (301,493) (0.84)

Industrial (79,699) (0.22)

Materials (59,677) (0.17)

Real Estate (4,497) (0.01)

Technology (94,237) (0.26)

Utilities (2,511) (0.01)

(924,575) (2.59)

Total unrealised loss on derivative contracts

at fair value - swaps (31 December 2017: (5.29%)) (2,656,843) (7.43)


International Plc.



(Expressed in Euro)

55


Unrealised loss on derivative contracts at fair value - forward contracts±

(31 December 2017: Nil)

Bought Amount Sold Amount

Maturity

Date

Unrealised

Loss

% of Net

Asset Value

BRL 2,691,431 USD 713,209 19/09/2018 (21,020) (0.06)

CZK 7,662,156 EUR 298,005 19/09/2018 (3,876) (0.01)

HUF 5,943,588 EUR 18,207 19/09/2018 (175) -

INR 74,185,122 USD 1,086,651 19/09/2018 (12,051) (0.04)

NOK 843,318 EUR 88,814 19/09/2018 (466) -

PLN 2,270,712 EUR 527,976 19/09/2018 (10,910) (0.03)

SEK 1,136,608 EUR 110,325 19/09/2018 (1,664) (0.01)

SGD 4,416,348 USD 3,317,697 19/09/2018 (60,537) (0.17)

TRY 71,923 USD 15,237 19/09/2018 (74) -

USD 219,947 INR 15,308,311 19/09/2018 (1,159) -

USD 122,120 SGD 166,498 19/09/2018 (235) -

USD 9,211 TRY 44,780 19/09/2018 (189) -

USD 162,674 ZAR 2,276,201 19/09/2018 (1,199) -

ZAR 26,862,046 USD 2,019,769 19/09/2018 (70,917) (0.20)

ILS 237,341 USD 65,836 20/09/2018 (471) -

Total unrealised loss on derivative contracts at fair value -

forward contracts (31 December 2017: Nil) (184,943) (0.52)

Total unrealised loss on derivative contracts at fair value

(31 December 2017: (51.07%) (20,371,205) (56.98)

Total investments (31 December 2017: 32.18%) 8,606,020 24.07

Cash and cash equivalents 11,459,185 32.05

Other net assets and liabilities 15,688,928 43.88

Total net assets 35,754,133 100.00

± The counterparties of forward contracts are Deutsche Bank AG.



(Expressed in Euro)

56

Fair

Value % of

Analysis of Total Assets as at 30 June 2018 Euro Total Assets

*Transferable securities admitted to an official stock exchange listing 9,368,740 14.78

***Financial derivative instruments dealt in on a regulated market 533,898 0.84

****OTC financial derivative instruments 19,074,587 30.09

Deposits with credit institutions 11,459,185 18.08

Other current assets 22,948,390 36.21

Total 63,384,800 100.00

Fair

Value % of

Analysis of Total Assets as at 31 December 2017 Euro Total Assets

*Transferable securities admitted to an official stock exchange listing 8,076,200 14.73

**Transferable securities traded in a regulated market 2,002,290 3.65

***Financial derivative instruments dealt in on a regulated market 723,701 1.32

****OTC financial derivative instruments 17,045,433 31.10

Deposits with credit institutions 8,667,318 15.81

Other current assets 18,300,886 33.39

Total 54,815,828 100.00

Analysis by maturity


Euro Euro


No stated maturity 194,208 848,556

Futures

Less than one month (48,246) 2,597

One to six months 54,390 (8,562)

Six months to one year 36,906 (1,171)

More than one year 13,412 23,394

Swap contracts

No stated maturity (1,054,110) (179,580)

Forward contracts

One to six months 40,720 -



(Expressed in Euro)

57

Analysis by currency


Unrealised gain

on derivative

contracts at

fair value

Unrealised loss

on derivative

contracts at

fair value

Unrealised gain

on derivative

contracts at

fair value

Unrealised loss

on derivative

contracts at

fair value


AUD 2,223,007 (2,079,149) 1,933,136 (1,814,063)

CHF 471,743 (1,601,701) 266,520 (787,778)

DKK 765,599 (570,665) 725,513 (508,928)

EUR 5,358,524 (8,844,799) 5,881,204 (7,877,426)

GBP 4,996,982 (2,578,891) 4,108,412 (2,769,345)

NOK 1,589,182 (458,338) 856,680 (255,363)

SEK 1,841,154 (918,440) 1,684,302 (594,308)

17,246,191 (17,051,983) 15,455,767 (14,607,211)


Unrealised gain

on derivative

contracts at

fair value

Unrealised loss

on derivative

contracts at

fair value

Unrealised gain

on derivative

contracts at

fair value

Unrealised loss

on derivative

contracts at

fair value

Futures

AUD 23,374 (15,809) 11,228 (13,226)

CAD - (53,721) 140,137 -

CHF 734 - - -

EUR 275,203 (70,460) 22,392 (475,722)

GBP 3,776 (20,536) 8,568 (90,677)

HKD 5,635 (704) 43,136 -

JPY 16,546 (30,996) 79,501 (5,036)

KRW - (87,490) 31,539 -

SGD 449 - 3,989 -

USD 208,181 (181,803) 379,195 (122,782)

ZAR - (15,917) 4,016 -

533,898 (477,436) 723,701 (707,443)

Swaps

AUD 28,691 (32,656) 29,520 (34,406)

CAD 86,588 (106,135) 51,568 (87,582)

CHF 63,484 (9,125) 21,352 (12,117)

DKK 58,618 (3,308) 29,026 (1,872)

EUR 110,803 (391,056) 157,097 (59,500)

GBP 101,911 (153,194) 183,358 (108,436)

JPY 269,643 (537,881) 222,548 (489,159)

NOK 3,308 (16,041) 2,352 (18,228)

SEK 7,349 (41,476) 60,755 (44,353)

USD 872,338 (1,365,971) 832,090 (913,593)

1,602,733 (2,656,843) 1,589,666 (1,769,246)



(Expressed in Euro)

58

Analysis by currency (continued)

Forward contracts 30 June 2018

Bought Currency Sold Currency

Unrealised gain on

derivative

contracts at

fair value

Unrealised loss on

derivative

contracts at

fair value

BRL USD - (21,020)

CZK EUR - (3,876)

EUR CZK 84 -

EUR HUF 12,869 -

EUR NOK 2,124 -

EUR PLN 176 -

EUR SEK 34,700 -

HUF EUR - (175)

ILS USD - (471)

INR USD 1 (12,051)

NOK EUR - (466)

PLN EUR - (10,910)

SEK EUR - (1,664)

SGD USD - (60,537)

TRY USD 1,444 (74)

USD BRL 131,936 -

USD ILS 16,477

USD INR 1,552 (1,159)

USD SGD 977 (235)

USD TRY 19,684 (189)

USD ZAR 3,600 (1,199)

ZAR USD 39 (70,917)

225,663 (184,943)

Leverage generated by derivatives 30 June 2018 31 December 2017

Notional Market Values of Long Positions-

Contracts for difference 17,245,971 15,455,767

Futures 41,074,161 (104,385,351)

Swaps (1,973,960) 6,174,910

Notional Market Values of Short Positions-

Contracts for difference (17,051,870) (14,607,211)

Futures (44,009,539) 92,757,399

Swaps 3,474,037 (6,834,134)


Portfolio Changes for the six month period ended 30 June 2018

(Expressed in Euro)

59

Cost in Proceeds in

Major purchases Euro Major sales Euro

French Discount T-Bill 0%

05/12/2018 3,014,880

Belgium Treasury Certificate 0%

11/01/2018 (5,000,000)

French Discount T-Bill 0%

07/11/2018 2,511,153

Dutch Treasury Certificate 0%

28/02/2018 (2,000,000)

US Treasury Bill 0% 11/10/2018 803,611

The Statement of Significant Purchases and Sales reflect the aggregate purchases of a security exceeding

one percent of the total value of purchases and aggregate disposals of a security greater than one percent of

the total sales for the period. All the purchases and sales during the period have been disclosed.


Other Additional Disclosures as at 30 June 2018

(Expressed in Euro)

60

Total Expense Ratio

The Total Expense Ratio (“TER”) is calculated according to the following formula: (total expenses / AF)*

100;

AF (= average fund assets)

CFM UCITS ICAV

%

30 June 2018

CFM IS Behavioral Fund 0.10%*

* 0.10% for the period (not annualised) hence equivalent to 0.20% annualised “Expense Cap”.

%

31 December 2017

CFM IS Behavioral Fund 0.20%



(Expressed in Euro)

61

Securities Financing Transaction

The ICAV is subject to the Regulation (EU) 2015/2365 on Transparency of Securities Financing

Transactions and of Reuse and Amending Regulation (EU) No 648/2012 of the European Parliament

(“SFTR”). The regulation was issued on November 25, 2015 effective for all alternative investment Funds

from January 12, 2016. The disclosure requirements accompanying this regulation are effective for annual

reports published after January 13, 2017. This regulation has therefore been adopted for these Financial

Statements dated 30 June 2018 due to the date the financial statements are available to be issued falling

after this effective date.

A Securities Financing Transaction (“SFT”) is defined per Article 3(11) of the SFTR as;

a repurchase transaction or a reverse repurchase transaction;

a securities or commodities lending and securities or commodities borrowing;

a buy-sell back transaction or sell-buy back transaction;

a margin lending transaction.

As at 30 June 2018 the Fund held the following type of SFT:

Contracts For Difference (“CFDs”)

Equity swaps (“Swaps”)

The amount of securities and commodities on loan as a proportion of total lendable assets (excluding cash

and cash equivalents) was 100% as at 30 June 2018.

GLOBAL DATA:

Type of Asset Absolute Amount (Euro) Proportion of AUM (%)

CFDs 34,298,174 95.93

Swaps 4,259,576 11.91

CONCENTRATION DATA:

The CFDs & Swaps positions are collateralised by cash as follows:

Type of Asset Counterparty Counterparty

CFDs Barclays Bank Plc EUR 2,167,379

Swaps Deutsche Bank AG EUR 2,514,458

Swaps JP Morgan Securities Plc USD 2,801,410

Swaps Nomura International Plc USD 629,471

CFM UCITS ICAV has not been fully collateralised in securities issued by member states, however cash

or non-cash assets such as government debt may be used as collateral when necessary.



(Expressed in Euro)

62

Securities Financing Transaction (continued)

CONCENTRATION DATA: (continued)

The counterparties of the CFDs and Swap are as follows:

Counterparty Gross volume of outstanding

trades

1 Barclays Bank Plc 34,298,174

2 Deutsche Bank AG 1,947,461

3 JP Morgan Securities Plc 1,631,050

4 Nomura International Plc 681,065

AGGREGATE TRANSACTION DATA:

Type of

collateral Currency

Maturity

tenor

(collateral)

Country of

counterparty

establishment

(not collateral)

Settlement

and

clearing

Deutsche Bank

AG

Cash Euro Open

Transaction Germany Bilateral

JP Morgan

Securities Plc

Cash Euro Open

Transaction UK Bilateral

Barclays Bank

Plc

Cash Euro Open


Nomura

International Plc

Cash Euro Open


The counterparties have the right to rescue 100% of the posted collateral.

SAFEKEEPING:

Custodian Collateral assets safe-kept

Barclays Bank Plc EUR 2,167,379

Deutsche Bank AG EUR 2,514,458

JP Morgan Securities Plc USD 2,801,410

Nomura International Plc USD 629,471

The collateral is generally held with counterparties in non-segregated accounts.

RETURN/COSTS:

Absolute Costs % Overall Returns

Collective investment undertaking: (292,411) 6.98%

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