General Information 2microsite.bancosantander.es/IICsextranjeras/Ficheros/11938_13.pdf ·...

1

General Information 2

Investment Manager’s Overview 3

Schedule of Investments 5

Statement of Net Assets attributable to holders

of redeemable participating shares 12

Statement of Operations 16

Notes to the Financial Statements 18

Statement of Changes in Investments 26

Directory 30

Contents

Fidelity Institutional Liquidity Fund plc Yield as at Yield as at (Class A Shares)* 29 February 2012 31 August 2011

The United States Dollar Fund 0.14% 0.10%The Sterling Fund 0.61% 0.57%The Euro Fund 0.23% 0.93%The Canadian Dollar Fund 0.90% 0.92%

* Performance figures net of fees for all share classes can be found on www.fidelityilf.com

FIL Investments International12 March 2012

4

Investment Manager’s Overview

7

SHORT TERM DEPOSITS Deutsche Bank 0.48% 01/03/2012 87,786 5.07DZ Bank 0.48% 01/03/2012 50,004 2.88Australia & New Zealand Banking Group 0.4% 01/03/2012 50,000 2.88

187,790 10.83

REPURCHASE AGREEMENTJP Morgan Securities 0.44% 01/03/2012 (Collateralised by Government of France 5.75% 25/10/2032, Bundesrepublik Deutschland 4.75% 04/07/2034,

Bundesrepublik Deutschland 3.5% 04/01/2016, Netherlands Government 5.5% 15/01/2028, United Kingdom Treasury 2.25% 07/03/2014,

Government of France 3.5% 25/04/2026 and Government of France 2.5% 25/07/2013) 50,000 2.8850,000 2.88

Securities Traded on Regulated Markets

COMMERCIAL PAPERS* FMS Wertmanagement 1.07% 28/03/2012 35,000 34,981 2.02Nederlandse Waterschapsbank 0.825% 28/03/2012 35,000 34,981 2.02Standard Chartered Bank 0.7% 13/04/2012 35,000 34,968 2.02Nederlandse Waterschapsbank 0.6% 27/03/2012 31,500 31,484 1.81Landesbank Hessen-Thüringen 0.7% 01/03/2012 30,000 30,000 1.73ING Bank 0.72% 07/03/2012 30,000 29,997 1.73UBS 0.83% 12/03/2012 30,000 29,994 1.73Barclays Bank 0.83% 16/03/2012 30,000 29,992 1.73North Rhine-Westphalia Bank 0.645% 19/03/2012 30,000 29,990 1.73Nordea Bank 0.95% 23/03/2012 30,000 29,988 1.73Standard Chartered Bank 0.75% 30/03/2012 30,000 29,983 1.73Landesbank Hessen-Thüringen 0.59% 02/04/2012 30,000 29,981 1.73Barclays Bank 0.83% 12/04/2012 30,000 29,973 1.73FMS Wertmanagement 1.07% 12/04/2012 30,000 29,973 1.73Rabobank Nederland 0.8% 12/04/2012 30,000 29,973 1.73DNB Bank 0.68% 13/04/2012 30,000 29,972 1.73Stadshypotek 0.96% 16/04/2012 30,000 29,970 1.73Bank Nederlandse Gemeenten 0.915% 09/05/2012 30,000 29,948 1.73FMS Wertmanagement 1.05% 23/05/2012 30,000 29,932 1.73Landeskreditbank Baden-Württemberg 0.67% 06/06/2012 30,000 29,914 1.72Landeskreditbank Baden-Württemberg 0.64% 08/06/2012 30,000 29,912 1.72FMS Wertmanagement 1.06% 14/08/2012 30,000 29,821 1.72Sumitomo Mitsui Banking Corp. 0.65% 09/03/2012 26,600 26,596 1.53Rabobank Nederland 0.78% 09/05/2012 26,000 25,955 1.49FMS Wertmanagement 1.01% 18/06/2012 25,000 24,917 1.44Nordea Bank 0.85% 10/04/2012 24,000 23,980 1.38Credit Suisse 0.74% 12/03/2012 20,000 19,996 1.15North Rhine-Westphalia Bank 0.75% 12/03/2012 20,000 19,996 1.15Landesbank Hessen-Thüringen 0.7% 14/03/2012 20,000 19,996 1.15ING Bank 0.7% 15/03/2012 20,000 19,995 1.15Nordea Bank 1.06% 19/03/2012 20,000 19,993 1.15Credit Suisse 0.605% 12/04/2012 20,000 19,982 1.15Stadshypotek 0.96% 12/04/2012 20,000 19,982 1.15Rabobank Nederland 0.8% 19/04/2012 20,000 19,978 1.15Landeskreditbank Baden-Württemberg 0.66% 14/06/2012 20,000 19,937 1.15DNB Bank 0.55% 21/03/2012 15,500 15,494 0.89

THE STERLING FUND ‘000 GBP ‘000 % of NetNominal Value Fair Value Assets

*Commercial Papers are shown with calculated yields. All investments are in the functional currency of the Fund.

Schedule of InvestmentsAs at 29 February 2012 (unaudited)

18

Notes to the Financial StatementsAs at 29 February 2012 (unaudited)

1. GeneralThe Company is an open ended investment company with variable capital organised under the laws of Ireland as a public limited company pursuant tothe Companies Acts, 1963 to 2009 and is listed on the Irish Stock Exchange. It was incorporated on 29 June 1995 under registration number 235175. Theauthorisation of the Company is not an endorsement or guarantee of the Company or its performance by the Central Bank of Ireland. Its object, as setout in clause 2 of the Company’s Memorandum and Articles of Association, is the collective investment in either or both transferable securities and otherliquid financial assets referred to in Regulation 68 of the European Communities (Undertakings for Collective Investment in Transferable Securities)Regulations 2011, of capital raised from the public and which operates on the basis of risk spreading. At present the Company’s shares represent interestin The United States Dollar Fund, The Sterling Fund, The Euro Fund and The Canadian Dollar Fund (each a ‘Fund’), each relating to a separate portfolioof securities, cash and other net assets.

2. Significant Accounting PoliciesThe significant accounting policies adopted by the Company are as follows:

BASIS OF PREPARATIONThe financial statements have been prepared in accordance with accounting standards generally accepted in Ireland and Irish legislation comprising theCompanies Acts, 1963 to 2009 and the UCITS Regulations. Accounting standards generally accepted in Ireland in preparing financial statements givinga true and fair view are those published by the Institute of Chartered Accountants in Ireland and issued by the Accounting Standards Board.

The Fair Value Adjustments in the Statement of Net Assets and Statement of Operations are due to the revaluation of financial assets based on bid marketpricing for financial statement purposes. For the Net Asset Value calculations financial assets are valued at amortised cost.

The format and certain wordings of the financial statements have been adapted from those contained in the Companies (Amendment) Act 1986, (asamended) and FRS3 ‘Reporting Financial Performance’ so that, in the opinion of the Directors, they more appropriately reflect the nature of the Companyas an investment fund.

The Company has availed of the exemption available to open-ended investment funds under FRS1 not to prepare a cash flow statement.

HISTORICAL COST CONVENTION The financial statements have been prepared under the historical cost convention as modified by the revaluation of financial assets and financial liabilitiesheld at fair value through profit or loss.

INCOME Income from investment securities is accounted for in the Statement of Operations using the effective interest method.

SECURITY VALUATION The Company has classified financial instruments as financial assets or financial liabilities at fair value through profit or loss. The fair value of financialinstruments traded in active markets is based on quoted market prices at 29 February 2012. The quoted market price used for financial assets held bythe Company is the current bid price. The Company may invest in securities that are not traded in an active market (for example in over-the-counter moneymarket instruments). The fair value of these investments is determined by using a valuation technique. This is a matrix based technique which calculatesa fair value price based on the correlation of spot to 12 month LIBOR rates and length of time to maturity of each asset in this category.

All other assets are valued in such manner as the Directors of the Company may deem appropriate. The Company does not own any restricted securities,all holdings being quoted on an official market, except where otherwise distinguished in the Fund’s schedule of investments.

REALISED GAINS AND LOSSES The realised gains and losses on transferable securities arising during the period are transferred to the Statement of Operations and are treated asincome.

FUND SHARE TRANSACTIONS The issue and redemption price of each Fund is based on the last calculated Net Asset Value per share.

REDEEMABLE PARTICIPATING SHARESRedeemable participating shares are redeemable in accordance with the provisions of the Company’s Prospectus at the shareholder’s option and areclassified as financial liabilities. The participating shares can be put back to the Company at any time for cash equal to a proportionate share of theCompany’s Net Asset Value. The participating share is carried at the redemption amount that is payable at the balance sheet date if the shareholderexercised its right to put the share back to the Company.

FOREIGN EXCHANGEItems included in the Company’s financial statements are measured using the currency of the primary economic environment in which it operates (the‘functional currency’). As functional currency is determined at the individual Fund level the functional currency in respect of each Fund is the United StatesDollar for The United States Dollar Fund, the Pound Sterling for The Sterling Fund, the Euro for The Euro Fund and the Canadian Dollar for The CanadianDollar Fund.

For aggregation purposes, assets and liabilities denominated in foreign currencies are converted into United States Dollars (‘USD’) at the exchange ratesruling at the balance sheet date. Transactions in foreign currencies are converted into USD at the exchange rates ruling at the dates of the transactions.Gains and losses on foreign exchange transactions are recognised in the Statement of Operations in determining the results for the period.

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Notes to the Financial StatementsAs at 29 February 2012 (continued)

CREDIT RISKCredit risk arises as both counterparty and issuer credit risk.

All security investments are transacted through brokers who have been approved by the FIL Limited Group as an acceptable counterparty. The list ofapproved brokers is reviewed regularly.

There is a risk of loss if a counterparty fails to perform its financial or other obligations to a Fund, for example, the possibility that a counterparty maydefault by failing to make payments due, or failing to repay principal and interest in a timely manner. If settlement never occurs the loss incurred by theFund will be the difference between the price of the original contract and the price of the replacement contract or, in the case where the contract is notreplaced, the absolute value of the contract at the time it is voided. Furthermore, in some markets ‘Delivery versus Payment’ may not be possible in whichcase the absolute value of the contract is at risk if the Fund meets its settlement obligations but the counterparty fails before meeting its obligations underthe relevant contract.

A Fund’s investments may be adversely affected if any of the institutions with which its money is deposited suffers insolvency or other financial difficulties.Credit risk also arises from the uncertainty surrounding the ultimate repayment of principal and interest or other debt instrument investments by the issuersof such securities. Although the Funds may invest in high quality credit instruments, there can be no assurance that the institutions or securities in which aFund invests will not be subject to credit difficulties leading to the loss of some or all of the sums invested in such institutions, securities or other instruments.

The credit quality of permitted investments is strictly monitored and investment grade debt securities will be rated A or higher for long term securities orrated A-1 or higher for short term securities. Each Fund invests only in investment grade debt securities.

The following table breaks down the financial assets of the Company by rating category:

As at 29 February 2012Fund United States CanadianRating Dollar Sterling Euro Dollar

Long Term:AAA/Aaa - 2% 2% -AA/Aa - 1% 5% -A/A - - 1% -

Short Term:A-1 43% 40% 43% 48%A-1+ 57% 57% 49% 52%

100% 100% 100% 100%

As at 28 February 2011Fund United States CanadianRating Dollar Sterling Euro Dollar

Long Term:AAA/Aaa - 7% 7% 5%AA/Aa 1% - 11% -A/A - - 3% -

Short Term:A-1 44% 43% 47% 58%A-1+ 55% 50% 32% 37%

100% 100% 100% 100%

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The following tables analyse within the fair value hierarchy the Company’s financial assets measured at fair value as at 29 February 2012 and 28 February 2011:

2011 for 2011 for 2011 forcomparison comparison comparison

Level 1 Level 2 Total Level 1 Level 2 Total

The United States Dollar Fund USD ‘000 USD ‘000 USD ‘000 USD ‘000 USD ‘000 USD ‘000

Financial assets at fair value through profit or loss- Debt Securities - - - - 49,644 49,644 - Treasury Bills & Government Bonds - - - - - - - Short Term Deposits 945,001 - 945,001 525,056 - 525,056 - Money Market Securities - 2,769,108 2,769,108 - 3,169,296 3,169,296

Total 945,001 2,769,108 3,714,109 525,056 3,218,940 3,743,996



The Sterling Fund GBP ‘000 GBP ‘000 GBP ‘000 GBP ‘000 GBP ‘000 GBP ‘000

Financial assets at fair value through profit or loss- Debt Securities - 56,059 56,059 - 113,039 113,039- Treasury Bills & Government Bonds - - - - - - - Short Term Deposits 237,790 - 237,790 278,346 - 278,346- Money Market Securities - 1,469,326 1,469,326 - 1,082,197 1,082,197

Total 237,790 1,525,385 1,763,175 278,346 1,195,236 1,473,582



The Euro Fund EUR ‘000 EUR ‘000 EUR ‘000 EUR ‘000 EUR ‘000 EUR ‘000

Financial assets at fair value through profit or loss- Debt Securities - 65,487 65,487 - 167,975 167,975- Treasury Bills & Government Bonds - - - - - - - Short Term Deposits 153,773 - 153,773 127,706 - 127,706- Money Market Securities - 534,993 534,993 - 508,319 508,319

Total 153,773 600,480 754,253 127,706 676,294 804,000



The Canadian Dollar Fund CAD ‘000 CAD ‘000 CAD ‘000 CAD ‘000 CAD ‘000 CAD ‘000

Financial assets at fair value through profit or loss- Debt Securities - - - - - -- Treasury Bills & Government Bonds - - - 2,351 - 2,351- Short Term Deposits 16,220 - 16,220 8,507 - 8,507- Money Market Securities - 47,978 47,978 - 36,435 36,435

Total 16,220 47,978 64,198 10,858 36,435 47,293

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The table below summarises the exposure of the Company to interest rate risk as at 29 February 2012 and 28 February 2011. It includes the Company’sfinancial assets and financial liabilities at fair values, categorised by the earlier of contractual re-pricing or maturity dates.

Less than 1 month - Over Non InterestThe United States Dollar Fund 1 month 3 months 3 months Bearing TotalAs at 29 February 2012 USD ‘000 USD ‘000 USD ‘000 USD ‘000 USD ‘000

Current Assets 2,904,808 579,734 229,567 196,799 3,910,908

Current Liabilities - - - (3,910,908) (3,910,908)

Interest sensitivity gap 2,904,808 579,734 229,567 (3,714,109) -

As at 28 February 2011

Current Assets 1,762,603 1,359,980 621,413 1,361 3,745,357


Interest sensitivity gap 1,762,603 1,359,980 621,413 (3,743,996) -

Less than 1 month - Over Non InterestThe Sterling Fund 1 month 3 months 3 months Bearing TotalAs at 29 February 2012 GBP ‘000 GBP ‘000 GBP ‘000 GBP ‘000 GBP ‘000

Current Assets 1,033,603 562,194 167,378 871 1,764,046


Interest sensitivity gap 1,033,603 562,194 167,378 (1,763,175) -

As at 28 February 2011Current Assets 709,797 583,540 180,245 862 1,474,444


Interest sensitivity gap 709,797 583,540 180,245 (1,473,582) -

Less than 1 month - Over Non InterestThe Euro Fund 1 month 3 months 3 months Bearing TotalAs at 29 February 2012 EUR ‘000 EUR ‘000 EUR ‘000 EUR ‘000 EUR ‘000

Current Assets 529,444 194,903 29,906 2,497 756,750

Current Liabilities - - - (756,750) (756,750)

Interest sensitivity gap 529,444 194,903 29,906 (754,253) -

As at 28 February 2011Current Assets 368,300 336,484 99,216 3,874 807,874



Less than 1 month - Over Non InterestThe Canadian Dollar Fund 1 month 3 months 3 months Bearing TotalAs at 29 February 2012 CAD ‘000 CAD ‘000 CAD ‘000 CAD ‘000 CAD ‘000

Current Assets 44,757 15,155 4,286 1 64,199



As at 28 February 2011Current Assets 34,312 11,980 1,001 53 47,346



Kingdom of Sweden 0.15% 30/01/2012 135,000

Kingdom of Netherlands 0.08% 28/10/2011 100,000

Swedbank 0.16% 23/11/2011 100,000

Swedbank 0.19% 30/11/2011 100,000

Sumitomo Trust & Banking Corp. 24/02/2012 100,000

Rabobank Nederland 0.52% 28/03/2012 100,000

Svenska Handelsbanken 0.41% 29/05/2012 100,000

North Rhine-Westphalia Bank 0.42% 05/03/2012 95,000

Landesbank Hessen-Thüringen 0.25% 23/02/2012 94,000

Toronto-Dominion Bank 28/02/2012 93,000

Unilever 0.26% 21/09/2011 90,000

Unilever 0.31% 28/09/2011 90,000

Swedbank 0.16% 09/11/2011 90,000

ABN AMRO Bank 0.36% 21/11/2011 90,000

Commonwealth Bank of Australia 0.255% 25/11/2011 90,000

BNZ International Funding 0.27% 28/11/2011 90,000

Barclays Bank 0.28% 29/11/2011 90,000

Deutsche Bank 0.27% 30/11/2011 90,000


Credit Suisse 0.31% 20/12/2011 90,000


DZ Bank 0.3% 03/10/2011 90,000

Nederlandse Waterschapsbank 0.25% 17/10/2011 90,000



UBS 0.28% 13/04/2012 80,000

ING Bank 0.25% 14/10/2011 75,000

Landeskreditbank Baden-Württemberg 0.43% 08/12/2011 60,000


Commonwealth Bank of Australia 0.23% 14/10/2011 50,000



Bank Nederlandse Gemeenten 0.26% 07/11/2011 40,000

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Statement of Changes in InvestmentsFor the six month period ended 29 February 2012 (unaudited)

THE UNITED STATES DOLLAR FUND

Major purchases for Major sales forthe period ended the period ended29 February 2012 29 February 2012

Security USD ‘000 USD ‘000

Toyota Financial Services 0.51% 29/02/2012 51,500

Toyota GB 0.54% 06/01/2012 47,500

Toyota GB 0.54% 27/10/2011 47,000

ABN AMRO Bank 0.75% 06/02/2012 45,000


Toyota GB 0.54% 31/10/2011 42,000





Toyota Motor Finance 0.54% 14/09/2011 40,000

Toyota GB 0.54% 28/10/2011 40,000


Mizuho Corporate Bank 06/02/2012 40,000


Sumitomo Mitsui Banking Corp. 0.76% 09/02/2012 38,000






FMS Wertmanagement 0.8% 16/12/2011 35,000

ABN AMRO Bank 08/11/2011 31,500

FMS Wertmanagement 0.925% 03/11/2011 30,000

UBS 0.71% 07/11/2011 30,000

DZ Bank 0.75% 11/11/2011 30,000

Standard Chartered Bank 0.72% 11/11/2011 30,000

ING Bank 0.82% 17/11/2011 30,000



Stadshypotek 0.85% 20/12/2011 30,000


National Australia Bank 14/02/2012 30,000

Credit Suisse 0.75% 15/02/2012 30,000


ING Bank 0.72% 12/03/2012 30,000

UBS 0.75% 13/04/2012 30,000

Nordea Bank 0.8% 18/10/2011 10,000

Nordea Bank 0.83% 15/11/2011 10,000

UBS 0.75% 17/04/2012 10,000

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THE STERLING FUND


Security GBP ‘000 GBP ‘000

Unilever 0.8% 20/10/2011 60,000

Unilever 0.8% 21/10/2011 45,000

Toyota Leasing 0.6% 10/11/2011 41,000

Unilever 0.75% 28/09/2011 40,000

Unilever 0.8% 19/10/2011 40,000

Toyota Kreditbank 0.55% 25/11/2011 40,000

Toyota Kreditbank 0.54% 15/12/2011 40,000









Kingdom of Belgium 15/09/2011 30,000

Australia & New Zealand Banking Group 0.90% 23/09/2011 30,000

Skandinaviska Enskilda Banken 0.93% 11/10/2011 30,000

Skandinaviska Enskilda Banken 18/10/2011 30,000

Unilever 0.8% 27/10/2011 30,000

HSBC Bank 0.7% 21/02/2012 30,000

DNB Bank 0.31% 23/03/2012 30,000

Mizuho Corporate Bank 15/12/2011 25,300

Barclays Bank 1.14% 25/10/2011 25,000


Nordea Bank 1.32% 15/12/2011 25,000

Nordea Bank 1.235% 05/03/12 25,000

UBS 12/03/2012 25,000

UBS 0.47% 16/04/2012 25,000

ING Bank 1.42% 05/12/2011 20,000

Barclays Bank 1.12% 06/12/2011 20,000



ABN Amro Bank 21/12/2011 13,300

Landesbank Hessen-Thüringen 0.3% 24/02/2012 12,500


DZ Bank 0.85% 09/12/2011 10,000

Bank of Tokyo-Mitsubishi 23/01/2012 8,000


UBS 0.44% 16/04/2012 8,000

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THE EURO FUND


Security EUR ‘000 EUR ‘000

Federal National Mortgage Association 1.2% 03/04/2012 3,500

J.P. Morgan Bank 20/09/2011 3,100

Wells Fargo Financial Canada Corp. 1.03% 30/09/2011 3,000

Wells Fargo Financial Canada Corp. 1% 06/10/2011 3,000

Wells Fargo Financial Canada Corp. 1.05% 17/10/2011 3,000

Bank of Nova Scotia 07/12/2011 3,000

Federal National Mortgage Association 1.25% 31/01/2012 3,000

Bank of Montreal 28/12/2011 2,750

J.P. Morgan Bank 25/10/2011 2,700

J.P. Morgan Bank 30/09/2011 2,625

Natixis 1.18% 07/10/2011 2,500

DZ Bank 12/10/2011 2,500


DNB Bank 1.08% 14/11/2011 2,500

DZ Bank 14/11/2011 2,500

Standard Chartered Bank 1.07% 14/11/2011 2,500

Sumitomo Mitsui Banking Corp. 30/11/2011 2,500

Canadian Imperial Bank of Commerce 06/12/2011 2,500


Sumitomo Mitsui Banking Corp. 20/12/2011 2,500

ING Bank 1.18% 23/02/2012 2,500

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THE CANADIAN DOLLAR FUND


Security CAD ‘000 CAD ‘000

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