RORENTO N.V.
ANNUAL REPORT 2006
CONTENTS
General
information
Report of the supervisory board
Report of the management
board
Financial
statements
Balance
sheet
Profit and loss account
Cash-flow
summary
Notes
Other data
Auditor's statement
Spread of net assets
Bond portfolio
GENERAL INFORMATION
RORENTO N.V. 1
(public limited liability company with an open-end structure
established according to the laws of the Netherlands Antilles, having
its registered office in Philipsburg, St. Maarten, Netherlands
Antilles)
Ara Hill-Top, Unit A5
Pletterijweg Oost 1
Willemstad, Cura�ao
Information address for Rorento:
Robeco Institutional Asset Management B.V.
Coolsingel 120
Postbus 973
NL-3000 AZ Rotterdam
Telephone +31- 10 - 224 12 24
Fax +31 - 10 - 411 52 88
Internet: www.robeco.com
Supervisory Board
Paulus C. van den Hoek, chairman
Gilles Izeboud
Philip Lambert
Dirk P.M. Verbeek
Management Board
Edith J. Siermann, chairman
Frank L.E.G. Boll
Ferdie L.I. van de Walle
Fund Manager
Edith J. Siermann
Secretary of the Company
David H. Cross
Management Board of Robeco Groep N.V.
(the holding company of the Robeco Group)
George A. M�ller, chairman
Leni M.T. Boeren
Sander van Eijkern
Constant Th.L. Korthout
Frank L. Kusse 2
Niek F. Molenaar
GENERAL MEETING OF SHAREHOLDERS AND INFORMATIVE MEETING
The General Meeting of Shareholders will be held at Willemstad,
Cura�ao (Netherlands Antilles) on 9 May 2007 at 10:30 hours. The
informative meeting will be held on 26 April 2007 at 13:30 hours at
the Hilton Rotterdam, Weena 10, Rotterdam, the Netherlands.
Holders of share certificates to bearer wishing to attend and vote at
the meeting should apply for a written statement from the Euroclear
Netherlands-affiliated institution where their shares are held, which
will give admission to the meeting. The institutions affiliated with
Euroclear Netherlands should submit a copy of this statement to ABN
AMRO Bank N.V. stating the number of shares held for the shareholder
concerned prior to the meeting, and which will be frozen until after
the meeting. This statement should be submitted not later than 2 May
2007.
Holders of K shares should lodge their share certificates not later
than 2 May 2007 with one of the banks mentioned in the convening
notice of 5 April 2007.
Holders of an account with Robeco Group Accounts System in Rotterdam,
Banque Robeco S.A. in Paris or Robeco Bank Belgium in Brussels
wishing to attend the meeting should inform the management board of
Robeco Institutional Asset Management B.V. in writing not later than
5 May 2007.
Holders of bearer certificates wishing to attend the informative
meeting in Rotterdam should lodge their certificates not later than
19 April 2007 with one of the banks mentioned in the convening notice
of 5 April 2007. Holders of an account with Robeco Group Accounts
System in Rotterdam, Banque Robeco S.A. in Paris or Robeco Bank
Belgium in Brussels wishing to attend the meeting should inform the
management board of Robeco Institutional Asset Management B.V. in
writing not later than 19 April 2007.
This report is also published in Dutch, French and German. Only the
original Dutch edition is binding and will be submitted to the
General Meeting of Shareholders.
SIMPLIFIED AND FULL PROSPECTUS
The prospectus is available at the offices of the company and via
www.robeco.com.
2 As of 2 February 2007.
SUPERVISORY BOARD
Paulus C. van den Hoek, chairman (68)
Dutch nationality. Appointed in 1990 and last reappointed in 2005.
Lawyer and partner at Stibbe, lawyers and notaries, in Amsterdam, the
Netherlands, since 1965. Former Dean of the Dutch National Bar
(81/84). Supervisory director of ASM International, B�hrmann, Wavin,
Robeco Groep N.V., Robeco and Rolinco.
Gilles Izeboud RA(64)
Dutch nationality. Appointed in 2004.
Former partner and director at PricewaterhouseCoopers. Deputy justice
of the Enterprise Section of the Amsterdam Court of Appeal.
Supervisory director of Buhrmann, Robeco Groep N.V., Robeco and
Rolinco.
Philip Lambert (60)
Dutch nationality. Appointed in 2005.
Head of Unilever Corporate Pensions in London. Supervisory director
of Robeco Groep N.V., Robeco and Rolinco.
Dirk P.M. Verbeek (56)
Dutch nationality. Appointed in 2001 and last reappointed in 2006.
Member of the executive board of Aon Group in Chicago, USA, and
chairman/CEO of the executive board of Aon Holdings in Rotterdam, the
Netherlands. Supervisory director of Robeco Groep N.V., Robeco and
Rolinco.
N.B. Only supervisory directorships at listed companies and the
Robeco Group are mentioned.
REPORT OF THE SUPERVISORY BOARD
We herewith present the Rorento N.V. accounts for the financial year
2006 together with the Report of the management board.
The way in which the supervisory board carries out its supervisory
duties is significantly determined by the structure of the Robeco
Group. The management of Rorento N.V. is carried out by Robeco
Institutional Asset Management B.V. Rorento N.V. is the employer of
the management-board members. Discussion of the management of Rorento
N.V. can take place in the supervisory board of either the company or
that of Robeco Groep N.V. As a result of the personal links between
the members of the two boards, in practice this presents no
difficulties.
The purpose of an investment institution such as Rorento N.V., as
laid down in its Articles of Association, is limited to the investing
of its assets in securities in such a way that risks are diversified
with the object of allowing its shareholders to participate in the
profits. At its meetings the supervisory board therefore primarily
devotes its attention to the investment policy, the realized results
and the development of the assets invested, on the basis of frequent
and detailed reports. Attention is also paid to matters relating to
risk management, such as operational and market risks, and
compliance, such as investment restrictions and compliance with
requirements of the regulator. In connection with what has already
been mentioned regarding the structure of the Robeco Group, matters,
such as the risks associated with the investment policy, the
application of instruments to manage these risks and compliance
issues, may also be discussed at the meetings of the supervisory
board of Robeco Groep N.V. The general policy of the Robeco Group is
determined by the Management Board of Robeco Groep N.V. in
consultation with its supervisory board. This means that matters such
as product development, acquisitions and risk management and
compliance are discussed at the meetings of the supervisory board of
Robeco Groep N.V. An audit and compliance committee and a nomination,
remuneration and corporate-governance committee have been appointed
by this board. Two members of each of these committees are also
supervisory directors of Rorento N.V. Within these committees
extensive discussions are held about internal audit risk-management
and compliance issues and the functioning of and remuneration
structure for the Robeco Groep N.V. Management Board and other
human-resource issues. Besides the subjects mentioned, no special
issues were discussed at the meetings of the supervisory board during
the reporting year.
We have taken note of the contents of the auditor's statement
presented by Ernst & Young Accountants and recommend approval of the
annual financial statements. The management board proposes not to
distribute the profit but to allocate this income to Other Reserves,
as usual.
At the General Meeting of Shareholders on 10 May 2006, Dirk Verbeek
was reappointed as a supervisory director of the company with
immediate effect.
According to schedule, Gilles Izeboud will resign at the General
Meeting of Shareholders to be held on 9 May 2007. Mr. Izeboud is
available for reelection. It is proposed that he be reappointed as a
supervisory director of the company with immediate effect.
Philipsburg, 22 March 2007
The supervisory board
REPORT OF THE MANAGEMENT BOARD
GENERAL INTRODUCTION
An excellent year for the world economy
The past year has been an excellent one for the world economy, with
growth recorded at around 5%. However, the composition of growth was
somewhat different from past years. Growth in the United States
slowed down in the course of the year, while Japan and the euro area
recorded higher growth rates. The emerging economies continued their
process of catching up with the developed economies.
Inflationary pressures increased worldwide after oil prices rose to
well above USD 70 per barrel early in the year. Actual inflation
remained contained under the influence of tighter monetary polices in
many countries. The fact that oil prices moved back to levels around
USD 60 per barrel later in the year contributed to a more benign
development of inflation, in combination with restrained wage
increases in many countries.
Difficult year for bond markets
For bond markets 2006 was a difficult year. Many central banks around
the world hiked interest rates. On balance, long-term government
yields also increased, although less so than the short-term interest
rates. In a number of countries - the US among them - an inverted
yield curve emerged, implying lower long-term than short-term
interest rates.
Credits outperformed government bonds in 2006. Companies reported
sound figures on average, which resulted in a positive sentiment.
Sentiment was not hurt by the growing number of M&A deals, partly
initiated by Private Equity sponsors. The appetite for (structured)
credit products was high, leading to tighter credit spreads.
The US economy
In the course of the year, the US economy slowed down. The
interest-rate hikes by the US central bank (the Fed) since mid 2004
started to take their toll. The Fed funds rate ended the year 2006 at
5.25%. In the last months of the year, the Fed left its policy rate
unchanged in the expectation of moderate growth and core inflation
declining gradually from excessively high levels. On balance,
long-term interest rates increased to around 4.7% by the end of the
year.
The housing market in particular was responsible for the slowdown in
US growth. The marked increase of prices and volumes in the housing
market came to an end in the past year. For the time being the US
consumer appeared to be unaffected by the developments in the housing
market. Consumption continued to grow at a healthy pace, further
facilitated by strong conditions in the labor market.
Initially, core inflation went up, but fell to just above 2% in the
final months of the year.
Japan
Last year, the Japanese economy continued its recovery. This led the
Bank of Japan to abandon its zero interest-rate
policy. The policy rate was increased once by 25 basis points. The
recovery was not convincing in all respects. The Japanese consumer
remains hesitant to spend. Inflation is still very low. Under these
circumstances, the long-term interest rates fluctuated mainly within
a bandwidth of 1.5% and 1.75%.
The euro area
Last year, economic performance in the euro area was strong. Economic
growth amounted to more than 2.5%. Initially inflation increased on
the back of higher oil prices, but ended the year at a level just
below 2%. Strong economic growth, a substantial increase in money
supply and credit growth, and just over 2% projected inflation over
the medium term prompted the European Central Bank (ECB) to increase
interest rates from 2.25% to 3.5%. The euro-area yield curve
flattened, since long-term rates increased by no more than 60 basis
points.
Outlook
The world economy is continuing to grow rapidly, albeit at a slower
pace than last year. The emerging economies are maintaining their
catching-up course, and Japan and the euro area will record growth
rates of some 2%. For the US economy, a slowdown of growth to around
2% is being penciled in.
This year will probably not be a fantastic one for bonds. The ECB and
Bank of Japan have not yet finished their hiking cycle and this is
also true for a number of other central banks. However, in the course
of 2007, the Fed will probably start to ease its monetary policy as
inflation gets under control.
Corporate bonds will probably trade in a tight range in 2007. Balance
sheets are strong and can withstand the expected slower global
growth. This is already reflected in current valuations, which makes
the credit market vulnerable to disappointing macro figures or weaker
balance sheets.
Risk premiums are still very low. One of the risks for 2007 is that
these will return to more normal levels resulting in increasing bond
yields and/or widening credit spreads.
INVESTMENT RESULT
Overview 2002-2006
(in %) Average
over last 5
2006 2005 2004 2003 2002 years
Based on:
- - market price -0.6 7.5 2.7 1.3 1.4 2.4
- - net asset value -0.9 7.5 2.8 1.3 2.2 2.5
Benchmark1) -0.3 6.8 3.7 -0.5 4.1 2.7
Total net assets2) 3.0 3.1 3.1 3.7 4.4 ?
1 The Lehman Multiverse Index up to 30 June 2006 50% hedged into
euros and from 1 July 2006 100% hedged into euros (until 1 January
2002 the JP Morgan Government Bond Index Plus). Currencies have been
converted at rates supplied by World Market Reuters.
2 EUR x billion.
During 2006, Rorento's share price fell from EUR 42.87 to EUR 42.60,
an investment result of -0.6%. Based on the net asset value, which
fell from EUR 43.10 to EUR 42.70, the investment result was -0.9%.
The fund's benchmark, the Lehman Multiverse Index (up to 30 June 2006
50% hedged into euros and from 1 July 2006 100% hedged into euros )
fell 0.3% over the same period.
INVESTMENT POLICY
+-----------------------------------------------------------------------+
|Changes in Rorento's modified duration [1] |
| |
|-----------------------------------------------------------------------|
| J | F | M | A | M | J | J | A | S | O | N | D |
|-----+-----+-----+-----+-----+-----+-----+-----+-----+-----+-----+-----|
| 3.3 | 3.3 | 3.0 | 3.4 | 3.5 | 3.2 | 3.5 | 5.3 | 7.6 | 5.3 | 6.1 | 5.6 |
+-----------------------------------------------------------------------+
Duration, country and yield-curve policy
Rorento successfully anticipated rising interest rates during the
first half of 2006. This positioning was attributable partly to the
signals given by Robeco's duration model and partly to qualitative
factors. During this period the Fed continued the tightening cycle
which it had started in 2004. The ECB also continued to raise
interest rates. Global economic growth surged and capital-market
rates rose steeply. In the second half of the year the market changed
direction. The growth outlook deteriorated as a result of the sharp
increase in oil prices and a large correction in the US housing
market. The Fed decided to leave its official rates unchanged in
August causing capital-market rates to fall as a result. The fund's
interest-rate sensitivity was increased to a level equal to that of
the benchmark by the end of August. However, the shift in market
sentiment had already occurred which caused the portfolio's relative
performance to lag. Early September interest-rate sensitivity was
raised in anticipation of a further decline in interest rates. Part
of this position was taken in the euro-zone bond market. At the end
of October this position, which had been prompted by signals from the
model, was reduced somewhat because of an expected interest-rate
increase on qualitative grounds. In addition, an overweight position
was taken in the Japanese bond market. In July, the Japanese central
bank ended its zero-interest-rate policy by raising short-term
interest rates to 0.25%. In the following months domestic spending
turned out to be disappointing with consumer spending lagging as a
consequence of low income growth. As a result, expectations that the
Japanese central bank would soon raise interest rate again were
dampened. This development and the steepness of the Japanese yield
curve were reasons to increase the interest-rate sensitivity in this
market.
In the first of half of the year the fund anticipated a narrowing in
the spread between capital-market rates in Hungary and the euro zone.
This interest-rate convergence did occur but was later cancelled out
by an increased risk aversion in May and June. This position was
closed in June.
As of June the fund successfully took advantage of a narrowing in the
spread between US and euro-zone capital-market rates. The Fed had
practically finished normalizing monetary conditions, while the ECB
still had a lot of work to do. Furthermore, growth in the United
States was slowing in contrast to the economic recovery in the euro
zone.
On balance, the yield curve in the euro zone flattened further during
2006. At the end of the year the spread between short and long rates
was reduced to nil. This was partly caused by increased demand from
institutional investors for bonds with a long period to maturity to
hedge liabilities. Rorento took advantage of this movement during the
first five months of the year. Unfortunately this was a period in
which the yield curve actually steepened, as a result of which this
positioning led to an underperformance on balance.
Finally, in the course of 2006, the fund applied two new quantitative
investment strategies. These strategies use forecast models focusing
on country allocation and yield-curve policy.
The country-allocation model is used to select positions in six
liquid bond markets; two countries are always overweight and two
underweight. The yield-curve model is used to take advantage of
changes in yield curves in the United States, Great Britain and the
euro zone. Both strategies made a slightly positive contribution to
the relative performance.
Asset allocation
Credit derivatives were used on a number of occasions to take
advantage of differences in the relative valuations of asset
categories. At the beginning of January an overweight position was
taken in emerging debt versus an underweight position in the US
high-yield market. Later the fund anticipated a decreasing difference
in valuation between European high-yield bonds on the one hand and
European investment-grade bonds on the other. Within the high-yield
market the US market had a overweight position relative to its
European counterpart. In the second half of the year it was decided
to build positions in emerging debt and subordinated bank paper. Both
asset categories had an attractive valuation, considering the
favorable macroeconomic outlook. Early December the position in
emerging debt was sold after prices had rallied strongly. These
strategies made a positive contribution to the fund's relative
performance. In addition, the fund successfully took advantage of
changes in swap spreads, in both the euro zone and the dollar market.
The fund also started building a position in asset-backed securities.
These are loans which have a diversified basket of mortgages, for
instance, as their underlying value. This asset category has an
attractive risk/return profile and can be considered as an attractive
alternative to government bonds, for example.
Credits
During a large part of 2006 the credit policy was based on the
expectation that the risk premiums for corporate bonds would
increase. This positioning was backed up by the credit beta model's
negative signals. This quantitative model forecasts future changes in
risk premiums for corporate bonds. However, favorable macroeconomic
developments and strong corporate earnings were responsible for a
positive climate in the credit markets in the second half of the
year, which had an unfavorable impact on the relative performance.
Other strategies such as the overweight in subordinated bank paper
relative to non-financial companies and issuer selection turned out
better than expected, but were unable to fully compensate the beta
position's underperformance.
Currencies
The most remarkable development in the currency markets was the
weakening of the US dollar mainly versus the euro. The US currency
fell from USD 1.18 at the beginning of the year to USD 1.32 at the
end of December. This movement was partly driven by the expectation
that the spread between central-bank rates in both countries will
narrow as a result of diverging growth and inflation.
Until April the fund was geared towards a stronger dollar and yen
relative to the other currencies, then in the remainder of the year
the fund underweighted the dollar against the yen and the euro. Other
currency positions that were taken in the course of the year were
CHF/EUR and CAD/YEN. On balance, the currency policy had a negative
effect on the fund's performance relative to that of the benchmark.
Performance
During the period under review, the fund manager's active investment
policy led to an outperformance of 0.18% (before deduction of the
management fee) relative to the benchmark. Of this 0.18%, 0.47% was
attributable to the duration policy, 0.27% to the asset-allocation
policy, -0.21% to the yield-curve policy and -0.27% to the currency
policy. The contributions from the credit policy, the money-market
policy and the country policy were limited.
NEW BENCHMARK ADOPTED
On 1 July 2006, Rorento's benchmark changed. The old benchmark was
the Lehman Multiverse Index, 50% hedged into euros. The new Rorento
benchmark is the Lehman Multiverse Index 100% hedged into euros. The
full hedging into euros will reduce the fund's risk profile for
investors in the euro zone. Rorento's investment policy remains
unchanged and the fund continues to respond actively to currency
movements.
Dutch Financial Supervision Act
The Dutch Financial Supervision Act [Wet op het financieel toezicht,
or 'wft'] became effective on 1 January 2007. This act regulates
supervision of the Dutch financials sector. The Wft has replaced
existing supervision legislation (including the Dutch Investment
Institutions Supervision Act [Wet toezicht beleggingsinstellingen]).
Declaration regarding administrative organization and internal
control
General
The administrative organization and internal control of the fund
Rorento N.V. is discussed below. Administrative organization and
internal control are both geared to the size of the organization and
meet the requirements of article 8 of the 2005 Dutch Investment
Institutions Supervision Decree ('Btb', Besluit toezicht
beleggingsinstellingen). Administrative organization and internal
control can never offer absolute guarantees, rather they are designed
to provide reasonable assurance of the effectiveness of
internal-control measures in relation to the risks of the activities
of the investment institution.
The assessment of the effectiveness and good functioning of
administrative organization and internal control is the
responsibility of the management board of the investment institution.
Activities
Within the scope of the application for a license under the 2006
Dutch Investment Institutions Supervision Act ('Wtb', Wet toezicht
beleggingsinstellingen), the structural aspects of the administrative
organization and internal control applied were assessed and adjusted
to the Wtb. The relevant risks were identified and corresponding
internal-control measures formulated.
The effectiveness and good functioning of administrative organization
and internal control are assessed in various ways. The management
board is informed periodically by means of control reports which are
based on the process descriptions and the internal-control measures
included therein. Furthermore, there are incident and complaints
procedures.
In 2006, the effective functioning of the internal-control measures
was tested by means of partial tests to verify their design,
existence and effectiveness. This involved generic test activities
that were carried out in a process-oriented way for the investment
institutions of the Robeco Group that are governed by Dutch
supervisory regulations. The test activities may therefore differ for
the individual investment institutions. The tests were executed by
various departments at group and business-unit level, in consultation
with internal and external auditors.
The tests did not lead to relevant findings for this annual report.
Report on administrative organization and internal control
In 2006, w e assessed the various aspects of administrative
organization and internal control. In our assessment we noted nothing
that would lead us to conclude that the description of the structural
aspects of administrative organization and internal control within
the meaning of article 8 of the 2005 Dutch Investment Institutions
Supervision Decree failed to meet the requirements as specified in
said decree and related regulations. Neither did we conclude that the
internal-control measures were ineffective or failed to function
according to the description provided.
Philipsburg, 22 March 2007
The management board
Financial statements
Balance sheet
before profit appropriation, EUR x
thousand
31/12/2006 31/12/2005
Investments
Financial investments
Bonds and other fixed-income 1 2,197,935 2,833,171
securities
Investments in Robeco Group mutual 2 605,724 214,515
funds
Derivatives 3.14 19,885 14,622
Deposits 4 - 21,497
Other financial investments 5 83,260 33,487
Total investments 2,906,804 3,117,292
Receivables
Interest receivable 6 35,083 54,058
Receivable on securities transactions 12,622 2,704
Receivables on affiliated companies 7 678 689
Sundry debtors 8 3,222 588
51,605 58,039
Other assets
Cash 9 75,607 132,234
Accounts payable
Obligations arising from derivative 3.14 24,681 2,070
instruments
Payable on securities transactions 68 230,009
Payable to credit institutions 19,979 89
Payable to Affiliated companies 10 1,768 1,913
Sundry creditors 11 6,918 2,812
53,414 236,893
Accounts receivable and other assets 73,798 -46,620
less accounts payable
Shareholders' equity 12 2,980,602 3,070,672
Composition of shareholders' equity
Issued capital 12, 13 209,400 213,755
Other reserves 12 2,799,445 2,633,869
Net result 12 -28,243 223,048
2,980,602 3,070,672
The numbers of the items in the financial statements refer to the
numbers in the Notes.
Profit and loss account
EUR x thousand
2006 2005
Investment income 117,172 126,540
Movements in value 1.2,3.4, 5 -122,243 120,640
-5,071 247,180
Expenses
Management costs 17 20,648 21,606
Service fee 17 1,980 2,052
Other costs 18 544 474
23,172 24,132
Net result -28,243 223,048
The number of the items in the financial statements refer to the
numbers in the Notes.
Cash-flow summary
indirect method, EUR x thousand
2006 2005
Cash flow from investment activities
Net result -28,243 223,048
Realized and unrealized results 122,243 -120,640
Purchase of investments -2,846,887 -10,378,473
Sale of investments 2,954,897 10,948,080
Increase (-)/decrease (+) accounts 5,811 31,066
receivable
Increase (+)/decrease (-) accounts payable -226,014 -379,641
-18,193 323,440
Cash flow from financing activities
Received for shares subscribed 361,756 186,948
Paid for repurchase of own shares -423,552 -456,805
Profit distribution -31 -35
Increase (-)/decrease (+) accounts 623 -623
receivable
Increase (+)/decrease (-) accounts payable 34 -449
-61,170 -270,964
Net cash flow -79,363 52,476
Currency and cash revaluation 2,846 -3,181
Increase (+)/decrease (-) cash -76,517 49,295
Cash at opening date 132,234 82,878
Accounts payable to credit institutions at -89 -28
opening date
Total cash at opening date 132,145 82,850
Accounts payable to credit institutions at -19,979 -89
closing date
Cash at closing date 75,607 132,234
Total cash at closing date 55,628 132,145
Notes
General
Rorento N.V. (hereafter also referred to as 'the fund') is an
investment institution registered in the Netherlands Antilles and as
such is not subject to Dutch corporate-income tax. It is only liable
to pay a minor sum in Netherlands Antilles profits tax. The financial
statements are in euros and are drawn up in accordance with
regulations prevailing in the Netherlands. The fund holds a license
in accordance with article 11, section a, of the Dutch National
Ordinance on the Supervision of Investment Institutions and
Administrators [Landsverordening toezicht op beleggingsinstellingen
en administrateurs, or 'Ltba']. The fund also holds a license from
the AFM (the Netherlands Authority for the Financial Markets) under
the Dutch Investment Institutions Supervision Act [Wet toezicht
beleggingsinstellingen, or 'Wtb'].
Models
The annual financial statements have been drawn up in conformity with
the models provided by Dutch legislature. In certain areas,
descriptions have been used which better express the nature of the
items and relate better to the characteristics of an investment
company.
Open-end fund
Rorento N.V. is an open-end investment company, meaning that, barring
exceptional circumstances, Rorento N.V. issues and repurchases its
shares on a daily basis at prices approximating net asset value. A
fixed spread between the bid and offer price applies to cover costs
related to issuance and repurchase of own shares. The issue price
will not be more than 0.5% higher than the net asset value and the
repurchase price will not be more than 0.5% lower than the net asset
value. The abovementioned margin between the net asset value and the
bid and offer prices, and the associated costs, are for the account
and risk of Robeco Investment Consulting B.V., as a result of which
Rorento N.V. issues and repurchases its shares at net asset value.
Robeco Investment Consulting B.V. will distribute any positive
results to the funds, in proportion to each fund's positive
contribution to the spread result. A buffer is maintained to cover
any future losses.
As of 26 February 2007, the new trading system for open-end
investment institutions on Euronext Amsterdam will be implemented.
For the company this means that the bid and offer system described
above will no longer be valid. According to the Euronext guidelines,
orders can be placed until 16:00 hours (cut-off time). Orders that
are placed via Euronext Amsterdam will be processed once a day only
and will be executed on the next stock-exchange day at the net asset
value, augmented or reduced by a limited surcharge or discount. The
only purpose of this surcharge or discount is to cover the costs made
by the company related to the entry and exit of investors.
Non-certificated participation in the Netherlands
Parties with which shares may be held in non-certificated form
include Robeco Direct N.V. in the Robeco Group Accounts System or the
affiliated branches of Rabobank in the Rabo Securities Account.
Participants pay costs on the sum deposited for each purchase, and in
the event of a sale a percentage of the sum withdrawn. These
participation costs are currently a maximum of 0.4% via Robeco Direct
and a maximum of 0.5% via Rabobank, depending on the channel
selected. These sums will accrue to Robeco Direct and Rabobank
respectively.
Outsourcing core tasks
The administration has been outsourced to Robeco Institutional Asset
Management B.V., a 100% subsidiary of Robeco Groep N.V. These costs
are covered by the service fee. Agreements have been made with the
aforementioned party relating to the provision of information and
performance standards.
Accounting principles
General
Unless stated otherwise, items shown in the annual financial
statements are included at nominal value and expressed in thousands
of euros.
Financial investments
Financial investments are included at fair value. The fair value of
bonds and other fixed-income securities is based on the market price
and other market quotations at closing date. For derivatives such as
forward exchange contracts, this value is based on currency rates and
reference interest rates at closing date and for futures,
interest-rate swaps, credit-default swaps and forward purchases of
mortgage-backed securities (TBAs) this value is based on the market
price and other market quotations at closing date. Deposits and
CDs/CP are valued on the basis of exchange rates and reference
interest rates at closing date. For call money, the real value is the
nominal value. Transaction costs incurred in the purchase and sale of
investments are included in the purchase or sale price as
appropriate.
Securities lending
Investments for which the legal ownership has been transferred by the
fund for a given period of time as a result of securities-lending
transactions, will continue to be included in the fund's balance
sheet during this period, since their economic advantages and
disadvantages in the form of investment income and changes in value,
will be added to or deducted from the fund's result. The way in which
collateral ensuing from securities-lending transactions is reported
depends on the nature of this collateral. If the collateral is
received in the form of investments these will not be included in the
Balance sheet as the economic advantages and disadvantages relating
to the collateral will be for the account and risk of the
counterparty. If the collateral is received in cash it will be
included in the Balance sheet as, in this case, the economic
advantages and disadvantages will be for the account and risk of the
fund.
Affiliated parties
Rorento N.V. is affiliated to entities belonging to Robeco Groep N.V.
The affiliation with Robeco Groep N.V. is the result of the
possibility of having decisive control or a substantial influence on
the fund's business policy. Robeco Groep N.V. belongs to the Rabobank
Group. The management structure of Robeco Groep N.V., in which
significant authority is allocated to its independent supervisory
board, is such that Rabobank does not have a meaningful say in or
influence on the fund's business policy. Robeco Groep N.V. pursues an
independent investment policy on behalf of its affiliated investment
companies, taking into account the interests of the investors
involved. Besides services of other market parties, Rorento N.V. also
uses the services of one or more of these affiliated entities
including transactions relating to securities, treasury, derivatives,
custody, securities lending, sale and purchase of its own shares,
fund-administration services, as well as management activities.
Transactions are executed at market rates.
Structure of the Robeco Group
The schematic diagram below shows the position of the entities
referred to in the annual report and their mutual relationship within
the Robeco Group. Only the relationships that are relevant to the
investment institution have been included in the flow chart.
Structure of the Robeco Group
Determination of the result
General
Investment results are determined by interest income, rises or
declines in stock prices, rises or declines in foreign exchange rates
and results of transactions in currencies, including forward
transactions, and derivative instruments. The results are accounted
for in the Profit and loss account.
Investment income
Interest income on investments in bonds, other fixed-income
securities, deposits, other financial investments, cash and income
from loan transactions. Accrued interest at balance-sheet date is
taken into account.
Movements in value
Realized and unrealized capital gains and losses on securities and
currencies.
Foreign currencies
Transactions in currencies other than the euro are converted into
euros at the exchange rates valid at the time. Assets and liabilities
expressed in other currencies are converted into euros at the
exchange rate prevailing at balance-sheet date. Any exchange
differences arising are accounted for in the Profit and loss account.
FINANCIAL INSTRUMENTS
Risks
Transactions in financial instruments may lead to the fund being
subject to the risks described below or to the fund transferring
these risks to another party.
Price risk
Currency risk is the risk that the value of a financial instrument
will fluctuate as a result of changes in exchange rates.
Interest-rate risk is the risk that the value of a financial
instrument will fluctuate as a result of changes in market rates. The
value of investments in fixed-income securities depends directly on
market rates. Duration is used as the measure for the portfolio's
sensitivity to interest-rate movements. The portfolio's sensitivity
to fluctuations in market rates can be influenced by changing the
portfolio's duration. Further information on the duration policy can
be found in the Report of the management board. Market risk is the
risk that the value of a financial instrument will fluctuate as a
result of changes in market prices, caused by factors that
exclusively apply to the individual instrument or its issuer or
caused by factors that affect all instruments traded in the market.
The fund minimizes risks by diversifying over countries, currencies
and issues. Investments are made primarily in bonds issued or
guaranteed by OECD member countries and by companies based in these
countries. The fund pursues an active currency policy. Rorento
invests a limited part of its assets in paper qualified as high yield
by rating agencies.
Credit risk
Credit risk is the risk that the counterparty of a financial
instrument will no longer meet its obligations, as a result of which
the fund will suffer a financial loss. The fund minimizes this risk
by trading exclusively with reputable counterparties with a rating of
at least P1 from Moody's or A from Standard & Poor's. Wherever it is
customary in the market, the fund will demand and obtain collateral.
As of balance-sheet date collateral ensuing from securities-lending
transactions was received. More information can be found in the Notes
to the balance sheet.
Liquidity risk
Liquidity risk is the risk that the fund is not able to obtain the
financial means required to meet the obligations arising from
financial instruments. The fund minimizes this risk by mainly
investing in financial instruments that are tradable on a daily
basis.
Insight into actual risks
The Report of the management board, the Balance sheet, the Notes to
the balance sheet and the Spread of net assets, which includes the
geographic distribution of the investments and the net currency
position, give an insight into the actual risks at balance-sheet
date.
Risk management
Managing risk is a part of the investment process as a whole and with
the help of advanced systems, the risks outlined above are limited,
measured and monitored on the basis of fixed risk measures.
Policy regarding the use of derivative instruments
Investing implies that positions are taken. As it is possible to use
various instruments, including derivative instruments, to construct
an identical position, the selection of derivatives is subordinate to
the positioning of a portfolio. In our published information,
attention is given primarily to the overall position, and secondarily
to the nature and volume of the financial instruments employed.
Derivatives
The market value of derivatives is reported in the Balance sheet. The
presentation of the market value is based on the liabilities and
receivables per counterparty. The receivables are reported under
Financial investments and the liabilities are reported under Accounts
payable. The value of the derivatives' underlying instruments is not
included in the Balance sheet. If applicable, they are explained
under the heading Commitments not shown in the balance sheet.
Notes to the balance sheet
1 Bonds and other fixed-income securities
Movements in bonds and other fixed-income securities
EUR x thousand
2006 2005
Book value (market value) at opening date 2,833,171 2,653,599
Purchases 2,355,649 10,166,511
Sales -2,774,019 -10,150,972
Realized and unrealized results:
bonds -68,801 15,128
currencies -148,065 148,905
Book value (market value) at closing date 2,197,935 2,833,171
A breakdown of this portfolio and an overview of the spread of net
assets can be found at the end of this report. A substantial part
(35%) of the total purchases and sales for 2005 shown in the table
relates to repo transactions. There were no repo transactions in 2006
(previous year EUR 176 million). At balance-sheet date, bonds to the
amount of EUR 572 million (previous year EUR 502 million) had been
lent. To cover the risk of non-restitution, adequate collateral with
a value of EUR 611 million (previous year EUR 533 million) was
demanded and obtained; this collateral is not included in the Balance
sheet.
2 Investments in Robeco Group mutual funds
Part of the portfolio is invested in funds offered by the Robeco
Group.
Movements in investments in Robeco Group mutual funds
EUR x thousand
2006 2005
Book value (market value) at opening date 214,515 152,975
Purchases 435,118 211,962
Sales -58,592 -154,842
Realized and unrealized results:
bonds 12,532 746
currencies 2,151 3,674
Book value (market value) at closing date 605,724 214,515
A list of these investments is given below. Rorento N.V. can enter
and exit the abovementioned Robeco Group funds on a daily basis at
net asset value. These funds do not charge an entry or exit fee, with
the exception of Robeco Capital Growth Funds - Robeco Investment
Grade ABS I EUR that changes an exit fee in case of exit within one
month.
+---------------------------------------------------------------------------------------------------------------------+
|Investments in Robeco Group mutual funds |
|---------------------------------------------------------------------------------------------------------------------|
| | Market value| | Interest in fund| | Net asset value 1| | Return| | Total expense|
|-------------------+-----------------+--+------------------+--+--------------------+--+-----------+--+---------------|
| | EUR x thousand| | In %| | EUR x 1| | In %| | Ratio 2|
|-------------------+-----------------+--+------------------+--+--------------------+--+-----------+--+---------------|
| | 31/12| 31/12| | 31/12| 31/12| | 31/12| 31/12| | | | | | |
| | 2006| 2005| | 2006| 2005| | 2006| 2005| | 2006| 2005| | 2006| 2005|
|-------------------+--------+--------+--+---------+--------+--+----------+---------+--+-----+-----+--+-------+-------|
| | | | | | | | | | | | | | | |
|-------------------+--------+--------+--+---------+--------+--+----------+---------+--+-----+-----+--+-------+-------|
|Robeco Capital | | | | | | | | | | | | | | |
|Growth Funds - | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
|-------------------+--------+--------+--+---------+--------+--+----------+---------+--+-----+-----+--+-------+-------|
|Robeco Investment | 300.153| -| | 100.00| -| | 100.44| -| | 0.4| -| | 0.03| -|
|Grade ABS I EUR | | | | | | | | | | | | | | |
|shares 3, 5 | | | | | | | | | | | | | | |
|-------------------+--------+--------+--+---------+--------+--+----------+---------+--+-----+-----+--+-------+-------|
|Robeco Capital | 101.028| | | | | | | | | | | | | |
|Growth Funds - | | 93.605| | 43.6| 78.9| | 100.13| 99.53| | 6.4| 0.5| | 0.56| 0.23|
|Robeco High Yield | | | | | | | | | | | | | | |
|Bonds I EUR shares | | | | | | | | | | | | | | |
|3 ,7 | | | | | | | | | | | | | | |
|-------------------+--------+--------+--+---------+--------+--+----------+---------+--+-----+-----+--+-------+-------|
|Robeco Short Term 4| 80.146| -| | 33.1| -| | 3.800.20| -| | 3.0| -| | 0.13| -|
|-------------------+--------+--------+--+---------+--------+--+----------+---------+--+-----+-----+--+-------+-------|
|Robeco Capital | | | | | | | | | | | | | | |
|Growth Funds - | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
|-------------------+--------+--------+--+---------+--------+--+----------+---------+--+-----+-----+--+-------+-------|
|Robeco Div Var4 I | | | | | | | | | | | | | | |
|EUR shares 3, 6 | 50.255| -| | 99.8| -| | 100.58| -| | 0.6| -| | 0.08| -|
|-------------------+--------+--------+--+---------+--------+--+----------+---------+--+-----+-----+--+-------+-------|
|Robeco Monetaire | 41.682| 40.609| | 24.5| 36.7| | 3.097.85| 3.018.17| | 2.6| 2.7| | 0.29| 0.30|
|Quantiplus 3 | | | | | | | | | | | | | | |
|-------------------+--------+--------+--+---------+--------+--+----------+---------+--+-----+-----+--+-------+-------|
|Robeco Capital | 32.460| | | | | | | | | | | | | |
|Growth Funds - | | 30.081| | 91.1| 96.8| | 102.15| 100.19| | 6.0| 0.2| | 0.57| 0.15|
|Robeco European | | | | | | | | | | | | | | |
|High Yield Bonds I | | | | | | | | | | | | | | |
|EUR shares 3, 8 | | | | | | | | | | | | | | |
|-------------------+--------+--------+--+---------+--------+--+----------+---------+--+-----+-----+--+-------+-------|
|Robeco Interest | | | | | | | | | | | | | | |
|Plus Funds - Robeco| -| 50.220| | -| 85.5| | 103.63| 100.50| | 3.1| 0.5| | 0.36| 0.09|
|Flex-o-Rente I EUR | | | | | | | | | | | | | | |
|shares 3, 8 | | | | | | | | | | | | | | |
|-------------------+--------+--------+--+---------+--------+--+----------+---------+--+-----+-----+--+-------+-------|
| | | | | | | | | | | | | | | |
|-------------------+--------+--------+--+---------+--------+--+----------+---------+--+-----+-----+--+-------+-------|
| | 605.724| 214.515| | | | | | | | | | | | |
|---------------------------------------------------------------------------------------------------------------------|
|1 Per share/participating unit. |
|---------------------------------------------------------------------------------------------------------------------|
|2 The management fee, the service fee and the performance fee will be restituted to Rorento N.V. by the manager of|
|the funds mentioned. |
|---------------------------------------------------------------------------------------------------------------------|
|3) These Luxembourg-based funds with a UCITS III status are regulated by the Luxembourg authorities. Robeco|
|Luxembourg S.A. is the manager of the fund. The semiannual report for the period ending on 31 December 2006 will be|
|available at Rorento N.V.'s offices on request after publication. |
|---------------------------------------------------------------------------------------------------------------------|
|4 This fund has a UCITS III status and is regulated by the French authorities. The annual report as of 30 September|
|2006 of this fund is available at Rorento N.V.'s offices on request. |
|---------------------------------------------------------------------------------------------------------------------|
|5) Relates to the period 20 November 2006 through 31 December 2006. |
|---------------------------------------------------------------------------------------------------------------------|
|6 Relates to the period 3 November 2006 through 31 December 2006. |
|---------------------------------------------------------------------------------------------------------------------|
|7 Relates to the period 1 September 2005 through 31 December 2005. |
|---------------------------------------------------------------------------------------------------------------------|
|8 Relates to the period 4 October 2005 through 31 December 2005. |
|---------------------------------------------------------------------------------------------------------------------|
| |
|---------------------------------------------------------------------------------------------------------------------|
| |
+---------------------------------------------------------------------------------------------------------------------+
3 Derivatives
Movements in
derivatives
EUR x thousand TBAs Forward exchange Futures
transactions
2006 2005 2006 2005 2006 2005
Book value (market
value) at opening
date 3,934 2,503 4,702 22,089 5,652 3,556
Sales/expirations -6,518 3,043 -63,602 61,529 -14,225 -24,046
Realized and
unrealized results -929 -1,612 59,044 -78,916 8,189 26,142
Book value (market
value) at closing
date -3,513 3,934 144 4,702 -384 5,652
Movements in
derivatives
EUR x thousand Interest-rate Credit-default Total
swaps swaps
2006 2005 2006 2005 2006 2005
Book value (market -1,636 - -100 - 12,552 28,148
value) at opening
date
Sales/expirations -16,441 - 2,786 842 -98,000 41,368
Realized and 18,938 -1,636 -4,590 -942
unrealized results: 80,652 -56,964
Results
Book value (market 861 -1,636 -1,904 -100 -4,796 12,552
value) at closing
date
The presentation of derivatives in the Balance sheet is based on the
liabilities and receivables per counterparty. It entails the
following:
Presentation of derivatives in the Balance sheet
+-------------------------------------------------------------------+
| EUR x thousand | Under financial | | Under accounts |
| | investments | | payable |
|----------------------------+-----------------+---+----------------|
| | 2006 | 2005 | | 2006 | 2005 |
|----------------------------+--------+--------+---+--------+-------|
| Type of derivative | | | | | |
|----------------------------+--------+--------+---+--------+-------|
| TBAs | - | 3,934 | | 3,513 | - |
|----------------------------+--------+--------+---+--------+-------|
| Forward exchange | 8,213 | 4,820 | | 8,069 | 118 |
| transactions | | | | | |
|----------------------------+--------+--------+---+--------+-------|
| Futures | - | 5,652 | | 384 | - |
|----------------------------+--------+--------+---+--------+-------|
| Credit-default swaps | 2,215 | 216 | | 4,119 | 316 |
|----------------------------+--------+--------+---+--------+-------|
| Interest-rate swaps | 9,457 | - | | 8,596 | 1,636 |
|----------------------------+--------+--------+---+--------+-------|
| | | | | | |
|----------------------------+--------+--------+---+--------+-------|
| Total | 19,885 | 14,622 | | 24,681 | 2,070 |
+-------------------------------------------------------------------+
4 Deposits
Movements in deposits
EUR x thousand 2006 2005
Book value (market value) at opening date 21,497 302,778
Balance advances and redemptions -21,500 -279,583
Realized and unrealized results 3 -1,698
Book value (market value) at closing date 0 21,497
Last year these were all related to repo transactions.
5 Other financial investments
Includes certificates of deposit, commercial paper and call money.
Movements in other financial investments
EUR x thousand 2006 2005
Book value (market value) at opening date 33,487 423,508
Balance advances and redemptions 53,334 -404,051
Realized and unrealized results -3,561 14,030
Book value (market value) at closing date 83,260 33,487
6 Interest receivable
This refers to accrued interest on the bond portfolio and other
financial instruments.
7 Receivables on affiliated companies
Includes interest receivable from securities-lending transactions,
income receivable from securities-lending transactions and
recoverable transaction costs.
8 Sundry debtors
Includes suspense items.
9 Cash
Includes balances in current accounts at banks.
10 Payable to affiliated companies
These are debts arising from issuance and repurchase of own shares
and management and service fees to be paid.
11 Sundry creditors
Includes unpaid tax and expenses.
12 Shareholders' equity
Composition of and movements in shareholders' equity
EUR x thousand 2006 2005
Issued capital
Situation at opening date 213,755 233,213
Received on shares issued 25,643 13,353
Paid for shares repurchased -29,998 -32,811
Situation at closing date 209,400 213,755
Other reserves
Situation at opening date 2,633,869 2,786,675
Received on shares issued 336,113 173,595
Paid for shares repurchased -393,554 -423,994
Net result from previous financial year 223,048 97,628
Profit distribution -31 -35
Situation at closing date 2,799,445 2,633,869
Net result -28,243 223,048
Shareholders' equity 2,980,602 3,070,672
The company's authorized share capital amounts to EUR 900 million,
divided into 300,000,000 ordinary shares with a nominal value of EUR
3 each.
13 Assets, shares outstanding and net asset value per share
Assets, shares outstanding and net asset value per share
31/12/2006 31/12/2005 31/12/2004
Assets EUR x thousand 2,980,602 3,070,672 3,117,516
Shares issued in financial 8,547,635 4,450,899 4,450,561
year
Shares repurchased in -9,999,301 -10,936,940 -20,910,312
financial year
Number of shares outstanding 69,799,847 71,251,513 77,737,554
Net asset value per share in 42.70 43.10 40.10
EUR
14 Commitments not shown in the balance sheet
Forward exchange transactions
The forward exchange transactions current at closing date represent
purchases of CHF 39 million and EUR 1,519 million against sales of
CAD 12 million, GBP 68 million, JPY 58,820 million, SEK 54 million
and USD 1,390 million.
Futures
The futures contracts purchased at closing date represent an increase
in assets of CAD 4 million, EUR 542 million, GBP 1 million, JPY
37,400 and USD 410 million.
Interest-rate swaps
Interest-rate swap contracts current at closing date represent a
value of CAD 256 million, EUR 824 million, GBP 128 million, JPY 2,300
million, SEK 4,565 million and USD 1,285 million.
Credit-default swaps
Credit-default swap contracts purchased at closing date represent a
value of EUR 120 million; credit-default swap contracts sold
represent a value of EUR 94 million.
TBAs
Forward purchases of mortgage-backed TBA securities current at
balance-sheet date represent a sum of USD 491 million.
Forward exchange transactions are included in the currency position
in the Spread of net assets at the end of this report. Futures
contracts, interest-rate swaps, credit-default swaps and forward
purchases of mortgage-backed securities are included in the survey
Modified duration in the Report of the management board. Unrealized
results of these transactions at closing date are included in the
Profit and loss account.
Notes to the profit and loss account
15 Performance
+---------------------------------------------------------------------+
|Performance per| | | | | | | | | |
|share* | | | | | | | | | |
|---------------+-------+---+-------+---+-------+---+-------+--+------|
|EUR x 1 | 2006| | 2005| | 2004| | 2003| | 2002|
|---------------+-------+---+-------+---+-------+---+-------+--+------|
| | | | | | | | | | |
|---------------+-------+---+-------+---+-------+---+-------+--+------|
|Investment | | | | | | | | | |
|income | 1.68| | 1.72| | 1.56| | 1.69| | 1.73|
|---------------+-------+---+-------+---+-------+---+-------+--+------|
|Movement in | | | | | | | | | |
|value | -1.75| | 1.64| | -0.15| | -0.87| | -0.71|
|---------------+-------+---+-------+---+-------+---+-------+--+------|
|Management | | | | | | | | | |
|costs, service | | | | | | | | | |
|fee and other | | | | | | | | | |
|costs | -0.33| | -0.33| | -0.26| | -0.24| | -0.22|
|---------------+-------+---+-------+---+-------+---+-------+--+------|
| | | | | | | | | | |
|---------------+-------+---+-------+---+-------+---+-------+--+------|
|Net result | -0.40| | 3.03| | 1.15| | 0.58| | 0.80|
|---------------------------------------------------------------------|
|*) Based on the average number of shares outstanding during the |
|reporting year. The average number of shares outstanding is |
|calculated on a daily basis for the years 2006, 2005, 2004 and 2003 |
|and on a monthly basis for 2002. |
+---------------------------------------------------------------------+
16 Total expense ratio
Total expense ratio
In % Maximum
2006 prospectus 2005
Cost item
Management costs 0.70 0.70 0.70
Service fee 0.07 0.08 0.07
Other costs 0.01 0.01 0.01
Total 0.78 0.79 0.78
Because management fees and service fees are restituted to Rorento,
there are only other costs. These costs are not material and amount
to less than 0.01%. Therefore no percentage is included in the table.
The total expense ratio expresses the costs charged to the fund
during the reporting period as a percentage of the average assets
entrusted during the reporting period. The total expense ratio as
shown does not include transaction costs. The total expense ratio was
0.78% during the reporting period. The management costs relate to all
of the fund's current costs, which include the fees paid for
registering shareholders and all costs resulting from the management
of the fund, with the exception of costs relating to investments and
taxes. The service fee covers the administration, the costs of the
external auditor, other external advisers, regulators, costs relating
to reports required by law, such as the annual and semiannual
reports, and the costs relating to the meetings of shareholders. The
total expense ratio takes into account the costs of intra-group
investments, as presented in the table on page 17 Other costs
relate to bank charges and the custody fee charged by third parties
for the custody of the fund's securities portfolio. The custody fee
is EUR 426 thousand (last year EUR 277 thousand).
17 Management costs and service fee
Management costs relate exclusively to the management fee of 0.70%
per year. The service fee amounts to 0.08% per year. Formal and
operational expenses are paid from the service fee. These are
explained in the Notes to the total expense ratio. For assets
exceeding EUR 1 billion the service fee is 0.06% per year; for assets
exceeding EUR 5 billion the service fee is 0.04%. The management fee
and service fee are charged by Robeco Institutional Asset Management
B.V. and are calculated on a daily basis, based on the average assets
entrusted. Wherever in this report mention is made of the average
assets entrusted this is also calculated on a daily basis, unless
stated otherwise.
18 Other costs
This includes custody costs and bank charges.
19 Performance fee
Rorento N.V. is not subject to a performance fee.
20 Transaction costs
Brokerage costs and exchange fees relating to investment transactions
are discounted in the cost price or the sales value of the investment
transactions. Brokerage costs for the purchase and sale of bonds are
included in the share price and cannot be quantified separately.
These costs and fees are charged to the result ensuing from changes
in value. The quantifiable transaction costs are shown below. Bonds
account for 76% (previous year 63%) of the transaction volume, whose
transaction costs are not quantifiable.
Transaction costs
EUR x thousand 2006 2005
Transaction type
Futures 580 460
Robeco Group mutual funds 7 23
21 Hard commissions and soft-dollar arrangements
There were no hard commissions or soft-dollar arrangements during the
reporting period.
22 Turnover ratio
This shows the turnover of the investments against the average assets
entrusted and is a measure of the incurred transaction costs
resulting from the portfolio policy pursued and the ensuing
investment transactions. In the calculation method used, the amount
of the turnover is determined by the sum of the purchases and sales
of investments less the sum of issuance and repurchase of own shares.
The turnover ratio is determined by expressing the amount of turnover
as a percentage of the average assets entrusted. The turnover ratio
over 2005 is corrected for repo transactions, which are not part of
the portfolio policy but generate extra return on the portfolio.
There were no repo transactions in 2006. The turnover ratio over 2006
is 170% (versus 205% in the previous year).
23 Transactions with affiliated parties
Part of the transaction volume in the reporting period relates to
transactions with affiliated parties. The table below shows the
various types of transactions where this was the case.
Transactions with affiliated parties
Part of the total volume in %
2006 2005
Transaction type
Robeco Group mutual funds 100.0 100.0
Bonds 11.8 19.1
Forward exchange transactions 4.1 5.0
Deposits - 3.3
Call money 99.2 99.2
Credit-default swaps 5.7 5.7
24 Securities lending
Robeco Securities Lending B.V. is the intermediary for all Rorento
N.V.'s securities-lending transactions. As compensation for its
services Robeco Securities Lending B.V. receives a fee of 40% of the
gross income resulting from these securities-lending transactions. An
external agency periodically assesses whether the agreements between
the fund and Robeco Securities Lending B.V. are still in line with
the market. In 2006 the proceeds for the fund amounted to EUR 563
thousand (previous year EUR 450 thousand) and for Robeco Securities
Lending B.V. this was EUR 376 thousand (previous year EUR 300
thousand).
25 Personnel costs
Rorento N.V. does not employ personnel, except for board members.
Robeco Nederland B.V.'s remuneration policy for fund managers
consists of both fixed and variable income. The secondary conditions
of employment are in line with what is common practice in the
financial-services industry.
The fixed income offers a good and competitive remuneration basis
within the Dutch asset-management market. A fund manager is assigned
to a salary scale with a minimum and maximum income based on the
level of responsibility of his function (Hay method for function
valuation). Growth within this scale is linked to results, including
performance results, and competencies.
The variable income offers the fund manager remuneration for his
individual, long-term outperformance. Payment is related to the
outperformance relative to a preset target. The track record over
both a 1-year and 3-year period is taken into account when
determining the variable remuneration. The variable remuneration to
which the fund manager is entitled for any single year, is paid out
over a three-year period (60% in the first year, 30% in the second
and 10% in the third year).
Fund managers, are given the opportunity to participate directly in
Robeco's future through virtual shares (E-notes). The induvidual
allocation of E-notes is linked to individual performance and the
contribution to the realization of the strategic targets of Robeco as
a whole and the individual's own business unit. The E notes represent
a value which is directly linked to Robeco Groep N.V.'s value.
Philipsburg, 22 March 2007
The supervisory board
P.C. van den Hoek, chairman
G. Izeboud
Philips Lambert
Dirk P.M. Verbeek
The management board
E.J. Siermann, chairman
Frank L.E.G. Boll
Ferdie L.I. van de Walle
Other data
Stock-exchange listings
The ordinary shares are listed on Eurolist by Euronext Amsterdam N.V.
in Amsterdam, the Netherlands.
In addition, Rorento N.V. has a stock-exchange quotation in Paris,
Brussels, Luxembourg, London, Berlin, Dusseldorf, Frankfurt, Hamburg,
Munich, Vienna and Zurich.
Articles of Association rules regarding profit appropriation
According to articles 39 and 40 of the Articles of Association, the
profit less allocations to the reserves deemed desirable by the
management board in agreement with the supervisory board will be at
the disposal of the General Meeting of Shareholders.
Proposed profit appropriation
As last year, it will be proposed to the General Meeting of
Shareholders not to distribute a dividend but to allocate the profit,
less remuneration to supervisory directors, to Other reserves.
Supervisory directors' fee
An amount of EUR 30,628 (previous year EUR 30,628) has been allocated
from the proposed profit appropriation for this purpose. The chairman
of the supervisory board receives a remuneration of EUR 10,210 and an
ordinary member of the supervisory board receives a remuneration of
EUR 6,806.
Directors' interest
Statement pursuant to article 45, paragraph 3, of the Dutch
Investment Institutions Supervision Decree [Besluit toezicht
beleggingsinstellingen, or 'Btb'].
The table below shows the total personal interests in the investments
of the investment institution held by the supervisory and managing
directors of the investment institution on 1 January 2006 and 31
December 2006.
On 1 January 2006 and 31 December 2006, supervisory directors held no
interests in Rorento N.V. Members of the management board held a
joint interest of 2,516 Rorento N.V. shares on 1 January 2006 and 31
December 2006. On 1 January 2006 and 31 December 2006, no options had
been granted to supervisory directors and members of the management
board.
ECOFIS N.V./S.A., of which Frank L.E.G. Boll is a director, acted as
adviser for Rorento N.V.
AON Risk Services International, of which Dirk P.M. Verbeek is a
director, acted as an intermediary for various insurance policies
concluded at Rabobank Group level, including a Bankers, General
Liability and D&O liability policy. Futhermore AON Risk Services
International insures several of Robeco's art objects. Apart from the
above, there were no business relations between supervisory directors
and the company other than that of their membership of the
supervisory board during the period under review.
+-------------------------------------------------------------------+
| Interests in investments of Rorento N.V. |
|-------------------------------------------------------------------|
| | Description | Supervisory | Managing | Total |
| | | directors | directors | Value in |
| | | Value in | Value in | EUR |
| | | EUR | EUR | |
|---------------+-------------+-------------+-----------+-----------|
| At 1 Januari | | | | |
| 2006 | | | | |
|---------------+-------------+-------------+-----------+-----------|
| Robeco | board | - | 11 | 11 |
| Flex-o-Rente | members | | | |
|---------------+-------------+-------------+-----------+-----------|
| 5,5% | bonds | - | 1,800,787 | 1,800,787 |
| Belgische | | | | |
| overheid | | | | |
| 28-3-2078 | | | | |
|---------------+-------------+-------------+-----------+-----------|
| 6% Nederland | bonds | 45,379 | 18,152 | 63,531 |
| 15-01-2006 | | | | |
|---------------+-------------+-------------+-----------+-----------|
| | | | | |
|---------------+-------------+-------------+-----------+-----------|
| At 31 | | | | |
| December 2006 | | | | |
|---------------+-------------+-------------+-----------+-----------|
| 5,5% | bonds | - | 1,836,787 | 1,836,787 |
| Belgische | | | | |
| overheid | | | | |
| 28-3-2078 | | | | |
+-------------------------------------------------------------------+
Interests of the fund manager
The fund manager should act in accordance with Dutch legislation and,
insofar as is relevant, legislation in other countries. As an
employee of Robeco Nederland B.V. she is bound by Robeco's internal
regulations and procedures, including the Rules and regulations
regarding private investment transactions, which are based on the
Dutch Securities Transactions Supervision Act. These Rules should
guarantee that insider trading and mixing of business and private
interests, or semblance thereof, is avoided at all times.
On 1 January 2006 and 31 December 2006, the fund manager held an
interest of 32 Rorento N.V. shares. At the same date, she held no
interests in Rorento N.V. investments.
Statement for the London Stock Exchange
The members of the supervisory board and the management board of
Rorento N.V. hereby declare that their beneficial interests and those
of their children below the age of 18 years do not in the aggregate
exceed 5% of the company, in respect of either share capital or
voting control.
Philipsburg, 22 March 2007
To the General Meeting of Shareholders and members of the supervisory
board
Auditor's statement
Report on the financial statements
We have audited the financial statements 2006 of Rorento N.V.,
Philipsburg, which comprise the balance sheet as at 31 December 2006,
the profit and loss account for the year then ended and the notes.
Management's responsibility
The company'sanagement is responsible for the preparation and fair
presentation of the financial statements and for the preparation of
the report of the management board, both in accordance with Part 9 of
Book 2 of the Netherlands Civil Code and the Investment Institutions
Supervision Act. This responsibility includes: designing,
implementing and maintaining internal control relevant to the
preparation and fair presentation of the financial statements that
are free from material misstatement, whether due to fraud or error;
selecting and applying appropriate accounting policies; and making
accounting estimates that are reasonable in the circumstances.
Auditor's responsibility
Our responsibility is to express an opinion on the financial
statements based on our audit. We conducted our audit in accordance
with Dutch law. This law requires that we comply with ethical
requirements and plan and perform the audit to obtain reasonable
assurance whether the financial statements are free from material
misstatement.
An audit involves performing procedures to obtain audit evidence
about the amounts and disclosures in the financial statements. The
procedures selected depend on the auditor's judgment, including the
assessment of the risks of material misstatement of the financial
statements, whether due to fraud or error. In making those risk
assessments, the auditor considers internal control relevant to the
entity's preparation and fair presentation of the financial
statements in order to design audit procedures that are appropriate
in the circumstances, but not for the purpose of expressing an
opinion on the effectiveness of the entity's internal control. An
audit also includes an evaluation of how appropriate the accounting
policies and how reasonable the management's accounting estimates
are, as well as an evaluation of the overall presentation of the
financial statements.
We believe that the audit evidence we have obtained is sufficient and
appropriate to provide a basis for our audit opinion.
Opinion
In our opinion, the financial statements give a true and fair view of
the financial position of Rorento N.V. as at 31 December, 2006, and
of its result for the year then ended in accordance with Part 9 of
Book 2 of the Netherlands Civil Code and the Investment Institutions
Supervision Act.
Report on other legal and regulatory requirements
Pursuant to the legal requirement under 2:393 sub 5 part e of the
Netherlands Civil Code, we report, to the extent of our competence,
that the report of the management board is consistent with the
financial statements as required by 2:391 sub 4 of the Netherlands
Civil Code.
The Hague, xx March 2007
for Ernst & Young Accountants
was signed Joost Hendriks
Spread of net assets
Across countries and currencies
Across countries Across currencies
31/12/2006 31/12/2006 31/12/2005 31/12/2006 31/12/2005
EUR x In % In % In % In %
thousand
Long-term
investments
North America
(29.3%)
US dollar 843,846 28.3 35.8 -4.8 27.1
Canadian 29,453 1.0 1.4 0.8 1.1
dollar
Europe (51.9%)
Euro 1,435,123 48.2 53.6 102.4 62.1
British pound 101,437 3.4 4.6 -0.1 1.1
Swedish krona 8,690 0.3 0.3 0.1 0.3
Danish krone - - - 0.4
Swiss franc - - - 0.8 -1.4
Asia (12.9%)
Japanese yen 385,110 12.9 3.6 0.8 8.4
Korean won - - - - 0.7
Australia
(0.0%)
Australian - - - - 0.2
dollar
Short-term 176,943 5.9 0.7 - -
investments
(5.9%)
Total 2,980,602 100.0 100.0 100.0 100.0
Exchange rates
31/12/2006 31/12/2005 31/12/2006 31/12/2005
EUR 1 EUR EUR
AUD 1.6731 1.6080 AUD 1 0.5977 0.6219
CAD 1.5344 1.3779 CAD 1 0.6517 0.7257
CHF 1.6095 1.5546 CHF 1 0.6213 0.6433
DKK 7.4571 7.4589 DKK 1 0.1341 0.1341
GBP 0.6738 0.6871 GBP 1 1.4842 1.4554
JPY 157.1339 139.2223 JPY 100 0.6364 0.7183
KRW 1,226.9939 1,192.3482 KRW 100 0.0815 0.0838
SEK 9.0253 9.3875 SEK 1 0.1108 0.1065
USD 1.3186 1.1796 USD 1 0.7584 0.8478
BOND PORTFOLIO
at 31 December 2006
Expiration
Market value Market value % date
EUR USD
28,547 37,644 0.0000 Solstice (FRN) 02-05-2036
3,772,040 4,974,000 2.7000 Rabobank Nederland 15-03-2007
16,699,424 22,020,696 3.3750 US Treasury Note 15-09-2009
49,441,489 65,196,020 3.5000 United States 15-11-2009
79,848,068 105,291,655 4.2500 US Treasury Note 15-11-2014
31,015,489 40,898,575 4.5000 Freddie Mac 15-01-2015
115,166 151,863 4.8750 US Treasury Note 15-08-2016
25,607,993 33,767,980 5.0000 Fannie Mae 15-03-2016
6,779,758 8,940,128 5.1000 AT&T 15-09-2014
3,106,611 4,096,533 5.2500 Washington Mutual 15-09-2017
Rabobank Capital Fund
5,594,489 7,377,173 5.2600 II Tier I 31-12-2013
4,603,273 6,070,105 5.3500 Goldman Sachs 15-01-2016
15,167,027 20,000,000 5.3738 Fortis Bank (FRN) 14-07-2008
19,717,286 26,000,199 5.3750 Morgan Stanley 15-10-2015
2,132,875 2,812,515 5.3750 Wells Fargo & Company 07-02-2035
9,488,113 12,511,500 5.3925 General Electric (FRN) 04-03-2008
18,963,203 25,005,827 5.4100 Citigroup (FRN) 04-06-2007
3,791,391 4,999,518 5.4150 Deutsche Bank (FRN) 21-03-2011
9,485,453 12,507,992 5.4244 ABN AMRO Bank (FRN) 18-04-2008
1,137,841 1,500,414 5.4256 Wells Fargo (FRN) 23-03-2007
2,844,955 3,751,500 5.4363 ABN AMRO Bank (FRN) 11-05-2007
American Expres
7,588,822 10,007,000 5.4400 Centurion (FRN) 14-09-2007
Bos International
7,589,580 10,008,000 5.4488 Australia (FRN) 16-04-2009
1,900,182 2,505,675 5.4506 Bank of America (FRN) 18-09-2009
American Express
1,518,599 2,002,500 5.4600 Credit (FRN) 15-09-2010
15,013,075 19,796,992 5.4600 Wells Fargo (FRN) 15-09-2009
11,557,763 15,240,644 5.4700 DNB Nordbank (FRN) 06-10-2009
Westdeutsche
12,900,588 17,011,361 5.4700 Landesbank (FRN) 29-05-2007
Bos International
7,590,452 10,009,150 5.4738 Australia (FRN) 22-01-2008
11,386,532 15,014,850 5.4738 General Electric (FRN) 21-10-2010
Westdeutsche
4,940,331 6,514,567 5.4781 Landesbank (FRN) 10-03-2009
American International
7,586,471 10,003,900 5.4844 (FRN) 18-10-2011
11,712,806 15,445,092 5.4900 Bank of America 15-03-2019
7,589,071 10,007,329 5.4938 Lehman Brothers (FRN) 20-04-2007
7,580,228 9,995,668 5.4956 Anglo Irish Bank (FRN) 02-11-2011
Intesa Bank Ireland
3,795,823 5,005,362 5.5200 (FRN) 27-07-2010
John Hancock Global
8,340,947 10,998,790 5.5200 Fund (FRN) 27-04-2009
Credit Suisse Usa
12,920,077 17,037,060 5.5600 (FRN) 02-03-2011
5,306,336 6,997,200 5.5600 Salliemae (FRN) 15-03-2011
J.P. Morgan Chase
7,611,421 10,036,800 5.5600 (FRN) 02-10-2009
Washington Mutual
6,831,032 9,007,740 5.5681 (FRN) 04-02-2011
7,600,728 10,022,700 5.5700 Goldman Sachs (FRN) 02-03-2010
758,549 1,000,260 5.5731 CIT Group (FRN) 15-02-2007
Merrill Lynch Capital
7,593,115 10,012,661 5.5738 (FRN) 15-02-2011
HSBC Bank Middle East
17,048,607 22,481,145 5.5744 (FRN) 14-11-2011
6,835,570 9,013,725 5.5950 CIT Group (FRN) 20-09-2007
7,619,004 10,046,800 5.6131 Merrill Lynch (FRN) 09-09-2009
Credit Suisse USA
2,285,133 3,013,290 5.6138 (FRN) 15-01-2010
761,377 1,003,990 5.6181 Merrill Lynch (FRN) 06-02-2009
6,857,104 9,042,120 5.6231 Bear Stearns (FRN) 09-09-2009
517,824 682,829 5.6244 Lehman Brothers (FRN) 10-11-2009
15,221,173 20,071,400 5.6244 Morgan Stanley (FRN) 18-01-2011
2,767,761 3,649,708 5.6250 BAC Capital Trust VI 08-03-2035
22,462,077 29,619,618 5.6250 Wachovia 15-10-2016
Countrywide Financial
6,843,863 9,024,660 5.6350 (FRN) 19-12-2008
7,624,009 10,053,400 5.6625 Goldman Sachs (FRN) 28-06-2010
762,090 1,004,930 5.6763 Bear Stearns (FRN) 30-01-2009
14,435,360 19,035,188 5.7500 Goldman Sachs 01-10-2016
854,441 1,126,708 5.8750 Mexico 15-01-2014
2,146,210 2,830,100 5.9110 HSBC Finance 30-11-2015
6,095,294 8,037,560 5.9656 Axa (FRN) 03-12-2007
9,100,207 11,999,988 6.0000 Citigroup 31-10-2033
1,232,354 1,625,044 6.0000 General Electric 15-06-2012
2,323,513 3,063,900 6.0000 HBOS Capital Funding 01-11-2033
AIG Sunamerica Global
4,514,100 5,952,518 6.3000 Finance 10-05-2011
3,715,922 4,900,000 6.3594 Stuyvesant (FRN) 07-05-2014
1,753,687 2,312,500 6.4656 Stuyvesant (FRN) 22-08-2013
3,181,902 4,195,815 6.5000 HSBC 02-05-2036
57,338,942 75,609,996 6.6250 Fannie Mae 15-09-2009
Federal Home Loan
57,342,796 75,615,078 6.6250 Mortgage 15-09-2009
15,959,275 21,044,698 6.7500 General Electric 15-03-2032
1,691,427 2,230,400 6.8600 Barclays Bank 15-06-2032
4,927,948 6,498,239 6.8750 Merrill Lynch 15-11-2018
2,145,663 2,829,379 6.8750 Verizon Global 15-06-2012
Aig Sunamerica Global
4,489,383 5,919,925 6.9000 Finance 15-03-2032
4,152,822 5,476,119 7.6480 Royal Bank of Scotland 30-09-2031
2,000,455 2,637,900 7.7500 Verizon Global 01-12-2030
National Rural
4,518,503 5,958,324 8.0000 Utilities 01-03-2032
Deutsche Telekom
4,467,660 5,891,280 8.2500 International 15-06-2030
UBS PFD Funding Trust
5,881,030 7,755,020 8.6220 I Tier I 01-10-2010
EUR CAD
29,452,710 45,195,184 5.7500 Canada 01-06-2029
EUR EUR
432 432 0.0000 Germany 04-01-2007
36,807,836 36,807,836 3.1250 Dexia Municipal Agency 15-09-2015
Credit Suisse GP
6,791,832 6,791,832 3.1250 Finance (US) 14-09-2012
KFW International
7,899,475 7,899,475 3.5000 Finance 04-07-2021
10,828,091 10,828,091 3.7500 Belgium 28-09-2015
5,202,306 5,202,306 3.7500 Germany 04-01-2015
17,118,523 17,118,523 3.8750 Bradford & Bingley 04-05-2011
4,657,776 4,657,776 3.8750 Lehman Bros Fund III 22-02-2011
European Investment
12,414,057 12,414,057 4.0000 Bank 15-10-2037
3,639,480 3,639,480 4.0280 Unicredito Italiano 27-10-2015
3,535,200 3,535,200 4.1250 Commerzbank 13-09-2011
4,737,269 4,737,269 4.1250 Parker-Hannifin 11-11-2015
14,262,000 14,262,000 4.1300 Credit Agricole 09-11-2015
MBNA Credit Card
949,335 949,335 4.1500 Master Note 19-04-2010
4,439,355 4,439,355 4.1760 ING Bank 08-06-2015
4,149,726 4,149,726 4.1940 Svenska Handelsbanken 16-12-2015
64,259,349 64,259,349 4.2500 France 25-04-2019
2,121,503 2,121,503 4.2500 United Utilities Water 24-01-2020
14,223,150 14,223,150 4.3100 ABN AMRO Bank 10-03-2016
2,267,760 2,267,760 4.3750 Allianz Finance 17-02-2017
23,314,875 23,314,875 4.3750 JP Morgan Chase Bank 14-11-2016
4,607,360 4,607,360 4.3750 Rodamco Europe Finance 01-10-2014
3,308,910 3,308,910 4.3750 American International 26-04-2016
2,290,823 2,290,823 4.5000 Fortum 20-06-2016
4,809,803 4,809,803 4.6250 Anglian Water 07-10-2013
14,903,550 14,903,550 4.7300 BNP Paribas 12-04-2016
40,814,804 40,814,804 4.7500 Germany 04-07-2034
38,181,936 38,181,936 4.7500 France 25-04-2035
5,042,750 5,042,750 4.7500 Mizuho Finance 15-04-2014
4,644,252 4,644,252 4.7500 Telstra 15-07-2014
14,648,400 14,648,400 4.8500 MUFG Capital Finance 25-07-2016
2,193,774 2,193,774 4.8750 Societe Generale 18-12-2014
14,915,400 14,915,400 4.9390 HBOS Capital Funding 23-05-2016
60,042,599 60,042,599 5.0000 France 25-04-2012
4,603,081 4,603,081 5.0000 JP Morgan (Swiss LIF) 16-11-2015
14,677,500 14,677,500 5.0120 Commerzbank 12-04-2016
3,994,200 3,994,200 5.0200 Mizuho 30-06-2011
14,961,150 14,961,150 5.1250 Eureko 24-06-2015
4,739,715 4,739,715 5.1420 Allied Irish Bank 16-06-2016
14,957,700 14,957,700 5.2190 Anglo Irish Bank 29-09-2016
12,911,713 12,911,713 5.2500 Germany 04-01-2011
15,136,650 15,136,650 5.2520 ELM 25-05-2016
6,027,840 6,027,840 5.3170 Generali Finance 16-06-2016
Deutsche Capital Trust
10,955,100 10,955,100 5.3300 IV Tier I 19-09-2013
1,402,178 1,402,178 5.3687 HSBC 24-03-2014
Volkswagen Finance
6,727,544 6,727,544 5.3750 Services 25-01-2012
13,053,078 13,053,078 5.5000 Belgium 28-03-2028
45,219,660 45,219,660 5.5000 Netherlands 15-07-2010
80,626,864 80,626,864 5.5000 Germany 04-01-2031
Lloyds Bank Upper Tier
4,520,748 4,520,748 5.6250 II 15-07-2009
15,560,100 15,560,100 5.7770 AXA 06-07-2016
5,084,460 5,084,460 6.1250 Allianz Finance II 31-05-2012
16,024,080 16,024,080 6.2500 ING Groep 21-06-2021
1,800,381 1,800,381 6.4670 RBS Bank Tier I 29-06-2012
33 33 6.5000 Greece 11-01-2014
6,608,740 6,608,740 6.5000 Fortis (NL) Tier I 26-09-2011
BNP Paribas Capital
4,725,329 4,725,329 6.6250 Trust Tier I 23-10-2011
2,501,341 2,501,341 6.6250 North West Water 08-11-2007
21,407,990 21,407,990 6.7500 AXA 15-12-2010
Stichting Memphis
2,534,750 2,534,750 6.7760 (FRN) 25-04-2015
Credit Suisse First
4,520,250 4,520,250 6.9050 Bost Tier I 07-11-2011
Union Bank of Norway
4,268,160 4,268,160 7.0680 Tier I 19-11-2012
4,456,569 4,456,569 7.2500 France Telecom 28-01-2013
6,315,680 6,315,680 7.3750 Lloyds Bank TSB Tier I 07-02-2012
Halifax Group Euro
1,137,440 1,137,440 7.6270 Finance Tier I 09-12-2011
8,336,100 8,336,100 8.1260 Sanpaolo Tier I 10-11-2010
Standard Chartered
4,326,192 4,326,192 8.1600 Bank Tier I 23-03-2010
KBC Bank Funding Trust
3,131,124 3,131,124 8.2200 IV Tier I 10-11-2009
Stichting Memphis
1,022,500 1,022,500 11.0260 (FRN) 25-04-2015
2,500,000 2,500,000 13.5604 Smart Sme 27-12-2016
2,000,000 2,000,000 14.9190 Promise (FRN) 20-03-2017
1,000,000 1,000,000 18.6590 Promise (FRN) 12-05-2024
EUR GBP
24,678,324 16,627,021 4.2500 United Kingdom 07-06-2032
European Investment
13,526,774 9,113,664 4.3750 Bank 08-07-2015
13,420,319 9,041,940 4.7500 HSBC Bank 29-09-2015
22,295,955 15,021,900 5.0000 United Kingdom 07-03-2012
6,034,879 4,066,000 5.7500 United Kingdom 07-12-2009
2,245,159 1,512,676 5.9021 Aviva 27-07-2020
19,236,070 12,960,302 6.0000 United Kingdom 07-12-2028
EUR SEK
8,689,965 78,413,900 6.7500 Sweden 05-05-2014
EUR JPY
28,681,482 4,506,543,500 0.8000 Japan 20-06-2009
149,046,294 23,418,720,000 1.0000 Japan 20-06-2013
27,720,030 4,355,476,400 1.0000 Japan 10-06-2016
1,602,956 251,862,500 1.4000 Japan 20-12-2011
89,853,145 14,118,067,558 1.6000 Japan 20-09-2013
2,533,569 398,084,000 2.0000 Japan 20-12-2025
56,450,961 8,869,789,550 2.5000 Japan 20-09-2035
29,221,512 4,591,394,929 2.5000 Japan 20-09-2036
EUR USD Emerging Debts
731,809 965,000 3.0000 Russia 14-05-2008
1,214,879 1,602,000 4.0000 Poland (ANN) 27-10-2024
859,452 1,133,316 4.2500 Korea 01-06-2013
867,505 1,143,936 5.0000 Peru (ANN) 07-03-2017
6,005,195 7,918,750 5.0000 Russia 31-03-2030
536,138 706,979 5.5000 Chile 15-01-2013
1,232,853 1,625,702 6.5000 South Africa 02-06-2014
559,732 738,090 6.7000 Panama 26-01-2036
703,067 927,099 6.8750 Chile 28-04-2009
2,396,313 3,159,898 7.5000 Malaysia 15-07-2011
758,158 999,745 7.5000 Mexico 08-04-2033
493,687 651,000 7.6500 Ukraine 11-06-2013
1,347,970 1,777,500 8.2500 Bulgaria 15-01-2015
282,012 371,875 8.3750 Philippines 12-03-2009
1,628,600 2,147,554 8.3750 Philippines 15-02-2011
1,374,133 1,812,000 8.5000 Venezuela 08-10-2014
1,141,818 1,505,658 8.7500 Malaysia 01-06-2009
499,564 658,750 8.7500 Peru 21-11-2033
600,513 791,866 8.8750 Brazil 15-04-2024
436,298 575,325 8.8750 Panama 30-09-2027
1,077,713 1,421,126 9.1250 Peru 21-02-2012
2,421,985 3,193,750 9.2500 Venezuela 15-09-2027
327,466 431,813 9.3750 Philippines 18-01-2017
418,570 551,948 9.6250 Panama 08-02-2011
542,116 714,862 10.0000 Russia 26-06-2007
2,015,752 2,658,072 10.3750 Mexico 17-02-2009
2,172,677 2,865,000 10.6250 Philippines 16-03-2025
935,047 1,233,000 11.0000 Brazil 11-01-2012
1,005,953 1,326,500 11.0000 Brazil 17-08-2040
1,173,951 1,548,030 11.2500 Brazil 26-07-2007
464,964 613,125 11.5000 Turkey 23-01-2012
1,949,946 2,571,296 11.5000 Mexico 15-05-2026
994,767 1,311,750 11.7500 Colombia 25-02-2020
1,704,719 2,247,928 11.7500 Turkey 15-06-2010
1,754,635 2,313,750 11.8750 Turkey 15-01-2030
1,258,863 1,660,000 12.2500 Brazil 06-03-2030
964,813 1,272,250 12.7500 Russia 24-06-2028
565,351 745,500 14.5000 Brazil 15-10-2009
EUR EUR
302,370 302,370 5.0000 Morocco 08-07-2008
517,800 517,800 7.3750 Mexico 13-03-2008
655,820 655,820 8.5000 Romania 08-05-2012
122,788 122,788 10.0000 Ukraine 15-03-2007
1Robeco (Schweiz) AG, Uraniastrasse 12, CH-8001 Zurich, is the fund's
appointed representative in Switzerland. Copies of the prospectus,
Articles of Association, annual and semiannual reports and a list of
all purchases and sales in the fund's securities portfolio during the
reporting period are available from the above address free of charge.
UBS AG, Bahnhofstrasse 45, CH-8098 Zurich, is the fund's paying agent
in Switzerland.
[1] The term 'modified duration' is a measure of the interest-rate
sensitivity and interest-rate risk of a portfolio, and represents the
approximate percentage change in the value of the portfolio as a
result of a one percent increase or decrease in interest rates.
Copyright � Hugin ASA 2007. All rights reserved.
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