Rorento N.V. Annual Report 2007
Contents
General information 3
Report of the supervisory board 5
Report of the management board 6
Financial statements 12
Balance sheet 12
Profit and loss account 13
Cash-flow summary 13
Notes 14
Other data 24
Spread of net assets 26
Bond portfolio 27
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 (from 2 February 2007)
Niek F. Molenaar
[1] Robeco (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.
General meeting of shareholders and informative meeting
The General Meeting of Shareholders will be held at Willemstad,
Cura�ao (Netherlands Antilles) on 7 May 2008 at 10:30 hours. The
informative meeting will be held on 23 April 2008 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 30
April 2008.
Holders of K shares should lodge their share certificates not later
than 30 April 2008 with one of the banks mentioned in the convening
notice of 4 April 2008.Holders of an account with Robeco Direct N.V.
in Rotterdam or Banque Robeco S.A. in Paris wishing to attend the
meeting should inform the management board of Robeco Institutional
Asset Management B.V. in writing not later than 3 May 2008.
Holders of bearer certificates wishing to attend the informative
meeting in Rotterdam should lodge their certificates not later than
16 April 2008 with one of the banks mentioned in the convening notice
of 4 April 2008. Holders of an account with Robeco Direct N.V. in
Rotterdam or Banque Robeco S.A. in Paris wishing to attend the
meeting should inform the management board of Robeco Institutional
Asset Management B.V. in writing not later than 16 April 2008.
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
A simplified prospectus with information on Rorento N.V. and its
associated costs and risks is available. This simplified prospectus
and the full prospectus are available at the company's office and via
www.robeco.com.
Supervisory board
Paulus C. van den Hoek, (69) chairman since 2000 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 (1981/1984). Supervisory
director of ASM International, Wavin, Robeco Groep N.V. (chairman
since 2000), Rolinco (chairman since 2000) and Rorento (chairman
since 2000).
Gilles Izeboud (65)
Dutch nationality. Appointed in 2004 and last reappointed in 2007.
Former partner and board member at PricewaterhouseCoopers. Deputy
justice of the Enterprise Section of the Amsterdam Court of Appeal.
Supervisory director of Corporate Express, Robeco Groep N.V., Robeco
and Rolinco.
Philip Lambert (61)
Dutch nationality. Appointed in 2005. Former head of Unilever
Corporate Pensions N.V. and PLC in London. Supervisory director of
Robeco Groep N.V., Robeco and Rolinco.
Dirk P.M. Verbeek (57)
Dutch nationality. Appointed in 2001 and last reappointed in 2006.
Former member of the executive board of Aon Group in Chicago, USA,
and former 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
2007 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 and implementation of 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 personnel
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 9 May 2007,
Gilles Izeboud was reappointed as a supervisory director of the
company with immediate effect. At the General Meeting of Shareholders
to be held on 7 May 2008 Mr. P.C. van den Hoek will resign as
chairman of the supervisory board. Mr. Van den Hoek has been a member
of the supervisory board of Rorento N.V. since 1990 and has acted as
chairman since 2000, during which time he fulfilled his duties
excellently. Mr. Van den Hoek has placed his considerable legal
expertise, management experience and business acumen at the service
of the company during these years. We owe him an immense debt of
gratitude.
Mr. D.P.M. Verbeek will succeed Mr. Van den Hoek as chairman of the
supervisory board.
Philipsburg, 12 March 2008
The supervisory board
Report of the management board
General introduction
Another year of strong global economic growth
The world economy continued its strong growth in the second half of
last year, as was the case in previous years. Growth was mainly
supported by the emerging economies. For the first time China's
contribution to growth was bigger than that of the US. In the course
of the year, the US economy faced increasing headwinds. The euro
zone's economic recovery continued to be strong. The recovery in
Japan also continued but less convincingly.
In the first half of the year, many central banks mainly focused on
keeping inflation in check. In many cases actual inflation was
moderate. Later in the year inflation increased almost worldwide as a
result of sharply increased oil and food prices.
Interest-rate convergence between the US and the euro zone
The US central bank (Fed) and the European Central Bank (ECB) pursued
different interest-rate policies. Interest rates dropped in the US
and rose in the euro zone. At the end of the year the policy rate in
the euro zone was only 25 basis points lower than that in the US. The
interest-rate differential of almost 100 basis points between the US
and the euro area, which was advantageous to the US, disappeared and
even reversed slightly. All in all, it was a less positive year for
investments in European government bonds, while US Treasuries did
relatively well in dollar terms, although in euro terms this was not
the case as the US dollar depreciated some 10% against the euro.
Japanese bond yields remained low. Investing in Japanese government
bonds was not attractive.
Disappointing returns for corporate bonds
Corporate bonds returned less than Treasuries in 2007, despite the
relatively benign macroeconomic environment. Spreads on financials
widened in the second half of the year especially, as the banking
sector suffered from its losses on mortgage-related exposures.
Central banks injected large volumes of liquidity into the market in
an attempt to mitigate the rising cost of funding, but this could not
prevent financial institutions ending the year on a weak tone. The
desire to have sufficient liquidity available at yearend resulted in
a tight situation on the money market in the last weeks of 2007.
The United States
The correction in the US housing market intensified last year, but
did not cause a considerable slowdown of the economy as a whole.
Although unemployment increased somewhat, household consumption held
up rather well for the majority of the year. Healthy growth in the
rest of the world, in combination with a depreciating dollar, led to
strong export growth. However, the combinationof an ongoing
correction in the housing market, rising food and energy prices and
the uncertainty in the credit markets weakened the outlook for
economic growth in the second half of 2007. After an initial
decrease, core inflation started to increase towards the end of last
year. Since last September, the Fed has reduced interest rates from
5.25% to 4.25% in response to the problems in the credit markets and
their potential impact on economic growth. Bond yields dropped around
70 basis points on balance to 4.0%.
Japan
The Japanese economic recovery continued, although it was not very
spectacular. Growth remained static at around 1.5% the deflation
trend continued. By the end of 2007 inflation was barely positive.
The Japanese central bank only dared to increase rates on one
occasion; by 25 basis points to 0.5%. Long-term rates were slightly
above 1.5% at year end, trading in the same range in which they had
traded for most of the year.
The euro area
The euro area saw growth of 2.5% to 3% in 2007, which was once again
stronger than the trend. Unemployment dropped to the lowest level on
record. Inflation amounted to less than 2% until the autumn, but then
rose strongly to more than 3% at the end of the year. By the time the
problems started to emerge in the credit markets, the ECB had raised
rates in two steps from 3.5% to 4%. After that, the bank adopted a
wait-and-see stance and left rates unchanged due to the increased
uncertainty. Bond yields rose less than money-market rates, climbing
from 3.9% to 4.3% in 2007.
Outlook
The US economy may go into recession, but a period of slow growth is
more likely. In the course of this year the economic outlook for 2009
may start to gradually improve. A continuation of the accommodative
monetary policy, which has been confirmed by the Fed's two
unexpectedly drastic rate cuts totaling 1.25% in total in January
2008, and fiscal measures will start to give support to the US
economy in the course of this year. In the euro area and Japan a
limited decrease in economic growth is likely. The ECB may reduce
interest rates somewhat in the second half of this year and the Bank
of Japan will increase its policy rate modestly in one or two steps.
The emerging economies are projected to continue to grow vigorously.
Worldwide inflation will probably come down gradually. Under these
circumstances, the long-term interest rates may not change very much.
This year may be better for investors in government bonds than the
previous year. The main risk attached to this outlook is the
combination of slower growth and higher inflation rates than
foreseen. This could be bad for investments in government bonds. The
prospects for corporate bonds are mixed. Companies with weaker
balance sheets (high-yield companies) could suffer most, while on the
other hand bonds issued by strong commercial or financial companies
already offer attractive premiums in return for the relatively small
risk of default.
Investment result
Overview 2003 - 2007
in % Average
over last
2007 2006 2005 2004 2003 5 years
Based on:
- - market price 2,3 -0,6 7,5 2,7 1,3 2,6
- - net asset value 2,1 -0,9 7,5 2,8 1,3 2,5
Benchmark1 3,8 -0,3 6,8 3,7 -0,5 2,7
Total net assets2 2,6 3,0 3,1 3,1 3,7
[1] The Lehman Multiverse Index, 100% hedged into euros (until 1 July
2006 the Lehman Multiverse Index, 50% hedged into euros).
Currencies have been converted at rates supplied by World Market
Reuters.
[2] EUR x billion.
During 2007, the share price of Rorento rose from EUR 42.60 to EUR
43.59, an investment result of 2.3%. Based on net asset value, which
rose from EUR 42.70 to EUR 43.58, the investment result was 2.1%. The
fund's benchmark, the Lehman Multiverse Index, 100% hedged into
euros, rose 3.8% over the same period.
Performance analysis
During the period under review, the fund manager's active investment
policy led to a slight underperformance relative to the benchmark
(-0.9%), in terms of net asset value (before deduction of costs).
Asset-allocation decisions (-1.1%), the duration policy (-0.5%) and
the credit policy (-0.2%) led to a negative contribution to the
relative performance. This was offset by a successful currency policy
(0.4%) and country policy (0.7%). The remaining strategies made a
slightly negative contribution to performance (-0.2%).
Investment policy
Changes in Rorento's modified duration [1]
J F M A M J J A S O N D
6.0 3.1 3.9 2.6 3.1 4.1 4.1 7.5 7.4 5.1 7.0 6.3
[1] The term 'modifi ed 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.
Duration, country and yield-curve policy
2007 was a year of two distinct halves for interestrate markets. The
first half was characterized by rising interest rates, while in the
last two quarters rates actually declined. This pattern was evident
in all three large interest-rate markets.
The interest-rate increase that occurred in the first half of the
year was concentrated in the second quarter. The fund manager
responded to this by substantially reducing interest-rate sensitivity
in early April. This decision was taken on the basis of the signals
from Robeco's duration model and a qualitative analysis. The fund's
interestrate sensitivity to euro bonds in particular was reduced.
Convincing economic growth in the region and sustained high
money-supply growth persuaded the European central bank to increase
its official short-term interest rate further to 4%. The ten-year
yield also went up from 3.95% at the end of 2006 to 4.57% by late
June. The portfolio was also underweight in the US in the second
quarter. In this case the decision was primarily a quantitative one
and, for a very brief period of time, also a qualitative one. The
outlook for the US economy already started to deteriorate in the
second quarter, shifting the qualitative view to neutral.
The turning point in interest-rate movements came in July. This was
the time when the problems surrounding the financing of US mortgages
became increasingly serious. This theme and the ensuing credit-market
crisis were decisive factors in the decline in interest rates in the
months that followed. Between the high on 12 June (5.29%) and the low
(3.84%) on 26 November the US Treasury 10-year yield fell by no less
than 1.45 percentage points. In Japan and the EMU, interest-rate
movements were much more moderate.
When interest rates started to decline the portfolio's duration was
below benchmark level, in anticipation of interest-rate increases. In
other words, the portfolio had an underweight position. This
positioning was the result of signals from the duration model.
Although the model shifted rather quickly to an overweight position
for Japan and the EMU, most of the decline in interest rates had
already occurred. The quantitative underweight position was based on
high stock and commodity prices. The turnaround was the result of a
positive trend, falling stock prices and a positive seasonal
variable. Equity markets oscillated between optimism and pessimism in
the third and fourth quarter. Consequently, the signal from the model
for the euro zone first shifted back to underweight again before
reverting to overweight. Regrettably, the timing of these shifts was
unfortunate, and meant that the model missed part of the
trend-related interest-rate decline.
Our qualitative positioning also changed direction in the summer. In
June it shifted from overweight to neutral and in August it moved
back to overweight. As a result, part of the model's underweight
position was neutralized. This shift in strategy was a result of the
deepening crisis in the financial sector. Economic data initially
remained fairly strong but subsequently macroeconomic figures did
deteriorate slightly, particularly in the US. In the euro zone,
however, figures did not deteriorate dramatically, as a result of
which interest rates here did not fall as strongly as US dollar
rates.
In Japan, the qualitative positioning was fairly stable over the
year. It was overweight, except in neutral periods in which bond
yields had already reached very low levels. The Japanese yield curve
was steep throughout the reporting period and therefore offered an
attractive yield pick-up over deposit rates. Another consideration in
maintaining this position was our ongoing conviction that the market
was overestimating the growth expectations for Japan.
For the entire reporting period, the manager had a clear preference
for US Treasuries rather than euro-zone bonds. The spread between the
two markets dropped in 2007 from +0.75% to -0.20% for 10-year loans.
In the United States, market sentiment was affected by the troubled
housing market, while the economy in the euro zone did not
deteriorate significantly. This was the background against which US
bonds performed better in relative terms. The difference between the
first and second half of the year was also clearly visible in the
yield curves. From June onwards, the yield curve for US Treasuries,
in particular, steepened. The difference between 2-year and 10-year
yields rose from 0 to approximately 100 basis points in this period.
A considerable decline in the two-year yield was responsible for
this. This was fed by the 100 basis point reduction in the Fed funds
rate (to 4.25%) but it was also due to the demand for safe
short-dated government paper. As of the second quarter the portfolio
was positioned for a steeper yield curve in the US.
Asset allocation
Based on an attractive valuation, a position in subordinated bonds
issued by very solid European banks and in asset-backed securities
was established in the previous reporting year. In contrast, bonds
with very high credit ratings (supranationals, Pfandbriefe) were
sold. Increasing concerns about the situation in the US market for
home mortgages led to surging risk premiums for all non-government
bonds in the second half of the reporting period. Bonds issued by
financial institutions and asset-backed securities came under
particular pressure, regardless of the nature of their collateral.
Although Rorento's investments are not directly related to the US
subprime-mortgage market and are mainly dependent on the European
housing markets, these investments also came under pressure. Despite
the fact that the position was partially reduced, this resulted in a
negative contribution to the relative performance.
In the second quarter, credit derivatives were used to take a
position in a basket of debt securities issued by emerging countries.
The balance-of-payments situation in many of these countries has
improved considerably recently, and the improved credit ratings
justified lower risk premiums. However, as a result of the increased
risk aversion, the risk premiums for these countries rose as well,
and so this position was closed in the summer.
Credit policy
The credit markets were very volatile in the second half of 2007,
with the more risky bank loans, including subordinated loans,
producing much lower returns than comparable government bonds. Bonds
issued by nonfinancial companies, on the other hand, did relatively
well, although on balance this category's performance also lagged
that of 'safe' government bonds. In the first half of the year,
however, the buy-out activities of private-equity parties did give
investors in these loans some unwelcome surprises. As this was
expected to remain an important theme, the preference was to hold
bonds issued by financial institutions in the portfolio.
However, around the summer months the credit crisis caused a clear
change in sentiment. The activities of private-equity parties ceased
due to the reduced availability of liquidity - so that it became more
expensive to attract capital to finance takeovers - which in a sense
was a relief for investors in non-financial bonds. At the same time,
attention shifted to the problems in the financial sector.
Substantial write-downs and a liquidity drought in the interbank
market led to rising risk premiums for banks and brokers. A sharp
increase in the average premium for high-yield bonds also reflected
this risk aversion.
Although the credit policy sometimes successfully anticipated rising
risk premiums using credit derivatives, it contributed negatively to
performance on balance due to the overweight position in financial
companies.
Currency policy
The currency policy revolved around a number of investment themes.
First of all, an overweight position in the euro against the US
dollar was used to take advantage of the convergence of the official
short-term interest rates in the US and the euro zone. Then, for a
large part of the reporting period, the portfolio was overweight in
the Australian dollar, a currency that could benefit from the
sustained high demand for commodities. Another category of positions
can be described as 'carry trades', whereby loans are taken out in
currencies with a low official shortterm interest rate (the Japanese
yen and the Swiss franc) and investments are made in currencies with
a high shortterm interest rate (the New Zealand dollar and the
British pound). The performance of these positions also differed
considerably in the first and second half of the year.
When the financial crisis struck and risk was reduced, the
performance of carry-trade positions deteriorated. After July, the
portfolio manager added almost no additional carry-trade positions to
the portfolio. Finally, the fund also set up small positions in
emerging-market currencies, such as the Brazilian real, the Turkish
lira and the Mexican peso. These are the currencies of countries that
are increasingly falling into line with the industrialized world. In
addition, these currencies have a positive 'carry' as a result of
their high short-term interest rates. It is remarkable how well these
currencies held up in the uncertain market climate of the second half
of 2007. This is a clear signal of the increased economic strength of
emerging economies.
Risk management
Risk management is an integral part of the investment process.
Systems continually monitor the most important risks, including price
risk, credit risk and liquidity risk. In addition an independent
risk-management department, that reports directly to the senior
management, carries out checks.
The crisis that unfolded in financial markets across the world since
the summer of 2007 was triggered by problems in the US sub prime
mortgage market. Price declines in asset backed securities covered by
sub prime mortgage pool created a crisis of confidence which extended
to other markets and instruments. By the end of 2007 markets were
characterized by high volatility, increasing risk aversion and
illiquidity in many market segments, notably in asset backed
securities.
To react to this crisis, Robeco installed a Crisis Committee with
board members of Robeco Fund Management B.V. and other Robeco
(management) companies, investment teams, corporate treasury,
compliance and risk management. This Committee closely monitored the
impact of market developments on all fund's portfolios and, where
necessary, took additional measures to safeguard the fund's
interests, well within the boundaries of internal and external
restrictions applicable to those portfolios. During the crisis,
Robeco Fund Management B.V. remained in close contact with local
regulators and auditors.
As the portfolios managed by Robeco Fund Management B.V. had no
outright exposure to the sub prime market the direct impact of the
crisis on portfolios managed by Robeco Fund Management B.V. has been
restricted. Careful portfolio composition and oversight ensured that
no forced sales occurred as a consequence of cash flows and market
developments. Indirect effects of the crisis on the portfolios
include the impact of illiquidity and high volatility in almost all
market segments.
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 supervisory legislation (including the
Dutch Investment Institutions Supervision Act [Wet toezicht
beleggingsinstellingen]).
System of operational management
General
The administrative organization and internal control (hereinafter
referred to as 'operational management') of Rorento N.V. is discussed
below. The system of operational management is attuned to the size of
the organization and meets the requirements of article 121 of the
Dutch Market Conduct Supervision of Financial Enterprises Decree
[Besluit gedragstoezicht financi�le ondernemingen, or 'Bgfo'). The
system of operational management can never offer absolute guarantees,
rather it is 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 operational management is
the responsibility of the management company.
Activities
Within the scope of the application for a license under the 2005
Dutch Investment Institutions Supervision Act (Wet toezicht
beleggingsinstellingen 2005, or 'Wtb'), the structural aspects of
operational management applied were assessed and adjusted in
accordance with legislation. The relevant risks were identified and
corresponding internal-control measures formulated.
The effectiveness and good functioning of operational management 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.
During the reporting period, 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 various investment institutions, including Rorento N.V.
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 operational management
Over the reporting period, we assessed the various aspects of the
system of operational management. In our assessment we noted nothing
that would lead us to conclude that the description of the structural
aspects of operational management within the meaning of article 121
of the Bgfo failed to meet the requirements as specified in the Bgfo
and related regulations. Neither did we conclude that the
internal-control measures were ineffective or failed to function
according to the description provided.
Philipsburg, 12 March 2008
The management board
Financial statements
Balance sheet
Before profit appropriation , EUR x
thousand
31/12/2007 31/12/2006
Investments
Financial investments
Bonds and other fixed-income securities 1 2,032,359 2,197,935
Investments in Robeco Group mutual funds 2 524,458 605,724
Derivatives 3, 15 35,484 19,885
Other financial investments 4 32,123 83,260
Total investments 2,624,424 2,906,804
Accounts receivable
Interest receivable 5 28,192 35,083
Receivables on securities transactions 36,070 12,622
Receivables on affiliated companies 6 424 678
Receivables on collateral provided 7 9,490 -
Sundry debtors 8 1,380 3,222
75,556 51,605
Other assets
Cash 9 3,559 75,607
Accounts payable
Obligations arising from derivative 3, 15 14,384 24,681
instruments
Payable on securities transactions 53 68
Payable to credit institutions 17,963 19,979
Payable to affiliated companies 10 1,513 1,768
Payable on collateral received 11 16,632 -
Sundry creditors 12 7,664 6,918
58,209 53,414
Accounts receivable and other assets 20,906 73,798
less accounts payable
Shareholders' equity 13 2,645,330 2,980,602
Composition of shareholders' equity
Issued capital 13, 14 182,085 209,400
Other reserves 13 2,406,936 2,799,445
Net result 13 56,309 -28,243
2,645,330 2,980,602
The numbers of the items in the financial statements refer to the
numbers in the Notes.
Profit and loss account
EUR x thousand
2007 2006
Investment income 93,402 117,172
Changes in value 1, 2, 3, 4 -15,330 -122,243
78,072 -5,071
Costs
Management costs 18 19,302 20,648
Service fee 18 1,854 1,980
Other costs 19 607 544
21,763 23,172
Net result 56,309 -28,243
Cash-flow summary
Indirect method, EUR x thousand
2007 2006
Cash flow from investment activities
Net result 56,309 -28,243
Realized and unrealized results 15,330 122,243
Purchase of investments -2,699,583 -2,846,887
Sale of investments 2,940,325 2,954,897
Increase (-)/decrease (+) accounts receivable -23,778 5,811
Increase (+)/decrease (-) accounts payable 17,142 -226,014
305,745 -18,193
Cash flow from financing activities
Received for shares subscribed 167,004 361,756
Paid for repurchase of own shares -558,554 -423,552
Supervisory directors' fee
Increase (-)/decrease (+) accounts receivable -173 623
Increase (+)/decrease (-) accounts payable -34 34
-391,788 -61,170
Net cash flow -86,043 -79,363
Currency and cash revaluation 16,011 2,846
Increase (+)/decrease (-) cash -70,032 -76,517
Cash at opening date 9 75,607 132,234
Accounts payable to credit institutions at -19,979 -89
opening date
Total cash at opening date 55,628 132,145
Cash at closing date 9 3,559 75,607
Accounts payable to credit institutions at -17,963 -19,979
closing date
Total cash at closing date -14,404 55,628
The numbers of the items in the financial statements refer to the
numbers in the Notes.
Notes
General
Rorento (hereafter also referred to as 'the fund') is an investment
institution registered in the Netherlands Antilles and as such is not
subject to Dutch corporateincome tax. Only a minor sum in Netherlands
Antilles profits tax is levied on the basis of a ruling with the
Antillean tax authority. 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 Financial Supervision Act [Wet op
het financieel toezicht, or 'Wft']. The Wft became effective on 1
January 2007 and has replaced the existing supervision laws.
Netherlands Antilles profits tax
The fiscal position of the company in the Netherlands Antilles is
regulated pursuant to a fiscal ruling which is valid up to and
including 31 December 2009. On the basis of this ruling, the
company's entire taxable profits will be taxed according to a
profist-tax rate of 2.4% to 3.0% on the understanding that the
profits tax payable wil be at least USD 1,000 and at most USD 10,000
per annum.
Inclusion in AFM register
The fund is included in the AFM register.
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. On
26 February 2007, the new trading system for open-end investment
institutions on Euronext Amsterdam was introduced. 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 fund related to the entry
and exit of investors. The maximum current surcharge is 0.15% and the
maximum discount is 0.05%.
Until 26 February 2007 a spread between the bid and offer price was
applied to cover costs related to issuance and repurchase of own
shares. The issue price was not more than 0.5% higher than the net
asset value and the repurchase price was not more than 0.5% lower
than the net asset value. The abovementioned margin between the net
asset value and the issue and repurchase prices, and the associated
costs, were for the account and risk of Robeco Investment Consulting
B.V., as a result of which Rorento N.V. issued and repurchased its
shares at net asset value. Robeco Investment Consulting B.V.
distributed any positive spread results to the funds, in proportion
to each fund's positive contribution to the spread result. A buffer
was maintained to cover any future losses. The remaining spread
result has since been distributed.
Non-certificated participation in the Netherlands
Shares may be held in non-certificated form in Robeco Direct N.V.
accounts or via 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 N.V. and a maximum of 0.5% via Rabobank, depending
on the channel selected. These sums will accrue to Robeco Direct N.V.
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. 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. The fair value of stocks
and participating units in Robeco Group mutual funds is determined on
the basis of market prices 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 mortgagebacked securities (TBAs) this value is
based on the market price and other frequent 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. The transaction date of an investment
determines its inclusion in the Balance sheet.
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. 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. The members of the supervisory board of Rorento
N.V. are also members of the supervisory boards of Robeco Groep N.V.,
Robeco N.V. and Rolinco N.V. Besides services of other market
parties, the fund also uses the services of one or more of these
affiliated entities including transactions relating to securities,
treasury, derivatives, custody, securities lending, and sale and
purchase of its own shares, fund-administration services, as well as
management activities. Transactions are executed at market rates.
Structure of Robeco Groep N.V.
The schematic diagram below shows the position of the entities
referred to in this report and their mutual
relationship within the Robeco Groep N.V. Only the relationships that
are relevant to the fund are shown.
Determination of the result
General
Investment results are determined by investment 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 fixedincome
securities, deposits, other financial investments, cash and income
from loan transactions. Accrued interest at balance-sheet date is
taken into account.
Changes 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.
General investment risk
The value of your investments may fluctuate. Past performance is no
guarantee of future results. The net asset value of the fund is
affected by developments in the financial markets and may both rise
and fall. Shareholders run the risk that their investments may end up
being worth less than the amount invested or even worth nothing.
General investment risk can be broken down into market risk,
concentration risk and currency risk:
Market risk
The net asset value of the fund is sensitive to market movements. In
addition, investors should be aware of the possibility that the value
of investments may vary as a result of changes in political, economic
or market circumstances.
Concentration risk
Based on its investment policy, the fund may invest in financial
instruments from issuing institutions that (mainly) operate within
the same sector or region, or in the same market. If this is the
case, the concentration of the investment portfolio of the fund may
cause events that have an effect on these issuing institutions to
have a greater effect on the fund assets than would occur with a less
concentrated investment portfolio.
Currency risk
All or part of the securities portfolio of the fund may be invested
in currencies, or financial instruments denominated in currencies
other than the euro. As a result, fluctuations in exchange rates may
have both a negative and a positive effect on the investment result
of the fund. The fund minimizes risks by diversifying over countries,
currencies and issuers. 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. The
fund invests a limited part of its assets in paper qualified as high
yield by rating agencies.
Counterparty risk
A counterparty of the fund may fail to fulfill its obligations
towards the fund. This risk is limited as much as possible by taking
every possible care in the selection of counter parties. Wherever it
is customary in the market, the fund will demand and obtain
collateral.
Risk of lending financial instruments
In the case of financial-instrument lending transactions, the fund
runs the risk that the borrower cannot comply with its obligation to
return the financial instruments on the agreed date or furnish the
requested collateral. The lending policy of the fund is designed to
control these risks as much as possible. As of balance-sheet date
collateral ensuing from securitieslending transactions was received.
More information can be found in the Notes to the balance sheet.
Liquidity risk
The actual buying and selling prices of financial instruments in
which the fund invests partly depend upon the liquidity of the
financial instruments in question. It is possible that a position
taken on behalf of the fund cannot be quickly liquidated at a
reasonable price due to a lack of liquidity in the market in terms of
supply and demand. 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.
Derivatives
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. 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. If the
collateral is received or provided in cash it will 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 fund.
Notes to the balance sheet
[1] Bonds and other fixed-income securities
Movements in bonds and other fixed-income securities
EUR x thousand 2007 2006
Book value (market value) at opening date 2,197,935 2,833,171
Purchases 2,317,322 2,355,649
Sales -2,335,875 -2,774,019
Realized and unrealized results:
- - exchange -47,746 -68,801
- - currencies -99,277 -148,065
Book value (market value) at closing date 2,032,359 2,197,935
A breakdown of the portfolio and an overview of the spread of net
assets can be found at the end of this report. At balance-sheet date,
bonds to the amount of EUR 681 million (previous year EUR 572
million) had been lent. To cover the risk of non-restitution,
adequate collateral with a value of EUR 730 million (previous year
EUR 611 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 2007 2006
Book value (market value) at opening date 605,724 214,515
Purchases 362,866 435,118
Sales -448,156 -58,592
Realized and unrealized results:
- - exchange -1,788 12,532
- - currencies 5,812 2,151
Book value (market value) at closing date 524,458 605,724
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.
Investments in Robeco Group mutual funds
Interest in
Market value (sub)fund Net asset value Return Total
[9],[10] [1] expense
EUR x in % EUR x 1 in % ratio
thousand [2]
31/12 31/12 31/12 31/12 31/12 31/12
2007 2006 2007 2006 2007 2006 2007 2006 2007 2006
Robeco
Capital
Growth
sub-funds[3]
Robeco 164,306 50,255 40.3 99.7 98.58 100.58 -2.0 0.6 0.56 0.08
Divirente
VaR4 I EUR
shares [5]
Robeco
Investment
Grade ABS
I EUR-shares 106,770 300,153 99.9 99.9 99.87 100.44 -0.6 0.4 0.32 0.03
[6]
Robeco High 58,610 - 99.8 - 9,653.30 - -3.5 - 0.01 -
Income ABS Z
EUR shares
[7]
Robeco High 37,399 - 5.3 - 96.14 - -3.9 - 0.02 -
Yield Bonds
Z EUR
shares[8]
Robeco 32,006 - 91.7 - 94.75 - -5.3 - 0.02 -
European
Currencies
High Yield
Bonds Z EUR
shares [8]
Robeco High 48 - 0.1 - 9,589.59 - -4.1 - 0.67 -
Income ABS E
EUR shares
[7]
Robeco High 48 - 0.1 - 9,621.24 - -3.8 - 0.34 -
Income ABS I
EUR shares
[7]
Robeco High - 101,028 - 16.8 - 107.57 - 6.4 - 0.56
Yield Bonds
I EUR shares
Robeco
European
currencies
High Yield - 32,460 - 90.8 - 102.15 - 6.0 - 0.57
Bonds I EUR
shares
Other funds
Robeco Short 82,727 80,146 6.2 33.1 3,922.56 3,800.20 3.2 3.0 0.06 0.13
Term [4]
Robeco 42,544 41,682 45.6 24.5 3,161.96 3,097.85 2.1 2.6 0.30 0.29
Monetaire
Quantiplus
[4]
524,458 605,724
[1] Per share/participating unit. [6] The comparative . gures
relating to the return and
total expense ratio cover the
period from 20 November 2006
through 31 December 2006.
[2] The management fee and the service [7] The comparative . gures
fee will be restituted to Rorento N.V. relating to the return and
by the manager of the funds mentioned. total expense ratio cover the
period from 20 July 2007
though 31 december 2007.
[3] This Luxembourg-based fund with a [8] The comparative . gures
UCITS III status is regulated by the relating to the return and
Luxembourg authorities. Robeco total expense ratio cover the
Luxembourg S.A. is the manager of the period from 4 June 2007
fund. The annual report for the period though 31 december 2007.
ending on 31 December 2007 will be
available at Rorento N.V.'s o. ces on
request after publication.
[4] This fund has a UCITS III status [9] Rorento N.V. holds a
and is regulated by the French capital stake only in the
authorities. The annual report as of 30 Robeco Group funds mentioned.
September 2007 of this fund is Rorento N.V. has no say in or
available at Rorento N.V.'s o. ces on in. uence on the business
request. policy, as a result of which
there is no question of
consolidation.
[5] The comparative . gures relating to [10] Last year, where
the return and total expense ratio applicable, the positon was
cover the period from 3 November 2006 mentioned under the relevant
through 31 December 2006. share category. Comparative .
gures have been adjusted
according to postition in the
fund or subfund.
[3] Derivatives
Movements in derivatives
EUR x thousand TBAs Forward Futures Interest-rate Credit-default Total
exchange
transactions swaps swaps
2007 2006 2007 2006 2007 2006 2007 2006 2007 2006 2007 2006
Book value
(market value) at
opening date -3,513 3,934 144 4,702 -384 5,652 861 -1,636 -1,904 -100 -4,796 12,552
Sales/expirations -2,301 -6,518 -74,914 -63,602 -32,719 -14,225 11,325 -16,441 8,070 2,786 -90,539 -98,000
Realized and 4,316 -929 88,985 59,044 31,557 8,189 -6,289 18,938 -2,134 -4,590 116,435 80,652
unrealized
results
Book value
(market value) at
closing date -1,498 -3,513 14,215 144 -1,546 -384 5,897 861 4,032 -1,904 21,100 -4,796
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
2007 2006 2007 2006
Type of derivative
TBAs - - 1,498 3,513
Forward exchange transactions 16,239 8,213 2,024 8,069
Futures - - 1,546 384
Interest-rate swaps 14,205 9,457 8,308 8,596
Credit-default swaps 5,040 2,215 1,008 4,119
Total 35,484 19,885 14,384 24,681
[4] Other financial investments
This refers to certificates of deposit, commercial paper and call
money.
Movements in other financial investments
EUR x thousand 2007 2006
Book value (market value) at opening date 83,260 33,487
Balance advances and redemptions -46,360 53,334
Realized and unrealized results -4,777 -3,561
Book value (market value) at closing date 32,123 83,260
[5] Interest receivable
This refers to accrued interest on the bond portfolio and
other financial instruments.
[6] Receivables on affiliated companies
This is income from securities-lending transactions, recoverable
transaction costs, management fee and service fee.
[7] Receivables on collateral provided
This refers to collateral provided to third parties to cover
positions in derivatives.
[8] Sundry debtors
This includes suspense items and debts arising from issuance and
repurchase of own shares.
[9] Cash
Includes balances in current accounts at banks.
[10] Payable to affiliated companies
These are management and service fees to be paid.
[11] Payable on collateral received
This refers to collateral received from third parties to cover
positions in derivatives.
[12] Sundry creditors
Includes unpaid tax, debts arising from derivatives, interest to be
paid arising from collateral held to cover positions in derivatives
and suspense items.
[13] Shareholders' equity
Composition of and movements in shareholders' equity
EUR x thousand 2007 2006
Issued capital
Situation at opening date 209,400 213,755
Received on shares issued 11,607 25,643
Paid for shares repurchased -38,922 -29,998
Situation at closing date 182,085 209,400
Other reserves
Situation at opening date 2,799,445 2,633,869
Received on shares issued 155,397 336,113
Paid for shares repurchased -519,632 -393,554
Net result from previous financial year -28,243 223,048
Supervisory directors' fee
Situation at closing date 2,406,936 2,799,445
Net result 56,309 -28,243
Shareholders' equity 2,645,330 2,980,602
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.
[14] Assets, shares outstanding and net asset value per share
Assets, shares outstanding and net asset value per share
31/12/2007 31/12/2006 31/12/2005
Assets in EUR x thousand 2,645,330 2,980,602 3,070,672
Shares issued in financial year 3,867,171 8,547,635 4,450,899
Shares repurchased in financial -12,971,914 -9,999,301 -10,936,940
year
Number of shares outstanding 60,695,104 69,799,847 71,251,513
Net asset value per share in 43.58 42.70 43.10
EUR x 1
[15] Commitments not shown in the balance sheet
Forward exchange transactions
The forward exchange transactions current at closing date represent
purchases of AUD 88 million and CHF 85 million and EUR 1,408 against
sales of CAD 44 million, GBP 136 million, JPY 72,953 million, SEK 77
million and USD 1,212 million.
Futures
Futures contracts purchased at closing date represent an additional
exposure of CAD 4 million, EUR 334 million, GBP 100 million, JPY
42,137 and USD 155 million.
Interest-rate swaps
Interest-rate swap contracts open at closing date represent an
underlying value of CAD 220 million, EUR 634 million, GBP 110
million, JPY 2,300 million, SEK 1,145 million and USD 1,677 million.
Credit-default swaps
Credit-default swap contracts current at closing date represent a
value of EUR 12 million in purchased credit risk, while sold credit
risk represents a value of EUR 93 million and USD 275 million.
TBAs
Forward purchases of mortgage-backed TBA securities current at
balance-sheet date represent a sum of USD 501 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, creditdefault 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
[16] Performance
Performance per share*
EUR X 1 2007 2006 2005 2004 2003
Investment income 1.46 1.68 1.72 1.56 1.69
Change in value -0.24 -1.75 1.64 -0.15 -0.87
Management costs. service fee and other -0.34 -0.33 -0.33 -0.26 -0.24
costs
Net result 0.88 -0.40 3.03 1.15 0.58
* Based on the average number of shares outstanding during the
reporting year.
The average number of shares outstanding is calculated on a daily
basis.
Costs
[17] Total expense ratio
Total expense ratio
In % 2007 Prospectus 2006
Cost item
Management costs 0.70 0.70 0.70
Service fee 0.07 0.08 0.07
Other costs 0.02 0.02 0.01
Total 0.79 0.78
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
0.79% 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.
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 463 thousand (last year EUR 426 thousand). The
total expense ratio takes into account the costs of intra-group
investments, as presented in the table on page 18. Because the
management costs and service fees are refunded to Rorento, there are
only other costs. These other costs are not material and amount to
less than 0.01%. Therefore no percentage is included in the table.
Costs relating to issue and repurchase of company shares are not
included in the total expense ratio.
[18] 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%; 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.
[19] Other costs
This includes custody costs, bank costs and costs related to issue
and repurchase of company shares.
[20] Performance fee
Rorento N.V. is not subject to a performance fee.
[21] 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. The
transaction volume of the quantifiable transaction costs is 0.6%
(previous year 0.4%). Bonds account for 82% (previous year 76%) of
the transaction volume, whose transaction costs are not quantifiable.
Transaction costs
EUR x thousand 2007 2006
Transaction type
Futures 543 580
Robeco Group mutual funds - 7
[22] Hard commissions and soft-dollar arrangements
There were no hard commissions or soft-dollar arrangements during the
reporting period.
[23] 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 2007 was 178% (previous year 170%).
[24] 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 % 2007 2006
Transaction type
Robeco Group mutual funds 100.0 100.0
Bonds 0.1 11.8
Forward exchange transactions 4.1 4.1
Call money 100.0 99.2
Credit-default swaps - 5.7
[25] Securities lending
Robeco Securities Lending B.V. is the intermediary for all Rorento
N.V.'s securities-lending transactions. Until 1 April 2007, Robeco
Securities Lending B.V. received a fee of 40% of the gross income
resulting from these securities-lending transactions as compensation
for its services. An external agency periodically assesses whether
the agreements between the fund and Robeco Securities Lending B.V.
are still in line with the market. On the basis of the outcome of the
assessment that was carried out, as of 1 April 2007, the percentage
was lowered to 20% of the gross income. The proceeds for the fund
over the reporting period were EUR 554 thousand (last year EUR 563
thousand) and for Robeco Securities Lending B.V. EUR 172 thousand
(last year EUR 376 thousand).
[26] Personnel costs
Rorento N.V. does not employ personnel, except for board members.
Robeco Nederland B.V. is the employer of Robeco N.V.'s management
board and personnel in the Netherlands. Their remuneration is paid
out of the management fees received.
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. The system
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 Groep N.V.'s future
through virtual shares (E-notes). The individual allocation of
E-notes is linked to individual performance and the contribution to
the realization of the strategic targets of the Robeco Group 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, 12 March 2008
The supervisory board
Paulus C. van den Hoek, chairman
Gilles Izeboud
Philip Lambert
Dirk P.M. Verbeek
The management board
Edith J. Siermann, chairman
Frank L.E.G. Boll
Ferdie L.I. van de Walle
Other data
Stock-exchange listings
The ordinary shares of Rorento N.V. are listed on Euronext Amsterdam,
Euronext Fund Service segment. 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' interests
The table below shows the total personal interests in the investments
of the investment company held by the supervisory and managing
directors of the investment institution on 1 January 2007 and 31
December 2007. On 1 January 2007 and 31 December 2007, 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
2007 and 31 December 2007. On 1 January 2007 and 31 December 2007, 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 advisor for Rorento N.V. Aon Risk Services
International, of which Dirk P.M. Verbeek is an adviser, acted as an
intermediary for various insurance policies concluded at Rabobank
Group level, including a Bankers, General Liability and D&O liability
policy. Furthermore Aon Risk Services International insures several
of Robeco's art objects. Apart from the above, there were no other
business relations between supervisory directors and/or members of
the management board and the company than that of member of the
supervisory board during the period under review.
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 Financial Supervision Act [Wet op het financieel toezicht, or
'Wft']/the Dutch Market Conduct Supervision of Financial Businesses
under the Wft decree [Besluit Gedragstoezicht financi�le
ondernemingen Wft, or 'Bgtfo']. 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 2007 and 31 December 2007 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, 12 March 2008
Interests in investments of Rorento N.V.
Description Supervisory Managing Total
directors directors
Value in EUR Value in EUR Value in EUR
At 1 January 2007
5,5% Belgische bonds - 1,836,787 1,836,787
overheid 28-3-2028
At 31 December
2007
5,5% Belgische bonds - 1,836,787 1,836,787
overheid 28-3-2028
5,125% Procter & bonds 50,0001 _ 50,000
Gamble 24-10-2017
[1] Nominal
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 2007 of Rorento N.V.,
Philipsburg, which comprise the balance sheet as at 31 December 2007,
the profit and loss account for the year then ended and the notes.
Management's responsibility
The company's management/the Manager 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 Dutch Financial Supervision Act. [Wet op het financieel toezicht,
or 'Wft']. 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 board'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 2007, and of
its result for the year then ended in accordance with Part 9 of Book
2 of the Netherlands Civil Code and Wft.
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.
Philipsburg, 12 March 2008
for Ernst & Young Accountants
signed by Fatima de Windt-Ferreira CPA
Spread of net assets
Across countries and currencies
Across countries Across
currencies
31/12/2007 31/12/2007 31/12/2006 31/12/2007
31/12/2006
EUR x thousand in % in % in % in %
Long-term investments
North America (30.8%)
US dollar 783,384 29.6 28.3 0.95 -4.8
Canadian dollar 31,361 1.2 1.0 -0.05 0.8
Europe (49.1%)
Euro 1,172,415 44.3 48.2 97.70 102.4
British pound 117,756 4.5 3.4 -2.43 -0.1
Swedish krona 7,959 0.3 0.3 -0.03 0.1
Swiss franc - - - 1.85 0.8
Asia (16.8%)
Japanese yen 443,942 16.8 12.9 2.01 0.8
Subtotal 2,556,817 96.7 94.1 100.0 100.0
Short-term 88,513 3.3 5.9 - -
investments (3.3%)
Total 2,645,330 100.0 100.0 100.0 100.0
Exchange rates
31/12/2007 31/12/2006 31/12/2007 31/12/2006
EUR 1 EUR EUR
AUD 1.6652 1.6731 AUD 1 0.6005 0.5977
CAD 1.4430 1.5344 CAD 1 0.6930 0.6517
CHF 1.6553 1.6095 CHF 1 0.6041 0.6213
DKK 7.4565 7.4571 DKK 1 0.1341 0.1341
GBP 0.7345 0.6738 GBP 1 1.3616 1.4842
JPY 163.3329 157.1339 JPY 100 0.6122 0.6364
KRW 1,368.5525 1,226.9939 KRW 100 0.0731 0.0815
SEK 9.4495 9.0253 SEK 1 0.1058 0.1108
USD 1.4621 1.3186 USD 1 0.6840 0.7584
Bond portfolio
at 31 December 2007
Market value Market value % Expiration
date
EUR USD
257 376 0 Solstice (FRN) 02-05-2036
30,165,083 44,102,859 3.5000 United States 15-11-2009
73,281,394 107,141,063 4.2500 US Treasury Note 15-11-2014
29,353,297 42,915,987 4.5000 Freddie Mac 15-01-2015
108,698 158,922 4.8750 US Treasury Note 15-08-2016
4,065,052 5,943,309 4.9338 Credit Agricole (London) 22-06-2011
(FRN)
12,198,235 17,834,430 4.9600 Deutsche Bank (FRN) 21-03-2011
13,480,798 19,709,600 4.9688 Bank of America (FRN) 15-08-2011
12,612,127 18,439,560 4.9838 Wachovia Bank (FRN) 22-03-2011
23,941,960 35,004,342 5.0000 Fannie Mae 15-03-2016
6,447,816 9,427,030 5.0188 Anglo Irish Bank (FRN) 02-11-2011
2,986,396 4,366,260 5.0450 Goldman Sachs Group (FRN) 06-02-2012
1,707,038 2,495,775 5.0563 Bank of America (FRN) 18-09-2009
6,824,325 9,977,505 5.0688 Merrill Lynch (FRN) 15-02-2011
5,114,593 7,477,790 5.0700 HSBC Bank Middle East 14-11-2011
(FRN)
5,485,442 8,019,990 5.0775 Washington Mutual (FRN) 04-02-2011
6,714,887 9,817,500 5.0900 J.P. Morgan Chase (FRN) 22-02-2012
3,234,494 4,728,992 5.0906 Wells Fargo (FRN) 15-09-2009
6,429,329 9,400,000 5.1013 Bear Stearns (FRN) 01-02-2012
680,497 994,920 5.1150 Merrill Lynch (FRN) 06-02-2009
6,819,521 9,970,480 5.1281 DNB Nordbank (FRN) 29-11-2010
1,367,515 1,999,375 5.1375 American Express Credit 15-09-2010
(FRN)
3,336,642 4,878,338 5.1406 Svenska Handelsbanken 15-03-2016
(FRN)
6,727,130 9,835,400 5.1425 Goldman Sachs (FRN) 28-06-2010
3,415,242 4,993,255 5.1506 Intesa Bank Ireland (FRN) 27-07-2010
7,482,302 10,939,500 5.1506 John Hancock Global Fund 27-04-2009
(FRN)
12,482,947 18,250,692 5.1825 Wells Fargo (FRN) 24-01-2012
6,810,506 9,957,300 5.2063 HBOS Treasury Services 08-12-2010
(FRN)
5,030,286 7,354,530 5.2113 Countrywide Financial 19-12-2008
(FRN)
13,670,349 19,986,734 5.2425 Fortis Bank (FRN) 14-07-2008
12,565,328 18,371,138 5.2500 Wells Fargo 23-10-2012
8,551,106 12,502,144 5.2588 ABN-AMRO Bank (FRN) 18-04-2008
4,799,721 7,017,432 5.2600 Rabobank Capital Fund II 31-12-2013
Tier I
2,740,756 4,007,122 5.2606 Merrill Lynch (FRN) 28-10-2009
4,450,365 6,506,656 5.2713 Westdeutsche Landesbank 10-03-2009
(FRN)
3,289,559 4,809,500 5.2738 Kaupthing Bank (FRN) 01-12-2009
10,269,827 15,015,000 5.2800 General Electric (FRN) 21-10-2010
676,714 989,390 5.2838 Bear Stearns (FRN) 30-01-2009
6,755,795 9,877,310 5.2988 Bos Intl Australia (FRN) 16-04-2009
11,549,721 16,886,270 5.3138 Credit Suisse Usa (FRN) 02-03-2011
6,670,360 9,752,400 5.3188 American International 18-10-2011
(FRN)
6,753,668 9,874,200 5.3238 Goldman Sachs (FRN) 02-03-2010
3,565,460 5,212,881 5.3438 DNB Nordbank (FRN) 06-10-2009
3,321,916 4,856,808 5.3463 Nordea Bank (FRN) 09-06-2016
4,139,902 6,052,744 5.3500 Goldman Sachs 15-01-2016
9,840,669 14,387,550 5.3625 HSBC Finance (FRN) 24-04-2012
17,406,491 25,449,160 5.3750 Morgan Stanley 15-10-2015
1,808,030 2,643,430 5.3750 Wells Fargo 07-02-2035
3,242,607 4,740,853 5.3844 J.P. Morgan Chase (FRN) 17-01-2011
6,803,598 9,947,200 5.4063 Merrill Lynch (FRN) 09-09-2009
6,800,109 9,942,100 5.4300 J.P. Morgan Chase (FRN) 02-10-2009
13,239,903 19,357,400 5.4588 Morgan Stanley (FRN) 18-01-2011
Market value Market value % Expiration
date
EUR USD
5,785,103 8,458,110 5.4775 Lehman Brothers (FRN) 12-01-2012
2,050,477 2,997,900 5.4825 Credit Suisse USA (FRN) 15-01-2010
10,286,141 15,038,852 5.4900 Bank of America 15-03-2019
6,765,959 9,892,170 5.4925 ING Bank (FRN) 14-10-2014
6,814,032 9,962,455 5.5906 Barclays Bank (FRN) 11-09-2013
2,237,633 3,271,531 5.6250 BAC Capital Trust VI 08-03-2035
15,788,858 23,084,100 5.6250 Wachovia 15-10-2016
8,994,341 13,150,176 5.6250 General Electric 15-09-2017
12,913,974 18,880,875 5.7500 Goldman Sachs 01-10-2016
3,283,061 4,800,000 5.8106 Stuyvesant CDO III (FRN) 07-05-2014
1,769,666 2,587,340 5.9110 HSBC FIN CAP TRUST IX 30-11-2015
9,073,835 13,266,400 5.9238 Kaupthing Bank (FRN) 15-01-2010
7,255,705 10,608,203 6.0000 Citigroup 31-10-2033
1,132,047 1,655,110 6.0000 General Electric 15-06-2012
11,274,758 16,484,260 6.0000 Unicredito Luxem Fin 31-10-2017
1,976,613 2,889,907 6.0000 HBOS 01-11-2033
3,835,117 5,607,133 6.1100 Merrill Lynch 29-01-2037
4,056,132 5,930,267 6.3000 AIG Sunamerica GBL FIN I 10-05-2011
2,577,396 3,768,281 6.5000 HSBC 02-05-2036
4,217,508 6,166,208 6.5000 Hutchison Whamp 13-02-2013
52,058,180 76,111,662 6.6250 Fannie Mae 15-09-2009
52,058,180 76,111,662 6.6250 Federal Home Loan 15-09-2009
Mortgage
3,051,681 4,461,710 6.6710 Santander 29-10-2049
14,128,138 20,656,045 6.7500 General Electric 15-03-2032
1,317,802 1,926,693 6.8600 Barclays Bank 15-06-2032
4,162,641 6,085,989 6.8750 Merrill Lynch 15-11-2018
1,949,677 2,850,526 6.8750 Verizon Global FDG 15-06-2012
4,136,767 6,048,160 6.9000 Aig Sunamer Glob Fin X 15-03-2032
2,002,358 2,927,548 7.4500 Hutchison Whamp 24-11-2033
3,293,309 4,814,982 7.6480 Royal Bank of Scotland 30-09-2031
1,793,321 2,621,925 7.7500 Verizon Global 01-12-2030
3,793,469 5,546,241 8.0000 National Rural Utilities 01-03-2032
4,084,391 5,971,584 8.2500 Deutsche Telekom 15-06-2030
International
5,134,626 7,507,080 8.6220 UBS PFD Funding Trust I 01-10-2010
Tier I
7,465,035 10,914,255 9.8600 KBC Bank Fund Trust III 02-11-2009
EUR CAD
31,361,353 45,254,432 5.7500 Canada 01-06-2029
EUR EUR
6,622,488 6,622,488 3.1250 Credit Suisse (US) 14-09-2012
21,894,057 21,894,057 3.1250 Dexia Municipal Agency 15-09-2015
7,721,485 7,721,485 3.3750 Abbey National Treasury 08-06-2015
55,570,380 55,570,380 3.5000 Germany 04-01-2016
7,506,490 7,506,490 3.5000 KFW International Finance 04-07-2021
18,494,080 18,494,080 3.5000 France 12-01-2008
20,390,700 20,390,700 3.6250 Northern Rock 28-03-2013
4,745,795 4,745,795 3.7500 Belgium Kingdom 28-09-2015
4,186,488 4,186,488 3.8750 J.P. Morgan Chase 15-03-2013
22,154,145 22,154,145 4.0000 Germany 04-01-2037
11,355,742 11,355,742 4.0000 European Investment Bank 15-10-2037
25,405,286 25,405,286 4.0000 Netherlands 15-01-2037
Market value Market value % Expiration
date
EUR EUR
41,788,795 41,788,795 4.0000 France 25-10-2038
9,469,110 9,469,110 4.1250 Commerzbank 13-09-2011
4,578,560 4,578,560 4.1250 Parker-Hannifin 11-11-2015
929,966 929,966 4.1500 MBNA Credit Card Master 19-04-2010
Note T
1,963,530 1,963,530 4.2500 United Utilit Water 24-01-2020
25,250,250 25,250,250 4.2500 France 25-04-2019
2,087,869 2,087,869 4.3750 Allianz Finance 17-02-2017
4,344,356 4,344,356 4.3750 Rodamco Europe 01-10-2014
11,541,075 11,541,075 4.3750 JP Morgan Chase Bank 14-11-2016
6,021,939 6,021,939 4.3750 HBOS 30-10-2019
3,020,523 3,020,523 4.3750 American International 26-04-2016
21,642,940 21,642,940 4.3750 Depfa ACS Bank 15-01-2015
6,186,708 6,186,708 4.5000 Barclays Bank 04-03-2019
2,139,000 2,139,000 4.5000 Fortum 20-06-2016
21,586,400 21,586,400 4.5000 HBOS Treasury Services 23-10-2013
10,477,677 10,477,677 4.5520 Eurosail (FRN) 17-04-2040
4,657,993 4,657,993 4.6250 Anglian Water 07-10-2013
13,748,175 13,748,175 4.6250 Lehman Brothers 14-03-2014
4,500,686 4,500,686 4.7000 Bank of America (FRN) 15-02-2012
12,824,304 12,824,304 4.7450 Mermaid Secured Finance 30-01-2040
(FRN)
8,812,693 8,812,693 4.7460 Storm (FRN) 22-05-2048
4,956,900 4,956,900 4.7500 Mizuho Finance (Cayman) 15-04-2014
4,408,180 4,408,180 4.7500 Telstra 15-07-2014
2,755,963 2,755,963 4.8030 Candide Financing (FRN) 20-04-2050
15,432,383 15,432,383 4.8030 Storm (FRN) 21-10-2046
12,731,775 12,731,775 4.8500 MUFG Capital Finance 2 25-07-2016
2,145,670 2,145,670 4.8750 Societe Generale 18-12-2014
6,310,551 6,310,551 4.8750 Volkswagen Leasing 18-10-2012
5,189,392 5,189,392 5.0000 Basf Finance Europe 26-09-2014
2,970,864 2,970,864 5.0060 Aire Valley Mortgages 20-09-2066
(FRN)
4,978,620 4,978,620 5.0240 Wachovia Bank (FRN) 19-09-2011
4,338,665 4,338,665 5.0260 Aire Valley Mortgages 20-09-2066
(FRN)
2,061,245 2,061,245 5.0560 Aire Valley Mortgages 20-09-2066
(FRN)
8,610,729 8,610,729 5.1250 Procter & Gamble 24-10-2017
3,945,368 3,945,368 5.1420 Allied Irish Bank 16-06-2016
11,709,000 11,709,000 5.2190 Anglo Irish 29-09-2016
3,933,825 3,933,825 5.2500 Germany 04-01-2011
8,375,224 8,375,224 5.3750 Lehman Brothers 17-10-2012
8,643,945 8,643,945 5.4350 Santander Issuances 24-10-2017
18,415,989 18,415,989 5.5000 Belgium 28-03-2028
4,380,859 4,380,859 5.6250 Lloyds Bank Plc Upper 15-07-2009
Tier II
6,683,250 6,683,250 5.7570 Fortis 04-10-2017
15,210,940 15,210,940 6.2500 ING Groep 21-06-2021
6,183,804 6,183,804 6.2980 Groupama 29-10-2049
1,650,635 1,650,635 6.4670 RBS Tr.Bnk (voorh.Royal) 29-06-2012
Tier I
6,077,326 6,077,326 6.5000 Fortis (NL) Tier I 26-09-2011
32 32 6.5000 Greece 11-01-2014
4,403,290 4,403,290 6.6250 BNP Paribas Capital Trst 23-10-2011
Tier I
20,336,409 20,336,409 6.7500 Axa 15-12-2010
4,173,882 4,173,882 6.9050 Credit Suisse First Bost 07-11-2011
Tier I
4,222,457 4,222,457 7.2500 France Telecom 28-01-2013
5,825,008 5,825,008 7.3750 Lloyds TSB Capital 1 Tier 07-02-2012
I
Market value Market value % Expiration
date
EUR EUR
1,041,100 1,041,100 7.6270 Halifax Group Euro Fin. 09-12-2011
Tier I
7,807,629 7,807,629 8.1260 Sanpaolo IMI Capital 10-11-2010
Tier I
3,000,195 3,000,195 8.2200 KBC Bank Funding Tr IV 10-11-2009
Tier I
EUR GBP
36,051,590 26,478,090 4.2500 United Kingdom 07-06-2032
10,209,066 7,498,048 4.3750 European Investment 08-07-2015
Bank
11,758,081 8,635,723 4.7500 HSBC Bank 29-09-2015
20,879,706 15,335,100 5.0000 United Kingdom 07-03-2012
5,584,750 4,101,720 5.7500 United Kingdom 07-12-2009
2,339,874 1,718,521 5.7500 American International 15-03-2017
1,931,269 1,418,421 5.9021 Aviva 27-07-2020
17,413,183 12,789,112 6.0000 United Kingdom 07-12-2028
8,064,358 5,922,868 6.3750 HSBC 18-10-2022
3,523,921 2,588,144 6.3750 HSBC 18-10-2022
EUR SEK
7,958,782 75,206,510 6.7500 Sweden 05-05-2014
EUR JPY
118,669,773 19,382,678,217 0.5000 Japan 20-06-2013
46,805,924 7,644,947,400 0.5000 Japan 20-12-2008
94,094,320 15,368,698,254 0.8000 Japan 15-02-2009
36,925,237 6,031,106,118 1.0000 Japan 20-06-2013
26,812,484 4,379,360,854 1.0000 Japan 10-06-2016
14,848,304 2,425,216,500 1.1000 Japan 20-03-2033
20,204,135 3,300,000,000 2.0000 Japan 20-12-2025
30,458,360 4,974,852,256 2.3000 Japan 20-06-2026
20,716,172 3,383,632,500 2.3000 Japan 20-06-2027
13,958,950 2,279,955,800 2.4000 Japan 20-03-2037
20,448,534 3,339,918,363 2.5000 Japan 20-09-2036
EUR USD Emerging debts
677,720 990,860 3.0000 Russia 14-05-2008
1,174,357 1,716,969 4.0000 Poland (ANN) 27-10-2024
798,014 1,166,736 4.2500 Korea 01-06-2013
495,614 724,612 5.5000 Chile 15-01-2013
783,644 1,145,727 5.8750 Mexico 15-01-2014
752,424 1,100,081 6.1250 Peru (ANN) 07-03-2017
1,130,318 1,652,581 6.5000 South Africa 02-06-2014
508,464 743,400 6.7000 Panama 26-01-2036
1,819,727 2,660,532 6.7500 Mexico 27-09-2034
635,026 928,440 6.8750 Chile 28-04-2009
2,169,173 3,171,440 7.5000 Malaysia 15-07-2011
695,604 1,017,008 7.5000 Mexico 08-04-2033
5,402,528 7,898,766 7.5000 Russia 31-03-2030
434,472 635,220 7.6500 Oekraine 11-06-2013
1,194,932 1,747,050 8.2500 Bulgaria 15-01-2015
247,769 362,250 8.3750 Philippines 12-03-2009
1,440,392 2,105,925 8.3750 Philippines 15-02-2011
1,061,841 1,552,464 8.5000 Venezuela 08-10-2014
1,014,410 1,483,118 8.7500 Malaysia 01-06-2009
Market value Market value % Expiration
date
EUR USD
454,147 663,985 8.7500 Peru 21-11-2033
553,205 808,813 8.8750 Brazil 15-04-2024
400,034 584,870 8.8750 Panama 30-09-2027
949,056 1,387,567 9.1250 Peru 21-02-2012
1,717,862 2,511,600 9.2500 Venezuela 15-09-2027
296,843 434,000 9.3750 Philippines 18-01-2017
371,713 543,463 9.6250 Panama 08-02-2011
1,750,069 2,558,688 10.3750 Mexico 17-02-2009
1,971,872 2,882,975 10.6250 Philippines 16-03-2025
830,348 1,214,010 11.0000 Brazil 11-01-2012
913,580 1,335,700 11.0000 Brazil 17-08-2040
415,038 606,806 11.5000 Turkey 23-01-2012
919,723 1,344,681 11.7500 Colombia 25-02-2020
1,504,335 2,199,412 11.7500 Turkey 15-06-2010
1,617,358 2,364,658 11.8750 Turkey 15-01-2030
1,186,690 1,735,000 12.2500 Brazil 06-03-2030
872,058 1,274,992 12.7500 Russia 24-06-2028
490,407 717,000 14.5000 Brazil 15-10-2009
EUR EUR
299,804 299,804 5.0000 Morocco 08-07-2008
502,375 502,375 7.3750 Mexico 13-03-2008
623,222 623,222 8.5000 Romania 08-05-2012
2,032,358,774 Total bond portfolio
524,458,226 Total investments in Robeco Group mutual
funds
2,556,817,000 Total long-term investments
Rorento Nv (LSE:RRO)
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Rorento Nv (LSE:RRO)
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