AXA IM Swiss Fund Bonds CHF

Transcription

1 AXA IM Swiss Fund Bonds CHF Audited annual report as at September 30, 2013 This document is an English translation of the German original version. Only the terms of the German original version are binding.

2 Contents AXA IM Swiss Fund Bonds CHF Investment goal, activity, and performance...3 Asset Statement...4 Statement of income...6 Key figures and technical data....7 Derivatives using commitment approach II....7 List of assets...8 Asset structure...13 Changes in the securities portfolio...13 Long -term performance Summary of the annual report by the auditors pursuant to the Collective Investment Act Notes to the annual report...23 Current management fees...24 Administration and governing bodies...25

3 Investment activity The fund invests primarily in CHF-denominated bonds issued by both foreign and domestic borrowers that have an investment-grade rating (at least BBB from S&P or Baa3 from Moody s). The aim of the fund is to achieve a high and steady income whilst taking due account of the security of the capital. The Swiss Bond Index AAA-A Total Return is used as the fund s benchmark. The fund aims to generate additional returns by using active duration and yield curve management as well as over/underweighting certain sectors versus the benchmark. The investment profile is further enhanced by targeted bond selection and the exchange of «expensive» bonds for new bonds issued on more favourable terms. Investment activity and performance Over the past year under review, market events were largely driven by the various measures implemented by central banks around the world. The European Central Bank s purely verbal announcement (in late summer 2012) that it would vigorously counter the threat of a possible break-up of the currency union with unlimited bond purchases, primarily in southern European countries, was enough to trigger initial waves of enthusiasm for more risky asset classes. When the US Federal Reserve then went on to further increase its monetary base by making additional purchases of mortgage-backed bonds (QE3), it appeared that the dam had burst, and explosive fireworks on the equities markets and credit bonds dominated further events, continuing through the end of the year up to the current day. The last to join the party was the Bank of Japan, which began to flood markets with a spectacular amount of liquidity in an effort to put decades of deflation to an end. Even events that only featured briefly (the US fiscal cliff at the turn of the year or the «almost-bankrupt» Cyprus) only had a negative impact on the overall picture for an extremely limited time. Indeed these measures taken by central banks also had an impact on the real economy; above all in the US, the UK and Switzerland, there was a noticeable recovery of all key indicators, while most European economies stabilized somewhat. Even the long-feared downturn in China turned out merely to be a slight slowdown. Just when the party seemed to be in full swing, the US Federal Reserve once again significantly impacted financial market trends in early summer, when it announced that if certain conditions were met, it would gradually scale back the monetary measures it had taken. Yields on 10-year government bonds, which had previously been lurking at record lows, were given an (partially) excessive upward boost (10-year UST from 1.60% rose up to 3%; 10-year Confederation from 0.4% up towards 1.20%). A slight counter-movement did not occur until September, when contrary to general market expectations, the US Fed delayed the measures it had announced in order to gain more confidence in the economic recovery and address the impending debates over the budget and debt limit. Important Fund Information Class A CHF Fund assets Units in circulation NAV (Swung-NAV) ISIN CH VALOR Distribution 1.36 Launch date Class I CHF Fund assets Units in circulation NAV (Swung-NAV) ISIN CH VALOR Distribution 1.79 Launch date Class A AC CHF Fund assets Units in circulation NAV (Swung-NAV) ISIN CH VALOR Launch date Class I AC CHF Fund assets Units in circulation NAV (Swung-NAV) ISIN CH VALOR Launch date While the portfolio benefited at first from considerably narrowing spreads across almost all sectors, the fund manager decided somewhat too early to gradually reduce its overweights so that from the new year onwards, it was able to have a rather conservative overall portfolio structure thanks to its latent underweight (above all in «financials»). This means that despite many permanent arbitrage transactions (CONF future against deliverable Confederation bonds) as well as permanent, targeted stock selection (swapping bonds that had become more expensive for new bonds issued on more favourable terms), the outperformance versus the benchmark was somewhat modest. The performance generated during the period under review of -1.35% for unit class A (Retail) was 0.29 percentage points below the benchmark (-1.06%), while unit class I (Institutional) was able to outperform the benchmark by 0.09 percentage points, posting -0.97%. All figures already include any costs incurred in relation to all transactions as well as management activities during the period under review. 3

4 Asset Statement as at 30 September September September 2012 CHF CHF Cash at banks Money market instruments Securities Bonds Equities Units in collective capital investments Derivative financial instruments Other assets Total fund assets /. Liabilities Total net fund assets Thereof Class A Thereof Class I Thereof Class A AC Thereof Class I AC No. of units outstanding: Class A Units outstanding at the beginning of the period No. of units issued No. of units redeemed Units outstanding at the end of the period No. of units outstanding: Class I Units outstanding at the beginning of the period No. of units issued No. of units redeemed Units outstanding at the end of the period No. of units outstanding: Class A AC Units outstanding at the beginning of the period No. of units issued No. of units redeemed Units outstanding at the end of the period No. of units outstanding: Class I AC Units outstanding at the beginning of the period No. of units issued No. of units redeemed Units outstanding at the end of the period Net asset value of a unit (Valuation) September 30, Class A September 30, Class I September 30, Class A AC September 30, Class I AC Net asset value of a unit (Swung NAV) September 30, Class A September 30, Class I September 30, Class A AC September 30, Class I AC

5 Asset Statement as at 30 September CHF CHF Change in total net fund assets: Class A Net fund assets at the beginning of the period Ordinary annual distribution Balance of units issued/redeemed Total net income Net fund assets at the end of the period Change in total net fund assets: Class I Net fund assets at the beginning of the period Ordinary annual distribution Balance of units issued/redeemed Total net income Net fund assets at the end of the period Change in total net fund assets: Class A AC Net fund assets at the beginning of the period Ordinary annual distribution Balance of units issued/redeemed Total net income Net fund assets at the end of the period Change in total net fund assets: Class I AC Net fund assets at the beginning of the period Ordinary annual distribution Balance of units issued/redeemed Total net income Net fund assets at the end of the period Volume of securities lent and income from securities lending Volume of securities lent as at 30 September Commission income

6 Statement of income for the period from 01 October 2012 to 30 September October October 2011 to 30 September 2013 to 30 September 2012 CHF CHF Interest income from banks Income from money market instruments Income from securities Bonds Equities Units in collective capital investments Income from securities lending Other income Income equalization: subscriptions Total income minus: Interest paid Auditing expense Management fee as per the fund regulations Custodian fee as per the fund regulations Other expenses Income equalization: redemptions Total expense Net income Realized capital gains and losses Realized income Unrealized capital gains and losses Total net income CHF CHF Utilization of income Income carried forward from prior period Total net income for the current period Total income available for distribution Income designated for distribution Income carried forward Accumulated income (100%) Annual distribution per unit: class A Gross dividend distribution from earnings /. 35% Swiss withholding tax Net dividend distribution from earnings Annual distribution per unit: class I Gross dividend distribution from earnings /. 35% Swiss withholding tax Net dividend distribution from earnings Reinvestment per class A AC Reinvested earnings /. 35% Swiss withholding tax Earnings retained for reinvestment (65%) Reinvestment per class I AC Reinvested earnings /. 35% Swiss withholding tax Earnings retained for reinvestment (65%)

7 Key figures and technical data Actual remuneration of the: Fund management Class A 0.75% 0.75% Class I 0.35% 0.35% Class A AC 0.74% 0.75% Class I AC 0.35% 0.35% Custodian bank Class A 0.06% 0.07% Class I 0.06% 0.07% Class A AC 0.06% 0.07% Class I AC 0.06% 0.07% 01 October October 2011 Total Expense Ratio to 30 September 2013 to 30 September 2012 Class A 0.77% 0.77% Class I 0.37% 0.37% Class A AC 0.76% 0.77% Class I AC 0.37% 0.37% 01 October October 2011 Portfolio Turnover Rate to 30 September 2013 to 30 September % % 01 October October 2011 Performance * to 30 September 2013 to 30 September 2012 Class A -1.35% 5.10% Class I -0.97% 5.53% Class A AC -1.34% 5.20% Class I AC -0.92% 5.63% since launch since launch Class A 7.26% 8.73% Class I 8.52% 9.58% Class A AC 7.36% 8.82% Class I AC 9.32% 10.34% Past performance is no guarantee of future performance. * The fund s performance is based on the net asset values (swung-nav) and includes all costs and commission payments charged to the fund. Derivatives using commitment approach II Market risk Amount in CHF % of net fund assets Interest rate fluctuation risk % Equity price fluctuation risk % Credit risk Amount in CHF % of net fund assets % Currency risk Amount in CHF % of net fund assets % Currency No. of Contract size Titel Maturity Exchange rate Contract price Price Profit (CHF) contracts Futures CHF SWISS GOVT CONF BOND FUTURES Unrealized gains from futures

8 List of assets as at 30 September 2013 Bonds Currency Quantity/nominal Security Maturity Price Market value (CHF) % of TFA * CHF CH PHILIP MORRIS INTL INC % CHF CH SPI ELECTRICITY + GAS % CHF CH HSBC COVERED BONDS FRANC % CHF CH PFANDBRIEF SCHWEIZ HYPO % CHF CH EUROPEAN INVESTMENT BANK % CHF CH PFANDBRIEF SCHW KANTBK % CHF CH LUZERNER KANTONALBK AG % CHF CH SLOVAK REPUBLIC % CHF CH CANTON OF BERN % CHF CH DEUTSCHE BAHN FINANCE BV % CHF CH CANTON OF ZURICH % CHF CH CORP ANDINA DE FOMENTO % CHF CH SWISS PRIME SITE AG % CHF CH ORANGE SA % CHF CH KFW % CHF CH ASSIST PUBL HOPIT PARIS % CHF CH PFANDBRIEF SCHWEIZ HYPO % CHF CH CANTON OF GENEVA % CHF CH ZUERCHER KANTONALBANK % CHF CH RZD CAPITAL PLC (RZD) % CHF CH ADP % CHF CH PFANDBRIEF SCHW KANTBK % CHF CH SWITZERLAND % CHF CH PFANDBRIEF SCHWEIZ HYPO % CHF CH AARGAUISCHE KANTONALBANK % CHF CH CANTON OF GENEVA % CHF CH KOREA FINANCE CORP % CHF CH INDUSTRIAL BANK OF KOREA % CHF CH SWITZERLAND % CHF CH PFANDBRIEF SCHWEIZ HYPO % CHF CH PFANDBRIEF SCHWEIZ HYPO % CHF CH RESEAU FERRE DE FRANCE % CHF CH CIE FINANCEMENT FONCIER % CHF CH EUROPEAN INVESTMENT BANK % CHF CH LUZERNER KANTONALBK AG % CHF CH SWITZERLAND % CHF CH PFANDBRIEF SCHWEIZ HYPO % CHF CH CORP ANDINA DE FOMENTO % CHF CH AMERICA MOVIL SAB DE CV % CHF CH CANTON OF NEUENBURG % CHF CH PFANDBRIEF SCHWEIZ HYPO % CHF CH KRAFTWERKE LINTH LIMMERN % CHF CH VORARLBERG LND HYPOBK AG % CHF CH EUROPEAN INVESTMENT BANK % CHF CH PFANDBRIEF SCHWEIZ HYPO % CHF CH NEDER WATERSCHAPSBANK % CHF CH CANTON OF ZURICH % CHF CH CITY OF ZURICH % CHF CH CENTRAL AMERICAN BANK % CHF CH CORP ANDINA DE FOMENTO % CHF CH RZD CAPITAL PLC (RZD) % CHF CH GRANDE DIXENCE SA % CHF CH CITY OF GENEVA % CHF CH EBN BV % CHF CH KIWIBANK LTD % CHF CH SCHAFFHAUSER KANTONALBAN % CHF CH PFANDBRIEF SCHWEIZ HYPO % CHF CH BALOISE HOLDING AG % CHF CH CANTON OF TICINO % CHF CH EUROPEAN INVESTMENT BANK % CHF CH CAISSE REFINANCE L HABIT % CHF CH SWITZERLAND % CHF CH CANTON OF ZURICH % 8

9 List of assets as at 30 September 2013 Bonds Currency Quantity/nominal Security Maturity Price Market value (CHF) % of TFA * CHF CH CANTON OF GENEVA % CHF CH CANTON OF GENEVA % CHF CH ALLREAL HOLDING AG % CHF CH KERNKRAFTWERK GOESGEN % CHF CH BANQ CANTONALE DU VALAIS % CHF CH PARGESA HOLDING SA % CHF CH CITY OF ZURICH % CHF CH EMIS FUER GEM WOHNBAUT % CHF CH NEDER WATERSCHAPSBANK % CHF CH REGIE AUTONOME DES TRANS % CHF CH ALLREAL HOLDING AG % CHF CH CANTON OF BASLE STADT % CHF CH PFANDBRIEF SCHWEIZ HYPO % CHF CH ILE DE FRANCE % CHF CH PFANDBRIEF OST LAND HYPO % CHF CH COMMONWEALTH BANK AUST % CHF CH LGT FINANCE LIMITED % CHF CH PFANDBRIEF SCHW KANTBK % CHF CH VORARLBERG LND HYPOBK AG % CHF CH INTL BK RECON + DEVELOP % CHF CH RESEAU FERRE DE FRANCE % CHF CH GRANDE DIXENCE SA % CHF CH KFW % CHF CH EUROFIMA % CHF CH EUROFIMA % CHF CH ERSTE EUROPAEISCHE P+K % CHF CH BK NEDERLANDSE GEMEENTEN % CHF CH NEDER WATERSCHAPSBANK % CHF CH SOC NATL CHEMINS FER FRA % CHF CH BUNDES IMMOBILIENGESELL % CHF CH GROUPE AUCHAN SA % CHF CH ELECTRICITE D EMOSSON SA % CHF CH SWITZERLAND % CHF CH EUROFIMA % CHF CH ST GALLER KANTONALBANK % CHF CH MUNICIPALITY FINANCE PLC % CHF CH ST GALLER KANTONALBANK % CHF CH PFANDBRIEF SCHW KANTBK % CHF CH BUNDES IMMOBILIENGESELL % CHF CH FLUGHAFEN ZUERICH AG % CHF CH DNB BANK ASA % CHF CH LANDWIRTSCH. RENTENBANK % CHF CH EXPORT IMPORT BK INDIA % CHF CH BANCO NAC DE DESEN ECONO % CHF CH MUNICIPALITY FINANCE PLC % CHF CH BASELLANDSCHAFT KANTONBK % CHF CH PFANDBRIEF SCHWEIZ HYPO % CHF CH WESTPAC BANKING CORP % CHF CH PFANDBRIEF SCHW KANTBK % CHF CH SWITZERLAND % CHF CH GENERAL ELEC CAP CORP % CHF CH ZUERCHER KANTONALBANK % CHF CH PFANDBRIEF SCHWEIZ HYPO % CHF CH ABN AMRO BANK NV % CHF CH CAISSE D AMORT DETTE SOC % CHF CH KOMMUNEKREDIT % CHF CH PFANDBRIEF SCHW KANTBK % CHF CH OEKB OEST. KONTROLLBANK % CHF CH HEATHROW FUNDING LTD % CHF CH VINCI SA % CHF CH AUST + NZ BANKING GROUP % CHF CH ANZ NEW ZEALAND INTL/LDN % CHF CH DAIMLER INTL FINANCE BV % 9

10 List of assets as at 30 September 2013 Bonds Currency Quantity/nominal Security Maturity Price Market value (CHF) % of TFA * CHF CH CANTON OF GENEVA % CHF CH MUNICIPALITY FINANCE PLC % CHF CH ZUERCHER KANTONALBANK % CHF CH PFANDBRIEF SCHWEIZ HYPO % CHF CH BK NEDERLANDSE GEMEENTEN % CHF CH RAIFFEISEN SCHWEIZ % CHF CH OEKB OEST. KONTROLLBANK % CHF CH SCHINDLER HOLDING SA % CHF CH ZUERCHER KANTONALBANK % CHF CH RABOBANK NEDERLAND % CHF CH HYUNDAI CAPITAL SERVICES % CHF CH CITY OF ZURICH % CHF CH PFANDBRIEF SCHWEIZ HYPO % CHF CH BRADFORD + BINGLEY BS % CHF CH PFANDBRIEF SCHWEIZ HYPO % CHF CH OEKB OEST. KONTROLLBANK % CHF CH BK NEDERLANDSE GEMEENTEN % CHF CH BRADFORD + BINGLEY BS % CHF CH CIF EUROMORTGAGE % CHF CH PFANDBRIEF SCHW KANTBK % CHF CH CITY OF ZURICH % CHF CH SWEDISH EXPORT CREDIT % CHF CH PFANDBRIEF SCHWEIZ HYPO % CHF CH SIKA AG % CHF CH HOLCIM LTD % CHF CH RABOBANK NEDERLAND % CHF CH CANTON OF ZURICH % CHF CH CANTON OF ST. GALLEN % CHF CH PFANDBRIEF SCHW KANTBK % CHF CH LUZERNER KANTONALBK AG % CHF CH AARGAUISCHE KANTONALBANK % CHF CH HOLCIM LTD % CHF CH BUCHER INDUSTRIES AG % CHF CH PFANDBRIEF SCHW KANTBK % CHF CH PFANDBRIEF SCHWEIZ HYPO % CHF CH ARYZTA AG % CHF CH EUROFIMA % CHF CH PFANDBRIEF SCHWEIZ HYPO % CHF CH SCHWYZER KANTONALBANK % CHF CH GRANDE DIXENCE SA % CHF CH CITY OF WINTERTHUR % CHF CH ADP % CHF CH AMERICA MOVIL SAB DE CV % CHF CH CIE FINANCEMENT FONCIER % CHF CH ROYAL BK OF SCOTLAND PLC % CHF CH CANTON OF GENEVA % CHF CH ONTARIO (PROVINCE OF) % CHF CH ZUERCHER KANTONALBANK % CHF CH WESTPAC BANKING CORP % CHF CH HYPOTHEKENBANK FRA LUX % CHF CH PFANDBRIEF SCHW KANTBK % CHF CH RAIFFEISEN SCHWEIZ % CHF CH GENERAL ELEC CAP CORP % CHF CH ABN AMRO BANK NV % CHF CH SCHWYZER KANTONALBANK % CHF CH LANDWIRTSCH. RENTENBANK % CHF CH SWEDISH EXPORT CREDIT % CHF CH REPUBLIC OF POLAND % CHF CH BKW AG % CHF CH PFANDBRIEF SCHW KANTBK % CHF CH LAND NIEDEROESTERREICH % CHF CH KERNKRAFTWERKE LEIBSTADT % CHF CH PSP SWISS PROPERTY AG % 10

11 List of assets as at 30 September 2013 Bonds Currency Quantity/nominal Security Maturity Price Market value (CHF) % of TFA * CHF CH CITY OF BERN % CHF CH ST GALLER KANTONALBANK % CHF CH MCDONALD S CORP % CHF CH SWISS REINSURANCE CO LTD % CHF CH DEUTSCHE BANK AG % CHF CH AUST + NZ BANKING GROUP % CHF CH HYUNDAI CAPITAL SERVICES % CHF CH DEUTSCHE TELEKOM AG % CHF CH BALOISE HOLDING AG % CHF CH PFANDBRIEF SCHW KANTBK % CHF CH SWISSCOM AG % CHF CH CANTON OF BERN % CHF CH COOP GRUPPE % CHF CH CIE FINANCEMENT FONCIER % CHF CH CAISSE FRANCAISE DE FIN % CHF CH EUROPEAN INVESTMENT BANK % CHF CH BK J SAFRA SARASIN AG % CHF CH AARGAUISCHE KANTONALBANK % CHF CH ZUGER KANTONALBANK % CHF CH PFANDBRIEF SCHWEIZ HYPO % CHF CH KOMMUNEKREDIT % CHF CH ALPIQ HOLDING AG % CHF CH PFANDBRIEF SCHW KANTBK % CHF CH CAISSE D AMORT DETTE SOC % CHF CH CAISSE FRANCAISE DE FIN % CHF CH SWITZERLAND % CHF CH PFANDBRIEF SCHWEIZ HYPO % CHF CH ZUGER KANTONALBANK % CHF CH NATIONAL AUSTRALIA BANK % CHF CH PFANDBRIEF SCHWEIZ HYPO % CHF CH PFANDBRIEF SCHW KANTBK % CHF CH ZUERCHER KANTONALBANK % CHF CH PFANDBRIEF SCHW KANTBK % CHF CH PFANDBRIEF SCHWEIZ HYPO % CHF CH OEKB OEST. KONTROLLBANK % CHF CH PFANDBRIEF SCHW KANTBK % CHF CH PETROLEOS MEXICANOS % CHF CH KRAFTWERKE LINTH LIMMERN % CHF CH CREDIT SUISSE LONDON % CHF CH KRAFTWERKE LINTH LIMMERN % CHF CH LGT FINANCE LIMITED % CHF CH CANTON OF TICINO % CHF CH OEKB OEST. KONTROLLBANK % CHF CH BANK COOP % CHF CH NEDER WATERSCHAPSBANK % CHF CH BK NEDERLANDSE GEMEENTEN % CHF CH SWITZERLAND % CHF CH PARGESA NETHERLANDS NV % CHF CH EUROFIMA % CHF CH EMMI FINANZ AG % CHF CH COOP GRUPPE % CHF CH SWITZERLAND % CHF CH KRAFTWERKE LINTH LIMMERN % CHF CH SULZER AG % CHF CH PFANDBRIEF SCHWEIZ HYPO % CHF CH BRADFORD + BINGLEY BS % CHF CH ZURICH INSURANCE CO % CHF CH VILLE DE PARIS % CHF CH SWITZERLAND % CHF CH PFANDBRIEF OST LAND HYPO % CHF CH SWITZERLAND % CHF CH REGION ILE DE FRANCE % CHF CH UBS AG JERSEY BRANCH % 11

12 List of assets as at 30 September 2013 Bonds Currency Quantity/nominal Security Maturity Price Market value (CHF) % of TFA * CHF CH HYPO TIROL BANK AG % CHF CH KRAFTWERK AMSTEG AG % CHF CH EUROFIMA % CHF CH PSP SWISS PROPERTY AG % CHF CH E.ON INTL FINANCE BV % CHF CH CANTON OF ZURICH % CHF CH CANTON OF BASLE STADT % CHF CH LUZERNER KANTONALBK AG % CHF CH RAIFFEISEN SCHWEIZ % CHF CH HSBC FINANCE CORP % CHF CH ORANGE SA % CHF CH CITY OF ZURICH % CHF CH HYPO ALPE ADRIA INTL AG % CHF CH BUNDES IMMOBILIENGESELL % CHF CH SWITZERLAND % CHF CH OESTERREICH POSTSPARKAS % CHF CH SWITZERLAND % CHF CH SWITZERLAND % CHF CH SWITZERLAND % CHF CH SWITZERLAND % CHF CH HYPOTHEKENBANK FRA LUX % CHF CH CIE FINANCEMENT FONCIER % CHF CH GENERAL ELEC CAP CORP % CHF CH SWITZERLAND % CHF CH PFANDBRIEF SCHW KANTBK % CHF CH ALPIQ HOLDING AG % CHF CH CANTON OF ST. GALLEN % CHF CH CANTON OF TICINO % CHF CH BASELLANDSCHAFT KANTONBK % CHF CH SWITZERLAND % CHF CH DNB BANK ASA % CHF CH HOLCIM LTD % CHF CH ZUERCHER KANTONALBANK % CHF CH NATIONAL AUSTRALIA BANK % CHF CH UBS AG % CHF CH KRAFTWERK HINTERRHEIN % CHF CH REPUBLIC OF POLAND % CHF CH PFANDBRIEF SCHWEIZ HYPO % CHF CH PFANDBRIEF SCHWEIZ HYPO % CHF CH SPI ELECTRICITY + GAS % CHF CH CANTON OF TICINO % CHF CH CITY OF ZURICH % Total Bonds % * Total fund assets Total securities that are traded on a stock exchange % Total derivative financial instruments (as per separate list) % Cash deposits at sight and other assets % Total fund assets %./. Liabilities % Total net fund assets % Thereof Class A % Thereof Class I % Thereof Class A AC % Thereof Class I AC % 12

13 Asset structure By sector Sovereigns, government 18.80% Government guaranteed bonds 17.50% Banking 17.44% Pfandbriefe 17.38% Utility 6.07% Asset Backed 4.00% Real Estate 2.79% Financial Services 2.14% Telecommunications 2.05% Basic Industry 1.77% Services 1.77% Insurance 1.65% Other 6.65% Total % Change in holdings from 01 October 2012 to 30 September 2013 Bonds Currency Security Maturity Purchases Sales/Redemptions* CHF 921RYAII0 LUZERNER KANTONALBANK AG CHF CH SWITZERLAND CHF CH CANTON OF ST. GALLEN CHF CH SWITZERLAND CHF CH SWITZERLAND CHF CH OESTERREICH POSTSPAR CHF CH GENERAL ELEC CAP COR CHF CH SWITZERLAND CHF CH HYPOTHEKENBANK FRA L CHF CH RESEAU FERRE DE FRAN CHF CH SWITZERLAND CHF CH SWITZERLAND CHF CH SWITZERLAND CHF CH PFANDBRIEF SCHW KANT CHF CH PFANDBRIEF OST LAND CHF CH DEUT PFANDBRIEFBANK CHF CH ALPIQ HOLDING AG CHF CH CIE FINANCEMENT FONC CHF CH CIF EUROMORTGAGE CHF CH CANTON OF ST. GALLEN CHF CH THURGAUER KANTONALBA CHF CH CITY OF LAUSANNE CHF CH SWITZERLAND CHF CH BAYERISCHE LANDESBAN CHF CH EUROFIMA CHF CH ERSTE EUROPAEISCHE P CHF CH CANTON OF ZURICH CHF CH GENERAL ELEC CAP COR CHF CH OEKB OEST. KONTROLLB CHF CH ITALY GOV T INT BOND CHF CH CANTON OF ZURICH CHF CH VORARLBERG LND HYPOB CHF CH CANTON OF TICINO CHF CH EUROFIMA CHF CH GRANDE DIXENCE SA CHF CH CITY OF ZURICH CHF CH KFW CHF CH OEKB OEST. KONTROLLB CHF CH GIVAUDAN SA CHF CH PFANDBRIEF OST LAND CHF CH LANDWIRTSCH. RENTENB CHF CH KRAFTWERKE OBERHASLI CHF CH NEDER WATERSCHAPSBAN CHF CH PFANDBRIEF SCHWEIZ H

14 Change in holdings from 01 October 2012 to 30 September 2013 Bonds Currency Security Maturity Purchases Sales/Redemptions* CHF CH EMIS FUER GEM WOHNBA CHF CH REPUBLIC OF POLAND CHF CH EUROFIMA CHF CH ERSTE EUROPAEISCHE P CHF CH EUROPEAN INVESTMENT CHF CH BK NEDERLANDSE GEMEE CHF CH SWITZERLAND CHF CH EUROFIMA CHF CH REGIE AUTONOME DES T CHF CH HYPOTHEKENBANK FRA L CHF CH NEDER WATERSCHAPSBAN CHF CH CITY OF ZURICH CHF CH KFW CHF CH CIE FINANCEMENT FONC CHF CH EUROPEAN INVESTMENT CHF CH LANDWIRTSCH. RENTENB CHF CH CITIGROUP INC CHF CH PFANDBRIEF SCHW KANT CHF CH CIF EUROMORTGAGE CHF CH RABOBANK NEDERLAND CHF CH BK NEDERLANDSE GEMEE CHF CH BUNDES IMMOBILIENGES CHF CH OEKB OEST. KONTROLLB CHF CH ELECTRICITE D EMOSSO CHF CH SWITZERLAND CHF CH PFANDBRIEF SCHWEIZ H CHF CH PFANDBRIEF OST LAND CHF CH DEUT PFANDBRIEFBANK CHF CH PFANDBRIEF SCHWEIZ H CHF CH LUZERNER KANTONALBK CHF CH ST GALLER KANTONALBA CHF CH PFANDBRIEF SCHWEIZ H CHF CH ZUGER KANTONALBANK CHF CH REGION ILE DE FRANCE CHF CH NEDER WATERSCHAPSBAN CHF CH GENERAL ELEC CAP COR CHF CH VORARLBERG LND HYPOB CHF CH DEPFA ACS BANK CHF CH HYPO TIROL BANK AG CHF CH PSP SWISS PROPERTY A CHF CH CIE FINANCEMENT FONC CHF CH CITY OF WINTERTHUR CHF CH ALPIQ HOLDING AG CHF CH KRAFTWERK AMSTEG AG CHF CH CITY OF ZURICH CHF CH SWITZERLAND CHF CH HOLCIM LTD CHF CH PARGESA NETHERLANDS CHF CH UBS AG JERSEY BRANCH CHF CH GRAUBUNDNER KANTONAL CHF CH EUROFIMA CHF CH BRADFORD + BINGLEY B CHF CH SCHWYZER KANTONALBAN CHF CH RABOBANK NEDERLAND CHF CH RAIFFEISEN SCHWEIZ CHF CH BAYERISCHE LANDESBAN CHF CH HSBC FINANCE CORP CHF CH ALPIQ HOLDING AG CHF CH ENGADINER KRAFTWERKE CHF CH KOMMUNEKREDIT CHF CH PFANDBRIEF SCHW KANT CHF CH BRADFORD + BINGLEY B CHF CH REGIE AUTONOME DES T CHF CH CANTON OF TICINO CHF CH CREDIT AGRICOLE (LON CHF CH BANK COOP

15 Change in holdings from 01 October 2012 to 30 September 2013 Bonds Currency Security Maturity Purchases Sales/Redemptions* CHF CH LUZERNER KANTONALBK CHF CH OEKB OEST. KONTROLLB CHF CH PFANDBRIEF SCHW KANT CHF CH SOC NATL CHEMINS FER CHF CH NEDER WATERSCHAPSBAN CHF CH PROVINCE OF QUEBEC CHF CH SWEDISH EXPORT CREDI CHF CH EUROPEAN INVESTMENT CHF CH KOMMUNINVEST I SVERI CHF CH HYPO ALPE ADRIA INTL CHF CH HYPO TIROL BANK AG CHF CH GENERAL ELEC CAP COR CHF CH HOLCIM LTD CHF CH HSBC BANK PLC CHF CH SCHAFFHAUSER KANTONA CHF CH BKW AG CHF CH EUROFIMA CHF CH VALIANT BANK CHF CH GENERAL ELEC CAP COR CHF CH BK NEDERLANDSE GEMEE CHF CH PARGESA NETHERLANDS CHF CH BUNDES IMMOBILIENGES CHF CH SWITZERLAND CHF CH ST GALLER KANTONALBA CHF CH BRADFORD + BINGLEY B CHF CH LA POSTE CHF CH HSBC FINANCE CORP CHF CH AARGAUISCHE KANTONAL CHF CH HYPOTHEKENBANK FRA L CHF CH KFW CHF CH GRANDE DIXENCE SA CHF CH ORANGE SA CHF CH BALOISE HOLDING AG CHF CH BASELLANDSCHAFT KANT CHF CH E.ON INTL FINANCE BV CHF CH CANTON OF BASLE STAD CHF CH CIE FINANCEMENT FONC CHF CH MUNICIPALITY FINANCE CHF CH CITY OF ZURICH CHF CH BUNDES IMMOBILIENGES CHF CH BALOISE HOLDING AG CHF CH SIKA AG CHF CH SWISSCOM AG CHF CH KRAFTWERKE LINTH LIM CHF CH GROUPE AUCHAN SA CHF CH CORP ANDINA DE FOMEN CHF CH REGIE AUTONOME DES T CHF CH SWISSCOM AG CHF CH ASSIST PUBL HOPIT PA CHF CH VILLE DE PARIS CHF CH ZUERCHER KANTONALBAN CHF CH KFW CHF CH PFANDBRIEF SCHW KANT CHF CH CANTON OF GENEVA CHF CH BK NEDERLANDSE GEMEE CHF CH AUST + NZ BANKING GR CHF CH ALPIQ HOLDING AG CHF CH INTL BK RECON + DEVE CHF CH ILE DE FRANCE CHF CH DEUTSCHE TELEKOM AG CHF CH THURGAUER KANTONALBA CHF CH KOMMUNINVEST I SVERI CHF CH RABOBANK NEDERLAND CHF CH BRANDBREW SA CHF CH SWEDBANK AB CHF CH GRAUBUNDNER KANTONAL

16 Change in holdings from 01 October 2012 to 30 September 2013 Bonds Currency Security Maturity Purchases Sales/Redemptions* CHF CH ZUERCHER KANTONALBAN CHF CH ADP CHF CH RESEAU FERRE DE FRAN CHF CH BKW AG CHF CH ALPIQ HOLDING AG CHF CH EUROFIMA CHF CH CIE FINANCEMENT FONC CHF CH CITY OF ZURICH CHF CH SWISSCOM AG CHF CH AARGAUISCHE KANTONAL CHF CH PFANDBRIEF SCHW KANT CHF CH HOLCIM LTD CHF CH BUCHER INDUSTRIES AG CHF CH BK NEDERLANDSE GEMEE CHF CH ALLREAL HOLDING AG CHF CH PETROLEOS MEXICANOS CHF CH PFANDBRIEF SCHWEIZ H CHF CH CAISSE FRANCAISE DE CHF CH VORARLBERG LND HYPOB CHF CH CAISSE FRANCAISE DE CHF CH CZECH REPUBLIC CHF CH ARYZTA AG CHF CH REPOWER AG CHF CH SWISS REINSURANCE CO CHF CH CANTON OF BERN CHF CH PFANDBRIEF SCHWEIZ H CHF CH BALOISE HOLDING AG CHF CH LGT FINANCE LIMITED CHF CH ONTARIO (PROVINCE OF CHF CH SCHWYZER KANTONALBAN CHF CH ADP CHF CH NEDER WATERSCHAPSBAN CHF CH GENERAL ELEC CAP COR CHF CH GRAUBUNDNER KANTONAL CHF CH UBS AG CHF CH CITY OF ZURICH CHF CH CITY OF BERN CHF CH BNZ INTERNATIONAL FN CHF CH AGENCE FRANCAISE DEV CHF CH WESTPAC BANKING CORP CHF CH ASIAN DEVELOPMENT BA CHF CH SWEDISH EXPORT CREDI CHF CH KOMMUNEKREDIT CHF CH BK NEDERLANDSE GEMEE CHF CH PFANDBRIEF SCHW KANT CHF CH CREDIT SUISSE LONDON CHF CH AXPO HOLDING AG CHF CH NEDER WATERSCHAPSBAN CHF CH SPI ELECTRICITY + GA CHF CH KRAFTWERKE LINTH LIM CHF CH KRAFTWERKE LINTH LIM CHF CH PFANDBRIEF SCHWEIZ H CHF CH ZUERCHER KANTONALBAN CHF CH DEUTSCHE BANK AG CHF CH LAND NIEDEROESTERREI CHF CH EUROPEAN INVESTMENT CHF CH KERNKRAFTWERKE LEIBS CHF CH BNP PARIBAS CHF CH CREDIT AGRICOLE (LON CHF CH EUROPEAN INVESTMENT CHF CH MUNICIPALITY FINANCE CHF CH DNB BOLIGKREDITT AS CHF CH PSP SWISS PROPERTY A CHF CH MUNICIPALITY FINANCE CHF CH KFW CHF CH RAIFFEISEN SCHWEIZ

17 Change in holdings from 01 October 2012 to 30 September 2013 Bonds Currency Security Maturity Purchases Sales/Redemptions* CHF CH AMERICA MOVIL SAB DE CHF CH HSBC COVERED BONDS F CHF CH DEXIA CREDIT LOCAL CHF CH LANDWIRTSCH. RENTENB CHF CH GENERAL ELEC CAP COR CHF CH NEDER WATERSCHAPSBAN CHF CH PFANDBRIEF SCHW KANT CHF CH SWITZERLAND CHF CH GEORG FISCHER AG CHF CH LGT FINANCE LIMITED CHF CH EBN BV CHF CH AUST + NZ BANKING GR CHF CH ILE DE FRANCE CHF CH DNB BANK ASA CHF CH ST GALLER KANTONALBA CHF CH SCHWYZER KANTONALBAN CHF CH CANTON OF BASLE STAD CHF CH MOBIMO HOLDING AG CHF CH ZUERCHER KANTONALBAN CHF CH MCDONALD S CORP CHF CH HOLCIM LTD CHF CH BASELLANDSCHAFT KANT CHF CH ZUERCHER KANTONALBAN CHF CH COOP GRUPPE CHF CH PFANDBRIEF SCHWEIZ H CHF CH DEUTSCHE TELEKOM AG CHF CH HYUNDAI CAPITAL SERV CHF CH NATIONAL AUSTRALIA B CHF CH SWISSCOM AG CHF CH CANTON OF BERN CHF CH CANTON OF GENEVA CHF CH KRAFTWERK HINTERRHEI CHF CH NEDER WATERSCHAPSBAN CHF CH CIF EUROMORTGAGE CHF CH PFANDBRIEF SCHWEIZ H CHF CH RABOBANK NEDERLAND CHF CH EUROPEAN INVESTMENT CHF CH PFANDBRIEF SCHWEIZ H CHF CH BK NEDERLANDSE GEMEE CHF CH ZUERCHER KANTONALBAN CHF CH THURGAUER KANTONALBA CHF CH PFANDBRIEF SCHW KANT CHF CH PFANDBRIEF SCHW KANT CHF CH RAIFFEISEN SCHWEIZ CHF CH KOREA DEVELOPMENT BA CHF CH PFANDBRIEF SCHWEIZ H CHF CH PFANDBRIEF SCHWEIZ H CHF CH PFANDBRIEF SCHWEIZ H CHF CH ROYAL BK OF SCOTLAND CHF CH COOP GRUPPE CHF CH BK J SAFRA SARASIN A CHF CH PARGESA HOLDING SA CHF CH ZUGER KANTONALBANK CHF CH CIE FINANCEMENT FONC CHF CH BKW AG CHF CH BKW AG CHF CH PFANDBRIEF SCHWEIZ H CHF CH PFANDBRIEF SCHWEIZ H CHF CH RABOBANK NEDERLAND CHF CH BK NEDERLANDSE GEMEE CHF CH BASELLANDSCHAFT KANT CHF CH ABN AMRO BANK NV CHF CH CORP ANDINA DE FOMEN CHF CH PFANDBRIEF SCHW KANT CHF CH PFANDBRIEF SCHW KANT CHF CH CANTON OF TICINO

18 Change in holdings from 01 October 2012 to 30 September 2013 Bonds Currency Security Maturity Purchases Sales/Redemptions* CHF CH DEUTSCHE BAHN FINANC CHF CH CENTRAL AMERICAN BAN CHF CH ZUERCHER KANTONALBAN CHF CH LUZERNER KANTONALBK CHF CH SCHWYZER KANTONALBAN CHF CH GRANDE DIXENCE SA CHF CH GENERAL ELEC CAP COR CHF CH ABN AMRO BANK NV CHF CH RAIFFEISEN SCHWEIZ CHF CH NATIONAL AUSTRALIA B CHF CH DNB BANK ASA CHF CH PFANDBRIEF SCHWEIZ H CHF CH MUNICIPALITY FINANCE CHF CH PFANDBRIEF SCHWEIZ H CHF CH OEKB OEST. KONTROLLB CHF CH OEKB OEST. KONTROLLB CHF CH STATE BANK OF INDIA CHF CH REPUBLIC OF POLAND CHF CH PFANDBRIEF SCHW KANT CHF CH PFANDBRIEF SCHW KANT CHF CH CAISSE D AMORT DETTE CHF CH CAISSE REFINANCE L H CHF CH EXPORT IMPORT BK KOR CHF CH ZUERCHER KANTONALBAN CHF CH SWITZERLAND CHF CH SWITZERLAND CHF CH SWITZERLAND CHF CH SWITZERLAND CHF CH SWITZERLAND CHF CH EXPORT IMPORT BK IND CHF CH CAISSE D AMORT DETTE CHF CH RAIFFEISEN SCHWEIZ CHF CH FLUGHAFEN ZUERICH AG CHF CH HYUNDAI CAPITAL SERV CHF CH CITY OF ZURICH CHF CH OEKB OEST. KONTROLLB CHF CH ST GALLER KANTONALBA CHF CH BQ CANTONALE DE GENE CHF CH SWISS PRIME SITE AG CHF CH ABN AMRO BANK NV CHF CH PFANDBRIEF SCHW KANT CHF CH DAIMLER INTL FINANCE CHF CH EMMI FINANZ AG CHF CH KOREA FINANCE CORP CHF CH KRAFTWERKE LINTH LIM CHF CH SULZER AG CHF CH BANCO NAC DE DESEN E CHF CH WESTPAC BANKING CORP CHF CH CIE FINANCEMENT FONC CHF CH DEUTSCHE BAHN FINANC CHF CH EBN BV CHF CH PFANDBRIEF SCHW KANT CHF CH ALPIQ HOLDING AG CHF CH AMERICA MOVIL SAB DE CHF CH PFANDBRIEF SCHWEIZ H CHF CH SCHINDLER HOLDING SA CHF CH SCHINDLER HOLDING SA CHF CH BMW FINANCE NV CHF CH DAIMLER INTL FINANCE CHF CH ORANGE SA CHF CH CORP ANDINA DE FOMEN CHF CH PFANDBRIEF SCHW KANT CHF CH AARGAUISCHE KANTONAL CHF CH BASELLANDSCHAFT KANT CHF CH ZURICH INSURANCE CO CHF CH EUROPEAN INVESTMENT

19 Change in holdings from 01 October 2012 to 30 September 2013 Bonds Currency Security Maturity Purchases Sales/Redemptions* CHF CH CANTON OF GENEVA CHF CH VINCI SA CHF CH TELSTRA CORP LTD CHF CH ZUERCHER KANTONALBAN CHF CH ZUGER KANTONALBANK CHF CH ALPIQ HOLDING AG CHF CH AUST + NZ BANKING GR CHF CH SPI ELECTRICITY + GA CHF CH PFANDBRIEF SCHW KANT CHF CH PFANDBRIEF SCHW KANT CHF CH ZUERCHER KANTONALBAN CHF CH EUROPEAN INVESTMENT CHF CH RABOBANK NEDERLAND CHF CH HEATHROW FUNDING LTD CHF CH PFANDBRIEF SCHWEIZ H CHF CH PFANDBRIEF SCHWEIZ H CHF CH HYUNDAI CAPITAL SERV CHF CH PFANDBRIEF SCHW KANT CHF CH CAISSE REFINANCE L H CHF CH CAISSE REFINANCE L H CHF CH KOMMUNINVEST I SVERI CHF CH PFANDBRIEF SCHWEIZ H CHF CH PFANDBRIEF SCHWEIZ H CHF CH ANZ NEW ZEALAND INTL CHF CH EUROPEAN INVESTMENT CHF CH PFANDBRIEF SCHW KANT CHF CH CITY OF ZURICH CHF CH PETROLEOS MEXICANOS CHF CH OEKB OEST. KONTROLLB CHF CH ABN AMRO BANK NV CHF CH DNB BANK ASA CHF CH COMMONWEALTH BANK AU CHF CH PFANDBRIEF SCHWEIZ H CHF CH SWITZERLAND CHF CH SWITZERLAND CHF CH SWITZERLAND CHF CH SWITZERLAND CHF CH SWITZERLAND CHF CH SWITZERLAND CHF CH SWITZERLAND CHF CH AARGAUISCHE KANTONAL CHF CH CAISSE REFINANCE L H CHF CH PFANDBRIEF SCHW KANT CHF CH EBN BV CHF CH GLENCORE FINANCE EUR CHF CH PFANDBRIEF SCHWEIZ H CHF CH INDUSTRIAL BANK OF K CHF CH SWISS CREDIT CARD IS CHF CH COOP GRUPPE CHF CH EUROPEAN INVESTMENT CHF CH LUZERNER KANTONALBK CHF CH PFANDBRIEF SCHWEIZ H CHF CH PFANDBRIEF SCHWEIZ H CHF CH CORP ANDINA DE FOMEN CHF CH AMERICA MOVIL SAB DE CHF CH PHILIP MORRIS INTL I CHF CH CANTON OF NEUENBURG CHF CH PFANDBRIEF SCHW KANT CHF CH BASELLANDSCHAFT KANT CHF CH PFANDBRIEF SCHWEIZ H CHF CH SCHWYZER KANTONALBAN CHF CH BALOISE HOLDING AG CHF CH KRAFTWERKE LINTH LIM CHF CH EUROPEAN INVESTMENT CHF CH PFANDBRIEF SCHWEIZ H CHF CH UNICRED BANK IRELAND

20 Change in holdings from 01 October 2012 to 30 September 2013 Bonds Currency Security Maturity Purchases Sales/Redemptions* CHF CH PFANDBRIEF SCHW KANT CHF CH PFANDBRIEF SCHW KANT CHF CH CITY OF GENEVA CHF CH CANTON OF ZURICH CHF CH CANTON OF ZURICH CHF CH NANT DE DRANCE SA CHF CH SPI ELECTRICITY + GA CHF CH CENTRAL AMERICAN BAN CHF CH GOLDMAN SACHS GROUP CHF CH PFANDBRIEF SCHWEIZ H CHF CH PFANDBRIEF SCHW KANT CHF CH ZUERCHER KANTONALBAN CHF CH PFANDBRIEF SCHWEIZ H CHF CH CAISSE REFINANCE L H CHF CH PFANDBRIEF SCHW KANT CHF CH CORP ANDINA DE FOMEN CHF CH STRAUMANN HLDG AG CHF CH RZD CAPITAL PLC (RZD CHF CH RZD CAPITAL PLC (RZD CHF CH PFANDBRIEF SCHWEIZ H CHF CH SLOVAK REPUBLIC CHF CH PHILIP MORRIS INTL I CHF CH CANTON OF GENEVA CHF CH EUROPEAN INVESTMENT CHF CH PFANDBRIEF SCHWEIZ H CHF CH HELVETIA HOLDING AG CHF CH KIWIBANK LTD CHF CH NATIONAL AUSTRALIA B CHF CH SCHAFFHAUSER KANTONA CHF CH CORP ANDINA DE FOMEN CHF CH PFANDBRIEF SCHWEIZ H CHF CH CANTON OF TICINO CHF CH BELL HOLDING AG CHF CH BELL HOLDING AG CHF CH CANTON OF GENEVA CHF CH SOCIETE GENERALE CHF CH CAISSE REFINANCE L H CHF CH DEUTSCHE BAHN FINANC CHF CH AMERICA MOVIL SAB DE CHF CH CANTON OF GENEVA CHF CH NATIONAL AUSTRALIA B CHF CH EUROPEAN INVESTMENT CHF CH KERNKRAFTWERK GOESGE CHF CH CANTON OF ZURICH CHF CH CORP ANDINA DE FOMEN CHF CH CANTON OF GENEVA CHF CH CANTON OF GENEVA CHF CH ALLREAL HOLDING AG CHF CH BANQ CANTONALE DU VA * Redemptions Derivatives CHF SWISS GOVT CONF BOND FUTURES CHF SWISS GOVT CONF BOND FUTURES CHF SWISS GOVT CONF BOND FUTURES CHF GERMAN EURO BUND FUTURES CHF SWISS GOVT CONF BOND FUTURES CHF SWISS GOVT CONF BOND FUTURES * Redemptions 20