ROBECO MULTI MARKET BOND JUL 03/13, USD

Transcription

1 Benchmark: ATTRACTIVE YIELD IN COMBINATION WITH A SOLID FOUNDATION T HE PRO D UC T IN BRIEF : Issuer: Rabobank Nederland Currency: US dollars Nominal value: USD 1,000 Issue price: 100% Issue date: 15 July 2003 Maturity date: 15 July 2013 Coupons: none Minimum redemption: at least 150% of the nominal value at maturity MONTHLY REPORT August 2012 Lock-ins: potential lock-ins will increase the minimum redemption ISIN code: XS Listing: Euronext Amsterdam Investment Manager: Robeco Institutional Asset Management B.V. Trading Advisor: Transtrend B.V. Trading Model: Diversified Trend Program, Enhanced Risk profile USD Independent Risk Manager: RPM Risk & Portfolio Management AB Page 1 of 10

2 OFFICIAL VALUES The net asset value of Bond jul 03/13 (USD) is determined by the value of two components: - Zero Note. This component provides the investor with the minimum redemption at maturity; - SPC, Class A Ordinary Share. This component provides the investor with exposure to a highly diversified portfolio over different markets. This portfolio is managed by the Diversified Trend Program of Transtrend B.V. (Please see the following Trading Advisory Report and the Risk Management Report). Please note that: The Minimum Redemption Amount in respect of each Note is increased as of 11 November 2010 to USD 1,500. The next lock-in will take place if the following conditions are met: (a) the Indicative Bond NAV of a Bond Jul 03/13 (USD) is greater than USD 2000, and (b) the Indicative NAV in respect of a Class A Ordinary Share is greater than USD 400. Last Business Day of the SPC. Class A Ordinary Zero Note Month Bond Jul 03/13. USD Share Issue Date 254,70 745, July ,32 675,14 919,46 29 Augustus ,99 684,15 927,14 30 September ,77 728,94 955,71 31 October ,27 709,86 948,13 28 November ,27 712,89 946,17 31 December ,79 721,85 954,64 31 January ,11 733,60 976,71 27 February ,44 747, ,49 31 March ,02 762, ,28 30 April , , , May , , , June , , , July , , , Augustus , , , September , , , October , , , November , , , December , , , January , , , February , , , March , , , April , , ,661 Page 2 of 10

3 Last Business Day of the Month SPC. Class A Ordinary Share Zero Note Bond Jul 03/13. USD 31 May , , , June , , , July , , , August , , , September , , , October , , , November , , , December , , , January , , , February , , , March , April , May , , , June , , , July , , , August , , , September , , , October , , , November , , , December , , , January , , , February , , , March , , , April , , , May , , , June , , , July , , , August , , , September , , , October , , , November , , , December , , , January , , , February , , , March , , , April , ,540 1,504, May , , ,300 Page 3 of 10

4 Last Business Day of the Month SPC. Class A Ordinary Share Zero Note Bond Jul 03/13. USD 30 June , , July , , August , , September , , October , , November , , December , , January , , February , , March , , April , , May , , June , , July , , August , , September , , October , , November , , December , , January , , February , , March , , April , , May , , June , , July , , August , , September ,579 1, , October ,376 1, , November ,669 1, , December ,346 1, , January , , February , , March , , April , , May , , June , , Page 4 of 10

5 Last Business Day of the Month SPC. Class A Ordinary Share Zero Note Bond Jul 03/13. USD 29 july , , August , , September , , October , , November , , December , , January , * 1, February , , March , , April , , May , , June , , July , , August , , *Due to deteriorated economic and market conditions for bonds from financial institutions, the market value of the zero bond part of the ROBECO MULTI MARKET BOND JUL 03/13, USD has declined as of January 2, For the avoidance of doubt the downward adjustment of the Net Asset Value is not due to losses within the investment part of the product, nor does it have a negative impact on the investment part. In addition, the adjustment does not affect the minimum redemption amount at maturity. Page 5 of 10

6 TRADING ADVISORY REPORT Diversified Trend Program Market Report August 2012 In August, DTP stepped down a gear with a very low daily volatility and with a limited loss. In July, the biggest gains came from positions around "short euro". And although this "position" was already reduced during that month - a gradual reduction which continued during August - this "position" was responsible for most of the losses in August. The euro was strong in August, especially compared to many non-european currencies, including those from the resourcerich Australia and South Africa. And that brings us to the biggest - during the month gradually further building - risk concentration: "long commodityrich shares". This consists mainly of positions that anticipate rising exchange rates of currencies of commodity-rich and emerging countries and increasingly in positions anticipating rising equity markets. All positions that anticipate economic growth or recovery. The steadily declining Chinese equities indicated that this growth, unlike earlier this year, does not come from China. The fact that metal prices initially did not rise either is in line with this observation. The economic recovery is reflected in the commodity markets primarily through rising oil prices. This, as well as rising equity markets, delivered most of the gains for DTP in August. The decline in metal prices eventually came to an end mid-month, however due to an entirely different reason: escalating strikes in the South African mines. Metal prices shot upwards and the South African rand downwards as a result. Both price movements were not immediately beneficial to the positions of DTP. But they nicely illustrate a healthy development in the markets. When the rate of the South African currency and the prices of South African resources react to local problems in South Africa, this should - from a global economic perspective - be regarded as much healthier than when this occurs in reaction to local problems in Greece, as was often the case during Diverse price movements in other commodities, equities, interest rate and currency markets underline these healthy declining correlations. This is not only healthy for the global economy, but in principle also for DTP, although the program in August only benefited from the very low volatility that such low correlation brings to a broadly diversified portfolio. Interest rate instruments With increasing confidence in economic recovery, the popularity of safe havens decreased. This resulted in losses on long positions in interest rate instruments, in particular those of a longer term in North America. Equity related markets In the same North America, DTP benefited the most from rising stock prices. Profits were also made with the decline of equities in China (packaged in the Xinhua A50 Index). Less consistent price movements in a number of other emerging economies led to some losses, mainly on long positions. Currencies As mentioned, the biggest losses came from positions anticipating a further decline of the euro. Positions anticipating rising exchange rates of the currencies of oil-rich countries such as Norway and Mexico could not compensate for these losses. Commodities Although positions in the oil markets were smaller than those in oil-rich currencies, some systems did benefit from the upswing in North Sea oil and gasoline prices directly as well. The losses on short positions in metals remained fairly limited and some profits were earned with rising silver prices. Of the various positions in agricultural markets, positions in soybeans and soybean meal produced the most significant positive contribution as these markets started to chase the greatly increased corn prices seen in July. N.B. This report is prepared by Transtrend and serves to explain the background of the composite performance of its Diversified Trend Program. However, the portfolio composition of individual accounts generally deviates from the composition of the aggregate portfolio, as certain markets may or may not be included in individual portfolio s. THE VALUE OF YOUR INVESTMENT CAN FLUCTUATE. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. Page 6 of 10

7 RISK MANAGEMENT REPORT Graphical daily comparisons of the Indicative Bond NAV of Bond Jul 03/13 USD as at the close business of each business day: 2000 Bond Jul 03/13, USD Indicative NAV Jul Sep Oct Dec Feb Mar May Jul Aug-12 The value of your investment may fluctuate. Results obtained in the past are no guarantee for future results Graphical daily comparisons of the Zero Note Value of Bond Jul 03/13 USD as at the close of business on each business day: 1600 Bond Jul 03/13, USD Zero Note Value Jul Sep Oct Dec Feb Mar May Jul Aug-12 Page 7 of 10

8 Graphical daily comparisons of the Indicative NAV of SPC, Class A Ordinary Share as at the close of business on each business day: SPC, Class A Ordinary Shares Indicative NAV Jul Sep Oct Dec Feb Mar May Jul Aug-12 Graphical daily comparisons of the Minimum Redemption Amount of Bond Jul 03/13 USD as at the close of business on each business day: Bond Jul 03/13, USD Minimum Redemption Amount Jul Sep Oct Dec Feb Mar May Jul Aug-12 Page 8 of 10

9 Graphical profit and loss comparisons per asset class in respect of the relevant calendar month (please note that the column Interest Rates takes the return of the Zero Note also into account): 60% Profit/Loss per sector in % of Bond Jul 03/13, USD 40% 20% Profit/Loss % 0% -20% -40% -60% Commodities Currencies Interest Rates Stock Indices Month to date Year to date Since Inception Graphical comparisons of daily value-at-risk as at the close of business of each business day. The value at risk calculation used is based on the historical simulation method. This approach reconstructs 30 business days history of the current portfolio using the actual closing prices of each market. This calculation implicitly takes into account the recent correlation among various instruments in the portfolio and is expressed at two standard deviations. It is the value at risk expressed as a percentage of the value of SPC, Class A Ordinary Shares. 14% SPC, Class A Ordinary Shares Diversified Risk (Value at Risk) 12% 10% 8% 6% 4% 2% 0% 16-Jul Sep Oct Dec Feb Mar May Jul Aug-12 Page 9 of 10

10 Graphical daily comparisons of the Trading Level as at the close of business on each business day. The Trading Level is a measure which shows the exposure of Bond Jul 03/13 USD to the Diversified Trend Program, Enhanced Risk profile USD, of Transtrend. 100% Bond Jul 03/13, USD Trading Level 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% 14-Jul Sep Oct Dec Feb Mar May Jul Aug-12 IMPORTANT INFORMATION THIS REPORT IS PREPARED BY ROBECO INSTITUTIONAL ASSET MANAGEMENT B.V. ("ROBECO"). ROBECO IS REGISTERED WITH THE NETHERLANDS AUTHORITY FOR THE FINANCIAL MARKETS (AUTORITEIT FINANCIËLE MARKTEN) IN AMSTERDAM. ROBECO BANK HOLDING IS A TRADE NAME OF ROBECO DIRECT N.V., WHICH IS REGULATED IN THE NETHERLANDS UNDER THE ACT ON THE FINANCIAL SUPERVISION (WET FINANCIEEL TOEZICHT). THIS REPORT MAY NOT BE COPIED, DISSEMINATED, DISTRIBUTED OR DELIVERED TO, OR ACCEPTED BY, ANY OTHER PARTY. This report provides information about investment products which may not be registered or licensed for public offering in some jurisdiction and which are not offered hereby. This report is distributed with the sole purpose of providing additional information regarding this product. Neither this report nor any (other) information supplied in connection with the product constitutes an offer or invitation by or on behalf of Robeco, any of its affiliates or any other entity mentioned herein. The information in this report has been obtained from or based upon sources believed to be reliable, but Robeco does not represent or warrant its accuracy or completeness. Robeco will not be liable for any inaccuracy or incompleteness of the information mentioned herein. Additional information is available upon request. The value of your investment may fluctuate. Results obtained in the past are no guarantee for future results. Page 10 of 10