Vontobel Exchange Traded Structured Fund

Transcription

1 Vontobel Exchange Traded Structured Fund Société d Investissement à Capital Variable Audited annual report For the year ended August 31, 2010 R.C.S. Luxembourg N B

2 Audited annual report for the year ended August 31, 2010 This document is for information purposes only and does not constitute an offer to subscribe for shares of the Company. Subscriptions should in any event be made solely on the basis of the current offering prospectus or the corresponding simplified prospectus with the associated articles of incorporation and the most recent annual or semi-annual report and after seeking the advice of an independent finance, legal, accounting and tax specialist. Interested parties may obtain the abovementioned documents, the list of purchases and sales and the list of benchmarks free of charge from the representative in Switzerland: Vontobel Fonds Services AG, Gotthardstrasse 43, CH-8022 Zurich, the paying agent in Switzerland: Bank Vontobel AG, Gotthardstrasse 43, CH-8022 Zurich, the paying agent in Germany: B. Metzler seel. Sohn & Co. KGaA, Grosse Gallusstrasse 18, D Frankfurt am Main, from the authorised distribution agencies and from the offices of the Company at 69, Route d Esch, L-1470 Luxembourg. You may also download these documents from our website at Every shareholder accepts that Vontobel Fonds Services AG, Zurich, may consult entries in the register of shareholders in order to offer services to shareholders.

3 Vontobel Exchange Traded Structured Fund Société d'investissement à Capital Variable (SICAV) Luxembourg, R.C.S. Luxembourg N B Organisation 4 Combined Umbrella Fund 5 Vontobel ETSF - SLI Bonus Tracker 6 Vontobel ETSF - International Blue Chip Basket 100% Capital Protection at Maturity with Coupon 8 Vontobel ETSF - Raiffeisen Bonus Income Global Equity (CHF) 02/ Vontobel ETSF - Dynamic ISF Multi Strategy Tracker 12 Net Asset Value Summary 14 Report of the Board of Directors 15 Notes to the Financial Statements 16 Additional Unaudited Appendix 21 Report of the approved statutory auditor 23 Where to find us 24

4 Organisation Registered office of the Company Board of Directors of the Company Chairman Mr. Dominic Gaillard Members Mr. Philippe Hoss Mr. Anders Malcolm Mr. Markus Pfister Ms. Annemarie Arens Management company Custodian, central administration, registrar and transfer agent, domiciliary agent and listing agent Investment manager Legal advisor in Luxembourg Auditors Representative in Switzerland Paying agent in Switzerland Paying and information agent in Germany Global distributor Market maker Vontobel Exchange Traded Structured Fund 69, Route d Esch L-1470 Luxembourg Tel , Fax Vontobel Asset Management, Bank Vontobel AG, Zurich Elvinger, Hoss & Prussen, Luxembourg Vontobel Management S.A., Luxembourg Bank Vontobel AG, Zurich RBC Dexia Investor Services Bank S.A., Esch-sur-Alzette Vontobel Management S.A. 1, Côte d Eich L-1450 Luxembourg RBC Dexia Investor Services Bank S.A. 14, Porte de France L-4360 Esch-sur-Alzette Tel , Fax Bank Vontobel AG Gotthardstrasse 43 CH-8022 Zurich Tel , Fax Allen & Overy Luxembourg 33, Avenue J.F. Kennedy L-1855 Luxembourg Ernst & Young S.A. 7, Parc d Activité Syrdall L-5365 Munsbach Vontobel Fonds Services AG Gotthardstrasse 43 CH-8022 Zurich Tel , Fax Bank Vontobel AG Gotthardstrasse 43 CH-8022 Zurich Tel , Fax B. Metzler seel. Sohn & Co. KGaA Grosse Gallusstrasse 18 D Frankfurt am Main Tel , Fax Vontobel Europe S.A. 1, Côte d Eich L-1450 Luxembourg Bank Vontobel AG Gotthardstrasse 43 CH-8022 Zurich Tel , Fax

5 Combined Umbrella Fund Notes The accompanying notes form an integral part of these financial statements. Statement of Net Assets (2) Assets Investments in securities at market value 50,148,538 49,833,845 as at August 31, 2010 Cash at banks 7,003,288 Cost EUR Statement of Operations and Changes in Net Assets Receivable from subscriptions 24,783 Interests and dividends receivable 440,560 (8) Unrealised gain on swaps 2,366,541 Total Assets 59,669,017 Liabilities Payable for redemptions 24,783 (5) Service fees payable 17,633 (4) Subscription tax payable 5,135 (3) Management fees payable 60,194 Other fees payable 4,042 Total Liabilities 111,787 Total net assets at the end of the year 59,557,230 Net assets at the beginning of the year 47,272,549 Revaluation of opening combined Net Asset Value 5,316,385 from September 1, 2009 to August 31, 2010 Net investment income/loss 815,988 Change in unrealised appreciation/depreciation on: Investments 148,781 Swaps 1,983,639 Net realised gain/loss on investments 396,441 Net realised gain/loss on currency exchange 1,326 Net realised gain/loss on swaps 317,579 Increase/Decrease in net assets resulting from operations 2,570,658 Subscriptions of shares 9,542,821 Redemptions of shares 4,495,271 (10) Dividend distribution 649,912 Net assets at the end of the year 59,557,230 Statement of Net Income Income Bank interests 139 from September 1, 2009 to August 31, 2010 Net interests on bonds 926,912 Swaps interests 649,912 Other income 1,290 Total Income 1,578,253 (3) Expenses Management and distribution fees 660,466 (4) Subscription tax 29,710 Bank interests 3 (5) Service fees 15,519 (7) Other expenses 56,567 Total Expenses 762,265 Net investment income/loss 815,988 5

6 Vontobel ETSF - SLI Bonus Tracker Share Class B1 Shares outstanding at the beginning of the year 65, Number of shares subscribed - Number of shares redeemed - Shares outstanding at the end of the year 65, Net Asset Value per share Notes The accompanying notes form an integral part of these financial statements. Statement of Net Assets (2) Assets Investments in securities at market value 4,388,349 4,363,200 as at August 31, 2010 Cash at banks 628,057 Interests and dividends receivable 25,810 (8) Unrealised gain on swaps 70,532 Total Assets 5,087,599 (5) Liabilities Service fees payable 1,605 (4) Subscription tax payable 438 (3) Management fees payable 2,297 Other fees payable 355 Total Liabilities 4,695 Total net assets at the end of the year 5,082,904 Statement of Operations and Changes in Net Assets Net assets at the beginning of the year 5,177,587 from September 1, 2009 to August 31, 2010 Net investment income/loss 26,737 Change in unrealised appreciation/depreciation on: Investments 11,701 Swaps 419,287 Net realised gain/loss on investments 28,636 Net realised gain/loss on currency exchange 155 Net realised gain/loss on swaps 338,359 Increase/Decrease in net assets resulting from operations 94,683 Subscriptions of shares - Redemptions of shares - Net assets at the end of the year 5,082,904 Statement of Net Income Income Bank interests 101 from September 1, 2009 to August 31, 2010 Net interests on bonds 63,098 Total Income 63,199 (3) Expenses Management and distribution fees 26,975 (4) Subscription tax 2,669 Bank interests 2 (5) Service fees 2,157 (7) Other expenses 4,659 Total Expenses 36,462 Net investment income/loss 26,737 Cost CHF 6

7 Vontobel ETSF - SLI Bonus Tracker Portfolio as at August 31, 2010 Quantity Ccy Securities Maturity Market value in CHF % of net assets* Quantity Ccy Securities Maturity Market value in CHF % of net assets* Transferable securities admitted to an official stock exchange Bonds Austria 450,000 CHF 2.750% Österreichische Kontrollbank AG , Total - Austria 458, Canada 200,000 CHF 2.125% Bank of Nova Scotia ,000 CHF 0.428% Royal Bank of Canada , , Total - Canada 401, United Kingdom 200,000 CHF 0.160% BP Capital Markets , EMTN FRN 200,000 CHF 2.500% Bradford & Bingley , ,000 CHF 0.917% Royal Bank of Scotland 08 FRN , Total - United Kingdom 637, Total - Bonds 4,363, Total - Transferable securities admitted to an official stock exchange 4,363, Total - Investment in securities 4,363, France 400,000 CHF 0.798% Banque Federative du , Credit Mutuel 08 FRN 200,000 CHF 1.625% Total Capital , Total - France 602, Germany 250,000 CHF 2.125% Eurohypo SA , Luxembourg ,000 CHF 2.000% WestLB AG , Total - Germany 653, Ireland 250,000 CHF 0.903% Unicredit bank 08 FRN EMTN , Total - Ireland 249, Italy 400,000 CHF 2.750% Italy 04 EMTN , Total - Italy 406, Netherlands 300,000 CHF 1.125% Bank Nederlandse Gemeenten ,000 CHF 2.000% Rabobank Nederland , , Total - Netherlands 452, Switzerland 250,000 CHF 0.420% Credit Suisse 08 FRN , ,000 CHF 0.423% UBS AG 08 FRN , Total - Switzerland 500, The accompanying notes form an integral part of these financial statements. * Any deviations of the percentages of the nets assets are due to rounding. 7

8 Vontobel ETSF - International Blue Chip Basket 100% Capital Protection at Maturity with Coupon Share Class A1 Shares outstanding at the beginning of the year 135, Number of shares subscribed Number of shares redeemed Shares outstanding at the end of the year 135, Net Asset Value per share Notes The accompanying notes form an integral part of these financial statements. Statement of Net Assets (2) Assets Investments in securities at market value 11,318,439 11,264,286 as at August 31, 2010 Cash at banks 1,796,395 Interests and dividends receivable 69,899 (8) Unrealised gain on swaps 313,651 Total Assets 13,444,231 (5) Liabilities Service fees payable 3,983 (4) Subscription tax payable 1,157 (3) Management fees payable 5,927 Other fees payable 916 Total Liabilities 11,983 Total net assets at the end of the year 13,432,248 Statement of Operations and Changes in Net Assets Net assets at the beginning of the year 13,232,288 from September 1, 2009 to August 31, 2010 Net investment income/loss 149,769 Change in unrealised appreciation/depreciation on: Investments 14,931 Swaps 225,796 Net realised gain/loss on investments 92,774 Net realised gain/loss on currency exchange 400 Increase/Decrease in net assets resulting from operations 267,460 Subscriptions of shares 24,561 Redemptions of shares 24,561 (10) Dividend distribution 67,500 Net assets at the end of the year 13,432,248 Statement of Net Income Income Net interests on bonds 173,608 from September 1, 2009 to August 31, 2010 Swaps interests 67,500 Total Income 241,108 (3) Expenses Management and distribution fees 67,326 (4) Subscription tax 6,656 (5) Service fees 5,767 (7) Other expenses 11,590 Total Expenses 91,339 Net investment income/loss 149,769 Cost CHF 8

9 Vontobel ETSF - International Blue Chip Basket 100% Capital Protection at Maturity with Coupon Portfolio as at August 31, 2010 Quantity Ccy Securities Maturity Market value in CHF % of net assets* Quantity Ccy Securities Maturity Market value in CHF % of net assets* Transferable securities admitted to an official stock exchange Bonds Austria 1,200,000 CHF 2.750% Österreichische Kontrollbank AG ,223, Total - Austria 1,223, Canada 600,000 CHF 2.125% Bank of Nova Scotia ,000 CHF 0.428% Royal Bank of Canada , , Total - Canada 1,204, United Kingdom 600,000 CHF 2.500% Bradford & Bingley , ,000 CHF 2.250% Royal Bank of , Scotland 06 Total - United Kingdom 1,206, Total - Bonds 11,264, Total - Transferable securities admitted to an official stock exchange 11,264, Total - Investment in securities 11,264, France 500,000 CHF 0.798% Banque Federative du , Credit Mutuel 08 FRN 600,000 CHF 1.625% Total Capital , Total - France 1,105, Germany 600,000 CHF 2.125% Eurohypo SA , Luxembourg 05 1,000,000 CHF 2.000% WestLB AG ,004, Total - Germany 1,609, Ireland 1,000,000 CHF 0.903% Unicredit bank 08 FRN EMTN , Total - Ireland 999, Italy 1,200,000 CHF 2.750% Italy 04 EMTN ,220, Total - Italy 1,220, Netherlands 850,000 CHF 1.125% Bank Nederlandse Gemeenten , Total - Netherlands 852, Sweden 600,000 CHF 0.598% SEB 08 FRN EMTN , Total - Sweden 601, Switzerland 640,000 CHF 0.420% Credit Suisse 08 FRN , ,000 CHF 0.423% UBS AG 08 FRN , Total - Switzerland 1,240, The accompanying notes form an integral part of these financial statements. * Any deviations of the percentages of the nets assets are due to rounding. 9

10 Vontobel ETSF - Raiffeisen Bonus Income Global Equity (CHF) 02/2014 Share Class A1 Shares outstanding at the beginning of the year 275, Number of shares subscribed 25, Number of shares redeemed - Shares outstanding at the end of the year 300, Net Asset Value per share Notes The accompanying notes form an integral part of these financial statements. Statement of Net Assets (2) Assets Investments in securities at market value 26,197,078 26,048,675 as at August 31, 2010 Cash at banks 3,551,523 Interests and dividends receivable 144,382 (8) Unrealised gain on swaps 1,008,479 Total Assets 30,753,059 (5) Liabilities Service fees payable 9,182 (4) Subscription tax payable 2,645 (3) Management fees payable 19,919 Other fees payable 2,093 Total Liabilities 33,839 Total net assets at the end of the year 30,719,220 Statement of Operations and Changes in Net Assets Net assets at the beginning of the year 27,187,431 from September 1, 2009 to August 31, 2010 Net investment income/loss 850,041 Change in unrealised appreciation/depreciation on: Investments 24,765 Swaps 1,150,276 Net realised gain/loss on investments 156,462 Net realised gain/loss on currency exchange 1,154 Net realised gain/loss on swaps 63,578 Increase/Decrease in net assets resulting from operations 1,754,358 Subscriptions of shares 2,547,501 Redemptions of shares - (10) Dividend distribution 770,070 Net assets at the end of the year 30,719,220 Statement of Net Income Income Net interests on bonds 354,988 from September 1, 2009 to August 31, 2010 Swaps interests 770,070 Total Income 1,125,058 (3) Expenses Management and distribution fees 226,498 (4) Subscription tax 15,400 (5) Service fees 6,568 (7) Other expenses 26,551 Total Expenses 275,017 Net investment income/loss 850,041 Cost CHF 10

11 Vontobel ETSF - Raiffeisen Bonus Income Global Equity (CHF) 02/2014 Portfolio as at August 31, 2010 Quantity Ccy Securities Maturity Market value in CHF % of net assets* Quantity Ccy Securities Maturity Market value in CHF % of net assets* Transferable securities admitted to an official stock exchange Bonds Australia 1,000,000 CHF 0.457% Westpac Banking 08 FRN ,002, Total - Australia 1,002, Austria 1,250,000 CHF 3.250% BAWAG 99 EMTN ,267, ,500,000 CHF 2.750% Österreichische ,549, Kontrollbank AG 07 Total - Austria 3,817, United Kingdom 600,000 CHF 0.160% BP Capital Markets , EMTN FRN 1,500,000 CHF 2.500% Bradford & Bingley ,501, ,250,000 CHF 2.250% Royal Bank of Scotland ,261, Total - United Kingdom 3,356, Total - Bonds 26,048, Total - Transferable securities admitted to an official stock exchange 26,048, Total - Investment in securities 26,048, Canada 1,000,000 CHF 2.125% Bank of Nova Scotia 05 1,000,000 CHF 0.428% Royal Bank of Canada ,006, ,001, Total - Canada 2,007, France 2,000,000 CHF 0.798% Banque Federative du ,001, Credit Mutuel 08 FRN 1,400,000 CHF 1.625% Total Capital ,413, Total - France 3,414, Germany 2,000,000 CHF 2.000% WestLB AG ,009, Total - Germany 2,009, Ireland 2,000,000 CHF 0.903% Unicredit bank 08 FRN EMTN ,998, Total - Ireland 1,998, Italy 2,000,000 CHF 2.750% Italy 04 EMTN ,034, Total - Italy 2,034, Netherlands 1,000,000 CHF 1.125% Bank Nederlandse Gemeenten ,003, Total - Netherlands 1,003, Sweden 2,000,000 CHF 0.598% SEB 08 FRN EMTN ,003, Total - Sweden 2,003, Switzerland 2,000,000 CHF 0.420% Credit Suisse 08 FRN ,001, ,400,000 CHF 0.423% UBS AG 08 FRN ,400, Total - Switzerland 3,401, The accompanying notes form an integral part of these financial statements. * Any deviations of the percentages of the nets assets are due to rounding. 11

12 Vontobel ETSF - Dynamic ISF Multi Strategy Tracker Share Class A1 Shares outstanding at the beginning of the year 280, Number of shares subscribed 120, Number of shares redeemed 71, Shares outstanding at the end of the year 330, Net Asset Value per share Notes The accompanying notes form an integral part of these financial statements. Statement of Net Assets (2) Assets Investments in securities at market value 17,633,263 17,495,257 as at August 31, 2010 Cash at banks 2,366,234 Receivable from subscriptions 24,783 Interests and dividends receivable 254,262 (8) Unrealised gain on swaps 1,285,906 Total Assets 21,426,442 Liabilities Payable for redemptions 24,783 (5) Service fees payable 6,172 (4) Subscription tax payable 1,845 (3) Management fees payable 38,356 Other fees payable 1,432 Total Liabilities 72,588 Total net assets at the end of the year 21,353,854 Statement of Operations and Changes in Net Assets Net assets at the beginning of the year 17,207,737 from September 1, 2009 to August 31, 2010 Net investment income/loss 19,440 Change in unrealised appreciation/depreciation on: Investments 108,900 Swaps 1,241,222 Net realised gain/loss on investments 180,826 Net realised gain/loss on swaps 104,363 Increase/Decrease in net assets resulting from operations 1,075,299 Subscriptions of shares 7,547,031 Redemptions of shares 4,476,213 Net assets at the end of the year 21,353,854 Statement of Net Income Income Bank interests 61 from September 1, 2009 to August 31, 2010 Net interests on bonds 467,787 Other income 1,290 Total Income 469,138 (3) Expenses Management and distribution fees 411,542 (4) Subscription tax 10,525 Bank interests 1 (5) Service fees 4,274 (7) Other expenses 23,356 Total Expenses 449,698 Net investment income/loss 19,440 Cost EUR 12

13 Vontobel ETSF - Dynamic ISF Multi Strategy Tracker Portfolio as at August 31, 2010 Quantity Ccy Securities Maturity Market value in EUR % of net assets* Quantity Ccy Securities Maturity Market value in EUR % of net assets* Transferable securities admitted to an official stock exchange Bonds Austria 750,000 EUR 5.250% Austria , Total - Austria 762, Denmark 1,000,000 EUR 5.875% Danske Bank ,035, ,000 EUR 1.729% Nykredit Bank 08 FRN , Total - Denmark 1,939, Finland 250,000 EUR 2.750% Finland , ,000 EUR 2.500% Sampo , Total - Finland 1,001, Sweden 700,000 EUR 4.250% Nordea Hypothek , AB ,000 EUR 1.396% Svenska Handelsbanken 08 FRN , Total - Sweden 1,618, United Kingdom 1,000,000 EUR 5.125% Credit Suisse 08 EMTN ,022, Total - United Kingdom 1,022, Total - Bonds 17,495, Total - Transferable securities admitted to an official stock exchange 17,495, Total - Investment in securities 17,495, France 350,000 EUR 4.750% BNP Paribas , Total - France 357, Germany 640,000 EUR 5.375% Bayerische , Landesbank ,000 EUR 1.327% Deutsche Bank 08 FRN , ,000 EUR 1.046% Deutsche Bank AG , FRN 1,000,000 EUR 2.500% KfW ,002, ,000,000 EUR 3.150% Nordrhein ,009, Westfalen ,000 EUR 5.250% Sachsen-Anhalt , Total - Germany 4,483, Italy 900,000 EUR 0.935% Unicredit SpA 05 FRN , Total - Italy 900, Netherlands 900,000 EUR 5.625% Bank Nederlandse , Gemeenten ,000 EUR 1.249% Fortis Bank 09 FRN , ,000 EUR 1.641% ING Bank NV 08 FRN , ,500,000 EUR 2.750% Nederlandse ,513, Waterschapsbank ,000 EUR 3.625% Rabobank Nederland , Total - Netherlands 4,134, Norway 900,000 EUR 4.750% Dnb Nor Bank ASA , ,000 EUR 4.375% Eksportfinans As , Total - Norway 1,275, The accompanying notes form an integral part of these financial statements. * Any deviations of the percentages of the nets assets are due to rounding. 13

14 Net Asset Value Summary Sub-Funds Net Assets ISIN Net Asset Value per Share Vontobel ETSF - SLI Bonus Tracker Vontobel ETSF - International Blue Chip Basket 100% Capital Protection at Maturity with Coupon Vontobel ETSF - Raiffeisen Bonus Income Global Equity (CHF) 02/2014 Vontobel ETSF - Dynamic ISF Multi Strategy Tracker CHF 6,358,653 5,177,587 5,082,904 B1 LU CHF 4,247,338 13,232,288 13,432,248 A1 LU CHF - 27,187,431 30,719,220 A1 LU ,995,458 17,207,737 EUR 21,353,854 A1 LU

15 Report of the Board of Directors For the period from September 1, 2009 to August 31, 2010 Dear Investors, During the period under review the assets of the Vontobel Traded Structured Fund increased from EUR Mio. to EUR Mio. The positive performance of the sub-funds is mainly a result of the cash inflows from investors and the positive performance of the portfolio. No new Share Classes have been launched nor have existing Share Classes been liquidated during the period under review. Please find detailed information in regard to the individual Share Classes and their performance during the last year in the respective reports and compilations. The Board of Directors notes that the statements made in the audit certificate in respect of the Board of Directors' statutory responsibility are solely those of the auditor. The responsibilities and obligations of the Board of Directors are laid down by law. The Board of Directors believes that it has met these obligations in their entirety. 15

16 Notes to the Financial Statements 1 General information Vontobel Exchange Traded Structured Fund (hereafter referred to as the "Company") is an investment company incorporated on September 21, 2007 for an indefinite duration under Luxembourg Law and with the status of a "Société d'investissement à Capital Variable" ("SICAV"), an investment company with variable capital. The Company falls within the scope of application of Part I of the Luxembourg Law of December 20, 2002 on Undertakings for Collective Investment (including subsequent amendments and additions) (the "2002 Law") (UCITS within the meaning of Directive 85/611/EEC, as amended). The Company's financial year ends on August 31. The legal basis for the Company is laid down by the Articles of Association of the Company. The Articles of Association were published for the first time on October 9, 2007 in the Luxembourg Official Gazette ("Mémorial C, Recueil des Sociétés et Associations Mémorial"). They are filed with the Trade and Companies Register of the District Court of Luxembourg where they may be consulted and copies thereof may be obtained. The Company is registered in the Trade and Companies Register of the District Court of Luxembourg with registration number B The Company has different sub-funds ("Sub-Funds"), each of which has an independent portfolio of assets and liabilities and is managed in line with its specific investment objective. In accordance with the Articles of Association of the Company, the Board of Directors of the Company ("Board of Directors") may at any time establish different share classes ("Share Classes") within any Sub-Fund whose assets are invested collectively, but for which specific characteristics, including by not limited to a specific investor profile, fee structure, minimum investment amount, tax and distribution policy may be applied. As of August 31, 2010, the Company has the following Sub-Funds and Share Classes available: Vontobel ETSF - Currency Share Class SLI Bonus Tracker CHF Accumulating share class : B1 International Blue Chip Basket 100% Capital Protection at Maturity with Coupon CHF Distributing share class : A1 Raiffeisen Bonus Income Global Equity (CHF) 02/2014 CHF Distributing share class : A1 Dynamic ISF Multi Strategy Tracker EUR Accumulating share class : A1 The Share Classes A1 and B1 are intended for private (retail) investors. The investment objective of the respective Sub-Funds is to enable investors to share in the performance of an underlying and to generate a return coupled to this. With a view to achieving this investment objective, the Sub-Funds may pursue the following investment policy: a) Indirect participation in the performance of the underlying through derivative transactions subject to the investment restrictions, the Sub-Fund will primarily: i. invest in securities, money market instruments and units of UCITS and other UCI up to a maximum of 10% of net Fund assets (the base portfolio), and ii. conclude derivative transactions, including in the form of OTC transactions. This will primarily involve swap contracts. Indirect participation in performance will be provided through the above-mentioned derivative transactions, particularly OTC swap transactions involving negotiation of a swap contract on the usual market terms. Returns for the investor will be determined by the performance of the base portfolio and of the derivative financial instrument (swap contract) which was used to participate in the performance of the underlying. b) Direct participation in the performance of the underlying through investment in the underlying securities. In addition to this indirect participation in performance, the Sub-Fund can also invest directly in the underlying securities and thereby achieve a performance coupled to the underlying. The investment objective of the Vontobel Exchange Traded Structured Fund - SLI Bonus Tracker is to achieve a return by participating in an unrestricted way in the performance of the SLI Swiss Leader Index (CHF) (the underlying) and through protection from price losses to a predetermined level (the barrier). The investment objective of the Vontobel Exchange Traded Structured Fund - International Blue Chip Basket 100% Capital Protection at Maturity with Coupon is to achieve a return by means of the Sub-Fund making annual coupon payments based on the average capped performance of all the shares in the Blue Chip Basket (the underlying) and at the same time through capital protection at maturity of 100% of the issue price of this Sub-Fund. The capital protection is achieved through hedging transactions, not by way of a guarantor. The investment objective of the Vontobel Exchange Traded Structured Fund - Raiffeisen Bonus Income Global Equity (CHF) 02/2014 is to achieve a return by means of the Sub-Fund making annual coupon payments, if applicable, based on the average capped performance of all the shares in the Global Equity Basket (the underlying) and at the same time through capital protection at maturity of 100% of the initial issue price of this Sub-Fund. The capital protection is achieved through hedging transactions, not by way of a guarantor. 16

17 Notes to the Financial Statements 1 General information (continued) The investment objective of the Vontobel Exchange Traded Structured Fund - Dynamic ISF Multi Strategy Tracker is to achieve a return by means of the Sub-Fund outperforming the S&P Dynamic Multi-Asset Strategy Index in EUR through tactical overweighting and underweighting of individual asset classes. 2 Accounting principles a) Financial statements The annual financial statements have been drawn up in accordance with Luxembourg legal provisions relating to investment funds. b) Valuation of the securities portfolio i. The value of any cash on hand or on deposit, bills, demand notes, accounts receivable, expenses paid, cash dividends and interest declared or accrued but not yet received shall be deemed to be the full amount, unless there is any possibility of this amount not being paid or received in full, in which case the value shall be obtained after deducting an amount deemed appropriate by the Company to reflect the true value of the assets. ii. iii. iv. Securities or money market instruments which are officially listed or are traded on a stock exchange, or which are traded on another regulated market, are to be valued on the basis of their closing price on the day before the valuation day, or, if the securities or money market instruments are listed on more than one stock exchange, the closing price on the day before the valuation day on that stock exchange which is the main market for these assets applies. Shares which are issued by an open-ended investment fund are to be valued at their most recently available net asset value. The value of securities or money market instruments which are not traded on a stock exchange or on a regulated market, and the value of securities or money market instruments which are traded on a stock exchange or on a regulated market but whose value determined as under (ii.) is not in line with the market, will be determined by the Board of Directors or the management company in good faith on the basis of the selling price which could be expected to be achieved. The value of forward, futures and options contracts that are not traded on a stock exchange or other organized market shall be valued according to guidelines laid down in good faith by the Board of Directors or the management company, with the same method being used for all contracts. The value of forward, futures and options contracts that are traded on a stock exchange or other organized market shall be determined on the basis of the last available settlement price for these contracts on stock exchanges or organized markets on which forward, futures or options contracts of this kind are traded; however, the value of such contracts that are not sold on a business day for which a net asset value is calculated shall be determined on the basis of the value regarded by the Board of Directors or the management company as appropriate and adequate. v. Liquid assets and money market instruments with a residual maturity of less than twelve months can be valued at their nominal value plus accrued interest or in consideration of scheduled amortization of historical costs. The latter method can lead to temporary discrepancies between values and the prices that the Sub-Fund in question would receive on selling the investment. The Board of Directors or the management company shall constantly review this valuation method and recommend any necessary changes to ensure that the valuation of these assets results in an appropriate value that can be determined in good faith according to the procedures laid down by the Board of Directors or the management company. If the Board of Directors or the management company takes the view that deviation from the scheduled amortization of historical costs per share would lead to considerable dilution or other undesired effects for shareholders, the Board of Directors or the management company must make any corrections it considers appropriate to avoid or restrict dilution or other undesired effects, where this is possible and reasonable. vi. Swap transactions are valued at fair value as determined in good faith according to methods laid down by the Board of Directors. All other securities and approved assets, and those aforementioned assets for which valuation was not possible according to the provisions above or where such valuation would not reflect their fair value, shall be valued at their fair market value, determined in good faith according to methods laid down by the Board of Directors. c) Realised gains and losses on sales of securities Realised gains and losses from the sale of securities are calculated on the basis of average costs; gains and losses from the sale of futures and options are calculated according to the FIFO principle. d) Income Dividends are recognized in the Statement of Net Income on the day on which the security was listed for the first time as ex dividend, provided this information is available to the Company. Accrued interest is allocated on a daily basis. Coupons received from the issuers of the underlying securities are included in the position Net interests on bonds. Interest receivable for the Company is booked to Interests and dividends receivable. e) Conversion of items in foreign currencies The base currencies are converted into Euros to produce combined financial statements that comply with provisions under Luxembourg Law. Assets and liabilities denominated in foreign currencies are converted into the base currency using the exchange rate applicable as at the balance-sheet date. Foreign currency transactions are converted using the exchange rate applicable as at the transaction day. 17

18 Notes to the Financial Statements 2 Accounting principles (continued) f) Taxation With the exceptions listed under point 4, the Company is not subject to any local taxes. However, in accordance with the applicable foreign legislation, the Company may be subject to capital gains taxes and withholding tax on interest and dividend income at differing rates. For the purpose of disclosure, withholding income tax that is not eligible for reimbursement is deducted from the gross dividends/interest amounts. Capital gains taxes are deducted from sales proceeds as a reduction in realised profits. 3 Management and distribution fees The global distributor receives a management and distribution fee which includes all fees to the portfolio manager. The distribution and management fee is calculated based on the average of the net asset values of the Sub-Fund during the relevant quarter plus any value added tax incurred abroad. The distribution and management fee is payable at the end of each quarter. The applicable rates as at August 31, 2010 are as below: Sub-Funds Share Class Effective Rate Vontobel ETSF - SLI Bonus Tracker B1 0.41% Vontobel ETSF - International Blue Chip Basket 100% Capital Protection at Maturity with Coupon A1 0.41% Vontobel ETSF - Raiffeisen Bonus Income Global Equity (CHF) 02/2014 A1 0.65% Vontobel ETSF - Dynamic ISF Multi Strategy Tracker A1 2.01% 4 Subscription tax In accordance with the 2002 Law, the Company is currently exempt from income and capital gains taxes in Luxembourg. According to this law, however, the Company is subject to a subscription tax ("taxe d'abonnement"). For all Share Classes in all Sub-Funds reserved for the institutional investors, the tax amounts to 0.01% and for all other Share Classes of all Sub-Funds to 0.05% of the net assets of the Share Classes concerned. The tax is payable quarterly and is based on the net assets of the Company at the end of the relevant quarter. 5 Service fees The Company pays a service fee, which covers the Company s central administration, management, custodian bank, registrar and transfer agent and global distribution function and support costs. This service fee shall be calculated based on the average daily net asset values of the relevant Sub-Fund during the corresponding month plus any value added tax incurred abroad and amount together annually to a maximum 0.30%, to be charged to the relevant Sub-Fund at the end of the month. 6 Exchange rates When converting balance sheet positions that are denominated in foreign currencies into Euros as at August 31, 2010, the following exchange rate was used: 1 EUR CHF 7 Other expenses The details of the caption Other expenses shown in the Statement of Net Income were as follows as at August 31, 2010: Sub-Funds Description Amount in Sub-Fund currency Vontobel ETSF - SLI Bonus Tracker Operating fees 4,168 Legal fees 491 Total CHF 4,659 Vontobel ETSF - International Blue Chip Basket 100% Capital Protection at Maturity with Coupon Operating fees 10,403 Legal fees 1,187 Total CHF 11,590 Vontobel ETSF - Raiffeisen Bonus Income Global Equity (CHF) 02/2014 Operating fees 23,804 Legal fees 2,747 Total CHF 26,551 Vontobel ETSF - Dynamic ISF Multi Strategy Tracker Operating fees 15,445 Legal fees 1,914 Extraordinary fees 5,997 Total EUR 23,356 18

19 Notes to the Financial Statements 8 Off-balance-sheet transactions Swaps The following swap contracts were open as at August 31, 2010: Vontobel ETSF - SLI Bonus Tracker Description Currency Maturity Date Commitment Unrealised gain/loss in Sub-Fund currency SWP VSLA1 ETSF CHF ,500,000 70,532 Underlying SLI Swiss Leader Index (ISIN: CH ) Vontobel ETSF - International Blue Chip Basket 100% Capital Protection at Maturity with Coupon Description Currency Maturity Date Commitment Unrealised gain/loss in Sub-Fund currency SWP VIBC1 ETSF CHF ,500, ,651 Underlying ALTRIA GROUP INC New York US02209S1033 BHP BILLITON PLC London GB BIOGEN IDEC INC NASDAQ GS US09062X1037 ELECTROLUX AB-SER B Stockholm SE ENI SPA Milan IT ERICSSON LM-B SHS Stockholm SE GAMESA CORP TECNOLOGICA SA Continuous ES HALLIBURTON CO New York US NESTLE SA-REG Virt-x CH PFIZER INC New York US Q-CELLS AG Xetra DE ROCHE HOLDING AG-GENUSSCHEIN Virt-x CH SKANSKA AB-B SHS Stockholm SE SOLARWORLD AG Xetra DE SUNPOWER CORP-CLASS A NASDAQ GS US SWISS RE-REG Virt-x CH TAKEDA PHARMACEUTICAL CO LTD Tokyo JP TEXAS INSTRUMENTS INC New York US TOKYO GAS CO LTD Tokyo JP TRANSOCEAN INC New York KYG

20 Notes to the Financial Statements 8 Off-balance-sheet transactions (continued) Vontobel ETSF - Raiffeisen Bonus Income Global Equity (CHF) 02/2014 Unrealised gain/loss Description Currency Maturity Date Commitment in Sub-Fund currency SWP VZRBI ETSF CHF ,000,000 1,008,479 Underlying APPLE INC NASDAQ GS US ASTRAZENECA PLC London GB BRITISH AMERICAN TOBACCO PLC London GB CHINA MOBILE LTD Hong Kong HK COCA-COLA CO/THE New York US FRANCE TELECOM SA EN Paris FR GLAXOSMITHKLINE PLC London GB GOOGLE INC-CL A NASDAQ GS US38259P5089 MCDONALD S CORP New York US NESTLE SA-REG SWX EuropeLt CH NINTENDO CO LTD Osaka JP NOKIA OYJ Helsinki FI NOVARTIS AG-REG SWX EuropeLt CH RESEARCH IN MOTION NASDAQ GS CA ROCHE HOLDING AG-GENUSSCHEIN SWX EuropeLt CH SAMSUNG ELECTRONICS CO LTD Korea SE KR SAP AG Xetra DE SOFTBANK CORP Tokyo JP VODAFONE GROUP PLC London GB00B16GWD56 WAL-MART STORES INC New York US Vontobel ETSF - Dynamic ISF Multi Strategy Tracker Unrealised gain/loss Description Currency Maturity Date Commitment in Sub-Fund currency SWP VZISF ETSF EUR ,750,000 1,285,906 Portfolio- Rebalancing The basis of the tactical allocation of the portfolio are the following six indexes: EURIBOR 1M (liquidity), S&P GSCI Excess Return (raw materials), DJ EuroSTOXX50 Index (Shares), CS Tremont Market Neutral Hedge Fund Index (Shares Alpha), DJ Euro Currency Index (foreign exchange), Bloomberg EUR Real-Estate Index (Real Estate) The average of the indices in the portfolio is based on an optimisation algorithm. 9 Net asset value The net asset value per Share Class is calculated on every day which is a bank business day in Luxembourg. The valuation of the securities portfolio was drawn up on the basis of the last available prices. 10 Dividend distribution The General Meeting of Shareholders of the Company decided to pay out the following dividends: Sub-Funds Vontobel ETSF - International Blue Chip Basket 100% Capital Protection at Maturity with Coupon Vontobel ETSF - Raiffeisen Bonus Income Global Equity (CHF) 02/2014 Share Class Record date Ex-date Payment date Currency Amount per share A CHF 0.50 A CHF

21 Additional Unaudited Appendix TER as at August 31, 2010 The fees and costs incurred in managing the Company must be disclosed using the internationally recognized Total Expense Ratio (TER). This financial ratio expresses the total fees and costs which are charged on an ongoing basis to the Fund assets (operating expenditure) retrospectively as a percentage of net Fund assets, and is generally calculated according to the following formula: TER = Total operating expenses in AC* X 100 Average net assets in AC* * AC = Units in the accounting currency of the Company The "TER" for the Sub-Funds is shown below: Sub-Funds TER Vontobel ETSF - SLI Bonus Tracker 0.69% Vontobel ETSF - International Blue Chip Basket 100% Capital Protection at Maturity with Coupon 0.69% Vontobel ETSF - Raiffeisen Bonus Income Global Equity (CHF) 02/ % Vontobel ETSF - Dynamic ISF Multi Strategy Tracker 2.28% PTR In accordance with the guidelines provided by the Swiss Funds Association (SFA), the Company must post a Portfolio Turnover Rate (PTR) for the last 12-month period. This figure expresses the purchases and sales of securities (daily closure) carried out by the portfolio during the period in question as a percentage of the average net assets of the Company during this period. The PTR is defined as a ratio of portfolio turnover: Sub-Funds PTR Vontobel ETSF - SLI Bonus Tracker % Vontobel ETSF - International Blue Chip Basket 100% Capital Protection at Maturity with Coupon % Vontobel ETSF - Raiffeisen Bonus Income Global Equity (CHF) 02/ % Vontobel ETSF - Dynamic ISF Multi Strategy Tracker % This figure indicates the relevance of the incidental costs incurred by the collective investment scheme when buying and selling investments. PTR = (Total 1 Total 2) Average net assets in AC** X 100 ** AC = Units in the accounting currency of the collective investment scheme Total 1 = Sum of securities transactions = X +Y Securities purchases in AC = X Securities sales in AC = Y Total 2 = Sum of transactions involving shares in collective investment schemes = S + T Issue of shares in AC = S Redemption of shares in AC = T 21

22 Additional Unaudited Appendix Performance The performance shown is based on historical data, which provides no indication of current or future performance. In calculating the performance data, any commissions and costs incurred in the issue and redemption of shares have not been taken into account. The performance, unaudited by us, was calculated in accordance with the SFA (Swiss Funds Association) guideline of May 16, Sub-Funds Share Class Currency ISIN Launch date Since launch Vontobel ETSF - SLI Bonus Tracker B1 CHF LU n.a % -1.83% % Vontobel ETSF - International Blue Chip Basket 100% Capital Protection at Maturity with Coupon A1 CHF LU n.a. 4.31% 1.51% -0.50% Vontobel ETSF - Raiffeisen Bonus Income Global Equity (CHF) 02/2014 Vontobel ETSF - Dynamic ISF Multi Strategy Tracker A1 CHF LU n.a % 3.58% 2.40% A1 EUR LU n.a % 5.36% % Because of the nature and structure of this Company, there are no plans to give an underlying value in the prospectus, and therefore there will be no performance comparison. 22

23 Report of the approved statutory auditor To the Shareholders of Vontobel Exchange Traded Structured Fund We have audited the accompanying financial statements of Vontobel Exchange Traded Structured Fund and of each of its sub-funds, which comprise the statement of net assets and the portfolio as at August 31, 2010, the statement of operations and changes in net assets and the statement of net income for the year then ended and a summary of significant accounting policies and other explanatory notes to the financial statements. Board of Directors of the SICAV responsibility for the financial statements The Board of Directors of the SICAV is responsible for the preparation and fair presentation of these financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements. This responsibility includes: designing, implementing and maintaining internal control relevant to the preparation and fair presentation of 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. Responsibility of the réviseur d entreprises agréé Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with International Standards on Auditing as adopted for Luxembourg by the Commission de Surveillance du Secteur Financier. Those standards require 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 judgement of the réviseur d entreprises agréé, 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 réviseur d entreprises agréé 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 evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by the Board of Directors of the SICAV, as well as evaluating 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 Vontobel Exchange Traded Structured Fund and of each of its sub-funds as of August 31, 2010, and of the results of their operations and changes in their net assets for the year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation and presentation of the financial statements. Other matter Supplementary information included in the annual report has been reviewed in the context of our mandate but has not been subject to specific audit procedures carried out in accordance with the standards described above. Consequently, we express no opinion on such information. However, we have no observation to make concerning such information in the context of the financial statements taken as a whole. ERNST & YOUNG Société Anonyme Cabinet de révision agréé Nadia Faber Luxembourg, November 25,

24 Where to find us Switzerland Vontobel Holding AG Gotthardstrasse 43 CH-8022 Zurich Tel. +41 (0) Fax +41 (0) Bank Vontobel AG Gotthardstrasse 43 CH-8022 Zurich Tel. +41 (0) Fax +41 (0) Bank Vontobel AG Schweizerhofquai 3a P.O. Box 2265 CH-6002 Lucerne Tel. +41 (0) Fax +41 (0) Bank Vontobel AG Place de l Université 6 CH-1205 Geneva Tel. +41 (0) Fax +41 (0) Vontobel Fonds Services AG Gotthardstrasse 43 CH-8022 Zurich Tel. +41 (0) Fax +41 (0) Vontobel Securities AG Gotthardstrasse 43 CH-8022 Zurich Tel. +41 (0) Fax +41 (0) Germany Vontobel Europe SA Frankfurt am Main Branch Kaiserstrasse 6 D Frankfurt am Main Tel. +49 (0) Fax +49 (0) Bank Vontobel Europe AG Asset Finance Unterer Anger 3 D Munich Tel. +49 (0) Fax +49 (0) Vontobel Financial Products GmbH Kaiserstrasse 6 D Frankfurt am Main Tel. +49 (0) Fax +49 (0) Bank Vontobel Europe AG Sudanhaus Grosse Bäckerstrasse 13 D Hamburg Tel. +49 (0) Fax +49 (0) Bank Vontobel Europe AG Alter Hof 5 D Munich Tel. +49 (0) Fax +49 (0) Vontobel Securities AG Auf dem Berlich 1 D Cologne Tel. +49 (0) Fax +49 (0) United Kingdom Vontobel Europe SA London Branch 33 St James Square London SW1Y 4JS UK Tel Fax Hong Kong Vontobel Asia Pacific Ltd Jardine House 1 Connaught Place, Central, Hong Kong Tel Fax Italy Vontobel Europe SA Milan Branch Piazza degli Affari, 3 I Milan Tel Fax Liechtenstein Bank Vontobel (Liechtenstein) AG Pflugstrasse 20 FL-9490 Vaduz Tel Fax Vontobel Treuhand AG Pflugstrasse 20 FL-9490 Vaduz Tel Fax Luxembourg Vontobel Europe SA 1, Côte d Eich L-1450 Luxembourg Tel Fax Vontobel Management SA 1, Côte d Eich L-1450 Luxembourg Tel Fax Austria Bank Vontobel Austria AG Rathausplatz 4 A-5024 Salzburg Tel. +43 (0) Fax +43 (0) Bank Vontobel Austria AG Kärntner Strasse 51 A-1010 Vienna Tel. +43 (0) Fax +43 (0) Vontobel Europe SA Vienna Branch Kärntner Strasse 51 A-1010 Vienna Tel. +43 (0) Fax +43 (0) Spain Vontobel Europe SA, Sucursal en España Paseo de la Castellana, 40 bis - 6 E Madrid Tel Fax Cayman Islands Bank Vontobel Cayman P.O. Box Grand Pavilion Commercial Centre West Bay Road, Grand Cayman, KY Cayman Islands Tel Fax Vontobel Trust Company Cayman P.O. Box Grand Pavilion Commercial Centre West Bay Road, Grand Cayman, KY Cayman Islands Tel Fax Canada Bank Vontobel AG Representative Office Suite West Hastings St. Vancouver, BC V6C 2W2, Canada Tel Fax USA Vontobel Asset Management, Inc Broadway, 38 th Floor New York, NY 10036, USA Tel Fax Vontobel Securities Ltd. New York Branch 1540 Broadway, 38 th Floor New York, NY 10036, USA Tel Fax vonsec@vusa.com U.A.E. Vontobel Financial Products Ltd. Liberty House, Office 913 Dubai International Financial Centre P.O. Box Dubai, United Arab Emirates Tel (4) Fax +971 (4) Vontobel Invest Ltd. Liberty House, Office 913 Dubai International Financial Centre P.O. Box Dubai, United Arab Emirates Tel (4) Fax +971 (4)