Principal Protected Nikkei 225 Linked Fund Without Target Auto Redemption (AUD) ( )

Transcription

1 (an open-ended umbrella unit trust constituted by a trust deed dated October 21, 2008 under the laws of the Cayman Islands) Principal Protected Nikkei 225 Linked Fund Without Target Auto Redemption (AUD) ( ) Audited Annual Report for the period from December 22, 2008 (Inception date) to October 30, 2009

2 Table of contents (an open-ended umbrella unit trust constituted by a trust deed dated October 21, 2008 under the laws of the Cayman Islands) Administration of the Trust 3 General information 5 Principal Protected Nikkei 225 Linked Fund Without Target Auto Redemption (AUD) ( ) General information 7 Report of the Board of Directors of the Manager 9 Independent auditor s report Pending Statement of net assets 9 Statement of operations and changes in net assets 10 Statistical information 11 Statement of investments 12 Classification of investments by country and by economical sector 13 Notes to the financial statements 14

3 Administration of the Trust Manager Citigroup First Investment Management Limited 50/F Citibank Tower, Citibank Plaza, 3 Garden Road, Central, Hong Kong Board of Directors of the Manager Trustee Directors : Mr. Harold Ho Young Kim, Managing Director Citigroup Global Markets Asia Limited Mr. Jeremy David Collard, Director Citigroup Global Markets Asia Limited. CIBC Bank and Trust Company (Cayman) Limited CIBC Financial Centre, 11 Dr. Roy s Drive, P.O. Box 694 GT, Cayman Islands Administrator Agent Nikko Bank (Luxembourg) S.A. 9A, rue Robert Stümper, L-2557 Luxembourg, Grand Duchy of Luxembourg Custodian Agent Nikko Bank (Luxembourg) S.A. 9A, rue Robert Stümper, L-2557 Luxembourg, Grand Duchy of Luxembourg Page 3

4 Administration of the Trust (continued) Agent Company Nikko Cordial Securities Inc. 3-1, Marunouchi 3-chome, Chiyoda-ku, Tokyo, , Japan Distributor in Japan Nikko Cordial Securities Inc. 3-1, Marunouchi 3-chome, Chiyoda-ku, Tokyo, , Japan Legal adviser to the Manager Auditor In Cayman Islands Law : Maples and Calder The Center, 53 rd Floor, 99 Queen s Road Central, Hong Kong In Japanese Law : Mori Hamada & Matsumoto Marunouchi Park Building, Marunouchi, Chiyoda-ku, Tokyo , Japan KPMG P.O. Box 493, Century Yard, Cricket Square, Grand Cayman, KY1-1106, Cayman Islands Page 4

5 General information (an open-ended umbrella unit trust constituted by a trust deed date October 21, 2008 under the laws of the Cayman Islands) (the Trust ), established as an openended umbrella unit trust, is a group of Cayman Islands series unit trusts. Each series unit trust in the Trust has been established pursuant to the Trust Deed dated October 21, 2008 (the Trust Deed ) and the respective supplemental trust deed made between CIBC Bank and Trust Company (Cayman) Limited (the Trustee ) and Citigroup First Investment Management Limited (the Manager ). The Trust falls within the definition of a regulated mutual fund pursuant to the Mutual Funds Law (2007 Revision) of the Cayman Islands (the Law ). The Trust has been granted a mutual fund license pursuant to section 5 of the Law. The Trust is also a retail mutual fund for the purposes of The Retail Mutual Funds (Japan) Regulations (2007 Revision) of the Cayman Islands (the Regulations ). The operation of the Trust and its investment business is subject to the Law and the Regulations. The assets constituting the trust fund of each series trust are segregated from the assets constituting the trust fund of each other series trust and are managed separately, and liabilities attributable to each series trust are segregated from the liabilities attributable to the other series trusts. The Trust Deed is governed by the laws of the Cayman Islands. All Unitholders are entitled to the benefit of, are bound by, and are deemed to have notice of, the terms of the Trust Deed and any trust deed supplemental thereto. The Trust has been established as an umbrella unit trust. A separate portfolio or series trust can be created and established to which assets and liabilities attributable to the relevant series trust will be applied. Units relating exclusively to each series trust will be issued. The details specific to each series trust will be set forth in a separate appendix to the offering memorandum. The Manager Citigroup First Investment Management Limited is the manager of the Trust. The Manager is responsible under the Trust Deed for managing the investments contained within the trust fund of each series trust. The Manager is a company incorporated in Hong Kong and is wholly-owned by Citigroup Global Markets Hong Kong Holdings Limited, an indirect wholly owned subsidiary of Citigroup Inc. Page 5

6 General information (continued) The Trustee CIBC Bank and Trust Company (Cayman) Limited is the trustee of the Trust. The Trustee is a company incorporated and existing under the laws of the Cayman Islands. The Trustee is a majority-owned subsidiary of the Canadian Imperial Bank of Commerce, one of the largest banks in the world. The Administrator The Trustee has appointed Nikko Bank (Luxembourg) S.A. to act as the administrator (the Administrator ) and transfer agent of the Trust. Pursuant to the terms of the Administration Agreement, the Administrator will, inter alia, conduct all the day to day administration of the Trust, provide or procure the provision of the services of transfer agent to the Trust, determine the net asset value and the subscription and repurchase prices of Units and perform the duties of keeping the accounts of each series trust. The Administrator is a bank incorporated as a société anonyme under the laws of the Grand Duchy of Luxembourg and is a subsidiary of Nikko Cordial Securities Inc. The Custodian The Trustee has appointed Nikko Bank (Luxembourg) S.A. to act as custodian (the Custodian ) of the assets of each series trust. The Agent Company The Manager has appointed Nikko Cordial Securities Inc. as agent company (the Agent Company ) for the Manager in Japan. The Distributor The Manager has appointed Nikko Cordial Securities Inc. to act as the distributor of the Units of the Trust in Japan. Page 6

7 General information (continued) The Trust is established as an open-ended umbrella unit trust. At the date of this report, the following eight series trusts are in operation : * Principal Protected Dow Jones Industrial Average Linked Fund Without Target Auto Redemption (USD) ( ) * Principal Protected Dow Jones Industrial Average Linked Fund With Target Auto Redemption (USD) ( ) * Principal Protected Nikkei 225 Linked Fund With Target Auto Redemption (AUD) ( ) *Principal Protected Nikkei 225 Linked Fund Without Target Auto Redemption (AUD) ( ) * Knock-in Type/Lowest Price Reference Nikkei 225 Linked Fund With Target Auto Redemption (JPY) ( ) * Knock-in Type/Lowest Price Reference Nikkei 225 Linked Fund Without Target Auto Redemption (JPY) ( ) * Conditional Principal Protected China A Share Linked Fund With Target Auto Redemption (JPY) ( ) * Conditional Principal Protected China A Share Linked Fund Without Target Auto Redemption (JPY) ( ) Principal Protected Nikkei 225 Linked Fund Without Target Auto Redemption (AUD) ( ) (the Series Trust ) is a series trust created and established pursuant to the Trust Deed and a supplemental trust deed made on December 22, 2008 between the Trustee and the Manager. Page 7

8 General information (continued) Unitholders information The Series Trust's financial year ends on October 31 in each year. The first financial year of the Series Trust will be the period ending on October 31, Audited annual accounts and unaudited semi-annual accounts will be prepared in accordance with Luxembourg general accepted accounting principles and will generally be sent to Unitholders within five months of the end of each financial year for the audited accounts and within three months of the end of the period to which they relate for the unaudited accounts. The first report is this semi-annual report as of April 30, Further copies of the annual reports and accounts are available at the offices of the Trustee, the Manager and the Administrator. The issue price and repurchase price for units as of the most recent issue day and repurchase day are available on request without charge at the office of the Administrator. Page 8

9 Report of the Board of Directors of the Manager For the year ended October 31, 2009 Xxxxx Xxxxxx Page 9

10 Report of the Board of Directors of the Manager (continued) For the year ended October 31, 2009 (continued) Xxxxx Xxxxxx Luxembourg, xx Page 10

11 Independent Auditors Report To the Unitholders of KPMG Cayman Islands Page 11

12 Statement of net assets as at October 30, 2009 Principal Protected Nikkei 225 Linked Fund Without Target Auto Redemption (AUD) ( ) Notes AUD Assets Investments At cost 44,615, At market value 51,202, Cash at bank 1,033, Total assets 52,236, Liabilities Agent company and Distributor fees payable 7 10, Management fees payable 4 6, Administrator fees payable 5 1, Custodian fees payable Formation expenses payable 2.3 1, Other expenses payable 955, Total liabilities 975, Total net assets 51,261, Number of units outstanding 449,227 Net assets per unit The accompanying notes are an integral part of these financial statements. Page 12

13 Statement of operations and changes in net assets for the period from December 22, 2008 (Inception date) to October 30, 2009 Principal Protected Nikkei 225 Linked Fund Without Target Auto Redemption (AUD) ( ) Notes AUD Income Income on investments , Bank interest , Total income 1,254, Expenses Printing and publishing expenses 525, Legal expenses 396, Professional expenses 321, Agent company and Distributor fees 7 552, Management fees 4 331, Trustee fees 3 79, Administrator fees 5 99, Safekeeping fees 5, Custodian fees 6 11, Transaction fees Other expenses , Total expenses 2,491, Net investment loss (1,237,283.04) Net realised on : Gain on investments 26,465, Gain on foreign exchange Net realised gain for the period 25,228, Net change in unrealised on : Appreciation on investments 6,586, Net increase in net assets as result of operations 31,815, Movement in capital Subscription of units 229,965, Redemption of units (210,519,762.91) Net movement in capital 19,445, Net assets at the beginning of the period 0.00 Net assets at the end of the period 51,261, The accompanying notes are an integral part of these financial statements. Page 13

14 Statistical information Principal Protected Nikkei 225 Linked Fund Without Target Auto Redemption (AUD) ( ) Number of units outstanding at the end of the period : Units issued 2,299,651 Units redeemed (1,850,424) October 30, 2009 Total net assets at the end of the period : AUD October 30, ,261, Net assets per unit: AUD October 30, Page 14

15 Statement of investments as at October 30, 2009 Principal Protected Nikkei 225 Linked Fund Without Target Auto Redemption (AUD) ( ) Nominal Description Currency Cost Market value Ratio* I. Medium term note AUD AUD % 44,922,700 CITIGROUP FD INC AUD225 13FEB19 NTA AUD 44,615, ,202, Total medium term note 44,615, ,202, Total investments 44,615, ,202, The accompanying notes are an integral part of these financial statements. (*) Weight of the market value against the total net assets expressed in %. Page 15

16 Classification of investments Principal Protected Nikkei 225 Linked Fund Without Target Auto Redemption (AUD) ( ) Classification of investments by country and by economical sector Country Economical sector Ratio (%) * USA Mortgage & Funding Institutions Total investments (*) Weight of the market value against the total net assets expressed in %. Page 16

17 Notes to the financial statements (As at October 30, 2009) Principal Protected Nikkei 225 Linked Fund Without Target Auto Redemption (AUD) ( ) Note 1 - Activity Principal Protected Nikkei 225 Linked Fund Without Target Auto Redemption (AUD) ( ) (the Series Trust ) is a Series Trust created and established pursuant to the Trust Deed and a supplemental trust deed made on December 22, 2008 between the Trustee and the Manager. Investment objective and policies The investment objective of the Series Trust is to provide unitholders with the potential for capital growth and 100% capital protection if the units are held until and including March 13, 2019, through investment of all, or substantially all, of the proceeds from the issue of the units in certain notes which will be redeemed at an amount calculated by reference to the Dynamic Portfolio (the "Notes"). The Notes will form part of a series of unsecured senior debt securities issued by Citigroup Funding Inc. (the Issuer ), the payments on which are fully and unconditionally guaranteed by Citigroup Inc. The Notes will rank equally with all other unsecured and unsubordinated debt of the Issuer, and the guarantee of any payments due under the Notes will rank equally with all other unsecured and unsubordinated debt of Citigroup Inc. As of April 30, 2009, the rating of the Issuer is A2 (Stable) (by Moody's Investors Service), A (Stable) (by Standard & Poor's) and A+ (Stable) (by Fitch) based upon a guarantee from its parent company, Citigroup Inc. The 100% capital protection for the Units, which is provided by the maturity payout of the Notes, is therefore subject to the credit risk of the Issuer and Citigroup Inc. In the event that the Notes are redeemed before the Note Maturity Day, including in the circumstances described in the section headed Risk Factors - Investment in the Notes - The Notes may be redeemed early at an amount less than AUD100 per Note of the Appendix IV of the Series Trust, the Notes are subject to early redemption in four circumstances as follow and the Manager may determine to terminate the Series Trust on such Termination Date as it may determine : 1. Early redemption following a Hedging Disruption Event. 2. Early redemption for taxation reasons or for illegality. 3. An event of default. 4. Early redemption following an index adjustment event. In such cases, the Notes will not provide for a return of the entire amount of the initial investment. If the Notes are so redeemed early, the Issuer will pay to each holder of the Notes in respect of each Note an amount equal to the fair market value of such Note less the cost to the Issuer and/or its affiliates of unwinding any underlying related hedging arrangements, as determined by the Calculation Agent. There is no guarantee that the amount repaid to investors will be equal to or higher than the Series Trust's initial investment in the relevant Notes. Page 17

18 Notes to the financial statements (As at October 30, 2009) Principal Protected Nikkei 225 Linked Fund Without Target Auto Redemption (AUD) ( ) Note 2 - Significant accounting policies Presentation of financial statements The financial statements are prepared in accordance with Luxembourg generally accepted Accounting principles applicable to investment funds Valuation of the investments in securities In determining the net asset value and the net asset value per unit, the Administrator will follow the following valuation policies and procedures : (a) over-the-counter instruments will be valued in the good faith discretion of the Manager based on quotations received from dealers deemed appropriate by the Manager in consultation with the Administrator; (b) short-term money market instruments and bank deposits will be valued at cost plus accrued interest; and (c) all other assets and liabilities will be valued in the good faith discretion of the Manager in consultation with the Administrator, including assets and liabilities for which there is no identifiable market value Other fees and expenses The costs and expenses in connection with the establishment of the Series Trust and the offering of the Units (the Initial Costs ) will be approximately AUD410,000, which will expensed before March 13, A provision for known future recurring fixed costs relating to the ongoing operation of the Series Trust (the "Fixed Costs Provision") will also be made in order to account for such costs in full by no later than March 13, 2009 which costs will be paid as they arise. To the extent that such Fixed Costs Provision is insufficient to meet all the aforementioned recurring fixed costs the Manager will pay any shortfall. In the event that the Series Trust is terminated earlier than March 13, 2019, the net asset value will be adjusted and increased by the amount of the Unspent Provision Interest income Interest income is accrued on a daily basis Foreign currency translation Assets and liabilities expressed in other currencies than the Australian Dollar are translated at exchange rates ruling at period-end. Transactions in foreign currencies are translated into Australian Dollar at exchange rates ruling at the transaction dates. Unrealised and realised gains and losses on foreign currencies are recorded in the statement of operations and changes in net assets for the period. Page 18

19 Notes to the financial statements (As at October 30, 2009) Principal Protected Nikkei 225 Linked Fund Without Target Auto Redemption (AUD) ( ) Note 3 - Trustee fee The Trustee is entitled to receive out of the trust fund of the Series Trust a trustee fee of US$ 5,000 per annum during the period from, but excluding, the January 30, 2009 (the Closing Date ) to, but excluding, March 13, 2019 (the Termination Date ), payable annually in arrear. Note 4 - Management fee The Manager is entitled to receive out of the Trust Fund of the Series Trust a management fee at the rate of 0.3% per annum of the product of AUD100 multiplied by the number of Units in issue during the period from, but excluding, the Closing Date to, but excluding, the Note Maturity Date or such earlier date as the Notes may be redeemed in full by the Issuer, calculated and accrued daily and payable monthly in arrear. Note 5 - Administrator fee The Administrator is entitled to receive out of the Trust Fund of the Series Trust a fee of up to 0.09% per annum of the product of AUD100 multiplied by the number of Units in issue during the period from, but excluding, the Closing Date to, but excluding, the Note Maturity Date or such earlier date as the Notes may be redeemed in full by the Issuer, calculated and accrued daily and payable monthly in arrear. Note 6 - Custodian fee The Custodian is entitled to receive out of the Trust Fund of the Series Trust a fee of up to 0.01% per annum of the product of AUD100 multiplied by the number of Units in issue during the period from, but excluding, the Closing Date to, but excluding, the Note Maturity Date or such earlier date as the Notes may be redeemed in full by the Issuer, calculated and accrued daily and payable monthly in arrear. Note 7 - Agent Company and Distributor fee The Agent Company and Distributor are entitled to receive out of the Trust Fund of the Series Trust a combined fee of up to 0.5% per annum of the product of AUD100 multiplied by the number of Units in issue during the period from, but excluding, the Note Maturity Date or such earlier date as the Notes may be redeemed in full by the Issuer, calculated and accrued daily and payable monthly in arrear. Page 19

20 Notes to the financial statements (As at October 30, 2009) Principal Protected Nikkei 225 Linked Fund Without Target Auto Redemption (AUD) ( ) Note 8 - Taxation Cayman Islands Under current tax laws in the Cayman Islands, there are no other taxes payable by the Series Trust. As a result, no provision for income taxes has been made in the accounts Other Countries The Series Trust may be subject to withholding or other taxes on certain income sourced in other countries. Prospective purchasers should consult legal and tax advisors in the countries of their citizenship, residence and domicile to determine the possible tax or other consequences of purchasing, holding and repurchasing units under the laws of their respective jurisdiction. Page 20