Swiss Life Funds (LUX)

Bond Global Corporates Bond Inflation Protection Equity Euro Zone Equity Europe Equity Global Diversified Equity Global exeurope Equity Global High Dividend Equity Global Sustainability (liquidated as at April 13, 2012) Dynamic Allocation Dynamic Indexing Income () Dynamic Indexing Balanced () Dynamic Indexing Growth () Maturity Guaranty 2019+2 Portfolio Global Income Prudent () Portfolio Euro Zone Balanced () Portfolio Global Balanced Harmony () Portfolio Global Growth () Portfolio Global Growth Vitality () Luxembourg B 69.186 Audited annual report as at August 31, 2012 for Switzerland No subscription can be received on the basis of this report. Subscriptions are only valid if made on the basis of the current prospectus supplemented by the last available annual report of the SICAV and the latest semiannual report if published after such annual report. Sales Restrictions : Shares of this Company may not be offered, sold or distributed within the United States of America. 1

Table of contents Page(s) Management and Administration 1 General information on the Company 3 Information to the Shareholders 5 Report of the Board of Directors 8 Audit report 13 Statement of Net Assets as at August 31, 2012 15 Statement of Operations and Changes in Net Assets 21 for the year ended August 31, 2012 Statistical information 35 Performance 45 Notes to the financial statements as at August 31, 2012 50 Bond Global Corporates Schedule of Investments as at August 31, 2012 68 Geographical classification of investments 70 Economic classification of investments 71 Bond Inflation Protection Schedule of Investments as at August 31, 2012 72 Geographical classification of investments 73 Economic classification of investments 74 Equity Euro Zone Schedule of Investments as at August 31, 2012 75 Geographical classification of investments 83 Economic classification of investments 84 Equity Europe Schedule of Investments as at August 31, 2012 85 Geographical classification of investments 88 Economic classification of investments 89 Equity Global Diversified Schedule of Investments as at August 31, 2012 90 Geographical classification of investments 92 Economic classification of investments 93 Equity Global exeurope Schedule of Investments as at August 31, 2012 94 Geographical classification of investments 96 Economic classification of investments 97

Table of contents (cont.) Equity Global High Dividend Schedule of Investments as at August 31, 2012 98 Geographical classification of investments 103 Economic classification of investments 104 Dynamic Allocation Schedule of Investments as at August 31, 2012 105 Geographical classification of investments 106 Economic classification of investments 107 Dynamic Indexing Income () Schedule of Investments as at August 31, 2012 108 Geographical classification of investments 109 Economic classification of investments 110 Dynamic Indexing Balanced () Schedule of Investments as at August 31, 2012 111 Geographical classification of investments 112 Economic classification of investments 113 Dynamic Indexing Growth () Schedule of Investments as at August 31, 2012 114 Geographical classification of investments 115 Economic classification of investments 116 Maturity Guaranty 2019+2 Schedule of Investments as at August 31, 2012 117 Geographical classification of investments 118 Economic classification of investments 119 Portfolio Global Income Prudent () Schedule of Investments as at August 31, 2012 120 Geographical classification of investments 122 Economic classification of investments 123 Portfolio Euro Zone Balanced () Schedule of Investments as at August 31, 2012 124 Geographical classification of investments 128 Economic classification of investments 129 Portfolio Global Balanced Harmony () Schedule of Investments as at August 31, 2012 130 Geographical classification of investments 132 Economic classification of investments 133

Table of contents (cont.) Portfolio Global Growth () Schedule of Investments as at August 31, 2012 134 Geographical classification of investments 139 Economic classification of investments 140 Portfolio Global Growth Vitality () Schedule of Investments as at August 31, 2012 141 Geographical classification of investments 143 Economic classification of investments 144

Management and Administration Board of Directors Chairman of the Board of Directors: Marcel Finker Directors: JeanPierre Grimaud Member of Executive Board, Asset Management Ltd, Zurich, Switzerland Chief Executive Officer, Asset Management (France) SA, Paris, France Dagmar Maroni Director, Asset Management Ltd, Zurich, Switzerland Registered Office 16, boulevard Royal, L2449 Luxembourg Management Company Management Company, 16, boulevard Royal, L2449 Luxembourg Custodian and Paying Agent, From April 30, 2012 Socété Générale Bank & Trust S.A., 11, avenue Emilie Reuter, L2420 Luxembourg Until April 30, 2012 UBS Fund Services (Luxembourg) S.A., 33 A, avenue J.F. Kennedy, L1855 Luxembourg Administrator, Corporate and Domiciliary Agent From April 30, 2012 Société Générale Securities Services Luxembourg S.A., 16, boulevard Royal, L2449 Luxembourg Until April 30, 2012 UBS Fund Services (Luxembourg) S.A., 33 A, avenue J.F. Kennedy, L1855 Luxembourg Registrar Agent From April 30, 2012 European Fund Services S.A., 18, boulevard Royal, L2449 Luxembourg Until April 30, 2012 UBS Fund Services (Luxembourg) S.A., 33 A, avenue J.F. Kennedy, L1855 Luxembourg Portfolio Management Asset Management AG, General GuisanQuai 40, CH8002 Zurich Asset Management (France), 86, boulevard Haussmann, F75008 Paris 1

Management and Administration (cont.) Auditor PricewaterhouseCoopers, Société coopérative, 400 route d'esch, L1014 Luxembourg Legal Advisors Arendt & Medernach, Avocats à la Cour, 14, rue Erasme, B.P. 39, L2010 Luxembourg Representative in Switzerland Asset Management AG, General GuisanQuai 40, CH8002 Zurich Paying Agent in Switzerland UBS AG, Bahnhofstrasse 45, CH8098 Zurich Information Agent in Germany Partner Service und Finanzvermittlungs GmbH, Berliner Straße 85, D80805 Munich Paying Agent in Germany WestLB AG, Herzogstrasse 15, D40217 Düsseldorf Central Agent in France Banque, 7, place Vendôme, F75041 Paris Cedex 01 The sales prospectus and the KIID (Key Investor Information), management regulations, annual and semiannual reports as well as the portfolio movements of the Company mentioned in this publication are available free of charge at the Swiss Representative and at the registered office of the Company. 2

General information on the Company is an openend investment company and was founded on April 8, 1999 for an unlimited period on the initiative of Ltd, with its registered office in Zurich. The Company is registered in Luxembourg as an undertaking for collective investment in transferable securities (UCITS, or OPCVM Organisme de Placement Collectif en Valeurs Mobilières). The Company is listed on the official list of collective investment undertakings, in accordance with the Law of December 17, 2010 and the law of August 10, 1915 relating to commercial companies. In particular, Part I of the Law of December 17, 2010 as defined by the UCITS Directive, is applicable. The Company's Articles were published for the first time on May 14, 1999 in the Mémorial after being lodged with the Registrar of the District Court of, and in, Luxembourg, where they may be consulted and where copies may be obtained against payment of the Registrar's fee. The Company is entered in the Luxembourg Register of Companies under number B 69.186. The Company is organised in the form of an umbrella fund. The Articles provide that the Company may offer separate Classes of Shares each representing interests in a SubFund comprised of a distinct portfolio of investments. Additional SubFunds may, with the prior approval of the Regulatory Authority, be created by the Directors. As at August 31, 2012 seventeen SubFunds are available to investors: Bond Global Corporates Bond Inflation Protection Equity Euro Zone Equity Europe Equity Global Diversified Equity Global exeurope Equity Global High Dividend Dynamic Allocation Dynamic Indexing Income () Dynamic Indexing Balanced () Dynamic Indexing Growth () Maturity Guaranty 2019+2 Portfolio Global Income Prudent () Portfolio Euro Zone Balanced () Portfolio Global Balanced Harmony () Portfolio Global Growth () Portfolio Global Growth Vitality () 3

General information on the Company (cont.) In all Classes, Shares can be either : distribution shares, which basically entitle to an annual dividend and which reduce their Net Asset Value by an amount corresponding to the distribution made ( Distribution Shares ), capitalisation shares which do not entitle to a dividend and whose Net Asset Value is not changed on the dividend payment date, the percentage of the total Net Asset Value attributable to the capitalisation shares being increased accordingly ( Capitalisation Shares ). The Directors may decide on the issuance of further Classes of Shares. The issue of further Classes of Shares must be notified to the Regulatory Authority. Each Class may have a specific sales and redemption charge structure, a specific management or advisory fee structure, different distribution, shareholders servicing or other fees or different types of targeted investors. By the circular resolution from April 30, 2012 the Board of Directors decided to terminate the I share class in the Portfolio Global Balanced Harmony since the share class has been empty for a while and is no longer needed. As at April 13, 2012, the subfund Equity Global Sustainability was liquidated. 4

Information to the Shareholders All general meetings of the Shareholders are held at the registered office of the Company in Luxembourg or at any other place as may be specified in the notice of the meeting. Notice of any general meeting of Shareholders shall be mailed to each registered Shareholder at their addresses listed in the share register at least eight days prior to the meeting and shall be published to the extent required by Luxembourg law in the Mémorial and in any Luxembourg and other newspaper(s) that the Directors may determine. The annual general meeting of shareholders will take place on the second Thursday of the month of December at 11.00 a.m. at the registered office of the Company or at any other place in the GrandDuchy of Luxembourg as may be specified in the notice of the meeting, and, if such day is not a Business Day, on the immediately following Business Day. The notice will be published in accordance with Luxembourg law and shall specify the venue and time of the meeting and the business to be transacted at the meeting. The financial year of the Company is twelve months, ending on August 31 in each year. The annual report containing the audited accounts of the Company as well as the unaudited semiannual report of the Company and the SubFunds for each financial year will be available to a Shareholder within four months and two months respectively, of the end of the relevant period to which they relate. A proxy may attend on behalf of any Shareholder. The requirements for quorum and majorities at all general meetings are set out in the Articles. Each Share gives the holder one vote in relation to any matters relating to the Company which are submitted to Shareholders for a vote by poll. All Shares of each Class have equal voting rights. The Total Expense Ratio (TER) and the unaudited Ongoing Charges (OGC) for the period from September 1, 2011 to August 31, 2012 are the following. This ratio was calculated in accordance with the Swiss Funds Association s (SFA) Guidelines on the calculation and disclosure of the TER and PTR and expresses the sum of all costs and commissions charged on an ongoing basis to the net assets (operating expenses) taken retrospectively as a percentage of the net assets. SubFunds Share Class Currency TER OGC Bond Global Corporates Class R Cap 1.12% 1.16% Bond Global Corporates Class R Cap 1.17% 1.21% Bond Global Corporates Class Q Cap 0.62% 0.66% Bond Inflation Protection Class R Cap 1.18% 1.17% Performance fees 0.00% Bond Inflation Protection Class I Cap 0.68% 0.64% Performance fees 0.00% Equity Euro Zone Class R Cap 1.69% 1.73% Equity Europe Class I Cap 1.19% 1.20% Equity Europe Class R Cap 2.18% 2.18% Equity Global Diversified Class I Cap 1.13% 1.71% Equity Global Diversified Class R Cap 2.09% 2.67% 5

Information to the Shareholders (cont.) SubFunds Share Class Currency TER OGC Equity Global exeurope Class I Cap 1.40% 2.05% Equity Global exeurope Class R Cap 2.26% 2.91% Equity Global High Dividend Class I Cap 0.96% 0.97% Equity Global High Dividend Class R Dist 1.93% 1.94% Equity Global High Dividend Class R Cap 1.91% 1.92% Equity Global High Dividend Class R Dist 1.81% 1.81% Dynamic Allocation Class R Cap 1.71% 2.13% Dynamic Indexing Income () Class R Cap 2.00% 2.26% Dynamic Indexing Balanced () Class R Cap 2.02% 2.30% Dynamic Indexing Growth () Class R Cap 2.20% 2.50% Maturity Guaranty 2019+2 Class R Cap 0.84% 0.84% Portfolio Global Income Prudent () Class R Cap 1.22% 1.61% Portfolio Euro Zone Balanced () Class R Cap 1.72% 1.73% Portfolio Global Balanced Harmony () Class R Cap 1.66% 2.06% Portfolio Global Growth () Class R.Cap 1.66% 1.82% Portfolio Global Growth Vitality () Class I Cap 1.13% 1.57% Portfolio Global Growth Vitality () Class R Cap 2.09% 2.54% The list of changes in the portfolio is available at the registered office of the Company and foreign representatives. 6

Information to the Shareholders (cont.) The Portfolio Turnover Rate (PTR) is as follows : SubFunds 01/09/11 31/08/12 Bond Global Corporates 82% Bond Inflation Protection 94% Equity Euro Zone 379% Equity Europe 755% Equity Global Diversified 74% Equity Global exeurope 3% Equity Global High Dividend 359% Equity Global Sustainability* 171% Dynamic Allocation 315% Dynamic Indexing Income () 62% Dynamic Indexing Balanced () 60% Dynamic Indexing Growth () 62% Maturity Guaranty 2019+2 22% Portfolio Global Income Prudent () 18% Portfolio Euro Zone Balanced () 57% Portfolio Global Balanced Harmony () 53% Portfolio Global Growth () 110% Portfolio Global Growth Vitality () 105% * Liquidated on April 13, 2012. 7

Report of the Board of Directors The global economy may still be scarred by the debt crisis in the eurozone and its impact on government financing, yet certain new trends can be observed. In Germany, China and the US we can recognise the following developments: In Germany, a leading exporter and model economy within the eurozone, durable goods orders stagnated globally during the period under review. Although orders for durable goods from the eurozone fell sharply, there was a substantial increase in orders from the rest of the world. In China, the focus seems to be on an economic stimulus package and measures to support domestic growth. This is aimed at compensating for low exports by encouraging the consumerist middle classes who are enjoying the first rise in their purchasing power for ten years. In the US, unemployment is slowly but surely starting to fall from the peak figures recorded in 2009, with the creation of four million new jobs in the private sector since 2010. This is an important factor since the structural elasticity of the US economy makes economic indicators such as the unemployment rate even better predictors of economic trends. An improvement in these indicators suggests then a positive growth rate for the US economy during the coming months. This explains the good overall performance of the US equity market this year. The question, which will doubtless be asked in the runup to the presidential election, is the following: What fiscal measures should be taken to increase this rate of growth and also help drive other economies? Bond Global Corporates Risk aversion has brought credit spreads to historical levels in November last year, but following the two ECB s long term refinancing operations in December and February, spreads across Europe have rallied. Although peripheral Europe sovereign and banking concerns and the Greek restructuring have contributed negatively to market sentiment during the course of the year, spreads found ground to rally, at least in core European countries. Financial senior debt and high beta credits outperformed the market. Subordinated financial debt benefited from the surge in liquidity but in a lesser fashion. Hence overweighing financial sub debt has weighed negatively on the performance of Bond Global Corporates which has increased by 5.12% for the Q unit class in, 4.12% for the R unit class in and 4.60 for the R unit class in. Although one could expect the rally in credit markets to carry on for the next few months, visibility remains poor. Europe has yet to address its major structural flaws and poor economic data releases severely constrain governments room for manoeuvre. Any negative newsflow could spark a surge in risk premia and push back risky assets onto a negative trend. Bond Inflation Protection Developments in the situation of peripheral Europe sovereigns, new budget limitations in core European countries, and limited prospects for a solution in the short run have weighed on conditions in breakeven markets over the past weeks. Although liquidity has bettered since year half which has helped improve market sentiment and pushed breakeven levels above recent lows, linkers still seem out of favour. Sovereign bonds issued by countries in peripheral Europe were again poor performers. These conditions weighed on the performance of Bond Inflation Protection which stands at 0.77%. Although it seems reasonable to keep a constructive outlook for breakeven markets, visibility remains poor. Europe has yet to address its major structural flaws and poor economic data releases severely constrain governments room for manoeuvre in a context where deflationary forces are still at work. 8

Report of the Board of Directors (cont.) Equity Euro Zone The annual performance of Equity Euro Zone as at August 31, 2012 was 3.14%. The topdown strategy introduced during the financial year controls the portfolio risk (measured by its volatility) by allocating a target weighting to each sector of the portfolio, which is calculated on the basis of its specific contribution to the fund's overall risk. Equity Europe The annual performance of Equity Europe as at August 31, 2012 was 1.69% for the I unit class in and 0.70% for the R unit class in. During the first half of the financial year the fund maintained a cautious attitude with respect to allocations in the consumer durables and materials sectors, favouring instead the consumer discretionary, energy and utilities sectors. From January 2012, the portfolio pursued a more defensive strategy, focusing on sectors such as health care, consumer staples and telecommunications and reducing its holdings in the financial, materials and energy sectors. This change adversely impacted the portfolio in the first half of the year. The currency hedging used until June 30, 2012 also had a negative impact on the portfolio. In the coming financial year, the portfolio will continue its strategies for selecting securities, while controlling its risk level. Equity Global Diversified The annual performance of Equity Global Diversified as at August 31, 2012 was 6.38% for the R unit class and 7.39% for the I unit class. During the financial year 20112012, the fund managers maintained a strategic allocation in the emerging markets in order to lower the overall volatility of the portfolio. The traditional allocation in large areas of the developed world continued to be at levels close to the MSCI World Ex Europe index. Equity Global exeurope The annual performance of Equity Global exeurope as at August 31, 2012 was 7.66% for the R unit class and 9.93% for the I unit class. During the financial year 20112012, the fund managers maintained a strategic allocation in the emerging markets in order to lower the overall volatility of the portfolio. The traditional allocation in large areas of the developed world continued to be at levels close to the MSCI World Ex Europe index. Equity Global High Dividend The annual performance of Equity Global High Dividend as at 31 August 2012 was 0.28% for the R unit class in (Distribution), 3.86% for the R unit class in (Capitalisation), 3.32% for the R unit class in and 4.84% for the I unit class. In the first half of the financial year the portfolio performed well due to the strong contribution made by high dividend securities. In contrast to 2011, these securities have little performed and market players have tended not to favour them. In addition, euro hedging has had a negative impact on the portfolio since the start of the European debt crisis. The fund will continue to invest in high dividend securities, with an emphasis on lower risk securities. 9

Report of the Board of Directors (cont.) Dynamic Allocation The fund showed price gains of 5.47% during the reporting period. The use of hedging transactions kept volatility low, as reflected in the attractive risk/return ratio of 0.71%. The underweighting of bonds in favour of money market investments, as well as currency hedging had a negative impact on the overall result. In the current environment we have a preference for emerging markets but will continue to enter into hedging transactions for risk management purposes. We also favour individual raw material sectors since they benefit disproportionately from stimulus packages. We see little potential for government bonds and continue to avoid interestbearing instruments from structurally weak countries in southern Europe. Dynamic Indexing Income () The Dynamic Indexing Income () fund showed price gains of 4.40% in terms during the reporting period. Eurozone equities were underweighted in favour of US equities during the reporting period. The overweighting of equities against bonds had a positive impact on fund performance. Dynamic Indexing Balanced () The Dynamic Indexing Balanced () fund showed price gains of 5.98% in terms during the reporting period. Eurozone equities were underweighted in favour of US equities during the reporting period. The overweighting of equities against bonds had a positive impact on fund performance. Dynamic Indexing Growth () The Dynamic Indexing Growth () fund showed price gains of 7.06% in terms during the reporting period. Eurozone equities were underweighted in favour of US equities during the reporting period. The overweighting of equities against bonds had a positive impact on fund performance. Maturity Guaranty 2019+2 The Maturity Guaranty 2019+2 fund showed price gains of 5.05% in terms during the reporting period. The fund invests exclusively in bonds with a high credit rating and contains a capital guarantee on maturity (as described in the prospectus). Portfolio Global Income Prudent () The annual performance of Portfolio Global Income Prudent () as at August 31, 2012 was 6.70%. The quantitative allocation method between equities and fixed income introduced in June 2011 was applied through the 20112012 financial year. This method sets target levels for the various underlying equities and interest rates on the basis of their respective volatilities for the purposes of better controlling the overall portfolio risk. The results have been satisfactory and this method will therefore continue to be applied during the 20122013 financial year. 10

Report of the Board of Directors (cont.) Portfolio Euro Zone Balanced () The annual performance of Portfolio Euro Zone Balanced () as at August 31, 2012 was 8.63%. Performance is largely attributable to the bond ratio since the defensive equity exposure made little contribution to overall performance. The portfolio allocation between equities and fixed income will remain neutral to slightly overweight in equities in the coming months. Portfolio Global Balanced Harmony () The annual performance of Portfolio Global Balanced Harmony () as at August 31, 2012 was 8.40%. The quantitative allocation method between equities and fixed income introduced in June 2011 was applied through the 20112012 financial year. This method sets target levels for the various underlying equities and interest rates on the basis of their respective volatilities for the purposes of better controlling the overall portfolio risk. The results have been satisfactory and this method will therefore continue to be applied during the 20122013 financial year. Funds (Lux) Portfolio Global Growth () Over the last 12 months the fund achieved capital growth of 14.25%. The underweighting of bonds from the structurally weak countries in southern Europe in favour of corporate bonds had a positive impact. The greatest contribution to performance was made by equities which benefited from the general optimism on the markets. The overweighting of emerging markets adversely impacted the overall result. In the current environment we continue to see opportunities for high interestbearing investments. We will retain the overweighting of emerging economies since the growth opportunities and debt ratios of these regions are favourable factors in the long term. Portfolio Global Growth Vitality () The performance of Portfolio Global Growth Vitality () as at August 31, 2012 was 9.57%. The quantitative allocation method between equities and fixed income introduced in June 2011 was applied through the 20112012 financial year. This method sets target levels for the various underlying equities and interest rates on the basis of their respective volatilities for the purposes of better controlling the overall portfolio risk. The results have been satisfactory and this method will therefore continue to be applied during the 20122013 financial year. 11

Report of the Board of Directors (cont.) Equity Global Sustainability In the reporting period until 13 April 2012 the Equity Global Sustainability fund posted performance of 14.72% for the R unit class in, 15.37% for the I unit class in and 18.81% for the R unit class in. Performance of the underlying target funds was in line with global equity markets. A comparably defensive positioning in the Asian region (ex Japan) had a positive impact in view of the relative weaknesses. As a result of the underperformance of various globally oriented funds, increased investment was made from the beginning of the year in indextracking products. This enabled the fund to benefit as expected from the current upswing. We continue to focus on excellent quality sustainability investment funds. This SubFund was liquidated on April 13, 2012. The Board of Directors Luxembourg, November 20, 2012 Note: The figures stated in this report are historical and not necessarily indicative of future performance. 12

Audit report To the Shareholders of SWISS LIFE FUNDS (LUX) We have audited the accompanying financial statements of SWISS LIFE FUNDS (LUX) (the SICAV ) and of each of its subfunds, which comprise the statement of net assets and the schedule of investments as at August 31, 2012 and the statement of operations and changes in net assets for the year then ended, and a summary of significant accounting policies and other explanatory notes to the financial statements. Responsibility of the Board of Directors of the SICAV 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 and for such internal control as the Board of Directors of the SICAV determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. 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 about 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 judgment 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. PricewaterhouseCoopers, Société coopérative, 400, Route d Esch, B.P. 1443, L1014 Luxembourg T: +352 494848 1, F: +352 494848 2900, www.pwc.lu Cabinet de révision agrée. Expertcomptable (autorisation gouvernementale n 10028256) R.C.S Luxembourg B 65 477 TVA LU25482518 13

Opinion In our opinion, the financial statements give a true and fair view of the financial position of SWISS LIFE FUNDS (LUX) and of each of its subfunds as of August 31, 2012, 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 of the financial statements. Other matters 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. PricewaterhouseCoopers, Société coopérative Luxembourg, November 29, 2012 Represented by Marc Schernberg 14

Statement of Net Assets as at August 31, 2012 (expressed in the SubFund s currency) SubFunds Bond Global Corporates Bond Inflation Protection Equity Euro Zone Notes Assets Securities portfolio at cost 35 303 518 24 970 655 59 366 977 Net unrealised profit/(loss) (871 533) 6 066 511 132 469 Securities portfolio at market value 2.3 34 431 985 31 037 166 59 499 446 Cash at bank 1 273 174 5 332 927 1 259 550 Receivable for Fund shares issued 147 46 Receivable for securities sold 2.8 Receivable on spot exchange Dividends receivable, net 104 200 Interest receivable on bonds 518 049 105 872 Options bought at market value Unrealised appreciation on forward foreign exchange contracts 9 7 107 882 512 462 Unrealised appreciation on financial future contracts 8 14 000 10 400 15 780 Other assets 1 927 622 16 887 36 347 164 36 999 449 60 895 909 Liabilities Bank Overdraft Payable for Fund shares redeemed Payable for securities purchased Payable on spot exchange Management fees payable Custodian fees payable Taxe d abonnement payable Administration fees payable Professional fees payable Interest and bank charges payable Interest payable on swaps Options written at market value Swaps at market value Unrealised depreciation on forward foreign exchange contracts 2.8 3 5 6 5 9 11 7 37 621 1 189 1 123 10 767 3 890 154 634 22 716 30 364 1 069 737 10 200 3 839 154 1 085 9 178 10 507 12 088 153 172 1 703 5 059 10 025 3 677 154 Unrealised depreciation on financial future contracts Other liabilities 8 833 230 051 56 211 319 900 185 878 Total Net Assets 36 290 953 36 679 549 60 710 031 The accompanying notes form an integral part of these financial statements. 15

Statement of Net Assets as at August 31, 2012 (cont.) (expressed in the SubFund s currency) SubFunds Equity Europe Equity Global Diversified Equity Global exeurope Notes Assets Securities portfolio at cost 11 921 860 11 847 419 5 561 882 Net unrealised profit/(loss) 606 334 1 356 540 74 347 Securities portfolio at market value 2.3 12 528 194 13 203 959 5 636 229 Cash at bank 143 585 2 079 560 901 798 Receivable for Fund shares issued 1 402 Receivable for securities sold 2.8 Receivable on spot exchange Dividends receivable, net 43 362 4 340 Interest receivable on bonds Options bought at market value Unrealised appreciation on forward foreign exchange contracts 9 7 196 810 79 999 Unrealised appreciation on financial future contracts 8 155 819 88 556 Other assets 504 130 15 12 715 645 15 642 020 6 706 597 Liabilities Bank Overdraft 181 2 308 5 046 Payable for Fund shares redeemed 90 Payable for securities purchased 2.8 Payable on spot exchange Management fees payable 3 15 534 22 178 7 449 Custodian fees payable 5 368 442 193 Taxe d abonnement payable 6 293 473 100 Administration fees payable 5 9 279 9 824 9 824 Professional fees payable 3 736 3 748 3 708 Interest and bank charges payable 154 154 154 Interest payable on swaps Options written at market value 9 Swaps at market value Unrealised depreciation on forward foreign exchange contracts Unrealised depreciation on financial future contracts Other liabilities 11 7 8 536 29 545 39 753 26 474 Total Net Assets The accompanying notes form an integral part of these financial statements. 12 686 100 15 602 267 6 680 123 16

Statement of Net Assets as at August 31, 2012 (cont.) (expressed in the SubFund s currency) SubFunds Equity Global High Dividend Dynamic Allocation Dynamic Indexing Income () Notes Assets Securities portfolio at cost 31 363 036 4 394 086 10 856 432 Net unrealised profit/(loss) 1 695 689 200 932 1 021 154 Securities portfolio at market value 2.3 33 058 725 4 595 018 11 877 586 Cash at bank 298 679 727 109 23 014 Receivable for Fund shares issued 702 Receivable for securities sold 2.8 Receivable on spot exchange 13 618 930 Dividends receivable, net 82 626 1 501 4 475 Interest receivable on bonds Options bought at market value Unrealised appreciation on forward foreign exchange contracts 9 7 445 470 126 101 6 441 Unrealised appreciation on financial future contracts 8 2 876 Other assets 405 367 47 505 537 5 459 413 11 905 075 Liabilities Bank Overdraft Payable for Fund shares redeemed Payable for securities purchased 2.8 Payable on spot exchange 13 662 111 Management fees payable 3 59 293 67 698 27 011 Custodian fees payable 5 971 1 532 345 Taxe d abonnement payable 6 1 459 354 768 Administration fees payable 5 10 389 10 471 11 182 Professional fees payable 3 827 17 978 4 687 Interest and bank charges payable 154 154 194 Interest payable on swaps Options written at market value 9 59 342 Swaps at market value Unrealised depreciation on forward foreign exchange contracts 11 7 10 925 Unrealised depreciation on financial future contracts 8 Other liabilities 13 749 129 157 529 44 187 Total Net Assets The accompanying notes form an integral part of these financial statements. 33 756 408 5 301 884 11 860 888 17

Statement of Net Assets as at August 31, 2012 (cont.) (expressed in the SubFund s currency) SubFunds Dynamic Indexing Balanced () Dynamic Indexing Maturity Growth () Guaranty 2019+2 Notes Assets Securities portfolio at cost 12 465 227 10 656 825 42 553 884 Net unrealised profit/(loss) 1 205 270 1 063 531 3 065 697 Securities portfolio at market value 2.3 13 670 497 11 720 356 45 619 581 Cash at bank 24 160 23 898 2 702 159 Receivable for Fund shares issued 3 986 Receivable for securities sold 2.8 Receivable on spot exchange Dividends receivable, net 12 827 15 450 Interest receivable on bonds 535 812 Options bought at market value 9 Unrealised appreciation on forward foreign exchange contracts 7 Unrealised appreciation on financial future contracts 8 13 610 Other assets 368 606 136 13 707 852 11 760 310 48 875 284 Liabilities Bank Overdraft 15 Payable for Fund shares redeemed 30 644 Payable for securities purchased 2.8 Payable on spot exchange Management fees payable 3 33 184 30 369 50 312 Custodian fees payable 5 395 336 1 395 Taxe d abonnement payable 6 941 559 4 064 Administration fees payable 5 11 182 11 182 11 209 Professional fees payable 4 635 4 635 4 627 Interest and bank charges payable 194 194 185 Interest payable on swaps Options written at market value 9 Swaps at market value Unrealised depreciation on forward foreign exchange contracts 11 7 Unrealised depreciation on financial future contracts 8 Other liabilities 50 531 47 275 102 451 Total Net Assets The accompanying notes form an integral part of these financial statements. 13 657 321 11 713 035 48 772 833 18

Statement of Net Assets as at August 31, 2012 (cont.) (expressed in the SubFund s currency) SubFunds Assets Securities portfolio at cost Net unrealised profit/(loss) Securities portfolio at market value Cash at bank Receivable for Fund shares issued Receivable for securities sold Receivable on spot exchange Dividends receivable, net Interest receivable on bonds Options bought at market value Unrealised appreciation on forward foreign exchange contracts Unrealised appreciation on financial future contracts Other assets Notes 2.3 2.8 9 7 8 Portfolio Global Income Prudent () 50 764 244 277 900 51 042 144 8 294 297 58 172 4 914 899 675 157 349 Portfolio Euro Zone Balanced () 16 275 672 (477 938) 15 797 734 870 159 20 428 111 217 22 660 3 520 1 098 Portfolio Global Balanced Harmony () 23 189 392 287 979 23 477 371 3 656 644 9 929 21 984 424 496 023 175 60 075 932 16 826 816 27 662 550 Liabilities Bank Overdraft Payable for Fund shares redeemed 48 792 229 214 Payable for securities purchased 2.8 1 039 862 450 988 Payable on spot exchange Management fees payable 3 98 065 36 044 56 856 Custodian fees payable 5 1 590 483 733 Taxe d abonnement payable 6 4 634 1 398 2 112 Administration fees payable 5 10 802 9 724 9 724 Professional fees payable 3 902 3 756 3 677 Interest and bank charges payable 154 154 154 Interest payable on swaps Options written at market value 9 Swaps at market value Unrealised depreciation on forward foreign exchange contracts 11 7 141 Unrealised depreciation on financial future contracts 8 20 250 2 600 6 150 Other liabilities 1 228 051 54 529 530 608 Total Net Assets 58 847 881 16 772 287 27 131 942 The accompanying notes form an integral part of these financial statements. 19

Statement of Net Assets as at August 31, 2012 (cont.) (expressed in the SubFund s currency) SubFunds Portfolio Global Growth () Portfolio Global Growth Vitality () Combined* Notes Assets Securities portfolio at cost 78 277 792 13 817 656 460 807 696 Net unrealised profit/(loss) 1 785 074 266 677 17 585 624 Securities portfolio at market value 2.3 80 062 866 14 084 333 478 393 320 Cash at bank 695 081 1 042 883 31 736 511 Receivable for Fund shares issued 25 31 962 105 700 Receivable for securities sold 2.8 543 839 1 521 584 Receivable on spot exchange 13 618 930 Dividends receivable, net 24 703 3 074 306 086 Interest receivable on bonds 192 699 17 513 1 865 221 Options bought at market value Unrealised appreciation on forward foreign exchange contracts 9 7 160 005 238 259 350 1 373 285 Unrealised appreciation on financial future contracts 8 4 395 386 211 1 863 336 Other assets 2 081 25 236 81 685 694 15 566 214 531 068 559 Liabilities Bank Overdraft 16 588 27 075 71 153 Payable for Fund shares redeemed 86 933 Payable for securities purchased 2.8 499 984 333 229 6 486 811 Payable on spot exchange 13 662 111 Management fees payable 3 210 845 30 507 974 736 Custodian fees payable 5 2 369 418 15 979 Taxe d abonnement payable 6 6 426 843 32 880 Administration fees payable 5 12 660 9 824 177 301 Professional fees payable 4 794 3 740 82 267 Interest and bank charges payable 185 154 2 772 Interest payable on swaps 170 768 Options written at market value 9 75 544 122 253 Swaps at market value Unrealised depreciation on forward foreign exchange contracts Unrealised depreciation on financial future contracts Other liabilities 11 7 8 2 280 673 186 22 207 261 867 833 829 395 408 070 22 844 057 Total Net Assets * The consolidated accounts include SubFunds not authorised in Switzerland The accompanying notes form an integral part of these financial statements. 20 80 856 299 15 158 144 508 224 502

Statement of Operations and Changes in Net Assets for the year ended August 31, 2012 (expressed in the SubFund s currency) SubFunds Bond Global Corporates Bond Inflation Protection Equity Euro Zone Notes Net assets at the beginning of the year Income Dividends, net Interest on Bonds, net Bank interest Interest on swaps Income on securities lending Other income 10 52 500 135 1 674 012 2 927 14 632 52 361 415 610 791 10 944 8 140 1 175 60 257 124 2 072 649 183 150 358 59 1 691 571 631 050 2 223 249 Expenses Management fees Performance fees Custodian fees Taxe d abonnement Administration fees 3 4 5 6 5 251 271 6 298 7 870 36 979 203 549 19 564 5 957 4 855 32 860 886 548 7 420 29 308 29 961 Liquidations fees Professional fees Interest and bank charges Interest on swaps Other expenses 25 696 43 577 3 971 28 739 46 702 1 085 6 701 32 046 809 7 628 375 662 350 012 993 720 Net Investment Income/(Loss) 1 315 909 281 038 1 229 529 The accompanying notes form an integral part of these financial statements. 21

Statement of Operations and Changes in Net Assets for the year ended August 31, 2012 (cont.) (expressed in the SubFund s currency) SubFunds Equity Europe Equity Global Diversified Equity Global exeurope Notes Net assets at the beginning of the year Income Dividends, net Interest on Bonds, net Bank interest Interest on swaps Income on securities lending Other income 10 12 458 088 421 141 148 5 377 13 856 843 159 459 1 081 3 717 1 008 11 336 348 80 749 6 195 2 688 4 031 426 666 165 265 93 663 Expenses Management fees Performance fees Custodian fees Taxe d abonnement Administration fees 3 4 5 6 5 87 931 3 148 1 700 31 055 120 827 5 381 2 553 31 973 66 352 4 934 1 053 31 934 Liquidations fees Professional fees Interest and bank charges Interest on swaps Other expenses 31 192 721 4 158 32 234 2 4 748 32 552 615 3 508 159 905 197 718 140 948 Net Investment Income/(Loss) 266 761 (32 453) (47 285) The accompanying notes form an integral part of these financial statements. 22

Statement of Operations and Changes in Net Assets for the year ended August 31, 2012 (cont.) (expressed in the SubFund s currency) SubFunds Equity Global High Dividend Equity Global Sustainability* Dynamic Allocation Notes Net assets at the beginning of the year Income Dividends, net Interest on Bonds, net Bank interest Interest on swaps Income on securities lending Other income 10 31 610 356 1 474 156 929 20 443 23 12 303 491 3 468 14 974 92 851 530 510 749 118 558 7 357 40 642 5 035 1 495 551 18 442 682 341 Expenses Management fees Performance fees Custodian fees Taxe d abonnement Administration fees 3 4 5 6 5 335 089 5 014 8 481 39 370 112 940 4 562 1 943 18 534 608 520 9 855 12 708 36 512 Liquidations fees Professional fees Interest and bank charges Interest on swaps Other expenses 28 747 3 811 8 044 6 000 21 809 93 7 458 60 793 4 851 6 801 428 556 173 339 740 040 Net Investment Income/(Loss) 1 066 995 (154 897) (57 699) * Equity Global Sustainability s reference period is from 01/09/2012 to 13/04/2012 (liquidation date). The accompanying notes form an integral part of these financial statements. 23

Statement of Operations and Changes in Net Assets for the year ended August 31, 2012 (cont.) (expressed in the SubFund s currency) SubFunds Dynamic Indexing Income () Dynamic Indexing Balanced () Dynamic Indexing Growth () Notes Net assets at the beginning of the year Income Dividends, net Interest on Bonds, net Bank interest Interest on swaps Income on securities lending Other income 10 10 999 407 87 131 461 6 696 279 12 012 315 127 044 439 6 271 324 10 710 645 100 512 332 6 453 234 94 567 134 078 107 531 Expenses Management fees Performance fees Custodian fees Taxe d abonnement Administration fees 3 4 5 6 5 153 099 6 448 4 414 35 285 187 902 6 600 5 325 35 305 172 328 6 425 3 237 35 283 Liquidations fees Professional fees Interest and bank charges Interest on swaps Other expenses 26 408 65 3 755 26 173 74 3 996 26 357 63 3 755 229 474 265 375 247 448 Net Investment Income/(Loss) (134 907) (131 297) (139 917) The accompanying notes form an integral part of these financial statements. 24

Statement of Operations and Changes in Net Assets for the year ended August 31, 2012 (cont.) (expressed in the SubFund s currency) SubFunds Maturity Guaranty 2019+2 Portfolio Global Income Prudent () Portfolio Euro Zone Balanced () Notes Net assets at the beginning of the year Income Dividends, net Interest on Bonds, net Bank interest Interest on swaps Income on securities lending Other income 10 61 236 583 1 019 617 5 586 2 046 3 142 32 836 369 18 113 34 433 6 404 1 466 6 775 19 973 615 393 712 319 783 1 163 16 905 1 030 391 67 191 731 563 Expenses Management fees Performance fees Custodian fees Taxe d abonnement Administration fees 3 4 5 6 5 294 568 6 796 23 870 33 980 456 455 8 169 22 771 30 182 219 433 3 612 8 453 28 486 Liquidations fees Professional fees Interest and bank charges Interest on swaps Other expenses 35 423 2 5 315 31 397 911 6 444 32 960 1 100 4 850 399 954 556 329 298 894 Net Investment Income/(Loss) 630 437 (489 138) 432 669 The accompanying notes form an integral part of these financial statements. 25

Statement of Operations and Changes in Net Assets for the year ended August 31, 2012 (cont.) (expressed in the SubFund s currency) SubFunds Portfolio Global Balanced Harmony () Portfolio Global Growth () Portfolio Global Growth Vitality () Notes Net assets at the beginning of the year Income Dividends, net Interest on Bonds, net Bank interest Interest on swaps Income on securities lending Other income 10 22 049 200 15 742 49 938 5 175 1 332 4 935 80 693 140 1 007 507 474 605 4 632 27 274 2 556 15 895 743 15 051 39 243 2 022 428 5 176 77 122 1 516 574 61 920 Expenses Management fees Performance fees Custodian fees Taxe d abonnement Administration fees 3 4 5 6 5 279 858 6 110 10 655 31 794 1 218 910 9 879 38 676 39 232 171 653 5 497 4 657 31 996 Liquidations fees Professional fees Interest and bank charges Interest on swaps Other expenses 32 473 1 751 6 729 28 751 833 2 371 5 939 36 270 3 882 7 760 369 370 1 344 591 261 715 Net Investment Income/(Loss) (292 248) 171 983 (199 795) The accompanying notes form an integral part of these financial statements. 26

Statement of Operations and Changes in Net Assets for the year ended August 31, 2012 (cont.) (expressed in the SubFund s currency) SubFunds Net assets at the beginning of the year Income Dividends, net Interest on Bonds, net Bank interest Interest on swaps Income on securities lending Other income Notes 10 Combined** 575 946 304 6 253 671 5 389 038 69 082 68 201 306 622 33 626 12 120 240 Expenses Management fees Performance fees Custodian fees Taxe d abonnement Administration fees Liquidations fees Professional fees Interest and bank charges Interest on swaps Other expenses Net Investment Income/(Loss) 3 4 5 6 5 5 742 647 19 564 109 142 198 786 579 907 6 000 587 893 109 690 172 743 102 208 7 628 580 4 491 660 ** The consolidated accounts include SubFunds not authorised in Switzerland The accompanying notes form an integral part of these financial statements. 27

Statement of Operations and Changes in Net Assets for the year ended August 31, 2012 (expressed in the SubFund s currency) SubFunds Bond Global Corporates Bond Inflation Protection Equity Euro Zone Notes Net Investment Income/(Loss) 1 315 909 281 038 1 229 529 Net realised gains / (losses) on securities sold currencies forward foreign exchange contracts options future contracts swaps (1 584 752) (28 608) (546 314) 1 503 835 7 127 651 (352 220) (4 138 818) (4 213 757) (6 116 789) 1 539 (195 353) 78 158 (655 839) (1 577 144) (6 232 445) Net realised result for the year 660 070 (1 296 106) (5 002 916) Change in net unrealised profit/(loss) on securities forward foreign exchange contracts options future contracts swaps 2 172 372 81 213 (730 900) 485 949 516 761 10 555 (9 178) 6 838 411 15 780 1 522 685 1 004 087 6 854 191 RESULT OF OPERATIONS 2 182 755 (292 019) 1 851 275 Movements in capital Subscriptions Redemptions 274 862 (18 666 799) 2 206 336 (17 596 183) 3 978 489 (5 376 857) (18 391 937) (15 389 847) Dividend paid 14 Net assets at the end of the year 36 290 953 36 679 549 (1 398 368) 60 710 031 The accompanying notes form an integral part of these financial statements. 28

Statement of Operations and Changes in Net Assets for the year ended August 31, 2012 (cont.) (expressed in the SubFund s currency) SubFunds Equity Europe Equity Global Diversified Equity Global exeurope Notes Net Investment Income/(Loss) 266 761 (32 453) (47 285) Net realised gains / (losses) on securities sold (2 352 916) 239 615 1 511 837 currencies 238 586 364 111 202 459 forward foreign exchange contracts (755 110) (1 306 364) (609 049) options (50 234) future contracts (21 700) 39 090 128 236 swaps (2 891 140) (713 782) 1 233 483 Net realised result for the year (2 624 379) (746 235) 1 186 198 Change in net unrealised profit/(loss) on securities 2 858 807 1 391 366 (110 053) forward foreign exchange contracts (32 618) 90 535 (24 008) options future contracts (3 100) 276 558 167 716 swaps 2 823 089 1 758 459 33 655 RESULT OF OPERATIONS 198 710 1 012 224 1 219 853 Movements in capital Subscriptions 59 284 1 273 547 6 747 568 Redemptions (29 982) (540 347) (12 623 646) 29 302 733 200 Dividend paid 14 Net assets at the end of the year 12 686 100 15 602 267 (5 876 078) 6 680 123 The accompanying notes form an integral part of these financial statements. 29