Annual Report 2013Swisscanto Supra Collective Foundation of the Cantonal Banks

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Table of contents

Swisscanto Supra is a joint venture of the Cantonal Banks and Helvetia Insurances for the realisation of occupational benefit schemes.

Reforms for a secure future 3

Review 2013: Key Figures 4

Investments and Policy of Investments 5

Development of Coverage Rate 6

Economic Situation and Investment Year 2013 in Review:Report of Swisscanto Asset Management AG 7

Report of the Investment Committee 9

Annual Financial Statement 2013 11

Balance Sheet 12

Operative Account 14

Explanatory Notes to the Financial Statement 17

Auditor’s Report 36

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Reforms for a secure future

Hanspeter Hess Davide PezzettaChair of the Board of Foundation Managing Director

Reforms and Plebiscites Affect Occupational BenefitsThe Swiss old-age provisions system is a success story for which we are widely envied. Numerous countries have adopt-ed our principle of three pillars or tiers as a model for creat-ing their own social security system. It is therefore appropri-ate and welcome that the Swiss Federal Council should give thought to the future of this success model and for letting fore-sight prevail in doing so, which is exactly what the Council is doing with the 2020 old-age provision reform (“Altersvor-sorge 2020”). The core elements of this reform have been made known in the meantime and Swisscanto can reassuring-ly state that it is already now ideally equipped to meet these new challenges. Flexible and individual solutions for retire-ment have been part of Swisscanto’s standard package for a long time. For Swisscanto the greatest-possible transparency and a responsible, proactive manner of treating pension funds have been a matter of course and served well in par-ticular during the difficult last years.

Now that the Swiss electorate has approved the “Anti-Rip-Off Initiative”, large financial investors are required to vote in the investors’ best interests at shareholders’ meetings. This referen-dum has no effect on Swisscanto Supra. On the one hand, Swisscanto Supra holds no direct investments in shares, but only holds investments in investment groups of the Swisscanto Investment Foundation. On the other, our investment partner has always voted in the investors’ best interest. Its voting re-cord for each company and shareholders’ meeting is trans-parently documented on the internet.

An Interest-Rate Policy in the Interest of Active Em-ployees as well as PensionersDuring a strategic review, the Swisscanto Collective Founda-tion modified its benefits strategy so that the actively insured and old-age pensioners would be treated equally in terms of

the interest paid on old-age savings. The implementation must take account of the financial position of the Swisscanto Col-lective Foundation. In the long term, the Swisscanto Collective Foundation will base its decisions on not only the technical interest rate (currently 3%) but also security requirements (building the necessary reserves and provisions). Its goal is to develop a balanced long-term interest policy that takes ac-count of not only the interests of the actively insured, but also those of pension recipients.

Swisscanto Supra has taken the same approach and likewise decided to align its future interest policy with this benefits goal. Shortly before the end of each financial year, Swiss-canto Supra’s Board of Foundation decides on the interest to be paid for the following year based on its own financial po-sition, independent of the Swisscanto Collective Foundation.

Trust as the Basis of CooperationWe would like to thank you for your confidence, which we hold dear. As in the year past we shall keep on investing into this very trust since it forms the foundation of our continued successful cooperation, to which we very much look forward!

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Review 2013: Key Figures

PortfoliosThe number of associated companies remained virtually un-changed during the reporting year, while the number of in-

Coverage rate 2013 2012

Coverage rate as at 31.12. (in %) 110,8 110,2

Premium IncomePeriodical employee and employer contributions remain es-sentially unchanged year-to-year. Single premiums rose by a

significant percentage during the reporting year, largely due to the low base effect.

Premium Income 2013 2012 Change Change in CHF mio. in CHF mio. in CHF mio. in % Periodic employer and employee contributions 17,6 18,1 –0,5 –2,8One-time paymentsOne-time payments 4,8 2,9 1,9 65,5

Total 22,4 21,0 1,4 6,7

sured persons declined marginally. Regulatory capital (4.6%) and investments (7.4%) grew at an encouraging pace.

Portfolios 2013 2012 Change Change absolute in %

Statutory Capital (in CHF mio.) 182 174 8 4,6

Investments (in CHF mio.) 217 202 15 7,4

Number of contracts 373 370 3 0,8Insured persons 1 402 1 429 –27 –1,9

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Investment Portfolio and Policy of Investments

Asset Allocation as at 31.12.2013

Liquid funds

5.3 %

Bonds, Swiss

32.2 %

Bonds, abroad,

foreign currencies

4.9 %Bonds,

high-yield

6.7 %

Convertible

bonds

2.6 %

Shares, Swiss

7.1 %

Shares, abroad

18.3 %

Shares, emerging markets

3.1 %

Real estate

11.7 %

Hedge Funds

3.2 %

Commodities

4.9 %

Total investment portfolio (100%): 196 Mio. CHF

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Development of Coverage Rate

Thanks to the the positive developments of the investment mar-kets the coverage rate has further increased in the reported year from 110.2% to 110.84%.

110

105

100

95

Development of coverage rate in %

31.12.2009 31.12.2010 31.12.2011 31.12.2012 31.12.2013

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Economic Situation and Investment Year 2013 in Review: Report of Swisscanto Asset Management AG

Review 2013

The global economy continued to recover in 2013. Concern-ing their effect on the financial markets, the economic data were in competition with political events. Right at the begin-ning of the year the United States managed to avert the so-called fiscal cliff and thus escaped a recession. The economic recovery provided positive signals throughout the year.The European debt crisis continued to be an issue in the first months. The crisis in Cyprus caused nervousness in the mar-kets until the country and in particular its banking system were saved by a financial aid package. Italy’s difficulties forming a new government did not preoccupy the markets any more so strongly so that the mood in the markets light-ened. Backed up by the positive economic data from the States, an interest-rate cut by the European Central Bank and continued good corporate results, this friendly mood persisted initially into the second quarter.

US Federal Reserve Bank Causes CorrectionsMid-May Ben Bernanke, chairman of the US Federal Reserve Bank, caused a marked change of mood with his statement that the purchases of government bonds would be reduced if the economic data continued to be positive, of which a grad-ual departure from their very expansionary monetary policy would be a consequence. The market reactions were massive and at first brought about corrections simultaneously for bonds, shares, raw materials, gold and riskier currencies. These setbacks could be offset again during the course of the year, and stock markets of certain industrialised countries reached new record levels. The second half of the year saw the economic indicators in the Euro zone shift as well, and it became clear that the recession in Europe was coming to an end.

Encouraging signs came from Japan: Thanks to a series of growth-promoting measures of Prime Minister Abe’s govern-ment the world’s third-largest economy was recovering from its depression. Until mid-year the Japanese stock indices reached their highest level since more than 4 years, but paused afterwards. While Japan is recovering economically, it is facing great structural challenges. For years, the country has suffered from a weak growth rate and very large nation-al budget deficits, which led to an enormous national debt. The crucial question remains how the economy can be kept growing while at the same time the budget situation is brought under control.

For the emerging countries the past year proved to be diffi-cult, and there was some apprehension that a crisis as in the nineties could repeat itself. However, many of the countries in question nowadays can boast solid national finances as well as high foreign-exchange reserves.

Real-Estate Funds Less in DemandIn the field of indirect real-estate investments, investors were a little more conservative; this concerned primarily real-estate funds listed on the stock exchange. For the first time since 2007 the real-estate funds index showed a negative perfor-mance. The main reason for the investors’ caution is the fear of increasing interests. In effect the yield of the 10-year Swiss Confederation bonds (“Eidgenossen”) has increased from 0.5% at the end of 2012 to just about 1% by the end of 2013. However, the interest rate level is still so low that the yield advantage of real-estate investments over bonds remains substantial.

Outlook 2014

The normalisation of the US monetary policy already set in motion is likely to remain the big topic in investment, with the central question of how the markets will react to a further re-duction in bond purchases. The market expects a first US in-terest rate increase by mid-2015 and positive real interest rates as of 2017. However, some renowned experts are of the opinion that the US Federal Reserve will try to keep the real interest rates in the negative well beyond 2017. It is mainly the economic growth that influences the pace with which any future interest rate increases. If the growth is too strong, it would negatively impact the bond, share and real-estate mar-kets. In the best scenario the economic growth therefore would be high enough on the one hand to prevent a relapse into the debt crisis but still weak enough on the other to keep the US Federal Reserve from revoking its monetary policy measures. We have based our forecasting models for the next months on this scenario.

Difficult Environment for BondsThe environment for bonds will remain very challenging in the near future: the real yields are negative due to the current in-terest rate level on the one hand, while on the other a rise in interest rates for portfolios with a longer maturity and there-fore a high interest-rate sensitivity would result in a considera-ble loss in market value. Corporate bonds are expected to

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bring a slightly higher yield but this investment segment is no longer appraised favourably. However, there are niches where additional yield are possible through professional and active management. Examples are secured high-yield bonds or emerging-markets bonds which are held in trust very ac-tively under an absolute return approach.

Shares: Europe and Japan in FavourShares remain for the time being our favoured investment class. Furthermore, we assume that the global economic situa-tion will continue its slow but steady improvement, which should influence risk assets such as shares positively. Backed up by solid corporate news, healthy balance sheets, high cash flows as well as an increase in consumer confidence we see opportunities for further capital gains.

In our global share portfolios we have further strengthened the prevalence of small-capitalisation companies. European shares continue to be markedly overrepresented due to their

attractive valuation. US and Japanese share also remain over-represented to the disadvantage of Asian (excluding Japan) and emerging markets shares. Japan still profits from its politi-cal momentum and the profit growth of its corporations, which is why we have further expanded our position in Japan.

Real Estate: A Favourable EnvironmentThe fear of increasing interest rates will very likely remain a topic for the Swiss real-estate market. However, the general economic development is more important for existing real-es-tate portfolios than the interest rate development since rental income depends mainly on the economy. Prognoses are good: we count on a real growth of 2% for the Swiss econo-my across the entire year 2014 as well as a lower level for interest rates and unemployment.

Swisscanto Asset Management AG

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Report of the Investment Committee

2013: Monetary Policy as Defining Component; Successful Year for Shares The US Federal Reserve’s monetary policy decisions shaped the events in the financial markets over the past investment year. Not least due to this, the year 2013 will go down in the annals as one of the more successful stock market years.

Many important stock indices ended the year on the highest levels for several years or even at all-time highs. In Switzer-land the economically more sensitive segment of Small-Caps and Mid-Caps performed at +27% better than the broader SIP (Swiss Performance Index) at +24.6%. The MSCI World Index improved by roughly 23% (in CHF). The only drop of bitterness were the Emerging Markets which lost 5% in CHF.The Swiss bonds market (Swiss Bond Index AAA-BBB) real-ised for the first time since 2007 an annual loss. The biggest markdowns were suffered by the long-term Swiss Confedera-tion bonds.

Among the most important currencies only Euro and Danish krone were stronger than the Swiss franc. All other currencies lost and some massively, mainly those of developing nations and in particular the Japanese yen.

While positive yields could be registered for the stock mar-kets, raw material and in particular gold suffered considera-ble losses. The price for one troy ounce of gold (31.1 grams) dropped roughly by 28% during the past year. Therefore the gold price will close for the first time in this millennium with a loss year.

Positive Impact of the Strategic RealignmentWithin the portfolio, the investment categories Shares Switzer-land (+25.0%) and Shares Abroad (+22.0%) developed best, while in particular Bonds Switzerland (–2.2%) and Shares Emerging Markets (–9.5%) made a negative contribution. Al-ternative investments and real estates also contributed posi-tively: Hedge Funds (+8.8%), Real Estates Switzerland (+5.9%) and Real Estates Abroad (+3.2%).

The portfolio yielded 3.6% overall as of the end of the year and thus clearly outperformed the reference index, which only yielded 1.6%. This happened because the portfolio was realigned with the new investment strategy in mid-December, and the share positions were thus built up when prices were at monthly lows. The equity ratio at year-end was around 28% – which conforms to the strategic target – while the pre-vious strategy called for an equity ratio of only around 13%.

Both the strategic realignment itself as well as its implementa-tion had a positive impact. In future, a Risk Overlay will ac-commodate the higher dynamics of the new strategy. In ex-treme cases this will allow a reduction of the share ratio from 28% to nearing 10% in a negative market environment.

The positive yield has furthermore led to the improvement of the coverage rate from 110.2% to 110.8%.

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Balance Sheet as per December 31, 2013 and 2012 12

Operative Account 14

Explanatory Notes to the Financial Statement 2013 17

Annual Financial Statement 2013

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Balance Sheet as per December 31, 2013 and 2012

Assets31.12.2013

in CHF31.12.2012

in CHF

Investments

Liquid funds 17 795 187.81 23 390 296.42

Accounts receivable 2 916 614.67 2 783 363.44

Investment portfolio 196 018 714.15 176 204 297.49

Liquid funds strategic 36 340 428.26 1 884 599.99

Collective investments bonds 85 840 529.21 111 238 273.20

Collective investments convertible bonds 5 037 256.81 10 539 063.80

Collective investments shares 30 011 954.81 18 704 960.23

Collective investments real estate 22 975 312.80 26 027 154.70

Collective investments hedge funds 6 174 858.13 3 976 669.57

Collective investments commodities 9 638 374.13 3 833 576.00

Total investments 216 730 516.63 202 377 957.35

Prepayments and accrued income 471 750.75 663 282.00

Total Assets 217 202 267.38 203 041 239.35

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Liabilities31.12.2013

in CHF31.12.2012

in CHF

Liabilities

Termination benefits and pensions 418 000.55 163 702.45

Other liabilities 1 578 131.80 20 021.00

Total liabilities 1 996 132.35 183 723.45

Accrued liabilities and deferred income 8 901 564.20 7 016 305.95

Employer-paid contribution reserves 4 046 164.45 3 571 884.70

Pension liabilities and non-committed funds of pension plans

Pension liabilities for active insured persons 181 682 978.70 173 635 613.30

Non-committed funds of pension plans 512 038.22 527 194.52

Pension liabilities and non-committed funds of pension plans 182 195 016.92 174 162 807.82

Asset value fluctuation reserves 20 063 389.46 18 106 517.43

Dotation capital, non-committed funds/underfunding of the foundation

Balance at the beginning of the period 0.00 0.00

Income surplus/expense surplus 0.00 0.00

Total dotation capital, non-committed funds of the foundation 0.00 0.00

Total Liabilities 217 202 267.38 203 041 239.35

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Operative Account

2013in CHF

2012in CHF

Regular and other contrbutions and transfers 28 925 083.10 28 669 356.90

Employee contributions 5 630 904.90 5 761 964.75

Employer contributions 12 726 566.40 12 766 026.85

Withdrawal from employer contribution reserve for contributory funding –754 299.00 –450 312.30

One-time payments and purchase amounts 10 451 769.25 9 933 677.60

Transfers to employer-paid contribution reserves 870 141.55 658 000.00

Entry lump-sum transfers and new contracts 4 825 975.50 2 909 899.85

Termination benefit transfers 4 221 505.60 2 772 851.75

Reimbursements of withdrawals for home ownership/divorce 255 706.50 137 048.10

Transfers from new contracts 348 763.40 0.00

Inflow from contributions and entry lump-sum transfers 33 751 058.60 31 579 256.75

Regulatory benefits –10 303 555.90 –5 776 837.95

Retirement pensions –317 958.95 –368 922.80

Survivors’ pensions –105 596.10 –57 150.00

Disability pensions –320 606.10 –226 744.90

Other regulatory benefits –14 318.40 –14 318.40

Lump-sum payments on retirement –9 340 911.05 –4 523 142.70

Lump-sum payments on death or disability –204 165.30 –586 559.15

Termination benefits and termination of contracts –15 410 562.20 –13 994 524.20

Termination benefits and termination of contracts –14 013 091.90 –13 334 489.60

Withdrawals for encouragement of home ownership/divorce –1 397 470.30 –660 034.60

Outflow for benefits and withdrawals –25 714 118.10 –19 771 362.15

Auflösung / Bildung Vorsorgekapitalien, technische Rückstellungen und Beitragsreserven –9 811 528.80 –12 052 508.05

– Increase in pension liabilities of active insured persons –5 399 623.75 –9 536 118.70

– Interest on pension liabilities (regular) –2 647 741.65 –2 457 558.90

– Interest on pension liabilities (additional) –1 324 000.00 0.00

+/– Decrease/Increase in non-committed funds of pension plans 15 156.30 128 857.25

+/– Decrease/Increase in contribution reserves –455 319.70 –187 687.70

Income from insurance benefits 1 698 337.50 1 989 648.65

Insurance benefits 1 066 543.50 1 233 088.65

Share of insurance surpluses 631 794.00 756 560.00

Insurance cost –3 620 301.30 –3 842 348.60

Insurance premiums

- Risk premiums –2 765 858.90 –2 941 475.90

- Cost premiums –833 076.10 –878 850.20

Contributions to guarantee fund –21 366.30 –22 022.50

Net result of insurance activities –3 696 552.10 –2 097 313.40

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2013in CHF

2012in CHF

Net result on investments 6 340 494.27 11 953 364.19

Income from liquid funds strategic 408 416.37 –46 334.15

Income from bonds –393 707.07 6 446 042.61

Income from convertible bonds 1 177 860.73 566 958.72

Income from shares 2 765 308.15 2 801 692.97

Income from real estate 2 526 083.41 2 206 702.90

Income from Hedge Funds 542 481.00 58 527.14

Income from Commodities –63 841.85 –15 055.71

Total income on investments 6 962 600.74 12 018 534.48

Interest income on bank receivables 8 826.33 11 248.90

Interest income on accounts receivable 12 116.77 14 283.20

Interest expenses for liabilities –11 691.25 –30 574.75

Interest expense for employer-paid contribution reserves –18 960.05 –16 454.00

Asset management expenses1 –612 398.27 –43 673.64

Total Profit Other Income and Expenditure –622 106.47 –65 170.29

Other income 5 640.00 5 906.40

Other income 5 640.00 5 906.40

Administrative expense –692 710.14 –694 738.58

General administration –52 508.09 –45 824.98

Expense for marketing and publicity –11 645.20 –13 570.00

Negotiations and brokerage –588 299.25 –600 962.10

Auditors and pension fund actuary –38 173.60 –31 333.60

Supervisory authorities –2 084.00 –3 047.90

Income/Expenses surplus before decrease/increase of asset value fluctuation reserves 1 956 872.03 9 167 218.61

Decrease/Increase in reserves for asset value fluctuation reserves –1 956 872.03 –9 167 218.61

Income/Expenses surplus 0.00 0.00

1 As of the business year 2013 asset management costs are reported in compliance with directives OAK BV D – 02/2013. This directive was not yet in force for the business year 2012.

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Explanatory Notes to the Financial Statement

Principles and Organisation 18

Implementation of Objectives 21

Significant Accounting Policies and Valuation Methods, Consistency 22

Actuarial Risks, Risk benefit coverage, Coverage Rate 23

Explanatory Notes on Investments and Net Result of Investments 26

Comments on Other Balance Sheet and Operative Account Positions 34

Supervisory Authority Requirements 35

Further Information Regarding the Financial Situation 35

Auditor’s Report 36

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Principles and Organisation

Legal form and objectivesOn 29 November 1984, the Swisscanto Collective Founda-tion of the Cantonal Banks set up a foundation in Basel under Swiss Civil Code Art. 80 et seq. with the name of Swisscanto Supra Collective Foundation of the Cantonal Banks.

The Foundation’s purpose is to provide occupational benefit schemes above and beyond the obligatory benefits required under the Swiss Federal Act on Occupational Old Age, Survi-vors’ and Invalidity Pension Provision (LOB).

LOB registration and guarantee fundRegister for occupational benefit plans non registered foundationLOB Guarantee Fund Number NR 30

Angabe der Urkunde und ReglementeFoundation instrument 29.11.1984, last updated 12.12.2007Investment rules 01.12.2009Partial liquidation regulations 12.11.2010Regulations on provisions 12.04.2010Organisation rules 01.02.2000Pension fund regulations individual, according to the pension plan,

last updated March, 2013

The Foundation is managed by the Helvetia Swiss Life Insur-ance Company Ltd.(formerly Patria Swiss Life Insurance Com-pany). The management agreement of December 28, 2004

between the Foundation and Helvetia Swiss Life Insurance Company Ltd. governs duties, competences and responsibili-ties of the persons in charge of the administration.

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Supreme body/authorised signatoriesThe members of the Board of Foundation and the other authorised signatories have joint dual signature authority.

Board of Foundation Hanspeter Hess ChairAlbert Gallegos MemberMartin Künzler MemberRené Raths MemberPhilipp Gmür Member until 31.12.12,

assessor from 01.01.2013Donald Desax Member until 31.12.12,

assessor from 01.01.2013Silvio Hefti Member until 31.12.12,

assessor from 01.01.2013Beat Müller Member until 31.12.12,

assessor from 01.01.2013

Investment Committee Hendrik van der Bie ChairMartin Flück MemberHerbert Joss MemberStefan Kunzmann Mitglied

Authorised signatories Davide Pezzetta Managing directorClaude Schreiber Assistant managing director;

Head Key Accounts und Under writingRoger Bopp Head of Sales and ConsultingUlrike Bühler Teamleader ZKB, Client ServiceFrancesco Carlino Teamleader Broker, Client ServiceRené Eggimann Head Legal ServicesMichael Maxelon Head Client ServiceLouis Rideau Teamleader Intercantonal, Client ServiceDaniel Rossi Head Vested Benefits FoundationChristoph Schneider Head Legal Services Swisscanto

Actuaries, auditors, advisors, supervisory authority

Pension actuaries Beratungsgesellschaft für die zweite Säule AG, Basel

Auditors PricewaterhouseCoopers AG, Basel

Investment Controlling Complementa Investment-Controlling AG, St. Gallen

Supervisory authority BVG- und Stiftungsaufsicht beider Basel (BSABB), Basel

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Affiliated employers

2013Number

DevelopmentNumber

2012Number

As per 31.12. prior year 370 0 370

Entries 24 3 21

Leavings –21 0 –21

As per 31.12. year under review 373 3 370

Active participants 2013Number

DevelopmentNumber

2012Number

As at 31.12. prior year 1 429 3 1 426

Entries 47 –10 57

Leavings –74 –20 –54

As at 31.12. year under review 1 402 –27 1 429

Active participants and pensioners

Pensioners 31.12.2013Number

DevelopmentNumber

31.12.2012Number

Retirement pensions 35 1 34

Disability pensions 14 –1 15

Orphan’s pensions 1 0 1

Widows‘ and widowers‘ pensions 3 1 2

Total 53 1 52

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Implementation of Objectives

Affiliation with the foundation is carried out by means of the conclusion of an affiliation contract between the employer and the foundation. The affiliated companies form separate pension plans within the foundation.

Characteristics of the pension planEvery pension plan has its own benefit plan as part of themandatory occupational benefit scheme. The retirementbenefits are based on the defined contribution plan, therisk benefits on either the defined benefit plan or the definedcontribution plan, depending on the pension plan and benefits.

Financing, financing methodFinancing is governed separately for each pension plan.As a rule, the financing of the benefit costs is carried outby the employees and employers, whereby the employermust meet at least 50% of such costs.

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Significant Accounting Policies andValuation Methods, Consistency

Statement of compliance with Swiss GAAP FER 26The accounts are prepared in accordance with the specialaccounting recommendations of Swiss GAAP FER 26, versiondated 01.01.2004, updated 01.01.2009.

Significant accounting policies and valuation methods

Significant accounting policies

The financial statements comprise the balance sheet, theoperative account and the explanatory notes. They containthe figures for the prior year.

The explanatory notes contain additional facts and infor-mation on the investments and the financing as well as on

individual positions of the balance sheet and the operative account. Events following the balance sheet date must be disclosed if they will materially affect the assessment of the position of the pension plan.

In all other respects articles 957–963 of the Swiss Code of Obligations (OR) shall apply.

Valuation Methods

Liquid funds Par valueExchange-traded instruments such as futures Marketable valueProducts that are not exchange traded such as currency forwards und swaps Market valueForeign currency conversion Day’s rateAccounts receivable Par value less amortisationCollective investments Market valuePrepayments and accrued income Par value

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Versicherungstechnische Risiken/Risikodeckung/De-ckungsgrad

Type of risk benefit coverage, reinsuranceTo cover the insurance risks of death and invalidity as well as to purchase retirement benefits the Foundation has taken out collective life insurance with Helvetia Swiss Life Insurance Company Ltd., Basel (hereinafter Helvetia).

Policyholder and beneficiary is the Foundation. Any differ-ence between the retirement benefits according to the pen-sion scheme and the conditions of the insurance contract shall be borne by the Foundation. The difference shall be financed by an amount for the purchase of retirement benefits (pay-as-you-go assessment of pension value).

Explanations on assets and liabilities from insurance contractsAll retirement pensions are reinsured. The actuarial reserves for the pensions is not recognised in the balance sheet and amounts to CHF 12 700 000 (previous year CHF 13 400 000).

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2013in CHF

2012in CHF

Retirement savings as at the end of the previous year 173 635 613 161 641 936

Saving contributions 15 089 173 15 081 678

Saving contributions from disability insurance 124 460 120 188

Termination benefit transfers, purchase amounts and new contracts 14 681 168 12 794 045

Payments encouragement of home ownership/divorce 255 707 137 048

Termination benefits for leavers and on termination of contracts –13 991 941 –13 272 869

Withdrawals for encouragement of home ownership/divorce –9 361 472 –4 663 937

Dissolution due to retirement, death and disability –1 397 470 –660 035

Interest payments on pension capital (regular) 2 647 742 2 457 559

Retirement savings as at the end of the year under review 181 682 979 173 635 613

Interest on LOB mandatory savings capital (regular) 1.50% 1.50%

Development and interest rates of retirement savings in the contribution plan

Old-age savings total pursuant to LOBThe Foundation only provides non-compulsory benefits.

Conclusions of the latest actuarial reportIn his actuarial report as of 31 December 2013 and dated 7 April 2014, the pension actuary arrives at the following con-clusions: No additional technical reserves are required to guarantee the actuarial obligations because of the special actuarial structure of the Foundation, under which all insurance risks are fully reinsured on an individual basis. The portfolio of insured persons remained virtually un-changed during the reporting period. The absence of growth, however, has no adverse impact on the Foundation’s capacity for insurance risk, which remains excellent because the Foun-dation has no pension obligations. Although the investment strategy was not completely revised in 2013, the Board of Foundation decided in autumn 2013 to substantially raise the value fluctuation reserve from 10.4% to 15.0%. While the value fluctuation reserve had reached 98.8% by 31 December 2012, it only stood at 68.2% as of

31 December 2013. In investing terms, the Foundation’s risk capacity only worsened slightly during the reporting year, due to the greater security provided by the value fluctuation reserve. The funding ratio increased by a mere 0.6 percentage points in the reporting year due to the significant year-on-year drop in performance from 7.2% to 3.6% and the planned interest rate increase of 0.75%, which is already included in the ac-counts. The planned interest rate increase of 0.75% for old-age sav-ings submitted to the Board of Foundation is considered easi-ly justifiable given the current level of the value fluctuation re-serve. As of 31 December 2013, the reporting date, the value fluctuation reserve stood at around 100% of its previous 10.4% target and 68.2% of its new 15% target. The value fluctuation reserve could also have been increased incremen-tally, given the Foundation’s solid financial and actuarial posi-tion.

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Actuarial principles and other significantactuarial assumptions

Composition of non-committed funds of pension plans 31.12.2013in CHF

31.12.2012in CHF

Non-committed funds of pension plans

Non-committed funds of the affiliated pension plans 276 201 275 616

Deposits of surpluses of the affiliated pension plans 179 853 181 763

Individual surpluses of the affiliated pension plans 55 984 69 816

Total non-committed funds of pension plans 512 038 527 195

31.12.2013in CHF

31.12.2012in CHF

Balance assets 217 202 267 203 041 239

Liabilities; accruals and deferrals –10 897 697 –7 200 029

Distributable pension assets 206 304 571 195 841 210

Pension capital of active insured persons 181 682 979 173 635 613

Employer-paid contribution reserves 4 046 164 3 571 885

Non-committed funds of pension plans 512 038 527 195

Pension capital and non-committed funds of pension plans 186 241 181 177 734 693

Coverage rate in % 110.8 110.2

Coverage rate according to art. 44 OBB2

Coverage rateIn case of the partial or complete liquidation of a pension scheme the Swisscanto Supra pension plan regulations allows to offset an actuarial deficit against the employer-paid contri-bution reserve. For the calculation of the coverage ratio the employer-paid contribution reserves are treated therefore as pension capital as well as actuarial reserves.

It should be noted that the calculation of the coverage ratio includes a calculation of the retirement assets based on an in-terest rate of 1.5% for 2013. The planned interest increase of 0.75% is included in accrued expenses and deferred income. Calculated this way – reduced assets instead of increased lia-bilities – the coverage ratio deviates therefore slightly from the mathematically correct one.

In light of the positive net cash flow situation, the funding ratio – which is only 0.6 percentage points higher – and the Foun-dation’s still-favourable capacity for insurance risk, we still be-lieve that the Foundation’s overall risk capacity is only margin-ally impaired.

As recognised pension actuaries, we therefore certify that, given the key underwriting data presented to us and the changes in this data over the last 12 months, the Foundation will continue to be able to meet its obligations in the future and that no measures need to be taken at present.

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Explanatory Notes on Investments and Net Result of Investments

Organisation of investment activities, investment regulations

The organisation of the Swisscanto Supra s investment activi-ties is governed by the investment regulations. Investment or-ganisation is entrusted to the Board of Foundation, the invest-ment committee, the board of directors, portfolio managers, and overlay managers as well as the investment controller.

The Board of Foundation nominates the members of the inves-tment committee and defines the investment organisation. At the request of the investment committee and in accordance with legal requirements the Board authorises the investment strategy, investment guidelines, overlay management as well as the investment controlling.

The investment committee is responsible for the supervision, implementation and initiation of adjustments to the investment strategy and the overlay management.

Depositaries are Zurich Cantonal Bank and Banque Canto-nale Vaudoise.

The overlay management is realised with Zurich Cantonal Bank. The overlay management aims to control investments within ranges by means of the derivative instruments for those asset classes for which such derivative instruments exists. Furthermore rebalancing transactions are conducted for these asset classes within the scope of contractually defined limits. The tasks and responsibilities are defined in the asset ma-nagement mandate with Zurich Cantonal Bank dated April 24, 2008.

Complementa Investment-Controlling AG is responsible for the investment controlling. It consolidates the assets, verifies statutory compliance, adherence to the investment guidelines as well as the implementation of the overlay management and reports the consolidated investment and supervision re-sults to the investment committee. The tasks are defined in the mandate agreement dated August 27, 2010.

The board of directors ensures operational solvency and the necessary reporting to the investment committee as well as the overlay manager. Furthermore the board executes reba-lancing transactions for asset classes which cannot be control-led by overlay management.

The portfolio managers tasks are defined in the asset ma-nagement mandate of December 6, 2001, and comprise in particular the preparation of a monthly report regarding the core investments as well as informing the investment commit-tee of results obtained, market expectations and extraordi-nary events concerning the core investments.

The traditional investments consist exclusively of entitlements of the Swisscanto Investment Foundation and funds of the Swisscanto Asset Management AG.

The overlay management is made by investments such as exchange-traded futures as well as currency forwards und in-terest swaps which are not exchange traded.

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Value fluctuation reserves 2013in CHF

2012in CHF

Value fluctuation reserves as of 1.1. 18 106 517 8 939 299

Assignment in favour/account of the operational account 1 956 872 9 167 219

Value fluctuation reserves as of 31.12. 20 063 389 18 106 517

Target value of the value fluctuation reserves 29 402 807 18 325 247

Deficit/Surplus for the value fluctuation reserves 9 339 418 218 730

Target value for and calculation of the value fluctuation reserves

Target value of the value fluctuation reserves 31.12.2013in CHF

31.12.2012in CHF

Total of investments 196 018 714 176 204 297

of which 15% as target value of the value fluctuation reserves (previous year 10.4%) 29 402 807 18 325 247

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Stra–tegy

%Spread

Min. % Max. %

Market value according to

balance sheet in CHF

Commitment changing effect

of derivates in CHF

Market value, derivatives incl.,

in CHF Share %

Liquid funds strategic 2.0 0.0 22.0 36 340 428 –25 946 461 10 393 967 5.3

Bonds, Swiss 33.0 30.0 36.0 63 172 713 0 63 172 713 32.2

Bonds, abroad, foreign currencies 5.0 4.0 6.0 9 557 437 0 9 557 437 4.9

Bonds high-yield 5.0 4.0 6.0 13 110 379 0 13 110 379 6.7

Bonds, emerging markets 5.0 4.0 6.0 0 0 0 0.0

Collective investments bonds 85 840 529 0 85 840 529

Collective investments convertible bonds 0.0 0.0 0.0 5 037 257 5 037 257 2.6

Shares, Swiss 7.0 0.0 8.0 13 947 736 0 13 947 736 7.1

Shares, abroad 15.0 0.0 17.0 9 971 584 25 946 461 35 918 045 18.3

Shares, emerging markets 6.0 0.0 7.0 6 092 635 6 092 635 3.1

Collective investments shares 30 011 955 25 946 461 55 958 416

Real estate 12.0 10.0 14.0 22 975 313 22 975 313 11.7

Collective investments real estate 22 975 313 22 975 313

Collective investments Hedge Funds 5.0 4.0 6.0 6 174 858 6 174 858 3.2

Collective investments commo-dities 5.0 4.0 6.0 9 638 374 0 9 638 374 4.9

Total investments 100.0 196 018 714 0 196 018 714

Liquid funds 17 795 188

Accounts receivable 2 916 615

Prepayments and accrued income 471 751

Other assets 21 183 553

Balance sheet total 217 202 267

The investment strategy was redefined by the Board of the Foundation in the year under review. The implementation of the new strategy has not been concluded by December 31,

Breakdown of investments into investment categories

Investment strategy as per 31.12.2013

2013. The implementation plan for the new investment strate-gy intends the conclusion for the year 2014.

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Portfolio analysis in categories according to art. 55 OBB2

Article Category Value in CHF

Commitment changing effect of

derivates

Relevant value according to art. 55 OBB2

in % of total

assetsLimitsOBB2

Accounts receivable on definite amount of money, liquid funds incl.

Other accounts receivable on definite amount of money 148 401 768 –24 854 310 123 547 458 56.9 100.0

Total in CHF 132 468 149 –10 370 972

Total in foreign currencies 15 933 618 –14 483 338

55a Mortgage titles and mortgage bonds 0

0 0.0 50.0

in CHF 0

55b Shares 30'011'955 25 946 461 55 958 416 25.8 50.0

in CHF 13'947'736 0

in foreign currencies 16'064'219 25 946 461

55c Real estate 22 975 313 22 975 313 10.6 30.0

Inland 22 975 313

Abroad 0 0 0.0 10.0

in CHF 0

in foreign currencies 0

55d Alternative investments 15'813'232 0 15 813 232 7.3 15.0

in CHF 13'961'357

in foreign currencies 1'851'875 0

Total assets in balance sheet 217 202 267

55e Positions in foreign curren-cies without collateralization 33 849 712 11 463 123 43 312 836 20.9 30.0

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2013 2012

CHF

Perfor– mance

% CHF

Liquid funds strategic 2 472 n/a 3 458

Bonds Swiss CHF –1 698 711 –2.23 2 403 418

Bonds abroad, foreign currencies 112 738 0.61 1 766 015

Bonds high-yield 1 192 266 8.26 2 276 609

Convertible bonds abroad, foreign currencies 1 177 861 11.82 566 959

Shares Swiss 1 836 555 25.01 1 047 443

Shares abroad (without emerging markets) 1 779 801 22.03 1 245 342

Shares emerging markets –851 048 –9.51 508 909

Real estate Swiss 2 335 664 5.90 1 135 391

Real estate abroad 190 419 3.18 1 071 311

Hedge Funds 542 481 8.80 58 527

Commodities –63 842 –2.77 –15 056

Forward contracts in foreign currencies 405 945 n/a –49 792

Total investment portfolio 6 962 601 3.63 12 018 534

Comments on net result of investmentsInvestment yields are continuously monitored by the invest-ment controller and compared to the benchmark perfor-mance. Performance is measured by the customary TWR

(time-weighted return) method and according to the systemat-ics of the described investment strategy. The following perfor-mance values can thus be established:

2013in CHF

2012in CHF

Income from Overlay Management

Tactical control of the asset classes 0 0

Rebalancing 1 167 639 281 408

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2013in CHF

2012in CHF

Interest income on liquid funds 8 826 11 249

Interest income on accounts receivable 12 117 14 283

Interest expense for liabilities –11 691 –30 575

Interest expense for employer-paid contribution reserves –18 960 –16 454

Total income from other assets and liabilities –9 708 –21 497

Expenses for asset management1 –612 398 –43 674

Net result of investments 6 340 494 11 953 364

1 As of the business year 2013 asset management costs are reported in compliance with directives OAK BV D – 02/2013. This directive was not yet in force for the business year 2012.

The asset management expenses for collective investments are directly charged to the individual investment groups by the supplier.

Distribution remunerations, which the Foundation receives through its asset investments, are included in the asset yield of the individual investment groups.

Asset management expense reportThe reporting and determination of the asset managementexpense is executed pursuant to the OAK BV instructions (W-02/2013).• The sum of all expense figures for the collective invest-

ments amounts to CHF 544 161 for the year under review.

• The total asset management expenses indicated in the operative account as a percentage of cost-transparent in-vestments amounts to 0.28% in the year under review.

• The cost transparency ratio is 100% for the year under review.

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Current (open) derivative financial instrumentsDuring the meeting of April 16, 2008 the Board of Founda-tion decided to introduce overlay management. It is the aim of the overlay management to tactically control the invest-ments within ranges and to conduct rebalancing transactions by means of the derivative instruments for those asset classes for which such derivative instruments exist.

The start was on 01.07.2008. Currently the following asset categories are controlled by overlay management: Bonds Swiss, Bonds abroad, Shares Swiss, Shares abroad without Shares emerging markets and Commodities.

The contractual regulations define the following derivative in-struments: stock index futures, commodity index futures (cash settling), bond futures, interest swaps CHF and EUR with a maximum maturity of 15 years, forward exchange dealings in the currencies AUD, CAD, GBP, EUR, HKD, JPY, SGD and USD.

All derivative positions that offset the Foundation’s obligations must always be fully covered by underlying investments.

Open derivatives: Forward contracts in foreign currenciesFor every transaction in foreign currency futures or swaps, a forward currency exchange contract is completed at the same time to the value of the contract nominal of that currency. The forward currency exchange contracts were at all times fully covered by the core investments.

As per December 31, 2013 forward contracts in foreign currencies (expiry date March 2014) with a marketable value of CHF 35 579 (previous year CHF –9 253) were open.

The market value of forward currency exchange contracts is recorded under “Liquid funds strategic” in the balance sheet.

Forward contracts in foreign currenciesMarket value

in CHFEconomic exposure

in CHFExposure OBB2

in CHF*

35 579 10 370 972 10 370 972

* Solvency requirements pursuant to BVV2

Open derivatives: FuturesThe future contracts were at all times covered by the core in-vestments. As per December 31, 2013 the following future contracts were open:

FuturesMarket value

in CHFEconomic exposure

in CHFExposure OBB2

in CHF*

Bonds Swiss 0

Interest rates 0

Shares Swiss 0

Shares abroad 0 25 946 461 24 854 310

Commodities 0

Total 0 25 946 461 24 854 310

* Solvency requirements pursuant to BVV2

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Employer-paid contribution reserves 2013in CHF

2012in CHF

Balance at the beginning of the period 3 571 885 3 367 743

Transfers into the employer-paid contribution reserves 870 142 658 000

Transfers from new contracts 348 763 0

Benefits from termination of contracts -1 393 –20 000

Used for premium payments -754 299 –450 312

Used for one-time payments* -7 893 0

Interest 18 960 16 454

Balance at the end of the period 4 046 165 3 571 885

* Utilisation for single premiums can only be granted upon submission of an explicit declaration of non-objection issued by the appropriate tax authority or in the event of a liquidation of the portfolio.

Comments on employer-paid contribution reserves

The employer-paid contribution reserves earned interest at 0.5%.

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Comments on prepayments and accrued income 31.12.2013in CHF

31.12.2012in CHF

Prepaid benefits 316 309 466 924

Income from distribution compensations 155 442 196 358

471 751 663 282

Comments on accrued liabilities and deferred income 31.12.2013in CHF

31.12.2012in CHF

Expense for distribution compensations/broker‘s commissions 250 000 750 000

Prepaid premiums 965 039 425 581

Outstanding entry benefits 6 321 799 5 798 439

Higher rate of interest 1 324 000 0

Other accruals 40 726 42 286

8 901 564 7 016 306

Comments on insurance cost 2013in CHF

2012in CHF

Risk premium 2 765 859 2 943 476

Cost premium 833 076 878 850

Contributions to guarantee fund 21 366 20 023

3 620 301 3 842 349

Comments on Other Balance Sheet and Operative Account Positions

Comments on administrative expenses 2013in CHF

2012in CHF

Distribution compensations 327 097 330 962

Broker‘s commissions 261 203 270 000

Auditors, actuary 48 943 41 194

Supervisory authority 2 084 3 048

Other administrative expenses 41 739 35 965

681 065 681 169

Comments on accounts receivable 31.12.2013in CHF

31.12.2012in CHF

Receivable premiums 1 371 339 1 375 517

Receivables from insurances 1 420 528 998 345

Withholding tax 124 747 409 502

2 916 615 2 783 363

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Information on the regulations in force concerning retrocession paymentsThe asset investment activities of the Swisscanto Supra are carried out in accordance with a collaborative contract with the Swisscanto Investment Foundation on the one hand, based on a funds placement agreement with the Swisscanto Asset Management AG on the other, as well as in accordance with the asset management mandate with Zurich Cantonal Bank for the overlay management.

All three contractual partners confirm that they have not re-ceived any third-party retrocession payments arising from the above-mentioned contractual relationships.

Supervisory Authority Requirements

Information on the regulations in force concerning surplusesThe Foundation is entitled to the surplus shares Helvetia con-fers from the collective life insurance. The annual financial statement 2013 includes the sum of von CHF 631 794 (previ-ous year: 756 560) in surpluses. Pursuant to regulations this sum was used to support the coverage ratio in the current year.

Pending LitigationsOn the basis of the current status for each pending litigation we do not assume that the Foundation will incur other than legal costs.

Further Information Regarding the Financial Situation

Events after the reporting dateWe are unaware of any events after the reporting date that would have a material impact on the annual accounts.

The supervisory authority has not commented on the annual financial statement of 2012 until the end of the year under re-view.

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Publisher:Swisscanto SupraCollective Foundation of the Cantonal BanksSt. Alban-Anlage 26P.O. Box 38554002 BaselTelephone 058 280 26 66Fax 058 280 29 77sammelstiftung@swisscanto.ch

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www.swisscanto-sammelstiftung.ch