MACQUARIE REFLEXION COMMODITY TRUST · Macquarie Reflexion Commodity Trust 38 This financial report...

MACQUARIE REFLEXIONCOMMODITY TRUSTARSN 118675 871

ANNUAL FINANCIAL REPORTFOR THE YEAR ENDED') '" II I ~ I I: ,. '" -1 ,.0U \JUI'IC. £.U I£.

oMACQUARIE

WS:CFFP _Delhi:7497 i:v i

MACOUARIE REFLEXION COMMOOI1Y TRUST

Annual Reportfor the year ended 30 June 2012

Contents

Directors' Report 2

Auditor's Independence Declaration 5

Statement of Comprehensive Income 6

Statement of Financial Position 7

Statement of Changes in Equity 8

Statement of Cash Flows 9

Notes to the Financial Statements 10

Directors' Declaration 37

Independent Auditor's Report to the Unitholders ofMacquarie Reflexion Commodity Trust 38

This financial report covers Macquarie Reflexion Commodity Trust as an individual entity.

Responsible Entity:Macquarie Financial Products Management LimitedABN 38 095 135 694NO.1, Martin Place,Sydney,New South Wales, 2000AUSTRALIA

Neither the Responsible Entity, nor any member of the Macquarie Group Limited, guarantees the performance of the Macquarie Reflexion Commodity Trust, therepayments of capital or the payment of a particular rate of retum on the units issued.

Macquarie Financial Products Management Limited is not an authorised deposit-taking institution for the purposes of the Banking Act (Cth) 1959, andMacquarie Financial Products Management Limited's obligations do not represent deposits or other liabilities of Macquarie Bank Limited ABN 46008 583 542.Macquarie Bank Limited does not guarantee or otherwise provide assurance in respect of the obligations of Macquarie Financial Products Management Limited.

1


Directors' Report30 June 2012

The Directors of Macquarie Financial Products Management Limited (ABN 38 095 135 694) (a wholly ownedsubsidiary of Macquarie Group Limited), the Responsible Entity of the Macquarie Reflexion Commodity Trust(the "Trust"), submit their report together with the financial report of the Trust, for the year ended 30 June 2012.

Principal activities

The principal activity of the Trust is to obtain investment exposures to the Diversified Commodity Forward Index(under the 2006 and June 2007 offers), the Wellington Commodities Fund (under the December 2007 and June2008 original offers) and the GSCI Commodities Basket (under the December 2007 and June 2008 variationoffers). The Trust gains exposures to the Diversified Commodity Forward Index, Wellington Commodities Fundand the GSCI Commodities Basket (the "Underlying Investments") via Investment Linked Swaps in accordancewith the provisions of the Trust Constitution.

The Trust did not have any employees during the year.

Thol"D h':C' hoon nn cirinifir-':nt ,.h-:nrio in tho ri0+i 110 nf +hic 0r-+;"i+\, rJllVi..ro tho \lO':yi i '''' \. 111...... ......., i ,\, "":: 1111....'... ..' '..' '::.. II I .., ,.. "......' \. ... ....... ....... v,.., '-..' II ':: ,"' ,.. Y ....,.

Directors

The names of the Directors of the Responsible Entity in office during the financial year and until the date of thisreport are:

Anthony John Abraham (appointed on 19/12/2011)Antony ClubbJason King

Peter Bruce LucasWilliam Dudley Fox

The Directors were in office from the beginning of the financial year until the date of this report, unless otherwisestated.

Review of results and operations

During the year, the Trust continued to be managed in accordance with the investment objective and strategyset out in the Trust's offer document and in accordance with the Trust Constitution.

Results and distributions

The performance of the Trust, as represented by the results of its operations, was as follows:

Year ended

30 June 2012$

30 June 2011

$

Net profit before finance costs and income tax attributableto unitholders 1,628,756 9,943,227

Annual distributions paid 166,819 745,374

Redemption distributions paid 922,250 3,979,538

2


Directors' Report (continued)30 June 2012

Significant changes in the state of affairs

In the opinion of the Directors, there were no significant changes to the state of affairs of the Trust during theyear.

Significant events after the balance date

There has been no matter or circumstance that has arisen since the end of financial year that has significantlyaffected, or may significantly affect, the Trust's operations in future financial years, the results of thoseoperations or the Trust's state of affairs in future financial years.

Likely developments and expected results

The Trust will continue to be managed in accordance with the investment objective and strategy set out in theTrust's offer document and in accordance with the Trust Constitution.

The results of the Trust's operations will be affected by a number of factors, including the performance of theUnderlying Investments in which the Trust invests. Investment performance is not guaranteed and future returnsmay differ from past returns. As investment conditions change over time, past returns should not be used topredict future returns.

Further information on likely developments in the operation of the Trust and the expected results of thoseoperations have not been included in this report because the Responsible Entity believes it would be likely toresult in unreasonable prejudice to the Trust.

Indemnification and insurance of officers and auditors

No insurance premiums are paid for out of the assets of the Trust in regards to insurance cover provided toeither the officers or Directors of Macquarie Financial Products Management Limited or the auditors of the Trust.Under the Trust Constitution, Macquarie Financial Products Management Limited as Responsible Entity of theTrust is entitled to be indemnified out of the assets of the Trust for any liability incurred by it in properlyperforming or exercising any of its powers or duties in relation to the Trust.

Fees paid to and units held in the Trust by the Responsible Entity and its associates

Annual administration fees paid to the Responsible Entity out of the Trust property during the year are disclosedin note 10 to the financial statements.

No fees were paid out of Trust property to the Directors of the Responsible Entity during the year.

The number of units in the Trust held by the Responsible Entity and its associates as at the end of the year aredisclosed in note 10 to the financial statements.

3


Directors' Report (continued)30 June 2012

Units on issue

The movement in units on issue in the Trust during the financial year is disclosed in note 7 to the financialstatements.

The units on issue at 30 June 2012 is as disclosed in note 7 to the financial statements.

Trust Assets

The value of the Trust's assets and liabilities at 30 June 2012 is disclosed in the statement of financial positionand derived using the basis set out in note 2 to the financial statements.

Environmental regulation and performance

The operations of the Trust are not subject to any particular or significant environmental regulations under a lawflf tl-ei ("r\l'Y'l"lin\../o~I+h C:tcito flY' To I"I";t,-ni... ..' ,'- '-'-" "' ,... I IIVV.....", .......... v, I..' I 'l."" J'

Auditor's Independence Declaration

An independence declaration has been provided to the Directors by the auditor of Macquarie ReflexionCommodity Trust, Ernst & Young, and is attached to the Director's report.

Rounding of amounts

Amounts in the financial report have been rounded off to the nearest dollar unless otherwise indicated.

Signed in accordance with a reso( ti n of the Directors./ '.....................~~.... ..................................DirectorSydney25 September 2012

4

11111111111111111111111111111""'.. aJ ERNST & YOUNG

Ernst & Young Centre680 George StreetSydney NSW 2000 AustraliaGPO Box 2646 Sydney NSW 2001

Tel: +61 2 9248 5555Fax: +61 29248 5959www.ey.com/au

Auditor's Independence Declaration to the Directors of MacquarieFinancial Products Management Limited, as the Responsible Entity forMacquarie reFleXion Commodity Trust

In relation to our audit of the financial report of Macquarie reFleXion Commodity Trust for the financialyear ended 30 June 2012, to the best of my knowledge and belief, there have been no contraventions ofthe auditor independence requirements of the Corporations Act 2001 or any applicable code ofprofessional conduct.

~~t7t=JErnst & Young

Darren Handley-Greaves

Partner25 September 2012

Liability limited by a scheme approvedunder Professional Standards Legislation


Statement of Comprehensive Incomefor the year ended 30 June 2012

Year endedNotes 30 June 2012 30 June 2011

$ $

Income

Interest revenue 10 427,851 465,282

Annual distribution income 166,819 745,374

Change in fair value of financial assets and liabilities atfair value through profit or loss 5 1,462,962 9,198,878

Total income 2,057,632 10,409,534

CvnonC'oC'L."'tJvl.,,"-V

Investment Linked Swap fees 10 427,851 465,282

Responsible Entity fees 10 1 ,025 1 ,025

Total expenses 428,876 466,307

Net profit before finance costs and income tax 1,628,756 9,943,227

Finance costs

Distributions paid to unitholders

Increase in net assets attributable to unitholders

Total finance costs

6

7

(1,089,069)

(539,687)

(1,628,756)

(4,724,912)

(5,218,315)

(9,943,227)

Profit/(Ioss) for the year

Other comprehensive income/(Ioss)

Foreign exchange translation reserve for the year

Reserve movements attributable to unitholders

Total comprehensive income/(Ioss) for the year

7

(836,491)836,491

(623,413)623,413

The above statement of comprehensive income should be read in conjunction with the accompanying notes.

6


Statement of Financial Positionat 30 June 2012

Notes 30 June 2012$

30 June 2011

$

Assets

Other receivable

Collateral Deposits

Financial assets at fair value through profit or loss

Total assets

8

9

450

21,416,477

12,480,314

33,897,241

375

27,882,022

11,966,662

39,849,059

Liabilities

Investment Linked Swap fees payable 10 8,167 21,275

Responsible Entity tees payable 10 6,600 5,500

Financial liabilities at fair value through profit or loss 9 35,023 266,029

Total liabilities (excluding net assets attributable tounitholders) 49,790 292,804

Net assets attributable to unitholders - liability 7 33,847,451 39,556,255

Foreign exchange translation reserves

Reserves 915,688 1,752,179

Res8lves attributable to unit holders (915,688) (1.752,179)

The above statement of financial position should be read in conjunction with the accompanying notes.

7


Statement of Changes in Equityfor the year ended 30 June 2012

Year ended30 June 2012 30 June 2011$ $

Total equity at the beginning of the year

Total comprehensive income/(Ioss) for the year

Transactions with owners in their capacity as owners

Total equity at the end of the year

Under Australian Accounting Standards, net assets attributable to unitholders are classified as a liability ratherthan eouity, As a result there was no eouity at the start or end of the vear.

The above statement of changes in equity should be read in conjunction with the accompanying notes.

8


Statement of Cash Flowsfor the year ended 30 June 2012

Year endedNotes 30 June 2012 30 June 2011$ $

Cash flows from operating activites

Investment Linked Swap collateral withdrawn

Collateral Deposits interest received

Investment Linked Swap fees paid

Annual distribution income received

Realised gains on redemptions

Net cash provided by operating activities 11 (a)

5,412,000

440,959

(440,959)166,819

922,250

6,501,069

r'"r-h ffri'��fr- f,.rorr f;",,,,.r-i,,rv ",.+:, ,:+;,.'1..\JUù" LIUVVÙ "VI', "I'U."V",~ U.vLlV'UCoù

Payments for redemptions to unitholders

Distributions paid to unitholders

Net cash used in financing activities

(5,412,000)

(1,089,069)

(6,501 ,069)

Net increase/(decrease) in cash and cash equivalents

Cash and cash equivalents at the beginning of the year

Cash and cash equivalents at the end of the year

The above statement of cash flows should be read in conjunction with the accompanying notes.

15,587,500

460,108

(460,108)745,374

3,979,538

20,312,412

(15,587,500)

(4,724,912)

(20,312,412)

9


Notes to the Financial Statementsfor the year ended 30 June 2012 (continued)

1 . Corporate information

This financial report covers Macquarie Reflexion Commodity Trust (the "Trust") as an individual entity. The Trustwas constituted on 6 March 2006 and registered on 20 March 2006. The Trust is expected to terminate on 20March 2086 unless terminated earlier in accordance with the provisions of the Trust Constitution.

Macquarie Reflexion Commodity Trust is a managed investment scheme. The Responsible Entity of the Trust isMacquarie Financial Products Management Limited (the "Responsible Entity") having its registered office at No.1, Martin Place, Sydney, New South Wales 2000, Australia. Macquarie Financial Products Management Limited,the Responsible Entity of the Trust, is incorporated and domiciled in Australia. The financial report is presentedin Australian Dollars.

The principal activity of the Trust is to obtain investment exposures to the Diversified Commodity Forward Index(under the 2006 and June 2007 offers), the Wellington Commodities Fund (under the December 2007 and June2008 original offers) and the GSCI Commodities Basket (under the December 2007 and June 2008 variationoffers).

The financial statements of Macquarie Reflexion Commodity Trust for the year ended 30 June 2012 wereauthorised for issue in accordance with a resolution of the Board of Directors on 25 September 2012. TheDirectors of the Responsible Entity have the power to amend and reissue the financial report.

2. Accounting policies

The principal accounting policies applied in the preparation of these financial statements are set out below.These policies have been consistently applied to all periods presented, unless otherwise stated in the followingtext.

2.1 Basis of preparation

The financial report is a general purpose financial report, which has been prepared in accordance withrequirement of the Corporations Act 2001, Australian Accounting Standards and other authoritativepronouncements of the Australian Accounting Standards Board and the Trust Constitution. The financialreport has also been prepared on the basis of fair value measurement of assets and liabilities except whereotherwise stated.

The statement of financial position is presented on a liquidity basis. Assets and liabilities are presented indecreasing order of liquidity and are not distinguished between current and non-current. All balances areexpected to be recovered or settled within twelve months, except for financial assets and liabilities at fair valuethrough profit or loss and net assets attributable to unitholders. The amount expected to be recovered or settedwithin twelve months in relation to these balances cannot be reliably determined.

Amounts in the financial report have been rounded off to the nearest dollar unless otherwise indicated.

Statement of compliance

The financial statements have been prepared in accordance with the Australian Accounting Standards as issuedby the Australian Accounting Standards Board and International Financial Reporting Standards as issued by theInternational Accounting Standards Board.

10



2. Accounting policies (continued)

2.1 Basis of preparation (continued)

New accounting standards and interpretations

Certain new accounting standards and interpretations have recently been issued or amended but are not yeteffective and have not been adopted by the Trust for the annual reporting year ended 30 June 2012. TheDirectors of the Trust have not early adopted any of these new or amended standards or interpretations aslisted below:

(i) AASB 9 Financial Instruments: Classification and Measurement

AASB 9 was issued by the IASB in November 2009 and amended in December 2011. It introduces newrequirements for the classification and measurement of financial assets effective from January 1, 2015 with earlyadoption permitted.

(ii) AASB 10 Consolidated Financial Statements

AASB 10 establishes a new control model that applies to all entities. It replaces parts of AASB 127 Consolidatedand Separate Financial Statements dealing with the accounting for consolidated financial statements and UIG-112 Consolidation - Special Purpose Entities.

(iii) AASB 12 Disclosures of Interests in Other Entities

AASB 12 includes all disclosures relating to an entity's interests in subsidiaries, joint arrangements, associatesand structured entities. New disclosures have been introduced about the judgements made by management todetermine whether control exists, and to require summarised information about joint arrangements, associatesand st'c:ct'c:'-ed entities and subsidiaries with non-controlling interests,

(iv) MSB 13 Fair Value Measurement

AASB 13 establishes a single source of guidance under IFRS for determining the fair value of assets andliabilities. AASB 13 does not change when an entity is required to use fair value, but rather, provides guidanceon how to determine fair value when fair value is required or permitted. Application of this definition may result indifferent fair values being determined for the relevant assets.

AASB 13 also expands the disclosure requirements for all assets or liabilities carried at fair value. This includesinformation about the assumptions made and the qualitative impact of those assumptions on the fair valuedetermined.

AASB 10, AASB 12 and AASB 13 are not applicable until 1 January 2013 but are available for early adoption.

The Trust has not yet decided when to adopt AASB 9, AASB 10, AASB 12 and AASB 13. Management doesnot expect this will have a significant effect on the Trust's financial statements.

Standards and interpretations that are not expected to have material impact on the Trust have not beenincluded.

11




2.2 Summary of significant accounting policies

(a) Financial instruments

(i) Classification

The Trust's investments are classified as at fair value through profit or loss. They include derivatives such as theInvestment Linked Swaps and Foreign Currency Exchange Agreements, which are considered to be held fortrading in accordance with Accounting Standard AASB 139. The Trust does not designate any derivatives ashedges in a hedging relationship as defined by AASB 139. Consequently hedge accounting is not applied by theTrust.

(ii) Recognition/derecognition

The Trust recognises financial assets and financial liabilities on the date it becomes party to the contractualagrAAment (trarlA date) and rAcognisAs chAngAs in fAir vAlllA of thA finAncial Assets or financial liAbilitiAS from thisdate.

Investments are derecognised when the right to receive cash flows from the investments have expired or theTrust has transferred substantially all risks and rewards of ownership.

(iiij Measurement

(a) Financial assets and liabilities at fair value through profit or loss

Financial assets and liabilities at fair value through profit and loss are measured initially at fair value excluding anytransaction costs that are directly attributable to the acquisition or issue of the financial asset or financial

liability.

Transaction costs on financial assets and financial liabilities at fair value through profit or loss are expensedimmediately. Subsequent to initial recognition, all instruments at fair value through profit or loss are measured atfair value with changes in their fair value recognised in the statement of comprehensive income.

(b) Investment Linked Swap

The fair value of the Investment Linked Swaps is based on the valuations provided by the Swap Counterpartywhich is principally driven by the value of a call option and/or movement in the Underlying Investments and thebreak costs and/or break gains payable/receivable if the Investment Linked Swaps were redeemed beforematurity. These break costs and/or break gains are passed onto the redeeming investors through the valuationof their units.

(c) Foreign Currency Exchange Agreement

Foreign Currency Exchange Agreements are primarily used by the Trust to manage against foreign currencyexchange rate risk on its non-Australian denominated Cash CollateraL. Under these agreements, the Trust willcommit to sell the value of the Euro denominated Cash Collateral for a fixed Australian Dollar amount on thematurity date. This fixed Australian Dollar amount should equal the sum of the Investment Loan Repaymentobligations for all the investors in the Trust. Foreign Currency Exchange Agreements are valued at the prevailingmarket rate at the reporting date. The Trust recognises a gain or loss equal to the change in fair value at thereporting date.

(iv) Offsettng financial instruments

Financial assets and financial liabilities are offset and the net amount reported in the statement of financialposition if, and only if, there is a legally enforceable right to offset the recognised amounts at all times and thereis an intention to settle on a net basis, or realise the asset and settle the liability simultaneously

12




2.2 Summary of significant accounting policies (continued)

(b) Net assets attributable to unitholders

Units are redeemable at the unitholders' option and are classified as financial liabilities. Subject to sufficientliquidity within the Trust, the units can be put back to the Trust equal to a proportionate share of the Trust's netasset value. The fair value of redeemable units is measured at the redemption amount that is payable (based onthe redemption unit price) at the reporting date if unitholders exercised their right to put the units back to theTrust.

(c) Cash and cash equivalents

For the purpose of presentation in the statement of cash flows, cash includes cash on hand and deposits heldat call with financial institutions. Cash equivalents include other short-term, highly liquid investments with original..~h wi+i('C' r.f +ht"Ql: Y'r'nthC' AI" IriC'C' fvf"Y' thQ rln+ri f"f ':1",.. iic-;tir'n tho+ ':l'(" l"n~rI;l\I f"r'nur,yt;hln +.. !/nr.HI.. ...p..y'l"' ,..+(" "f"Il.lUllll....... ll...... IliVII\.I,"" Vi i..'-V liVll1 1I1V U"-L'- VI uV"-U1,,'L.IVII lllUl LA''' Iv....1'1 \JV,'VVI\.I""I\. i\J 1'",I'-VV" ..",'-'-,,.... ,-

cash, which are subject to an insignificant risk of changes in value and are held for the purpose of meetingshort-term cash commitments rather than for investment or other purposes. Bank overdrafts, if any, are shownseparately on the statement of financial position.

Payments and receipts relating to the purchase and sale of financial assets are classified as cash flows fromoperating activities, as movements in the fair value of these securities represent the Trust's main incomegenerating activity.

(d) Collateral Deposit

The Collateral Deposits are held with Macquarie Group Limited ("MGL") and wholly owned subsidiaries of MGLand represent the credit support for the Investment Linked Swaps entered into between the Trust and whollyowned subsidiaries of MGL.

(e) Investment income

Interest revenue is recognised in the statement of comprehensive income for all financial instruments that arenot held at fair value through profit or loss using the effective interest method.

For the "original offers", under the terms of the Investment Linked Swap Agreement, the Trust may receiveannual distributions if the relevant Underlying Index reaches a sufficient level to ensure that payment of thedistribution does not materially increase the likelihood of a subsequent allocation to cash due to ThresholdManagement (as defined within the Product Disclosure Statement). The annual distributions, if received, are paidto the unitholders and recognised in the statement of comprehensive income as finance costs.

(~ Expenses

All expenses are recognised in the statement of comprehensive income on an accruals basis.

(g) Income tax

Under current Australian legislation, the Trust is not subject to income tax provided the unitholders are presentlyentitled to the income of the Trust and the Trust fully distributes its net taxable income.

Financial instruments at fair value may include unrealised capital gains. Should such a gain be realised, thatportion of the gain that is subject to capital gains tax will be distributed so that the Trust is not subject to capitalgains tax.

Distributable income is determined by reference to the net taxable income of the Trust.

13





(h) Distributions to unitholders

In accordance with the Trust Constitution, the Trust fully distributes its distributable (taxable) income tounitholders. The distributions are recognised in the statement of comprehensive income as finance costs.

(i) Increase/decrease in net assets attributable to unitholders

Income not distributed is included in net assets attributable to unitholders. Movements in net assets attributableto unitholders are recognised in the statement of comprehensive income as finance costs.

ü) Foreign currency translation

Functional and presentation currency

Items included in the Trust's financial statements are measured using the currency of the primary economicenvironment in which it operates (the "functional currency"). This is the Euro. The Australian Dollar is the Trust'spresentation currency. The exchange differences arising from the translation of the assets, liabilities, income andexpenses from the functional currency to the presentation currency are taken to statement of comprehensiveincome as other comprehensive income/(Ioss) for the year.

Transactions and balances

Foreign currency transactions, where applicable, are translated into the functional currency using the exchangerates prevailing at the dates of the transactions. Foreign exchange gains and losses resulting from thesettlement of such transactions and from the translations at year-end exchange rates, of monetary assets andliabilities denominated in foreign currencies are recognised in the statement of comprehensive income.

The Trust does not isolate that portion of gains or losses on financial instruments and derivative financialinstruments that are measured at fair value through profit or loss and which is due to changes in foreignexchange rates from that which is due to changes in the market price of securities. Such fluctuations areincluded with the change in fair value on financial instruments at fair value through profit or loss.

(k) Receivables

Receivables may include amounts for interest on Collateral Deposits and Goods and Services Tax receivablefrom the Australian Taxation Office (ATO).

(i) Payables

Payables include liabilities and accrued expenses owing by the Trust which are unpaid as at the reporting date.

(m) Goods and Services Tax (GST)

The GST incurred on the Responsible Entity fees has been passed onto the Trust. The Trust qualifies forReduced Input Tax Credits (RITC) at a rate of 75% hence Responsible Entity fees has been recognised in thestatement of comprehensive income net of the amount of GST recoverable from the Australian Taxation Office(ATO). Responsible Entity fees payable is inclusive of GST. The net amount of GST receivable from the ATO isincluded in receivables in the statement of financial position. Cash flows relating to GST are included in thestatement of cash flows on a gross basis.

14





(n) Use of estimates

The Trust makes estimates and assumptions that affect the reported amounts of assets and liabilities within thenext financial year. Estimates are continually evaluated and based on historical experience and other factors,including expectations of future events that are believed to be reasonable under the circumstances.

The majority of the Trust's financial instruments are over-the-counter derivatives, which are fair valued usingvaluation techniques. Where valuation techniques (for example, pricing models) are used to determine fairvalues, they are validated and periodically reviewed by experienced personnel of the Responsible Entity,independent of the area that created them.

Models use observable data, to the extent practicable. However, areas such as credit risk (both own andr.ni i ntprri;:rty) vnl;:tilitips Finn r.nrmlFltinns m~iiirp m;:n;:gpmpnt tn m;:kp pstim;:tes Ch;:ngps in ;:ssiimritinnsabout these factors could affect the reported fair value of financial instruments.

(0) Applications and redemptions

Applications received for units by the Trust are recorded net of any entry fees payable prior to the issue of unitsin the Trust. Redemptions from the Trust are recorded gross of any exit fees payable after the cancellation ofunits redeemed.

15



3. Financial risk management

The following note disclosure provides an analysis of the financial risks that are managed by the Trust. Termspresented below and followed by an '*' are defined within the Product Disclosure Statements.

Investment policy

Investment policy (For 2006 & 2007 offers)

Original offers

Under the Original offers (the "Original"), Macquarie Reflexion Commodity Trust provides investors with exposureto the Diversified Commodity Forward Index (under the 2006 and June 2007 offers) and WellingtonCommodities Fund (under the December 2007 offer) (being the Underlying Investments for the Trust), which iscapital protected in Australian Dollars ("AUD") at maturity. These investments cover four commodity sectorsincluding Energy, Industrial Metals, Precious Metals and Agriculture.

Variation offers

Under the variation offers (the "Variation"), Macquarie Reflexion Commodity Trust provides investors withexposure to the GSCI Commodities Basket (being the Underlying Investment), which is capital protected inAustralian Dollars ("AUD") at maturity. It consists of an equally weighted exposure to four S&P GSCICommodities Indices.

The exposure to the Diversified Commodity Forward Index, the Wellington Commodities Fund and GSCICommodities Basket represents the "Underlying Investments" for the Trust. The Trust does not invest directly inthe Underlying Investments but instead obtains exposure to the Underlying Investments via Investment Linked

Swap Agreements with Macquarie Bank Limited (the "Swap Counterparty").

The Trust has entered into the following agreements:· an Investment Linked Swap Agreement;

· a Foreign Currency Exchange Agreement

The Investment Linked Swap Agreement is the contractual arrangement by which the Trust obtains exposuresto the Underlying Investments. Each Investment Linked Swap Agreement comprises of two components:

· An Investment Linked Swap - provides the Trust with exposure to the Underlying Investments; and

· The Cash Collateral - this, in conjunction with the Foreign Currency Exchange Agreement, forms the basisof capital protection at maturity.

Investment Linked Swap

The Investment Linked Swap is a contract under which the Trust:

· may receive a payment from the Swap Counterparty at maturity, the amount of which will depend upon theperformance of the Underlying Investment during the term; and

is required to pay to the Swap Counterparty an amount each month, equal to the amount of interest itreceives from the Cash Collateral; and

· provides investors in the Trust with the potential to receive an annual distribution depending, among otherthings, on the performance of the Underlying Investment (only applicable for original offers).

16



3. Financial risk management (continued)

Investment policy (continued)

Cash Collateral

The Trust deposits the offer proceeds with the Swap Counterparty in Euro ("EUR") as collateral for its obligationunder the Investment Linked Swap Agreements. The interest earned on the Cash Collateral is applied to makepayments to the Swap Counterparty under the Investment Linked Swaps. The Cash Collateral will be returnedto the Trust at the maturity date, or partially if unitholders make redemptions.

Foreign Currency Exchange Agreement

The Trust has entered into Foreign Currency Exchange Agreements with wholly owned subsidiaries ofMacquarie Group Limited (the "FX Counterparties"). Under these agreements, the Trust will commit to sell thevalue of the Euro-denominated Cash Collateral for a fixed Australian Dollar amount on the maturity date. Thisfixed Australian Dollar amount should be equal to the sum of the Investment Loan Repayment* obligations for allthA inVAstors in thA Trust.

Investment policy (For June 2008 offers)

Original offer

Under the Original offer (the "Original"), Macquarie Reflexion Commodity Trust provides investors with exposureto the Wellington Commodities Fund (being the Underlying Investment for the Trust), which is capital protectedin Australian Dollars ("AUD") at maturity. This investment cover four commodity sectors including Energy,Industrial Metals, Precious Metals and Agriculture.

Variation offer

Undet tiie variation offer (the "Variation"), Macquarie Reílexion Commodity Trust provides iiivestors witiiexposure to the GSCI Commodities Basket (being the Underlying Investment), which is capital protected inAustralian Dollars ("AUD") at maturity. It consists of an equally weighted exposure to four S&P GSCICommodities Indices.

The exposure to the Wellington Commodities Fund and GSCI Commodities Basket represents the "UnderlyingInvestments" for the Trust. The Trust does not invest directly in the Underlying Investments but instead obtainsexposure to the Underlying Investments via Investment Linked Swap Arrangements.

The Trust has entered into the following agreements:· an Investment Linked Swap Agreement ("Swap Agreement");

· a Cash Collateral Agreement ("Collateral Agreement");· a Foreign Currency Exchange Agreement

The Swap Agreement and the Collateral Agreement together forms the "Investment Linked Swap Arrangement".

The Investment Linked Swap Arrangement is the contractual arrangement by which the Trust obtains exposuresto the Underlying Investments. The Investment Linked Swap Arrangement comprises of two components:

. Swap Agreement - provides the Trust with exposure to the Underlying Investments. This agreement ismade between the Trust and Macquarie Bank Limited (the "Swap Counterparty"); and

. Collateral Agreement - this, in conjunction with the Foreign Currency Exchange Agreement, forms the

basis of capital protection at maturity. This agreement is made between the Trust and Macquarie GroupLimited (the "Collateral Counterparty").

17




Investment policy (continued)

Swap Agreement

The Swap Agreement is a contract under which the Trust:

. may receive a payment from the Swap Counterparty at maturity, the amount of which will depend upon the

performance of the Underlying Investments during the term; and

. is required to pay to the Swap Counterparty an amount at each six months period, equal to the amount of

interest it receives from the Cash Collateral; and

. may be required to pay an amount to the Swap Counterparty or receive an amount from the SwapCounterparty (depending on market conditions) if all or part of the Swap Agreement is terminated orunwound early; and

. provides investors in the Trust with the potential to receive an annual distribution depending, among other

things, on the performance of the Underlying Investment (only applicable for original offer).

Collateral Agreement

The Trust deposits the offer proceeds with the Collateral Counterparty in Euro ("EUR") as collateral for itsobligation under the Swap Agreements. The interest earned on the Cash Collateral is applied to make paymentsto the Swap Counterparty under the Swap Agreements. The Cash Collateral will be returned to the Trust at thematurity date, or partially if unitholders make redemptions.

Foreign Currency Exchange Agreement

The Trust has entered into Foreign Currency Exchange Agreements with Macquarie Bank Limited (the "FXCounterparty"). Under these agreements, the Trust will commit to sell the value of the EUR-denominated CashCollateral for a fixed Australian Dollar amount on the maturity date. This fixed Australian Dollar amount should beequal to the sum of the Investment Loan Repayment obligations for all the investors in the Trust.

Risk management

The Trust's activities expose it to a variety of financial risks: market risk (including market price risk, foreignexchange risk and interest rate risk), credit risk and liquidity risk arising from the financial instruments it holds.The risk management policies employed by the Trust to manage these risks are discussed below.

(a) Market risk

Market risk is the exposure to adverse changes in the value of the Trust's investment portfolios as a result ofchanges in market prices or volatility. The Trust is exposed to the following risks in each of the major markets inwhich it trades:

18




(a) Market risk (continued)

(i) Market price risk

The Trust is exposed to market price risk on its investment in Investment Linked Swaps. The value of the Trust'sinvestment in the Investment Linked Swaps is -

based on a call option over the Diversified Commodity Forward Index for 2006 and June 2007 offers;linked to the Wellington Commodities Fund for December 2007 and June 2008 original offers; andbased on a call option over the GSCI Commodities Basket for December 2007 and June 2008 variationoffers.

These investments are impacted by the changes in prices of underlying listed equity securities. As theInvestment Linked Swaps are denominated in EUR, these are also affected by movements in the AUD/EURexchange rates. The risk exposure to the Trust at the reporting date is determined by the fair value of theI.~. ._~.i..~~.~l 1 :._r_~~1 0.......... .... ..):....1,.......1 ..,:.iI..:.. ...,..1.. IîIIIVv~lIllt:11l LIIIr\t:U ùVVOlJ0 00 Ulol,IUOt:U VVILI IIi I IIULt: V.

This risk is managed by the Swap Counterparties through the application of Threshold Management* (only forDecember 2007 & June 2008 original offers). The Threshold Management* technique involves allocating part ofthe investment exposure to higher risk assets, like the Underlying Investment, and part to a lower risk asset likea cash deposit. Therefore, the Trust may not always be exposed to 100% of the movements in the UnderlyingInvestment although the maximum exposure of the Trust to the Underlying Investment could be 100%. TheTrust does not directly hold the Underlying Investment and/or the cash deposit, but instead achieves exposureto these assets through the Investment Linked Swap Agreements. The Investment Linked Swaps are impactedby movements in the prevailing interest rates (only for December 2007 & June 2008 original offers) in their cashdeposits allocation.

Tne analysis is based on assumptions that the Underlying Investment for respective offers increased/decreasedby 10% (2011: 15%) with all other variables held constant. The impact arises from reasonably possible changein the fair value of the Investment Linked Swaps. The reasonably possible movements in the risk variables havebeen determined based on Management's best estimate, having regard to a number of factors, includinghistorical levels of changes in underlying funds investment unit price. However, actual movements in the pricerisk variables may be greater or less than anticipated due to a number of factors, including unusually largemarket shocks resulting from changes in the performance of the economies, markets and securities in which theunderlying fund invests. As a result, historic variations in risk variables are not a definitive indicator of futurevariations in the risk variables.

For the "original offer", as a result of the application of Threshold Management*, 100% of the underlyingexposure of the Investment Linked Swap at the reporting date was allocated to cash deposits denominated inthe Australian Dollar or assets with a similar market price risk profile (2011: 100%). Therefore, the InvestmentLinked Swap for the "original offer" is not sensitive to changes in the price of the underlying index or movementin AUD/USD exchange rates at the reporting date.

1 9





(i) Market price risk (continued)

30 June 2012 30 June 2011

Impact on profit or (loss) attributable Impact on profit or (loss)to unitholders** attributable to unitholders**

Change in Underlying Investment +10% -10% +15% -15%$ $

nvestment Linked SwapJune 2006 offer 271,970 (271,970) 662,094 (662,094)'Jecember 2006 offer 265,342 (265,342) 622,680 (622,680)June 2007 offer 437,621 (437,621) 1,048,447 (1,048,447)'Jecember 2007 variation offer 295,791 (278,464) 640,076 (393,006)Ii inA ?nnR v;:ri;:tinn nffAr 1 H118a? '1.121 ROm ?aRR24R '1Qn1881

lfotal 3:166:325 I (2:374:997í I 5:941 :543 I (4:698:360í I

** Positive numbers indicate increase in profit and negative numbers indicate decrease in profit due tomovement in Underlying Investments. There is no effect on other comprehensive income as the Trust has noassets classified as available for sale or designated hedging instruments.

The table below indicates the impact that a +/- 15% (2011: +/- 15%) change in foreign currency exchange rateswould have on the market price of the Trust's investment in the Investment Linked Swaps and therefore profitand loss attributable to unitholders. As the functional currency of the Trust is the Euro, the movement presentedis based on a movement in the Australian Dollar relative to the Euro. The reasonable possible movement in theexchange rate ¡ias been determined based on management's best estimate, having regard to a number offactors, including historical levels of changes in foreign exchange rates and market volatility.

30 June 2012 30 June 2011

Impact on profit or (loss) attributable Impact on profit or (loss) attributableto unitholders*** to unitholders***

IChançie in currency rates +15 % -15 % +15 % -15 %

$ $EUR-AUD Exchange ratelJune 2006 offer - - - -

December 2006 offer - - - -

lJune 2007 offer - - - -

December 2007 oriqinal offer - - - -

'June 2008 oriqinal offer - - - -

December 2007 variation offer (39,048) 39,048 (33,833) 33,833'June 2008 variation offer (175,472) 175,472 (181,892) 181,892Total (214,520) 214,520 (215,725) 215,725

*** Positive numbers indicate decrease in profit and negative numbers indicate increase in profit due tomovement in foreign currency exchange rates. There is no effect on other comprehensive income as the Trusthas no assets classified as available for sale or designated hedging instruments.

As explained above, some part of the Underlying Investment could be allocated to a lower risk asset like a cashdeposit as a part of Threshold Management* (only for December 2007 & June 2008 original offers). This cashdeposit is interest bearing and is impacted by movements in interest rate.

20





(i) Market price risk (continued)

The table below summarises the impact of an increase/decrease of interest rates on the Trust's profit and lossattributable to unitholders at 30 June 2012 for December 2007 and June 2008 original offers. As a separateInvestment Linked Swap Agreement has been entered into for each class of Units, and each Investment LinkedSwap Agreement has different levels of exposure to the Underlying Investment, the table below discloses theimpact for each Agreement.

The analysis is based on the assumption that interest rates changed by +/- 25 basis points (2011: +/-25 basispoints) from the year end rates with all variables including participation rates held constant. The impact mainlyarises from changes in the value of Collateral Deposits placed under the application of Threshold Management(only for December 2007 & June 2008 original offers).

30 June 2012 30 June 2011

Impact on profit or (loss) attributable to Impact on profit or (loss) attributableunitholders**** to unitholders****

ChanÇle in interest rates +25 basis points -25 basis points +25 basis points -25 basis points

$ $December 2007 original offer (4,695) 4,742 (6,777) 6,861June 2008 original offer (11,321 ) 11,434 (17,878) 18,098June 2006 offer - - - -

December 2006 offer - - - -

June 2007 offer - - - -

Total (16,016) 16,176 (24,655) 24,959

**** Positive numbers indicate increase in profit and negative numbers indicate decrease in profit due tomovement in foreign currency exchange rates. There is no effect on other comprehensive income as the Trusthas no assets classified as available for sale or designated hedging instruments.

The Trust is also exposed to price risk on the value of its investment in Foreign Currency Exchange Agreements.The Trust has entered into these agreements to hedge its Foreign Exchange exposure on the balance of theCash Collateral, which is denominated in EUR. No market price risk analysis has been presented due to theResponsible Entity's assessment that such risks are insignificant as any price movement in the Foreign CurrencyExchange Agreement would be materially offset by movements in the Cash Collateral balance.

(ii) Foreign exchange risk

In accordance with the Australian Accounting Standards, foreign exchange risk only arises on monetary financialinstruments denominated in a currency other than EUR, being the functional currency of the Trust.

The Trust's only monetary financial instrument is the Cash Collateral, which is denominated in the EUR.Therefore, the Trust is not exposed to foreign exchange risk per the Australian Accounting Standards.

21





(ii) Interest rate risk

Interest rate risk is the risk that the value of a financial instrument or its cash flows will fluctuate due to changesin market interest rates.

All assets and liabilities are non-interest bearing with the exception of the Collateral Deposits. Interest incomeand swap fees expense may fluctuate in amount due to changes in interest rates. No interest rate risk analysis ispresented due to the Responsible Entity's assessment that such risks are insignificant as the amount of interestincome is offset by the swap fees expense under the Investment Linked Swap Agreements.

(b) Credit risk

Credit risk is the risk of financial loss as a result of a counterparty failing to perform contractual obligations, eitherin wnole or in part, under a contract. Potentiai areas aT credit risK consist of me Coiiaterai DeposIts and financiaiassets at fair value through profit or loss. These areas of credit risk include exposures to the SwapCounterparties, the Collateral Counterparties and the FX Counterparties. The Trust manages its exposure tocredit risk by dealing with well established financial institutions that the Responsible Entity has assessed to havea high quality credit standing. The credit standing of these counterparties is monitored on a regular basis.

Maximum exposure to credit risk

The carrying amount of financial assets best represents the maximum credit risk exposure at the reporting date.The table below details the concentration of credit exposure of the Trust's assets to significant geographicallocations and counterparty types. The amounts shown represent the maximum credit risk of the Trust's assetsequal to the carrying value of the assets

As at 30 June 2012 Financial assets at fairvalue through profit or

loss$

EURCollateral Deposits

$

Total

$

AustraliaFinancial institutionsTotal Australia

Total Gross credit risk

12,480,31412,480,31412,480,314

21,416,47721,416,47721,416,477

33,896,79133,896,79133,896,791

As at 30 June 2011 Financial assets at fairvalue through profit or

loss$

EURCollateral Deposits

$

Total

$

AustraliaFinancial institutionsTotal Australia

Total Gross credit risk

11,966,66211,966,66211,966,662

27,882,02227,882,02227,882,022

39,848,68439,848,68439,848,684

22




(b) Credit risk (continued)

Credit quality of financial assets

The credit quality of financial assets is managed by the Trust using external credit ratings, where available.Where a financial guarantee has been provided over the performance of a counterparty, the credit quality of theprovider of the guarantee is considered in assessing the overall credit quality of the exposure. The exposure tocredit risk for Collateral Deposits and financial assets at fair value through profit or loss is low as allcounterparties have a rating of at least A- (2011: A-) as determined by Standard and Poor's rating agency.

(c) Liquidity risk

Liquidity risk is the risk that the Trust will encounter difficulty in meeting obligations associated with financialliabilities. The Trust is exposed to semi-annual redemptions of units. The Trust manages this risk by entering intothe Investment Linked Swaps and Collateral Deposit Agreements which allows the Trust to partially redeem itsinvestment by providing the counterparties at least 5 business days notice before the redemption date. Bypartially redeeming its investment, the Trust will receive a portion of the Collateral Deposits plus any uplift, if any,in the value of the Investment Linked Swaps.

The Trust has entered into derivatives contracts, which are not traded in an organised market and may beilliquid. As a result, the Trust may not be able to quickly liquidate its investments in these instruments atamounts close to their fair value to meet its liquidity requirements or to respond to specific events such asdeterioration in the creditworthiness of any particular issuer or counterparty. The Trust manages its exposure toliquidity risk by monitoring the creditworthiness of all the Trust's counterparties on a regular basis.

The table on the next page analyses the Trust's financial liabilities into relevant maturity groupings based on therei-mining pei-iod at the reporting date to the contractual maturity date. The amounts disclosed in the table arethe contractual undiscounted cash flows. As unitholders have the choice of redeeming units before maturity, thetable reflects the earliest date on which redemption would be permitted. In addition, as redemption of unitswould result in the Trust partially redeeming its investment in the Investment Linked Swaps and ForeignCurrency Exchange Agreements, these balances, to the extent they represent a liability, are also included in thetable based on the earliest date on which redemption would be permitted. Balances due within 12 monthsequal their carrying amounts, as the impact of discounting is not viewed by the Responsible Entity as significant.

23




(c) Liquidity risk (continued)

As at 30 June 2012 Less than 1 to 3 3 to 6 6 to 12 1 to 51 month months months months years Total

$ $ $ $ $ $

Financial liabilities at fair valuethrough profit or loss - - 35,023 - - 35,023Investment Linked Swap feespayable - - 8,167 - - 8,167Responsible Entity fees payable 6,600 - - - - 6,600Net assets attributable tounitholders - - 33,847,451 - - 33,847,451Total undiscounted financialliabilities 6,600 - 33,890,641 - - 33,897,241

Foreign Currency ExchangeAgreement - notional amountsBuy AUD - - 34,034,449 - - 34,034,449

Sell EUR (AUD-eauivalent) - - (21 ,408,310) - - 121,408,310)

As at 30 June 2011 Less than 1 to 3 3 to 6 6 to 12 1 to 51 month months months months vears Total

$ $ $ $ $ $

Financial liabilities at fair valuethrough profit or loss - - 266,029 - - 266,029Investment Linked Swap feespayable - - 21,275 - - 21,275Responsible Entity fees payable 5,500 - - - - 5,500

Net assets attributable tounitholders - 39,556,255 - - 39,556,255Total undiscounted financialliabilities 5,500 - 39,843,559 - - 39,849,059

Foreign Currency ExchangeAgreement - notional amountsBuy AUD - - 40,459,646 - - 40,459,646

Sell EUR (AUD-equivalent) - - (27,860,747) - - 127,860,747)

24




(d) Fair value of financial assets and liabilities

(i) Fair value estimation

The carrying amounts of the Trust's assets and liabilities at the reporting date approximate their fair values. Thefollowing methods and significant assumptions have been applied in determining the fair values of financialinstruments:

The fair value of the Foreign Currency Exchange Agreements is estimated at the amount that the Trust wouldreceive or pay to terminate the contract at the reporting date taking into account current market conditions(volatility and appropriate yield curve) and the current creditworthiness of the counterparties.

The fair value of the Investment Linked Swaps is based on pricing provided by the Swap Counterparties whoare the calculation agent to the Investment Linked Swap Agreements. The pricing is based on the value of a calloption and/or movement in the Underlying Investments and/or on a formula agreed to by both parties and takesinto account the percentage of the Investment Linked Swaps exposed to the Underlying Investments, thevaluation of the Underlying Investments and the cash deposits.

(ii) Fair value hierarchy

AASB 7 requires the Trust to classify fair value measurements using a fair value hierarchy that reflects thesubjectivity of the inputs used in making the measurements. The fair value hierarchy has the following levels:

Level 1 - quoted prices (unadjusted) in active markets for identical assets or liabilities;

Level 2 - valuation techniques using inputs other than quoted prices included within level 1 that are observablefor the asset or liability, either directly (i.e. as prices) or indirectly (i.e. derived from prices);

Level 3 - valuation techniques using inputs for the asset or liability that are not based on observable market data(unobservable inputs).

The level in which instruments are classified in the hierarchy is based on the lowest level input that is significantto the fair value measurement in its entirety. Assessment of the significance of an input requires judgement afterconsidering factors specific to the instrument.

25




(d) Fair value of financial assets and liabilities

(ii) Fair value hierarchy (continued)

The following table shows financial instruments recorded at fair value, analysed for the levels of fair valuehierarchy.

30 June 2012

Level 2$

30 June 2011

Level 2

$

Financial assets at fair value through profit or loss

Financial assets held for trading

Investment Linked Swaps 2,638,969 4,119,258c..",.:,... 0. .v........,. r"..h....""'' fi ,.,-,.,....-.......l".I VI CI~1 i VUII vi Ivy LAvl IQI I~c: f'~:P vvl I ivl J i.:

n OA-l 0ACv,u~ l,ù..0 "70117 ",n,lI ,U~I ,'-V"-

12,480,314 11,966,662

Financial liabilities at fair value through profit or loss

Financial liabilities held for trading

Investment Linked Swaps 35,02335,023

266,029266,029

Fair value of the Trust's financial instruments which include Foreign Currency Exchange Agreements andInvestment Linked Swaps is estimated on the basis of inputs based on observable market data and accordinglyTrust's financial assets and liabilities cire classified within level 2.

There have been no transfers between levels for the year ended 30 June 2012 (2011: Nil).

26



4. Auditor's remuneration

Year ended30 June 2012

$

30 June 2011

$

Amounts received or due and receivable byErnst & Young for:

- an audit and review of the financial report of the Trust- other services in relation to the Trust: an audit of complianceplan

8,621 5,140

324

8,945

310

5,450

No non-audit fees were paid/payable during the year (2011: Nil).

Tho PClcnr\rlcihlo i:ritil\l n~\lC' faDe +/\ tho Cl! initnr i'n hDhc:lf nf tho Tn iet It ic nii+ tho intontiiiri r\f thD Ocicnl"ncihloi'... . ...'-t-.., ......,.. ..,' ~I~J t-..J.. ....... ~.. ..,... ....'-,....' ..,' ..... ,.... '- I '-.... . i....... .t. ... ".... ...... II ''''-'' ...... I ..' '-.... , .....1'... .........Entity to recharge the fees to the Trust, as permitted by the Constitution. No contingent liability has beenrecognised by the Trust in relation to fees.

5. Change in fair value of financial assets and liabilities at fair value through profit orloss


$30 June 2011

$

Net change in fair value of Investment Linked SwapsNet change in fair value of Foreign Currency ExchangeAgreementsNet foreign currency translation on unitholders fundsNet change in fair value of financial assets and liabilties at fairvalue through profit or loss

(637,717) 6,220,499

4,331,856(2,231,177)

6,187,414(3,209,035)

1,462,962 9,198,878

27



6. Distributions to unitholders*

The distributions paid/payable to unitholders for the year is as follows:

2012 2011Number of Distributions Number of Distributions

Distributions units cents per Distributions units cents per

unit unit

$ $June 06 original offerAnnual distributions paid 29,025 4,133,800 0.70 145,326 4,858,800 2.99Redemption distributionspaid 155,606 725,000 21.46 1,229,049 3,472,000 35.40

184,631 4,858,800 1,374,375 8,330,800

December 06 original offerAnnual distributions paid 27,637 3,843,999 0.72 164,826 4,247,999 3.88Redemption distributionspaid 90,415 404,000 22.38 213,958 639,000 33.48

118,052 4,247,999 378,784 4,886,999

June 07 original offerAnnual distributions paid 110,157 4,337,000 2.54 435,222 5,206,000 8.36Redemption distributionspaid 259,591 869,000 29.87 2,321,006 5,155,000 45.02

369,748 5,206,000 2,756,228 10,361,000

December 07 original offerRedemption distributionspaid/(recovered) 5,664 72,000 7.87 (6,182) 217,000 (2.85)

5,664 72,000 (6,182) 217,000

December 07 variation offerRedemption distributionspaid 37,571 248,000 15.15 25,058 551,000 4.55

37,571 248,000 25,058 551,000

June 08 original offerRedemption distributionspaid/(recovered) 17,907 372,000 4.81 (21,848) 447,500 (4.88)

17,907 372,000 (21,848) 447,500

June 08 variation offerRedemption distributionspaid 355,496 2,722,000 13.06 218,497 5,106,000 4.28

355,496 2,722,000 218,497 5,106,000

Grand Total 1,089,069 4,724,912

* Positive numbers indicate break gain on redemption paid to unitholders and negative numbers indicate breakcost received from unitholders.

28



7. Net assets attributable to unitholders

As stipulated within the Trust Constitution, each unit represents a right to an individual unit in the Trust and doesnot extend to a right to the underlying assets of the Trust. The Trust has issued units to investors in seven

different offers and units of each offer constitute a separate class of units. Each unit of a particular class has thesame rights attached to it as all other units of that particular class.

Movements in number of units and net assets attributable to unitholders during the financial year were asfollows:

Units on issue30 June 2012 30 June 2011No. of units No. of units

Unitholders' Funds30 June 2012 30 June 2011$ $

June 06 original offerOpening balanceCorrection ot June ;¿ULL

redemptionsRedemptions(Decrease)/increase in net assetsattributable to unitholdersReserve movements attributableto unitholders

Closing balance

4,858,800

(20,000)(705,000)

8,330,800 6,300,654 9,459,743

(20,000)(705,000) (3,472,000)

(458,802) 395,305

(112,896) (82,394)5,003,956 6,300,654

5,503,179 5,468,452(404,000) (639.000)

(292,513) 806,074

(144,411) (132,347)4,662,255 5,503,179

7,416,720 12,179,904(869,000) (5,155,000)

(914,154) 619,444

(190,680) (227,628)5,442,886 7,416,720

940,827 1,083,115(72,000) (217,000)

130,756 83,490

(29,333) (8,778)970,250 940,827

(3,472,000)

4,133,800 4,858,800

December 06 original offerOpening balanceRedemptions(Decrease)/increase in net assetsattributable to unitholdersReserve movements attributableto unitholders

Closing balance

4,247,999(404,000)

4,886,999(639,000)

3,843,999 4,247,999

June 07 original offerOpening balanceRedemptions(Decrease)/increase in net assetsattributable to unitholdersReserve movements attributableto unitholders

Closing balance

5,206,000(869,000)

10,361,000(5,155,000)

4,337,000 5,206,000

December 07 original offerOpening balanceRedemptionsIncrease in net assets attributable tounitholdersReserve movements attributableto unitholders

Closing balance

948,336(72,000)

1,165,336(217,000)

876,336 948,336

29



7. Net assets attributable to unitholders (continued)

December 07 variation offerOpening balanceRedemptionsIncrease in net assets attributable tounitholdersReserve movements attributableto unitholders

Closing balance

June 08 original offerOpening balanceTransfer to June 08 variation offerRedemptionsIncrease in net assets attributable tounitholdersReserve movements attributableto unitholdersClosing balance

June 08 variation offerOpening balanceTransfer from June 08 original offerRedemptionsIncrease in net assets attributable tounitholdersReserve movements attributableto unitholders

Closing balance

Grand Total

Units on issue30 June 2012 30 June 2011

No. of units No. of units

2,909,000(248,000)

2,661,000

2,442,000(7,000)

(372,000)

2,063,000

13,425,0007,000

(2,722,000)

10,710,000

28,625,135

3,460,000(551,000)

2,909,000

2,889,500

(447,500)

2,442,000

18,531,000

(5,106,000)

13,425,000

34,037,135

Unitholders' Funds30 June 2012 30 June 2011$ $

3,087,392 3,184,174(248,000) (551,000)

436,917 485,005

(95,526) (30,787)3,180,783 3,087,392

2,353,136 2,619,967(5,987)

(372,000) (447,500)

263,728 209,634

(46,678) (28,965)2,192,199 2,353,136

13,954,347 16,553,4985,987

(2,722,000) (5,106,000)

1,373,755 2,619,363

(216,967) (112,514)12,395,122 13,954,347

33,847,451 39,556,255

Capital risk management

The Trust considers its net assets attributable to unitholders as capital, notwithstanding net assets attributableto unitholders are classified as a liability. The amount of net assets attributable to unitholders can changesignificantly on a semi-annual basis as the Trust is subject to periodic applications (depending upon subsequentoffers made by the Responsible Entity) and semi-annual redemptions that are at the discretion of unitholders.However, no repurchase of unitholders funds will be allowable for 1 year from the date of the issuance of thatUnit (with exceptions in severely limited circumstances as decided by the Responsible Entity).

30



7. Net assets attributable to unitholders (continued)

Capital risk management (continued)

The Trust aims to capital protect investors' Investment Loan Repayment (as defined within the ProductDisclosure Statement for each offer of the Trust) when held to maturity. The Trust seeks to achieve this byplacing Australian Dollar ("AUD") cash inflows from investor contributions on deposit with the counterparties tothe Investment Linked Swap Agreements in Euro (the "Collateral Deposits"). Under the Investment Linked SwapAgreements, the counterparties will return the Collateral Deposits to the Trust at maturity plus any uplift if any, inthe Underlying Investments. The Trust has separately entered into Foreign Currency Exchange Agreements withwholly owned subsidiaries of Macquarie Group Limited (the "FX Counterparties") to sell the value of the Euro-denominated Collateral Deposits for a fixed Australian Dollar amount at maturity. This fixed Australian Dollaramount should equal the value of the investor's Investment Loan Repayment. The ability of the Trust to meet itsobjectives is dependent on investors not redeeming units before their maturity and on the performance of thecounterparties to the Investment Linked Swap Agreements and the Foreign Currency Exchange Agreements.

Òc: ct-;torl -;h"",,o tho Tn ict r1noC' ';111"\,. in"octnr-C' t,. t'orloon- Cr'rYo r",.. ':11 !"f thoi!" ,rnitC' hofr,t,"O m-:t, tl"it" C'Cirri_,,,... ..~..~.... ..........1 ~I ,.. i I...... ........ ..',.. ~w ,.,.. ........... .... '........, I I '-.."... ..' .." ... ... ..... ..' I..... o......... ,. .......' '''J ...." IIannually. If an investor redeems their units before maturity, the Trust no longer has the objective to capitalprotect the investors' Investment Loan Repayment. The Trust can partially redeem its Investment Linked Swapssemi-annually by providing the counterparty at least 5 business days notice. The Trust will be obligated to payany break costs on the Investment Linked Swap Agreements and on the Foreign Currency Exchange

Agreements. In addition, the Trust will be exposed to movements in the AUD/EUR foreign exchange rate if unitsare redeemed before maturity. These exposures are passed onto the redeeming investors through the valuationof their units.

During the year, Macquarie Bank Limited, a related party of the Responsible Entity, redeemed 206,000 units(2011: 711,000 units) on behalf of investors, pursuant to the terms and conditions of the Product DisclosureStatement and the investment loan contract.

8. Collateral Deposits30 June 2012

$30 June 2011

$

21,408,3108,167

21,416,477

27,860,74721,275

27,882,022

Collateral DepositsInterest receivable on Collateral Deposits

31



9. Financial assets and liabilities at fair value through profit & loss

Financial assets at fair valuethrough profi or lossFinancial assets held for trading

June 06 original offer

December 06 original offer



December 07 \lClriCltion offer


June 08 variation offerTotal financial assets at fair valuethrough profit or loss

Financial liabilities at fair valuethrough profit or lossFinancial liabilities held for trading





December 07 variation offer


June 08 variation offerTotal financial liabilities at fair valuethrough profit or loss

30 June 2012

Foreign CurrencyExchange

Agreements$

InvestmentLinked Swaps

$

385,426 1,644,913431,819 1,415,028742,389 1,314,858

336,089191,446 1,020,536

661,660887,889 3,448,261

2,638,969 9,841,345

13,685

21,338

35,023

30 June 2011

Foreign CurrencyExchange

Agreements$

InvestmentLinked Swaps

$

1,083,5401,005,7461,971,489

58,483

4,119,258

71,78020,093

174,156

266,029

1,393,3521,093,640

999,317245,430752,Ri:1

517,5522,845,262

7,847,404

32



10. Related part disclosures

(a) Responsible Entity

The Responsible Entity of the Macquarie Reflexion Commodity Trust is Macquarie Financial Products

Management Limited, a wholly owned subsidiary of Macquarie Group Limited.

(b) Details of Key Management Personnel

(i) Directors

The Directors of the Responsible Entity are considered to be Key Management Personnel of the Trust. TheDirectors of the Responsible Entity in office during the year and up to the date of the report are:

Anthony John Abraham (appointed on 19/12/2011)Antony Clubb,IR.c:nn Kinn- --- - . . . -0Peter Bruce LucasWilliam Dudley Fox

(ii) Other Key Management Personnel

There were no other persons with responsibility for planning, directing and controlling the activities of the Trust,directly or indirectly, during the financial year.

(Hi) Compensation of Key Management Personnel

No amount is paid by the Trust directly to the Directors of the Responsible Entity. Consequently, nocompensation as defined in AASB 124 Related Party Disclosures is paid by the Trust to the Directors as KeyManagement PersonneL.

Compensation is paid to the Responsible Entity in the form of fees and is disclosed in note below.

(c) Unitholdings of Related part and Key Management Personnel

Details of the units held in the Trust by the parties related to the Trust (including the Responsible Entity, itsdirectors, its affiliates and other Trusts managed by the Responsible Entity), are set out below:

2012Number of Number of Number of Number Distributionsunits held units held units of units paid or payable

opening closing Units held acquired disposed by the Trust

Unitholders (Units) (Units) (%) (Units) (Units) ($)

William Dudley Fox 200 200 0.00%

2011Number of Number of Number of Number Distributionsunits held units held units of units paid or payable

opening closing Units held acquired disposed by the Trust

Unitholders (Units) (Units) (%) (Units) (Units) ($)

Peter Bruce Lucas 30,000 30,000 10,044William Dudley Fox 200 200 0.00% 6

33



10. Related part disclosures (continued)

(d) Related party transactions

(í) Related parties

Macquarie Group Limited ("MGL") and its wholly owned subsidiaries, related parties of the Responsible Entity,have undertaken various transactions with, and performed various services for the Trust as follows:

The Trust has entered into Investment Linked Swap Agreements with Macquarie Bank Limited ("MBL"), a whollyowned subsidiary of MGL. The fair value of these Investment Linked Swap Agreements is disclosed in note 9and the gain or loss for the financial year is disclosed in note 5 to the financial statements. Under the InvestmentLinked Swap Agreements, MBL received Investment Linked Swap fees from the Trust as disclosed below.

30 June 2012$

30 June 2011

$1\ ~,...,.. ,..~:..IVIQv4UQII\:

Bank Limited

~ 1, -. __~" '.. ,."__IVIOL.\.uallv

Bank Limited

Investment Linked Swap fees expense

Investment Linked Swap fees payable

427,851

8,167

465,282

21,275

The Trust holds its Collateral Deposits with MGL and MBL. The carrying value of these Collateral Deposits isdisclosed in note 8 and the interest earned and receivable on these deposits is as disclosed below:

30 June 2012$

MacquarieBank Limited

30 June 2011

$Macquarie

Bank Limited

30 June 2012$

MacquarieGroup Limited

30 June 2011

$Macquarie

Group Limited

Interest income on CollateralDepositsInterest receivable on CollateralDeposits

227,147 259,322 200,704 205,960

8,167 21,275

The interest earned on the deposits is paid back to MGL and MBL through the Investment Linked SwapAgreements.

The Trust has entered into Foreign Currency Exchange Agreements with MBL and Macquarie Capital ProductsLimited ("MCPL"), both wholly owned subsidiaries of MGL, to exchange foreign currency. The fair value of theseForeign Currency Exchange Agreements is disclosed in note 9 to the financial statements.

All expenses in connection with the preparation of accounting records and the maintenance of the unit registerhave been fully borne by the Responsible Entity.

The Trust has not made, guaranteed or secured, directly or indirectly, any loans to the Responsible Entity, itsaffiliates and other Trusts managed by the Responsible Entity at any time during the financial year.

All related party transactions are made on normal commercial terms and conditions.

34



10. Related part disclosures (continued)

(d) Related party transactions (continued)

(ii) Key Management Personnel

The Trust has not made, guaranteed or secured, directly or indirectly, any loans to the Directors or theirpersonally related entities at any time during the financial year.

Apart from those details disclosed in this note, no Director has entered into a material contract with the Trustsince the end of the previous financial year and there were no material contracts involving Directors' interestsexisting at year end.

(e) Investments

The Trust held no investments in any schemes which are also managed by the Responsible Entity or its relatedn..~;r"(" (0fì11 .. "I;"t-....I. u.... \,-v i i. 1'411/.

(f) Fees

The Responsible Entity is entitled to an administration fees from the Trust during the year ended 30 June 2012.

The transactions during the financial year and amounts payable at year end between the Trust and theResponsible Entity were as follows:

30 June 2012$

30 June 2011

$

Administration fees for the financial year incurred as an expenseby the Trust to the Responsible Entity 1,025 1,025

Administration fees payable by the Trust to the Responsible Entity 6,600 5,500

11. Statement of cash flows reconciliation


$30 June 2011

$

(a) Reconciliation of net profit/(Ioss) to net cash provided byoperating activities

Profit/(Ioss) for the yearIncrease in net assets attributable to unitholdersNet unrealised change in financial instruments at fair value throughprofit or lossDecrease in Collateral DepositsIncrease in receivables

(Decrease)/increase in payablesDistributions paid for the yearNet foreign exchange differencesNet cash provided by operating activities

539,687 5,218,315

(540,712)6,465,545

(75)(12,008)

1,089,069(1,040,437)6,501,069

(5,219,340)15,911,330

(75)6,274

4,724,912(329,004)

20,312,412

(b) Non-cash financing activities

The Trust did not engage in any non-cash financing and investment activities during the financial year (2011 : Nil).

35



12. Commitments and contingencies

There are no commitments or contingencies at the reporting date (2011: none).

13. Events after the reporting date

Since 30 June 2012 there have been no other matter or circumstances not otherwise dealt with in the financialreport that have significantly affected or may affect the Trust (2011: none).

36


Directors' Declaration30 June 2012

In the opinion of the Directors of the Responsible Entity:

(a) the financial statements and notes set out on pages 6 to 36 are in accordance with the CorporationsAct 2001 including:

(i) complying with Accounting Standards, the Corporations Regulations 2001 and other mandatoryprofessional reporting requirements; and

(ii) giving a true and fair view of the Trust's financial position as at 30 June 2012 and of itsperformance for the financial year ended on that date; and

(b) there are reasonable grounds to believe that the Trust will be able to pay its debts as and when theybecome due and payable.

The Directors declare that the notes to the financial statements include an explicit and unreseNed statement ofcompliance with the International Financial Reporting Standards (see note 2.1).

This declaration is made in accordanc with a resolution of the Directors.

~ \........................J..~.........DirectorSydney25 September 2012

37

11111111111111111111111111111''''''' æu ERNST & YOUNG

Ernst & Young Centre680 George StreetSydney NSW 2000 AustraliaGPO Box 2646 Sydney NSW 2001

Tel: +61 292485555Fax: +61 2 9248 5959www.ey.com/au

Independent auditor's report to the unitholders of Macquarie reFleXionCommodity Trust

We have audited the accompanying financial report of Macquarie reFleXion Commodity Trust (the "Trust").which comprises the statement of financial position as at 30 June 2012. the statement of comprehensiveincome. statement of changes in equity and statement of cash flows for the year then ended. notescomprising a summary of significant accounting policies and other explanatory information. and thedirectors' declaration.

Directors' responsibility for the financial report

The directors of Macquarie Financial Products Management Limited. the responsible entity of the Trust.are responsible for the preparation of the financial report that gives a true and fair view in accordancewith Australian Accounting Standards and the Corporations Act 2001 and for such internal controls as thedirectors determine are necessary to enable the preparation of the financial report that is free frommaterial misstatement. whether due to fraud or error. In Note 2, the directors also state. in accordancewith Accounting Standard AASB 101 Presentation of Financial statements. that the financial statementscomply with International Financial Reporting Standards.

Auditor's responsibility

Our responsibility is to express an opinion on the financial report based on our audit. We conducted ouraudit in accordance with Australian Auditing Standards. Those standards require that we comply withrelevant ethical requirements relating to audit engagements and plan and perform the audit to obtainreasonable assurance about whether the financial report is free from material misstatement.

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures inthe financial report. The procedures selected depend on the auditor's judgment, including the assessmentof the risks of material misstatement of the financial report, whether due to fraud or error. In makingthose risk assessments. the auditor considers internal controls relevant to the preparation of the financialreport that gives a true and fair view in order to design audit procedures that are appropriate in thecircumstances, but not for the purpose of expressing an opinion on the effectiveness of the responsibleentity's internal controls. An audit also includes evaluating the appropriateness of accounting policies usedand the reasonableness of accounting estimates made by the directors, as well as evaluating the overallpresentation of the financial report.

We believe that the audit evidence we have obtained is suffcient and appropriate to provide a basis for ouraudit opinion.

Independence

In conducting our audit we have complied with the independence requirements of the Corporations Act2001. We have given to the directors of the responsible entity a written Auditor's IndependenceDeclaration, a copy of which is included with the directors' report.

Liability limited by a scheme approvedunder Professional Standards Legislation

111111111111111111111111111111"'''' i! ERNST & YOUNG

Opinion

In our opinion:

a. the financial report of Macquarie reFleXion Commodity Trust is in accordance with the

Corporations Act 2001. including:

i. giving a true and fair view of the Trust's financial position as at 30 June 2012 and of its

performance for the year ended on that date; and

ii complying with Australian Accounting Standards and the Corporations Regulations 2001;

and

b. the financial report also complies with International Financial Reporting Standards as disclosed in

Note 2.

~&t~t=JErnst & Young

Darren Handley-GreavesPartnerSydney25 September 2012

MACQUARIE REFLEXION COMMODITY TRUST · Macquarie Reflexion Commodity Trust 38 This financial report...

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