Robeco Institutional Solutions Fund SICAV -FIS · promises made to its electorate. In France, a...

Annual Report 2018

Robeco Institutional Solutions Fund SICAV-FIS

Société d'Investissement à Capital Variable – Fonds d'Investissement Spécialisé Incorporated under Luxembourg law RCS B 205.487

Contents

General Information 3

Report of the Board of Directors 5 General 5 Supervision by the Supervisory Board of Robeco Institutional Asset Management B.V. 5 General introduction 5 Risk management 7 Investment results 8 Performance analysis 9 Fund governance 11 Sustainability investing 11

Other data (unaudited) 13

Financial statements 18 Statement of net assets 18 Statement of operations and changes in net assets 19 Statistical Information 21

Notes to the financial statements as at 31 December 2018 22

REPORT OF THE RÉVISEUR D’ENTREPRISES AGRÉÉ 31

Schedule of Investments 33 Robeco Customized Liability Driven fund I 33 Robeco Customized Liability Driven fund II 36 Robeco Customized Liability Driven fund III 39 Robeco Customized Liability Driven fund IV 42 Robeco Customized Liability Driven fund V 45 Robeco Customized Liability Driven fund VI 47

Note: In this report the abbreviated names of the sub-funds will be used, i.e. without the prefix 'Robeco Institutional Solutions Fund SICAV-FIS'.

Robeco Institutional Solutions Fund SICAV-FIS 2

General Information Robeco Institutional Solutions Fund SICAV-FIS

(hereafter ‘the Company’) Undertaking for collective investment in transferable securities incorporated as a ‘Société d’Investissement à Capital Variable – Fonds d'Investissement Spécialisé’ (SICAV-FIS) under Luxembourg law.

Register of Companies RCS Luxembourg B 205.487

Registered Office (since 3 December 2018) 6 route de Trèves L-2633 Senningerberg Grand Duchy of Luxembourg

(until 3 December 2018) Centre Etoile 11/13, Boulevard de la Foire L-1528 Luxembourg Grand Duchy of Luxembourg

Board of Directors Jeroen van den Akker, Director, Robeco, Rotterdam, The Netherlands Mark Glazener, Managing Director, Robeco, Rotterdam, The Netherlands Marco van Zanten, Executive Director, Robeco, Rotterdam, The Netherlands Susanne van Dootingh, Independent Director, Overijse, Belgium (since 21 September 2018)

Alternative Investment Fund Manager (AIFM) Robeco Institutional Asset Management B.V. Weena 850 3014 DA Rotterdam The Netherlands

Cabinet de révision agréé (Independent auditor) KPMG Luxembourg, Société coopérative 39, Avenue John F. Kennedy L-1855 Luxembourg Grand Duchy of Luxembourg

Depositary (since 3 December 2018) JP Morgan Bank Luxembourg S.A. 6, route de Trèves L-2633 Senningerberg Grand Duchy of Luxembourg

(until 3 December 2018) RBC Investor Services Bank S.A. 14, Porte de France L-4360 Esch-sur-Alzette Grand Duchy of Luxembourg


General Information (continued) Administration Agent, Domiciliary Agent and Listing Agent Robeco Luxembourg S.A. (until 3 December 2018 delegated to:) RBC Investor Services Bank S.A. 14, Porte de France L-4360 Esch-sur-AlzetteGrand Duchy of Luxembourg

(since 3 December 2018 delegated to:) JP Morgan Bank Luxembourg S.A. 6, route de Trèves L-2633 SenningerbergGrand Duchy of Luxembourg

Registrar Robeco Luxembourg S.A. (until 23 April 2019 delegated to:) RBC Investor Services Bank S.A. 14, Porte de France L-4360 Esch-sur-AlzetteGrand Duchy of Luxembourg

(since 23 April 2019 delegated to:) J.P. Morgan Bank Luxembourg S.A. 6, route de Trèves L-2633 SenningerbergGrand Duchy of Luxembourg

Subscriptions and publications No subscription can be accepted on the basis of financial reports such as this report. Subscriptions may only be accepted on the basis of the current prospectus, supplemented by the Company’s latest annual report and the prospectus. Documents are available in through the website www.robeco.com and may be obtained free of charge at the Company’s registered office


Report of the Board of Directors General

Website Up-to-date information about the sub-funds’ investment policies, performance, and investment portfolios can be found on www.robeco.com.

Changes to the prospectus Some changes (effective March 2018 and December 2018) have been made to the Company's prospectus. A letter to shareholders detailing these changes is available at the Company’s registered office.

Outsourcing part of the operations activities to J.P. Morgan On 24 January 2018, Robeco announced that it would be outsourcing part of its operations and administration activities to JP Morgan Bank. The decision to outsource is part of Robeco’s strategic plan for the 2017-2021 period, which envisages further international growth in both investment and client servicing activities.

In view of this broader strategy, Robeco Luxembourg S.A. has consequently decided to outsource administration, domiciliary and listing agency and administration to JP Morgan Bank Luxembourg S.A. and the Board of Directors of the Company has decided to appoint JP Morgan Bank Luxembourg S.A. as depositary and lending agent. JP Morgan, with its global network, will provide operations activities in multiple locations and time zones.

As a result, with effect from 3 December 2018, RBC Investor Services Bank S.A. was replaced by JP Morgan Bank Luxembourg S.A. as depositary, administration agent, domiciliary agent and listing agent for the Company. As a result of the change of domiciliary agent, the Company’s registered office was changed to 6H route de Trèves, L-2633 Senningerberg, with effect from 3 December 2018. The articles of incorporation of the Company have been changed accordingly, without convening an extraordinary general meeting of shareholders of the Company (following the procedure provided by the Company's articles).

Also with effect from 3 December 2018 JP Morgan Bank Luxembourg S.A. replaced RIAM as lending agent for the Company.

The outsourcing of operations activities will not lead to changes in investment policies and teams. All portfolio managers will continue to focus fully on delivering investment performance for the Company’s sub-funds.

New sub-fund

Sub-fund Launched on Robeco Customized Liability Driven Fund III 28/02/2018 Supervision by the Supervisory Board of Robeco Institutional Asset Management B.V.

The Supervisory Board of Robeco Institutional Asset Management B.V. supervises the funds under management. During the meetings of the Supervisory Board, attention was paid, among other things, to developments in the financial markets and the performance of the funds.

Based on periodic reports, the Supervisory Board discussed the results of the fund with the policy makers of the manager. These discussions focused on the investment results, the development of assets under management as a result of market movements and the net inflow of new money as well as operational matters.

In the meetings of the Audit & Risk Committee of the Supervisory Board, the interim financial reports and the reports of the independent auditor were regularly on the agenda. In addition, risk management, incident management, liquidity management policy and the tax position were discussed. The quarterly reports from internal audit, compliance, legal affairs and risk management were also discussed. A great deal of attention was also paid to fund governance and compliance with the principles that Robeco has established in order to secure a careful handling of (potential) conflicts of interest between RIAM as a fund manager and the investors in the funds. The following subjects were on the agenda, among others: an annual report of fund governance related monitoring activities prepared by the Compliance department, thematic compliance reports on principles for fund governance with regard to best execution, fair allocation and broker services, and the annual reports and semi-annual reports of the funds. The Supervisory Board has determined that Robeco's principles for fund governance are applied.

General introduction

Financial market environment The year 2018 has proven to be an inflection point for global financial markets and the global economy, as the expansion phase of the business cycle, which started in 2009, reached its peak in late 2018. Whereas 2017 saw exceptionally strong and synchronized growth, the expansion of global economic activity in 2018 became less balanced and shifted from acceleration to deceleration mode. This is typical of a late cycle economic environment. Nevertheless, global activity remained firmly in the expansion phase, with global growth forecast reaching 3.7% in 2018 (IMF estimate).


Report of the Board of Directors (continued) General introduction (continued)

Financial market environment (continued) The year under review got off to a promising start with investment spending making a solid contribution to global growth. Industrial capacity constraints became more noticeable, with actual growth levels remaining above trend in advanced economies. With output gaps gradually closing and unused economic capacity dwindling, especially in the US labor market, inflationary pressures picked up. In the US, pro-cyclical fiscal stimulus in the form of corporate tax cuts boosted private sector activity and business confidence further and the US economy was firing on all cylinders with Q2 2018 US GDP growth reaching an annualized pace of an impressive 4.2%, significantly above its long-term 2% growth path. Strong US growth (3.0% overall in 2018) and inflation close to the 2% target, allowed the Federal Reserve (“Fed”) to remain on ‘autopilot’ for the entire year. The Fed raised policy rates every quarter by 25 basis points towards a level that it considers neutral for the US economy. Consequently, US yields remained attractive versus the rest of world with the dollar well bid. The resulting decline in dollar liquidity put severe market pressure on emerging countries in spring 2018, especially those in need of dollars to finance current account deficits.

A major theme that hampered global economic growth in the second half of 2018 was the impact of trade disputes, notably between the US and China. Since January, the US has levied tariffs on a number of Chinese export products as it has accused China of unfair practices, which in the course of 2018 led to the imposition of tariffs on more than EUR 300 billion of bilateral trade. The US administration managed to revise the existing NAFTA trade agreement with trade partners Canada and Mexico and agreed an armistice on trade with the EU. However, the divide between China and the US, both vying for global supremacy, runs deeper than trade alone. Therefore, a swift and all-encompassing resolution for the trade dispute remained out of sight as 2018 progressed. As a consequence, fear of an escalating trade war started to impact overall business confidence and the contribution to global activity from global trade and investments declined.

Increased political/geopolitical risk has been a running theme throughout 2018. In the UK, the twists and turns in the debate around Brexit have been relentless. At the time of writing, uncertainty remains high.. The chances of a no-deal, ‘hard’ Brexit, have diminished markedly though, now that the European Court of Justice has ruled that the UK government has the right to unilaterally withdraw its invocation of Article 50. In that case, the UK would remain a member of the EU based on the current conditions, though this option is probably a last resort. It’s more likely that the UK will enter a transitional period after leaving the EU in March which would come down to a Brexit in name only for the time being. At the time of writing, the path to this solution was still unclear. In Italy, a new populist government challenged the EU budget rules safeguarding debt sustainability, threatening to exceed the budget deficit norm to deliver on promises made to its electorate. In France, a populist backlash against the Macron-led government emerged with the protest of the ‘gilets jaunes’ on the streets of Paris.

Consumption seemed to be the most stable factor contributing to global growth in 2018, despite the drag from rising oil prices in the first half of the year. In the US, consumer confidence rose to its highest level in 18 years as wage growth accelerated to a level of 3.2% towards the end of year. Secular forces still weigh on the contribution of labor income to the economy, such as underemployment, the rise in part-time work, automation and the emergence of the ‘gig’ economy. However, from a cyclical point of view, the global economy has reached a mature phase where a further decline in unemployment progressively leads to higher wage growth. In China and other emerging markets, consumer spending was lackluster and the Chinese economy weakened in 2018. In terms of economic growth, emerging markets failed to catch up to advanced economies to any noticeable degree.

From a monetary policy point of view, 2018 has also been a transitional year in which monetary policy changed more decisively from unequivocally accommodative to more neutral. Three factors have contributed to tightening financial conditions. First, the Fed remained on autopilot with regard to setting conventional policy rates. Second, the Fed balance sheet is being unwound by USD 50 billion per month. Third, dollar appreciation had a tightening effect in the course of 2018. In addition, the ECB ended its monthly net bond purchases (which started back in early 2015) at the end of 2018, citing balanced risks to economic growth in the Eurozone while expressing confidence that the inflation target of “below, but close to 2%” is achievable in the medium term. As a result of tightening financial conditions, short-term yields caught up with longer-dated yields and (portions of) US yield curves even inverted in the last quarter of 2018. This yield curve inversion (the situation in which shorter-term Treasuries have higher yields than longer-dated Treasuries), has proven to be a reliable recession indicator since the end of WWII, albeit with long and variable lags (with the time from a medium lag until recession being 17 months).

Bond market outlook US Treasury yields ground higher in early 2018, underpinned by rises in real yields, reflecting a strong US economy and the Fed’s forward guidance. Global government bonds (hedged in euro) nevertheless made a comeback during the flight to safety in the last quarter, but generated an overall loss (-0.3%) in 2018. Dollar hedging costs have risen as yield differences between the US and Eurozone bond yields are now at their highest level in 30 years. While the US Treasury market is trading close to fair value, the German Bund market still looks very expensive from a macro-economic point of view. Some normalization in US yield differentials relative to the rest of world is to be expected in the course of 2019. The German Bund market, in particular, looks vulnerable now that the ECB has left the bond market as a net technical buyer and is preparing a return to conventional rate-setting policy in 2019. This could also cause the US dollar to lose strength.


Report of the Board of Directors (continued) General introduction (continued)

Bond market outlook (continued) The change in sentiment and increased fear of recession also hit the credit markets in late 2018. The global high yield index (hedged in euro) lost 5.5% in 2018. The global investment grade credit markets were also faced with late credit cycle dynamics and lost 3.8% (hedged in euro). Market concerns about stretched levels of corporate leverage, liquidity and weak covenant protection in high yield markets surfaced and took their toll, resulting in widening credit spreads. Higher credit spreads have made the asset class somewhat more appealing in the meantime, also because interest coverage ratios (the ability to service debt) are still decent. However, in our view, a further rise in risk-free rates will keep this duration sensitive asset class under pressure, as will concern about an upcoming peak in the earnings cycle, inhibiting the ability to service corporate debt burdens. A brighter spot for upcoming year can be found in emerging market debt in local currency, which generated a flat return (0.0%, unhedged) in euro terms in 2018. Emerging market currencies are generally cheap on a purchasing power parity basis while carry remains attractive.

Risk management

The presence of risks is inherent to the character of asset management. It is therefore very important to have a procedure for controlling these risks embedded in the company's day-to-day operations. The manager (RoLux) ensures that risks are effectively controlled via the three-lines-of-defense model: RoLux management (first line), the Compliance and Risk Management departments (second line) and the Internal Audit department (third line). The management of RoLux has primary responsibility for risk management as part of its day-to-day activities. The Compliance and Risk Management departments develop and maintain policy, methods and systems that enable the management to fulfill their responsibilities relating to risk. Furthermore, portfolios are monitored by these departments to ensure that they remain within the investment restrictions under the Terms and Conditions for Management and Custody and the information memorandum, and to establish whether they comply with the internal guidelines. The Risk Management Committee decides how the risk-management policies are applied and monitors whether risks remain within the defined limits. The Group Internal Audit department carries out audits to assess the effectiveness of internal control.

RoLux uses a risk-management and control framework that helps control all types of risk. Within this framework, risks are periodically identified and assessed as to their significance and materiality. Internal procedures and measures are focused on providing a structure to control both financial and operational risks. Management measures are included in the framework for each risk. Active monitoring is performed to establish the effectiveness of the procedures and measures of this framework.

Operational risk Operational risk is the risk of loss as a result of inadequate or failing processes, people or systems. Robeco constantly seeks opportunities to simplify processes and reduce complexity in order to mitigate operational risks. Automation is a key resource in this regard and Robeco uses systems that can be seen as the market standard for financial institutions. The use of automation increases the IT risk. This risk can be divided into three categories. The risk that unauthorized persons gain access is managed by means of preventive and detective measures to control access to the network and to systems and data. Processes such as change management and operational management ensure monitoring of a working system landscape. Lastly, business continuity measures are in place to limit the risk of breakdown as far as possible and to restore operational effectiveness as soon as possible in the event of disaster. The effectiveness of these measures is tested regularly both internally and externally.

Compliance risk Compliance risk is the risk of sanctions, financial loss or reputation damage as a result of non-compliance with the laws and regulations applicable to the activities of Robeco and the funds it manages. Robeco's activities – collective and individual portfolio management – are subject to European and national rules of financial supervision. Observance of these rules is supervised by the national competent authorities (in the Netherlands the Authority for the Financial Markets, AFM and the Central Bank of the Netherlands, DNB and in Luxembourg the Commission de Surveillance du Secteur Financier (CSSF)). It is in the interest of investors in Robeco-managed funds that Robeco complies with all the applicable laws and regulations. Robeco has implemented a meticulous process with clear responsibilities in order to ensure that new laws and regulations are reported and implemented in a timely fashion.

Significant changes in the field of legislation and regulation that could affect the funds managed by Robeco also took place in 2018. One important part of this is the European Directive on markets in financial instruments. This Directive, also known as MiFID II, took effect on 3 January 2018. European distributors of funds managed by Robeco will in principle no longer be permitted to receive and hold commission based on MiFID II. Robeco has defined what is known as a “target market” for each fund and has development, approval and review procedures to ensure that the funds it manages reflect the needs, characteristics and objectives of the target groups concerned. In addition Robeco facilitates the provision of information to the distributors of its funds, providing investors with more information, including - where relevant -, on the costs involved with the fund and its distribution prior to the provision of services. Robeco also applies the stricter rules with regard to best execution for the funds. Accordingly Robeco has published on the website per class of financial instrument the top five execution venues and/or brokers where orders were placed for execution, together with an analysis of the quality of execution. The costs of investment research have been taken for Robeco’s own account and were not passed these on to its clients. The requirements under this Directive have been fully implemented in a timely manner.


Report of the Board of Directors (continued) Risk management (continued)

Compliance risk (continued) Robeco also ensured that its policies and procedures related to the prevention of use of the financial system for money laundering and the financing of terrorism continue to be adequately designed. In 2018 national legislation implementing the Fourth Anti-Money Laundering Directive entered into force, as well as sector guidance for investment firms and fund managers, issued by European Supervisory Authorities, on simplified and enhanced customer due diligence. Although the Fourth Anti-Money Laundering Directive came into effect on 26 June 2017, it still has to be adopted in Dutch legislation. Robeco has reviewed its procedures and policy and made the necessary changes to ensure that the client review procedure is adequately designed to identify the risks of the client, Robeco’s products and services and the countries in which the products are offered.

To ensure compliance with the General Data Protection Regulation (GDPR), which entered into force on 25 May 2018, and to ensure confidentiality, integrity and resilience of processing systems and services, Robeco identified all relevant business processes in which personal data are involved and assessed the controls that are in place. Robeco also concluded data processing agreements with all relevant parties that process personal data on behalf of Robeco and enhanced its policies and disclosures with regard to the processing of personal data and the rights of data subjects.

Financial Risk Management Robeco continously works to improve its risk management methodologies, risk infrastructure and framework. In order to enhance collaboration between Portfolio Management and Risk Management, the use of MSCI Barra has been tested, approved and implemented. This risk management system is used conduct in-depth market risk analyses regarding factor risk exposures within Robeco’s portfolios. Based on an integrated risk/return and (market standard) outside-in approach these analyses are used in portfolio risk deep dives.

As climate risk is becoming an essential part of the investment process, Financial Risk Management has committed itself to integrate ESG and climate risk within the risk management framework. In 2018 FRM focused predominantly on developing climate stress scenarios based on carbon emissions and industry exposures within the investment portfolios.

Our system (LiquidityMetrics) and methodology for measuring liquidity risk among portfolios has been improved based on a partnership with IHS Markit (“Markit”) where calculations are now based on real dealer quotes (from Markit) and actual trading sizes.

Robeco model validation framework has been benchmarked in 2018 by several external consultants. The reports concluded that Robeco’s model validation framework meets market standards.

Central Clearing The unrealized return on the interest rate swaps are settled on a daily basis via collateral calls between the Sub-Funds and the central counterparty of the interest rate swaps the London Clearing House. The Sub-Fund holds an allocation to cash and cash equivalents to meet the daily collateral requirements which are monitored closely.

The Manager of the sub-funds setup a Brexit preparation team including market, operational, legal and regulatory specialists to map and prepare necessary steps in case of an approaching hard Brexit in 2019, including setting up an alternative clearing house. For the short term, the European Commission granted the London Clearing House a temporary equivalent status at the end of 2018 for one year.

Investment results

Investment results

Price in EUR x 1

31/12/2018

Price in EUR x 1

31/12/2017

Investment result

reporting period in %

Robeco Customized Liability Driven Fund I P EUR shares 106.68 99.07 7.7 Robeco Customized Liability Driven Fund II P EUR shares 98.21 91.95 6.8 Robeco Customized Liability Driven Fund III P EUR shares 1 112.43 100.00 12.4 Robeco Customized Liability Driven Fund IV P EUR shares 102.28 96.53 6.0 Robeco Customized Liability Driven Fund V P EUR shares 92.46 89.03 3.9


Report of the Board of Directors (continued) Investment results (continued)

Investment results

Price in EUR x 1

31/12/2018

Price in EUR x 1

31/12/2017

Investment result

reporting period in %

Robeco Customized Liability Driven Fund VI P EUR shares 97.01 88.52 9.6

1Investment result reporting period over the period 28 February 2018 until 31 December 2018.

Performance analysis

Robeco Customized Liability Driven Fund I The Sub-Fund offers the investor a customized investment solution for hedging their liabilities, while investing in a managed portfolio. In order to achieve a long duration profile the Sub-Fund invests in Euro interest rate swaps, Euro government bonds, cash and cash equivalents. On average, the Sub-Fund had a modified duration of approximately 29 years over the last year and adopts a limit on its use of leverage by setting a maximum level for the modified duration of 48 years. The Sub-Fund does not have an index.

The value of the shares increased during the year 2018 from EUR 99.07 to EUR 106.68. This translated into a gross investment return of 7.7%. The investment return can, for a large part, be explained by the development of Euro swap rates and Euro government bond rates the Sub-Fund has exposure to. Over the reporting period the relevant Euro-core government bond yields decreased, which resulted in a positive absolute return for the Sub-Fund. Euro swap rates decreased as well across the curve compared to the start of the year, which also contributed positively to the result. The long dated Euro-core government bond yields rallied during the last few months. Primary causes for this rally was the continued uncertainty concerning the US-China trade war, Brexit and a relatively dovish ECB. In addition, concerns about stagnating growth in the eurozone translated into relatively good returns for ‘save havens’ like Dutch and German long-dated government bonds. French government bonds profited as well from the relatively dovish stance from the ECB during the last few quarters. More recently, the dispute between the European Commission and the Italian government concerning the proposed budget deficit of Italy gained a lot of attention. These developments fuelled the demand for low risk government bonds and therefore added positively to the performance of the Sub-Fund.

Counterparty risk management is an important part of the investment policy. All interest rate swaps are therefore centrally cleared. The unrealized return on the interest rate swaps are settled on a daily basis via collateral calls between the Sub-Fund and the central counterparty of the interest rate swaps the London Clearing House. The Sub-Fund holds an allocation to cash and cash equivalents to meet the daily collateral requirements which are monitored closely.

Robeco Customized Liability Driven Fund II The Sub-Fund offers the investor a customized investment solution for hedging their liabilities, while investing in a managed portfolio. In order to achieve a long duration profile, the Sub-Fund invests in Euro interest rate swaps, Euro government bonds, cash and cash equivalents. On average the Sub-Fund had a modified duration of approximately 33 years over the last year and adopts a limit on its use of leverage by setting a maximum level for the modified duration of 48 years. The Sub-Fund does not have an index.

The value of the shares increased during the year 2018 from EUR 91.95 to EUR 98.21. This translated into an investment return of 6.8%. The investment return can for a large part be explained by the development of Euro swap rates and Euro government bond rates the fund has exposure to. Over the reporting period the relevant Euro-core government bond yields decreased, which resulted in a positive absolute return for the Sub-Fund. Euro swap rates decreased as well across the curve compared to the start of the year, which also contributed positively to the result. The long dated Euro-core government bond yields rallied during the last few months. Primary causes for this rally was the continued uncertainty concerning the US-China trade war, Brexit and a relatively dovish ECB. In addition, concerns about stagnating growth in the eurozone translated into relatively good returns for ‘save havens’ like Dutch and German long-dated government bonds. French government bonds profited as well from the relatively dovish stance from the ECB during the last few quarters. More recently, the dispute between the European Commission and the Italian government concerning the proposed budget deficit of Italy gained a lot of attention. These developments fuelled the demand for low risk government bonds and therefore added positively to the performance of the Sub-Fund.



Report of the Board of Directors (continued) Performance analysis (continued)

Robeco Customized Liability Driven Fund III The Sub-Fund offers the investor a customized investment solution for hedging their liabilities, while investing in a managed portfolio. In order to achieve a long duration profile the Sub-Fund invests in Euro interest rate swaps, Euro government bonds, cash and cash equivalents. On average the Sub-Fund had a modified duration of approximately 40 years over the last year and adopts a limit on its use of leverage by setting a maximum level for the modified duration of 55 years. The Sub-Fund does not have an index.

The value of the shares increased as of end February 2018 untill year-end 2018 from EUR 100 to EUR 112.43. This translated into an investment return of 12.4%. The inception date of the Sub-Fund was February 2018. The investment return can for a large part be explained by the development of Euro swap rates and Euro government bond rates the Sub-Fund has exposure to. Over the reporting period the relevant Euro-core government bond yields decreased, which resulted in a positive absolute return for the Sub-Fund. Euro swap rates decreased as well across the curve compared to the start of the year, which also contributed positively to the result. The long dated Euro-core government bond yields rallied during the last few months. Primary, causes for this rally was the continued uncertainty concerning the US-China trade war, Brexit and a relatively dovish ECB. In addition, concerns about stagnating growth in the eurozone translated into relatively good returns for ‘save havens’ like Dutch and German long-dated government bonds. French government bonds profited as well from the relatively dovish stance from the ECB during the last few quarters. More recently, the dispute between the European Commission and the Italian government concerning the proposed budget deficit of Italy gained a lot of attention. These developments fuelled the demand for low risk government bonds and therefore added positively to the performance of the Sub-Fund.


Robeco Customized Liability Driven Fund IV The Sub-Fund offers the investor a customized investment solution for hedging their liabilities, while investing in a managed portfolio. In order to achieve a long duration profile the Sub-Fund invests in Euro interest rate swaps, Euro government bonds, cash and cash equivalents. On average the Sub-Fund had a modified duration of approximately 28 years over the last year and adopts a limit on its use of leverage by setting a maximum level for the modified duration of 48 years. The Sub-Fund does not have an index.

The value of the shares increased during the year 2018 from EUR 96.53 to EUR 102.28. This translated into an investment return of 6.0%. The investment return can for a large part be explained by the development of Euro swap rates and Euro government bond rates the Sub-Fund has exposure to. Over the reporting period the relevant Euro-core government bond yields decreased, which resulted in a positive absolute return for the Sub-Fund. Euro swap rates decreased as well across the curve compared to the start of the year, which also contributed positively to the result. The long dated Euro-core government bond yields rallied during the last few months. Primary causes for this rally was the continued uncertainty concerning the US-China trade war, Brexit and a relatively dovish ECB. In addition, concerns about stagnating growth in the eurozone translated into relatively good returns for ‘save havens’ like Dutch and German long-dated government bonds. French government bonds profited as well from the relatively dovish stance from the ECB during the last few quarters. More recently, the dispute between the European Commission and the Italian government concerning the proposed budget deficit of Italy gained a lot of attention. These developments fuelled the demand for low risk government bonds and therefore added positively to the performance of the Sub-Fund.


Robeco Customized Liability Driven Fund V The Sub-Fund offers the investor a customized investment solution for hedging their liabilities, while investing in a managed portfolio. In order to achieve a long duration profile the Sub-Fund invests in Euro interest rate swaps, Euro government bonds, cash and cash equivalents. On average the Sub-Fund had a modified duration of approximately 15 years over the last year and adopts a limit on its use of leverage by setting a maximum level for the modified duration of 48 years. The Sub-Fund does not have an index.


Report of the Board of Directors (continued) Performance analysis (continued)

Robeco Customized Liability Driven Fund V (continued) The value of the shares increased during the year 2018 from EUR 89.03 to EUR 92.46. This translated into an investment return of 3.9%. The investment return can for a large part be explained by the development of Euro swap rates and Euro government bond rates the Sub-Fund has exposure to. Over the reporting period the relevant Euro-core government bond yields decreased, which resulted in a positive absolute return for the Sub-Fund. Euro swap rates decreased as well across the curve compared to the start of the year, which also contributed positively to the result. The long dated Euro-core government bond yields rallied during the last few months. Primary causes for this rally was the continued uncertainty concerning the US-China trade war, Brexit and a relatively dovish ECB. In addition, concerns about stagnating growth in the eurozone translated into relatively good returns for ‘save havens’ like Dutch and German long-dated government bonds. French government bonds profited as well from the relatively dovish stance from the ECB during the last few quarters. More recently, the dispute between the European Commission and the Italian government concerning the proposed budget deficit of Italy gained a lot of attention. These developments fuelled the demand for low risk government bonds and therefore added positively to the performance of the Sub-Fund.


Robeco Customized Liability Driven Fund VI The Sub-Fund offers the investor a customized investment solution for hedging their liabilities, while investing in a managed portfolio. In order to achieve a long duration profile the Sub-Fund invests in Euro interest rate swaps, Euro government bonds, cash and cash equivalents. On average the Sub-Fund had a modified duration of approximately 43 years over the last year and adopts a limit on its use of leverage by setting a maximum level for the modified duration of 55 years. The Sub-Fund does not have an index.

The value of the shares increased during the year 2018 from EUR 88.52 to EUR 97.01. This translated into an investment return of 9.6 The investment return can for a large part be explained by the development of Euro swap rates and Euro government bond rates the Sub-Fund has exposure to. Over the reporting period the relevant Euro-core government bond yields decreased, which resulted in a positive absolute return for the Sub-Fund. Euro swap rates decreased as well across the curve compared to the start of the year, which also contributed positively to the result. The long dated Euro-core government bond yields rallied during the last few months. Primary causes for this rally was the continued uncertainty concerning the US-China trade war, Brexit and a relatively dovish ECB. In addition, concerns about stagnating growth in the eurozone translated into relatively good returns for ‘save havens’ like Dutch and German long-dated government bonds. French government bonds profited as well from the relatively dovish stance from the ECB during the last few quarters. More recently, the dispute between the European Commission and the Italian government concerning the proposed budget deficit of Italy gained a lot of attention. These developments fuelled the demand for low risk government bonds and therefore added positively to the performance of the Sub-Fund.

Counterparty risk management is an important part of the investment policy. All interest rate swaps are therefore centrally cleared. The unrealized return on the interest rate swaps are settled on a daily basis via collateral calls between the Sub-Fund and the central counterparty of the interest rate swaps the London Clearing House. The Sub-Fund holds an allocation to cash and cash equivalents to meet the daily collateral requirements which are monitored closely

Fund governance

Robeco has its own Principles on Fund Governance, available through the website. The objective of these Principles is to give more detailed guidelines for the organizational structure and working methods of fund managers or independent investment institutions and to provide guarantees for integrity in the fund's activities and ensure the careful provision of services. Compliance is the division within Robeco, which continuously monitors actual compliance with the principles. Once every three years Robeco's Internal Audit department carries out an audit of the fund governance as structured and implemented at Robeco.

Sustainability investing

All Robeco’s investment activities comply with the United Nations Principles for Responsible Investing (UNPRI). In 2018, Robeco was awarded the highest possible score (A+) for all seven UNPRI modules of Sustainability Investing. This was the fifth year in a row that Robeco obtained the highest score for the majority of the modules assessed by UNPRI. Responsibility for implementing Sustainability Investing lies with the Head of Investments, who also has a seat on Robeco's Executive Committee.


Report of the Board of Directors (continued) Sustainability investing (continued)

Sustainability investing has little room to maneuver : Robeco Customized Liability Driven Fund I to VI Robeco Customized Liability Driven Fund I to VI all invest in government bonds of countries that rank highly on our sustainability list: Germany, the Netherlands, France. Robeco is dedicated to sustainability investing and we integrate sustainability aspects into our investment processes wherever we find this has added value and wherever this is possible. Next to ESG integration, Robeco has an exclusion policy, were we exclude government bonds issued by controversial countries from the investable universe. The scope of issuers of bonds within the Subfund is very limited. The Subfund only holds positions in Core Euro government bonds for reasons of liquidity and creditworthiness. Therefore, the investment universe and the type of investments of the Company are such that it is not feasible to integrate ESG factors into the investment processes.

Robeco Customized Liability Driven Fund VII Sustainability is an important factor within the investment process of the Subfund. Environment, Social and Governance (ESG) aspects are systematically integrated in our highly disciplined investment process in several ways. We apply an extensive exclusion list covering various controversial countries, sectors or business practices and we continuously monitor our universe for companies with governance issues, major litigations or regulatory risk. For investments in sovereigns, the Country Sustainability Ranking and underlying research is used as input for assessment of the structural outlook for a country. Furthermore, the Subfund holds a substantial position in green bonds and we take into account sustainability scores of brokers we select for executing transactions.

Luxembourg, 06 May 2019

The Board of Directors

Past performance is no indication of current or future performance. These performance data do not take account of the commissions and costs incurred on the issue and redemption of units.


Other data (Unaudited) Global exposure

The table below presents an overview of the method used to calculate the global exposure and the highest, lowest and average level of leverage during the period of 1 January 2018 through 31 December 2018.

Sub-fund Method used to calculate the global exposure

Expected maximum level of leverage

Lowest level of leverage

Highest level of leverage

Average level of leverage

Robeco Customized Liability Driven Fund I

Commitment approach 1,000% 91% 113% 99%

Robeco Customized Liability Driven Fund II


Robeco Customized Liability Driven Fund III


Robeco Customized Liability Driven Fund IV


Robeco Customized Liability Driven Fund V


Robeco Customized Liability Driven Fund VI


Managing liquidity

No special arrangements are employed to manage liquidity.

Joint interest of directors

At 1 January 2018 and at 31 December 2018 the members of the Board of Directors held no personal interests in investments of the Company.

Remuneration Policy

The fund itself does not employ any personnel and is managed by RIAM. In the Netherlands, persons performing duties for the fund at management-board level and portfolio managers are employed by Robeco Nederland B.V. The remuneration for these persons comes out of the management fee. RIAM’s remuneration policy, that applies to all staff working under RIAM’s responsibility, meets the applicable requirements of the European frameworks of the AIFMD, MiFID, the UCITS Directive, the ESMA guidelines for a responsible remuneration policy under the UCITS Directive, as well as the Dutch Remuneration Policy (Financial Enterprises) Act (Wet beloningsbeleid financiële ondernemingen). The remuneration policy has the following objectives:

a) To stimulate employees to act in the best interests of clients and avoid taking undesirable risks.b) To promote a healthy corporate culture, with a strong focused on sustainable results in accordance with the long-term objectives

of RIAM and its stakeholders.c) To attract and retain good staff and to reward talent and performance fairly.

Responsibility for the remuneration policy The Supervisory Board supervises the correct application of the remuneration policy and is responsible for the annual evaluation. Changes in the remuneration policy have to be approved by the Supervisory Board. RIAM's Nomination & Remuneration Committee provides advice to the Supervisory Board in the execution of these tasks, with the involvement of the HR Department and the relevant internal control officers. In the application and evaluation of the remuneration policy, RIAM regularly makes use of the services of various external advisers. The remuneration of fund managers consists of a fixed component and a variable component.

Fixed remuneration The fixed salary of each employee is based on his/her role and experience and is in accordance with the RIAM salary ranges, which have also been derived from indexes in the investment management sector. The fixed salary is therefore in line with the market and the employees are not dependent on whether or not they receive a variable remuneration.

Variable remuneration In accordance with the applicable laws and regulations, the available budget/pool for variable remuneration is approved in advance by the Supervisory Board of RIAM based on a proposal made by the Remuneration Committee. The total budget/pool is based, in principle, on a percentage of RIAM's operating result. In order to ensure that the total variable remuneration accurately reflects the performance of RIAM and the funds that it manages, when determining the budget/pool, a correction is made for risks that may occur in the year concerned and furthermore for multiple-year risks that may affect the risk profile of RIAM.


Other data (unaudited) (continued) Remuneration Policy (continued)

Variable remuneration (continued) The variable remuneration component for the fund managers depends on the multi-year performance of the fund. The system is linked to outperformance with regard to risk-adjusted pre-determined annual targets. The calculated outperformance over a one-year, three-year and five-year period is taken into account when determining the variable remuneration. Also important in this determination are behavior, the extent to which team- and individual qualitative and predetermined objectives have been achieved and the extent to which Robeco corporate values are observed. The fund manager’s contribution to the various organizational objectives is also taken into consideration. Poor performance, unethical or non-compliant behavior lead to the allocation of a lower or even no variable remuneration at all. For the senior fund manager, the Identified Staff regime also applies (see below).

Identified Staff RIAM has a specific and more stringent remuneration policy for employees who may have a material impact on the risk profile of the fund. These employees are designated to be 'Identified Staff'. For 2018, in addition to the Management Board, RIAM has designated 94 other employees as Identified Staff, including all senior portfolio managers, senior management and the heads of the control functions (HR, Compliance, Risk Management, Business Control, Internal Audit and Legal). Among other things the performance targets of these employees that are used to determine the award of variable pay are subject to additional risk analyses, both prior to the performance year and at the end when the results are evaluated. In addition, in all cases at least 70% of the payment of variable remuneration granted to these employees will be deferred for a period of four years, and 50% will be converted into hypothetical “Robeco” shares whose value will follow the company's future results.

Risk control RIAM has implemented additional risk management measures with regard to the variable remuneration. For instance, RIAM has the possibility with regard to all employees to reclaim the granted variable remuneration ('claw-back') when this has been based on incorrect assumptions, fraudulent acts, serious improper behavior, serious neglect of duties or behavior that has resulted in a considerable loss for RIAM. After the granting but before the actual payment of the deferred variable remuneration components to Identified Staff, an additional assessment is performed to check whether new information would result in decreasing the previously granted remuneration components (the so-called ‘malus arrangement’). The malus arrangement can be applied because of (i) misconduct or a serious error of judgement on the part of employees (ii) a considerable deterioration of RIAM's financial results that was not foreseen at the time the remuneration was granted (iii) a serious violation of the risk management system, leading to changed circumstances compared with the granting of the variable remuneration or (iv) evidence that a fraudulent act has been committed by the employee concerned or v) behavior that results in considerable losses.

Annual assessment RIAM's remuneration policy and the application thereof was evaluated in 2018 under the responsibility of the Supervisory Board, advised by the Nomination & Remuneration Committee. As a result of Robeco’s strategy 2017-2021, certain (non material) changes have been made to the remuneration policy to support a high performance culture.

Remuneration in 2018 Of the total amounts granted in remuneration1 in 2018 to the group's Board, Identified Staff and Other Employees, the following amounts are to be assigned to the fund:

Remuneration in EUR x 1 Staff category Fixed pay for 2018 Variable pay for 2018 Board (4 members) 40,370 50,227 Independent board member (1 member) 2,866 - Identified Staff (94) (ex Board) 331,585 198,885 Other employees (680 employees) 1,002,352 303,289

The total of the fixed and variable remuneration charged to the fund is EUR 1,929,574. Imputation occurs according to the following key:

Total remuneration (fixed and variable) x

Total fund assets Total assets under management (RIAM)

The fund itself does not employ any personnel and has therefore not paid any remuneration above EUR 1 million.

Remuneration manager The manager (RIAM) has paid to 1 employee a total remuneration above EUR 1 million.

1 The remunerations relate to activities performed for one or more Robeco entities.


Other data (unaudited) (continued) Additional information Securities Financing Transaction

The Company engages in Securities Financing Transactions (as defined in Article 3 of Regulation (EU) 2015/2365, securities financing transactions include repurchase transactions, securities or commodities lending and securities or commodities borrowing, buy-sell back transactions or sell-buy back transactions and margin lending transactions). In accordance with Article 13 of the Regulation, the Company’s involvement in and exposures related to securities financing transactions (‘SFT’) is its engagement on securities lending activities for the year ended 31 December 2018 as detailed below:

Securities lending

Global Data

Amount of securities on loan and amount of assets engaged in securities lending transactions The following table represents the total value of assets engaged in securities lending as at the reporting date. The total value of securities on loan as a proportion of the Funds’ total lendable assets as at the reporting date is also detailed below. Total lendable assets represent the aggregate value of asset types forming part of the Funds’ securities lending programme.

Sub-Fund

% of Total Lendable

Assets

Robeco Customized Liability Driven Fund III 11.86 Robeco Customized Liability Driven Fund IV 4.21

Sub-Fund Sub-Fund Currency

Market Value of Securities

on Loan (in Sub-Fund Currency) % of AUM

Robeco Customized Liability Driven Fund III EUR 36,445,154 8.87 Robeco Customized Liability Driven Fund IV EUR 26,401,873 3.25

Concentration Data

Ten largest collateral issuers The following table lists the ten largest issuers by value of non-cash collateral received by the Funds across securities lending transactions as at the reporting date:


Issuer Non-Cash

Collateral EUR

Austrian Government 3,345,198 Belgian Government 7,353,494 Dutch Government 3,549,891 Finnish Government 949,588 French Government 18,949,667 German Government 3,316,689


Other data (unaudited) (continued) Additional information Securities Financing Transaction (continued)

Securities lending (continued)

Concentration Data (continued)

Ten largest collateral issuers(continued)


Issuer Non-Cash

Collateral EUR

Austrian Government 1,239,435 Belgian Government 2,724,555 Dutch Government 5,455,659 Finnish Government 1,890,097 French Government 11,220,239 German Government 4,505,040

Top ten counterparties The following table provides details of the top ten counterparties (based on gross volume of outstanding transactions) in respect of securities lending transactions as at the reporting date.

Sub-Fund Name Sub-Fund Currency

Counterparty Incorporation Country Market value of loaned securities in Fund Currency

Robeco Customized Liability Driven Fund III EUR BNP Paribas France 7,922,592 Robeco Customized Liability Driven Fund III EUR Citigroup United States of America 28,522,563

Robeco Customized Liability Driven Fund IV EUR BNP Paribas France 15,833,934 Robeco Customized Liability Driven Fund IV EUR Citigroup United States of America 10,567,940

Aggregate transaction data

Type and quality of collateral Non-cash collateral received by each Fund in respect of securities lending transactions as at the reporting date is in the form of government bonds issued by the following countries: Austria, Belgium, Netherlands, Finland, France and Germany.

All of the Funds’ securities collateral have a credit rating of investment grade. Quality of collateral has been interpreted as pertaining to bond instruments, which have been assessed and reported in accordance with whether they are considered investment grade, below investment grade or not-rated. These designations are derived from the credit rating issued to the security or its issuer by at least one globally recognised credit rating agency, such as Standard & Poor’s and Moody’s. Bond instruments with a credit rating between ‘AAA’ and ‘BBB’ are deemed as investment grade. Credit ratings for bonds below these designations are considered below investment grade.

Sub-Fund Sub-Fund Currency Type Quality

Non-Cash Collateral Value

(in Sub-Fund Currency)

Robeco Customized Liability Driven Fund III EUR Bonds Investment grade 37,464,527 Robeco Customized Liability Driven Fund IV EUR Bonds Investment grade 27,035,025


Other data (unaudited) (continued) Additional information Securities Financing Transaction (continued)

Securities lending (continued)

Aggregate transaction data (continued)

Maturity tenor of collateral The following table provides an analysis of the maturity tenor of collateral received in relation to the securities lending transactions as at the reporting date:



Maturity EUR EUR

less than 1 day - - 1 to 7 days 174,647 349,046 1 to 4 weeks 356,659 538,671 1 to 3 months 496,002 991,300 3 to 12 months 3,711,541 1,375,169 more than 1 year 32,725,678 23,780,839 open maturity - -

Currency of collateral The following table provides an analysis of the currency profile of collateral received in relation to the securities lending transactions as at the reporting date:

Sub-Fund Name Sub-Fund Currency EUR Total

Robeco Customized Liability Driven Fund III EUR 37,464,527 37,464,527 Robeco Customized Liability Driven Fund IV EUR 27,035,025 27,035,025

Maturity tenor of securities lending transactions All securities on loan can be recalled at any point. The Fund's securities lending transactions have open maturity.

Country in which counterparties are established The country in which counterparties are established is disclosed under the section “Top Ten Counterparties” on page 16.

Settlement and clearing The Company’s securities lending transactions, including related collateral, are settled and cleared on a tri-party basis.

Re-use of collateral

Non-cash collateral received by a Fund may not be sold, re-invested or pledged. As the collateral in receipt for securities lending is entirely in the form of securities, there is no reuse of securities lending collateral.

Safekeeping of collateral

Collateral received J.P. Morgan Bank Luxembourg S.A., as securities lending agent of the Funds, is responsible for the safekeeping of the collateral received in respect of securities lending transactions as at the reporting date. The Custodian J.P. Morgan Bank Luxembourg S.A. is ultimately liable for any loss of instruments held in custody or by a third party to whom custody had been delegated (the sub-custody).

Collateral granted No collateral is granted by the Company as part of their securities lending activities.


The accompanying notes form an integral part of these financial statements.

Robeco Institutional Solutions Fund SICAV-FIS Combined Statement of Net Assets

As at 31 December 2018

Notes

Robeco Customized

Liability Driven Fund I

EUR

Robeco Customized

Liability Driven Fund II

EUR

Robeco Customized

Liability Driven Fund III1

EUR

Robeco Customized

Liability Driven Fund IV

EUR Assets Investments in securities at market value 2,5 859,111,472 143,650,458 364,551,886 716,667,949 Cash at bank and at brokers 106,702,073 18,200,410 44,796,243 85,741,004 Interest receivable 12,246,193 7,171,833 12,367,862 17,526,534 Derivative assets at market value 3 137,521,851 43,136,011 31,178,117 90,695,565 Total assets 1,115,581,589 212,158,712 452,894,108 910,631,052

Liabilities Cash collateral due to brokers 4 134,584,530 26,643,533 35,304,392 82,942,836 Interest payable 804,748 1,617,113 1,507,338 963,461 Management fees payable 117,766 33,257 49,682 66,108 Derivative liabilities at market value 3 12,859,996 20,120,490 5,077,995 13,828,250 Total liabilities 148,367,040 48,414,393 41,939,407 97,800,655 Total Net Assets 967,214,549 163,744,319 410,954,701 812,830,397

Notes

Robeco Customized

Liability Driven Fund V

EUR

Robeco Customized

Liability Driven Fund VI

EUR

Total Robeco Institutional

Solutions Fund EUR

Assets Investments in securities at market value 2,5 207,129,282 349,642,434 2,640,753,481 Cash at bank and at brokers 28,287,745 42,734,361 326,461,836 Cash collateral at brokers 4 7,838,208 – 7,838,208 Interest receivable 2,370,534 11,438,193 63,121,149 Derivative assets at market value 3 806,047 74,199,493 377,537,084 Total assets 246,431,816 478,014,481 3,415,711,758

Liabilities Cash collateral due to brokers 4 – 58,008,370 337,483,661 Interest payable 276,565 425,903 5,595,128 Management fees payable 29,144 79,637 375,594 Derivative liabilities at market value 3 8,530,147 24,887,500 85,304,378 Total liabilities 8,835,856 83,401,410 428,758,761 Total Net Assets 237,595,960 394,613,071 2,986,952,997

1This sub-fund was launched on 28 February, 2018



Robeco Institutional Solutions Fund SICAV-FIS (continued) Combined Statement of Operations and Changes in Net Assets

For the year ended 31 December 2018

Notes

Robeco Customized

Liability Driven Fund I

EUR

Robeco Customized

Liability Driven Fund II

EUR

Robeco Customized

Liability Driven Fund III1

EUR

Robeco Customized

Liability Driven Fund IV

EUR

Net assets at the beginning of the year 885,297,937 148,682,690 – 743,529,389

Income Bond interest, net of withholding taxes 2 8,276,501 2,542,946 5,120,862 10,443,670 Interest on swaps contracts 2 22,114,890 8,854,589 8,656,341 15,397,971 Bank interest 233,983 41,773 17,006 597,982 Total income 30,625,374 11,439,308 13,794,209 26,439,623

Expenses Management fees 7 1,345,684 382,888 463,023 755,532 Depositary fees 106,897 19,508 39,871 89,201 Bank and other interest expenses 452,688 82,291 237,093 505,871 Interest on swaps contracts 9,143,120 4,792,529 1,919,004 3,297,168 Other expenses 2,515 – – – Total expenses 11,050,904 5,277,216 2,658,991 4,647,772

Net investment income/(loss) 19,574,470 6,162,092 11,135,218 21,791,851

Net realised gain/(loss) on: Sale of investments (2,508,817) (394,943) (465,443) (3,303,653) Derivative instruments 10,148,105 (10,922) 166,053 –

Net realised gain/(loss) for the year 7,639,288 (405,865) (299,390) (3,303,653)

Net change in unrealised appreciation (depreciation) on:

Investments 31,854,329 2,010,274 7,256,665 8,838,346 Derivatives instruments 9,648,525 2,695,128 26,100,121 18,274,464

Net change in unrealised appreciation (depreciation) for the year 41,502,854 4,705,402 33,356,786 27,112,810

Increase/(decrease) in net assets as a result of operations 68,716,612 10,461,629 44,192,614 45,601,008

Subscriptions 13,200,000 4,600,000 377,762,087 32,700,000 Redemptions – – (11,000,000) (9,000,000) Increase/(decrease) in net assets as a result of movements in share capital 13,200,000 4,600,000 366,762,087 23,700,000 Net assets at the end of the year 967,214,549 163,744,319 410,954,701 812,830,397

1This sub-fund was launched on 28 February, 2018



Robeco Institutional Solutions Fund SICAV-FIS (continued) Combined Statement of Operations and Changes in Net Assets (continued)

For the year ended 31 December 2018

Notes

Robeco Customized

Liability Driven Fund V

EUR

Robeco Customized

Liability Driven Fund VI

EUR

Total Robeco Institutional

Solutions Fund EUR

Net assets at the beginning of the year 193,262,892 418,262,160 2,389,035,068

Income Bond interest, net of withholding taxes 2 3,030,920 5,859,813 35,274,712 Interest on swaps contracts 2 2,070,097 14,652,823 71,746,711 Bank interest 548 842 892,134 Total income 5,101,565 20,513,478 107,913,557

Expenses Management fees 7 298,405 1,041,208 4,286,740 Depositary fees 24,952 49,281 329,710 Bank and other interest expenses 210,520 637,011 2,125,474 Interest on swaps contracts 947,386 3,057,564 23,156,771 Other expenses – – 2,515 Total expenses 1,481,263 4,785,064 29,901,210

Net investment income/(loss) 3,620,302 15,728,414 78,012,347

Net realised gain/(loss) on: Sale of investments (1,620,942) (3,277,722) (11,571,520) Derivative instruments – 4,652,521 14,955,757

Net realised gain/(loss) for the year (1,620,942) 1,374,799 3,384,237

Net change in unrealised appreciation (depreciation) on:

Investments 3,553,921 9,248,916 62,762,451 Derivatives instruments 2,879,787 10,338,782 69,936,807

Net change in unrealised appreciation (depreciation) for the year 6,433,708 19,587,698 132,699,258

Increase/(decrease) in net assets as a result of operations 8,433,068 36,690,911 214,095,842

Subscriptions 79,100,000 16,660,000 524,022,087 Redemptions (43,200,000) (77,000,000) (140,200,000) Increase/(decrease) in net assets as a result of movements in share capital 35,900,000 (60,340,000) 383,822,087 Net assets at the end of the year 237,595,960 394,613,071 2,986,952,997



Robeco Institutional Solutions Fund SICAV-FIS (continued) Statistical Information (in share class currency):

Shares outstanding as at

31 December 2018

NAV per share as at

31 December 2018

NAV per share as at

31 December 2017

NAV per share as at

31 December 2016 Robeco Customized Liability Driven Fund I

P EUR 9,066,287 106.68 99.07 106.62 Total Net Assets in EUR 967,214,549 885,297,937 929,447,801

Robeco Customized Liability Driven Fund II P EUR 1,667,346 98.21 91.95 98.57 Total Net Assets in EUR 163,744,319 148,682,690 206,994,279


P EUR 3,655,349 112.43 – – Total Net Assets in EUR 410,954,701 – –



Robeco Customized Liability Driven Fund V P EUR 2,569,707 92.46 89.03 94.72 Total Net Assets in EUR 237,595,960 193,262,892 213,523,311

Robeco Customized Liability Driven Fund VI



Notes to the financial statements as at 31 December 2018 1. General

Robeco Institutional Solutions Fund SICAV-FIS (the ‘Company’) was incorporated on 6 April 2016 for an undetermined period of time as an open ended investment company based in Luxembourg, issuing and redeeming its shares on demand at prices based on the respective Net Asset Values per share. Its Articles of Incorporation were published in the ‘Mémorial, Recueil des Sociétés et Associations’ of the Grand Duchy of Luxembourg (the’Mémorial’) on 28 April 2016. The Company is an investment company with variable capital (société d’investissement à capital variable) organised as a specialised investment fund (fonds d’investissement specialisé) in the form of a public limited liability company (société anonyme) in accordance with the Luxembourg Law of February 13, 2007 relating to specialised investment funds, as amended (the ‘2007 Law’) and with the law of August 10, 1915 on commercial companies, as amended (the ‘1915 Law’). The Company takes the form of an umbrella fund. It is made up of several sub-funds each representing an investment portfolio and other assets and liabilities corresponding to a different investment policy. Each sub-fund is therefore represented by different types of shares with one or more classes of shares. The Board of Directors has authority to issue different categories of shares within each of the sub-funds. The Directors of the Company may at any time establish new sub-funds and/or may decide upon the issue of class I, IH, K, KH, P, PH, Z and ZH shares (accumulating) and class IB, IBH, IE, IEH, IEx, IExH, KB, KBH, KE, KEH, Kex, KexH, PB, PBH, PE, PEH, Pex, PexH, ZB, ZBH, ZE, ZEH, Zex and ZexH (distribution) in existing or new sub-funds. The reference currency of the classes of shares may be the euro (EUR), the US dollar (USD), the Swiss franc (CHF), the Japanese yen (JPY), the British pound (GBP), the Australian dollar (AUD), the Canadian dollar (CAD), the Chinese renmindi (RMB), the Mexican peso (MXN), the Hong Kong dollar (HKD), the Swedish crown (SEK), the Norwegian crown (NOK), the Danish crown (DKK), the Singapore dollar (SGD), or the South African rand (ZAR). Only the shares active during the reporting period are mentioned in the paragraph ‘Share Capital’.

Legal entity The Company as a whole constitutes a single legal entity but the assets of any one sub-fund will only be available to satisfy the rights of investors in relation to that sub-fund and the rights of creditors whose claims have arisen in connection with the creation, operation or liquidation of the sub-fund. For the purpose of the relations as between shareholders, each sub-fund is deemed to be a separate entity.

Share capital The capital of the Company will automatically be adjusted in case additional shares are issued or outstanding shares are redeemed without special announcements or measure of publicity being necessary in relation thereto. Classes of shares: Class P Shares will only be available for Professional Investors which consist of institutions for occupational retirement pension or similar investment vehicles, set up on one or more employers' initiative for the benefit of their employees and companies of one or more employers investing funds they hold, in order to provide retirement benefits to their employees, as defined in Article 68(2) c) of the 2007 Law as may be amended from time to time.

The attention of the investors is drawn to the fact that the sub-funds of the Company have several classes of shares which distinguish themselves by, inter alia, their reference currency and that they are exposed to the risk that the net asset value of a class denominated in one currency can move unfavorable vis-à-vis another class denominated in another currency. At the end of the reporting period the share capital comprised six active sub-funds, each relating to a separate investment portfolio consisting of securities, cash and other instruments. Seven sub-funds were not yet introduced at the end of the reporting period. The complete list of sub-funds is as follows:

Sub-funds Robeco Customized Liability Driven Fund I Robeco Customized Liability Driven Fund II Robeco Customized Liability Driven Fund III Robeco Customized Liability Driven Fund IV Robeco Customized Liability Driven Fund V Robeco Customized Liability Driven Fund VI Robeco Customized Liability Driven Fund VII 1 Robeco Customized Liability Driven Fund VIII 1 Robeco Customized Liability Driven Fund IX 1 Robeco Customized Liability Driven Fund X 1 Robeco Customized Liability Driven Fund XI 1 Robeco Customized Liability Driven Fund XII 1 Robeco Customized Liability Driven Euro Core Gouvernement Bond 40 Fund 1

1 Sub-fund not yet introduced.

Sales commissions No sales commission is applicable for the shares active during the reporting period.

Open-ended fund Robeco Institutional Solutions Fund SICAV-FIS is an open-ended investment company meaning that, barring exceptional circumstances, Robeco Institutional Solutions Fund SICAV-FIS issues and purchases its shares on a daily basis at net asset value per share. The Company reserves the right to refuse any subscription request at any time.


Notes to the financial statements as at 31 December 2018 (continued) 1. General (continued)

Swing pricing Shares are issued and redeemed on the basis of the net asset value per share. However, the actual costs of purchasing or selling assets and investments for a sub-fund may deviate from the latest available prices, as appropriate, in calculating the net asset value per share. This deviation can be caused by duties and charges and spread from buying and selling prices of the underlying investments (‘spreads’). These costs have an adverse effect on the value of a sub-fund and its underlying share classes and are known as dilution. To mitigate the effects of dilution, the Directors may, at their discretion, make a dilution adjustment to the net asset value per share. The Directors will retain the discretion in relation to the circumstances under which to make such a dilution adjustment. At the end of the reporting period, no swing adjustments were made.

Pooling and co-management For the purpose of efficient management and to reduce administrative costs and if the investment policies of the sub- funds allow such, the Board of Directors may decide to co-manage some or all of the assets of certain sub-funds with assets of other Luxembourg UCIs of the Robeco Group (‘co-managed units’). In this case, the assets from different co- managed units will be jointly managed using the technique of pooling. Assets that are co-managed will be referred to using the term ‘pool’. Such pools will only be used for the purposes of internal management. They will not constitute distinct legal entities and will not be directly accessible to investors. Each co-managed unit will have its own assets allocated to it. During the reporting period no pooling or co-management took place.

Affiliated parties Robeco Institutional Solutions Fund SICAV-FIS is affiliated to the entities belonging to Robeco Groep N.V. The affiliation with Robeco Groep N.V. is the result of the possibility of having decisive control or a substantial influence on the Company’s business policy. Robeco Group N.V. is part of ORIX Corporation. The management structure of Robeco Groep N.V., in which significant authority is allocated to its independent supervisory board, is such that ORIX Corporation does not have any meaningful say in or influence on the Company’s business policy. Robeco Groep N.V. pursues an independent investment policy on behalf of its affiliated investment companies, taking into account the interest of the investors involved. Besides services of other market parties, Robeco Institutional Solutions Fund SICAV-FIS also utilizes the services of one or more of these affiliated entities including transactions relating to securities, treasury, derivatives, securities lending, and subscriptions and redemptions of its own shares, as well as management activities. Transactions are executed at market rates.

Financial instruments Risks Transactions in financial instruments may lead the sub-funds to be subject to the risks described below or to the sub-funds transferring these risks to another party.

General investment risk The value of your investments may fluctuate. Past performance is no guarantee of future results. The net asset value of the sub-funds is affected by developments in the financial markets and may both rise and fall. Shareholders run the risk that their investments may end up being worth less than the amount invested or even worth nothing.

Bonds or other debt securities involve credit risk to the issuer which may be evidenced by the issuer's credit rating. Securities which are subordinated and/or have a lower credit rating are generally considered to have a higher credit risk and a greater possibility of default than more highly rated securities. In the event that any issuer of bonds or other debt securities experiences financial or economic difficulties, this may affect the value of the relevant securities and any amounts paid on such securities. This may in turn affect the NAV per share. General investment risk can be broken down into market risk and concentration risk:

Market risk The net asset value of the sub-funds is sensitive to market movements. In addition, investors should be aware of the possibility that the value of investments may vary as a result of changes in political, economic or market circumstances.

Concentration risk Based on its investment policies, each sub-fund may invest in financial instruments from issuing institutions that (mainly) operate within the same sector or region, or in the same market. If this is the case, the concentration of the investment portfolio of a sub-fund may cause events that have an effect on these issuing institutions to have a greater effect on the sub-funds assets than would occur with a less concentrated investment portfolio.

Counterparty risk A counterparty of a sub-fund may fail to fulfil its obligations towards that sub-fund. In case of hedging transactions in classes of shares, the relevant sub-fund carries the counterparty risk. This risk is limited as much as possible by taking every possible care in the selection of counterparties. Wherever it is customary in the market, the sub-funds will demand and obtain collateral. The sub-funds minimize this risk by trading exclusively with reputable counterparties with a minimum rating of A in the Standard & Poors or other recognized credit rating agencies lists.


Notes to the financial statements as at 31 December 2018 (continued) 1. General (continued)

Financial instruments (continued) Risks (continued) Euro currency risk All or part of the assets of a sub-fund may be invested in securities denominated in Euro. In the event of any adjustments, including a full break-up, an exit of individual countries or other circumstances that may result in the emergence or reintroduction of national currencies, a sub-fund runs the risks that the value of its investments is reduced and/or the liquidity of its investments is (temporarily) reduced, regardless of the measures the Company may seek to reduce this risk.

Operational risk The operational risk is the non inherent risk remaining after determining the risks as detailed above (general investment risk, counterparty, liquidity, Euro currency or risk of lending financial instruments). It mainly includes risks resulting from breakdowns in internal procedures, people and systems.

Insight into actual risks The report of the Board of Directors, the Statement of net assets, the Notes to the financial statements and the Schedule of investments, which include currency classification of the investments, give an insight into the actual risks at the end of the reporting period.

Risk management Managing risk is a part of the investment process as a whole and with the help of advanced systems, the risks outlined above are limited, measured and monitored on the basis of fixed risk measures.

Policy regarding the use of derivatives Investing implies that positions are taken. As it is possible to use various instruments, including derivative instruments, to construct an identical position, the selection of derivatives is subordinate to the positioning of an investment portfolio. In our published information, attention is given primarily to the overall position, and secondarily to the nature and volume of the financial instruments employed.

Derivative instruments The unrealized results of derivative instruments are reported in the statement of net assets and are disclosed by contract. Commitments to derivatives are not included in the statement of net assets. They are, however, explained in the Notes. The unrealized results presented in the Statement of net assets are disclosed by contract.

The derivative instruments listed in the Notes are transacted through third party brokers. Those brokers hold/paid collateral as described on page 25. The Company is exposed to counterparty risk in respect of all amounts including collateral due to it from such brokers.

2. Summary of significant accounting principles

General Unless stated otherwise, the items shown in the financial statements are included at their nominal value and expressed in the reference currency of each sub-fund. The reference currency of the Company is the Euro. This report covers the period from 1 January 2018 through 31 December 2018.

Preparation and presentation of financial statements The financial statements are prepared on the basis of the last NAV calculated during the year (28 December 2018) and presented in accordance with Luxembourg generally accepted accounting principles for investment funds.

Combined figures The combined figures are expressed in euro and are presented for information purposes only.

Foreign currencies The sub-funds have no positions in foreign currencies.


Notes to the financial statements as at 31 December 2018 (continued) 2. Summary of significant accounting principles (continued)

Valuation of investments Transferable securities, money market instruments and financial derivative instruments listed on an official stock exchange listing These instruments are valued at their last available price; in the event that there should be several such markets, on the basis of the last available price of the main market for the relevant security or asset. Should the last available market price for a given transferable security, money market instrument or financial derivative instrument not truly reflects its fair market value, then that transferable security, money market instrument or financial derivative instrument is valued on the basis of the probable sales price which the Board of Directors deems prudent to assume. Fixed income securities not traded on such markets are generally valued at the last available price or yield equivalents obtained from one or more dealers or pricing services approved by the Board of Directors or any other price deemed appropriate by the Board of Directors.

Transferable securities and/or money market instruments dealt in on another regulated market These instruments are valued on the basis of their last available market price. Should the last available market price for a given transferable security and/or money market instrument not truly reflects its fair market value, then that transferable security and/or money market instrument is valued by the Board of Directors on the basis of the probable sales price which the Board of Directors deems prudent to assume.

Transferable securities and/or money market instruments not listed or dealt in on any stock exchange or on any regulated market In the event that any assets are not listed or dealt in on any stock exchange or on any regulated market, or if, with respect to assets listed or dealt in on any stock exchange, or on any regulated market as aforesaid, where the above valuation methods are inappropriate or misleading, the Board of Directors may adopt any other appropriate valuation principles for the assets of the Company.

Sub-funds primarily invested in markets which are closed for business at the time the sub-fund is valued are normally valued using the prices at the previous close of business.

Market volatility may result in the latest available prices not accurately reflecting the fair value of the sub-funds’ investments. This situation could be exploited by investors who are aware of the direction of market movements, and who might deal to exploit the difference between the next published Net Asset Value and the fair value of the sub-funds’ investments. By these Investors paying less than the fair value for shares on issue, or receiving more than the fair value for shares on redemption, other Shareholders may suffer a dilution in the value of their investment. To prevent this, the Company may, during periods of market volatility, adjust the Net Asset Value per Share prior to publication to reflect more accurately the fair value of the sub-funds’ investments. Adjustment will be made provided that such change exceeds the threshold as determined by the Board of Directors for the relevant sub-fund. If an adjustment is made, it will be applied consistently to all classes of shares in the same sub-fund. At the end of the reporting period, no such adjustments were made.

Investment transactions and investment income Securities are initially recorded at cost, and where applicable on the basis of exchange rates prevailing on the date they are purchased. Results on sales of securities are determined on the basis of the average cost method (for futures first in first out method). Investment transactions are accounted for on the trade date. Dividends are accounted for on the ex- dividend date. Interest income is recorded on an accrual basis. Discounts/Premiums on zero coupon bonds are accreted as adjustments to interest income. Interest and capital gains on securities may be subject to withholding or capital gains taxes in certain countries.

3. Interest rate swaps

Interest rate swaps are valued with market practice valuation models using exchange and interest rates applicable at 28 December 2018. The unrealized gains/losses on interest rate swaps are recorded gross in the Statement of net assets and changes in unrealized results are recorded in the Statement of operations and changes in net assets. The contracts outstanding as at 31 December 2018 are disclosed in the Schedule of Investments. Information on the collateral on these positions is stated in the table on page 25. The paid collateral is restricted cash and is included in the Statement of net assets under the Assets ‘Cash collateral at brokers’. The received collateral is included in the Statement of net assets under the liabilities ‘Cash collateral due to brokers’.

4. Collateral

Several sub-funds received or paid collateral to cover the unrealized results on derivative instruments. Collaterals are calculated and settled on a daily basis per counterparty. The paid cash collateral is restricted cash and is included in the Statement of net assets under the Assets ‘Cash collateral at brokers’. The received cash collateral is included in the Statement of net assets under the liabilities ‘Cash collateral due to brokers’. No cash collateral has been re-invested. The amounts per sub-fund and counterparty are shown in the table below.


Notes to the financial statements as at 31 December 2018 (continued) 4. Collateral (continued)

Fund/Sub-fund name Currency Counterparty Type of collateral

Collateral (received)/paid

EUR Robeco Customized Liability Driven Fund I EUR Barclays Cash (134,584,530) Robeco Customized Liability Driven Fund II EUR Barclays Cash (26,643,533) Robeco Customized Liability Driven Fund III EUR Barclays Cash (35,304,392) Robeco Customized Liability Driven Fund IV EUR Citi Cash (82,942,836) Robeco Customized Liability Driven Fund V EUR Citi Cash 7,838,208 Robeco Customized Liability Driven Fund VI EUR Barclays Cash (17,244,374) Robeco Customized Liability Driven Fund VI EUR Citi Cash (40,763,996)

5. Schedule of Investments

The Schedule of investments of the sub-funds are included at the end of this report.

6. Securities lending

Robeco Institutional Asset Management B.V. (RIAM) is the lending agent for all Robeco Institutional Solutions Fund SICAV-FIS securities lending transactions (until 3 December 2018) and J.P. Morgan Bank Luxembourg S.A. (since 3 December 2018). J.P. Morgan is authorized to retain a fee in an amount equal to (A) 25% for any loans which generate a return of 0.5% or less and (B) 10% for any loans which generate a return greater than 0.5% of the sum of (i) earnings derived from Authorised Investments (as adjusted for any Rebate paid or received by J.P. Morgan) (ii) any fee, paid or payable by Borrower with respect to loans (including any loan fee but excluding any compensation payable by borrower under the MSLA in connection with a loan (net, however, of any other amount payable by Lender in connection with such loan). Gains and losses on Cash Collateral investments shall not be taken into account in calculating earnings for the purpose of J.P. Morgan’s fees. An independent third party checks periodically whether the agreement with RIAM is still in line with normal market practices. The following table shows the position of the collateralized securities lending transactions with first-class financial institutions as described in the prospectus at the end of the reporting period as well as the income from securities lending over the reporting period for the Company and the income for RIAM. Income on securities lending transactions if any is recorded under the heading 'Securities lending income' in the Statement of operations and changes in net assets. Collateral received in the frame of the lending activity, primarily securities, is held in the name of the fund on an escrow account with external agents. In exceptional cases, the collateral is received in cash, which is not subject to reinvestment. There has been no securities income for the year to 31 December 2018 as the securities lending activities only started in December 2018.

More information on collateral received can be found on page 15 and further.


Notes to the financial statements as at 31 December 2018 (continued) 6. Securities lending (continued)

Fund/Sub-Fund

Fund currency/Sub-

Fund currency Counterparty

Market value of securities on loan in Fund currency

Cash collateral in Fund currency

Non cash collateral in Fund

currency Total collateral in

Fund currency Robeco Customized Liability Driven Fund III EUR Citibank 28,522,563 – 29,385,024 29,385,024 Robeco Customized Liability Driven Fund III EUR BNP Paribas 7,922,592 – 8,079,503 8,079,503 Robeco Customized Liability Driven Fund IV EUR Citibank 10,567,940 – 10,887,491 10,887,491 Robeco Customized Liability Driven Fund IV EUR BNP Paribas 15,833,934 – 16,147,534 16,147,534 Total 62,847,029

Fund/Sub-Fund

Fund currency/Sub-

Fund currency

Lending income (gross) in Fund

currency Lending agent fee in Fund currency

Lending income (net) in Fund

currency Robeco Customized Liability Driven Fund III EUR – – – Robeco Customized Liability Driven Fund IV EUR – – –


Notes to the financial statements as at 31 December 2018 (continued) 7. Management fees

The different sub-funds and Classes of shares incur an annual management fee payable to the AIFM, which reflects all expenses related to the management of the sub-funds. All remaining expenses such as the fees of the Domiciliary and Listing Agent, the Administration Agent, the Registrar Agent, auditors and legal advisers, the costs of preparing, printing and distributing all prospectuses, memorandums, reports and other necessary documents concerning the Company, any fees and expenses involved in the registration of the Company with any governmental agency and stock exchange, the costs of publishing prices and operational expenses, and the cost of holding shareholders meetings will be paid from the management fee.

Management fee is expressed as a percentage of the net asset value. The charges, paid monthly, are based on the net asset value of the relevant period and are reflected in the share price. The table below shows the maximum percentages for the different sub-funds and classes of shares.

Management fee

(%) Total

% Robeco Customized Liability Driven Fund I

P EUR 0.50 0.50

Robeco Customized Liability Driven Fund II P EUR 0.50 0.50

Robeco Customized Liability Driven Fund III P EUR 0.50 0.50

Robeco Customized Liability Driven Fund IV P EUR 0.50 0.50

Robeco Customized Liability Driven Fund V P EUR 0.50 0.50

Robeco Customized Liability Driven Fund VI P EUR 0.50 0.50

8. Depositary fees

The Depositary bank is remunerated in accordance with the agreement between RBC Investor Services Bank S.A. (until 3rd December 2018) and J.P. Morgan Bank Luxembourg S.A. (since 3rd December 2018), acting as the depositary and the Company.

9. Taxes

In Luxembourg, the Company is not subject to taxation on its income, profits or gains. The Company is not subject to net wealth tax in Luxembourg.

No stamp duty, capital duty or other tax will be payable in Luxembourg upon the issue of the Shares of the Company. The Company is subject to a subscription tax (taxe d'abonnement) levied at the rate of 0.01% per annum based on the net asset value of the Company at the end of the relevant quarter, calculated and paid quarterly. Subscription tax exemption applies to (i) the investments in other UCIs, which have already been subject to the Luxembourg subscription tax, (ii) money market specialised investment funds as well as individual compartments with multiple compartments of specialised investment funds (iii) specialised investment funds, compartments thereof or dedicated classes reserved for retirement pension schemes and (iv), specialized investment funds as well as individual compartments thereof whose the main object is the investment in microfinance institutions.

As at December 31, 2018, the Company has only issued Class P share (reserved for retirement pension schemes) which are exempt from the subscription tax (‘taxe d'abonnement’) in accordance with Article 68(2) c) of the 2007 Law.

10. Transaction costs

The Company and its classes of shares may pay directly commissions, brokerage fees and taxes resulting from financial transactions. There were no ‘Transaction costs’ in the reporting year.


Notes to the financial statements as at 31 December 2018 (continued) 11. Total Expense Ratio (TER)

The Total Expense Ratio (‘TER’) expresses the operational costs (e.g. management fee, service fee, taxe d’abonnement, depositary fee and bank charges) charged to the sub-funds as a percentage of the average assets entrusted, calculated on a daily basis, during the reporting period. The TER as shown below do not include transaction costs. The other costs concern mainly bank charges, depositary fees and taxe d’abonnement. The other costs fund shares concern the nonrefundable cost of the underlying funds and concern mainly bank charges, depositary fees and taxe d’abonnement. Total Expense Ratio are annualized for periods less than one year.

Fund/Sub-Fund Management

fee Other costs Total Robeco Customized Liability Driven Fund I P EUR 0.15 0.01 0.16

Robeco Customized Liability Driven Fund II P EUR 0.25 0.01 0.26

Robeco Customized Liability Driven Fund III P EUR 0.15 0.01 0.16

Robeco Customized Liability Driven Fund IV P EUR 0.10 0.01 0.11

Robeco Customized Liability Driven Fund V P EUR 0.15 0.01 0.16

Robeco Customized Liability Driven Fund VI P EUR 0.25 0.01 0.26

12. Hard commissions and soft-dollar arrangements

There were no hard commissions or soft-dollar arrangements during the reporting period.

13. Subsequent Events

There are no subsequent events to be reported.

14. Portfolio Turnover ratio

This shows the turnover of the investments, including derivative instruments, against the average assets entrusted and is a measure of the incurred transaction costs resulting from the investment portfolio policies pursued and the ensuing investment transactions. In the calculation method that is used the amount of turnover is determined by the sum of purchases and sales of investments, including derivative instruments, less the sum of issuance and repurchase of own shares divided by the daily average of the net assets. The portfolio turnover ratio is determined by expressing the amount of turnover as a percentage of the average assets entrusted. The portfolio turnover ratio is not annualized for periods less than one year. The following table shows the portfolio turnover ratios of the sub-funds.

Fund/Sub-Fund Portfolio turnover ratio

(%) Robeco Customized Liability Driven Fund I 341.57

Robeco Customized Liability Driven Fund II 420.17

Robeco Customized Liability Driven Fund III 217.34

Robeco Customized Liability Driven Fund IV 341.96

Robeco Customized Liability Driven Fund V 483.16

Robeco Customized Liability Driven Fund VI 423.74


Notes to the financial statements as at 31 December 2018 (continued) 15. Changes in the investment portfolio

The statement of changes in the investment portfolios during the reporting period may be obtained free of charge at the offices of the Company and the depositary.

Luxembourg, 06 May 2019

The Board of Directors

Jeroen van den Akker Mark Glazener Marco van Zanten Susanne van Dootingh


To the Shareholders of Robeco Institutional Solutions Fund SICAV-FIS 6, route de Trèves, L-2633 Senningerberg, Grand Duchy of Luxembourg

Report of The Reviseur D’entreprises Agree Opinion We have audited the accompanying financial statements of Robeco Institutional Solutions Fund SICAV-FIS and each of its sub-funds (“the Fund”), which comprise the statement of net assets and the schedule of investments as at December 31, 2018 and the statement of operations and changes in net assets for the year then ended, and notes to the financial statements, including a summary of significant accounting policies.

In our opinion, the accompanying financial statements give a true and fair view of the financial position of Robeco Institutional Solutions Fund SICAV-FIS and each of its sub-funds as at December 31, 2018, and of the results of their operations and changes in their net assets for the year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation and presentation of the financial statements.

Basis for opinion We conducted our audit in accordance with the Law of 23 July 2016 on the audit profession (“Law of 23 July 2016”) and with International Standards on Auditing (“ISAs”) as adopted for Luxembourg by the Commission de Surveillance du Secteur Financier (“CSSF”). Our responsibilities under the Law of 23 July 2016 and ISAs are further described in the « Responsibilities of “Réviseur d’Entreprises agréé” for the Audit of the Financial Statements » section of our report. We are also independent of the Fund in accordance with the International Ethics Standards Board for Accountants’ Code of Ethics for Professional Accountants (“IESBA Code”) as adopted for Luxembourg by the CSSF together with the ethical requirements that are relevant to our audit of the financial statements, and have fulfilled our other ethical responsibilities under those ethical requirements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.

Other information The Board of Directors of the Fund is responsible for the other information. The other information comprises the information stated in the annual report but does not include the financial statements and our report of “Réviseur d’Entreprises agréé” thereon.

Our opinion on the financial statements does not cover the other information and we do not express any form of assurance conclusion thereon.

In connection with our audit of the financial statements, our responsibility is to read the other information and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit or otherwise appears to be materially misstated. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report this fact. We have nothing to report in this regard.

Responsibilities of Board of Directors of the Fund for the financial statements The Board of Directors of the Fund is responsible for the preparation and fair presentation of these financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation and presentation of the financial statements, and for such internal control as the Board of Directors of the Fund determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error.

In preparing the financial statements, the Board of Directors of the Fund is responsible for assessing the Fund’s and each of its sub-funds’ ability to continue as a going concern, disclosing, as applicable, matters related to going concern and using the going concern basis of accounting unless the Board of Directors of the Fund either intends to liquidate the Fund or any of its sub-funds or to cease operations, or has no realistic alternative but to do so.

Responsibilities of the “Réviseur d’Entreprises agréé” for the audit of the financial statements The objectives of our audit are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue a report of “Réviseur d’Entreprises agréé” that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with the Law of 23 July 2016 and with ISAs as adopted for Luxembourg by the CSSF will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements.

As part of an audit in accordance with the Law of 23 July 2016 and with ISAs as adopted for Luxembourg by the CSSF, we exercise professional judgment and maintain professional skepticism throughout the audit. We also:

Identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, design and perform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control.


Report of The Reviseur D 'entreprises Agree ( continued)

Responsibil iti es of the " Reviscur d 'En trcp r iscs agree'' for th e audit of the fi na ncial statements (co ntinued) Obwin an understanding or inti.'mal control re lcrnm to the audit in order to design audit procedures that arc appropriate in the circumstances. but not for the purpose of' expressing an opinion on the effect iveness of the Fund's internal control. l::valuatc the appropriateness of accounting policie~ u,cd and the n:a!>onablcncss of account ing estimates nntl re latetl disclosures m.idc by the 13oard of Directors of the Fund. Conclude on the appropriateness of the Board of Directors of the Fund's use of the going concern basis of accounting and. based on the audit c,·idence obtained. whether a material uncertainty exists re lated to e\\:nts or conditions that may cast signi licant doubt on the Fund 's or any or its sub-funds' abil ity to continue as a going co1H.:cm. If we conclude that a material uncertainty exists. we arc required to draw attent ion in our report or the "Rc,·i~l·ur d ' Ent reprises agree" to the rcl:ited disclosure, in the linanci.il statements or. if such disclosures :ir.:: inadequate. to modify our opinion. Our conclusions arc based on thc autlit evidence obtained up to the elate of our report of the "Redseur d'Entrcpriscs agree". Howc\'cr. future e,cnts or cond itions may cause the Fund or any or its sub-funds to cease to continuc as a going concern. l::\'aluatc the overa ll prescmation. structure ant! coment of the linancial statements. including the disclosures. ant! whether the financial st:itcments represent the underlying transaction~ and c,·ents in n manner that :ichie,·c~ fair presentation.

We communicate with those charged with g1H'emance regarding. among other matters. the planned scope and timing of the audit and signi ficant :iudit finding~. including any sign ificant dclicicncies in internal control that we idcmify during our nuclit.

Luxembourg. t-,1Jay 07. :w 19

Robt:co Institutional Solutions Fund SICA V-FIS .12

KPMG Luxembourg Socictc coopcrati\'C Cabinet de rc\'ision :igrec 39. ;\ ,·enue John F. Kennedy L-1 855, Luxembourg

V. Ehx

Schedule of Investments

Robeco Customized Liability Driven Fund I As at 31 December 2018

Investments CurrencyQuantity/

Nominal Value

Market ValueEUR

% of Net Assets

Transferable securities and money market instruments admitted to an official exchange listing

Bonds

France France Treasury Bill BTF, Reg. S 0% 13/02/2019 EUR 40,600,000 40,641,534 4.20

France Treasury Bill BTF, Reg. S 0% 13/03/2019 EUR 88,200,000 88,336,181 9.13

128,977,715 13.33

Germany Bundesobligation, Reg. S 0.5% 12/04/2019 EUR 66,710,000 66,935,947 6.92

Bundesrepublik Deutschland 0% 04/01/2030 EUR 34,000,000 32,728,094 3.38



Bundesrepublik Deutschland, Reg. S 3.25% 04/07/2042 EUR 24,750,000 38,061,317 3.94



380,048,029 39.29

Netherlands Dutch Treasury Certificate 0% 28/02/2019 EUR 36,400,000 36,451,797 3.77

Dutch Treasury Certificate 0% 29/03/2019 EUR 80,700,000 80,860,432 8.36

Netherlands Government Bond 0% 15/01/2037 EUR 44,000,000 38,145,272 3.95

Netherlands Government Bond 0% 15/01/2042 EUR 50,000,000 41,129,250 4.25

Netherlands Government Bond, Reg. S, 144A 2.5% 15/01/2033 EUR 43,000,000 53,760,320 5.56


350,085,728 36.20

Total Bonds 859,111,472 88.82

Total Transferable securities and money market instruments admitted to an official exchange listing 859,111,472 88.82

Total Investments 859,111,472 88.82

Cash (27,882,457) (2.88)Other Assets/(Liabilities) 135,985,534 14.06

Total Net Assets 967,214,549 100.00


Schedule of Investments (continued)

Robeco Customized Liability Driven Fund I As at 31 December 2018

Interest Rate Swap Contracts

Nominal Amount Currency Counterparty Security Description

Maturity Date

Market Value EUR

UnrealisedGain/(Loss)

EUR% of Net

Assets

61,000,000 EUR BarclaysPay floating EURIBOR 6

month Receive fixed 2.64% 04/12/2053 22,016,070 22,016,070 2.28







28,000,000 EUR Barclays

Pay floating EURIBOR 6month Receive fixed

2.438% 29/11/2052 8,291,490 8,291,490 0.86





2.277% 25/06/2044 6,859,382 6,859,382 0.71



2.591% 02/08/2063 6,586,839 6,586,839 0.68



2.287% 25/06/2064 6,079,322 6,079,322 0.63



2.287% 25/06/2054 4,729,432 4,729,432 0.49



2.281% 09/04/2043 3,920,696 3,920,696 0.41



2.554% 02/07/2053 3,329,243 3,329,243 0.34







2.301% 25/06/2064 2,680,039 2,680,039 0.28



20,000,000 EUR BarclaysPay fixed 0.705% Receive

floating EURIBOR 6 month 30/09/2036 1,883,502 1,883,502 0.19



2.278% 25/06/2044 1,435,691 1,435,691 0.15



1.493% 05/12/2047 1,196,513 1,196,513 0.12


Schedule of Investments (continued) Robeco Customized Liability Driven Fund I As at 31 December 2018

Interest Rate Swap Contracts (continued)


Maturity Date

Market Value EUR


EUR% of Net

Assets


floating EURIBOR 6 month 25/04/2037 202,904 202,904 0.02


month Receive fixed 1.39% 19/05/2045 76,470 76,470 0.01



1.388% 19/05/2045 60,929 60,929 0.01

Total Unrealised Gain on Interest Rate Swap Contracts 137,521,851 137,521,851 14.22


floating EURIBOR 6 month 09/10/2038 (3,416,340) (3,416,340) (0.35)


month Receive fixed 0.74% 30/09/2046 (1,993,232) (1,993,232) (0.21)



1.234% 04/02/2046 (1,572,956) (1,572,956) (0.16)



1.178% 14/11/2046 (1,381,825) (1,381,825) (0.14)




floating EURIBOR 6 month 23/12/2023 (960,148) (960,148) (0.10)









1.313% 19/05/2065 (138,177) (138,177) (0.01)



Total Unrealised Loss on Interest Rate Swap Contracts (12,859,996) (12,859,996) (1.33)

Net Unrealised Gain on Interest Rate Swap Contracts 124,661,855 124,661,855 12.89



Robeco Customized Liability Driven Fund II As at 31 December 2018

Investments Currency Quantity/

Nominal Value

Market Value EUR

% of Net Assets


Bonds

France France Government Bond OAT, Reg. S 0.5% 25/11/2019 EUR 2,500,000 2,524,585 1 .54

France Treasury Bill BTF, Reg. S 0% 11/09/2019 EUR 15,900,000 15,973,426 9 .76

18,498,011 11 .30

Germany Bundesobligation, Reg. S 0.5% 12/04/2019 EUR 790,000 792,676 0 .48

792,676 0 .48

Netherlands Dutch Treasury Certificate 0% 28/02/2019 EUR 2,500,000 2,503,558 1 .53

Dutch Treasury Certificate 0% 29/03/2019 EUR 2,000,000 2,003,976 1 .22

Netherlands Government Bond 5.5% 15/01/2028 EUR 14,670,000 21,538,699 13 .15

Netherlands Government Bond, Reg. S, 144A 4% 15/07/2019 EUR 29,100,000 29,834,659 18 .22

Netherlands Government Bond, Reg. S, 144A 2.5% 15/01/2033 EUR 7,475,000 9,345,544 5 .71

Netherlands Government Bond, Reg. S, 144A 4% 15/01/2037 EUR 12,627,000 19,581,194 11 .96



124,359,771 75 .95

Total Bonds 143,650,458 87 .73

Total Transferable securities and money market instruments admitted to an official exchange listing 143,650,458 87 .73

Total Investments 143,650,458 87 .73

Cash (8,443,123) (5.16) Other Assets/(Liabilities) 28,536,984 17.43




Robeco Customized Liability Driven Fund II As at 31 December 2018



Maturity Date

Market Value EUR

Unrealised Gain/(Loss)

EUR % of Net

Assets

46,000,000 EUR Barclays Pay floating EURIBOR 6

month Receive fixed 2.5% 08/03/2042 10,835,945 10,835,945 6 .62


Pay floating EURIBOR 6 month Receive fixed

2.037% 09/08/2023 4,393,076 4,393,076 2 .68



2.347% 29/11/2042 3,952,449 3,952,449 2 .42

52,000,000 EUR Barclays Pay fixed 1.045% Receive

floating EURIBOR 6 month 06/06/2036 1,861,327 1,861,327 1 .14



2.729% 15/11/2043 1,786,058 1,786,058 1 .09



1.636% 11/11/2065 1,186,642 1,186,642 0 .73



1.544% 03/10/2053 285,903 285,903 0 .18


floating EURIBOR 6 month 20/04/2037 38,491 38,491 0 .02


month Receive fixed 0.69% 20/04/2027 22,491 22,491 0 .01



0.676% 20/04/2027 19,389 19,389 0 .01


month Receive fixed 2.59% 08/03/2032 18,754,240 18,754,240 11 .45

Total Unrealised Gain on Interest Rate Swap Contracts 43,136,011 43,136,011 26 .35


floating EURIBOR 6 month 09/08/2033 (9,756,715) (9,756,715) (5 .96)


month Receive fixed 1.08% 06/06/2056 (2,598,792) (2,598,792) (1 .59)


floating EURIBOR 6 month 15/05/2024 (1,890,589) (1,890,589) (1 .15)



1.025% 06/06/2066 (1,598,101) (1,598,101) (0 .97)


month Receive fixed 1.12% 23/05/2056 (1,504,673) (1,504,673) (0 .92)



1.031% 06/06/2066 (1,028,090) (1,028,090) (0 .63)


floating EURIBOR 6 month 02/04/2025 (485,300) (485,300) (0 .30)


month Receive fixed 1.18% 20/04/2037 (403,286) (403,286) (0 .25)




Schedule of Investments (continued) Robeco Customized Liability Driven Fund II As at 31 December 2018



Maturity Date

Market Value EUR

Unrealised Gain/(Loss)

EUR % of Net

Assets



1.248% 20/04/2047 (359,943) (359,943) (0 .22)










floating EURIBOR 6 month 28/08/2019 (5,092) (5,092) –

Total Unrealised Loss on Interest Rate Swap Contracts (20,120,490) (20,120,490) (12 .29)

Net Unrealised Loss on Interest Rate Swap Contracts 23,015,521 23,015,521 14 .06



Robeco Customized Liability Driven Fund III As at 31 December 2018


Nominal Value

Market ValueEUR

% of Net Assets


Bonds

France France Government Bond OAT, Reg. S, 144A 2% 25/05/2048 EUR 42,300,000 45,928,494 11.18France Government Bond OAT, Reg. S 0.5% 25/11/2019 EUR 4,100,000 4,140,319 1.01France Government Bond OAT, Reg. S 3.25% 25/05/2045 EUR 10,200,000 14,016,677 3.41France Treasury Bill BTF, Reg. S 0% 11/09/2019 EUR 14,000,000 14,064,652 3.42

78,150,142 19.02

Germany Bundesobligation, Reg. S 0.25% 11/10/2019 EUR 2,730,000 2,749,372 0.67Bundesobligation, Reg. S 0% 17/04/2020 EUR 3,150,000 3,175,376 0.77Bundesobligation, Reg. S 0% 09/04/2021 EUR 3,980,000 4,036,401 0.98Bundesrepublik Deutschland, Reg. S 3.5% 04/07/2019 EUR 6,390,000 6,525,270 1.59Bundesrepublik Deutschland, Reg. S 3.25% 04/01/2020 EUR 3,130,000 3,258,452 0.79Bundesrepublik Deutschland, Reg. S 3% 04/07/2020 EUR 3,410,000 3,599,620 0.88Bundesrepublik Deutschland, Reg. S 2.5% 04/01/2021 EUR 3,910,000 4,161,479 1.01Bundesrepublik Deutschland, Reg. S 2% 04/01/2022 EUR 2,580,000 2,780,368 0.68Bundesrepublik Deutschland, Reg. S 1.75% 04/07/2022 EUR 2,210,000 2,385,929 0.58Bundesrepublik Deutschland, Reg. S 1.5% 04/09/2022 EUR 3,440,000 3,692,568 0.90Bundesrepublik Deutschland, Reg. S 1.5% 15/02/2023 EUR 2,040,000 2,203,045 0.54Bundesrepublik Deutschland, Reg. S 1.5% 15/05/2023 EUR 1,730,000 1,874,315 0.46Bundesrepublik Deutschland, Reg. S 2% 15/08/2023 EUR 2,210,000 2,453,436 0.60Bundesrepublik Deutschland, Reg. S 1.75% 15/02/2024 EUR 3,710,000 4,098,663 1.00Bundesrepublik Deutschland, Reg. S 1.5% 15/05/2024 EUR 3,190,000 3,491,981 0.85Bundesrepublik Deutschland, Reg. S 1% 15/08/2024 EUR 3,850,000 4,116,589 1.00Bundesrepublik Deutschland, Reg. S 1% 15/08/2025 EUR 4,310,000 4,629,216 1.13Bundesrepublik Deutschland, Reg. S 0% 15/08/2026 EUR 3,210,000 3,209,502 0.78Bundesrepublik Deutschland, Reg. S 6.5% 04/07/2027 EUR 3,580,000 5,539,746 1.35Bundesrepublik Deutschland, Reg. S 5.625% 04/01/2028 EUR 1,410,000 2,107,134 0.51Bundesrepublik Deutschland, Reg. S 6.25% 04/01/2030 EUR 2,110,000 3,479,787 0.85Bundesrepublik Deutschland, Reg. S 5.5% 04/01/2031 EUR 1,390,000 2,236,131 0.54Bundesrepublik Deutschland, Reg. S 4.75% 04/07/2034 EUR 1,870,000 3,048,942 0.74Bundesrepublik Deutschland, Reg. S 4% 04/01/2037 EUR 2,100,000 3,309,169 0.80Bundesrepublik Deutschland, Reg. S 4.25% 04/07/2039 EUR 1,540,000 2,589,495 0.63Bundesrepublik Deutschland, Reg. S 4.75% 04/07/2040 EUR 1,390,000 2,514,976 0.61Bundesrepublik Deutschland, Reg. S 3.25% 04/07/2042 EUR 1,330,000 2,045,315 0.50Bundesrepublik Deutschland, Reg. S 2.5% 04/07/2044 EUR 2,320,000 3,215,773 0.78Bundesrepublik Deutschland, Reg. S 2.5% 15/08/2046 EUR 6,110,000 8,594,259 2.09Bundesrepublik Deutschland, Reg. S 1.25% 15/08/2048 EUR 24,510,000 26,890,852 6.54Bundesschatzanweisungen, Reg. S 0% 13/12/2019 EUR 6,000,000 6,036,870 1.47

134,050,031 32.62

Netherlands Dutch Treasury Certificate 0% 29/03/2019 EUR 5,500,000 5,510,934 1.34Dutch Treasury Certificate 0% 30/04/2019 EUR 4,590,000 4,602,765 1.12Dutch Treasury Certificate 0% 31/05/2019 EUR 1,400,000 1,404,470 0.34Netherlands Government Bond 3.75% 15/01/2023 EUR 4,280,000 5,001,591 1.22Netherlands Government Bond 5.5% 15/01/2028 EUR 4,250,000 6,239,910 1.52Netherlands Government Bond, Reg. S, 144A 4% 15/07/2019 EUR 21,460,000 22,001,779 5.35


Schedule of Investments (continued) Robeco Customized Liability Driven Fund III As at 31 December 2018


Nominal Value

Market ValueEUR

% of Net Assets

Transferable securities and money market instruments admitted to an official exchange listing (continued)

Bonds (continued)

Netherlands (continued) Netherlands Government Bond, Reg. S, 144A 0.25% 15/01/2020 EUR 5,560,000 5,617,257 1.37






Netherlands Government Bond, Reg. S, 144A 2% 15/07/2024 EUR 4,420,000 4,939,323 1.20








152,351,713 37.07

Total Bonds 364,551,886 88.71



Cash 9,491,851 2.31Other Assets/(Liabilities) 36,910,964 8.98




Robeco Customized Liability Driven Fund III As at 31 December 2018



Maturity Date

Market Value EUR


EUR% of Net

Assets



1.609% 08/03/2053 6,840,960 6,840,960 1.66



1.599% 08/03/2058 5,748,160 5,748,160 1.40







1.578% 07/03/2040 2,839,035 2,839,035 0.69



1.593% 09/03/2048 2,275,745 2,275,745 0.55



1.488% 07/03/2035 2,160,393 2,160,393 0.53



1.241% 07/03/2030 1,298,938 1,298,938 0.32



1.525% 14/08/2058 940,455 940,455 0.23



1.512% 14/06/2048 585,166 585,166 0.14









Net Unrealised Gain on Interest Rate Swap Contracts 26,100,122 26,100,122 6.35



Robeco Customized Liability Driven Fund IV As at 31 December 2018


Nominal Value

Market ValueEUR

% of Net Assets


Bonds


Bundesobligation, Reg. S 0% 17/04/2020 EUR 3,600,000 3,629,002 0.45





Bundesrepublik Deutschland, Reg. S 2% 04/01/2022 EUR 12,780,000 13,772,520 1.69





Bundesrepublik Deutschland, Reg. S 3.25% 04/07/2042 EUR 1 1 –

246,710,534 30.35



Netherlands Government Bond 5.5% 15/01/2028 EUR 3,086,000 4,530,908 0.56







469,957,415 57.82

Total Bonds 716,667,949 88.17



Cash 2,798,168 0.34Other Assets/(Liabilities) 93,364,280 11.49




Robeco Customized Liability Driven Fund IV As at 31 December 2018



Maturity Date

Market Value EUR


EUR% of Net

Assets

67,440,000 EUR Citigroup


2.591% 02/08/2063 28,294,042 28,294,042 3.48



2.733% 04/10/2041 25,085,072 25,085,072 3.09

67,000,000 EUR CitigroupPay floating EURIBOR 6






2.575% 24/03/2052 3,792,303 3,792,303 0.47



2.367% 21/09/2032 1,767,105 1,767,105 0.22



0.447% 02/03/2025 74,213 74,213 0.01



0.671% 01/03/2027 42,680 42,680 0.01



0.676% 02/03/2027 41,146 41,146 –



0.445% 01/03/2025 24,361 24,361 –



0.443% 01/03/2025 23,811 23,811 –



0.678% 01/03/2027 20,179 20,179 –


70,000,000 EUR CitigroupPay fixed 1.054% Receive




0.729% 30/09/2046 (3,962,660) (3,962,660) (0.49)



0.737% 30/09/2046 (3,079,454) (3,079,454) (0.38)





1.293% 01/03/2044 (743,009) (743,009) (0.09)



1.298% 14/01/2045 (725,069) (725,069) (0.09)


Schedule of Investments (continued) Robeco Customized Liability Driven Fund IV As at 31 December 2018



Maturity Date

Market Value EUR


EUR% of Net

Assets



1.293% 01/03/2047 (627,459) (627,459) (0.08)



1.298% 01/03/2047 (591,365) (591,365) (0.07)



1.216% 01/03/2037 (539,711) (539,711) (0.07)



1.276% 02/03/2040 (407,804) (407,804) (0.05)



1.295% 02/03/2042 (416,585) (416,585) (0.05)





1.174% 14/01/2035 (372,630) (372,630) (0.05)



1.152% 02/03/2034 (131,087) (131,087) (0.02)





1.223% 01/03/2037 (37,023) (37,023) –



1.216% 01/03/2037 (35,278) (35,278) –



1.219% 01/03/2037 (34,012) (34,012) –


Net Unrealised Loss on Interest Rate Swap Contracts 76,867,315 76,867,315 9.46



Robeco Customized Liability Driven Fund V As at 31 December 2018


Nominal Value

Market ValueEUR

% of Net Assets


Bonds

France France Government Bond OAT, Reg. S 4.75% 25/04/2035 EUR 11,291,000 17,431,723 7.34




57,534,383 24.22


1,163,929 0.49



Netherlands Government Bond, Reg. S, 144A 4% 15/07/2019 EUR 500,000 512,623 0.21




148,430,970 62.47

Total Bonds 207,129,282 87.18



Cash 36,125,953 15.20Other Assets/(Liabilities) (5,659,275) (2.38)




Robeco Customized Liability Driven Fund V As at 31 December 2018



Maturity Date

Market Value EUR


EUR% of Net

Assets



1.544% 22/10/2055 426,336 426,336 0.18



1.582% 22/10/2045 379,711 379,711 0.16

Total Unrealised Gain on Interest Rate Swap Contracts 806,047 806,047 0.34



0.815% 19/07/2046 (4,171,869) (4,171,869) (1.75)



0.785% 19/07/2036 (3,008,216) (3,008,216) (1.27)



1.025% 08/06/2056 (399,347) (399,347) (0.17)





0.988% 19/03/2055 (232,670) (232,670) (0.10)





27,500,000 EUR CitigroupPay fixed (0.008)% Receivefloating EURIBOR 6 month 08/06/2021 (87,514) (87,514) (0.04)


Net Unrealised Loss on Interest Rate Swap Contracts (7,724,100) (7,724,100) (3.25)



Robeco Customized Liability Driven Fund VI As at 31 December 2018


Nominal Value

Market ValueEUR

% of Net Assets


Bonds

France France Government Bond OAT, Reg. S 3.75% 25/10/2019 EUR 4,600,000 4,762,265 1.21

France Government Bond OAT, Reg. S 0.5% 25/11/2019 EUR 20,400,000 20,600,614 5.22

25,362,879 6.43







324,279,555 82.17

Total Bonds 349,642,434 88.60



Cash (15,274,009) (3.87)Other Assets/(Liabilities) 60,244,646 15.27



Schedule of Investments (continued) Robeco Customized Liability Driven Fund VI As at 31 December 2018



Maturity Date

Market Value EUR


EUR% of Net

Assets









2.459% 03/06/2053 4,582,425 4,582,425 1.16



2.591% 02/08/2063 2,307,491 2,307,491 0.58



2.575% 24/03/2052 2,306,353 2,306,353 0.58



1.513% 26/06/2048 1,112,234 1,112,234 0.28



1.439% 01/02/2047 90,531 90,531 0.02



1.462% 02/11/2065 66,822 66,822 0.02



0.676% 02/03/2027 64,291 64,291 0.02






0.811% 20/07/2046 (3,522,269) (3,522,269) (0.89)



0.743% 20/07/2066 (2,809,172) (2,809,172) (0.71)



1.026% 24/06/2046 (2,609,377) (2,609,377) (0.66)



0.731% 20/07/2066 (2,292,396) (2,292,396) (0.58)



0.742% 20/07/2066 (2,250,942) (2,250,942) (0.57)



0.776% 20/07/2056 (1,836,083) (1,836,083) (0.47)


Schedule of Investments (continued) Robeco Customized Liability Driven Fund VI

As at 31 December 2018



Maturity Date

Market Value EUR


EUR% of Net

Assets


month Receive fixed 0.78% 20/07/2056 (1,823,949) (1,823,949) (0.46)





0.776% 20/07/2036 (1,208,854) (1,208,854) (0.31)



1.104% 15/03/2066 (942,891) (942,891) (0.24)



1.291% 01/03/2044 (913,500) (913,500) (0.23)



1.294% 15/08/2046 (835,586) (835,586) (0.21)



1.299% 14/01/2065 (752,933) (752,933) (0.19)





1.258% 02/03/2039 (373,921) (373,921) (0.09)


Net Unrealised Loss on Interest Rate Swap Contracts 49,311,993 49,311,993 12.50


Robeco Institutional Solutions Fund SICAV -FIS · promises made to its electorate. In France, a...

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