SpotR 1 Investment Company (SICAV), Luxembourg

Transcription

1 Annual report including audited financial statements as at 31st December 2015 SpotR 1 Investment Company (SICAV), Luxembourg R.C.S. Luxembourg B

2 Notice The sole legally binding basis for the purchase of Shares of the Company described in this report is the latest valid sales prospectus with its terms of contract.

3 Contents Organisation... 2 General information... 4 Report from the Management Company... 6 Audit report... 9 Combined statement of net assets Combined statement of operations and other changes in net assets SpotR 1 -- SpotR OMXS30 UCITS ETF Statement of net assets Statement of operations and other changes in net assets Statistical information SpotR 1 -- SpotR Bull OMXS30 UCITS ETF Statement of net assets Statement of operations and other changes in net assets Statistical information SpotR 1 -- SpotR Bear OMXS30 UCITS ETF Statement of net assets Statement of operations and other changes in net assets Statistical information Notes to the financial statements

4 Organisation Registered Office 4, rue Peternelchen L-2370 Howald Board of Directors Chairman Ralf FERNER Managing Director SEB Fund Services S.A., Luxembourg (until 29th January 2016) Directors John CAULFIELD Head of Client Relations & Service Management SEB Fund Services S.A. (until 21st October 2015) Marie JUHLIN Deputy Managing Director SEB Fund Services S.A., Luxembourg (since 29th January 2016) Jonas-Petter VON MARTENS Client Relations & Service Management SEB Fund Services S.A. (since 29th January 2016) Jérôme WIGNY Partner Elvinger, Hoss & Prussen, Luxembourg Management Company SEB Fund Services S.A. 4, rue Peternelchen L-2370 Howald Board of Directors of the Management Company Chairman Gustaf UNGER Head of Investor Services, Transaction Banking Skandinaviska Enskilda Banken AB (publ), Sweden Vice-Chairman Peter KUBICKI Head of Wealth Management SEB Wealth Management, Denmark (until 2nd March 2015) Directors Ralf FERNER Managing Director SEB Fund Services S.A., Luxembourg (until 11th December 2015) 2

5 Organisation (continued) Göran FORS Head of Sales and Market Development Asset Servicing Skandinaviska Enskilda Banken AB (publ), Sweden Jonas LINDGREN Head of Prime Brokerage, SEB Equities, Skandinaviska Enskilda Banken AB (publ), Sweden Erika LUNDQUIST Managing Director Skandinaviska Enskilda Banken S.A., Luxembourg (since 2nd March 2015) Magnus WALLBERG Deputy Managing Director, CFO/ COO Skandinaviska Enskilda Banken S.A., Luxembourg Custodian Skandinaviska Enskilda Banken S.A. 4, rue Peternelchen L-2370 Howald Central Administrative Agent SEB Fund Services S.A. 4, rue Peternelchen L-2370 Howald Administrative Agent European Fund Administration S.A. 2, rue d Alsace L-1122 Luxembourg Investment Manager SEB Investment Management AB Sveavägen 8 SE Stockholm Distribution Agent Skandinaviska Enskilda Banken AB (publ) and Authorised Participant Kungsträdgårdsgatan 8 SE Stockholm Auditor PricewaterhouseCoopers, Société coopérative 2, rue Gerhard Mercator L Luxembourg Legal Adviser Elvinger, Hoss & Prussen 2, place Winston Churchill L-1340 Luxembourg 3

6 General information SpotR 1 (the "Company") is an investment company incorporated under the laws of the Grand Duchy of Luxembourg as a "Société d Investissement à Capital Variable" ("SICAV") on 28th January 2011 for an unlimited period. The Company qualifies as an Undertaking for Collective Investment in Transferable Securities under the Council Directive 2009/ 65/ EC as amended and is governed by Part I of the amended Law of 17th December 2010 relating to Undertakings for Collective Investment. At the date of the present report, the following Sub-Funds are offered to investors: - SpotR 1 -- SpotR OMXS30 UCITS ETF in SEK - SpotR 1 -- SpotR Bull OMXS30 UCITS ETF in SEK - SpotR 1 -- SpotR Bear OMXS30 UCITS ETF in SEK Each Sub-Fund is an Exchange Traded Fund (ETF). The Shares of each Sub-Fund are fully transferable to investors and are listed for trading on the NASDAQ OMX Stockholm Exchange. The investment objective of the Sub-Funds is to provide the investors with a return linked to the performance of the Underlying Asset as described hereafter: - for SpotR 1 -- SpotR OMXS30 UCITS ETF: to replicate, as far as possible, the performance of the OMX Stockholm 30 Gross Index, - for SpotR 1 -- SpotR Bull OMXS30 UCITS ETF: to replicate, as far as possible, approximately two times the daily performance of the OMX Stockholm 30 Gross Index, - for SpotR 1 -- SpotR Bear OMXS30 UCITS ETF: to replicate, as far as possible, approximately two times the daily inverse performance of the OMX Stockholm 30 Gross Index. The Sub-Fund s may use various investment techniques to achieve this exposure to the OMX Stockholm 30 Gross Index: - The exposure may be achieved by way of derivative transactions such as financial derivative instruments transactions, including but not limited to OTC swap transactions, negotiated at arm s length with a counterparty. Accordingly, the Sub-Fund may be at any time fully or partially exposed to one or more counterparty. The return that the investor will receive will be dependent on the performance of the Underlying Asset and the performance of the derivative instrument used to link the net proceeds from the issue of Shares to the Underlying Asset. - The Sub-Funds may also invest in the Underlying Securities of the relevant Und erlying Asset in proportion to their weighting in the Underlying Asset and will, subject to the concentration limits, normally aim to invest a substantial part of its total assets in the Underlying Securities of its Underlying Asset. Each Sub-Fund of this category may hold transferable securities tracking the Underlying Asset in accord ance with the Investment Restrictions. Such transferable securities will allow a more practicable management of the Sub-Fund. For the Sub-Funds, the following Share Classes may be issued: - IC Shares Institutional Capitalisation Shares - ID Shares Institutional Distribution Shares - RC Shares Retail Capitalisation Shares - RD Shares Retail Distribution Shares Currently, only IC Shares are offered. The reference currency of the Company is expressed in EUR. The Company s financial year starts on 1st January and ends on 31st December. 4

7 General information (continued) Financial reports of the Company are published annually and semi-annually. Copies of the annual financial statements and semi-annual reports, as well as the current prospectus, copies of the Articles of Incorporation of the Company may be obtained free of charge at the registered office of the Company. The Board of Directors confirms its adherence with the principles contained in the ALFI (Association Luxembourgeoise des Fonds d'investissement) Code of Conduct for Luxembourg Investment Funds. 5

8 Report from the Management Company A long journey Although equity markets journeyed far in 2015, they finished the year in about the same place they started. As indicated by equities long journey, 2015 was by no means a dull year in terms of growth outlook, monetary policy or geopolitical risk. Events providing the excitement included the first rate hike by the US Federal Reserve, the Fed, in more than nine years, a nearly unprecedented collapse in commodities prices, a slowd own in Chinese growth, and tentative signs that the European economy is on the verge of leaving the quagmire of low growth that has prevailed since the start of the financial crisis. These tentative signs held despite a brief resurgence of the European debt crisis following the January election of the Syriza, the Coalition of the Rad ical Left party, in Greece and consequent renegotiations of the country s debt load. As a consequence of the flat equity and bond markets, 2015 ended as a less than stellar year for long - only investors, with no major asset class in local currency terms d elivering more than 5 percent. Given the sheer number of uncertainties that arose in the period, we should perhaps hail even small positive returns as a success - considering that things could have been substantially worse. If we had known at the beginning of the year what would happen in the energy and high yield markets, we could have foreseen more challenges for the equity market. This said, we regard 2015 as a lull in a continuing bull market. We expect the riskier asset classes to outperform in local currency terms once again in In the following paragraphs we describe our view on global growth and monetary policy, as well the outlook for financial markets. Global growth The rate at which emerging and developed markets grew at a similar rate con tinued in The difference between real GDP growth for Group of 7 (Canad a, France, Germany, Italy, Japan, the UK, the US) and emerging markets fell to levels last seen in The most prominent, most discussed, emerging markets slowdown occurred in China. However, it is worth noting that economic weakness was broad -based. Both Russia and Brazil entered significant recessions, with Brazil experiencing a deeper recession than in Looking beyond China, emerging markets were challenged primarily by declining commodity prices and tightening US monetary policy: prices dropped when commodity producers came under pressure, and global capital market flows changed as money moved from emerging markets back to the US. The Fed s tightening monetary policy turned into a head ache for emerging market countries with significant current account deficits, particularly Brazil and Turkey. Growth in Europe and the US in the past year was, in many ways, more positive than growth in emerging markets. The US labour market continued to post impressive gains in employment which drove the unemployment rate down to a post crisis low of 5 percent. At the same time we saw renewed momentum for the US housing market as measured by "housing starts" (the number of privately owned housing units on which construction has begun in a given period), building permits and sentiment started to grow at a rate similar to the late 1990s - although a far cry from the boom years for construction in The National Association of Home Build ers is the source for this information. All in all, the strategic outlook for the US economy gained strength in the past year. 6

9 Report from the Management Company (continued) Despite gains in strategic d ata for the US and Europe, we did not see the pick-up in consumption that we expected based on higher employment, wages and consumer confidence. Instead, US retail sales grew at the slowest pace in years. In our view, this puzzling low growth rate of consumption was one of the major reasons why the market corrected so significantly in the third quarter of the only major correction in If growth rates in consumption had reacted as expected, we would have seen much stronger earnings and sales for equity markets - which would have softened the market s fall. Monetary policy As with the global economy, monetary policy also remained highly heterogeneous. This difference was made obvious in the Fed s hiked rates compared to the European Central Bank s (ECB) launch of its first quantitative easing programme in early 2015 and expansion of same in December This divergence in monetary policy reflects the very different stages of the economic cycle in Europe and the US. Whereas higher employment in the US has eradicated much of the labour market slack, the European economy is just starting to return to real, significant, and stable growth. And this is after years of continuous uncertainty regarding the euro s stability. As such, the slack in the European recovery remains high which warranted the ECB s aggressive stimulus progra mme. Outlook for financial markets & economic growth Despite uncertainty regarding the impact of the emerging market slowdown on growth rates in developed countries, the US and European recovery remain on firm footing d ue to gains in strategic, long term factors such as credit, housing, and employment. We believe there is a good chance of the long awaited consumer driven recovery occurring in In addition to the strength of the strategic data, the ECB s highly accommodative monetary policy should exer t downward pressure on the euro thus boosting exports and, in the long term, leading to a recovery in Europe. Since the summer of 2014 we have seen a significant decline in commodity prices in general and in energy prices in particular. Although this decline has not yet led to a significant increase in consumption, we believe that when consumers fully grasp that prices will remain low for the foreseeable future consumption will increase. Then we expect to see the traditional positive effect of declining oil prices resulting in growth in the coming year. Emerging markets continue to be highly disparate, due to factors such as depend ence on oil revenues, varying fiscal balances, and current account deficits. Looking to the year ahead, we expect continued weakness in Latin America, and relative strength in Asia. Given our benign outlook for growth in developed countries, we expect equities will deliver a higher return than government bonds. We believe the return on equities will resemble its historical aver age, and that gains will be driven by rising earnings and sales, since valuations are already slightly above their historical averages. In our view, the ongoing US rate hike cycle and improving global growth should place upward pressure on core government bond yield s. In conclusion, we recommend a slightly higher allocation to risk in general and equities in particular, as compared to strategic allocation. Tracking Error SpotR 1 -- SpotR OMXS30 UCITS ETF The objective of the Sub-Fund is to replicate, as far as possible, the performance of the OMX Stockholm 30 Gross Index prior to calculation of fees. The tracking error was measured at the last available NAV for the period under review, it was equal to 0.04% as at 30th December 2015 compared to an anticipated tracking error of 0.1%, which means the 7

10 Report from the Management Company (continued) effective tracking error has remained below the threshold. This indicator has been computed using daily observations. SpotR 1 -- SpotR Bull OMXS30 UCITS ETF The objective of the Sub-Fund is to replicate, as far as possible, approximately two times the daily performance of the OMX Stockholm 30 Gross Index prior to calculation of fees. The tracking error was measured at the last available NAV for the period under review, it was equal to 0.36% as at 30th December 2015 compared to an anticipated tracking error of 2%, which means the effective tracking error has remained below the threshold. This indicator has been computed using daily observations. SpotR 1 -- SpotR Bear OMXS30 UCITS ETF The objective of the Sub-Fund is to replicate, as far as possible, approximately two times the daily inverse performance of the OMX Stockholm 30 Gross Index prior to calculation of fees. The tracking error was measured at the last available NAV for the period under review, it was equal to 0.92% as at 30th December 2015 compared to an anticipated tracking error of 1.2%, which means the effective tracking error has remained below the threshold. This indicator has been computed using daily observations. Luxembourg, 8th February 2016 The Management Company Note: The information in this report represents historical data and is not an indication of future results. 8

11 Audit report To the Shareholders of SpotR 1 We have aud ited the accompanying financial statements of SpotR 1 and of each of its Sub-Funds, which comprise the statement of net assets as at 31st December 2015 and the statement of operations and other changes in net assets for the year then ended, and a summary of significant accounting policies and other explanatory notes to the financial statements. Responsibility of the Board of Directors of the SICAV for the financial statements The Board of Directors of the SICAV is responsible for the preparation and fair presentation of these financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements and for such internal control as the Board of Directors of the SICAV determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. Responsibility of the "Réviseur d entreprises agréé" Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accord ance with International Standard s on Auditing as ad opted for Luxembourg by the "Commission de Surveillance du Secteur Financier". Those stand ards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the judgment of the "Réviseur d entreprises agréé", including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the "Réviseur d entreprises agréé" considers internal control relevant to the entity s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity s internal control. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by the Board of Directors of the SICAV, as well a s evaluating the overall presentation of the financial statements. PricewaterhouseCoopers, Société coopérative, 2 rue Gerhard Mercator, B.P. 1443, L-1014 Luxembourg T: , F: , Cabinet de révision agréé. Expert-comptable (autorisation gouvernementale n ) R.C.S. Luxembourg B TVA LU

12 _Ipwc Audit report (continued) We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements give a true and fair view ofthe financial position of SpotRTM 1 and ofeach ofits Sub-Funds as of31st December 2015, and ofthe results oftheir operations and changes in their net assets for the year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements. Other m atters Supplementary information included in the annual report has been reviewed in the context of our mandate but has not been subject to specific audit procedures carried out in accordance with the standards described above. Consequently, we express no opinion on such information. However, we have no observation to make concerning such information in the context of the financial statements taken as a whole. Pricew aterhousecoopers, Société coopérative Luxembourg, 22nd March 2016 Represented by Philippe Sergiel 10

13 Combined statement of net assets (in EUR) as at 31st December 2015 Assets Cash receivable from swap counterparty 45,002, Unrealised gain on funded swaps contracts 207, Unrealised gain on unfund ed swaps contracts 13, Total assets 45,224, Liabilities Unrealised loss on funded swaps contracts 37, Unrealised loss on unfunded swaps contracts 36, Expenses payable 15, Interest payable on funded swaps contracts 1, Interest payable on unfund ed swaps contracts Total liabilities 92, Net assets at the end of the year 45,132, The accompanying notes are an integral part of these financial statements. 11

14 Combined statement of operations and other changes in net assets (in EUR) from 1st January 2015 to 31st December 2015 Income Total income 0.00 Expenses Management Company fees 270, Interest paid on funded swaps contracts 106, Interest paid on unfunded swaps contracts 86, Total expenses 462, Net investment loss -462, Net realised gain/(loss) - on funded swaps contracts 897, on unfunded swaps contracts -643, Realised result -208, Net variation of the unrealised gain/(loss) - on funded swaps contracts -375, on unfunded swaps contracts 71, Result of operations -512, Subscriptions 2,860, Redemptions -41,752, Total changes in net assets -39,404, Total net assets at the beginning of the year 82,446, Revaluation difference 2,090, Total net assets at the end of the year 45,132, The accompanying notes are an integral part of these financial statements. 12

15 -- SpotR OMXS30 UCITS ETF Statement of net assets (in SEK) as at 31st December 2015 Assets Cash receivable from swap counterparty 301,398, Unrealised gain on funded swaps contracts 1,782, Total assets 303,180, Liabilities Expenses payable 72, Interest payable on funded swaps contracts 14, Total liabilities 86, Net assets at the end of the year 303,094, Number of IC Shares outstanding 1,886,576 Net asset value per IC Share The accompanying notes are an integral part of these financial statements. 13

16 -- SpotR OMXS30 UCITS ETF Statement of operations and other changes in net assets (in SEK) from 1st January 2015 to 31st December 2015 Income Total income 0.00 Expenses Management Company fees 1,112, Interest paid on funded swaps contracts 562, Total expenses 1,675, Net investment loss -1,675, Net realised gain/(loss) - on funded swaps contracts 14,465, Realised result 12,790, Net variation of the unrealised gain/(loss) - on funded swaps contracts -4,123, Result of operations 8,666, Subscriptions - Redemptions -223,622, Total changes in net assets -214,955, Total net assets at the beginning of the year 518,049, Total net assets at the end of the year 303,094, The accompanying notes are an integral part of these financial statements. 14

17 -- SpotR OMXS30 UCITS ETF Statistical information (in SEK) as at 31st December 2015 Total net assets - as at ,094, as at ,049, as at ,653, Number of IC Shares outstanding - outstanding at the beginning of the year 3,286,576 - issued 0 - redeemed -1,400,000 - outstanding at the end of the year 1,886,576 Net asset value per IC Share - as at as at as at The accompanying notes are an integral part of these financial statements. 15

18 -- SpotR Bull OMXS30 UCITS ETF Statement of net assets (in SEK) as at 31st December 2015 Assets Cash receivable from swap counterparty 81,815, Total assets 81,815, Liabilities Unrealised loss on funded swaps contracts 344, Unrealised loss on unfunded swaps contracts 335, Expenses payable 43, Interest payable on funded swaps contracts 1, Interest payable on unfund ed swaps contracts 2, Total liabilities 728, Net assets at the end of the year 81,086, Number of IC Shares outstanding 400,000 Net asset value per IC Share The accompanying notes are an integral part of these financial statements. 16

19 -- SpotR Bull OMXS30 UCITS ETF Statement of operations and other changes in net assets (in SEK) from 1st January 2015 to 31st December 2015 Income Total income 0.00 Expenses Management Company fees 933, Interest paid on funded swaps contracts 197, Interest paid on unfunded swaps contracts 400, Total expenses 1,531, Net investment loss -1,531, Net realised gain/(loss) - on funded swaps contracts -3,052, on unfunded swaps contracts -2,967, Realised result -7,550, Net variation of the unrealised gain/(loss) - on funded swaps contracts 1,367, on unfunded swaps contracts 1,336, Result of operations -4,846, Subscriptions - Redemptions -86,854, Total changes in net assets -91,701, Total net assets at the beginning of the year 172,788, Total net assets at the end of the year 81,086, The accompanying notes are an integral part of these financial statements. 17

20 -- SpotR Bull OMXS30 UCITS ETF Statistical information (in SEK) as at 31st December 2015 Total net assets - as at ,086, as at ,788, as at ,527, Number of IC Shares outstanding - outstanding at the beginning of the year 850,000 - issued 0 - redeemed -450,000 - outstanding at the end of the year 400,000 Net asset value per IC Share - as at as at as at The accompanying notes are an integral part of these financial statements. 18

21 -- SpotR Bear OMXS30 UCITS ETF Statement of net assets (in SEK) as at 31st December 2015 Assets Cash receivable from swap counterparty 30,680, Unrealised gain on funded swaps contracts 129, Unrealised gain on unfund ed swaps contracts 127, Total assets 30,937, Liabilities Expenses payable 30, Interest payable on funded swaps contracts Interest payable on unfund ed swaps contracts 1, Total liabilities 33, Net assets at the end of the year 30,904, Number of IC Shares outstanding 1,280,000 Net asset value per IC Share The accompanying notes are an integral part of these financial statements. 19

22 -- SpotR Bear OMXS30 UCITS ETF Statement of operations and other changes in net assets (in SEK) from 1st January 2015 to 31st December 2015 Income Total income 0.00 Expenses Management Company fees 437, Interest paid on funded swaps contracts 215, Interest paid on unfunded swaps contracts 393, Total expenses 1,046, Net investment loss -1,046, Net realised gain/(loss) - on funded swaps contracts -3,159, on unfunded swaps contracts -2,948, Realised result -7,154, Net variation of the unrealised gain/(loss) - on funded swaps contracts -697, on unfunded swaps contracts -682, Result of operations -8,534, Subscriptions 26,310, Redemptions -73,530, Total changes in net assets -55,754, Total net assets at the beginning of the year 86,659, Total net assets at the end of the year 30,904, The accompanying notes are an integral part of these financial statements. 20

23 -- SpotR Bear OMXS30 UCITS ETF Statistical information (in SEK) as at 31st December 2015 Total net assets - as at ,904, as at ,659, as at ,254, Number of IC Shares outstanding - outstanding at the beginning of the year 3,030,000 - issued 1,250,000 - redeemed -3,000,000 - outstanding at the end of the year 1,280,000 Net asset value per IC Share - as at as at as at The accompanying notes are an integral part of these financial statements. 21

24 Notes to the financial statements as at 31st December 2015 Note 1 - Significant accounting policies a) Presentation of the financial statements The financial statements of the Company are established in accordance with the Luxembourg legal and regulatory requirements concerning Undertakings for Collective Investment. The financial statements are disclosed on the basis of the Net Asset Value of the Sub -Funds calculated on 31st December In accordance with the prospectus, as the Underlying Asset is not calculated by the relevant Index Provider on 30th December 2015, the last official trad ing NAV of the corresponding Sub-Fund has been calculated on 30th December Nevertheless, an additional NAV has been calculated on 31st December 2015 for reporting purposes and is disclosed in these financial statements. b) Valuation 1. the value of any cash on hand or on deposit, bills and demand notes and accounts receivable, prepaid expenses, cash dividends and interest declared or accrued as aforesaid and not yet received is deemed to be the full amount thereof, unless in any case the same is unlikely to be paid or received in full, in which case the value thereof shall be determined after making such discount as may be considered appropriate in such case to reflect the true value thereof; 2. the value of all securities which are listed or traded on an official stock exchange or traded on any other Regulated Market is valued on the basis of the last available prices on the Business Day immediately preceding the Valuation Day or on the basis of the last available prices on the main market on which the investments of the Sub-Funds are principally traded. The Board of Directors will approve a pricing service which will supply the above prices. If, in the opinion of the Board of Directors, such prices do not truly reflect the fair market value of the relevant securities, the value of such securities will be determined in good faith by the Board of Directors either by reference to any other publicly available source or by reference to such other sources as it deems in its discretion appropriate; 3. securities not listed or traded on a stock exchange or a Regulated Market are valued on the basis of the probable sales price determined prudently and in good faith by the Board of Directors; 4. securities issued by open-ended investment funds are valued at their last available net asset value or in accord ance with item 2. above where such securities are listed; 5. the liquid ating value of futures, forward or options contracts that are not t raded on exchange or on other organised markets are determined pursuant to the policies established by the Board of Directors, on a basis consistently applied. The liquidating value of futures, forward or options contracts traded on exchanges or on other organised markets are based upon the last available settlement prices of these contracts on exchanges and organised markets on which the particular futures, forward or options contracts are traded; provided that if a future, forward or option contract could not be liquid ated on such Business Day with respect to which a Net Asset Value is being determined, then the basis for determining the liquid ating value of such contract shall be such value as the Board of Directors may deem fair and reasonable; 6. liquid assets and money market instruments are valued at nominal value plus any accrued interest or using an amortised cost method; this amortised cost method may result in periods during which the value deviates from the price the relevant Sub -Fund would receive if it sold the investment. The Management Company may, from time to time, assess this method of valuation and recommend changes, where necessary, to ensure that such assets will be valued at their fair value as determined in good faith pursuant to procedures established by the Board of Directors. If the Board of Directors believes that a deviation from the amortised cost per Share may result in material dilution or other unfair results to Shareholders, the Board of Directors 22

25 Notes to the financial statements (continued) as at 31st December 2015 shall take such corrective action, if any, as it deems appropriate, to eliminate or reduce, to the extent reasonably practicable, the dilution or unfair results; 7. the swap transactions are consistently valued based on a calculation of the net present value of their expected cash flows; and 8. all other securities and other permissible assets as well as any of the above mentioned assets for which the valuation in accordance with the above sub-paragraphs would not be possible or practicable, or would not be representative of their fair value, are valued at fair market value, as determined in good faith pursuant to procedures established by the Board of Directors. c) Exchange translation Bank balances, other assets and liabilities and the value of securities held that are denominated in other currencies than the Sub-Fund s currency are converted at the prevailing exchange rate of the closing day. Income and expenses incurred in currencies other than the Sub-Fund s currency are converted at the prevailing exchange rate of the day of each transaction. Exchange gains and losses are recorded in the statement of operations and other changes in net assets. d) Combined financial statements The combined financial statements of the Company are expressed in EUR and are equal to the converted sum of the corresponding captions in the financial statements of each Sub -Fund. At the date of the report, the exchange rate used for the combined statement is the following: 1 EUR = SEK Swedish Krona e) Transaction fees Transaction costs disclosed under the caption "Transaction fees" in the expenses of the statement of operations and other changes in net assets are mainly composed of broker fees incurred by the Company and of fees relating to liquidation of transactions paid to the custodian bank. For the period in reference to the report, no transaction costs are recorded as the Company has not held any transferable securities. Note 2 - Subscription, redemption and conversion fees The Authorised Participant is entitled to receive the following fees: - a subscription fee equals to the higher of (i) SEK 30,000 per subscription request; and (ii) 0.03% of the Net Asset Value per Share on which the subscription is based, multiplied by the number of Shares subscribed, - a redemption fee equals to the higher of (i) SEK 30,000 per redemption request; and (ii) 0.03% of the Net Asset Value per Share on which the redemption is based, multiplied by the number of Shares redeemed, 23

26 Notes to the financial statements (continued) as at 31st December a conversion fee of an amount equal to the higher of (i) SEK 30,000 per conversion request; and (ii) 0.03% of the Net Asset Value per Share on which the conversion is based, multiplied by the number of Shares converted. Note 3 - Management Company fees For its services, the Management Company, SEB Fund Services S.A., is entitled to receive a Management Company fee calculated on the average net assets of each Sub-Fund and payable monthly in arrears to the following rates: Sub-Funds Effective annual rate - SpotR 1 -- SpotR OMXS30 UCITS ETF 0.20% p.a. - SpotR 1 -- SpotR Bull OMXS30 UCITS ETF 0.50% p.a. - SpotR 1 -- SpotR Bear OMXS30 UCITS ETF 0.50% p.a. The Management Company remunerates the Investment Manager out of the Management Company fees. Note 4 - Fees The Central Administrative Agent fees, the Custodian and the Professional fees are borne by the Management Company. Note 5 - Subscription duty ("Taxe d abonnement") The Company is governed by Luxembourg law. Pursuant to the legislation and regulations in force, the Company is subject to an annual subscription duty ("taxe d abonnement") of 0.05% which is payable quarterly and calculated on the basis of the net assets of each Sub-Fund on the last day of each quarter, except for Institutional Shares reserved for Institutional Investors who may benefit from the reduced rate of 0.01%. All Sub-Funds (i) whose Shares are listed or traded on at least one stock exchange or another regulated market operating regularly, recognised and open to the public; and (ii) whose exclusive objective is to replicate the performance of one or more indices are exempt from the "taxe d abonnement". Note 6 - Risk management As required by Circular CSSF 11/ 512, the Board of Directors needs to determine the global risk exposure of the Company either by applying the commitment approach or the VaR approach. The Board of Directors of the Company decided to adopt the commitment approach as a method of determining the global exposure. 24

27 Notes to the financial statements (continued) as at 31st December 2015 Note 7 - Shares dealing Shares of SpotR 1 can be dealt in on either the primary market or second ary market. The primary market is the market on which Shares are issued by the Company. Shares can be subscribed and redeemed for cash or in kind by notifying the Authorised Participant, Skandinaviska Enskilda Banken AB (publ), Stockholm. The Shares may also be purchased or sold on the secondary market through a stock exchange or over the counter. It is expected that the Shares will be listed on one or more Relevant Stock Exchanges to facilitate the secondary market trading in the Shares. The purpose of the listing of the Shares on one or more Relevant Stock Exchanges is to enable investors to buy shares in smaller quantities than would be possible through the primary market or over the counter. Such orders to buy or sell Shares in the second ary market through the Relevant Stock Exchange or over the counter may incur costs over which the Company has no control. The Company d oes not charge any subscription or redemption fee for purchases and sales on the second ary market. The price of any Shares traded on the secondary market will depend, inter alia, on market supply and demand, movem ents in the value of the Underlying Asset as well as other factors such as prevailing financial market, corporate, economic and political conditions. In accordance with the requirements of the Relevant Stock Exchanges, Market Makers are expected to provide liquidity and two way prices to facilitate the second ary market trading of the Shares. Note 8 - Swaps contracts The Fund intends to use swap s contracts as the preferred means of achieving its investment objective. A swaps contract is an agreement between two parties to exchange certain benefits of one party s financial instrument for those of the other party s financial instrument. As at 31st December 2015, the Sub-Funds are committed in the following index swap s contracts with Skandinaviska Enskilda Banken AB (publ), Stockholm as counterparty: For the Sub-Fund SpotR 1 -- SpotR OMXS30 UCITS ETF Swap type Equity Notional Amount Funded 301,398, SEK Currency Underlying Maturity OMX Stockholm 30 Gross Index Underlying exposure (in SEK) Unrealised result (in SEK) ,166, ,782, ,166, ,782, Funded swap s contract The Sub-Fund transfers the equity notional amount to Skand inaviska Enskilda Banken AB (publ) and pays an interest amount which is the product of the Equity Notional Amount and a fixed interest rate of 0.10% calculated on the Equity Notional Amount. Skand inaviska Enskilda Banken AB (publ) posts collateral in favour of the Sub-Fund (see note 9). The Sub-Fund receives the index total return from Skandinaviska Enskild a Banken AB (publ). 25

28 Notes to the financial statements (continued) as at 31st December 2015 For the Sub-Fund SpotR 1 -- SpotR Bull OMXS30 UCITS ETF Swap type Equity Notional Amount Funded 81,815, SEK Unfunded 79,676, SEK Currency Underlying Maturity OMX Stockholm 30 Gross Index OMX Stockholm 30 Gross Index Underlying exposure (in SEK) Unrealised result (in SEK) ,469, , ,338, , ,807, , Funded swap s contract The Sub-Fund transfers the equity notional amount to Skand inaviska Enskilda Banken AB (publ) and pays an interest amount which is the product of the Equity Notional Amount and a fixed interest rate of 0.10% calculated on the Equity Notional Amou nt. Skand inaviska Enskilda Banken AB (publ) posts collateral in favour of the Sub-Fund (see note 9). The Sub-Fund receives the index total return from Skandinaviska Enskild a Banken AB (publ). - Unfunded swaps contract The Sub-Fund pays to Skandinaviska En skild a Banken AB (publ) an interest amount which is the product of the Equity Notional Amount and the SEB Base Rate in SEK (the overnight rate for the relevant currency) plus a spread of 0.22% p.a.. The Sub-Fund receives the index total return from Skandinaviska Enskild a Banken AB (publ). For the Sub-Fund SpotR 1 -- SpotR Bear OMXS30 UCITS ETF Swap type Equity Notional Amount Funded -30,680, SEK Unfunded -30,356, SEK Currency Underlying Maturity OMX Stockholm 30 Gross Index OMX Stockholm 30 Gross Index Underlying exposure (in SEK) Unrealised result (in SEK) ,551, , ,230, , ,782, , Funded swap s contract The Sub-Fund transfers the equity notional amount to Skand inaviska Enskilda Banken AB (publ) and receives an interest amount which is the product of the Equity Notional Amount and the SEB Base Rate in SEK (the overnight rate for the relevant currency) minus a spread of 0.23% p.a.. Skandinaviska Enskild a Banken AB (publ) posts collateral in favour of the Sub-Fund (see note 9). The Sub-Fund pays the ind ex total return to Skandinaviska Enskild a Banken AB (publ). 26

29 Notes to the financial statements (continued) as at 31st December Unfunded swaps contract The Sub-Fund pays the ind ex total return to Skandinaviska Enskild a Banken AB (publ). The Sub-Fund receives from Skandinaviska Enskild a Banken AB (publ) an interest amount which is the product of the Equity Notional Amount and the SEB Base Rate in SEK (the overnight rate for the relevant currency) minus a spread of 0.47% p.a.. As at 31st December 2015, the underlying of these swap s contracts, the OMX Stockholm 30 Gross Index, is composed as follows: Companies ISIN Sector Weight in the index (in %) ABB Ltd CH Heavy Electrical Equipment 2.32 Alfa Laval AB SE Construction & Farm Machinery & Heavy Trucks 1.81 Assa Abloy AB ser. B SE Building Products 5.23 AstraZeneca PLC GB Pharmaceuticals 2.25 Atlas Copco AB ser. A SE Industrial Machinery 4.87 Atlas Copco AB ser. B SE Industrial Machinery 2.12 Boliden AB SE Diversified Metals & Mining 1.09 Electrolux, AB ser. B SE Household Appliances 1.72 Ericsson, Telefonab. L M ser. SE Communications Equipment 6.97 Getinge AB ser. B SE Health Care Equipment 1.38 Hennes & Mauritz AB, H & M ser SE Apparel Retail Investor AB ser. B SE Multi-Sector Holdings 3.96 Kinnevik, Investment AB ser. B SE Investment companies 1.72 Lundin Petroleum AB SE Oil & Gas Exploration & Production 1.06 Modern Times Group MTG AB ser. SE Broadcasting 0.37 Nokia Corporation FI Communications Equipment 0.15 Nordea Bank AB SE Diversified Banks Sandvik AB SE Industrial Machinery 2.59 Securitas AB ser. B SE Security & Alarm Services 1.26 Skand. Enskilda Banken ser. A SE Diversified Banks 5.40 Skanska AB ser. B SE Construction & Engineering 1.83 SKF, AB ser. B SE Industrial Machinery 1.60 SSAB AB ser. A SE Steel 0.19 Svenska Cellulosa AB SCA ser. SE Paper Products 4.25 Svenska Handelsbanken ser. A SE Diversified Banks 5.88 Swedbank AB ser A SE Diversified Banks 5.89 Swedish Match AB SE Tobacco

30 Notes to the financial statements (continued) as at 31st December 2015 Companies ISIN Sector Weight in the index (in %) Tele2 AB ser. B SE Integrated Telecommunication Services 1.01 TeliaSonera AB SE Integrated Telecommunication Services 5.08 Volvo, AB ser. B SE Construction & Farm Machinery & Heavy Trucks Note 9 - Collateral The Management Company on behalf of the Sub-Funds enters into collateral arrangements with Skandinaviska Enskild a Banken AB (publ) in Stockholm, its swap counterparty, to mitigate potential counterparty risks. In connection with the valuation of their swap s contracts as at 31st December 2015, the Sub-Fund s received the following collateral in shares ad mitted to an official stock exchange listing from Skandinaviska Enskilda Banken AB Prime Collateral Services in Stockholm on 31st December 2015: SpotR 1 -- SpotR OMXS30 UCITS ETF Currency Number Description Collateral Value (in SEK) USD 917 Allergan Plc 2,410, EUR 20,008 ASML Holding NV 15,130, SEK 120,330 Assa Abloy AB B 21,418, GBP 2,252,277 BBA Group Plc 53,053, USD 10,133 Boeing Co (The) 12,326, USD 4,263 Celgene Corp 4,295, GBP 400,000 Henderson Group Plc 15,426, EUR 2,090 Henkel AG & Co KGaA Pref 1,975, GBP 44,963 Informa Plc 3,433, GBP 377,123 Intl Consolidated Air Gr SA 28,679, SEK 95,618 Investor AB B 29,890, SEK 63,139 Nibe Industrier AB B 17,963, GBP 1,559 Rio Tinto Plc 384, GBP 59,180 SABMiller Plc 29,999, USD 63,339 Schlumberger Ltd 37,169, SEK 182,890 Swedbank AB A 34,218, GBP 100,000 TUI AG 15,085, GBP 455,338 Vodafone Group Plc 12,535, SEK 123,546 Volvo AB B 9,772, ,169,

31 Notes to the financial statements (continued) as at 31st December 2015 SpotR 1 -- SpotR Bull OMXS30 UCITS ETF Currency Number Description Collateral Value (in SEK) USD 1,511 Affiliated Managers Group Inc 2,030, EUR 5,929 Akzo Nobel NV 3,350, USD 459 Alphabet Inc C 2,930, GBP 118,822 Berendsen Plc 15,970, EUR 5,320 Gerresheimer AG 3,518, CHF 108 Givaudan SA Reg 1,660, GBP 21,158 Imperial Tobacco Group Plc 9,452, SEK 18,239 Intrum Justitia AB 5,263, USD 23,992 Liberty Global Plc C 8,229, EUR 23,039 Nordex SE 6,912, USD 337 Priceline Group Inc (The) 3,614, EUR 5,442 SAP SE 3,658, USD 10,313 SBA Communications Corp A 9,116, EUR 29,342 Société Générale 11,442, EUR 7,553 Talanx AG Reg 1,975, SEK 47,175 TeliaSonera AB 1,990, USD 2,067 Under Armour Inc A 1,401, ,518, SpotR 1 -- SpotR Bear OMXS30 UCITS ETF Currency Number Description Collateral Value (in SEK) CHF 1,554 Actelion Ltd 1,830, EUR 2,220 Allianz SE Reg 3,326, USD 10,978 Anadarko Petroleum Corp 4,486, EUR 3,914 Bechtle AG 3,157, EUR 2,440 Deutsche Boerse AG Reg 1,819, USD 4,000 Facebook Inc A 3,522, CHF 334 Givaudan SA Reg 5,136, EUR 1,296 Kering 1,875, USD 4,664 Master Card Inc A 3,820, SEK 5,219 Nordea Bank AB 486, CHF 3,472 Novartis AG Reg 2,542, EUR 39,825 Oriola-KD Corp B 1,576, USD 3,159 Pepsico Inc 2,655, EUR 2,332 Rheinmetall AG 1,313, ,548, Note 10 - Changes in investments The statement of changes in investments for the period referring to the report is available free of charge at the registered office of the Company. 29

32 SEB Fund Services S.A. 4, rue Peternelchen, L-2370 Howald Postal address: PO Box 2053, L-1020 Luxembourg Phone ; Fax