Danske Invest Leveraged Fund

Transcription

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2 Danske Invest Leveraged Fund (incorporated as an exempted company with limited liability in the Cayman Islands) Audited Consolidated Annual Report for the year ended December 31, 2013 No subscription can be received on the basis of financial reports. Subscriptions are only valid if made on the basis of the current prospectus accompanied by the latest audited annual report.

3 Table of contents Page Management and Administration 4 Information to Shareholders 5 Directors Report 6 Investment Manager Report 7 Report of the réviseur d entreprises agréé 8 Consolidated Statement of Net Assets 9 Consolidated Statement of Operations and Changes in Net Assets 10 DANSKE INVEST HEDGE MORTGAGE ARBITRAGE FUND Changes in the Number of Shares and Statistics 11 Statement of Investments 12 Geographical and Economic Portfolio Breakdown 14 Notes to the Financial Statements 15 3

4 Management and Administration BOARD OF DIRECTORS Morten RASTEN Managing Director Danske Invest Management A/S Lyngby (DENMARK) Käre Hahn MICHELSEN Senior Vice President Danske Capital Copenhagen (Denmark) Klaus EBERT General Manager Danske Invest Management Company Luxembourg (Grand Duchy of Luxembourg) CUSTODIAN BANK AND CENTRAL ADMINISTRATION AGENT RBC Investor Services Bank S.A. 14, Porte de France L-4360 Esch-sur-Alzette (Grand Duchy of Luxembourg) LEGAL ADVISERS TO THE COMPANY AS TO MATTERS OF CAYMAN ISLANDS LAW Maples and Calder Ugland House P.O. Box 309GT George Town, Grand Cayman (Cayman Islands) AUDITORS Deloitte Audit société à responsabilité limitée 560, rue de Neudorf L-2220 Luxembourg (Grand Duchy of Luxembourg) REGISTERED OFFICE Ugland House P.O. Box 309GT South Church Street George Town, Grand Cayman (Cayman Islands) REGISTRAR AGENT AND TRANSFER AGENT RBC Investor Services Bank S.A. 14, Porte de France L-4360 Esch-sur-Alzette (Grand Duchy of Luxembourg) INVESTMENT MANAGER Danske Bank A/S 2-12 Holmens Kanal DK-1092 Copenhagen (Denmark) 4

5 Information to Shareholders Information about the Net Asset Value of the shares of each Sub-Fund / Sub-Class and about the issue and redemption prices is available at all times at the registered office of the Company. Copies of the annual report of the Fund may be obtained by holders of shares from the registered office of the Company and the Custodian Bank. 5

6 Directors' Report REPORT ON THE ACTIVITIES DURING THE YEAR 2013 BOARD OF DIRECTORS There were no changes made during the year to the Board of Directors. Prospectus The Prospectus was updated on 3 June The following changes were applicable from this date:. Change of investment objectives and restrictions. Change of minimum initial investment and subsequent holding in all classes to DKK/SEK/NOK. Change of redemption cut- off to 7 days before the redemption day. Change of the fee to be paid to the investment manager (Danske Bank A/S): 0.75% Class S and N (no assets in these classes at the moment), 0.75% Class DKK and 1.10% Class A Performance Danske Invest Leveraged Fund Danske Invest Hedge Mortgage Arbitrage Fund Class DKK Sub-Class The net asset value per share of this Sub-Class increased from DKK 1, to DKK 1, at the yearend. The yield for 2013 is therefore 12.87%. Danske Invest Leveraged Fund Danske Invest Hedge Mortgage Arbitrage Fund Class A Sub-Class The net asset value per share of this Sub-Class increased from DKK 1, to DKK 1, at the yearend. The yield for 2013 is therefore 12.31%. 6

7 Investment Manager Report Danske Invest Hedge Mortgage Arbitrage Fund Danske Invest Hedge Mortgage Arbitrage Fund Danish Invest Hedge Mortgage Arbitrage Fund provided yearly returns of per cent after cost. During 2013 European Central Bank ("ECB") cut the deposit rates twice, from 0.75 pct. to 0.25 pct, to cope with falling inflation and sluggish growth in the Euro area. Despite the interest rate cuts from ECB longer dated EUR and DKK interest rates increased in The DKK Effas All > 1 government bond index lost 3.65 pct. and the Nykredit Totalindeks only provided a return of approximately 1.66 pct. In that context we find the positive return of 12.87% after cost provided by the Company to be very satisfactory. During the year the Company only invested in strategies with low or no exposure to the longer end of the interest rate curve and thereby avoided the raising rates in that part of the curve. The low money market rates made it lucrative to implement leveraged buying of bonds with high carry like Danish mortgage bonds and in addition to credit spread narrowing in the Danish mortgage bonds market the primary performance contribution in the Company was positive carry positions. Late 2013 the leverage in fund is approximately 2.5 (3.5 times Assets under Management) with positions in callable bonds bearing a high coupon and a couple of positions where the Fund intends exploit intramortgage bond mispricing. 7

8 Deloitte. Report of the réviseur d'entreprises agréé Deloitte Audit Société à responsabilité limitée 560, rue de Neudort L-2220 Luxembourg BP 1173 L-'I011 Luxembourg Tel: Fax: To the Shareholders of DANSKE INVEST LEVERAGED FUND Luxembourg Following our appointment by the Board of Directors, we have audited the accompanying financial statements of DANSKE INVEST LEVERAGED FUND, which comprise the Consolidated Statement of Net Assets and the Statement of Investments as at December 31, 2013 and the Consolidated Statement of Operations and Changes in Net Assets for the year then ended, and a summary of significant accounting policies and other explanatory notes to the financial statements. Responsibility of the Board of Directors of the Company for the financial statements The Board of Directors of the Company 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 Company determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error, Responsibility of the réviseur d'entreprises agréé Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with International Standards on Auditing as adopted for Luxembourg by the Commission de Surveillance du Secteur Financier. Those standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance 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 réviseur d'entreprises agréés judgement, 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 Company, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements give a true and fair view of the financial position of DANSKE INVEST LEVERAGED FUND as at December 31,2013 and of the results of their operations and changes in its net assets for the year then ended in accordance with the Luxembourg legal and regulatory requirements relating to the preparation of the financial statements. Other matter 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. For Deloitte Audit, cabinet de révision agréé Be~, Réviseur d'entreprises agréé Partner April l, 2014 Luxembourg 8

9 Consolidated Statement of Net Assets as at December 31, 2013 DANSKE INVEST HEDGE MORTGAGE ARBITRAGE FUND Note DKK ASSETS Investment portfolio at market value (3) 811,284,982 Cash at bank 6,172,495 Amount receivable on reverse repo (8) 304,515,000 Interest receivable (3) 12,017,729 Net unrealised profit on futures contracts (9) 891,507 TOTAL ASSETS 1,134,881,713 LIABILITIES Interest payable (3) 2,878,220 Amounts payable on redemptions 667,861 Amount payable on repo (7) 819,849,269 Management fees payable (4) 495,449 Custodian fees payable (5) 14,600 Administrative agency fees payable (5) 46,233 Performance fees payable (4) 5,241,062 Audit fees payable 119,502 Taxes and expenses payable (6) 98,167 TOTAL LIABILITIES 829,410,363 TOTAL NET ASSETS 305,471,350 Net asset value per share DKK Sub-Class (DKK) 1, Class A Sub-Class (DKK) 1, Number of shares outstanding DKK Sub-Class (DKK) 200, Class A Sub-Class (DKK) 2,

10 Consolidated Statement of Operations and Changes in Net Assets for the Year ended December 31, 2013 DANSKE INVEST HEDGE MORTGAGE ARBITRAGE FUND Note DKK TOTAL NET ASSETS AT THE BEGINNING OF THE YEAR 117,477,643 INCOME Interest on bonds, net (3) 34,644,255 Bank interest, net (3) 36 Interest on reverse repo (3) 24,581 TOTAL INCOME 34,668,872 EXPENSES Management fees (4) 1,307,788 Performance fees (4) 5,241,062 Custodian fees, central administration and transfer agent fees (5) 141,735 Audit, printing and publication fees 102,175 Bank charges 211,365 Interest on repo (3) 973,629 Interest on swaps 145,798 Bank interest, net 79,885 Legal fees 111,148 Other expenses 438 TOTAL EXPENSES 8,315,023 NET INCOME FROM INVESTMENTS 26,353,849 Net realised loss on sale of investments (3) (15,868,835) Net realised loss on futures (3) (1,069,154) Net realised profit on foreign exchange (3) 573 Net realised loss on swaps (3) (140,823) NET REALISED PROFIT 9,275,610 Change in net unrealised appreciation on: - investments 11,235,330 - futures 891,507 TOTAL NET INCREASE IN NET ASSETS AS A RESULT OF OPERATIONS 21,402,447 EVOLUTION OF THE CAPITAL Subscriptions of shares 180,155,783 Redemptions of shares (13,564,523) NET ASSETS AT THE END OF THE YEAR 305,471, The accompanying notes form an integral part of these financial statements.

11 Changes in the Number of Shares for the Year ended December 31, 2013 DANSKE INVEST HEDGE MORTGAGE ARBITRAGE FUND DKK DKK Sub-Class (DKK) Number of Shares outstanding at the beginning of the year 84, Number of Shares issued 123, Number of Shares redeemed (7,606.39) Number of Shares outstanding at the end of the year 200, Class A Sub-Class (DKK) Number of Shares outstanding at the beginning of the year 4, Number of Shares issued - Number of Shares redeemed (1,973.33) Number of Shares outstanding at the end of the year 2, Statistics December 31, 2013 December 31, 2012 December 31, 2011 Total Net Asset Value (DKK) 305,471, ,477, ,208,956 NAV per share at the end of the year DKK Sub-Class (DKK) 1, , , Class A Sub-Class (DKK) 1, , , The accompanying notes form an integral part of these financial statements. 11

12 DANSKE INVEST HEDGE MORTGAGE ARBITRAGE FUND Statement of Investments as at December 31, 2013 (expressed in DKK) Description Quantity Face value Currency Cost Market Value % net assets Long Investments Transferable securities admitted to an official stock exchange listing Bonds Denmark Dansk Ldb Realkr. 5% ,316,590 DKK 17,377,168 18,054, Dansk Ldb Realkr. 5% ,573,317 DKK 1,675,582 1,573, Danske Kredit 5% ,350,974 DKK 8,516,974 9,190, Nordea Bank 5% Oa 174,937,216 DKK 191,431, ,605, Nordea Bank 5% Oa/Rbt 7,879,868 DKK 8,561,476 7,880, Nordea Kred 3.5% ,000,000 DKK 147,690, ,575, Nordea Kredit 5% ,617,699 DKK 29,974,870 30,476, Nordea Kredit Realkr.5% ,471,093 DKK 19,939,544 20,521, Nykredit 5% ,918,512 DKK 45,134,961 47,467, Nykredit 5% /Rbt 3,377,730 DKK 3,552,167 3,378, Nykredit 5% N.02d 19,879,419 DKK 21,698,386 22,086, Nykredit 5% N.02d/Rbt 1,421,742 DKK 1,551,832 1,421, Nykredit 5% Nr.03d 55,847,576 DKK 61,432,333 61,795, Nykredit 6% S.3c 52,481,958 DKK 59,435,818 60,865, Nykredit Realkr. 5% ,734,593 DKK 89,908,052 90,357, Realkrdt 3.5% ,000,000 DKK 99,125,000 98,350, Realkredit 5% ,758,130 DKK 23,041,860 23,999, Realkredit 5% ,763,062 DKK 20,306,324 20,845, Realkredit 5% ,688,391 DKK 30,152,209 31,743, Totalkredit 5% ,873,199 DKK 64,770,630 67,356, Totalkredit 5% /Rbt 3,409,981 DKK 3,628,307 3,410, Unikredit A/S 5% ,237,785 DKK 8,445,301 9,065, ,350, ,021, Total - Bonds 957,350, ,021, Total - Transferable securities admitted to an official stock exchange listing 957,350, ,021, Transferable securities dealt in on another regulated market Bonds Denmark Dlr 5% ,453,782 DKK 26,397,858 27,168, Dlr 5% /Rbt 1,881,647 DKK 2,031,238 1,881, Nordea Kredit 5% ,726,450 DKK 53,331,618 54,997, Nykredit 5% S.02a 17,762,946 DKK 18,810,960 19,592, Nykredit Real As 5% ,382,402 DKK 37,227,545 37,648, Nykredit Real As 5% ,899,577 DKK 2,056,767 1,899, ,855, ,188, Total - Bonds 139,855, ,188, Total - Transferable securities dealt in on another regulated market 139,855, ,188, Total - Long Investments 1,097,206,267 1,111,209, Short Investments Transferable securities admitted to an official stock exchange listing Bonds Denmark Nordea Kred 3.5% (150,000,000) DKK (149,625,000) (147,525,000) (48.29) 12

13 DANSKE INVEST HEDGE MORTGAGE ARBITRAGE FUND Statement of Investments (continued) as at December 31, 2013 (expressed in DKK) Description Quantity Face value Currency Cost Market Value % net assets Realkrdt 4% /Rbt (150,000,000) DKK (153,375,000) (152,400,000) (49.89) (303,000,000) (299,925,000) (98.18) Total - Bonds (303,000,000) (299,925,000) (98.18) Total - Transferable securities admitted to an official stock exchange listing (303,000,000) (299,925,000) (98.18) Total - Short Investments (303,000,000) (299,925,000) (98.18) TOTAL INVESTMENT PORTFOLIO 794,206, ,284,

14 DANSKE INVEST HEDGE MORTGAGE ARBITRAGE FUND Geographical and Economic Portfolio Breakdowns as at December 31, 2013 (expressed as a percentage of net assets) Geographical breakdown % Denmark Economic breakdown % Mortgage and Funding Institutions The accompanying notes form an integral part of these financial statements. 14

15 Notes to the Consolidated Financial Statements for the year ended December 31, 2013 NOTE 1 GENERAL Danske Invest Leveraged Fund (the Company ) is an exempted company incorporated with limited liability in the Cayman Islands on September 26, 2002 under the Companies Law 2012 Revision of the Cayman Islands. The Company is structured as an umbrella fund and the Directors have power from time to time to establish and maintain a separate portfolio or Sub-fund for each class of Participating Share. As at December 31, 2013, the following sub-classes were active :. Class DKK sub-class in DKK. Class A sub-class in DKK NOTE 2 INVESTMENT OBJECTIVES The objective of the Fund is to generate high absolute returns primarily through the subscribing for participating shares in the Trading Subsidiary and the Trading Subsidiary s investment through an investment programme utilizing conventional and alternative investment and trading strategies including short selling, the use of derivatives for hedging and speculative purposes and the use of leverage, principally in Danish mortgage bonds. Thus, the return should not depend on whether interest rates rise or fall. The main component of the return should therefore depend solely on the trend in the pricing of mortgage credit bonds relative to government bonds (or the pricing between mortgage credit bonds). The Fund returns are expected to be uncorrelated with other asset classes (equities, ordinary nominal bonds, mortgage credit bonds, etc.). The Fund s major value creation will include exploiting the yield spread between government and mortgage credit bonds, but also exploiting opportunities among mortgage credit bonds and between mortgage credit bonds and the swap market. Furthermore, differences in the spread on volatility between the government and the mortgage credit bond markets is a source of value. For these reasons, the Fund may not be directly compared with other asset classes. The Trading Subsidiary may use various gearing and borrowing techniques to leverage the Trading Subsidiary s investment portfolio up to nine times the Net Asset Value of the Trading Subsidiary from time to time. The Trading Subsidiary may borrow in Euros ( EUR ) and Danish DKK ( DKK ) to fund its leverage and gearing positions. Other gearing and borrowing techniques might include the use of instruments such as credit facilities, repurchase agreements and derivatives. NOTE 3 SIGNIFICANT ACCOUNTING POLICIES The consolidated financial statements have been prepared in accordance with generally accepted accounting principles in Luxembourg. The following is a summary of significant accounting policies followed by the Company. a) Valuation of investments Deposits are valued at their principal amount plus accrued interest calculated in a daily basis. Certificates of deposit are valued with reference to the last traded price or, lacking any sales, the mean of the last available bid and ask prices for certificates of deposit of like maturity, amount and credit risk. Treasury bills and bills of exchange are valued with reference to prices ruling in the appropriate markets for such instruments. Securities listed on an official stock exchange are valued at the last available mid price on the stock exchange being the principal market for such securities. Securities, which are not listed on an official stock exchange, but are actively traded in another regulated market, are valued at conservatively estimated mid prices. If the prices, thus obtained, do not reflect a fair value, they are valued on the basis of their probable realisable value, estimated in good faith by the directors of the Company. Profits and losses on investment securities sold are computed on the basis of average cost. 15

16 Notes to the Consolidated Financial Statements (continued) for the year ended December 31, 2013 NOTE 3 SIGNIFICANT ACCOUNTING POLICIES (continued) Futures contracts are recorded off balance sheet and are valued based on the latest available published price applicable on the valuation date. Realised and unrealised profits and losses are recorded in the statement of net assets. Resulting realised and unrealised futures gains or losses are included in the consolidated statement of operations and changes in net assets. b) Foreign exchange translation The Financial Statements are expressed in DKK and the net asset value of the Sub-fund is expressed as follows: DKK Sub-Class in Danish Krone Class A Sub-Class in Danish Krone All assets and liabilities valued in a currency other than the base currency of the Sub-fund are converted to the base currency at the exchange rates prevailing at December 31, The exchange rates used as at December 31, 2013 are the following: 1 DKK = EUR 1 DKK = NOK 1 DKK = SEK 1 DKK = USD Income and expenses deriving in a currency other than the base currency of the Sub-fund are converted at the applicable exchange rate prevailing at the transaction date. Resulting realised and unrealised foreign exchange profits or losses are included in the consolidated statement of operations and changes in net assets. c) Cost of investment The acquisition cost of investment securities in each Sub-fund deriving in currencies other than the currency of denomination is converted to the base currency at the exchange rate prevailing at the purchase date. d) Income recognition Interest on bank, reverse repos and fixed income securities is accrued pro rata temporis on each valuation day. e) Forward foreign exchange contracts The Company utilises forward foreign exchange contracts. The carrying value of these contracts is the profit or loss that would be realised if the positions were closed out on the Statement of Net Assets date. f) Repos Repurchase agreements (repos) are similar to secured borrowings of cash equal to the sales price of the related collateral. The underlying securities are accounted for in the investment portfolio of the Fund, which remains exposed to the risk of depreciation in value. Interest is accrued pro rata temporis on each valuation day. g) Derivatives All open derivatives except the swap positions are valued at their closing market value at the Statement of Net Assets date. h) Swaps Interest rate swaps are valued at their market value established by reference to the applicable index or financial instrument on the Statements of Net Assets date. i) RBT securities In the portfolio the Danish bonds that are repaid by instalments and are subject to drawing are called "RBT"securities - the instalments are drawn from the bondholders in exchange for the instalments paid by the borrower. When the borrowers pay instalments, the same amount of the bond series is drawn pro rata from the bondholders, and they will receive the par value of the drawn bonds. 16

17 Notes to the Consolidated Financial Statements (continued) for the year ended December 31, 2013 NOTE 3 SIGNIFICANT ACCOUNTING POLICIES (continued) j) Reverse Repos Reverse repurchase agreements(reverse repos) are similar to secured lending of cash. In this case, the fund does not bear the risk of depreciation in the value of the underlying securities. Interest is accrued pro rata temporis on each valuation day. k) Consolidation The trading activities in relation to the Fund are carried out under the Trading Subsidiary Danske Invest Hedge Mortgage Arbitrage Fund incorporated as Cayman Islands exempted company with limited liability. All transactions of the Trading Subsidiary are reflected directly in the consolidated accounts of the Company. NOTE 4 MANAGEMENT FEES The Company will pay to the Investment Manager fees determined as follows: a) Investment management fees of: 0.75% p.a. of the NAV of DKK Sub-Class 1.10% p.a. of the NAV of Class A Sub-Class (DKK) The Investment Manager may pay a remuneration to sales agents or distributors out of the above mentioned management fee. The Net Asset Value for DKK Sub-Class and the Class A Sub-Class shall for the purpose of determining the management fee include all relevant expenses and liabilities paid or accrued. The fees are calculated on each Valuation Day on the net assets of the relevant Sub-Classes and paid quarterly in arrears. b) Performance fees: The Investment Manager is also entitled to receive a performance fee from the Fund calculated, accrued and locked on each Valuation Day and paid annually in arrears on or after the last Valuation Day in each financial year. Any such performance fees will be calculated for each relevant Sub-Class. If a performance fee is payable in relation to any relevant Sub-Class, the performance fee shall be an amount equal to 20 per cent of the outperformance (as set out below). Between two successive calculation dates the outperformance will be calculated for each relevant Sub- Class as:. The Net Asset Value per Participating Share before additional performance fee accruals minus the higher of:. The Net Asset Value per Participating Share at the end of the immediately preceding Valuation Day, accrued with the Hurdle Rate (as defined below) and. The High Water Mark NAV (as defined below) accrued with the Hurdle Rate (as defined below) The Hurdle Rate is:. The Risk-free Rate DKK in the case of the DKK Sub-Class and the Class A Sub-Class on a pro rata temporis basis up to the relevant calculation date; The High Water Mark NAV per Participating Share is defined as the greater of: (i). DKK 1,000.- (being the Subscription Price at which Participating Shares of the relevant Sub-Class were issued on the launch of the Sub Class); and (ii). The Net Asset Value per Participating Share of the relevant Sub-Class at the end of the immediately preceding Valuation Day which a performance fee was charged. NOTE 5 CUSTODIAN FEES, CENTRAL ADMINISTRATION FEES AND TRANSFER AGENT FEES Central administration and Custodian fees: In accordance with the common fees schedule agreement dated January 1, 2008 superseded by the fee agreement dated July 19, 2013, RBC Investor Services Bank S.A. is entitled to receive a fee calculated in arrears on the average net assets of each valuation day. The fees will be paid by the Fund quarterly. Registrar and Transfer Agent fees: In accordance with the agreement dated December 1, 2010, RBC Investor Services Bank S.A. provides registrar and transfer agency services to the Fund. The fees related to these services are paid by the Fund. 17

18 Notes to the Consolidated Financial Statements (continued) for the year ended December 31, 2013 NOTE 6 TAX Although the Company is not subject to tax in the Cayman Islands, the Company may be liable for any taxes, which may be withheld at source in other countries in respect of income or profits derived from its investments. NOTE 7 REPO The following repos contracts were conducted with the counterparty Danske Bank AS Stockholm. As at December 31, 2013, Danske Invest Hedge Mortgage Arbitrage Fund was committed in the following repos: Ccy Repo Description of underlying securities Commitment in DKK Market Value of underlying securities in DKK Exposure Amount in DKK DKK (120,000,000) NORDEA BANK 5% (129,996,000) (129,735,666) (272,286) DKK (150,000,000) NORDEA KRED 3.5% (145,455,000) (143,286,208) (2,190,651) DKK (27,617,699) NORDEA KREDIT 5% (29,987,298) (29,858,338) (132,091) DKK (49,726,450) NORDEA KREDIT 5% (53,485,770) (53,346,563) (147,244) DKK (18,471,093) NORDEA KREDIT REALKR. 5% (19,884,131) (20,094,112) (206,992) DKK (17,762,946) NYKREDIT 5% S.02A (18,599,581) (19,171,424) (569,048) DKK (55,847,576) NYKREDIT 5% NR.03D (60,013,805) (60,695,958) (673,134) DKK (52,481,958) NYKREDIT 6% S.3C (58,480,646) (59,781,499) (1,292,064) DKK (81,734,593) NYKREDIT REALKR. 5% (88,011,810) (88,429,845) (404,810) DKK (100,000,000) REALKRDT 3.5% (97,580,000) (96,798,139) 791,646 DKK (18,763,062) REALKREDIT 5% (20,198,436) (20,460,004) (258,532) DKK (21,758,130) REALKREDIT 5% (22,782,938) (23,148,628) (362,266) DKK (28,688,391) REALKREDIT 5% (30,828,545) (31,297,042) (463,864) DKK (8,350,974) REALKREDIT 5% (8,900,468) (9,012,125) (110,320) DKK (25,000,000) TOTALKREDIT 5% (26,865,000) (27,322,264) (454,570) DKK (8,237,785) UNIKREDIT A/S 5% (8,779,831) (8,845,573) (64,423) (819,849,259) NOTE 8 REVERSE REPOS The following reverse repos contracts were conducted with the counterparty DI Hedge Mortgage Ar Aliases. As at December 31, 2013, Danske Invest Hedge Mortgage Arbitrage Fund was committed in the following reverse repos: Ccy Reverse Repo Description securities of underlying securities Commitment in DKK Market Value of underlying securities in DKK Exposure Amount in DKK DKK 150,000,000 NORDEA KRED 3.5% ,075, ,210,417 3,879,841 DKK 150,000,000 REALKRDT 4% ,440, ,533, , ,515,000 9 FUTURES As at year ended December 31, 2013, the following futures were outstanding: Description Counterparty name Position (short) Commitment Maturity date CCY Unrealized Profit in DKK EURO BUND Danske Bank A/S (50) (4,857,400) 06/03/2014 EUR 891, ,507 18

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