Annual Report. SEB Green Bond Fund. Status: 31 December 2016 R.C.S K 55

Transcription

1 Annual Report SEB Green Bond Fund Status: 31 December 2016 R.C.S K 55

2 Notice The sole legally binding basis for the purchase of units of the Fund described in this report is the latest valid Valid Sales Prospectus with its terms of contract.

3 Table of Contents Page Additional Information to the Investors in the Federal Republic of Germany 2 Organisation 3 General Information 5 Management Report 7 Schedule of Investments 9!D\ lu'iqjl\) Statement of Operations 13 Statement of Changes in Net Assets 14 Statement of Net Assets 15 Statistical Information 16 Notes to the Financial Statements 19 Audit Report 23 Risk Disclosure (unaudited) 25 Remuneration Disclosure (unaudited) 26 1

4 Additional Information to the Investors in the Federal Republic of Germany As at 31 December 2016 Units in circulation: The following Fund is publicly approved for distribution in Germany: 0 SEB Green Bond Fund The information disclosed above is as at 31 December 2016 and this may change after the year end. The current Fund in circulation and the current registrations per unit class are Visible visible in the distribution matrix on 2

5 Organisation Management Company: SEB Investment Management AB (since 2 November 2016) Sveavägen Sveavagen 8 SE Stockholm, Sweden SEB Asset Management S.A. (until 2 November 2016) 4, rue Peternelchen Petemelchen L-2370 Howald, Luxembourg Board of Directors of the Management Company: Chairperson William Paus Head of Skandinaviska Enskilda Banken AB (publ) Oslo Branch Norway Members Magnus Wallberg Chief Financial Officer Life and Investment Management Division Skandinaviska Enskilda Banken AB (publ) Sweden Iohan Johan Wigh Advokat, Torngren Törngren Magnell Sandemarsvägen Sandemarsvéigen Enskede Sweden Karin S. Thorburn Professor in Finance at the Norwegian School of Economics Starefossveien 58 A 5019 Bergen, Norway Branch of the Management Company: SEB Investment Management AB, Luxembourg Branch (since 2 November 2016) 4, rue Peternelchen Petemelchen L-2370 Howald Central Administration (including the administrative, registrar and transfer agent function) and Paying Agent in Luxembourg: Investment Manager: Depositary: Auditor of the Fund: The Bank of New York Mellon (Luxembourg) S.A. 2-4, rue Eugène Eugene Ruppert L-2453 Luxembourg SEB Investment Management AB Sveavägen Sveavagen 8 SE Stockholm, Sweden Skandinaviska Enskilda Banken S.A. 4, rue Peternelchen Petemelchen L-2370 Howald, Luxembourg PricewaterhouseCoopers, Société Socie'te' coopérative 2, rue Gerhard Mercator L-2182 Luxembourg 3

6 Auditor of the Management Company: PricewaterhouseCoopers PricewaterhouseCo0pers AB Torsgatan 21 SE Stockholm Global Distributor: Representatives and Paying Agents outside Luxembourg: Skandinaviska Enskilda Banken AB (publ) Kungsträdgårdsgatan Kungstradgardsgatan 8 SE Stockholm, Sweden The full list of representatives and paying agents outside Luxembourg can be obtained, free of any charge, at the registered office of the Management Company, at the address of the Branch and on the website of the Branch. 4

7 General Information SEB Green Bond Fund is an open-ended common fund ("FCP" - "Fonds Commun de Placement") governed by Part I of the Luxembourg Law on Undertakings for Collective Investment of 17 December 2010 (the Law ). Law ). The Fund qualifies as an Undertaking for Collective Investment in Transferable Securities (UCITS). The Fund was set up on 10 October 1989 for an undetermined duration. The Management Regulations lastly modified with effect from 2 November 2016, have been published in the Recueil Electronique des Sociétés et Associations (RESA) on 3 November The Fund is registered in Luxembourg at the Luxembourg Register of Commerce under the number K 55. The Management Company was established on 19 May 1978 in the form of a Swedish limited liability company (AB). The Management Company is authorized by Finansinspektionen for the management of UCITS and for the discretionary management of financial instruments and investment portfolios under the Swedish UCITS Act (SFS 2004:46). The Management Company is also authorised as an alternative investment fund manager to manage alternative investment funds under the Swedish AIFM Act (SFS ). 2013:561). The Management Company has delegated parts of the Central Administration as further detailed hereafter, including the administrative, registrar and transfer agent functions - under its continued responsibility and control - at its own expenses to The Bank of New York Mellon (Luxembourg) S.A., 2-4, rue Eugene Eugène Ruppert, L-2453 Luxembourg. This company was incorporated in Luxembourg as a société société anonyme anonyme" on 15 December 1998 and is an indirect whollyowned subsidiary of The Bank of New York Mellon Corporation. It is registered with the Luxembourg Trade and Companies' Register under Corporate Identity Number B (the Administrative Administrative Agent and "Registrar and Transfer Agent"). Agent ). In the capacity of Administrative Agent, it carries out certain administrative duties related to the administration of the Fund, including the calculation of the NAV of the Unit and the provision of account services for the Fund. In its capacity as Registrar and Transfer Agent, it will process all subscriptions, redemptions and transfers of units, and will register these transactions in the Unitholders' register of the Fund. The main objective of the Fund will be to invest directly and/or indirectly in transferable securities and other Eligible Assets, with the purpose of spreading investment risks and achieving long-term capital growth. The investment objectives of the Fund will be carried out in compliance with the investment restrictions set forth in the latest prospectus. At present, one sub-fund is at the Unitholders' Unitholders disposal. Unless otherwise laid down in the Prospectus, the Management Company may decide to issue, for the Fund, capitalisation Units ("C" Units) and distribution Units ("D" Units). The "C" Units will reinvest their income, if any. The "D" Units may pay a dividend to its Unitholders, upon decision of the Management Company. Dividends are paid annually, except where the Management Company would decide on a monthly, quarterly or semi-annual dividend payment. The Management Company may issue Unit Classes whose Reference Currency is not the Base Currency of the respective Fund. With regard to such Unit Classes, the Management Company has the ambition to hedge the currency exposure from the Base Currency into the currency exposure of the Reference Currency. Considering the practical challenges of doing so, the Management Company does not guarantee how successful such currency hedging of Unit Classes will be. 5

8 For Unit Classes where the Management Company has an ambition to currency-hedge the Unit Class, an H- H- will precede the currency denomination of the Unit Class. For example (H-SEK) (H-SEK) means that there is an ambition by the Management Company to hedge the currency exposure from a Base Currency into a SEK-exposure for the Unit Class. The ambition of such hedging activity is to limit the performance impact related to fluctuations in the exchange rate between the Base Currency and the Reference Currency of the Unit Class. The profit and loss effects related to currency hedging of a particular Unit Class, will be allocated to the relevant Unit Class. Currently, the following unit classes are offered for the Fund: 0 Capitalisation units ( C ( C (EUR) units) LU Capitalisation units ( C ("C (H-NOK) (H-NOK)" units) LU Capitalisation units ( C ("C (H-SEK) units) LU Distribution units ( D ("D (EUR) (EUR)" units) LU Distribution units ( D ("D (H-SEK) (H-SEK)" units) LU Capitalisation units ( HNWC ( HNWC (H-SEK) (H-SEK)" units) LU Distribution units ( HNWD ( HNWD (H-SEK) units) LU Capitalisation units ( IC ("lc (EUR) (EUR)" units) LU The base currency of the Fund is euro. The issue and redemption prices, which are computed daily on bank business days in Luxembourg, except 24 December and 31 December ("Valuation date"), can be obtained from the registered offices of the Management Company, the Depositary and the Paying Agent. In addition, the Net Asset Value, fact sheets and other informational material is published on the SEB Luxembourg website ( When registered in other countries, the publication media might differ according to the regulatory requirements. Information about ongoing charges can be found in the KIID. The audited annual and un-audited semi-annual reports of the Fund may be obtained, free of charge at the registered office of the Management Company, at the address of its Branch and on the Website. These reports as well as copies of the Prospectus, the Management Regulations and the KIID are available, free of charge, at the registered office of the Management Company, at the address of the Branch and on the website. 6

9 Management Report Dear Unitholders, With this report, we want to give you an overview of the general economic environment, the development of the most important capital markets, our investment policy and the performance of our Fund SEB Green Bond Fund. This annual report covers the financial year from 1 Ianuary January 2016 to 31 December We would like to thank you for your confidence and will do everything within our power to justify your decision of investing in our Fund. A year of politics 2016 has been, above all, a year of political upheaval. Events such as the UK s decision to leave the EU (Brexit), the election of Donald Trump as US president, and Italy s Italy's rejection of constitutional reform all illustrate general dissatisfaction with the political environment. Before the results of these three electoral events were available, the market consensus was that the respective election results would lead to a correction in the equity markets. The primary arguments were as follows: Brexit would have a negative impact on the already fragile EU growth rates by increasing uncertainty regarding the future of Europe; the election of Trump would decrease global growth by increasing uncertainty regarding future US policy and Trump's Trump s election promise to renegotiate existing trade agreements, and, finally, the Italian referendum would rekindle the euro crisis of by spotlighting the fundamental political weakness of Europe. Despite the forecasts and discussions, the financial markets and the global economy proved to be highly resilient. The latter displayed such resiliency that growth forecasts for 2017 were revised higher following the US election and predictions about a restart of the business cycle emerged. However, 2016 turned out to be a year where US equities closed at all-time high levels, nominal rates ended up at higher levels than at the beginning of the year, and the US Federal Reserve (the Fed) made an upwards revision, for the first time ever, of their official estimates for the next year's year s policy rates. Keep in mind that 2012 was the first time the Fed published these estimates. In general, 2016 was much more positive than expected. This is particularly true for market participants who from the beginning of the year believed in the likelihood of Brexit, Trump, and Italy's Italy s no to reform. In the following paragraphs we present our view of global growth and monetary policy. We discuss the implications of a Trump presidency, and, finally, we present our outlook for the financial markets in Global growth The most notable development in terms of growth in 2016 was the uptick that materialised in Q4. This uptick was a stark contrast to the first three quarters of the year where growth had failed to gain momentum and the global economy appeared to be increasingly fragile. This upswing was so strong and broad-based in terms of geography and sectors, that growth forecasts for 2017 were revised higher. This has led the market to believe the business cycle will continue in a similar manner, keeping the next recession a few years away. It is not easy to pinpoint the exact cause of the sudden revival of the global economy. It started to materialise in the months following Brexit and prior to the US election. One could even argue that the US election results have acted as a growth factor in terms of planned fiscal stimulus. Regardless of the exact cause of the global revival, the growth pattern followed that of a normal recovery: first we saw strength in the sentiment indicators for manufacturing companies; then this spread to non-manufacturing sectors. Finally, growth was also apparent in real production and consumption numbers. At the end of Q4 the US economy appeared to be growing by more than 2.5% (Atlanta Federal Reserve estimate); a figure last surpassed in

10 Although many of the positive surprises in terms of growth appeared in the US, it is important to note that the recovery was generally broad based across the globe. As such, we saw stronger data from both Europe and emerging markets. It is especially worth noting that emerging markets in Asia gained speed thanks to the global trade recovery which, for years, indicated a moderating trend. The fact that the recovery was so broad-based increased market confidence to the degree that the recovery would prove to be more stable than all the mini-recoveries since Monetary policy In contrast to the past five or six years, monetary policy declined in importance for the financial markets relative to the macro outlook. In other words, the financial markets were driven by expectations of growth to a higher extent than by future central bank action. Despite this, we did see a range of notable developments in central bank policies over the year: The Fed hiked rates in December 2016 and forecasted a more aggressive rate-hike cycle than previously communicated. The ECB surprised the markets by describing how their quantitative easing programme would cut back on monthly purchases. Whether this acted positively or negatively on the markets can be debated, but it is clear that the Fed's Fed s intention for a steeper rate-hike cycle would have had a distinctly negative effect on financial markets just 6-12 months ago. However, because the Fed s Fed's message focused on stronger growth, not just higher inflation, the market ignored the information regarding steeper rate hikes. This more than any other factor signalled the shift in focus for the markets from monetary policy to growth expectations. Going forward, we note that the current rate hike cycle in the US is unlike anything that we have seen in the past. This in itself makes it more difficult to draw any firm conclusions about the possible impact of higher US rates on the financial markets. With that said, it is important to note that the fiscal stimulus that is expected from the Trump presidency comes at a time when the US labour market already looks tight. This increases the risk for increasing inflationary pressures in the US and the possibility of the Fed reacting by being even more aggressive than originally communicated. We believe this is one of the main risks for Outlook for financial markets & economic growth Although numerous recoveries faded faster than expected by the markets in the past eight years, we believe in stronger growth in 2017 than in 2016 as a whole. The US s strong labour market will support consumption and the recovery in global trade will be a boon for emerging markets and Europe. Given our positive outlook on global growth, we expect equities to deliver a higher return than government governinent bonds. We believe the return on equities will be slightly below the historical average, and that gains will be driven by rising earnings and sales given that valuations are already above their historical averages. Given the reduced likelihood for a global recession, we stress that we also believe high yield bonds will deliver an attractive return in the coming 12 months. Luxembourg, 25 Ianuary January 2017 SEB Investment Management AB The Board of Directors 8

11 Schedule of Investments As at 31 December 2016 SEB Green Bond Fund Security description Maturity Total holdings Currency Unit Market % of price* value in Net EUR Assets Transferable securities admitted to an official stock exchange listing Bonds Bonds indicated in 1,000 currency units Canada 1.95 % Province of Ontario Canada 27/01/23 1,000 CAD , Total Canada 705, China 2.13 % Agricultural Bank of China Ltd 20/10/ USD , Total China 473, Finland 1.38 % Municipality Finance Plc 21/09/21 2,000 USD ,817, Total Finland 1,817, France 1.38 % Agence Francaise de Developpement 17/09/ EUR , % Region of Ile de France 14/06/25 1,000 EUR , % SNCF Reseau 09/11/31 2,000 EUR ,913, Total France 3,440, Germany 0.13 % Berlin Hyp AG 05/05/ EUR , % Berlin Hyp AG 26/09/23 1,500 EUR ,488, % Deutsche Kreditbank AG 08/06/21 1,000 EUR ,014, % Kreditanstaltfuerwiederaufbau 30/05/24 1,000 EUR , % Kreditanstaltfuerwiederaufbau 27/10/20 1,000 EUR ,020, % Kreditanstaltfuerwiederaufbau 22/07/19 1,000 EUR ,022, % Kreditanstaltfuerwiederaufbau 27/01/21 15,000 SEK ,576, % Kreditanstaltfuerwiederaufbau 15/10/19 1,700 USD ,614, % NRW Bank 10/11/25 2,000 EUR ,087, % State of North Rhine-Westphalia 16/03/23 1,000 EUR ,004, Total Germany 12,327, India 2.88 % Axis Bank Ltd/Dubai 01/06/21 2,000 USD ,857, Total India 1,857, International Organisations 1.38 % African Development Bank 17/12/18 1,000 USD , % African Development Bank 12/03/19 10,000 SEK ,087, % Asian Development Bank 16/08/19 1,000 USD , % Asian Development Bank 19/03/25 1,100 USD ,006, % European Bank for Reconstruction & Development 22/07/19 3,000 USD ,790, % European Bank for Reconstruction & Development 10/04/18 1,000 USD , % European Investment Bank 15/11/23 1,000 EUR ,031, % European Investment Bank 16/09/21 1,000 CAD , % European Investment Bank 13/11/26 2,800 EUR ,035, % European Investment Bank 15/11/19 2,000 EUR ,103, % European Investment Bank 07/03/20 2,300 GBP ,831, % European Investment Bank 15/10/24 2,500 USD ,360, % European Investment Bank 13/11/23 25,000 SEK ,938, % International Bankfor Reconstruction & Development 20/03/ EUR , % International Bankfor Reconstruction & Development 23/06/19 1,000 SEK , % International Bankfor Reconstruction & Development 12/07/22 2,150 USD ,907, % International Bankfor Reconstruction & Development 02/11/20 5,000 SEK , % Nordic Investment Bank 10/06/24 3,500 EUR ,486, % Nordic Investment Bank 19/09/22 1,000 EUR ,022,

12 SEB Green Bond Fund Security description Maturity Total holdings Currency Unit Market % of price* value in Net EUR Assets 0.63 % Nordic Investment Bank 20/01/21 37,000 SEK ,934, % Nordic Investment Bank 30/09/21 3,300 USD ,139, Total InternationalOrganisations 36,992, Italy 0.75 % Italy Buoni Poliennali Del Tesoro 15/01/18 5,000 EUR ,050, Total Italy 5,050, Japan 0.38 % Development Bank oflapan Inc 21/10/19 1,000 EUR ,004, Total Japan 1,004, Netherlands 0.63 % ABN AMRO Bank NV 31/05/ EUR , % ABN AMRO Bank NV 09/06/20 2,200 EUR ,251, % Bank Nederlandse Gemeenten NV 13/07/ EUR , % Cooperatieve Rabobank UA 11/10/21 1,000 EUR , % Iberdrola International BV 15/09/25 1,200 EUR ,133, % ING Bank NV 24/11/20 2,200 EUR ,253, % Nederlandse Waterschapsbank NV 03/09/25 2,000 EUR ,100, % Nederlandse Waterschapsbank NV 24/03/26 1,500 USD ,372, Total Netherlands 1l,111, Norway 2.13 % Entra ASA FRN 22/09/23 10,000 NOK ,098, % Kommunalbanken AS 26/10/20 2,000 USD ,850, Total Norway 2,949, Poland 0.50 % Republic of Poland Government International Bond 20/12/ EUR , Total Poland 754, Spain 0.10 % Instituto de Credito Oficial 12/09/ EUR , Total Spain 502, Sweden 0.89 % City of Gothenburg Sweden 15/06/22 4,000 SEK , % City of Gothenburg Sweden 30/06/21 2,000 SEK , % City of Gothenburg Sweden 03/06/20 1,000 SEK , % City of Norrkoping Sweden FRN 13/10/21 3,000 SEK , % City of Orebro Sweden FRN 16/10/19 6,000 SEK , % City of Orebro Sweden FRN 06/10/21 10,000 SEK ,077, % City of Vasteras/Sweden FRN 30/11/21 8,000 SEK , % Fortum Varme Holding samagt med Stockholms stad AB FRN 18/05/21 6,000 SEK , % Hemso Fastighets AB 03/06/21 6,000 SEK , % Kommuninvest I Sverige AB 23/04/19 4,200 USD ,965, % Region Skane FRN 18/10/21 3,000 SEK , % Rikshem AB FRN 05/06/17 2,000 SEK , % SBAB Bank AB 23/06/21 10,000 SEK ,050, % Sodra Skogsagarna Ekonomisk Forening FRN 07/06/21 10,000 SEK ,058, % Stockholms Lans Landsting FRN 28/05/21 20,000 SEK ,094, % Stockholms Lans Landsting 27/09/21 4,000 SEK , % Sveaskog AB FRN 01/03/21 6,000 SEK , % Vasakronan AB FRN 19/03/19 10,000 SEK ,045, % Vasakronan AB FRN 22/10/20 5,000 SEK , % Vasakronan AB 19/03/19 6,000 SEK ,

13 SEB Green Bond Fund Security description Maturity Total holdings Currency Unit Market % of price* value in Net EUR Assets 0.34 % Wallenstam AB FRN 30/05/18 5,000 SEK , Total Sweden 17,401, United Kingdom 2.75 % LTC GB Ltd 26/05/21 1,000 USD , Total United Kingdom 933, Total Bonds EUR Total Transferable securities admitted to an official stock exchange listing EUR 97,321, Other Transferable Securities Bonds Bonds indicated in 1,000 currency units Sweden 0.00 % Fastighets AB Forvaltaren FRN 10/10/19 5,000 SEK , % Fastighets AB Forvaltaren FRN 10/07/20 1,000 SEK , % Stangastaden AB FRN 09/09/20 8,000 SEK , % Stangastaden AB FRN 07/10/21 9,000 SEK , % Stockholms Kooperativa Bostadsforening FRN 30/11/21 5,000 SEK , % Uppsalahem AB FRN 10/09/20 6,000 SEK , Total Sweden 3,557, Total Bonds EUR 3,557, Total Other Transferable Securities EUR 3,557, Total Portfolio EUR 100,878, Financial futures cleared with Skandinaviska Enskilda Banken AB (publ) Commitment in EUR Sold financial futures contracts CBOT 10 Year US Treasury Note Future 22/03/17 (32) USD (3,770,530.09) 11, CBOT Five Year Treasury Note Future 31/03/17 (32) USD (3,569,773.28) 5, CBOT Two Year Treasury Note Future 31/03/17 (18) USD (3,697,883.15) Eurex Euro Bund Future 08/03/17 (25) EUR (4,103,750.00) (60,500.00) (0.06) Total financial futures contracts (total net unrealised) (43,108.53) (0.04) An amount of EUR 144, is held as cash collateral for these positions. Forward foreign exchange contracts open with Skandinaviska Enskilda Banken S.A. Buy 1,427,672 EUR Sell 2,000,000 CAD 15/03/17 17, Buy 2,848,235 EUR Sell 2,400,000 GBP 15/03/17 41, Buy 1,109,864 EUR Sell 10,000,000 NOK 15/03/17 11, Buy 29,627,098 EUR Sell 288,494,837 SEK 15/03/17 (498,114.85) (0.48) Buy 28,068,785 EUR Sell 30,000,000 USD 15/03/17 (271,623.06) (0.26) Buy 170,184 NOK Sell 18,924 EUR 15/03/17 (237.46) (0.00) Buy 848,389,262 SEK Sell 87,235,279 EUR 15/03/17 1,355, Total forward foreign exchange contracts (total net unrealised) 656,

14 SEB Green Bond Fund Market value in EUR % of Net Assets Cash at bank and at broker Cash at bank and at broker 1,847, Total Cash at bank and at broker 1,847, Other assets Interest receivable on bonds 329, Bank interest receivable on cash accounts Receivable on subscriptions 16, Other assets 20, Total other assets 366, Liabilities Bank overdraft (35,610.83) (0.03) Management fees (32,809.11) (0.03) Payable on redemptions (10,099.12) (0.01) Other liabilities (19,117.35) (0.02) Total liabilities (97,636.41) (0.09) Total Net Assets as at 31 December 2016 EUR 103,607, * Bond prices expressed in %. A list of changes in the assets held during the financial year under review is available free of charge from SEB Investment Management AB. The accompanying notes are an integral part of these financial statements. 12

15 Statement of Operations For the year ended 31 December 2016 SEB Green Bond Fund Income Interest on bonds (note 1) 789, Bank interest on cash accounts Total income 790, Expenses Management fees (note 2) 310, Taxe d abonnement (note 4) 33,614,75 Bank interest on cash accounts 2, Other expenses 26, Total expenses 373, Net income for the year 416, EUR The accompanying notes are an integral part of these financial statements. 13

16 Statement of Changes in Net Assets For the year ended 31 December 2016 SEB Green Bond Fund Net Assets at the beginning of the year 24,841, Net income for the year 416, Net realised gain I (loss) on: - sales of securities 540, foreign exchange (3,89l,287.26) - financial futures contracts 236, Total net realised loss (3.114,498.03) Change in net unrealised appreciation I (depreciation) on: - securities (191,430.05) - forward foreign exchange contracts 429, financial futures contracts (61,248.45) Total change in net unrealised appreciation 176, Decrease in Net Assets as a result of operations (2,521,871.25) Proceeds on issues of units EUR 110,85l, Payment on redemptions of units (29,505,321.23) Dividends paid (58,896.89) Total Net Assets as at 31 December ,607, The accompanying notes are an integral part of these financial statements. 14

17 Statement of Net Assets As at 31 December 2016 SEB Green Bond Fund Assets Portfolio at cost 101,283, Unrealised depreciation (405,305.66) Portfolio at market value (note 1) 100,878, Unrealised appreciation on forward foreign exchange contracts 656, Receivable interest and /or dividends 329, Cash at bank and at broker 1,847, Other assets 36, Total Assets 103,748, Liabilities Bank overdraft (35,610.83) Unrealised depreciation on financial futures contracts (43,108.53) Other liabilities (62,025.58) Total Liabilities (140,744.94) Total Net Assets as at 31 December ,607, EUR "C (EUR)" units outstanding as at 31 December , "C (H-NOK)" units outstanding as at 31 December , "C (H-SEK)" units outstanding as at 31 December ,212, "D (EUR)" units outstanding as at 31 December "D (H-SEK)" units outstanding as at 31 December "HNWC (H-SEK)" units outstanding as at 31 December 2016 l,161,127.l080 "HNWD (H-SEK)" units outstanding as at 31 December " C (EUR)" units outstanding as at 31 December Net Asset Value per "C (EUR)" unit as at 31 December Net Asset Value per "C (H-NOK)" unit as at 31 December Net Asset Value per "C (H-SEK)" unit as at 31 December Net Asset Value per "D (EUR)" unit as at 31 December Net Asset Value per "D (H-SEK)" unit as at 31 December Net Asset Value per "H NWC (H-SEK)" unit as at 31 December Net Asset Value per "HNWD (H-SEK)" unit as at 31 December Net Asset Value per " C (EUR)" unit as at 31 December The accompanying notes are an integral part of these financial statements. 15

18 Statistical Information As at 31 December 2016 SEB Green Bond Fund Number of "C (EUR)" units outstanding as at 31 December as at 31 December as at 30 April Number of "C (H-NOK)" units outstanding as at 31 December as at 31 December as at 30 April 2015 Number of "C (H-SEK)" units outstanding as at 31 December as at 31 December as at 30 April Number of "D (EUR)" units outstanding as at 31 December as at 31 December as at 30 April Number of "D (H-SEK)" units outstanding as at 31 December as at 31 December as at 30 April Number of "HNWC (H-SEK)" units outstanding as at 31 December as at 31 December as at 30 April Number of "HNWD (H-SEK)" units outstanding as at 31 December as at 31 December as at 30 April Number of 'IC (EUR)" units outstanding as at 31 December as at 31 December as at 30 April Total Net Assets as at 31 December as at 31 December as at 30 April Net Asset Value per "(I (EUR)" unit as at 31 December as at 31 December as at 30 April Net Asset Value per "C (H-NOK)" unit as at 31 December as at 31 December as at 30 April 2015 Net Asset Value per "(I (H-SEK)" unit as at 31 December as at 31 December as at 30 April Net Asset Value per "D (EUR)" unit as at 31 December as at 31 December as at 30 April Net Asset Value per "D (H-SEK)" unit as at 31 December as at 31 December as at 30 April EUR The accompanying notes are an integral part of these financial statements. 16

19 Performance in % "C (EUR)"" units *) as at 31 December as at 31 December 2015 (1.1) as at 30 April 2015 *****) (0.7) Performance in % "C (H-NOK)"" units *) as at 31 December as at 31 December 2015 *******) 1.0 as at 30 April 2015 Performance in % "C (H-SEK)"" units *) as at 31 December 2016 as at 31 December 2015 as at 30 April 2015 Performance in % "D (EUR)"" units **) as at 31 December 2016 as at 31 December 2015 as at 30 April 2015 Performance in % "D (H-SEK)"" units **) as at 31 December 2016 as at 31 December 2015 as at 30 April 2015 Performance in % "HNWC (H-SEK)"" units *) as at 31 December 2016 as at 31 December 2015 as at 30 April 2015 Performance in % "HNWD (H-SEK)"" units **) as at 31 December 2016 as at 31 December 2015 as at 30 April 2015 Performance in % "IC (EUR)"" units *) as at 31 December 2016 as at 31 December 2015 as at 30 April 2015 SEB Green Bond Fund Net Asset Value per "HNWC (H-SEK)" unit as at 31 December as at 31 December as at 30 April Net Asset Value per "HNWD (H-SEK)" unit as at 31 December as at 31 December as at 30 April Net Asset Value per " C (EUR)" unit as at 31 December as at 31 December as at 30 April Dividend paid per D (EUR) unit *****) -1-*****) *****) -1-*****) *H**) EUR 0.6 (1-4) 0.9 (1.1) (1-3) 0.7 (1-3) 0.7 (1-3) 1.0 (1-0) The accompanying notes are an integral part of these financial statements. 17

20 Ongoing Charges (Unaudited)***) in % SEB Green Bond Fund EUR 01/01/ /12/2016 "C (EUR)" units /01/ /12/2016 "C (H-NOK)" units /01/ /12/2016 "C (H-SEK)" units /01/ /12/2016 "D (EUR)" units /01/ /12/2016 "D (H-SEK)" units /01/ /12/2016 "HNWC (H-SEK)" units /01/ /12/2016 "HNWD (H-SEK)" units /01/ /12/2016 "IC (EUR)" units 0.36 Portfolio Turnover Rate (Unaudited) ****) (PTR) in % 01/01/ /12/2016 (54.1) *) Performance is calculated by the following formula: ((NAV / Unit as at 31/12/2016)] (NAV / Unit as at 31/12/2015) 1) * 100 **) Performance is calculated by the following formula: ((NAV / Unit as at 31/12/ dividend / Unit paid during the year) / (NAV/ Unit as at 31/12/2015) 1) * 100. ***) Ongoing Charges for the purposes of the financial statements are calculated by the following formula: (Expenses deducted from the assets including the depositary transaction fees but excluding bank interest on cash accounts and success fees on tax reclaim / average TNA) * 100. The Ongoing Charges of this financial report are dated 31 December 2016 and might differ from the Ongoing Charges published in the KIID. ****) PTR is calculated by the following formula: ((Total 1 Total 2) / average TNA) *100. *****) The following unit classes launched on 17 April 2015: C (EUR) and IC (EUR) at a price of EUR 100; C (H-SEK) and HNWC (H-SEK) at a price of SEK 100. Performance is calculated by the following formula: ((NAV / units as at 31/12/2015) / (Initial subscription price of EUR, SEK 100) 1) * 100. ******) The following unit classes launched on 17 April 2015: D (H-SEK) and HNWD (H-SEK) at a price of SEK 100. Performance is calculated by the following formula: ((NAV / units as at 31/12/ dividend) / (Initial subscription price ofsek100) -1) *100. *******) The unit C (H-NOK)" class launched on 22 June 2015 at a price of NOK 100. Performance is calculated by the following formula: ((NAV / units as at 31/12/2015) / (Initial subscription price of NOK 100) 1) * 100. NA V = Net Asset Value TNA = Total NetAssets Total 1 = Total ofsecurities transactions for theyear under review (purchases + sales) Total 2 = Total ofsubscribed and redeemed units for the year under review (subscriptions + redemptions) The accompanying notes are an integral part of these financial statements. 18

21 Notes to the Financial Statements As at 31 December 2016 Note 1. Significant Accounting Policies The financial statements have been prepared in accordance with Luxembourg regulations relating to Undertakings for Collective Investment. The Financial Statements have been prepared based on the last Net Asset Value of the year which has been calculated on 30 December 2016 with the price as of that date. As 31 December 2016 was not a bank business day, the valuation at 30 December 2016 has been presented for the purpose of these Financial Statements. Investments: a) Transferable securities and money market instruments, which are officially listed on a stock exchange, are valued at the last available price. b) Transferable securities and money market instruments, which are not officially listed on a stock exchange, but which are traded on another regulated market are valued at a price no lower than the bid price and no higher than the ask price at the time of the valuation and at which the Management Company considers to be an appropriate market price. c) Transferable securities and money market instruments quoted or traded on several markets are valued on the basis of the last available price of the principal market for the transferable securities or money market instruments in question, unless these prices are not representative. d) In the event that such prices are not in line with market conditions, or for securities and money market instruments other than those covered in a), b) and c) above for which there are no fixed prices, these securities and money market instruments, as well as other assets, will be valued at the current market value as determined in good faith by the Management Company, following generally accepted valuation principles. e) Units or shares of UCI(TS) are valued at the last available Net Asset Value obtained from the Administrative Agent of such UCI(TS) except for Exchange Traded Funds which are valued at the latest available price found on the main stock exchange on which they are listed. f) Derivatives instruments traded on regulated markets or stock exchanges are valued at last available settlement prices of these contracts on regulated markets or stock exchanges on which the derivative instruments are traded by the Fund. Derivatives instruments not traded on regulated markets or on stock exchanges are valued at their net liquidating value determined, pursuant to the policies established in good faith by the Management Company on a basis consistently applied for each different variety of contracts, in accordance with generally recognised principles, taking into consideration the generally accepted accounting practices, the customary practices in line with the market and the interests of the Unitholders. g) Forward foreign exchange contracts are valued based on the latest available forward exchange rates. h) Financial Futures Contracts, which are not matured, are valued at valuation date at market rates prevailing at this date and resulting unrealised appreciation or depreciation are posted as change in net unrealised appreciation/(depreciation) on financial futures contracts to the Statement of Changes in Net Assets. 19

22 headings In the case that extraordinary circumstances occur which make it impossible or even wrong to make a valuation in accordance with the above-mentioned criteria, the Management Company is entitled to temporarily apply other generally accepted valuation procedures, which are determined by it in good faith, in order to make an appropriate valuation of the Fund's Assets. Gains and losses on the sale of securities are determined using the average cost method. Currency translation: All assets denominated min a different currency to the Funds Funds' currency are converted into the Funds Funds' currency at the last available exchange rate. Separate accounts are maintained for the Fund in the currency in which the Net Asset Value per Unit to which it relates is expressed (the "accounting currency"). Transactions denominated in a currency other than the accounting currency are recorded on the basis of exchange rates prevailing on the date they occur or accrue to the Fund. Assets and liabilities, expressed in a currency other than the accounting currency, are translated on the basis of exchange rates ruling at the balance sheet date. As at 30 December 2016, the exchange rates were as follows: 1 CAD = EUR 1 NOK = EUR 1 DKK = EUR 1 SEK = EUR 1 GBP = EUR 1 USD = EUR 1 JPY = EUR Income: Interest income and bank interest income are recognised on an accrual basis. Dividends are recorded on the exdividend date. This income is shown net of any withholding taxes and adjusted accordingly when tax reclaims apply. Note 2. Management fees In payment for its services, the Management Company receives an annual rate of: 00.40% 0.40% is charged on SEB Green Bond Fund C C (EUR) units (maximum rate: 0.50%) 00.40% 0.40% is charged on SEB Green Bond Fund C C (H-NOK) (H-NOK)" units (maximum rate: 0.50%) 00.40% 0.40% is charged on SEB Green Bond Fund C C (H-SEK) units (maximum rate: 0.50%) 00.40% 0.40% is charged on SEB Green Bond Fund D D (EUR) (EUR)" units (maximum rate: 0.50%) 00.40% 0.40% is charged on SEB Green Bond Fund D D (H-SEK) (H-SEK)" units (maximum rate: 0.50%) 00.30% 0.30% is charged on SEB Green Bond Fund HNWC HNWC (H-SEK) units (maximum rate: 0.35%) 00.30% 0.30% is charged on SEB Green Bond Fund HNWD HNWD (H-SEK) (H-SEK)" units (maximum rate: 0.35%) 00.30% 0.30% is charged on SEB Green Bond Fund IC IC (EUR) units (maximum rate: 0.30%) A twelfth of this rate is being payable at the end of each month and based on the average net assets of each Sub-Fund calculated daily during the relevant month. The AIFM pays portfolio management, accounting, administration, distribution and all other charges and fees on behalf of the Company. 20

23 headings Note 3. Taxation The Fund is liable in Luxembourg to a subscription tax ("taxe d'abonnement") of 0.05% or 0.01% (as applicable) per annum of its NAV, such tax being payable quarterly on the basis of the value of the aggregate Net Assets of the Fund at the end of the relevant calendar quarter. Investments by the Fund in shares or units of another Luxembourg undertaking for collective investment which are also subject to the taxe d abonnement are excluded from the NAV of the Fund serving as basis for the calculation of this tax to be paid by the Fund. No stamp duty or other tax is payable in Luxembourg on the issue of units. Interest, dividend and other income realised by the Fund on the sale of securities of non-luxembourg issuers, may be subject to withholding and other taxes levied by the jurisdictions in which the income is sourced. Indian Tax The Fund may be subject to corporation taxes in certain countries in which it invests. Capital gains realised when disposing of certain Indian securities held by the Fund are subject to capital gains tax in India, which, if any, is disclosed in the Statement of Operations under the heading "Other expenses". The tax is computed on net realised gains, and realised losses in excess of gains may under certain conditions be carried forward 8 years to offset future gains. Indian tax law imposes a tax of 15% on net realised gains from Indian securities sold within one year from the date of purchase. Given the Fund's intent to hold portfolio securities for more than one year, the Fund does not accrue a deferred tax liability on net unrealised gains on Indian securities. In case the Fund incurred a total realised loss on security sales as at fiscal year-end, the Fund could recover the taxable amount paid during the year on net realised gains, provided that a claim to the Tax Administration is introduced within 2 years as from end of the financial years. Note 4. Transaction Fees Transaction fees incurred by the Fund relating to the purchase or sale of transferable securities, money market instruments, derivatives or other eligible assets are mainly composed of depositary fees and broker fees. Most of the transaction fees are included in the transaction price used to calculate the realised and unrealised gain/(loss) on securities. In line with bond market practice, a bid-offer spread is applied when buying or selling securities and other financial instruments. Consequently, in any given transaction, there will be a difference between the purchase and sale prices quoted by the broker, which represents the broker's remuneration. As at 31 December 2016, the transaction fees were as follows: SEB Green Bond Fund 2, EUR Note 5. Significant events during the year Prospectus A new prospectus was issued in November Directors There were changes to the Board of Directors and the Conducting Officers of the Management Company during the year. Please refer to the Organisation section on page 3 for details. Branch SEB Asset Management S.A. (SEB AM) merged with SEB Investment Management AB (SEB IM AB) as of 2 November

24 Note 6. Subsequent events after the year end There are no subsequent events after the year end. The accompanying notes are an integral part of these financial statements. 22

25 pwc Audit Report To the Unitholders of SEB Green Bond Fund We have audited the accompanying financial statements of SEB Green Bond Fund, which comprise the Statement of Net Assets and the Schedule of Investments as at 31 December 2016 and the Statement of Operations and the Statement of 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 Management Company for thefinancial statements The Board of Directors of the Management 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 Management 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 Re'viseur d entreprises agree 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 Commission de Surveillance du Secteur Financier. Financier". Those standards 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 "Réviseur d entreprises agréé, 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 Réviseur d entreprises agréé considers internal control relevant to the entity s 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 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 Management 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.... Pricew11terhouseCoopers, PricewaterhouseCoopers, Société coopérative, cooperative, 2 rue Gerhard Mercator, B.P. 1443, L 1014 L-1014 Luxembourg T: , I, F.'+352 F: , Cabinet de révision agréé. Expert-camptable Expert-comptable (autorisation (autarisatian gun gouvernementale ye: n n ) I ) RC5. R.C.S. Luxembourg B TVA LU254825I8 LU

26 pwc Opinion In our opinion, the financial statements give a true and fair view of the financial position of SEB Green Bond Fund as of 31 December 2016, and of the results of its operations and changes in its Net Assets for the year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements. Other information The Board of Directors of the Management Company is responsible for the other information. The other information comprises the information included in the annual report but does not include the financial statements and our audit report 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. PricewaterhouseCoopers, Société coopérative Luxembourg, 29 March 2017 Represented by Emmanuel Chataignier 24

27 Risk Disclosure (unaudited) In the context of risk measurement and in accordance with CSSF Circular 11/512 a UCITS must calculate its global exposure on at least a daily basis. For SEB Green Bond Fund, the global exposure is calculated and monitored daily by using the calculation methodology Value at Risk (VaR). The VaR model used is parametric VaR. The observation period is at least 250 days. The VaR methodology provides an estimate of the maximum potential loss over a specific time period and at a given confidence level, i.e. probability level. Usually for UCITS, the time period is 1 month/20 business days and the confidence level is 99%. For example, a VaR estimate of 3% on a 20-days time period with a 99% confidence level means that, with 99% certainty, the percentage the Fund can expect to lose over the next 20 days period should be a maximum of 3%. In case of the VaR methodology, the Fund can use either the relative relative or the absolute absolute VaR approach. According to CSSF Circular 11/512, the absolute VaR approach must not be greater than 20% based on a 99% confidence level and a holding period of 1 month/20 business days. In the case of the relative VaR approach, the VaR of the Fund must not be greater than twice the VaR of its reference portfolio. Nevertheless, lower limitations than those ones set by the regulator can be set in accordance with the investment policy/strategy of the Fund. In addition to the VaR, the level of leverage generated through the use of derivatives and the use of collateral in relation to efficient portfolio management transactions (i.e. securities lending or repurchase agreements) is monitored twice a month. Leverage is measured as the sum of the absolute notional exposures of the financial derivative instruments (i.e. the absolute sum of all long and short notional positions in derivatives compared to the Net Asset Value of the Fund) and the reinvestment of collateral related to securities lending or repurchase agreement used by the Fund. The below overview summarises the Fund indicating the VaR approach, the reference portfolio (in the case of relative legal VaR limit), the lowest/highest and average utilisation of VaR (expressed as a percentage of the respective absolute or relative legal VaR limit) as well as the average level of leverage for the year ended 31 December 2016: Fund Relative/ Relative] Absolute VaR Reference portfolio Lowest Utilisation of VaR Highest Utilisation of VaR Average Utilisation of VaR Average Leverage (FX (Ex forwards fol-wards Average Leverage (Including serving the FX purposes of forwarfis forwards. for un1tunit-class(es) class hedglng, hedging, 1f if hedging) any, are not unit- included in the leverage calculation) SEB Green Bond Fund Absolute N/A A 4.82% 6.76% 5.55% % % 25