DANSKE INVEST PCC LIMITED

Transcription

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2 DANSKE INVEST PCC LIMITED A protected cell investment company limited by shares and registered in Guernsey with registration number Unaudited Semi-Annual Report for the period ended 30 June 2017 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 annual report including audited financial statements and the most recent unaudited semi-annual report, if published thereafter.

3 Table of contents General Information 4 Management and Administration 7 Investment Manager's Report 8 Unaudited Statement of Net Assets 10 Statistics 12 Statement of Changes in the Number of Shares 14 Danske Invest Hedge Fixed Income Strategies Fund Statement of Investments 18 Geographical and Economic Portfolio Breakdowns 22 Statement of Significant Portfolio Movements 23 Danske Invest Leveraged Balanced Fund Statement of Investments 26 Geographical and Economic Portfolio Breakdowns 27 Statement of Significant Portfolio Movements 28 Danske Invest European Equities Absolute Fund (liquidated as at 22 May 2017) Statement of Investments 29 Geographical and Economic Portfolio Breakdowns 30 Statement of Significant Portfolio Movements 31 Danske Invest Hedge Fixed Income Relative Value Fund Statement of Investments 33 Geographical and Economic Portfolio Breakdowns 37 Statement of Significant Portfolio Movements 38 Danske Invest Hedge Fixed Income Opportunities Fund Statement of Investments 40 Geographical and Economic Portfolio Breakdowns 41 Statement of Significant Portfolio Movements 42 Danske Invest Hedge Mortgage Arbitrage Fund Statement of Investments 43 Geographical and Economic Portfolio Breakdowns 45 Statement of Significant Portfolio Movements 46 Danske Invest Quant Fi / Fx Fund Statement of Investments 47 Geographical and Economic Portfolio Breakdowns 48 Statement of Significant Portfolio Movements 49 Notes to the Unaudited Financial Statements 50 Page 3

4 General Information Protected Cell Company Danske Invest PCC Limited ("the Company") is an open-ended protected cell investment company governed by the provisions of The Companies (Guernsey) Law, 2008 as amended, The Protection of Investors (Bailiwick of Guernsey) Law, 1987 as amended, the Authorised Collective Investment Schemes (Class B) Rules, 2013 and the Company's Principal documents. The Company is registered in Guernsey, Channel Islands. The Company is an alternative investment fund ("AIF") and the AIFM is an alternative investment fund manager for the purposes of the Alternative Investment Fund Managers Directive 2011/61/EU ("AIFMD"). The Company may not be marketed (within the meaning given to the term "marketing" under the AIFMD), and the Scheme Particulars may not be sent, to prospective investors domiciled in or with a registered office in any Member State of the European Economic Area ("EEA") unless: (i) the AIFM has obtained marketing permission made available under provisions of the AIFMD as implemented in the national legislation of that Member State or (ii) such marketing was initiated by a prospective investor and not by the AIFM or any other person/entity acting directly or indirectly on behalf of the AIFM. In case of any conflict between this notice to EEA investors and any notices in respect of individual EEA Member States set out below, this notice shall prevail. The Collective Investment Schemes (Class B) Rules 1990 were revoked and replaced by the Authorised Collective Investment Schemes (Class B) Rules 2013 on 2 January Under the transitional rules, the Company is now authorised under the new rules. At the end of the period the Company had five active cells (referred to hereafter as the Fund or Cell). Danske Invest Leveraged Balanced Fund is in the process of orderly wind up and this may still take some time. The assets of separate cells are held in segregated portfolios. Persons investing and dealing in a cell of the Company shall only have recourse to the assets attributable to that particular cell. They shall have no recourse to the assets of any other cell, except as provided under the Companies (Guernsey) Law, 2008, as amended, against any non-cellular assets or liabilities of the Company. Thereafter, the assets of any cell are not exposed to the liabilities of other cells within the umbrella structure. However, the protected cell company structure has not, so far as the Directors are aware, been tested in any courts. Accordingly, if the assets of the Company are situated in a jurisdiction other than Guernsey, it is not known whether courts in other jurisdictions would recognise the protected cell structure and integrity of the separate cells. AIFM The AIFM Directive was transposed by European Economic Area ("EEA") member states into their respective national laws on 22 July Danske Invest PCC Limited has appointed Danske Invest Management A/S - the AIFM - as its alternative investment fund manager in respect of each of its cells pursuant to the terms of an alternative investment fund management agreement effective as of 22 July 2014 and amended on 25 August Full particulars of the alternative investment fund management agreement are described in the Principal Particulars. The AIFM holds no interests in the Shares of the Company. Objectives The investment objective of the Company is to seek to achieve long term capital growth from a series of cells established for the purposes of pursuing different investment strategies and investing in different asset classes. Danske Invest European Equities Absolute Fund (liquidated as at 22 May 2017) The Cell was launched on 6 May On 31 January 2007, the Cell was closed and later re-launched on 10 December The Cell was liquidated on 22 May The investment objective of the Fund is to generate high absolute returns primarily through an investment programme utilising conventional and alternative investment and trading strategies including the use of short selling, derivatives for investment and hedging purposes and leverage. 4

5 General Information (continued) Danske Invest Hedge Fixed Income Strategies Fund The cell was launched on 3 January The investment objective of the Fund is to generate high absolute returns primarily through an investment programme using conventional and alternative investment and trading strategies, including short selling, the use of derivatives for investment and hedging purposes and leverage. The derivatives may include listed futures, options (dealt in over the counter (OTC) or listed), swaps and swaptions (options on swaps), repo and reverse repo transactions and FRAs and interest rate futures. Danske Invest Leveraged Balanced Fund The cell was launched on 17 February The investment objective of the Fund is to seek to achieve long-term capital growth through investments in debt securities and equities either by direct investment or by investment in other open ended investment funds including hedge funds. The Fund uses various gearing and borrowing techniques, including the use of derivative instruments, to leverage the Fund's investment portfolio up to three times the Net Asset Value of the Fund from time to time. The Fund may borrow to fund its leverage and gearing. Such gearing and borrowing techniques might include the use of instruments such as credit facilities and repurchase agreements. Trading in Danske Invest Leveraged Balanced Fund was suspended on 10 October 2008 and on 15 December 2008 it was decided to close the Fund and commence wind up, as a result of events noted in note 14. On 27 January 2009, the Directors decided to close the trading subsidiary company, Danske Invest Leveraged Balanced Fund Trading Subsidiary Limited. The wholly owned trading subsidiary was dissolved on 20 October Danske Invest Hedge Fixed Income Relative Value Fund The cell Danske Invest Hedge Fixed Income Opportunities Fund was launched on 3 September On 2 June 2014 the name of the cell was changed to be Danske Invest Hedge Fixed Income Relative Value Fund. The objective of the Fund is to generate absolute returns by investing in transferable securities, mainly in bonds and other debt instruments admitted to or dealt on a Recognised Investment Exchange and issued by credit institutions, companies, governments, municipalities or other public organisations of an OECD country or guaranteed by OECD country (Agencies) or OECD countries jointly (Supranational). In addition the Fund may use money market instruments. The strategy of the Fund is to exploit opportunities and pricing anomalies within fixed income markets, taking long and short positions via, for example, bonds and financial derivative instruments. Positions will mainly be in government bonds and mortgage bonds as well as in financial derivative instruments based on yield curves, such as swaps, futures, forwards and options and repurchase agreements. For the purpose of hedging and/or efficient portfolio management as well as for the purpose of meeting the investment objective, the Fund may use financial derivatives including but not limited to repo and reverse transactions, swaps, futures and FX forwards. Danske Invest Hedge Fixed Income Opportunities Fund The cell was launched on 14 April The objective of the Fund is to generate absolute returns by investing in transferable securities, mainly bonds and other debt instruments which are admitted to or dealt in on a Recognised Investment Exchange and issued by credit institutions, Special Credit Institutions, companies, governments, municipalities or other public organisations of an OECD country or emerging and frontier markets country or guaranteed by OECD country (Agencies) or OECD countries jointly (Supranational). In addition, the Fund may use money market instruments. The Fund may invest directly in such transferable securities and money market instruments or in units or shares of any undertakings for collective investment in transferable securities ( UCITS ), alternative investment funds ( AIFs ) and other collective investment undertakings investing herein. For the purpose of hedging and/or efficient portfolio management as well as for the purpose of meeting the investment objective, the Fund may use financial derivative instruments, including but not limited to swaps, futures and FX forwards, and enter into repurchase and reverse repurchase transactions. Danske Invest Hedge Mortgage Arbitrage Fund The cell Danske Invest Hedge Mortgage Arbitrage Fund was migrated into the company on 2 March

6 General Information (continued) Investment Objective and Policy The objective of the Fund is to generate absolute returns by investing in transferable securities, mainly bonds and other debt instruments which are admitted to or dealt in on a Recognised Investment Exchange and issued by Special Credit Institutions, governments, municipalities or other public organisations in an EU country or guaranteed by EU country (Agencies) or EU countries jointly (Supranational). In respect of its direct investment programme, the Fund s major value creation will also be through the Fund s direct investments in Danish bonds issued by Special Credit Institutions (mortgage bonds). This 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 in volatility between the government and mortgage credit bond markets will be a source of value. For the purpose of hedging and/or efficient portfolio management as well as for the purpose of meeting the investment objective, the Fund may use financial derivative instruments, including but not limited to swaps, futures and FX forwards, and enter into repurchase and reverse repurchase transactions. The Fund plans to achieve its investment objective through active investment management; hence the Fund s investments, may be concentrated, although diversified within the selected strategy or opportunity. The Fund may use various gearing and borrowing techniques to leverage their respective investment portfolios. The Fund may borrow in Euros ( EUR ) and Danish DKK ( DKK ) to fund its leverage and gearing positions. Other gearing and borrowing techniques used by the Fund might include the use of instruments such as credit facilities, repurchase agreements and derivatives. Danske Invest Quant Fi / Fx Fund Investment Objective and Policy The investment objective of the Fund is to generate absolute returns through exposures to fixed income and foreign exchange markets. The Fund seeks to achieve its investment objective through offering the investors exposure to a rule-based combined strategy investing in these markets and may seek to establish long and/or short positions to multiple sources of market risk, including but not limited to debt securities issued by U.S. government (treasury notes), bonds issued by Germany's federal government (bonds) and foreign currency exchange rates (FX). 6

7 Management and Administration Directors of the Company Klaus Ebert Kåre Hahn Michelsen Ben Morgan Patrick Firth (appointed on 1 July 2017) Whose addresses are the registered office of the Company. Registered office of the Company PO Box 246 Canada Court Upland Road St Peter Port Guernsey GY1 3QE Channel Islands Registration number: Custodian Royal Bank of Canada (Channel Islands) Limited PO Box 48 Canada Court Upland Road St Peter Port Guernsey GY1 3BQ Channel Islands Auditor Deloitte LLP PO Box 137 Regency Court Glategny Esplanade St Peter Port Guernsey GY1 3HW Channel Islands Administrator, Secretary and Registrar of the Company and Designated Manager RBC Offshore Fund Managers Limited PO Box 246 Canada Court Upland Road St Peter Port Guernsey GY1 3QE Channel Islands Sub-Registrar RBC Investor Services Bank S.A. 14 Porte de France L-4360 Esch-sur-Alzette Grand Duchy of Luxembourg Sub-Administrator and Sub-Custodian RBC Investor Services Bank S.A. 14 Porte de France L-4360 Esch-sur Alzette Grand Duchy of Luxembourg AIFM Danske Invest Management A/S Parallelvej Kgs. Lyngby Denmark Cash Flow Monitoring and Oversight Agent RBC Investor Services Bank S.A 14 Porte de France L-4360 Esch-sur-Alzette Grand Duchy of Luxembourg Distributor Danske Invest Management A/S Parallelvej Kgs. Lyngby Denmark Investment Manager Danske Bank A/S Parallelvej Kgs. Lyngby Denmark Danske Bank International S.A. 13, rue Edward Steichen L-2540 Luxembourg Grand Duchy of Luxembourg (for Danske Invest Leveraged Balanced Fund only) Legal Advisor in Guernsey Carey Olsen PO Box 98 Les Banques St Peter Port Guernsey GY1 4BZ Channel Islands 7

8 Investment Manager's Report Danske Invest Hedge Fixed Income Strategies Fund The fund has provided a return of 8.64% for the first six months of The first half of 2017 has been marked by uncertainty in the financial markets caused primarily by the French presidential election and the fading optimism which grew after the election of US president Donald Trump, but also an unexpected UK parliamentary election added to the uncertainty. Swedish and Danish mortgage bonds have both been a large contributor to the performance in the first six months of The yield spread to duration equivalent government bonds and interest rate swaps have narrowed quite significantly. It is mainly foreign investors who buy the mortgage bonds and the increased demand is the driver behind the spread narrowing. Cross currency basis swaps have also contributed significantly to the performance. Increased activity in swapping of interest rates due to the low yield environment in non-us developed countries creates investment opportunities which the sub-fund has benefitted from. The sub-fund continues to pursue a large number of relative-value strategies in EUR, USD, DKK, SEK, NOK, GBP and CHF, respectively and also cross trading in the mentioned currencies. A lot of these relative value have contributed to the fund s performance. We find that the current political situation in both US and Europe and the rich pricing of most asset classes could potentially cause some unexpected volatility in the financial market and the fund therefore could run a lower than usual risk utilization. At the end of June 2017, the portfolio s Value-at-Risk utilization is approximately 40%. Danske Invest Hedge Fixed Income Relative Value Fund The sub-fund has provided a return of 7.04% for the first six months of The first half of 2017 has been marked by uncertainty in the financial markets caused primarily by the French presidential election and the fading optimism which grew after the election of US president Donald Trump, but also an unexpected UK parliamentary election added to the uncertainty. Norwegian mortgage bonds have been a good contributor to the performance in the first six months of The yield spread to duration equivalent government bonds and interest rate swaps have narrowed quite significantly. Cross currency basis swaps have also contributed significantly to the performance. Increased activity in swapping of interest rates due to the low yield environment in non-us developed countries creates investment opportunities which the fund has benefitted from. The fund continues to pursue a large number of relative-value strategies in EUR, USD, DKK, SEK, NOK, GBP and CHF, respectively and also cross trading in the mentioned currencies. A lot of these relative value have contributed to the fund s performance. We find that the current political situation in both US and Europe and the rich pricing of most asset classes could potentially cause some unexpected volatility in the financial market and the fund therefore could run a lower than usual risk utilization. At the end of June 2017, the portfolio s Value-at-Risk utilization is approximately 30%. Danske Invest Hedge Fixed Income Opportunities Fund Going into 2017 the average duration of the positions had been increased somewhat and the fund saw negative performance in January as global interest rates continued to move higher. However, as rates in the market stabilised during February the accumulated performance for the year went back into positive territory. In March and April, we lowered duration to negative levels as the fund was positioned for a more hawkish pricing of the Federal Reserve s rate path. Initially these positions saw some headwinds before recovering sharply in May and June. The Fed funds curve is now fair and we have closed down the positions. Overall, the fund has seen broadly flat performance in the first half of Currently the fund is only utilising a minor part of its risk budget and the duration is marginally positive. Following the rate increases seen in June we believe the fixed income markets are now less expensive and we see improving risk-reward of increasing the duration again in selected markets. We therefore stand ready to increase duration should rates move any higher and we expect a decent positive return for the fund for the remainder of

9 Investment Manager's Report (continued) Danske Invest Hedge Mortgage Arbitrage Fund The sub-fund has provided a return of 3.24% for the first six months of The first half of 2017 have been marked by uncertainty in the financial markets caused primarily by the French presidential election and the fading optimism which grew after the election of US president Donald Trump, but also an unexpected UK parliamentary election added to the uncertainty. Danish mortgage bonds started the year with a further narrowing of the yield spread to duration equivalent government bonds and interest rate swaps. It is mainly foreign investors who buy Danish mortgage bonds and the increased demand is the driver behind the spread narrowing and the fund s performance in the first half of Although Danish mortgage bonds are considered expensive in a historical perspective, there is no indication that investors substitute into other asset classes. The supply of mortgage bonds is relatively limited, low level of interest rates and the demand is intact, which maintains the relative expensive pricing. As at end of June 2017, the portfolio risk level is approx. 60% below our maximum risk limit as measured by bond leverage. Note: Historical returns are no reliable indicator of future returns. It should be noted that monthly returns (in per cent) are non-additive. 9

10 Unaudited Statement of Net Assets Danske Invest Hedge Fixed Income Strategies Fund Danske Invest Leveraged Balanced Fund Danske Invest European Equities Absolute Fund* Danske Invest Hedge Fixed Income Relative Value Fund Note DKK EUR EUR DKK ASSETS Investment portfolio at market value (2b) 47,507,300, ,287,275,145 Options purchased (10) 4,247, ,415,931 Cash at bank 2,648,970, ,277 8,929, ,540,462 Amounts receivable on reverse repo (11) 5,169,294, ,595,314,997 Amounts receivable on subscriptions ,187,557 Settlement due on repo 9,979,249, Interest and dividends receivable, net (2d) 164,431,717-7,059 60,099,539 Amounts receivable on sale of investments 142,891, Formation expenses, net (2l) 7, ,970 Net unrealised gain on forward foreign exchange contracts (10) 22,098, ,846,052 Net unrealised gain on futures contracts (10) Net unrealised gain on swaps and swaptions & FRA (10) ,517,684 TOTAL ASSETS 65,638,492, ,277 8,936,407 11,977,252,337 LIABILITIES Bank overdraft ,886,605 Short options at market value (10) 3,335, ,111,773 Interest and dividends payable, net 31,702, ,261 38,267,341 Amounts payable on purchase of investments 124,376, ,684,440 Amounts payable on redemptions ,463 Amounts payable on repo (11) 55,992,606, ,516,555,451 Net unrealised loss on futures contracts (10) 34,268, ,172,400 Net unrealised loss on swaps and swaptions & FRA (10) 392,092, Management fees payable (3) 4,698, ,873 2,578,666 Performance fee payable (4) 170,118, ,615,034 Taxes and expenses payable 2,135,060 1,958 8,820, ,929 Settlement due on reverse repo 283,006, Other liabilities 9,963, ,125 TOTAL LIABILITIES 57,048,304,078 1,963 8,936,407 8,822,721,227 TOTAL NET ASSETS 8,590,188, ,314-3,154,531, * Liquidated as at 22 May 2017 The accompanying notes 1-16 form an integral part of these unaudited financial statements.

11 Unaudited Statement of Net Assets (continued) Danske Invest Hedge Fixed Income Opportunities Fund Danske Invest Hedge Mortgage Arbitrage Fund Danske Invest Quant Fi / Fx Fund Company total Note DKK DKK EUR DKK ASSETS Investment portfolio at market value (2b) 1,096,108,339 5,082,376,271-61,973,060,337 Options purchased (10) ,663,723 Cash at bank 308,666, ,746,771 3,819,803 4,216,912,398 Amounts receivable on reverse repo (11) - 193,809,299-7,958,418,590 Amounts receivable on subscriptions 1,451, ,638,786 Settlement due on repo - 1,562,554,795-11,541,804,100 Interest and dividends receivable, net (2d) 4,178,126 19,571, ,333,769 Amounts receivable on sale of investments - 44,781, ,673,488 Formation expenses, net (2l) 20, ,186 Net unrealised gain on forward foreign exchange contracts (10) - 1,136,913-98,081,762 Net unrealised gain on futures contracts (10) 6,004, ,004,594 Net unrealised gain on swaps and swaptions & FRA (10) - 2,622,684-41,140,368 TOTAL ASSETS 1,416,429,950 7,151,600,357 3,819,803 86,279,815,101 LIABILITIES Bank overdraft - 3,788,685-29,675,290 Short options at market value (10) ,447,093 Interest and dividends payable, net 5, , ,059,090 Amounts payable on purchase of investments - 3,302, ,363,760 Amounts payable on redemptions 305, ,908 Amounts payable on repo (11) - 5,560,467,469-70,069,629,259 Net unrealised loss on futures contracts (10) ,440,527 Net unrealised loss on swaps and swaptions & FRA (10) ,092,151 Management fees payable (3) 558, ,558 2,331 9,577,741 Performance fee payable (4) 242,124 15,077, ,053,194 Taxes and expenses payable 193, ,891 1,431 68,639,361 Settlement due on reverse repo ,006,849 Other liabilities ,970,829 TOTAL LIABILITIES 1,304,431 5,584,796,538 4,393 71,523,630,052 TOTAL NET ASSETS 1,415,125,519 1,566,803,819 3,815,410 14,756,185,049 Approved by the Board of Directors on K. Ebert B. Morgan Director Director The accompanying notes 1-16 form an integral part of these unaudited financial statements. 11

12 Statistics Danske Invest Hedge Fixed Income Strategies Fund Danske Invest Leveraged Balanced Fund Danske Invest European Equities Absolute Fund* Danske Invest Hedge Fixed Income Relative Value Fund 30 June 2017 Net asset value per share (In presentational currency of the Class) EUR Sub-Class (EUR) 1, , DKK Sub-Class A (DKK) 3, DKK Sub-Class (DKK) 4, , Obligationer Sub-Class (DKK) 3, SEK Sub-Class (SEK) 3, , DKK Sub-Class I (DKK) 1, USD Sub-Class (USD) , EUR Sub-Class W (EUR) DKK Sub-Class W (DKK) 1, Obligationer Sub-Class W (DKK) 1, A Sub-Class (EUR) Number of participating redeemable preference shares outstanding EUR Sub-Class (EUR) 10, , DKK Sub-Class A (DKK) 116, DKK Sub-Class (DKK) 501, , Obligationer Sub-Class (DKK) 593, SEK Sub-Class (SEK) 81, ,230, DKK Sub-Class I (DKK) 1,814, USD Sub-Class (USD) , EUR Sub-Class W (EUR) DKK Sub-Class W (DKK) 135, Obligationer Sub-Class W (DKK) 137, A Sub-Class (EUR) December 2016 Net asset value per share (In presentational currency of the Class) EUR Sub-Class (EUR) 1, , , A Sub-Class (EUR) A Sub-Class (DKK) 3, DKK Sub-Class (DKK) 4, , Obligationer Sub-Class (DKK) 3, S Sub-Class (SEK) 3, SEK Sub-Class (SEK) , I Sub-Class (DKK) 1, USD Sub-Class (USD) , W Sub-Class (EUR) Number of participating redeemable preference shares outstanding EUR Sub-Class (EUR) 10, , , A Sub-Class (EUR) - 80, A Sub-Class (DKK) 118, DKK Sub-Class (DKK) 533, , Obligationer Sub-Class (DKK) 644, S Sub-Class (SEK) 82, SEK Sub-Class (SEK) ,095, I Sub-Class (DKK) 1,768, USD Sub-Class (USD) , W Sub-Class (EUR) * Liquidated as at 22 May 2017 The accompanying notes 1-16 form an integral part of these unaudited financial statements.

13 Statistics (continued) Danske Invest Hedge Fixed Income Opportunities Fund Danske Invest Danske Invest Hedge Mortgage Quant Fi / Fx Fund Arbitrage Fund 30 June 2017 Net asset value per share (In presentational currency of the Class) EUR Sub-Class (EUR) DKK Sub-Class A (DKK) - 1, DKK Sub-Class (DKK) - 1, Obligationer Sub-Class (DKK) SEK Sub-Class (SEK) DKK Sub-Class I (DKK) USD Sub-Class (USD) EUR Sub-Class W (EUR) DKK Sub-Class W (DKK) 1, Obligationer Sub-Class W (DKK) A Sub-Class (EUR) Number of participating redeemable preference shares outstanding EUR Sub-Class (EUR) DKK Sub-Class A (DKK) - 46, DKK Sub-Class (DKK) - 884, Obligationer Sub-Class (DKK) SEK Sub-Class (SEK) DKK Sub-Class I (DKK) USD Sub-Class (USD) EUR Sub-Class W (EUR) - - 4, DKK Sub-Class W (DKK) 1,390, Obligationer Sub-Class W (DKK) A Sub-Class (EUR) December 2016 Net asset value per share (In presentational currency of the Class) EUR Sub-Class (EUR) A Sub-Class (EUR) A Sub-Class (DKK) - 1, DKK Sub-Class (DKK) 1, , Obligationer Sub-Class (DKK) S Sub-Class (SEK) SEK Sub-Class (SEK) I Sub-Class (DKK) USD Sub-Class (USD) W Sub-Class (EUR) Number of participating redeemable preference shares outstanding EUR Sub-Class (EUR) A Sub-Class (EUR) A Sub-Class (DKK) - 46, DKK Sub-Class (DKK) 1,350, ,172, Obligationer Sub-Class (DKK) S Sub-Class (SEK) SEK Sub-Class (SEK) I Sub-Class (DKK) USD Sub-Class (USD) W Sub-Class (EUR) - - 4, The accompanying notes 1-16 form an integral part of these unaudited financial statements. 13

14 Statement of Changes in the Number of Shares for the Period ended 30 June 2017 Danske Invest Hedge Fixed Income Strategies Fund Danske Invest Leveraged Balanced Fund Danske Invest European Equities Absolute Fund* Danske Invest Hedge Fixed Income Relative Value Fund EUR Sub-Class Number of shares outstanding at the beginning of the period 10, , , Number of shares issued , Number of shares redeemed - - (28, ) (4, ) Number of shares outstanding at the end of the period 10, , DKK Sub-Class A Number of shares outstanding at the beginning of the period 118, Number of shares issued Number of shares redeemed (2, ) Number of shares outstanding at the end of the period 116, DKK Sub-Class Number of shares outstanding at the beginning of the period 533, , Number of shares issued , Number of shares redeemed (32, ) - - (70, ) Number of shares outstanding at the end of the period 501, , Obligationer Sub-Class Number of shares outstanding at the beginning of the period 644, Number of shares issued Number of shares redeemed (50, ) Number of shares outstanding at the end of the period 593, SEK Sub-Class Number of shares outstanding at the beginning of the period 82, ,095, Number of shares issued , Number of shares redeemed ( ) - - (48, ) Number of shares outstanding at the end of the period 81, ,230, DKK Sub-Class I Number of shares outstanding at the beginning of the period 1,768, Number of shares issued 77, Number of shares redeemed (31, ) Number of shares outstanding at the end of the period 1,814, USD Sub-Class Number of shares outstanding at the beginning of the period , Number of shares issued Number of shares redeemed Number of shares outstanding at the end of the period , EUR Sub-Class W Number of shares outstanding at the beginning of the period Number of shares issued Number of shares redeemed Number of shares outstanding at the end of the period DKK Sub-Class W Number of shares outstanding at the beginning of the period Number of shares issued 135, Number of shares redeemed Number of shares outstanding at the end of the period 135, * Liquidated as at 22 May 2017 The accompanying notes 1-16 form an integral part of these unaudited financial statements.

15 Statement of Changes in the Number of Shares for the Period ended 30 June 2017 (continued) Danske Invest Hedge Fixed Income Strategies Fund Danske Invest Leveraged Balanced Fund Danske Invest European Equities Absolute Fund* Danske Invest Hedge Fixed Income Relative Value Fund Obligationer Sub-Class W Number of shares outstanding at the beginning of the period Number of shares issued 137, Number of shares redeemed Number of shares outstanding at the end of the period 137, A Sub-Class Number of shares outstanding at the beginning of the period - 80, Number of shares issued Number of shares redeemed - (80, ) - - Number of shares outstanding at the end of the period * Liquidated as at 22 May 2017 The accompanying notes 1-16 form an integral part of these unaudited financial statements. 15

16 Statement of Changes in the Number of Shares for the Period ended 30 June 2017 (continued) Danske Invest Hedge Fixed Income Opportunities Fund Danske Invest Hedge Mortgage Arbitrage Fund Danske Invest Quant Fi / Fx Fund EUR Sub-Class Number of shares outstanding at the beginning of the period Number of shares issued Number of shares redeemed Number of shares outstanding at the end of the period DKK Sub-Class A Number of shares outstanding at the beginning of the period - 46, Number of shares issued Number of shares redeemed - ( ) - Number of shares outstanding at the end of the period - 46, DKK Sub-Class Number of shares outstanding at the beginning of the period - 1,172, Number of shares issued - 108, Number of shares redeemed - (396, ) - Number of shares outstanding at the end of the period - 884, Obligationer Sub-Class Number of shares outstanding at the beginning of the period Number of shares issued Number of shares redeemed Number of shares outstanding at the end of the period SEK Sub-Class Number of shares outstanding at the beginning of the period Number of shares issued Number of shares redeemed Number of shares outstanding at the end of the period DKK Sub-Class I Number of shares outstanding at the beginning of the period Number of shares issued Number of shares redeemed Number of shares outstanding at the end of the period USD Sub-Class Number of shares outstanding at the beginning of the period Number of shares issued Number of shares redeemed Number of shares outstanding at the end of the period EUR Sub-Class W Number of shares outstanding at the beginning of the period - - 4, Number of shares issued Number of shares redeemed Number of shares outstanding at the end of the period - - 4, DKK Sub-Class W Number of shares outstanding at the beginning of the period 1,350, Number of shares issued 154, Number of shares redeemed (114, ) - - Number of shares outstanding at the end of the period 1,390, The accompanying notes 1-16 form an integral part of these unaudited financial statements.

17 Statement of Changes in the Number of Shares for the Period ended 30 June 2017 (continued) Danske Invest Hedge Fixed Income Opportunities Fund Danske Invest Hedge Mortgage Arbitrage Fund Danske Invest Quant Fi / Fx Fund Obligationer Sub-Class W Number of shares outstanding at the beginning of the period Number of shares issued Number of shares redeemed Number of shares outstanding at the end of the period A Sub-Class Number of shares outstanding at the beginning of the period Number of shares issued Number of shares redeemed Number of shares outstanding at the end of the period The accompanying notes 1-16 form an integral part of these unaudited financial statements. 17

18 Danske Invest Hedge Fixed Income Strategies Fund Statement of Investments (expressed in DKK) Description Quantity Face Value Currency Cost Fair Value % net assets Long Investments Transferable securities admitted to an official stock exchange listing or dealt in on another regulated market Bonds Canada Can Housing 1.25% ,000,000 CAD 1,011,448, ,052, Can Housing 1.5% ,000,000 CAD 532,283, ,471, Can Housing 1.75% ,000,000 CAD 518,182, ,968, ,061,914,257 1,998,493, Denmark Brf 0.5% ,000,000 EUR 443,465, ,987, Brf 1% ,000,000 DKK 120,408, ,017, Brfkredit 5% ,933,967 DKK 35,149,164 37,816, Dansk Ldb Realkr. 5% ,904,129 DKK 25,724,592 27,328, Dsk Bk Frn ,000,000 NOK 542,869, ,835, Dsk Bk Frn ,051,000,000 NOK 861,988, ,818, Dsk Bk Frn ,000,000 NOK 640,986, ,036, Nordea 5% ,379,630 DKK 368,230, ,840, Nordea Bank 5% ,207,376 DKK 22,069,024 22,900, Nordea Kred 1% ,000,000 EUR 187,161, ,150, Nordea Kredit 5% ,442,131 DKK 43,379,889 46,195, Nykredit 5% N. 02d 48,251,263 DKK 50,897,081 53,667, Nykredit 5% Nr. 03d 136,344,916 DKK 147,951, ,558, Nykredit 5% ,850,022 DKK 94,462,120 99,578, Nykredit Frn ,634,309 EUR 1,139,478,783 1,137,340, Nykredit Frn ,000,000 SEK 637,796, ,866, Nykredit Frn ,891,115 DKK 288,411, ,959, Nykredit Frn ,512,335,506 DKK 1,513,375,449 1,524,615, Nykredit Frn ,000,000 SEK 539,111, ,817, Nykredit Frn ,000,000 SEK 652,184, ,779, Nykredit Real 5% /Ioh 107,912,552 DKK 116,175, ,723, Nykredit Realkr. 5% Oa 56,011,606 DKK 60,517,043 63,475, Nykredit Realkr. 5% ,976,016 DKK 28,731,973 30,813, Realkr. Danmark 5% Oa 163,655,493 DKK 175,950, ,462, Realkr. Danmark 6% doa 16,917,607 DKK 18,193,760 19,590, Realkrdt 1% /Collat 42,375,000 DKK 42,695,355 42,693, Realkrdt Frn ,829,500 EUR 162,789, ,072, Realkrdt Frn ,360,000 NOK 363,612, ,742, Realkrdt Frn ,000,000 SEK 552,990, ,218, Realkred. Danm. 6% S53d 52,759,769 DKK 56,690,371 61,201, Realkredit 5% ,618,481 DKK 21,691,183 22,932, Realkredit 5% Ds 11,788,084 DKK 12,079,839 13,302, Realkredit Dan 5% D 152,405,584 DKK 164,246, ,085, Realkredit Dk 5% ,279,798 DKK 29,729,861 30,655, Totalkredit 5% ,742,014 DKK 237,597, ,318, ,398,795,352 10,409,398, Germany Germany 0% /Collat 7,442,000 EUR 55,522,571 55,524, The accompanying notes 1-16 form an integral part of these unaudited financial statements.

19 Danske Invest Hedge Fixed Income Strategies Fund Statement of Investments (continued) (expressed in DKK) Description Quantity Face Value Currency Cost Fair Value % net assets Germany 5.5% /Collat 1,905,000 EUR 22,869,800 22,856, ,392,371 78,380, Great Britain Uk 4.25% ,790,000 GBP 630,657, ,136, Uk 4.25% ,400,000 GBP 690,728, ,846, ,321,385,613 1,260,983, Norway Bustadk Frn ,000,000 NOK 118,635, ,327, Bustadk Frn ,000,000 NOK 47,596,001 46,028, Bustadk Frn ,000,000 NOK 155,593, ,741, Bustadk Frn ,000,000 NOK 278,015, ,201, Dnb Frn ,000,000 NOK 235,857, ,023, Dnb Frn ,500,000,000 NOK 1,944,464,867 1,937,644, Eika Bol 3.25% ,000,000 NOK 647,311, ,539, Eika Bol Frn ,000,000 NOK 472,195, ,936, Eika Bol Frn ,000,000 NOK 201,083, ,229, Gjensidige Frn ,000,000 NOK 109,532, ,301, Gjensidige Frn ,000,000 NOK 78,074,683 78,189, Gjensidige Frn ,000,000 NOK 228,662, ,684, Gjensidige Frn ,000,000 NOK 394,384, ,911, Helgeland Frn ,000,000 NOK 19,564,075 19,445, Klp Boligkr Frn ,000,000 NOK 350,028, ,111, Klp Komm Frn ,000,000 NOK 377,399, ,887, Morebo Frn ,000,000 NOK 158,211, ,284, Ndea Eien Frn ,000,000 NOK 317,832, ,829, Ndea Eien Frn ,000,000 NOK 324,673, ,523, Ndea Eien Frn ,000,000 NOK 664,268, ,937, Obos Boligk Frn ,000,000 NOK 272,302, ,551, Skan Bolig Frn ,000,000 NOK 260,748, ,115, Skan Bolig Frn ,000,000 NOK 512,277, ,766, Skan Bolig Frn ,000,000 NOK 388,986, ,075, Skan Bolig Frn ,000,000 NOK 707,510, ,458, Spar Sor Frn ,000,000 NOK 468,719, ,144, Spar Sor Frn ,000,000 NOK 192,541, ,808, Sparebanken Frn ,000,000 NOK 271,314, ,039, Sparebanken Frn ,000,000 NOK 157,267, ,176, Sparebk % ,000,000 NOK 355,101, ,343, Spbk Bolikr Frn ,000,000 NOK 340,082, ,491, Spbk Bolikr Frn ,928,000,000 NOK 1,500,808,713 1,490,698, Sr-Bolig Frn ,000,000 NOK 204,306, ,791, Storebrand Frn ,000,000 NOK 357,577, ,148, Storebrand Frn ,000,000 NOK 554,000, ,478, Storebrand Frn ,000,000 NOK 63,120,389 62,500, ,730,051,243 13,508,364, Sweden Lansbk 2.25% ,670,000,000 SEK 2,232,795,984 2,214,864, Nordea Hyp 1% ,500,000,000 SEK 6,702,417,505 6,679,924, Nordea Hyp 1.25% ,650,000,000 SEK 4,556,369,327 4,514,413, Scbc 1.25% ,627,000,000 SEK 1,288,317,287 1,290,427, The accompanying notes 1-16 form an integral part of these unaudited financial statements. 19

20 Danske Invest Hedge Fixed Income Strategies Fund Statement of Investments (continued) (expressed in DKK) Description Quantity Face Value Currency Cost Fair Value % net assets Seb 0.75% Coll 435,000 EUR 3,288,668 3,292, Seb 1.5% ,450,000,000 SEK 1,978,759,981 1,972,470, Stadshypo Frn ,000,000 NOK 625,238, ,402, Stadshypo Frn ,000,000,000 NOK 770,560, ,304, Stadshypo Frn ,000,000,000 NOK 785,271, ,371, Swedbk 1% ,587,000,000 SEK 4,401,999,300 4,382,184, Swedbk Frn ,000,000 NOK 227,759, ,603, Sweden 0.75% ,000,000 SEK 378,675, ,948, ,951,452,920 23,850,207, United States of America Usa 2.25% /Tbo 120,000,000 USD 842,130, ,283, ,130, ,283, Total - Bonds 52,384,121,779 51,888,111, Total - Transferable securities admitted to an official stock exchange listing or dealt in on another regulated market 52,384,121,779 51,888,111, Other Transferable securities Bonds Denmark Dsk Bk Frn ,000,000 NOK 305,828, ,359, ,828, ,359, Norway Bustadk Frn ,000,000 NOK 116,593, ,844, ,593, ,844, Total - Bonds 422,421, ,203, Total - Other Transferable securities 422,421, ,203, Financial Instruments Options, Warrants, Rights Germany Call Ebf Euribor 3 Months 03/11/ ,000,000 EUR 6,248,693 6,246, ,248,693 6,246, Total - Options, Warrants, Rights 6,248,693 6,246, Total - Financial Instruments 6,248,693 6,246, Total - Long Investments 52,812,792,166 52,312,561, The accompanying notes 1-16 form an integral part of these unaudited financial statements.

21 Danske Invest Hedge Fixed Income Strategies Fund Statement of Investments (continued) (expressed in DKK) Description Quantity Face Value Currency Cost Fair Value % net assets Short Investments Transferable securities admitted to an official stock exchange listing or dealt in on another regulated market Bonds Canada Canada 0.75% (53,000,000) CAD (272,899,930) (261,390,762) (3.04) Cnd Gvt 0.5% (53,200,000) CAD (265,120,154) (256,878,228) (2.99) Cnd Gvt 0.75% (105,400,000) CAD (553,066,285) (517,548,065) (6.03) (1,091,086,369) (1,035,817,055) (12.06) Denmark Denmark 0.5% (500,000,000) DKK (497,425,000) (492,099,475) (5.73) Denmark 1.75% (1,640,000,000) DKK (1,841,484,200) (1,828,235,887) (21.28) (2,338,909,200) (2,320,335,362) (27.01) Sweden Sweden 1% (553,000,000) SEK (438,962,649) (440,901,848) (5.13) Sweden 2.5% (500,000,000) SEK (447,812,984) (447,246,616) (5.21) (886,775,633) (888,148,464) (10.34) The Netherlands Netherlands 2.5% (59,900,000) EUR (560,285,493) (547,256,827) (6.37) (560,285,493) (547,256,827) (6.37) Total - Bonds (4,877,056,695) (4,791,557,708) (55.78) Total - Transferable securities admitted to an official stock exchange listing or dealt in on another regulated market (4,877,056,695) (4,791,557,708) (55.78) Financial Instruments Options, Warrants, Rights Germany Call Ebf Euribor 3 Months 03/11/19 0 (300,000,000) EUR (3,570,682) (3,569,573) (0.04) Call Ebf Euribor 3 Months 03/11/19 0 (300,000,000) EUR (2,678,011) (2,677,180) (0.03) (6,248,693) (6,246,753) (0.07) Total - Options, Warrants, Rights (6,248,693) (6,246,753) (0.07) Total - Financial Instruments (6,248,693) (6,246,753) (0.07) Total - Short Investments (4,883,305,388) (4,797,804,461) (55.85) TOTAL - INVESTMENT PORTFOLIO 47,929,486,778 47,514,756, The accompanying notes 1-16 form an integral part of these unaudited financial statements. 21

22 Danske Invest Hedge Fixed Income Strategies Fund Geographical and Economic Portfolio Breakdowns (expressed as a percentage of net assets) Geographical breakdown % Sweden Norway Denmark Great Britain Canada United States of America 9.11 Germany 0.91 The Netherlands (6.37) Economic breakdown % Banks and Financial Institutions Mortgage and Funding Institutions Holding and Finance Companies States, Provinces and Municipalities (26.64) The accompanying notes 1-16 form an integral part of these unaudited financial statements. 22

23 Danske Invest Hedge Fixed Income Strategies Fund Statement of Significant Portfolio Movements for the Period ended 30 June 2017 (expressed in DKK) The criteria for the inclusion of a significant purchase or sale is any transaction that is in excess of 2% of the Fund's Net Asset Value at the start of the period under review subject to a minimum of 20 transactions. Description Amount (in DKK) % of net assets Purchase on stock market LANSBK 2.25% ,115, Purchase on stock market SKAN BOLIG FRN ,197, Purchase on stock market DSK BK FRN ,000, Purchase on stock market DSK BK FRN ,000, Purchase on stock market DSK BK FRN ,614, Purchase on stock market SPAREBANKEN FRN ,190, Purchase on stock market NORDEA HYP 1.25% ,446, Purchase on stock market NORDEA HYP 1.25% ,542, Purchase on stock market SEB 1.5% ,650, Purchase on stock market SKAN BOLIG FRN ,688, Purchase on stock market EIKA BOL FRN ,898, Purchase on stock market DENMARK 0.5% ,450, Purchase on stock market SWEDBK 1% ,875, Purchase on stock market SWEDEN 1.5% ,610, Purchase on stock market DENMARK 0.5% ,050, Purchase on stock market DENMARK 0.5% ,475, Purchase on stock market DSK BK FRN ,753, Purchase on stock market SPBK BOLIKR FRN ,069, Purchase on stock market REALKRDT FRN ,567, Purchase on stock market REALKRDT FRN ,576, Purchase on stock market NORDEA HYP 1% ,219, Purchase on stock market STOREBRAND FRN ,250, Purchase on stock market STOREBRAND FRN ,250, Purchase on stock market NDEA EIEN FRN ,330, Purchase on stock market SWEDBK 1% ,763, Purchase on stock market DSK BK FRN ,162, Purchase on stock market DSK BK FRN ,187, Purchase on stock market SPAREBK % ,000, Purchase on stock market EIKA BOL FRN ,796, Purchase on stock market SKAN BOLIG FRN ,000, Purchase on stock market SWEDBK 1% ,255, Purchase on stock market SWEDBK 1% ,750, Purchase on stock market SWEDBK 1% ,940, Purchase on stock market NORDEA HYP 1% ,175, Purchase on stock market GJENSIDIGE FRN ,885, Purchase on stock market NORDEA HYP 1% ,365, Purchase on stock market NORDEA HYP 1% ,725, Purchase on stock market NORDEA HYP 1% ,790, Purchase on stock market NORDEA HYP 1% ,000, Purchase on stock market NORDEA HYP 1% ,010, Purchase on stock market NORDEA HYP 1% ,500, Purchase on stock market NORDEA HYP 1% ,525, Purchase on stock market SWEDBK 1% ,930, Purchase on stock market SCBC 1.25% ,090, Purchase on stock market SCBC 1.25% ,220, Purchase on stock market NORDEA HYP 1.25% ,455, Purchase on stock market NORDEA HYP 1.25% ,635, Purchase on stock market NORDEA HYP 1.25% ,800, Purchase on stock market NORDEA HYP 1.25% ,115, Purchase on stock market NORDEA HYP 1.25% ,355, Purchase on stock market SCBC 1.25% ,410, Purchase on stock market SEB 1.5% ,125, Purchase on stock market LANSBK 2.25% ,425, Purchase on stock market LANSBK 2.25% ,635, Purchase on stock market SWEDEN 2.5% ,795, Purchase on stock market SWEDEN 0.75% ,600, Purchase on stock market SWEDBK 1% ,995, Purchase on stock market EIKA BOL 3.25% ,527, Sale on stock market ~ NORDEA KRED FRN ,915, Sale on stock market ~ DLR KREDIT FRN ,893, Sale on stock market ~ REALKRDT FRN ,082, Sale on stock market ~ NYKREDIT 1% ,460, The accompanying notes 1-16 form an integral part of these unaudited financial statements. 23

24 Danske Invest Hedge Fixed Income Strategies Fund Statement of Significant Portfolio Movements (continued) for the Period ended 30 June 2017 (expressed in DKK) The criteria for the inclusion of a significant purchase or sale is any transaction that is in excess of 2% of the Fund's Net Asset Value at the start of the period under review subject to a minimum of 20 transactions. Description Amount (in DKK) % of net assets Sale on stock market ~ NYKREDIT 1% ,500, Sale on stock market ~ NORDEA HYP 2.25% ,420, Sale on stock market ~ REALKRDT 1% ,806, Sale on stock market ~ SKAN BOLIG FRN ,275, Sale on stock market ~ NYKREDIT 1% ,300, Sale on stock market ~ NYKREDIT 1% ,362, Sale on stock market ~ NYKREDIT 1% ,400, Sale on stock market ~ NYKREDIT 1% ,018, Sale on stock market ~ NYKREDIT 1% ,123, Sale on stock market ~ NYKREDIT 2% ,500, Sale on stock market ~ SWEDBK 3.75% ,457, Sale on stock market ~ DENMARK 1.75% ,425, Sale on stock market ~ DENMARK 1.75% ,450, Sale on stock market ~ DENMARK 0.5% ,525, Sale on stock market ~ DENMARK 0.5% ,450, Sale on stock market ~ DENMARK 0.5% ,475, Sale on stock market ~ DENMARK 0.5% ,650, Sale on stock market ~ DENMARK 0.5% ,775, Sale on stock market ~ NYKREDIT FRN ,679, Sale on stock market ~ NORDEA KRED 2% ,448, Sale on stock market ~ DENMARK 1.75% ,140, Sale on stock market ~ DENMARK 1.75% ,282, Sale on stock market ~ DENMARK 1.75% ,296, Sale on stock market ~ REALKRDT FRN ,798, Sale on stock market ~ SKAN BOLIG FRN ,530, Sale on stock market ~ GJENSIDIGE FRN ,160, Sale on stock market ~ NORDEA KRED FRN ,640, Sale on stock market ~ BRF 1% ,060, Sale on stock market ~ NYKREDIT 1% ,352, Sale on stock market ~ STADSHYPO 3% ,852, Sale on stock market ~ DENMARK 1.75% ,890, Sale on stock market ~ REALKRDT FRN ,500, Sale on stock market ~ BRF 1% ,700, Sale on stock market ~ NORWAY 2% ,115, Sale on stock market ~ NYKREDIT 2% ,998, Sale on stock market ~ LANSBK 2.5% ,162, Sale on stock market ~ BRF 1% ,312, Sale on stock market ~ STOREBRAND FRN ,115, Sale on stock market ~ DENMARK 3% ,637, Sale on stock market ~ SKAN BOLIG FRN ,864, Sale on stock market ~ NYKREDIT FRN ,437, Sale on stock market ~ BRF 1% ,704, Sale on stock market ~ REALKRDT FRN ,643, Sale on stock market ~ NYKREDIT FRN ,850, Sale on stock market ~ NORDEA KRED FRN ,350, Sale on stock market ~ NORDEA KRED FRN ,400, Sale on stock market ~ NORWEGIAN G 1.75% ,835, Sale on stock market ~ NYKREDIT 1% ,050, Sale on stock market ~ NYKREDIT 1% ,250, Sale on stock market ~ REALKRDT 1% ,400, Sale on stock market ~ REALKRDT 1% ,500, Sale on stock market ~ BRF 1% ,000, Sale on stock market ~ NYKREDIT 1% ,777, Sale on stock market ~ NYKREDIT 1% ,500, Sale on stock market ~ NYKREDIT 1% ,000, Sale on stock market ~ SEB 1.5% ,920, Sale on stock market ~ SEB 1.5% ,155, Sale on stock market ~ SWEDEN 1% ,490, Sale on stock market ~ NORDEA HYP 1.25% ,660, Sale on stock market ~ SEB 1.5% ,445, Sale on stock market ~ SEB 1.5% ,515, Sale on stock market ~ SEB 1.5% ,620, The accompanying notes 1-16 form an integral part of these unaudited financial statements.

25 Danske Invest Hedge Fixed Income Strategies Fund Statement of Significant Portfolio Movements (continued) for the Period ended 30 June 2017 (expressed in DKK) The criteria for the inclusion of a significant purchase or sale is any transaction that is in excess of 2% of the Fund's Net Asset Value at the start of the period under review subject to a minimum of 20 transactions. Description Amount (in DKK) % of net assets Sale on stock market ~ NORDEA HYP 2.25% ,550, Sale on stock market ~ NORDEA HYP 2.25% ,580, Sale on stock market ~ SCBC 2% ,145, Sale on stock market ~ SCBC 2% ,265, Sale on stock market ~ SCBC 2% ,400, Sale on stock market ~ SCBC 2% ,415, Sale on stock market ~ SCBC 2% ,760, Sale on stock market ~ SCBC 2% ,800, Sale on stock market ~ SCBC 2% ,810, Sale on stock market ~ STADSHYPO 3% ,420, Sale on stock market ~ NORDEA HYP 3.25% ,045, Sale on stock market ~ NORDEA HYP 3.25% ,815, Sale on stock market ~ NORDEA HYP 3.25% ,290, Sale on stock market ~ LANSBK 3.25% ,740, Sale on stock market ~ SWEDEN 2.5% ,680, Sale on stock market ~ SWEDBK 5.7% ,660, Sale on stock market ~ NORWAY 1.5% ,970, Sale on stock market ~ NORWAY 3% ,500, The accompanying notes 1-16 form an integral part of these unaudited financial statements. 25

26 Danske Invest Leveraged Balanced Fund Statement of Investments (expressed in EUR) Description Quantity Face Value Currency Cost Fair Value % net assets Other Transferable securities Investment Funds* British Virgin Islands Fairfield Sigma Ltd 44, EUR 7,375, ,375, Total - Investment Funds 7,375, Total - Other Transferable securities 7,375, TOTAL - INVESTMENT PORTFOLIO 7,375, * these are distressed funds, refer to note 14. The accompanying notes 1-16 form an integral part of these unaudited financial statements.

27 Danske Invest Leveraged Balanced Fund Geographical and Economic Portfolio Breakdowns (expressed as a percentage of net assets) Geographical breakdown % - Economic breakdown % - The accompanying notes 1-16 form an integral part of these unaudited financial statements. 27

28 Danske Invest Leveraged Balanced Fund Statement of Significant Portfolio Movements for the Period ended 30 June 2017 (expressed in EUR) The criteria for the inclusion of a significant purchase or sale is any transaction that is in excess of 2% of the Fund's Net Asset Value at the start of the period under review subject to a minimum of 20 transactions. Description Amount (in EUR) % of net assets Purchase on stock market GERMANY 0% ,046, Sale on stock market ~ GERMANY 0.5% (RBG) 31,000, Sale on stock market ~ GERMANY 0% ,014, The accompanying notes 1-16 form an integral part of these unaudited financial statements.

29 Danske Invest European Equities Absolute Fund* Statement of Investments (expressed in EUR) Description Quantity Face Value Currency Cost Fair Value % net assets Long Investments Transferable securities admitted to an official stock exchange listing or dealt in on another regulated market Shares Spain Gowex Shs 81,215 EUR 188, , Total - Shares 188, Total - Transferable securities admitted to an official stock exchange listing or dealt in on another regulated market 188, Total - Long Investments 188, TOTAL - INVESTMENT PORTFOLIO 188, * Liquidated as at 22 May 2017 The accompanying notes 1-16 form an integral part of these unaudited financial statements. 29

30 Danske Invest European Equities Absolute Fund* Geographical and Economic Portfolio Breakdowns (expressed as a percentage of net assets) Geographical breakdown % - Economic breakdown % - * Liquidated as at 22 May 2017 The accompanying notes 1-16 form an integral part of these unaudited financial statements. 30

31 Danske Invest European Equities Absolute Fund* Statement of Significant Portfolio Movements for the Period ended 30 June 2017 (expressed in EUR) The criteria for the inclusion of a significant purchase or sale is any transaction that is in excess of 2% of the Fund's Net Asset Value at the start of the period under review subject to a minimum of 20 transactions. Description Amount (in EUR) % of net assets Purchase on stock market KUEHNE +NAGEL INTERNATIONAL 218, Purchase on stock market ANHEUSER-BUSCH INBEV SA /NV 196, Purchase on stock market ALFA LAVAL AB 1,890, Purchase on stock market STATOIL ASA 1,673, Purchase on stock market HEXAGON AB B 4,361, Purchase on stock market HEXAGON AB B 4,495, Purchase on stock market SANDVIK AB 1,957, Purchase on stock market TOBII AB 956, Purchase on stock market LAFARGEHOLCIM N NAMEN-AKT. 986, Purchase on stock market RIGHTMOVE PLC 774, Purchase on stock market THE SWATCH GROUP AG 771, Purchase on stock market BANK OF QUEENSLAND LTD 242, Purchase on stock market SNAM AZ 822, Purchase on stock market DONG ENERGY A/S 5,785, Purchase on stock market ATLAS COPCO AB 7,294, Purchase on stock market J.M.AB 8,261, Purchase on stock market TOBII AB 1,884, Purchase on stock market HENNES & MAURITZ AB 6,242, Purchase on stock market DONG ENERGY A/S 949, Purchase on stock market ATLAS COPCO AB 1,186, Purchase on stock market DONG ENERGY A/S 1,014, Purchase on stock market ATLAS COPCO AB 1,261, Purchase on stock market ISHARES STOXX EUR.MID 200 (DE) 1,527, Purchase on stock market SKF AB B 6,687, Purchase on stock market A.P. MOELLER - MAERSK A/S B 4,641, Purchase on stock market J.M.AB 1,312, Purchase on stock market J.M.AB 1,270, Purchase on stock market RIGHTMOVE PLC 194, Purchase on stock market HENNES & MAURITZ AB 1,017, Purchase on stock market LVMH ACT. 930, Purchase on stock market HENNES & MAURITZ AB 1,126, Purchase on stock market STATOIL ASA 5,878, Purchase on stock market ALFA LAVAL AB 7,405, Purchase on stock market TOBII AB 3,247, Purchase on stock market DONG ENERGY A/S 1,501, Purchase on stock market ATLAS COPCO AB 1,875, Purchase on stock market KUEHNE +NAGEL INTERNATIONAL 842, Purchase on stock market SNAM AZ 214, Purchase on stock market TECHNICOLOR /PROV. REGRPMT 242, Purchase on stock market THE SWATCH GROUP AG 204, Purchase on stock market SANDVIK AB 7,532, Purchase on stock market BAVARIAN NORDIC 1,824, Purchase on stock market SKF AB B 1,097, Purchase on stock market STATOIL ASA 972, Purchase on stock market SKF AB B 1,189, Purchase on stock market J.M.AB 2,181, Purchase on stock market ALFA LAVAL AB 1,203, Purchase on stock market STATOIL ASA 1,050, Purchase on stock market HENNES & MAURITZ AB 1,571, Purchase on stock market ALFA LAVAL AB 1,248, Purchase on stock market HENNES & MAURITZ AB 1,819, Purchase on stock market ISHARES STOXX EUR.MID 200 (DE) 397, Purchase on stock market BANK OF QUEENSLAND LTD 998, Purchase on stock market BANK OF QUEENSLAND LTD 998, Purchase on stock market A.P. MOELLER - MAERSK A/S B 1,062, Purchase on stock market SANDVIK AB 1,224, Purchase on stock market SKF AB B 1,743, Purchase on stock market SANDVIK AB 1,311, Purchase on stock market A.P. MOELLER - MAERSK A/S B 1,240, Sale on stock market ~ GENMAB A/S 2,719, Sale on stock market ~ SAP SE 924, Sale on stock market ~ COMMERZBANK AKT NACH KAP 819, * Liquidated as at 22 May 2017 The accompanying notes 1-16 form an integral part of these unaudited financial statements. 31

32 Danske Invest European Equities Absolute Fund* Statement of Significant Portfolio Movements (continued) for the Period ended 30 June 2017 (expressed in EUR) The criteria for the inclusion of a significant purchase or sale is any transaction that is in excess of 2% of the Fund's Net Asset Value at the start of the period under review subject to a minimum of 20 transactions. Description Amount (in EUR) % of net assets Sale on stock market ~ INFINEON TECHNOLOGIES /NAM. 248, Sale on stock market ~ BANCA IFIS SPA 494, Sale on stock market ~ TOBII AB 637, Sale on stock market ~ HEXAGON AB B 5,535, Sale on stock market ~ BAVARIAN NORDIC 5,589, Sale on stock market ~ A.P. MOELLER - MAERSK A/S B 1,818, Sale on stock market ~ ING GROUP NV 245, Sale on stock market ~ AXEL SPRINGER SE N NAMEN-AKT.V 938, Sale on stock market ~ STMICROELECTRONICS NV 285, Sale on stock market ~ GENMAB A/S 3,222, Sale on stock market ~ WACKER CHEMIE AG MUENCHEN 249, Sale on stock market ~ HEXAGON AB B 911, Sale on stock market ~ GENMAB A/S 3,398, Sale on stock market ~ SAP SE 240, Sale on stock market ~ HEXAGON AB B 956, Sale on stock market ~ BAVARIAN NORDIC 946, Sale on stock market ~ NICE LTD / SADR 206, Sale on stock market ~ CRITEO SA /SADR 1,013, Sale on stock market ~ ROCKET INTERNET SE 420, Sale on stock market ~ EUROPCAR GROUPE SA 255, Sale on stock market ~ DIALOG SEMICONDUCTOR 931, Sale on stock market ~ SCHIBSTED -A- 4,968, Sale on stock market ~ COMMERZBANK AKT NACH KAP 253, Sale on stock market ~ DONG ENERGY A/S 6,885, Sale on stock market ~ HEXAGON AB B 1,488, Sale on stock market ~ BAVARIAN NORDIC 1,379, Sale on stock market ~ CONTINENTAL AG 784, Sale on stock market ~ VONOVIA SE /NAMEN 949, Sale on stock market ~ ROYAL PHILIPS NV /EUR , Sale on stock market ~ AMS AG 1,658, Sale on stock market ~ OPERA SOFTWARE ASA 1,190, Sale on stock market ~ NOKIA OY 182, Sale on stock market ~ ZALANDO SE 1,402, Sale on stock market ~ SCHIBSTED -A- 922, Sale on stock market ~ UNIBAIL-RODAMCO SE 913, Sale on stock market ~ AXEL SPRINGER SE N NAMEN-AKT.V 251, Sale on stock market ~ BAVARIAN NORDIC 1,647, Sale on stock market ~ CRITEO SA /SADR 268, Sale on stock market ~ DIALOG SEMICONDUCTOR 262, Sale on stock market ~ SCHIBSTED -A- 1,318, Sale on stock market ~ INFINEON TECHNOLOGIES /NAM. 934, Sale on stock market ~ CAIXABANK 220, Sale on stock market ~ A.P. MOELLER - MAERSK A/S B 6,710, Sale on stock market ~ TOBII AB 2,912, Sale on stock market ~ BANCA IFIS SPA 232, Sale on stock market ~ BANCO COMERCIAL PORTUGUES SA 210, Sale on stock market ~ ING GROUP NV 883, Sale on stock market ~ KUEHNE +NAGEL INTERNATIONAL 968, Sale on stock market ~ HENNES & MAURITZ AB 1,869, Sale on stock market ~ ROYAL PHILIPS NV /EUR , Sale on stock market ~ AMS AG 519, Sale on stock market ~ DONG ENERGY A/S 1,971, Sale on stock market ~ STMICROELECTRONICS NV 1,020, Sale on stock market ~ GENMAB A/S 987, Sale on stock market ~ SCHIBSTED -A- 1,901, Sale on stock market ~ MTU AERO ENGINES N NAMEN-AKT 982, Sale on stock market ~ ROCKET INTERNET SE 1,316, Sale on stock market ~ ZALANDO SE 358, Sale on stock market ~ GAMESA CORP. TECNOLOGICA SA 192, Sale on stock market ~ NUANCE COMMUNICATIONS INC 182, Sale on stock market ~ WACKER CHEMIE AG MUENCHEN 974, Sale on stock market ~ CONTINENTAL AG 205, * Liquidated as at 22 May The accompanying notes 1-16 form an integral part of these unaudited financial statements.

33 Danske Invest Hedge Fixed Income Relative Value Fund Statement of Investments (expressed in DKK) Description Quantity Face Value Currency Cost Fair Value % net assets Long Investments Transferable securities admitted to an official stock exchange listing or dealt in on another regulated market Bonds Denmark Nykredit Frn ,000,000 SEK 78,500,274 78,207, Realkrdt 1% /Collat 83,734,000 DKK 84,367,029 84,367, ,867, ,574, Great Britain UK 4.25% ,150,000 GBP 315,117, ,310, Uk 4.25% ,250,000 GBP 183,322, ,521, ,440, ,832, Ireland Ireland 1% ,000,000 EUR 74,027,368 75,297, ,027,368 75,297, Norway Akershus Fy Frn ,000,000 NOK 213,969, ,446, Alesund Kom Frn ,000,000 NOK 247,953, ,078, Bustadk Frn ,000,000 NOK 270,548, ,120, Bustadk Frn ,000,000 NOK 71,151,189 70,213, Dnb Frn ,000,000 NOK 88,906,173 86,959, Dnb Frn ,000,000 NOK 377,910, ,450, Eiendomskdt Frn ,000,000 NOK 43,893,578 41,584, Eika Bol Frn ,000,000 NOK 106,913, ,785, Fana Spbk Frn ,000,000 NOK 40,467,368 38,965, Gjensidige Frn ,000,000 NOK 236,137, ,568, Gjensidige Frn ,000,000 NOK 135,980, ,058, Helgeland Frn ,000,000 NOK 79,192,808 78,726, Helgeland Frn ,000,000 NOK 164,594, ,101, Hordaland Frn ,000,000 NOK 144,814, ,876, Klp Boligkr Frn ,000,000 NOK 160,922, ,472, Klp Boligkr Frn ,000,000 NOK 79,408,539 78,530, Klp Komm Frn ,000,000 NOK 104,070, ,753, Morebo Frn ,000,000 NOK 161,888, ,249, Morebo Frn ,000,000 NOK 43,095,213 42,654, Morebo Frn ,000,000 NOK 320,278, ,615, Naeringkdt Frn ,000,000 NOK 58,834,114 56,266, Ndea Eien Frn ,000,000 NOK 353,242, ,804, Ndea Eien Frn ,000,000 NOK 42,781,399 42,470, Obos Boligk Frn ,000,000 NOK 125,501, ,547, Skan Bolig Frn ,000,000 NOK 162,011, ,898, Skan Bolig Frn ,000,000 NOK 199,494, ,489, Skan Bolig Frn ,000,000 NOK 157,131, ,430, Skien Ko 1.625% ,000,000 NOK 203,730, ,353, Sor-Trondel Frn ,000,000 NOK 246,173, ,442, Sor-Trondel Frn ,000,000 NOK 165,635, ,728, Spar Sor Frn ,000,000 NOK 278,402, ,820, The accompanying notes 1-16 form an integral part of these unaudited financial statements. 33

34 Danske Invest Hedge Fixed Income Relative Value Fund Statement of Investments (continued) (expressed in DKK) Description Quantity Face Value Currency Cost Fair Value % net assets Spar Sor Frn ,000,000 NOK 78,393,115 77,726, Spar Sor Frn ,000,000 NOK 102,415,730 97,770, Sparebanken Frn ,000,000 NOK 119,202, ,969, Sparebanken Frn ,000,000 NOK 47,399,485 46,720, Spbk Bolikr Frn ,000,000 NOK 162,726, ,069, Spbk Bolikr Frn ,000,000 NOK 231,291, ,951, Spbk V Bolig Frn ,000,000 NOK 201,929, ,325, Spbk Vest Frn ,000,000 NOK 207,685, ,483, Sr-Bolig Frn ,000,000 NOK 373,145, ,685, Sr-Bolig Frn ,000,000 NOK 106,239, ,291, Ssb Boligkr Frn ,000,000 NOK 79,088,288 77,468, Stadt Oslo 4.35% ,000,000 NOK 300,345, ,722, Stadt Oslo 4.9% ,000,000 NOK 405,018, ,204, Stadt Oslo Frn ,000,000 NOK 123,743, ,386, Stavanger 1.38% ,000,000 NOK 119,474, ,659, Storebrand Frn ,000,000 NOK 41,307,134 38,832, Storebrand Frn ,000,000 NOK 349,714, ,376, Storebrand Frn ,000,000 NOK 188,964, ,781, ,323,122,811 8,003,890, Sweden Lansbk 1.25% ,000,000 SEK 137,409, ,616, Sbab Bk Ab 0.5% ,900,000 EUR 21,635,981 21,635, Stadshypo 3% ,000,000 SEK 61,681,430 61,681, Sweden 0.75% ,000,000,000 SEK 757,746, ,708, ,474, ,642, United States of America Usa 2.25% /Tbo 60,000,000 USD 420,998, ,813, ,998, ,813, Total - Bonds 10,457,930,872 10,085,052, Certificate of Deposit Norway Drammen 1.585% Cd 200,000,000 NOK 165,016, ,789, Stadt Oslo 1.3% Cd 250,000,000 NOK 205,111, ,424, ,128, ,214, Total - Certificate of Deposit 370,128, ,214, Total - Transferable securities admitted to an official stock exchange listing or dealt in on another regulated market 10,828,059,222 10,435,266, The accompanying notes 1-16 form an integral part of these unaudited financial statements.

35 Danske Invest Hedge Fixed Income Relative Value Fund Statement of Investments (continued) (expressed in DKK) Description Quantity Face Value Currency Cost Fair Value % net assets Other Transferable securities Bonds Norway Alesund Kom Frn ,000,000 NOK 118,191, ,566, Bustadk Frn ,000,000 NOK 155,255, ,790, ,446, ,357, Total - Bonds 273,446, ,357, Certificate of Deposit Norway Stavangr 1.54% Cd 150,000,000 NOK 122,823, ,813, ,823, ,813, Total - Certificate of Deposit 122,823, ,813, Total - Other Transferable securities 396,270, ,170, Financial Instruments Options, Warrants, Rights Germany Call Ebf Euribor 3 Months 03/11/ ,000,000 EUR 2,082,898 1,415, ,082,898 1,415, Total - Options, Warrants, Rights 2,082,898 1,415, Total - Financial Instruments 2,082,898 1,415, Total - Long Investments 11,226,412,810 10,825,853, Short Investments Transferable securities admitted to an official stock exchange listing Bonds Belgium Belgium 1% (10,000,000) EUR (76,361,865) (76,896,045) (2.42) (76,361,865) (76,896,045) (2.42) Denmark Denmark 0.5% (250,000,000) DKK (246,900,000) (246,099,685) (7.76) The accompanying notes 1-16 form an integral part of these unaudited financial statements. 35

36 Danske Invest Hedge Fixed Income Relative Value Fund Statement of Investments (continued) (expressed in DKK) Description Quantity Face Value Currency Cost Fair Value % net assets Denmark 1.75% (750,000,000) DKK (844,350,000) (835,803,870) (26.34) (1,091,250,000) (1,081,903,555) (34.10) Sweden Sweden 1% (1,106,000,000) SEK (878,321,679) (880,626,250) (27.76) Sweden 2.5% (250,000,000) SEK (223,824,855) (223,389,945) (7.04) (1,102,146,534) (1,104,016,195) (34.80) The Netherlands Netherlands 2.5% (30,000,000) EUR (277,225,095) (274,346,248) (8.65) (277,225,095) (274,346,248) (8.65) Total - Bonds (2,546,983,494) (2,537,162,043) (79.97) Total - Transferable securities admitted to an official stock exchange listing (2,546,983,494) (2,537,162,043) (79.97) Financial Instruments Options, Warrants, Rights Germany Call Ebf Euribor 3 Months 03/11/19 0 (100,000,000) EUR (1,190,227) (644,754) (0.02) Call Ebf Euribor 3 Months 03/11/19 1 (100,000,000) EUR (892,671) (467,019) (0.02) (2,082,898) (1,111,773) (0.04) Total - Options, Warrants, Rights (2,082,898) (1,111,773) (0.04) Total - Financial Instruments (2,082,898) (1,111,773) (0.04) Total - Short Investments (2,549,066,392) (2,538,273,816) (80.01) TOTAL - INVESTMENT PORTFOLIO 8,677,346,418 8,287,579, The accompanying notes 1-16 form an integral part of these unaudited financial statements.

37 Danske Invest Hedge Fixed Income Relative Value Fund Geographical and Economic Portfolio Breakdowns (expressed as a percentage of net assets) Geographical breakdown % Norway Great Britain United States of America Ireland 2.37 Belgium (2.42) Sweden (3.89) The Netherlands (8.65) Denmark (28.97) Economic breakdown % Banks and Financial Institutions Mortgage and Funding Institutions States, Provinces and Municipalities Holding and Finance Companies The accompanying notes 1-16 form an integral part of these unaudited financial statements. 37

38 Danske Invest Hedge Fixed Income Relative Value Fund Statement of Significant Portfolio Movements for the Period ended 30 June 2017 (expressed in DKK) The criteria for the inclusion of a significant purchase or sale is any transaction that is in excess of 2% of the Cell's Net Asset Value at the start of the period under review subject to a minimum of 20 transactions. Description Amount (in DKK) % of net assets Purchase on stock market MOREBO FRN ,240, Purchase on stock market NYKREDIT FRN ,087, Purchase on stock market REALKRDT 1% /COLLAT 79,974, Purchase on stock market REALKRDT 1% /COLLAT 79,974, Purchase on stock market REALKRDT 1% /COLLAT 79,976, Purchase on stock market REALKRDT 1% /COLLAT 91,142, Purchase on stock market REALKRDT 1% /COLLAT 112,238, Purchase on stock market REALKRDT 1% /COLLAT 115,459, Purchase on stock market REALKRDT 1% /COLLAT 117,818, Purchase on stock market REALKRDT 1% /COLLAT 117,832, Purchase on stock market REALKRDT 1% /COLLAT 119,103, Purchase on stock market REALKRDT 1% /COLLAT 119,108, Purchase on stock market REALKRDT 1% /COLLAT 120,210, Purchase on stock market REALKRDT 1% /COLLAT 121,836, Purchase on stock market REALKRDT 1% /COLLAT 125,643, Purchase on stock market REALKRDT 1% /COLLAT 126,613, Purchase on stock market REALKRDT 1% /COLLAT 127,453, Purchase on stock market REALKRDT 1% /COLLAT 130,077, Purchase on stock market REALKRDT 1% /COLLAT 140,429, Purchase on stock market REALKRDT 1% /COLLAT 145,239, Purchase on stock market BUSTADK FRN ,770, Purchase on stock market STOREBRAND FRN ,578, Purchase on stock market DENMARK 3% ,958, Purchase on stock market STAVANGER 1.38% ,122, Purchase on stock market OBOS BOLIGK FRN ,000, Purchase on stock market ALESUND KOM FRN ,020, Purchase on stock market LANSBK 1.25% ,217, Purchase on stock market MOREBO FRN ,451, Purchase on stock market HELGELAND FRN ,000, Purchase on stock market SR-BOLIG FRN ,489, Purchase on stock market STOREBRAND FRN ,000, Purchase on stock market SR-BOLIG FRN ,347, Purchase on stock market SKIEN KO 1.625% ,037, Purchase on stock market SWEDEN 1.5% ,232, Purchase on stock market REALKRDT 1% /COLLAT 84,115, Purchase on stock market REALKRDT 1% /COLLAT 88,930, Purchase on stock market REALKRDT 1% /COLLAT 95,298, Purchase on stock market REALKRDT 1% /COLLAT 101,587, Purchase on stock market REALKRDT 1% /COLLAT 107,101, Purchase on stock market REALKRDT 1% /COLLAT 112,234, Purchase on stock market REALKRDT 1% /COLLAT 118,283, Purchase on stock market REALKRDT 1% /COLLAT 118,346, Purchase on stock market REALKRDT 1% /COLLAT 122,165, Purchase on stock market REALKRDT 1% /COLLAT 122,635, Purchase on stock market REALKRDT 1% /COLLAT 124,105, Purchase on stock market SWEDEN 2.5% ,775, Purchase on stock market DENMARK 0.25% ,874, Purchase on stock market REALKRDT 2% /COLL 71,546, Purchase on stock market REALKRDT 2% /COLL 71,561, Purchase on stock market REALKRDT 2% /COLL 71,565, Purchase on stock market NORWAY 1.75% ,250, Purchase on stock market DENMARK 4% ,280, Purchase on stock market SWEDEN 0.75% ,860, Purchase on stock market STADSHYPO 3% COLL 79,955, Purchase on stock market REALKRDT 1% /COLLAT 72,897, Purchase on stock market REALKRDT 1% /COLLAT 72,899, Purchase on stock market REALKRDT 1% /COLLAT 72,902, Purchase on stock market REALKRDT 1% /COLLAT 72,911, Purchase on stock market REALKRDT 1% /COLLAT 72,913, Purchase on stock market REALKRDT 1% /COLLAT 72,917, The accompanying notes 1-16 form an integral part of these unaudited financial statements.

39 Danske Invest Hedge Fixed Income Relative Value Fund Statement of Significant Portfolio Movements (continued) for the Period ended 30 June 2017 (expressed in DKK) The criteria for the inclusion of a significant purchase or sale is any transaction that is in excess of 2% of the Cell's Net Asset Value at the start of the period under review subject to a minimum of 20 transactions. Description Amount (in DKK) % of net assets Purchase on stock market REALKRDT 1% /COLLAT 72,918, Purchase on stock market REALKRDT 1% /COLLAT 72,920, Purchase on stock market REALKRDT 1% /COLLAT 77,491, Purchase on stock market REALKRDT 1% /COLLAT 77,498, Purchase on stock market REALKRDT 1% /COLLAT 77,500, Purchase on stock market REALKRDT 1% /COLLAT 77,514, Purchase on stock market REALKRDT 1% /COLLAT 77,517, Purchase on stock market REALKRDT 1% /COLLAT 77,520, Purchase on stock market REALKRDT 1% /COLLAT 77,523, Purchase on stock market REALKRDT 1% /COLLAT 79,905, Purchase on stock market REALKRDT 1% /COLLAT 79,910, Purchase on stock market REALKRDT 1% /COLLAT 79,920, Purchase on stock market REALKRDT 1% /COLLAT 79,921, Purchase on stock market REALKRDT 1% /COLLAT 79,925, Purchase on stock market REALKRDT 1% /COLLAT 79,928, Purchase on stock market REALKRDT 1% /COLLAT 79,933, Purchase on stock market REALKRDT 1% /COLLAT 79,936, Purchase on stock market REALKRDT 1% /COLLAT 79,948, Purchase on stock market REALKRDT 1% /COLLAT 79,957, Purchase on stock market REALKRDT 1% /COLLAT 79,968, Purchase on stock market REALKRDT 1% /COLLAT 84,593, Purchase on stock market REALKRDT 1% /COLLAT 86,855, Purchase on stock market REALKRDT 1% /COLLAT 91,053, Purchase on stock market REALKRDT 1% /COLLAT 91,056, Purchase on stock market REALKRDT 1% /COLLAT 91,061, Purchase on stock market REALKRDT 1% /COLLAT 91,073, Purchase on stock market REALKRDT 1% /COLLAT 91,076, Purchase on stock market REALKRDT 1% /COLLAT 91,080, Purchase on stock market REALKRDT 1% /COLLAT 91,083, Purchase on stock market REALKRDT 1% /COLLAT 91,086, Purchase on stock market REALKRDT 1% /COLLAT 64,329, Purchase on stock market REALKRDT 1% /COLLAT 64,334, Purchase on stock market REALKRDT 1% /COLLAT 75,471, Purchase on stock market REALKRDT 1% /COLLAT 84,362, Purchase on stock market REALKRDT 1% /COLLAT 84,367, Purchase on stock market REALKRDT 1% /COLLAT 84,371, Purchase on stock market REALKRDT 1% /COLLAT 84,382, Purchase on stock market REALKRDT 1% /COLLAT 84,387, Purchase on stock market REALKRDT 1% /COLLAT 84,390, Purchase on stock market REALKRDT 1% /COLLAT 84,396, Purchase on stock market REALKRDT 1% /COLLAT 84,400, Purchase on stock market REALKRDT 1% /COLLAT 84,407, Sale on stock market ~ SWEDEN 1% ,393, Sale on stock market ~ DENMARK 3% ,482, Sale on stock market ~ NORWAY 3% ,951, Sale on stock market ~ NORWAY 2% ,300, Sale on stock market ~ NORWAY 2% ,300, Sale on stock market ~ NORWAY 2% ,642, Sale on stock market ~ DENMARK 1.75% ,700, Sale on stock market ~ SWEDEN 2.5% ,732, Sale on stock market ~ DENMARK 0.5% ,900, Sale on stock market ~ NORWEGIAN G 1.75% ,514, Sale on stock market ~ DENMARK 0.25% ,403, Sale on stock market ~ NORWAY 1.75% ,000, Sale on stock market ~ SWEDEN 1% ,725, Sale on stock market ~ DENMARK 4% ,600, Sale on stock market ~ DENMARK 1.75% ,650, Sale on stock market ~ DLR KREDIT 2% ,867, The accompanying notes 1-16 form an integral part of these unaudited financial statements. 39

40 Danske Invest Hedge Fixed Income Opportunities Fund Statement of Investments (expressed in DKK) Description Quantity Face Value Currency Cost Fair Value % net assets Long Investments Transferable securities admitted to an official stock exchange listing or dealt in on another regulated market Bonds Denmark Nykredit 1% ,000,000 DKK 240,552, ,618, Realkrdt 1% ,000,000 DKK 578,388, ,874, Realkrdt 1% ,000,000 DKK 156,345, ,148, ,285, ,641, Sweden Stadyshypo 3% ,000,000 SEK 127,313, ,467, ,313, ,467, Total - Bonds 1,102,598,605 1,096,108, Total - Transferable securities admitted to an official stock exchange listing or dealt in on another regulated market 1,102,598,605 1,096,108, Total - Long Investments 1,102,598,605 1,096,108, TOTAL - INVESTMENT PORTFOLIO 1,102,598,605 1,096,108, The accompanying notes 1-16 form an integral part of these unaudited financial statements.

41 Danske Invest Hedge Fixed Income Opportunities Fund Geographical and Economic Portfolio Breakdowns (expressed as a percentage of net assets) Geographical breakdown % Denmark Sweden Economic breakdown % Mortgage and Funding Institutions Banks and Financial Institutions The accompanying notes 1-16 form an integral part of these unaudited financial statements. 41

42 Danske Invest Hedge Fixed Income Opportunities Fund Statement of Significant Portfolio Movements for the Period ended 30 June 2017 (expressed in DKK) The criteria for the inclusion of a significant purchase or sale is any transaction that is in excess of 2% of the Fund's Net Asset Value at the start of the period under review subject to a minimum of 20 transactions. Description Amount (in DKK) % of net assets Purchase on stock market REALKRDT 1% ,376, Purchase on stock market REALKRDT 1% ,345, Purchase on stock market NYKREDIT 1% ,552, Sale on stock market ~ REALKRDT 2% ,601, Sale on stock market ~ REALKRDT 2% ,162, Sale on stock market ~ REALKRDT 2% ,837, Sale on stock market ~ REALKRDT 2% ,737, The accompanying notes 1-16 form an integral part of these unaudited financial statements.

43 Danske Invest Hedge Mortgage Arbitrage Fund Statement of Investments (expressed in DKK) Description Quantity Face Value Currency Cost Fair Value % net assets Long Investments Transferable securities admitted to an official stock exchange listing or dealt in on another regulated market Bonds Denmark Brf 1% ,000,000 DKK 258,650, ,872, Brfkredit 5% ,169,700 DKK 66,112,779 67,941, Dansk Ldb Realkr. 5% ,688,825 DKK 16,161,699 16,792, Dlr 5% ,012,433 DKK 6,490,421 6,657, Dlr Kredit A/S 4% s -A- /Rbt 86,054,077 DKK 92,551,160 94,143, Nordea 5% ,166,537 DKK 58,836,694 59,900, Nordea Bank 5% ,473,259 DKK 18,026,470 18,668, Nordea Kredit 5% ,711,655 DKK 7,198,250 7,542, Nordea Kredit Realkr 5% ,111,427 DKK 5,517,785 5,685, Nykredit 1% ,000,000 DKK 258,375, ,717, Nykredit 2% ,040,000 DKK 2,121,478 2,121, Nykredit 2% ,000,000 DKK 179,316, ,789, Nykredit 5% N.02 D 26,446,546 DKK 29,384,982 29,415, Nykredit 5% Nr. 03D /Rbt 32,537,773 DKK 36,474,844 37,361, Nykredit 5% ,655,785 DKK 9,102,797 9,726, Nykredit 5% S.02 A 5,957,960 DKK 6,309,480 6,383, Nykredit 6% S.3 C 24,816,112 DKK 28,104,247 29,711, Nykredit Frn ,958,159 DKK 890,914, ,341, Nykredit Realkr. 5% ,303,994 DKK 75,093,524 76,877, Realkrdt 1% ,000,000 DKK 776,875, ,152, Realkrdt 1% ,000,000,000 DKK 1,035,500,000 1,035,490, Realkrdt 1% ,250,000,000 DKK 1,286,401,042 1,292,900, Realkredit 5% ,859,933 DKK 5,259,662 5,405, Realkredit 5% ,613,973 DKK 1,646,056 1,814, Realkredit 5% ,659,833 DKK 7,052,763 7,136, Totalkredit 5% ,650,325 DKK 82,843,905 85,717, Unikredit A/S 5% ,508,652 DKK 2,571,847 2,831, ,242,893,227 5,272,096, Total - Bonds 5,242,893,227 5,272,096, Total - Transferable securities admitted to an official stock exchange listing or dealt in on another regulated market 5,242,893,227 5,272,096, Total - Long Investments 5,242,893,227 5,272,096, The accompanying notes 1-16 form an integral part of these unaudited financial statements. 43

44 Danske Invest Hedge Mortgage Arbitrage Fund Statement of Investments (continued) (expressed in DKK) Description Quantity Face Value Currency Cost Fair Value % net assets Short Investments Transferable securities admitted to an official stock exchange listing Bonds Denmark Realkrdt 2% (193,542,776) DKK (185,938,157) (189,720,306) (12.11) (185,938,157) (189,720,306) (12.11) Total - Bonds (185,938,157) (189,720,306) (12.11) Total - Transferable securities admitted to an official stock exchange listing (185,938,157) (189,720,306) (12.11) Total - Short Investments (185,938,157) (189,720,306) (12.11) TOTAL - INVESTMENT PORTFOLIO 5,056,955,070 5,082,376, The accompanying notes 1-16 form an integral part of these unaudited financial statements.

45 Danske Invest Hedge Mortgage Arbitrage Fund Geographical and Economic Portfolio Breakdowns (expressed as a percentage of net assets) Geographical breakdown % Denmark Economic breakdown % Mortgage and Funding Institutions The accompanying notes 1-16 form an integral part of these unaudited financial statements. 45

46 Danske Invest Hedge Mortgage Arbitrage Fund Statement of Significant Portfolio Movements for the Period ended 30 June 2017 (expressed in DKK) The criteria for the inclusion of a significant purchase or sale is any transaction that is in excess of 2% of the Fund's Net Asset Value at the start of the period under review subject to a minimum of 20 transactions. Description Amount (in DKK) % of net assets Purchase on stock market BRF 1% ,495, Purchase on stock market NYKREDIT 2% ,563, Purchase on stock market DENMARK 1.75% ,662, Purchase on stock market NYKREDIT FRN ,325, Purchase on stock market BRF 1% ,300, Purchase on stock market REALKRDT 1% ,356, Purchase on stock market REALKRDT 1% ,375, Purchase on stock market REALKRDT 2% ,400, Purchase on stock market NYKREDIT FRN ,655, Purchase on stock market DENMARK 0.25% ,075, Purchase on stock market DENMARK 0.25% ,950, Purchase on stock market REALKRDT 1% ,250, Purchase on stock market REALKRDT 1% ,700, Purchase on stock market REALKRDT 1% ,250, Purchase on stock market GERMANY 1% ,820, Sale on stock market ~ NYKREDIT FRN ,850, Sale on stock market ~ DLR KREDIT FRN ,647, Sale on stock market ~ REALKRDT 1% ,068, Sale on stock market ~ REALKRDT 1% ,746, Sale on stock market ~ BRF 1% ,285, Sale on stock market ~ NYKREDIT 1% ,220, Sale on stock market ~ REALKRDT 1% ,440, Sale on stock market ~ DENMARK 1.75% ,990, Sale on stock market ~ NYKREDIT FRN ,450, Sale on stock market ~ NYKREDIT FRN ,750, Sale on stock market ~ NYKREDIT 1% ,478, Sale on stock market ~ REALKRDT 1% ,243, Sale on stock market ~ REALKRDT 1% ,830, Sale on stock market ~ REALKRDT 1% ,694, Sale on stock market ~ NYKREDIT 1% ,425, Sale on stock market ~ BRF 1% ,506, Sale on stock market ~ NYKREDIT FRN ,760, Sale on stock market ~ BRF 1% ,493, Sale on stock market ~ NYKREDIT FRN ,152, Sale on stock market ~ NYKREDIT FRN ,731, Sale on stock market ~ NORDEA KRED FRN ,247, Sale on stock market ~ REALKRDT FRN ,643, Sale on stock market ~ REALKRDT 1% ,400, Sale on stock market ~ DENMARK 0.25% ,550, Sale on stock market ~ DENMARK 0.25% ,106, Sale on stock market ~ NORDEA KRED 2% ,430, Sale on stock market ~ REALKRDT 1% ,250, Sale on stock market ~ REALKRDT 1% ,050, Sale on stock market ~ GERMANY 1% ,956, Sale on stock market ~ NYKREDIT FRN ,722, The accompanying notes 1-16 form an integral part of these unaudited financial statements.

47 Danske Invest Quant Fi / Fx Fund Statement of Investments (expressed in EUR) Description Quantity Face Value Currency Cost Fair Value % net assets Long Investments Transferable securities admitted to an official stock exchange listing or dealt in on another regulated market Bonds Denmark Brf 2% DKK Finland Finland 3.875% EUR The Netherlands Netherlands 4.5% (Rbg) - EUR Total - Bonds Total - Transferable securities admitted to an official stock exchange listing or dealt in on another regulated market Total - Long Investments TOTAL - INVESTMENT PORTFOLIO The accompanying notes 1-16 form an integral part of these unaudited financial statements. 47

48 Danske Invest Quant Fi / Fx Fund Geographical and Economic Portfolio Breakdowns (expressed as a percentage of net assets) Geographical breakdown % - Economic breakdown % - The accompanying notes 1-16 form an integral part of these unaudited financial statements. 48

49 Danske Invest Quant Fi / Fx Fund Statement of Significant Portfolio Movements for the Period ended 30 June 2017 (expressed in EUR) The criteria for the inclusion of a significant purchase or sale is any transaction that is in excess of 2% of the Fund's Net Asset Value at the start of the period under review subject to a minimum of 20 transactions. Description Amount (in EUR) % of net assets Final redemption 5,000, Purchase on stock market DLR KREDIT 1% ,816, Purchase on stock market GERMANY 0% , Purchase on stock market GERMANY 0% , Purchase on stock market BRF 2% ,090, Purchase on stock market GERMANY 0% , Purchase on stock market GERMANY 0.25% , Purchase on stock market NETHERLANDS 4.5% , Purchase on stock market FINLAND 3.875% , Sale on stock market ~ DLR KREDIT 1% ,800, Sale on stock market ~ GERMANY 0% (RBG) 450, Sale on stock market ~ GERMANY 0% , Sale on stock market ~ NORDEA KRED 2% ,000, Sale on stock market ~ NYKREDIT 1% ,000, Sale on stock market ~ BRF 2% ,031, Sale on stock market ~ NETHERLANDS 4.5% (RBG) 701, Sale on stock market ~ GERMANY 0% , Sale on stock market ~ GERMANY 0.5% , Sale on stock market ~ FINLAND 3.875% , Sale on stock market ~ GERMANY 0.25% , The accompanying notes 1-16 form an integral part of these unaudited financial statements. 49

50 Notes to the Unaudited Financial Statements Note 1 - Authorisation and Structure of the Company The Company is an open-ended protected cell investment company governed by the provisions of The Companies (Guernsey) Law, 2008 as amended, The Protection of Investors (Bailiwick of Guernsey) Law, 1987 as amended, the Authorised Collective Investment Schemes (Class B) Rules, 2013 and the Company's Principal documents. The Company is registered in Guernsey, Channel Islands. The Company is an alternative investment fund ("AIF") and the AIFM is an alternative investment fund manager for the purposes of the Alternative Investment Fund Managers Directive 2011/61/EU ("AIFMD"). The Company may not be marketed (within the meaning given to the term "marketing" under the AIFMD), and these Scheme Particulars may not be sent, to prospective investors domiciled in or with a registered office in any Member State of the European Economic Area ("EEA") unless: (i) the AIFM has obtained a marketing permission made available under provisions of the AIFMD as implemented in the national legislation of that Member State or (ii) such marketing was initiated by a prospective investor and not by the AIFM or any other person/entity acting directly or indirectly on behalf of the AIFM. In case of any conflict between this notice to EEA investors and any notices in respect of individual EEA Member States set out below, this notice shall prevail. The Collective Investment Schemes (Class B) Rules 1990 were revoked and replaced by the Authorised Collective Investment Schemes (Class B) Rules 2013 on 2 January Under the transitional rules, the Company is now authorised under the new rules. The Company is an open-ended investment company which is registered as a protected Cell company. The provisions of the Law allow a company to which it applies to create one or more Cells for the purpose of segregating and protecting the assets within those Cells so that liabilities of the Company attributable to one Cell can only be satisfied out of the assets of that Cell, and holders of shares of a particular Cell have no right to the assets of any other Cell. Details of the Cells which the Directors have resolved to create can be found in the Cell Particulars which are included with the Scheme Particulars. The Management Shares of DKK 1.00 are not included in the Company total of net assets. The presentation and functional currency of the Company is Danish Kroner ( DKK ). Persons investing and dealing with a Cell of the Company shall only have recourse to, and their interests shall be limited to, the assets from time to time attributable to that Cell or, except as provided under the Ordinance, against any non-cellular assets of the Company. During the reporting period to 30 June 2017, the Company had the following Cells: a) Danske Invest Hedge Fixed Income Strategies Fund Danske Invest Hedge Fixed Income Strategies Fund has issued eight Sub-Classes of shares: - EUR Sub-Class (EUR) - DKK Sub-Class A (DKK) - DKK Sub-Class (DKK) - Obligationer Sub-Class (DKK) - SEK Sub-Class (SEK) - DKK Sub-Class I (DKK) - DKK Sub-Class W (DKK) - Obligationer Sub-Class W (DKK) b) Danske Invest Leveraged Balanced Fund Danske Invest Leveraged Balanced Fund had issued one Sub-Class of shares: A Sub-Class in EUR. c) Danske Invest European Equities Absolute Fund (liquidated as at 22 May 2017) Danske Invest European Equities Absolute Fund has issued one Sub-Class of share: EUR Sub-Class in EUR. d) Danske Invest Hedge Fixed Income Relative Value Fund Danske Invest Hedge Fixed Income Relative Value Fund has issued four Sub-Classes of shares: - EUR Sub-Class (EUR) - DKK Sub-Class (DKK) - SEK Sub-Class (SEK) - USD Sub-Class (USD) e) Danske Invest Hedge Fixed Income Opportunities Fund Danske Invest Hedge Fixed Income Opportunities Fund has issued one Sub-Class of shares: DKK Sub-Class W in DKK. f) Danske Invest Hedge Mortgage Arbitrage Fund Danske Invest Hedge Mortgage Arbitrage Fund has issued two Sub-Classes of shares: DKK Sub-Class A in DKK and DKK Sub-Class in DKK. g) Danske Invest Quant Fi / Fx Fund Danske Invest Quant Fi / Fx Fund has issued one Sub-Class of shares: EUR Sub-Class W in EUR. 50

51 Notes to the Unaudited Financial Statements (continued) Note 2 - Accounting Policies The financial statements have been prepared in accordance with generally accepted accounting principles in Luxembourg. 2a) Going Concern The Directors have assessed the going concern basis of the PCC as a whole and note that it is their intention to continue to operate the PCC for the foreseeable future. Whilst funds within the PCC may be subject to both high levels of illiquid investments coupled with high levels of redemption requests the Directors can utilise their ability to suspend redemptions within the funds to ensure the PCC can carry on as a going concern. For this reason the Directors have prepared financial statements on a going concern basis. As mentioned in note 14, the Directors decided to close Danske Invest Leveraged Balanced Fund on 15 December The Liquidation process is still in progress. 2b) Valuation of investments Deposits are valued at their principal amount plus accrued interest calculated on 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. Investment funds are valued at the latest available Net Asset Value. The net asset value reported by the fund manager or administrator of the funds may be unaudited and in some cases, the notified net asset value are based on estimates. Further, as noted in the note 14, some of the underlying funds have been gated, suspended or are in liquidation ( Distressed Funds ). While the Directors have no reason to suppose that any such valuations are unreasonable, the amounts realisable from the redemption of these funds may materially differ from these values. 2c) Realised gains/loss on securities Gains or loss on investment securities sold are computed on the basis of the average cost. 2d) Income recognition Interest on bank and fixed income securities is accrued pro rata temporis on each valuation day. Dividends are recognised as income on the date the securities are first quoted ex-dividend to the extent information thereon is reasonably available to the company. Income is recognised net of any withholding tax, where applicable. 2e) Foreign currencies The presentation and functional currency of the Company is DKK. The financial statements of the Company are expressed in DKK and the Cells are expressed in DKK and EUR. The net asset values of the Cells in operation are expressed as follows: Danske Invest Hedge Fixed Income Strategies Fund in DKK with eight Sub-Classes: - EUR Sub-Class (EUR) - SEK Sub-Class (SEK) - DKK Sub-Class A (DKK) - DKK Sub-Class (DKK) - Obligationer Sub-Class (DKK) - DKK Sub-Class I (DKK) - DKK Sub-Class W (DKK) - Obligationer Sub-Class W (DKK) Danske Invest Leveraged Balanced Fund in EUR with one Sub-Class: - A Sub-Class in EUR Danske Invest European Equities Absolute Fund (liquidated as at 22 May 2017) in EUR with one Sub-Class: - EUR Sub-Class in EUR 51

52 Notes to the Unaudited Financial Statements (continued) Note 2 - Accounting Policies (continued) Danske Invest Hedge Fixed Income Relative Value Fund in DKK with four Sub-Classes: - EUR Sub-Class (EUR) - SEK Sub-Class (SEK) - DKK Sub-Class (DKK) - USD Sub-Class (USD) Danske Invest Hedge Fixed Income Opportunities Fund with one Sub-Class: - DKK Sub-Class W in DKK Danske Invest Hedge Mortgage Arbitrage Fund with two Sub-Classes: - DKK Sub-Class A in DKK - DKK Sub-Class in DKK Danske Invest Quant Fi / Fx Fund in EUR with one Sub-Class: - EUR Sub-Class W in EUR In computing the net asset value per Sub-Class Share, all assets and liabilities valued in a currency other than the base currency of the Sub-Class are converted to the base currency at the exchange rates prevailing at 30 June 2017 for all Cells. Income and expenses deriving in a currency other than the base currency of the Sub-Class are converted at the applicable exchange rate prevailing at the transaction date. The exchange rates used are the following: 1 AUD = EUR 1 CHF = EUR 1 DKK = EUR 1 GBP = EUR 1 HKD = EUR 1 HUF = EUR 1 NOK = EUR 1 PLN = EUR 1 SEK = EUR 1 TRY = EUR 1 USD = EUR for the cells Danske Invest Leveraged Balanced Fund and Danske Invest Quant Fi / Fx Fund and 1 CAD = DKK 1 CHF = DKK 1 EUR = DKK 1 GBP = DKK 1 JPY = DKK 1 NOK = DKK 1 SEK = DKK 1 USD = DKK for the Cells Danske Invest Hedge Fixed Income Strategies Fund, Danske Invest Hedge Fixed Income Relative Value Fund, Danske Invest Hedge Fixed Income Opportunities Fund and Danske Invest Hedge Mortgage Arbitrage Fund. 2f) Currency translation The unaudited Statement of Net Assets of the separate Cells is translated into the reporting currency of the Company using the rate of exchange ruling at the period end date. Opening net assets are maintained at the closing exchange rate of the previous year. 2g) Forward foreign exchange contracts The Company utilises forward foreign exchange contracts. The carrying value of these contracts is the gain or loss that would be realised if the position were closed out on the period end date. 52

53 Notes to the Unaudited Financial Statements (continued) Note 2 - Accounting Policies (continued) 2h) Futures Futures are valued based on the last available published price on the valuation date. 2i) Derivatives All open derivatives except the swap positions are valued at their closing market value at the period end date. 2j) CFD "Contract for difference", FRAs, swaps and swaptions CFD, FRAs and interest rate swaps are valued at their market value established by reference to the applicable index or financial instrument on the period end date. CFDs, FRAs and interest rate swaps opened at period end are disclosed in Note 10. A Swaption can be defined as the option to enter into an interest rate swap. In exchange for an option premium, the buyer gains the right but not the obligation to enter into a specified swap agreement with the issuer on a specified future date. Swaptions open at period end are disclosed in Note 10. 2k) Repos and reverse 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 Cell, which remains exposed to the risk of depreciation in value. Reverse repurchase agreements (reverse repos) are similar to secured lending of cash. In this case, the Cell does not bear the risk of depreciation in the value of the underlying securities. Interest is accrued pro rata temporis on each net asset calculation. 2l) Formation expenses Formation expenses have been capitalised and are being amortised over a five year period. 2m) RBT securities Danish bonds that are repaid by instalments and that are subject to a 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. 2n) Options Options are valued at the market price on the valuation date. Unrealised gains or losses resulting at the time of reporting from the valuation of options are included in the statement of net assets. Note 3 - AIFM Management Fees Danske Invest PCC Ltd appointed Danske Invest Management A/S as AIFM in respect of its Cells effective as of 22 July Up to and including 26 June 2017 Danske Invest Hedge Fixed Income Strategies Fund Danske Invest Hedge Fixed Income Strategies Fund pays management fees to the AIFM which are determined as follows: % p.a. of the average EUR Sub-Class Net Asset Value; % p.a. of the average SEK Sub-Class Net Asset Value; % p.a. of the average DKK Sub-Class A Net Asset Value; % p.a. of the average DKK Sub-Class Net Asset Value; % p.a. of the average Obligationer Sub-Class Net Asset Value; % p.a. of the average DKK Sub-Class I Net Asset Value. Danske Invest Leveraged Balanced Fund No management fees have to be paid to the Investment Manager as the Cell is under liquidation. Danske Invest European Equities Absolute Fund (liquidated as at 22 May 2017) Danske Invest European Equities Absolute Fund pays the management fees to the AIFM which are determined as follows: % p.a. of the average EUR Sub-Class Net Asset Value. 53

54 Notes to the Unaudited Financial Statements (continued) Note 3 - AIFM Management Fees (continued) Danske Invest Hedge Fixed Income Relative Value Fund Danske Invest Hedge Fixed Income Relative Value Fund pays the management fees to the AIFM which are determined as follows: % p.a. of the average EUR Sub-Class Net Asset Value; % p.a. of the average SEK Sub-Class Net Asset Value; % p.a. of the average DKK Sub-Class Net Asset Value; % p.a. of the average USD Sub-Class Net Asset Value. Danske Invest Hedge Fixed Income Opportunities Fund Danske Invest Hedge Fixed Income Opportunities Fund pays the management fees to the AIFM which are determined as follows: % p.a. of the average DKK Sub-Class W Net Asset Value. Danske Invest Hedge Mortgage Arbitrage Fund Danske Invest Hedge Mortgage Arbitrage Fund pays the management fees to the AIFM which are determined as follows: % p.a. of the average DKK Sub-Class A Net Asset Value % p.a. of the average DKK Sub-Class Net Asset Value. Danske Invest Quant Fi / Fx Fund Danske Invest Quant Fi / Fx Fund pays the management fees to the AIFM which are determined as follows: % p.a. of the average EUR Sub-Class W Net Asset Value. Effective from 27 June 2017 Danske Invest Hedge Fixed Income Strategies Fund Danske Invest Hedge Fixed Income Strategies Fund pays management fees to the AIFM which are determined as follows: % p.a. of the average EUR Sub-Class Net Asset Value; % p.a. of the average SEK Sub-Class Net Asset Value; % p.a. of the average DKK Sub-Class A Net Asset Value; % p.a. of the average DKK Sub-Class Net Asset Value; % p.a. of the average Obligationer Sub-Class Net Asset Value; % p.a. of the average DKK Sub-Class I Net Asset Value; % p.a. of the average DKK Sub-Class W Net Asset Value; % p.a. of the average Obligationer Sub-Class W Net Asset Value. Danske Invest Leveraged Balanced Fund No management fees have to be paid to the Investment Manager as the Cell is under liquidation. Danske Invest Hedge Fixed Income Relative Value Fund Danske Invest Hedge Fixed Income Relative Value Fund pays the management fees to the AIFM which are determined as follows: % p.a. of the average EUR Sub-Class Net Asset Value; % p.a. of the average SEK Sub-Class Net Asset Value; % p.a. of the average DKK Sub-Class Net Asset Value; % p.a. of the average USD Sub-Class Net Asset Value. Danske Invest Hedge Fixed Income Opportunities Fund Danske Invest Hedge Fixed Income Opportunities Fund pays the management fees to the AIFM which are determined as follows: 0.40% p.a. of the average DKK Sub-Class W Net Asset Value. Danske Invest Hedge Mortgage Arbitrage Fund Danske Invest Hedge Mortgage Arbitrage Fund pays the management fees to the AIFM which are determined as follows: % p.a. of the average DKK Sub-Class A Net Asset Value; % p.a. of the average DKK Sub-Class Net Asset Value. 54

55 Notes to the Unaudited Financial Statements (continued) Note 3 - AIFM Management Fees (continued) Danske Invest Quant Fi / Fx Fund Danske Invest Quant Fi / Fx Fund pays the management fees to the AIFM which are determined as follows: % p.a. of the average EUR Sub-Class W Net Asset Value. Note 4 - Performance Fees Danske Invest Hedge Fixed Income Strategies Fund Under the terms of the AIFM Agreement, Danske Invest Hedge Fixed Income Strategies Fund will pay to the AIFM a performance fee which will be calculated and accrued on each weekly valuation day and shall be 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. The AIFM is responsible and liable for payment of any performance fees due to the Investment Manager in accordance with the investment agreement between the AIFM and Investment Manager and the Company has no responsibility for such fees. - The EUR Sub-Class A performance fee shall be payable in respect of the EUR Sub-Class in relation to any financial year (the EUR Relevant Year ) if the Net Asset Value of the EUR Sub-Class of Shares at the end of the EUR Relevant Year (the EUR Year End NAV ) exceeds (100 + Risk-free Rate EUR) per cent of the Net Asset Value of that Separate Fund at the end of the immediately preceding financial year (the EUR Previous Year End NAV ) or the initial price of EUR 1,000 in the case of the first performance fee calculation date. If a performance fee is payable in relation to the EUR Relevant Year, the performance fee shall be an amount equal to 20 per cent of the amount by which the EUR Year End NAV exceeds (100 + Risk-free Rate EUR) per cent of the EUR Previous Year End NAV. The SEK Sub-Class A performance fee shall be payable in respect of the SEK Sub-Class in relation to any financial year (the SEK Relevant Year ) if the Net Asset Value of the SEK Sub-Class of Shares at the end of the SEK Relevant Year (the SEK Year End NAV ) exceeds (100 + Risk-free Rate SEK) per cent of the Net Asset Value of that Separate Fund at the end of the immediately preceding financial year (the SEK Previous Year End NAV ). If a performance fee is payable in relation to the SEK Relevant Year, the performance fee shall be an amount equal to 20 per cent of the amount by which the SEK Year End NAV exceeds (100 + Risk-free Rate SEK) per cent of the SEK Previous Year End NAV. The DKK Sub-Class A, the DKK Sub-Class (DKK), the DKK Sub-Class I, the Obligationer Sub-Class, the DKK Sub-Class W and the Obligationer Sub-Class W A performance fee shall be payable in respect of the DKK Sub-Class A, the DKK Sub-Class I, the Obligationer Sub-Class, the DKK Sub-Class of Shares, the DKK Sub-Class W and the Obligationer Sub-Class W (as the case may be) in relation to any financial year (the DKK & Relevant Year ) if the Net Asset Value of the relevant Separate Fund at the end of the DKK Relevant Year (the DKK Year End NAV ) exceeds (100 + Risk-free Rate DKK) per cent of the Net Asset Value of that separate fund at the end of the immediately preceding financial year (the DKK Previous Year End NAV ). If a performance fee is payable in relation to any DKK Relevant Year, the performance fee shall be an amount equal to 20 per cent of the amount by which the DKK Year End NAV exceeds (100 + Risk-free Rate DKK) per cent of the DKK Previous Year End NAV. Since the performance fees are calculated and accrued on a weekly basis but paid annually, it is possible that value of the shares of Shareholders may reflect performance fees accrued during part of a year even though they may incur substantial overall losses during such year as a result of the time at which they subscribe or redeem shares. Danske Invest Leveraged Balanced Fund No Performance fees have to be paid to the Investment Manager as the Fund is under liquidation. Danske Invest European Equities Absolute Fund (liquidated as at 22 May 2017) Under the terms of the AIFM Agreement the Company, out of the assets of the corresponding Sub-Class, will also pay to the AIFM 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 the EUR Sub-Class. 55

56 Notes to the Unaudited Financial Statements (continued) Note 4 - Performance Fees (continued) If a performance fee is payable in relation to any relevant Sub-Class, the performance fee shall be an amount equal to 20% of the Outperformance (as defined below). Between two successive calculation dates the Outperformance will be calculated for each relevant Sub-Class as: - NAV per Share before additional performance fee accruals minus the higher of: - The NAV per 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 EUR in the case of the EUR Sub-Class on a pro rate temporis basis up to the relevant calculation date. The High Water Mark NAV per Share is defined as the greater of: (i) EUR 1,000. (being the Subscription Price at which Shares of the EUR Sub-Class was issued on the launch of the Sub Class); and (ii) The NAV per Share of the relevant Sub-Class at the end of the immediately preceding Valuation Day which a performance fee was charged. Each time the Fund outperforms, the outperformance is locked in favour of the AIFM. Whenever a positive outperformance level, previously reached, is not achieved thereafter, a High Water Mark NAV per Share is memorised for the purpose of the performance fee calculation. Any under-performance will be carried forward in order to be recouped. The AIFM is responsible and liable for payment of any performance fees due to the Investment Manager in accordance with the investment agreement between the AIFM and the Investment Manager and the Company has no responsibility for such fees. Since the performance fees are calculated, accrued and locked on each Valuation Day and paid annually, it is possible that the value of the Shares of Shareholders may reflect performance fees accrued during a part of a year even though they may incur overall losses during such year as a result of the time at which they subscribe or redeem Shares. Danske Invest Hedge Fixed Income Relative Value Fund Under the terms of the AIFM Agreement the Company, out of the assets of the corresponding Separated account maintained in accordance with the Articles in respect of a particular class of Shares of a Cell ("Separate Fund"), will also pay to the AIFM 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 the DKK Sub-Class, the EUR Sub-Class, the SEK Sub-Class and the USD Sub-Class. If a performance fee is payable in relation to any relevant Sub-Class, the performance fee shall be for the DKK Sub- Class, the EUR Sub-Class, the SEK Sub-Class and the USD Sub-Class an amount equal to 20 per cent of the Outperformance (as defined below). Between two successive calculation dates the Outperformance will be calculated for each relevant Sub-Class as: - NAV per Share before additional performance fee accruals minus the higher of: - The NAV per 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 on a pro rata temporis basis up to the relevant calculation date; The Risk-free Rate EUR in the case of the EUR Sub-Class on a pro rata temporis basis up to the relevant calculation date; The Risk-free Rate SEK in the case of the SEK Sub-Class on a pro rata temporis basis up to the relevant calculation date; and The Risk-free Rate USD in the case of the USD Sub-Class on a pro rata temporis basis up to the relevant calculation date. 56

57 Notes to the Unaudited Financial Statements (continued) Note 4 - Performance Fees (continued) The High Water Mark NAV per Share is defined as the greater of: (i) CHF 1,000, DKK 1,000, EUR 1,000, SEK 1,000 and/or 1,000 USD (being the Subscription Price at which Shares of the relevant Sub-Class were issued on the launch of the Sub Class); and (ii) The NAV per Share of the relevant Sub-Class at the end of the immediately preceding Valuation Day which a performance fee was charged. Each time the Fund outperforms, the outperformance is locked in favour of the AIFM. Whenever a positive outperformance level, previously reached, is not achieved thereafter, High Water Mark NAV per Share is memorised for the purpose of the performance fee calculation. Any under-performance will be carried forward in order to be recouped. In case a performance fee has not been paid for a three year period, a reset will be done at the year end of the third year, in order to define the High Water Mark as the NAV Net Asset Value per Share of the relevant Class at the end of the year. The AIFM is responsible and liable for payment of any performance fees due to the Investment Manager and the Company has no responsibility for such fees. Since the performance fees are calculated, accrued and locked on each Valuation Day and paid annually, it is possible that the value of the Shares of Shareholders may reflect performance fees accrued during a part of a year even though they may incur overall losses during such year as a result of the time at which they subscribe or redeem Shares. Danske Invest Hedge Fixed Income Opportunities Fund Under the terms of the AIFM Agreement the Company, out of the assets of the corresponding Separate Fund, will also pay to the AIFM 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 the DKK Sub-Class W. If a performance fee is payable in relation to any relevant Sub-Class, the performance fee shall be, for the DKK Sub- Class W, an amount equal to 10 per cent of the Outperformance (as defined below). Between two successive calculation dates the Outperformance will be calculated for each relevant Sub-Class as: - NAV per Share before additional performance fee accruals minus the higher of: - The NAV per 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 W on a pro rata temporis basis up to the relevant calculation date. The High Water Mark NAV per Share is defined as the greater of: (i) DKK 1,000 (being the Subscription Price at which Shares of the relevant Sub-Class were issued on the launch of the Sub Class); and (ii) The NAV per Share of the relevant Sub-Class at the end of the immediately preceding Valuation Day which a performance fee was charged. Each time the Fund outperforms, the outperformance is locked in favour of the AIFM. Whenever a positive outperformance level, previously reached, is not achieved thereafter, a High Water Mark NAV per Share is memorised for the purpose of the performance fee calculation. Any underperformance will be carried forward in order to be recouped. In case a performance fee has not been paid for a financial year, a reset will be done in order to define the High Water Mark as the Net Asset Value per Share of the relevant Class calculated the last Valuation Day of the year. The AIFM is responsible and liable for payment of any performance fees due to the Investment Manager in accordance with the investment agreement between the AIFM and Investment Manager and the Company has no responsibility for such fees. Since the performance fees are calculated, accrued and locked on each Valuation Day and paid annually, it is possible that the value of the Shares of Shareholders may reflect performance fees accrued during a part of a year even though they may incur overall losses during such year as a result of the time at which they subscribe or redeem Shares. 57

58 Notes to the Unaudited Financial Statements (continued) Note 4 - Performance Fees (continued) Danske Invest Hedge Mortgage Arbitrage Fund Under the terms of the AIFM Agreement the Company, out of the assets of the corresponding Separate Fund, will also pay to the AIFM 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 the DKK Sub-Class A and the DKK Sub-Class. If a performance fee is payable in relation to any relevant Sub-Class, the performance fee shall be, for the DKK Sub- Class A and the DKK Sub-Class an amount equal to 20 per cent of the Outperformance (as defined below). Between two successive calculation dates the Outperformance will be calculated for each relevant Sub-Class as: - NAV per Share before additional performance fee accruals minus the higher of: - The NAV per 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 A and DKK Sub-Class on a pro rata temporis basis up to the relevant calculation date; The High Water Mark NAV per Share is defined as the greater of: (i) DKK 1,000 (being the Subscription Price at which Shares of the relevant Sub-Class were issued on the launch of the Sub Class); and (ii) The NAV per Share of the relevant Sub-Class at the end of the immediately preceding Valuation Day which a performance fee was charged. Each time the Fund outperforms, the outperformance is locked in favour of the AIFM. Whenever a positive outperformance level, previously reached, is not achieved thereafter, a High Water Mark NAV per Share is memorised for the purpose of the performance fee calculation. Any underperformance will be carried forward in order to be recouped. In case a performance fee has not been paid for a 3 year period, a reset will be done at the year end of the third year, in order to define the High Water Mark as the Net Asset Value per Share of the relevant Class at the end of the year. The AIFM is responsible and liable for payment of any performance fees due to the Investment Manager in accordance with the investment agreement between the AIFM and Investment Manager and the Company has no responsibility for such fees. Since the performance fees are calculated, accrued and locked on each Valuation Day and paid annually, it is possible that the value of the Shares of Shareholders may reflect performance fees accrued during a part of a year even though they may incur overall losses during such year as a result of the time at which they subscribe or redeem Shares. Danske Invest Quant Fi / Fx Fund Under the terms of the AIFM Agreement the Company, out of the assets of the corresponding Separate Fund, will also pay to the AIFM a performance fee from the Fund calculated and accrued 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 the EUR Sub-Class W. The AIFM is responsible and liable for payment of any performance fee due to the Investment Manager in accordance with the investment agreement between the AIFM and Investment Manager and the Company has no responsibility for such fees. If a performance fee is payable in relation to any relevant Sub-Class, the performance fee shall be, for an amount equal to 20 per cent of the Outperformance (as defined below). Between two successive calculation dates the Outperformance will be calculated for each relevant Sub-Class as: NAV per Share before additional performance fee accruals, minus the higher of: The NAV per 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) 58

59 Notes to the Unaudited Financial Statements (continued) Note 4 - Performance Fees (continued) The Hurdle Rate is: The Risk free Rate EUR, defined as the European Central Bank's lending, Bloomberg ticker EREU001W The High Water Mark NAV per Share is defined as the greater of: (i) EUR 1,000 (being the Subscription Price at which Shares of the relevant Sub-Class were issued on the launch of the Sub-Class); and (ii) The NAV per Share of the relevant Sub-Class at the end of the immediately preceding Valuation Day which a performance fee was charged. Whenever a positive out-performance level, previously reached, is not achieved thereafter, a negative fee will be charged to offset the previous accrual in proportion of the outstanding number of Shares of the relevant Separate Fund between two calculation dates. If the performance fee total accrual turns out to be a negative figure, no accrual will be booked in the Fund but the underperformance is memorized for the purpose of the performance fee calculation, so that the Investment Manager must recoup the underperformance before being entitled to any performance fee. Any under-performance at the end of a financial year will be carried forward in order to be recouped within the succeeding financial years. Since the performance fees are calculated and accrued on each Valuation Day and paid annually, it is possible that the value of the Shares of Shareholders may reflect performance fees accrued during a part of a year even though they may incur overall losses during such year as a result of the time at which they subscribe or redeem Shares. Note 5 Distributor s Fees Up to and including 18 May 2017 Danske Invest Leveraged Balanced Fund The Cell will pay to the Distributor for the A Sub-Class for monitoring the administration of the A Sub-Class a fee of 0.25 percent per annum of the average Net Asset Value of the A Sub-Class. From 19 May 2017 the Cell will not pay any fee to the Distributor No other Distributor fees are payable. Note 6 - Cash Flow Monitoring and Oversight, Administrator, Custodian, Registrar, Sub-Registrar and Sub- Administrator, Sub-Depositary, Company Secretary and Compliance Monitoring Fees Up to and including 26 June 2017 Danske Invest Hedge Fixed Income Strategies Fund The Company shall pay, out of the assets of the Cell, the fees of the Cash Flow Monitoring and Oversight Agent, the Administrator, the Custodian, the Registrar, the Sub-Registrar, the Sub-Administrator and the Sub-Custodian in accordance with the CFM Agreement, the Administration Agreement, the Custodian Agreement, the Sub-Custodian Agreement and the Investment Fund Services Delegation Agreement. The Company shall pay fees to the Administrator of EUR 25,000 per annum in respect of each Cell which is still open to subscriptions and/or redemptions, the aggregate of such fees shall be apportioned between the Cells according to this Cell's pro rata NAV as a proportion of the total NAV of the live Cells of the Company which are still open to subscriptions and/or redemptions). The Administrator shall also be reimbursed in respect of all out-of-pocket expenses it incurs in the performance of its duties. The Company shall pay fees to the Custodian of EUR 15,000 per annum in respect of each Cell which is still open to subscriptions and/or redemptions, the aggregate of such fees shall be apportioned between the Cells according to that Cells pro rata NAV as a proportion of the total NAV of the live Cells of the Company (i.e. those which are still open to subscriptions and/or redemptions). The fee paid to the Compliance Monitor and to the Sub-Administrator covers respectively compliance monitoring, reporting and sub-administration. The Sub-Administrator and the Compliance Monitor shall be paid a fee of up to 0.06 per cent per annum of the relevant Separate Fund s Net Asset Value, the Sub- Custodian shall be paid a fee of up to per cent per annum of the relevant Separate Fund s Net Asset Value which does not include any transaction related fees and costs of its sub-custodians or similar agents and the Sub-Registrar, shall be paid a fee of around 0.02 per cent per annum of the relevant Separate Fund s Net Asset Value, all fees to be paid out of the relevant Separate Fund s Net Asset Value quarterly in arrears. The brokers shall charge the Cell at normal commercial rates. The Sub-Administrator, the Sub-Custodian and, the Sub-Registrar shall also be reimbursed by the Fund for all out-of-pocket expenses and any transaction related charges they incur in the performance of their duties. 59

60 Notes to the Unaudited Financial Statements (continued) Note 6 - Cash Flow Monitoring and Oversight, Administrator, Custodian, Registrar, Sub-Registrar and Sub- Administrator, Sub-Depositary, Company Secretary and Compliance Monitoring Fees (continued) The Company shall pay EUR 6,000 per annum for Cash Flow Monitoring and Reconciliation, as well as 0.25 bps per annum on total Net Asset Value in respect of each Cell to the Cash Flow Monitoring and Oversight Agent. The Company shall also pay fees to the Administrator of EUR 20,000 per annum, apportioned to each of the Company's existing Cells, for company secretarial and registered office facilities. Danske Invest Leveraged Balanced Fund The Distributor has assumed responsibility in relation to the Cell and shall pay the fees of the Administrator and the Custodian out of the fees it receives except for the fees and charges listed under the section headed General Expenses in the supplemental prospectus of the Cell dated November 2008, which shall be paid by the Company and/or the Cell and be allocated among all Cells (including the Cell) pro rata to the Net Asset Value of each Cell. Danske Invest European Equities Absolute Fund (liquidated as at 22 May 2017) The Company, out of the assets of the Cell, shall pay the fees of the Cash Flow Monitoring and Oversight Agent, the Administrator, the Custodian, the Registrar, the Sub-Registrar, the Sub-Administrator and the Sub-Custodian in accordance with the Administration and Secretarial Agreement, the Custodian Agreement and the Investment Fund Services Delegation Agreement and the Sub-Custodian Agreement. The Company shall pay fees to the Administrator of EUR 25,000 per annum in respect of each Cell which is still open to subscriptions and/or redemptions, the aggregate of such fees shall be apportioned between the Cells according to that Cell's pro rata NAV as a proportion of the total NAV of the live Cells of the Company (i.e. those which are still open to subscriptions and/or redemptions). The Administrator shall also be reimbursed in respect of all out-of-pocket expenses it incurs in the performance of its duties. The Company shall pay fees to the Custodian of EUR 15,000 per annum in respect of each Cell which is still open to subscriptions and/or redemptions, the aggregate of such fees shall be apportioned between the Cells of the Company according to this Cell's pro rata NAV as a proportion of the total NAV of the live Cells of the Company (i.e. those which are still open to subscriptions and/or redemptions). The fee paid to the Compliance Monitor and to the Sub-Administrator covers respectively compliance monitoring, reporting and sub-administration. The Sub-Administrator and the Compliance Monitor shall be paid a fee of up to 0.06 per cent per annum of the relevant Separate Fund s Net Asset Value, the Sub-Custodian shall be paid a fee of up to per cent per annum of the relevant Separate Fund s Net Asset Value which does not include any transaction related fees and costs of its sub-custodians or similar agents and the Sub-Registrar shall be paid a fee of around 0.02 per cent per annum of the relevant Separate Fund s Net Asset Value, all fees to be paid out of the relevant Separate Fund s Net Asset Value quarterly in arrears. The Prime Brokers shall charge the Cell at normal commercial rates. The Sub-Administrator, the Sub-Custodian, the Sub-Registrar and the Prime Brokers shall also be reimbursed by the relevant Separate Cell for all out-of-pocket expenses and any transaction related charges they incur in the performance of their duties. The Company shall pay EUR 6,000 per annum for Cash Flow Monitoring and Reconciliation, as well as 0.25 bps per annum on total Net Asset Value in respect of each Cell to the Cash Flow Monitoring and Oversight Agent. The Company shall also pay fees to the Administrator of EUR 20,000 per annum, apportioned to each of the Company's existing Cells, for company secretarial and registered office facilities. Danske Invest Hedge Fixed Income Relative Value Fund The Company shall pay, out of the assets of the Cell, the fees of the Cash Flow Monitoring and Oversight Agent, the Administrator, the Custodian, the Registrar, the Sub-Registrar, the Sub-Administrator, the Sub-Custodian and the Broker in accordance with the Cash Flow Monitoring and Oversight Agent, the Administration Agreement, the Custodian Agreement, the Sub-Custodian Agreement, the Investment Fund Services Delegation Agreement and the Service Level Agreement. The Company shall pay fees to the Administrator of EUR 25,000 per annum in respect of each Cell which is still open to subscriptions and/or redemptions, the aggregate of such fees shall be apportioned between the Cells according to this Cell's pro rata NAV as a proportion of the total NAV of the live Cells of the Company (i.e. those which are still open to subscriptions and/or redemptions). The Administrator shall also be reimbursed in respect of all out-ofpocket expenses it incurs in the performance of its duties. The Company shall pay fees to the Custodian of EUR 15,000 per annum in respect of each Cell which is still open to subscriptions and/or redemptions, the aggregate of such fees shall be apportioned between the Cells according to that Cells pro rata NAV as a proportion of the total NAV of the live Cells of the Company (i.e. those which are still open to subscriptions and/or redemptions). 60

61 Notes to the Unaudited Financial Statements (continued) Note 6 - Cash Flow Monitoring and Oversight, Administrator, Custodian, Registrar, Sub-Registrar and Sub- Administrator, Sub-Depositary, Company Secretary and Compliance Monitoring Fees (continued) The fee paid to the Compliance Monitor and to the Sub-Administrator covers respectively compliance monitoring, reporting and sub-administration. The Sub-Administrator and the Compliance Monitor shall be paid a fee of up to 0.06 per cent per annum of the relevant Separate Cell s Net Asset Value, the Sub-Custodian shall be paid a fee of up to per cent per annum of the relevant Separate Cell s Net Asset Value which does not include any transaction related fees and costs of its sub-custodians or similar agents and the Sub-Registrar shall be paid a fee of around 0.02 per cent per annum of the relevant Separate Cell s Net Asset Value, all fees to be paid out of the relevant Separate Cell s Net Asset Value quarterly in arrears. The brokers shall charge the Cell at normal commercial rates. The Sub- Administrator, the Sub-Custodian and, the Sub-Registrar shall also be reimbursed by the Cell for all out-of-pocket expenses and any transaction related charges they incur in the performance of their duties. The Company shall pay EUR 6,000 per annum for Cash Flow Monitoring and Reconciliation, as well as 0.25 bps per annum on total Net Asset Value in respect of each Cell to the Cash Flow Monitoring and Oversight Agent. The Company shall also pay fees to the Administrator of EUR 20,000 per annum, apportioned to each of the Company's existing Cells, for company secretarial and registered office facilities. Danske Invest Hedge Fixed Income Opportunities Fund The Company shall pay, out of the assets of the Fund, the fees of the Cash Flow Monitoring and Oversight Agent, the Administrator, the Custodian, the Registrar, the Sub-Registrar, the Sub-Administrator and the Sub-Custodian in accordance with the CFM Agreement, the Administration Agreement, the Custodian Agreement, the Sub-Custodian Agreement and the Investment Fund Services Delegation Agreement. The Company shall pay fees to the Administrator of EUR 25,000 per annum in respect of each Cell which is still open to subscriptions and/or redemptions, the aggregate of such fees shall be apportioned between the Cells according to this Cell's pro rata NAV as a proportion of the total NAV of the live Cells of the Company (i.e. those which are still open to subscriptions and/or redemptions). The Administrator shall also be reimbursed in respect of all out-ofpocket expenses it incurs in the performance of its duties. The Company shall pay fees to the Custodian of EUR 15,000 per annum in respect of each Cell which is still open to subscriptions and/or redemptions, the aggregate of such fees shall be apportioned between the Cells according to that Cells pro rata NAV as a proportion of the total NAV of the live Cells of the Company (i.e. those which are still open to subscriptions and/or redemptions). The fee paid to the Compliance Monitor and to the Sub-Administrator covers respectively compliance monitoring, reporting and sub-administration. The Sub-Administrator and the Compliance Monitor shall be paid a fee of up to 0.06 per cent per annum of the relevant Separate Fund s Net Asset Value, the Sub-Custodian shall be paid a fee of up to per cent per annum of the relevant Separate Fund s Net Asset Value which does not include any transaction related fees and costs of its sub-custodians or similar agents and the Sub-Registrar, shall be paid a fee of around 0.02 per cent per annum of the relevant Separate Fund s Net Asset Value, all fees to be paid out of the relevant Separate Fund s Net Asset Value quarterly in arrears. The brokers shall charge the Fund at normal commercial rates. The Sub- Administrator, the Sub-Custodian and, the Sub-Registrar shall also be reimbursed by the Fund for all out-of-pocket expenses and any transaction related charges they incur in the performance of their duties. The Company shall pay EUR 6,000 per annum for Cash Flow Monitoring and Reconciliation, as well as 0.25 bps per annum on total Net Asset Value in respect of each Cell to the Cash Flow Monitoring and Oversight Agent. The Company shall also pay fees to the Administrator of EUR 20,000 per annum, apportioned to each of the Company's existing Cells, for company secretarial and registered office facilities. Danske Invest Hedge Mortgage Arbitrage Fund The Company shall pay, out of the assets of the Fund, the fees of the Cash Flow Monitoring and Oversight Agent, the Administrator, the Custodian, the Registrar, the Sub-Registrar, the Sub-Administrator and the Sub-Custodian in accordance with the CFM Agreement, the Administration Agreement, the Custodian Agreement, the Sub-Custodian Agreement and the Investment Fund Services Delegation Agreement. The Company shall pay fees to the Administrator of EUR 25,000 per annum in respect of each Cell which is still open to subscriptions and/or redemptions, the aggregate of such fees shall be apportioned between the Cells according to this Cell's pro rata NAV as a proportion of the total NAV of the live Cells of the Company (i.e. those which are still open to subscriptions and/or redemptions). The Administrator shall also be reimbursed in respect of all out-ofpocket expenses it incurs in the performance of its duties. The Company shall pay fees to the Custodian of EUR 15,000 per annum in respect of each Cell which is still open to subscriptions and/or redemptions, the aggregate of such fees shall be apportioned between the Cells according to that Cells pro rata NAV as a proportion of the total NAV of the live Cells of the Company (i.e. those which are still open to subscriptions and/or redemptions). 61

62 Notes to the Unaudited Financial Statements (continued) Note 6 - Cash Flow Monitoring and Oversight, Administrator, Custodian, Registrar, Sub-Registrar and Sub- Administrator, Sub-Depositary, Company Secretary and Compliance Monitoring Fees (continued) The fee paid to the Compliance Monitor and to the Sub-Administrator covers respectively compliance monitoring, reporting and sub-administration. The Sub-Administrator and the Compliance Monitor shall be paid a fee of up to 0.06 per cent per annum of the relevant Separate Fund s Net Asset Value, the Sub-Custodian shall be paid a fee of up to per cent per annum of the relevant Separate Fund s Net Asset Value which does not include any transaction related fees and costs of its sub-custodians or similar agents and the Sub-Registrar, shall be paid a fee of around 0.02 per cent per annum of the relevant Separate Fund s Net Asset Value, all fees to be paid out of the relevant Separate Fund s Net Asset Value quarterly in arrears. The brokers shall charge the Fund at normal commercial rates. The Sub- Administrator, the Sub-Custodian and, the Sub-Registrar shall also be reimbursed by the Fund for all out-of-pocket expenses and any transaction related charges they incur in the performance of their duties. The Company shall pay EUR 6,000 per annum for Cash Flow Monitoring and Reconciliation, as well as 0.25 bps per annum on total Net Asset Value in respect of each Cell to the Cash Flow Monitoring and Oversight Agent. The Company shall also pay fees to the Administrator of EUR 20,000 per annum, apportioned to each of the Company's existing Cells, for company secretarial and registered office facilities. Danske Invest Quant Fi / Fx Fund In addition to the fees of the AIFM described above, the Company shall pay, out of the assets of the Fund, the Cash Flow Monitoring and Oversight Agent, the Administrator, the Custodian, the Registrar, the Sub-Registrar, the Sub- Administrator and the Sub-Depositary in accordance with the CFM Agreement, the Administration Agreement, the Custodian Agreement, the Sub-Depositary Agreement, the Investment Fund Services Delegation Agreement. The Company shall pay fees to the Administrator of up to EUR 25,000 per annum in respect of each Cell which is still open to subscriptions and/or redemptions, the aggregate of such fees shall be apportioned between the Cells according to this Cell's pro rata NAV as a proportion of the NAV of the live Cells of the Company (i.e. those which are still open to subscriptions and/or redemptions). The Administrator shall also be reimbursed in respect of all out-ofpocket expenses it incurs in the performance of its duties. For the avoidance of doubt, the remuneration to which the Registrar is entitled is covered by the fee to which it is entitled in its capacity as Administrator. The Company shall pay fees to the Custodian, being a minimum flat fee of up to EUR 15,000 per annum in respect of the Fund. The Custodian may also pass on other charges to the Fund in respect of third party legal counsel which it may engage in connection with reviewing fund documentation, ad hoc reporting/tax reporting/regulatory or additional costs on a time cost basis, special service fees by negotiation, late or incomplete instructions requiring amendment or resubmission to the Sub-Depositary. The fee paid to the Compliance Monitor and to the Sub-Administrator covers respectively compliance monitoring, reporting and sub-administration. The Sub-Administrator and the Compliance Monitor shall be paid a fee of up to 0.06 per cent per annum of the relevant Separate Fund's Net Asset Value, the Sub-Depositary shall be paid a fee of up to per cent per annum of the relevant Separate Fund's Net Asset Value which does not include any transaction related fees and costs of its sub-depositaries or similar agents and the Sub-Registrar, shall be paid a fee of around 0.02 per cent per annum of the relevant Separate Fund's Net Asset Value, all fees to be paid out of the relevant Separate Fund's Net Asset Value quarterly in arrears. The brokers shall charge the Fund at normal commercial rates. The Sub-Administrator, the Sub-Depositary and, the Sub-Registrar shall also be reimbursed by the Fund for all out-of-pocket expenses and any transaction related charges they incur in the performance of their duties. The Company shall pay EUR 6,000 per annum for Cash Flow Monitoring and Reconciliation, as well as 0.25 bps per annum on total Net Asset Value in respect of each Cell to the Cash Flow Monitoring and Oversight Agent. The Company shall also pay fees to the Administrator of EUR 20,000 per annum, apportioned to each of the Company's existing Cells, for company secretarial and registered office facilities. 62

63 Notes to the Unaudited Financial Statements (continued) Note 6 - Cash Flow Monitoring and Oversight, Administrator, Custodian, Registrar, Sub-Registrar and Sub- Administrator, Sub-Depositary, Company Secretary and Compliance Monitoring Fees (continued) Sub-Fund Currency Custodian Fees to RBC Guernsey Secretarial Fees to RBC Guernsey Administration Fees to RBC Guernsey Danske Invest Hedge Fixed Income Strategies Fund DKK 143,213 30, ,689 Danske Invest Leveraged Balanced Fund EUR Danske Invest European Equities Absolute Fund* EUR 2, ,047 Danske Invest Hedge Fixed Income Relative Value Fund DKK 65,371 13, ,952 Danske Invest Hedge Fixed Income Opportunities Fund DKK 40,134 8,546 66,891 Danske Invest Hedge Mortgage Arbitrage Fund DKK 45,396 9,666 75,660 Danske Invest Quant Fi / Fx Fund EUR 2, ,424 * liquidated as at 22 May 2017 Effective from 27 June 2017 A new fee structure has been implemented with Fixed TER. An Operational and Administrative Fee will be charged to each Sub-Class of each Cell (except the Danske Invest Leveraged Balanced Fund) in replacement of the fees listed in this note. Under the terms of the AIFM Agreement, the Company, out of the assets of the corresponding Separate Fund, will pay to the AIFM Operating and Administrative Expenses of: 0.20 per cent per annum of the average Net Asset Value of each sub-class of Shares of each Cell. The Net Asset Value for the purposes of determining the Operating and Administrative Expenses will include all relevant expenses and liabilities paid or accrued. The fees are calculated on each Valuation Day on the net assets of each of the sub-classes and paid out of the corresponding Separate Fund, quarterly in arrears. The AIFM is responsible and liable for paying all Operating and Administrative Expenses as defined in the section Fees and Expenses in the Scheme Particulars. The Operating and Administrative Expense do not include costs, fees and charges for which the Company may be directly responsible and which will be paid by the Company as described in the Scheme Particulars. Out of the fee which the AIFM receives for Operating and Administrative Expenses, it shall pay fees to the Administrator of EUR 25,000 per annum in respect of each Cell which is still open to subscriptions and/or redemptions, the aggregate of such fees being apportioned between the Cells according to each Cell's pro rata NAV as a proportion of the total NAV of the live Cells of the Company (i.e. those which are still open to subscriptions and/ or redemptions). The AIFM also reimburses the Administrator in respect of all out of pocket expenses it incurs in the performance of its duties. The AIFM shall pay fees to the Custodian of EUR 15,000 per annum in respect of each Cell which is still open to subscriptions and/or redemptions, the aggregate of such fees being apportioned between the Cells according to each Cell's pro rata NAV as a proportion of the total NAV of the live Cells of the Company (i.e. those which are still open to subscriptions and/or redemptions). 63

64 Notes to the Unaudited Financial Statements (continued) Note 6 - Cash Flow Monitoring and Oversight, Administrator, Custodian, Registrar, Sub-Registrar and Sub- Administrator, Sub-Depositary, Company Secretary and Compliance Monitoring Fees (continued) The AIFM pays the fees of the Compliance Monitor and the Sub-Administrator in respect of compliance monitoring, reporting and sub-administration, respectively. The Sub-Administrator and Compliance Monitor are paid a fee of up to 0.06 per cent per annum of the relevant Cell's Net Asset Value, the Sub-Depositary is paid a fee of up to per cent per annum of the relevant Cell's Net Asset Value, which does not include any transaction related fees and costs of its sub-custodians or similar agents (all of which shall be met by the AIFM) and the Sub-Registrar shall be paid a fee by the AIFM of around 0.02 per cent per annum of the relevant Cell's Net Asset Value. The foregoing fees are paid by the AIFM out of the fee it receives for Operating and Administrative Expenses quarterly in arrears. The AIFM also pays the brokers at normal commercial rates. The AIFM also pays the Sub-Administrator, the Sub-Depositary and the Sub-Registrar in respect of all out of pocket expenses and any transaction related charges incurred in the performance of their duties. Out of the fee it receives from the Company for Operating and Administrative Expenses, the AIFM will pay EUR 10,000 per annum in respect of each Cell to the Cash Flow Monitoring and Oversight Agent. Note 7 - Other Expenses Up to and including 26 June 2017 Other expenses are allocated to each Cell pro-rata based on the Net Asset Value of each Cell. Effective from 27 June 2017 Other expenses are paid by the AIFM out of the Operating and Administrative Fees received from the Cells. Note 8 - Taxation The Company is eligible for exemption from taxation in Guernsey under the provision of The Income Tax (Exempt Bodies) (Guernsey) Ordinance, As such the Company is only liable to pay a fixed annual fee which was GBP 1,200 per annum for the period ended 30 June With effect from 1 January 2008, the standard rate of income tax for Guernsey companies was changed to 0%. However, the Company has decided to continue to apply for exempt status. Note 9 - Incorporation and Share Capital The Company has a share capital made up of: (a) DKK 100 represented by 100 management shares of DKK 1.00 each ( Management Shares ); (b) an unlimited number of participating redeemable preference shares of no par value ( Participating Shares ); and (c) an unlimited number of S Shares of no par value. Management Shares The Management Shares may only be issued at par and to a Distribution Agent for the time being of the Company. The rights attaching to the Management Shares are as follows: Voting Rights: The Management Shares carry the right to vote at a general meeting of the Company. Dividends and distribution of assets on a winding up: The Management Shares do not carry any right to dividends. In the event of a liquidation, they rank pari passu inter se but only for return of the nominal amount paid up on them using only assets of the Company not comprised within any of the Cells. 64

65 Notes to the Unaudited Financial Statements (continued) Note 9 - Incorporation and Share Capital (continued) Redemption: The Management Shares are not redeemable. Issued Danske Invest PCC Limited Management Shares of DKK 1.00 each At 1 January At 30 June Total shares: June Participating Shares The rights attaching to the Participating Shares are as follows: Voting Rights: On a show of hands, every holder who (being an individual) is present in person shall have one vote and, on a poll, every holder present in person or by a proxy or by a duly authorised representative shall have one vote for every Participating Share held. Dividends: 1) The Shareholders of each Cell may from time to time approve dividends payable to holders of Participating Shares of the relevant Cell up to an amount recommended by the Directors. The Directors may from time to time if they think fit pay interim dividends on Participating Shares of a particular Cell if justified by the profits of that Cell. 2) The rate of dividend on the Participating Shares of a particular Cell in respect of any Annual Accounting Period of the Company (as defined in the Articles) shall be calculated by the Directors and shall be arrived at by dividing the amount of income after tax attributable to the Participating Shares of the relevant Cell which the Directors deem advisable for distribution divided by the number of Participating Shares entitled to the dividend. Winding Up: The Participating Shares carry a right to a return of the surplus assets remaining on the winding up of a Cell and such assets of that Cell are distributed to the holders of the Participating Shares pro rata. Redemption: The Participating Shares may be redeemed by Shareholders on any Dealing Day at a price based on the Net Asset Value of such Participating Shares. S Shares The S Shares will be issued by the Company when any investment of the Company is deemed by the Directors, after consultation with the Investment Manager and its investment adviser to be an illiquid Investment as previously described. They will carry the right to receive all income and net disposal proceeds from the illiquid Investments to which they relate, but the S Shares shall confer no right to vote. No S Shares are currently in issue by the Company. These S Shares are distinct from the S sub class shares. Note 10 - Financial Instruments The Company is exposed to Market risk, Interest rate risk, Credit risk, Liquidity risk and Currency risk arising from the financial instruments it holds. Fair value of financial assets and financial liabilities The financial assets and liabilities of the Company are included in the Unaudited Statement of Net Assets at Fair Value. 65

66 Notes to the Unaudited Financial Statements (continued) Note 10 - Financial Instruments (continued) Market price and Credit risk Market price risk is the risk that the value of a financial instrument will fluctuate as a result of changes in market prices whether those changes are caused by factors specific to the individual investment held or factors affecting all securities/investments traded in the market. To mitigate these risks the Board of Directors has instructed the Investment Manager to maintain a diversified portfolio of investments chosen for their potential to generate consistent positive returns with limited volatility and limited dependency on equity and bond markets. The Investment Manager assesses the risk associated with these investments by analysis of relevant financial information. Risk is diversified across a number of individual managers and strategies. Default/Credit risk is the risk that one party to a financial instrument will fail to discharge an obligation under the contract or arrangement and cause the other party to incur a financial loss. The Company s maximum exposure to Credit risk in the event the counterparties fail to perform their obligations as of 30 June 2017 in relation to each class of recognised financial assets, other than derivatives, is the carrying amount of those assets as indicated in the Unaudited Statement of Net Assets. Liquidity risk Liquidity risk may arise from the potential inability to sell a financial instrument without undue delay at a price close to its fair value. Some of the investments made by the Company may not be readily realisable and their marketability may be restricted, in particular because markets in these investments may be made only by the relevant fund manager, allowing redemptions only at specific times and dates. It may be difficult for the Company to sell or realise some or all of its investments on demand. Foreign currency and Interest rate risk The Company invests in investments that are denominated in currencies other than their base currencies. Accordingly, the value of the Cells assets may be affected favourably or unfavourably by fluctuations in exchange rates and therefore the Cells will be subject to foreign currency risk. The Company operates a spot and forward exchange facility to mitigate against foreign currency risk. Derivative financial instruments There are the following option contracts at 30 June 2017: Danske Invest Hedge Fixed Income Strategies Fund Description Quantity Currency Cost (in DKK) Fair Value (in DKK) Commitment (in DKK) CALL EBF EURIBOR 3 MONTHS 3/11/19 (300,000,000) EUR (3,570,682) (1,934,263) (892,393,320) CALL EBF EURIBOR 3 MONTHS 3/11/19 300,000,000 EUR 6,248,693 4,247,792 - CALL EBF EURIBOR 3 MONTHS 3/11/19 (300,000,000) EUR (2,678,011) (1,401,057) (1,293,970,314) 912,472 (2,186,363,634) Danske Invest Hedge Fixed Income Relative Value Fund Description Quantity Currency Cost (in DKK) Fair Value (in DKK) Commitment (in DKK) CALL EBF EURIBOR 3 MONTHS 3/11/19 (100,000,000) EUR (1,190,227) (644,754) (297,464,440) CALL EBF EURIBOR 3 MONTHS 3/11/19 100,000,000 EUR 2,082,898 1,415,931 - CALL EBF EURIBOR 3 MONTHS 3/11/19 (100,000,000) EUR (892,670) (467,019) (431,323,438) 304,158 (728,787,878) These are the following open forward foreign exchange contracts at 30 June 2017: Danske Invest Hedge Fixed Income Strategies Fund Amount purchased Amount sold Maturity Currency Unrealised gain / (loss) DKK 2,309,279,023 EUR 310,630,000 07/07/2017 DKK (697,071) DKK 384,935,488 NOK 476,000,000 07/07/2017 DKK 15,177,867 DKK 55,525,456 USD 8,000,000 07/07/2017 DKK 3,413,489 DKK 954,748,863 SEK 1,230,120,399 07/07/2017 DKK 5,764,883 EUR 15,548,268 DKK 115,590,611 07/07/2017 DKK 32,887 SEK 292,885,383 DKK 227,279,005 07/07/2017 DKK (1,330,783) 66

67 Notes to the Unaudited Financial Statements (continued) Note 10 - Financial Instruments (continued) Amount purchased Amount sold Maturity Currency Unrealised gain / (loss) EUR 250,000,000 DKK 1,859,008,475 17/08/2017 DKK (262,475) Danske Invest Hedge Fixed Income Relative Value Fund Amount purchased Amount sold Maturity Currency DKK 22,098,797 Unrealised gain / (loss) DKK 448,630 SEK 585,999 04/07/2017 DKK (3,442) SEK 1,392 DKK 1,066 04/07/2017 DKK 8 DKK 41,644,092 USD 6,000,000 07/07/2017 DKK 2,560,117 DKK 2,047,765,227 NOK 2,535,215,098 07/07/2017 DKK 78,405,267 DKK 229,583,968 SEK 296,517,397 07/07/2017 DKK 833,797 DKK 441,368,490 EUR 59,336,953 07/07/2017 DKK 113,810 EUR 58,241,811 DKK 432,989,358 07/07/2017 DKK 121,385 SEK 1,479,184,048 DKK 1,146,366,457 07/07/2017 DKK (5,240,866) USD 4,596,657 DKK 31,887,333 07/07/2017 DKK (1,944,024) DKK 74,846,052 Danske Invest Hedge Mortgage Arbitrage Fund Amount purchased Amount sold Maturity Currency Unrealised gain DKK 29,752,262 EUR 4,000,000 07/07/2017 DKK 6,570 DKK 371,980,000 EUR 50,000,000 21/12/2017 DKK 369,318 EUR 50,000,000 DKK 371,240,000 21/12/2017 DKK 370,900 DKK 186,000,000 EUR 25,000,000 03/01/2018 DKK 200,950 EUR 25,000,000 DKK 185,610,000 03/01/2018 DKK 189,175 DKK 1,136,913 There are the following open interest rate swaps, cross currency interest rate swap and swaption positions at 30 June 2017: Danske Invest Hedge Fixed Income Strategies Fund Currency Notional in ccy Rate received Rate paid Maturity date Unrealised gain / (loss) (in DKK) USD 490,000,000 LIB3M USD 4.55% 24/10/2028 (232,945,302) GBP 133,000,000 LIB6M GBP 3.32% 26/06/2025 (181,267,599) EUR 1,100,000,000 EURIB6M 2.77% 06/04/2022 (163,387,806) EUR 200,000,000 EURIB6M 2.60% 06/11/2023 (146,076,227) EUR 1,070,000,000 EONIA OIS 2.27% 17/06/2022 (137,886,220) DKK 5,000,000,000 CIB3M DKK % 14/12/2021 (128,056,155) GBP 118,000,000 LIB6M GBP 3.79% 16/10/2023 (123,548,060) GBP 118,000,000 LIB3M GBP 3.62% 16/10/2023 (118,981,209) EUR 1,020,000,000 EONIA OIS 0.95% 04/04/2018 (99,763,714) EUR 670,000,000 EURIB3M 2.52% 14/12/2021 (98,948,155) EUR 100,000,000 EURIB6M 2.82% 14/11/2022 (91,294,737) EUR 1,000,000,000 EURIB6M 0.96% 18/06/2018 (88,977,119) EUR 106,858,931 EONIA 1.75% 15/11/2023 (87,974,776) CHF 120,000,000 LIB6M CHF 2.80% 16/01/2029 (80,222,645) CHF 120,000,000 LIB6M CHF 2.76% 11/09/2028 (80,068,343) USD 140,000,000 LIB3M USD 4.27% 09/01/2025 (76,887,527) EUR 100,000,000 EURIB6M 2.03% 15/02/2023 (76,501,845) SEK 900,000,000 STIB3M SEK 3.69% 09/01/2025 (75,583,384) EUR 94,500,000 EURIB6M 2.57% 20/02/2023 (75,098,881) EUR 151,375,000 EURIB6M 1.49% 30/06/2025 (74,276,171) EUR 71,700,000 EURIB6M 3.46% 05/11/2029 (73,530,962) CHF 120,000,000 LIB6M CHF 2.57% 26/06/2028 (72,972,730) DKK 2,750,000,000 CIB3M DKK % 02/12/2021 (67,526,017) EUR 89,836,522 EONIA 1.51% 17/11/2025 (64,963,699) CHF 120,000,000 LIB6M CHF 2.29% 08/03/2028 (62,732,826) 67

68 Notes to the Unaudited Financial Statements (continued) Note 10 - Financial Instruments (continued) Currency Notional in ccy Rate received Rate paid Maturity date Unrealised gain / (loss) (in DKK) EUR 120,400,000 EONIA OIS 1.33% 15/11/2021 (62,708,422) GBP 31,937,500 LIB6M GBP 2.89% 26/06/2037 (59,462,451) GBP 486,500,000 LIB6M GBP 1.99% 26/06/2018 (59,231,532) EUR 98,000,000 EURIB6M 1.65% 15/02/2023 (58,280,430) EUR 1,600,000, % EONIA 01/07/2022 (57,774,792) USD 897,700,000 LIB3M USD 1.84% 20/08/2018 (56,389,083) USD 121,400,000 LIB3M USD 3.68% 19/08/2038 (55,564,694) EUR 368,000,000 EURIB3M 2.46% 02/12/2021 (52,999,344) CHF 275,000,000 LIB6M CHF 1.46% 27/06/2022 (52,732,578) EUR 385,877,551 EURIB6M 0.72% 20/08/2018 (50,981,953) EUR 430,000,000 EURIB6M 1.67% 11/09/2024 (50,409,040) EUR 305,000,000 EURIB6M 1.54% 13/09/2021 (49,530,492) CHF 265,000,000 LIB6M CHF 1.56% 18/01/2023 (49,496,639) EUR 35,000,000 EURIB6M 2.48% 30/06/2037 (49,150,432) EUR 70,000,000 EURIB6M 3.06% 19/06/2034 (48,646,664) CHF 265,000,000 LIB6M CHF 1.45% 09/09/2022 (48,631,440) EUR 1,600,000, % EURIB6M 01/07/2022 (48,366,470) EUR 573,125,000 EURIB6M 0.86% 02/07/2018 (46,884,923) EUR 98,077,896 EURIB6M 1.21% 15/08/2023 (43,870,915) CHF 131,000,000 LIB6M CHF 2.49% 31/10/2022 (42,480,522) EUR 340,000,000 EURIB6M 2.60% 11/09/2026 (41,902,672) USD 94,000,000 LIB3M USD 3.05% 24/10/2024 (41,140,158) EUR 40,000,000 EURIB6M 2.69% 05/12/2053 (37,781,945) USD 197,500,000 LIB3M USD 2.79% 24/10/2023 (35,832,276) NOK 700,000,000 NIBOR6M NOK 3.10% 21/06/2023 (35,316,400) CHF 210,000,000 LIB6M CHF 1.30% 31/10/2022 (33,240,205) SEK 500,000,000 STIB3M SEK 1.83% 13/11/2023 (32,433,021) NOK 380,000,000 NIBOR6M NOK 3.33% 21/06/2028 (32,025,349) SEK 500,000,000 STIB3M SEK 1.81% 13/11/2023 (31,898,073) SEK 248,500,000 STIB3M SEK 2.96% 13/11/2023 (30,965,549) EUR 800,000, % EONIA 01/07/2022 (28,346,652) SEK 851,500,000 STIB3M SEK 1.86% 12/03/2019 (28,308,199) EUR 50,000,000 EURIB6M 1.61% 17/04/2023 (28,034,762) USD 351,000, % LIB3M USD 04/02/2030 (27,734,902) EUR 125,000,000 EURIB6M 1.30% 03/10/2018 (27,202,561) SEK 1,940,000,000 STIB3M SEK 0.55% 17/06/2020 (26,497,640) SEK 1,015,000,000 STIB3M SEK 1.32% 19/06/2019 (24,967,933) EUR 800,000, % EURIB6M 01/07/2022 (24,449,919) USD 947,000, % LIB3M USD 02/06/2021 (23,635,344) EUR 227,000,000 EURIB6M 1.23% 06/11/2017 (23,080,500) NOK 350,000,000 NIB3M NOK 2.95% 24/05/2023 (22,458,644) SEK 1,170,000,000 STIB3M SEK 0.67% 01/12/2020 (22,376,374) SEK 965,000,000 STIB3M SEK 2.50% 20/06/2018 (22,141,904) EUR 410,800, % EURIB6M 02/06/2027 (22,094,216) EUR 50,000,000 EONIA OIS 1.13% 17/04/2023 (22,090,687) GBP 220,000, % LIB3M GBP 05/04/2032 (20,806,888) SEK 965,000,000 STIB3M SEK 2.30% 20/06/2018 (20,646,488) EUR 1,600,000, % EONIA 24/06/2025 (20,443,999) SEK 964,000,000 STIB3M SEK 2.27% 20/06/2018 (20,401,012) SEK 970,000,000 STIB3M SEK 2.24% 20/06/2018 (20,302,515) SEK 964,000,000 STIB3M SEK 2.26% 20/06/2018 (20,288,972) SEK 964,000,000 STIB3M SEK 2.26% 20/06/2018 (20,288,972) NOK 250,000,000 NIB3M NOK 3.11% 14/03/2024 (20,287,462) SEK 1,000,000,000 STIB3M SEK 2.25% 21/03/2018 (20,265,306) EUR 1,600,000, % EURIB6M 02/07/2019 (20,097,689) SEK 970,000,000 STIB3M SEK 2.21% 20/06/2018 (20,039,461) SEK 979,000,000 STIB3M SEK 2.18% 20/06/2018 (19,997,827) EUR 167,000,000 EURIB3M 0.58% 12/06/2019 (19,858,855) EUR 1,600,000, % EONIA 30/06/2025 (19,789,617) SEK 1,000,000,000 STIB3M SEK 2.18% 21/03/2018 (19,762,090) USD 140,000,000 LIB3M USD 2.46% 14/11/2022 (19,433,844) SEK 1,000,000,000 STIB3M SEK 2.07% 21/03/2018 (18,929,847) 68

69 Notes to the Unaudited Financial Statements (continued) Note 10 - Financial Instruments (continued) Currency Notional in ccy Rate received Rate paid Maturity date Unrealised gain / (loss) (in DKK) SEK 980,000,000 STIB3M SEK 2.02% 20/06/2018 (18,822,308) SEK 970,000,000 STIB3M SEK 1.96% 20/06/2018 (18,216,874) USD 138,000,000 LIB3M USD 2.49% 20/02/2023 (18,002,543) USD 306,000,000 LIB3M USD 3.08% 24/10/2033 (17,869,980) EUR 80,000,000 EURIB6M 1.29% 16/10/2018 (17,163,269) GBP 226,000, % LIB3M GBP 07/06/2032 (17,044,584) SEK 1,015,000,000 STIB3M SEK 1.79% 21/03/2018 (16,993,931) EUR 34,900, % EURIB6M 04/07/2039 (16,760,310) EUR 198,000, % EONIA 06/06/2023 (15,749,248) DKK 1,015,000,000 CIBO06M J % 01/04/2020 (15,591,574) EUR 45,000,000 EURIB6M 2.07% 24/11/2054 (15,204,490) EUR 167,500,000 EURIB3M 0.39% 24/07/2019 (14,661,234) EUR 240,000,000 EONIA OIS 0.44% 15/09/2017 (14,329,773) EUR 23,000, % EURIB6M 06/06/2034 (14,211,593) SEK 957,000,000 STIB3M SEK 0.58% 17/06/2020 (13,736,439) EUR 176,100,000 EURIB6M 0.23% 06/07/2020 (13,465,713) USD 133,700, % LIB3M USD 02/06/2037 (13,133,995) SEK 530,000,000 STIB3M SEK 1.08% 13/11/2023 (13,090,851) SEK 512,000,000 STIB3M SEK 1.33% 19/06/2019 (12,674,023) NOK 250,000,000 NIB3M NOK 2.51% 14/03/2024 (12,589,304) USD 315,000,000 LIB3M USD 2.30% 25/02/2021 (11,324,994) SEK 800,000,000 STIB3M SEK 0.57% 17/06/2020 (11,297,565) EUR 19,540, % EURIB6M 05/05/2055 (11,215,928) DKK 250,000,000 CIBO06M J % 16/09/2025 (11,207,421) USD 45,000,000 LIB3M USD 2.71% 24/10/2044 (11,114,520) SEK 1,000,000,000 STIB3M SEK 0.44% 17/06/2020 (11,109,992) SEK 480,000,000 STIB3M SEK 2.52% 20/06/2018 (11,087,973) DKK 255,000,000 CIBO06M J % 17/11/2025 (10,774,712) DKK 500,000,000 CIBO06M J % 01/07/2020 (10,772,913) USD 2,301,000, % LIB3M USD 02/02/2024 (10,543,343) SEK 500,000,000 STIB3M SEK 2.19% 20/06/2018 (10,252,136) EUR 25,000, % EURIB6M 06/06/2034 (10,245,234) SEK 485,000,000 STIB3M SEK 2.26% 20/06/2018 (10,226,416) SEK 485,000,000 STIB3M SEK 2.25% 20/06/2018 (10,188,837) EUR 65,000,000 EONIA OIS 0.69% 17/09/2018 (10,060,513) SEK 485,000,000 STIB3M SEK 2.20% 20/06/2018 (10,010,336) NOK 200,000,000 NIB3M NOK 2.50% 14/03/2024 (9,968,372) SEK 488,000,000 STIB3M SEK 2.17% 20/06/2018 (9,930,462) SEK 500,000,000 STIB3M SEK 2.08% 20/06/2018 (9,845,352) EUR 195,000,000 EURIB6M 0.17% 20/08/2018 (9,782,555) SEK 370,000,000 STIB3M SEK 1.11% 13/11/2023 (9,729,734) EUR 800,000, % EURIB6M 02/07/2019 (9,690,002) SEK 471,000,000 STIB3M SEK 2.17% 20/06/2018 (9,602,771) SEK 490,000,000 STIB3M SEK 2.06% 20/06/2018 (9,563,020) DKK 500,000,000 CIBO06M J % 01/04/2020 (9,484,411) SEK 500,000,000 STIB3M SEK 2.05% 21/03/2018 (9,377,828) SEK 1,061,000,000 STIB3M SEK 0.30% 19/09/2018 (9,310,363) EUR 800,000, % EONIA 24/06/2025 (9,291,704) SEK 495,000,000 STIB3M SEK 1.94% 20/06/2018 (9,209,943) USD 69,000,000 LIB3M USD 2.72% 26/02/2029 (9,192,145) EUR 39,000, % EURIB6M 06/06/2034 (9,155,361) SEK 500,000,000 STIB3M SEK 0.75% 17/06/2020 (9,146,184) EUR 67,000, % EONIA 15/11/2021 (9,106,799) SEK 488,000,000 STIB3M SEK 1.93% 20/06/2018 (9,041,890) SEK 488,000,000 STIB3M SEK 1.93% 20/06/2018 (9,041,890) DKK 600,000,000 CIBO06M J % 01/07/2020 (8,850,374) EUR 20,000, % EURIB6M 07/05/2055 (8,845,714) SEK 500,000,000 STIB3M SEK 1.81% 20/06/2018 (8,799,335) DKK 507,000,000 CIBO06M J % 01/04/2020 (8,074,936) SEK 520,000,000 STIB3M SEK 0.50% 16/09/2020 (7,826,639) EUR 68,000, % EURIB6M 17/01/2033 (7,791,430) DKK 1,075,000,000 CIBO06M J % 15/11/2019 (7,695,297) 69

70 Notes to the Unaudited Financial Statements (continued) Note 10 - Financial Instruments (continued) Currency Notional in ccy Rate received Rate paid Maturity date Unrealised gain / (loss) (in DKK) SEK 517,000,000 STIB3M SEK 0.49% 16/09/2020 (7,621,640) SEK 1,650,000,000 STIB3M SEK 0.01% 12/03/2019 (7,617,773) SEK 517,000,000 STIB3M SEK 0.48% 16/09/2020 (7,461,794) EUR 16,000,000 EURIB6M 1.78% 12/06/2045 (7,332,602) DKK 300,000,000 CIBO06M J % 01/07/2020 (7,246,141) DKK 500,000,000 CIBO06M J % 01/04/2020 (7,165,318) SEK 563,000, % STIB3M SEK 12/05/2025 (7,075,450) DKK 500,000,000 CIBO06M J % 01/04/2020 (7,026,323) DKK 300,000,000 CIBO06M J % 01/10/2020 (6,706,236) EUR 87,000,000 EONIA OIS 0.65% 02/04/2018 (6,543,255) NOK 500,000, % NIBOR6M NOK 19/02/2026 (6,435,965) DKK 300,000,000 CIBO06M J % 01/07/2020 (6,372,127) NOK 790,000,000 NIBOR6M NOK 1.81% 14/03/2024 (6,286,915) GBP 23,883,773 LIB3M GBP 1.78% 22/07/2019 (6,259,697) DKK 500,000,000 CIBO06M J % 01/04/2020 (6,168,409) SEK 522,000,000 STIB3M SEK 0.39% 16/09/2020 (6,081,435) EUR 67,000,000 EURIB3M 0.90% 02/04/2018 (6,067,784) EUR 130,000, % EONIA 13/05/2047 (6,013,967) SEK 520,000,000 STIB3M SEK 0.38% 16/09/2020 (5,897,361) SEK 510,000,000 STIB3M SEK 0.38% 16/09/2020 (5,823,370) EUR 183,500, % EURIB6M 08/10/2021 (5,806,179) GBP 29,491,000 LIB6M GBP 1.72% 07/09/2039 (5,649,310) USD 74,000, % LIB3M USD 01/07/2030 (5,572,400) DKK 358,000,000 CIBO06M J % 01/10/2019 (5,492,661) NOK 500,000,000 NIBOR6M NOK 1.94% 13/03/2025 (5,325,105) SEK 522,000,000 STIB3M SEK 0.34% 16/09/2020 (5,274,477) EUR 737,000, % EONIA 28/12/2022 (5,200,817) USD 240,000,000 FEDL01 OIS 2.35% 16/02/2027 (5,192,583) EUR 210,648, % STIB3M SEK 29/01/2020 (5,160,621) SEK 520,000,000 STIB3M SEK 0.33% 16/09/2020 (5,133,688) DKK 555,000,000 DETNT/N Index 0.45% 15/11/2017 (5,110,410) SEK 1,100,000,000 STIB3M SEK 0.01% 12/03/2019 (5,078,516) DKK 555,000,000 DETNT/N Index 0.44% 15/11/2017 (5,075,459) EUR 37,000, % EONIA 15/11/2021 (5,038,440) EUR 126,250,000 EURIB6M 2.14% 28/06/2038 (4,851,184) EUR 24,000,000 EURIB6M 0.97% 14/05/2025 (4,768,979) SEK 510,000,000 STIB3M SEK 0.34% 19/09/2018 (4,759,442) SEK 510,000,000 STIB3M SEK 0.34% 19/09/2018 (4,759,442) EUR 71,500,000 EURIB6M 0.19% 06/07/2020 (4,756,989) SEK 1,000,000,000 STIB3M SEK 0.53% 15/06/2022 (4,645,961) SEK 510,000,000 STIB3M SEK 0.31% 19/09/2018 (4,522,651) SEK 510,000,000 STIB3M SEK 0.31% 19/09/2018 (4,483,185) GBP 29,400,000 LIB6M GBP 1.69% 07/09/2039 (4,446,539) DKK 250,000,000 CIBO06M J % 01/04/2020 (4,435,754) SEK 510,000,000 STIB3M SEK 0.29% 19/09/2018 (4,364,789) SEK 800,000,000 STIB3M SEK 0.07% 19/12/2018 (4,327,335) EUR 59,000,000 EURIB3M 0.74% 31/01/2018 (4,326,229) EUR 58,000,000 EURIB3M 0.75% 31/01/2018 (4,302,611) NOK 750,000,000 NIB3M NOK 1.18% 03/12/2019 (4,258,914) SEK 1,000,000,000 STIB3M SEK 0.44% 08/04/2022 (4,049,971) SEK 510,000,000 STIB3M SEK 0.25% 19/09/2018 (4,049,067) EUR 22,000,000 EURIB6M 1.92% 04/12/2054 (4,044,444) EUR 58,000,000 EURIB3M 0.68% 13/02/2018 (3,975,808) DKK 250,000,000 CIBO06M J % 01/07/2019 (3,939,174) GBP 226,000, % LIB3M GBP 29/06/2032 (3,934,527) SEK 1,000,000,000 STIB3M SEK 0.51% 15/06/2022 (3,878,890) DKK 300,000,000 CIBO06M J % 01/10/2020 (3,875,880) SEK 904,000,000 STIB3M SEK 0.09% 20/06/2018 (3,861,567) SEK 760,000,000 STIB3M SEK 0.40% 15/12/2021 (3,845,040) DKK 250,000,000 CIBO06M J % 01/04/2020 (3,680,543) CHF 44,800,000 LIB6M CHF 1.09% 06/06/2034 (3,644,746) EUR 26,800, % EONIA 15/11/2021 (3,644,427) 70

71 Notes to the Unaudited Financial Statements (continued) Note 10 - Financial Instruments (continued) Currency Notional in ccy Rate received Rate paid Maturity date Unrealised gain / (loss) (in DKK) DKK 250,000,000 CIBO06M J % 01/04/2020 (3,567,600) SEK 550,000, % STIB3M SEK 12/11/2026 (3,554,326) SEK 530,000,000 STIB3M SEK 0.17% 19/09/2018 (3,510,633) EUR 283,000, % EURIB6M 25/02/2021 (3,506,794) SEK 1,005,000,000 STIB3M SEK 0.27% 19/05/2021 (3,480,219) DKK 350,000,000 CIBO06M J % 01/10/2018 (3,437,092) EUR 109,250,000 EURIB6M 1.33% 14/09/2065 (3,384,517) DKK 305,000,000 CIBO06M J % 01/10/2019 (3,349,040) EUR 68,000,000 EURIB6M 0.15% 27/08/2018 (3,226,981) DKK 250,000, % CIBO06M J-2 15/11/2027 (3,210,284) DKK 200,000,000 CIBO06M J % 01/07/2019 (3,173,927) DKK 1,666,000, % DETNT/N Index 18/10/2019 (3,149,628) DKK 200,000,000 CIBO06M J % 01/04/2020 (3,002,261) SEK 520,000,000 STIB3M SEK 0.06% 19/12/2018 (2,691,966) SEK 551,000,000 STIB3M SEK 0.03% 12/03/2019 (2,671,773) SEK 550,000,000 STIB3M SEK 0.03% 12/03/2019 (2,666,924) EUR 16,000,000 EURIB6M 1.61% 23/06/2045 (2,614,905) SEK 10,000,000,000 STIB3M SEK -0.37% 20/03/2018 (2,612,834) EUR 27,000,000 EURIB6M 0.38% 01/04/2020 (2,591,299) SEK 510,000,000 STIB3M SEK 0.18% 20/06/2018 (2,514,426) EUR 83,000, % EURIB6M 05/02/2057 (2,510,736) EUR 16,000,000 EURIB6M 1.61% 22/06/2045 (2,451,630) DKK 1,334,000, % DETNT/N Index 25/10/2019 (2,305,286) EUR 115,900, % EURIB6M 11/10/2055 (2,298,148) SEK 495,000,000 STIB3M SEK 0.01% 12/03/2019 (2,285,332) SEK 496,000,000 STIB3M SEK 0.31% 19/05/2021 (2,214,955) EUR 41,100, % EURIB6M 06/02/2057 (2,123,006) SEK 493,000,000 STIB3M SEK 0.52% 15/06/2022 (2,101,376) EUR 58,000, % EURIB6M 26/02/2029 (1,955,095) SEK 4,850,000, % EURIB3M 24/05/2023 (1,942,533) SEK 500,000,000 STIB3M SEK 0.50% 15/06/2022 (1,843,561) EUR 174,000, % EURIB6M 08/10/2021 (1,827,024) EUR 30,000, % EURIB6M 24/05/2033 (1,806,367) DKK 120,000,000 CIBO06M J % 01/01/2021 (1,782,534) DKK 250,000, % CIBO06M J-2 15/11/2027 (1,740,424) EUR 34,000,000 EURIB6M 0.17% 20/08/2018 (1,687,256) EUR 34,000,000 EURIB6M 0.16% 24/08/2018 (1,649,809) DKK 1,000,000, % CIBO06M J-2 10/01/2022 (1,499,956) DKK 825,000, % DETNT/N Index 28/10/2019 (1,453,153) SEK 10,000,000,000 STIB3M SEK -0.41% 20/12/2017 (1,357,387) EUR 200,000, % EONIA 16/02/2027 (1,336,247) DKK 500,000, % CIBO06M J-2 19/05/2027 (1,330,091) EUR 202,000,000 EURIB6M -0.15% 04/02/2019 (1,213,512) DKK 120,000,000 CIBO06M J % 01/04/2020 (1,182,249) EUR 41,500, % EURIB6M 05/02/2057 (1,181,916) EUR 6,000,000 EURIB6M 1.57% 14/08/2045 (1,136,650) EUR 17,500, % EURIB6M 24/05/2033 (1,059,311) EUR 100,000,000 EURIB3M LIB3M USD 04/08/2026 (1,039,971) EUR 252,000, % EURIB6M 30/12/2019 (970,808) SEK 750,000,000 STIB3M SEK 0.44% 15/06/2022 (967,518) EUR 18,000,000 EURIB6M 0.19% 01/10/2018 (930,251) EUR 30,500,000 EURIB6M 0.00% 01/01/2019 (905,072) NOK 400,000,000 NIB3M NOK 1.17% 20/06/2019 (883,535) DKK 285,000, % DETNT/N Index 15/11/2021 (827,652) DKK 400,000, % CIBO06M J-2 17/11/2025 (815,164) DKK 600,000, % CIBO06M J-2 14/02/2022 (790,550) EUR 35,300,000 EURIB6M -0.06% 01/01/2019 (736,742) EUR 26,500,000 EURIB6M -0.02% 01/01/2019 (703,336) SEK 2,500,000, % EURIB3M 01/06/2023 (666,729) SEK 117,000,000 STIB3M SEK 0.05% 19/12/2018 (591,196) DKK 200,000, % DETNT/N Index 15/11/2021 (495,936) SEK 1,027,000,000 STIB3M SEK 0.45% 21/09/2022 (478,075) 71

72 Notes to the Unaudited Financial Statements (continued) Note 10 - Financial Instruments (continued) Currency Notional in ccy Rate received Rate paid Maturity date Unrealised gain / (loss) (in DKK) DKK 250,000, % DETNT/N Index 15/11/2021 (471,426) DKK 400,000, % DETNT/N Index 15/11/2021 (433,382) EUR 7,000,000 EURIB6M 0.19% 01/10/2018 (363,846) SEK 270,000, % STIB3M SEK 13/11/2023 (347,598) SEK 100,000,000 STIB3M SEK 0.09% 17/06/2020 (288,501) SEK 1,546,000, % STIB3M SEK 20/06/2018 (283,864) SEK 1,030,000,000 STIB3M SEK 0.45% 21/09/2022 (261,166) SEK 500,000, % STIB3M SEK 19/05/2021 (258,853) USD 2,058,025 LIB3M USD 2.21% 18/02/2019 (234,321) EUR 33,600, % EURIB6M 01/04/2020 (231,822) DKK 700,000, % CIBO06M J-2 01/10/2018 (228,409) DKK 250,000, % CIBO06M J-2 01/07/2020 (215,637) SEK 690,000,000 STIB3M SEK 0.45% 21/09/2022 (174,956) SEK 1,274,000,000 STIB3M SEK 0.34% 08/04/2022 (150,249) SEK 500,000,000 STIB3M SEK 0.17% 19/05/2021 (150,223) SEK 330,000,000 STIB3M SEK 0.42% 15/06/2022 (140,933) DKK 500,000, % DETNT/N Index 15/11/2021 (114,162) CHF 25,800,000 LIB6M CHF 0.97% 06/06/2034 (91,587) EUR 2,265,700 EURIB6M 0.16% 01/01/2021 (91,033) DKK 500,000, % CIBO06M J-2 01/10/2018 (81,650) SEK 497,000,000 STIB3M SEK 0.34% 08/04/2022 (58,614) NOK 307,000,000 NIBOR6M NOK 1.60% 24/05/2023 (53,430) DKK 265,000, % CIBO06M J-2 01/01/2019 (34,773) DKK 500,000, % CIBO06M J-2 01/04/2019 (25,608) SEK 1,100,000,000 STIB3M SEK 0.34% 08/04/2022 (24,235) GBP 114,000, % LIB3M GBP 30/06/2032 (15,302) EUR 17,696 EURIB6M 1.93% 15/02/2023 (12,705) DKK 200,000, % CIBO06M J-2 01/10/2018 (7,809) SEK 500,000 STIB3M SEK 0.46% 18/02/2019 (5,898) EUR 17,096 EURIB6M 2.05% 30/06/ EUR 17, % EURIB6M 30/06/2038 1,896 GBP 114,000,000 LIB6M GBP 2.01% 30/06/2032 7,998 EUR 17, % EURIB6M 15/02/ ,286 NOK 100,000, % NIBOR6M NOK 24/05/ ,404 DKK 1,150,000, % DETNT/N Index 15/11/ ,749 DKK 2,500,000, % DETNT/N Index 04/07/ ,349 NOK 207,000, % NIBOR6M NOK 24/05/ ,026 SEK 500,000,000 STIB3M SEK 0.16% 19/05/ ,610 NOK 2,200,000,000 NIB3M NOK LIB3M USD 14/01/ ,792 DKK 530,000, % CIBO06M J-2 01/01/ ,863 DKK 250,000, % CIBO06M J-2 01/04/ ,052 EUR 33,500,000 EURIB3M -0.16% 01/04/ ,764 NOK 50,000, % NIB3M NOK 14/03/ ,215 EUR 235,000,000 EURIB6M -0.15% 19/12/ ,575 USD 2,058, % LIB3M USD 18/02/ ,676 DKK 130,000, % CIBO06M J-2 01/04/ ,128 EUR 67,000,000 EURIB3M -0.27% 01/04/ ,904 GBP 88,500, % LIB3M USD 07/12/ ,238 USD 121,400, % LIB3M USD 19/08/ ,617 DKK 200,000, % CIBO06M J-2 01/07/ ,828 EUR 2,265, % EURIB6M 01/01/ ,276 DKK 1,000,000, % CIBO06M J-2 01/10/ ,144 EUR 168,000,000 EURIB6M -0.16% 31/12/ ,082 CAD 48,500,000 CDOR03 Index 1.68% 15/06/ ,351 SEK 496,000,000 STIB3M SEK 0.32% 08/04/ ,757 GBP 87,000, % LIB3M USD 08/12/ ,295 SEK 2,445,000,000 STIB3M SEK EURIB3M 29/06/ ,406 USD 116,225, % NIB3M NOK 17/05/ ,992 EUR 111,600,000 EURIB6M -0.08% 30/12/ ,655 NOK 200,000, % NIB3M NOK 24/05/ ,134 NOK 2,350,000,000 NIB3M NOK LIB3M USD 18/01/ ,772 SEK 500,000,000 STIB3M SEK 0.31% 08/04/ ,452 72

73 Notes to the Unaudited Financial Statements (continued) Note 10 - Financial Instruments (continued) Currency Notional in ccy Rate received Rate paid Maturity date Unrealised gain / (loss) (in DKK) DKK 1,660,000, % CIBO06M J-2 23/12/ ,909 DKK 2,500,000, % DETNT/N Index 07/11/ ,135 EUR 112,000,000 EURIB6M -0.09% 19/12/ ,366 SEK 515,000, % STIB3M SEK 20/06/ ,801 SEK 117,000, % STIB3M SEK 19/12/ ,598 NOK 2,200,000,000 NIB3M NOK LIB3M USD 03/05/ ,738 SEK 588,000,000 STIB3M SEK 0.31% 08/04/ ,348 SEK 270,000,000 STIB3M SEK 0.59% 13/11/ ,841 EUR 33,500,000 EONIA -0.43% 01/04/ ,551 NOK 1,500,000, % LIB3M USD 17/05/ ,863 DKK 750,000, % CIBO06M J-2 01/04/ ,583 EUR 25,517,552 EURIB6M 0.39% 15/02/ ,590 SEK 530,000,000 STIB3M SEK -0.30% 14/08/ ,774 GBP 54,000, % LIB3M USD 17/03/ ,474 EUR 200,000,000 EURIB3M 1.34% 16/02/ ,692 DKK 237,000, % CIBO06M J-2 01/10/ ,245 SEK 980,000,000 STIB3M SEK 0.38% 15/06/ ,034 NOK 215,000, % NIB3M NOK 14/03/ ,974 DKK 833,000, % CIBO06M J-2 19/12/ ,065 USD 161,727, % NIB3M NOK 09/06/ ,255 DKK 830,000, % CIBO06M J-2 30/12/ ,134 EUR 66,200,000 EURIB6M 1.21% 08/10/ ,518 DKK 363,000, % CIBO06M J-2 01/10/ ,618 SEK 992,000,000 STIB3M SEK 0.31% 08/04/2022 1,013,225 NOK 167,000, % NIB3M NOK 24/05/2023 1,024,219 USD 118,737, % EURIB3M 04/08/2026 1,039,971 SEK 700,000,000 STIB3M SEK 0.11% 19/05/2021 1,085,526 DKK 1,250,000, % CIBO06M J-2 31/12/2018 1,091,878 NOK 100,000, % NIB3M NOK 14/03/2024 1,106,118 EUR 55,000, % EONIA 15/09/2017 1,144,448 AUD 221,556, % LIB3M USD 20/03/2023 1,154,499 DKK 1,500,000, % CIBO06M J-2 04/02/2019 1,154,995 CAD 157,000, % LIB3M USD 28/04/2027 1,165,117 SEK 1,030,000, % STIB3M SEK 20/06/2018 1,167,602 SEK 1,030,000, % STIB3M SEK 20/06/2018 1,167,602 USD 205,321,259 LIB3M USD NIB3M NOK 03/05/2027 1,181,369 SEK 492,000,000 STIB3M SEK 0.34% 15/06/2022 1,205,129 EUR 47,000,000 EURIB6M 1.13% 07/02/2067 1,336,432 SEK 992,000,000 STIB3M SEK 0.30% 08/04/2022 1,389,964 EUR 33,600,000 EONIA -0.15% 15/11/2021 1,404,010 EUR 33,500, % EURIB6M 01/04/2020 1,409,589 SEK 500,000,000 STIB3M SEK 0.33% 15/06/2022 1,416,492 EUR 38,965,000 EURIB6M 0.76% 17/08/2026 1,462,863 AUD 240,000, % LIB3M USD 20/03/2023 1,507,474 DKK 250,000, % CIBO06M J-2 01/04/2020 1,572,277 EUR 105,000, % EURIB6M 01/04/2020 1,576,792 USD 5,500,000,000 FEDL01 OIS 1.43% 08/11/2018 1,585,106 CAD 49,500,000 CDOR03 Index 1.45% 15/06/2021 1,589,049 EUR 80,500,000 EURIB6M 0.13% 14/02/2022 1,666,631 EUR 223,000,000 EURIB6M -0.10% 23/12/2019 1,707,188 EUR 336,000,000 EONIA -0.36% 07/11/2018 1,736,045 EUR 36,000, % EURIB6M 01/04/2020 1,742,624 SEK 980,000,000 STIB3M SEK 0.29% 08/04/2022 1,764,128 EUR 31,500, % EURIB6M 06/07/2020 1,791,269 EUR 67,000,000 EURIB6M 1.44% 19/05/2027 1,809,232 NOK 150,000, % NIB3M NOK 14/03/2024 1,871,763 EUR 174,000,000 EURIB6M 0.12% 08/10/2021 1,882,334 SEK 2,200,000,000 STIB3M SEK 0.13% 19/05/2021 1,884,415 NOK 218,000, % NIB3M NOK 14/03/2024 1,933,859 SEK 530,000, % STIB3M SEK 21/03/2018 1,939,353 EUR 58,000,000 EURIB6M 1.21% 26/02/2029 1,955,095 DKK 1,750,000, % CIBO06M J-2 19/12/2018 1,963,603 73

74 Notes to the Unaudited Financial Statements (continued) Note 10 - Financial Instruments (continued) Currency Notional in ccy Rate received Rate paid Maturity date Unrealised gain / (loss) (in DKK) SEK 800,000, % EURIB3M 10/03/2025 1,967,893 SEK 530,000, % STIB3M SEK 20/06/2018 2,079,175 EUR 252,000,000 EONIA -0.19% 30/12/2019 2,272,242 SEK 503,000,000 STIB3M SEK 0.29% 15/06/2022 2,293,124 EUR 40,000, % EURIB6M 06/07/2020 2,323,726 NOK 1,200,000, % EURIB3M 02/09/2019 2,327,862 EUR 46,500,000 EURIB6M 1.07% 07/02/2067 2,353,324 SEK 1,045,000, % STIB3M SEK 21/03/2018 2,367,586 NOK 1,680,000, % LIB3M USD 11/06/2020 2,369,098 SEK 575,000,000 STIB3M SEK LIB3M USD 11/01/2027 2,423,279 SEK 659,596,854 STIB3M SEK LIB3M USD 11/01/2027 2,444,552 DKK 400,000, % CIBO06M J-2 01/04/2020 2,455,407 USD 205,561,990 LIB3M USD NIB3M NOK 18/01/2027 2,471,755 EUR 47,500,000 EURIB6M 1.26% 24/05/2033 2,529,146 DKK 150,000, % CIBO06M J-2 01/07/2020 2,622,234 EUR 94,000,000 EURIB6M 1.13% 04/02/2067 2,640,613 SEK 520,000, % STIB3M SEK 19/12/2018 2,678,453 SEK 510,000, % STIB3M SEK 20/06/2018 2,692,249 DKK 305,000, % CIBO06M J-2 01/10/2019 2,755,881 SEK 515,000, % STIB3M SEK 20/06/2018 2,758,547 AUD 1,463,000, % LIB3M USD 07/05/2021 2,771,224 USD 192,643,606 LIB3M USD NIB3M NOK 12/01/2027 2,771,228 DKK 35,000,000 CIBO06M J % 20/03/2035 2,789,392 DKK 350,000, % CIBO06M J-2 01/10/2018 2,952,670 SEK 1,360,000, % STIB3M SEK 21/03/2018 2,970,708 EUR 46,500, % EURIB6M 06/07/2020 3,033,110 EUR 111,000,000 EONIA -0.38% 28/10/2019 3,077,145 SEK 630,000,000 STIB3M SEK 0.28% 15/06/2022 3,113,732 EUR 38,300,000 EURIB6M 0.69% 15/08/2026 3,157,008 DKK 250,000, % CIBO06M J-2 01/07/2019 3,210,957 EUR 134,000,000 EURIB6M 0.10% 10/01/2022 3,255,796 EUR 50,000, % EONIA 15/11/2021 3,341,259 EUR 78,000, % EURIB6M 25/06/2048 3,373,531 EUR 24,000, % EURIB6M 21/05/2025 3,429,304 SEK 530,000, % STIB3M SEK 19/09/2018 3,493,748 EUR 283,000,000 EURIB6M 0.21% 25/02/2021 3,506,794 EUR 55,600, % EURIB6M 06/07/2020 3,525,159 SEK 481,000,000 STIB3M SEK 1.21% 12/05/2028 3,578,481 EUR 65,000, % EONIA 17/09/2018 3,734,346 CHF 25,000,000 LIB6M CHF 0.74% 06/06/2034 3,759,271 GBP 226,000,000 LIB6M GBP 1.96% 29/06/2032 3,799,572 EUR 30,000,000 EONIA -0.39% 15/11/2021 3,965,461 SEK 545,000, % STIB3M SEK 17/06/2020 3,971,478 EUR 175,000, % EURIB3M 13/02/2018 3,980,987 SEK 510,000, % STIB3M SEK 19/09/2018 4,024,449 SEK 1,911,000, % STIB3M SEK 21/03/2018 4,033,733 DKK 500,000, % CIBO06M J-2 01/04/2020 4,085,744 SEK 763,000, % STIB3M SEK 20/06/2018 4,146,054 CAD 735,000, % LIB3M USD 29/03/2023 4,161,927 EUR 80,000, % EURIB6M 01/04/2020 4,189,170 SEK 10,000,000, % STIB3M SEK 20/03/2018 4,206,120 SEK 510,000, % STIB3M SEK 19/09/2018 4,241,043 SEK 800,000, % STIB3M SEK 19/12/2018 4,300,875 NOK 1,600,000,000 NIB3M NOK EURIB3M 17/06/2019 4,351,524 SEK 510,000, % STIB3M SEK 19/09/2018 4,353,038 EUR 80,000,000 EURIB6M 1.71% 11/09/2045 4,355,735 SEK 510,000, % STIB3M SEK 19/09/2018 4,376,803 DKK 250,000, % CIBO06M J-2 01/07/2020 4,396,328 DKK 250,000, % CIBO06M J-2 01/07/2020 4,440,033 SEK 520,000, % STIB3M SEK 16/09/2020 4,491,984 SEK 550,000, % STIB3M SEK 12/03/2019 4,496,812 USD 71,798,057 LIB3M USD LIB3M CHF 11/01/2027 4,557,290 74

75 Notes to the Unaudited Financial Statements (continued) Note 10 - Financial Instruments (continued) Currency Notional in ccy Rate received Rate paid Maturity date Unrealised gain / (loss) (in DKK) SEK 522,000, % STIB3M SEK 16/09/2020 4,615,774 NOK 2,400,000, % EURIB3M 04/09/2019 4,635,584 SEK 510,000, % STIB3M SEK 19/09/2018 4,677,601 SEK 510,000, % STIB3M SEK 19/09/2018 4,677,601 EUR 74,000, % EURIB6M 06/07/2020 4,807,052 DKK 358,000, % CIBO06M J-2 01/10/2019 4,818,283 EUR 179,300,000 EONIA -0.38% 25/10/2019 4,879,277 DKK 525,000, % CIBO06M J-2 17/11/2025 4,888,163 USD 30,000,000 LIB3M USD 2.52% 29/06/2050 5,081,543 EUR 49,900,000 EURIB6M 1.62% 09/10/2045 5,087,927 SEK 510,000, % STIB3M SEK 16/09/2020 5,099,365 SEK 480,000, % STIB3M SEK 12/03/2019 5,150,090 SEK 520,000, % STIB3M SEK 16/09/2020 5,163,985 EUR 737,000,000 EURIB6M 0.86% 28/12/2022 5,175,787 SEK 560,000, % STIB3M SEK 12/03/2019 5,185,182 CAD 744,000, % LIB3M USD 08/04/2024 5,289,454 SEK 542,000, % STIB3M SEK 13/11/2023 5,309,270 SEK 522,000, % STIB3M SEK 16/09/2020 5,325,864 DKK 275,000, % CIBO06M J-2 01/07/2020 5,363,261 SEK 540,000, % STIB3M SEK 17/06/2020 5,373,834 NOK 500,000, % NIBOR6M NOK 13/03/2025 5,385,267 DKK 500,000, % CIB3M DKK -2 02/04/2018 5,522,066 SEK 1,371,000, % STIB3M SEK 20/06/2018 5,537,738 SEK 544,000, % STIB3M SEK 17/06/2020 5,602,699 SEK 530,000, % STIB3M SEK 17/06/2020 5,642,705 SEK 1,900,000, % LIB3M USD 14/09/2023 5,679,837 USD 72,763,029 LIB3M USD LIB3M CHF 11/01/2027 5,724,007 EUR 183,500,000 EURIB6M 0.06% 08/10/2021 5,827,560 SEK 1,725,000,000 STIB3M SEK 0.20% 15/12/2021 5,905,892 SEK 2,020,000, % STIB3M SEK 20/06/2018 5,967,965 DKK 500,000, % CIBO06M J-2 01/07/2020 5,987,432 EUR 25,517, % EURIB6M 15/02/2024 6,053,232 EUR 188,500, % EURIB6M 13/09/2055 6,219,614 NOK 790,000, % NIBOR6M NOK 14/03/2024 6,302,719 SEK 757,000,000 STIB3M SEK -0.11% 19/05/2021 6,312,221 EUR 134,000, % EURIB6M 01/04/2020 6,357,574 EUR 224,000,000 EONIA -0.39% 18/10/2019 6,427,631 NOK 500,000,000 NIBOR6M NOK 1.63% 19/02/2026 6,435,965 SEK 517,000, % STIB3M SEK 16/09/2020 6,540,768 SEK 517,000, % STIB3M SEK 16/09/2020 6,681,426 SEK 1,550,000, % STIB3M SEK 20/06/2018 6,861,245 SEK 520,000, % STIB3M SEK 16/09/2020 6,861,670 SEK 555,000, % STIB3M SEK 01/12/2020 7,441,272 DKK 500,000, % CIBO06M J-2 02/04/2018 7,497,228 GBP 23,883, % LIB3M GBP 22/07/2019 7,678,411 EUR 130,000,000 EURIB6M 1.89% 13/05/2047 7,784,219 EUR 492,310,924 EURIB3M LIB3M JPY 17/01/2019 8,002,317 SEK 2,000,000, % EURIB3M 29/01/2020 8,067,226 SEK 596,000, % STIB3M SEK 01/12/2020 8,083,084 EUR 80,000, % EURIB6M 16/11/2018 8,319,334 SEK 795,000, % STIB3M SEK 17/06/2020 8,371,961 SEK 795,000, % STIB3M SEK 17/06/2020 8,371,961 CAD 99,000,000 CDOR03 Index 1.17% 15/06/2021 8,397,637 EUR 74,000, % EONIA 15/11/2021 8,444,715 NOK 2,450,000, % EURIB3M 05/08/2021 8,595,146 EUR 789,900,000 EURIB6M 0.37% 02/06/2021 8,806,118 USD 94,000, % LIB3M USD 24/10/2024 8,943,973 EUR 86,736, % EONIA 17/11/2025 8,972,729 SEK 1,100,000, % STIB3M SEK 12/03/2019 8,993,624 USD 69,000, % LIB3M USD 26/02/2029 9,192,145 SEK 500,000, % STIB3M SEK 17/06/2020 9,210,326 SEK 1,061,000, % STIB3M SEK 19/09/2018 9,255,005 75

76 Notes to the Unaudited Financial Statements (continued) Note 10 - Financial Instruments (continued) Currency Notional in ccy Rate received Rate paid Maturity date Unrealised gain / (loss) (in DKK) EUR 74,000,000 EONIA -0.40% 15/11/2021 9,921,458 EUR 185,000, % EONIA OIS 15/09/2017 9,929,070 EUR 800,000,000 EURIB6M 1.40% 24/06/ ,141,239 EUR 50,000, % EONIA 17/04/ ,198,214 SEK 1,651,000, % STIB3M SEK 20/06/ ,378,508 USD 1,050,093, % LIB3M JPY 07/05/ ,988,764 SEK 1,000,000, % STIB3M SEK 17/06/ ,180,987 USD 315,000, % LIB3M USD 25/02/ ,324,994 EUR 110,658, % EONIA 15/11/ ,375,629 EUR 60,000,000 EURIB6M 0.49% 01/10/ ,508,922 SEK 1,105,000, % STIB3M SEK 12/03/ ,599,442 SEK 1,115,000, % STIB3M SEK 12/03/ ,618,143 USD 240,000, % LIB3M USD 16/02/ ,639,288 SEK 1,120,000, % STIB3M SEK 12/03/ ,363,510 SEK 370,000, % STIB3M SEK 13/11/ ,821,785 EUR 198,000,000 EURIB3M 0.21% 06/06/ ,467,647 EUR 94,500, % EURIB6M 20/02/ ,869,894 GBP 62,500,000 LIB6M GBP 1.33% 07/06/ ,958,460 EUR 980,202,424 EURIB3M LIB3M JPY 28/02/ ,513,300 EUR 100,000, % EURIB6M 14/11/ ,463,466 EUR 340,000, % EURIB6M 11/09/ ,879,609 USD 233,931, % LIB3M CHF 14/09/ ,014,405 SEK 2,500,000, % STIB3M SEK 20/06/ ,199,754 SEK 3,100,000, % STIB3M SEK 20/06/ ,845,044 GBP 226,000,000 LIB6M GBP 1.79% 07/06/ ,128,027 EUR 227,000, % EURIB6M 06/11/ ,491,388 EUR 34,900,000 EURIB6M 1.09% 04/07/ ,836,531 DKK 1,250,000, % CIB3M DKK -2 24/07/ ,735,700 EUR 800,000,000 EONIA -0.51% 02/07/ ,057,052 EUR 45,000, % EURIB6M 03/07/ ,116,337 USD 59,500,000 LIB3M USD 1.48% 17/11/ ,225,655 EUR 1,600,000,000 EURIB6M 1.40% 30/06/ ,740,657 EUR 97,277, % EURIB6M 15/08/ ,891,879 EUR 72,500, % EURIB6M 19/08/ ,167,514 GBP 220,000,000 LIB6M GBP 1.72% 05/04/ ,215,567 EUR 72,500,000 EURIB6M 1.67% 19/08/ ,239,190 EUR 107,000, % EURIB6M 26/06/ ,393,265 EUR 80,000,000 EURIB6M 0.19% 15/08/ ,794,044 EUR 1,600,000,000 EURIB6M 1.38% 24/06/ ,117,657 USD 60,000,000 LIB3M USD 1.41% 17/11/ ,511,371 EUR 385,877, % EURIB6M 20/08/ ,877,395 SEK 500,000, % STIB3M SEK 13/11/ ,527,871 SEK 500,000, % STIB3M SEK 13/11/ ,927,086 EUR 102,600,000 EURIB6M 1.67% 02/06/ ,245,055 EUR 800,000,000 EURIB6M 0.42% 01/07/ ,449,919 DKK 1,250,000, % CIB3M DKK -2 12/06/ ,509,483 EUR 50,000, % EURIB6M 17/04/ ,598,850 SEK 248,500, % STIB3M SEK 13/11/ ,920,667 EUR 305,000, % EURIB6M 13/09/ ,129,429 DKK 935,000, % CIBO06M J-2 03/10/ ,683,392 EUR 35,000, % EURIB6M 30/06/ ,898,312 EUR 800,000,000 EONIA 0.09% 01/07/ ,346,652 CHF 90,000, % LIB6M CHF 30/10/ ,155,690 DKK 1,075,000, % CIBO06M J-2 15/11/ ,420,037 EUR 573,125, % EURIB6M 02/07/ ,894,514 NOK 380,000, % NIBOR6M NOK 21/06/ ,025,349 EUR 239,000,000 EONIA -0.40% 15/11/ ,586,167 SEK 851,500, % STIB3M SEK 12/03/ ,451,424 CHF 58,000, % LIB6M CHF 30/10/ ,882,644 USD 490,000, % LIB3M USD 24/10/ ,636,932 EUR 1,600,000,000 EONIA -0.52% 02/07/ ,902,395 USD 508,000,000 LIB3M USD 2.29% 02/06/ ,493,749 76

77 Notes to the Unaudited Financial Statements (continued) Note 10 - Financial Instruments (continued) Currency Notional in ccy Rate received Rate paid Maturity date Unrealised gain / (loss) (in DKK) EUR 1,600,000,000 EURIB6M 0.42% 01/07/ ,366,470 CHF 120,000, % LIB6M CHF 11/09/ ,146,130 USD 810,000,000 LIB3M USD 2.51% 02/02/ ,179,690 CHF 120,000, % LIB6M CHF 16/01/ ,243,626 CHF 120,000, % LIB6M CHF 26/06/ ,246,911 NOK 700,000, % NIBOR6M NOK 21/06/ ,397,121 DKK 2,750,000, % CIB3M DKK -2 02/12/ ,557,148 EUR 1,600,000,000 EONIA 0.08% 01/07/ ,774,792 EUR 98,000, % EURIB6M 15/02/ ,810,741 EUR 71,700, % EURIB6M 05/11/ ,479,963 EUR 100,000, % EURIB6M 15/02/ ,695,504 SEK 900,000, % STIB3M SEK 09/01/ ,329,438 EUR 368,000, % EURIB3M 02/12/ ,034,805 USD 45,000, % LIB3M USD 24/10/ ,413,503 EUR 1,000,000, % EONIA OIS 18/06/ ,185,367 CHF 275,000, % LIB6M CHF 09/03/ ,758,717 CHF 78,750, % LIB6M CHF 19/06/ ,458,732 USD 138,000, % LIB3M USD 20/02/ ,168,835 GBP 31,937, % LIB6M GBP 26/06/ ,479,383 CHF 265,000, % LIB6M CHF 18/01/ ,185,180 USD 140,000, % LIB3M USD 14/11/ ,526,842 USD 897,700, % LIB3M USD 20/08/ ,178,662 GBP 486,500, % LIB6M GBP 26/06/ ,423,170 CHF 275,000, % LIB6M CHF 27/06/ ,649,319 USD 140,000, % LIB3M USD 09/01/ ,773,067 CHF 265,000, % LIB6M CHF 09/09/ ,320,321 DKK 5,000,000, % CIB3M DKK -2 14/12/ ,970,120 EUR 430,000, % EURIB6M 11/09/ ,532,796 USD 306,000, % LIB3M USD 24/10/ ,406,628 USD 197,500, % LIB3M USD 24/10/ ,895,359 GBP 118,000, % LIB3M GBP 16/10/ ,898,100 EUR 1,020,000, % EURIB6M 04/04/ ,164,920 EUR 151,375, % EURIB6M 30/06/ ,431,781 GBP 118,000, % LIB6M GBP 16/10/ ,635,670 GBP 133,000, % LIB6M GBP 26/06/ ,644,794 EUR 670,000, % EURIB3M 14/12/ ,393,658 EUR 1,070,000, % EURIB6M 17/06/ ,363,871 EUR 1,100,000, % EONIA OIS 06/04/ ,160,664 EUR 200,000, % EURIB6M 06/11/ ,682,743 (391,703,334) There are the following open swaptions positions at 30 June 2017: Currency Notional in ccy Rate received Rate paid Maturity date Unrealised gain / (loss) (in DKK) USD 500,000, % LIB3M USD 19/03/2020 (9,495,705) EUR 100,000, % EURIB6M 21/05/2042 (1,391,598) EUR 50,000, % EURIB6M 01/08/2027 (931,202) EUR 50,000, % EURIB6M 02/10/2027 (920,797) EUR 30,000,000 EURIB6M 0.36% 21/05/ ,597 EUR 100,000,000 EURIB6M 1.86% 21/05/ ,776 USD 1,000,000,000 LIB3M USD LIB3M USD 19/03/ ,827,112 (388,817) Total interest rate swaps, cross currency interest rate swaps and swaptions (392,092,151) 77

78 Notes to the Unaudited Financial Statements (continued) Note 10 - Financial Instruments (continued) Danske Invest Hedge Fixed Income Relative Value Fund These are the following open interest rate swaps, cross currency interest rate swap and swaption positions at 30 June 2017: Interest rate swaps and cross currency interest rate swap positions: Currency Notional in ccy Rate received Rate paid Maturity date Unrealised gain / (loss) (in DKK) EUR 179,500, % EURIB3M 25/08/2031 (49,492,279) EUR 67,000,000 EONIA OIS 1.31% 15/11/2023 (39,328,147) EUR 225,000,000 EURIB6M 1.86% 01/10/2024 (35,555,728) EUR 299,000, % EURIB6M 23/08/2022 (34,715,178) EUR 115,000, % EURIB6M 25/08/2031 (32,950,556) EUR 115,000, % EURIB3M 25/08/2031 (32,461,177) GBP 156,800,000 LIB6M GBP 2.68% 21/05/2018 (28,541,365) GBP 56,800,000 LIB3M GBP 3.09% 20/05/2022 (27,865,073) EUR 35,767,877 EURIB6M 1.69% 17/07/2023 (25,097,260) EUR 160,000,000 EURIB6M 1.48% 01/10/2021 (24,022,235) EUR 183,000, % EURIB3M 26/08/2022 (22,697,107) DKK 243,000,000 CIBO06M J % 15/11/2023 (22,156,167) EUR 183,000, % EURIB6M 26/08/2022 (20,939,424) GBP 56,800,000 LIB6M GBP 2.61% 20/05/2022 (20,235,225) EUR 180,000,000 EURIB6M 2.52% 01/10/2026 (19,974,305) DKK 250,000,000 CIBO06M J % 15/11/2023 (19,772,432) GBP 156,800,000 LIB3M GBP 1.86% 21/05/2018 (19,145,722) GBP 162,000,000 LIB6M GBP 2.31% 28/04/2031 (18,755,194) EUR 113,400,000 EURIB6M 1.78% 29/08/2024 (16,468,110) EUR 400,000, % EONIA 01/07/2022 (14,443,698) USD 62,000,000 LIB3M USD 3.50% 13/10/2025 (13,431,307) GBP 9,500,000 LIB6M GBP 3.32% 26/06/2025 (12,947,686) CHF 24,000,000 LIB6M CHF 2.43% 14/05/2029 (12,806,399) EUR 400,000, % EURIB6M 01/07/2022 (12,091,618) EUR 81,500,000 EURIB6M 1.35% 30/08/2021 (11,070,661) SEK 420,000,000 STIB3M SEK 1.10% 13/11/2023 (10,864,005) EUR 167,500,000 EURIB6M 0.34% 06/11/2019 (9,912,050) CHF 54,000,000 LIB6M CHF 1.56% 12/05/2023 (9,590,468) EUR 32,000, % EURIB6M 27/10/2025 (9,551,672) NOK 125,000,000 NIB3M NOK 2.88% 14/03/2024 (8,645,972) DKK 408,000,000 CIBO06M J % 15/11/2019 (8,308,492) CHF 93,000, % LIB6M CHF 19/08/2026 (8,307,723) EUR 10,000,000 EURIB6M 2.57% 08/05/2054 (8,255,034) NOK 125,000,000 NIB3M NOK 2.80% 14/03/2024 (8,162,824) EUR 67,000,000 EURIB3M 0.58% 12/06/2019 (7,967,325) CHF 67,000,000 LIB6M CHF 0.96% 26/11/2029 (7,891,102) EUR 250,000,000 EURIB6M 1.06% 28/10/2021 (7,858,398) SEK 1,100,000, % STIB3M SEK 12/11/2026 (7,494,153) CHF 115,000, % LIB6M CHF 17/06/2026 (7,433,459) EUR 89,000,000 EURIB6M 2.30% 31/08/2026 (7,360,976) CHF 152,000, % LIB6M CHF 09/11/2026 (7,235,853) EUR 200,000, % EONIA 01/07/2022 (7,086,663) EUR 22,000,000 EURIB6M 2.06% 17/11/2054 (7,071,983) EUR 246,000,000 EURIB6M 1.05% 25/11/2021 (7,037,477) USD 88,000, % LIB3M USD 04/02/2030 (6,953,480) CHF 67,300,000 LIB6M CHF 0.92% 29/10/2029 (6,699,956) EUR 81,875,000 EURIB6M 0.86% 02/07/2018 (6,697,846) EUR 7,000, % EURIB6M 22/04/2055 (6,526,752) EUR 14,588,167 EURIB6M 1.21% 15/08/2023 (6,525,387) EUR 22,000,000 EURIB6M 2.03% 19/11/2054 (6,437,643) EUR 7,000,000 EURIB6M 2.04% 03/10/2036 (6,410,183) SEK 100,000,000 STIB3M SEK 1.81% 13/11/2023 (6,379,615) EUR 10,000, % EURIB6M 16/03/2055 (6,342,105) EUR 15,000,000 EURIB6M 1.24% 25/11/2024 (6,245,434) NOK 125,000,000 NIB3M NOK 2.48% 14/03/2024 (6,127,161) 78

79 Notes to the Unaudited Financial Statements (continued) Note 10 - Financial Instruments (continued) Currency Notional in ccy Rate received Rate paid Maturity date Unrealised gain / (loss) (in DKK) EUR 200,000, % EURIB6M 01/07/2022 (6,112,480) EUR 42,000,000 EURIB6M 1.77% 13/10/2025 (6,030,235) EUR 24,900, % EURIB6M 04/07/2028 (6,004,169) SEK 200,000,000 STIB3M SEK 1.13% 18/09/2019 (5,977,337) EUR 50,200,000 EURIB6M 0.62% 20/08/2018 (5,905,116) EUR 67,000,000 EURIB3M 0.39% 24/07/2019 (5,864,494) DKK 530,000, % CIBO06M J-2 17/11/2025 (5,754,905) EUR 55,500, % EURIB6M 20/12/2056 (5,656,002) EUR 13,400,000 EONIA OIS 1.05% 17/11/2025 (5,501,986) USD 110,000,000 LIB3M USD 2.61% 09/10/2019 (5,433,896) EUR 9,380,342 EONIA 1.37% 15/04/2024 (5,394,415) EUR 10,812,500 EURIB6M 1.49% 30/06/2025 (5,305,441) EUR 10,000,000 EURIB6M 2.27% 25/09/2054 (5,281,716) EUR 7,500,000 EURIB6M 2.45% 29/05/2054 (5,274,268) GBP 100,000, % LIB3M GBP 16/06/2031 (5,267,640) EUR 38,000, % EURIB6M 25/12/2056 (5,258,777) GBP 56,000, % LIB3M GBP 05/04/2032 (5,150,447) EUR 80,000,000 EURIB6M 0.91% 09/10/2019 (5,140,899) EUR 400,000, % EONIA 24/06/2025 (5,111,000) EUR 400,000, % EURIB6M 02/07/2019 (5,024,422) EUR 400,000, % EONIA 30/06/2025 (4,947,404) EUR 343,000,000 EONIA -0.17% 26/09/2017 (4,883,286) EUR 100,500,000 EURIB3M 0.35% 26/06/2018 (4,876,554) NOK 100,000,000 NIB3M NOK 2.47% 14/03/2024 (4,803,811) USD 174,500, % LIB3M USD 26/05/2021 (4,755,884) USD 45,500,000 LIB3M USD 2.11% 18/02/2019 (4,594,818) SEK 157,000,000 STIB3M SEK 1.07% 18/09/2019 (4,473,654) EUR 13,400,000 EONIA OIS 0.83% 15/11/2023 (4,473,147) GBP 2,344,250 LIB6M GBP 2.89% 26/06/2037 (4,364,614) EUR 74,000, % EURIB6M 26/05/2027 (4,319,206) USD 9,300,000 LIB3M USD 3.68% 19/08/2038 (4,256,603) GBP 34,750,000 LIB6M GBP 1.99% 26/06/2018 (4,230,824) EUR 5,000, % EURIB6M 17/11/2054 (4,204,865) SEK 205,000,000 STIB3M SEK 1.05% 19/06/2019 (4,184,853) EUR 173,142,537 EURIB3M STIB3M SEK 04/12/2019 (4,151,995) NOK 260,000, % NIBOR6M NOK 24/05/2023 (3,986,569) USD 17,500,000 LIB3M USD 3.37% 09/10/2035 (3,952,700) NOK 260,000, % NIBOR6M NOK 24/05/2023 (3,928,757) EUR 13,400,000 EONIA 0.73% 15/11/2023 (3,815,853) USD 171,300, % LIB3M USD 08/03/2021 (3,757,472) USD 69,100,000 LIB3M USD 1.74% 20/08/2018 (3,666,808) EUR 20,000,000 EURIB6M 0.70% 08/07/2019 (3,660,499) EUR 9,400, % EURIB6M 04/07/2039 (3,647,330) EUR 2,500,000 EURIB6M 2.48% 30/06/2037 (3,510,745) NOK 275,000,000 NIBOR6M NOK 3.00% 29/06/2027 (3,382,738) SEK 275,000, % STIB3M SEK 12/05/2025 (3,374,298) USD 136,000,000 LIB3M USD 2.52% 16/12/2022 (3,281,927) EUR 7,000,000 EURIB6M 2.19% 06/10/2054 (3,176,351) USD 42,000, % LIB3M USD 01/07/2030 (3,162,714) SEK 104,000,000 STIB3M SEK 1.18% 13/11/2023 (3,122,348) EUR 65,000, % EONIA 13/05/2047 (3,006,984) EUR 76,800, % EURIB6M 08/03/2027 (2,917,658) NOK 630,000, % NIBOR6M NOK 18/01/2027 (2,836,622) EUR 11,000,000 EURIB6M 2.54% 09/10/2035 (2,820,244) USD 23,650, % LIB3M USD 26/05/2037 (2,748,008) EUR 86,500, % EURIB6M 08/10/2021 (2,736,972) USD 23,900, % LIB3M USD 09/03/2037 (2,715,901) DKK 850,000, % DETNT/N Index 07/10/2019 (2,710,606) USD 575,000, % LIB3M USD 02/02/2024 (2,634,690) SEK 105,000,000 STIB3M SEK 1.33% 19/12/2018 (2,616,947) USD 120,000,000 FEDL01 OIS 2.35% 16/02/2027 (2,596,292) SEK 551,000,000 STIB3M SEK 0.02% 12/03/2019 (2,586,508) 79

80 Notes to the Unaudited Financial Statements (continued) Note 10 - Financial Instruments (continued) Currency Notional in ccy Rate received Rate paid Maturity date Unrealised gain / (loss) (in DKK) SEK 550,000,000 STIB3M SEK 0.02% 12/03/2019 (2,581,813) DKK 68,000,000 CIBO06M J % 15/11/2039 (2,581,458) DKK 267,000, % CIBO06M J-2 17/11/2025 (2,571,081) EUR 10,000, % EURIB6M 28/05/2055 (2,570,895) SEK 105,000,000 STIB3M SEK 1.30% 19/09/2018 (2,531,801) SEK 100,000,000 STIB3M SEK 1.33% 19/12/2018 (2,498,525) EUR 200,000, % EURIB6M 02/07/2019 (2,422,501) EUR 200,000, % EONIA 24/06/2025 (2,322,926) EUR 65,500, % EURIB6M 11/10/2055 (2,186,412) EUR 167,500,000 EONIA -0.19% 23/10/2017 (2,154,507) GBP 7,940,000 LIB6M GBP 1.76% 07/09/2039 (2,124,485) EUR 15,000,000 EURIB6M 0.54% 16/01/2020 (2,117,893) EUR 3,000, % EURIB6M 04/05/2055 (2,109,647) CHF 121,000, % LIB6M CHF 15/04/2026 (1,993,187) EUR 86,726, % EURIB6M 04/01/2022 (1,944,937) NOK 500,000,000 NIBOR6M NOK 1.96% 17/02/2027 (1,940,074) EUR 750,000,000 EURIB6M 1.30% 21/03/2024 (1,938,751) EUR 202,000, % EURIB6M 26/05/2020 (1,907,632) EUR 750,000,000 EURIB6M 1.30% 22/03/2024 (1,899,849) EUR 14,200,000 EURIB6M 0.50% 19/09/2019 (1,895,287) EUR 5,000,000 EURIB6M 2.12% 20/08/2054 (1,890,957) SEK 155,000,000 STIB3M SEK 0.53% 19/06/2019 (1,890,823) EUR 3,266, % EURIB6M 03/05/2055 (1,857,726) EUR 4,000,000 EURIB6M 1.78% 12/06/2045 (1,833,150) EUR 34,000, % EURIB6M 17/01/2033 (1,696,810) DKK 342,000, % CIBO06M J-2 15/11/2023 (1,640,314) DKK 1,500,000,000 CIBO06M J % 26/05/2020 (1,556,387) NOK 345,000,000 NIB3M NOK 1.01% 26/11/2018 (1,549,980) EUR 3,500, % EURIB6M 07/05/2055 (1,548,000) EUR 9,500,000 EURIB6M 0.58% 19/08/2019 (1,470,965) GBP 7,700,000 LIB6M GBP 1.71% 07/09/2039 (1,428,449) NOK 450,000, % NIBOR6M NOK 23/11/2026 (1,423,320) NOK 250,000,000 NIB3M NOK 1.26% 24/03/2020 (1,373,989) SEK 102,000,000 STIB3M SEK 1.25% 20/06/2018 (1,348,532) SEK 103,000,000 STIB3M SEK 1.22% 20/06/2018 (1,337,810) EUR 167,500, % EONIA 23/10/2017 (1,309,844) SEK 100,000,000 STIB3M SEK 1.22% 20/06/2018 (1,302,719) EUR 10,000,000 EURIB6M 0.47% 01/10/2019 (1,248,294) EUR 9,000, % EONIA 15/11/2021 (1,222,840) NOK 250,000,000 NIB3M NOK 1.06% 27/11/2017 (1,193,869) DKK 500,000, % DETNT/N Index 15/11/2021 (1,128,583) DKK 190,000, % CIBO06M J-2 17/11/2025 (1,116,438) EUR 34,000,000 EURIB6M 2.13% 28/10/2033 (1,086,860) NOK 200,000,000 NIB3M NOK 1.09% 05/12/2017 (1,001,118) SEK 105,000,000 STIB3M SEK 0.25% 18/09/2019 (994,309) EUR 87,000, % EURIB6M 08/10/2021 (936,094) EUR 250,000,000 EONIA 0.02% 23/03/2020 (775,850) NOK 453,000, % NIBOR6M NOK 12/05/2027 (766,212) EUR 3,800, % EURIB6M 11/03/2037 (754,397) NOK 145,000,000 NIB3M NOK 1.27% 29/01/2020 (733,765) NOK 150,000,000 NIB3M NOK 1.07% 30/11/2017 (725,850) EUR 34,000,000 EURIB6M 2.11% 25/11/2033 (669,829) EUR 250,000,000 EONIA 0.02% 23/03/2020 (669,447) EUR 100,000, % EONIA 16/02/2027 (668,123) EUR 500,000,000 EONIA -0.34% 04/12/2017 (656,794) EUR 4,000,000 EURIB6M 1.61% 23/06/2045 (653,726) NOK 172,000,000 NIB3M NOK 1.05% 04/11/2019 (643,486) DKK 500,000, % CIBO06M J-2 14/02/2022 (633,665) DKK 215,000, % DETNT/N Index 15/11/2021 (624,369) EUR 4,000,000 EURIB6M 1.61% 22/06/2045 (612,907) NOK 490,000,000 NIBOR6M NOK 2.65% 31/05/2027 (605,349) NOK 176,000,000 NIB3M NOK 1.02% 04/11/2019 (551,244) 80

81 Notes to the Unaudited Financial Statements (continued) Note 10 - Financial Instruments (continued) Currency Notional in ccy Rate received Rate paid Maturity date Unrealised gain / (loss) (in DKK) EUR 50,000,000 EURIB3M LIB3M USD 14/10/2026 (494,498) EUR 3,500, % EURIB6M 03/10/2036 (436,592) EUR 17,300,000 EURIB6M 0.49% 15/02/2024 (415,770) EUR 40,000,000 EURIB3M LIB3M USD 01/09/2026 (410,245) USD 9,300, % LIB3M USD 19/08/2038 (381,126) DKK 500,000, % CIBO06M J-2 10/01/2022 (373,066) DKK 500,000, % CIB3M DKK -2 15/11/2019 (359,869) NOK 103,000,000 NIB3M NOK 1.03% 04/11/2019 (346,279) CHF 68,000,000 LIB6M CHF 1.01% 18/02/2030 (330,317) DKK 140,000, % CIB3M DKK -2 15/11/2021 (323,945) EUR 800,000 EURIB6M 1.57% 14/08/2045 (151,553) DKK 410,000, % CIB3M DKK -2 15/11/2018 (79,308) EUR 5,000, % EURIB6M 01/10/2019 (21,777) SEK 171,000,000 STIB3M SEK 0.62% 20/09/ ,428 SEK 264,000, % STIB3M SEK 13/11/ ,510 NOK 1,150,000,000 NIB3M NOK LIB3M USD 18/01/ ,989 NOK 100,000, % NIB3M NOK 14/03/ ,751 DKK 1,500,000, % DETNT/N Index 02/01/ ,462 NOK 1,067,000,000 NIB3M NOK LIB3M USD 22/02/ ,553 GBP 64,128,257 LIB3M GBP LIB3M USD 01/12/ ,761 DKK 410,000,000 CIB3M DKK % 15/11/ ,024 SEK 3,500,000,000 STIB3M SEK LIB3M USD 21/03/ ,767 SEK 5,860,000, % LIB3M USD 24/04/ ,990 SEK 105,000, % STIB3M SEK 19/09/ ,614 EUR 101,000,000 EURIB6M -0.16% 31/12/ ,829 DKK 800,000, % DETNT/N Index 25/11/ ,726 SEK 100,000, % STIB3M SEK 19/12/ ,118 SEK 264,000,000 STIB3M SEK 0.62% 13/11/ ,486 DKK 140,000,000 CIB3M DKK % 15/11/ ,211 DKK 500,000,000 CIB3M DKK % 15/11/ ,893 EUR 100,000,000 EURIB3M 1.34% 16/02/ ,346 AUD 288,513, % LIB3M USD 03/02/ ,062 USD 47,663, % EURIB3M 01/09/ ,245 NOK 2,300,000,000 NIB3M NOK LIB3M USD 15/02/ ,388 AUD 279,100, % LIB3M USD 30/01/ ,790 SEK 435,000,000 STIB3M SEK LIB3M USD 29/06/ ,880 DKK 750,000, % CIBO06M J-2 23/12/ ,788 EUR 202,000,000 EONIA -0.33% 02/01/ ,465 AUD 175,000, % LIB3M USD 20/02/ ,030 SEK 200,000,000 STIB3M SEK EURIB3M 10/03/ ,973 USD 59,682, % EURIB3M 14/10/ ,498 CHF 100,000, % LIB6M CHF 17/02/ ,659 EUR 3,500,000 EURIB6M 1.27% 03/10/ ,402 EUR 11,000, % EURIB6M 09/10/ ,610 SEK 250,000, % STIB3M SEK 18/09/ ,806 DKK 2,500,000, % DETNT/N Index 07/11/ ,135 SEK 1,160,000, % STIB3M SEK 16/12/ ,117 DKK 750,000, % CIBO06M J-2 31/12/ ,127 EUR 500,000, % EONIA 05/12/ ,560 EUR 101,000,000 EURIB6M -0.09% 23/12/ ,374 NOK 800,000,000 NIB3M NOK EURIB3M 29/03/ ,156 AUD 367,000, % LIB3M USD 07/05/ ,174 GBP 54,000,000 LIB3M GBP LIB3M USD 17/03/ ,474 EUR 3,800,000 EURIB6M 1.26% 11/03/ ,397 SEK 350,000, % STIB3M SEK 18/09/ ,728 EUR 5,850, % EURIB6M 08/07/ ,799 NOK 160,000, % NIB3M NOK 14/03/ ,620 EUR 147,600,000 EURIB6M 0.37% 09/03/ ,304 USD 97,948,797 LIB3M USD NIB3M NOK 22/02/ ,983 USD 3,250,000,000 FEDL01 OIS 1.43% 08/11/ ,653 NOK 1,140,000,000 NIB3M NOK LIB3M USD 23/11/ ,284 EUR 87,000,000 EURIB6M 0.12% 08/10/ ,572 81

82 Notes to the Unaudited Financial Statements (continued) Note 10 - Financial Instruments (continued) Currency Notional in ccy Rate received Rate paid Maturity date Unrealised gain / (loss) (in DKK) EUR 37,300,000 EURIB6M 1.18% 07/10/2065 1,004,772 NOK 500,000,000 NIBOR6M NOK 2.47% 12/05/2032 1,009,987 EUR 10,500, % EURIB6M 23/12/2019 1,037,688 SEK 100,000, % STIB3M SEK 20/06/2018 1,039,278 SEK 102,000, % STIB3M SEK 20/06/2018 1,044,257 SEK 103,000, % STIB3M SEK 20/06/2018 1,051,302 SEK 108,000, % STIB3M SEK 13/11/2023 1,057,936 DKK 1,250,000,000 DETNT/N Index -0.54% 23/10/2017 1,060,102 USD 99,294,778 LIB3M USD NIB3M NOK 05/12/2025 1,083,442 SEK 300,000,000 STIB3M SEK LIB3M USD 11/01/2027 1,111,839 CAD 157,000, % LIB3M USD 28/04/2027 1,165,117 EUR 15,000, % EURIB6M 16/01/2020 1,227,530 EUR 67,000,000 EURIB6M 0.12% 10/01/2022 1,252,909 USD 242,590,559 LIB3M USD NIB3M NOK 09/06/2026 1,285,882 NOK 500,000, % NIBOR6M NOK 17/02/2027 1,372,651 SEK 1,140,000,000 STIB3M SEK 0.34% 17/12/2020 1,381,854 EUR 67,000,000 EURIB6M 0.13% 14/02/2022 1,387,134 EUR 500,000,000 EONIA -0.27% 10/04/2019 1,417,027 EUR 9,500, % EURIB6M 19/08/2019 1,434,785 USD 103,056,564 LIB3M USD NIB3M NOK 18/01/2027 1,462,556 EUR 250,000, % EURIB6M 23/03/2020 1,464,714 EUR 107,500,000 EONIA -0.31% 25/11/2019 1,556,977 EUR 250,000, % EURIB6M 23/03/2020 1,566,688 SEK 235,000,000 STIB3M SEK EURIB3M 05/02/2024 1,595,827 EUR 5,600, % EURIB6M 19/08/2038 1,635,008 NOK 4,400,000, % LIB3M USD 15/03/2019 1,653,416 EUR 147,000,000 EURIB6M 0.36% 26/05/2021 1,669,979 CAD 375,000,000 LIB3M CAD LIB3M USD 01/04/2024 1,703,975 EUR 336,000,000 EONIA -0.36% 07/11/2018 1,736,045 DKK 342,000,000 CIBO06M J % 15/11/2023 1,841,487 EUR 9,380, % EONIA 15/04/2024 1,848,510 NOK 238,000, % NIB3M NOK 14/03/2024 1,865,967 CAD 290,000,000 LIB3M CAD LIB3M USD 25/01/2023 1,882,058 SEK 100,000, % STIB3M SEK 19/12/2018 1,934,783 EUR 2,500, % EURIB6M 30/06/2037 1,992,737 EUR 5,600,000 EURIB6M 1.58% 19/08/2038 1,995,222 EUR 86,726,000 EURIB6M 0.13% 04/01/2022 2,008,433 EUR 750,000, % EONIA 22/03/2024 2,141,867 EUR 750,000, % EONIA 21/03/2024 2,184,184 EUR 5,000, % EURIB6M 03/07/2045 2,235,149 NOK 490,000, % NIBOR6M NOK 31/05/2027 2,264,449 EUR 40,937, % EURIB6M 02/07/2018 2,278,180 NOK 1,200,000,000 NIB3M NOK EURIB3M 02/09/2019 2,327,862 CHF 34,950, % LIB6M CHF 28/10/2033 2,330,725 EUR 22,000, % EURIB6M 28/11/2019 2,336,986 DKK 267,000,000 CIBO06M J % 17/11/2025 2,346,305 SEK 500,000,000 STIB3M SEK LIB3M USD 08/12/2026 2,399,840 EUR 5,000, % EURIB6M 07/09/2054 2,460,701 EUR 200,000,000 EURIB6M 1.40% 24/06/2025 2,535,310 USD 130,000, % LIB3M USD 17/12/2020 2,576,830 USD 33,094,319 LIB3M USD LIB3M CHF 11/01/2027 2,603,412 CHF 82,000,000 LIB6M CHF 0.80% 13/04/2029 2,626,265 NOK 275,000, % NIBOR6M NOK 29/06/2027 2,728,949 EUR 86,500,000 EURIB6M 0.06% 08/10/2021 2,747,052 USD 264,129, % LIB3M JPY 07/05/2021 2,764,183 USD 280,493,090 LIB3M USD NIB3M NOK 20/12/2024 2,766,388 NOK 500,000,000 NIBOR6M NOK 2.37% 24/11/2031 2,844,905 EUR 267,918,175 EURIB3M LIB3M JPY 11/02/2019 2,850,256 USD 17,000,000 LIB3M USD 2.52% 29/06/2050 2,879,541 SEK 200,000, % STIB3M SEK 19/06/2019 2,920,275 EUR 17,300, % EURIB6M 15/02/2024 2,955,198 DKK 68,000, % CIBO06M J-2 15/11/2039 2,956,334 82

83 Notes to the Unaudited Financial Statements (continued) Note 10 - Financial Instruments (continued) Currency Notional in ccy Rate received Rate paid Maturity date Unrealised gain / (loss) (in DKK) CHF 34,950, % LIB6M CHF 25/11/2033 3,039,655 GBP 31,300,000 LIB6M GBP 1.44% 07/06/2032 3,055,813 EUR 14,388, % EURIB6M 15/08/2023 3,090,073 SEK 680,000,000 STIB3M SEK LIB3M USD 02/12/2026 3,145,057 EUR 7,000, % EURIB6M 05/10/2054 3,176,015 EUR 28,200,000 EURIB6M 1.59% 09/10/2045 3,325,834 EUR 40,937, % EURIB6M 29/06/2018 3,348,923 EUR 50,200, % EURIB6M 20/08/2018 3,496,188 USD 55,158,005 LIB3M USD LIB3M CHF 08/12/2026 3,547,206 NOK 2,520,000,000 NIB3M NOK LIB3M USD 11/06/2020 3,553,647 NOK 975,000,000 NIB3M NOK EURIB3M 21/12/2019 3,675,483 SEK 1,200,000,000 STIB3M SEK EURIB3M 05/11/2020 3,733,755 EUR 80,000, % EURIB6M 09/10/2019 3,830,980 EUR 65,000,000 EURIB6M 1.89% 13/05/2047 3,892,110 NOK 260,000,000 NIBOR6M NOK 1.25% 24/05/2023 3,928,757 NOK 260,000,000 NIBOR6M NOK 1.25% 24/05/2023 3,986,569 EUR 15,000, % EURIB6M 25/11/2024 3,997,846 USD 29,300,000 LIB3M USD 1.88% 17/11/2025 4,092,908 DKK 1,250,000, % DETNT/N Index 23/10/2017 4,140,462 EUR 9,400,000 EURIB6M 1.15% 04/07/2039 4,236,718 NOK 360,000, % NIBOR6M NOK 13/03/2025 4,273,800 EUR 13,400, % EONIA OIS 17/11/2025 4,310,576 USD 51,809,302 LIB3M USD LIB3M CHF 29/06/2023 4,331,322 NOK 700,000,000 NIBOR6M NOK 2.34% 19/01/2032 4,370,094 SEK 550,000, % STIB3M SEK 12/03/2019 4,496,812 NOK 360,000,000 NIBOR6M NOK 1.54% 13/03/2025 4,522,603 USD 45,500, % LIB3M USD 18/02/2019 4,580,176 EUR 114,000,000 EONIA -0.44% 07/10/2019 4,610,144 EUR 18,200,000 EURIB6M 1.63% 26/05/2037 4,648,499 SEK 100,000, % STIB3M SEK 13/11/2023 4,785,417 USD 218,816, % LIB3M JPY 30/01/2020 4,960,365 CHF 260,800, % LIB6M CHF 25/11/2021 4,991,892 EUR 200,000,000 EONIA -0.51% 02/07/2019 5,014,263 USD 29,300,000 LIB3M USD 1.81% 17/11/2025 5,020,218 EUR 35,767, % EURIB6M 17/07/2023 5,111,683 USD 74,645,323 LIB3M USD LIB3M CHF 02/12/2026 5,156,203 EUR 26,800, % EONIA 15/11/2023 5,165,090 USD 217,770,035 LIB3M USD LIB3M JPY 03/02/2020 5,182,619 EUR 400,000,000 EURIB6M 1.40% 30/06/2025 5,185,164 SEK 560,000, % STIB3M SEK 12/03/2019 5,185,182 CHF 261,900, % LIB6M CHF 28/10/2021 5,186,639 EUR 42,500,000 EURIB6M 0.89% 27/12/2066 5,254,155 GBP 56,000,000 LIB6M GBP 1.73% 05/04/2032 5,293,368 EUR 19,100,000 EURIB6M 1.59% 09/03/2037 5,408,364 EUR 400,000,000 EURIB6M 1.38% 24/06/2025 5,529,414 SEK 160,000, % STIB3M SEK 13/11/2023 5,544,556 GBP 100,000,000 LIB6M GBP 1.83% 16/06/2031 5,551,588 EUR 62,000,000 EURIB6M 0.97% 20/12/2066 5,644,423 SEK 775,000,000 STIB3M SEK EURIB3M 04/04/2022 5,755,663 USD 120,000, % LIB3M USD 16/02/2027 5,819,644 EUR 89,000, % EURIB6M 31/08/2026 5,829,577 USD 17,500, % LIB3M USD 09/10/2035 5,859,003 EUR 70,400,000 EURIB6M 0.69% 17/08/2026 5,919,698 SEK 263,000, % STIB3M SEK 13/11/2023 6,076,052 DKK 750,000, % CIB3M DKK -2 26/06/2018 6,097,844 EUR 7,000, % EURIB6M 03/10/2036 6,103,860 EUR 200,000,000 EURIB6M 0.42% 01/07/2022 6,112,480 SEK 1,700,000,000 STIB3M SEK EURIB3M 04/12/2019 6,222,135 GBP 2,281, % LIB6M GBP 26/06/2037 6,319,956 EUR 24,900,000 EURIB6M 0.62% 04/07/2028 6,474,492 GBP 34,750, % LIB6M GBP 26/06/2018 6,601,655 USD 91,800,000 LIB3M USD 2.32% 08/03/2027 6,666,202 83

84 Notes to the Unaudited Financial Statements (continued) Note 10 - Financial Instruments (continued) Currency Notional in ccy Rate received Rate paid Maturity date Unrealised gain / (loss) (in DKK) EUR 200,000,000 EONIA 0.09% 01/07/2022 7,086,663 USD 69,100, % LIB3M USD 20/08/2018 7,095,406 DKK 2,500,000, % DETNT/N Index 09/11/2017 7,479,960 SEK 962,000,000 STIB3M SEK 1.21% 12/05/2028 7,541,276 USD 110,000, % LIB3M USD 09/10/2019 7,781,920 EUR 81,500, % EURIB6M 30/08/2021 7,828,363 DKK 500,000, % CIB3M DKK -2 24/07/2019 7,919,430 CHF 102,000,000 LIB6M CHF 0.59% 09/11/2029 8,022,296 USD 92,600,000 LIB3M USD 2.26% 26/05/2027 8,236,892 CHF 77,000,000 LIB6M CHF 0.43% 18/06/2029 8,473,344 USD 125,781,417 LIB3M USD LIB3M JPY 20/02/2020 8,661,476 CHF 62,000,000 LIB6M CHF 0.25% 21/08/2028 8,670,036 EUR 10,812, % EURIB6M 30/06/2025 8,745,127 GBP 9,500, % LIB6M GBP 26/06/2025 8,831,771 EUR 65,000, % EURIB6M 26/11/2029 9,061,263 USD 62,000, % LIB3M USD 13/10/2025 9,180,111 EUR 32,000,000 EURIB6M 0.19% 15/10/2025 9,422,187 EUR 65,000, % EURIB6M 29/10/2029 9,457,006 CHF 24,000, % LIB6M CHF 14/05/2029 9,589,214 DKK 500,000, % CIB3M DKK -2 12/06/2019 9,803,793 EUR 400,000,000 EONIA -0.52% 02/07/ ,225,599 DKK 250,000, % CIBO06M J-2 15/11/ ,317,806 EUR 42,000, % EURIB6M 13/10/ ,212,252 DKK 408,000, % CIBO06M J-2 15/11/ ,961,903 EUR 400,000,000 EURIB6M 0.42% 01/07/ ,091,618 DKK 250,000, % CIBO06M J-2 15/11/ ,313,783 USD 203,000,000 LIB3M USD 2.51% 02/02/ ,575,898 EUR 180,000, % EURIB6M 01/10/ ,041,073 EUR 67,000, % EONIA 15/11/ ,354,453 CHF 54,000, % LIB6M CHF 12/05/ ,213,402 EUR 400,000,000 EONIA 0.08% 01/07/ ,443,698 EUR 106,000,000 EONIA -0.40% 15/11/ ,452,442 DKK 1,250,000, % CIBO06M J-2 06/11/ ,849,584 EUR 160,000, % EURIB6M 01/10/ ,913,230 EUR 17,307,606 EURIB6M 0.66% 15/01/ ,171,573 GBP 56,800, % LIB3M GBP 20/05/ ,862,414 GBP 162,000, % LIB3M GBP 28/04/ ,998,509 GBP 156,800, % LIB6M GBP 21/05/ ,299,654 EUR 183,000,000 EURIB6M 0.07% 26/08/ ,939,424 EUR 14,897, % EURIB6M 15/01/ ,362,352 EUR 113,400, % EURIB6M 30/08/ ,480,525 EUR 183,000,000 EURIB3M -0.11% 26/08/ ,697,107 GBP 156,800, % LIB3M GBP 21/05/ ,021,754 GBP 56,800, % LIB6M GBP 20/05/ ,110,234 EUR 115,000,000 EURIB3M 1.19% 25/08/ ,461,177 EUR 115,000,000 EURIB6M 1.23% 25/08/ ,950,556 EUR 299,000,000 EURIB3M -0.11% 23/08/ ,271,589 EUR 179,500,000 EURIB6M 1.24% 25/08/ ,553,238 EUR 225,000, % EURIB6M 01/10/ ,925,721 37,826,375 There are the following open swaptions positions at 30 June 2017: Swaption positions: Currency Notional in ccy Rate received Rate paid Maturity date Unrealised gain / (loss) (in DKK) USD 450,000, % LIB3M USD 13/03/2020 (7,933,626) EUR 500,000, % EURIB3M 10/04/2019 (922,555) EUR 50,000, % EURIB6M 21/05/2042 (695,799) EUR 25,000, % EURIB6M 01/08/2027 (465,601) 84

85 Notes to the Unaudited Financial Statements (continued) Note 10 - Financial Instruments (continued) Currency Notional in ccy Rate received Rate paid Maturity date Unrealised gain / (loss) (in DKK) EUR 25,000, % EURIB6M 02/10/2027 (460,399) EUR 500,000,000 EURIB3M -0.16% 03/05/2019 (308,824) EUR 500,000, % EURIB3M 03/05/ ,502 EUR 500,000, % EURIB3M 03/05/ ,150 EUR 15,000,000 EURIB6M 0.36% 21/05/ ,299 EUR 50,000,000 EURIB6M 1.86% 21/05/ ,388 EUR 500,000,000 EURIB3M 0.06% 10/04/ ,864 EUR 500,000,000 EURIB3M -0.06% 10/04/ ,523 USD 900,000,000 LIB3M USD 2.96% 13/03/2020 9,231, ,309 Total interest rate swaps, cross currency interest rate swaps and swaptions 38,517,684 Danske Invest Hedge Mortgage Arbitrage Fund These are the following open interest rate swaps and cross currency interest rate swap positions at 30 June 2017: Interest rate swaps and cross currency interest rate swap positions: Currency Notional in ccy Rate received Rate paid Maturity date Unrealised gain / (loss) (in DKK) DKK 500,000,000 CIBO06M J % 01/10/2020 (5,907,781) DKK 250,000,000 CIBO06M J % 01/01/2021 (3,642,130) DKK 840,000,000 CIBO06M J % 01/04/2019 (2,868,468) EUR 40,000, % EURIB6M 20/04/2026 (2,754,601) EUR 113,000,000 EONIA 0.08% 01/04/2022 (2,381,928) DKK 661,000, % DETNT/N Index 28/10/2019 (1,164,283) EUR 73,000, % EURIB6M 01/10/2020 (1,161,017) EUR 33,600, % EURIB3M 01/01/2021 (989,072) EUR 33,600, % EURIB3M 01/07/2020 (691,421) DKK 200,000,000 DETNT/N Index -0.20% 03/07/2017 (530,478) EUR 33,500, % EURIB6M 01/01/2021 (376,991) DKK 222,000, % CIBO06M J-2 17/11/2025 (58,747) DKK 170,000, % CIBO06M J-2 01/04/ ,736 DKK 500,000, % CIBO06M J-2 01/04/ ,324 EUR 33,600,000 EURIB3M -0.19% 01/07/ ,352 EUR 33,600,000 EURIB3M -0.15% 01/01/2021 1,090,179 EUR 33,600,000 EURIB3M -0.13% 01/04/2021 1,149,744 EUR 33,600,000 EURIB3M -0.03% 03/01/2022 1,274,704 EUR 10,000, % EURIB6M 29/10/2035 1,473,211 DKK 300,000,000 CIBO06M J % 20/04/2026 1,515,632 EUR 90,000,000 EURIB3M -0.29% 28/10/2019 2,785,839 EUR 76,350,000 EURIB6M 0.15% 08/04/2022 2,893,346 EUR 71,000,000 EURIB3M -0.04% 03/01/2022 3,083,080 DKK 50,000,000 CIBO06M J % 20/03/2035 4,034,771 EUR 134,000,000 EURIB3M -0.12% 01/04/2021 4,185,683 2,622,684 There are the following open futures contracts at 30 June 2017: Danske Invest Hedge Fixed Income Strategies Fund Futures Number of contracts Currency Commitment (in DKK) Maturity Date Currency Unrealised (loss) EURO BUND PURCHASE 1,311 EUR (3,762,570) 07/09/2017 DKK (27,980,769) EURO BUND PURCHASE 231 EUR (637,560) 07/09/2017 DKK (4,741,286) EURO BUND PURCHASE 231 EUR (207,900) 07/09/2017 DKK (1,546,072) DKK (34,268,127) 85

86 Notes to the Unaudited Financial Statements (continued) Note 10 - Financial Instruments (continued) Danske Invest Hedge Fixed Income Relative Value Fund Futures Number of contracts Currency Commitment (in DKK) Maturity Date Currency Unrealised (loss) EURO BUND PURCHASE 847 EUR 1,021,037,023 07/09/2017 DKK (18,172,400) DKK (18,172,400) Danske Invest Hedge Fixed Income Opportunities Fund Futures 30Y TREASURY NOTES USA 5Y TREASURY NOTES USA USA 2% /TBO Number of contracts Currency Commitment (in DKK) Maturity Date Currency Unrealised gain / (loss) PURCHASE 420 USD 454,243,697 20/09/2017 DKK (9,797,336) PURCHASE 1,780 USD 1,368,359,703 29/09/2017 DKK (4,586,110) Note 11 - Repos and Reverse Repos SALE (2,000) USD (1,759,857,810) 20/09/2017 DKK 20,388,040 DKK 6,004,594 Danske Invest Hedge Fixed Income Strategies Fund As at 30 June 2017, Danske Invest Hedge Fixed Income Strategies Fund was committed in respect of the following amounts: Currency Reverse Repo Description of underlying securities Commitment (DKK) Maturity Date CAD 50,000,000 CANADA 0,75% ,064,064 12/07/2017 CAD 3,000,000 CANADA 0,75% ,063,844 12/07/2017 CAD 50,000,000 CND GVT 0,5% ,651,028 11/07/2017 CAD 3,200,000 CND GVT 0,5% ,657,666 11/07/2017 CAD 50,000,000 CND GVT 0,75% ,599,447 11/07/2017 CAD 5,400,000 CND GVT 0,75% ,848,740 11/07/2017 CAD 50,000,000 CND GVT 0,75% ,599,447 11/07/2017 DKK 250,000,000 DENMARK 0,5% ,500,000 13/07/2017 DKK 250,000,000 DENMARK 0,5% ,277,397 31/07/2017 DKK 250,000,000 DENMARK 1,75% ,760,274 03/07/2017 DKK 280,000,000 DENMARK 1,75% ,744,000 06/07/2017 DKK 250,000,000 DENMARK 1,75% ,750,000 14/07/2017 DKK 360,000,000 DENMARK 1,75% ,209,041 10/07/2017 DKK 500,000,000 DENMARK 1,75% ,345,890 10/07/2017 DKK 250,000,000 DENMARK 1,75% ,006,849 31/07/2017 EUR 59,900,000 NETHERLANDS 2,5% ,388,950 07/07/2017 SEK 500,000,000 SWEDEN 1% ,982,731 14/07/2017 SEK 53,000,000 SWEDEN 1% ,352,170 14/07/2017 SEK 500,000,000 SWEDEN 2,5% ,492,756 10/07/2017 5,169,294,294 Currency Repo Description of underlying securities Commitment (DKK) Maturity Date EUR (60,000,000) BRF 0,5% (428,527,272) 19/07/2017 NOK (150,000,000) BUSTADK FRN (114,214,145) 27/07/2017 NOK (59,000,000) BUSTADK FRN (46,035,010) 06/07/2017 NOK (100,000,000) BUSTADK FRN (76,523,632) 05/07/2017 NOK (100,000,000) BUSTADK FRN (75,560,038) 24/07/2017 NOK (150,000,000) BUSTADK FRN (113,485,738) 24/07/2017 NOK (350,000,000) BUSTADK FRN (266,839,594) 19/07/2017 CAD (50,000,000) CAN HOUSING 1,25% (248,113,062) 12/07/

87 Notes to the Unaudited Financial Statements (continued) Note 11 - Repos and Reverse Repos Currency (continued) Repo Description of underlying securities Commitment (DKK) Maturity Date CAD (50,000,000) CAN HOUSING 1,25% (248,113,062) 12/07/2017 CAD (50,000,000) CAN HOUSING 1,25% (248,113,062) 12/07/2017 CAD (50,000,000) CAN HOUSING 1,25% (244,958,351) 11/07/2017 CAD (50,000,000) CAN HOUSING 1,5% (246,831,461) 11/07/2017 CAD (50,000,000) CAN HOUSING 1,5% (246,831,461) 11/07/2017 CAD (50,000,000) CAN HOUSING 1,75% (249,172,847) 11/07/2017 CAD (50,000,000) CAN HOUSING 1,75% (249,172,847) 11/07/2017 NOK (300,000,000) DNB FRN (235,494,998) 06/07/2017 NOK (500,000,000) DNB FRN (380,391,374) 05/07/2017 NOK (500,000,000) DNB FRN (380,391,374) 05/07/2017 NOK (1,300,000,000) DNB FRN (1,009,973,450) 10/07/2017 NOK (200,000,000) DNB FRN (151,877,152) 25/07/2017 NOK (300,000,000) DSK BK FRN (229,756,903) 05/07/2017 NOK (370,000,000) DSK BK FRN (282,492,914) 25/07/2017 NOK (200,000,000) DSK BK FRN (156,697,921) 06/07/2017 NOK (100,000,000) DSK BK FRN (76,045,642) 24/07/2017 NOK (500,000,000) DSK BK FRN (380,228,211) 24/07/2017 NOK (251,000,000) DSK BK FRN (192,541,972) 25/07/2017 NOK (400,000,000) DSK BK FRN (307,803,235) 05/07/2017 NOK (385,000,000) DSK BK FRN (296,962,079) 25/07/2017 NOK (194,000,000) DSK BK FRN (147,716,960) 25/07/2017 NOK (194,000,000) DSK BK FRN (146,586,473) 28/07/2017 NOK (750,000,000) EIKA BOL 3,25% (598,707,632) 25/07/2017 NOK (200,000,000) EIKA BOL FRN (151,819,353) 13/07/2017 NOK (400,000,000) EIKA BOL FRN (300,686,217) 24/07/2017 NOK (250,000,000) EIKA BOL FRN (189,628,501) 19/07/2017 NOK (141,000,000) GJENSIDIGE FRN (107,224,355) 19/07/2017 NOK (200,000,000) GJENSIDIGE FRN (151,881,503) 05/07/2017 NOK (100,000,000) GJENSIDIGE FRN (75,462,917) 27/07/2017 NOK (500,000,000) GJENSIDIGE FRN (381,685,024) 28/07/2017 NOK (25,000,000) HELGELAND FRN (RBG) (18,890,009) 27/07/2017 NOK (150,000,000) KLP BOLIGKR FRN (115,787,503) 05/07/2017 NOK (288,000,000) KLP BOLIGKR FRN (219,570,866) 19/07/2017 NOK (300,000,000) KLP KOMM FRN (231,062,207) 05/07/2017 NOK (170,000,000) KLP KOMM FRN (130,935,779) 05/07/2017 SEK (500,000,000) LANSBK 2,25% (416,388,624) 27/07/2017 SEK (500,000,000) LANSBK 2,25% (416,388,624) 27/07/2017 SEK (500,000,000) LANSBK 2,25% (416,388,624) 27/07/2017 SEK (170,000,000) LANSBK 2,25% (141,572,132) 27/07/2017 SEK (500,000,000) LANSBK 2,25% (423,218,825) 24/07/2017 SEK (500,000,000) LANSBK 2,25% (423,218,825) 24/07/2017 NOK (200,000,000) MOREBO FRN (151,702,801) 27/07/2017 NOK (400,000,000) NDEA EIEN FRN (309,201,775) 05/07/2017 NOK (115,000,000) NDEA EIEN FRN (88,153,895) 05/07/2017 NOK (200,000,000) NDEA EIEN FRN (156,088,736) 06/07/2017 NOK (100,000,000) NDEA EIEN FRN (77,990,507) 14/07/2017 NOK (830,000,000) NDEA EIEN FRN (622,311,694) 27/07/2017 SEK (500,000,000) NORDEA HYP 1% (396,096,991) 03/07/2017 SEK (500,000,000) NORDEA HYP 1% (396,096,991) 03/07/2017 SEK (500,000,000) NORDEA HYP 1% (396,096,991) 03/07/2017 SEK (500,000,000) NORDEA HYP 1% (396,096,991) 03/07/2017 SEK (500,000,000) NORDEA HYP 1% (396,096,991) 03/07/2017 SEK (500,000,000) NORDEA HYP 1% (388,577,953) 14/07/2017 SEK (500,000,000) NORDEA HYP 1% (388,577,953) 14/07/2017 SEK (400,000,000) NORDEA HYP 1% (317,605,496) 03/07/2017 SEK (500,000,000) NORDEA HYP 1% (397,006,871) 03/07/2017 SEK (500,000,000) NORDEA HYP 1% (397,006,871) 03/07/

88 Notes to the Unaudited Financial Statements (continued) Note 11 - Repos and Reverse Repos Currency (continued) Repo Description of underlying securities Commitment (DKK) Maturity Date SEK (500,000,000) NORDEA HYP 1% (397,006,871) 03/07/2017 SEK (500,000,000) NORDEA HYP 1% (388,307,946) 25/07/2017 SEK (500,000,000) NORDEA HYP 1% (388,307,946) 25/07/2017 SEK (500,000,000) NORDEA HYP 1% (388,307,946) 25/07/2017 SEK (100,000,000) NORDEA HYP 1% (77,661,589) 25/07/2017 SEK (500,000,000) NORDEA HYP 1% (388,462,236) 27/07/2017 SEK (500,000,000) NORDEA HYP 1% (388,462,236) 27/07/2017 SEK (500,000,000) NORDEA HYP 1% (394,937,678) 24/07/2017 SEK (400,000,000) NORDEA HYP 1% (315,889,455) 17/07/2017 SEK (500,000,000) NORDEA HYP 1% (394,861,819) 17/07/2017 SEK (500,000,000) NORDEA HYP 1% (394,861,819) 17/07/2017 SEK (500,000,000) NORDEA HYP 1% (394,861,819) 17/07/2017 SEK (500,000,000) NORDEA HYP 1% (394,040,228) 31/07/2017 SEK (500,000,000) NORDEA HYP 1% (394,040,228) 31/07/2017 SEK (500,000,000) NORDEA HYP 1% (394,040,228) 31/07/2017 SEK (500,000,000) NORDEA HYP 1% (394,040,228) 31/07/2017 SEK (500,000,000) NORDEA HYP 1% (394,040,228) 31/07/2017 SEK (500,000,000) NORDEA HYP 1,25% (393,708,077) 07/07/2017 SEK (500,000,000) NORDEA HYP 1,25% (393,708,077) 07/07/2017 SEK (500,000,000) NORDEA HYP 1,25% (393,553,787) 12/07/2017 SEK (500,000,000) NORDEA HYP 1,25% (393,553,787) 12/07/2017 SEK (500,000,000) NORDEA HYP 1,25% (393,553,787) 12/07/2017 SEK (500,000,000) NORDEA HYP 1,25% (393,553,787) 12/07/2017 SEK (200,000,000) NORDEA HYP 1,25% (157,421,515) 12/07/2017 SEK (450,000,000) NORDEA HYP 1,25% (361,787,713) 03/07/2017 SEK (500,000,000) NORDEA HYP 1,25% (401,986,348) 03/07/2017 SEK (500,000,000) NORDEA HYP 1,25% (401,986,348) 03/07/2017 SEK (500,000,000) NORDEA HYP 1,25% (401,400,798) 14/07/2017 SEK (450,000,000) NORDEA HYP 1,25% (360,651,179) 17/07/2017 SEK (500,000,000) NORDEA HYP 1,25% (400,723,532) 17/07/2017 SEK (500,000,000) NORDEA HYP 1,25% (400,723,532) 17/07/2017 SEK (150,000,000) NYKREDIT FRN (117,031,095) 03/07/2017 SEK (500,000,000) NYKREDIT FRN (390,103,650) 03/07/2017 SEK (500,000,000) NYKREDIT FRN (389,967,843) 31/07/2017 SEK (150,000,000) NYKREDIT FRN (116,990,353) 31/07/2017 SEK (200,000,000) NYKREDIT FRN (156,424,098) 03/07/2017 SEK (500,000,000) NYKREDIT FRN (391,060,245) 03/07/2017 SEK (200,000,000) NYKREDIT FRN (156,499,378) 31/07/2017 SEK (500,000,000) NYKREDIT FRN (391,248,446) 31/07/2017 SEK (350,000,000) NYKREDIT FRN (273,742,171) 03/07/2017 SEK (500,000,000) NYKREDIT FRN (391,060,245) 03/07/2017 SEK (500,000,000) NYKREDIT FRN (391,024,726) 31/07/2017 SEK (350,000,000) NYKREDIT FRN (273,717,308) 31/07/2017 NOK (333,000,000) OBOS BOLIGK FRN (252,908,576) 24/07/2017 NOK (150,000,000) REALKRDT FRN (117,776,829) 11/07/2017 NOK (298,360,000) REALKRDT FRN (227,179,548) 27/07/2017 SEK (300,000,000) REALKRDT FRN (233,888,518) 03/07/2017 SEK (400,000,000) REALKRDT FRN (311,126,435) 03/07/2017 SEK (400,000,000) REALKRDT FRN (310,953,494) 17/07/2017 SEK (300,000,000) REALKRDT FRN (233,730,061) 31/07/2017 SEK (500,000,000) SCBC 1,25% (400,288,093) 03/07/2017 SEK (500,000,000) SCBC 1,25% (400,288,093) 03/07/2017 SEK (127,000,000) SCBC 1,25% (101,673,176) 03/07/2017 SEK (500,000,000) SCBC 1,25% (391,663,742) 27/07/2017 SEK (500,000,000) SCBC 1,25% (397,964,537) 17/07/2017 SEK (500,000,000) SCBC 1,25% (397,964,537) 17/07/2017 SEK (127,000,000) SCBC 1,25% (101,082,992) 17/07/

89 Notes to the Unaudited Financial Statements (continued) Note 11 - Repos and Reverse Repos Currency (continued) Repo Description of underlying securities Commitment (DKK) Maturity Date SEK (500,000,000) SEB 1,5% (399,378,214) 20/07/2017 SEK (500,000,000) SEB 1,5% (399,378,214) 20/07/2017 SEK (500,000,000) SEB 1,5% (399,378,214) 20/07/2017 SEK (200,000,000) SEB 1,5% (159,751,285) 20/07/2017 SEK (500,000,000) SEB 1,5% (407,565,197) 14/07/2017 SEK (250,000,000) SEB 1,5% (203,782,598) 14/07/2017 NOK (126,000,000) SKAN BOLIG FRN (98,346,972) 11/07/2017 NOK (200,000,000) SKAN BOLIG FRN (151,314,317) 28/07/2017 NOK (136,000,000) SKAN BOLIG FRN (103,289,989) 05/07/2017 NOK (200,000,000) SKAN BOLIG FRN (151,674,985) 25/07/2017 NOK (125,000,000) SKAN BOLIG FRN (94,085,844) 27/07/2017 NOK (180,000,000) SKAN BOLIG FRN (135,483,615) 28/07/2017 NOK (100,000,000) SKAN BOLIG FRN (76,045,642) 19/07/2017 NOK (150,000,000) SKAN BOLIG FRN (117,688,935) 11/07/2017 NOK (250,000,000) SKAN BOLIG FRN (195,849,870) 14/07/2017 NOK (175,000,000) SKAN BOLIG FRN (137,056,958) 07/07/2017 NOK (186,000,000) SKAN BOLIG FRN (141,806,184) 24/07/2017 NOK (500,000,000) SKAN BOLIG FRN (392,292,350) 11/07/2017 NOK (550,000,000) SPAR SOR FRN (416,648,537) 19/07/2017 NOK (60,000,000) SPAR SOR FRN (46,769,993) 06/07/2017 NOK (235,000,000) SPAR SOR FRN (180,304,897) 05/07/2017 NOK (250,000,000) SPAREBANKEN FRN (194,066,925) 05/07/2017 NOK (100,000,000) SPAREBANKEN FRN (78,972,498) 11/07/2017 NOK (200,000,000) SPAREBANKEN FRN (151,897,043) 27/07/2017 NOK (400,000,000) SPAREBK 1 4,35% (320,110,391) 27/07/2017 NOK (431,000,000) SPBK BOLIKR FRN (338,948,444) 11/07/2017 NOK (250,000,000) SPBK BOLIKR FRN (190,261,729) 05/07/2017 NOK (155,000,000) SPBK BOLIKR FRN (120,035,673) 06/07/2017 NOK (265,000,000) SPBK BOLIKR FRN (205,328,202) 10/07/2017 NOK (888,000,000) SPBK BOLIKR FRN (667,523,402) 27/07/2017 NOK (370,000,000) SPBK BOLIKR FRN (286,156,691) 14/07/2017 NOK (250,000,000) SR-BOLIG FRN (188,900,094) 27/07/2017 NOK (776,000,000) STADSHYPO FRN (604,678,204) 03/07/2017 NOK (776,000,000) STADSHYPO FRN (604,920,045) 10/07/2017 NOK (1,000,000,000) STADSHYPO FRN (791,594,884) 03/07/2017 NOK (1,000,000,000) STADSHYPO FRN (793,379,102) 10/07/2017 NOK (1,000,000,000) STADSHYPO FRN (789,111,827) 06/07/2017 NOK (465,000,000) STOREBRAND FRN (350,450,952) 27/07/2017 NOK (300,000,000) STOREBRAND FRN (230,467,827) 28/07/2017 NOK (400,000,000) STOREBRAND FRN (310,888,726) 14/07/2017 NOK (80,000,000) STOREBRAND FRN (61,098,507) 25/07/2017 SEK (500,000,000) SWEDBK 1% (387,652,216) 07/07/2017 SEK (500,000,000) SWEDBK 1% (379,773,169) 07/07/2017 SEK (500,000,000) SWEDBK 1% (395,725,840) 03/07/2017 SEK (500,000,000) SWEDBK 1% (395,725,840) 03/07/2017 SEK (500,000,000) SWEDBK 1% (386,610,762) 20/07/2017 SEK (500,000,000) SWEDBK 1% (386,610,762) 20/07/2017 SEK (500,000,000) SWEDBK 1% (386,610,762) 20/07/2017 SEK (500,000,000) SWEDBK 1% (386,610,762) 20/07/2017 SEK (500,000,000) SWEDBK 1% (386,610,762) 20/07/2017 SEK (500,000,000) SWEDBK 1% (387,189,348) 27/07/2017 SEK (250,000,000) SWEDBK 1% (193,594,674) 27/07/2017 SEK (337,000,000) SWEDBK 1% (265,857,534) 14/07/2017 SEK (500,000,000) SWEDBK 1% (393,515,215) 17/07/2017 SEK (500,000,000) SWEDBK 1% (393,515,215) 17/07/2017 NOK (295,000,000) SWEDBK FRN (225,371,798) 05/07/2017 SEK (500,000,000) SWEDEN 0,75% (382,252,086) 14/07/

90 Notes to the Unaudited Financial Statements (continued) Note 11 - Repos and Reverse Repos Currency (continued) Repo Description of underlying securities Commitment (DKK) Maturity Date GBP (53,790,000) UK 4,25% (615,810,417) 07/07/2017 GBP (26,800,000) UK 4,25% (335,260,968) 05/07/2017 GBP (26,600,000) UK 4,25% (332,759,021) 05/07/2017 USD (50,000,000) USA 2,25% /TBO (324,325,381) 05/07/2017 USD (50,000,000) USA 2,25% /TBO (324,325,381) 05/07/2017 USD (20,000,000) USA 2,25% /TBO (129,734,227) 05/07/2017 (55,992,606,339) Danske Invest Hedge Fixed Income Relative Value Fund As at 30 June 2017, Danske Invest Hedge Fixed Income Relative Value Fund was committed in respect of the following amounts: Currency Reverse Repo Description of underlying securities Commitment (DKK) Maturity Date EUR 10,000, BELGIUM 1% ,701,654 10/07/2017 DKK 250,000, DENMARK 0,5% ,388,699 10/07/2017 DKK 750,000, DENMARK 1,75% ,250,000 11/07/2017 EUR 30,000, NETHERLANDS 2,5% ,572,402 07/07/2017 SEK 1,106,000, SWEDEN 1% ,670,065 14/07/2017 SEK 250,000, SWEDEN 2,5% ,732,177 07/07/2017 2,595,314,997 Currency Repo Description of underlying securities Commitment (DKK) Maturity Date NOK (260,000,000.00) AKERSHUS FY FRN (198,459,647) 25/07/2017 NOK (300,000,000.00) ALESUND KOM FRN (226,971,476) 27/07/2017 NOK (150,000,000.00) ALESUND KOM FRN (113,485,738) 28/07/2017 NOK (330,000,000.00) BUSTADK FRN (252,059,771) 25/07/2017 NOK (90,000,000.00) BUSTADK FRN (70,222,896) 06/07/2017 NOK (125,000,000.00) BUSTADK FRN (97,325,472) 06/07/2017 NOK (61,000,000.00) DNB FRN (47,883,983) 06/07/2017 NOK (487,000,000.00) DNB FRN (376,781,350) 06/07/2017 NOK (200,000,000.00) DRAMMEN 1 (152,091,284) 24/07/2017 NOK (130,000,000.00) EIKA BOL FRN (99,783,234) 25/07/2017 NOK (100,000,000.00) GJENSIDIGE FRN (75,948,521) 24/07/2017 NOK (178,000,000.00) GJENSIDIGE FRN (134,754,043) 05/07/2017 NOK (200,000,000.00) HELGELAND FRN (151,702,801) 24/07/2017 NOK (177,000,000.00) HORDALAND FRN (135,180,997) 25/07/2017 EUR (10,000,000.00) IRELAND 1% (70,789,100) 10/07/2017 NOK (200,000,000.00) KLP BOLIGKR FRN (152,091,284) 19/07/2017 NOK (50,000,000.00) KLP BOLIGKR FRN (38,595,834) 05/07/2017 NOK (130,000,000.00) KLP KOMM FRN (100,126,956) 05/07/2017 NOK (100,000,000.00) MOREBO FRN (75,948,521) 19/07/2017 NOK (285,000,000.00) MOREBO FRN (219,153,138) 06/07/2017 NOK (72,000,000.00) NAERINGKDT FRN (55,415,771) 05/07/2017 NOK (150,000,000.00) NDEA EIEN FRN (117,066,552) 06/07/2017 NOK (55,000,000.00) NDEA EIEN FRN (42,529,334) 06/07/2017 NOK (150,000,000.00) OBOS BOLIGK FRN (113,922,782) 24/07/2017 NOK (200,000,000.00) SKAN BOLIG FRN (153,765,044) 06/07/2017 NOK (245,000,000.00) SKAN BOLIG FRN (187,244,966) 06/07/2017 NOK (250,000,000.00) SKIEN KO 1,625% (189,871,303) 28/07/2017 NOK (200,000,000.00) SOR-TRONDEL FRN (150,925,834) 27/07/2017 NOK (300,000,000.00) SOR-TRONDEL FRN (226,388,751) 28/07/2017 NOK (228,000,000.00) SPAR SOR FRN (173,162,629) 24/07/2017 NOK (100,000,000.00) SPAR SOR FRN (75,754,280) 24/07/2017 NOK (125,000,000.00) SPAR SOR FRN (95,178,454) 28/07/

91 Notes to the Unaudited Financial Statements (continued) Note 11 - Repos and Reverse Repos Currency (continued) Repo Description of underlying securities Commitment (DKK) Maturity Date NOK (150,000,000.00) SPAREBANKEN FRN (113,631,419) 24/07/2017 NOK (200,000,000.00) SPBK BOLIKR FRN (152,285,526) 24/07/2017 NOK (50,000,000.00) SPBK BOLIKR FRN (37,585,777) 27/07/2017 NOK (250,000,000.00) SPBK VEST FRN (190,842,512) 27/07/2017 NOK (250,000,000.00) SPBK VEST FRN (191,677,751) 05/07/2017 NOK (210,000,000.00) SR-BOLIG FRN (160,181,095) 25/07/2017 NOK (130,000,000.00) SR-BOLIG FRN (98,228,049) 24/07/2017 NOK (100,000,000.00) SSB BOLIGKR FRN (75,171,554) 19/07/2017 NOK (250,000,000.00) STADT OSLO 1,3% CD (190,356,908) 28/07/2017 NOK (150,000,000.00) STADT OSLO 1,3% CD (114,068,463) 28/07/2017 NOK (345,000,000.00) STADT OSLO 4,35% (278,105,615) 19/07/2017 NOK (443,000,000.00) STADT OSLO 4,9% (377,013,526) 06/07/2017 NOK (150,000,000.00) STADT OSLO FRN (113,048,694) 24/07/2017 NOK (145,000,000.00) STAVANGER STAVANGER 1,38% (109,702,880) 28/07/2017 NOK (50,000,000.00) STOREBRAND FRN (37,682,898) 19/07/2017 NOK (130,000,000.00) STOREBRAND FRN (102,642,111) 06/07/2017 NOK (225,000,000.00) STOREBRAND FRN (170,665,651) 24/07/2017 SEK (1,000,000,000.00) SWEDEN 0,75% (764,503,194) 14/07/2017 GBP (26,150,000.00) UK 4,25% (300,327,099) 07/07/2017 GBP (14,250,000.00) UK 4,25% (174,239,285) 07/07/2017 USD (60,000,000.00) USA 2,25% /TBO (394,013,698) 06/07/2017 (8,516,555,451) Danske Invest Hedge Mortgage Arbitrage Fund As at 30 June 2017, Danske Invest Hedge Mortgage Arbitrage Fund was committed in respect of the following amounts: Currency Reverse Repo Description of underlying securities Commitment (DKK) Maturity Date DKK 194,724, REALKRDT 2% ,809,299 18/07/ ,809,299 Currency Repo Description of underlying securities Commitment (DKK) Maturity Date DKK (250,000,000.00) BRF 1% (253,104,795) 16/08/2017 DKK (654,993,742.89) NYKREDIT FRN (649,229,798) 16/08/2017 DKK (1,000,000,000.00) REALKRDT 1% (1,024,742,466) 16/08/2017 DKK (1,250,000,000.00) REALKRDT 1% (1,299,914,041) 03/07/2017 DKK (2,250,000,000.00) REALKRDT 1% (2,333,476,369) 16/08/2017 (5,560,467,469) Note 12 - Controlling Party In the opinion of the Directors there is no controlling party as no one party has the ability to direct the financial and operating policies of the Company with a view to gaining economic benefits from their direction. Note 13 - Distribution Policy It is not the present intention of the Directors that the cells will pay dividends. Income from each Fund is accumulated and reflected in the Net Asset Value of the Cell. 91

92 Notes to the Unaudited Financial Statements (continued) Note 14 - Orderly Wind Up of Danske Invest Leveraged Balanced Fund Status The Board of Directors of Danske Invest PCC Limited resolved to close the Cell Danske Invest Leveraged Balanced Fund on 15 December 2008 and is in the process of an orderly wind up. Following the announcement of the fraud committed by Bernard L. Madoff Investment Securities LLC, the security Fairfield Sigma Fund which appointed Fairfield Greenwich (Bermuda) Limited as investment manager, which appointed Bernard L. Madoff Investment Securities LLC as trade-execution agent has been valued at EUR Nil by the Board of Directors of Danske Invest PCC Limited through a circular resolution dated 15 December A claim has been filed with the Fairfield liquidator in November 2009 and the liquidation is still pending. In order to be able to wind down the Danske Invest Leveraged Balanced Fund as planned this position needs to be sold. The options to sell the position was explored, but the level of the offers to sell the position was considered to be too low. It has been decided to maintain the position until completion of the Fairfield liquidation. The directors have decided to make a distribution of 99.5% of the Fund s assets to the Shareholders of the Fund by way of compulsory redemption, leaving only Fairfield Sigma Limited position as well as enough money to cover ongoing expenses. The distribution was made on 18 May 2017, however, the sale of the final position in Fairfield Sigma Limited is anticipated to take some considerable time. Note 15 - Significant Events During the Period Danske Invest European Equities Absolute Fund (liquidated as at 22 May 2017) On 5 May 2017 a letter was sent to shareholders advising that the directors have resolved to effect a compulsory redemption of participating shares of the cell. The Cell has seen significant redemptions and the directors consider that it has now reached a size whereby it is no longer cost effective and in the best interests of the Company, Cell and the Shareholders to close the cell. A full redemption of shares took place on 22 May 2017 and the Cell is now closed. The Guernsey Financial Services Commission have been notified and the Cells authorisation has been revoked. Note 16 - Post Balance Sheet event note Danske Invest Quant FI/FX Fund (full redemption ) Due to a full redemption paid out at NAV dated 30 June 2017, this Cell is now dormant. 92

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