FONDS COMMUN DE PLACEMENT AUDITED ANNUAL REPORT 31 DECEMBER 2014 Subscriptions are only valid if made on the basis of the current prospectus accompanied by the latest annual report and the latest semi-annual report if published after the annual report
TABLE OF CONTENTS GENERAL INFORMATION Management and Administration 3 Board of Directors of the Management Company 3 INVESTMENT MANAGER'S REPORTS 4-6 AUDIT REPORT 7-8 FINANCIAL STATEMENTS Statement of Net Assets 9-10 Net Asset Value per Unit 9-10 Statement of Operations and Changes in Net Assets 11-12 Dividend Paid to Unitholders 11-12 Statement of Changes in Number of Units Outstanding 13-14 Financial Details Relating to the Last 3 Years 15-16 SECURITIES PORTFOLIOS Carnegie Fund II - Fund of Funds International 17 Carnegie Fund II - Private Equity I Sub-Fund 18 Carnegie Fund II - Private Equity II Sub-Fund 19 NOTES TO THE FINANCIAL STATEMENTS 20-24 2
MANAGEMENT AND ADMINISTRATION ALTERNATIVE INVESTMENT FUND MANAGER INVESTMENT MANAGERS Carnegie Fund Services S.A. Carnegie Investment Bank AB Centre Europe Regeringsgatan 56 5, Place de la Gare S-103 38 Stockholm, Sweden L- 1616 Luxembourg CUSTODIAN BANK LEGAL ADVISORS Banque Carnegie Luxembourg S.A. Bonn & Schmitt Centre Europe 22-24, rives de Clausen 5, Place de la Gare L-2165 Luxembourg L-1616 Luxembourg CENTRAL ADMINISTRATION AGENT INDEPENDENT AUDITOR Carnegie Fund Services S.A. KPMG Luxembourg, Société coopérative Centre Europe 39, avenue JF Kennedy 5, Place de la Gare L-1855 Luxembourg L-1616 Luxembourg CHAIRMAN : BOARD OF DIRECTORS OF THE MANAGEMENT COMPANY Karin Birgitta SODERQVIST Head of Private Banking Carnegie Investment Bank AB, Stockholm DIRECTORS : Brian Daniel CORDISCHI CIO & head of Investment Strategy Carnegie Investment Bank AB, Stockholm Asa Christine SUNDBERG Legal Counsel Carnegie Investment Bank AB, Stockholm Stephan KARLSTEDT General Manager Carnegie Fund Services S.A. 3
INVESTMENT MANAGER'S REPORTS CARNEGIE FUND II - BIOTECHNOLOGY SUB-FUND PERFORMANCE During the year and until 12 December 2014 (effective date of the contribution in kind), the net asset value per unit increased from EUR 20.77 to EUR 30.10, and the return was 44.92%. The total net assets increased during the year from EUR 22.56 million to EUR 27.33 million as at 11 December 2014. Net redemptions of units were EUR 3.99 million. INVESTMENT STRATEGY The Biotechnology Sub-Fund s investments mainly focus on investments in equities of companies in the biotechnology/bioscience area, including companies with activities in the areas of drug delivery, drug discovery, therapeutics, enabling technologies and diagnostics. CARNEGIE FUND II - FUND OF FUNDS INTERNATIONAL PERFORMANCE Class 1A Units: During the year, the net asset value per unit increased from USD 16.74 to USD 17.15, and the return was 2.45%. The total net assets increased during the year from USD 162.69 million to USD 171.69 million. Class 1B Units: During the year, the net asset value per unit decreased from USD 14.32 to USD 13.93. The total net assets decreased during the year from USD 41.02 million to USD 38.58 million. Unitholders received a dividend of USD 0.75 per unit. The total increase of the unit class was thus 2.51%, after the distribution. Total net assets for all classes of units increased during the year from USD 203.71 million to USD 210.27 million. Net subscriptions of units were USD 3.83 million. INVESTMENT STRATEGY The objective of the Sub-Fund is to achieve long term capital growth by investing mainly in a portfolio of carefully selected equity investment funds, including investment funds of the Carnegie Group. The Sub-Fund may invest, on an ancillary basis in transferable securities such as, but not limited to, global equities, debt securities and liquid assets within the investment limitations set out in the prospectus, denominated in any international currency and issued by issuers in developed countries. However, these ancillary investments will never in themselves constitute the main investment objective of the Sub-Fund. The information in this report represents historical data and is not an indication of future results 4
INVESTMENT MANAGER'S REPORTS CARNEGIE FUND II - PRIVATE EQUITY I SUB-FUND PERFORMANCE During the year, the net asset value per unit increased from EUR 81.23 to EUR 100.35, representing a return of 23.54%. The total net assets increased during the year from EUR 15.18 million to EUR 16.00 million. Net redemptions of units were EUR 2.70 million. INVESTMENT STRATEGY The objective of the Sub-Fund is to achieve capital growth through investments in EQT V (N 1) Limited Partnership (the EQT Fund ), by way of contributing capital to the EQT Fund as a limited partner, pursuant to and in accordance with the terms and conditions of a limited partnership agreement between, inter alia, the general partner of the EQT Fund, the Sub-Fund and certain other limited partners (the Investment ). The EQT Fund will make controlling equity and equity-related investments in medium to large sized companies primarily based in or connected to Northern Europe. The Sub-Fund will make no investments other than the Investment provided that the Sub-Fund shall be entitled to, as part of its liquidity management, make investments in governmental bonds or similar financial instruments of a risk free nature, which shall be included in the definition Investment as used herein. CARNEGIE FUND II - PRIVATE EQUITY II SUB-FUND PERFORMANCE During the year, the net asset value per unit increased from EUR 96.23 to EUR 106.04, representing a return of 10.19%. Total Net Assets increased during the year from EUR 13.82 million to EUR 15.64 million. Net subscription of units were EUR 0.40 million. INVESTMENT STRATEGY The objective of the Sub-Fund is to achieve capital growth through investment in EQT Infrastructure (N 1) Limited Partnership, by way of contributing capital to EQT Infrastructure Fund ( EQT Infrastructure ) as a limited partner and thereby gaining partnership interest in EQT Infrastructure, pursuant to and in accordance with the terms and conditions of a limited partnership agreement between, inter alia, the general partner of EQT Infrastructure, the Sub- Fund and certain other limited partners (the Investment ). EQT Infrastructure will seek to make controlling and co-controlling equity and equity-related investments in infrastructure and infrastructure related assets and businesses which demonstrate established and/or strong prospects for a positive cash flow profile. The intention of EQT Infrastructure is to invest a majority of the total commitments in investments which are primarily connected to, or which have their principal assets located in Northern Europe and Eastern Europe. The Sub-Fund will make no investments other than the Investment provided that the Sub-Fund shall be entitled to, as part of its liquidity management, make investments in governmental bonds or similar financial instruments of a risk free nature, which shall be included in the definition Investment as used herein. The information in this report represents historical data and is not an indication of future results 5
INVESTMENT MANAGER'S REPORTS CARNEGIE FUND II - SWEDISH LARGE CAP SUB-FUND PERFORMANCE Class 1A Units: During the year and until 12 December 2014 (effective date of the contribution in kind), the net asset value per unit increased from SEK 143.54 to SEK 165.11, and the return was 15.03%. Total Net Assets decreased during the year from SEK 106 million to SEK 104.23 million as at 11 December 2014. Net redemptions of units were SEK 16.16 million. INVESTMENT STRATEGY The Sub-Fund aims to achieve long-term capital growth through a dynamic and analytical strategy. The Sub-Fund will focus on investing in shares, subscription rights and depository receipts listed in Sweden. The Sub-Fund may invest up to 10% of its net assets in shares, subscription rights and depository receipts listed in Denmark, Finland or Norway. The Sub-Fund shall invest at least 50% of its net assets in mid cap and large cap companies of which the market cap of the company at the time of the investment exceeds 1% of the total Swedish regulated markets. CARNEGIE FUND II - SWEDISH SMALL CAP SUB-FUND PERFORMANCE Class 1A Units: During the year and until 12 December 2014 (effective date of the contribution in kind), the net asset value per unit increased from SEK 162.17 to SEK 194.57, and the return was 19.98%. Total Net Assets decreased during the year from SEK 318.41 million to SEK 275.34 million as at 11December 2014. Class 5B Units: Units were issued for the first time on January 20, 2014. During the period and until 12 December 2014 (effective date of the contribution in kind), the net asset value per unit increased from SEK 167.09 to SEK 194.66 and the return was 16.50%. Total net assets as at 11 December 2014 were SEK 8.55 million. Total net assets for all classes of units decreased during the year from SEK 318.41 million to SEK 283.90 million as at 11 December 2014. Net redemptions of units were SEK 92.71 million. INVESTMENT STRATEGY The Sub-Fund aims to achieve long-term capital growth through a dynamic and analytical strategy. The Sub-Fund will focus on investing in shares, subscription rights and depository receipts listed in Sweden. The Sub-Fund may invest up to 10% of its net assets in shares, subscription rights and depository receipts listed in Denmark, Finland or Norway. Investments will be made in small cap and mid cap companies of which the market cap of the company at the time of the investment does not exceed 1% of the total Swedish regulated markets. The remuneration policy statement is available upon request submitted to the registered office of the AIFM. Luxembourg, 30 June, 2015 The information in this report represents historical data and is not an indication of future results 6
STATEMENT OF NET ASSETS AS AT 31 DECEMBER 2014 FUND OF FUNDS PRIVATE PRIVATE COMBINED INTERNATIONAL EQUITY I EQUITY II SUB-FUND SUB-FUND (SEK) (USD) (EUR) (EUR) ASSETS Investments at market value (Note 2.1) 1,883,943,692.26 204,628,699.43 15,607,386.97 15,388,941.82 Cash at banks 60,027,095.68 5,366,785.18 1,572,961.76 366,056.37 Dividends receivable (Note 2.4) 253,394.45 32,576.33 0.00 0.00 Receivable on subscriptions 6,085,213.39 395,411.26 0.00 319,200.00 Unrealised gain on foreign exchange (Note 2.3) 810.91 104.25 0.00 0.00 Unrealised gain on forward foreign exchange contracts (Notes 2.1 & 5) 1,227.21 157.77 0.00 0.00 Other receivables 66,742.09 0.00 7,065.14 13.77 Total Assets 1,950,378,175.99 210,423,734.22 17,187,413.87 16,074,211.96 LIABILITIES Bank overdraft (Note 6) (347,073.38) (44,619.67) 0.00 0.00 Brokers payable (244,105.29) 0.00 0.00 (25,890.70) Subscription tax payable ("Taxe d'abonnement") (Note 4) (179,089.45) (18,190.69) (2,016.25) (1,971.05) Payable on redemptions (673,500.01) (86,585.00) 0.00 0.00 Unrealised loss on foreigin exchange (Note 2.3) (7,171.61) (921.98) Performance fee payable (Note 9) (15,060,432.01) 0.00 (1,188,883.34) (408,481.20) Total Liabilities (16,511,371.75) (150,317.34) (1,190,899.59) (436,342.95) NET ASSETS AT THE END OF THE YEAR 1,933,866,804.24 210,273,416.88 15,996,514.28 15,637,869.01 NET ASSET VALUE PER UNIT AS AT 31 DECEMBER 2014 FUND OF FUNDS PRIVATE PRIVATE INTERNATIONAL EQUITY I EQUITY II SUB-FUND SUB-FUND (USD) (EUR) (EUR) Net Asset Value 210,273,416.88 15,996,514.28 15,637,869.01 Net Asset Value per unit - Class 1A 17.15 100.35 106.04 Net Asset Value per unit - Class 1B 13.93 The accompanying notes form an integral part of this annual report 9
STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS FOR THE YEAR ENDED 31 DECEMBER 2014 COMBINED BIOTECHNOLOGY FUND OF FUNDS SUB-FUND INTERNATIONAL (SEK) (EUR) (USD) INCOME Dividends, net (Note 2.4) 24,211,515.01 5,235.35 1,340,207.55 Bank interest (Note 2.4) 475.09 0.00 0.00 Other Income 0.00 0.00 0.00 Total Income 24,211,990.10 5,235.35 1,340,207.55 EXPENSES Management fee (Note 8) (14,029,028.49) (253,401.92) (527,370.46) Performance fee (Note 9) (24,676,153.45) (2,214,987.69) 0.00 Taxe d abonnement (Note 4) (1,162,920.20) (11,541.47) (87,804.48) Bank and interest expenses (Note 2.4) (113,378.96) (5,237.03) (8,158.31) Total Expenses (39,981,481.10) (2,485,168.11) (623,333.25) Net investment gains/(losses) (15,769,491.01) (2,479,932.76) 716,874.30 Gains on investments (Note 2.2) 458,988,260.57 9,924,442.81 37,155,855.91 (Losses) on investments (Note 2.2) (30,523,886.06) (1,069,161.96) (1,147,147.87) Gains on forward foreign exchange (Note 2.1 and 2.3) 14,625,103.45 1,439,137.89 (Losses) on forward foreign exchange (Note 2.1 and 2.3) (64,894,937.74) 0.00 (7,931,317.87) Net realised gains/(losses) for the year 362,425,049.21 7,814,485.98 28,794,264.47 Change in net unrealised appreciation/(depreciation) on investments (Note 2.1) (123,926,752.97) 941,315.84 (24,061,847.29) Change in net unrealised appreciation/(depreciation) on foreign exchange (Note 2.3) (6,360.70) 0.00 (817.73) Change in net unrealised appreciation/(depreciation) on forward foreign exchange contracts (Note 5) (7,164.68) 0.00 (921.09) Result of operations for the year 238,484,770.86 8,755,801.82 4,730,678.36 Subscriptions 864,466,375.76 331,448.73 65,913,527.20 Redemptions (1,648,717,242.98) (31,651,933.08) (62,086,039.35) Dividend Paid (15,551,527.40) 0.00 (1,999,300.63) Increase/(decrease) in net assets (561,317,623.77) (22,564,682.53) 6,558,865.58 Net assets at the beginning of the year (i) 2,495,184,428.02 22,564,682.53 203,714,551.30 NET ASSETS AT THE END OF THE YEAR 1,933,866,804.25 0.00 210,273,416.88 (i) (ii) Notes: (i) Net assets at the beginning of the year were translated at the exchange rate ruling as at 31 December 2014. The same net assets when translated at EUR = SEK 8.8631, and USD = SEK 6.4346595 (the exchange rates ruling as at 31 December 2013) reflect a figure of SEK 2,192,282,964.79 (ii) As mentioned in note 1, these three Sub-Funds have been contributed to Carnegie Fund with effective date 12 December 2014. DIVIDEND PAID TO UNITHOLDERS FOR THE YEAR ENDED 31 DECEMBER 2014 BIOTECHNOLOGY SUB-FUND FUND OF FUNDS INTERNATIONAL (EUR) (USD) Class 1B - Dividend per Unit - 0.75 Class 1B - Ex-Date - 03/12/14 The accompanying notes form an integral part of this annual report 10
STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS FOR THE YEAR ENDED 31 DECEMBER 2014 PRIVATE PRIVATE SWEDISH SWEDISH EQUITY I EQUITY II LARGE CAP SMALL CAP SUB-FUND SUB-FUND SUB-FUND SUB-FUND (EUR) (EUR) (SEK) (ii) (SEK) (ii) INCOME Dividends, net (Note 2.4) 0.00 0.00 3,346,325.85 10,391,046.10 Bank interest (Note 2.4) 50.39 0.00 0.00 0.00 Other Income 0.00 0.00 0.00 0.00 Total Income 50.39 0.00 3,346,325.85 10,391,046.10 EXPENSES Management fee (Note 8) 0.00 0.00 (1,542,409.73) (5,995,326.91) Performance fee (Note 9) (291,163.12) (111,092.34) 0.00 0.00 Taxe d abonnement (Note 4) (8,323.73) (7,419.78) (49,008.18) (173,675.33) Bank and interest expenses (Note 2.4) 0.00 0.00 (109.16) (434.22) Total Expenses (299,486.85) (118,512.12) (1,591,527.07) (6,169,436.46) Net investment gains/(losses) (299,436.46) (118,512.12) 1,754,798.78 4,221,609.64 Gains on investments (Note 2.2) 726,835.42 0.00 8,739,551.37 60,809,042.93 (Losses) on investments (Note 2.2) 0.00 (1,108,875.12) (10,411,560.26) Gains on forward foreign exchange (Note 2.1 and 2.3) 112,054.11 (Losses) on forward foreign exchange (Note 2.1 and 2.3) (338,767.21) 0.00 (1,566.71) (5,745.24) Net realised gains/(losses) for the year 88,631.75 (6,458.01) 9,383,908.32 54,613,347.07 Change in net unrealised appreciation/(depreciation) on investments (Note 2.1) 3,424,236.57 1,431,783.30 5,005,521.04 3,573,393.44 Change in net unrealised appreciation/(depreciation) on foreign exchange (Note 2.3) 0.00 0.00 0.00 0.00 Change in net unrealised appreciation/(depreciation) on forward foreign exchange contracts (Note 5) 0.00 0.00 0.00 0.00 Result of operations for the year 3,512,868.32 1,425,325.29 14,389,429.36 58,186,740.51 Subscriptions 0.00 395,200.00 11,724,320.72 333,183,694.60 Redemptions (2,700,000.00) 0.00 (132,118,298.80) (709,783,369.01) Dividend Paid 0.00 0.00 0.00 0.00 Increase/(decrease) in net assets 812,868.32 1,820,525.29 (106,004,548.72) (318,412,933.90) Net assets at the beginning of the year (i) 15,183,645.96 13,817,343.72 106,004,548.72 318,412,933.90 NET ASSETS AT THE END OF THE YEAR 15,996,514.28 15,637,869.01 0.00 0.00 Notes: (ii) As mentioned in note 1, these three Sub-Funds have been contributed to Carnegie Fund with effective date 12 December 2014. DIVIDEND PAID TO UNITHOLDERS FOR THE YEAR ENDED 31 DECEMBER 2014 PRIVATE PRIVATE SWEDISH SWEDISH EQUITY I EQUITY II LARGE CAP SMALL CAP SUB-FUND SUB-FUND SUB-FUND SUB-FUND (EUR) (EUR) (SEK) (SEK) Class 1B - Dividend per Unit - - - - Class 1B - Ex-Date - - - - The accompanying notes form an integral part of this annual report 11
STATEMENT OF CHANGES IN NUMBER OF UNITS OUTSTANDING FOR THE YEAR ENDED 31 DECEMBER 2014 BIOTECHNOLOGY FUND OF FUNDS PRIVATE SUB-FUND INTERNATIONAL EQUITY I SUB-FUND Class 1A Units outstanding at December 31, 2013 1,086,381.3952 9,720,358.3415 186,926.1178 Units issued 13,202.0362 2,902,226.1849 0.0000 Units redeemed (191,607.8753) (2,612,093.5138) (27,522.9358) Units contributed to Carnegie Fund on December 12, 2014 (907,975.5561) 0.0000 0.0000 Units outstanding at December 31, 2014 0.0000 10,010,491.0126 159,403.1820 Class 1B Units outstanding at December 31, 2013-2,865,632.0584 - Units issued - 1,154,999.5135 - Units redeemed - (1,250,265.6997) - Units contributed to Carnegie Fund on December 12, 2014-0.0000 - Units outstanding at December 31, 2014-2,770,365.8722 - Class 5B Units outstanding at December 31, 2013 - - - Units issued - - - Units redeemed - - - Units contributed to Carnegie Fund on December 12, 2014 - - - Units outstanding at December 31, 2014 - - - The accompanying notes form an integral part of this annual report 12
STATEMENT OF CHANGES IN NUMBER OF UNITS OUTSTANDING FOR THE YEAR ENDED 31 DECEMBER 2014 PRIVATE SWEDISH SWEDISH EQUITY II LARGE CAP SMALL CAP SUB-FUND SUB-FUND SUB-FUND Class 1A Units outstanding at December 31, 2013 143,585.1089 738,479.8331 1,963,414.5217 Units issued 3,883.5969 76,419.1945 1,830,951.9128 Units redeemed 0.0000 (183,591.8987) (2,379,230.4151) Units contributed to Carnegie Fund on December 12, 2014 0.0000 (631,307.1289) (1,415,136.0194) Units outstanding at December 31, 2014 147,468.7058 0.0000 0.0000 Class 1B Units outstanding at December 31, 2013 - - - Units issued - - - Units redeemed - - - Units contributed to Carnegie Fund on December 12, 2014 - - - Units outstanding at December 31, 2014 - - - Class 5B Units outstanding at December 31, 2013 - - - Units issued - - 43,917.4487 Units redeemed - - - Units contributed to Carnegie Fund on December 12, 2014 - - (43,917.4487) Units outstanding at December 31, 2014 - - 0.0000 The accompanying notes form an integral part of this annual report 13
FINANCIAL DETAILS RELATING TO THE LAST 3 YEARS BIOTECHNOLOGY FUND OF FUNDS PRIVATE SUB-FUND INTERNATIONAL EQUITY I SUB-FUND (EUR) (USD) (EUR) 31 December 2014 Total net assets - Class 1A - 171,691,740.34 15,996,514.28 Net asset value per unit - Class 1A - 17.15 100.35 Total net assets - Class 1B - 38,581,676.54 - Net asset value per unit - Class 1B - 13.93 - Total net assets - Class 5B - - - Net asset value per unit - Class 5B - - - 31 December 2013 Total net assets - Class 1A 22,564,682.53 162,691,730.51 15,183,645.96 Net asset value per unit - Class 1A 20.77 16.74 81.23 Total net assets - Class 1B - 41,022,820.79 - Net asset value per unit - Class 1B - 14.32-31 December 2012 Total net assets - Class 1A 16,663,460.68 108,448,288.13 21,058,925.64 Net asset value per unit - Class 1A 13.56 13.70 90.71 Total net assets - Class 1B - 37,366,777.50 - Net asset value per unit - Class 1B - 12.38 - The accompanying notes form an integral part of this annual report 14
FINANCIAL DETAILS RELATING TO THE LAST 3 YEARS PRIVATE SWEDISH SWEDISH EQUITY II LARGE CAP SMALL CAP SUB-FUND SUB-FUND SUB-FUND (EUR) (SEK) (SEK) 31 December 2014 Total net assets - Class 1A 15,637,869.01 - - Net asset value per unit - Class 1A 106.04 - - Total net assets - Class 1B - - - Net asset value per unit - Class 1B - - - Total net assets - Class 5B - - - Net asset value per unit - Class 5B - - - 31 December 2013 Total net assets - Class 1A 13,817,343.72 106,004,548.72 318,412,933.90 Net asset value per unit - Class 1A 96.23 143.54 162.17 Total net assets - Class 1B - - - Net asset value per unit - Class 1B - - - 31 December 2012 Total net assets - Class 1A 15,576,827.15 116,100,125.08 118,225,783.88 Net asset value per unit - Class 1A 106.12 117.52 119.04 Total net assets - Class 1B - - - Net asset value per unit - Class 1B - - - The accompanying notes form an integral part of this annual report 15
- FUND OF FUNDS INTERNATIONAL SECURITIES PORTFOLIO AS AT 31 DECEMBER 2014 NOMINAL SECURITY DESCRIPTION MARKET % VALUE OF NET (USD) ASSETS Transferable Securities and money market instruments admitted to an official stock exchange listing/dealt in on another regulated market Investment Funds United Kingdom 214,000 ishares Core MSCI Japan IMI UCITS ETF 6,512,020.00 3.10 145,337 ishares Core S&P 500 UCITS ETF 27,694,692.04 13.17 631,000 ishares MSCI Japan Fund ETF 7,180,610.75 3.41 73,550 Source S&P 500 UCITS ETF 25,629,968.50 12.19 67,017,291.29 31.87 United States of America 21,380 ishares MSCI Emerging Markets Index ETF 840,020.20 0.40 57,000 SPDR Consumer Staples Select Sector ETF 2,763,930.00 1.31 202,900 SPDR S&P Bank ETF 6,807,295.00 3.24 361,250 ishares MSCI ACWI Index ETF 21,133,125.00 10.05 31,544,370.20 15.00 TOTAL INVESTMENT FUNDS 98,561,661.49 46.87 TOTAL TRANSFERABLE SECURITIES AND MONEY MARKET INSTRUMENTS ADMITTED TO AN OFFICIAL STOCK EXCHANGE LISTING/ DEALT IN ON ANOTHER REGULATED MARKET 98,561,661.49 46.87 A statement of changes in the composition of the portfolio is available to Unitholders free of charge on request from the Fund's registered office The accompanying notes form an integral part of this annual report 16
- FUND OF FUNDS INTERNATIONAL SECURITIES PORTFOLIO AS AT 31 DECEMBER 2014 Other Transferable Securities and money market instruments Investment Funds France 17,446 SSgA Spain Index Equity Fund 4,907,053.03 2.33 4,907,053.03 2.33 Ireland 660,488 Gam Star - North of South EM Equity 7,717,872.77 3.67 51,354 Gam Star - US All Cap Equity Fund 727,508.60 0.35 28,453 Legg Mason Global Funds - ClearBridge US Agg. Growth A 4,885,356.92 2.32 784,943 Russell Acadian Emerging Markets Equity UCITS II 10,620,278.86 5.05 23,951,017.15 11.39 Luxembourg 41,419 Allianz Europe Equity Growth A 9,966,480.31 4.74 188,750 BlackRock Global Index Funds - North Am. Eq. Index Fund F2 27,835,008.22 13.24 430,712 GS Global Small Cap Core Equity Portfolio (Dist.) 6,744,947.79 3.21 1,274,145 Invesco Pan European Structured Equity Fund A 23,490,194.25 11.17 68,036,630.57 32.36 Sweden 533,754 Skandia Time Global 9,172,337.19 4.36 9,172,337.19 4.36 TOTAL INVESTMENT FUNDS 106,067,037.94 50.44 TOTAL OTHER TRANSFERABLE SECURITIES AND MONEY MARKET INSTRUMENTS 106,067,037.94 50.44 TOTAL SECURITIES PORTFOLIO 204,628,699.43 97.31 INDUSTRY SECTOR ANALYSIS AS AT 31 DECEMBER 2014 SECTOR DESCRIPTION % OF NET ASSETS Investment Funds 97.31 97.31 The accompanying notes form an integral part of this annual report 17
- PRIVATE EQUITY I SUB-FUND SECURITIES PORTFOLIO AS AT 31 DECEMBER 2014 NOMINAL SECURITY DESCRIPTION MARKET % VALUE OF NET (EUR) ASSETS Investment Funds Guernsey 13,616,349.31 EQT V (No.1) Ltd Partnership 15,607,386.97 97.57 15,607,386.97 97.57 TOTAL INVESTMENT FUNDS 15,607,386.97 97.57 TOTAL SECURITIES PORTFOLIO 15,607,386.97 97.57 INDUSTRY SECTOR ANALYSIS AS AT 31 DECEMBER 2014 SECTOR DESCRIPTION % OF NET ASSETS Investment Funds 97.57 97.57 The accompanying notes form an integral part of this annual report 18
- PRIVATE EQUITY II SUB-FUND SECURITIES PORTFOLIO AS AT 31 DECEMBER 2014 NOMINAL SECURITY DESCRIPTION MARKET % VALUE OF NET (EUR) ASSETS Investment Funds Guernsey 11,746,213.54 EQT Infrastructure (No.1) Ltd Partnership 15,388,941.82 98.40 15,388,941.82 98.40 TOTAL INVESTMENT FUNDS 15,388,941.82 98.40 TOTAL SECURITIES PORTFOLIO 15,388,941.82 98.40 INDUSTRY SECTOR ANALYSIS AS AT 31 DECEMBER 2014 SECTOR DESCRIPTION % OF NET ASSETS Investment Funds 98.40 98.40 A statement of changes in the composition of the portfolio is available to Unitholders free of charge on request from the Fund's registered office The accompanying notes form an integral part of this annual report 19
NOTES TO THE FINANCIAL STATEMENTS As at 31 December 2014 1 GENERAL CARNEGIE FUND II (hereafter the Fund ) is an unincorporated collective investment fund ( fonds commun de placement ) constituted in Luxembourg on 9 May 2000 and does not qualify as an Undertaking for Collective Investment in Transferable Securities. The Fund is an Investment Fund under Part II of the Law of 17 December 2010 on Collective Investment Undertakings, as amended. The Fund is an unincorporated co-proprietorship of its securities and other assets, managed by Carnegie Fund Management Company S.A. ( the Management Company ). The Management Company was incorporated on 5 December 1995 in Luxembourg as a société anonyme. The assets of the Fund are segregated from those of the Management Company. For the purposes of the Alternative Investment Fund Managers ( AIFM ) Law, the Fund qualifies as an Alternative Investment Fund ( AIF ) within the meaning of the AIFM Law. The Fund has appointed Carnegie Fund Services S.A. as its AIFM. The Fund has the following Sub-Funds: - Carnegie Fund II - Biotechnology Sub-Fund (Open-ended) until 11 December 2014 - Carnegie Fund II - Fund of Funds International (Open-ended) - Carnegie Fund II - Private Equity I Sub-Fund (Closed-ended) - Carnegie Fund II - Private Equity II Sub-Fund (Closed-ended) - Carnegie Fund II - Swedish Large Cap Sub-Fund (Open-ended) until 11 December 2014 - Carnegie Fund II - Swedish Small Cap Sub-Fund (Open-ended) until 11 December 2014 Subscriptions and redemptions for the Carnegie Fund II Private Equity I Sub-Fund and Carnegie Fund II Private Equity II Sub-Fund, stated in these financial statements, are due to the issuing of new units in connection with drawdowns and forced redemptions in connection with capital distribution to the unitholders. The Board of Directors of the Company has decided upon the contribution in kind of all assets and liabilities of the following three Sub-Funds; Carnegie Fund II Biotechnology Sub-Fund; Carnegie Fund II Swedish Large Cap Sub-Fund and Carnegie Fund II Swedish Small Cap Sub-Fund to Carnegie Fund, authorised as an undertaking for collective investments pursuant to Part I of the law of 17 December 2010. The contribution has been done based on the net asset value as at 11 December 2014 with effect 12 December 2014 and with a one to one exchange ratio. - These three sub-funds ceased to exist in Carnegie Fund II upon completion of the transaction. 2 SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES 2.1 Valuation of investments The financial statements are established in accordance with the Luxembourg legal and regulatory requirements concerning undertakings for collective investments. (a) The value of any cash at hand or on deposit, bills and demand notes and accounts receivable, prepaid expenses, dividends and interests declared or due but not yet collected will be deemed to be the full value thereof, unless it is unlikely that such values are received in full, in which case the value thereof will be determined by deducting such amount the Directors of the Management Company consider appropriate to reflect the true value thereof. (b) Securities listed on a stock exchange or traded on any other regulated market will be valued at the last available price on such stock exchange or market. If a security is listed on several stock exchanges or markets, the last available price on the stock exchange or market, which constitutes the main market for such securities, will be determining. (c) Securities not listed on any stock exchange or traded on any regulated market will be valued at their last available market price. 20
NOTES TO THE FINANCIAL STATEMENTS As at 31 December 2014 2 SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) 2.1 Valuation of investments (continued) f) Financial futures contracts (on securities, interest rates and indices) are valued at the exchange quoted settlement price. While the contracts are open, unrealised gains and losses are recorded on "mark-tomarket" basis at the valuation date. When a contract is closed, the Fund records a realised gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the price at which the contract was originally written. g) Options contracts (on securities, currencies, interest rates and indices) are valued on the basis of the last available trade price. h) Forward foreign exchange contracts are valued by reference to the forward rate prevailing at the valuation date. i) Contracts for which no price quotation is available or for which the price referred to in (f) and/or (g) is not representative of the fair market value, will be valued prudently, and in good faith on the basis of their reasonable foreseeable sales prices. 2.2 Realised gains and losses on investments Realised gains and losses on sales of investments have been determined on the average cost and include transactions costs. 2.3 Foreign currency translation The combined financial statements of the Fund are maintained in SEK. The combined financial statements are the sum of the Sub-Funds financial statements equivalent in SEK translated, where applicable, at the rate of exchange ruling as at 31 December 2014. The market value of the investments and other assets and liabilities expressed in currencies other than the base currency of each Sub-Fund have been converted at the rates of exchange ruling as at 31 December 2014. The cost of investments in currencies other than the base currency of each Sub-Fund is converted at the rates of exchange prevailing at each Net Asset Value calculation date. The realised and change in net unrealised gains and losses on foreign exchange are recognised in the Statement of Operations and Changes in Net Assets. Income and expenses expressed in currencies other than the reference currency are converted at exchange rates ruling at the transaction date. 2.4 Dividend and interest income Dividends are shown net of withholding tax deducted at source, and are recorded as income on the ex-dividend date. Interest income and interest on cash are accrued on a daily basis. 2.5 Additional information - Year-end valuation The annual report is prepared on the basis of a NAV recomputed for reporting purposes only using closing prices as at 31 December 2014. 3 EXCHANGE RATES AS AT 31 DECEMBER 2014 1 GBP = 11.84342996 SEK 1 CHF = 7.79092870 SEK 1 JPY = 0.06340241 SEK 1 DKK = 1.25846698 SEK 1 NOK = 1.03971069 SEK 1 EUR = 9.42829995 SEK 1 USD = 7.77848372 SEK 21
NOTES TO THE FINANCIAL STATEMENTS As at 31 December 2014 4 TAXATION The Fund is registered under the Luxembourg law as a mutual investment fund ( Fonds Commun de Placement ). Accordingly, no Luxembourg income or capital gains tax is, at present, payable. It is subject, however, to an annual taxe d abonnement calculated at the annual rate of 0.05% of the net asset value of the Fund at the end of each quarter, excluding investments in other Luxembourg funds already subject to that tax. This tax is payable quarterly. 5 FORWARD FOREIGN EXCHANGE CONTRACTS At year-end, Carnegie Fund II Fund of Funds International has entered into the following forward foreign exchange contracts: Maturity Date CCY Purchased Amount Bought CCY Sold Amount Sold Unrealised appreciation/ (depreciation) USD 7th January, 2015 USD 35,382.23 SEK 274,000.00 157.77 Total 157.77 6 BANK OVERDRAFT AND PLEDGES The Carnegie Fund II - Biotechnology Sub-Fund may borrow the equivalent of up to 25% of the total net assets for investment purposes. For all sub-funds of the Fund, the assets are pledged in favour of the Custodian to guarantee the liabilities of the sub-funds. 7 COMMITMENTS On 20 October 2006, Carnegie Fund II - Private Equity I Sub-Fund committed to invest EUR 30,000,000.00 in EQT V (No.1). At the date of this report, the Carnegie Fund II - Private Equity I Sub- Fund has paid the equivalent of 96.65% of its initial commitment and is committed to pay the remaining EUR 1,004,665.00 upon capital call notice from the manager of EQT V (No.1). On 16 May 2008, Carnegie Fund II - Private Equity II Sub-Fund committed to invest EUR 15,200,000.00 in EQT Infrastructure (No.1). At the date of this report, the Carnegie Fund II - Private Equity II Sub-Fund has paid the equivalent of 87.69% of its initial commitment and is committed to pay the remaining EUR 1,871,304.00 upon capital call notice from the manager of EQT Infrastructure (No.1). 22
NOTES TO THE FINANCIAL STATEMENTS As at 31 December 2014 8 MANAGEMENT FEE The Management Company is entitled to be paid a fee based on the net assets of each Sub-Fund as determined on each valuation date. The fee is accrued daily and payable monthly. The management fee rate applicable to each Sub-Fund, in % of the total net assets per year, is as follows: Carnegie Fund II - Biotechnology Sub-Fund - Class 1A 1.10% Carnegie Fund II - Fund of Funds International - Class 1A 0.25% Carnegie Fund II - Fund of Funds International - Class 1B 0.25% Carnegie Fund II - Swedish Large Cap Sub-Fund - Class 1A 1.60% Carnegie Fund II - Swedish Small Cap Sub-Fund - Class 1A 1.60% For Carnegie Fund II - Private Equity I Sub-Fund, the Management Company is entitled to an annual management fee equal to (i) 1% per annum of the total Commitments of all of the Unitholders in Carnegie Fund II - Private Equity I Sub-Fund until the sixth anniversary of the first closing date, or such earlier date when the commitment period in EQT V expires and (ii) following the sixth anniversary of the first closing date, or such earlier date when the commitment period in EQT V expires, until the liquidation of the Sub-Fund, 1% of the Net Asset Value of all Units in the Sub-Fund. The management fee shall be paid by the Unitholders on a pro rata basis based on ownership of Units in the Sub-Fund, quarterly in advance. For Carnegie Fund II - Private Equity II Sub-Fund, the Management Company is entitled to an annual management fee equal to (i) 1% per annum of the total Commitments of all of the Unitholders in Carnegie Fund II - Private Equity II Sub-Fund until the sixth anniversary of the first closing date, or such earlier date when the commitment period in EQT Infrastructure expires and (ii) following the sixth anniversary of the first closing date, or such earlier date when the commitment period in EQT Infrastructure expires, until the liquidation of the Sub-Fund, 1% of the Net Asset Value of all Units in the Sub-Fund. The management fee shall be paid by the Unitholders on a pro rata basis based on ownership of Units in the Sub-Fund, quarterly in advance. The management fees for Carnegie Fund II Private Equity I Sub-Fund and Carnegie Fund II Private Equity II Sub-Fund are paid outside of the Fund and no management fees are recorded in the Statement of Operations and Changes in Net Assets. Custody, administration, audit, legal and other expenses of the Fund are borne by the Management Company. 9 PERFORMANCE FEE The Management Company is entitled to an annual performance fee, accrued monthly, from the Carnegie Fund II - Biotechnology Sub-Fund s assets which is due as of the end of each fiscal year. The performance fee for any fiscal year is an amount equal to 20% of the net realised and unrealised appreciation, if any, in the Net Asset Value of the Units of the Fund (adjusted for the sale and redemption of Units) during the fiscal year, but only in the event the Sub-Fund s Net Asset Value has increased for that fiscal year and cumulatively since the issuance of Units by at least 5% per annum (pro-rated for a partial year). The Management Company is also entitled to an additional performance fee in respect of units issued during a fiscal year at a time when the Net Asset Value per Unit is less than the Net Asset Value at the beginning of the year. These adjustments are effected by redeeming a sufficient number of those Units at the end of the fiscal year so that the particular Unitholder is charged the appropriate performance fee. The Management Company will, if applicable, charge a performance fee in Carnegie Fund II - Private Equity I Sub- Fund and Carnegie Fund II - Private Equity II Sub-Fund equal to 8% of all proceeds received by the Sub-Fund following the point of time when the Sub-Fund has repaid the Unitholders all amounts drawn down from the Unitholders. The performance fee mechanisms are described in detail in the Fund s Prospectus. 23
NOTES TO THE FINANCIAL STATEMENTS As at 31 December 2014 10 TRANSACTION COSTS For the year ended 2014, the Fund incurred transaction costs which have been defined as the commission paid by the Fund to the intermediary relating to purchases or sales of transferable securities, money market instruments, derivatives or other eligible assets, as follows: Carnegie Biotechnology Sub-Fund EUR 86,607.30 Carnegie Fund of Funds International USD 760,249.39 Carnegie Private Equity I Sub-Fund EUR 0.00 Carnegie Private Equity II Sub-Fund EUR 0.00 Carnegie Swedish Large Cap Sub-Fund SEK 123,048.90 Carnegie Swedish Small Cap Sub-Fund SEK 913,458.06 24