Notice The sole legally binding basis for the purchase of units of the Fund described in this report is the latest valid Sales Prospectus with its terms of contract.
Page Organisation 2 General Information 4 Management Report 6 Schedule of Investments: SEB Strategy Fund - SEB Strategy Balanced 9 SEB Strategy Fund - SEB Strategy Defensive 12 SEB Strategy Fund - SEB Strategy Growth 15 SEB Strategy Fund - SEB Strategy Opportunity 17 Combined Statement of Operations 20 Combined Statement of Changes in Net Assets 22 Combined Statement of Net Assets 24 Statistical Information 26 Additional information on Management Fees 30 Notes to the Financial Statements 34 Audit Report 39 Notes to the EU Savings Tax Directive (unaudited) 41 Risk Disclosure (unaudited) 42 1
Management Company: Board of Directors of the Management Company: SEB Asset Management S.A. 4, rue Peternelchen L-2370 Howald, Luxembourg Chairperson Erika Lundquist (since 5 February 2015) Managing Director Skandinaviska Enskilda Banken S.A. Luxembourg Peter Kubicki (until 5 February 2015) Managing Director SEB Wealth Management Denmark Members Marcus Wernersson Managing Director SEB Asset Management S.A. (since 15 October 2015) Luxembourg Ralf Ferner Managing Director SEB Fund Services S.A. (since 1 July 2015) Luxembourg Marie Winberg Director Business Strategy Skandinaviska Enskilda Banken AB (publ) Stockholm, Sweden Elisabeth Scheja Sterner Head of Global Product & Distribution Strategy Skandinaviska Enskilda Banken AB (publ) Stockholm, Sweden Alexander Klein (until 6 March 2015) Managing Director SEB Investment GmbH Frankfurt am Main, Germany Conducting Officers: Ralf Ferner, Luxembourg (until 30 June 2015) Matthias Ewald, Luxembourg Loïc Guillermet, Luxembourg Central Administration (including Registrar, Transfer Agent, Administrative Agent and Paying Agent): The Bank of New York Mellon (Luxembourg) S.A. 2-4, rue Eugène Ruppert L-2453 Luxembourg 2
Investment Manager: Custodian Bank: Auditor of the Fund and the Management Company: Global Distributor: Representatives and Paying Agents outside Luxembourg: SEB Investment Management AB Sveavägen 8 SE-106 40 Stockholm, Sweden Skandinaviska Enskilda Banken S.A. 4, rue Peternelchen L-2370 Howald, Luxembourg PricewaterhouseCoopers, Société coopérative 2, rue Gerhard Mercator L-2182 Luxembourg Skandinaviska Enskilda Banken AB (publ) Kungsträdgårdsgatan 8 SE-106 40 Stockholm, Sweden The full list of representatives and Paying Agents outside Luxembourg can be obtained, free of charge, at the registered office of the Management Company and on the website www.sebgroup.lu. 3
SEB Strategy Fund (the Fund ) is a Luxembourg investment fund ( Fonds Commun de Placement ) governed by Part I of the Luxembourg Law on Undertakings for Collective Investment of 17 December 2010 (the Law ) as amended. The Fund, which was set up on 17 November 2008 for an undetermined duration, is managed by SEB Asset Management S.A. (the Management Company ). The Management Regulations lastly modified with effect from 11 November 2011 have been deposited with the Luxembourg Trade Register and the relating notice has been published in the Mémorial C on 17 November 2011. The Management Company was established on 15 July 1988, with subsequent publication of the Articles of Incorporation in the Mémorial C on 16 August 1988. The Articles of Incorporation were last amended on 1 July 2014 and published on 21 July 2014. The Management Company is registered under Corporate Identity Number B 28468. SEB Asset Management S.A. has delegated the Central Administration, including the administrative, registrar, transfer agent and paying agent functions - under its continued responsibility and control - at its own expense to The Bank of New York Mellon (Luxembourg) S.A., 2-4, rue Eugène Ruppert, L-2453 Luxembourg. This company was incorporated in Luxembourg as a Société Anonyme on 15 December 1998 and is an indirect wholly-owned subsidiary of The Bank of New York Mellon Corporation. It is registered with the Luxembourg Trade and Companies Register under Corporate Identity Number B 67654 (the Administrative Agent and the "Registrar and Transfer Agent ). In its capacity as Administrative Agent, it assumes certain administrative duties which are necessary within the framework of managing the Fund, including the calculation of the Net Asset Value per unit and the provision of accounting services for the Fund. In its capacity as Registrar and Transfer Agent, it will process all subscriptions, redemptions and transfers of units, and will register these transactions in the Unitholders' register of the Fund. The main objective of the investment policy is to invest directly and/or indirectly in transferable securities and other eligible assets with the purpose of spreading investment risks and achieving long-term capital growth. At present, four Sub-Funds are at the Unitholders disposal: SEB Strategy Fund - SEB Strategy Balanced SEB Strategy Fund - SEB Strategy Defensive SEB Strategy Fund - SEB Strategy Growth SEB Strategy Fund - SEB Strategy Opportunity The Management Company may decide to issue capitalisation units ( C ) and distribution units ( D ). Several unit classes may be offered, which differ in their charges, use of income, persons authorised to invest, minimum investment amount, reference currency or other characteristics. The D units may pay a dividend. The C, units will capitalise income, with the result that their value will become greater than that of D units, in the proportion of the dividends paid to the D units. The Management Company may furthermore issue unit classes which reference currency is not the base currency of the respective Sub-Fund. The reference currency of a unit class will be put in brackets. Investors must be aware that an investment in unit classes having a reference currency not being the same as the base currency of the respective Sub- Fund may lead to a currency risk. As indicated in the prospectus, the Investment Manager may employ a strategy where active decisions on currency exposures are included. In that context, the Management Company may apply, for unit classes whose reference currency is not the base currency of the respective Sub-Fund, a hedging strategy in order to reduce the risk of currency movements between the reference currency against other material currencies of the securities and cash held by the respective Sub-Fund. 4
Currently, the following unit classes are offered for the Sub-Funds: o SEB Strategy Fund - SEB Strategy Balanced o Capitalisation units ( C (H-EUR) units) LU0660786715 o Capitalisation units ( C (H-NOK) units) LU1156545359 o Capitalisation units ( C (SEK) units) LU0394669880 o Capitalisation units ( HNWC (H-NOK) units) LU1156545276 o Capitalisation units ( HNWCB (H-EUR) units) LU1124616985 o Capitalisation units ( ICP (H-EUR) units) LU1124617017 o SEB Strategy Fund - SEB Strategy Defensive o Capitalisation units ( C (H-EUR) units) LU0486618746 o Capitalisation units ( C (H-NOK) units) LU1156545193 o Capitalisation units ( C (SEK) units) LU0486619397 o Capitalisation units ( HNWC (H-NOK) units) LU1156544972 o Capitalisation units ( HNWCB (H-EUR) units) LU1124617280 o Capitalisation units ( ICP (H-EUR) units) LU1124617793 o SEB Strategy Fund - SEB Strategy Growth o Capitalisation units ( C (H-EUR) units) LU0660787010 o Capitalisation units ( C (H-NOK) units) LU1156545516 o Capitalisation units ( C (SEK) units) LU0394670037 o Capitalisation units ( HNWC (H-NOK) units) LU1156545433 o Capitalisation units ( HNWCB (H-EUR) units) LU1124617363 o Capitalisation units ( ICP (H-EUR) units) LU1124617959 o SEB Strategy Fund - SEB Strategy Opportunity o Capitalisation units ( C (H-EUR) units) LU0660786806 o Capitalisation units ( C (H-NOK) units) LU1156545789 o Capitalisation units ( C (SEK) units) LU0394669963 o Capitalisation units ( HNWC (H-NOK) units) LU1156545607 o Capitalisation units ( HNWCB (H-EUR) units) LU1124617520 o Capitalisation units ( ICP (H-EUR) units) LU1124618171 The base currency of the Fund and the Sub-Funds is SEK. The Net Asset Value per unit as well as the issue and redemption prices, which are computed daily on bank business days in Luxembourg, except 24 December and 31 December ("Valuation date"), can be obtained from the registered offices of the Management Company, the Custodian Bank and the Paying Agent. In addition, the Net Asset Value, fact sheets and other informational material is published on the SEB Luxembourg website www.sebgroup.lu (http://www.sebgroup.lu) under the rubric SEB Asset Management S.A.. When registered in other countries, the publication media might differ according to the regulatory requirements. Information about ongoing charges can be found in the Key Investor Information Document (KIID). Financial reports of the Fund are published annually and semi-annually. These reports as well as the Sales Prospectus, the Management Regulations and other information concerning the Fund can be obtained free of charge at the offices of the Management Company, the Custodian Bank and the Paying Agent. 5
Dear Unitholders, With this report, we want to give you an overview of the general economic environment, the development of the most important capital markets, our investment policy and the performance of our Fund SEB Strategy Fund. This annual report covers the financial year from 1 November 2014 to 31 October 2015. We would like to thank you for your confidence and will do everything within our power to justify your decision of investing in our Fund. Unfulfilled expectations In all honesty the past year has not fulfilled the high growth expectations that were in place at the start of Q4 2014, and the equity markets have been more volatile than what we expected. Despite this we are on an aggregated level looking at strong equity returns for the past year but again we stress that this masks a highly volatile period. In terms of growth we have seen a continuation of the slowdown in emerging markets, a puzzling low growth rate in private consumption for the US, and a noticeable lack of inflation in both Europe and Japan, noticeable in light of the massive stimulus programs that are in place for both regions. As such we have yet to see the full stabilization of western growth that we, and most of the market, had predicted one year ago. Up until the summer of 2015 the elusive growth mentioned above did not seem to be a source of concern for financial markets: equities rose on both expectations of a pickup in European and US growth, and on the implementation of quantitative easing (QE) in Europe. This divergence between financial markets and the real economy was allowed to drag on throughout the first half of 2015 as leading indicators, such as Purchasing Managers Indices ( PMI ) and consumer confidence, continued to strengthen in both Europe and the US. However, in Q3 2015 the divergence between expectations and actual growth had grown too large and as such the equity markets corrected. Even in hindsight the direct trigger for the realization that financial markets had run too far ahead of the real economy is difficult to pinpoint. Most likely it was the multitude of uncertainties that finally proved too much: uncertainty about the timing and scope of the Federal Reserve s (the Fed s) upcoming rate hike cycle, uncertainty about the impact of emerging market weakness on western growth, and finally uncertainty about the impact of the depreciation of the yuan against the USD. In the following report we will present our views on global growth and monetary policy, before finally commenting on the outlook for financial markets. Global growth The global economy continued to evolve along two separate lines over the past year. Where western growth remained positive, we saw a continued deterioration in the outlook and actual growth for a range of high profile emerging market countries. This was especially true for Brazil, which entered an outright recession, and for China, which saw a marked, and highly commented upon, decline in its long-term growth outlook. The driver for this divergence was to a large extent caused by two factors: first, the broad decline in commodity prices put significant pressure on countries which had in the past made their fortunes on being exporters of commodities. Second, the looming prospect of Fed rate hikes significantly changed global capital market flows. 6
This happened as USD liquidity for the first time in years started to look scarcer, which on aggregate drove money out of emerging markets and back into the US. This trend especially proved to be a headwind for emerging market countries that had, and those that continue to have, significant current account deficits. For Europe and the US the growth story over the past year was in many ways more positive. The US labor market continued to post impressive gains in employment, which drove the unemployment rate down to a post-crisis low of 5.1%. At the same time we saw renewed momentum for the US housing market which, when measured on housing starts, building permits and sentiment National Association of Home Builders (NHAB) started to grow at levels not far from those seen in the late 90 s. However, we re still far from the boom years of 2002-2007. Overall the strategic outlook for the US economy strengthened over the past year. Despite the gain in strategic data for the US and Europe, we did not see the pickup in consumption that we had expected on the basis of rising employment, wages and consumer confidence. Instead we saw retail sales in the US growing by the slowest pace in years. This puzzling low growth rate in consumption in light of the improving prospects for consumption was in our view one of the major prerequisites as to why the markets were allowed to correct as significantly as they did in Q3 2015. Had we seen growth rates in consumption similar to what we and the markets expected, we would also have seen much stronger earnings and sales in equity markets, and that in itself should have dampened the fall. This being said, consumption has actually improved over the last couple of months, so as of writing it seems that the long awaited consumer driven recovery is finally starting to gather pace, both in the US and Europe. Monetary policy As with the real economy, global monetary policy also remained highly heterogeneous. Where most market participants including the Fed itself expected a US rate hike in 2015, the European Central Bank (ECB) launched its QE program in March 2015. The divergence in monetary policy reflected the very different positions of the European and US economies in terms of the economic cycle. Whereas the US labor market, as described above, has experienced gains in employment for many years and as such has eradicated much of the labor market slack the European economy was and is only starting to return to real, significant, and stable growth this following years of constant uncertainty about the stability of the Euro. As such the amount of slack in the European recovery remains high, which warranted the ECB s aggressive stimulus program. Given the uncertainty about the extent of the Chinese slowdown over the summer and fall of 2015, the Fed chose not to hike rates at its September and October 2015 meetings. In addition to this, the market started to build expectations that the ECB would increase its QE program in both size and duration, making it run beyond September 2016, which was the planned end date for the program. The speculation has been motivated by the fact that break-even inflation rates fell dramatically and uncertainty about the Chinese recovery has increased. As such we are on the verge of seeing a global monetary stance which seems set to become even more accommodating over the coming quarters. Outlook for financial markets and economic growth Despite the uncertainty about the impact of the emerging market slowdown on western growth rates, the US and European recovery both remain on a firm footing. As previously stated, both regions are experiencing gains in strategic/long-term factors such as credit, housing and employment. Therefore it looks likelier than not that the coming year will present the long awaited consumer-driven recovery. In addition to the strength in the strategic data, the ECB s highly accommodating monetary stance should in isolation help the European recovery even further. It will put downward pressure on the euro, which will support growth rates through the export channel. 7
Since the summer of 2014 we have seen a significant decline in commodity prices in general and in energy prices in particular. As already mentioned this decline has not yet led to increased consumption excluding energy but has been used to increase savings. We believe that once the consumer becomes more confident that the decline is permanent for the foreseeable future it will lead to higher consumption. As such we expect to see the traditional positive effect on growth of a decline in oil prices materializing over the coming year. Emerging markets continues to be a very heterogeneous space. More than ever, these markets are split depending on their relative dependence on oil revenues as well as fiscal balances and current account deficits. On an aggregated level, we expect to see continued financial weakness in Latin America and relative strength in Asia. Given our positive outlook for western growth, we expect equities will deliver a higher return than that of traditional government bonds. We expect that return on equities will be close to its historical average, and that gains will be driven by rising earnings and sales, while valuations are at levels not very different from their historical averages. The start of the US rate hike cycle and improving global growth in our view should put upward pressure on core government bond yields. In conclusion, we recommend having slightly higher allocation towards risk in general and equities in particular, as compared to strategic allocation. Luxembourg, 13 November 2015 SEB Asset Management S.A. The Board of Directors 8
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Note 1. Significant Accounting Policies The financial statements have been prepared in accordance with Luxembourg regulations relating to Undertakings for Collective Investment. The Financial Statements have been prepared based on the last Net Asset Value of the year which has been calculated on 30 October 2015 with the price as of that date, the valuation at 30 October 2015 has been presented for the purpose of these Financial Statements. Investments: a) Transferable securities and money market instruments, which are officially listed on a stock exchange, are valued at the last available price. b) Transferable securities and money market instruments, which are not officially listed on a stock exchange, but which are traded on another regulated market are valued at a price no lower than the bid price and no higher than the ask price at the time of the valuation and at which the Management Company considers to be an appropriate market price. c) Transferable securities and money market instruments quoted or traded on several markets are valued on the basis of the last available price on the principal market for the transferable securities or money market instruments in question, unless these prices are not representative. d) In the event that such prices are not in line with market conditions, or for securities and money market instruments other than those covered in a), b) and c) above for which there are no fixed prices, these securities and money market instruments, as well as other assets, will be valued at the current market value as determined in good faith by the Management Company, following generally accepted valuation principles. e) Units or shares of UCI(TS) are valued at the last available Net Asset Value obtained from the Administrative Agent of such UCI(TS). f) Forward foreign exchange contracts are valued based on the latest available forward exchange rates. g) Financial Futures Contracts, which are not matured, are valued at valuation date at market rates prevailing at this date and resulting unrealised appreciation or depreciation are posted as change in net unrealised appreciation/(depreciation) on financial future contracts to the Statement of Changes in Net Assets. h) Derivatives instruments traded on regulated markets or stock exchanges are valued at last available settlement prices of these contracts on regulated markets or stock exchanges on which the derivative instruments are traded by the Fund. Derivatives instruments not traded on regulated markets or on stock exchanges are valued at their net liquidating value determined, pursuant to the policies established in good faith by the Management Company on a basis consistently applied for each different variety of contracts, in accordance with generally recognised principles, taking into consideration the generally accepted accounting practices, the customary practices in line with the market and the interests of the Unitholders. 34
In the case that extraordinary circumstances occur which make it impossible or even wrong to make a valuation in accordance with the above-mentioned criteria, the Management Company is entitled to temporarily apply other generally accepted valuation procedures, which are determined by it in good faith, in order to make an appropriate valuation of the Fund's Assets. Gains and losses on the sale of securities are determined using the average cost method. Currency translation: All assets denominated in a different currency to the respective Sub-Funds' currency are converted into this respective Sub-Funds' currency at the last available exchange rate. Separate accounts are maintained for the Sub-Fund in the currency in which the Net Asset Value per unit to which it relates is expressed (the "accounting currency"). Transactions denominated in a currency other than the accounting currency are recorded on the basis of exchange rates prevailing on the date they occur or accrue to the Sub-Fund. Assets and liabilities, expressed in a currency other than the accounting currency, are translated on the basis of exchange rates ruling at the balance sheet date. The consolidated total is translated into SEK at the year end date exchange rate. The Sub-Funds are priced at either intraday or close of business. The exchange rates are presented in line with when these Sub-Funds are priced. As at 31 October 2015, the closing exchange rates were as follows 1 AUD = 6.057860212 SEK 1 JPY = 0.070362262 SEK 1 CAD = 6.489879244 SEK 1 NOK = 1.003443408 SEK 1 EUR = 9.379479293 SEK 1 USD = 8.490967366 SEK 1 GBP = 13.11345000 SEK 1 ZAR = 0.614990855 SEK Income: Interest income and bank interest income are recognised on an accrual basis. Dividends are recorded on the exdividend date. This income is shown net of any withholding taxes and adjusted accordingly when tax reclaims apply. Note 2. Management Fees In payment for its services, the Management Company receives an annual rate of: 1.25% is charged on SEB Strategy Balanced C (H-EUR) units* (maximum rate: 1.50%) 1.25% is charged on SEB Strategy Balanced C (H-NOK) units* (maximum rate: 1.50%) 1.25 % is charged on SEB Strategy Balanced C (SEK) units* (maximum rate: 1.50%) 1.00% is charged on SEB Strategy Balanced HNWCB (H-EUR) units* (maximum rate: 1.20%) 1.00% is charged on SEB Strategy Balanced HNWC (H-NOK) units* (maximum rate: 1.10%) 35
0.75% is charged on SEB Strategy Balanced ICP (H-EUR) units (maximum rate: 0.75%) 1.00% is charged on SEB Strategy Defensive C (H-EUR) units (maximum rate: 1.00%) 1.00% is charged on SEB Strategy Defensive C (H-NOK) units (maximum rate: 1.00%) 1.00% is charged on SEB Strategy Defensive C (SEK) units (maximum rate: 1.00%) 0.75% is charged on SEB Strategy Defensive HNWCB (H-EUR) units (maximum rate: 0.75%) 0.70% is charged on SEB Strategy Defensive HNWC (H-NOK) units (maximum rate: 0.70%) 0.50% is charged on SEB Strategy Defensive ICP (H-EUR) units (maximum rate: 0.50%) 1.45% is charged on SEB Strategy Growth C (H-EUR) units* (maximum rate: 1.70%) 1.45% is charged on SEB Strategy Growth C (H-NOK) units* (maximum rate: 1.70%) 1.45 % is charged on SEB Strategy Growth C (SEK) units* (maximum rate: 1.70%) 1.20% is charged on SEB Strategy Growth HNWCB (H-EUR) units* (maximum rate: 1.40%) 1.20% is charged on SEB Strategy Growth HNWC (H-NOK) units* (maximum rate: 1.40%) 0.85% is charged on SEB Strategy Growth ICP (H-EUR) units (maximum rate: 0.85%) 1.35 % is charged on SEB Strategy Opportunity C (H-EUR) units* (maximum rate: 1.60%) 1.35 % is charged on SEB Strategy Opportunity C (H-NOK) units* (maximum rate: 1.60%) 1.35 % is charged on SEB Strategy Opportunity C (SEK) units* (maximum rate: 1.60%) 1.10 % is charged on SEB Strategy Opportunity HNWCB (H-EUR) units* (maximum rate: 1.30%) 1.10 % is charged on SEB Strategy Opportunity HNWC (H-NOK) units* (maximum rate: 1.30%) 0.80 % is charged on SEB Strategy Opportunity ICP (H-EUR) units (maximum rate: 0.80%) * See note 7 for details of changes to the Management fees. A twelfth of this rate is being payable at the end of each month and based on the average Net Assets of each Sub-Fund calculated daily during the relevant month. The Management Company pays accounting, administration and custodian fees on behalf of the Fund, except for taxes, bank and brokerage fees for transactions in securities making up the Fund s portfolio as well as fees on transfers referring to redemption of units. Note 3. Retrocession fees Retrocession of management fees received by the Fund related to investments made in underlying investment funds are recorded in the caption "Retrocession fees" in the Statement of Operations. Note 4. Taxation The Fund is liable in Luxembourg to a subscription tax ("taxe d'abonnement") of 0.05% or 0.01% (as applicable) per annum of its NAV, such tax being payable quarterly on the basis of the value of the aggregate Net Assets of the Sub- Funds at the end of the relevant calendar quarter. Investments by a Sub-Fund in shares or units of another Luxembourg undertaking for collective investment which are also subject to the taxe d abonnement are excluded from the NAV of the Sub-Fund serving as basis for the calculation of this tax to be paid by the Sub-Fund. No stamp duty or other tax is payable in Luxembourg on the issue of units. Interest, dividend and other income realised by a Sub-Fund on the sale of securities of non-luxembourg issuers, may be subject to withholding and other taxes levied by the jurisdictions in which the income is sourced. 36
Note 5 Transaction Fee Transaction fees incurred by the Fund relating to the purchase or sale of transferable securities, money market instruments, derivatives or other eligible assets are mainly composed of custodian fees and broker fees. Most of the transaction fees are included in the transaction price used to calculate the realised and unrealised gain/(loss) on securities. For the year ended 31 October 2015, these transaction fees were as follows: SEB Strategy Fund - SEB Strategy Balanced 549,535.44 SEK SEB Strategy Fund - SEB Strategy Defensive 693,198.29 SEK SEB Strategy Fund - SEB Strategy Growth 310,790.93 SEK SEB Strategy Fund - SEB Strategy Opportunity 424,684.34 SEK Note 6. Forward foreign exchange contracts Detailed information on open positions relating to forward foreign exchange transactions may be found in the "Schedule of Investments". Note 7. Significant Events during the year Directors There were changes to the Board of Directors of the Company during the year. Please refer to the Organisation section on page 2 for details. Prospectus A new prospectus was issued in February 2015. There were 4 share classes launched on 19 February 2015 - C (H-NOK), HNWC (H-NOK), HNWCB (H-EUR) and ICP (H-EUR). Management Fees The Management fees for SEB Strategy Balanced C (H-EUR), C (H-NOK) and C (SEK) units decreased from 1.50% to 1.25% on 1 July 2015. The Management fees for SEB Strategy Balanced HNWCB (H-EUR) units decreased from 1.20% to 1.00% on 1 July 2015. The Management fees for SEB Strategy Balanced HNWC (H-NOK) units decreased from 1.10% to 1.00% on 1 July 2015. The Management fees for SEB Strategy Growth C (H-EUR), C (H-NOK) and C (SEK) units decreased from 1.70% to 1.45% on 1 July 2015. The Management fees for SEB Strategy Growth HNWCB (H-EUR) and HNWC (H-NOK) units decreased from 1.40% to 1.20% on 1 July 2015. The Management fees for SEB Strategy Opportunity C (H-EUR), C (H-NOK) and C (SEK) units decreased from 1.60% to 1.35% on 1 July 2015. The Management fees for SEB Strategy Opportunity HNWCB (H-EUR) and HNWC (H-NOK) units decreased from 1.30% to 1.10% on 1 July 2015. 37
Note 8. Investment in target fund in liquidation As at 31 October 2015, SEB Strategy Fund - SEB Strategy Defensive invests in the below mentioned Real Estate Funds which are in liquidation. Target funds in liquidation: Credit Suisse - CS EUROREAL A KanAm Grundinvest Fonds SEB ImmoInvest The exposure to real estate funds in liquidation represents 0.01% of the NAV of SEB Strategy Fund - SEB Strategy Defensive as at 31 October 2015. Credit Suisse - CS EUROREAL A, KanAm Grundinvest Fonds and SEB ImmoInvest are traded on a secondary market at a price significantly lower than their NAV per unit. The below table shows their official NAV per unit, their weighting in the portfolio, their last traded price on a secondary market, the difference between NAV and traded price and its potential impact on the NAV of SEB Strategy Fund - SEB Strategy Defensive as at 31 October 2015. Similar to prior years and based on a continuous review of the situation, the Board of Directors of the Management Company decided to take the official NAV as basis for valuation as they believe that such price is representative of the fair market value of these target funds. There is no intention to sell these target funds before the end of the liquidation. Target Fund NAV per unit Portfolio weighting Last price on secondary market Price difference in % Potential impact on NAV Credit Suisse - CS EUROREAL SEK 25.59 0.00% SEK 19.90 22.24% 0.00% KanAm Grundinvest Fonds SEK 31.57 0.01% SEK 23.75 24.77% 0.00% SEB ImmoInvest SEK 29.23 0.00% SEK 22.60 22.68% 0.00% Total 0.01% 0.00% Note 9. Subsequent Events after the year end There are no subsequent events after the year end. 38
To the Unitholders of SEB Strategy Fund We have audited the accompanying financial statements of SEB Strategy Fund and of each of its Sub-Funds, which comprise the Combined Statement of Net Assets and the Schedule of Investments as at 31 October 2015 and the Combined Statement of Operations and the Combined Statement of Changes in Net Assets for the year then ended, and a summary of significant accounting policies and other explanatory notes to the financial statements. Responsibility of the Board of Directors of the Management Company for the financial statements The Board of Directors of the Management Company is responsible for the preparation and fair presentation of these financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements and for such internal control as the Board of Directors of the Management Company determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. Responsibility of the Réviseur d entreprises agréé Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with International Standards on Auditing as adopted for Luxembourg by the Commission de Surveillance du Secteur Financier. Those standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the judgment of the Réviseur d entreprises agréé, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the Réviseur d entreprises agréé considers internal control relevant to the entity s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity s internal control. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by the Board of Directors of the Management Company, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.... PricewaterhouseCoopers, Société coopérative, 2 rue Gerhard Mercator, B.P.1443, L-1014 Luxembourg T: +352 494848 1, F:+352 494848 2900, www.pwc.lu Cabinet de révision agréé. Expert-comptable (autorisation gouvernementale n 10028256) R.C.S. Luxembourg B 65 477 - TVA LU25482518 39
pwc Opinion In our opinion, the financial statements give a true and fair View of the financial position of SEB Strategy Fund and of each of its Sub-Funds as of 31 October 2015, and of the results of their operations and changes in their Net Assets for the year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements. Other matters Supplementary information included in the annual report has been reviewed in the context of our mandate but has not been subject to specific audit procedures carried out in accordance with the standards described above. Consequently, we express no opinion on such information. However, we have no observation to make concerning such information in the context of the financial statements taken as a whole. PricewaterhouseCoopers, Société coopérative Luxembourg, 15 January 2016 Represented by Emmanuel Chataignier 40
The Council of the European Union adopted on 3 June 2003 a Council Directive 2003/48/EC on the taxation of savings income in the form of interest payments (the "Savings Tax Directive") under which Member States of the European Union ("Member States") will be required to provide tax authorities of another Member State with details of payment of interest or other similar income paid by a person within its jurisdiction to an individual resident in that other Member State. Austria, Belgium and the Grand Duchy of Luxembourg have opted alternatively for a withholding tax system for a transitional period in relation to such payments. The Luxembourg law of 21 June 2005 implemented the Savings Directive into Luxembourg law (the "Savings Directive Law"). Pursuant to the Savings Directive Law, from 1 July 2005 until 30 June 2008, the withholding tax rate on interest was 15% and from 1 July 2008 until 30 June 2011, the withholding tax was 20% rising to 35% from 1 July 2011 onwards. After 31 December 2014, Luxemburgish paying agents are obliged to exchange the details on cross-border interest distributions or redemptions of fund units subject to the European Savings Directive (EUSD). Article 9 of the Savings Directive Law provides that no withholding tax will be withheld if the beneficial owner expressly authorizes the Paying Agent to report information in accordance with the provisions of the Savings Directive Law. Dividends distributed are subject to the Savings Tax Directive if more than 15% of the assets are invested in debt claims as defined in the Savings Directive Law. Proceeds realised by Unitholders on the disposal of units will be subject to such reporting or withholding if more than 40% of the assets are invested in debt claims as defined by the Savings Directive Law. As from 1 January 2011 the application threshold for the EU Savings Directive changed from 40% to 25%. The determination of the portion of debt claims has been carried out based on an asset test. Key dates for this asset test were 30 April 2015 and 31 October 2015. The average percentage of each Sub-Fund s debt claims is as follows: - SEB Strategy Fund - SEB Strategy Balanced: 60.00% - SEB Strategy Fund - SEB Strategy Defensive: 77.28% - SEB Strategy Fund - SEB Strategy Growth: 18.82% - SEB Strategy Fund - SEB Strategy Opportunity: 41.14% Therefore, the Sub Funds SEB Strategy Fund - SEB Strategy Balanced, SEB Strategy Fund - SEB Strategy Defensive and SEB Strategy Fund - SEB Strategy Opportunity are subject to the Savings Tax Directive, both in relation to the interest income contained within the dividend payments to the interest income received on redemption of units (sale) for the period from 1 March 2015 to 28 February 2016. Therefore, the Sub Fund SEB Strategy Fund - SEB Strategy Growth is subject to the Savings Tax Directive in relation to the interest income contained within the dividend payments, only, for the period from 1 March 2015 to 28 February 2016. 41
In the context of risk measurement and in accordance with CSSF Circular 11/512 a UCITS must calculate its global exposure on at least a daily basis. For SEB Strategy Fund, the global exposure is calculated and monitored daily by using the calculation methodology Value at Risk (VaR). The VaR model used is parametric VaR. The observation period is at least 250 days. The VaR methodology provides an estimate of the maximum potential loss over a specific time period and at a given confidence level, i.e. probability level. Usually for UCITS, the time period is 1 month/20 business days and the confidence level is 99%. For example, a VaR estimate of 3% on a 20-days time period with a 99% confidence level means that, with 99% certainty, the percentage the Fund can expect to lose over the next 20 days period should be a maximum of 3%. In case of the VaR methodology, the Fund can use either the relative or the absolute VaR approach. According to CSSF Circular 11/512, the absolute VaR approach must not be greater than 20% based on a 99% confidence level and a holding period of 1 month/20 business days. In the case of the relative VaR approach, the VaR of the Fund must not be greater than twice the VaR of its reference portfolio. Nevertheless, lower limitations than those ones set by the regulator can be set in accordance with the investment policy/strategy of the fund. In addition to the VaR, the level of leverage generated through the use of derivatives and the use of collateral in relation to efficient portfolio management transactions (i.e. securities lending or repurchase agreements) is monitored twice a month. Leverage is measured as the sum of the absolute notional exposures of the financial derivative instruments (i.e. the absolute sum of all long and short notional positions in derivatives compared to the Net Asset Value of the Fund) and the reinvestment of collateral related to securities lending or repurchase agreement used by the Fund. The below overview summarises the Fund indicating the VaR approach, the reference portfolio (in the case of relative VaR), the lowest/highest and average utilisation of VaR (expressed as a percentage of the respective absolute or relative legal VaR limit) as well as the average level of leverage for the year ended 31 October 2015: Fund SEB Strategy Fund - SEB Strategy Balanced SEB Strategy Fund - SEB Strategy Defensive SEB Strategy Fund - SEB Strategy Growth SEB Strategy Fund - SEB Strategy Opportunity Relative/ Absolute VaR Reference portfolio Lowest utilisation of VaR Highest utilisation of VaR Average utilisation of VaR Average Leverage 1 Average Leverage (including FX forwards for unitclass hedging) Absolute VaR N/A 13.99% 22.13% 17.93% 40.61% 43.10% Absolute VaR N/A 7.76% 13.21% 10.37% 33.91% 35.50% Absolute VaR N/A 26.58% 44.68% 35.65% 31.94% 35.66% Absolute VaR N/A 19.52% 30.92% 25.94% 39.02% 41.57% 1 The FX Forwards serving the purposes of unit-class(es) hedging, if any, are not included in the leverage calculation. 42
SEB Asset Management S.A. 4, rue Peternelchen, L-2370 Howald, Luxembourg Postal address: PO Box 2053, L-1020 Luxembourg Phone +352-26 23 20 00; Fax +352-26 23 25 55 www.sebgroup.lu 43