spotr™ 1 - seb omxs30_helarsrappor… · luxembourgeoise des fonds d'investissement) ......

Annual report including audited financial statements

as at 31st December 2015

SpotR™ 1 Investment Company (SICAV), Luxembourg

R.C.S. Luxembourg B 158 826

Notice

The sole legally bind ing basis for the purchase of

Shares of the Company described in this report is

the latest valid sales prospectus with its terms of

contract.

SpotR™ 1

Contents

1

Organisation .......................................................................................................................................................... 2

General information ............................................................................................................................................ 4

Report from the Management Company ......................................................................................................... 6

Audit report ........................................................................................................................................................... 9

Combined statement of net assets ................................................................................................................... 11

Combined statement of operations and other changes in net assets ........................................................ 12

SpotR™ 1 --- SpotR™ OMXS30 UCITS ETF .................................................................................................. 13 Statement of net assets .................................................................................................................................... 13 Statement of operations and other changes in net assets ........................................................................... 14 Statistical information ..................................................................................................................................... 15

SpotR™ 1 --- SpotR™ Bull OMXS30 UCITS ETF .......................................................................................... 16 Statement of net assets .................................................................................................................................... 16 Statement of operations and other changes in net assets ........................................................................... 17 Statistical information ..................................................................................................................................... 18

SpotR™ 1 --- SpotR™ Bear OMXS30 UCITS ETF ......................................................................................... 19 Statement of net assets .................................................................................................................................... 19 Statement of operations and other changes in net assets ........................................................................... 20 Statistical information ..................................................................................................................................... 21

Notes to the financial statements .................................................................................................................... 22

SpotR™ 1

2

Organisation

Registered Office 4, rue Peternelchen

L-2370 Howald

Board of Directors Chairman

Ralf FERNER

Managing Director

SEB Fund Services S.A., Luxembourg

(until 29th January 2016)

Directors

John CAULFIELD

Head of Client Relations & Service Management

SEB Fund Services S.A.

(until 21st October 2015)

Marie JUHLIN

Deputy Managing Director


(since 29th January 2016)

Jonas-Petter VON MARTENS

Client Relations & Service Management

SEB Fund Services S.A.

(since 29th January 2016)

Jérôme WIGNY

Partner

Elvinger, Hoss & Prussen, Luxembourg

Management Company SEB Fund Services S.A.

4, rue Peternelchen

L-2370 Howald

Board of Directors of Chairman

the Management Company Gustaf UNGER

Head of Investor Services, Transaction Banking

Skandinaviska Enskilda Banken AB (publ), Sweden

Vice-Chairman

Peter KUBICKI

Head of Wealth Management

SEB Wealth Management, Denmark

(until 2nd March 2015)

Directors

Ralf FERNER

Managing Director


(until 11th December 2015)

SpotR™ 1

Organisation (continued)

3

Göran FORS

Head of Sales and Market Development

Asset Servicing


Jonas LINDGREN

Head of Prime Brokerage, SEB Equities,


Erika LUNDQUIST

Managing Director

Skandinaviska Enskilda Banken S.A., Luxembourg

(since 2nd March 2015)

Magnus WALLBERG

Deputy Managing Director, CFO/ COO

Skandinaviska Enskilda Banken S.A., Luxembourg

Custodian Skandinaviska Enskilda Banken S.A.

4, rue Peternelchen

L-2370 Howald

Central Administrative Agent SEB Fund Services S.A.

4, rue Peternelchen

L-2370 Howald

Administrative Agent European Fund Administration S.A.

2, rue d ’Alsace

L-1122 Luxembourg

Investment Manager SEB Investment Management AB

Sveavägen 8

SE-106 40 Stockholm

Distribution Agent Skandinaviska Enskilda Banken AB (publ)

and Authorised Participant Kungsträdgårdsgatan 8

SE-106 40 Stockholm

Auditor PricewaterhouseCoopers, Société coopérative

2, rue Gerhard Mercator

L- 2182 Luxembourg

Legal Adviser Elvinger, Hoss & Prussen

2, p lace Winston Churchill

L-1340 Luxembourg

SpotR™ 1

4

General information

SpotR™ 1 (the "Company") is an investment company incorporated under the laws of the Grand Duchy

of Luxembourg as a "Société d’Investissement à Capital Variable" ("SICAV") on 28th January 2011 for an

unlimited period . The Company qualifies as an Undertaking for Collective Investment in Transferable

Securities under the Council Directive 2009/ 65/ EC as amended and is governed by Part I of the

amended Law of 17th December 2010 relating to Undertakings for Collective Investment.

At the date of the present report, the following Sub-Funds are offered to investors:

- SpotR™ 1 --- SpotR™ OMXS30 UCITS ETF in SEK

- SpotR™ 1 --- SpotR™ Bull OMXS30 UCITS ETF in SEK

- SpotR™ 1 --- SpotR™ Bear OMXS30 UCITS ETF in SEK

Each Sub-Fund is an Exchange Traded Fund (ETF). The Shares of each Sub-Fund are fully transferable

to investors and are listed for trad ing on the NASDAQ OMX Stockholm Exchange.

The investment objective of the Sub-Funds is to provide the investors with a return linked to the

performance of the Underlying Asset as described hereafter:

- for SpotR™ 1 --- SpotR™ OMXS30 UCITS ETF: to replicate, as far as possible, the performance

of the OMX Stockholm 30 Gross Index,

- for SpotR™ 1 --- SpotR™ Bull OMXS30 UCITS ETF: to replicate, as far as possible, approximately

two times the daily performance of the OMX Stockholm 30 Gross Index,

- for SpotR™ 1 --- SpotR™ Bear OMXS30 UCITS ETF: to replicate, as far as possible, approximately

two times the daily inverse performance of the OMX Stockholm 30 Gross Index.

The Sub-Fund s may use various investment techniques to achieve this exposure to the OMX Stockholm

30 Gross Index:

- The exposure may be achieved by way of derivative transactions such as financial derivative

instruments transactions, includ ing but not limited to OTC swap transactions, negotiated at

arm’s length with a counterparty. Accord ingly, the Sub-Fund may be at any time fully or

partially exposed to one or more counterparty. The return that the investor will receive will be

dependent on the performance of the Underlying Asset and the performance of the derivative

instrument used to link the net proceeds from the issue of Shares to the Underlying Asset.

- The Sub-Funds may also invest in the Underlying Securities of the relevant Und erlying Asset

in proportion to their weighting in the Underlying Asset and will, subject to the concentration

limits, normally aim to invest a substantial part of its total assets in the Underlying Securities

of its Underlying Asset. Each Sub-Fund of this category may hold transferable securities

tracking the Underlying Asset in accord ance with the Investment Restrictions. Such transferable

securities will allow a more practicable management of the Sub -Fund .

For the Sub-Funds, the following Share Classes may be issued :

- IC Shares Institutional Capitalisation Shares

- ID Shares Institutional Distribution Shares

- RC Shares Retail Capitalisation Shares

- RD Shares Retail Distribution Shares

Currently, only IC Shares are offered .

The reference currency of the Company is expressed in EUR.

The Company’s financial year starts on 1st January and ends on 31st Decembe r.

SpotR™ 1

General information (continued)

5

Financial reports of the Company are published annually and semi-annually. Copies of the annual

financial statements and semi-annual reports, as well as the current prospectus, copies of the Articles of

Incorporation of the Company may be obtained free of charge at the registered office of the Company.

The Board of Directors confirms its adherence with the principles contained in the ALFI (Association

Luxembourgeoise des Fonds d' Investissement) Code of Conduct for Luxembourg Investment Funds .

SpotR™ 1

6

Report from the Management Company

A long journey

Although equity markets journeyed far in 2015, they finished the year in about the same place they

started .

As ind icated by equities’ long journey, 2015 was by no means a dull year in terms of growth outlook,

monetary policy or geopolitical risk. Events provid ing the excitement included the first rate hike by the

US Federal Reserve, the Fed , in more than nine years, a nearly unprecedented collapse in commodities

prices, a slowd own in Chinese growth, and tentative signs that the European economy is on the verge

of leaving the quagmire of low growth that has prevailed since the start of the financial crisis. These

tentative signs held despite a brief resurgence of the European debt crisis following the January election

of the Syriza, the Coalition of the Rad ical Left party, in Greece and consequent renegotiations of the

country’s debt load .

As a consequence of the flat equity and bond markets, 2015 ended as a less than stellar year for long -

only investors, with no major asset class in local currency terms d elivering more than 5 percent. Given

the sheer number of uncertainties that arose in the period , we should perhaps hail even small positive

returns as a success - considering that things could have been substantially worse. If we had known at

the beginning of the year what would happen in the energy and high yield markets, we could have

foreseen more challenges for the equ ity market. This said , we regard 2015 as a lull in a continuing bull

market. We expect the riskier asset classes to outperform in local currency terms once again in 2016.

In the following paragraphs we describe our view on global growth and monetary policy, as well the

outlook for financial markets.

Global growth

The rate at which emerging and developed markets grew at a similar rate con tinued in 2015. The

d ifference between real GDP growth for Group of 7 (Canad a, France, Germany, Italy, Japan, the UK, the

US) and emerging markets fell to levels last seen in 2001.

The most prominent, most d iscussed , emerging markets slowdown occurred in China. However, it is

worth noting that economic weakness was broad -based .

Both Russia and Brazil entered significant recessions, with Brazil experiencing a deeper recession than

in 2008.

Looking beyond China, emerging markets were challenged primarily by declining commodity prices

and tightening US monetary policy: prices d ropped when commodity producers came under pressure,

and global capital market flows changed as money moved from emerging markets back to the US. The

Fed’s tightening monetary policy turned into a head ache for emerging market countries with significant

current account deficits, particularly Brazil and Turkey.

Growth in Europe and the US in the past year was, in many ways, more positive than growth in

emerging markets. The US labour market continued to post impressive gains in employment which

drove the unemployment rate down to a post crisis low of 5 percent. At the same time we saw renewed

momentum for the US housing market as measured by "housing starts" (the number of privately owned

housing units on which construction has begun in a given period), build ing permits and sentiment

started to grow at a rate similar to the late 1990s - although a far cry from the boom years for construction

in 2002-2007. The National Association of Home Build ers is the source for this information. All in all,

the strategic outlook for the US economy gained strength in the past year.

SpotR™ 1

Report from the Management Company (continued)

7

Despite gains in strategic d ata for the US and Europe, we d id not see the pick-up in consumption that

we expected based on higher employment, wages and consumer confidence. Instead , US retail sales

grew at the slowest pace in years. In our view, this puzzling low growth rate of consumption was one

of the major reasons why the market corrected so significantly in the third quarter of 2015 - the only

major correction in 2015. If growth rates in consumption had reacted as expected , we would have seen

much stronger earnings and sales for equity markets - which would have softened the market’s fall.

Monetary policy

As with the global economy, monetary policy also remained highly heterogeneous. This d ifference was

made obvious in the Fed’s hiked rates compared to the European Central Bank’s (ECB) launch of its first

quantitative easing programme in early 2015 and expansion of same in December 2015.

This d ivergence in monetary policy reflects the very d ifferent stages of the economic cycle in Europe

and the US. Whereas higher employment in the US has erad icated much of the labour market slack, the

European economy is just starting to return to real, significant, and stable growth. And this is after years

of continuous uncertainty regard ing the euro’s stability. As such, the slack in the European recovery

remains high which warranted the ECB’s aggressive stimulus progra mme.

Outlook for financial markets & economic growth

Despite uncertainty regard ing the impact of the emerging market slowdown on growth rates in

developed countries, the US and European recovery remain on firm footing d ue to gains in strategic,

long term factors such as cred it, housing, and employment. We believe there is a good chance of the

long awaited consumer driven recovery occurring in 2016. In add ition to the strength of the strategic

data, the ECB’s highly accommodative monetary policy should exer t downward pressure on the euro

thus boosting exports and , in the long term, lead ing to a recovery in Europe.

Since the summer of 2014 we have seen a significant decline in commodity prices in general and in

energy prices in particu lar. Although this decline has not yet led to a significant increase in

consumption, we believe that when consumers fully grasp that prices will remain low for the

foreseeable future consumption will increase. Then we expect to see the trad itional positive effect of

declining oil prices resu lting in growth in the coming year.

Emerging markets continue to be highly d isparate, due to factors such as depend ence on oil revenues,

varying fiscal balances, and current account deficits. Looking to the year ahead , we expect continued

weakness in Latin America, and relative strength in Asia.

Given our benign outlook for growth in developed countries, we expect equities will deliver a higher

return than government bonds. We believe the return on equities will resemble its historical aver age,

and that gains will be d riven by rising earnings and sales, since valuations are already slightly above

their historical averages. In our view, the ongoing US rate hike cycle and improving global growth

should place upward pressure on core government bond yield s. In conclusion, we recommend a slightly

higher allocation to risk in general and equities in particular, as compared to strategic allocation.

Tracking Error

SpotR™ 1 --- SpotR™ OMXS30 UCITS ETF

The objective of the Sub-Fund is to replicate, as far as possible, the performance of the OMX Stockholm

30 Gross Index prior to calculation of fees.

The tracking error was measured at the last available NAV for the period under review, it was equal to

0.04% as at 30th December 2015 compared to an anticipated tracking error of 0.1%, which means the

SpotR™ 1

Report from the Management Company (continued)

8

effective tracking error has remained below the threshold . This ind icator has been computed using daily

observations.

SpotR™ 1 --- SpotR™ Bull OMXS30 UCITS ETF

The objective of the Sub-Fund is to replicate, as far as possible, approximately two times the daily

performance of the OMX Stockholm 30 Gross Index prior to calculation of fees.


0.36% as at 30th December 2015 compared to an anticipated tracking error of 2%, which means the


observations.

SpotR™ 1 --- SpotR™ Bear OMXS30 UCITS ETF

The objective of the Sub-Fund is to replicate, as far as possible, approximately two times the daily

inverse performance of the OMX Stockholm 30 Gross Index prior to calcu lation of fees.


0.92% as at 30th December 2015 compared to an anticipated tracking error of 1.2%, which means the


observations.

Luxembourg, 8th February 2016 The Management Company

Note: The information in this report represents historical data and is not an ind ication of future results.

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

9

Audit report

To the Shareholders of

SpotR™ 1

We have aud ited the accompanying financial statements of SpotR™ 1 and of each of its Sub-Funds,

which comprise the statement of net assets as at 31st December 2015 and the statement of operations

and other 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 SICAV for the financial statements

The Board of Directors of the SICAV is responsible for the preparation and fair presentation of these

financial statements in accordance with Luxembourg legal and regulatory requ irements relating to the

preparation of the financial statements and for such internal control as the Board of Directors of the

SICAV 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 sta tements based on our aud it. We

conducted our aud it in accord ance with International Standard s on Auditing as ad opted for

Luxembourg by the "Commission de Surveillance du Secteur Financier". Those stand ards require that

we comply with ethical requirements and p lan and perform the aud it to obtain reasonable assurance

about whether the financial statements are free from material misstatement.

An audit involves performing procedures to obtain aud it evidence about the amounts and d isclosures

in the financial statements. The procedures selected depend on the judgment of the

"Réviseur d’entreprises agréé", includ ing 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 aud it 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 SICAV, as well a s

evaluating the overall presentation of the financial statements.

_I-pwc

Audit report (continued)

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis forour audit opinion.

Opinion

In our opinion, the financial statements give a true and fair view ofthe financial position of SpotRTM 1and ofeach ofits Sub-Funds as of31st December 2015, and ofthe results oftheir operations and changesin their net assets for the year then ended in accordance with Luxembourg legal and regulatoryrequirements relating to the preparation of the financial statements.

Other m atters

Supplementary information included in the annual report has been reviewed in the context of ourmandate but has not been subject to specific audit procedures carried out in accordance with thestandards described above. Consequently, we express no opinion on such information. However, wehave no observation to make concerning such information in the context of the financial statementstaken as a whole.

Pricew aterhouseCoopers, Société coopérative Luxembourg, 22nd March 2016Represented by

Philippe Sergiel

10

SpotR™ 1

Combined statement of net assets (in EUR)


The accompanying notes are an integral part of these financial statements.

11

Assets

Cash receivable from swap counterparty 45,002,550.60

Unrealised gain on funded swaps contracts 207,920.54

Unrealised gain on unfund ed swaps contracts 13,916.42

Total assets 45,224,387.56

Liabilities

Unrealised loss on funded swaps contracts 37,506.73

Unrealised loss on unfunded swaps contracts 36,526.20

Expenses payable 15,937.13

Interest payable on funded swaps contracts 1,777.63

Interest payable on unfund ed swaps contracts 480.17

Total liabilities 92,227.86

Net assets at the end of the year 45,132,159.70

SpotR™ 1

Combined statement of operations and other changes in net assets (in EUR)

from 1st January 2015 to 31st December 2015


12

Income

Total income 0.00

Expenses

Management Company fees 270,072.37

Interest paid on funded swaps contracts 106,115.40

Interest paid on unfunded swaps contracts 86,229.34

Total expenses 462,417.11

Net investment loss -462,417.11

Net realised gain/(loss)

- on funded swaps contracts 897,367.07

- on unfunded swaps contracts -643,168.78

Realised result -208,218.82

Net variation of the unrealised gain/(loss)

- on funded swaps contracts -375,470.73

- on unfunded swaps contracts 71,038.32

Result of operations -512,651.23

Subscriptions 2,860,678.53

Redemptions -41,752,913.33

Total changes in net assets -39,404,886.03

Total net assets at the beginning of the year 82,446,508.22

Revaluation d ifference 2,090,537.51

Total net assets at the end of the year 45,132,159.70


Statement of net assets (in SEK)



13

Assets


Unrealised gain on funded swaps contracts 1,782,913.91


Liabilities





Number of IC Shares outstand ing 1,886,576

Net asset value per IC Share 160.66


Statement of operations and other changes in net assets (in SEK)



14

Income

Total income 0.00

Expenses

Management Company fees 1,112,974.87


Total expenses 1,675,233.73

Net investment loss -1,675,233.73


- on funded swaps contracts 14,465,434.52

Realised result 12,790,200.79


- on funded swaps contracts -4,123,621.38

Result of operations 8,666,579.41

Subscriptions -






Statistical information (in SEK)



15

Total net assets

- as at 31.12.2015 303,094,232.07

- as at 31.12.2014 518,049,652.66

- as at 31.12.2013 478,653,481.19

Number of IC Shares outstanding

- outstanding at the beginning of the year 3,286,576

- issued 0

- redeemed -1,400,000

- outstanding at the end of the year 1,886,576

Net asset value per IC Share

- as at 31.12.2015 160.66

- as at 31.12.2014 157.63

- as at 31.12.2013 138.74





16

Assets



Liabilities

Unrealised loss on funded swaps contracts 344,953.89

Unrealised loss on unfunded swaps contracts 335,935.81



Interest payable on unfund ed swaps contracts 2,434.56



Number of IC Shares outstand ing 400,000






17

Income

Total income 0.00

Expenses








- on unfunded swaps contracts -2,967,105.11

Realised result -7,550,472.68


- on funded swaps contracts 1,367,513.94

- on unfunded swaps contracts 1,336,180.40

Result of operations -4,846,778.34

Subscriptions -









18

Total net assets

- as at 31.12.2015 81,086,948.03

- as at 31.12.2014 172,788,226.37

- as at 31.12.2013 323,527,366.85


- outstanding at the beginning of the year 850,000

- issued 0

- redeemed -450,000

- outstanding at the end of the year 400,000


- as at 31.12.2015 202.72

- as at 31.12.2014 203.28

- as at 31.12.2013 161.76





19

Assets


Unrealised gain on funded swaps contracts 129,356.02

Unrealised gain on unfund ed swaps contracts 127,990.94


Liabilities


Interest payable on funded swaps contracts 980.07

Interest payable on unfund ed swaps contracts 1,981.61



Number of IC Shares outstand ing 1,280,000






20

Income

Total income 0.00

Expenses








- on unfunded swaps contracts -2,948,194.53

Realised result -7,154,741.21


- on funded swaps contracts -697,141.46

- on unfunded swaps contracts -682,832.53

Result of operations -8,534,715.20

Subscriptions 26,310,000.00









21

Total net assets

- as at 31.12.2015 30,904,649.88

- as at 31.12.2014 86,659,365.08

- as at 31.12.2013 27,254,736.31


- outstanding at the beginning of the year 3,030,000

- issued 1,250,000

- redeemed -3,000,000

- outstanding at the end of the year 1,280,000


- as at 31.12.2015 24.14

- as at 31.12.2014 28.60

- as at 31.12.2013 38.94

SpotR™ 1

Notes to the financial statements


22

Note 1 - Significant accounting policies

a) Presentation of the financial statements

The financial statements of the Company are established in accordance with the Luxembourg legal and

regulatory requirements concerning Undertakings for Collective Investment.

The financial statements are d isclosed on the basis of the Net Asset Value of the Sub -Funds calculated

on 31st December 2015. In accordance with the prospectus, as the Underlying Asset is not calcu lated by

the relevant Index Provider on 30th December 2015, the last official trad ing NAV of the corresponding

Sub-Fund has been calculated on 30th December 2015. Nevertheless, an add itional NAV has been

calculated on 31st December 2015 for reporting purposes and is d isclosed in these financial statements.

b) Valuation

1. the value of any cash on hand or on deposit, bills and demand notes and accounts receivable,

prepaid expenses, cash d ividends and interest declared or accrued as aforesaid and not yet

received is deemed to be the full amount thereof, unless in any case the same is unlikely to be

paid or received in full, in which case the value thereof shall be determined after making such

d iscount as may be considered appropriate in such case to reflect the true value thereof;

2. the value of all securities which are listed or traded on an official stock exchange or traded on

any other Regulated Market is valued on the basis of the last available prices on the Business

Day immediately preced ing the Valuat ion Day or on the basis of the last available prices on the

main market on which the investments of the Sub-Funds are principally traded . The Board of

Directors will approve a pricing service which will supply the above prices. If, in the opinion of

the Board of Directors, such prices do not truly reflect the fair market value of the relevant

securities, the value of such securities will be determined in good faith by the Board of Directors

either by reference to any other publicly available source or by re ference to such other sources

as it deems in its d iscretion appropriate;

3. securities not listed or traded on a stock exchange or a Regulated Market are valued on the basis

of the probable sales price determined prudently and in good faith by the Board of Di rectors;

4. securities issued by open-ended investment funds are valued at their last available net asset

value or in accord ance with item 2. above where such securities are listed ;

5. the liquid ating value of futures, forward or options contracts that are not t raded on exchange

or on other organised markets are determined pursuant to the policies established by the Board

of Directors, on a basis consistently applied . The liquidating value of futures, forward or options

contracts traded on exchanges or on other organised markets are based upon the last available

settlement prices of these contracts on exchanges and organised markets on which the particular

futures, forward or options contracts are traded ; provided that if a future, forward or op tion

contract could not be liquid ated on such Business Day with respect to which a Net Asset Value

is being determined , then the basis for determining the liquid ating value of such contract shall

be such value as the Board of Directors may deem fair and reasonable;

6. liqu id assets and money market instruments are valued at nominal value plus any accrued

interest or using an amortised cost method; this amortised cost method may result in periods

during which the value deviates from the price the relevant Sub -Fund would receive if it sold

the investment. The Management Company may, from time to time, assess this method of

valuation and recommend changes, where necessary, to ensure that such assets w ill be valued

at their fair value as determined in good faith pursuant to procedures established by the Board

of Directors. If the Board of Directors believes that a deviation from the amortised cost per Share

may result in material d ilu tion or other unfair resu lts to Shareholders, the Board of Directors

SpotR™ 1

Notes to the financial statements (continued)


23

shall take such corrective action , if any, as it deems appropriate, to eliminate or reduce, to the

extent reasonably practicable, the d ilution or unfair results;

7. the swap transactions are consistently valued based on a calculation of the net present value of

their expected cash flows; and

8. all other securities and other permissible assets as well as any of the above mentioned assets for

which the valuation in accordance with the above sub-paragraphs would not be possible or

practicable, or would not be representative of their fair value, are valued at fair market value,

as determined in good faith pursuant to procedures established by the Board of Directors.

c) Exchange translation

Bank balances, other assets and liabilities and the value of securities held that are denominated in other

currencies than the Sub-Fund’s currency are converted at the prevailing exchange rate of the closing

day. Income and expenses incurred in currencies other than the Sub-Fund’s currency are converted at

the prevailing exchange rate of the day of each transaction. Exchange gains and losses are recorded in

the statement of operations and other changes in net assets .

d ) Combined financial statements

The combined financial statements of the Company are expressed in EUR and are equal to the converted

sum of the corresponding captions in the financial statements of each Sub -Fund .

At the date of the report, the exchange rate used for the combined statement is the following:

1 EUR = 9.1971187 SEK Swedish Krona

e) Transaction fees

Transaction costs d isclosed under the caption "Transaction fees" in the expenses of the statement of

operations and other changes in net assets are mainly composed of broker fees incurred by the Company

and of fees relating to liquidation of transactions paid to the custod ian bank.

For the period in reference to the report, no transaction costs are recorded as the Company has not held

any transferable securities.

Note 2 - Subscription, redemption and conversion fees

The Authorised Participant is entitled to receive the following fees:

- a subscription fee equals to the higher of (i) SEK 30,000 per subscription request; and (ii) 0.03%

of the Net Asset Value per Share on which the subscription is based , multiplied by the number

of Shares subscribed ,

- a redemption fee equals to the higher of (i) SEK 30,000 per redemption request; and (ii) 0.03%

of the Net Asset Value per Share on which the redemption is based , multiplied by the number

of Shares redeemed,

SpotR™ 1



24

- a conversion fee of an amount equal to the higher of (i) SEK 30,000 per conversion request; and

(ii) 0.03% of the Net Asset Value per Share on which the conversion is based , multiplied by the

number of Shares converted .

Note 3 - Management Company fees

For its services, the Management Company, SEB Fund Services S.A., is entitled to receive a Management

Company fee calcu lated on the average net assets of each Sub-Fund and payable monthly in arrears to

the following rates:

Sub-Funds Effective annual rate

- SpotR™ 1 --- SpotR™ OMXS30 UCITS ETF 0.20% p.a.

- SpotR™ 1 --- SpotR™ Bull OMXS30 UCITS ETF 0.50% p.a.

- SpotR™ 1 --- SpotR™ Bear OMXS30 UCITS ETF 0.50% p.a.

The Management Company remunerates the Investment Manager ou t of the Management Company

fees.

Note 4 - Fees

The Central Administrative Agent fees, the Custod ian and the Professional fees are borne by the

Management Company.

Note 5 - Subscription duty ("Taxe d’abonnement")

The Company is governed by Luxembourg law.

Pursuant to the legislation and regulations in force, the Company is subject to an annual subscrip tion

duty ("taxe d’abonnement") of 0.05% which is payable quarterly and calculated on the basis of the net

assets of each Sub-Fund on the last day of each quarter, except for Institutional Shares reserved for

Institutional Investors who may benefit from the reduced rate of 0.01%.

All Sub-Funds (i) whose Shares are listed or traded on at least one stock exchange or another regu lated

market operating regularly, recognised and open to the public; and (ii) whose exclusive objective is to

replicate the performance of one or more ind ices are exempt from the "taxe d’abonnement".

Note 6 - Risk management

As required by Circular CSSF 11/ 512, the Board of Directors needs to determine the global risk exposure

of the Company either by applying the commitment approach or the VaR approach. The Board of

Directors of the Company decided to adopt the commitment approach as a method of determining the

global exposure.

SpotR™ 1



25

Note 7 - Shares dealing

Shares of SpotR™ 1 can be dealt in on either the primary market or second ary market.

The primary market is the market on which Shares are issued by the Company. Shares can be subscribed

and redeemed for cash or in kind by notifying the Authorised Participant, Skandinaviska Enskilda

Banken AB (publ), Stockholm.

The Shares may also be purchased or sold on the secondary market through a stock exchange or over

the counter. It is expected that the Shares will be listed on one or more Relevant Stock Exchanges to

facilitate the secondary market trad ing in the Shares. The purpose of the listing of the Shares on one or

more Relevant Stock Exchanges is to enable investors to buy shares in smaller quantities than would be

possible through the primary market or over the counter. Such orders to buy or sell Shares in the

second ary market through the Relevant Stock Exchange or over the counter may incur costs over which

the Company has no control. The Company d oes not charge any subscrip tion or redemption fee for

purchases and sales on the second ary market. The price of any Shares traded on the secondary market

will depend , inter alia, on market supply and demand , movem ents in the value of the Underlying Asset

as well as other factors such as prevailing financial market, corporate, economic and political conditions.

In accordance with the requirements of the Relevant Stock Exchanges, Market Makers are expected to

provide liquid ity and two way prices to facilitate the second ary market trad ing of the Shares.

Note 8 - Swaps contracts

The Fund intends to use swap s contracts as the preferred means of achieving its investment objective.

A swaps contract is an agreement between two parties to exchange certain benefits of one party’s

financial instrument for those of the other party’s financial instrument.

As at 31st December 2015, the Sub-Funds are committed in the following index swap s contracts w ith

Skandinaviska Enskilda Banken AB (publ), Stockholm as counterparty:

For the Sub-Fund SpotR™ 1 --- SpotR™ OMXS30 UCITS ETF

Swap

type

Equity Notional

Amount Currency Underlying Maturity

Underlying exposure

Unrealised result

(in SEK) (in SEK)

Funded 301,398,030.30 SEK OMX Stockholm

30 Gross Index 11.01.2016 303,166,711.53 1,782,913.91

303,166,711.53 1,782,913.91

- Funded swap s contract

The Sub-Fund transfers the equity notional amount to Skand inaviska Enskilda Banken AB

(publ) and pays an interest amount which is the product of the Equity Notional Amount and a

fixed interest rate of 0.10% calculated on the Equity Notional Amount. Skand inaviska Enskilda

Banken AB (publ) posts collateral in favour of the Sub-Fund (see note 9).

The Sub-Fund receives the index total return from Skandinaviska Enskild a Banken AB (publ).

SpotR™ 1



26

For the Sub-Fund SpotR™ 1 --- SpotR™ Bull OMXS30 UCITS ETF

Swap

type

Equity Notional


Underlying exposure

Unrealised result

(in SEK) (in SEK)

Funded 81,815,396.59 SEK OMX Stockholm

30 Gross Index 11.01.2016 81,469,306.38 -344,953.89

Unfunded 79,676,507.21 SEK OMX Stockholm

30 Gross Index 11.01.2016 79,338,136.84 -335,935.81

160,807,443.22 -680,889.70



(publ) and pays an interest amount which is the product of the Equity Notional Amount and a

fixed interest rate of 0.10% calculated on the Equity Notional Amou nt. Skand inaviska Enskilda

Banken AB (publ) posts collateral in favour of the Sub-Fund (see note 9).


- Unfunded swaps contract

The Sub-Fund pays to Skandinaviska En skild a Banken AB (publ) an interest amount which is

the product of the Equity Notional Amount and the SEB Base Rate in SEK (the overnight rate

for the relevant currency) plus a spread of 0.22% p.a..


For the Sub-Fund SpotR™ 1 --- SpotR™ Bear OMXS30 UCITS ETF

Swap

type

Equity Notional


Underlying exposure

Unrealised result

(in SEK) (in SEK)

Funded -30,680,372.80 SEK OMX Stockholm

30 Gross Index 11.01.2016 30,551,996.85 129,356.02

Unfunded -30,356,607.70 SEK OMX Stockholm

30 Gross Index 11.01.2016 30,230,598.37 127,990.94

60,782,595.22 257,346.96



(publ) and receives an interest amount which is the product of the Equity Notional Amount and

the SEB Base Rate in SEK (the overnight rate for the relevant currency) minus a spread of 0.23%

p.a.. Skandinaviska Enskild a Banken AB (publ) posts collateral in favour of the Sub -Fund (see

note 9).

The Sub-Fund pays the ind ex total return to Skandinaviska Enskild a Banken AB (publ).

SpotR™ 1



27

- Unfunded swaps contract

The Sub-Fund pays the ind ex total return to Skandinaviska Enskild a Banken AB (publ).

The Sub-Fund receives from Skandinaviska Enskild a Banken AB (publ) an interest amount

which is the product of the Equity Notional Amount and the SEB Base Rate in SEK (the

overnight rate for the relevant currency) minus a spread of 0.47% p.a..

As at 31st December 2015, the underlying of these swap s contracts, the OMX Stockholm 30 Gross Index,

is composed as follows:

Companies ISIN Sector Weight in the

index (in %)

ABB Ltd CH0012221716 Heavy Electrical Equipment 2.32

Alfa Laval AB SE0000695876 Construction & Farm Machinery &

Heavy Trucks 1.81

Assa Abloy AB ser. B SE0000255648 Build ing Products 5.23

AstraZeneca PLC GB0009895292 Pharmaceuticals 2.25

Atlas Copco AB ser. A SE0000101032 Industrial Machinery 4.87

Atlas Copco AB ser. B SE0000122467 Industrial Machinery 2.12

Boliden AB SE0000869646 Diversified Metals & Mining 1.09

Electrolux, AB ser. B SE0000103814 Household Appliances 1.72

Ericsson, Telefonab. L M ser. SE0000108656 Communications Equipment 6.97

Getinge AB ser. B SE0000202624 Health Care Equipment 1.38

Hennes & Mauritz AB, H & M ser SE0000106270 Apparel Retail 12.28

Investor AB ser. B SE0000107419 Multi-Sector Hold ings 3.96

Kinnevik, Investment AB ser. B SE0000164626 Investment companies 1.72

Lundin Petroleum AB SE0000825820 Oil & Gas Exploration & Production 1.06

Modern Times Group MTG AB ser. SE0000412371 Broadcasting 0.37

Nokia Corporation FI0009000681 Communications Equipment 0.15

Nordea Bank AB SE0000427361 Diversified Banks 10.52

Sandvik AB SE0000667891 Industrial Machinery 2.59

Securitas AB ser. B SE0000163594 Security & Alarm Services 1.26

Skand . Enskilda Banken ser. A SE0000148884 Diversified Banks 5.40

Skanska AB ser. B SE0000113250 Construction & Engineering 1.83

SKF, AB ser. B SE0000108227 Industrial Machinery 1.60

SSAB AB ser. A SE0000171100 Steel 0.19

Svenska Cellulosa AB SCA ser. SE0000112724 Paper Products 4.25

Svenska Handelsbanken ser. A SE0000193120 Diversified Banks 5.88

Swedbank AB ser A SE0000242455 Diversified Banks 5.89

Swedish Match AB SE0000310336 Tobacco 1.64

http://fr.wikipedia.org/wiki/Asea_Brown_Boveri

http://fr.wikipedia.org/wiki/Alfa_Laval

http://fr.wikipedia.org/wiki/Assa_Abloy

http://fr.wikipedia.org/wiki/AstraZeneca

http://fr.wikipedia.org/wiki/Atlas_Copco

http://fr.wikipedia.org/wiki/Atlas_Copco

http://fr.wikipedia.org/w/index.php?title=Boliden_AB&action=edit&redlink=1

http://fr.wikipedia.org/wiki/Electrolux

http://fr.wikipedia.org/wiki/Ericsson

http://fr.wikipedia.org/w/index.php?title=Getinge_AB&action=edit&redlink=1

http://fr.wikipedia.org/wiki/H%26M

http://fr.wikipedia.org/wiki/Investor_AB

http://fr.wikipedia.org/w/index.php?title=Lundin_Petroleum&action=edit&redlink=1

http://fr.wikipedia.org/wiki/Modern_Times_Group

http://fr.wikipedia.org/wiki/Nokia

http://fr.wikipedia.org/wiki/Nordea

http://fr.wikipedia.org/wiki/Sandvik

http://fr.wikipedia.org/wiki/Securitas_AB

http://fr.wikipedia.org/wiki/Skandinaviska_Enskilda_Banken

http://fr.wikipedia.org/w/index.php?title=Skanska&action=edit&redlink=1

http://fr.wikipedia.org/wiki/SKF

http://fr.wikipedia.org/wiki/SSAB

http://fr.wikipedia.org/wiki/Handelsbanken

http://fr.wikipedia.org/wiki/Swedbank

http://fr.wikipedia.org/wiki/Swedish_Match

SpotR™ 1



28

Companies ISIN Sector Weight in the

index (in %)

Tele2 AB ser. B SE0005190238 Integrated Telecommunication Services 1.01

TeliaSonera AB SE0000667925 Integrated Telecommunication Services 5.08

Volvo, AB ser. B SE0000115446 Construction & Farm Machinery &

Heavy Trucks 3.56

100.00

Note 9 - Collateral

The Management Company on behalf of the Sub-Funds enters into collateral arrangements with

Skandinaviska Enskild a Banken AB (publ) in Stockholm, its swap counterparty, to mitigate potential

counterparty risks.

In connection with the valuation of their swap s contracts as at 31st December 2015, the Sub-Fund s

received the following collateral in shares ad mitted to an official stock exchange listing from

Skandinaviska Enskilda Banken AB Prime Collateral Services in Stockholm on 31st December 2015:


Currency Number Description Collateral Value (in SEK)

USD 917 Allergan Plc 2,410,936.28

EUR 20,008 ASML Hold ing NV 15,130,566.45

SEK 120,330 Assa Abloy AB B 21,418,740.00

GBP 2,252,277 BBA Group Plc 53,053,916.68

USD 10,133 Boeing Co (The) 12,326,582.18

USD 4,263 Celgene Corp 4,295,299.93

GBP 400,000 Henderson Group Plc 15,426,416.88

EUR 2,090 Henkel AG & Co KGaA Pref 1,975,879.31

GBP 44,963 Informa Plc 3,433,364.21

GBP 377,123 Intl Consolidated Air Gr SA 28,679,581.42

SEK 95,618 Investor AB B 29,890,186.80

SEK 63,139 Nibe Industrier AB B 17,963,045.50

GBP 1,559 Rio Tinto Plc 384,419.79

GBP 59,180 SABMiller Plc 29,999,922.58

USD 63,339 Schlumberger Ltd 37,169,078.11

SEK 182,890 Swedbank AB A 34,218,719.00

GBP 100,000 TUI AG 15,085,102.43

GBP 455,338 Vodafone Group Plc 12,535,171.77

SEK 123,546 Volvo AB B 9,772,488.60

345,169,417.92

http://fr.wikipedia.org/wiki/Tele2

http://fr.wikipedia.org/wiki/TeliaSonera

SpotR™ 1



29



USD 1,511 Affiliated Managers Group Inc 2,030,948.41

EUR 5,929 Akzo Nobel NV 3,350,119.10

USD 459 Alphabet Inc C 2,930,570.46

GBP 118,822 Berendsen Plc 15,970,643.78

EUR 5,320 Gerresheimer AG 3,518,220.91

CHF 108 Givaudan SA Reg 1,660,845.40

GBP 21,158 Imperial Tobacco Group Plc 9,452,562.73

SEK 18,239 Intrum Justitia AB 5,263,775.40

USD 23,992 Liberty Global Plc C 8,229,501.70

EUR 23,039 Nordex SE 6,912,089.61

USD 337 Priceline Group Inc (The) 3,614,842.91

EUR 5,442 SAP SE 3,658,227.21

USD 10,313 SBA Communications Corp A 9,116,541.75

EUR 29,342 Société Générale 11,442,681.08

EUR 7,553 Talanx AG Reg 1,975,076.69

SEK 47,175 TeliaSonera AB 1,990,313.25

USD 2,067 Under Armour Inc A 1,401,831.37

92,518,791.75



CHF 1,554 Actelion Ltd 1,830,017.39

EUR 2,220 Allianz SE Reg 3,326,120.31

USD 10,978 Anadarko Petroleum Corp 4,486,907.46

EUR 3,914 Bechtle AG 3,157,431.47

EUR 2,440 Deutsche Boerse AG Reg 1,819,262.24

USD 4,000 Facebook Inc A 3,522,143.91

CHF 334 Givaudan SA Reg 5,136,318.17

EUR 1,296 Kering 1,875,249.52

USD 4,664 Master Card Inc A 3,820,370.49

SEK 5,219 Nordea Bank AB 486,932.70

CHF 3,472 Novartis AG Reg 2,542,249.82

EUR 39,825 Oriola-KD Corp B 1,576,064.41

USD 3,159 Pepsico Inc 2,655,635.26

EUR 2,332 Rheinmetall AG 1,313,399.47

37,548,102.61

Note 10 - Changes in investments

The statement of changes in investments for the period referring to the report is available free of charge

at the registered office of the Company.

SEB Fund Services S.A. 4, rue Peternelchen, L-2370 Howald

Postal address: PO Box 2053, L-1020 Luxembourg

Phone +352 - 2623-1; Fax +352 - 2623-2012

spotr™ 1 - seb omxs30_helarsrappor… · luxembourgeoise des fonds d'investissement) ......

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