Annual Report - SEB · Notes to the Financial Statements 34 Audit Report 38 Risk Disclosure (unaudited) 41 ... • SEB High Yield - SEB Sustainable High Yield Fund Unless otherwise

Annual Report SEB High Yield Status: For the period from 1 November 2016 to 31 December 2017

R.C.S. K 56

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.

Table of Contents

1

Page

Additional Information to the Investors in Germany 2

Organisation 3

General Information 5

Management Report 7

Schedule of Investments:

SEB High Yield - SEB European High Yield Fund 9

SEB High Yield - SEB Sustainable High Yield Fund 16

Combined Statement of Operations 29

Combined Statement of Changes in Net Assets 30

Combined Statement of Net Assets 31

Statistical Information 32

Notes to the Financial Statements 34

Audit Report 38

Risk Disclosure (unaudited) 41

Remuneration Disclosure (unaudited) 43

Additional Information to the Investors in Germany As at 31 December 2017

2

Units in circulation: The following Sub-Fund is publicly approved for distribution in Germany:

• SEB High Yield - SEB Sustainable High Yield Fund

The following Sub-Fund is not distributed in Germany:

• SEB High Yield - SEB European High Yield Fund

The information disclosed above is as at 31 December 2017 and this may change after the period end. The current Sub-Fund in circulation and the current registrations per unit class are visible in the distribution matrix on www.sebgroup.lu.

Organisation

3

Management Company: SEB Investment Management AB (since 2 November 2016) Stjärntorget 4 SE-169 79 Solna, Sweden

SEB Asset Management S.A. (until 2 November 2016) 4, rue Peternelchen L-2370 Howald, Luxembourg

Board of Directors of

the Management Company:

Chairperson

Johan Wigh Advokat, Törngren Magnell Sandemarsvägen 18 122 60 Enskede Sweden

Members

Magnus Wallberg Chief Financial Officer Life and Investment Management Division Skandinaviska Enskilda Banken AB (publ) Sweden

Karin S. Thorburn Professor in Finance at the Norwegian School of Economics Starefossveien 58 A 5019 Bergen, Norway

Jenny Askfelt Ruud (since 18 May 2017) Advisor Ratos AB Äppelviksv 5 167 53 Bromma Sweden

Branch of the Management Company: SEB Investment Management AB, Luxembourg Branch (since 2 November 2016)

4, rue Peternelchen L-2370 Howald

Central Administration (including the

administrative, registrar and transfer

agent function) and Paying Agent in

Luxembourg:

The Bank of New York Mellon SA/NV, Luxembourg Branch 2-4, rue Eugène Ruppert L-2453 Luxembourg

Investment Manager: SEB Investment Management AB

Stjärntorget 4 SE-169 79 Solna, Sweden

Depositary: Skandinaviska Enskilda Banken S.A.

4, rue Peternelchen L-2370 Howald, Luxembourg

Auditor of the Fund: PricewaterhouseCoopers, Société coopérative

2, rue Gerhard Mercator L-2182 Luxembourg

4

Auditor of the Management Company: PricewaterhouseCoopers AB Torsgatan 21 SE-113 97 Stockholm, Sweden

Global Distributor: Skandinaviska Enskilda Banken AB (publ)

Kungsträdgårdsgatan 8 SE-106 40 Stockholm, Sweden

Representatives and Paying

Agents outside Luxembourg:

The full list of representatives and paying agents outside Luxembourg can be obtained,

free of any charge, at the address of the Management Company, at the address of the

Branch and on the website of the Branch.

General Information

5

SEB High Yield is an open-ended common fund ("FCP" - "Fonds Commun de Placement") governed by Part I of the Luxembourg Law on Undertakings for Collective Investment of 17 December 2010, as amended, (the “Law”). The Fund qualifies as an Undertaking for Collective Investment in Transferable Securities (UCITS). The Fund was set up on 27 October

2000 for an undetermined duration. The Management Regulations lastly modified with effect from 20 October 2017, have

been published in the Recueil Electronique des Sociétés et Associations (RESA) on 24 October 2017. The Fund is registered

in Luxembourg at the Luxembourg Register of Commerce under the number K 56. The Management Company was

established on 19 May 1978 in the form of a Swedish limited liability company (AB). The Management Company is

authorised by Finansinspektionen for the management of UCITS and for the discretionary management of financial

instruments and investment portfolios under the Swedish UCITS Act (SFS 2004:46). The Management Company is also authorised as an alternative investment fund manager to manage alternative investment funds under the Swedish AIFM Act

(SFS 2013:561).

The Management Company has delegated parts of the Central Administration as further detailed hereafter, including the administrative, registrar and transfer agent functions - under its continued responsibility and control - at its own expenses to

The Bank of New York Mellon SA/NV, Luxembourg Branch, 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 "Registrar and Transfer Agent”).

In the capacity of Administrative Agent, it carries out certain administrative duties related to the administration of the Fund,

including the calculation of the NAV of the Units and the provision of account services for the Fund.

In its capacity as Registrar and Transfer Agent, it will process all subscriptions, redemptions and transfers of units, and will

register these transactions in the Unitholders’ register of the Fund. The main objective of each Sub-Fund will be to invest directly and/or indirectly in transferable securities and other Eligible

Assets, with the purpose of spreading investment risks and achieving long-term capital growth. The investment objectives of

the Sub-Funds will be carried out in compliance with the investment restrictions set forth in the latest prospectus. At present, two Sub-Funds are at the Unitholders’ disposal:

• SEB High Yield - SEB European High Yield Fund • SEB High Yield - SEB Sustainable High Yield Fund

Unless otherwise laid down in part II of the Prospectus, "The Sub-Funds", the Management Company may decide to issue, for each Sub-Fund, capitalisation Units ("C" Units) and distribution Units ("D" Units).

The "C" Units will reinvest their income, if any. The "D" Units may pay a dividend to its Unitholders, upon decision of the

Management Company. Dividends are paid annually, except for those Sub-Funds where the Management Company would

decide on a monthly, quarterly or semi-annual dividend payment.

The Management Company may issue Unit Classes whose Reference Currency is not the Base Currency of the respective

Sub-Fund. With regard to such Unit Classes, the Management Company has the ambition to hedge the currency exposure

from the Base Currency into the currency exposure of the Reference Currency. Considering the practical challenges of doing

so, the Management Company does not guarantee how successful such currency hedging of Unit Classes will be. For Unit

Classes where the Management Company has an ambition to currency-hedge the Unit Class, an “H-“ will precede the

currency denomination of the Unit Class. For example “(H-SEK)” means that there is an ambition by the Management

Company to hedge the currency exposure from a Base Currency into a SEK-exposure for the Unit Class. The ambition of such

hedging activity is to limit the performance impact related to fluctuations in the exchange rate between the Base Currency

and the Reference Currency of the Unit Class. The profit and loss effects related to currency hedging of a particular Unit

Class, will be allocated to the relevant Unit Class.

6

Currently, the following unit classes are offered for the Sub-Funds:

• SEB High Yield - SEB European High Yield Fund

o Capitalisation units (“C (EUR)” units) LU0977257210

o Capitalisation units (“C (H-NOK)” units) LU0977257723

o Capitalisation units (“C (H-SEK)” units) LU0977257640

o Distribution units (“D (EUR)” units) LU0977257301

o Capitalisation units (“HNWC (H-SEK)” units) LU1084480752

o Capitalisation units (“ZC (EUR)” units) LU1732230997

o Distribution units (“ZD (EUR)” units) LU1732231292

• SEB High Yield - SEB Sustainable High Yield Fund

o Capitalisation units (“C (EUR)” units) LU0456547701

o Capitalisation units (“C (H-NOK)” units) LU0428578230

o Capitalisation units (“C (H-SEK)” units) LU0413134395

o Distribution units (“D (EUR)” units) LU0120526693

o Distribution units (“D (H-SEK)” units) LU1327394042

o Distribution units (“HNWD (H-SEK)” units) LU0977256832 o Capitalisation units (“ZC (EUR)” units) LU1732231458

o Distribution units (“ZD (EUR)” units) LU1732231532

The base currency of the Fund and the Sub-Funds is Euro.

The issue and redemption prices, which are computed daily on bank business days in Luxembourg, except 24 December and

31 December ("Valuation date"), can be obtained from the registered offices of the Management Company, the Depositary

and the Paying Agent.

In addition, the Net Asset Value, fact sheets and other informational material is published on the SEB Luxembourg website

www.sebgroup.lu ("website"). When registered in other countries, the publication media might differ according to the

regulatory requirements. Information about ongoing charges can be found in the Key Investor Information

Document ("KIID").

The audited annual and unaudited semi-annual reports of the Fund may be obtained, free of charge at the registered office of the Management Company, at the address of its Branch and on the website. These reports as well as copies of the

Prospectus, the Management Regulations and the KIID are available, free of charge, at the registered office of the

Management Company, at the address of the Branch and on the website.

Management Report

7

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 of our Fund SEB High Yield.

This annual report covers the financial period from 1 November 2016 to 31 December 2017. 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.

Recovery at last

Looking back at the past ten years, the perhaps most interesting tendency has been how the market’s expectations for future

growth has consistently been too optimistic. Every year has started with high expectations which then are revised lower as

either a political crisis or a pre-mature - in hindsight - tightening of monetary policy has negatively affected growth. It is in this

context that 2017 stands out. For the first time since the financial crisis we have seen a strong and broad-based recovery in

growth. We regard it as broad-based in the sense that all sectors and all regions showed gains in unison. It is strong in the

sense that a range of major leading indicators ended higher than in decades.

The economy’s strength did not go un-noticed in the financial markets. As investors embraced the idea that growth was

finally gaining speed, and the likelihood for another disappointment fell, equities began to rally. So much in fact, that

valuations started to reach levels which in recent history have only been surpassed during the IT bubble of the late 90s.

At the time of writing, this is one of the few potential negatives for 2018. The fact that the equity markets have already

discounted much of the good macroeconomic news means we expect to see somewhat lower equity returns than 2017.

Furthermore, we also expect volatility to start rising as central banks continue to tighten monetary policy.

In the following paragraphs we describe the developments and our outlook for the financial markets, global growth and

monetary policy.

Financial markets

As stated, 2017 was a strong year for risky assets in general and equities in particular. Global equities, measured in local

currency, rose by nearly 20%, driven in large part by a strong recovery in earnings.

Despite the improving growth outlook, inflation expectations and longer dated yields ended up largely where they started at

the beginning of 2017. This disconnect was caused by a string of surprisingly weak inflation numbers coming out of the US

throughout 2017. As the labour market continued to tighten, however, the US Federal Reserve continued to hike rates in

2017 which ensured that the US yield curve flattened significantly. This development contrasted the strong growth outlook

as a flattening, inverted, yield curve traditionally is seen as a sign of an imminent recession.

In a broader asset allocation context, the most interesting feature of 2017 was the low levels of volatility. The US S&P 500

implied equity volatility Index (VIX) ended up averaging the lowest levels since the inception of the index and the S&P 500

had only eight days when the index either fell or rose by more than 1%. We have to go all the way back to 1965 to find a year

which replicates this pattern.

Global growth

During the summer of 2017, global growth started to accelerate significantly. All major PMIs (Purchasing Manager Index)

and consumer confidence indicators started to rise in unison for the first time since the financial crisis. Not only was the

strength concerted in the sense that all major leading indicators started to rise, it was also very strong. For example, US

consumer confidence rose to the highest levels since 2001 and IFO, the leading indicator for Germany, posted its highest

levels on record.

8

Given the strength in the economy over the second half of 2017, we are at a point where growth seems finally to have

consolidated. The likelihood of a slowdown in growth has fallen significantly and if leading indicators are to be trusted the

momentum seems set to continue going into 2018.

Finally, it is also worth noting that global trade has once more started to rise. The growth rate in trade for large global

exporters such as South Korea has left the single digit range which has dominated since 2011. This development will be

especially beneficial for the Emerging Market space in particular.

Monetary policy

As growth strengthened in 2017, global central banks continued to tighten monetary policy. In contrast to the last five years

this tightening fortunately did not have a negative impact on financial markets.

The US Federal Reserve hiked rates three times in 2017. This was in line with their projection, but more than what the market

was pricing. This decision to hike was largely motivated by the strong labour market, which is projected to result in higher

wage inflation, and a view that the low inflation readings of 2017 were caused by temporary factors. At the time of writing,

early 2018, there has been no material change in the Fed’s outlook and it is aiming for three hikes over the next 12 months.

The ECB announced it will continue to withdraw support through its purchases of bonds. There was some anxiety that this

announcement would have a negative effect on the broader financial markets, but this didn’t happen and the strong growth

theme dominated. The development regarding the ECB announcement illustrated that central banks in general had less

impact on financial markets in 2017 than they have had in the last couple of years.

Outlook for financial markets & economic growth

As of writing, we find it hard not to be constructive on the outlook for the global economy. We expect that all the positive

leading indicators (questionnaires for firms and consumers) will translate into even higher growth rates for consumption and

production in the coming months.

In line with the growing economy, we expect central banks to continue to tighten monetary policy. As the US economy is

farthest ahead in the economic cycle, we expect this tightening to be driven by the Fed. We expect the ECB to follow the

announced plan of reducing their bond purchases.

In terms of the financial markets, the outlook is more uncertain. As stated, much of the good news from 2017 has already

been discounted and, as such, valuations are at levels from which we do not expect to see further multiple expansion. With

that said, we believe the growth environment will remain conducive to earnings growth. We expect equities to deliver a

higher return than all major fixed income alternatives; albeit lower than 2017.

Luxembourg, 17 January 2018

SEB Investment Management AB

The Board of Directors

Schedule of Investments As at 31 December 2017

9

SEB High Yield - SEB European High Yield Fund

Security description Maturity Total holdings Market % of

value in Net

EUR Assets

Bonds indicated in 1,000 currency units

Transferable securities admitted to an official stock exchange listing Bonds

Australia 4.00 % Origin Energy Finance Ltd FRN 16/09/74 400 417,188.00 0.55

Total Australia 417,188.00 0.55

Austria 6.50 % Erste Group Bank AG FRN Perpetual 200 232,000.00 0.306.00 % UNIQA Insurance Group AG FRN 27/07/46 100 125,489.00 0.176.88 % UNIQA Insurance Group AG FRN 31/07/43 200 251,248.00 0.33

Total Austria 608,737.00 0.80

Belgium 5.63 % KBC Group NV FRN Perpetual 200 208,752.00 0.27

Total Belgium 208,752.00 0.27

Canada 6.13 % Bombardier Inc 15/05/21 300 320,586.00 0.425.50 % Cott Corp 01/07/24 250 270,497.50 0.364.50 % Valeant Pharmaceuticals International Inc 15/05/23 600 535,836.00 0.70

Total Canada 1,126,919.50 1.48

Cayman Islands 4.00 % UPCB Finance IV Ltd 15/01/27 300 318,051.00 0.42

Total Cayman Islands 318,051.00 0.42

Denmark 3.50 % TDC A/S FRN 26/02/15 150 156,759.00 0.21

Total Denmark 156,759.00 0.21

Finland 2.13 % Teollisuuden Voima Oyj 04/02/25 200 198,720.00 0.262.63 % Teollisuuden Voima Oyj 13/01/23 100 104,299.00 0.14

Total Finland 303,019.00 0.40

France 4.13 % Accor SA FRN Perpetual 200 213,040.00 0.284.00 % Banijay Group SAS 01/07/22 225 235,422.00 0.316.00 % Burger King France SAS 01/05/24 100 107,837.00 0.143.58 % Casino Guichard Perrachon SA 07/02/25 500 526,250.00 0.694.87 % Casino Guichard Perrachon SA FRN Perpetual 900 916,317.00 1.205.98 % Casino Guichard Perrachon SA 26/05/21 400 465,168.00 0.615.38 % Constantin Investissement 3 SASU 15/04/25 200 202,692.00 0.276.50 % Credit Agricole SA FRN Perpetual 200 226,500.00 0.303.38 % Crown European Holdings SA 15/05/25 200 209,650.00 0.274.25 % Electricite de France SA FRN Perpetual 200 212,210.00 0.284.20 % Eramet 28/02/24 300 307,080.00 0.403.63 % Faurecia 15/06/23 400 421,500.00 0.553.25 % Fnac Darty SA 30/09/23 200 209,950.00 0.286.00 % Groupama SA 23/01/27 100 126,069.00 0.164.00 % La Financiere Atalian SAS 15/05/24 200 209,038.00 0.27

10



value in Net

EUR Assets

7.00 % Loxam SAS 23/07/22 300 316,626.00 0.425.50 % Mobilux Finance SAS 15/11/24 200 211,726.00 0.285.00 % Orange SA FRN Perpetual 300 355,866.00 0.472.00 % Peugeot SA 23/03/24 200 204,000.00 0.276.00 % PSA Tresorerie GIE 19/09/33 200 257,648.00 0.345.63 % SFR Group SA 15/05/24 700 728,749.00 0.965.88 % SMCP Group SAS 01/05/23 108 116,655.12 0.156.75 % Societe Generale SA FRN Perpetual 200 224,268.00 0.294.20 % Solvay Finance SA FRN Perpetual 500 522,720.00 0.69

Total France 7,526,981.12 9.88

Germany 2.75 % Deutsche Bank AG 17/02/25 1,000 1,029,940.00 1.358.00 % Heidelberger Druckmaschinen AG 15/05/22 500 529,220.00 0.693.25 % IHO Verwaltungs GmbH 15/09/23 750 783,030.00 1.038.75 % Kirk Beauty One GmbH 15/07/23 200 214,428.00 0.286.25 % PrestigeBidCo GmbH 15/12/23 200 214,150.00 0.287.00 % RWE AG FRN Perpetual 400 475,536.20 0.622.50 % thyssenkrupp AG 25/02/25 300 324,450.00 0.432.75 % thyssenkrupp AG 08/03/21 800 851,088.00 1.123.13 % thyssenkrupp AG 25/10/19 100 104,698.00 0.143.75 % Unitymedia GmbH 15/01/27 200 204,104.00 0.274.00 % Unitymedia Hessen GmbH & Co KG / Unitymedia NRW GmbH 15/01/25 400 423,224.00 0.566.25 % Unitymedia Hessen GmbH & Co KG / Unitymedia NRW GmbH 15/01/29 700 786,681.00 1.033.75 % WEPA Hygieneprodukte GmbH 15/05/24 400 412,008.00 0.548.50 % Wittur International Holding GmbH 15/02/23 500 520,880.00 0.68

Total Germany 6,873,437.20 9.02

Ireland 4.13 % Allied Irish Banks Plc FRN 26/11/25 300 326,310.00 0.434.13 % Ardagh Packaging Finance Plc / Ardagh Holdings USA Inc 15/05/23 700 742,000.00 0.976.75 % Ardagh Packaging Finance Plc / Ardagh Holdings USA Inc 15/05/24 600 661,242.00 0.874.25 % Bank of Ireland FRN 11/06/24 250 263,460.00 0.357.38 % Bank of Ireland FRN Perpetual 200 224,500.00 0.294.50 % eircom Finance DAC 31/05/22 100 103,632.00 0.145.50 % Virgin Media Receivables Financing Notes I DAC 15/09/24 200 227,113.67 0.30

Total Ireland 2,548,257.67 3.35

Italy 7.75 % Assicurazioni Generali SpA FRN 12/12/42 200 258,036.00 0.3410.13 % Assicurazioni Generali SpA FRN 10/07/42 100 138,015.00 0.182.75 % Banco BPM SpA 27/07/20 400 416,888.00 0.556.00 % Banco BPM SpA 05/11/20 400 428,520.00 0.569.00 % CMF SpA 15/06/22 200 201,846.00 0.276.00 % Cooperativa Muratori & Cementisti-CMC di

Ravenna SC 15/02/23 300 298,341.00 0.396.63 % Enel SpA FRN 15/09/76 370 480,159.36 0.637.75 % Enel SpA FRN 10/09/75 350 455,174.72 0.605.00 % Intesa Sanpaolo SpA 23/09/19 100 107,733.00 0.147.00 % Intesa Sanpaolo SpA FRN Perpetual 200 221,434.00 0.298.05 % Intesa Sanpaolo SpA FRN Perpetual 100 103,493.00 0.148.38 % Intesa Sanpaolo SpA FRN Perpetual 800 905,328.00 1.197.00 % Schumann SpA 31/07/23 100 102,385.00 0.13

11



value in Net

EUR Assets

6.38 % Snaitech SpA 07/11/21 100 107,420.00 0.143.00 % Telecom Italia SpA/Milano 30/09/25 350 374,976.00 0.493.25 % Telecom Italia SpA/Milano 16/01/23 500 549,425.00 0.723.63 % Telecom Italia SpA/Milano 19/01/24 300 334,911.00 0.443.63 % Telecom Italia SpA/Milano 25/05/26 600 671,322.00 0.885.25 % Telecom Italia SpA/Milano 17/03/55 200 234,000.00 0.315.88 % Telecom Italia SpA/Milano 19/05/23 500 659,306.66 0.874.38 % UniCredit SpA FRN 03/01/27 500 542,295.00 0.715.75 % UniCredit SpA FRN 28/10/25 800 889,888.00 1.174.25 % Unione di Banche Italiane SpA FRN 05/05/26 400 412,508.00 0.545.75 % UnipolSai Assicurazioni SpA FRN Perpetual 400 427,404.00 0.562.63 % Wind Tre SpA 20/01/23 483 472,784.55 0.623.13 % Wind Tre SpA 20/01/25 483 469,934.85 0.62

Total Italy 10,263,528.14 13.48

Japan 4.00 % SoftBank Group Corp 30/07/22 200 218,408.00 0.294.75 % SoftBank Group Corp 30/07/25 700 769,419.00 1.015.25 % SoftBank Group Corp 30/07/27 200 224,406.00 0.29

Total Japan 1,212,233.00 1.59

Luxembourg 7.25 % Aldesa Financial Services SA 01/04/21 400 374,784.00 0.495.25 % Altice Financing SA 15/02/23 650 676,708.50 0.899.00 % Altice Finco SA 15/06/23 200 212,074.00 0.286.25 % Altice Luxembourg SA 15/02/25 500 490,650.00 0.647.25 % Altice Luxembourg SA 15/05/22 150 152,106.00 0.203.00 % ArcelorMittal 09/04/21 200 216,048.00 0.283.13 % ArcelorMittal 14/01/22 300 327,957.00 0.438.00 % Auris Luxembourg II SA 15/01/23 100 104,306.00 0.147.50 % Cabot Financial Luxembourg SA 01/10/23 200 235,726.88 0.315.88 % Cirsa Funding Luxembourg SA 15/05/23 200 208,500.00 0.278.50 % eDreams ODIGEO SA 01/08/21 195 209,379.43 0.274.75 % Fiat Chrysler Finance Europe SA 15/07/22 660 746,037.60 0.988.50 % Garfunkelux Holdco 3 SA 01/11/22 500 588,613.15 0.773.50 % Gestamp Funding Luxembourg SA 15/05/23 300 313,959.00 0.417.38 % Greif Nevada Holdings Inc SCS 15/07/21 500 599,565.00 0.795.38 % INEOS Group Holdings SA 01/08/24 1,000 1,067,900.00 1.405.25 % Intralot Capital Luxembourg SA 15/09/24 200 202,564.00 0.276.50 % Lecta SA 01/08/23 400 413,368.00 0.547.75 % LSF9 Balta Issuer SARL 15/09/22 567 608,680.17 0.804.88 % Matterhorn Telecom Holding SA 01/05/23 150 152,127.00 0.203.88 % Matterhorn Telecom SA 01/05/22 100 101,786.00 0.1310.00 % Prague CE S.a.r.l 15/12/22 300 289,242.00 0.385.63 % SES SA FRN Perpetual 400 444,892.00 0.587.75 % SIG Combibloc Holdings SCA 15/02/23 500 522,435.00 0.699.75 % Swissport Financing Sarl 15/12/22 700 730,303.00 0.965.38 % Takko Luxembourg 2 SCA 15/11/23 200 195,000.00 0.267.75 % Telecom Italia Finance SA 24/01/33 300 461,205.00 0.614.88 % Telenet Finance VI Luxembourg SCA 15/07/27 200 217,316.00 0.29

Total Luxembourg 10,863,232.73 14.26

Netherlands 5.75 % ABN AMRO Bank NV FRN Perpetual 200 218,500.00 0.29

12



value in Net

EUR Assets

4.25 % Achmea BV FRN Perpetual 300 326,475.00 0.435.25 % Atradius Finance BV FRN 23/09/44 100 116,788.00 0.154.25 % Constellium NV 15/02/26 375 376,875.00 0.505.50 % Cooperatieve Rabobank UA FRN Perpetual 200 216,768.00 0.284.75 % Darling Global Finance BV 30/05/22 300 311,460.00 0.414.38 % Delta Lloyd NV FRN Perpetual 300 335,250.00 0.443.75 % Fiat Chrysler Automobiles NV 29/03/24 300 328,641.00 0.433.38 % Gas Natural Fenosa Finance BV FRN Perpetual 100 105,124.00 0.144.13 % Gas Natural Fenosa Finance BV FRN Perpetual 300 327,198.00 0.434.60 % Generali Finance BV FRN Perpetual 500 548,125.00 0.724.38 % Hertz Holdings Netherlands BV 15/01/19 300 304,611.00 0.406.13 % Maxeda DIY Holding BV 15/07/22 100 100,747.00 0.138.50 % Nyrstar Netherlands Holdings BV 15/09/19 800 884,336.00 1.164.50 % Repsol International Finance BV FRN 25/03/75 300 333,750.00 0.449.00 % SRLEV NV FRN 15/04/41 300 360,375.00 0.473.75 % Telefonica Europe BV FRN Perpetual 300 316,104.00 0.425.00 % Telefonica Europe BV FRN Perpetual 400 431,192.00 0.575.88 % Telefonica Europe BV FRN Perpetual 600 696,750.00 0.916.75 % Telefonica Europe BV FRN Perpetual 100 124,997.57 0.167.63 % Telefonica Europe BV FRN Perpetual 400 479,388.00 0.634.38 % United Group BV 01/07/22 200 207,722.00 0.273.88 % UPC Holding BV 15/06/29 200 192,180.00 0.254.63 % Ziggo Bond Finance BV 15/01/25 500 515,835.00 0.68

Total Netherlands 8,159,191.57 10.71

Norway 7.50 % Silk Bidco AS 01/02/22 200 207,190.00 0.27

Total Norway 207,190.00 0.27

Portugal 5.38 % EDP - Energias de Portugal SA FRN 16/09/75 200 223,520.00 0.29

Total Portugal 223,520.00 0.29

Spain 7.00 % Banco Bilbao Vizcaya Argentaria SA FRN Perpetual 200 210,468.00 0.285.63 % Banco de Sabadell SA 06/05/26 300 351,681.00 0.466.25 % Banco Santander SA FRN Perpetual 200 209,000.00 0.283.38 % Bankia SA FRN 15/03/27 400 420,028.00 0.553.50 % CaixaBank SA FRN 15/02/27 500 529,735.00 0.703.20 % Grifols SA 01/05/25 400 407,000.00 0.535.50 % Obrascon Huarte Lain SA 15/03/23 300 307,488.00 0.407.63 % Obrascon Huarte Lain SA 15/03/20 900 913,914.00 1.20

Total Spain 3,349,314.00 4.40

Sweden 3.50 % Com Hem Sweden AB 25/02/22 2,000 210,918.20 0.2811.75 % Corral Petroleum Holdings AB 15/05/21 200 222,314.00 0.293.00 % Fastighets AB Balder FRN 07/03/78 100 99,800.00 0.132.75 % Intrum Justitia AB 15/07/22 400 402,268.00 0.533.13 % Intrum Justitia AB 15/07/24 300 301,311.00 0.405.00 % Ovako AB 05/10/22 200 204,452.00 0.275.75 % Unilabs Subholding AB 15/05/25 250 252,690.00 0.336.00 % Verisure Holding AB 01/11/22 261 278,223.39 0.363.25 % Volvo Car AB 18/05/21 250 271,790.00 0.36

13



value in Net

EUR Assets

4.20 % Volvo Treasury AB FRN 10/06/75 250 268,900.00 0.35

Total Sweden 2,512,666.59 3.30

Switzerland 5.75 % UBS Group AG FRN Perpetual 200 227,750.00 0.30

Total Switzerland 227,750.00 0.30

United Kingdom 3.50 % Adient Global Holdings Ltd 15/08/24 350 374,024.00 0.495.00 % Anglian Water Osprey Financing Plc 30/04/23 200 242,192.99 0.325.75 % Aston Martin Capital Holdings Ltd 15/04/22 100 118,185.62 0.158.00 % Barclays Plc FRN Perpetual 200 230,040.00 0.305.50 % Boparan Finance Plc 15/07/21 100 102,055.27 0.136.88 % Co-operative Group Holdings 2011 Ltd 08/07/20 200 248,339.18 0.334.25 % CPUK Finance Ltd 28/08/22 150 172,193.97 0.234.88 % CPUK Finance Ltd 28/08/25 200 228,999.43 0.305.25 % Debenhams Plc 15/07/21 200 225,277.47 0.307.00 % EnQuest Plc 15/04/22 421 340,751.30 0.455.75 % Heathrow Finance Plc 03/03/25 300 383,596.91 0.505.25 % HSBC Holdings Plc FRN Perpetual 400 442,000.00 0.584.63 % Iceland Bondco Plc 15/03/25 300 318,673.33 0.424.00 % INEOS Finance Plc 01/05/23 400 411,000.00 0.544.75 % International Game Technology Plc 15/02/23 500 567,220.00 0.742.75 % Jaguar Land Rover Automotive Plc 24/01/21 200 228,481.24 0.305.00 % Jaguar Land Rover Automotive Plc 15/02/22 350 428,817.43 0.565.13 % Ladbrokes Group Finance Plc 08/09/23 200 244,736.63 0.326.88 % Lincoln Finance Ltd 15/04/21 100 105,030.00 0.146.38 % Lloyds Banking Group Plc FRN Perpetual 400 439,500.00 0.586.88 % Matalan Finance Plc 01/06/19 200 223,844.56 0.296.75 % Melton Renewable Energy UK Plc 01/02/20 320 367,783.32 0.488.25 % Mercury Bondco Plc 30/05/21 500 520,530.00 0.684.00 % Ocado Group Plc 15/06/24 200 224,042.83 0.298.00 % Old Mutual Plc 03/06/21 90 118,032.42 0.164.38 % OTE Plc 02/12/19 300 317,070.00 0.426.63 % Pizzaexpress Financing 2 Plc 01/08/21 100 108,376.06 0.146.50 % Premier Foods Finance Plc 15/03/21 200 229,310.34 0.303.63 % Royal Bank of Scotland Group Plc FRN 25/03/24 400 413,100.00 0.545.00 % Tesco Plc 24/03/23 650 824,294.97 1.085.50 % Tesco Plc 13/01/33 200 263,154.91 0.356.00 % Tesco Plc 14/12/29 460 632,668.53 0.836.13 % Tesco Plc 24/02/22 350 455,186.54 0.606.75 % Thomas Cook Finance Plc 15/06/21 150 155,347.50 0.206.25 % Thomas Cook Group Plc 15/06/22 400 432,724.00 0.578.50 % TVL Finance Plc 15/05/23 180 220,962.52 0.294.50 % Virgin Media Finance Plc 15/01/25 400 417,632.00 0.555.50 % Virgin Media Secured Finance Plc 15/01/25 270 315,956.21 0.426.25 % Virgin Media Secured Finance Plc 28/03/29 200 241,426.97 0.324.13 % Wagamama Finance Plc 01/07/22 150 166,396.44 0.224.88 % William Hill Plc 07/09/23 200 238,412.46 0.31

Total United Kingdom 12,737,367.35 16.72

United States of America 4.25 % Axalta Coating Systems LLC 15/08/24 200 214,074.00 0.285.50 % Belden Inc 15/04/23 8 8,329.60 0.01

14



value in Net

EUR Assets

2.88 % Equinix Inc 01/10/25 250 251,875.00 0.335.00 % Federal-Mogul LLC / Federal-Mogul Financing Corp 15/07/24 200 197,310.00 0.263.00 % Iron Mountain Inc 15/01/25 100 101,809.00 0.133.38 % Levi Strauss & Co 15/03/27 300 315,015.00 0.413.63 % Netflix Inc 15/05/27 200 201,248.00 0.272.88 % Quintiles IMS Inc 15/09/25 100 100,859.00 0.133.25 % Quintiles IMS Inc 15/03/25 300 309,906.00 0.413.50 % Quintiles IMS Inc 15/10/24 500 522,790.00 0.698.50 % Rain CII Carbon LLC / CII Carbon Corp 15/01/21 900 920,529.00 1.214.00 % Spectrum Brands Inc 01/10/26 100 106,149.00 0.146.00 % Superior Industries International Inc 15/06/25 100 97,833.00 0.137.50 % Veritas US Inc / Veritas Bermuda Ltd 01/02/23 200 212,788.00 0.28

Total United States of America 3,560,514.60 4.68

Total Bonds 73,404,609.47 96.38

Total Transferable securities admitted to an official stock exchange listing 73,404,609.47 96.38


Other Transferable Securities Bonds

United States of America 6.38 % AMC Entertainment Holdings Inc 15/11/24 100 113,170.44 0.15

Total United States of America 113,170.44 0.15

Total Bonds 113,170.44 0.15

Total Other Transferable Securities 113,170.44 0.15

Total Portfolio 73,517,779.91 96.53 Forward foreign exchange contracts open with Skandinaviska Enskilda Banken S.A.*

Buy 1 4,455,633 EUR Sell 1 4,000,000 GBP 10/01/18 (49,401.64) (0.06)Buy 14,170,174 EUR Sell 12,499,999 GBP 09/02/18 103,137.49 0.14Buy 6,812 EUR Sell 67,071 NOK 09/03/18 (2.52) (0.00)Buy 52,211,314 EUR Sell 518,190,735 SEK 09/03/18 (499,637.89) (0.66)Buy 5,500,000 GBP Sell 6,213,636 EUR 15/02/18 (25,096.61) (0.03)Buy 332,134 NOK Sell 33,846 EUR 09/03/18 (98.95) (0.00)Buy 1,131,237,516 SEK Sell 116,475,987 EUR 09/03/18 (1,405,217.24) (1.85)

Total forward foreign exchange contracts (total net unrealised) (1,876,317.36) (2.46)

Schedule of Investments As at

15


Market

value in

EUR

% of

Net

Assets

Cash at bank

Cash at bank 3,208,070.77 4.21

Total Cash at bank 3,208,070.77 4.21

Other assets

Interest receivable on bonds 1,377,046.04 1.81Other assets 884.43 0.00

Total other assets 1,377,930.47 1.81

Liabilities

Management fees (59,861.26) (0.09)Bank interest payable on cash accounts (93.01) (0.00)Other liabilities (3,537.51) (0.00)

Total liabilities (63,491.78) (0.09)

Total Net Assets as at 31 December 2017 76,163,972.01 100.00

*Forwards foreign exchange contracts open with Skandinaviska Enskilda Banken S.A., except for the following: 1Nordea Bank AB (publ) A list of changes in the assets held during the financial period under review is available free of charge from SEB Investment Management AB.

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


16

SEB High Yield - SEB Sustainable High Yield Fund**

Security description Maturity Total holdings * Market % of

value in Net

EUR Assets


Transferable securities admitted to an official stock exchange listing and/or dealt within another regulated market Bonds

Australia 9.75 % FMG Resources August 2006 Pty Ltd 01/03/22 2,624 2,426,194.69 0.18

Total Australia 2,426,194.69 0.18

Austria 7.50 % Sappi Papier Holding GmbH 15/06/32 3,502 2,995,140.18 0.226.88 % UNIQA Insurance Group AG FRN 31/07/43 4,300 5,401,832.00 0.39

Total Austria 8,396,972.18 0.61

Belgium 5.63 % KBC Group NV FRN Perpetual 4,877 5,090,417.52 0.37

Total Belgium 5,090,417.52 0.37

Bermuda 4.13 % Aircastle Ltd 01/05/24 4,380 3,704,482.61 0.275.13 % Aircastle Ltd 15/03/21 2,627 2,299,745.27 0.175.50 % Aircastle Ltd 15/02/22 2,624 2,339,641.65 0.175.00 % IHS Markit Ltd 01/11/22 4,706 4,243,202.60 0.316.25 % Viking Cruises Ltd 15/05/25 874 752,764.30 0.05

Total Bermuda 13,339,836.43 0.97

Canada 4.25 % 1011778 BC ULC / New Red Finance Inc 15/05/24 4,380 3,643,752.79 0.267.75 % Air Canada 15/04/21 9,507 9,028,553.26 0.666.00 % Bombardier Inc 15/10/22 1,750 1,427,988.12 0.106.13 % Bombardier Inc 15/05/21 400 427,448.00 0.037.75 % Bombardier Inc 15/03/20 2,189 1,960,112.43 0.148.75 % Bombardier Inc 01/12/21 5,691 5,202,612.85 0.386.88 % Clearwater Seafoods Inc 01/05/25 5,254 4,406,060.37 0.325.50 % Cott Corp 01/07/24 6,029 6,523,317.71 0.477.00 % First Quantum Minerals Ltd 15/02/21 2,627 2,265,837.02 0.167.25 % First Quantum Minerals Ltd 15/05/22 2,000 1,740,876.57 0.137.25 % First Quantum Minerals Ltd 01/04/23 800 711,959.66 0.057.50 % First Quantum Minerals Ltd 01/04/25 2,000 1,784,379.33 0.135.88 % Lions Gate Entertainment Corp 01/11/24 3,590 3,166,428.41 0.236.88 % Mattamy Group Corp 15/12/23 1,752 1,547,067.57 0.116.50 % MDC Partners Inc 01/05/24 3,501 2,927,754.32 0.216.25 % New Gold Inc 15/11/22 3,501 3,015,217.86 0.225.63 % Open Text Corp 15/01/23 4,971 4,313,039.69 0.315.75 % Quebecor Media Inc 15/01/23 4,904 4,333,643.39 0.328.88 % Telesat Canada / Telesat LLC 15/11/24 6,923 6,436,116.89 0.474.50 % Valeant Pharmaceuticals International Inc 15/05/23 3,000 2,679,180.00 0.205.50 % Valeant Pharmaceuticals International Inc 01/11/25 222 188,704.28 0.016.50 % Valeant Pharmaceuticals International Inc 15/03/22 2,626 2,300,859.83 0.177.00 % Valeant Pharmaceuticals International Inc 15/03/24 2,627 2,352,970.30 0.177.50 % Valeant Pharmaceuticals International Inc 15/07/21 4,463 3,794,751.11 0.289.00 % Valeant Pharmaceuticals International Inc 15/12/25 3,000 2,604,944.33 0.19


17



value in Net

EUR Assets

5.13 % Videotron Ltd 15/04/27 1,314 1,140,090.23 0.08

Total Canada 79,923,666.32 5.80

Cayman Islands 5.25 % Park Aerospace Holdings Ltd 15/08/22 5,254 4,351,282.13 0.32

Total Cayman Islands 4,351,282.13 0.32

Denmark 5.75 % Danske Bank A/S FRN Perpetual 5,321 5,760,354.97 0.423.50 % TDC A/S FRN 26/02/15 2,992 3,126,819.52 0.22

Total Denmark 8,887,174.49 0.64

Finland 2.63 % Teollisuuden Voima Oyj 13/01/23 2,270 2,367,587.30 0.17

Total Finland 2,367,587.30 0.17

France 4.13 % Accor SA FRN Perpetual 2,700 2,876,040.00 0.214.00 % Banijay Group SAS 01/07/22 2,855 2,987,243.60 0.223.58 % Casino Guichard Perrachon SA 07/02/25 1,000 1,052,500.00 0.084.87 % Casino Guichard Perrachon SA FRN Perpetual 5,500 5,599,715.00 0.415.38 % Constantin Investissement 3 SASU 15/04/25 5,321 5,392,620.66 0.396.50 % Credit Agricole SA FRN Perpetual 1,697 1,921,852.50 0.146.63 % Credit Agricole SA FRN Perpetual 2,800 2,420,695.48 0.184.13 % Electricite de France SA FRN Perpetual 1,300 1,389,219.00 0.105.63 % Electricite de France SA FRN Perpetual 1,797 1,547,162.98 0.116.38 % Groupama SA FRN Perpetual 2,700 3,242,700.00 0.237.13 % Lafarge SA 15/07/36 3,821 4,191,111.59 0.316.00 % Loxam SAS 15/04/25 3,265 3,561,233.45 0.267.00 % Loxam SAS 23/07/22 1,600 1,688,672.00 0.125.00 % Orange SA FRN Perpetual 3,990 4,733,017.80 0.346.00 % SFR Group SA 15/05/22 2,000 1,686,431.50 0.126.25 % SFR Group SA 15/05/24 3,594 2,992,896.69 0.227.38 % SFR Group SA 01/05/26 8,425 7,179,513.65 0.522.88 % SPCM SA 15/06/23 3,265 3,325,663.70 0.244.88 % SPCM SA 15/09/25 5,456 4,578,458.41 0.33

Total France 62,366,748.01 4.53

Germany 5.50 % Allianz SE Perpetual 1,000 847,471.09 0.064.30 % Deutsche Bank AG FRN 24/05/28 1,500 1,234,245.11 0.094.50 % Deutsche Bank AG 01/04/25 1,000 845,797.27 0.063.25 % IHO Verwaltungs GmbH 15/09/23 2,902 3,029,677.75 0.223.88 % Senvion Holding GmbH 25/10/22 3,085 2,947,563.25 0.211.38 % thyssenkrupp AG 03/03/22 877 890,602.27 0.072.50 % thyssenkrupp AG 25/02/25 876 947,394.00 0.072.75 % thyssenkrupp AG 08/03/21 5,086 5,410,791.96 0.393.75 % Unitymedia GmbH 15/01/27 2,628 2,681,926.56 0.206.25 % Unitymedia Hessen GmbH & Co KG / Unitymedia NRW GmbH 15/01/29 4,334 4,870,679.22 0.358.50 % Wittur International Holding GmbH 15/02/23 5,497 5,726,554.72 0.42

Total Germany 29,432,703.20 2.14

18



value in Net

EUR Assets

Ireland 4.13 % Ardagh Packaging Finance Plc / Ardagh Holdings USA Inc 15/05/23 500 530,000.00 0.046.75 % Ardagh Packaging Finance Plc / Ardagh Holdings USA Inc 15/05/24 1,300 1,432,691.00 0.107.25 % Ardagh Packaging Finance Plc / Ardagh Holdings USA Inc 15/05/24 2,000 1,812,026.57 0.134.25 % Bank of Ireland FRN 11/06/24 5,321 5,607,482.64 0.418.25 % Cloverie Plc for Zurich Insurance Co Ltd FRN Perpetual 1,797 1,502,284.50 0.11

Total Ireland 10,884,484.71 0.79

Italy 7.75 % Assicurazioni Generali SpA FRN 12/12/42 700 903,126.00 0.072.13 % Buzzi Unicem SpA 28/04/23 3,902 4,109,586.40 0.309.00 % CMF SpA 15/06/22 1,000 1,009,230.00 0.076.00 % Cooperativa Muratori & Cementisti-CMC di

Ravenna SC 15/02/23 3,537 3,517,440.39 0.267.00 % Intesa Sanpaolo SpA FRN Perpetual 2,800 3,100,076.00 0.238.38 % Intesa Sanpaolo SpA FRN Perpetual 4,050 4,583,223.00 0.333.00 % Telecom Italia SpA/Milano 30/09/25 1,850 1,982,016.00 0.143.63 % Telecom Italia SpA/Milano 19/01/24 1,696 1,893,363.52 0.143.63 % Telecom Italia SpA/Milano 25/05/26 2,901 3,245,841.87 0.245.88 % Telecom Italia SpA/Milano 19/05/23 1,300 1,714,197.30 0.122.63 % UniCredit SpA 31/10/20 1,000 1,076,580.00 0.084.38 % UniCredit SpA FRN 03/01/27 3,990 4,327,514.10 0.315.75 % UnipolSai Assicurazioni SpA FRN Perpetual 3,537 3,779,319.87 0.272.63 % Wind Tre SpA 20/01/23 1,567 1,533,857.95 0.113.13 % Wind Tre SpA 20/01/25 2,554 2,484,914.30 0.18

Total Italy 39,260,286.70 2.85

Japan 4.75 % SoftBank Group Corp 30/07/25 1,000 1,099,170.00 0.085.25 % SoftBank Group Corp 30/07/27 1,400 1,570,842.00 0.125.38 % SoftBank Group Corp 30/07/22 1,800 1,560,523.32 0.11

Total Japan 4,230,535.32 0.31

Luxembourg 7.25 % Aldesa Financial Services SA 01/04/21 600 562,176.00 0.046.63 % Altice Financing SA 15/02/23 2,000 1,737,545.58 0.137.50 % Altice Financing SA 15/05/26 2,800 2,483,021.68 0.187.63 % Altice Finco SA 15/02/25 4,530 3,785,816.21 0.278.13 % Altice Finco SA 15/01/24 3,592 3,125,896.43 0.236.25 % Altice Luxembourg SA 15/02/25 2,628 2,578,856.40 0.197.63 % Altice Luxembourg SA 15/02/25 2,540 2,017,501.17 0.157.75 % Altice Luxembourg SA 15/05/22 5,459 4,478,282.39 0.336.63 % ARD Finance SA 15/09/23 5,764 6,156,270.32 0.458.00 % Auris Luxembourg II SA 15/01/23 4,789 4,995,214.34 0.367.50 % Cabot Financial Luxembourg SA 01/10/23 2,627 3,096,272.62 0.228.50 % eDreams ODIGEO SA 01/08/21 2,442 2,616,195.93 0.194.75 % Fiat Chrysler Finance Europe SA 15/07/22 6,208 7,017,274.88 0.518.50 % Garfunkelux Holdco 3 SA 01/11/22 3,538 4,165,026.63 0.307.38 % Greif Nevada Holdings Inc SCS 15/07/21 1,910 2,290,338.30 0.175.50 % Intelsat Jackson Holdings SA 01/08/23 1,315 894,031.95 0.067.25 % Intelsat Jackson Holdings SA 15/10/20 6,128 4,778,116.23 0.357.50 % Intelsat Jackson Holdings SA 01/04/21 2,661 2,018,014.71 0.158.00 % Intelsat Jackson Holdings SA 15/02/24 5,253 4,610,163.61 0.33


19



value in Net

EUR Assets

9.50 % Intelsat Jackson Holdings SA 30/09/22 3,773 3,623,118.14 0.269.75 % Intelsat Jackson Holdings SA 15/07/25 1,772 1,415,512.49 0.106.50 % Lecta SA 01/08/23 1,891 1,954,197.22 0.147.75 % LSF9 Balta Issuer SARL 15/09/22 2,735 2,936,447.05 0.214.75 % Mallinckrodt International Finance SA 15/04/23 874 569,163.96 0.045.63 % Mallinckrodt International Finance SA / Mallinckrodt CB LLC 15/10/23 4,408 3,131,446.52 0.234.88 % Matterhorn Telecom Holding SA 01/05/23 1,000 1,014,180.00 0.073.88 % Matterhorn Telecom SA 01/05/22 1,700 1,730,362.00 0.135.63 % SES SA FRN Perpetual 3,356 3,732,643.88 0.277.75 % SIG Combibloc Holdings SCA 15/02/23 3,265 3,411,500.55 0.259.75 % Swissport Financing Sarl 15/12/22 2,595 2,707,337.55 0.206.00 % Telecom Italia Capital SA 30/09/34 876 815,807.58 0.067.20 % Telecom Italia Capital SA 18/07/36 1,751 1,816,101.20 0.137.72 % Telecom Italia Capital SA 04/06/38 2,188 2,362,054.66 0.177.75 % Telecom Italia Finance SA 24/01/33 2,364 3,634,295.40 0.265.50 % Telenet Finance Luxembourg Notes Sarl 01/03/28 1,600 1,333,529.51 0.10

Total Luxembourg 99,593,713.09 7.23

Mexico 7.75 % Cemex SAB de CV 16/04/26 3,393 3,204,952.64 0.23

Total Mexico 3,204,952.64 0.23

Netherlands 6.00 % Achmea BV FRN 04/04/43 1,000 1,186,560.00 0.095.00 % ASR Nederland NV FRN Perpetual 1,696 1,978,977.60 0.145.25 % Atradius Finance BV FRN 23/09/44 900 1,051,092.00 0.084.50 % CNH Industrial NV 15/08/23 3,503 3,039,898.05 0.224.63 % Constellium NV 15/05/21 3,795 3,874,467.30 0.286.63 % Constellium NV 01/03/25 4,543 3,973,619.66 0.294.63 % Demeter Investments BV for Swiss Re Ltd FRN Perpetual 4,069 3,431,011.00 0.254.50 % Fiat Chrysler Automobiles NV 15/04/20 4,542 3,885,108.13 0.284.60 % Generali Finance BV FRN Perpetual 4,434 4,860,772.50 0.357.00 % Koninklijke KPN NV FRN 28/03/73 1,800 1,698,531.33 0.128.50 % Nyrstar Netherlands Holdings BV 15/09/19 10,073 11,134,895.66 0.814.75 % Schaeffler Finance BV 15/05/23 2,200 1,883,489.68 0.149.00 % SRLEV NV FRN 15/04/41 2,628 3,156,885.00 0.232.63 % Telefonica Europe BV FRN Perpetual 1,000 996,490.00 0.073.75 % Telefonica Europe BV FRN Perpetual 900 948,312.00 0.075.88 % Telefonica Europe BV FRN Perpetual 800 929,000.00 0.077.63 % Telefonica Europe BV FRN Perpetual 3,500 4,194,645.00 0.303.88 % UPC Holding BV 15/06/29 1,796 1,725,776.40 0.137.13 % Ziggo Bond Co BV 15/05/24 2,530 2,779,584.50 0.204.63 % Ziggo Bond Finance BV 15/01/25 900 928,503.00 0.075.88 % Ziggo Bond Finance BV 15/01/25 2,000 1,644,144.55 0.126.00 % Ziggo Bond Finance BV 15/01/27 2,694 2,191,017.03 0.16

Total Netherlands 61,492,780.39 4.47

Portugal 5.38 % EDP - Energias de Portugal SA FRN 16/09/75 4,900 5,476,240.00 0.40

Total Portugal 5,476,240.00 0.40

Spain 6.75 % Banco Bilbao Vizcaya Argentaria SA FRN Perpetual 1,600 1,730,752.00 0.12

20



value in Net

EUR Assets

7.00 % Banco Bilbao Vizcaya Argentaria SA FRN Perpetual 2,600 2,736,084.00 0.206.25 % Banco Santander SA FRN Perpetual 2,600 2,717,000.00 0.206.38 % Banco Santander SA FRN Perpetual 2,200 1,875,740.13 0.143.38 % Bankia SA FRN 15/03/27 4,000 4,200,280.00 0.303.20 % Grifols SA 01/05/25 3,085 3,138,987.50 0.234.75 % Obrascon Huarte Lain SA 15/03/22 350 352,772.00 0.025.50 % Obrascon Huarte Lain SA 15/03/23 7,215 7,395,086.40 0.547.63 % Obrascon Huarte Lain SA 15/03/20 3,539 3,593,712.94 0.26

Total Spain 27,740,414.97 2.01

Sweden 3.50 % Com Hem Sweden AB 25/02/22 16,000 1,687,345.57 0.123.63 % Com Hem Sweden AB 23/06/21 23,000 2,412,201.67 0.182.75 % Intrum Justitia AB 15/07/22 3,356 3,375,028.52 0.243.13 % Intrum Justitia AB 15/07/24 3,174 3,187,870.38 0.235.50 % Nordea Bank AB FRN Perpetual 3,594 3,075,081.64 0.226.13 % Nordea Bank AB FRN Perpetual 1,000 895,745.50 0.075.00 % Ovako AB 05/10/22 2,600 2,657,876.00 0.195.75 % Skandinaviska Enskilda Banken AB FRN Perpetual 4,343 3,743,713.23 0.275.50 % Swedbank AB FRN Perpetual 4,400 3,788,341.01 0.286.00 % Verisure Holding AB 01/11/22 4,768 5,082,853.52 0.374.20 % Volvo Treasury AB FRN 10/06/75 3,539 3,806,548.40 0.28

Total Sweden 33,712,605.44 2.45

Switzerland 6.50 % Credit Suisse AG 08/08/23 3,393 3,164,293.49 0.236.25 % Credit Suisse Group AG FRN Perpetual 3,000 2,708,371.65 0.204.75 % UBS AG FRN 22/05/23 3,594 3,017,857.45 0.22

Total Switzerland 8,890,522.59 0.65

United Kingdom 3.50 % Adient Global Holdings Ltd 15/08/24 1,696 1,812,413.44 0.134.88 % Adient Global Holdings Ltd 15/08/26 2,000 1,708,649.22 0.125.75 % Aston Martin Capital Holdings Ltd 15/04/22 2,362 2,791,544.37 0.207.75 % Barclays Bank Plc FRN 10/04/23 1,500 1,265,510.64 0.096.50 % Barclays Plc FRN Perpetual 1,600 1,710,000.00 0.128.25 % Barclays Plc FRN Perpetual 2,000 1,748,870.95 0.134.25 % CPUK Finance Ltd 28/08/22 900 1,033,163.84 0.084.88 % CPUK Finance Ltd 28/08/25 900 1,030,497.42 0.074.88 % Gold Fields Orogen Holdings BVI Ltd 07/10/20 2,000 1,703,935.86 0.126.46 % HBOS Capital Funding LP FRN Perpetual 4,202 4,931,178.84 0.365.25 % HSBC Holdings Plc FRN Perpetual 4,067 4,494,035.00 0.334.63 % Iceland Bondco Plc 15/03/25 1,700 1,805,815.55 0.136.75 % Iceland Bondco Plc 15/07/24 2,629 3,107,544.21 0.233.88 % Iron Mountain UK Plc 15/11/25 1,792 1,974,660.41 0.143.50 % Jaguar Land Rover Automotive Plc 15/03/20 4,542 3,815,588.68 0.285.00 % Jaguar Land Rover Automotive Plc 15/02/22 900 1,102,673.40 0.087.00 % Lloyds Banking Group Plc FRN Perpetual 1,000 1,188,266.00 0.096.88 % Matalan Finance Plc 01/06/19 1,300 1,454,989.65 0.116.75 % Melton Renewable Energy UK Plc 01/02/20 2,815 3,235,573.80 0.237.13 % Mercury Bondco Plc 30/05/21 3,084 3,186,692.97 0.238.00 % Old Mutual Plc 03/06/21 1,240 1,626,224.41 0.126.63 % Pizzaexpress Financing 2 Plc 01/08/21 1,400 1,517,264.83 0.11


21



value in Net

EUR Assets

3.63 % Royal Bank of Scotland Group Plc FRN 25/03/24 4,337 4,479,036.75 0.337.50 % Royal Bank of Scotland Group Plc FRN Perpetual 2,500 2,201,702.72 0.166.25 % Sensata Technologies UK Financing Co Plc 15/02/26 3,688 3,340,578.49 0.248.25 % Synlab Unsecured Bondco Plc 01/07/23 3,537 3,838,281.66 0.282.50 % Tesco Corporate Treasury Services Plc 01/07/24 1,200 1,281,828.00 0.096.00 % Tesco Plc 14/12/29 1,752 2,409,641.90 0.176.13 % Tesco Plc 24/02/22 1,038 1,349,953.24 0.106.75 % Thomas Cook Finance Plc 15/06/21 2,401 2,486,595.65 0.186.25 % Thomas Cook Group Plc 15/06/22 1,700 1,839,077.00 0.136.00 % Virgin Media Finance Plc 15/10/24 4,068 3,478,610.75 0.256.38 % Virgin Media Finance Plc 15/10/24 1,400 1,691,881.34 0.127.00 % Virgin Media Finance Plc 15/04/23 2,537 2,996,568.71 0.225.50 % Virgin Media Secured Finance Plc 15/08/26 3,000 2,557,152.92 0.194.13 % Wagamama Finance Plc 01/07/22 1,797 1,993,429.37 0.14

Total United Kingdom 84,189,431.99 6.10

United States of America 8.00 % 24 Hour Fitness Worldwide Inc 01/06/22 1,773 1,428,418.31 0.104.13 % ADT Corp/The 15/06/23 1,749 1,461,472.15 0.117.00 % Advanced Micro Devices Inc 01/07/24 1,751 1,509,293.55 0.117.50 % Advanced Micro Devices Inc 15/08/22 1,313 1,205,241.97 0.096.50 % AerCap Global Aviation Trust FRN 15/06/45 2,800 2,540,661.18 0.186.63 % Albertsons Cos LLC / Safeway Inc / New Albertson's Inc /

Albertson's LLC 15/06/24 7,183 5,686,795.12 0.417.88 % Aleris International Inc 01/11/20 5,540 4,579,884.91 0.334.13 % Ally Financial Inc 30/03/20 5,253 4,458,458.52 0.324.63 % Ally Financial Inc 19/05/22 2,628 2,288,890.54 0.174.75 % Ally Financial Inc 10/09/18 4,380 3,693,795.62 0.278.00 % Ally Financial Inc 15/03/20 3,065 2,822,031.15 0.215.75 % AMC Entertainment Holdings Inc 15/06/25 874 720,703.75 0.055.88 % AMC Entertainment Holdings Inc 15/02/22 876 739,627.21 0.056.13 % AMC Entertainment Holdings Inc 15/05/27 876 725,788.84 0.055.00 % AMC Networks Inc 01/04/24 3,503 2,948,621.47 0.216.25 % American Axle & Manufacturing Inc 01/04/25 1,752 1,539,480.90 0.116.63 % American Axle & Manufacturing Inc 15/10/22 3,085 2,665,469.21 0.197.88 % American Greetings Corp 15/02/25 4,380 3,941,602.47 0.296.38 % Amkor Technology Inc 01/10/22 2,451 2,105,808.21 0.156.38 % APX Group Inc 01/12/19 251 211,833.18 0.027.88 % APX Group Inc 01/12/22 2,625 2,338,937.52 0.178.75 % APX Group Inc 01/12/20 1,752 1,487,089.12 0.116.15 % Arconic Inc 15/08/20 2,623 2,358,954.77 0.176.75 % Arconic Inc 15/01/28 2,629 2,582,973.76 0.194.13 % Ashtead Capital Inc 15/08/25 750 632,998.90 0.054.38 % Ashtead Capital Inc 15/08/27 1,000 848,628.61 0.066.00 % Avantor Inc 01/10/24 1,313 1,092,545.41 0.089.63 % BCD Acquisition Inc 15/09/23 877 803,797.59 0.065.75 % Beazer Homes USA Inc 15/06/19 986 847,651.88 0.067.25 % Beazer Homes USA Inc 01/02/23 48 41,549.60 0.008.75 % Beazer Homes USA Inc 15/03/22 1,753 1,608,167.66 0.127.75 % Belo Corp 01/06/27 877 816,096.18 0.069.75 % Blackboard Inc 15/10/21 2,636 1,998,572.60 0.155.63 % Boise Cascade Co 01/09/24 4,379 3,850,959.64 0.28

22



value in Net

EUR Assets

5.88 % Cablevision Systems Corp 15/09/22 1,741 1,417,570.58 0.107.75 % Cablevision Systems Corp 15/04/18 1,492 1,258,400.94 0.098.00 % Cablevision Systems Corp 15/04/20 4,382 3,918,843.84 0.285.00 % CalAtlantic Group Inc 15/06/27 1,753 1,509,893.42 0.116.25 % CalAtlantic Group Inc 15/12/21 877 794,770.84 0.065.25 % Calpine Corp 01/06/26 1,749 1,427,215.83 0.105.75 % Calpine Corp 15/01/25 3,503 2,763,938.82 0.205.88 % Calpine Corp 15/01/24 2,627 2,225,125.24 0.166.75 % Carlson Travel Inc 15/12/23 1,600 1,215,865.53 0.099.50 % Carlson Travel Inc 15/12/24 1,000 674,034.64 0.058.00 % CB Escrow Corp 15/10/25 1,753 1,477,003.96 0.117.25 % CBS Radio Inc 01/11/24 4,000 3,516,062.36 0.265.50 % CCO Holdings LLC / CCO Holdings Capital Corp 01/05/26 873 740,460.20 0.055.75 % CCO Holdings LLC / CCO Holdings Capital Corp 01/09/23 4,752 4,048,472.47 0.295.75 % CCO Holdings LLC / CCO Holdings Capital Corp 15/01/24 2,625 2,250,821.32 0.165.75 % CCO Holdings LLC / CCO Holdings Capital Corp 15/02/26 3,503 3,025,020.76 0.225.88 % CCO Holdings LLC / CCO Holdings Capital Corp 01/04/24 4,026 3,497,612.20 0.255.88 % CCO Holdings LLC / CCO Holdings Capital Corp 01/05/27 2,625 2,248,832.10 0.165.38 % Cedar Fair LP / Canada's Wonderland Co / Magnum Management Corp /

Millennium Op 15/04/27 876 768,405.49 0.066.00 % CEMEX Finance LLC 01/04/24 1,000 880,381.30 0.065.80 % CenturyLink Inc 15/03/22 3,899 3,179,901.63 0.236.75 % CenturyLink Inc 01/12/23 1,508 1,232,527.02 0.097.50 % CenturyLink Inc 01/04/24 2,624 2,181,022.98 0.165.13 % Cequel Communications Holdings I LLC / Cequel Capital Corp 15/12/21 1,753 1,451,661.70 0.117.75 % Cequel Communications Holdings I LLC / Cequel Capital Corp 15/07/25 2,000 1,771,954.73 0.136.25 % CHS/Community Health Systems Inc 31/03/23 1,753 1,314,658.78 0.107.13 % CHS/Community Health Systems Inc 15/07/20 872 541,908.70 0.048.00 % CHS/Community Health Systems Inc 15/11/19 4,073 2,862,020.44 0.214.88 % Cinemark USA Inc 01/06/23 875 739,730.14 0.056.50 % Clear Channel Worldwide Holdings Inc 15/11/22 2,624 2,205,387.19 0.167.63 % Clear Channel Worldwide Holdings Inc 15/03/20 1,751 1,418,072.19 0.107.63 % Clear Channel Worldwide Holdings Inc 15/03/20 2,628 2,149,113.48 0.165.75 % Cleveland-Cliffs Inc 01/03/25 4,467 3,540,661.69 0.2610.13% Cloud Crane LLC 01/08/24 4,379 4,111,910.62 0.305.50 % CommScope Inc 15/06/24 876 760,490.55 0.066.00 % CommScope Technologies LLC 15/06/25 3,503 3,104,628.87 0.236.50 % Consolidated Communications Inc 01/10/22 1,751 1,316,235.56 0.108.50 % Constellation Merger Sub Inc 15/09/25 875 712,587.76 0.055.63 % Cooper-Standard Automotive Inc 15/11/26 3,590 3,067,593.37 0.224.50 % Crown Americas LLC / Crown Americas Capital Corp IV 15/01/23 3,897 3,310,805.25 0.244.25 % Crown Americas LLC / Crown Americas Capital Corp V 30/09/26 876 723,235.63 0.056.63 % CSC Holdings LLC 15/10/25 2,000 1,800,517.99 0.1310.13% CSC Holdings LLC 15/01/23 3,392 3,179,489.83 0.2310.88% CSC Holdings LLC 15/10/25 6,078 6,007,786.94 0.446.00 % Dana Inc 15/09/23 6,129 5,337,468.21 0.395.00 % DaVita Inc 01/05/25 5,259 4,376,707.05 0.325.88 % Dell International LLC / EMC Corp 15/06/21 3,505 3,029,374.77 0.227.13 % Dell International LLC / EMC Corp 15/06/24 6,567 5,969,968.58 0.437.75 % Diamond Resorts International Inc 01/09/23 877 792,148.99 0.0610.75% Diamond Resorts International Inc 01/09/24 877 780,478.47 0.066.75 % DISH DBS Corp 01/06/21 7,004 6,167,357.12 0.45


23



value in Net

EUR Assets

7.75 % DISH DBS Corp 01/07/26 3,500 3,076,525.42 0.225.75 % Dollar Tree Inc 01/03/23 5,253 4,587,241.62 0.335.88 % Dynegy Inc 01/06/23 2,187 1,847,263.56 0.137.38 % Dynegy Inc 01/11/22 6,128 5,388,954.96 0.395.13 % Encompass Health Corp 15/03/23 3,064 2,614,333.60 0.195.75 % Encompass Health Corp 01/11/24 4,817 4,110,307.57 0.305.38 % Endo Finance LLC / Endo Finco Inc 15/01/23 4,836 3,126,976.57 0.237.25 % Endo Finance LLC / Endo Finco Inc 15/01/22 1,313 951,945.33 0.078.50 % Enova International Inc 01/09/24 877 749,753.91 0.055.38 % Equinix Inc 01/04/23 1,752 1,508,200.49 0.115.38 % Equinix Inc 15/05/27 1,753 1,560,811.51 0.115.75 % Equinix Inc 01/01/25 873 773,436.43 0.065.88 % Equinix Inc 15/01/26 1,753 1,569,935.30 0.115.00 % Federal-Mogul LLC / Federal-Mogul Financing Corp 15/07/24 1,000 986,550.00 0.075.38 % First Data Corp 15/08/23 877 761,051.96 0.065.75 % First Data Corp 15/01/24 1,752 1,510,257.64 0.117.00 % First Data Corp 01/12/23 7,968 7,018,992.09 0.517.13 % Frontier Communications Corp 15/01/23 1,776 968,719.22 0.077.63 % Frontier Communications Corp 15/04/24 1,773 972,663.89 0.078.75 % Frontier Communications Corp 15/04/22 1,643 983,958.41 0.079.25 % Frontier Communications Corp 01/07/21 2,319 1,520,079.79 0.1110.50% Frontier Communications Corp 15/09/22 1,752 1,104,239.58 0.0811.00% Frontier Communications Corp 15/09/25 2,364 1,447,937.14 0.1112.50% Gogo Intermediate Holdings LLC / Gogo Finance Co Inc 01/07/22 3,547 3,343,121.85 0.245.00 % Goodyear Tire & Rubber Co/The 31/05/26 3,501 2,997,316.99 0.225.88 % Gray Television Inc 15/07/26 4,379 3,737,222.06 0.277.75 % Greif Inc 01/08/19 3,088 2,753,641.63 0.204.63 % Hanesbrands Inc 15/05/24 2,664 2,270,884.90 0.164.88 % Hanesbrands Inc 15/05/26 3,942 3,369,290.48 0.245.00 % HCA Inc 15/03/24 1,752 1,525,897.85 0.115.25 % HCA Inc 15/04/25 1,776 1,569,768.82 0.115.38 % HCA Inc 01/02/25 2,425 2,095,445.10 0.155.88 % HCA Inc 15/03/22 887 793,233.63 0.065.88 % HCA Inc 01/05/23 4,657 4,160,046.38 0.305.88 % HCA Inc 15/02/26 6,160 5,426,688.31 0.397.50 % HCA Inc 15/02/22 8,089 7,611,657.63 0.558.36 % HCA Inc 15/04/24 597 590,565.22 0.047.75 % Herc Rentals Inc 01/06/24 4,552 4,172,690.42 0.305.88 % Hertz Corp/The 15/10/20 3,504 2,918,387.06 0.2110.00% Hexion Inc 15/04/20 5,382 4,278,822.49 0.314.63 % Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp 01/04/25 3,065 2,627,540.33 0.194.88 % Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp 01/04/27 874 762,000.36 0.067.13 % Infor Software Parent LLC / Infor Software Parent Inc 01/05/21 1,751 1,488,427.54 0.115.75 % Infor US Inc 15/05/22 3,637 3,731,380.15 0.276.50 % Infor US Inc 15/05/22 1,750 1,512,031.15 0.118.25 % International Lease Finance Corp 15/12/20 1,752 1,675,296.86 0.125.75 % Iron Mountain Inc 15/08/24 3,809 3,205,845.55 0.235.38 % Iron Mountain US Holdings Inc 01/06/26 1,315 1,135,077.39 0.085.00 % iStar Inc 01/07/19 2,627 2,204,189.63 0.166.00 % iStar Inc 01/04/22 1,753 1,514,506.41 0.115.65 % JC Penney Corp Inc 01/06/20 874 670,287.53 0.05

24



value in Net

EUR Assets

5.88 % JC Penney Corp Inc 01/07/23 2,319 1,823,925.81 0.1310.00% K Hovnanian Enterprises Inc 15/07/22 697 632,002.03 0.0510.50% K Hovnanian Enterprises Inc 15/07/24 613 587,066.20 0.045.88 % Kaiser Aluminum Corp 15/05/24 3,502 3,109,487.67 0.234.75 % KFC Holding Co/Pizza Hut Holdings LLC/Taco Bell of America LLC 01/06/27 2,628 2,235,645.26 0.165.00 % KFC Holding Co/Pizza Hut Holdings LLC/Taco Bell of America LLC 01/06/24 2,627 2,263,802.53 0.165.25 % KFC Holding Co/Pizza Hut Holdings LLC/Taco Bell of America LLC 01/06/26 2,628 2,308,936.86 0.177.00 % Kraton Polymers LLC / Kraton Polymers Capital Corp 15/04/25 876 785,424.43 0.0610.50% Kraton Polymers LLC / Kraton Polymers Capital Corp 15/04/23 3,857 3,635,528.18 0.269.00 % Kronos Acquisition Holdings Inc 15/08/23 4,394 3,440,720.38 0.255.63 % L Brands Inc 15/02/22 5,253 4,661,431.88 0.346.63 % L Brands Inc 01/04/21 2,516 2,296,668.11 0.178.50 % L Brands Inc 15/06/19 1,651 1,486,025.13 0.114.63 % Lamb Weston Holdings Inc 01/11/24 4,029 3,449,287.41 0.254.13 % Lennar Corp 15/01/22 1,753 1,486,492.71 0.114.50 % Lennar Corp 15/11/19 872 743,809.21 0.054.50 % Lennar Corp 30/04/24 876 747,067.99 0.055.25 % Level 3 Financing Inc 15/03/26 1,751 1,426,325.28 0.105.38 % Level 3 Financing Inc 15/01/24 1,752 1,457,355.22 0.115.63 % Level 3 Financing Inc 01/02/23 876 736,950.00 0.055.00 % Levi Strauss & Co 01/05/25 7,009 6,086,893.79 0.445.88 % LIN Television Corp 15/11/22 1,751 1,512,239.00 0.114.88 % Live Nation Entertainment Inc 01/11/24 4,225 3,615,326.77 0.267.00 % Men's Wearhouse Inc/The 01/07/22 875 733,237.83 0.056.25 % Meritor Inc 15/02/24 4,380 3,839,583.67 0.285.50 % Micron Technology Inc 01/02/25 4,378 3,818,289.10 0.285.63 % Micron Technology Inc 15/01/26 2,428 2,122,340.79 0.156.50 % Nationstar Mortgage LLC / Nationstar Capital Corp 01/08/18 3,504 2,921,334.18 0.216.50 % Nationstar Mortgage LLC / Nationstar Capital Corp 01/07/21 877 741,274.89 0.055.88 % Navient Corp 25/03/21 5,616 4,843,064.06 0.356.75 % Navient Corp 25/06/25 1,753 1,507,499.34 0.118.00 % Navient Corp 25/03/20 6,132 5,511,349.81 0.403.63 % Netflix Inc 15/05/27 3,719 3,742,206.56 0.275.63 % Nexstar Broadcasting Inc 01/08/24 2,629 2,258,279.45 0.165.00 % Nielsen Finance LLC / Nielsen Finance Co 15/04/22 2,627 2,252,930.01 0.165.75 % NRG Energy Inc 15/01/28 439 369,308.95 0.036.25 % NRG Energy Inc 15/07/22 876 759,367.14 0.067.95 % Pactiv LLC 15/12/25 2,627 2,482,215.43 0.185.88 % PetSmart Inc 01/06/25 1,750 1,110,979.66 0.087.13 % PetSmart Inc 15/03/23 1,771 873,492.71 0.068.88 % PetSmart Inc 01/06/25 876 440,559.29 0.035.50 % Post Holdings Inc 01/03/25 3,066 2,650,304.11 0.195.63 % Post Holdings Inc 15/01/28 873 730,180.58 0.059.25 % Prime Security Services Borrower LLC / Prime Finance Inc 15/05/23 3,500 3,229,251.42 0.235.63 % Prudential Financial Inc FRN 15/06/43 3,065 2,770,677.40 0.204.25 % PulteGroup Inc 01/03/21 875 752,306.72 0.065.00 % PulteGroup Inc 15/01/27 875 763,054.38 0.067.88 % PulteGroup Inc 15/06/32 889 930,669.76 0.077.00 % Qorvo Inc 01/12/25 2,302 2,142,941.30 0.167.00 % Quad/Graphics Inc 01/05/22 2,189 1,884,298.62 0.143.25 % Quintiles IMS Inc 15/03/25 1,794 1,853,237.88 0.133.50 % Quintiles IMS Inc 15/10/24 1,696 1,773,303.68 0.13


25



value in Net

EUR Assets

4.88 % Quintiles IMS Inc 15/05/23 1,752 1,509,353.08 0.117.75 % Qwest Capital Funding Inc 15/02/31 876 640,497.18 0.058.63 % Rackspace Hosting Inc 15/11/24 3,503 3,110,813.16 0.238.50 % Rain CII Carbon LLC / CII Carbon Corp 15/01/21 10,979 11,229,430.99 0.825.50 % Rayonier AM Products Inc 01/06/24 6,133 5,072,565.95 0.375.75 % Regal Entertainment Group 01/02/25 876 740,721.45 0.055.75 % Reynolds Group Issuer Inc / Reynolds Group Issuer LLC /

Reynolds Group Issuer Lu 15/10/20 4,921 4,163,465.88 0.306.13 % Rite Aid Corp 01/04/23 1,749 1,313,625.23 0.106.75 % Rite Aid Corp 15/06/21 1,751 1,449,903.43 0.115.63 % Sally Holdings LLC / Sally Capital Inc 01/12/25 6,158 5,099,499.53 0.375.63 % Sinclair Television Group Inc 01/08/24 3,503 3,006,409.55 0.225.00 % Sirius XM Radio Inc 01/08/27 1,095 913,992.93 0.075.38 % Sirius XM Radio Inc 15/04/25 2,629 2,279,975.36 0.175.38 % Sirius XM Radio Inc 15/07/26 3,504 3,017,188.82 0.226.00 % Sirius XM Radio Inc 15/07/24 1,751 1,541,328.93 0.114.88 % Six Flags Entertainment Corp 31/07/24 7,030 5,940,159.12 0.4310.50% Solera LLC / Solera Finance Inc 01/03/24 5,343 5,021,162.07 0.366.13 % Spectrum Brands Inc 15/12/24 877 773,876.38 0.066.63 % Spectrum Brands Inc 15/11/22 4,684 4,047,332.40 0.296.13 % Springleaf Finance Corp 15/05/22 1,751 1,513,711.72 0.118.25 % Springleaf Finance Corp 15/12/20 2,627 2,415,667.75 0.188.75 % Sprint Capital Corp 15/03/32 2,643 2,504,948.91 0.187.00 % Sprint Communications Inc 15/08/20 4,575 4,057,613.45 0.3011.50% Sprint Communications Inc 15/11/21 3,086 3,089,846.26 0.227.13 % Sprint Corp 15/06/24 2,628 2,234,638.57 0.167.25 % Sprint Corp 15/09/21 5,554 4,897,454.12 0.367.63 % Sprint Corp 15/02/25 1,753 1,525,571.75 0.117.88 % Sprint Corp 15/09/23 7,984 7,073,909.23 0.518.50 % Staples Inc 15/09/25 876 673,112.56 0.059.13 % Syniverse Foreign Holdings Corp 15/01/22 5,497 4,644,414.35 0.349.50 % Talen Energy Supply LLC 15/07/22 4,553 3,896,033.84 0.285.50 % TEGNA Inc 15/09/24 1,753 1,538,257.48 0.116.38 % Telecom Italia Capital SA 15/11/33 876 848,605.33 0.065.63 % Tempur Sealy International Inc 15/10/23 2,624 2,280,599.40 0.174.50 % Tenet Healthcare Corp 01/04/21 2,628 2,206,670.03 0.164.63 % Tenet Healthcare Corp 15/07/24 2,319 1,886,475.52 0.146.75 % Tenet Healthcare Corp 15/06/23 875 703,581.59 0.057.00 % Tenet Healthcare Corp 01/08/25 439 345,857.23 0.038.13 % Tenet Healthcare Corp 01/04/22 8,279 7,040,825.90 0.515.00 % Tenneco Inc 15/07/26 877 752,470.70 0.065.30 % Tesla Inc 15/08/25 1,751 1,403,767.82 0.108.75 % TPC Group Inc 15/12/20 6,699 5,592,581.80 0.414.63 % United Rentals North America Inc 15/07/23 2,627 2,258,770.98 0.161.75 % United States Treasury Note/Bond 30/06/22 40,000 32,711,338.24 2.388.25 % Uniti Group LP / Uniti Group Finance Inc / CSL Capital LLC 15/10/23 2,186 1,748,627.69 0.137.63 % Universal Hospital Services Inc 15/08/20 3,503 2,920,383.79 0.215.13 % Univision Communications Inc 15/05/23 1,751 1,458,273.17 0.115.13 % Univision Communications Inc 15/02/25 872 708,743.12 0.056.38 % US Concrete Inc 01/06/24 4,382 3,919,318.22 0.286.38 % Valeant Pharmaceuticals International 15/10/20 5,099 4,295,353.39 0.316.75 % Valeant Pharmaceuticals International 15/08/21 5,251 4,413,601.89 0.32

26



value in Net

EUR Assets

7.25 % Valeant Pharmaceuticals International 15/07/22 6,179 5,204,158.37 0.384.75 % VeriSign Inc 15/07/27 2,189 1,863,700.01 0.145.25 % VeriSign Inc 01/04/25 1,052 950,699.31 0.077.50 % Veritas US Inc / Veritas Bermuda Ltd 01/02/23 2,693 2,865,190.42 0.2110.50% Western Digital Corp 01/04/24 3,503 3,381,142.36 0.255.88 % William Lyon Homes Inc 31/01/25 5,274 4,482,299.09 0.337.75 % Windstream Services LLC / Windstream Finance Corp 15/10/20 871 612,339.94 0.047.75 % Windstream Services LLC / Windstream Finance Corp 01/10/21 1,751 1,092,206.63 0.084.88 % WMG Acquisition Corp 01/11/24 3,503 3,003,434.10 0.225.00 % Wolverine World Wide Inc 01/09/26 4,848 4,041,644.07 0.296.13 % XPO Logistics Inc 01/09/23 3,726 3,286,289.16 0.246.38 % Zayo Group LLC / Zayo Capital Inc 15/05/25 3,503 3,090,510.03 0.224.75 % ZF North America Capital Inc 29/04/25 1,329 1,172,527.94 0.09


Total Bonds 1,229,733,308.63 89.29

Investment Fund

Exchange traded fund

Ireland iShares USD High Yield Corp Bond UCITS ETF 620,000 53,551,032.80 3.89

Total Ireland 53,551,032.80 3.89

Total Exchange traded fund 53,551,032.80 3.89

Total Investment Fund 53,551,032.80 3.89

Total Transferable securities admitted to an official stock exchange listing

and/or dealt within another regulated market 1,283,284,341.43 93.18


Other Transferable Securities Bonds

United States of America 6.38 % AMC Entertainment Holdings Inc 15/11/24 1,000 1,131,704.43 0.08


Total Bonds 1,131,704.43 0.08

Total Other Transferable Securities 1,131,704.43 0.08

Total Portfolio 1,284,416,045.86 93.26

Credit default swaps

Barclays/CDX Markit North America High Yield Series 29 V1 5Y - 5.00% 20/12/22 (45,000,000) 3,103,650.09 0.23


27



value in Net

EUR Assets

Credit default swaps

BNP/CDX Markit North America High Yield Series 29 V1 5Y - 5.00% 20/12/22 (3,500,000) 241,395.01 0.02

Total credit default swaps 3,345,045.10 0.25

An amount of EUR 4,464,326.95 is held at cash collateral for these positions.

Financial futures cleared with Skandinaviska Enskilda Banken AB (publ)

Purchased financial futures contracts Commitment in EUR CBOT 10 Year U.S. Treasury Note Future 30,989,940.06 20/03/18 300 (202,982.35) (0.02)CBOT U.S. Treasury Bond Future 6,370,523.01 20/03/18 50 (10,409.35) (0.00)Eurex Euro Bobl Futures 26,322,000.00 08/03/18 200 (154,000.00) (0.01)

Total financial futures contracts (total unrealised) (367,391.70) (0.03)

An amount of EUR 791,523.36 is held as cash collateral for these positions. Forward foreign exchange contracts open with Skandinaviska Enskilda Banken S.A.***

Buy 3,617,454 EUR Sell 3,200,000 GBP 10/01/18 13,426.49 0.00Buy 1 69,062,312 EUR Sell 1 62,000,000 GBP 10/01/18 (765,725.32) (0.06)Buy 6,615 EUR Sell 66,133 NOK 10/04/18 (96.55) (0.00)Buy 215,978,674 EUR Sell 2,147,899,268 SEK 10/01/18 (2,489,526.89) (0.18)Buy 88,547 EUR Sell 881,372 SEK 10/04/18 (1,103.68) (0.00)Buy 40,880,894 EUR Sell 48,200,000 USD 10/01/18 762,379.26 0.06Buy 1 450,289,715 EUR Sell 1 530,000,000 USD 10/01/18 9,152,520.01 0.66Buy 1 262,887,360 EUR Sell 1 313,000,000 USD 01/02/18 2,722,585.44 0.20Buy 1 356,867,425 EUR Sell 1 416,000,000 USD 09/02/18 11,239,193.64 0.82Buy 1 9,102,388 GBP Sell 1 10,291,929 EUR 01/02/18 (46,326.75) (0.00)Buy 1 10,327,995 GBP Sell 1 14,000,000 USD 01/02/18 (11,623.56) (0.00)Buy 44,837,418 NOK Sell 4,563,181 EUR 10/04/18 (12,859.15) (0.00)Buy 3,715,559,177 SEK Sell 389,545,499 EUR 10/01/18 (11,626,692.06) (0.85)Buy 1 80,000,000 SEK Sell 1 8,201,932 EUR 10/01/18 (64,931.67) (0.00)Buy 2,483,329,891 SEK Sell 260,601,892 EUR 12/02/18 (7,996,606.38) (0.58)Buy 2,142,786,606 SEK Sell 220,671,969 EUR 09/03/18 (2,705,272.46) (0.20)Buy 1 178,687,000 SEK Sell 1 17,867,092 EUR 12/03/18 309,034.64 0.02Buy 5,853,841,663 SEK Sell 586,607,388 EUR 10/04/18 8,828,556.75 0.64Buy 29,518,875 USD Sell 25,000,000 EUR 10/01/18 (430,426.97) (0.03)Buy 1 26,000,000 USD Sell 1 22,237,808 EUR 10/01/18 (597,115.12) (0.04)Buy 1 111,914,321 USD Sell 1 94,272,218 EUR 12/03/18 (1,456,512.30) (0.11)Buy 1,188,905 USD Sell 10,000,000 SEK 10/01/18 (27,558.43) (0.00)

Total forward foreign exchange contracts (total net unrealised) 4,795,318.94 0.35


28


Market

value in

EUR

% of

Net

Assets

Cash at bank and at broker

Cash at bank and at broker 65,239,493.48 4.74

Total Cash at bank and at broker 65,239,493.48 4.74

Other assets

Interest receivable on bonds 20,935,990.97 1.52Bank interest receivable on cash accounts 87,003.08 0.01Interest receivable on credit default swaps 50,485.35 0.00Receivable on subscriptions 43,483.12 0.00Other assets 55,975.15 0.00

Total other assets 21,172,937.67 1.53

Liabilities

Management fees (1,355,183.60) (0.10)Payable on redemptions (10,804.67) (0.00)Other liabilities (48,907.04) (0.00)

Total liabilities (1,414,895.31) (0.10)

Total Net Assets as at 31 December 2017 1,377,186,554.04 100.00

* Negative quantity is for short positions on credit default swaps.

** SEB High Yield - SEB High Yield Fund changed its name to SEB High Yield - SEB Sustainable High Yield Fund. See Note 6 for further details.

***Forwards foreign exchange contracts open with Skandinaviska Enskilda Banken S.A., except for the following: 1Nordea Bank AB (publ) A list of changes in the assets held during the financial period under review is available free of charge from SEB Investment Management AB.


Combined Statement of Operations For the period from 1 November 2016 to 31 December 2017


29

SEB High Yield - SEB High Yield - SEB High Yield

SEB European SEB Sustainable Combined

High Yield Fund High Yield Fund*

EUR EUR EUR

Income Investment income (note 1) 155,695.11 5,614,251.67 5,769,946.78Interest on bonds (note 1) 6,823,835.89 102,144,145.47 108,967,981.36Interest received on credit default swaps (note 1) – 2,782,892.26 2,782,892.26Bank interest on cash accounts 397.25 492,929.64 493,326.89Total income 6,979,928.25 111,034,219.04 118,014,147.29

Expenses

Management fees (note 2) 1,318,589.56 22,587,512.55 23,906,102.11Taxe d'abonnement (note 4) 63,440.27 827,591.79 891,032.06Bank interest on cash accounts 2,099.45 13,161.32 15,260.77Other expenses 28,405.58 106,407.94 134,813.52Total expenses 1,412,534.86 23,534,673.60 24,947,208.46

Net income for the period 5,567,393.39 87,499,545.44 93,066,938.83

* SEB High Yield - SEB High Yield Fund changed its name to SEB High Yield - SEB Sustainable High Yield Fund. See Note 6 for further details.

Combined Statement of Changes in Net Assets For the period from 1 November 2016 to 31 December 2017

The accompanying notes are an integral part of these financial statements. 30




EUR EUR EUR

Net Assets at the beginning of the period 90,838,185.85 1,541,679,668.08 1,632,517,853.93

Net income for the period 5,567,393.39 87,499,545.44 93,066,938.83

Net realised gain / (loss) on:

- sales of securities 1,631,611.03 (16,217,658.24) (14,586,047.21)- foreign exchange (1,850,339.16) (14,337,759.51) (16,188,098.67)- financial futures contracts – (1,369,062.40) (1,369,062.40)- credit default swaps – 3,001,562.75 3,001,562.75

Total net realised loss (218,728.13) (28,922,917.40) (29,141,645.53)

Change in net unrealised appreciation / (depreciation) on:

- securities 2,054,372.51 (59,556,948.40) (57,502,575.89)- forward foreign exchange contracts (340,673.56) 79,049,090.44 78,708,416.88- financial futures contracts – 495,891.46 495,891.46- credit default swaps – (682,120.92) (682,120.92)

Total change in net unrealised appreciation 1,713,698.95 19,305,912.58 21,019,611.53

Increase in Net Assets as a result of operations 7,062,364.21 77,882,540.62 84,944,904.83

Proceeds on issues of units 90,312,785.98 554,245,506.96 644,558,292.94

Payment on redemptions of units (112,049,259.76) (793,555,269.85) (905,604,529.61)

Dividends paid (104.27) (3,065,891.77) (3,065,996.04)

Total Net Assets as at 31 December 2017 76,163,972.01 1,377,186,554.04 1,453,350,526.05


Combined Statement of Net Assets As at 31 December 2017


31




EUR EUR EUR

Assets

Portfolio at cost 70,354,941.68 1,320,657,064.22 1,391,012,005.90Unrealised appreciation / (depreciation) 3,162,838.23 (36,241,018.36) (33,078,180.13)Portfolio at market value (note 1) 73,517,779.91 1,284,416,045.86 1,357,933,825.77

Unrealised appreciation on forward foreign exchange contracts – 4,795,318.94 4,795,318.94Market value of credit default swaps – 3,345,045.10 3,345,045.10Receivable interest and / or dividends 1,377,046.04 21,073,479.40 22,450,525.44Cash at bank and at broker 3,208,070.77 65,239,493.48 68,447,564.25Other assets 884.43 99,458.27 100,342.70Total Assets 78,103,781.15 1,378,968,841.05 1,457,072,622.20

Liabilities Unrealised depreciation on financial futures contracts – (367,391.70) (367,391.70)Unrealised depreciation on forward foreign exchange contracts (1,876,317.36) – (1,876,317.36)Other liabilities (63,491.78) (1,414,895.31) (1,478,387.09)Total Liabilities (1,939,809.14) (1,782,287.01) (3,722,096.15)

Total Net Assets as at 31 December 2017 76,163,972.01 1,377,186,554.04 1,453,350,526.05

"C (EUR)" units outstanding as at 31 December 2017 120,649.3460 441,914.5350 –

"C (H-NOK)" units outstanding as at 31 December 2017 2,194.2010 232,743.4170 –

"C (H-SEK)" units outstanding as at 31 December 2017 2,483,888.0410 61,468,865.3090 –

"D (EUR)" units outstanding as at 31 December 2017 10.2550 1,345,765.8110 –

"D (H-SEK)" units outstanding as at 31 December 2017 – 2,628,835.4620 –

"HNWC (H-SEK)" units outstanding as at 31 December 2017 2,770,807.5730 – –

"HNWD (H-SEK)" units outstanding as at 31 December 2017 – 4,040,778.7600 –

"ZC (EUR)" units outstanding as at 31 December 2017 1.0000 1.0000 –

"ZD (EUR)" units outstanding as at 31 December 2017 1.0000 1.0000 –

Net Asset Value per "C (EUR)" unit as at 31 December 2017 116.165 154.649 –

Net Asset Value per "C (H-NOK)" unit as at 31 December 2017 121.037 192.380 –

Net Asset Value per "C (H-SEK)" unit as at 31 December 2017 115.580 189.284 –

Net Asset Value per "D (EUR)" unit as at 31 December 2017 107.321 37.629 –

Net Asset Value per "D (H-SEK)" unit as at 31 December 2017 – 104.596 –

Net Asset Value per "HNWC (H-SEK)" unit as at 31 December 2017 116.808 – –

Net Asset Value per "HNWD (H-SEK)" unit as at 31 December 2017 – 102.858 –

Net Asset Value per "ZC (EUR)" unit as at 31 December 2017 1,001.290 998.860 –

Net Asset Value per "ZD (EUR)" unit as at 31 December 2017 1,001.290 998.860 –


Statistical Information As at 31 December 2017


32




0

EUR EUR EUR

Number of "C (EUR)" units outstanding

as at 31 December 2017 120,649.3460 441,914.5350 –as at 31 October 2016 372,352.2870 281,647.2950 –as at 31 October 2015 10.0000 202,023.6070 –

Number of "C (H-NOK)" units outstanding

as at 31 December 2017 2,194.2010 232,743.4170 –as at 31 October 2016 100.8930 837,468.2220 –as at 31 October 2015 100.0000 605,929.5520 –

Number of "C (H-SEK)" units outstanding

as at 31 December 2017 2,483,888.0410 61,468,865.3090 –as at 31 October 2016 1,538,302.1820 74,742,304.5380 –as at 31 October 2015 1,466,322.7690 68,401,007.1110 –

Number of "D (EUR)" units outstanding

as at 31 December 2017 10.2550 1,345,765.8110 –as at 31 October 2016 40.0750 1,886,058.1310 –as at 31 October 2015 – 1,685,307.0840 –

Number of "D (H-SEK)" units outstanding

as at 31 December 2017 – 2,628,835.4620 –as at 31 October 2016 – 1,677,055.8200 –as at 31 October 2015 – – –

Number of "HNWC (H-SEK)" units outstanding

as at 31 December 2017 2,770,807.5730 – –as at 31 October 2016 3,043,279.3280 – –as at 31 October 2015 2,505,791.4410 – –

Number of "HNWD (H-SEK)" units outstanding

as at 31 December 2017 – 4,040,778.7600 –as at 31 October 2016 – 2,768,184.2900 –as at 31 October 2015 – 2,382,979.1870 –

Number of "ZC (EUR)" units outstanding

as at 31 December 2017 1.0000 1.0000 –as at 31 October 2016 – – –as at 31 October 2015 – – –

Number of "ZD (EUR)" units outstanding

as at 31 December 2017 1.0000 1.0000 –as at 31 October 2016 – – –as at 31 October 2015 – – –

Total Net Assets 0 0 0as at 31 December 2017 76,163,972.01 1,377,186,554.04 1,453,350,526.05as at 31 October 2016 90,838,185.85 1,541,679,688.08 1,632,517,853.93as at 31 October 2015 43,847,277.24 1,386,863,329.07 1,430,710,606.31

Net Asset Value per "C (EUR)" unit

as at 31 December 2017 116.165 154.649 –as at 31 October 2016 108.651 147.500 –as at 31 October 2015 103.371 140.206 –

Net Asset Value per "C (H-NOK)" unit



33




EUR EUR EUR

Net Asset Value per "C (H-SEK)" unit


Net Asset Value per "D (EUR)" unit

as at 31 December 2017 107.321 37.629 –as at 31 October 2016 102.978 36.773 –as at 31 October 2015 – 36.849 –

Net Asset Value per "D (H-SEK)" unit

as at 31 December 2017 – 104.596 –as at 31 October 2016 – 102.532 –as at 31 October 2015 – – –

Net Asset Value per "HNWC (H-SEK)" unit

as at 31 December 2017 116.808 – –as at 31 October 2016 108.976 – –as at 31 October 2015 103.652 – –

Net Asset Value per "HNWD (H-SEK)" unit

as at 31 December 2017 – 102.858 –as at 31 October 2016 – 100.620 –as at 31 October 2015 – 98.918 –

Net Asset Value per "ZC (EUR)" unit

as at 31 December 2017 1,001.290 998.860 –as at 31 October 2016 – – –as at 31 October 2015 – – –

Net Asset Value per "ZD (EUR)" unit

as at 31 December 2017 1,001.290 998.860 –as at 31 October 2016 – – –as at 31 October 2015 – – –

Dividend paid per D (EUR) unit 0 0 02017 2.6019 0.9395 –2016 – 1.8618 –2015 – 1.9171 –

Dividend paid per D (H-SEK) unit 0 0 02017 – 2.5565 –2016 – 2.8856 –2015 – – –

Dividend paid per HNWD (H-SEK) unit 0 0 02017 – 2.5088 –2016 – 2.9675 –2015 – 3.0070 –


Notes to the Financial Statements As at 31 December 2017

34

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 last Net Asset Value of the period which has been calculated on 29

December 2017 with the prices as of that date; the valuation at 29 December 2017 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) except for Exchange Traded Funds which are valued at the latest available price found on the main stock exchange

on which they are listed.

f) Derivatives instruments traded on regulated markets or stock exchanges are valued at last available settlement prices of

these contracts on regulated markets or stock exchanges on which the derivative instruments are traded by the Fund.

Derivatives instruments not traded on regulated markets or on stock exchanges are valued at their net liquidating value

determined, pursuant to the policies established in good faith by the Management Company on a basis consistently applied for each different variety of contracts, in accordance with generally recognised principles, taking into consideration the

generally accepted accounting practices, the customary practices in line with the market and the interests of the Unitholders.

g) Forward foreign exchange contracts are valued based on the latest available forward exchange rates. h) Financial Futures Contracts, which are not matured, are valued at valuation date at market rates prevailing at this date

and resulting unrealised appreciation or depreciation are posted as change in net unrealised appreciation/(depreciation) on

financial future contracts to the Combined Statement of Changes in Net Assets.

i) Credit default swaps (“CDS”) are marked to market based upon daily prices obtained from third party pricing agents. The

trades are verified against the value from the counterparty. Changes in unrealised appreciation/depreciation are included in

the Combined Statement of Changes in Net Assets under the heading "Change in net unrealised appreciation/(depreciation)

on credit default swaps". Interest received/paid is disclosed in the Combined Statement of Operations under the heading

"Interest received/paid on credit default swaps". Realised gains/losses including cash flows received/paid in relation to credit

events, are included in the Combined Statement of Changes in Net Assets under the heading "Net realised gain/(loss) on

credit default swaps".

35 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-Fund’s currency are converted into this respective Sub-

Fund’s currency at the last available average exchange rate.

Separate accounts are maintained for each Sub-Fund in the currency in which the Net Asset Value per units 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.

As at 29 December 2017, the exchange rates were as follows:

1 GBP = 1.126500000 EUR 1 SEK = 0.101710065 EUR

1 NOK = 0.101811182 EUR 1 USD = 0.832748106 EUR

Income:

Interest income and bank interest income are recognised on an accrual basis. Dividends are recorded on the ex-dividend

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:

• 1.20% is charged on SEB High Yield - SEB European High Yield Fund “C (EUR)” units (maximum rate: 1.20%)

• 1.10% is charged on SEB High Yield - SEB European High Yield Fund “C (H-NOK)” units (maximum rate: 1.10%)

• 1.10% is charged on SEB High Yield - SEB European High Yield Fund “C (H-SEK)” units (maximum rate: 1.10%)

• 1.20% is charged on SEB High Yield - SEB European High Yield Fund “D (EUR)” units (maximum rate: 1.20%)

• 0.75% is charged on SEB High Yield - SEB European High Yield Fund “HNWC (H-SEK)” units (maximum rate: 0.75%)

• 0.36% is charged on SEB High Yield - SEB European High Yield Fund “ZC (EUR)” units (maximum rate: 0.36%)

• 0.36% is charged on SEB High Yield - SEB European High Yield Fund “ZD (EUR)” units (maximum rate: 0.36%)

• 1.20% is charged on SEB High Yield - SEB Sustainable High Yield Fund “C (EUR)” units (maximum rate: 1.20%)

• 1.20% is charged on SEB High Yield - SEB Sustainable High Yield Fund “C (H-NOK)” units (maximum rate: 1.20%)

• 1.20% is charged on SEB High Yield - SEB Sustainable High Yield Fund “C (H-SEK)” units (maximum rate: 1.20%)

36

• 1.10% is charged on SEB High Yield - SEB Sustainable High Yield Fund “D (EUR)” units (maximum rate: 1.10%)

• 1.20% is charged on SEB High Yield - SEB Sustainable High Yield Fund “D (H-SEK)” units (maximum rate: 1.20%)

• 1.00% is charged on SEB High Yield - SEB Sustainable High Yield Fund “HNWD (H-SEK)” units (maximum rate: 1.00%)

• 0.36% is charged on SEB High Yield - SEB Sustainable High Yield Fund “ZC (EUR)” units (maximum rate: 0.36%)

• 0.36% is charged on SEB High Yield - SEB Sustainable High Yield Fund “ZD (EUR)” units (maximum rate: 0.36%)

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 depositary fees on behalf of the Fund.

Note 3. Performance Fees

In addition to the management fees above, for the unit class SEB High Yield - SEB Sustainable High Yield Fund “D (EUR)” the

Management Company also receives an annual performance-related commission ("Performance Fees"). These fees are

calculated on each valuation day, accrued and paid monthly in arrears. The calculation is as follows: the number of units in

the unit class is multiplied by the performance-related percentage, 12%, times a positive unit growth recorded on this day

that exceeds the value increase of the return index. The Sub-Funds applies the high-watermark principle and a fixed

percentage rate of 5% per annum as a hurdle rate. There were no performance fees accrued during the period and no

performance fees were outstanding as at 31 December 2017.

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.

Note 5. Transaction Fees

Transaction fees incurred by the Fund relating to the purchase or sale of transferable securities, money market instruments, derivatives or other eligible assets are mainly composed of depositary fees and broker fees. Most of the transaction fees are included in the transaction price used to calculate the realised and unrealised gain/(loss) on securities. The bid-offer spread is not included in the following fees relating to SEB High Yield. As at 31 December 2017 the transaction fees were as follows: SEB High Yield - SEB European High Yield Fund 16,147.00 EUR SEB High Yield - SEB Sustainable High Yield Fund 29,691.00 EUR

Note 6. Significant Events during the period

Prospectus A new prospectus was issued in December 2017.

37 Sub-Fund Name Change

SEB High Yield - SEB High Yield Fund changed its name to SEB High Yield - SEB Sustainable High Yield Fund on 12 December 2017.

Directors

There were changes to the Board of Directors of the Management Company during the period. Please refer to the

Organisation section on pages 3 and 4 for details.

Branch

SEB Asset Management S.A. (SEB AM) was merged with SEB Investment Management AB (SEB IM AB) as of 2 November 2016. Effective 1 April 2017, BNY Mellon has merged its legal entity. The Bank of New York Mellon (Luxembourg) S.A., into The Bank of New York Mellon SA/NV, (Luxembourg Branch). Financial Year End Change

The financial year changed, this report covers the period from 1 November 2016 to 31 December 2017. Effective from January 2018, the financial year of the Fund will start on 1 January and end on 31 December of the same year.

Note 7. Subsequent Events after the period end

There were no subsequent events after the period end.

38

Audit Report

To the Unitholders of SEB High Yield

Our opinion

In our opinion, the accompanying financial statements give a true and fair view of the financial position of SEB High Yield (the

“Fund”) and of each of its Sub-Funds as at 31 December 2017, and of the results of their operations and changes in their net assets for the period from 1 November 2016 to 31 December 2017 in accordance with Luxembourg legal and regulatory

requirements relating to the preparation and presentation of the financial statements.

What we have audited

The Fund’s financial statements comprise:

• the combined statement of net assets as at 31 December 2017;

• the schedule of investments as at 31 December 2017;

• the combined statement of operations for the period from 1 November 2016 to 31 December 2017;

• the combined statement of changes in net assets for the period from 1 November 2016 to 31 December 2017; and

• the notes to the financial statements, which include a summary of significant accounting policies.

Basis for opinion

We conducted our audit in accordance with the Law of 23 July 2016 on the audit profession (Law of 23 July 2016) and with International Standards on Auditing (ISAs) as adopted for Luxembourg by the “Commission de Surveillance du Secteur

Financier” (CSSF). Our responsibilities under those Law and standards are further described in the “Responsibilities of the

“Réviseur d’entreprises agréé” for the audit of the financial statements” section of our report.

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion. ............................................................................................................................................................................................................................................................................ PricewaterhouseCoopers, Société coopérative, 2 rue Gerhard Mercator, BP 1443, L-1014 Luxembourg T: +352 4948481, 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

We are independent of the Fund in accordance with the International Ethics Standards Board for Accountants’ Code of Ethics for

Professional Accountants (IESBA Code) as adopted for Luxembourg by the CSSF together with the ethical requirements that are

relevant to our audit of the financial statements. We have fulfilled our other ethical responsibilities under those ethical

requirements.

Other information

The Board of Directors of the Management Company is responsible for the other information. The other information

comprises the information stated in the annual report but does not include the financial statements and our audit report

thereon.

Our opinion on the financial statements does not cover the other information and we do not express any form of assurance

conclusion thereon.

In connection with our audit of the financial statements, our responsibility is to read the other information identified above

and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our

knowledge obtained in the audit, or otherwise appears to be materially misstated. If, based on the work we have performed,

we conclude that there is a material misstatement of this other information, we are required to report that fact. We have

nothing to report in this regard.

Responsibilities 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 the financial

statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation and presentation 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.

In preparing the financial statements, the Board of Directors of the Management Company is responsible for assessing the

Fund’s ability to continue as a going concern, disclosing, as applicable, matters related to going concern and using the going

concern basis of accounting unless the Board of Directors of the Management Company either intends to liquidate the Fund

or to cease operations, or has no realistic alternative but to do so.

_Ipwc

Responsibilities of the "Reviseur d'entreprises agree” for the audit of the financial statements

The objectives of our audit are to obtain reasonable assurance about whether the financial statements as a whole are freefrom material misstatement, whether due to fraud or error, and to issue an audit report that includes our opinion. Reasonableassurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with the Law of23 July 2016 and with |SAs as adopted for Luxembourg by the CSSF will always detect a material misstatement when itexists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they couldreasonably be expected to influence the economic decisions of users taken on the basis of these financial statements.

As part of an audit in accordance with the Law of 23 July 2016 and with |SAs as adopted for Luxembourg by the CSSF, weexercise professionaljudgment and maintain professional scepticism throughout the audit.

We also:

0 identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, designand perform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropriate toprovide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher than forone resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or theoverride of internal control;

0 obtain an understanding of internal control relevant to the audit in order to design audit procedures that are appropriatein the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control;

o evaluate the appropriateness of accounting policies used and the reasonableness of accounting estimates and relateddisclosures made by the Board of Directors of the Management Company;

- conclude on the appropriateness of the Board of Directors of the Management Company’s use of the going concern basisof accounting and, based on the audit evidence obtained, whether a material uncertainty exists related to events orconditions that may cast significant doubt on the Fund's ability to continue as a going concern. If we conclude that amaterial uncertainty exists, we are required to draw attention in our audit report to the related disclosures in the financialstatements or, if such disclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidenceobtained up to the date of our audit report. However, future events or conditions may cause the Fund to cease to continueas a going concern;

0 evaluate the overall presentation, structure and content of the financial statements, including the disclosures, andwhether the financial statements represent the underlying transactions and events in a manner that achieves fairpresentation.

We communicate with those charged with governance regarding, among other matters, the planned scope and timing of theaudit and significant audit findings, including any significant deficiencies in internal control that we identify during our audit.

Pricewaterhousecoopers, Société cooperative Luxembourg, 18 April 2018Represented by

CC?/3Thierry Blondeau

40

Risk Disclosure (unaudited)

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 High Yield, the global exposure is calculated and monitored daily by using the calculation methodology Value at Risk

(VaR) or the commitment methodology. 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 Investment Manager calculates the leverage on a gross or on a commitment method. The gross method converts all

positions on derivative financial instruments into equivalent positions in the underlying assets, while the commitment method

applies the same while allowing netting and hedging arrangements.

The below overview summarises the Fund indicating the VaR or commitment approach, the reference portfolio (in the case of relative VaR), the legal VaR limit, the lowest/highest and average utilisation of VaR (expressed as a percentage of the respective absolute or relative legal VaR limit) as well as the average level of leverage for the year ended 31 December 2017. Or in other cases, the minimum, maximum and average leverage within the commitment method:

Fund Relative/

Absolute

VaR

Reference

Portfolio

Lowest

utilisation

of VaR

Highest

utilisation

of VaR

Average

utilisation

of VaR

Average

leverage

(FX

forwards

serving the

purposes of

unit-

class(es)

hedging, if

any, are not

included in

the

leverage

calculation)

Average

Leverage

(including

FX

forwards

for unit-

class

hedging)


Relative

*

Barclays Pan -European High Yield

40.23%

57.60%

46.25%

36.42%

236.04%

Risk Disclosure (unaudited)

42

Fund Relative/

Absolute

VaR

Reference

Portfolio

Lowest

utilisation

of VaR

Highest

utilisation

of VaR

Average

utilisation

of VaR

Average

leverage

(FX

forwards

serving the

purposes of

unit-

class(es)

hedging, if

any, are not

included in

the

leverage

calculation)

Average

Leverage

(including

FX

forwards

for unit-

class

hedging)

SEB High Yield - SEB Sustainable High Yield Fund

Absolute

*

N/A

7.73%

11.90%

9.76%

161.81%

353.45%

* As of 11 December 2017 the Sub-Fund global exposure calculation method converted to a commitment approach.

The risk monitoring is based on the risk management process adopted by the Board of the Management Company and is

performed independently from the portfolio management. No changes have been applied to the risk.

Fund Commitment Method Leverage

Limit Minimum Average Maximum

SEB High Yield - SEB

European High Yield Fund 100% 0.00% 0.19% 0.49%

SEB High Yield - SEB

Sustainable High Yield Fund 100% 6.89% 7.13% 7.70%

Remuneration Disclosure (unaudited)

43

SEB Investment Management AB (the Management Company) wishes to encourage and incite good performance and sound behaviour, as well as to endeavour to achieve balanced risk-taking that is aligned with the interests of fund unitholders.

The Management Company has a long-term vision regarding the employment conditions of its staff. Total remuneration shall contribute to developing the Management Company's competitiveness and profitability through the Company being able to attract, retain, motivate and reward competent and skilful employees. In order to achieve this objective, the Management Company's board of directors has adopted a remuneration policy based on Swedish and international regulations. The purpose of the remuneration policy is to ensure that the Management Company has a remuneration system that is adapted to the fund unitholders' long-term interests and the Management Company's strategy and values.

The remuneration policy is based on the remuneration model that is applied at Group level, and is built on SEB's values. The Management Company's remuneration policy is reviewed at least annually. The Management Company's current remuneration policy is based on a risk analysis that has been prepared by the Management Company's risk control department.

The Management Company’s remuneration structure is based on three components: • Fixed remuneration (basic salary) • Variable remuneration • Pensions and other benefits

The remuneration components are used to achieve a competitive individual level of remuneration with an appropriate balance between fixed and variable remuneration.

The fixed remuneration component is individually adapted further to predetermined internal and external appraisals. The level of the fixed remuneration is based on the employee's experience, long-term performance and behaviour.

All employees at the Management Company are embraced by SEB's collective profit sharing model that has a predetermined maximum outcome. The remuneration is established based on SEB's earnings and customer satisfaction.

Remuneration to employees in control departments (internal audit, risk control, and observance of regulations) is established by the board of directors further to proposals from the Management Company's remuneration committee. Remuneration shall be based on objective grounds related to the employee's role and tasks, and be independent of the business unit that the control department scrutinises.

Employees in departments that have a monitoring function, such as internal auditing, risk control or compliance, are not to receive any other variable remuneration over and above SEB's profit sharing.

The Management Company applies the grandfather principle to all remuneration, which means all decisions are to be approved by, at the least, the manager for the manager of the employee concerned.

Variable remuneration The Management Company uses variable remuneration in order to develop and reward performance and behaviour that create both short-term and long-term value for the fund unitholders and the Management Company. Variable remuneration is an important aspect of designing a flexible remuneration system. Variable remuneration is composed of both cash and units/shares in investment funds or financial instruments which achieve the equivalent common interests as units/shares in the relevant investment funds.

The principles for variable remuneration adopted by the Management Company are established with the objective of reflecting the Management Company's low risk tolerance and being compatible with the Fund's prevailing risk profiles, fund rules, discretionary mandates, as well as internal and external regulations. The variable remuneration shall be based on the employee's performance and behaviour from a several-year perspective, as well as the performance and economic results of the employee's team, the Management Company and SEB as a whole. At the same time as obtaining a sound balance between fixed and variable remuneration, the payment of variable remuneration shall be related to the Management Company's risk policy and creation of value for the fund unitholders. This implies that certain maximum levels and deferment of payment shall apply to different personnel categories.


44

For employees in positions that have a significant influence on the Management Company's or the managed funds’ risk profile, the maximum variable remuneration may not exceed 100 percent of the fixed remuneration. The variable remuneration is to be deferred by 40 to 60 percent for a minimum of three years. At least 50 percent of the variable remuneration is to consist of units/shares in investment funds or instruments which achieve the same common interests as units/shares in the relevant securities funds. Variable remuneration in the form of fund units/shares will be subject to retention policy for at least one year. This retention policy applies to variable compensation whether or not it is deferred.

The Management Company also applies a special remuneration model for certain employees who manage funds and discretionary mandates. The remuneration model for these persons is based on a structure with distinct rules for maximum outcome of remuneration, deferment of remuneration as well as rules regarding downward adjustment/reduction of remuneration.

Payment of deferred remuneration shall only be made if such is motivated based on the Management Company's economic situation and the performance of the Management Company, the relevant division and the employee.

Reduction or downward adjustment of deferred variable remuneration shall apply should losses, increased risks and costs arise during the deferment period, which includes for example taking into consideration the employee's observance of external and internal regulations. Reduction or downward adjustment shall also take place should payment be deemed unwarrantable in view of the Management Company's financial situation.

The variable remuneration system shall be continuously reviewed in order to ensure that it does not create any unsuitable behaviour and contribute to excessive risk-taking.

The remuneration committee The Management Company has appointed a remuneration committee with the task of independently appraising the remuneration policy. The remuneration committee shall be responsible for preparing decisions regarding remuneration that are to be adopted by the board of directors, and intervene if a decision could imply consequences for the Management Company's risks and risk management. The remuneration committee is an independent body composed of the board of directors' independent members.

Follow up The CEO, the deputy CEO and the board of directors shall ensure that the remuneration policy is operationally applied. The remuneration policy shall be reviewed annually by the internal audit department or by an independent auditing firm. In order to ensure that the Management Company's remuneration system is applied in accordance with the remuneration policy, the remuneration system and the payment of remuneration shall be reviewed annually by internal or external auditors.

Regulated staff Paid remuneration and benefits, 2017

(thousand) EUR

- Employees in leading strategic positions 2,389 - Employees responsible for control 429 - Risk-takers 9,070 - Employees whose total remuneration amounts to or exceeds the total remuneration to any of the Executive Board

–

Total remuneration paid (thousand)

EUR

- All employees (fixed remuneration) 14,954 - All employees (variable remuneration) 3,642 Number of employees during the period 134


45

SEB Investment Management AB, Luxembourg Branch 4, rue Peternelchen, L-2370 Howald, Luxembourg Postal address: PO Box 2053, L-1020 Luxembourg Phone +352 - 26 23 1; Fax +352 - 26 23 25 55 www.sebgroup.lu

Documents

Annual Report - SEB · Notes to the Financial Statements 34 Audit Report 38 Risk Disclosure (unaudited) 41 ... • SEB High Yield - SEB Sustainable High Yield Fund Unless otherwise