Annual report including audited financial statements as at 30th September 2015

ATCM I Investm ent Fu nd (F.C.P.), Lu xem bou rg

Managem ent Com pany: SEB Fund Services S.A. R.C.S. Luxembourg B 44 726

N otice The sole legally bind ing basis for the purchase of units of the Fund d escribed in this report is the latest valid sales prospectus w ith its term s of contract.

ATCM I Contents

Organisation .......................................................................................................................................................... 2 General information ............................................................................................................................................ 4 Report from the Investment Manager .............................................................................................................. 5 Audit Report ......................................................................................................................................................... 6 Combined statement of net assets ..................................................................................................................... 8 Combined statement of operations and other changes in net assets .......................................................... 9 ATCM I - SEB D ynamic Manager Alpha ....................................................................................................... 10 Statem ent of net assets .................................................................................................................................... 10 Statem ent of op erations and other changes in net assets ........................................................................... 11 Statistical inform ation ..................................................................................................................................... 12 Statem ent of investm ents and other net assets ............................................................................................ 13 Econom ic and geograp hical classification of investm ents ......................................................................... 14 ATCM I - Alternative Risk Premia ................................................................................................................. 15 Statem ent of net assets .................................................................................................................................... 15 Statem ent of op erations and other changes in net assets ........................................................................... 16 Statistical inform ation ..................................................................................................................................... 17 Statem ent of investm ents and other net assets ............................................................................................ 18 Econom ic and geograp hical classification of investm ents ......................................................................... 19 N otes to the financial statements .................................................................................................................... 20

1

ATCM I Organisation

Management Company

SEB Fund Services S.A. 4, ru e Peternelchen L-2370 H ow ald

Board of D irectors of the Management Company

Chairman Gu staf UN GER H ead of Investor Services, Transaction Banking Skand inaviska Enskild a Banken AB (p u bl), Sw ed en Vice-Chairman Peter KUBICKI H ead of Wealth Managem ent SEB Wealth Managem ent, Denm ark (u ntil 2nd March 2015) D irectors Ralf FERN ER Managing Director SEB Fund Services S.A., Luxem bou rg Göran FORS H ead of Sales and Market Develop m ent Asset Servicing Skand inaviska Enskild a Banken AB (p u bl), Sw ed en Jonas LIN DGREN H ead of Prim e Brokerage, SEB Equ ities Skand inaviska Enskild a Banken AB (p u bl), Sw ed en Erika LUN DQUIST Managing Director Skand inaviska Enskild a Banken S.A., Lu xem bou rg (since 2nd March 2015) Magnu s WALLBERG Dep u ty Managing Director, CFO/ COO Skand inaviska Enskild a Banken S.A., Lu xem bou rg (since 27th October 2014)

Custodian

Skand inaviska Enskild a Banken S.A. 4, ru e Peternelchen L-2370 H ow ald

Investment Manager

Skand inaviska Enskild a Banken AB (p u bl) Ku ngsträd gård sgatan 8 SE-106 40 Stockholm

2

ATCM I Organisation (continued)

Sub-Administrator including the Registrar and Transfer Agent

Eu rop ean Fu nd Ad m inistration S.A. 2, ru e d ’Alsace L-1122 Lu xem bou rg

D istributor

Skand inaviska Enskild a Banken AB (p u bl) Ku ngsträd gård sgatan 8 SE-106 40 Stockholm

Auditor of the Fund and the Management Company

Pricew aterhou seCoop ers, Société coop érative 2, ru e Gerhard Mercator L-2182 Lu xem bou rg

3

ATCM I General information

ATCM I (the "Fu nd ") is organised as an u m brella FCP ("Fonds Commun de Placement") u nd er Part I of the am end ed Law of 17th Decem ber 2010 relating to Und ertakings for Collective Investm ent. The Fund has been established in Lu xem bou rg as an op en -end ed m u tu al investm ent fu nd by SEB Fund Services S.A. (the "Managem ent Com p any"), a m anagem ent com p any governed by chap ter 15 of the am end ed Law of 17th Decem ber 2010 having its registered office in Lu xem bou rg. The last changes of the Managem ent Regu lations for the Fu nd w ere effected on 1st Ju ly 2012 and the notice of their d ep osit at the "Registre de Commerce et des Sociétés" w as p u blished in the "M émorial, Recueil des Sociétés et A ssociations" (the "M émorial") on 4th Ju ne 2012. The Managem ent Com p any m ay on behalf of the Fu nd issu e one or several classes of Units w hich are related to sp ecific p ools of assets (each a "Su b-Fu nd ") established w ithin the Fu nd . The secu rities and other assets of the Fu nd are segregated from the assets of the Managem ent Com p any and are m anaged by the Managem ent Com p any in the interest of hold ers of Units in the Fund ("Unithold ers") and on their behalf. At the d ate of the rep ort, the follow ing Su b -Fund s are op en: - ATCM I - SEB Dynam ic Manager Alp ha exp ressed in SEK. - ATCM I - Alternative Risk Prem ia (lau nched on 4th May 2015) The Su b-Fund s cu rrently offers: - Class EUR-I Units, - Class EUR-R Units, - Class USD-I Units, - Class SEK-I Units, - Class SEK-R Units. At the d ate of the rep ort, all Units are issu ed for ATCM I - SEB Dynam ic Manager Alp ha Su b-Fu nd and only classes SEK-I and SEK-R Units are issu ed for ATCM I - Alternative Risk Prem ia (lau nched on 4th May 2015) The Class I Units are reserved for institu tional investors as d efined by Article 174 p aragrap h 2c of the am end ed Law of 17th Decem ber 2010, w hereas the Class R Units are op en to all typ es of investors. The N et Asset Valu e p er Unit of each Su b-Fund is calcu lated every d ay w hich is a Bu siness d ay (the "Valu ation Day"). The accou nting year of the Fu nd end s on 30th Sep tem ber of each year. Financial rep orts of the Fund are p u blished annu ally and sem i-annu ally. The com bined accou nts of the Fu nd are m aintained in SEK. The latest N et Asset Valu e p er Unit of each Su b-Fu nd , together w ith su bscrip tion and red em p tion p rices, are available on any Bu siness d ay at the registered office of the Managem ent Com p any. Cop ies of the Managem ent Regu lations, the Articles of Incorp oration of the Managem ent Com p any, the Cu stod ian Agreem ent betw een the Managem ent Com p any and Skand inaviska Enskild a Banken S.A., the latest sem i-annu al and annu al rep orts of the Fund m ay be obtained free of charge d u ring norm al office hou rs at the registered office of the Managem ent Com p any and the Cu stod ian of the Fu nd .

4

ATCM I Report from the Investment Manager

ATCM I --- SEB D ynamic Manager Alpha Equ ity m arkets as m easu red by the MSCI Daily TR Gross World Ind ex w as d ow n -4.57% betw een 30th Sep tem ber 2014 and 30th Sep tem ber 2015. The ATCM I - SEB Dynam ic Manager Alp ha Su b-Fu nd rose by +0.26% in the institu tional SEK Class and thereby not m eeting ou r retu rn target of risk -free rate + 13%. The OMRX T-Bill Ind ex fell by -0.11%. Central to ou r strategy is to p rovid e retu rns w hich are ind ep end ent of equ ity m arket m ovem ents and w e are p leased to note that the realized beta to MSCI World Ind ex w as 0.01 based on w eekly d ata d u ring the p eriod . Du ring the p eriod , w e exp erienced a strong p erform ance the first fou r m onths after that it has been m ore challenging for ou r m anagers. In total over the fu ll p eriod 8 ou t of 14 u nd erlying m anager in the SEB Dynam ic Manager Alp ha Su b-Fu nd p osted p ositive excess retu rns (alp ha). Ou r best p erform er w as one of ou r high conviction Eu rop ean m anagers that had stru ggle d in the p reviou s year, rebou nd ed strongly and realized a gross alp ha of +10.35%. Also w orth m entioning is ou r H ealthcare m anager p osting a gross alp ha of +8.91%. On the negative sid e tw o of ou r Em erging Markets m anagers stru ggled , p osting negative gross alp ha of -8.78% and -4.9% resp ectively. Du ring the p eriod w e exited both of these m anagers. One of ou r Eu rop ean m anagers had invested in PC-related bu sinesses that created a negative d rag early in the year, p osting a negative gross alp ha of -5.46% for the p eriod u ntil w e exited the fu nd . Du ring the year w e exited in total five of ou r investm ents and entered into fou r new . In three of the five fu nd m anagers w e exited w e had been invested for a nu m ber of years all w ith p ositive p erform ance since investm ent. Ou r conviction in the investm ent team s had w eakened over the years and the p erform ance has not been satisfactory in last year(s). In the fou rth case it w as w eak p erform ance and ou r conviction d id not grow w ith the m anager. In the fifth case the lead p ortfoli o m anager left the fu nd and consequ ently w e d irectly sold ou r hold ing. For ou r fou r new investm ents w e see strong p otential and they have as a grou p been off to a strong start, w ith gross alp ha in the range of +3.6% to -0.1% since investm ent. ATCM I - Alternative Risk Premia Equ ity m arkets as m easu red by the MSCI Daily TR Gross World Ind ex w as d ow n -10.7% betw een 4th May 2015 (lau nch of Su b-Fu nd ) and 30th Sep tem ber 2015. The OMRX T-Bill Ind ex fell by -0.15%. The Alternative Risk Prem ia Su b-Fu nd fell by -0.63% in the institu tional SEK Class com p aring w ell to the H FRX Global H ed ge Fu nd Ind ex w hich fell by -5.44% d u ring the p eriod . Central to ou r strategy is to p rovid e retu rns w hich exhibit low correlation to equ ity m arket m ovem ents and w e are p leased to note that the realized beta to MSCI World Ind ex w as 0.00 based on w eekly d ata d u ring the p eriod . The p eriod w as characterized by renew ed u ncertainty concerning Greece follow ed by sharp sell -offs in equ ity m arkets and sp ikes in volatility as u ncertainty of the p ace of global grow th m ou nted d u ring Au gu st 2015. Ou r p ortfolio constru ction held u p w ell d u ring this p eriod althou gh w e w ou ld not exp ect to be able to generate p ositive retu rns in those circu m stances. 4 ou t of 10 su b -strategies contribu ted p ositively to retu rns. N egative contribu tors inclu d ed the volatility p rem ia w hich cap italizes on the sp read betw een im p lied and realized volatility w hich w as d ow n -12% and Valu e w ithin Eu rop ean equ ities w hich w as d ow n -6%. On the p ositive sid e, Price Mom entu m w ithin Eu r op ean equ ities w as u p 10% and Qu ality w ithin Eu rop ean equ ities w as u p 3%. In ad d ition to the bu ild -u p of the p ortfolio d u ring the first cou p le of d ays w e ad d ed tw o p rem ia in Sep tem ber. The first w as system atic m erger arbitrage cap italizing on the m erger arbitrage p rem ia inherent in US take-overs and the second one w as a short VIX fu tu res strategy cap italizing on the slop e of the VIX fu tu res cu rve.

Lu xem bou rg, 16th N ovem ber 2015

The Investm ent Manager

N ote: The inform ation in this report represents historical d ata and is not an ind ication of future results.

5

Audit Report

To the Unithold ers of ATCM I

We have au d ited the accom p anying financial statem ents of ATCM I and of each of its Su b-Fu nd s, w hich com p rise the statem ent of net assets and the statem ent of investm ents and other net assets as at 30th Sep tem ber 2015 and the statem ent of op erations and other changes in net assets for the year then end ed , and a su m m ary of significant accou nting p olicies and other exp lanatory notes to the financial statem ents. Responsibility of the Board of Directors of the M anagement Company for the financial statements The Board of Directors of the Managem ent Com p any is resp onsible for the p rep aration and fair p resentation of these financial statem ents in accord ance w ith Lu xem bou rg legal and regu latory requ irem ents relating to the p rep aration of the financial sta tem ents and for su ch internal control as the Board of Directors of the Managem ent Com p any d eterm ines is necessary to enable the p rep aration of financial statem ents that are free from m aterial m isstatem ent, w hether d u e to frau d or error. Responsibility of the "Réviseur d’entreprises agréé" Ou r resp onsibility is to exp ress an op inion on these financial statem ents based on ou r au d it. We cond u cted ou r au d it in accord ance w ith International Stand ard s on Au d iting as ad op ted for Lu xem bou rg by the "Com m ission d e Su rveillance d u Secteu r Financier". Those stand ard s requ ire that w e com p ly w ith ethical requ irem ents and p lan and p erform the au d it to obtain reasonable assu rance abou t w hether the financial statem ents are free from m aterial m isstatem ent. An au d it involves p erform ing p roced u res to obtain au d it evid ence abou t the am ou nts and d isclosu res in the financial statem ents. The p roced u res selected d ep end on the ju d gm ent of the "Réviseu r d ’entrep rises agréé", inclu d ing the assessm ent of the risks of m aterial m isstatem ent of the financial statem ents, w hether d u e to frau d or error. In m aking those risk assessm ents, the "Réviseu r d ’entrep rises agréé" consid ers internal control relevant to the entity’s p rep aration and fair p resentation of the financial statem ents in ord er to d esign au d it p roced u res that are ap p rop riate in the circu m stances, bu t not for the p u rp ose of exp ressing an op inion on the effectiveness of the entity’s internal control. An au d it also inclu d es evalu ating the ap p rop riateness of accou nting p olici es u sed and the reasonableness of accou nting estim ates m ad e by the Board of Directors of the Managem ent Com p any, as w ell as evalu ating the overall p resentation of the financial statem ents.

PricewaterhouseCoopers, Société coopérative, 2 rue Gerhard Mercator, B.P. 1443, L-1014 Luxembourg T: +352 494848 1, F: +352 494848 2900, www.pwc.lu Cabinet de révision agréé. Expert-comptable (autorisation gouvernementale n°10028256) R.C.S. Luxembourg B 65 477 - TVA LU25482518

6

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pwc

Audit Report (continued)

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements give a true and fair view ofthe financial position of ATCM I and each ofits Sub—Funds as of 30th September 2015, and ofthe results of their operations and changes in their net assets for the year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements. Other matters

Supplementary information included in the annual report has been reviewed in the context of our mandate but has not been subject to specific audit procedures carried out in accordance with the standards described above. Consequently, we express no opinion on such information. However, we have no observation to make concerning such information in the context of the financial statements taken as a whole. Pricew aterhouseCoopers, Société coop érative Represented by

Philippe Sergiel

Luxembourg, 28th January 2016

ATCM I Combined statement of net assets (in SEK) as at 30th Sep tem ber 2015

Assets Secu rities p ortfolio at m arket valu e Dep osits on fu tu res contracts Cash at banks Other liqu id assets Form ation exp enses, net Interest receivable on sw ap s contracts Other incom e receivable Unrealised gain on fu tu res contracts Unrealised gain on sw ap s contracts Unrealised gain on forw ard foreign exchange contracts Equ alisation factor Other receivables

1,147,370,474.91 8,481,659.38 101,294,975.46 4,153,809.57 45,686.76 75,602.79 2,200,465.46 3,022,292.82 11,527,527.17 202,917.55 1,567,067.13 205,225.63

Total assets

1,280,147,704.63

Liabilities Bank overd rafts Payable on sw ap s contracts Payable on red em p tions of u nits Interest p ayable on sw ap s contracts Unrealised loss on sw ap s contracts Exp enses p ayable Prep aid su bscrip tions Other liabilities

702.00 1,630,941.01 1,377,156.84 141,423.39 1,784,601.98 1,165,529.72 58,379.80 3,227,350.78

Total liabilities

9,386,085.52

N et assets at the end of the year

1,270,761,619.11

The accom panying notes are an integral part of these financial statem ents.

8

ATCM I Combined statement of operations and other changes in net assets (in SEK) from 1st October 2014 to 30th Sep tem ber 2015

Income Interest on bond s and other d ebt secu rities, net Interest on bank accou nts Interest on sw ap s contracts Equ alisation factor Com m issions received

500,375.00 4,713.94 2,803,591.11 511,472.86 9,450,581.68

Total incom e

13,270,734.59

Expenses Managem ent fees Perform ance fees Banking charges and other fees Transaction fees Other ad m inistration costs Su bscrip tion d u ty ("taxe d 'abonnem ent") Interest p aid on bank overd rafts Interest p aid on sw ap s contracts Other exp enses

12,543,508.30 10.35 2,714,545.34 333,249.44 480,614.82 222,116.51 217,486.67 2,277,291.12 4,055.46

Total exp enses

18,792,878.01

N et investm ent loss

-5,522,143.42

N et realised gain/(loss) - on secu rities p ortfolio - on fu tu res contracts - on sw ap s contracts - on forw ard foreign exchange contracts - on foreign exchange

415,769,153.93 -13,619,207.08 66,764,335.19 -149,594,300.74 33,399,152.35

Realised resu lt

347,196,990.23

N et variation of the unrealised gain/(loss) - on secu rities p ortfolio - on fu tu res contracts - on sw ap s contracts - on forw ard foreign exchange contracts

-283,160,584.88 3,342,655.66 -49,053,740.52 -2,093,230.66

Resu lt of op erations

16,232,089.83

Su bscrip tions

570,197,668.73

Red em p tions

-1,270,045,611.40

Total changes in net assets

-683,615,852.84

Total net assets at the beginning of the year

1,954,377,471.95

Total net assets at the end of the year

1,270,761,619.11

The accom panying notes are an integral part of these financial statem ents.

9

ATCM I - SEB D ynamic Manager Alpha Statement of net assets (in SEK) as at 30th Sep tem ber 2015

Assets Secu rities p ortfolio at m arket valu e Dep osits on fu tu res contracts Cash at banks Other liqu id assets Interest receivable on sw ap s contracts Other incom e receivable Unrealised gain on fu tu res contracts Unrealised gain on sw ap s contracts Unrealised gain on forw ard foreign exchange contracts Equ alisation factor Other receivables

892,069,799.91 8,481,659.38 61,948,961.63 4,153,809.57 75,602.79 2,200,465.46 3,022,292.82 11,527,527.17 177,496.86 1,567,067.13 205,225.63

Total assets

985,429,908.35

Liabilities Bank overd rafts Payable on sw ap s contracts Payable on red em p tions of u nits Interest p ayable on sw ap s contracts Exp enses p ayable Other liabilities

702.00 938,531.11 1,299,641.21 20,461.20 796,053.90 3,227,350.78

Total liabilities

6,282,740.20

N et assets at the end of the year

979,147,168.15

Class EUR-I Units ou tstand ing N et asset valu e p er Class EUR-I Unit

31,174.970 EUR 104.14

Class EUR-R Units ou tstand ing N et asset valu e p er Class EUR-R Unit

26,253.194 EUR 97.86

Class USD-I Units ou tstand ing N et asset valu e p er Class USD-I Unit

24,983.965 USD 104.16

Class SEK-I Units ou tstand ing N et asset valu e p er Class SEK-I Unit

541,728.791 112.16

Class SEK-R Units ou tstand ing N et asset valu e p er Class SEK-R Unit

7,921,878.734 106.30

The accom panying notes are an integral part of these financial statem ents.

10

ATCM I - SEB D ynamic Manager Alpha Statement of operations and other changes in net assets (in SEK) from 1st October 2014 to 30th Sep tem ber 2015

Income Interest on bank accou nts Interest on sw ap s contracts Equ alisation factor Com m issions received

4,713.94 2,803,591.11 511,472.86 9,450,581.68

Total incom e

12,770,359.59

Expenses Managem ent fees Banking charges and other fees Transaction fees Other ad m inistration costs Su bscrip tion d u ty ("taxe d 'abonnem ent") Interest p aid on bank overd rafts Interest p aid on sw ap s contracts

11,042,695.52 2,710,419.94 332,402.22 451,420.47 188,615.14 217,486.67 1,394,954.58

Total exp enses

16,337,994.54

N et investm ent loss

-3,567,634.95

N et realised gain/(loss) - on secu rities p ortfolio - on fu tu res contracts - on sw ap s contracts - on forw ard foreign exchange contracts - on foreign exchange

416,426,053.52 -13,619,207.08 63,750,467.80 -149,455,722.26 33,312,710.58

Realised resu lt

346,846,667.61

N et variation of the unrealised gain/(loss) - on secu rities p ortfolio - on fu tu res contracts - on sw ap s contracts - on forw ard foreign exchange contracts

-282,900,110.68 3,342,655.66 -47,269,138.54 -2,118,651.35

Resu lt of op erations

17,901,422.70

Su bscrip tions

274,225,048.86

Red em p tions

-1,267,356,775.36

Total changes in net assets

-975,230,303.80

Total net assets at the beginning of the year

1,954,377,471.95

Total net assets at the end of the year

979,147,168.15

The accom panying notes are an integral part of these financial statem ents.

11

ATCM I - SEB D ynamic Manager Alpha Statistical information (in SEK) as at 30th Sep tem ber 2015

Total net assets - as at 30.09.2015 - as at 30.09.2014 - as at 30.09.2013

979,147,168.15 1,954,377,471.95 1,850,107,101.47

N umber of Class EUR-I Units - outstand ing at the beginning of the year - issued - red eem ed - outstand ing at the end of the year

132,060.801 29,755.517 -130,641.348 31,174.970

N et asset value per Class EUR-I Unit - as at 30.09.2015 - as at 30.09.2014 - as at 30.09.2013

EUR 104.14 EUR 103.86 EUR 105.57

N umber of Class EUR-R Units - outstand ing at the beginning of the year - issued - red eem ed - outstand ing at the end of the year

47,626.939 0.000 -21,373.745 26,253.194

N et asset value per Class EUR-R Unit - as at 30.09.2015 - as at 30.09.2014 - as at 30.09.2013

EUR 97.86 EUR 97.86 -

N umber of Class USD -I Units - outstand ing at the beginning of the year - issued - red eem ed - outstand ing at the end of the year

96,983.965 0.000 -72,000.000 24,983.965

N et asset value per Class USD -I Unit - as at 30.09.2015 - as at 30.09.2014 - as at 30.09.2013

USD 104.16 USD 103.58 USD 105.22

N umber of Class SEK-I Units - outstand ing at the beginning of the year - issued - red eem ed - outstand ing at the end of the year

3,654,597.385 779,738.316 -3,892,606.910 541,728.791

N et asset value per Class SEK-I Unit - as at 30.09.2015 - as at 30.09.2014 - as at 30.09.2013

112.16 111.87 112.99

N umber of Class SEK-R Units - outstand ing at the beginning of the year - issued - red eem ed - outstand ing at the end of the year

12,281,596.186 1,475,775.548 -5,835,493.000 7,921,878.734

N et asset value per Class SEK-R Unit - as at 30.09.2015 - as at 30.09.2014 - as at 30.09.2013

106.30 106.31 107.72

The accom panying notes are an integral part of these financial statem ents.

12

ATCM I - SEB D ynamic Manager Alpha Statement of investments and other net assets (in SEK) as at 30th Sep tem ber 2015

Currency

N um ber / nom inal value

Description

Cost

Market value

% of total net assets

Investments in securities Open-ended investment funds Investment funds (UCITS) EUR EUR EUR

6,340 1,194,934.449 92,000

GBP

1,926,345.61

USD USD USD USD USD

153,516.719 1,296,352.79 153,376 2,154,708.037 44,638.206548

BG Long Term Value Z EUR Cap LO Fd s Europe H igh Conviction I Cap Mem non Fd European I EUR Cap H end erson Investm ent Fd s Ser I European Focus I GBP Cap Aberd een Global Em Markets Equity Fd A2 Cap BlackRock Global Fd s Asian Growth Lead ers I2 Cap BlackRock Strateg Fd s Asia Extension A2 USD Cap H erm es Inv Fd s Plc Gl Em erging Mks F USD Cap Sector Cap Fd s Plc H ealth Value A USD Cap

Total investm ents in secu rities

99,834,422.32 135,397,065.81 77,298,381.36

143,541,971.00 131,362,776.67 137,030,992.97

14.66 13.42 14.00

312,529,869.49

411,935,740.64

42.08

44,114,266.46

38,906,499.43

3.97

57,623,960.28 118,487,145.53 115,399,714.32 33,719,600.06 47,462,869.91

67,475,835.34 102,918,482.23 144,551,024.99 33,427,023.60 92,855,193.68

6.89 10.51 14.76 3.42 9.48

372,693,290.10

441,227,559.84

45.06

729,337,426.05

892,069,799.91

91.11

61,948,961.63

6.33

-702.00

0.00

25,129,108.61

2.56

979,147,168.15

100.00

Cash at banks Bank overd rafts Other net assets/ (liabilities) Total

The accom panying notes are an integral part of these financial statem ents.

13

ATCM I - SEB D ynamic Manager Alpha Economic and geographical classification of investments as at 30th Sep tem ber 2015

Economic classification (in p ercentage of net assets) Investm ent fu nd s

91.11 %

Total

91.11 %

Geographical classification (by d om icile of the issu er) (in p ercentage of net assets) Lu xem bou rg

59.58 %

France

14.66 %

Ireland

12.90 %

United Kingd om

3.97 %

Total

91.11 %

14

ATCM I - Alternative Risk Premia Statement of net assets (in SEK) as at 30th Sep tem ber 2015

Assets Secu rities p ortfolio at m arket valu e Cash at banks Form ation exp enses, net Unrealised gain on forw ard foreign exchange contracts

255,300,675.00 39,346,013.83 45,686.76 25,420.69

Total assets

294,717,796.28

Liabilities Payable on sw ap s contracts Payable on red em p tions of u nits Interest p ayable on sw ap s contracts Unrealised loss on sw ap s contracts Exp enses p ayable Prep aid su bscrip tions

692,409.90 77,515.63 120,962.19 1,784,601.98 369,475.82 58,379.80

Total liabilities

3,103,345.32

N et assets at the end of the year

291,614,450.96

Class SEK-I Units ou tstand ing N et asset valu e p er Class SEK-I Unit

1,676,224.548 99.37

Class SEK-R Units ou tstand ing N et asset valu e p er Class SEK-R Unit

1,260,486.940 99.21

The accom panying notes are an integral part of these financial statem ents.

15

ATCM I - Alternative Risk Premia Statement of operations and other changes in net assets (in SEK) from 4th May 2015 to 30th Sep tem ber 2015

Income Interest on bond s and other d ebt secu rities, net

500,375.00

Total incom e

500,375.00

Expenses Managem ent fees Perform ance fees Banking charges and other fees Transaction fees Other ad m inistration costs Su bscrip tion d u ty ("taxe d 'abonnem ent") Interest p aid on sw ap s contracts Other exp enses

1,500,812.78 10.35 4,125.40 847.22 29,194.35 33,501.37 882,336.54 4,055.46

Total exp enses

2,454,883.47

N et investm ent loss

-1,954,508.47

N et realised gain/(loss) - on secu rities p ortfolio - on sw ap s contracts - on forw ard foreign exchange contracts - on foreign exchange

-656,899.59 3,013,867.39 -138,578.48 86,441.77

Realised resu lt

350,322.62

N et variation of the unrealised gain/(loss) - on secu rities p ortfolio - on sw ap s contracts - on forw ard foreign exchange contracts

-260,474.20 -1,784,601.98 25,420.69

Resu lt of op erations

-1,669,332.87

Su bscrip tions

295,972,619.87

Red em p tions

-2,688,836.04

Total changes in net assets

291,614,450.96

Total net assets at the beginning of the year

-

Total net assets at the end of the year

291,614,450.96

The accom panying notes are an integral part of these financial statem ents.

16

ATCM I - Alternative Risk Premia Statistical information (in SEK) as at 30th Sep tem ber 2015

Total net assets - as at 30.09.2015

291,614,450.96

N umber of Class SEK-I Units - outstand ing at the beginning of the year - issued - red eem ed - outstand ing at the end of the year

0.000 1,676,224.548 0.000 1,676,224.548

N et asset value per Class SEK-I Unit - as at 30.09.2015

99.37

N umber of Class SEK-R Units - outstand ing at the beginning of the year - issued - red eem ed - outstand ing at the end of the year

0.000 1,287,531.006 -27,044.066 1,260,486.940

N et asset value per Class SEK-R Unit - as at 30.09.2015

99.21

The accom panying notes are an integral part of these financial statem ents.

17

ATCM I - Alternative Risk Premia Statement of investments and other net assets (in SEK) as at 30th Sep tem ber 2015

Currency

N um ber / nom inal value

Description

Cost

Market value

% of total net assets

Investments in securities Money market instruments SEK SEK SEK SEK

85,000,000 20,000,000 80,000,000 70,000,000

Sw ed en Sw ed en Sw ed en Sw ed en

0% T-Bills 15/ 16.12.15 0% T-Bills 15/ 18.11.15 0% T-Bills 15/ 21.10.15 0% T-Bills Ser 201D 15/ 16.03.16

85,193,668.59 20,029,493.43 80,132,128.00 70,205,859.18 255,561,149.20

85,093,925.00 20,014,300.00 80,022,000.00 70,170,450.00 255,300,675.00

29.18 6.86 27.45 24.06 87.55

Cash at banks

39,346,013.83

13.49

Other net assets/ (liabilities)

-3,032,237.87

-1.04

291,614,450.96

100.00

Total investm ents in secu rities

Total

The accom panying notes are an integral part of these financial statem ents.

18

ATCM I - Alternative Risk Premia Economic and geographical classification of investments as at 30th Sep tem ber 2015

Economic classification (in p ercentage of net assets) Cou ntries and governm ents

87.55 %

Total

87.55 %

Geographical classification (by d om icile of the issu er) (in p ercentage of net assets) Sw ed en

87.55 %

Total

87.55 %

19

ATCM I N otes to the financial statements as at 30th Sep tem ber 2015

N ote 1 - Significant accounting policies a) Presentation of the financial statements The financial statem ents of the Fu nd are established in accord ance w ith the Lu xem bou rg legal and regu latory requ irem ents concerning Und ertakings for Collective Investm ent. b) Valuation 1) Secu rities listed on a stock exchange or trad ed on any other regu lated m arket are valu ed at the last available p rice on su ch stock exchange or m arket. If a secu rity is listed on several stock exchanges or m arkets, the last available p rice at the stock exchange or m arket w hich constitu t es the m ain m arket for su ch secu rities, is d eterm ining. 2) Secu rities not listed on any stock exchange nor trad ed on a regu lated m arket are valu ed at their last available m arket p rice. 3) Secu rities, for w hich the p rice referred to the above p aragrap hs is not rep resentative of the fair m arket valu e, are valu ed p ru d ently, and in good faith on the basis of their reasonably foreseeable sale p rice. 4) Cash and other liqu id assets are valu ed at their face valu e w ith interest accru ed to the end of the p reced ing d ay. 5) Sw ap transactions are consistently valu ed based on a calcu lation of the net p resent valu e of their exp ected cash flow s. 6) Shares or u nits in op en -end ed investm ent fu nd s ("UCIs"), inclu d ing the shares or u nits of UCIs in w hich a Su b-Fu nd m ay be allow ed to invest su bstantially all of its total assets, are valu ed at their last available calcu lated N et Asset Valu e or at their latest u nofficial N et Asset Valu es (i.e. w hich are not generally u sed for the p u rp oses of su bscrip tion and red em p tion of shares of the UCIs) as p rovid ed by the relevant ad m inistrators or investm ent m anagers if m ore recent than their official N et Asset Valu es. If events have occu rred w hich m ay have resu lted in a m aterial change of the N et Asset Valu e of su ch shares or u nits in su ch UCIs sin ce the d ay on w hich the latest official N et Asset Valu e is calcu lated , the valu e of su ch shares or u nits m ay be ad ju sted in ord er to reflect, in the reasonable op inion of the Managem ent Com p any, su ch change of valu e. c)

N et realised gain/(loss) on sales of securities The net realised gain/ (loss) on sales of secu rities is d eterm ined on the basis of the average cost of secu rities sold .

d) Cost of securities The acqu isition cost of a secu rity d enom inated in a cu rrency other than that of the Su b -Fu nd is converted to the Su b-Fu nd ’s cu rrency at the exchange rates p revailing on the d ate of p u rchase.

20

ATCM I N otes to the financial statements (continued) as at 30th Sep tem ber 2015

e) Exchange translation Bank balances, other assets and liabilities and the valu e of secu rities held that are d enom inated in other cu rrencies than the Su b-Fu nd ’s cu rrency are converted at the p revailing exchange rate of the closing d ay. Incom e and exp enses incu rred in cu rrencies other than the Su b -Fu nd ’s cu rrency are converted at the p revailing exchange rate of the d ay of each transaction. Exchange gains and losses are record ed in the statem ent of op erations and other changes in net assets. At the d ate of the rep ort, the p revailing exchange rates on the closing d ay w ere as follow s: 1

f)

SEK

=

0.1068369 0.0787739 14.2883551 1.0168726 0.1192833

EUR GBP JPY N OK USD

Eu ro Pou nd Sterling Jap anese Yen N orw egian Krona US Dollar

Combined financial statements The com bined financial statem ents of the Fund are exp ressed in SEK and are equ al to the corresp ond ing cap tions in the financial statem ents of each Su b-Fu nd .

g) Formation expenses Exp enses incu rred in connection w ith the establishm ent of the Fund and the creation of the Su b-Fund are amortised over a period of five years. Formation expenses are includ ed in the caption "Other expenses" in the statement of operations and other changes in net assets. If the launch of a Sub-Fund occurs after the launch d ate of the Fund , the formation expenses related to the launch of the new Sub-Fund is charged to such Sub-Fund alone and may be amortised over a maximum of five years with effect as from the Sub-Fund’s launch d ate. h) Investment income Divid end incom e is recognised on an ex-d ivid end basis and is record ed net of w ithhold ing taxes. i)

Other liquid assets / Other liquid liabilities The cap tions "Other liqu id assets" and "Other liqu id liabilities" are m ainly com p osed of cash accou nts held at brokers.

j)

Forw ard foreign exchange contracts Forw ard foreign exchange contracts are valu ed at p revailing m arket rates for the rem aining p eriod from valu ation d ate to the m atu rity of the contract. Unrealised gain/ (loss) is record ed in the statem ent of net assets and the net realised gain/ (loss) are record ed in the statem ent of op erations and other changes in net assets..

21

ATCM I N otes to the financial statements (continued) as at 30th Sep tem ber 2015

k) Futures contracts Futu res contracts are p osted off-balance sheet and are valu ed at the last available p rice ap p licable to the asset. Unrealised gain/ (loss) is record ed in the statem ent of net assets. N et variation of the u nrealised gain/ (loss) and net realised gain/ (loss) are record ed in the statem ent of op erations and other changes in net assets. The net realised gain/ (loss) on fu tu res contracts is d eterm ined based on the FIFO Method . l)

Sw ap contracts Sw ap contracts are valu ed based on a calcu lation of the net p resent valu e o f their exp ected cash flow s. Unrealised gain/ (loss) is record ed in the statem ents of net assets. N et variation of the u nrealised gain/ (loss) and net realised gain/ (loss) are record ed in the statem ent of op erations and other changes in net assets.

m) Transaction fees Transaction costs d isclosed u nd er the cap tion "Transaction fees" in the exp enses of the statem ent of op erations and other changes in net assets are m ainly com p osed of broker fees and red em p tion fees incu rred by the Fu nd relating to p u rchases or sales of secu rities, of fees relating to liqu id ation of transactions p aid to the cu stod ian bank and of com m issions on financial and on d erivatives instru m ents.

N ote 2 - Subscription, redemption and conversion fees N o su bscrip tion, red em p tion or conversion fees are charged .

N ote 3 - Management fees The Managem ent Com p any is entitled to an infrastru ctu re fee of a m axim u m of 0.19% p .a. based on the Su b-Fund ’s net assets u nd er m anagem ent, w ith a m inim u m of EUR 190,000.00 p .a. for ATCM I - Alternative Risk Prem ia (Lau nched on 4th May 2015) Su b-Fu nd . This fee inclu d es the fee to be p aid to the Cu stod ian bank and to the Su b -Ad m inistrator as w ell as the au d it fees and the CSSF annu al fees. The Managem ent Com p any is fu rther entitled to com p ensation for any reasonable d isbu rsem ents and ou t-of-p ocket, w hich are accru ed on each Valu ation Date and p ayable m onthly in arrears ou t of the Su b-Fu nd ’s net assets. The Managem ent Com p any is also entitled to a fixed fee for verifying com p liance of the transactions w ith investm ent p olicies and restrictions.

22

ATCM I N otes to the financial statements (continued) as at 30th Sep tem ber 2015

The Investm ent Manager, Skand inaviska Enskild a Banken AB (p u bl), is entitled to receive an investm ent m anagem ent fee based on the Su b -Fund ’s net assets u nd er m anagem ent at the follow ing rates:

ATCM I - SEB D ynamic Manager Alpha

ATCM I - Alternative Risk Premia (launched on 4th May 2015)

Class of Units Class EUR-I Class EUR-R Class USD-I Class SEK-I Class SEK-R Class SEK-I Class SEK-R

Applicable rate 0.50% p er annu m 0.75% p er annu m 0.50% p er annu m 0.50% p er annu m 0.75% p er annu m 0.60% p er annu m 0.95% p er annu m

This fee is record ed u nd er the cap tion "Managem ent fees" in the statem ent of op erations and other changes in net assets.

N ote 4 - Performance fees For the Su b-Fu nd s ATCM I - SEB Dynam ic Manager Alp ha and ATCM I - Alternative Risk Prem ia (Lau nched on 4th May 2015), the Investm ent Manager is entitled to receive a p erform ance fee (the "Perform ance Fee") p ayable ou t of the assets of the Su b -Fund . The Perform ance Fee is calcu lated annu ally. The Perform ance Fee is d eem ed to accru e on a d aily basis as at each Valu ation Date. ATCM I - SEB Dynam ic Manager Alp ha: For Class - R Units: For each Calcu lation Period , the Perform ance Fee in resp ect of Clas s - R Units is equ al to 10% of the ap p reciation in the N et Asset Valu e p er Class - R Unit d u ring the Calcu lation Period above the Base N et Asset Valu e p er Unit. The Base N et Asset Valu e p er Unit is the greater of the N et Asset Valu e of that Unit at the tim e of issu e of that Unit p lu s the Ind ex hu rd le rate for each Class of Units, as p er the table below , and the highest N et Asset Valu e of that Unit achieved as of the end of any p reviou s Calcu lation Period (if any) d u ring w hich su ch Unit w as in issu e p lu s the Ind ex hu rd le rate. A Perform ance Fee is only accru ed w hen the N et Asset Valu e p er Unit is above the p reviou s Base N et Asset Valu e p er Unit increased by the p revailing hu rd le rate. Since 1st Sep tem ber 2014, the Perform ance Fee is su bject to the crystallization p rincip le. When a red em p tion is accep ted the corresp ond ing am ou nt of Perform ance Fee accru ed (if any) to be borne by the red eem ed Units becom es d u e and is p aid to the Investm ent Manager at the end of the qu arter. When a su bscrip tion is accep ted , the Perform ance Fee calcu lation is ad ju sted in ord er to neu tralize the im p act of the su bscrip tion on the Perform ance Fee calcu lation. The ap p reciation of the N et Asset Valu e p er Unit above the Base N et Asset Valu e p er Unit u ntil the d ate of the su bscrip tion is not taken into consid eration in the Perform ance Fee calcu lation from su bscrip tion d ate, for the p art of the total N et Asset Valu e new ly su bscribed .

23

ATCM I N otes to the financial statements (continued) as at 30th Sep tem ber 2015

Class of Units

Index hurdle rate

SEK-R

OMRX T-Bill Ind ex (Bloom berg Ticker: RXVX Ind ex)

EUR-R

EUR 1M LIBOR (Bloom berg Ticker: EE0001M Ind ex)

For Class - I Units: The Perform ance Fee for Class - I Units is calcu lated on a Unit by Unit basis so that each Class - I Unit is charged a Perform ance Fee w hich equ ates w ith that Units p erform ance. This m ethod of calcu lation ensu res that (i) any Perform ance Fee p aid to the Investm ent Manager is charged only to those Class - I Units w hich have ap p reciated in valu e, (ii) all Unithold ers have the sam e am ou nt p er Unit at risk in the Su b-Fund , and (iii) all Units have the sam e N et Asset Valu e p er Unit. For each Calcu lation Period , the Perform ance Fee in resp ect of each Class - I Unit is equ al to 10% of the ap p reciation in the N et Asset Valu e p er each Unit d u ring the Calcu lation Period above the Base N et Asset Valu e p er each Unit. The Base N et Asset Valu e p er each Unit is the greater of the N et Asset Valu e of that Unit at the tim e of issu e of that Unit p lu s the Ind ex hu rd le rate for each Class of Units, as p er the table below and the highest N et Asset Valu e of that Un it achieved as of the end of any p reviou s Calcu lation Period (if any) d u ring w hich su ch Unit w as in issu e p lu s the Ind ex hu rd le rate. A Perform ance Fee is only accru ed w hen the N et Asset Valu e p er each Unit is above the p reviou s Base N et Asset Valu e p er each Unit increased by the p revailing hu rd le rate. The Perform ance Fee in resp ect of each Calcu lation Period is calcu lated by reference to the N et Asset Valu e attribu table to the Unit before m aking any d ed u ction for accru ed Perform ance Fees. Class of Units

Index hurdle rate

EUR-I

EUR 1M LIBOR (Bloom berg Ticker: EE0001M Ind ex)

USD-I

USD 1M LIBOR (Bloom berg Ticker: US0001M Ind ex)

SEK-I

OMRX T-Bill Ind ex (Bloom berg Ticker: RXVX Ind ex)

Equ alisation for Class - I Units: If an investor su bscribes for Class - I Units at a tim e w hen the N et Asset Valu e p er Unit is other than the Peak N et Asset Valu e p er Unit, certain ad ju stm ents (equ alisation) are m ad e to red u ce inequ ities that cou ld otherw ise occu r tow ard s the investor or t he Investm ent Manager. ATCM I - Alternative Risk Prem ia (lau nched on 4th May 2015) For each Calcu lation Period , the Perform ance Fee is equ al to 10% of the ap p reciation in the N et Asset Valu e p er Class - of Units d u ring the Calcu lation Period above the Base N et Asset Valu e p er Unit. The Base N et Asset Valu e p er Unit is the greater of the N et Asset Valu e of that Unit at the tim e of issu e of that Unit p lu s the Ind ex hu rd le rate for each Class of Units, as p er the table below , and the highest N et Asset Valu e of that Unit achieved as of the end of any p reviou s Calcu lation Period (if any) d u ring w hich su ch Unit w as in issu e p lu s the Ind ex hu rd le rate. A Perform ance Fee is only accru ed w hen the N et Asset Valu e p er Unit is above the p reviou s Base N et Asset Valu e p er Unit increased by the p revailing hu rd le rate.

24

ATCM I N otes to the financial statements (continued) as at 30th Sep tem ber 2015

The Perform ance Fee is su bject to the crystallization p rincip le. When a red em p tion is accep ted the corresp ond ing am ou nt of Perform ance Fee accru ed (if any) to be borne by the red eem ed Units becom es d u e and is p aid to the Investm ent Manager at the end of the qu arter. When a su bscrip tion is accep ted , the Perform ance Fee calcu lation is ad ju sted in ord er to neu tralize the im p act of the su bscrip tion on the Perform ance Fee calcu lation. The ap p reciation of the N et Asset Valu e p er Unit above the Base N et Asset Valu e p er Unit u ntil the d ate of the su bscrip tion is not taken into consid eration in the Perform ance Fee calcu lation from su bscrip tion d ate, for the p art of the total N et Asset Valu e new ly su bscribed . Class of Units

Index hurdle rate

SEK-I

OMRX T-Bill Ind ex (Bloom berg Ticker: RXVX Ind ex))

USD-I

USD 1M LIBOR (Bloom berg Ticker: US0001M Ind ex)

EUR-I

EUR IM LIBOR (Bloom berg Ticker: EE000IM Ind ex)

SEK-R

OMRX T-Bill Ind ex (Bloom berg Ticker: RXVX Ind ex)) EUR IM LIBOR (Bloom berg Ticker: EE000IM Ind ex)

EUR-R

At the d ate of the rep ort, the p erform ance fees w as record ed for the follow ing su b -fu nd and am ou nted to: ATCM I - Alternative Risk Prem ia (lau nched on 4th May 2015)

SEK 10.35

N ote 5 - Trailer fees Managem ent fee retrocessions received by the Fu nd in relation to its investm ents in certain target fu nd s are d isclosed as "Com m issions received " in the statem ent of op erations and other changes in net assets.

N ote 6 - Equalisation factor The Su b-Fund ATCM I - SEB Dynam ic Manager Alp ha invests in som e alternative investm ent Fu nd s w hich u se equ alisation for the calcu lation of their p erform ance fees. Equ alisation is a m ethod w hich is d esigned to ensu re that not only the investm ent m anager is p aid the correct p erform ance fee bu t also that the p erform ance fees are fairly allocated betw een each investor in the Fu nd . N ote 7 - Subscription duty ("t axe d’abonnement ") The Fund is governed by Lu xem bou rg law . Pu rsu ant to the legislation and regu lations w hich are p revailing, the Fu nd is su bject to an annu al su bscrip tion d u ty ("taxe d’abonnement") of 0.05% w hich is p ayable qu arterly and calcu lated on the basis of the net assets of each Su b-Fu nd on the last d ay of each qu arter. The rate of this tax is red u ced to 0.01% of the valu e of the net assets for Su b -Fu nd s or Classes of Units reserved for institu tional investors.

25

ATCM I N otes to the financial statements (continued) as at 30th Sep tem ber 2015

Accord ing to Article 175 (a) of the am end ed Law of 17th Decem ber 2010, the net assets invested in Und ertakings for Collective Investm ent alread y su bject to the "taxe d' abonnement" are exem p t from this tax.

N ote 8 - Futures contracts As at 30th Sep tem ber 2015, the Su b-Fu nd is com m itted by the follow ing fu tu res contracts w ith Skand inaviska Enskild a Banken AB (p u bl)’s branch in Lond on: ATCM I - SEB D ynamic Manager Alpha

Sale

N um ber of contracts 21

Sale

216

Purchase

8

Denom ination

Currency

Euro Stoxx 50 EUR (Price) Ind ex FUT 12/ 15 EUX Euro Stoxx 50 EUR (Price) Ind ex FUT 12/ 15 EUX S&P 500 Ind ex FUT 12/ 15 CME-Mini

Comm itm ents (in SEK)

EUR

-6,075,712.49

Unrealised result (in SEK) 172,974.02

EUR

-62,493,042.77

3,054,376.76

USD

6,400,725.88

-205,057.96 3,022,292.82

An am ou nt of SEK 8,481,659.38 corresp ond s to the cash collateral held on the accou nts of Skand inaviska Enskild a Banken AB (p u bl)’s branch in Lond on. The cash collateral is d isclosed as ‘‘Dep osits on fu tu res contracts’’ in the statem ent of net assets.

N ote 9 - Forw ard foreign exchange contracts As at 30th Sep tem ber 2015, the Su b-Fu nd is com m itted by the follow ing forw ard foreign exchange contracts w ith Skand inaviska Enskild a Banken S.A. in Lu xem bou rg: ATCM I - SEB D ynamic Manager Alpha Currency

Purchases

Forw ard foreign exchange contracts SEK 475,179,726.96 SEK 453,807,130.15

Currency

Sales

EUR USD

Maturity

Unrealised result (in SEK)

50,623,987.18 54,300,719.33

30.10.2015 30.10.2015

1,427,568.79 -1,140,655.66 286,913.13

Forw ard foreign exchange contracts linked to Classes EUR-I and EUR-R Units EUR 2,571,351.00 SEK 24,135,345.90 EUR 3,249,292.00 SEK 30,498,670.28

30.10.2015 30.10.2015

-71,988.71 -90,968.65 -162,957.36

Forw ard foreign exchange contracts linked to Class USD -I Units USD 2,604,611.00 SEK

30.10.2015

53,541.09 53,541.09

26

21,768,674.56

ATCM I N otes to the financial statements (continued) as at 30th Sep tem ber 2015

ATCM I - Alternative Risk Premia (Launched on 4th May 2015) Currency

Purchases

Currency

Forw ard foreign exchange contracts SEK 1,897,071.60

Sales

EUR

200,000.00

Maturity

Unrealised result (in SEK)

30.10.2015

25,420.69 25,420.69

N ote 10 - Sw ap contracts As at 30th Sep tem ber 2015, the Su b-Fu nd is com m itted by the follow ing Ind ex sw ap contracts: ATCM I - SEB D ynamic Manager Alpha Currency

N otional

EUR

5,068,435.00

EUR

8,832,335.00

EUR

2,327,658.90

EUR

9,576,525.00

Payables (ind ex / in % ) MSCI Daily Europe Gross TR Europe Ex UK Ind ex MSCI Daily Europe Gross TR Europe Ex UK Ind ex Dow Jones Stoxx 600 Gross Return Ind ex Dow Jones Stoxx 600 Gross Return Ind ex

EUR

14,026,787.18

-0.0730

EUR

15,376,357.14

USD

16,909,658.88

USD

2,050,484.10

DJS Sm all 200 EUR Return MSCI Daily TR Gross AC Asia Ex Japan USD Ind ex MSCI Daily TR Gross AC Asia Ex Japan USD Ind ex

EUR

2,316,341.00

EUR

1,297,270.00

USD

1,850,488.00

USD

324,539.40

USD

7,238,851.32

USD

2,886,619.65

USD

9,678,600.26

EUR

2,743,460.00

EUR

2,885,962.50

EUR

1,087,848.00

EUR

2,228,360.00

EUR

4,840,920.00

USD

4,621,110.50

USD

2,928,997.80

-0.1530 Dow Jones Stoxx 600 Gross Return Ind ex MSCI Daily TR Gross AC Asia Ex Japan USD Ind ex MSCI Daily TR Gross Em Mks USD Ind ex MSCI Daily TR Gross Em Mks USD Ind ex MSCI Daily TR Gross AC Asia Ex Japan USD Ind ex MSCI Daily TR World Gross H ealth Care USD Ind ex Dow Jones Stoxx 600 Gross Return Ind ex MSCI Daily Europe Gross TR Europe Ex UK Ind ex 0.0390 Dow Jones Stoxx 600 Gross Return Ind ex Dow Jones Stoxx 600 Gross Return Ind ex MSCI Daily TR Gross AC Asia Ex Japan USD Ind ex MSCI Daily TR Gross Em Mks USD Ind ex

Receivables (ind ex / in % )

Maturity

Und erlying exposure (in SEK)

Unrealised result

0.0980

06.10.2015

46,438,834.07

998,694.70

0.0980

06.10.2015

80,925,046.77

1,740,341.19

0.0970

26.10.2015

21,180,252.48

606,436.41

0.0970

26.10.2015

87,140,438.56

2,495,019.09

25.11.2015

127,628,036.95

-3,665,215.30

25.11.2015

139,667,270.87

4,276,909.19

0.32925

07.12.2015

142,785,218.95

-1,053,308.38

0.32925

07.12.2015

17,314,294.97

-127,725.35

STOXX Europe 600 Financials N R EUR Index

03.02.2016

22,206,474.19

525,369.38

0.0170

03.02.2016

12,448,841.06

-306,308.14

0.3250

23.03.2016

14,842,806.88

669,593.83

0.4040

09.05.2016

2,721,342.18

-1,178.71

0.4040

09.05.2016

60,886,155.39

-212,908.99

0.4456

25.05.2016

23,500,868.48

697,021.41

0.2756

26.05.2016

76,615,413.46

4,520,436.77

0.1260

13.07.2016

24,895,884.75

781,284.62

0.2760

18.07.2016

26,451,718.59

558,388.87

STOXX Europe 600 Financials N R EUR Index

01.09.2016

10,368,781.66

186,452.50

0.0990

01.09.2016

21,236,258.38

-378,661.54

0.0990

01.09.2016

46,133,940.62

-822,609.54

0.2228

07.09.2016

38,752,548.17

-18,164.31

0.1943

28.09.2016

24,497,035.55

57,659.47

1,068,637,462.98

11,527,527.17

DJS Large 200 EUR Return -0.8530

27

ATCM I N otes to the financial statements (continued) as at 30th Sep tem ber 2015

ATCM I - Alternative Risk Premia (Launched on 4th May 2015)

Currency

N otional

Payables (ind ex / in % )

Receivables (ind ex / in % )

EUR

1,580,659.22

1.10

EUR

3,985,862.73

1.10

EUR

2,607,722.78

1.10

EUR

3,155,274.22

1.10

EUR

2,615,205.20

1.10

Citi Price Mom Pure Europe TR Ind ex Citi Earn Mom Pure Europe TR Ind ex Citi Price Mom Pure Europe TR Ind ex Citi Price Mom Pure Europe TR Ind ex Citi Qual Pure Europe TR Ind ex

EUR

3,535,680.24

1.10

Citi Qual Pure Europe TR Ind ex

EUR

3,038,796.98

1.10

EUR

2,196,556.79

1.10

USD

4,500,000.00

0.60

USD

60,000,000.00

0.006737

Maturity

Und erlying exposure (in SEK)

Unrealised result

12.11.2015

14,856,334.23

68,494.72

12.11.2015

37,462,418.46

172,719.33

12.11.2015

24,716,152.95

319,626.41

12.11.2015

29,905,875.85

386,739.30

12.11.2015

24,909,231.18

442,704.92

12.11.2015

33,676,542.99

598,523.90

Citi Value Pure Europe TR Ind ex

12.11.2015

27,220,010.03

-1,209,424.91

Citi Value Pure Europe TR Ind ex Citi Merger & Acquisition US N TR Ind ex JP Morgan Risk Prem ia Ind ex

12.11.2015

19,675,647.39

-874,217.82

13.11.2015

36,902,333.73

-818,564.90

18.11.2015

502,120,182.88

-871,202.93

751,444,729.68

-1,784,601.98

Skand inaviska Enskild a Banken AB (p u bl), Stockholm is the cou nterp arty of the Fu nd for all op en sw ap contracts.

Note 11 - Pledged assets As at 30th Sep tem ber 2015, the follow ing secu rities serve as collateral for p otential com m itm ent on d erivative p ositions. The cou nterp art of the follow ing p ositions is Skand inaviska Enskild a Banken AB (p u bl), Stockholm for Alternative Risk Prem ia, SEB Lu xem bou rg S.A. for Dynam ic Manager Alp ha. ATCM I - SEB D ynamic Manager Alpha Description

Currency

Quantity

Market value (in SEK)

Mem non Fd European I EUR Cap

EUR

22,172.00

33,024,469.31

BG Long Term Value Z EUR Cap

EUR

2,472.00

55,967,784.28

LO Fd s Europe H igh Conviction I Cap

EUR

366,204.00

40,257,919.01 129,250,172.60

ATCM I - Alternative Risk Premia (Launched on 4th May 2015) Description

Currency

Quantity

Market value (in SEK)

Sw ed en 0% T-Bills 15/ 21.10.15

SEK

43,840,000.00

43,852,056.00

Sw ed en 0% T-Bills 15/ 16.12.15

SEK

6,260,000.00

6,266,917.30 50,118,973.30

28

ATCM I N otes to the financial statements (continued) as at 30th Sep tem ber 2015

N ote 12 - Risk management (unaudited) In term s of risk m anagem ent, the Board of Directors of the Managem ent Com p any d ecid ed to ad op t the absolu te VaR ap p roach as a m ethod of d eterm ining the global exp osu re. The calcu lation of the absolu te VaR is carried ou t in accord ance w ith the follow ing p aram eters: - Confid ence level of 99%, - VaR horizon of 20 bu siness d ays, - Effective observation p eriod of risk factors is based on the 250 bu siness d ays, - H istorical VaR calcu lation m ethod for the ATCM I - Alternative Risk Prem ia Su b-Fund , - Delta Gam m a VaR calcu lation m ethod for the ATCM I - SEB Dynam ic Manager Alp ha Su bFund , - Daily calcu lation and m onitoring of the Valu e-at-Risk level for the tw o Su b-Fund s. For the ATCM I Alternative Risk Prem ia Su b-Fu nd , the follow ing statistics have been com p u ted for the p eriod betw een the 4th May 2015 and the 30th Sep tem ber 2015: - VaR lim it (p ercentage of N et Asset Valu e of the Su b -Fu nd ) : 6.20% - Low est VaR (p ercentage of N et Asset Valu e of the Su b -Fund ) : 0.25% as of the 2nd Ju ne 2015 - H ighest VaR (p ercentage of N et Asset Valu e of the Su b-Fund ) : 2.07% as of the 29th Sep tem ber 2015 - Average VaR (p ercentage of N et Asset Valu e of the Su b -Fund ) : 0.41% - Average level of leverage: (based on the Su m of N otional m ethod ) : 449 % of the N et Asset Valu e of the Su b-Fu nd For the ATCM I - SEB Dynam ic Manager Alp ha Su b-Fu nd , the follow ing statistics have been com p u ted for the p eriod betw een the 1st October 2014 and the 30th Sep tem ber 2015: - VaR lim it (p ercentage of N et Asset Valu e of the Su b -Fu nd ) : 3.28% - Low est VaR (p ercentage of N et Asset Valu e of the Su b -Fund ) : 1.32% as of the 26th March 2015 - H ighest VaR (p ercentage of N et Asset Valu e of the Su b -Fund ) : 3.26% as of the 28th Au gu st 2015 - Average VaR (exp ressed as a p ercentage of N et Asset Valu e of the Su b-Fu nd ) : 2.19% - Average level of leverage: (based on the Su m of N otional m ethod ) : 332.66% of the N et Asset Valu e of the Su b-Fu nd

N ote 13 - Changes in the investment portfolio The statem ent of changes in investm ent p ortfolio for the p eriod covered by the rep ort is available free of charge u p on requ est from the registered office of the Managem ent Com p any of the Fund .

29

SEB Fund Services S.A. 4, rue Peternelchen, L-2370 H ow ald Phone +352 - 2623-1000; Fax +352 - 2623-2012