Annual Report - Bank & försäkring | SEB · · 2018-04-23The Articles of Incorporation lastly modified with effect from 1 April 2012 have been published in the ... management of

Annual Report SEB SICAV 3 Status: 31 December 2017

R.C.S B 146761

Notice The sole legally binding basis for the purchase of shares of

the Company 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 SICAV 3 - SEB Asset Selection Defensive 9

SEB SICAV 3 - SEB Asset Selection Opportunistic 12

Combined Statement of Operations 16

Combined Statement of Changes in Net Assets 17

Combined Statement of Net Assets 18

Statistical Information 19

Notes to the Financial Statements 21

Audit Report 25

Risk Disclosure (unaudited) 28

Remuneration Disclosure (unaudited) 29

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

2

Shares in circulation: The following Sub-Funds are publicly approved for distribution in Germany:

• SEB SICAV 3 - SEB Asset Selection Opportunistic • SEB SICAV 3 - SEB Asset Selection Defensive

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

Organisation

3

Company: SEB SICAV 3 4, rue Peternelchen, L-2370 Howald, Luxembourg

Board of Directors of the Company: Chairperson

Matthias Ewald Branch Manager SEB Investment Management AB Luxembourg Members

Alan Ridgway Independent Director The Directors' Office Luxembourg

Henrik Dahlgren Head of Investment Offering SEB Life & Pension Sweden

Management Company: SEB Investment Management AB Stjärntorget 4 SE-169 79 Solna, Sweden

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 4, rue Peternelchen L-2370 Howald, Luxembourg

Additional Information to the Investors 4

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 Company:

PricewaterhouseCoopers, Société coopérative 2, rue Gerhard Mercator L-2182 Luxembourg

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 the Investors Heading

5

SEB SICAV 3 is a Luxembourg open-ended investment company with variable share capital, organised in the form of a SICAV under the Luxembourg law of 10 August 1915 on commercial companies, as amended (“1915 Law”), and governed by Part I of the Luxembourg Law on Undertakings for Collective Investment of 17 December 2010, as amended, (the “Law”). The Company qualifies as an Undertaking for Collective Investment in Transferable Securities (UCITS). The Company was incorporated on 4 June 2009 for an unlimited duration as a public limited company (“société anonyme”). The Articles of

Incorporation were published in the “Recueil Spécial des Sociétés et Associations” (hereafter “Mémorial C”) on 10 July 2009.

The Articles of Incorporation lastly modified with effect from 1 April 2012 have been published in the Recueil Electronique

des Sociétés et Associations (RESA) on 12 April 2012. The Company is registered with the RCS under the number B 146761.

The Company is managed by SEB Investment Management AB (the “Management Company”). 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

Company, including the calculation of the NAV of the Shares and the provision of account services for the Company. In its capacity as Registrar and Transfer Agent, it will process all subscriptions, redemptions and transfers of shares, and will

register these transactions in the shareholders’ register of the Company. 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 Shareholders’ disposal:

• SEB SICAV 3 - SEB Asset Selection Defensive • SEB SICAV 3 - SEB Asset Selection Opportunistic

Unless otherwise laid down in part II of the Prospectus, "The Sub-Funds", the Company may decide to issue, for each Sub-Fund, capitalisation Shares ("C" Shares) and distribution Shares ("D" Shares). The "C" Shares will reinvest their income, if any. The "D" Shares may pay a dividend to its Shareholders, upon decision of the

Company. Dividends are paid annually, except for those Sub-Funds where the Company would decide on a monthly, quarterly

or semi-annual dividend payment. The Company may issue Share Classes whose Reference Currency is not the Base Currency of the respective Sub-Fund. With

regard to such Share Classes, the 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 Company does not

guarantee how successful such currency hedging of Share Classes will be.

General Information to the Investors 6

For Share Classes where the Company has an ambition to currency-hedge the Share Class, an “H-“ will precede the currency denomination of the Share Class. For example “(H-SEK)” means that there is an ambition by the Company to hedge the currency exposure from a Base Currency into a SEK-exposure for the Share 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 Share Class. The profit and loss effects related to currency hedging of a particular Share Class, will be

allocated to the relevant Share Class. Currently, the following share classes are offered for the Sub-Funds:

• SEB SICAV 3 - SEB Asset Selection Defensive o Capitalisation shares (“C (EUR)” shares) LU0425992988

o Capitalisation shares (“C (H-SEK) LTD” shares) LU0204772700

o Capitalisation shares (“C (H-SEK)” shares) LU0425992632 • SEB SICAV 3 - SEB Asset Selection Opportunistic

o Capitalisation shares (“C (EUR)” shares) LU0425994844

o Capitalisation shares (“C (H-NOK)” shares) LU0425995817

o Capitalisation shares (“C (H-SEK)” shares) LU0425994331

o Capitalisation shares (“IC (EUR)” shares) LU0425994927

o Distribution shares (“ID (H-SEK)” shares) LU0425994414

o Capitalisation shares (“SIC (H-USD)” shares) LU1312082867 The base currency of the Company is Euro. The currency of 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 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 un-audited semi-annual reports of the Company 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 Heading

7

Dear Shareholders, 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 Company SEB SICAV 3. We would like to thank you for your confidence and will do everything within our power to justify your decision of investing in

our Company.

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. 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.

Management Report Management anagement Report Headin 8

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 As at

9

SEB SICAV 3 - SEB Asset Selection Defensive

Security description Maturity Total holdings Market % of

value in Net

EUR Assets

Bonds and Money Market Instruments indicated in 1,000 currency units

Transferable securities admitted to an official stock exchange listing

Bonds

Sweden

4.25 % Sweden Government Bond 12/03/19 42,000 4,525,865.41 21.61

Total Sweden 4,525,865.41 21.61

Total Bonds 4,525,865.41 21.61

Money Market Instruments

Netherlands

0.00 % Dutch Treasury Certificate 31/01/18 950 950,614.75 4.54

0.00 % Dutch Treasury Certificate 29/03/18 1,200 1,202,232.60 5.74

0.00 % Dutch Treasury Certificate 30/04/18 700 701,912.75 3.35

Total Netherlands 2,854,760.10 13.63

Sweden

0.00 % Sweden Treasury Bill 17/01/18 13,000 1,321,481.48 6.31




Total Sweden 12,610,275.78 60.23

Total Money Market Instruments 15,465,035.88 73.86

Total Transferable securities admitted to an official stock exchange listing 19,990,901.29 95.47

Total Portfolio 19,990,901.29 95.47

Financial futures cleared with Skandinaviska Enskilda Banken AB (publ)

Purchased financial futures contracts Commitment in EUR

Amsterdam Exchanges Index Future 545,600.00 19/01/18 5 (5,133.81) (0.02)

CBOT U.S. Treasury Bond Future 636,425.35 20/03/18 5 (1,583.35) (0.01)

CBOT Ultra T Bond Future 696,485.13 20/03/18 5 (1,107.40) (0.01)

CME British Pound Future 1,412,356.16 19/03/18 20 15,897.52 0.08

CME Canadian Dollar Future 332,290.90 20/03/18 5 6,268.44 0.03

CME E-Mini Nasdaq 100 Index Future 429,624.76 16/03/18 4 5,469.74 0.03

CME E-Mini Russell 2000 Index Future 387,117.54 16/03/18 6 5,528.11 0.03

CME Euro FX Future 1,255,601.40 19/03/18 10 17,918.61 0.09

CME S+P Mini Midcap 400 Future 478,043.63 16/03/18 3 4,540.05 0.02

CME Standard And Poors 500 E-Mini Future 560,314.86 16/03/18 5 7,129.01 0.03

Eurex Dax Future 322,887.50 16/03/18 1 (3,231.25) (0.01)

Eurex Dow Jones Euro Stoxx 50 Future 349,800.00 16/03/18 10 (7,860.00) (0.04)

Eurex Euro Bobl Futures 2,499,450.00 08/03/18 19 (14,290.00) (0.07)

Eurex Euro Bund Future 1,776,720.00 08/03/18 11 (16,063.93) (0.08)

Eurex Euro Buxl Future 818,600.00 08/03/18 5 (15,100.00) (0.07)

Eurex Euro OAT Futures 1,860,600.00 08/03/18 12 (24,851.00) (0.12)

Eurex Euro Schatz Future 3,359,100.00 08/03/18 30 (4,157.55) (0.02)

Eurex Long Term Euro BTP Futures 1,225,890.00 08/03/18 9 (25,428.35) (0.12)

HKFE Hang Seng China Enterprises Future 187,743.86 30/01/18 3 2,167.48 0.01

HKFE Hang Seng Index Future 319,554.02 30/01/18 2 3,579.09 0.02

ICE MSCI Emerging Markets Mini Index Future 339,807.62 16/03/18 7 11,180.29 0.05

of Investments Heading Rep 10



value in Net

EUR Assets



IDEM FTSE MIB Future 327,675.00 16/03/18 3 (12,059.95) (0.06)

LIFFE 3Mth Euribor Interest Rate Future 11,535,650.00 18/06/18 46 (580.21) (0.01)

LIFFE FTSE 100 Index Future 517,282.14 16/03/18 6 16,403.55 0.08

LIFFE Long Gilt Future 1,269,655.65 27/03/18 9 1,725.87 0.01

LIFFE Short Sterling Futures 6,998,276.09 20/06/18 50 1,535.18 0.01

MEFF Euro Ibex-35 Future 200,680.00 19/01/18 2 (4,381.54) (0.02)

MSE S+P Canada 60 Index Future 633,710.46 15/03/18 5 491.25 0.00

OMXS 30 Index Future 305,252.99 19/01/18 19 (6,315.58) (0.03)

Safex Top 40 Index Future 323,506.72 15/03/18 9 7,717.86 0.04

SFE Australian Share Price Index 200 Future 588,298.02 15/03/18 6 2,072.56 0.01

SGX MSCI Singapore Enhanced Index Future 435,822.20 30/01/18 18 2,350.87 0.01

Simex CNX Nifty Index Future New $2 422,577.45 25/01/18 24 191.09 0.00

Simex Nikkei 225 Future 337,255.63 08/03/18 4 804.74 0.00

TSE Tokyo Stock Price Index Future 403,950.88 08/03/18 3 7,447.64 0.04

Sold financial futures contracts Commitment in EUR

CBOT 10 Year U.S. Treasury Note Future (1,859,873.26) 20/03/18 (18) 10,378.24 0.05

CBOT Five Year Treasury Note Future (3,098,407.78) 29/03/18 (32) 17,167.61 0.08

CBOT Two Year Treasury Note Future (4,105,770.73) 29/03/18 (23) 7,239.31 0.03

CME Australian Dollar Future (390,869.64) 19/03/18 (6) (12,006.75) (0.06)

CME Eurodollar Future (9,404,138.72) 18/06/18 (46) (1,086.30) (0.00)

CME Japanese Yen Future (1,766,607.31) 19/03/18 (19) (6,320.01) (0.03)

CME Mexican Peso Future (41,781.81) 19/03/18 (2) 34.19 0.00

CME New Zealand Dollar Future (889,249.70) 19/03/18 (15) (19,191.28) (0.09)

CME Swiss Franc Future (1,717,798.63) 19/03/18 (16) (21,241.83) (0.10)

KRX 3Year KTB Future (2,436,886.18) 20/03/18 (29) 3,203.12 0.01

MSE 10Year Canadian Government Bond Future (358,425.48) 20/03/18 (4) 1,410.36 0.01

MSE 3Mth Canadian Bankers Acceptance Future (2,604,413.22) 18/06/18 (16) (100.54) (0.00)

Total financial futures contracts (total net unrealised) (42,238.85) (0.20)

An amount of EUR 84,629.86 is held as cash collateral and additional collateral is held for this position as detailed in note 6.

Schedule of Investments As at As at

11


Security description Maturity Market % of

value in Net

EUR Assets

Forward foreign exchange contracts open with Skandinaviska Enskilda Banken S.A.

Buy 12,916 EUR Sell 20,000 AUD 22/01/18 (97.97) (0.00)

Buy 17,436 EUR Sell 20,366 CHF 22/01/18 39.31 0.00

Buy 61,436 EUR Sell 54,389 GBP 22/01/18 170.27 0.00

Buy 159,272 EUR Sell 1,479,266 HKD 22/01/18 1,554.68 0.01

Buy 129,277 EUR Sell 17,350,284 JPY 22/01/18 734.43 0.00

Buy 18,004,513 EUR Sell 178,294,246 SEK 22/01/18 (114,234.35) (0.55)

Buy 15,606 EUR Sell 24,943 SGD 22/01/18 59.42 0.00

Buy 100,000 EUR Sell 118,875 USD 22/01/18 1,006.38 0.00

Buy 30,986 GBP Sell 35,000 EUR 22/01/18 (97.00) (0.00)

Buy 22,338 GBP Sell 30,000 USD 22/01/18 179.63 0.00

Buy 36,512 HKD Sell 6,000 CAD 22/01/18 (86.45) (0.00)

Buy 2,300,000 HKD Sell 2,449,500 SEK 22/01/18 (3,702.77) (0.02)

Buy 19,994,000 JPY Sell 1,476,557 SEK 22/01/18 (1,922.59) (0.01)

Buy 205,083,464 SEK Sell 20,707,894 EUR 22/01/18 133,247.28 0.64

Buy 574,000 SEK Sell 92,631 SGD 22/01/18 595.87 0.00

Buy 5,968,000 SEK Sell 716,197 USD 22/01/18 10,068.41 0.05

Buy 65,350 SEK Sell 100,000 ZAR 22/01/18 (98.46) (0.00)

Buy 207,507 USD Sell 174,559 EUR 22/01/18 (1,756.72) (0.01)

Buy 124,000 USD Sell 969,494 HKD 22/01/18 (104.33) (0.00)

Buy 78,000 USD Sell 8,800,740 JPY 22/01/18 (247.07) (0.00)

Buy 224,000 USD Sell 1,866,570 SEK 22/01/18 (3,149.03) (0.01)

Buy 4,698 USD Sell 60,000 ZAR 22/01/18 (131.16) (0.00)

Buy 760,000 ZAR Sell 50,083 EUR 22/01/18 1,137.57 0.01

Total forward foreign exchange contracts (total net unrealised) 23,165.35 0.11

Cash at bank and at broker

Cash at bank and at broker 861,298.55 4.11

Total Cash at bank and at broker 861,298.55 4.11

Other assets

Interest receivable on bonds 144,607.91 0.69

Bank interest receivable on cash accounts 285.43 0.00

Other assets 2,906.86 0.02

Total other assets 147,800.20 0.71

Liabilities

Bank overdraft (980.64) (0.00)

Management fees (15,651.16) (0.08)

Other liabilities (24,798.18) (0.12)

Total liabilities (41,429.98) (0.20)

Total Net Assets as at 31 December 2017 20,939,496.56 100.00

A list of changes in the assets held during the financial year under review is available free of charge from SEB Investment Management AB.

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

Schedule of Investments As at 31 December 2017 of Investments of As 12

SEB SICAV 3 - SEB Asset Selection Opportunistic


value in Net

EUR Assets

Bonds and Money Market Instruments indicated in 1,000 currency units

Transferable securities admitted to an official stock exchange listing

Bonds

Sweden

4.25 % Sweden Government Bond 12/03/19 614,000 66,163,841.89 19.47

Total Sweden 66,163,841.89 19.47

Total Bonds 66,163,841.89 19.47

Money Market Instruments

Netherlands




Total Netherlands 81,333,081.32 23.94

Sweden





Total Sweden 178,188,960.82 52.44

United States of America

0.00 % United States Treasury Bill 17/05/18 1,000 829,250.57 0.24

Total United States of America 829,250.57 0.24

Total Money Market Instruments 260,351,292.71 76.62

Total Transferable securities admitted to an official stock exchange listing 326,515,134.60 96.09

Total Portfolio 326,515,134.60 96.09



Amsterdam Exchanges Index Future 33,499,840.00 19/01/18 307 (320,887.49) (0.10)

CBOT U.S. Treasury Bond Future 45,822,624.52 20/03/18 360 (99,768.61) (0.03)

CBOT Ultra T Bond Future 47,221,691.96 20/03/18 339 13,842.24 0.00

CME British Pound Future 91,520,679.03 19/03/18 1,296 1,031,249.95 0.30

CME Canadian Dollar Future 21,465,991.75 20/03/18 323 436,652.14 0.13

CME E-Mini Nasdaq 100 Index Future 25,347,860.62 16/03/18 236 305,418.02 0.09

CME E-Mini Russell 2000 Index Future 24,904,561.51 16/03/18 386 344,860.52 0.10

CME Euro FX Future 73,578,242.30 19/03/18 586 1,177,795.59 0.35

CME S+P Mini Midcap 400 Future 31,869,575.42 16/03/18 200 299,259.40 0.09

CME Standard And Poors 500 E-Mini Future 37,765,221.74 16/03/18 337 466,642.70 0.14

Eurex Dax Future 24,539,450.00 16/03/18 76 (470,128.65) (0.14)

Eurex Dow Jones Euro Stoxx 50 Future 23,436,600.00 16/03/18 670 (521,548.95) (0.15)

Eurex Euro Bobl Futures 99,057,150.00 08/03/18 753 (548,509.98) (0.16)

Eurex Euro Bund Future 98,850,240.00 08/03/18 612 (832,511.75) (0.25)

Eurex Euro Buxl Future 51,899,240.00 08/03/18 317 (984,524.30) (0.29)

Eurex Euro OAT Futures 98,766,850.00 08/03/18 637 (1,297,829.70) (0.38)

Eurex Euro Schatz Future 88,008,420.00 08/03/18 786 (106,869.17) (0.03)

Schedule of Investments As at of As

13



value in Net

EUR Assets



Eurex Long Term Euro BTP Futures 82,815,680.00 08/03/18 608 (1,877,378.80) (0.55)

HKFE Hang Seng China Enterprises Future 14,018,207.94 30/01/18 224 108,446.28 0.03

HKFE Hang Seng Index Future 21,410,119.44 30/01/18 134 329,650.21 0.10

ICE MSCI Emerging Markets Mini Index Future 22,136,039.10 16/03/18 456 720,500.00 0.21

IDEM FTSE MIB Future 19,551,275.00 16/03/18 179 (691,695.57) (0.20)

LIFFE 3Mth Euribor Interest Rate Future 745,052,525.00 18/06/18 2,971 (38,125.20) (0.01)

LIFFE FTSE 100 Index Future 32,847,415.81 16/03/18 381 991,995.46 0.29

LIFFE Long Gilt Future 79,706,159.41 27/03/18 565 68,074.21 0.02

LIFFE Short Sterling Futures 455,587,773.69 20/06/18 3,255 100,228.08 0.03

MEFF Euro Ibex-35 Future 11,539,100.00 19/01/18 115 (213,971.14) (0.06)

MSE S+P Canada 60 Index Future 38,276,111.64 15/03/18 302 27,500.31 0.01

OMXS 30 Index Future 20,516,213.09 19/01/18 1,277 (469,722.14) (0.14)

Safex Top 40 Index Future 20,057,416.76 15/03/18 558 357,445.75 0.10

SFE Australian Share Price Index 200 Future 38,729,619.29 15/03/18 395 123,390.16 0.04

SGX MSCI Singapore Enhanced Index Future 28,812,689.64 30/01/18 1,190 154,768.20 0.05

Simex CNX Nifty Index Future New $2 27,344,283.33 25/01/18 1,553 6,805.15 0.00

Simex Nikkei 225 Future 22,343,185.64 08/03/18 265 143,602.03 0.04

TSE Tokyo Stock Price Index Future 26,526,107.73 08/03/18 197 512,267.25 0.15

Sold financial futures contracts Commitment in EUR

CBOT 10 Year U.S. Treasury Note Future (98,779,935.37) 20/03/18 (956) 638,447.88 0.19

CBOT Five Year Treasury Note Future (98,761,748.09) 29/03/18 (1,020) 539,470.13 0.16

CBOT Two Year Treasury Note Future (98,717,009.41) 29/03/18 (553) 171,767.28 0.05

CME Australian Dollar Future (37,718,920.71) 19/03/18 (579) (1,121,312.78) (0.33)

CME Eurodollar Future (611,677,892.23) 18/06/18 (2,992) (72,663.33) (0.02)

CME Japanese Yen Future (117,897,793.01) 19/03/18 (1,268) (465,939.93) (0.14)

CME Mexican Peso Future (2,402,454.20) 19/03/18 (115) (671.21) (0.00)

CME New Zealand Dollar Future (60,231,846.60) 19/03/18 (1,016) (1,112,866.44) (0.33)

CME Swiss Franc Future (110,905,374.13) 19/03/18 (1,033) (1,008,354.14) (0.30)

KRX 3Year KTB Future (98,315,752.93) 20/03/18 (1,170) 125,920.96 0.04

MSE 10Year Canadian Government Bond Future (20,251,038.88) 20/03/18 (226) 80,886.04 0.02

MSE 3Mth Canadian Bankers Acceptance Future (170,914,618.14) 18/06/18 (1,050) (8,940.25) (0.00)

Total financial futures contracts (total net unrealised) (2,987,333.59) (0.88)

An amount of EUR 791,258.49 is held as cash collateral and additional collateral is held for this position as detailed in note 6.

Heading 14


Security description Maturity Market % of

value in Net

EUR Assets

Forward foreign exchange contracts open with Skandinaviska Enskilda Banken S.A.

Buy 461,320 AUD Sell 455,000 CAD 22/01/18 (1,592.93) (0.00)

Buy 400,000 AUD Sell 2,399,920 HKD 22/01/18 4,398.35 0.00

Buy 2,277,059 AUD Sell 14,567,030 SEK 22/01/18 1,305.43 0.00

Buy 3,433,500 CAD Sell 2,250,000 EUR 22/01/18 27,178.03 0.01

Buy 2,100,000 CAD Sell 13,618,710 SEK 22/01/18 8,798.96 0.00

Buy 2,929,615 EUR Sell 4,504,630 AUD 22/01/18 (1,477.92) (0.00)

Buy 1,582,052 EUR Sell 2,414,212 CAD 22/01/18 (19,109.80) (0.01)

Buy 744,689 EUR Sell 869,797 CHF 22/01/18 1,678.90 0.00

Buy 687,881 EUR Sell 608,981 GBP 22/01/18 1,906.47 0.00

Buy 8,216,196 EUR Sell 1,102,695,731 JPY 22/01/18 46,676.75 0.01

Buy 51,092 EUR Sell 504,616 NOK 22/01/18 (188.21) (0.00)

Buy 268,653,588 EUR Sell 2,661,392,547 SEK 22/01/18 (1,804,385.62) (0.53)

Buy 1,410,000 EUR Sell 2,253,603 SGD 22/01/18 5,368.02 0.00

Buy 36,022,010 EUR Sell 42,826,866 USD 22/01/18 357,769.99 0.11

Buy 1,195,155 GBP Sell 1,350,000 EUR 22/01/18 (3,741.55) (0.00)

Buy 1,960,000 GBP Sell 21,934,360 SEK 22/01/18 (21,226.72) (0.01)

Buy 50,575,284 HKD Sell 5,445,405 EUR 22/01/18 (53,153.48) (0.02)

Buy 22,550,000 HKD Sell 24,015,750 SEK 22/01/18 (36,303.27) (0.01)

Buy 23,000,000 HKD Sell 2,941,741 USD 22/01/18 2,474.96 0.00

Buy 741,920,000 JPY Sell 54,790,792 SEK 22/01/18 (71,341.99) (0.02)

Buy 504,350,100 JPY Sell 4,470,000 USD 22/01/18 14,158.54 0.00

Buy 221,724 NOK Sell 22,448 EUR 22/01/18 84.14 0.00

Buy 20,220,000 SEK Sell 3,117,916 CAD 22/01/18 (13,064.01) (0.00)

Buy 3,283,968,100 SEK Sell 331,511,961 EUR 22/01/18 2,213,839.43 0.65

Buy 38,580,000 SEK Sell 3,447,413 GBP 22/01/18 37,335.35 0.01

Buy 84,450,000 SEK Sell 79,295,775 HKD 22/01/18 127,658.33 0.04

Buy 44,400,000 SEK Sell 601,218,686 JPY 22/01/18 57,812.36 0.02

Buy 26,400,000 SEK Sell 4,260,401 SGD 22/01/18 27,405.48 0.01

Buy 185,657,012 SEK Sell 22,280,000 USD 22/01/18 313,215.39 0.09

Buy 13,500,000 SEK Sell 20,657,995 ZAR 22/01/18 (20,340.68) (0.01)

Buy 731,070 SGD Sell 457,404 EUR 22/01/18 (1,741.39) (0.00)

Buy 171,999 SGD Sell 1,000,000 HKD 22/01/18 585.47 0.00

Buy 5,300,000 SGD Sell 32,841,980 SEK 22/01/18 (34,092.81) (0.01)

Buy 37,454,267 USD Sell 31,507,262 EUR 22/01/18 (317,074.90) (0.09)

Buy 175,933 USD Sell 131,000 GBP 22/01/18 (1,053.44) (0.00)

Buy 1,770,000 USD Sell 13,838,745 HKD 22/01/18 (1,489.15) (0.00)

Buy 30,117,966 USD Sell 250,970,000 SEK 22/01/18 (423,402.62) (0.12)

Buy 2,296,554 USD Sell 29,334,935 ZAR 22/01/18 (64,566.67) (0.02)

Buy 56,500,000 ZAR Sell 36,922,750 SEK 22/01/18 55,632.14 0.02

Total forward foreign exchange contracts (total net unrealised) 415,935.33 0.12

Combined Statement of Operations Heading

For the year ended Schedule of Investments Heading spacing

15


Market

value in

EUR

% of

Net

Assets

Cash at bank and at broker

Cash at bank and at broker 16,413,165.71 4.83

Total Cash at bank and at broker 16,413,165.71 4.83

Other assets

Interest receivable on bonds 2,114,029.93 0.62

Receivable on subscriptions 22,599.16 0.01

Other assets 7,354.57 0.00

Total other assets 2,143,983.66 0.63

Liabilities

Bank overdraft (1,816,329.76) (0.53)

Management fees (346,867.05) (0.10)

Payable on redemptions (21,870.15) (0.01)

Bank interest payable on cash accounts (481.78) (0.00)

Other liabilities (508,366.82) (0.15)

Total liabilities (2,693,915.56) (0.79)

Total Net Assets as at 31 December 2017 339,806,970.15 100.00

A list of changes in the assets held during the financial year under review is available free of charge from SEB Investment Management AB.

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

Combined Statement of Operations For the year ended 31 December 2017

The accompanying notes are an integral part of these financial statements. 16 SEB SICAV 3 - SEB SICAV 3 - SEB SICAV 3 -

SEB Asset SEB Asset Combined

Selection Selection Defensive Opportunistic EUR EUR EUR

Income

Interest on bonds (note 1) 153,277.99 2,216,789.01 2,370,067.00

Bank interest on cash accounts 2,834.14 71,633.32 74,467.46

Total income 156,112.13 2,288,422.33 2,444,534.46

Expenses

Management fees (note 2) 251,266.23 4,615,703.59 4,866,969.82

Performance fees (note 3) – 3,377.46 3,377.46

Taxe d'abonnement (note 4) 13,704.37 136,601.11 150,305.48

Bank interest on cash accounts 1,444.65 23,355.00 24,799.65

Other expenses 12,456.67 54,193.62 66,650.29

Total expenses 278,871.92 4,833,230.78 5,112,102.70

Net loss for the year (122,759.79) (2,544,808.45) (2,667,568.24)

Combined Statement of Changes in Net Assets ngeading

For the year ended 31 December 2017 Heading

The accompanying notes are an integral part of these financial statements. 17

cik

SEB SICAV 3 - SEB SICAV 3 - SEB SICAV 3 -



Net Assets at the beginning of the year 28,286,860.04 363,478,037.75 391,764,897.79

Net (loss) for the year (122,759.79) (2,544,808.45) (2,667,568.24)

Net realised gain / (loss) on:

- sales of securities (960,188.51) (10,225,995.88) (11,186,184.39)

- foreign exchange 60,874.43 (515,601.12) (454,726.69)

- financial futures contracts 414,776.48 22,840,824.36 23,255,600.84

Total net realised gain/(loss) (484,537.60) 12,099,227.36 11,614,689.76

Change in net unrealised appreciation / (depreciation) on:

- securities (13,397.91) (2,575,349.03) (2,588,746.94)

- forward foreign exchange contracts (190,201.57) (2,746,355.52) (2,936,557.09)

- financial futures contracts (268,182.65) (13,213,218.00) (13,481,400.65)

Total change in net unrealised depreciation (471,782.13) (18,534,922.55) (19,006,704.68)

Decrease in Net Assets as a result of operations (1,079,079.52) (8,980,503.64) (10,059,583.16)

Proceeds on issues of shares 9,803,742.98 91,397,514.88 101,201,257.86

Payment on redemptions of shares (16,072,026.94) (104,185,778.49) (120,257,805.43)

Dividends paid – (1,902,300.35) (1,902,300.35)

Total Net Assets as at 31 December 2017 20,939,496.56 339,806,970.15 360,746,466.71

Combined Statement of Net Assets As at 31 December 2017





Assets

Portfolio at cost 20,109,495.49 330,216,963.59 350,326,459.08

Unrealised depreciation (118,594.20) (3,701,828.99) (3,820,423.19)

Portfolio at market value (note 1) 19,990,901.29 326,515,134.60 346,506,035.89

Unrealised appreciation on forward foreign exchange contracts 23,165.35 415,935.33 439,100.68

Receivable interest and / or dividends 144,893.34 2,114,029.93 2,258,923.27

Cash at bank and at broker 861,298.55 16,413,165.71 17,274,464.26

Other assets 2,906.86 29,953.73 32,860.59

Total Assets 21,023,165.39 345,488,219.30 366,511,384.69

Liabilities Bank overdraft (980.64) (1,816,329.76) (1,817,310.40)

Unrealised depreciation on financial futures contracts (42,238.85) (2,987,333.59) (3,029,572.44)

Other liabilities (40,449.34) (877,585.80) (918,035.14)

Total Liabilities (83,668.83) (5,681,249.15) (5,764,917.98)

Total Net Assets as at 31 December 2017 20,939,496.56 339,806,970.15 360,746,466.71

"C (EUR)" shares outstanding as at 31 December 2017 2,553.9220 28,675.4870 –"C (H-NOK)" shares outstanding as at 31 December 2017 – 1,282.1220 –"C (H-SEK) LTD" shares outstanding as at 31 December 2017 27,027.4490 – –"C (H-SEK)" shares outstanding as at 31 December 2017 1,835,157.9360 15,331,573.7560 –"IC (EUR)" shares outstanding as at 31 December 2017 – 161,125.9490 –"ID (H-SEK)" shares outstanding as at 31 December 2017 – 5,034,686.1850 –"SIC (H-USD)" shares outstanding as at 31 December 2017 – 92,570.0000 –

Net Asset Value per "C (EUR)" share as at 31 December 2017 105.156 144.692 –Net Asset Value per "C (H-NOK)" share as at 31 December 2017 – 164.618 –Net Asset Value per "C (H-SEK) LTD" share as at 31 December 2017 88.137 – –Net Asset Value per "C (H-SEK)" share as at 31 December 2017 109.546 151.283 –Net Asset Value per "IC (EUR)" share as at 31 December 2017 – 151.140 –Net Asset Value per "ID (H-SEK)" share as at 31 December 2017 – 146.083 –Net Asset Value per "SIC (H-USD)" share as at 31 December 2017 – 10.996 –

Statistical Information As at 31 December 2017




Selection Selection 0 Defensive Opportunistic EUR EUR EUR Number of "C (EUR)" shares outstanding

as at 31 December 2017 2,553.9220 28,675.4870 –as at 31 December 2016 3,553.5500 18,222.5630 –as at 31 December 2015 1,976.3070 12,554.3920 –

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

as at 31 December 2017 – 1,282.1220 –as at 31 December 2016 – 1,183.9070 –as at 31 December 2015 – 1,031.7040 –

Number of "C (H-SEK) LTD" shares outstanding

as at 31 December 2017 27,027.4490 – –as at 31 December 2016 29,474.4100 – –as at 31 December 2015 42,709.2530 – –

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

as at 31 December 2017 1,835,157.9360 15,331,573.7560 –as at 31 December 2016 2,378,659.7290 15,737,030.6160 –as at 31 December 2015 1,789,551.5560 13,155,847.1960 –

Number of "IC (EUR)" shares outstanding

as at 31 December 2017 – 161,125.9490 –as at 31 December 2016 – 209,821.5150 –as at 31 December 2015 – 164,466.6100 –

Number of "ID (H-SEK)" shares outstanding

as at 31 December 2017 – 5,034,686.1850 –as at 31 December 2016 – 5,063,493.8060 –as at 31 December 2015 – 2,828,548.6420 –

Number of "SIC (H-USD)" shares outstanding

as at 31 December 2017 – 92,570.0000 –as at 31 December 2016 – 65,276.0000 –as at 31 December 2015 – 100.0000 –

Total Net Assets 0 0 0as at 31 December 2017 20,939,496.56 339,806,970.15 360,746,466.71

as at 31 December 2016 28,286,860.04 363,478,037.75 391,764,897.79

as at 31 December 2015 21,825,940.37 261,856,960.65 283,682,901.02

Net Asset Value per "C (EUR)" share

as at 31 December 2017 105.156 144.692 –as at 31 December 2016 106.349 144.522 –as at 31 December 2015 104.292 130.977 –

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

as at 31 December 2017 – 164.618 –as at 31 December 2016 – 162.952 –as at 31 December 2015 – 145.726 –

Net Asset Value per "C (H-SEK) LTD" share

as at 31 December 2017 88.137 – –as at 31 December 2016 89.311 – –as at 31 December 2015 87.779 – –

Combined Statement of Net Assets Heading

As at Heading


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

as at 31 December 2017 109.546 151.283 –as at 31 December 2016 110.998 151.495 –as at 31 December 2015 109.053 137.523 –

Net Asset Value per "IC (EUR)" share


Net Asset Value per "ID (H-SEK)" share


Net Asset Value per "SIC (H-USD)" share


Dividend paid per ID (H-SEK) share 0 0 0

2017 – 4.3197 –2016 – – –2015 – – –

Notes to the Financial Statements As at 31 December 2017 21

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 year which has been calculated on 29

December 2017 with the prices as of that date. 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 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 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 Company. 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 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 Shareholders. 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.

22

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 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 Company's

Assets. Gains and losses on the sale of securities are determined using the average cost method. Swing pricing: The Investment Manager needs to perform transactions in order to uphold the desired asset allocation as a result of the flows in and out of the Sub-Funds. While performing these transactions brokerage and transaction costs will occur. Acting in

the Shareholders' interest, the Net Asset Value will be adjusted upwards in case of large inflows and downwards in case of large outflows if on any Valuation Day the aggregate inflows and outflows in all Classes of a Sub-Fund result in a net increase or decrease of shares which exceeds a threshold set by the Board of Directors of the Company from time to time (relating to the cost of market dealing for the Sub-Fund), the Net Asset Value per share of the relevant Sub-Fund will be adjusted to reflect both the estimated fiscal charges and dealing costs (brokerage and transaction costs) that may be incurred by the

Sub-Fund and the estimated bid/offer spread of the assets in which the respective Sub-Fund invests following the net

inflows/outflows of the Sub-Fund. The adjustment will be an addition when the net movement results in a net inflows of the Sub-Fund and a deduction when it results in a net outflows. Adjustments made during the year are recorded in “Proceeds on issues of shares” and “Payment on redemptions of shares” in the Combined Statement of Changes in Net Assets. No swing pricing adjustment has been applied to the year end Net Asset Value per share calculated on 29 December 2017. Currency translation: All assets denominated in a different currency to the respective Sub-Funds' currency are converted into this respective Sub-

Funds' currency at the last available average exchange rate. Separate accounts are maintained for each Sub-Fund in the currency in which the Net Asset Value per share to which it relates is expressed (the "accounting currency"). Transactions denominated in a currency other than the accounting currency are recorded on the basis of exchange rates

prevailing on the date they occur or accrue to the Sub-Fund. Assets and liabilities, expressed in a currency other than the accounting currency, are translated on the basis of exchange

rates ruling at the balance sheet date. The consolidated total is translated into EUR at the year end date exchange rate. As at 29 December 2017, the exchange rates were as follows:

1 AUD = 0.651492818 EUR 1 KRW = 0.000778854 EUR

1 CAD = 0.663849212 EUR 1 NOK = 0.101685817 EUR

1 CHF = 0.854019853 EUR 1 SEK = 0.101618887 EUR

1 GBP = 1.127050000 EUR 1 SGD = 0.623868700 EUR

1 HKD = 0.106702959 EUR 1 USD = 0.833801879 EUR

1 JPY = 0.007410583 EUR 1 ZAR = 0.067706143 EUR

Notes to the Financial Statements

23

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:

• 0.95% is charged on SEB Asset Selection Defensive “C (EUR)” shares (maximum rate: 0.95%) • 0.95% is charged on SEB Asset Selection Defensive “C (H-SEK) LTD” shares (maximum rate: 0.95%) • 0.95% is charged on SEB Asset Selection Defensive “C (H-SEK)” shares (maximum rate: 0.95%) • 1.50% is charged on SEB Asset Selection Opportunistic “C (EUR)” shares (maximum rate: 1.50%) • 1.50% is charged on SEB Asset Selection Opportunistic “C (H-NOK)” shares (maximum rate: 1.50%) • 1.50% is charged on SEB Asset Selection Opportunistic “C (H-SEK)” shares (maximum rate: 1.50%) • 0.75% is charged on SEB Asset Selection Opportunistic “IC (EUR)” shares (maximum rate: 0.75%) • 0.75% is charged on SEB Asset Selection Opportunistic “ID (H-SEK)” shares (maximum rate: 0.75%) • 0.40% is charged on SEB Asset Selection Opportunistic “SIC (H-USD)” shares (maximum rate: 0.40%)

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 Company. Note 3. Performance Fees In addition, the Management Company is entitled to receive performance fees for the Sub-Funds SEB SICAV 3 - SEB Asset

Selection Defensive and SEB SICAV 3 - SEB Asset Selection Opportunistic, payable out of the assets attributable to the

relevant class. The performance fees will be calculated, accrued and crystallised on a daily basis and paid out of the assets of

the applicable share class of the Sub-Fund at the end of each month. The calculation of the performance fees takes place on

the basis of the shares of the respective share class in circulation at the respective Valuation Day.

The performance fees in the relevant share class are calculated by taking the number of shares in the share class times the

performance fee rate, 20%, times any positive excess performance per share recorded on that day. The performance fees in

the SEB Asset Selection Opportunistic “SIC (H-USD)” shares are calculated by taking the number of shares in the share class

times the performance fee rate, 15%, times any positive excess performance per share recorded on that day. The Company

uses the principle of High Water Mark and the Risk Free Rate as a hurdle. The “3 Month Treasury Bill” Return Index is used as

the Risk Free Return Index.

The applicable High Water Mark is equivalent to the highest Net Asset Value per share previously achieved (in the relevant

share class) and for which a performance fee was accrued and crystallised; or the Net Asset Value at inception, if that was

higher. The High Water Mark is adjusted to reflect dividends and other corporate actions in the share class.

This definition of High Water Mark implies that each preceding decline in the Net Asset Value per share in the respective

share class of the Sub-Fund must first be offset by an equally large increase before new performance fees can be charged.

Note 4. Taxation The Company 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 the 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.

Notes to the Financial Statements

As at

24

No stamp duty or other tax is payable in Luxembourg on the issue of shares. Interest, dividend and other income realised by the 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 Company relating to the purchase or the sale of transferable securities, money market

instruments, derivatives or other eligible assets are mainly composed of depositary 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.

In line with bond market practice, a bid-offer spread is applied when buying or selling securities and other financial

instruments. Consequently, in any given transaction, there will be a difference between the purchase and sale prices quoted

by the broker, which represents the broker's remuneration. As at 31 December 2017, the transaction fees were as follows: SEB SICAV 3 - SEB Asset Selection Defensive 41,757.95 EUR SEB SICAV 3 - SEB Asset Selection Opportunistic 1,927,026.93 EUR Note 6. Collateral As at 31 December 2017, the following securities serve as collateral for the broker Skandinaviska Enskilda Banken AB (publ) for commitment on future positions: Sub-Fund Security description Nominal

SEB SICAV 3 - SEB Asset Selection Defensive 4.25% Sweden Government Bond 12/03/19 SEK 11,000,000

SEB SICAV 3 - SEB Asset Selection Opportunistic 4.25% Sweden Government Bond 12/03/19 SEK 529,000,000 Note 7. Significant Events during the year Directors There were changes to the Board of Directors of the Management Company during the year. Please refer to the Organisation section on page 3 for details. 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. Note 8. Subsequent Events after the year end There are no subsequent events after the year end.

25

Audit Report To the Shareholders of SEB SICAV 3

Our opinion

In our opinion, the accompanying financial statements give a true and fair view of the financial position of SEB SICAV 3 (the

“Company”) 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 year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation

and presentation of the financial statements.

What we have audited

The Company’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 year then ended;

• the combined statement of changes in net assets for the year then ended; 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

26

We are independent of the Company 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 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 Company for the financial statements

The Board of Directors of the 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 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 Company is responsible for assessing the Company’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 Company either intends to liquidate the Company or to cease operations, or has

no realistic alternative but to do so.

_I-pwc

Responsibilities of the “Réviseur d'entreprises agree" for the auditof the financial statements

The objectives of our audit are to obtain reasonable assurance about whether the financial statements as a whole are free frommaterial 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 ISAs as adopted for Luxembourg by the CSSF will always detect a material misstatement when it exists.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, we exerciseprofessional judgment and maintain professional scepticism throughout the audit.

We also:

o identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, design andperform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropriate to provide abasis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher than for one resultingfrom error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internalcontrol;

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

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

0 conclude on the appropriateness of the Board of Directors of the Company’s use of the going concern basis of accountingand, based on the audit evidence obtained, whether a material uncertainty exists related to events or conditions that maycast significant doubt on the Company’s ability to continue as a going concern. If we conclude that a material uncertaintyexists, we are required to draw attention in our audit report to the related disclosures in the financial statements or, if suchdisclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up to the dateof our audit report. However, future events or conditions may cause the Company to cease to continue as a going concern;

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

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.

Luxembourg, 5 April 2018

27

Risk Disclosure (unaudited)

28

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 SICAV 3, 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 Company can expect to lose over the next 20 days’ period should be a maximum of 3%. In case of the VaR methodology, the Company 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 Company 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 Company. 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 Company) and the

reinvestment of collateral related to securities lending or repurchase agreement used by the Company.

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 Company indicating the VaR or commitment approach, the reference portfolio (in the case of relative VaR), the lowest/highest and average utilisation of VaR (expressed as a percentage of the respective absolute or relative legal VaR limit) as well as the average level of leverage for the year ended 31 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

(The FX forwards

serving the

purposes of

share-class(es)

hedging, if any,

are not included

in the leverage

calculation.)

Average

Leverage

(Including FX

forwards for

share-class

hedging)

SEB SICAV 3 - SEB Asset

Selection Defensive Absolute

N/A 16.31% 25.07% 20.22% 562.64 % 776.11 %

SEB SICAV 3 - SEB Asset

Selection Opportunistic

Absolute

N/A 65.16% 97.45% 78.98% 1,596.16 % 1,806.46 %

Remuneration Disclosure (unaudited)

29 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 shareholders.

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 shareholders' 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 share 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 shareholders and the Management Company. Variable remuneration is an important aspect of designing a flexible remuneration system. Variable remuneration is composed of both cash and shares in investment funds or financial instruments which achieve the equivalent common interests as 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 shareholders. This implies that certain maximum levels and deferment of payment shall apply to different personnel categories.

Remuneration Disclosure (unaudited)

30

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 shares in investment funds or instruments which achieve the same common interests as shares in the relevant securities funds. Variable remuneration in the form of fund 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 year 134

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 - Bank & försäkring | SEB · · 2018-04-23The Articles of Incorporation lastly modified with effect from 1 April 2012 have been published in the ... management of