Mortgag e Arbitrage Fund, Class A Key f igures NAV as of 30-09-2014 Return year to date Total assets mill. DKK Fund report 1,371.58 1.35 901.31 Hist. perf. as of 30-09-2014 Danske Invest Hedge Mortgage Arbitrage Class A provided a 0.29% return in September. Year to date, the sub-fund provided a return of 1.35%. At its September 4th meeting, the ECB, somewhat surprisingly, chose to cut interest rates by 10 bp. The Danish central bank followed suit, lowering its deposit rate by 10 bp. The rate cut by the Danish central bank was not expected by the market and sparked a drop in short-term yields. In addition to the rate cut, the ECB announced a programme to buy a wide range of European bonds with a view to reviving credit growth in Europe. These measures led to higher long-term yields as the fixed income market began to price in higher real-economic growth and higher inflation. Due to its implicit exposure towards a steeper yield curve, the sub-fund benefited from the decline at the short end of the yield curve. The decline at the short end in particular contributed positively to this month’s return as, to a larger extent than the market, we had been expecting the Danish central bank to cut rates. The leverage of the sub-fund is currently at approx. 75% of its maximum allowed level. Drawdown Return DIHMA Cl.A Euro Corp. Bank deposit EFFAS Denmark MSCI World OMXC20 Avg. return monthly 0.260.390.160.410.530.89 Return since inception 36.76 59.88 22.59 65.20 92.93 198.37 Return distribution Keyf igures (Monthly data, annualised. All returns in base currency) DIHMA Cl.A Historical return is no reliable indicator of future return. Euro Corp. Bank deposit EFFAS Denmark MSCI World OMXC20 Standard deviation 6.864.330.485.10 12.35 18.25 Sharpe ratio 0.140.600.000.590.350.47 Downside deviation 7.35 3.40 0.162.869.72 14.69 Minimum return -13.45-4.75-0.01-3.53 -10.40 -18.78 Maximum return 5.263.950.545.35 11.42 20.33 Worst drawdown -22.72-9.04-0.03-7.04 -48.60 -55.04 Positive months 88 79 1137680 79 Avg pos. monthly return 1.11 1.07 0.18 1.30 2.60 3.88 Negative months 374612494546 Avg. neg. monthly return -1.75 -0.77 0.00 -0.94 -3.00 -3.87 Trailing returns as of 30-09-2014 Fund Year to date 1 mdr 3 mdr 12 mdr 36 mdr 60 mdr Start 1.35 0.29 -0.60 4.7630.1031.6437.16 Mortgag e Arbitrage Fund, Class A Investment manager Basic information Tom Rosenkrans is portfolio manager of Danske Invest Hedge Mortgage Arbitrage. Tom has more than twelve years of experience within the financial markets and primarily focuses on Fixed Income and bond markets. Tom joined Danske Capital in January 2003 from a position at the Department of Finance. Tom holds a MSc in mathematics and economics from the Copenhagen Business School. ISIN Code KYG265551625 DividendsNo Launch 25 May 2004 Base currency DKK Websitewww.danskehedge.com BenchmarkNone Valuation Day Every Monday Subscription Day Monday 15:00 CET Redemption Day Monday 15:00 CET, with 1 week notice Fund Company Danske Invest Leveraged Fund, Cayman Islands Strategy Fixed Income Arbitrage Investment manager Tom Rosenkrans Return target Risk-free rate + 3% Contact Details About the fund Danske Bank A/S Holmens Kanal 2-12 DK-1092 Copenhagen Denmark The objective of the Fund is to generate high absolute returns primarily through an investment programme utilising conventional and alternative investment and trading strategies including short selling, the use of derivatives for hedging and speculative purposes and the use of leverage. Email: [email protected] Tel: +45 45 13 97 01 The Fund is a relative value fund and aims to reduce market risk. Thus, the return should not depend on whether interest rates rise or fall. The main component of the return should therefore depend solely on the trend in the pricing of mortgage credit bonds relative to government bonds (or the pricing between mortgage credit bonds). 08-OCT-14 - http://www.uk.danskehedge.com - 1273_N The Funds major value creation will be through investments in Danish mortgage bonds. This will include exploiting the yield spread between government and mortgage credit bonds but also exploiting opportunities among mortgage credit bonds and between mortgage credit bonds and the swap market. Furthermore, differences in the spread in volatility between the government and mortgage credit bond markets will be a source of value. The Fund is designed for investors who have the necessary experience and knowledge to understand the risk involved with hedge funds, and is only suitable for investors with the appropriate risk profile and time horizon, together with an investment strategy that includes hedge funds. This Fact Sheet which is issued by the Investment Manager is not an invitation to purchase units in the fund. Subscriptions for units in the sub-funds will be accepted only on the basis of the most recent prospectus which can be obtained from the distributor, Danske Bank International S.A., 13, rue Edward Steichen, L-2540 Luxembourg. Fax: +352 46 12 75 596, Tel: +352 46 12 75 1. Returns may differ from the actual price history. Historical returns are no guarantee of future returns. Prices, rates and values does not necessarily represent the terms at which a new transaction can be executed or an existing transaction can be liquidated. This publication is not intended for private customers in the UK or any person in the US.