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Annual statement of accounts 2017 SPESIALFONDET KLP ALFA GLOBAL ENERGI AND SPESIALFONDET KLP ALFA GLOBAL RENTE

Annual statement of accounts 2017 - klp.no · Table of contents KLP ALFA GLOBAL ENERGI ... Unit capital at nominal 1 158 951 140 1 158 951 140 Premium/discount 4 621 715 4 621 715

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Annual statement of accounts 2017

SPESIALFONDET KLP ALFA GLOBAL ENERGI AND SPESIALFONDET KLP ALFA GLOBAL RENTE

Table of contentsKLP ALFA GLOBAL ENERGI ......................................................................................3

Income statement ....................................................................................................................3

Financial position statement ..................................................................................... 4

Note 1: Accounting principles................................................................................... 5

Note 2: Information about the fund .................................................................. 6

Note 3: Securities portfolio ...........................................................................................7

Note 3: Securities portfolio .......................................................................................... 8

Note 4: Tax ....................................................................................................................................... 9

KLP ALFA GLOBAL RENTE ......................................................................................10

Income statement .................................................................................................................10

Financial position statement ...................................................................................10

Note 1: Accounting principles................................................................................. 12

Note 2: Information about the fund ................................................................ 13

Note 3: Securities portfolio ........................................................................................ 13

Note 4: Financial derivatives ..................................................................................14

Note 5: Tax ..................................................................................................................................... 15

Note 6: Repurchase agreements ......................................................................... 15

Independent auditor’s report .................................................................................16

KLP Alfa Global Energi

Income statement 31 December

PORTFOLIO INCOME AND EXPENSES Note 1 2017 2016

Interest income -1 738 059 -51 200

Dividends 2 176 149 -5 066 592

Gain/loss on realization 145 677 478 112 922 800

Net change unrealized gains -28 796 365 40 734 094

Other portfolio income 10 671 167 6 554 082

Portfolio profit/loss 127 990 371 155 093 184

MANAGEMENT INCOME AND EXPENSES Note 2017 2016

Expenses on sale and redemption of units 1 006 824 -2 181 645

Management fee -25 931 885 -14 396 446

Management result -24 925 060 -16 578 091

Pre-tax profit/loss Note 103 065 310 138 515 093

Tax 4 -5 819 550 -1 276 646

Income for the year 97 245 761 137 238 447

Allocation of income 97 245 761 137 238 447

Allocated to/from retained earnings 97 245 761 137 238 447

Spesialfondet KLP Alfa Global Energi is a hedge fund that invests mainly in shares in the energy sector. The fund is virtually marketneutral because its short positions are about the same size as its long positions. The return on the fund will therefore not particularly reflect the return on the equity market. All investments are made in accordance with the KLP funds' guidelines for responsible investments. The minimum subscription is NOK 5 million.

Page 3KLP Alfa Global Energi

Financial position statement 31 December

ASSETS Note 1 2017 2016

The fund's securities portfolio 3 789 372 426 660 166 153

Other receivables 2 953 697 5 865 156

Bank deposits 598 583 661 634 569 879

Total assets 1 390 909 785 1 300 601 187

OWNERS' EQUITY AND LIABILITIES Note 2017 2016

Owners' equity

Unit capital at nominal 1 158 951 140 1 158 951 140

Premium/discount 4 621 715 4 621 715

Total paid-in equity 1 163 572 854 1 163 572 854

Retained earnings 223 977 697 126 731 937

Total owners’ equity 2 1 387 550 552 1 290 304 791

LIABILITIES 2016 2015

Other liabilities 3 359 233 10 296 396

Total liabilities 3 359 223 10 296 396

Total owners' equity and liabilities 1 390 909 785 1 300 601 187

Page 4KLP Alfa Global Energi

NotesNOTE 1 Accounting principles

The accounts for 2017 are prepared in accordance with the Norwegian accounting act and regulation for annual state-ments for securities funds, with the exception of the require-ments for Directors’ report in section 3-3a. SECURITIESThe funds’ securities portfolios are valued at estimated market value as of 31.12. If there are no prices available, the estimated market value is determined based on the yield for different groups of borrowers.

The portfolio’s turnover rate is calculated as the total purchase and sale of securities divided by two over the average of the in-bound and outbound securities portfolio. The average effective interest rate is calculated as a weighted average of the effective interest rate of each security on 31.12. less management fees.

The funds enter into securities loan agreements with cash or securities as collateral. Transferred securities in such trans-actions are not deducted from the funds’ balances.

FINANCIAL DERIVATIVESDerivatives are contracts of trades, exchanges, calculations or the like on terms agreed upon at the conclusion of the contract. Derivatives are a type of financial instruments used in tradi-tional financial markets such as equity markets, bond markets and currency markets. The nominal amount for derivatives is the nominal principal of the contracts. For currency-related contracts, the nominal amount represents the underlying principal to be received.

Equity futures - Used primarily to adjust the equity exposure in the fund closer to the benchmark without affecting the cash portfolio, for example, by using large purchases and redemp-tions in the fund and dividends from companies.

Interest rate futures - Used primarily to adjust the risk of fluctuations in government bond yields.

Foreign currency contracts - Used primarily to adjust the currency risk in the fund.

Interest rate swaps - Used to adjust the interest rate risk in the fund.

Options - Used primarily to adjust the interest rate risk or currency risk in case of large fluctuations in the market.

Repurchase Agreements - Used to place or receive cash in exchange for bonds.

Financial derivatives are valued at actual value. Stock futures and interest rate futures are settled and recognized on an ongoing basis against the margin account as realized gain / loss.

TRANSACTIONS IN FOREIGN CURRENCYTransactions in foreign currency are valued at the exchange rate at the time of the transaction. Monetary items in foreign currency are valued at the exchange rate on the balance sheet date. Differences in exchange rates are entered in the income statement in the period they arise and classified as financial income or expense.

OWNER’S EQUITYOwner’s equity in the funds consists of share capital at nominal value, retained equity and premiums and discounts in the case of purchases and redemptions.

The fixed income funds, money market and bond funds with an equity share below 20% for tax purposes, pay out their taxable income as new shares to the shareholders on the 31st of December each year.

MANAGEMENT FEES AND COMMISSIONS Management fees to KLP Kapitalforvaltning AS is charged daily with a rate ranging from 0.1% to 0.80% p.a. calculated on the total value of the fund. For KLP Alfa Global Energi and KLP Alfa Global Rente, an additional fee of 10% of the appreciation above the benchmark interest rate and the funds previous value is charged.

COSTS OF SALE AND REDEMPTION OF SHARESCosts of sale and redemption of shares consist of bank charges incurred in the execution of transactions for the funds. The funds are not charged custodial costs.

Page 5KLP Alfa Global Energi

Note 2 — Information about the fund

All amounts in NOK thousands

Equity OB 1 290 305

+ Subscriptions 2016 -

- Redemptions 2016 -

+ Allocated to/from retained earnings 97 246

= Equity CB 1 387 551

Year31 December

Number of units 31 December

Redemption price

2017 1 158 851,14 1 197,25

2016 1 158 851,14 1 113,34

2015 912 866,83 989,29

The fund had an equity share of 47,82% at 01.01.2017, and hence sales transactions in 2017 will be assigned an equity share of 47,82% for tax purposes. Management fees to KLP Kapitalforvaltning AS is charged daily with a rate of 0.80% p.a. calculated on the total value of the fund. In addition a fee of 10% of the appreciation above the benchmark interest rate and the funds previous value is charged. 2016 figures have been reclassified in the 2017 financial statements as follows: Expenses of NOK 15,8 million has been moved from the management result to portfolio profit/loss. The reclassified expenses comes from the use of efficient portfolio management techniques.

TAXPayable tax is calculated using a tax rate of 24% and a deferred tax rate of 23%.

Funds with more than 20% taxable equity share for tax purpos-es capitalizes deferred tax, while any deferred tax asset is not capitalized.

Funds (Money Market and Bond Funds) with less than 20% equity share for tax purposes receive tax deductions for

dividends paid to shareholders. These funds are therefore generally not in tax position and no deferred tax is calculated for these funds.

Funds do not have a tax liability for capital gains, and cannot make deductions for losses, upon sale of shares.

Funds are exempt from wealth tax.

Page 6KLP Alfa Global Energi

Note 3 — Securities portfolio

Securities CCY Number Cost price Market valueUnrealized

gain/loss

Proportion of total

portfolio

Ownership interest in

the company

DIAMOND OFFSHORE DRILL. USD -300 000 -52 607 227 -45 616 235 6 990 992 -3,29% -0,22%

GOLAR LNG LTD USD -25 000 -4 759 076 -6 095 661 -1 336 585 -0,44% -0,02%

HALLIBURTON CO USD -100 000 -39 479 982 -39 972 483 -492 502 -2,88% -0,01%

KINDER MORGAN INC USD -50 000 -7 444 615 -7 390 043 54 573 -0,53% 0,00%

NATIONAL OILWELL VARCO USD -250 000 -71 799 686 -73 655 047 -1 855 361 -5,30% -0,07%

NESTE OIL EUR -125 000 -43 478 664 -65 498 795 -22 020 131 -4,72% -0,05%

RANGE RESOURCES CORP USD 100 000 14 873 152 13 953 971 -919 181 1,00% 0,04%

ROWAN COS USD -200 000 -22 805 117 -25 617 724 -2 812 607 -1,84% -0,16%

SUBSEA 7 SA NOK 250 000 30 730 682 30 750 000 19 318 2,21% 0,08%

BW LPG LTD NOK 200 000 6 302 650 7 728 000 1 425 350 0,56% 0,14%

DHT HOLDINGS INC USD 400 000 12 990 309 11 745 547 -1 244 762 0,85% 0,28%

DORIAN LPG LTD USD -91 377 -7 087 083 -6 143 665 943 419 -0,44% -0,17%

AKER SOLUTIONS HOLDING ASA NOK 496 261 19 220 877 22 922 296 3 701 419 1,65% 0,18%

STATOIL ASA NOK -373 463 -55 748 814 -65 430 718 -9 681 904 -4,71% -0,01%

SCORPIO TANKERS INC USD -1 000 000 -26 387 696 -24 947 018 1 440 679 -1,80% -0,32%

GASLOG LTD USD -22 851 -2 732 099 -4 158 666 -1 426 567 -0,30% -0,03%

MCDERMOTT INTERNATIONAL USD 576 547 23 937 048 31 029 830 7 092 782 2,23% 0,20%

NAVIGATOR HOLDINGS LTD USD -6 445 -603 900 -519 252 84 649 -0,04% -0,01%

NORDIC AMERICAN TANKERS LTD USD 250 000 5 746 744 5 030 300 -716 444 0,36% 0,18%

TEEKAY OFFSHORE PARTNERS LP USD -447 177 -21 055 070 -8 631 977 12 423 093 -0,62% -0,11%

OCEAN YIELD ASA NOK -113 537 -7 328 681 -7 890 822 -562 141 -0,57% -0,08%

SHIP FINANCE INTL LTD USD -325 000 -40 134 108 -41 203 476 -1 069 367 -2,97% -0,35%

TEEKAY CORP USD -330 336 -21 216 022 -25 182 023 -3 966 001 -1,81% -0,33%

TEEKAY LNG PARTNERS LP USD 195 778 27 672 193 32 266 936 4 594 743 2,32% 0,25%

TEEKAY TANKERS LTD-CLASS A USD 96 748 1 178 567 1 107 870 -70 696 0,08% 0,04%

TECHNIPFMC PLC EUR 350 000 82 167 852 88 862 283 6 694 431 6,40% 0,08%

FLEX LNG LTD NOK 2 656 500 29 881 500 34 401 675 4 520 175 2,48% 0,72%

TGS NOPEC GEOPHYSICAL CO ASA NOK -139 296 -20 297 678 -27 051 283 -6 753 606 -1,95% -0,14%

TECNICAS REUNIDAS SA EUR 50 000 13 790 968 12 994 175 -796 793 0,94% 0,09%

TORM PLC DKK 144 114 11 460 053 10 170 892 -1 289 161 0,73% 0,19%

WOOD GROUP (JOHN) PLC GBP 271 386 17 573 358 19 518 082 1 944 724 1,41% 0,04%

ARCHER LTD NOK 4 000 000 40 000 000 40 200 000 200 000 2,90% 2,72%

GASLOG PARTNERS LP USD -100 000 -20 350 926 -20 243 891 107 034 -1,46% -0,25%

HUNTER GROUP ASA NOK 3 000 000 15 000 000 7 320 000 -7 680 000 0,53% 2,29%

WILLIAMS PARTNERS LP USD -100 000 -33 881 310 -31 719 519 2 161 791 -2,28% -0,01%

Energy Total -146 671 800 -156 966 438 -10 294 639 -11,30%

Page 7KLP Alfa Global Energi

Note 3 — Securities portfolio

Securities CCY Number Cost price Market valueUnrealized

gain/loss

Proportion of total

portfolio

Ownership interest in

the company

MITSUI OSK LINES JPY -50 000 -9 597 722 -13 650 402 -4 052 680 -0,98% -0,04%

SCORPIO BULKERS INC USD -400 000 -24 245 177 -24 210 876 34 301 -1,74% -0,53%

ORIENT OVERSEAS INTL LTD HKD 2 000 87 466 157 784 70 319 0,01% 0,00%

D/S NORDEN DKK 230 000 35 166 522 35 347 023 180 501 2,55% 0,55%

EAGLE BULK SHIPPING INC USD 768 800 23 642 495 28 171 514 4 529 019 2,03% 1,04%

GENCO SHIPPING & TRADING LTD USD 3 120 327 207 0,00% 0,00%

MPC CONTAINER SHIPS AS NOK 907 000 38 689 899 46 257 000 7 567 101 3,33% 1,39%

KIRBY CORP USD -50 000 -27 603 251 -27 319 029 284 222 -1,97% -0,08%

DIANA SHIPPING INC USD -300 000 -9 663 618 -9 986 986 -323 368 -0,72% -0,29%

NAVIOS MARITIME PARTNERS LP USD 2 729 957 48 924 835 52 697 086 3 772 251 3,80% 1,85%

SAFE BULKERS INC USD -21 971 -586 578 -580 458 6 119 -0,04% -0,02%

Industry Total 74 814 990 86 882 982 12 067 992 6,26%

NAVIOS MARITIME CONTAINERS I NOK 363 636 16 336 784 17 454 528 1 117 744 1,26% 1,25%

NORTHERN DRILLING LTD NOK 1 170 000 74 880 000 74 295 000 -585 000 5,35% 1,50%

SHELF DRILLING LTD NOK 585 000 40 095 370 38 025 000 -2 070 370 2,74% 0,70%

Fund share Total 131 312 154 129 774 528 -1 537 626 9,35%

Equities Total 59 455 344 59 691 072 235 728 4,30%

KLP PENGEMARKED NOK 504 358 504 558 986 504 543 841 -15 145 36,34% 14,44%

KLP OBLIGASJON 1 ÅR NOK 220 569 224 330 945 225 137 513 916 568 16,21% 18,50%

Fund units Total 728 779 931 729 681 354 901 423 52,55%

TOTAL SECURITIES 728 235 276 789 372 426 1 137 151 56,85%

PTR 2,68

Brokerage fee NOK kr 4 644 368

Page 8KLP Alfa Global Energi

Note 4 — Tax

Tax payable is recognized as follows:

Pre-tax profit 103 065 310

Non-deductible costs / non-taxable income -166 986 892

Net change unrealized gains/losses 28 793 998

3% tax base in accordance with tax exemption method 44 752

Tax loss -35 082 831

Base for tax payable 0

Tax payable 0

The tax cost is recognized as follows:

Tax payable this year 0

Withholding tax 301 020

Tax credit/owed previous years 5 518 530

Tax 5 819 550

Page 9KLP Alfa Global Energi

Income statement 31 December

PORTFOLIO INCOME AND EXPENSES Note 1 2017 2016

Interest income 21 697 771 13 017 890

Other financial income 46 092 992 40 451 237

Gain/loss on realization 41 477 080 17 945 195

Net change unrealized gains 19 4 252 173

PORTFOLIO PROFIT 109 267 862 75 666 495

MANAGEMENT INCOME AND EXPENSES Note 2017 2016

Expenses on sale and redemption of units -783 123 -586 705

Management fee -19 672 718 -12 219 157

Management result -20 455 841 -12 805 862

Pre-tax profit 88 812 021 62 860 634

Income for the year 88 812 021 62 860 634

ALLOCATION OF INCOME Note 2017 2016

Distributed to unitholders as at 31 Dec 47 202 967 43 532 090

Allocated/transferred to/from retained earnings 41 609 054 19 328 544

Total allocation of result 88 812 021 62 860 634

KLP Alfa Global RenteSpesialfondet KLP Alfa Global Rente is a hedge fund that uses derivatives to take advantage of mispricing in, for example, yield curves, differences between countries' yield curves and foreign exchange rates. As far as possible the fund uses quantitative methods to identify mispricing. The return on the fund will not normally reflect the return in the equities and bond market. All investments are made in accordance with the KLP funds' guidelines for responsible investments. The minimum subscription is NOK 5 million.

Page 10KLP Alfa Global Rente

Financial position statement 31 December

ASSETS Note 2017 2016

The fund's securities portfolio 3, 4 2 030 769 904 1 993 430 436

Accrued, not received, income 7 395 242 34 495 149

Other receivables 336 936 1 427 872

Bank deposits 376 596 418 297 304 163

Total assets 2 415 098 499 2 326 657 621

OWNERS’ EQUITY AND LIABILITIES Note 1 2017 2016

OWNERS' EQUITY

Unit capital at nominal 1 273 583 544 1 128 197 767

Premium/discount 6 389 951 4 572 762

Total paid-in equity 1 279 973 496 1 232 770 529

Retained earnings 44 594 361 2 985 307

Total owners' equity 2 1 324 567 857 1 235 755 836

LIABILITIES Note 2017 2016

Other liabilities 1 090 530 643 1 067 759 672

Accrued, not paid, interest 0 23 142 113

Total liabilities 1 090 530 643 1 090 901 785

Total owners' equity and liabilities 2 415 098 499 2 326 657 621

Page 11KLP Alfa Global Rente

NotesNOTE 1 Accounting principles

The accounts for 2017 are prepared in accordance with the Norwegian accounting act and regulation for annual state-ments for securities funds, with the exception of the require-ments for Directors’ report in section 3-3a. SECURITIESThe funds’ securities portfolios are valued at estimated market value as of 31.12. If there are no prices available, the estimated market value is determined based on the yield for different groups of borrowers.

The portfolio’s turnover rate is calculated as the total purchase and sale of securities divided by two over the average of the in-bound and outbound securities portfolio. The average effective interest rate is calculated as a weighted average of the effective interest rate of each security on 31.12. less management fees.

The funds enter into securities loan agreements with cash or securities as collateral. Transferred securities in such trans-actions are not deducted from the funds’ balances.

FINANCIAL DERIVATIVESDerivatives are contracts of trades, exchanges, calculations or the like on terms agreed upon at the conclusion of the contract. Derivatives are a type of financial instruments used in tradi-tional financial markets such as equity markets, bond markets and currency markets. The nominal amount for derivatives is the nominal principal of the contracts. For currency-related contracts, the nominal amount represents the underlying principal to be received.

Equity futures - Used primarily to adjust the equity exposure in the fund closer to the benchmark without affecting the cash portfolio, for example, by using large purchases and redemp-tions in the fund and dividends from companies.

Interest rate futures - Used primarily to adjust the risk of fluctuations in government bond yields.

Foreign currency contracts - Used primarily to adjust the currency risk in the fund.

Interest rate swaps - Used to adjust the interest rate risk in the fund.

Options - Used primarily to adjust the interest rate risk or currency risk in case of large fluctuations in the market.

Repurchase Agreements - Used to place or receive cash in exchange for bonds.

Financial derivatives are valued at actual value. Stock futures and interest rate futures are settled and recognized on an ongoing basis against the margin account as realized gain / loss.

TRANSACTIONS IN FOREIGN CURRENCYTransactions in foreign currency are valued at the exchange rate at the time of the transaction. Monetary items in foreign currency are valued at the exchange rate on the balance sheet date. Differences in exchange rates are entered in the income statement in the period they arise and classified as financial income or expense.

OWNER’S EQUITYOwner’s equity in the funds consists of share capital at nominal value, retained equity and premiums and discounts in the case of purchases and redemptions.

The fixed income funds, money market and bond funds with an equity share below 20% for tax purposes, pay out their taxable income as new shares to the shareholders on the 31st of December each year.

MANAGEMENT FEES AND COMMISSIONS Management fees to KLP Kapitalforvaltning AS is charged daily with a rate ranging from 0.1% to 0.80% p.a. calculated on the total value of the fund. For KLP Alfa Global Energi and KLP Alfa Global Rente, an additional fee of 10% of the appreciation above the benchmark interest rate and the funds previous value is charged.

COSTS OF SALE AND REDEMPTION OF SHARESCosts of sale and redemption of shares consist of bank charges incurred in the execution of transactions for the funds. The funds are not charged custodial costs.

Page 12KLP Alfa Global Energi

TAXPayable tax is calculated using a tax rate of 24% and a deferred tax rate of 23%.

Funds with more than 20% taxable equity share for tax purpos-es capitalizes deferred tax, while any deferred tax asset is not capitalized.

Funds (Money Market and Bond Funds) with less than 20% equity share for tax purposes receive tax deductions for

dividends paid to shareholders. These funds are therefore generally not in tax position and no deferred tax is calculated for these funds.

Funds do not have a tax liability for capital gains, and cannot make deductions for losses, upon sale of shares.

Funds are exempt from wealth tax.

Note 2 — Information about the fund

All amounts in NOK thousands

Equity OB 1 235 756

+ Subscriptions 47 203

- Redemptions -

+ Allocated to/from retained earnings 41 609

= Equity CB 1 324 568

Year31 December

Number of units 31 December

Redemption price

2017 1 273 583,54 1040,04

2016 1 228 197,77 1006,16

2015 1 184 932,26 989,86

The fund had an equity share of less than 20% at 01.01.2017, and hence sales transactions in 2017 will be assigned an equity share of 0% for tax purposes. Dividends are taxed as interest income. Management fees to KLP Kapitalforvaltning AS is charged daily with a rate of 0.80% p.a. calculated on the total value of the fund. In addition a fee of 10% of the appreciation above the benchmark interest rate and the funds previous value is charged.

Note 3 — Securities portfolio

Securities ISIN CouponRisk

class Number Cost price Market valueUnrealized

gain/loss

Proportion of total

portfolio

Den Norske Stat NO0010705536 3,00 0 % 918 000 000 953 925 003 1 011 177 000 57 251 997 76,24%

Den Norske Stat NO0010732555 1,50 0 % 612 000 000 626 434 000 627 208 200 774 200 47,29%

Den Norske Stat NO0010757925 1,75 0 % 400 000 000 405 570 000 400 040 000 -5 530 000 30,16%

Government bonds total 1 985 929 003 2 038 425 200 52 496 197 153,69%

Securities Total 1 985 929 003 2 038 425 200 52 496 197 153,69%

PTR

Average effective interest rate: 1,37 %

Page 13KLP Alfa Global Rente

Note 4 — Financial derivatives

Buy SellAmount in

bought currencyAmount in

sold currency Market value NOK Due date

EUR GBP 400 000 -352 596 30 206 31.01.2018

EUR SEK 10 000 000 -99 650 060 -1 335 534 18.01.2018

NOK AUD 11 203 054 -1 800 000 -303 102 31.01.2018

NOK CAD 6 337 583 -1 000 000 -187 723 31.01.2018

NOK EUR 586 345 800 -60 000 000 -3 098 348 12.01.2018

NOK EUR 42 902 847 -4 500 000 -1 331 269 31.01.2018

NOK GBP 37 442 355 -3 400 000 -180 226 31.01.2018

NOK SEK 5 401 656 -5 500 000 -97 564 31.01.2018

NOK USD 32 619 140 -4 000 000 -70 438 31.01.2018

SEK EUR 99 157 380 -10 000 000 843 220 18.01.2018

SEK EUR 98 352 210 -10 000 000 39 855 05.02.2018

Total forward exchange contracts 930 162 025 -200 202 656 -5 690 924

Buy SellAmount in

bought currencyAmount in

sold currency Market value NOK Due date

NOK EUR 1 000 000 000 -114 285 714 2 449 921 29/06/2018

NOK EUR 1 000 000 000 -105 241 002 2 570 168 03/09/2018

NOK EUR 1 000 000 000 -110 497 238 3 613 128 22/01/2019

NOK NOK 300 000 000 -300 000 000 10 055 180 19/02/2018

NOK NOK 630 000 000 -630 000 000 121 617 13/03/2018

NOK NOK 925 000 000 -925 000 000 -61 516 781 14/03/2018

NOK USD 1 000 000 000 -111 982 083 4 668 778 11/01/2018

NOK USD 1 000 000 000 -121 230 000 1 080 993 02/02/2018

NOK USD 1 000 000 000 -121 876 900 625 473 20/02/2018

NOK USD 1 000 000 000 -115 114 539 2 732 492 21/02/2018

NOK USD 1 000 000 000 -117 164 616 2 441 324 20/03/2018

NOK USD 1 000 000 000 -120 293 516 2 029 148 11/02/2019

SEK EUR 2 000 000 000 -204 792 136 2 377 628 29/05/2019

SEK USD 1 000 000 000 -115 127 792 2 066 499 07/06/2018

SEK USD 1 000 000 000 -114 429 569 2 464 907 27/06/2019

USD JPY 280 000 000 -31 500 000 000 16 906 406 02/02/2018

Total swap 15 135 000 000 -34 827 035 105 -5 313 120

Page 14KLP Alfa Global Rente

Note 4 — Financial derivatives

InstrumentUnderlying

security CurrencyNumber

of shares Nominal value NOKAverage nominal

value NOK Due date

FutureEURO-BUND

FUTURE EUR -10 300 000 -100 587 477 -49 545 334 08/03/2018

FutureUS 10YR NOTE

(CBT USD -15 000 000 -124 920 959 -125 810 666 20/03/2018

TOTAL INTEREST RATE FUTURES -25 300 000 -225 508 436 -175 356 000

Instrument CurrencyNumber

of shares Market value Due date

FRA-OTC NOK 5 000 000 000 125 273 19/09/2018

FRA-OTC NOK 5 000 000 000 1 124 303 19/12/2018

FRA-OTC NOK 5 000 000 000 1 155 534 19/12/2018

FRA-OTC NOK 5 000 000 000 1 179 559 19/06/2019

TOTAL INTEREST RATE FUTURES 20 000 000 000 3 584 669

Note 5 — Tax

The tax cost is recognized as follows:

Pretax result 88 812 021

Net change unrealized gain/loss -41 609 749

Taxable profit distributed to shareholders -47 202 967

Taxable result -695

Basis for payable tax 0

Payable tax 0

Note 6 — Repurchase agreements

2017 2016

Certificates and bonds 1 091 965 729 1 087 835 668

Total transferred assets included in balance sheet 1 091 965 729 1 087 835 668

Deposits from credit institutions 1 088 595 831 1 064 089 501

Commitments on transferred assets 1 088 595 831 1 064 089 501

Page 15KLP Alfa Global Rente

18

KOMMUNAL LANDSPENSJONSKASSE

Visiting address: Dronning Eufemias gate 10, Oslo, NorwayPh: +47 23 08 09 30

KLP KAPITALFORVALTNING ASP.O. Box 400 Sentrum 0103 Oslo, NorwayEmail: [email protected]

FOR OTHER INQUIRIES Web: english.klp.noSwitchboard: 55 54 85 00