annual statement of accounts 2016 - klp.no · nordic american tankers ltd usd -420 101 -41 484 299...

Annual statement of accounts 2016

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 2: Information about the fund .................................................................. 4

Note 3: Securities portfolio .......................................................................................... 5

Note 3: Securities portfolio .......................................................................................... 6

Note 4: Tax ........................................................................................................................................7

KLP ALFA GLOBAL RENTE ........................................................................................ 8

Income statement ................................................................................................................... 8

Financial position statement ..................................................................................... 9

Note 2: Information about the fund ................................................................10

Note 3: Securities portfolio ........................................................................................10

Note 4: Financial derivatives ................................................................................... 11

Note 5: Tax ..................................................................................................................................... 12

Independent auditor’s report ................................................................................. 13

KLP Alfa Global Energi

Income statement 31 December

PORTFOLIO INCOME AND EXPENSES Note 1 2016 2015

Interest income -51 200 2 322 224

Other financial income 6 554 082 24

Dividends -5 066 592 8 458 716

Gain/loss on realization 128 789 246 109 852 175

Net change unrealized gains 40 734 094 -43 618 841

Portfolio profit/loss 170 959 631 77 014 298

MANAGEMENT INCOME AND EXPENSES Note 2016 2015

Expenses on sale and redemption of units -18 048 091 -4 462 862

Management fee -14 296 446 -6 822 822

Management result -32 444 538 -11 285 684

Pre-tax profit/loss 138 515 093 65 728 614

Tax 4 -1 276 646 -5 282 732

Income for the year 137 238 447 60 445 882

Allocation of income 137 238 447 60 445 882

Allocated to/from retained earnings 137 238 447 60 445 882

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.

Side 3KLP Alfa Global Energi

Financial position statement 31 December

ASSETS Note 1 2016 2015

The fund's securities portfolio 3 660 166 153 466 852 531

Revenue earned, not received 0 -90 544

Other receivables 5 865 156 1 742 424

Bank deposits 634 569 879 441 908 684

Total assets 1 300 601 187 910 413 094

OWNERS' EQUITY AND LIABILITIES Note 1 2016 2015

Owners' equity

Paid-in equity

Unit capital at nominal 1 158 951 140 912 866 826

Premium/discount 4 621 715 706 029

Total paid-in equity 1 163 572 854 913 572 854

Retained earnings 126 731 937 -10 506 960

Total retained earnings 126 731 937 -10 506 960

Total owners’ equity 2 1 290 304 791 903 065 894

LIABILITIES Note 2016 2015

Other liabilities 10 296 396 7 347 200

Total liabilities 10 296 396 7 347 200

Total owners' equity and liabilities 1 300 601 187 910 413 094

Note 1 —Accounting principles The accounts for 2016 are prepared in accordance with the Norwegian accounting act and regulation for annual statements for securities funds, with the exception of the requirements for Directors’ report in section 3-3a.

Note 2 — Information about the fund

All amounts in NOK thousands

Equity OB 903 066

+ Subscriptions 2016 250 000

- Redemptions 2016 -

+ Allocated to/from retained earnings 137 238

= Equity CB 1 290 304

Year31 December

Number of units 31 December

Redemption price

2016 1 158 851,14 1 113,34

2015 912 866,83 989,29

2014 912 866,83 923,05

The fund is charged daily management fees from KLP Kapitalforvaltning AS. The management fee is 0.80% p.a. of the funds total value.


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 -200 000 -38 575 971 -30 471 258 8 104 713 -2,36% -0,15%

FRONTLINE NOK -225 000 -15 376 920 -13 950 000 1 426 920 -1,08% -0,13%

KINDER MORGAN INC USD -220 000 -32 957 017 -39 218 403 -6 261 386 -3,03% -0,01%

NATIONAL OILWELL VARCO USD -125 000 -32 443 655 -40 284 036 -7 840 381 -3,12% -0,03%

PETRO GEO SVCS NOK 1 114 199 25 181 881 32 534 611 7 352 730 2,52% 0,33%

SCHLUMBERGER USD 30 000 18 859 223 21 678 492 2 819 269 1,68% 0,00%

SUBSEA 7 SA NOK -300 000 -28 823 152 -32 790 000 -3 966 848 -2,54% -0,09%

TECHNIP EUR 50 000 22 886 222 30 782 350 7 896 127 2,38% 0,04%

TGS NOPEC GEO NOK -200 000 -29 194 696 -38 340 000 -9 145 304 -2,96% -0,20%

BW LPG LTD NOK 205 041 5 622 021 7 449 140 1 827 119 0,58% 0,14%

DHT HOLDINGS INC USD 1 415 092 58 282 252 50 428 046 -7 854 207 3,90% 1,51%

DORIAN LPG LTD USD -99 720 -7 288 107 -7 047 134 240 973 -0,54% -0,18%

AKER SOLUTIONS HOLDING ASA NOK 2 200 000 79 102 145 91 014 000 11 911 855 7,04% 0,81%

AVANCE GAS HOLDING LTD NOK 140 000 2 380 000 3 710 000 1 330 000 0,29% 0,22%

DEEP SEA SUPPLY PLC NOK 3 465 104 30 866 744 4 816 495 -26 050 249 0,37% 1,19%

SCORPIO TANKERS INC USD -989 768 -39 075 241 -38 593 906 481 335 -2,98% -0,57%

GASLOG LTD USD -150 000 -19 478 003 -20 787 596 -1 309 593 -1,61% -0,19%

MCDERMOTT INTERNATIONAL USD 1 126 860 31 535 358 71 680 582 40 145 224 5,54% 0,47%

NORDIC AMERICAN TANKERS LTD USD -420 101 -41 484 299 -30 375 268 11 109 031 -2,35% -0,41%

TANKER INVESTMENTS LTD NOK 350 000 12 969 425 12 600 000 -369 425 0,97% 1,15%

TEEKAY OFFSHORE PARTNERS LP

USD -318 767 -14 960 919 -13 883 885 1 077 034 -1,07% -0,22%

ATWOOD OCEANICS INC USD -500 000 -37 990 328 -56 509 551 -18 519 222 -4,37% -0,62%

OCEAN YIELD ASA NOK -113 537 -7 328 681 -7 379 905 -51 224 -0,57% -0,08%

SHIP FINANCE INTL LTD USD -275 000 -32 250 334 -35 151 695 -2 901 361 -2,72% -0,29%

TEEKAY CORP USD -270 741 -19 476 024 -18 713 572 762 451 -1,45% -0,32%

TEEKAY LNG PARTNERS LP USD 291 357 29 610 433 36 239 352 6 628 919 2,80% 0,37%

TEEKAY TANKERS LTD-CLASS A USD -1 015 952 -19 234 041 -19 763 723 -529 682 -1,53% -0,77%

Energy Total -98 641 683 -80 326 863 18 314 819 -6,21%



Securities CCY Number Cost price Market valueUnrealized

gain/loss

Proportion of total

portfolio

Ownership interest in

the company

AP MOLLER MAERSK B DKK 3 000 34 721 248 41 282 966 6 561 719 3,19% 0,03%

MITSUI OSK LINES JPY -900 000 -16 877 120 -21 520 173 -4 643 053 -1,66% -0,07%

ORIENT OVERSEAS INTL LTD HKD 1 000 000 41 821 802 35 693 564 -6 128 238 2,76% 0,16%

D/S NORDEN DKK 320 000 41 854 507 43 175 560 1 321 053 3,34% 0,76%

EAGLE BULK SHIPPING INC USD 1 222 000 34 210 664 47 333 742 13 123 078 3,66% 2,54%

GENCO SHIPPING & TRADING LTD USD 309 279 12 372 326 12 911 577 539 251 1,00% 0,90%

GLOBAL SHIP LEASE INC-CL A USD -160 000 -3 230 141 -2 065 848 1 164 293 -0,16% -0,29%

SEASPAN CORP USD -200 000 -16 008 521 -15 734 876 273 646 -1,22% -0,19%

STAR BULK CARRIERS CORP USD 23 375 829 087 1 028 157 199 070 0,08% 0,04%

Industry Total 129 693 851 142 104 671 12 410 819 10,99%

KLP PENGEMARKED NOK 447 956 448 319 057 447 744 579 -574 478 34,62% 17,38%

KLP OBLIGASJON 1 ÅR NOK 148 537 150 822 963 150 643 766 -179 197 11,65% 11,73%

Fund units Total 599 142 020 598 388 345 -753 675 46,27%

TOTAL SECURITIES 630 194 189 660 166 153 29 971 964 51,05%

PTR 3,32

Brokerage fee NOK kr 5 688 740


Note 4 — Tax

Tax payable is recognized as follows:

Pre-tax profit 138 515 093

Non-deductible costs / non-taxable income -103 358 543

Net change unrealized gains/losses -40 734 094

3% tax base in accordance with tax exemption method 81 139

Tax loss -5 496 405

Base for tax payable -

Tax payable -

The tax cost is recognized as follows:

Tax payable this year -

Withholding tax 1 239 462

Tax credit/owed previous years 37 185

Tax 1 276 647


Income statement 31 December

PORTFOLIO INCOME AND EXPENSES Note 1 2016 2015

Interest income 23 744 429 18 205 929

Other financial income 4 252 173 14 311 499

Gain/loss on realization 40 451 237 11 206 305

Net change unrealized gains 17 945 195 -5 864 792

Interest expenses -10 726 539 -13 945 169

PORTFOLIO PROFIT 75 666 496 23 913 772

MANAGEMENT INCOME AND EXPENSES Note 2016 2015

Commission income from sale and redemption of units 0 369 087

Expenses on sale and redemption of units -586 705 -1 636 558

Management fee -12 219 157 -13 893 169

Management result 12 805 862 -15 160 652

Pre-tax profit 62 860 634 8 753 120

Tax 5 0 717

Income for the year 62 860 634 8 753 837

Allocation of income

Net distribution to unitholders 0 -1 422 258

Distributed to unitholders as at 31 Dec 43 532 090 17 319 350

Allocated/transferred to/from retained earnings 19 328 544 -7 143 255

62 860 634 8 753 837

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.

Side 8KLP Alfa Global Rente

Financial position statement 31 December

ASSETS Note 1 2016 2015

The fund's securities portfolio 3, 4 1 993 430 436 898 260 536

Accrued, not received, income 34 495 149 28 972 328

Other receivables 1 427 872 23 675

Bank deposits 297 304 163 264 744 732

Total assets 2 326 657 621 1 192 001 270

OWNERS' EQUITY AND LIABILITIES Note 1 2016 2015

OWNERS' EQUITY

Paid-in equity

Unit capital at nominal 1 128 197 767 1 184 932 258

Premium/discount 4 572 762 4 306 181

Total paid-in equity 1 232 770 529 1 189 238 439

Retained earnings 2 985 307 -16 343 238

Total owners' equity 2 1 235 755 836 1 172 895 202

LIABILITIES Note 2016 2015

Other liabilities 1 067 759 672 818 155

Accrued, not paid, interest 23 142 113 18 287 913

Total liabilities 1 090 901 785 19 106 069

Total owners' equity and liabilities 2 326 657 621 1 192 001 270

Note 2 — Information about the fund

All amounts in NOK thousands

Equity OB 1 172 895

+ Subscriptions 2016 43 532

- Redemptions 2016 -

+ Allocated to/from retained earnings 19 329

= Equity CB 1 235 756

Year31 December

Number of units 31 December

Redemption price

2016 1 228 197,77 1006,16

2015 1 184 932,26 989,86

2014 973 100,80 991,2

The fund is charged daily management fees from KLP Kapitalforvaltning AS. The management fee is 0.8% p.a.of the funds value.

Note 1 —Accounting principles The accounts for 2016 are prepared in accordance with the Norwegian accounting act and regulation for annual statements for securities funds, with the exception of the requirements for Directors’ report in section 3-3a.



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 1 012 829 400 58 904 397 81,90%

Den Norske Stat NO0010732555 1,50 0 % 612 000 000 626 434 000 621 027 000 -5 407 000 50,22%

Den Norske Stat NO0010757925 1,75 0 % 400 000 000 405 570 000 395 560 000 -10 010 000 31,99%

government bonds total 1 985 929 003 2 029 416 400 82 431 897 164,11%

PTR 0,77

Average effective interest rate: 1,54%


Note 4 — Financial derivatives

Buy SellAmount in

bought currencyAmount in

sold currency Market value NOK Due date

GBP EUR 10 000 000 -11 922 710 -1 893 070 06.01.2017

NOK AUD 15 934 668 -2 500 000 365 485 27.01.2017

NOK CAD 15 841 318 -2 500 000 -206 431 27.01.2017

NOK EUR 179 224 860 -20 000 000 -2 229 973 06.01.2017

NOK EUR 68 435 018 -7 500 000 262 876 27.01.2017

NOK GBP 6 941 635 -650 000 25 250 27.01.2017

NOK SEK 1 866 012 -2 000 000 -31 711 27.01.2017

NOK USD 25 593 054 -3 000 000 -223 890 27.01.2017

SEK EUR 194 424 800 -20 000 000 2 681 778 23.01.2017

Total forward exchange contracts 518 261 364 -70 072 710 -1 249 686

Buy SellAmount in

bought currencyAmount in

sold currency Market value NOK Due date

NOK EUR 2 000 000 000 -215 167 131 -330 049 06/03/2017

NOK EUR 1 000 000 000 -106 224 772 2 113 204 17/03/2017

NOK EUR 500 000 000 -59 523 810 61 204 05/05/2017

NOK EUR 500 000 000 -59 523 810 59 839 08/05/2017

NOK EUR 1 000 000 000 -107 181 136 776 143 17/08/2017

NOK EUR 500 000 000 -57 142 857 -333 729 28/06/2018

NOK EUR 500 000 000 -57 142 857 -334 532 29/06/2018

NOK EUR 500 000 000 -52 620 501 -154 167 31/08/2018

NOK EUR 500 000 000 -52 620 501 -157 988 03/09/2018

NOK NOK 5 000 000 000 -5 000 000 000 2 848 750 06/02/2017

NOK NOK 300 000 000 -300 000 000 13 404 779 20/02/2017

NOK NOK 630 000 000 -630 000 000 5 133 411 13/03/2017

NOK NOK 925 000 000 -925 000 000 -64 383 870 14/03/2017

NOK USD 1 000 000 000 -114 718 366 316 007 27/03/2017

NOK USD 1 000 000 000 -121 230 000 289 511 02/05/2017

NOK USD 1 000 000 000 -121 876 900 884 665 17/08/2017

NOK USD 500 000 000 -57 557 269 921 224 20/11/2017

NOK USD 500 000 000 -57 557 269 919 473 21/11/2017

NOK USD 1 000 000 000 -111 982 083 2 949 237 11/01/2018

Total swap 18 855 000 000 -8 207 069 262 -35 016 887


Note 4 — Financial derivatives

InstrumentUnderlying

security CurrencyNumber

of shares Nominal value NOKAverage nominal

value NOK Due date

FutureEURO-BUND

FUTUREEUR

-10 600 000

-99 783 998 -83 018 097 08/03/2017

Totalt interest rate futures -99 783 998 -83 018 097

Note 5 — Tax

The tax cost is recognized as follows:

Pretax result 62 860 634

Net change unrealized gain/loss -19 328 544

Taxable profit distributed to unitholders -43 532 090

Basis for payable tax 0

Payable tax 0

Note 6 — Repurchase agreements

Certificates and bonds 1 087 835 668

Total transferred assets included in balance sheet 1 087 835 668

Deposits from credit institutions 1 064 089 501

Commitments on transferred assets 1 064 089 501


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

annual statement of accounts 2016 - klp.no · nordic american tankers ltd usd -420 101 -41 484 299...

Documents