Annual statement of accounts 2017

Transcription

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

2 Table of contents KLP 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

3 KLP Alfa Global Energi Page 3 KLP Alfa Global Energi 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. Income statement 31 December PORTFOLIO INCOME AND EXPENSES Note Interest income Dividends Gain/loss on realization Net change unrealized gains Other portfolio income Portfolio profit/loss MANAGEMENT INCOME AND EXPENSES Note Expenses on sale and redemption of units Management fee Management result Pre-tax profit/loss Note Tax Income for the year Allocation of income Allocated to/from retained earnings

4 KLP Alfa Global Energi Page 4 Financial position statement 31 December ASSETS Note The fund's securities portfolio Other receivables Bank deposits Total assets OWNERS' EQUITY AND LIABILITIES Note Owners' equity Unit capital at nominal Premium/discount Total paid-in equity Retained earnings Total owners equity LIABILITIES Other liabilities Total liabilities Total owners' equity and liabilities

5 KLP Alfa Global Energi Page 5 Notes NOTE 1 Accounting principles The accounts for 2017 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 The funds securities portfolios are valued at estimated market value as of 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 inbound and outbound securities portfolio. The average effective interest rate is calculated as a weighted average of the effective interest rate of each security on less management fees. The funds enter into securities loan agreements with cash or securities as collateral. Transferred securities in such transactions are not deducted from the funds balances. FINANCIAL DERIVATIVES Derivatives 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 traditional 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 redemptions 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 CURRENCY Transactions 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 EQUITY Owner 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 SHARES Costs 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.

6 KLP Alfa Global Energi Page 6 TAX Payable 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 purposes 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 Year 31 December Number of units 31 December Redemption price Equity OB Subscriptions Redemptions , , , , ,83 989,29 + Allocated to/from retained earnings = Equity CB The fund had an equity share of 47,82% at , 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 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.

7 KLP Alfa Global Energi Page 7 Note 3 Securities portfolio Securities CCY Number Cost price Market value Unrealized gain/loss Proportion of total portfolio Ownership interest in the company DIAMOND OFFSHORE DRILL. USD ,29% -0,22% GOLAR LNG LTD USD ,44% -0,02% HALLIBURTON CO USD ,88% -0,01% KINDER MORGAN INC USD ,53% 0,00% NATIONAL OILWELL VARCO USD ,30% -0,07% NESTE OIL EUR ,72% -0,05% RANGE RESOURCES CORP USD ,00% 0,04% ROWAN COS USD ,84% -0,16% SUBSEA 7 SA NOK ,21% 0,08% BW LPG LTD NOK ,56% 0,14% DHT HOLDINGS INC USD ,85% 0,28% DORIAN LPG LTD USD ,44% -0,17% AKER SOLUTIONS HOLDING ASA NOK ,65% 0,18% STATOIL ASA NOK ,71% -0,01% SCORPIO TANKERS INC USD ,80% -0,32% GASLOG LTD USD ,30% -0,03% MCDERMOTT INTERNATIONAL USD ,23% 0,20% NAVIGATOR HOLDINGS LTD USD ,04% -0,01% NORDIC AMERICAN TANKERS LTD USD ,36% 0,18% TEEKAY OFFSHORE PARTNERS LP USD ,62% -0,11% OCEAN YIELD ASA NOK ,57% -0,08% SHIP FINANCE INTL LTD USD ,97% -0,35% TEEKAY CORP USD ,81% -0,33% TEEKAY LNG PARTNERS LP USD ,32% 0,25% TEEKAY TANKERS LTD-CLASS A USD ,08% 0,04% TECHNIPFMC PLC EUR ,40% 0,08% FLEX LNG LTD NOK ,48% 0,72% TGS NOPEC GEOPHYSICAL CO ASA NOK ,95% -0,14% TECNICAS REUNIDAS SA EUR ,94% 0,09% TORM PLC DKK ,73% 0,19% WOOD GROUP (JOHN) PLC GBP ,41% 0,04% ARCHER LTD NOK ,90% 2,72% GASLOG PARTNERS LP USD ,46% -0,25% HUNTER GROUP ASA NOK ,53% 2,29% WILLIAMS PARTNERS LP USD ,28% -0,01% Energy Total ,30%

8 KLP Alfa Global Energi Page 8 Note 3 Securities portfolio Securities CCY Number Cost price Market value Unrealized gain/loss Proportion of total portfolio Ownership interest in the company MITSUI OSK LINES JPY ,98% -0,04% SCORPIO BULKERS INC USD ,74% -0,53% ORIENT OVERSEAS INTL LTD HKD ,01% 0,00% D/S NORDEN DKK ,55% 0,55% EAGLE BULK SHIPPING INC USD ,03% 1,04% GENCO SHIPPING & TRADING LTD USD ,00% 0,00% MPC CONTAINER SHIPS AS NOK ,33% 1,39% KIRBY CORP USD ,97% -0,08% DIANA SHIPPING INC USD ,72% -0,29% NAVIOS MARITIME PARTNERS LP USD ,80% 1,85% SAFE BULKERS INC USD ,04% -0,02% Industry Total ,26% NAVIOS MARITIME CONTAINERS I NOK ,26% 1,25% NORTHERN DRILLING LTD NOK ,35% 1,50% SHELF DRILLING LTD NOK ,74% 0,70% Fund share Total ,35% Equities Total ,30% KLP PENGEMARKED NOK ,34% 14,44% KLP OBLIGASJON 1 ÅR NOK ,21% 18,50% Fund units Total ,55% TOTAL SECURITIES ,85% PTR 2,68 Brokerage fee NOK kr

9 KLP Alfa Global Energi Page 9 Note 4 Tax Tax payable is recognized as follows: Pre-tax profit Non-deductible costs / non-taxable income Net change unrealized gains/losses % tax base in accordance with tax exemption method Tax loss Base for tax payable 0 Tax payable 0 The tax cost is recognized as follows: Tax payable this year 0 Withholding tax Tax credit/owed previous years Tax

10 KLP Alfa Global Rente Page 10 KLP Alfa Global Rente Spesialfondet 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. Income statement 31 December PORTFOLIO INCOME AND EXPENSES Note Interest income Other financial income Gain/loss on realization Net change unrealized gains PORTFOLIO PROFIT MANAGEMENT INCOME AND EXPENSES Note Expenses on sale and redemption of units Management fee Management result Pre-tax profit Income for the year ALLOCATION OF INCOME Note Distributed to unitholders as at 31 Dec Allocated/transferred to/from retained earnings Total allocation of result

11 KLP Alfa Global Rente Page 11 Financial position statement 31 December ASSETS Note The fund's securities portfolio 3, Accrued, not received, income Other receivables Bank deposits Total assets OWNERS EQUITY AND LIABILITIES Note OWNERS' EQUITY Unit capital at nominal Premium/discount Total paid-in equity Retained earnings Total owners' equity LIABILITIES Note Other liabilities Accrued, not paid, interest Total liabilities Total owners' equity and liabilities

12 KLP Alfa Global Energi Page 12 Notes NOTE 1 Accounting principles The accounts for 2017 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 The funds securities portfolios are valued at estimated market value as of 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 inbound and outbound securities portfolio. The average effective interest rate is calculated as a weighted average of the effective interest rate of each security on less management fees. The funds enter into securities loan agreements with cash or securities as collateral. Transferred securities in such transactions are not deducted from the funds balances. FINANCIAL DERIVATIVES Derivatives 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 traditional 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 redemptions 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 CURRENCY Transactions 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 EQUITY Owner 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 SHARES Costs 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.

13 KLP Alfa Global Rente Page 13 TAX Payable 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 purposes 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 Subscriptions Redemptions - + Allocated to/from retained earnings Year 31 December Number of units 31 December Redemption price , , , , ,26 989,86 = Equity CB The fund had an equity share of less than 20% at , 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 Coupon Risk class Number Cost price Market value Unrealized gain/loss Proportion of total portfolio Den Norske Stat NO ,00 0 % ,24% Den Norske Stat NO ,50 0 % ,29% Den Norske Stat NO ,75 0 % ,16% Government bonds total ,69% Securities Total ,69% PTR Average effective interest rate: 1,37 %

14 KLP Alfa Global Rente Page 14 Note 4 Financial derivatives Buy Sell Amount in bought currency Amount in sold currency Market value NOK Due date EUR GBP EUR SEK NOK AUD NOK CAD NOK EUR NOK EUR NOK GBP NOK SEK NOK USD SEK EUR SEK EUR Total forward exchange contracts Buy Sell Amount in bought currency Amount in sold currency Market value NOK Due date NOK EUR /06/2018 NOK EUR /09/2018 NOK EUR /01/2019 NOK NOK /02/2018 NOK NOK /03/2018 NOK NOK /03/2018 NOK USD /01/2018 NOK USD /02/2018 NOK USD /02/2018 NOK USD /02/2018 NOK USD /03/2018 NOK USD /02/2019 SEK EUR /05/2019 SEK USD /06/2018 SEK USD /06/2019 USD JPY /02/2018 Total swap

15 KLP Alfa Global Rente Page 15 Note 4 Financial derivatives Instrument Underlying security Currency Number of shares Nominal value NOK Average nominal value NOK Due date Future Future EURO-BUND FUTURE US 10YR NOTE (CBT EUR /03/2018 USD /03/2018 TOTAL INTEREST RATE FUTURES Instrument Currency Number of shares Market value Due date FRA-OTC NOK /09/2018 FRA-OTC NOK /12/2018 FRA-OTC NOK /12/2018 FRA-OTC NOK /06/2019 TOTAL INTEREST RATE FUTURES Note 5 Tax The tax cost is recognized as follows: Pretax result Net change unrealized gain/loss Taxable profit distributed to shareholders Taxable result -695 Basis for payable tax 0 Payable tax 0 Note 6 Repurchase agreements Certificates and bonds Total transferred assets included in balance sheet Deposits from credit institutions Commitments on transferred assets

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19 KOMMUNAL LANDSPENSJONSKASSE Visiting address: Dronning Eufemias gate 10, Oslo, Norway Ph: KLP KAPITALFORVALTNING AS P.O. Box 400 Sentrum 0103 Oslo, Norway FOR OTHER INQUIRIES Web: english.klp.no Switchboard: