Government Pension Fund – Global Annual Report 2005 1

Government Pension Fund – Global0 Annual5 Report 2005

2001 2002 2003 2004 2005 GOVERNMENT PENSION FUND – GLOBAL ANNUAL REPORT 2005 1

Key figures 2005...... 2 Leader ...... 3 Introduction ...... 4

Report 1. Mandate ...... 10 2. Return in 2005 ...... 12 3. Fixed income management ...... 17 4. Equity management...... 20 5. Corporate governance activities...... 24 6. Risk...... 29 7. Organisation ...... 32 8. Management costs ...... 35 9. Reporting of accounts...... 36

Audit responsibility for the Government Pension Fund – Global ...... 38 Statement from the Central Bank0 Audit ...... 5 ...... 38

Documentation section Holdings of equities at 31 December 2005 ...... 40 Fixed income investments at 31 December 2005...... 53

More information is available at Norges Bank’s website: www.norges-bank.no

Government Pension Fund – Global. Key ﬁ gures 2005

Market value in NOK at 31.12.2005 In billions of NOK Total portfolio 1399 billion 1399.1 Equity portfolio 582 billion 1400 Fixed income portfolio 817 billion

Transfers from the Ministry of Finance in 2005 (in NOK) 1300 220.3 billion

Return in 2005 measured in international currencies 1200 Total 11.1 % Equity portfolio 22.5 % 1100 Fixed income portfolio 3.8 % 1016.4 Gross excess return in relation to the benchmark 1000 1.10 percentage point

900 845.3

800

700

613.7 609.0 600

500

386.4 400

300

222.4 171.8 200

113.4 100 47.8

-100

-200 1996 1997 1998 1999 2000 20012002 2003 2004 2005

Transfers Return measured Effect of a change in the krone Market value at 31.12 in international exchange rate (which has no effect currencies on international purchasing power) GOVERNMENT PENSION FUND – GLOBAL ANNUAL REPORT 2005 3

More active ownership

The assets of the Government Pension Fund – Global rose by NOK 383 billion in 2005. This is the largest annual growth since capital was ﬁrst transferred to the Fund in 1996. The market value of the Fund at the end of 2005 was NOK 1 399 billion.

The Ministry of Finance transferred NOK 220 billion to the Fund in 2005. The return on the Fund was NOK 162 billion. Of this, NOK 36 billion was a result of the depreciation of the Norwegian krone, which has no effect on the international purchasing power of the Fund.

Equity prices rose sharply for the third consecutive year. The return was 22.5 per cent. Since the trough in 2002, the total return on the Fund’s equity investments has been 70 per cent. The return on ﬁxed income investments was 3.8 per cent in 2005. The total return on the Government Pension Fund – Global was 11.1 per cent measured in international currency. This is the third best annual result so far.

Since 1997, the average annual net real return on the Fund has been 4.5 per cent. The total nominal return during this period has been NOK 309 billion.

The Fund’s expected return and risk are largely determined by the strategy deﬁned by the Ministry of Finance in the form of a benchmark portfolio. Norges Bank’s asset management is measured against this benchmark. In 2005, the Bank achieved an excess return of 1.10 percentage point, equivalent to NOK 12 billion. This is a very solid performance in relation to the risk taken in active management. Nearly all external and internal managers generated very strong results.

Norges Bank has achieved an excess return on its asset management every year, and the contribution has averaged 0.52 percentage point. This is equivalent to a gross return of NOK 26 billion and NOK 24 billion after deductions of additional costs related to active management. Nevertheless, Norges Bank’s active management has not increased the Fund’s overall risk. This is because the active management is spread over many different types of activities that are not correlated with the return on the benchmark portfolio.

The Ministry of Finance defined new ethical guidelines for the Government Pension Fund – Global at the end of 2004. Active corporate governance is one of the measures. In 2005, Norges Bank intensified its corporate governance activities considerably. As of 2005, all voting in externally managed portfolios has been transferred to the bank. The Bank voted on more than 20 000 resolutions at more than 2 700 General Meetings. A separate corporate governance group has been established as part of equity management to monitor the Bank’s ownership interests. The group has broad expertise in the areas of ethics, finance and corporate management.

The primary objective of Norges Bank’s corporate governance activities is to protect the Fund’s ﬁnancial interests. For long-term investors, ﬁnancial and ethical considerations often coincide. The Annual Report sheds further light on this interplay. The report also discusses the Bank’s further development of its corporate governance activities.

In addition, the report provides a thorough review of our asset management performance as well as the organisation and operations of asset management.

Svein Gjedrem Knut N. Kjær Central Bank Governor Executive Director, Norges Bank Investment Management 4

Annual Report for the Government Pension Fund - Global

The Government Pension Fund was es- between the return measured in interna- market risk of the benchmark. Thus, the tablished by the Storting (Norwegian tional currency and the return measured cost of active management has been low Parliament) by the Act of 20 December in NOK is due to movements in the krone in terms of higher risk. Operational costs 2005. The Government Pension Fund exchange rate, which have no effect on have been somewhat higher than if the comprises: The Government Pension the long-term international purchasing portfolio had closely mirrored the bench- Fund – Global (previously the Govern- power of the Fund. mark. The real value added through ment Petroleum Fund, established in Since 1997, the average annual return active management is estimated at an 1990) and The Government Pension has been 6.3 per cent, measured in inter- annual average of 0.48 percentage point. Fund – Norway (The National Insurance national currency. The cumulative The information ratio is one measure Fund, established in 1967). nominal return amounts to NOK 309 of skills in investment management. The The Government Pension Fund – billion. After deductions for inflation ratio is calculated as the ratio of the Global is a continuation of the Govern- and management costs, the annual net annual excess return to the excess risk ment Petroleum Fund. In this Annual real return is 4.5 per cent. taken in relation to the benchmark Report the new name, The Government In 2005, Norges Bank’s excess return (tracking error). In other words, the in- Pension Fund – Global, is used even was 1.10 percentage point compared formation ratio shows how much excess though the report primarily concernes with the benchmark portfolio defined by return is achieved for each unit of risk. the period when the Fund’s name was the Ministry of Finance. Since 1998, Since 1998, the information ratio has av- the Government Petroleum Fund. which was the first whole year with equi- eraged 1.32. ties in the Fund’s portfolio, the average The market value of the Fund at end- Key figures annual excess return has been 0.52 per- 2005 was NOK 1 399 billion. Since In 2005, the return on the Government centage point. This amounts to NOK 1996, the Ministry of Finance has trans- Pension Fund - Global was 11.1 per cent 26.3 billion for the entire period. ferred a total of NOK 1 154 billion to the measured in international currency. The The Ministry of Finance has given Fund. Of this, NOK 220 billion was return on the equity portfolio was 22.5 Norges Bank a framework for exercising transferred in 2005. per cent and the return on the fixed active management with a view to achiev- income portfolio was 3.8 per cent. Meas- ing an excess return. Since 1998, the Return 1997 - 2005 ured in NOK, the return on the Fund in market risk of the actual portfolio has Table 1 shows the return on the Govern- 2005 was 14.3 per cent. The difference been only marginally higher than the ment Pension Fund – Global. Since

Table 1: Annual nominal and real return measured in terms of the Fund’s currency basket. 1997 - 2005. Per cent

1997 1998 1999 2000 2001 2002 2003 2004 2005 Average 1997-2005 Nominal return - on the equity portfolio - 12.86 34.81 -5.82 -14.59 -24.37 22.83 13.00 22.49 5.89* - on the ﬁ xed income portfolio 9.07 9.31 -0.99 8.41 5.04 9.90 5.25 6.10 3.82 6.16 - on the total portfolio 9.07 9.25 12.44 2.50 -2.47 -4.74 12.59 8.93 11.09 6.34 Price inﬂ ation ** 1.75 0.92 1.28 2.02 1.18 1.89 1.36 2.43 2.22 1.70 Real return 7.19 8.25 11.02 0.47 -3.61 -6.51 11.08 6.35 8.68 4.56 Management costs*** 0.04 0.06 0.09 0.11 0.07 0.09 0.10 0.11 0.11 0.09 Net real return 7.15 8.19 10.93 0.36 -3.68 -6.60 10.98 6.24 8.58 4.47 * 1998-2005 ** Weighted average of consumer price inflation in the countries included in the Fund’s benchmark portfolio during the year in question. *** Costs include fees to external managers for excess return achieved.

10.0 40 Net real return on the actual portfolio Equity portfolio Fixed income portfolio 30 8.0 Net real return on the benchmark portfolio 20 6.0 10

4.0 0 -10 2.0 -20

0 -30 1999 2000 2001 2002 2003 2004 2005 1998 1999 2000 2001 2002 2003 2004 2005

Chart 1: Average annual net real return since 1997 Chart 2: Annual return on the equity and fixed income portfolios, measured in terms of the Fund’s currency basket. 1998 - 2005. Per cent GOVERNMENT PENSION FUND – GLOBAL ANNUAL REPORT 2005 5

1997, the average annual nominal return ured in terms of the currency basket and equity investments and the fixed income has been 6.34 per cent, measured in in- NOK 244 billion measured in NOK. The investments would have been NOK 157, ternational currency. The return has lower return measured in NOK since i.e. a 57 per cent increase during this been positive in seven of these years and 1997 is explained by a stronger krone. period. While the return on the fixed negative in two. In 1997, the Fund was When the krone appreciates relative to income portfolio has been fairly steady, only invested in fixed income govern- the investment currencies, the return is equity returns exhibited large fluctua- ment securities. Since 1998, the portfolio lower measured in NOK than in foreign tions. The chart illustrates that the rela- has consisted of both equities and fixed currency. tively weak developments in equity income instruments. The annual For the three years 2001, 2002 and markets in the period 2000-2002 were nominal returns on the equity and fixed 2004 combined, a stronger krone ex- reversed at the end of 2005. The cumula- income portfolios for the years 1998 - change rate contributed to reducing the tive return since 1998 on a combined 2005 have been 5.80 and 5.89 per cent, value of the Fund by just over NOK 166 portfolio composed of the same equities respectively. billion. Over the entire period, a stronger and fixed income instruments as the The real return is the nominal return krone reduced the NOK value of the Pension Fund would have been 59 per less inflation. Since 1997, the annual real Fund by approximately NOK 65 billion. cent. return on the Fund as a whole has been This, however, has no effect on the inter- The chart shows that the total cumula- 4.56 per cent. Average management costs national purchasing power of the Fund. tive return is somewhat higher than the have amounted to 0.09 per cent of assets Chart 4 shows developments in the cumulative return on each asset class. under management. Thus, since 1997, value of NOK 100 that was invested in This is related to the method used to the annual net real return less manage- equities and NOK 100 that was invested transfer capital to the Fund. According ment costs has been 4.47 per cent. in fixed income instruments from 1998 to the guidelines for rebalancing the Chart 1 shows developments in the to 2005. These values are measured in Fund, capital is transferred to the asset average annual net real return on the terms of the Fund’s currency basket. At class that has had the weakest develop- actual portfolio and on the benchmark the end of 2005, the value of both the ment and has therefore become under- portfolio. The difference between the two curves reflects the excess return at- Table 2: Transfers1995-2005. In millions of NOK tributable to Norges Bank’s manage- Accounting year Actual transfers Final allocation in the Share of government petroleum ment. during the year* central government revenue retained in the Fund. Chart 2 illustrates the annual percent- accounts Per cent age return on the equity and fixed income 1995 - 1 981 5 portfolios since 1998, measured in terms 1996 47 476 44 213 63 of the Fund’s international currency 1997 60 900 64 019 71 1998 32 837 27 982 62 basket. The return on the equity portfolio 1999 24 423 26 133 59 has been positive in five of these years, 2000 149 838 150 51994 whereas the return on the fixed income 2001 251 189 257 017 99 portfolio has been positive every year 2002 125 354 115 828 68 except 1999. 2003 103 911 110 819 64 Chart 3 shows the returns on the Fund 2004 138 162 132 539 65 since 1997 as an absolute amount, in 2005 220 286 78** NOK, and in terms of the Fund’s curren- Total 1995-20051 154 376 cy basket. At the end of 2005, the cumu- * Less management remuneration to Norges Bank ** Preliminary estimate lative return was NOK 309 billion meas-

330 170 300 Total Equities Fixed income instruments 270 160 240 150 210 180 140 150 Cumulative return in terms of the currency basket 120 130 90 120 60 30 110 0 -30 100 -60 90 -90 Cumulative return in NOK -120 80 19971998 1999 2000 2001 2002 2003 2004 2005 1998 1999 2000 2001 2002 2003 2004 2005

Chart 3: Cumulative return in billions of NOK and in terms of the Fund’s Chart 4: Index for the cumulative return on the Fund’s asset classes. currency basket. 1997-2005 1998-2005. The Fund’s currency basket at 31 December 1997=100 6

weighted. If this asset class subsequently petroleum activities that is retained in portfolio very closely and is managed at exhibits a sharp upturn, the cumulative the Fund. In 2000 and 2001, almost the the lowest possible cost (index manage- total return could exceed the return on entire cash flow remained in the Fund, ment). The calculation of net value added each of the asset classes. whereas in the years 2002-2004 the takes into account that even pure index share represented about two-thirds of the management involves some transaction Tansfers of new capital cash flow. The preliminary estimate for and management costs. On the other 1995-2005 2005 is 78 per cent. hand, deductions are made both for extra The Ministry of Finance first transferred management costs related to active man- capital to the Government Pension Fund Norges Bank’s contribution agement and for income from securities – Global in May 1996 when the central to fund performance lending which would also have been government accounts for 1995 showed a The Ministry of Finance has defined a generated by passive management. These surplus of NOK 2 billion. Since then the benchmark for the management of the calculations are discussed in more detail central government accounts have shown Fund. This benchmark is made up in in Section 2.2 of the Annual Report. a surplus each year and capital equiva- such a way that it expresses the Fund’s Norges Bank’s net contribution to lent to the surplus projected for the year investment strategy and makes it possible value added through active management has been transferred to the Fund by the to measure Norges Bank’s performance was 1.05 percentage point in 2005. The Ministry of Finance. When the central as asset manager. Norges Bank contrib- average net contribution to the excess government accounts are final, several utes to the Fund’s return by selecting an return was 0.48 percentage point during months into the following year, the next actual portfolio which deviates from the the period 1998-2005. This is equivalent year’s transfers to the Fund are adjusted benchmark. to NOK 24.3 billion. by correcting for the discrepancy One measure of Norges Bank’s contri- Chart 5 shows the excess return for between the amount transferred during bution to the return is the difference each quarter since the beginning of 1998. the year and the final allocation to the between the actual return and the bench- Norges Bank has achieved an excess Fund. mark return. The first line in Table 3 return in 24 of the 32 quarters since the Table 2 shows that the final allocation shows that the excess return has been Fund first invested in equities. The chart in the central government accounts as positive every year, averaging 0.52 per- also shows the cumulative actual return from 1996 has varied from about NOK centage point each year since 1998. This and the cumulative benchmark return. 26 billion for 1999 to more than NOK is equivalent to a total of NOK 26.3 The difference between the two return 250 billion for 2001. Actual transfers in billion for the period. series over the entire period adds up to a 2005 amounted to NOK 220 billion. A Line 2 of Table 3 shows estimated net gross excess return of 6.19 percentage total of NOK 1 154 billion has been value added through active management. points. transferred to the Fund for the years This is an indication of the value added Chart 6 shows the relationship between 1995-2005. as a result of Norges Bank’s management the excess return for each month and the The table also shows the share of the compared with an alternative where the return on the benchmark in the same central government’s net cash flow from entire portfolio shadows the benchmark month for the period from 1998 to 2005.

Table 3: Norges Bank’s contribution to the return on the Fund. Percentage points

Total1998 1999 2000 2001 2002 2003 2004 2005 Average 1998-2005 Excess return 0.20 1.25 0.28 0.15 0.25 0.59 0.53 1.10 0.52 Value added through active management* 0.19 1.18 0.20 0.11 0.21 0.54 0.49 1.05 0.48 * Estimated excess return less active management costs and income from securities lending. but including transaction costs due to ordinary indexing and the phasing in of new capital (see Section 2.2).

170 1.4 0.5 Excess return Actual return Benchmark return 160 1.2 0.4 150 1.0 0.3 140 0.8 0.2 130 0.6 0.1 120 0.4 0.0 110 0.2 100 0.0 Excess return -0.1 90 -0.2 -0.2 80 -0.4 -0.3 -8 -6 -4 -2 0 2 4 6 8 10 1998 1999 2000 2001 2002 2003 2004 2005 Benchmark return

Chart 5: Index for cumulative actual return and benchmark return (left- Chart 6: Relationship between excess return and return on the hand scale) and quarterly excess return in percentage points (right- benchmark portfolio for the period 1998-2005. Measured monthly. Per hand scale). 1998-2005 cent GOVERNMENT PENSION FUND – GLOBAL ANNUAL REPORT 2005 7

Absolute risk Absolute return <1 % 8 % Table 4: Information ratios Benchmark portfolio Active management Period The Fund Equities Fixed income instruments 2005 2.55 2.07 2.32 Since 2003 (3 years) 2.29 1.56 3.06 Since 1999 (6 years) 1.45 1.21 1.94 99 % 92 %

Chart 8: Excess return and the return on the benchmark portfolio and risk contribution from active management The chart does not show any definite The information ratio is one measure by means of a large number of mutually pattern. This indicates therefore that the of skill in investment management. The independent decisions. The investment excess return achieved by Norges Bank ratio is calculated as the ratio of annual philosophy is described in more detail in is independent of the return on the gross excess return to market risk, meas- articles published on Norges Bank’s benchmark portfolio defined by the ured in terms of tracking error. In other website in 2000 and 2004. The Fund’s Ministry of Finance. words, the information ratio shows how assets are managed by both internal and In order to evaluate the quality of much excess return is achieved for each external portfolio managers. The deci- Norges Bank’s active management, the unit of risk. For the period 1998-2005, sion-making responsibility is delegated results must be seen in relation to the the average information ratio for the to individuals internally and to external relative risk taken. Chart 7 shows devel- Fund has been 1.32. Table 4 provides an management organisations in the form opments in actual and expected tracking overview of the information ratio for the of investment mandates. The choice error (see box in Section 6 of the Annual portfolio as a whole and by asset class. between internal and external manage- Report) since 1999. The right-hand side of Chart 8 indi- ment is governed by expected perform- Two different measures of risk are cates what portion of the overall return ance. Norges Bank allows external man- used in the chart. Expected tracking since 1998 is due to the contribution agers with specialised expertise to take error is calculated in advance on the from active management (excess return). responsibility for a large portion of the basis of market volatility during the last The contribution is about 8 per cent of overall active risk-taking, while the few years. This risk measure shows rela- the total return. The left-hand side of Bank, through internal management, at- tively small variations over time and Chart 8 shows what portion of the total tempts to take advantage of the econo- during the entire period has been well risk may be attributed to active manage- mies of scale inherent in the Fund’s size below 1.5 percentage points, which is the ment. The share is less than 1 per cent. as well as to engage in active manage- upper risk limit set by the Ministry of In other words, the cost of active man- ment in selected areas. Finance. Actual tracking error is calcu- agement in terms of increased total risk On average, about 80 per cent of the lated retrospectively on the basis of the has been low. An article to be published Fund was managed internally in Norges variation in the actual return differential on Norges Bank’s website in March pro- Bank in 2005. The costs of internal in the last 12-month period. The two vides a review of the results of active management were about 36 per cent of measures show very different levels of management in this period. total management costs. External man- risk-taking in 2000 when there were unu- agement is more expensive than internal sually large fluctuations in equity prices Internal and external management. External and internal for companies with similar risk proper- management management costs represented 0.31 per ties. During the last five years, however, Norges Bank’s management of the Fund cent and 0.05 per cent respectively of the the two measures show roughly the same is based on an investment philosophy assets under management. Internal man- level of risk-taking. where excess returns are to be achieved agers were responsible for about 38 per

20042005 2004 2005 2004 2005 80 100 Eksternal Actual tracking error Expected tracking error 90 70 Internal 80 60 70 50 60 40 50 30 40 30 20 20 10 10 0 0 Portfolio Costs Active risk Dec 98 Jun 99 Dec 99 Jun 00 Dec 00 Jun 01 Dec 01 Jun 02 Dec 02 Jun 03 Dec 03 Jun 04 Dec 04 Jun 05 Dec 05 Chart 7: Expected and actual tracking error at the end of each month. Chart 9: Distribution of portfolio assets, management costs and active 1999-2005. Percentage points risk between internal and external management. 2004-2005. Per cent 8

80 250 No. of mandates No. of managers 70 200 60

50 150 40 30 100 Billions of USD 20 50 10 0 0 1998 1999 2000 2001 2002 2003 2004 2005 ABP, Government CalPERS, Swedish National PGGM, Netherlands Pension Fund – US Pension Funds, Netherlands Global Sweden Chart 10: Number of managers and of external management mandates Chart 11: Size of large international funds in 2005 Source: Fund´s web pages

cent of the overall risk associated with The Fund is large compared with the ownership interest in listed companies in active management. There is no abso- largest international pension funds. In three geographic regions, calculated as a lutely correct method for calculating the Chart 11, the Fund is compared with the share of the market value of the compa- distribution of active risk. The distribu- largest pension fund in the US, the two nies in the FTSE index for the countries tion in the chart is based on summation largest funds in Europe and the com- in which the Fund is invested. At end- of the value at risk (VaR) of internal and bined assets of the Swedish National 2005, the average ownership interest in external mandates, disregarding the cor- Pension Funds (AP Funds). In 2005, the European companies was 0.56 per cent, relation between mandates. Chart 9 largest European Fund (ABP in the while the average ownership interest was shows the distribution. Netherlands) was still larger, whereas 0.25 per cent both in the Americas and Chart 10 illustrates that the number of the largest fund in the US (CalPERS in in Asia/Oceania. external mandates increased in 2005. At California) was somewhat smaller. Chart 13 shows the Fund’s ownership end-2005, 43 external managers had a Compared with all asset managers in interests in ﬁxed income markets in each total of 70 mandates. the world, however, the Pension Fund is of the three geographic regions,1 calcu- not among the largest. At end-2004, the lated in relation to the securities in the The size of the Government largest international asset manager Lehman Global Aggregate index in the Pension Fund - Global from (UBS in Switzerland) had more than currencies in which the Fund has been an international perspective USD 1 975 billion in total assets. The invested. The ownership interests are The market value of the Fund at end- world’s largest pension fund is the Gov- highest in Europe, where the Fund 2005 was NOK 1 399 billion. Since this ernment Pension Investment Fund in owned 0.79 per cent of all outstanding is wealth, it would be misleading to Japan. This fund invests two-thirds of its securities at end-2005. The ownership compare the amount with, for example, assets in Japanese bonds (primarily gov- interests in the Americas and Asia/ annual government expenditure or GDP ernment bonds). At end-March 2005, Oceania were 0.46 per cent and 0.40 per in Norway. We can, however, consider this fund had USD 817 billion in total cent respectively. how much of the Fund may be used an- assets. A number of central banks also 1) Up to and including 2001, the benchmark portfo- nually, without reducing the real value of invest substantial assets in international lio consisted solely of government bonds. In 2002, this wealth. If the long-term real return capital markets through their foreign ex- the benchmark portfolio was expanded to include non-government-guaranteed sub-indices. This resul- is estimated at 4 per cent, as in the gov- change reserves. At end-2005, both the ted in a sharp fall in ownership interests in relation ernment’s ﬁscal rule for the use of petro- Japanese and Chinese central banks had to the new benchmark portfolio in 2002. With the increase in the fixed income portfolio, Norges leum revenues, this is equivalent to about foreign exchange reserves of more than Bank’s ownership interests have increased in subse- 8.8 per cent of central government USD 800 billion. quent years. spending for 2005. Chart 12 shows the Fund’s average

0.6 0.9 Europe The Americas Asia and Oceania Europe The Americas Asia and Oceania 0.8 0.5 0.7 0.4 0.6 0.5 0.3 0.4 0.2 0.3 0.2 0.1 0.1 0.0 0.0 1998 1999 2000 2001 2002 2003 2004 2005 1998 1999 2000 2001 2002 2003 2004 2005

Chart 12: The Fund’s ownership interests in equity markets at the end Chart 13: The Fund’s ownership interests in fixed income markets of the years 1998-2005 as a per cent of market capitalisation in the at 31 December in the years 1998-2005 as a percentage of market FTSE indices capitalisation in the Lehman indices Source: FTSE and Norges Bank Source: Lehman Brothers Report 10

1. Mandate

The Government Pension Fund – Global Table 1: Benchmark portfolio at 31 December 2005. Per cent is a continuation of the Government Equities Fixed income instruments Petroleum Fund, which was established Country for equity benchmark Strategic Actual Strategic Actual in 1990. The Fund has three sources of Currency for fi xed income benchmark benchmark benchmark benchmark benchmark income: the return on the Fund’s assets, portfolio portfolio portfolio portfolio the cash flow from petroleum activities Asset class weights 40.0 41.3 60.0 58.7 that is transferred from the central gov- Belgium 0.7 ernment budget and net financial trans- Finland 0.9 actions associated with petroleum activi- France 7.4 ties. The transfer of capital from the Greexe 0.5 Fund to the central government budget Ireland 0.5 must be approved by the Storting (Nor- Italy 3.2 wegian Parliament). The Storting has previously drawn up guidelines for the Netherlands 2.6 Government Pension Fund – Global. Portugal 0.2 These guidelines imply that over time, Spain 3.0 the expected real return on the Fund’s Germany 5.4 assets at the beginning of the fiscal year Austria 0.3 may be transferred for use over the Euro area (EUR) 24.8 44.6 central government budget. This means UK (GBP) 17.3 8.4 that the real value of the Fund will be Denmark (DKK) 0.6 0.8 preserved. Switzerland (CHF) 5.0 0.5 According to the Act relating to the Sweden (SEK) 1.8 0.9 Government Pension Fund – Global, the Total Europe 50.0 49.5 55.0 55.2 Ministry of Finance is responsible for management of the Fund. The Ministry USA (USD) 34.5 32.9 of Finance has delegated the operational Brazil (BRL) 0.6 management of the Fund to Norges Canada (CAD) 2.1 1.9 Bank, which invests the Fund’s capital in Mexico (MXN) 0.4 accordance with guidelines and supple- South Africa (ZAR) 0.6 mentary provisions laid down by the Total the Americas / Africa 35.0 34.8 Ministry of Finance. A management Australia (AUD) 1.6 0.4 agreement, which further regulates the Hong Kong (HKD) 0.8 relationship between the Ministry of Japan (JPY) 7.5 9.0 Finance as principal and Norges Bank as New Zealand (NZD) 0.1 0.1 operational manager, has also been drawn up. Singapore (SGD) 0.3 0.4 According to the regulation, Norges South Korea (KRW) 1.1 Bank shall seek to achieve the highest Taiwan (TWD) 0.8 possible return within the limits set out Total Asia / Oceania 10.0 9.9 in the regulation and the supplementary Total the Americas / Africa / provisions. The capital may not be in- Asia / Oceania 50.0 50.5 vested in NOK or in securities issued by Norwegian companies. The Bank’s Fund’s investments are the benchmark country approved by the Ministry of strategy for achieving an excess return portfolio (see box) and Norges Bank’s Finance. The Fund may also be invested has been presented in earlier annual option to deviate from the benchmark in derivatives based on listed equities, reports. Norges Bank submits an account through active management. The Fund stock indices or fixed income instru- of the operational management to the may only be invested in equities that are ments. Ministry of Finance in the form of quar- listed on regulated and recognised stock Effective from 2005, the Ministry of terly and annual reports, which are also exchanges in countries approved by the Finance decided to include inflation- published. Ministry of Finance and in fixed income linked government bonds in the bench- The most important parameters laid instruments (bonds, bank deposits, etc.) mark portfolio. These bonds are issued down by the Ministry of Finance for the that are issued in the currency of a by sovereign states (e.g. the US and the GOVERNMENT PENSION FUND – GLOBAL ANNUAL REPORT 2005 11

The Fund’s investments Documentation on (countries and currencies in the benchmark portfolio at 31 December 2005 are in italics): the Internet

The Act relating to the Govern- Country list for equity investments: ment Pension Fund - Global, the Europe: Austria, Belgium, Cyprus, Czech Republic, Denmark, regulation and supplementary pro- Finland, France, Germany, Greece, Hungary, Iceland, visions and the guidelines issued Ireland, Italy, the Netherlands, Poland, Portugal, Spain, by the Ministry of Finance are Sweden, Switzerland, Turkey and the UK available on Norges Bank’s website Americas: Brazil, Canada, Chile, Mexico and the US (www.norges-bank-no). All pub- Asia and Oceania: Australia, China, Hong Kong, India, Indonesia, Israel, Japan, lished reports concerning the Malaysia, New Zealand, the Philippines, Singapore, South management of the Fund as well as Korea, Taiwan, and Thailand background material relating to Africa: South Africa the Fund’s strategy and the organi- Fixed income investments issued in the currency of the following countries: sation of investment management Europe: Austria, Belgium, Cyprus, Czech Republic, Denmark, at Norges Bank are also available Finland, France, Germany, Greece, Hungary, Iceland, on the website. Ireland, Italy, the Netherlands, Poland, Portugal, Spain, Sweden, Switzerland and the UK Americas: Canada, Mexico and the US the Fund’s investments. These guide- Asia and Oceania: Australia, Hong Kong, Japan, New Zealand, Singapore and lines require that ethical issues be South Korea addressed through three mechanisms: Africa: South Africa corporate governance activities to promote long-term ﬁnancial returns, negative screening and exclusion of UK) and the return on the securities dropped (previous requirement was a companies to avoid complicity in un- consists of a nominal yield and a factor minimum of BBB “investment grade”, acceptable violations of fundamental that varies with the inﬂation rate in these cf. discussion in Section 6) and that in- ethical norms. The ethical basis for countries. In 2005, Norges Bank com- vestments may now be made in com- managing the Fund is discussed in more pleted the phasing in of new regional modity-based contracts and fund units. detail in a separate article to be weightings into the equity benchmark. In November 2004, the Ministry of published on Norges Bank’s website in The change was approved in 2003 and Finance approved ethical guidelines for March. meant that the two geographic regions “the Americas” and “Asia/Oceania” were pooled into one region. From 2004, Table 2: Companies that the Ministry of Finance has excluded from the investment universe

Africa was also added to this region. The Date CauseCompany other region contains equities issued by 26 April 2002 Involved in the production of anti- Singapore Technologies, Singapore European companies. Both regions have personnel landmines a 50 per cent share of the equity bench- 31 May 2005 Exploration of petroleum resources Kerr-McGee Corporation, US mark, c.f. discussion in the box on the offshore Western Sahara benchmark portfolio. 31 August 2005 Manufacture of key components Alliant Techsystems Inc., US for cluster bombs EADS Company N.V., Netherlands At the same time as the Government EADS Finance B.V., Netherlands Pension Fund was established on 1 General Dynamics Corporation, US L-3 Communications Holdings Inc., US January 2006, the Ministry of Finance Lockheed Martin Corporation, US changed the guidelines for the manage- Raytheon Company, US Thales SA, France ment of the Fund. The most important 31 December 2005 Involved in the production of BAE Systems Plc, UK changes were that the maximum owner- nuclear weapons Boeing Company, US ship share in limited companies was Finmeccanica SpA, Italy Honeywell International Inc., US raised to 5 per cent (previously 3 per Northrop Grumman Corp., US cent), the requirement of a minimum Safran SA, France credit rating for corporate bonds was United Technologies Corp., US 12

Composition of the benchmark portfolio

The Fund’s benchmark portfolio is a ties account for 40 per cent of the The monthly transfers are to be used theoretical portfolio reflecting the Fund’s strategic benchmark portfolio to bring the asset classes and regional Ministry of Finance’s neutral invest- while fixed income instruments weights back as close to the strategic ment strategy. The two asset classes, account for 60 per cent. The equity weights as possible, provided that this equities and fixed income instruments, portion of the benchmark consists of does not require any disposals of exist- are represented in the benchmark equities listed on European exchanges ing portfolio assets. Thus, even after portfolio by indices in different coun- (50 per cent) and equities listed on the transfer of new capital, the strate- tries and by currencies. The indices in stock exchanges in the Americas/Asia/ gic benchmark portfolio described turn are composed of individual equi- Oceania/Africa (50 per cent). The re- above may differ somewhat from the ties and bonds to reflect movements in gional distribution in the fixed income actual benchmark. The latter provides the equity market and fixed income benchmark is 55 per cent in Europe, the basis for managing risk and meas- market respectively. The benchmark 35 per cent in the Americas and 10 per uring the performance of the Fund. portfolio is important as a basis for cent in Asia/Oceania. A substantial difference between managing risk associated with opera- Asset classes and regional weights the actual benchmark and the strategic tional management and for assessing change continuously as a result of benchmark over time will trigger full Norges Bank’s management perform- changes in market prices for the secu- rebalancing. This kind of rebalancing ance. rities in the benchmark portfolio. Up did not occur in 2005. The strategic benchmark portfolio to and including 2001, the weights in Table 1 shows the weights in the for the Government Pension Fund – the benchmark were always restored to actual benchmark at 31 December Global is composed of FTSE equity the original strategic weights in con- 2005. The weights in the fixed income indexes for large and medium-size nection with the quarterly transfers of benchmark apply to the foreign cur- companies in 27 countries and of new capital to the Fund. From January rency in which the securities are Lehman Global Aggregate fixed 2002, the Ministry of Finance issued. Therefore, the weight for each income indices in the currencies of 21 amended the guidelines and new country in the euro area is not listed. countries (see box on page 10). Equi- capital is now transferred monthly.

Norges Bank is responsible for corpo- Council on Ethics which advises the ground for the exclusions is discussed in rate governance activities, in accordance Ministry of Finance on negative screen- greater detail in press releases from with the guidelines from the Ministry of ing and company exclusions. The Min- the Ministry of Finance. The Council’s Finance. Norges Bank’s Executive istry makes the ﬁnal decision on the ex- recommendations are available on Board has approved principles of corpo- clusion of companies and instructs www.etikkradet.no/english. Table 1 rate governance. Norges Bank’s corpo- Norges Bank accordingly. provides an overview of the companies rate governance activities in 2005 are The Ministry of Finance decided in that have been excluded. The total value discussed in Section 5 and presented in 2005 to exclude 16 companies from the of the investments at the time of the more detail in two articles to be pub- Fund’s investment universe. The deci- decision concerning exclusion was NOK lished on Norges Bank’s website in sions were based on recommendations 5.7 billion. March. The government has appointed a from the Council on Ethics. The back-

2. Return in 2005

2.1 Background: Macro- were important driving forces behind strong domestic investment growth. economic developments in 2005 growth. In Japan, growth was largely Economic developments in Europe were Growth in the global economy remained fuelled by increased domestic demand considerably weaker even though there strong in 2005, particularly in the US reﬂecting both higher private consump- was some improvement towards year- and Asia. In the US, high consumption tion and investment. Growth in China end. growth, a low saving ratio, increased and India was due to a steady increase Fiscal policy in the US was still ex- ﬁxed investment and public spending in goods and services exports as well as pansionary in 2005. Government alloca- GOVERNMENT PENSION FUND – GLOBAL ANNUAL REPORT 2005 13

Table 3: Market value of the Fund in 2005. In millions of NOK

31.12.2004 31.03.2005 30.06.2005 30.09.2005 31.12.2005 Equity portfolio 416 298 435 467 472 436 522 691 582 304 Fixed income portfolio 600 104 654 674 711 491 758 454 816 746 Total portfolio 1 016 402 1 090 141 1 183 927 1 281 146 1 399 050 tions for operations in Iraq and for re- ingly important trading partners for China were strong again in 2005. Mon- construction after the hurricanes that hit Japan. etary policy was tightened due to expec- several Southern states were important Strong demand from China, India and tations of higher inflation and an exces- factors. The various components re- other countries in Asia was the main sive increase in production capacity in sponsible for GDP growth were rela- reason for the sharp rise in metal and important industry sectors, such as steel tively stable throughout the year. In the energy prices in 2005. Despite high and aluminium. Later in the summer, a US, annual consumption growth re- imports of these goods, many Asian number of the measures introduced in mained stable at approximately 4 per countries had a trade surplus. Of these the spring of 2005 were discontinued cent as a result of both higher employ- countries, China was unique in that its and activity picked up again quickly, es- ment and stable wage growth. Saving trade surplus nearly tripled to more than pecially in building and construction. was still low and in some cases on the USD 100 billion. Prices for a number of important metals decline, reflecting higher house prices Despite somewhat slower growth fol- rose, therefore, through the autumn due and a rise in prices in securities lowing monetary policy tightening in to increased demand from China. markets. the spring, economic developments in Economic developments were more sluggish in Europe than in the US. In Table 4: Transfers to the Government Pension Fund – Global in 2005. In billions of NOK Europe, however, there were wide dif- To the equity portfolio To the fi xed income portfolio Total to the Fund ferences across countries. Developments January 3.6 18.4 22.0 were more strongly affected by rising house prices and employment growth in February 10.5 10.5 Spain, France and Ireland than in March 13.3 13.3 Germany and Italy. April 14.9 2.7 17.6 Japan’s GDP growth was to a greater May 1.4 17.5 18.9 degree than previously due to increased June 18.6 18.6 private consumption and private invest- July 18.818.8 ment growth. Public investment contin- August 4.7 16.9 21.6 ued to decline. Japan’s exports have in- September 9.3 15.6 24.9 creased sharply in recent years, October 15.9 11.9 27.8 underpinned by strong demand for ma- November 26.3 26.3 chinery, electronics and vehicles. Japan’s trade surplus was record high and other December Asian countries have become increas- Total for 2005 49.8 170.5 220.3

Table 5: Return on the Fund by quarter and for 2005 as a whole. Per cent

Return measured in terms of the benchmark’s currency basket Return measured in NOK Actual portfolio Benchmark portfolio Actual portfolio Benchmark portfolio Excess return Q1 1.03 0.90 2.76 2.63 0.13 Q2 3.83 3.65 3.44 3.26 0.18 Q3 3.21 3.03 2.62 2.44 0.18 October -1.36 -1.34 -2.27 -2.25 -0.02 November 2.07 1.86 4.55 4.33 0.22 December 1.91 1.61 2.54 2.24 0.30 Q4 2.60 2.11 4.77 4.27 0.50 2005 as a whole 11.09 10.03 14.28 13.19 1.10

13 14

2.2. Fund Return Finance transferred NOK 220.3 billion from petroleum activities. Any differ- At end-2005, the market value of the to the Fund, and the foreign currency ence between the budget estimate and Government Pension Fund - Global was equivalent of this capital was simultane- final accounts is corrected the following NOK 1 399.1 billion, an increase of NOK ously invested in international capital year. In 2004, the transfer was overesti- 382.6 billion since the beginning of the markets. The investments are spread mated by NOK 4.0 billion, and the Min- year. The Ministry of Finance transferred between the two sub-portfolios so as to istry of Finance took this into account NOK 220.3 billion in new capital and the maintain the Fund’s equity and fixed when stipulating the amounts that were return on the investments increased the income shares at 40 and 60 per cent re- transferred in 2005. market value by NOK 126.7 billion. The spectively (see discussion of the rebal- In 2005, the return on the Fund was value of the currencies in which the Fund ancing regime in Section 1). As a result, 11.1 per cent, measured in terms of the is invested rose in relation to NOK, thus the Fund normally buys more of the asset currency basket which is defined by the increasing the market value of the Fund class that has had the least favourable country weights in the benchmark port- by NOK 35.6 billion. Changes in the return. Table 4 shows that most of the folio. krone exchange rate have no effect, capital transferred in 2005 was invested The return was positive in all quarters however, on the Fund’s international pur- in fixed income markets, but a consider- of 2005 (cf. Table 5). The last column of chasing power. Table 3 shows the market able amount was also invested in equity Table 5 shows the difference between value of the equity and fixed income markets. the actual return and the benchmark portfolios at each quarter end. Transfers during the year are based on return. The excess return was especially During the year, the Ministry of an estimate of government net cash flow high in the fourth quarter, and for the

Table 6: Contributions to gross excess return in 2005. Percentage points Securities lending External Internal TotalExcess return in each management management asset class Norges Bank has entered into secu- Equity management 0.65 0.20 0.86 2.24 rities lending agreements. This is a Fixed income management 0.05 0.20 0.24 0.37 part of normal portfolio manage- Total 0.70 0.40 1.10 ment. The purpose of these agreements is to achieve an excess return on securities that are deposited in Table 7: Contributions to gross excess return after deduction of operating costs in 2005. Percentage points Norges Bank’s custodian institutions. Securities are lent out against External Internal TotalExcess return in each management management asset class a fee to international banks and Equity management 0.60 0.18 0.79 2.06 broker/dealers. Norges Bank receives cash or securities as collateral Fixed income management 0.04 0.18 0.21 0.32 for such loans. Collateral in the Total 0.64 0.36 1.00 form of cash is reinvested in instruments with low credit risk in accordance with agreed guidelines. Table 8: Annualised contributions to gross excess return. 2003-2005. Percentage points Norges Bank has a lending agree- External Internal TotalExcess return in each management management asset class ment for equities and ﬁxed income instruments with J.P. Morgan Chase Equity management 0.35 0.12 0.47 1.22 Bank and lending agreements for Fixed income management 0.07 0.18 0.26 0.41 ﬁxed income instruments with State Total 0.43 0.30 0.73 Street Bank & Trust and Dresdner Bank AG. All of these agreements

Table 9: Annualised contributions to gross excess return after deduction of operating contain provisions that protect costs. 2003-2005. Percentage points Norges Bank’s interests if the party

External Internal TotalExcess return in each borrowing the securities is unable management management asset class to return them or if the collateral Equity management 0.30 0.10 0.40 1.04 provided for the loan is not sufﬁ - Fixed income management 0.06 0.16 0.23 0.36 cient to cover losses. Total 0.36 0.26 0.63 GOVERNMENT PENSION FUND – GLOBAL ANNUAL REPORT 2005 15

year as a whole the excess return was return after deduction of accrued operat- Table 10: Information ratio. 2003-2005 1.10 percentage point. This is equivalent ing costs was approximately NOK 10.8 to about NOK 12 billion. billion. External Internal Total manage- Manage- Both equity and ﬁxed income manage- During the last three years, annualised ment ment ment made a positive contribution to the excess return has been 0.73 per cent (cf. Equity **1.56 excess return in 2005 (cf. Table 6). Table 8). Internal and external equity management Equity management contributed roughly management combined contributed ap- Fixed income 2.54 2.59 3.06 79 per cent of the total excess return. For proximately 60 per cent of the excess management the equity portfolio external managers return. Total 1.94 2.00 2.29 made the most substantial contribution, Table 9 shows contributions to excess * Not distributed between internal and external because some of the internal portfolios have been although internal managers also made a return after deduction of operating costs established to transfer capital to and between considerable contribution. For the ﬁxed accrued for the three-year period 2003- external managers. income portfolio internal managers 2005. Total operating costs for manage- made the most substantial contribution ment of the Fund were NOK 3.0 billion to returns, although external managers or 10.5 basis points of average assets Table 11: Estimated net value added by active management. Percentage points also made a positive contribution. under management. Table 7 shows the excess return after The information ratio is the ratio of Gross excess return 1.10 deduction of operating costs accrued for excess return and market risk. It shows + Transaction costs associated with indexing 0.04 2005. Total operating costs for the Fund the excess return in relation to the risk + Other transaction costs 0.04 management were NOK 1 239 million or taken. Table 10 shows the information - Extra costs of active management 0.07 10.6 basis points of the average assets ratio, or the risk-adjusted excess return, under management in 2005 (see more for the main management activities in - Lending income associated with index management 0.06 information in Section 8). The excess the period 2003-2005. = Value added by active management 1.05

Methodology for calculating returns1

The return calculations are based on monthly changes in market value ad- rencies in the benchmark portfolio. internationally recognised standards. justed for incoming and outgoing pay- The return differential emerges as All financial instruments are valued ments. The geometrical return is used an arithmetic difference between the at market price and the index suppli- for longer periods, such as quarterly actual portfolio and the benchmark ers’ prices are generally used for secu- and annual return and return so far portfolio. rities in the benchmark indices. 2 this year. This means that the return Returns are calculated in a separate Bloomberg’s prices are used for indices for each sub-period are multi- system and then reconciled with the equities and fixed income securities plied. This return is thus a time- accounting system. Differences that are not in the benchmark index.In weighted return on the returns for in- between market values calculated in addition, prices from Reech are used dividual months. the models and market values in the for some interest rate derivatives, The return is calculated in both accounts are primarily due to different whereas prices taken directly from NOK and local currency. The NOK valuation principles for money market local stock exchanges are used for return is calculated on the basis of investments. Allocations are also made some equity markets. market values in local currency trans- in the accounts to cover remuneration Interest expenses and income, divi- lated into NOK using WM/Reuters to Norges Bank as well as accrued dends and withholding tax are ac- exchange rates.3 income from securities lending. counted for on an accruals basis when The return in local currency is ob- 1) An article available on Norges Bank’s website calculating returns. Income and ex- tained by calculating the geometric provides more details about the calculation of penses relating to unsettled transac- difference between the Fund’s return returns. See ‘Performance measurement methodology’ published in 2000. tions are recognised on the trade date. in NOK and the return on the currency 2) Lehman Global Aggregate (LGA) and FTSE Transfers to the Fund and between basket. The currency basket corre- for fixed income instruments and equity instru- the equity and fixed income portfolios sponds to the currency weights in the ments respectively. 3) WM/Reuter Closing Spot Rates, fixed at 4 pm are made on the last business day of benchmark portfolio and the return in- London time. each month. The return for each month dicates how much the krone has ap- can then be calculated by looking at preciated/depreciated against the cur- 16

Operational tasks in the management of the Fund

Operational tasks may be divided into change constantly as companies and • Transfer of capital to new managers four main categories: fixed income instruments are added or takeover of capital on the termi- • Investment of new capital in the and removed. In order to maintain nation of mandates. Norges Bank market. In 2005, NOK 220.3 billion the index portfolio, most of these constructs portfolios for external in new capital was invested in inter- changes must also be made in the managers to keep transaction costs national capital markets. Norges actual portfolio. In view of the size to a minimum and to permit meas- Bank places considerable emphasis of the Fund’s portfolio, it is very im- urement of portfolio returns from on keeping transaction costs associ- portant to keep the indexing costs as day one. Norges Bank also takes ated with these investments as low low as possible. The indices are not over portfolios from external man- as possible, and uses considerable followed exactly. There is some agers as soon as their mandates have resources to achieve this. active management designed to take been terminated and restructures • Continuous indexing of the portfo- advantage of special pricing situa- them for the next external or internal lio. A major portion of the Fund is tions. This is called enhanced index- manager. indexed. The index portfolio shall ing and involves somewhat higher • Portfolio administration including mirror the benchmark defined by operating costs than passive index- corporate governance activities. the Ministry of Finance, which is ing. Thus far, however, enhanced based on recognised equity and indexing has generated better fixed income indices. These indices returns.

The gross excess return is comparable tion of this choice to the Fund’s return in we do not take into account costs relat- to the excess return reported by other 2005. Table 11 presents the estimated net ing to investing new capital into the funds. However, it does not provide a value added through active management markets, adjusting the actual portfolio measure of Norges Bank’s net contribu- based on the Fund’s gross excess return. when the Ministry of Finance excludes tion to performance. The Fund could With passive indexing, transaction costs companies from the investment universe have been managed passively, with a accrue when the benchmark portfolio’s and other changes in the benchmark portfolio very similar to the benchmark composition is changed. The normal portfolio. Thus, the excess return meas- at all times. Instead, Norges Bank has transaction costs of maintaining index ured is lower than it would have been if chosen to engage in active management. management each year are estimated at these costs had been excluded. The Costs are somewhat higher, but expected approximately 0.04 per cent of the total methodology for calculating such costs returns are also higher. portfolio (see discussion in previous is described in a separate article pub- The value added by active manage- annual reports). lished on Norges Bank’s website in 2005 ment is an estimate of the net contribu- When calculating gross excess return, and in a box in this section of the Annual Report. For 2005, Norges Bank has estimated Transaction costs the cost of phasing in new capital to approximately NOK 421 million. This Norges Bank estimates transaction costs related to phasing in new capital into the was 0.19 per cent of the amount trans- Fund. New capital is transferred to the Fund in the form of cash. When the capital ferred (NOK 220 billion) and 0.036 per is invested in securities (equities and fixed income instruments), both direct and cent of the Fund’s market value. indirect costs will be incurred. In line with normal market practice, Norges Bank Norges Bank has estimated the cost of has, since the beginning of 2005, used a model that calculates direct and indirect disposals in connection with the exclu- transaction costs separately. Indirect transaction costs comprise three main com- sion of companies to roughly NOK 35 ponents: liquidity costs, market impact and opportunity costs. Norges Bank’s million in 2005 or 0.003 per cent of the model calculates transaction costs in the fixed income portfolio using the full Fund’s market value. These estimates “bid-ask spread”. Indirect transaction costs in the equity portfolio are estimated assume that disposals will be made over using StockFactsPro®. Market impact in the fixed income market is a function of a 40-day period, which is in accordance sector, market conditions, transaction size, size of the loan issued and the liquidity with the procedures established by the of the issuer. In most cases, contributions from these variables are negligible. Ministry of Finance for company exclusions. Norges Bank has also estimated GOVERNMENT PENSION FUND – GLOBAL ANNUAL REPORT 2005 17

the transaction costs of different disposal currency basket against the Norwegian Table 12: Total return in 2005 measured periods. If the disposals had been made krone in 2005. Changes in the krone’s against various currencies. Per cent in the course of one trading day, the international value have no effect on the Return measured in Total portfolio model shows that the indirect transaction Fundís international purchasing power. terms of: costs would have been about NOK 60 Calculated in euros, the return was 17.8 Benchmark portfolio’s 11.09 million higher. The estimates contain a per cent, whereas the return in USD was currency basket certain margin of error due to very high 2.2 per cent. The large difference is due Import-weighted 15.05 currency basket sales volumes compared with daily to the dollar’s appreciation against most USD 2.22 trading volumes in any one share. other currencies, the euro in particular, If passive indexing had been em- in 2005. EUR 17.80 ployed, the Fund’s operating costs in NOK 14.28 connection with asset management would have been low. The Fund’s normal management costs associated with indexing are estimated at 0.04 per cent of 3. Fixed income management the total portfolio. In 2005, total management costs amounted to 0.11 per cent, 3.1 Developments in fixed income bond indices in 2005. In 2005, the return i.e. the costs associated with active man- markets was 2.8 per cent in the US, 6.1 per cent agement are estimated at 0.07 per cent. In 2005, yields on 10-year government in Europe and 2.1 per cent in Asia. On the other hand, passive manage- bonds fell by about 0.3 percentage point An increase in short-term key rates ment would also have generated some in the euro area and by 0.25 percentage normally implies that long-term interest income from securities lending. Income point in the UK. In Japan, yield levels rate levels will also rise. This is because from securities lending in 2005 amount- were virtually unchanged for the year as key rates are usually increased because ed to 0.06 per cent of the total portfolio, a whole, whereas in the US bond yields inflation is expected to rise. Inflation corresponding to NOK 744 million. For rose by 0.2 percentage point. Chart 1 measured by consumer price inflation the Fund as a whole, this is estimated to shows that 10-year yields fell during the rose in most countries in 2005 as a result correspond roughly to the income that first three quarters of the year, whereas of higher metal and energy prices. Core would have been achieved with a more there were minor changes during the inflation (consumer prices excluding passive management style. fourth quarter. energy and food), however, was stable in Based on these estimates, the net value In a number of countries, central the largest economies during the year. added by active management is estimated banks increased key rates during the Wage growth in the US and Japan accel- at 1.05 percentage point in 2005 (cf. year. In the US, the Federal Funds rate erated but was nevertheless low from a Table 11). This is equivalent to about was increased by 2 percentage points, historical perspective. In Europe, and NOK 11.4 billion. whereas the European Central Bank in- particularly in Germany, substantial re- Table 12 presents the Fund’s return creased the key rate by 0.25 percentage structuring and employers’ demands for measured in various currencies. The point. The Bank of Japan kept its key greater flexibility put a damper on wage return measured in terms of the currency rate unchanged, while the Bank of growth. basket was 11.1 per cent, whereas the England lowered its key rate by 0.25 Globalisation of production and trade return measured in NOK was 14.3 per percentage point in 2005. has increased steadily in recent years. cent. The difference is due to an approxi- Chart 2 shows changes in value in the An increasing share of consumer goods mately 3.2 per cent appreciation of the Lehman Global Aggregate government is being manufactured in Asia. Prices for

6 107 106 5 Europe USD 105 4 GBP 104 103 3 EUR US Tabell 3: Fondets markedsverdi i 2005. Millioner kroner 102 2 31.12.2004 31.03.2005 30.06.2005 30.09.2005101 31.12.2005 Asia/Oceania JPY 100 1Aksjeporteføljen 416 298 435 467 472 436 522 691 582 304 99 Renteporteføljen 600 104 654 674 711 491 758 454 816 746 0 98 Totalporteføljen 1 016 402 1 090 141 1 183 927 1 281 146 1 399 050 Dec 04 Jan 05 Feb 05 Mar 05 Apr 05 May 05 Jun 05 Jul 05 Aug 05 Sep 05 Oct 05 Nov 05 Dec 05 Dec 04 Jan 05 Feb 05 Mar 05 Apr 05 May 05 Jun 05 Jul 05 Aug 05 Sep 05 Oct 05 Nov 05 Dec 05

Chart 1: Developments in the major fixed income markets in Chart 2: Movements in Lehman Global Aggregate’s government 2005. Yields on 10-year government securities. securities indices in the main markets in 2005 (31.12.2004 = 100) Per cent per year Source: Lehman Brothers Source: Bloomberg 18

such goods have not increased substan- to avoid further losses. During the value by NOK 21 billion. tially in spite of more than 10 per cent second half of the year, developments in At the end of 2005, about 91 per cent wage growth in a country like China in the yield spread were more stable. of the fixed income portfolio was 2005. Cost-effective production com- Chart 4 shows how contributions to managed internally by Norges Bank. In- bined with more efficient distribution the fixed income return measured against ternal management’s share of total risk- through e.g. the Internet has contributed the currency basket are spread across the taking was lower, however, at about 75 to sustaining low prices on a range of currencies in which the Fund is invested. per cent. This is because the majority of products. Increasing use of IT has made Investments in the US made the largest the external fixed income mandates are it possible to rationalise the production positive contribution, due in part to the managed actively and have a high risk of physical goods, and it has also facili- appreciation of the USD against the profile. tated the transfer of a number of service other currencies in the basket during the There are two types of management. industry functions to countries such as year. Contributions from the other cur- One is indexing and active management India. rency areas were small. Investments in that is directly related to the indexing Globalisation has had a dampening Japan and the euro countries made the task. The objective of this enhanced in- effect on wage growth, core inflation and largest negative contributions. dexing is to maintain a portfolio that is global bond yields. At the same time, in- Chart 5 illustrates returns in fixed very close to the benchmark, while creasing trade surpluses in China and income markets each year since 1980. taking advantage of special pricing situ- oil-producing countries have contributed During this period, the average return ations to achieve an excess return. Three to keeping bond yields low. A large was 8.8 per cent per year. The return was sub-portfolios are indexed: government portion surpluses in Asia has been re- 3.5 per cent in 2005. guaranteed bonds, corporate bonds and turned to the US primarily through the Early in the 1980s, inflation rates and securitised bonds. Two of the sub-port- purchase of bonds issued by American interest rates were unusually high. In folios are indexed internally, while the institutions. recent years, both inflation rates and in- indexing of securitised bonds in the US The yield spread between corporate terest rates have been considerably lower, is managed externally. bonds and government bonds has not which explains why nominal returns on Both internal and external managers changed considerably in 2005 as a whole. fixed income instruments have been are engaged in active management which The spread narrowed until March and lower in recent years than they were follows an investment philosophy based then widened markedly in April. The early in the period. on specialisation and delegation of deci- widening of the yield spread from March sion-making. A group structure has been to April was a result of the deteriorating 3.2 Management of the fixed established to achieve the objective of financial positions of the two major US income investments specialisation. Each group is assigned a car manufacturers, Ford and General The market value of the Fund’s fixed mandate with a limited investment uni- Motors (GM). This led to market specu- income portfolio rose from NOK 600 verse. The group is specialised to lations that credit rating agencies would billion to NOK 817 billion in 2005. achieve effective utilisation of risk. In downgrade these companies. NOK 171 billion in new capital was practice, this is not enough to achieve GM was subsequently downgraded transferred to the portfolio during the profi tability because both the quality and a number of market participants year. Positive returns on the fixed (information ratio) and the scaling pos- with positions in debt instruments in- income portfolio contributed NOK 25 sibilities vary between groups. Profi table curred substantial losses. This led to ex- billion, while a weaker Norwegian management requires effective diversifi - pectations that more investors would krone in relation to the investment cur- cation, dynamic risk allocation between choose to sell the lowest rated securities rencies increased the portfolio’s market groups (in relation to information advan-

110 4.0 % 105 3.5 % 3.0 % 100 2.5 % 95 2.0 % 1.5 % 90 1.0 % 85 0.5 % 0.0 % 80 -0.5 % US UK 75 -1.0 % Canada Denmark Sweden AustraliaSingapore Japan New ZealandSwitzerland Dec 04 Jan 05 Feb 05 Mar 05 Apr 05 May 05 Jun 05 Jul 05 Aug 05 Sep 05 Oct 05 Nov 05 Dec 05 Euro countries

Chart 3: The difference between yields on corporate bonds* and Chart 4: Individual countries’ contributions to fixed income returns Treasureries (credit spread) US in 2005. Basis points F ORVALTNING2005. AVMeasured STATENS in PETROLEUMSFOND terms of the currency ÅRSRAPPORT baske. Per 2002 cent • BERETNINGSDEL * Companies with credit rating AAA from Standard&Poor’s Source: Lehman Brothers GOVERNMENT PENSION FUND – GLOBAL ANNUAL REPORT 2005 19

Table 13: Fixed income returns for each quarter and for the year 2005. Per cent

Measured in terms of the Fund’s currency basket Measured in NOK Actual portfolio Benchmark Actual portfolio Benchmark Excess return portfolio portfolio Q1 0.37 0.20 2.08 1.91 0.18 Q2 3.10 3.08 2.71 2.69 0.02 Q3 -0.07 -0.13 -0.64 -0.70 0.06 Q4 0.40 0.30 2.52 2.41 0.10 2005 as a whole 3.82 3.46 6.80 6.43 0.37

tages) and critical review of scaling Since 1999, total gross excess return tribution from external managers. Until issues. in the fixed income portfolio amounted end-2005, 80 per cent of the specialist In fixed income management, the to NOK 8.9 billion. Of this 24 per cent, units, both external mandates and inter- main distinctions are between micro and or NOK 2.1 billion, represents the con- nal groups, had achieved positive results macro positions and the degree of credit risk. This is reflected in the fixed income management group structure, both inter- External fi xed income managers at nally and externally. Thus far, the micro strategies (relative value strategies) have 31 December 2005 achieved the best results, relatively speaking. However, there are definite At the end of the year, 19 external fixed income managers with 27 mandates scaling limitations here. Due to a desire managed total assets of NOK 78 billion. to maximise income rather than the information ratio (IR), a large portion of • Advantus Capital Mangement Inc. • Merrill Lynch Investment Managers the universe is utilised even though • Babson Capital Management LLC • Morgan Stanley Investment quality (measured as IR) varies. • Barclays Global Investors N.A Management Each manager in the group receives a • Bridgewater Associates Inc. • Nomura Asset Management U.K. risk limit. There is very little overriding Ltd • Daiwa SB Investments (UK) Ltd coordination of positions and there is no • PanAgora Asset Management Inc. overriding market view that restricts the • Delaware Investment Advisers • Pareto Partners positions in the portfolio. All positions • European Credit Management may be attributed to one owner. Limited • Putnam Advisory Company LLC In 2005, the hit rate was generally • Hyperion Capital Management Inc. • Smith Breeden Associates Inc very high at the group, mandate and • Insight Investment Management • State Street Global Advisors personal level. This more than out- (Global) Limited • TCW Asset Management Company weighed the relatively conservative risk- taking through the year and is consistent • Lehman Brothers Asset Manage- with previous experience marked by ment LLC high quality and moderate risk-taking.

-5

1981 1983 1985 1987 1989 1991 1993 1995 1997 1999 2001 2003 2005

Chart 5: The return on the Fund’s fixed income benchmark. 1980-2005. Measured in terms of the currency basket. Per cent per year 20

since start-up. decision, where different mandates performed the benchmark every quarter An important element of the invest- receive capital allocations or are termi- of 2005. Total return on the fixed income ment strategy is to diversify among many nated on the basis of analyses of liquidity portfolio was 0.37 percentage point independent positions. Norges Bank and expected future excess returns. At higher than the return on the benchmark achieves this diversification by selecting the end of 2005, Norges Bank had 27 portfolio. About 20 per cent of the excess independent specialists, both internally different externally managed mandates. return was attributable to external man- and externally. At the end of 2005, there The majority of these are regional spe- agement, while approximately 80 per were 35 specialist mandates within fixed cialist mandates. cent was attributable to internal manage- income management, eight of which The return on the fixed income portfo- ment in Norges Bank. The total contri- were internal. In 2005, six new external lio in 2005 was 3.82 per cent measured bution was roughly NOK 2.5 billion in mandates were assigned and a separate in terms of the currency basket (cf. Table 2005. internal mandate was established to 13). The return was negative in the third The return figure includes income manage inflation-linked bonds. quarter, but positive in the other three from securities lending but has not been Norges Bank considers the choice of quarters. adjusted for costs in connection with the external managers to be an investment The fixed income management out- investment of new capital in the markets.

4. Equity management

4.1 Developments in equity 2005 reflected a strong domestic nies, the financial sector and utilities. markets economy and higher international Sectors with the weakest developments The rise in global equity prices which demand for Japanese goods. Japanese included IT, telecommunications and began in the spring of 2003 continued companies are particularly competitive cyclical consumer goods. through 2005. The return on the Fund’s in the area of capital goods such as cars, Within individual industrial sectors, benchmark was 20.3 per cent in 2005 various types of machinery and elec- US companies by and large recorded compared with 12.2 per cent in 2004. tronics. Higher oil prices have increased the weakest developments, whereas The rise in prices was particularly strong the demand for Japanese cars which Japanese companies were generally the in Japan and Europe where equity prices have lower fuel consumption than cars best performers. Financial sector devel- rose 43.9 and 26.6 per cent respectively. from US manufacturers. High metal and opments were especially weak in the Developments in the US equity market oil prices have boosted the demand for US compared with Europe and Japan. were also positive, with prices rising by machinery, vehicles and other capital This was also the case for industrials 6.3 per cent. One index consisting of 24 goods in the mining and oil industries. where prices for Japanese companies emerging equity markets rose 31.4 per Japanese companies have also benefited rose, while the rise in prices for US cent in 2005. In most markets, market from higher investment demand in companies was sluggish. Developments developments were particularly strong China in the second half of the year. in the car sector were solid in Japan and in the second half of the year. The industry sectors with the best Europe in spite of a surge in oil prices. The extraordinary rise in the Japanese global performance in 2005 were oil The value of US auto stocks, i.e. prima- equity market during the second half of companies, metal and mining compa- rily Ford and GM, fell during the year.

150 200 Total excl. TMT TMT Total 180 140 Japan 160 140 130 120 120 Europe 100 Tabell 3: Fondets markedsverdi i 2005. Millioner kronerEmerging markets 80 110 31.12.2004 31.03.2005 30.06.2005 30.09.200560 31.12.2005 US 40 100Aksjeporteføljen 416 298 435 467 472 436 522 691 582 304 20 Renteporteføljen 600 104 654 674 711 491 758 454 816 746 90 0 Totalporteføljen 1 016 402 1 090 141 1 183 927 1 281 146 1 399 050 Dec 04 Jan 05 Feb 05 Mar 05 Apr 05 May 05 Jun 05 Jul 05 Aug 05 Sep 05 Oct 05 Nov 05 Dec 05 Dec 98 Jun 99 Dec 99 Jun 00 Dec 00 Jun 01 Dec 01 Jun 02 Dec 02 Jun 03 Dec 03 Jun 04 Dec 04 Jun 05 Dec 05

Chart 6: Movements in the FTSE equity indices in the main Chart 7: The FTSE All-World Equity Index 1998-2005: Total and markets in 2005 (31.12.2004 = 100) for the technology, media and telecommunications (TMT) Source: FTSE sector. (31.12.1998 = 100) Source: FTSE GOVERNMENT PENSION FUND – GLOBAL ANNUAL REPORT 2005 21

The weak developments reﬂected a loss Table 14: Performance of the FTSE Equity World Index in 2005. measured against USD and of market shares to Japanese car manu- the Fund’s currency basket. Per cent

facturers in particular. USD Currency basket Table 14 shows that developments Resources 32.86 44.39 were positive in most of the main sectors - of which oil and gas 30.43 41.75 in 2005. Developments were strongest in Basic industries 14.86 24.83 the resources sector, whereas develop- General industrials 12.78 22.57 ments were more sluggish in non-cyclical services such as telecommunica- Cyclical consumer goods 8.38 17.78 tions. Non-cyclical consumer goods 9.31 18.80 Developments in the equity markets in - of which pharmaceuticals and biotechnology 7.11 16.40 Eastern Europe, Russia, the Middle East, Cyclical services 2.77 11.69 South Africa and Latin America were - of which retail trade 3.95 12.97 strong in 2005. Many of these markets - of which media and photo -6.31 1.82 are dominated by companies in the Non-cyclical services -1.83 6.69 energy and metals sector. Equity prices - of which telecommunications -3.88 4.46 for such companies rose sharply as a Utilities 15.21 25.21 result of higher prices for oil, natural Financials 12.68 22.46 gas, coal and metals. - of which banks 11.12 20.76 In spite of strong demand for consumer - of which insurance companies 13.92 23.80 electronics and a global upswing in corporate investment, equity price develop- - of which fi nancial services 12.38 22.13 ments in the IT sector were weak in Information technology 7.07 16.37 2005. Developments were stronger in - of which hardware 10.05 19.59 Asian IT companies than in US and - of which software and computer services 2.06 10.91 European IT companies. One explanation for this is that Asian companies are more heavily exposed in rapidly expand- cations (TMT) sectors for the equity euro countries and the UK made the ing sectors such as flat TV and PC indices over the last seven years. Equity largest positive contributions. screens based on LCD or plasma tech- prices in the TMT sectors rose sharply Chart 9 shows returns in the equity nology. Developments in equity prices from 1999 until early summer 2000 and market each year since 1980. During this for European and US telecom companies then fell to one-fourth of its peak level. period, the average return was 14.5 per were weaker than for similar companies Developments in equity prices in the cent per year. The return in 2005, 20.3 in Eastern Europe, Latin America and TMT sectors have been somewhat per cent, was thus considerably higher Asia. This is partly due to the general weaker than developments in the other than average for the entire period. improvement in these countries’ econo- sectors in the FTSE All-World Equity mies in 2005, but is also because telecom Index in 2004 and 2005. 4.2 The Fund’s equity services are far less prevalent in these Chart 8 shows the various markets’ investments countries than in developed countries. contributions to the return on the Fund’s The market value of the equity portfolio Chart 7 illustrates the significance of equity portfolio in 2005 measured increased from NOK 416 billion to NOK the technology, media and telecommuni- against the currency basket. The US, the 582 billion in 2005. NOK 50 billion in

6 % 40 %

5 % 30 % 20 % 4 % 10 % 3 % 0 % 2 % -10 %

1 % -20 %

0 % -30 % US UK ey Brazil 1980 1982 1984 1986 1988 1990 1992 1994 1996 1998 2000 2002 2004 Japan Canada Mexico Taiwan Turk AustraliaSweden DenmarkHong Kong Singapore Switzerland South Korea South Africa Euro countries New Zealand

Chart 8: The individual countries’ contributions to equity returns Chart 9: The return on the Fund’s equity benchmark. 1980-2005. Measured measured in terms of the currency basket in 2005. Per cent in terms of the currency basket. Per cent 22

year’s excess return was very high. The External equity managers at 31 December 2005 percentage excess return was higher only once, in 1999. The contribution in 2005 At the end of the year, 24 external equity managers with 43 mandates managed amounted to roughly NOK 7 billion. assets equivalent to NOK 217 billion. Since Norges Bank began using external active managers at the end of 1998, gross Regional mandates: Sector mandates: contribution from externally managed • Aberdeen Asset Management • Alliance Capital Management LP portfolios has totalled approximately • Alpha Investment • Barrow, Hanley, Mewhinney & NOK 13 billion. 68 per cent of the exter- Management Pty Ltd. Strauss Inc nally managed portfolios reported positive results in 2005, the same percentage • APS Asset Management Pte Ltd • Columbus Circle Investors as in 2004. During the three-year period • Barrow, Hanley, Mewhinney & • Fidelity Pensions Management 2003-2005, 80 per cent of the externally Strauss Inc • Gartmore Investment managed portfolios had an excess return. • BlackRock International Ltd. Management PLC This was the case for mandates estab- • Capital International Ltd. • OrbiMed Capital LLC lished more than three years ago as well • Fidelity Pensions Management • Schroder Investment Management as for newer mandates. In 2005, average • Gartmore Investment • Sector Asset Management excess return on mandates with positive fi gures was 2.3 times higher than the Management PLC • T Rowe Price Associates Inc. average underperformance on mandates • Jupiter Asset Management Ltd • Wellington Management with negative fi gures, whereas in 2004 • Legg Mason Capital Company PLC they were the same. Management Inc • WH Reaves & Co, Inc. An important element of the strategy • MFS Company behind the choice of external managers • NewSmith Asset Management LLP. is to diversify among many independent • NWQ Investment Management positions. Norges Bank achieves this di- Company LLC versification by selecting many inde- • Portfolio Partner Ltd pendent specialists each of whom builds up their portfolio primarily by means of • Primecap Management Company fundamental analysis of individual • Schroder Investment stocks. Management Ltd. All external equity mandates have • Sparx Asset Management Co. Ltd. their own benchmarks and risk limits. • T Rowe Price Associates Inc. The regional mandates have benchmark • Wellington Management portfolios that are composed of the Company PLC companies in the FTSE index in a geographic region, such as Continental All external equity mandates are active mandates, and their objective is to achieve Europe, the UK, the US and Japan. The the highest possible return in relation to a benchmark. Benchmark portfolios and sector mandates have benchmark portfo- risk limits have been defined for each management mandate. The regional man- lios in business sectors such as finance, dates have benchmarks composed of the companies in the FTSE index in a geo- technology, healthcare, oil and gas, utili- graphic region, such as Continental Europe, the UK, the US and Japan. Sector ties, retail trade, media and telecommu- mandates have benchmarks in the business sectors finance, technology, health, nications. In the last couple of years, pharmaceuticals, energy, oil and gas, mining, utilities and capital goods. Norges Bank has increased the share of specialist mandates in industry sectors, and these mandates account for 28 per new capital was transferred to the port- about NOK 15 billion. cent of the external management. In folio during the year. Developments in In 2005, the excess return on exter- 2005, mandates in Asia excluding Japan equity markets were strong and the nally managed portfolios was 4.0 per were split up and assigned to managers return on the equity portfolio contributed cent. Compared with the annual excess specialising in specific countries and NOK 101 billion. A weaker krone in re- return of 1.0 per cent achieved since smaller regions. With a combination of lation to the investment currencies in- 2000 and with Norges Bank’s objective specialist mandates, there will be more creased the portfolio’s market value by for this portion of asset management, the different equity positions than with GOVERNMENT PENSION FUND – GLOBAL ANNUAL REPORT 2005 23

Table 15: The return on the equity portfolio for each quarter and for 2005 as a whole. Per cent

Return measured in terms of the Fund’s currency basket Return measured in NOK Actual portfolio Benchmark portfolio Actual portfolio Benchmark portfolio Excess return Q1 2.01 1.94 3.75 3.68 0.07 Q2 4.87 4.44 4.47 4.04 0.43 Q3 8.24 7.88 7.62 7.27 0.35 Q4 5.79 4.74 8.02 6.95 1.07 2005 as a whole 22.49 20.31 26.01 23.76 2.24

overlapping broad mandates. This in mandates. new capital to the Fund, restructuring of turn increases the number of independ- At the end 2005, more than 60 per portfolios or changes in the benchmark ent positions in the externally managed cent of the equity portfolio was managed portfolio. portfolios. internally in Norges Bank in an en- At the beginning of the year, the inter- At the end of 2005, Norges Bank had hanced index portfolio. The rest of the nal portfolio accounted for less than 20 43 different externally managed equity internal active management has been per cent of the equity portfolio’s total portfolios. Of these, 28 represent regional built up gradually over the last few years risk. At the end of the year, the share and specific country mandates and 15 and currently comprises 22 portfolio had increased to more than 30 per cent. represent specific industry sectors. managers who use fundamental analysis The annual average was 23 per cent. In Average market value is somewhat strategies to pick stocks in the industry 2005, 86 per cent of the internal man- higher for the regional mandates (NOK sectors finance, telecommunications, dates achieved a positive excess return, 5.5 billion) than for the sector mandates energy, media and retail trade globally, somewhat less than in 2004 when all in- (NOK 4.1 billion). At year-end, 37 per as well as relative value strategies. The ternal mandates achieved a positive cent of the equity portfolio or NOK 217 organisation of internal asset manage- excess return. The solid performance is billion was under external management. ment was changed considerably in 2005 also due to the fact that the average Norges Bank considers the choice of and all managers are currently managing excess return was 4.3 times higher than external managers to be an investment within a long-short portfolio framework. the average underperformance. decision, where different mandates This means that each manager borrows Table 15 shows that the return on the receive capital allocations or are termi- shares from the internal index portfolio equity portfolio measured in terms of the nated on the basis of analyses of liquidity or in the market. Thus, there is further Fund’s currency basket was 22.49 per and expected future excess returns. Ap- specialisation among active strategies cent in 2005. The return was positive proximately 10 per cent of the mandates and indexing and internal financing. It is during all quarters of the year, but was are terminated each year. The most not necessary for Norges Bank to choose especially high in the fourth quarter. This common reason is that the portfolio between internal and external active largely reflects general price movements manager responsible for Norges Bank’s management since the internal active in equity markets through the year. portfolio has terminated his employ- positions do not lay claim to the assets The actual return on the equity portfo- ment. In 2005, the share of mandates under management. lio was 2.24 percentage points higher that were terminated was higher than Norges Bank’s internal management than the benchmark return. Nearly half usual. This was due to the fact that a contributed about 25 per cent of the total of the excess return was achieved during number of portfolio managers had ter- excess return on the equity portfolio. the fourth quarter. The total contribution minated their employment with the However, these fi gures do not take into from equity management in 2005 was company in question and that mandates account internal managers’ transaction roughly NOK 9.5 billion. were split up into smaller specialist costs in connection with the transfer of 24

5. Corporate governance activities

Norges Bank is a minority shareholder The ethical guidelines state that the and predictability. in more that 3 200 companies worldwide. primary objective of Norges Bank’s cor- As an owner, Norges Bank shall act in As a shareholder Norges Bank will exer- porate governance activities is to protect a rational and predictable manner. This cise ownership rights and engage in the Fund’s financial interests, and that is important in order to ensure that the other corporate governance activites. these activities shall be based on the fact companies in which Norges Bank has During the last four years, Norges Bank that the Fund has a long-term horizon for invested, and other investors, have confi - has established principles for how own- its investments, which are broadly diver- dence in Norges Bank’s corporate gov- ership rights shall be used to influence sified across a range of companies, in- ernance activities. This requires a set of companies. Furthermore, competence dustries, countries and regions. The simple, uniform principles and operative and systems for exercising voting rights guidelines from the Ministry of Finance routines. It is a prerequisite that the re- have been improved. establish that Norges Bank shall provide sources used are weighed against the ex- Norges Bank’s Equity Department is an account of its corporate governance pected long-term results. In this way, responsible for exercising ownership activities in connection with its regular Norges Bank can give priority to those rights. In September 2005, a separate annual report. activities and efforts that will be most corporate governance group that reports In December 2004, Norges Bank’s important to protecting the Fund’s finan- to the Chief Investment Officer Equity Executive Board approved new princi- cial interests. was established. The corporate govern- ples of corporate governance. The inten- Norges Bank may exercise its owner- ance group has expertise in both finance tion is that Norges Bank shall base its ship rights in a number of ways: and ethics. This is a logical consequence guidelines on internationally recognised of the guidelines which the Ministry of principles of good corporate governance Communicate Norges Bank’s Finance has established for Norges as expressed in the OECD Principles of principles of corporate governance Bank’s asset management. These guide- Corporate Governance. A fundamental Norges Bank will inform the companies lines emphasise that the purpose of cor- principle is that the companies in which and the general public about our Princi- porate governance activities is to protect Norges Bank has invested shall act in ples of Corporate Governance, including the Fund’s financial interests and that accordance with the principles in the UN the ethical guidelines established by the these activities must be conducted in ac- Global Compact and the OECD Guide- Ministry of Finance. cordance with ethical principles. In two lines for Multinational Enterprises. separate articles to be published on The fundamental purpose of the cor- Voting Norges Bank’s web site in March, we go porate governance activities is to ensure Norges Bank may vote on proposals put into more depth about the relationship that shareholders’ interests are suffi - forward at companies’ General Meetings between corporate governance and ethics ciently protected by companies’ govern- (comprising Annual General Meetings and about shareholders’ rights. ing bodies. In recent years, there have (AGMs) and Extraordinary General been several major international finan- Meetings (EGMs)), when these propos- 5.1 Guidelines and framework cial scandals. Experience shows that the als may have a substantial impact on the for corporate governance management of a number of companies Fund’s financial assets. Norges Bank The new ethical guidelines for the man- have not placed adequate emphasis on will make decisions on how to vote on agement of the Government Pension protecting the owners’ interests. Laws the basis of its own assessments of what Fund – Global were established by the and rules have been violated in order to will best serve the Fund’s financial inter- Ministry of Finance on 19 November promote the interests of the company’s ests. Voting shall be within the estab- 2004. In these guidelines, corporate management at the expense of the lished corporate governance guidelines. governance is one of three mechanisms owners’ interests. It has become clear that shall promote ethical management that good corporate governance also in- Participation in international of the Fund. At the same time, the Min- cludes an ethical dimension. The Gov- networks and organisations istry of Finance’s regulation concerning ernment Pension Fund is a long-term in- Norges Bank may participate in interna- the management of the Fund was vestor with investments in large parts of tional networks and organisations to changed to emphasise that Norges Bank the world. The Fund is therefore depend- promote good principles of corporate shall exercise ownership rights more ac- ent on a world where markets also func- governance. Such participation will tively. The amended regulation states tion in the long term. Thus, it is natural depend on the network’s purpose, struc- that: “Norges Bank shall exercise own- that Norges Bank through its corporate ture and transparency, as well as the sig- ership rights for the Fund. […] The governance activities also contributes to nificance to the network of having primary objective of the corporate gov- securing respect for human rights, pro- Norges Bank as a member. ernance activities” is to safeguard the tecting the environment, terminating Norges Bank may provide input to Fund’s fi nancial interests.” armed conflicts and to political stability consultative rounds etc. to help ensure GOVERNMENT PENSION FUND – GLOBAL ANNUAL REPORT 2005 25

that government agencies, stock ex- has increased steadily since the initiation important current objective is to develop changes and other regulative authorities of internal voting in 2003. Previously, a three-year strategy for corporate gov- develop and monitor regulations that the external managers exercised voting ernance. In addition, the group will exer- protect ownership rights in accordance rights on behalf of the Fund for the assets cise voting rights as well as clarify and with Norges Bank’s principles. under their management. As of 1 January concretise the ethical and financial prin- 2005, the Equity Department assumed ciples underlying the corporate govern- Contact with individual companies voting for all external portfolios to ance activities. In addition to expressing general opin- ensure more concise and consistent ions on good corporate governance prin- voting. In 2005, we have covered most Participation in networks and ciples, Norges Bank may also discuss companies in the portfolio and have initia tives and contacts with other specific issues or situations with compa- largely focused attention and resources investors nies. Norges Bank’s Principles are on controversial issues, i.e. complex Early in 2005, the UN General Secretary broadly based on internationally recog- issues that require deeper analysis. We Kofi Annan invited Norges Bank and a nised principles of good corporate gov- have developed internal systems and da- group of other large institutional inves- ernance. Norges Bank, as owner, may tabases with information on issues that tors to participate in a process that would require or expect companies to provide will be on the agenda at Annual and ex- lead to the development of Principles for an account of how well they comply with traordinary General Meetings. Responsible Investment. The background these principles. for this initiative was an increasing Use of external databases degree of consensus among investment Cooperation with other investors on Norges Bank subscribes to a global data- organisations that environmental, social individual issues base with individual company informa- and corporate governance factors can Norges Bank may participate in or initi- tion on corporate governance. The data- affect the return on portfolios, and that ate cooperation between institutional in- base is useful when analysing relevant these factors are not sufficiently embed- vestors and individual companies in risk and it also provides current informa- ded in investment processes or corporate cases where this is an appropriate and tion about changes in individual compa- governance activities. Norges Bank has effective means of achieving a desired nies. Norges Bank also subscribes to a participated in this work together with result. number of electronic newsletters con- representatives from 20 international in- cerning the exercise of ownership rights vestment organisations. The work has 5.2 Activities in 2005 and corporate governance. resulted in six main principles which investors have been invited to endorse and Communicating the principles Class action suits which Norges Bank’s Executive Board An important task in 2005 has been to In 2005, Norges Bank entered into an decided to support in November 2005. make Norges Bank’s Principles of Cor- agreement with an external supplier that In autumn 2005, Norges Bank became porate Governance known in the inter- provides timely and correct information a member of the International Corporate national asset management community about existing and forthcoming class Governance Network (ICGN). The and among the companies in which the action suits and ensures that Norges Network was established in 1995 and is Fund is invested. Norwegian and English Bank participates passively in class considered to be the most global network versions of the Principles are available action suits where this seems appropri- of its kind with regard to market cover- on Norges Bank’s website and in printed ate. Through this service, Norges Bank age, membership base and types of form. The Principles were distributed to participates in suits where we are quali- issues addressed. The Network has more representatives from about 50 of the fied as a member of the group and with a than 400 members from over 30 coun- world’s largest pension and public funds relatively limited use of internal re- tries and the institutional investors in connection with the International sources. The objective of these types of among the members represent more than Pensions Conference 2005, which was class action suits is to recover assets lost USD 10 000 billion in assets under man- hosted by Norges Bank in July. The through fraud or other violations of se- agement. The ICGN’s primary objectives Principles have also been presented at curities legislation. The question of being are (a) to provide an international inves- meetings with counterparts and coopera- the lead plaintiff in this type of law suit tor-led network for the exchange of views tive partners where relevant. has not yet arisen. and information about corporate governance issues and (b) to develop and en- Ensure concise, focused and global Establishment of a Corporate courage adherence to corporate govern- voting Governance Group ance standards and guidelines. The The number of companies in the portfo- A separate Corporate Governance Group ICGN does not assess individual compa- lio analysed in connection with voting was established in September. The most nies but has a number of working com- 26

mittees that deal with various policy- systems adapted to the business of the affects an individual portfolio manager’s related topics and make statements on company must have been established room for manoeuvre. Therefore, only in behalf of the Network, both directly and • the company’s board of directors pro- special cases do we vote at the General in connection with consultative rounds. tects the interests of all shareholders Meetings of companies that block their During the year, Norges Bank has had • the board of directors consists of a shares. An increasing number of compa- informal contact with many of the world’s sufficient number of members with nies are discontinuing the practice of large funds with which it is natural to relevant and adequate qualifications share blocking and we expect therefore cooperate. General conditions surround- and the majority are independent that we will vote at a larger number of ing the exercise of ownership rights have • the board of directors shall be ac- General Meetings in this region in the been discussed and Norges Bank has countable for its decisions long-term. The voting share has been 89 presented its Principles of Corporate Proxy voting is automated through a per cent if we exclude these countries. Governance. The Corporate Governance web-based voting platform developed by Chart 10 shows that of the General Group has been invited to speak and to the US company Institutional Share- Meetings where we have voted, 30 per contribute to discussions on corporate holder Services (ISS). This is the largest cent have been at companies in the US, governance activities, including the rela- company in the world that specialises in 15 per cent in European companies and tionship between ownership and ethics, providing investors current information 23 per cent in Japanese companies. both in Norway and abroad. Norges about issues to be discussed at the Bank’s work with corporate governance General Meetings of a large number of Number of resolutions issues is thus becoming visible for many companies worldwide. Norges Bank Norges Bank voted on 20 307 resolutions interested parties. The group has also purchases information on various issues, at 2 705 General Meetings. It is possible had meetings with Norges Bank’s exter- analyses of factors surrounding various to vote for, to vote against or to abstain nal equity managers to discuss their proposals and access to the voting plat- on individual resolutions. Voting on one views on corporate governance. form. Reporting takes place over the resolution implies that we must vote on same platform. all resolutions on the agenda. The corpo- 5.3 Proxy voting in 2005 rate management submits the majority of The objective of voting is to protect the Number of meetings resolutions, but shareholders can also long-term financial interests of the Fund. Table 16 provides an overview of the submit proposals. Somewhat more than 3 In accordance with Norges Bank’s Prin- number of meetings where Norges Bank per cent of the proposals on which we ciples of Corporate Governance, we have exercised its voting rights in 2005: have voted were shareholder proposals. supported issues that promote the fol- In 2005, Norges Bank voted at 2 705 Shareholder proposals are very common lowing: General Meetings, or 78 per cent of the in the US, relatively common in Japan • the company has a clearly defined meetings held. The voting share is espe- but more unusual in Europe. Norges business strategy that is anchored in cially low in the European countries Bank has voted against 9 per cent of the the board of directors (except the UK). This is primarily due to management proposals and has supported • the company must present sufficient the practice of share blocking which 41 per cent of the shareholder proposals. information concerning its financial prevents investors from selling shares The various matters to be voted on at position and other relevant informa- between the time of voting and the General Meetings may be divided into tion General Meeting where voting rights seven categories as shown in Chart 11. • internal management and control have been exercised. Blocking shares Nearly 50 per cent of the matters are Directors related and are related to the election of board directors and to the Table 16: Voting 2005 / Number of meetings structure of the board. 23 per cent of the matters are routine issues and are catego- Meetings/ Region Number Voting Voting % rised under Routine/business. They US 801 798 100 % include changes in the articles of associa- Americas excl. US 407 315 77 % tion, approval of accounts, annual report UK 326 309 95 % and dividends as well as approval of au- Europe excl. UK 568 137 24 % ditors and their fees. 11 per cent of the Japan 628 619 99 % matters are related to bonuses and remu- Asia/Oceania excl. Japan 722 527 73 % neration plans in the form of equity in- Total 3452 2705 78 % struments and are categorised under Number indicates the number of meetings held during the year for companies in the portfolio. Non-salary compensation. Ten per cent Voted indicates the number of meetings where voting rights were exercised. of the proposals are included under GOVERNMENT PENSION FUND – GLOBAL ANNUAL REPORT 2005 27

Table 17: Voting 2005 / Against the management

Total no. of Against management Against management by region resolutions Americas Europe Asia/Oceania Routine/business 4 686 200 4 % 71 23 106 Directors related 9 907 749 8 % 515 56 178 Non-salary compensation 2 290 535 23 % 100 42 393 Capitalisation 1 946 222 11 % 36 31 155 Reorganisation and mergers 741 98 13 % 9 4 85 Anti-takeover mechanisms 77 11 14 % 10 0 1 Total 19 6471 8159 %741156918

Capitalisation, while four per cent fall 14 per cent in Asia/Oceania. of board members. under Reorganisation and mergers, Norges Bank has voted against the In many US companies, Norges Bank which includes proposals concerning the management’s proposalin the following has voted against re-election of the General Meeting’s approval of acquisi- cases: chairman of the board when he or she is tions and mergers. Three per cent are also the company’s CEO. Norges Bank shareholder proposals and less than one Routine/business withheld votes for board members who per cent are Anti-takeover mechanisms In a number of cases, especially in Japan, have been on the board remuneration which are issues related to various we have voted against the proposed committee in cases where the CEO has mechanisms that may be used by com- auditor due to a strong conflict of interest received an excessive pay increase at the panies to make it more difficult for other and lack of independence. Norges Bank same time as the company has performed companies to acquire them. voted against a proposal in the US to poorly, both in the short and long term. prohibit cumulative voting which allows The Bank has also voted against the re- Voting against management shareholders to cast all of their votes for election of board members who have not In 2005, Norges Bank voted against a single board candidate. participated sufficiently in board work management proposals on 1 815 resolu- Directors related without good cause. In some cases, the tions. Norges Bank supported the man- In a number of US and Asian companies, Bank has voted against the re-election of agement’s proposal on 91 per cent of the Norges Bank abstained or voted against board members in US companies who resolutions, which is natural because in the board candidate proposed by man- for a number of years have disregarded most cases the Bank has confidence in agement because independent board shareholder proposals to remove poison the way the company is run. members have not been in the majority pills (a widespread mechanism against 51 per cent of the cases where we have and because board members who are not takeovers, see below and see article on voted against the management have been independent are on important board shareholder rights to be published on in companies in Asia/Oceania, more committees (nominating, remuneration Norges Bank’s website in March) or to than 40 per cent have been in companies and auditing). In US companies, you can introduce annual elections of all board in the Americas and the remaining nine either support the candidate proposed by members. The proposals mentioned here per cent have beenin companies in management or withhold. This means have been submitted several years in a Europe. We voted against eight per cent that a candidate may be elected with row and been supported by a majority of of the management’s proposals in the only one vote and that the shareholders those voting at the General Meeting. Americas, three per cent in Europe, and have little real influence on the election

Routine/business

19 % 30 % US Directors related Americas excl. US Non-salary compensation UK Europe excl. UK Capitalisation Japan Reorganisation and mergers Asia/Oceania excl. Japan 23 % 12 % Anti-takeover mechanisms 5 % 11 % Shareholder proposals

0 % 5 % 10 % 15 % 20 % 25 % 30 % 35 % 40 % 45 % 50 % For Abstain Against

Chart 10: Voting in 2005 / Regional distribution 2005 Chart 11: Voting 2005 / voting issues 28

Non-salary compensation adequate information. In a European is often a vote against management. In Most of the remuneration-related pro- company, the Bank voted against a pro- 2005, shareholder proposals accounted posals that Norges Bank voted against posal to remove the mandatory bid obli- for more than 3 per cent of the resolu- involved option plans. Norges Bank gation that is triggered when an investor tions on which Norges Bank voted. Such voted against option plans that were not buys more than one-third or one-half of proposals are most common in the US. performance related or that led to rela- a company. The mandatory bid obliga- They are less common in Japan and very tively large dilution of existing share- tion is intended to protect the minority rare in Europe. At General Meetings holders’ ownership interests. The Bank shareholders who have little influence on where we voted, Norges Bank supported voted against pension bonuses for board how the company is managed in compa- 41 per cent of the shareholder proposals. members and auditors. The Bank also nies with a dominant owner. It is also Shareholder proposals are a heteroge- voted against compensation plans in intended to ensure that minority share- neous group. At the one end of the spec- cases where background information holders are offered a fair price for their trum, we find large, institutional inves- was inadequate. shares. In a number of Korean compa- tors, like pension funds, who act and nies, the Bank voted against expanding vote on the basis of established owner- Capitalisation the company’s activities due to inade- ship principles. At the other end, we find Norges Bank voted against proposals for quate information. individuals with a small number of issues of shares that would significantly shares and who may have special inter- dilute existing shareholders’ ownership Anti-takeover mechanisms ests underlying their initiatives. interests. In European companies, the Norges Bank has voted against proposals Shareholder proposals are primarily Bank voted against proposals to buy to change companies’ articles of associa- related to protecting shareholder rights, back shares in cases where the offer was tion in order to discontinue the practice to board issues and to management re- only made to some of the shareholders. of annual elections of board members. muneration, but they may also concern At the General Meetings of many Hong The Bank has voted against proposals to social and environmental issues. The Kong companies, we have voted against give the board a general power of attor- topics of the latter proposals are often issues of shares where the offer was ney to issue shares in the event of a very relevant, but in many cases Norges made to a small group of shareholders at takeover bid, so-called poison pills, Bank does not support proposals because a very favourable price. At a number of which makes it less attractive to acquire of the manner in which they are formu- French General Meetings, the Bank did a company. Many such proposals have lated or because of their demands on the not support proposals concerning rights been made at Japanese companies’ company. The company’s management issues that were only offered to share- General Meetings as a result of a change may already have dealt with the issues in holders who had owned shares for more in Japanese law which now permits a more appropriate manner or we believe than two years. In Japa nese companies, takeovers in the form of share swaps. that shareholders may not benefit from Norges Bank voted against dividend Previously, foreign takeovers of Japanese approving such proposals due to their proposals that were considered to be too companies have been unusual because a form, seriousness, feasibility and finan- low in relation to earnings. The Bank takeover required cash settlement, but cial consequences. This means that even also voted against issues of shares in with the new legislation, one may expect though Norges Bank voted against many cases where the shareholders did not that there will be an increase in foreign of the proposals, the Bank is not neces- receive adequate information. takeovers. sarily against promoting these issues, and in many cases the Bank will be able Reorganisation and mergers Shareholder proposals to promote such issues more effectively In several Brazilian companies, the Bank Shareholder proposals are normally not through other corporate governance ac- voted against takeover proposals in cases supported by the management. There- tivities. where the shareholders had received in- fore, a vote in favour of such a proposal Norges Bank has voted in favour of

On www.nbim.no under Corporate Governance, you will ﬁnd our guidelines and a number of articles concerning corporate governance. An article by B. Espen Eckbo, Professor at Tuck School of Business, Dartmouth College in the US, entitled ”Corporate Governance – in a nutshell” will be published on our website in March. In the future, these pages will be updated regularly with articles and background material on corporate governance. GOVERNMENT PENSION FUND – GLOBAL ANNUAL REPORT 2005 29

6. Risk shareholder proposals that demand: There are many elements of uncertainty tion as a result of a failure in internal • equal voting rights for all shares associated with managing considerable procedures, human errors or system • that the CEO cannot be the chairman assets in international financial markets. errors, or other losses that are due to ex- of the board Asset management is largely a question ternal factors and not a consequence of • that the General Meeting must approve of managing this risk. Therefore, Norges market risk in the portfolio. Operational any anti-takeover mechanisms and Bank places significant emphasis on risk does not contribute to higher ex- excessive golden parachutes and sev- measuring and controlling all risk pected returns on the Fund. Keeping it to erance agreements factors. Part of the risk is a result of con- a minimum is therefore an important • that shareholders may propose board scious investment choices and is desira- objective. candidates under certain conditions ble. Other risk elements shall be kept to • that options must be expensed a minimum given the operating condi- 6.1 Market risk • that the allocation of options must tions that are inherent in being an inves- Market risk in the Fund is largely deter- performance-related tor in international capital markets. This mined by market risk in the benchmark • that the majority of the board members applies in particular to operational risk. portfolio. Norges Bank also takes on must be independent Investments in international securities some risk through its active manage- • that all board members must run for markets entail considerable market risk ment. Norges Bank measures the Fund’s re-election each year and a relatively high probability of wide absolute and relative market risk. The • that the compensation to senior execu- variations in annual financial perform- standard deviation of the return is used tives is made public in the annual ance. For the Government Pension Fund to measure absolute risk and the standard report - Global, the level of market risk is de- deviation of the difference in returns on • that more companies with operations termined primarily by the composition the actual portfolio and the benchmark in countries where human rights are of the benchmark portfolio. The most portfolio is used to measure relative risk. traditionally not respected, and where important aspects of market risk are the Standard deviation is a statistical concept the companies historically have not share of equities in the portfolio and that provides some indication of the vari- published sufficient details about fluctuations in equity prices, exchange ations in return that may be expected in their human rights policies, develop rates and interest rate levels as well as normal periods. This is the most common ethical guidelines relating to human credit risk in the fixed income portfolio. measure of risk in portfolios. rights and submit reports on their In addition to the absolute level of Chart 12 illustrates developments in compliance with these guidelines market risk, which is determined by the the Fund’s absolute market risk during • that a number of major food retailers investment strategy expressed by the the last three years, measured as expect- report on their economic, social and benchmark portfolio, Norges Bank tries ed tracking error. The level fluctuates environmental impact (triple-bottom- to achieve an excess return through active with market volatility, but risk in the line accounting) management. Norges Bank’s active man- actual portfolio and in the benchmark • that the companies report on their agement entails only a limited increase differs only slightly through the entire guidelines for equal rights for all em- in the Fund’s market risk. Market risk period. At the end of 2005, the actual ployees must be seen in relation to expected portfolio had an absolute market risk, • that a number of major oil companies returns, and an increase in market risk measured in NOK, of 7.4 per cent, a report on their compliance with the implies higher expected returns. small increase during the year. Kyoto Protocol Norges Bank also faces a number of At year-end, the value of the actual operational risk factors. There is the risk portfolio was NOK 1 399 billion. Given of financial losses or the loss of reputa- the estimated absolute tracking error at

13 70 Actual portfolio Benchmark portfolio Total Equities Fixed income instruments 12 60 11 50 10

9 40

8 30 7 20 6 10 5

Sep 02 Dec 02 Mar 03 Jun 03 Sep 03 Dec 03 Mar 04 Jun 04 Sep 04 Dec 04 Mar 05 Jun 05 Sep 05 Dec 05 Jan 05 Feb 05 Mar 05 Apr 05 May 05 Jun 05 Jul 05 Aug 05 Sep 05 Okct 05 Nov 05 Dec 05

Chart 12: Absolute market risk in the Government Pension Chart 13: Expected tracking error at each month-end in 2005. Fund – Global. Month-end. Per cent Basis points 30

Table 18: The bond portfolio at 31 December 2005. by credit rating. Per cent of market value 6.3 Operational risk Market risk and credit portfolio risk are Moody’s Standard & Poor’s important factors when establishing an Rating Per cent of total Rating Per cent of total investment strategy and in active man- Aaa 45.91 AAA 43.18 agement. The objective is to achieve the Aa 18.17 AA 24.92 highest possible risk-adjusted return and A23.68 A15.05 not necessarily the lowest possible risk. Baa 7.09 BBB 8.09 On the other hand, operational risk is an Ba 0.28 BB 0.41 intrinsic risk where the objective is the Lower 0.01 Lower 0.03 lowest possible risk, given the operating No rating (*) 4.86 No rating (*) 8.32 conditions inherent in being an interna- * If a security has no rating from Moody’s. it has an approved rating from one of the other agencies (S&P or Fitch). tional asset manager. It is more difficult to quantify operational risk than market the end of the year, returns in two out of The Ministry of Finance has estab- risk and credit portfolio risk. three years may be expected to be either lished guidelines for credit risk in fixed Operational risk cannot be isolated 7.4 percentage points higher or 7.4 per- income instruments, unsecured bank from market and credit portfolio risk, but centage points lower than the expected deposits and for counterparties in unit is more comprehensive and affects the market value of the Fund. Converted to listed derivatives transactions (forward entire organisation. Important elements NOK, assuming no transfers and includ- contracts, options and swaps, etc.) These of operational risk originate in the choice ing expected historical returns, this guidelines assume that the credit rating of counterparties that handle transactions means that with 68 per cent probability, is based on ratings from at least one of and in custody and clearing of securities the value of the Fund in one year will be the three international credit rating in international and local settlement and between NOK 1 380 billion and NOK agencies Fitch, Moody’s or Standard & 1 600 billion, assuming an expected Poor’s (S&P). nominal return of 6.5 per cent. The Ministry of Finance has decided Expected tracking Absolute market risk is largely deter- that the portfolio shall not be invested in mined by the Fund’s benchmark portfo- fixed income instruments with a credit error lio. The Ministry of Finance has also set rating that is lower than investment a limit for expected tracking error which grade, i.e. BBB, Baa or BBB from Fitch, The Ministry of Finance has set the limits how much the Fund’s portfolio Moody’s or S&P respectively. Neverthe- limit for relative market risk in the can differ from the benchmark portfolio. less, up to 0.5 per cent of the fixed management of the Petroleum Fund This expected tracking error shall income portfolio may be invested in sein relation to the risk measure ex- always be less than 1.5 percentage points curities with ratings of Ba, BB or BB pected tracking error. This measure (150 basis points, see box). Chart 13 from one of the three agencies. Table 18 is defined as the expected value of shows that the expected relative tracking shows the composition of the bond the standard deviation of the differ- error in 2005 has been relatively stable portfolio (total fixed income portfolio ence between the annual returns on for both the total portfolio and for the excluding cash) based on Moody’s and the actual portfolio and the bench- fixed income and equity portfolios indi- S&P credit ratings. All fixed income mark portfolio. When deviations vidually. At the end of 2005, it was 0.33 securities have a credit rating from at from the benchmark are set by per cent for the total portfolio. least one of the agencies. means of an upper limit for expected In addition to bonds, the fixed income tracking error, it is highly probable 6.2 Credit risk portfolio also contains fixed income in- that the actual return will lie within Credit risk arises in the Fund’s fixed struments with shorter maturities. All of a band around the return on the income portfolio partly as a result of the these have credit ratings of P-1 from benchmark. The lower the limit for Ministry of Finance’s investment strate- Moody’s and A-1 from S&P. tracking error, the narrower the gy and partly as a result of Norges The equity and fixed income portfolios band will be. Given an expected Bank’s active management (credit port- also include investments in unsecured tracking error of 1.5 percentage folio risk). In both the equity and fixed bank deposits and over-the-counter de- points or 150 basis points, the actual income portfolios, Norges Bank is rivatives. The Ministry of Finance has return on the portfolio will probably exposed to counterparty risk, risk vis-à- decided that counterparties involved in deviate from the benchmark return vis custodian institutions, and risk vis-à- such transactions may not have a credit by less than 1.5 percentage points vis international settlement and payment rating that is lower tha AA-/Aa3/AA- in two out of three years. systems (operational credit risk). from Fitch, Moody’s or S&P respectively. GOVERNMENT PENSION FUND – GLOBAL ANNUAL REPORT 2005 31

clearing systems. Norges Bank has initiated measures to ensure that this risk is Credit rating agencies low. These measures include procedures All fixed income instruments in the Fund’s benchmark index have a rating from for approving central counterparties, in- one of the two large rating agencies S&P and Moody’s. The Ministry of Finance cluding credit ratings, and legal quality has also decided that the Fund may also invest in companies with a rating from assurance of all contracts. Fitch. Operational risk also arises in connec- All three agencies classify the issuers of fixed income instruments on the basis tion with identification and assessments of their creditworthiness. The credit rating scale from AAA to D is used for long- related to the selection of IT systems, term bonds. The highest ratings are AAA from S&P and Fitch and Aaa from legal agreements with external service Moody’s. The lowest investment grade ratings are BBB from S&P and Fitch and providers, the fund management organi- Baa from Moody’s. Ratings below BBB are termed speculative grade. All bonds sation, loss of key personnel, review and in the Fund’s benchmark index have a rating of investment grade. maintenance of contingency plans, etc. The issuers pay the three agencies to provide credit ratings. The agencies con- Norges Bank places considerable em- sider the issuer’s ability to repay debt and the general security for investors that is phasis on managing operational risk. inherent in the terms of the loan. In view of this, the agencies assess the probabil- This is seen in relation to the Bank’s ity that loan obligations will met and set credit ratings accordingly. These ratings principles and guidelines for internal may be changed during the life of the loan if the issuer’s ability to pay or loan control of operations. The Bank has collateral changes. decided that Kredittilsynet’s (Financial In addition to corporate bonds, the rating agencies also rate other fixed income Supervisory Authority) Regulation on instruments, including government bonds. Most of these instruments have a rating internal control in financial institutions from at least one of the agencies. Very few issuers have such high creditworthi- shall be followed and the Bank’s man- ness that debt instruments may be issued without a credit rating from one or more agement system has been adapted ac- of the agencies. cordingly. Internal control is a collective term for all measures, schemes, systems etc. that are initiated to ensure that established objectives at all levels of busi- 6.4 Fund management guidelines In 2005, there were no significant ness operations are achieved. Important The Ministry of Finance has established breaches of the guidelines established by aspects of Norges Bank’s internal control a number of guidelines for the manage- the Ministry of Finance. There were include annual risk analyses to identify ment of the Government Pension Fund - three minor breaches, one of which was significant risks in connection with busi- Global. Table 19 summarises the risk in the fourth quarter. An external ness activities, the need to initiate neces- and exposure limits stipulated in the manager invested in a credit swap where sary measures, assessment of the control regulation on the management of the the underlying collateral was a Norwe- environment (i.e. culture and attitudes) Fund. The table shows that exposures at gian company. The investment was small as well as reporting and follow-up. the end of each quarter were within the and the position was unwound. established limits.

Table 19: The regulation’s risk and exposure limits

Section Risk Limits Actual 31.12.2004 31.03.2005 30.06.2005 30.09.2005 31.12.2005 § 4 Market risk Maximum tracking error 1.5 0.19 0.30 0.25 0.29 0.33 percentage point § 5 Asset mixFixed income 50-70% 59.0 60.1 60.1 59.2 58.4 Equities 30-50% 41.0 39.9 39.9 40.8 41.6 § 6 Market distribution Europe 40-60% 49.0 49.4 47.7 47.7 47.3 Equities Americas/Africa/Asia/Oceania 40-60 % 51.0 50.6 52.3 52.3 52.7 Emerging markets < 5% of equity portfolio 3.0 3.3 3.6 3.8 4.0 Currency distribution Europe 45-65% 56.0 54.4 54.7 54.5 55.1 Fixed income instru- Americas 25-45% 34.2 35.7 35.1 35.3 34.8 ments Asia/Oceania 0-20% 9.8 9.9 10.2 10.2 10.1 § 7 Interest rate risk Modiﬁ ed duration 3-7 5.6 5.7 6.0 6.1 6.2 § 11 Ownership interest Maximum 3% of a company 2.7 2.6 3.0 3.0 2.8

In addition to ordinary bank deposits, reinvested cash collateral is included in the table 32

7. Organisation

Norges Bank Investment Management (NBIM), which is a separate business Organisation chart for Norges Bank as of area at Norges Bank, is responsible for 1 January 2006 the management of the Government Pension Fund – Global. NBIM also manages the Government Petroleum In- Executive Board Supervisory Council surance Fund on behalf of the Ministry of Petroleum and Energy and the bulk of Norges Bank’s foreign exchange re- Staff and Group Governor Central Bank Audit serves. At end-2005, assets under man- Services Deputy Governor agement totalled NOK 1 649 billion. The Executive Board is responsible for Norges Bank’s activities. The Execu- Norges Bank Norges Bank Norges Bank tive Board consists of seven members, Monetary Policy Investment Management Financial Stability appointed by the Government. The Su- pervisory Council, which consists of fifteen members appointed by the Stort- ing, is the Bank’s supervisory body and approves the Bank’s budget. Norges Risk, Performance and Accounting Bank Audit reports to the Supervisory Equities Council and is responsible for financial Investments Operations auditing. The Office of the Auditor IT Infrastructure General is responsible for the final audit of the Government Pension Fund - Fixed Income Investments Operations Global and bases its work partly on material from Central Bank Audit. Staff and Legal The Executive Board establishes the framework for NBIM’s operations through its decisions concerning NBIM’s strategic plans. The strategic plans cover three-year periods and are revised every gated to individuals in the form of spe- and profi table manner. Management re- other year. The main objectives for the cific investment mandates and to external sources will be focused on core activities period 2005-2007 are to achieve an asset management organisations. The and outsourcing will be considered in annual excess return of at least 0.25 per- external management mandates also connection with all other activities. A centage point by means of active man- have clearly defined objectives and separate box in this section provides a agement and to ensure a high level of limits. The investment philosophy is de- detailed summary of outsourcing. confidence among customers and the scribed in more detail in articles pub- NBIM has separate business lines for general public. Underlying the opera- lished on Norges Bank’s website in 2000 equity and fixed income management. tional objectives is recognition of the and 2004. The heads of Equities and Fixed Income fact that Norges Bank manages consider- Another main objective is to ensure are responsible for all portfolio invest- able assets for the Norwegian society. that the Fund’s existing and new assets ments and performance, strategic plan- This is also evident in NBIM’s business are invested in a cost-effective manner ning and cost management within their mission, vision, objectives and core in all markets in the investment universe. respective business line. Each business values (see box). NBIM shall protect the long-term finan- line has a Chief Operating Officer who NBIM follows a clearly defined invest- cial assets by means of active exercise of is responsible for support functions, ment philosophy to achieve the objec- ownership rights, cf. Section 5 and two transactions and IT systems. The Chief tives of excess return. The investment articles to be published in March on Operating Officers report both to the philosophy states that excess returns Norges Bank’s website. The Fund shall heads of their respective business lines shall be achieved by means of a large be managed in a prudent manner with and to the Executive Director of NBIM. number of individual, mutually inde- considerable emphasis on good internal Three departments which are organisa- pendent decisions rather than by means control routines and without significant tionally independent of the two business of large strategic decisions. Responsibil- infringements of the guidelines. The or- lines report directly to NBIM’s Execu- ity for decision making has been dele- ganisation shall be run in a cost-effective tive Director. These departments are re- GOVERNMENT PENSION FUND – GLOBAL ANNUAL REPORT 2005 33

sponsible for risk measurement, performance measurement, accounting, Business mission, vision, objectives and core compliance with investment guidelines, values negotiation of legal agreements, personnel policy, IT policy and administrative Norges Bank manages considerable assets for the Norwegian society. The strate- shared services. gic plan sets specific objectives and establishes important premises for asset At end-2005, NBIM had 128 perma- management. Underlying the operational objectives is recognition of the signifi - nent employees and 11 full-time tempo- cance of the task which emerges in the organisation’s business mission: rary employees. The employees represent 12 nationalities. During the year, 19 permanent employees joined the organisa- Safeguard and build fi nancial wealth for future generations tion and nine left. Of the permanent employees, 34 are women. 108 employees This business mission is underpinned by the vision that: are university graduates. At the beginning of 2006, the average age of employ- Norges Bank Investment Management shall be the leading and most ees was 39 and the average number of respected manager of singly-owned assets in the world. years of employment at NBIM was 5. Sickness absence was 2.5 per cent. NBIM’s primary goal is to: Most employees are located in Oslo, but NBIM also maintains offices in New Create large excess value through active management of the government’s York and London. At end-2005, 34 of and Norges Bank’s fi nancial assets abroad. NBIM’s employees worked at one of the offices outside Norway. Most of these This primary goal is concretised: employees are engaged in active man- - Achieve an annual excess return of at least 0.25 percentage point by means agement of the equity and fixed income of active management portfolios. - Ensure a high level of confidence among customers and the general public Norges Bank acknowledges that the task of managing the Government A set of core values have been developed to underpin the efforts to achieve these Pension Fund - Global requires active goals. These values provide direction for our operations and business culture, and use of wage incentives and human re- we monitor adherence to these values through employee and manager perform- source policy measures. The labour ance appraisals. The core values are concretised as follows: Excellence, Innova- market for individuals with financial and tion, Integrity and Team spirit investment management experience is characterised by high wage levels and variable performance-based incentives in combination with an extraordinary demand for focused work effort. The Bank’s management performance will depend heavily on its ability to recruit, develop and retain highly qualified personnel. Part of the salary of 64 employees with responsibility for investment performance is based on the results achieved in portfolio management. The criteria relate mainly to net excess return achieved during the past year, broken down by individual and group. Some employees also earn performance-based pay on the basis of results achieved over a period of several years. The salary of the Executive Director of NBIM was NOK 2 310 045. 34

External service providers

Norges Bank purchases a number of Accounting services from external service JP Morgan Chase and Citibank are providers. All contracts with external responsible for the financial service providers have undergone accounting of investments. thorough negotiations and are subject to legal quality assurance before they Benchmark portfolios are signed. The main service The Fund’s benchmark portfolios are providers are: provided by: - FTSE Group (London, UK) - External managers equity portfolio The use of external managers is an - Lehman Brothers (New York, US) important element of the investment – fixed income portfolio strategy. Section 3 contains an overview of the external fixed Proxy voting income mangers and Section 4 Norges Bank makes its own voting provides an overview of the external decisions. Information on voting equity managers. agendas at companies’ General Meetings is purchased from Custody and clearing of securities Institutional Shareholder Services Norges Bank uses two global (Washington, US). custodian institutions for international payments and securities Market risk custody and clearing: The market risk in the equity and - JP Morgan Chase Bank (New fixed income portfolios is measured York, US – London branch) for by using the risk model RiskManager all equity portfolios and exter- provided by RiskMetrics Group nally managed fixed income (New York, US). portfolios - Citibank (New York, US – London Crediting ratings branch) for fixed income The credit ratings of the Fund’s fixed portfolios under internal income portfolio and unsecured management counterparty exposures are based on deliveries from: Transaction settlement with - Fitch Ratings (London, UK / New counterparties York, US) Norges Bank purchases fund - Moody’s Corporation (New York, administration services from US) Investors Bank and Trust (Boston, - Standard & Poor’s (New York, US) US) for the internally managed equity and fixed income portfolios. Compliance with investment guidelines Performance measurement A system provided by LatentZero The return on the equity and fixed (London, UK) is used to control that income portfolios are calculated asset management complies with the using the performance model Statpro guidelines established by the Performance and Attribution from Ministry of Finance. Statpro Group (London, UK). GOVERNMENT PENSION FUND – GLOBAL ANNUAL REPORT 2005 35

8. Management costs

Table 20 shows the costs of managing Management costs in 2005 totalled custodian costs. Approximately 64 per the Fund in 2005. Fees to external man- NOK 1 239 million. In relation to cent of the costs were related to external agers and external settlement and custo- average assets under management, this management, while about 20 per cent of dian institutions are invoiced separately was a small increase compared to 2004. the Fund’s assets are under external for each of the funds managed by Norges Excluding the performance-based fees management. Unit costs for internal Bank. The other operating costs are to external managers, Norges Bank’s management were roughly 0.05 percent- overheads shared by all the funds management costs were NOK 918.5 age point, compared with 0.31 percent- managed by NBIM (see Section 7). million in 2005, a 24 per cent increase age point for external management. The These shared overheads are distributed compared with 2004. The average size fact that indexing is largely performed among the three funds by means of a of the Fund increased by 25 per cent so internally is only part of the explanation. cost distribution key. Besides the direct that costs in relation to the average port- If internal and external active manage- costs of NBIM, these overheads include folio fell from 7.9 basis points in 2004 to ment were comaped, internal manage- the costs of support functions provided 7.8 basis points in 2005. ment would also be least expensive. by other parts of Norges Bank. These Costs may be distributed between in- Recorded performance-based fees to latter costs are calculated in accordance ternal and external management by using external managers increased by 30 per with the guidelines that apply to business a cost distribution key for internal and cent from 2004 to NOK 320.2 million in operations at Norges Bank. The Management Agreement between the Ministry of Finance and Norges Cost comparisons with other funds Bank establishes the principles for Norges Bank’s remuneration for managing the Government Pension Fund - The Ministry of Finance has asked Norges Bank to deliver ﬁnancial data to the Global. For 2005, remuneration shall Canadian consulting ﬁrm Cost Effectiveness Measurement Inc. (CEM) which has cover the Bank’s actual costs, provided a cost performance database for asset management in more than 230 pension that these costs are less than 0.10 per funds. From this database, CEM selects a peer group which comprises the world’s cent (or 10 basis points) of the average largest pension funds. The costs of this peer group comprising 17 pension funds market value of the Fund. Fees to exter- are used as a basis for assessing the costs of managing the Government Pension nal managers for any excess return Fund – Global. achieved are also covered. Norges Bank The last analysis the Ministry of Finance received from CEM concerned man- has entered into agreements concerning agement in 2004. It shows that the Norges Bank’s management costs were lower performance-based fees with the majori- than the average costs in the peer group after taking into account differences in ty of external active managers, in ac- portfolio composition. cordance with the principles approved by the Ministry of Finance.

Table 20: Management costs in 2005. In thousands of NOK and basis points of the average portfolio

2005 2004 NOK 1000 Basis points NOK 1000 Basis points Internal costs, equity management 169 438 135 588 Costs of equity custodians and fund administration 54 629 49 203 Total costs, internal equity management 224 067 7.8 184 791 7.9 Internal costs, fi xed income management 165 243 155 949 Costs of fi xed income custodians and fund administration 57 729 32 161 Total costs, internal fi xed income management 222 973 3.6 188 110 3.7 Minimum fees to external managers 360 509 275 084 Performance-based fees to external managers 320 182 246 661 Other costs, external management 110 951 89 491 Total costs, external management 791 642 31.1 611 236 29.4 Total all management costs 1 238 681 10.6 984 136 10.5

Total management costs, excluding performance-based fees 918 499 7.8 737 475 7.9 36

2005. The accounts show the costs actu- so that there is no direct relationship Section 4) was very high compared with ally accrued in 2005. Most performance- between recorded costs and excess return 2004. Therefore, even if total excess based fees to external managers are achieved in a single year. Total excess return is lower in the years ahead, paid based on the average excess return return achieved by external equity man- performance-based fees to external achieved over a period of several years, agement in 2005 (cf. discussion in managers will not necessarily decline.

9. Reporting of accounts

At end-2005, the balance in the Govern- agement remuneration has not been de- values of securities are used. Income and ment Pension Fund - Global’s NOK ducted, and because different valuation expenses in foreign currency are trans- account was NOK 1 397 896 million. principles have been used in some cases lated into NOK according to the ex- The accounting return and accrued (see the box on methodology for calcu- change rate on the transaction date, and management remuneration for 2005 has lating returns). are recognised as they are earned or been taken into account. Table 21 shows Pursuant to the Regulation on the accrued, according to the accruals prin- the distribution of instruments in the management of the Government Pension ciple. Fund’s portfolio. The market value of Fund - Global, Norges Bank’s net book The book return in 2005 was NOK securities has been used in the accounts. return on the Fund’s international port- 162 388.2 million. After deductions for Market values in foreign currency have folio shall be transferred to the Fund’s accrued management remuneration for been translated into NOK at market rates NOK account. The return in 2005 con- 2005, NOK 1 238.7 million, NOK quoted on WM Reuters London at 4 pm sists of components presented in Table 161 149.5 million has been transferred to on 31 December 2005. Book values 22. The book return is based on the same the krone account. deviate somewhat from market values accounting principles as Norges Bank’s shown in Table 2. This is because man- accounts, which means that the market

The report on the management of the Government Pension Fund – Global was approved by the Norges Bank Executive Board on 8 February 2006. GOVERNMENT PENSION FUND – GLOBAL ANNUAL REPORT 2005 37

Table 21: Government Pension Fund - Global Portfolio at 31 December 2005. In thousands of NOK

31.12.04 31.03.05 30.06.05 30.09.05 31.12.05 Short-term assets/debt, incl. deposits in foreign banks 9 154 482 16 610 470 4 603 337 6 912 263 23 783 995 Money market investments in foreign fi nancial institutions against 380 117 331 428 782 315 279 340 857 474 742 891 558 979 176 collateral in the form of securities Borrowing from foreign fi nancial institutions against collateral in the -406 193 548 -414 346 235 -404 917 926 -443 772 446 -438 716 705 form of securities Foreign fi xed income securities 631 256 143 637 099 993 843 365 252 738 291 783 682 023 934 Foreign equities 407 673 369 427 485 816 468 491 790 511 821 267 576 682 833 Adjustment of forward contracts and derivatives -5 548 358 -5 441 346 -6 901 992 -6 633 264 -3 618 211 Total portfolio before remuneration for management* 1 016 459 420 1 090 191 012 1 183 981 319 1 281 362 494 1 399 135 021 Management remuneration due -984 136 -278 362 -537 844 -832 712 -1 238 681 Consulting services -4 169 0 0 0 0 Total portfolio 1 015 471 115 1 089 912 650 1 183 443 475 1 280 529 782 1 397 896 340

Off-balance sheet items (in 1 000) 31.12.04 31.03.05 30.06.05 30.09.05 31.12.05 Forward exchange contracts sold -16 837 972 -17 470 264 -35 667 277 -40 991 591 -32 348 014 Futures sold -118 994 375 -49 590 848 -45 442 363 -44 235 336 -88 090 920 Equity swaps sold -8 115 796 -5 836 592 -24 623 338 -29 389 818 -27 628 202 Interest rate swaps sold -390 663 205 -523 281 509 -367 707 657 -524 779 992 -650 155 599 Liabilities sold -534 611 348 -596 179 214 -473 440 635 -639 396 737 -798 222 735 Forward exchange contracts purchased 16 837 972 17 470 264 35 667 277 40 991 591 32 348 014 Futures purchased 114 744 349 39 891 287 56 353 691 27 462 129 74 221 082 Equity swaps purchased 9 489 246 2 921 660 23 823 850 35 149 379 33 200 510 Interest rate swaps purchased 385 089 073 517 985 864 360 701 334 518 010 572 645 910 898 Liabilities purchased 526 160 641 578 269 075 476 546 153 621 613 672 785 680 504 Options on futures sold -2 231 822 -2 725 582 -4 441 572 -289 581 -5 144 260 Interest rate swap options sold 0 000-129 070 Rights sold -2 231 822 -2 725 582-4 441 572-289 581-5 273 330 Options on futures purchased 3 992 457 15 684 846 20 903 887 5 430 441 8 545 840 Interest rate options purchased 0 0 0 0 32 557 Rights purchased 3 992 457 15 684 846 20 903 887 5 430 441 8 578 397

Table 22: Book return on the Government Pension Fund – Global’s international portfolio at 31 December 2005. In thousands of NOK

Book return 31.12.04 31.03.05 30.06.05 30.09.05 31.12.05 Interest income 26 046 307 6 746 125 12 243 012 20 715 470 27 815 267 Dividends 8 246 151 2 154 460 6 348 413 8 542 694 10 308 703 Exchange rate adjustments* -46 791 318 16 057 298 12 831 176 6 788 816 33 609 611 Unrealised gain/loss on securities 28 575 975 -10 332 170 12 597 879 28 533 299 36 521 370 Realised gain/loss on securities 21 581 00612 785 955 23 546 287 34 301 216 49 907 577 Brokers’ commissions -49 031 -8 616 -17 534 -18 397 -19 240 Gains/losses futures 251 854 49 483 92 475 656 264 1 249 806 Gains/losses options 21 021-3 429-22 551 -3 966 443 Gains/losses equity swaps 393 109 14 040 264 995 127 455 1 238 595 Gains/losses interest rate swaps -5 337 664 500 471-1 226 754 -893 946 1 756 023 Book return on investments 32 937 408 27 963 618 66 657 398 98 748 904 162 388 155 Accrued management remuneration -984 136 -278 362 -537 844 -832 712 -1 238 681 Consulting services -4 1690000 Net return 31 949 103 27 685 255 66 119 55497 916 192 161 149 475 * The exchange rate adjustments in the accounts in the table above are calculated on the basis of the Fund’s actual composition. Income and expenses are translated at the exchange rate prevailing on the transaction date, and assets and liabilities are translated at the market rate prevailing at the end of the month. This figure will differ from the estimated exchange rate effect in the measurement of returns. In measuring returns, the exchange rate effect is calculated on the basis of the benchmark’s composition of currencies at the beginning of each month and ap- purtenant exchange rate adjustments. 38

Auditing of the Government Pension Fund – Global (Government Petroleum Fund) Pursuant to the Act relating to the Office of the Auditor General, the Auditor General’s Office is responsible for auditing the Government Pension Fund - Global (previously the Government Petroleum Fund). The Auditor General’s Office bases its audit partly on the audit performed by Central Bank Audit. The Fund’s annual accounts are presented in Report no. 3 to the Storting, and the Auditor General’s Office sends the Ministry of Finance a final audit submission which summarises the audit no later than 1 July. Matters of significance may be reported to the Storting. The Government Pension Fund - Global’s NOK account and Norges Bank’s investments for the Fund are included in Norges Bank’s annual accounts, which are audited by Central Bank Audit. Pursuant to the Management Agreement between the Ministry of Finance and Norges Bank, Central Bank Audit verifies the quarterly and annual reports on the management of the Fund that are submitted by Norges Bank in accordance with guidelines laid down by the Ministry.

Statement to the Ministry of Finance NORGES BANK’S MANAGEMENT OF THE GOVERNMENT PENSION FUND – GLOBAL – ANNUAL REPORT FOR 2005

We have audited Norges Bank’s annual report concerning the management of the Government Pension Fund – Global (previously the Government Petroleum Fund) as of 31 December 2005, showing a book value of NOK 1 397.9 billion. Our audit covers the reporting of the accounts in Section 9 of the annual report. We have also audited the information in those sections of the annual report concerning total market value and return, risk exposure and management costs. The Executive Board of Norges Bank is responsible for the annual report. Pursuant to the Management Agreement between the Ministry of Finance and Norges Bank, our responsibility is to express an opinion as to whether the Fund’s annual report has been submitted in accordance with the regulation and guidelines issued by the Ministry.

We have conducted our audit in accordance with instructions issued by Norges Bank’s Supervisory Council and with good auditing practice in Norway, including standards on auditing adopted by Den norske Revisorforening (Norwegian Institute of Public Accountants), and we submit our statement in accordance with auditing standard RS 800 “Auditors’ report on special purpose audit engagements”. These auditing standards require that we plan and perform the audit so as to obtain reasonable assurance about whether the annual report is free of material misstatements. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the annual report. An audit also includes an assessing of the accounting and calculation principles applied and an evaluation of the overall annual report presentation. We have verified that the reporting of accounts is consistent with Norges Bank’s financial statements as of 31 December 2005, which we have audited. Our audit report on Norges Bank’s financial statements for 2005 was submitted on 9 February 2006. To the extent required by good auditing practice and our instructions, our audit also includes a review of the management of Norges Bank’s financial affairs and its accounting and internal control systems for the Fund. We believe that our audit provides a reasonable basis for our opinion.

In our opinion,

• the reporting of accounts gives a true and fair presentation of the Government Pension Fund – Global’s assets and results as of 31 December 2005, in accordance with the annual ﬁnancial statements of Norges Bank; • the information concerning the Fund’s total market value and return, risk exposure and management costs are in accordance with principles laid down by the Ministry of Finance; • the management has fulﬁlled its duty of producing proper and clearly set out registration and documentation of information covered by our audit, in accordance with the Management Agreement; • in 2005, the Fund was managed in compliance with the regulation and guidelines laid down by the Ministry.

Oslo, 15 February 2006 CENTRAL BANK AUDIT

Svenn Erik Forsstrøm State Authorised Public Accountant (Norway) Mats Leonhard Pedersen State Authorised Public Accountant (Norway) Documentation section 40

Holding of equities at 31 December 2005

Europe Market value (NOK 1000) Ownership stake (per cent) Market value (NOK 1000) Ownership stake (per cent) Market value (NOK 1000) Ownership stake (per cent)

AUSTRIA Christian Dior SA 1 095 135 1.005 Depfa Bank PLC 98 812 0.281 Bank Austria Creditanstalt AG 1 0.000 Cie de Saint-Gobain 675 622 0.488 Deutsche Bank AG 527 565 0.146 Erste Bank der Oesterreichischen Cie Generale dOptique Essilor Deutsche Boerse AG 225 043 0.307 Sparkassen AG 253 738 0.278 International SA 318 690 0.566 Deutsche Lufthansa AG 32 875 0.072 EVN AG 37 995 0.170 Ciments Francais 30 590 0.091 Deutsche Post AG 685 829 0.352 Immofinanz Immobilien Anlagen AG 60 286 0.277 CNP Assurances 145 452 0.197 Deutsche Postbank AG 184 461 0.287 OMV AG 719 855 0.607 Compagnie Generale des Etablissements Deutsche Telekom AG 1 279 362 0.271 Raiffeisen International Bank Holding AG 45 410 0.072 Michelin 256 086 0.471 DIS Deutscher Industrie Service AG 79 730 1.638 Telekom Austria AG 437 420 0.576 Credit Agricole SA 1 660 302 0.522 E.ON AG 2 578 594 0.534 Verbund - Oesterreichische Dassault Aviation SA 25 014 0.053 EnBW Energie Baden-Wuerttemberg AG 11 987 0.013 Elektrizitaetswirtschafts AG 212 460 0.288 Dassault Systemes SA 155 205 0.359 Fraport AG Frankfurt Airport Services Wienerberger AG 87 471 0.437 Eiffage 553 168 1.692 Worldwide 56 841 0.175 Electricite de France 385 962 0.083 Fresenius AG 190 574 0.429 BELGIUM/LUXEMBOURG Eurazeo 78 797 0.217 Fresenius Medical Care AG 128 088 0.193 AGFA-Gevaert NV 39 862 0.251 Euronext NV 173 594 0.439 GEA Group AG 42 989 0.264 Almancora Comm Va 22 666 0.055 Eutelsat Communications 93 303 0.449 GFK AG 88 714 1.122 Belgacom SA 89 517 0.112 Fimalac 120 376 0.772 Hannover Rueckversicherung AG 59 473 0.206 Colruyt SA 49 430 0.150 France Telecom SA 1 783 680 0.409 HeidelbergCement AG 60 276 0.087 Cumerio 1 033 0.033 GameLoft 12 978 0.432 Heidelberger Druckmaschinen 71 992 0.325 Delhaize Group 158 706 0.380 Gaz de France 322 570 0.166 Henkel KGaA 314 401 0.333 Dexia 1 446 248 0.847 Gecina SA 32 076 0.066 Hochtief AG 22 661 0.107 Elia System Operator SA/NV 1 695 0.014 Groupe Danone 1 137 857 0.613 Hypo Real Estate Holding AG 305 111 0.648 Fluxys 30 313 0.234 Havas SA 8 618 0.069 Infineon Technologies AG 442 668 0.959 Fortis 1 212 696 0.433 Hermes International 231 947 0.379 IWKA AG 27 428 0.707 Groupe Bruxelles Lambert SA 244 514 0.267 Imerys SA 67 327 0.217 Jerini AG 9 644 0.705 InBev NV 304 152 0.171 Ipsen 29 293 0.183 KarstadtQuelle AG 32 729 0.152 KBC Groep NV 748 509 0.325 IPSOS 61 455 0.816 Lanxess AG 79 600 0.437 Mobistar SA 38 990 0.115 JC Decaux SA 57 555 0.165 Linde AG 418 515 0.665 Nationale A Portefeuille 153 766 0.421 Kaufman & Broad SA 84 514 1.398 MAN AG 191 351 0.363 Oriflame Cosmetics SA 94 074 0.812 Klepierre 37 566 0.128 Merck KGaA 192 297 0.180 RTL Group SA 29 757 0.035 Lafarge SA 572 535 0.537 Metro AG 488 697 0.456 Solvay SA 137 769 0.219 Lagardere SCA 272 249 0.369 MLP AG 32 954 0.217 UCB SA 276 957 0.599 LISI 65 496 1.801 MPC Muenchmeyer Petersen Capital AG 67 680 1.215 Umicore 89 307 0.435 LOreal SA 664 901 0.211 MTU Aero Engines Holding AG 31 422 0.272 LVMH Moet Hennessy Louis Vuitton SA 434 449 0.148 Muehlbauer Holding AG & Co KGaA 10 639 0.227 CZECH REBUBLIC Maisons France Confort 15 207 0.590 Muenchener Rueckversicherungs AG 1 187 099 0.566 Komercni Banka AS 237 978 0.662 Natexis Banques Populaires 28 073 0.052 Porsche AG 186 668 0.220 Neopost SA 87 309 0.404 Premiere AG 120 978 1.248 DENMARK Nexans SA 1 279 0.017 ProSiebenSat.1 Media AG 49 101 0.172 AP Moller - Maersk A/S 658 523 0.215 Nexity 110 862 1.081 Puma AG Rudolf Dassler Sport 94 534 0.285 Carlsberg A/S 100 910 0.377 PagesJaunes Groupe SA 95 313 0.195 Q-Cells AG 32 426 0.223 Coloplast A/S 45 668 0.227 Pernod-Ricard SA 664 892 0.603 RWE AG 872 406 0.314 Danisco A/S 103 244 0.402 Peugeot SA 338 244 0.371 SAP AG 2 218 095 0.574 Danske Bank A/S 401 921 0.265 Pierre & Vacances 74 677 1.548 Schering AG 313 650 0.358 H Lundbeck A/S 31 186 0.098 PPR 354 863 0.388 Schwarz Pharma AG 38 295 0.194 Jyske Bank 161 564 0.773 Publicis Groupe 14 213 0.031 SGL Carbon AG 20 200 0.321 Novo-Nordisk A/S 468 678 0.348 Renault SA 682 574 0.435 Siemens AG 2 513 029 0.488 Novozymes A/S 82 962 0.323 Rodriguez Group 37 211 0.818 Suedzucker AG 175 927 0.587 Royal Unibrew A/S 16 592 0.457 Sanofi-Aventis 3 991 541 0.482 ThyssenKrupp AG 238 960 0.330 Sydbank A/S 96 513 0.853 Schneider Electric SA 669 805 0.492 T-Online International AG 224 207 0.283 TDC A/S 313 149 0.391 SES Global SA 437 656 0.679 TUI AG 151 232 0.437 Vestas Wind Systems A/S 90 404 0.466 Societe BIC SA 60 381 0.299 Volkswagen AG 516 664 0.364 William Demant Holding 32 059 0.131 Societe des Autoroutes du Nord et de lEst de la France 54 870 0.131 GREECE ESTONIA Societe Des Autoroutes Paris-Rhin-Rhone 71 124 0.130 Alpha Bank AE 694 740 1.209 Eesti Telekom 48 452 0.591 Societe des Bains de Mer et du Cercle des Aspis Pronia General Insurance SA 152 0.032 Etrangers a Monaco 66 464 0.844 Babis Vovos International Construction SA 28 248 0.750 FINLAND Societe Generale 2 279 943 0.634 Coca Cola Hellenic Bottling Co SA 76 250 0.161 Cargotec Corp 1 0.000 Societe Television Francaise 1 95 704 0.239 Cosmote Mobile Telecommunications SA 97 836 0.196 Citycon Oyj 76 114 2.247 Sodexho Alliance SA 145 862 0.330 EFG Eurobank Ergasias SA 359 734 0.528 Elisa Oyj 169 859 0.818 Stallergenes 22 377 0.769 Emporiki Bank of Greece SA 97 407 0.327 Fortum Oyj 89 089 0.080 STMicroelectronics NV 392 043 0.356 Fourlis SA 29 192 0.626 Kone Oyj 51 807 0.163 Suez SA 1 985 692 0.745 Hellenic Petroleum SA 47 476 0.164 Metso Oyj 115 117 0.440 Technip SA 297 722 0.760 Hellenic Telecommunications Neste Oil Oyj 211 456 0.432 Thomson 240 687 0.623 Organization SA 454 568 0.645 Nokia Oyj 3 283 782 0.600 Total SA 1 828 439 0.176 National Bank of Greece SA 536 104 0.554 Outokumpu Oyj 102 809 0.566 Ubisoft Entertainment 70 246 1.149 Navios Maritime Holdings Inc 8 046 0.645 Ramirent Oyj 28 938 0.548 Unibail 206 251 0.504 OPAP SA 244 175 0.329 Sampo Oyj 312 517 0.466 Valeo SA 84 872 0.437 Piraeus Bank SA 217 137 0.699 Sanoma-WSOY Oyj 24 178 0.097 Vallourec 165 688 0.421 Public Power Corp 65 896 0.193 Stora Enso Oyj 369 379 0.497 Veolia Environnement 294 019 0.236 Teletypos SA Mega Channel 21 633 2.246 Tietoenator Oyj 75 533 0.389 Vinci SA 714 982 0.654 Titan Cement Co SA 68 095 0.298 UPM-Kymmene Oyj 398 322 0.576 Vivendi Universal SA 1 247 835 0.512 Wendel Investissement 191 461 0.523 HUNGARY FRANCE Zodiac SA 36 864 0.155 Delmagyarorszagi Aramszol 5 892 0.295 Accor SA 580 173 0.760 Mol Magyar Olaj- es Gazipari Rt 595 128 0.861 Air France-KLM 16 968 0.044 GERMANY OTP Bank Rt 68 015 0.109 Air Liquide 634 033 0.448 Adidas-Salomon AG 246 103 0.382 Tiszai Vegyi Kombinat Rt 2 0.000 Alcatel SA 566 354 0.518 Allianz AG 2 812 495 0.679 Zwack Unicum Rt. 16 302 2.250 Alstom 422 462 0.791 Altana AG 224 727 0.436 April Group 17 673 0.158 AMB Generali Holding AG 31 204 0.086 IRELAND Arcelor 641 240 0.599 BASF AG 1 776 555 0.662 Allied Irish Banks PLC 1 013 274 0.804 Areva SA 74 436 0.065 Bayer AG 1 593 467 0.774 Anglo Irish Bank Corp PLC 96 812 0.141 Assurances Generales de France 170 220 0.135 Bayerische Hypo-und Vereinsbank AG 57 573 0.037 Bank of Ireland 528 723 0.527 Atos Origin SA 140 596 0.470 Bayerische Motoren Werke AG 494 410 0.250 C&C Group PLC 110 480 0.798 Autoroutes du Sud de la France 120 971 0.131 Beiersdorf AG 54 433 0.078 CRH PLC 577 019 0.512 AXA SA 2 820 489 0.587 Bilfinger Berger AG 102 381 0.852 DCC PLC 28 860 0.245 Axalto Holding NV 73 886 0.979 Celesio AG 65 168 0.132 EcoSecurities Group PLC 7 905 0.437 BNP Paribas 3 245 744 0.709 Commerzbank AG 1 008 671 0.739 Elan Corp PLC 112 270 0.348 Bouygues 512 758 0.476 Continental AG 519 829 0.595 Irish Life & Permanent PLC 163 172 0.439 CapGemini SA 138 301 0.388 DAB Bank AG 8 875 0.217 Kerry Group PLC 84 881 0.306 Carrefour SA 969 878 0.435 DaimlerChrysler AG 1 683 558 0.480 Petroceltic International PLC 782 0.098 Casino Guichard Perrachon SA 7 633 0.015 Degussa AG 24 426 0.035 Ryanair Holdings PLC 383 415 0.759

Limited companies are categorised under the country where the company has its headquarters. tr V 8 1 0.848 80711 0.429 29053 0.672 0.443 978019 235 222 1.117 0.467 1.044 780267 235 135 77468 Te 0.610 Te 206 851 0.121 154 058 Stork NV Schuitema NV Royal NumicoNV 1.347 Royal KPNNV 35143 1.474 Rodamco EuropeNV 0.815 0.230 109507 0.767 429498 241343 Reed ElsevierNV 3957112 0.001 0.441 0.608 27583 Randstad HoldingsNV 346946 90662 OPG GroepNV Mittal SteelCoNV 0.497 0.429 0.279 241 155 Macintosh RetailGroupNV 1184137 1.576 68670 157187 Koninklijke Wessanen NV Koninklijke PhilipsElectronicsNV 0.110 Koninklijke DSMNV 18471 Koninklijke Ahold NV ING GroepNV 0.538 1.534 944669 Heineken NV 125 399 0.537 1.267 479674 Heineken HoldingNV 786998 Grolsch NV Fugro NV 1.868 Eurocommercial PropertiesNV 20988 Endemol NV Corio NV 0.221 0.629 91177 2120027 CNH GlobalNV BE SemiconductorIndustriesNV 0.091 12253 ASML HoldingNV Akzo NobelNV Aegon NV 0.521 54847 ABN AMRO HoldingNV 0.610 NETHERLANDS 2943188 Liechtenstein Landesbank 0.026 13909 0.421 LIECHTENSTEIN 205516 0.132 0.869 34127 Unipol SpA 1716019 UniCredito ItalianoSpA Te 0.490 161527 Te 0.286 69235 ServiziSpA 0.130 41948 Societa Iniziative Autostradali e 0.132 0.444 Snam ReteGasSpA 111 568 455036 0.092 Seat PagineGialleSpA 101 323 1.429 221303 Sanpaolo IMISpA 0.060 0.267 9115 42813 0.199 Saipem SpA 0.417 156119 130632 Riunione Adriatica diSicurtaSpA 0.101 RCS MediaGroupSpA 19441 Pirelli &CSpA 0.209 64731 Pirelli &CRealEstateSpA 0.206 0.276 42130 Mediolanum SpA 201967 0.264 0.602 Mediobanca SpA 95389 146601 Mediaset SpA 0.438 Luxottica GroupSpA 3281028 0.191 Italmobiliare SpA 0.569 0.489 29518 12477 Italcementi SpA 1593402 IFIL -InvestmentsSpA Hera SpA 0.268 0.187 Gruppo EditorialeLEspressoSpA 232907 41912 Geox SpA Fondiaria-Sai SpA Fineco SpA 0.154 Fiat SpA 21499 ERG SpA 0.373 84796 ENI SpA EnerTAD SpA 0.475 0.438 Enel SpA 137977 222847 Cassa diRisparmioFirenzeSpA Capitalia SpA Bulgari SpA 0.295 0.531 Benetton GroupSpA 90277 269468 0.631 1541380 Banco Popolaredi Verona eNovaraScrl 0.100 0.082 Banche PopolariUniteScrl 0.241 30952 29570 164420 0.218 Banca PopolareItaliana 0.526 0.181 0.216 51143 486627 Banca PopolarediMilanoSCRL 45969 9925 0.110 0.177 0.437 Banca PopolaredellEmiliaRomagnaScrl 71115 167439 135397 Banca NazionaledelLavoroSpA 0.193 2.037 Banca MontedeiPaschidiSienaSpA 44591 212998 Banca LombardaePiemonteseSpA 0.852 Banca IntesaSpA 121754 0.462 Banca FideuramSpA 1388597 Banca CarigeSpA 0.232 163852 Banca Antonveneta SpA 0.118 Autostrade SpA 7594 Autogrill SpA Assicurazioni GeneraliSpA Amga SpA Alleanza Assicurazioni SpA Alitalia SpA AEM SpA ACEA SpA ITALY United DrugPLC Europe G OVERNMENT eAlsN 2 9 0.801 129593 0.426 32797 legraaf MediaGroepNV le Atlas NV 0.917 305293 0.486 1765079 rna SpA lecom ItaliaSpA P ENSION F UND –G LOBAL

Market value (NOK 1000)

Ownership stake (per cent) N V 7131 0.820 791311 Tr To TNT NV K B 1651 0.386 166531 0.616 0.446 0.411 264663 500719 0.433 243 885 95 111 0.501 0.257 205265 141907 0.434 0.323 324100 0.424 42495 0.439 31339 182328 Svenska Handelsbanken 0.094 Svenska Cellulosa AB 179051 0.636 Ssab SvensktStal AB 576493 1.126 SKF AB 0.313 1074622 60117 Skanska AB 0.436 Skandinaviska EnskildaBanken AB 151 653 1.222 Skandia Forsakrings AB 0.255 310619 Securitas AB 34271 Scania AB 0.060 113 582 Sandvik AB 0.425 0.547 Nordea Bank AB 231135 24313 NCC AB 0.359 JM AB 349066 0.586 535485 0.503 Investor AB 1.320 195755 Industrivarden AB 215675 Holmen AB Hennes &Mauritz AB 0.174 Gambro AB 70661 ForeningsSparbanken AB 0.293 Eniro AB 224160 Electrolux AB 0.249 Brostrom AB 89813 Atlas Copco AB Assa Abloy AB 0.170 Alfa Laval AB 410043 SWEDEN 0.176 79367 0.174 0.181 238660 Zardoya-Otis SA 75459 1.107 0.245 Union FenosaSA 312787 407399 Tu Te Te 0.154 0.358 38785 Sogecable SA 234350 0.437 Sacyr Vallehermoso SA 0.185 0.015 131540 0.407 347392 Repsol YPF SA 6320 344 751 Red ElectricadeEspana Promotora deInformacionesSA 0.136 Metrovacesa SA 36277 0.329 Inditex SA 79099 Iberdrola SA 0.137 Grupo FerrovialSA 28718 0.270 Gestevision Telecinco SA 103291 0.425 124111 Gas NaturalSDGSA Gamesa Corp Tecnologica SA Fomento deConstruccionesyContratasSA 0.033 26993 Endesa SA 0.579 0.024 313 859 Enagas 5015 Corp MapfreSA Corp Financiera Alba 0.816 0.429 672116 de Transporte SA 428762 Cintra ConcesionesdeInfraestructuras Cia EspanoladePetroleos 0.438 0.184 0.177 111 457 1025590 0.434 84992 Bankinter SA 0.154 303760 Banco SantanderCentralHispanoSA 55091 Banco SabadellSA Banco PopularEspanolSA 0.392 Banco PastorSA 0.365 300982 0.044 1491967 Banco EspanoldeCreditoSA 117 598 0.200 Banco Bilbao Vizcaya Argentaria SA 197391 Antena 3de Television SA Altadis SA ACS Actividades ConsyServ Acerinox SA Acciona SA Abertis InfraestructurasSA SPAIN 0.376 0.523 298109 402923 Surgutneftegaz 2.153 RU 504472 0.106 34516 0.129 Telecomunicacoes eMultim 32179 PT MultimediaServicosde 0.949 Portugal Telecom SGPSSA 0.328 325417 Energias dePortugalSA 199075 1.194 Cimpor CimentosdePortugalSA 686326 Brisa-Auto EstradasdePortugalSA Banco EspiritoSantoSA 0.739 412154 Banco ComercialPortuguesSA 0.295 Banco BPISA 744892 PORTUGAL Polski KoncernNaftowyOrlen POLAND Wo We VNU NV Ve Va Unilever NV drCasfe ei V 4 9 0.464 45498 ader ClassifiedMediaNV eoiaS 4 5 0.410 2046757 0.056 170 904 lefonica SA lefonica MovilesSA Tm 5 4 0.222 55140 mTom irN 769 0.001 27619 0.001 28875 dior NV n LanschotNV ae A 6 0 1.633 62108 bacex SA ee V 2 0 0.001 27007 gener NV tr lwrN 6 6 0.385 160061 lters KluwerNV SSIAN FEDERATION Holding of equities Holding of edia SGPS SA edia SGPSSA

1790 0.256 127960 880 0.121 28 850 Market value (NOK 1000)

Ownership stake (per cent) B ru L 502 0.459 85062 0.389 1788490 0.141 24 830 0.973 7 463 0.418 0.575 37581 32363 0.997 BBA GroupPLC 0.587 5645 3059 244 Barclays PLC Balfour BeattyPLC Baggeridge BrickPLC Babcock InternationalGroup 0.184 0.264 78843 51047 AW 0.612 2.102 0.249 Av 0.640 8922 874306 192680 97851 Av 0.461 0.582 0.424 Atkins WS PLC 96199 1986021 56221 AstraZeneca PLC Associated BritishPortsHoldingsPLC Associated BritishFoodsPLC 0.846 ASOS PLC 7735 ARM HoldingsPLC 0.264 88624 Antofagasta PLC 0.299 0.445 Anglo American PLC 59334 10649 0.333 0.773 Amvescap PLC 15460 0.519 11 284 0.079 Amstrad PLC 266883 554 Amlin PLC Amino Technologies PLC 0.357 Amec PLC 3155 0.962 Alliance UnichemPLC 151732 Alliance Trust PLC/The 1.003 Alliance &LeicesterPLC 1.792 0.593 0.298 15509 85750 Alfred McalpinePLC 322255 16335 Alexon GroupPLC Albemarle &BondHoldings Alba PLC Air PartnerPLC 0.298 27986 Aga FoodserviceGroupPLC Aegis GroupPLC AEA Technology PLC Aberdeen Asset ManagementPLC Abbot GroupPLC 3i GroupPLC 0.478 3345721 UK 0.601 523782 0.026 T 7633 0.540 510144 T 0.138 T 180337 0.557 T 1154590 0.470 TURKEY 0.331 748513 146931 0.405 166867 0.435 Aare-Tessin AG Elektrizitat 0.318 265574 259906 Zurich FinancialServices AG Va 0.163 39682 UBS AG Synthes Inc Syngenta AG 0.395 0.484 131987 Swisscom AG 0.004 4318142 760 Swiss Reinsurance 0.640 Swiss LifeHolding 87855 0.231 0.603 Swatch Group AG 112 911 5855335 0.475 Straumann Holding AG 3873899 SGS SA Serono SA Schindler Holding AG 0.544 0.330 Roche Holding AG 113 433 126680 0.222 PSP SwissProperty AG 0.457 29632 0.402 Phonak Holding AG 483090 99 610 0.497 0.599 Pargesa HoldingSA 36187 202944 Panalpina Welttransport Holding AG 0.523 Novartis 1.923 AG 279481 60111 Nobel BiocareHolding AG 1.476 Nestle SA 0.219 389301 Micronas SemiconductorHold 100150 0.437 99959 Lonza Group AG 0.462 1928781 Lindt &Spruengli AG 0.223 Kuehne &NagelInternational AG 24358 Julius BaerHolding AG Holcim Ltd Gurit-Heberlein AG 0.033 0.288 0.186 Givaudan 1757 68745 0.578 21192 0.478 0.440 EFG International 337216 648929 132660 0.549 Credit SuisseGroup 0.438 926292 95426 Converium Holding AG Compagnie FinanciereRichemont AG Clariant AG 0.327 27744 Ciba SpecialtyChemicals AG BKW FMBEnergie AG Basilea Pharmaceutica Barry Callebaut AG Bank Sarasin&Compagnie AG Baloise Holding AG 1.039 268304 Adecco SA ABB Ltd SWITZERLAND V Te Te Te Swedish Match AB rieI aks 4 1 0.128 147710 1.427 653765 0.262 135024 0.987 307247 urkiye Vakiflar Bankasi Tao urkiye IsBankasi urkiye GarantiBankasi AS upras Turkiye PetrolRafine loA 0 4 0.453 609040 olvo AB e B 1936 0.433 0.217 139316 369010 0.543 2036843 liaSonera AB lefonaktiebolaget LMEricsson le2 AB oaHligA 939 0.912 39379 lora Holding AG v L 0 4 0.571 1108248 0.518 38727 iva PLC is EuropePLC at31 December 2005 L 3 7 1.316 237278 G PLC A NNUAL R

Market value EPORT (NOK 1000) 2005 Ownership stake (per cent)

41 42

Holding of equities at 31 December 2005

Europe Market value (NOK 1000) Ownership stake (per cent) Market value (NOK 1000) Ownership stake (per cent) Market value (NOK 1000) Ownership stake (per cent)

Bellway PLC 58 919 0.397 GUS PLC 611 419 0.592 Park Group PLC 555 0.204 Bespak PLC 9 686 0.616 Hammerson PLC 132 990 0.393 PartyGaming PLC 122 751 0.200 BG Group PLC 1 265 877 0.535 Hamworthy KSE 10 662 0.710 Pearson PLC 265 078 0.417 BHP Billiton PLC 1 319 586 0.484 Hanson PLC 247 708 0.462 Pendragon PLC 14 879 0.192 Block Shield Corp PLC 4 085 0.918 Hays PLC 102 358 0.468 Peninsular and Oriental Steam Blueheath Holdings PLC 5 638 0.960 HBOS PLC 1 436 068 0.325 Navigation Co/The 232 561 0.575 BOC Group PLC 490 974 0.702 Headlam Group PLC 15 065 0.348 Pennon Group PLC 28 671 0.162 Bodycote International 41 290 0.498 Helphire PLC 16 795 0.312 Persimmon PLC 197 096 0.462 Boots Group PLC 204 955 0.403 Henderson Group PLC 2 473 0.025 Petrofac Ltd 15 779 0.155 Bovis Homes Group PLC 34 743 0.315 Herald Investment Trust PLC 19 865 0.512 Photo-Me International PLC 27 166 0.525 BowLeven PLC 4 760 0.473 Highway Insurance Holdings PLC 2 115 0.135 Porvair PLC 4 984 0.857 BP PLC 6 690 290 0.450 Hilton Group PLC 646 951 0.956 Premier Foods PLC 93 801 1.102 BPP Holdings PLC 23 976 0.828 Hiscox PLC 28 549 0.272 Premier Oil PLC 47 312 0.612 Bradford & Bingley PLC 178 519 0.590 Homeserve PLC 43 324 0.482 Provident Financial PLC 58 059 0.359 Brambles Industries PLC 207 797 0.594 HSBC Holdings PLC 4 040 490 0.329 Prudential PLC 847 799 0.556 British Airways PLC 125 322 0.285 Hunting PLC 22 386 0.503 Quintain Estates & Development PLC 111 399 1.179 British American Tobacco PLC 991 336 0.308 Huntleigh Technology PLC 12 132 0.398 Rank Group PLC 209 383 0.944 British Energy Group PLC 268 113 0.782 IBS OPENSystems PLC 7 440 1.000 Rathbone Brothers 42 393 0.900 British Land Co PLC 535 452 0.834 ICAP PLC 116 863 0.410 Raven Mount PLC 3 541 0.478 British Sky Broadcasting PLC 331 554 0.315 Imagination Technologies Group PLC 16 998 0.952 Raymarine PLC 45 010 1.938 Britvic 73 068 1.186 Imperial Chemical Industries PLC 212 160 0.461 Reckitt Benckiser PLC 820 605 0.508 BSS Group PLC 14 786 0.334 Imperial Energy Corp PLC 20 786 1.094 Redrow PLC 32 409 0.330 BT Group PLC 905 386 0.416 Imperial Tobacco Group PLC 664 980 0.463 Reed Elsevier PLC 418 560 0.518 Bunzl PLC 117 919 0.459 Inchcape PLC 31 818 0.154 Renishaw PLC 34 991 0.426 Burberry Group PLC 108 109 0.464 Informa PLC 45 693 0.215 Rensburg Sheppards PLC 12 451 0.333 Business Post Group PLC 25 137 1.187 Inmarsat PLC 84 944 0.463 Rentokil Initial PLC 158 818 0.462 BAA PLC 403 982 0.515 Instore PLC 15 523 0.986 Resolution PLC 48 490 0.178 Cable & Wireless PLC 185 719 0.574 Intercontinental Hotels Group PLC 286 481 0.674 Reuters Group PLC 369 135 0.533 Cadbury Schweppes PLC 549 860 0.414 Intermediate Capital Group PLC 19 431 0.173 Rexam PLC 150 302 0.461 Cairn Energy PLC 215 785 0.608 International Power PLC 45 890 0.111 Rio Tinto PLC 1 932 385 0.586 Capita Group PLC 146 440 0.464 Interserve PLC 32 199 0.676 RM PLC 13 797 0.836 Carillion PLC 89 734 1.186 Investec PLC 68 186 0.308 Rolls-Royce Group PLC 969 409 1.105 Carnival PLC 582 371 0.715 IP2IPO Group PLC 19 419 0.717 Rotork PLC 38 884 0.579 Carphone Warehouse Group PLC 37 312 0.133 iSOFT Group PLC 49 570 0.477 Royal & Sun Alliance Insurance Group 197 106 0.463 Centrica PLC 501 790 0.468 ITE Group PLC 14 865 0.424 Royal Bank of Scotland Group PLC 4 557 926 0.705 Chrysalis Group PLC 28 842 0.889 ITV PLC 305 678 0.574 Royal Dutch Shell PLC 8 218 932 0.585 Civica PLC 8 213 0.557 J Sainsbury PLC 189 440 0.304 Royalblue Group PLC 11 460 0.420 CLS Holdings PLC 14 820 0.312 James Fisher & Sons PLC 20 611 0.945 RT Group PLC 1 184 0.001 Cobham PLC 91 502 0.414 Jardine Lloyd Thompson Group PLC 409 0.003 Rutland Trust PLC 16 993 1.292 Colefax Group PLC 2 345 0.948 John Laing PLC 64 899 0.721 SABMiller PLC 532 225 0.288 Compass Group PLC 271 088 0.490 John Menzies PLC 10 324 0.303 Sage Group PLC 290 398 0.756 Corin Group PLC 13 415 0.977 John Wood Group PLC 150 148 1.293 Sanctuary Group PLC 1 200 1.237 Corus Group PLC 71 836 0.236 Johnson Matthey PLC 166 296 0.461 Schroders PLC 132 164 0.409 CSR PLC 39 170 0.283 Johnston Press PLC 63 198 0.411 SCI Entertainment Group PLC 4 206 0.082 Daejan Holdings 15 220 0.213 Kazakhmys PLC 35 966 0.082 Scottish & Newcastle PLC 213 299 0.424 Daily Mail & General Trust 147 819 0.402 Kelda Group PLC 55 997 0.164 Scottish & Southern Energy PLC 725 401 0.719 Dairy Crest Group PLC 35 954 0.458 Keller Group PLC 21 182 0.654 Scottish Mortgage Investment Trust PLC 41 973 0.263 Dana Petroleum PLC 10 427 0.120 Kesa Electricals PLC 64 282 0.402 Scottish Power PLC 200 550 0.170 Dart Group PLC 12 921 0.926 Kingfisher PLC 246 296 0.380 Severn Trent PLC 376 883 0.865 Dawson Holdings PLC 7 105 0.593 Laird Group PLC 10 882 0.142 Shaftesbury PLC 83 167 1.178 De La Rue PLC 16 303 0.180 Land Securities Group PLC 240 772 0.266 Shanks Group PLC 33 637 0.802 De Vere Group PLC 16 676 0.237 Lawrence PLC 9 023 0.758 Shire PLC 182 209 0.425 Dechra Pharmaceuticals PLC 12 548 0.805 Legal & General Group PLC 447 347 0.486 Shore Capital Group PLC 6 964 0.466 Detica Group PLC 43 113 1.379 Liberty International PLC 176 711 0.482 SIG PLC 13 577 0.132 Devro PLC 14 908 0.623 Liontrust Asset Management PLC 7 820 0.629 Signet Group PLC 87 628 0.404 Diageo PLC 1 127 423 0.400 Lloyds TSB Group PLC 626 448 0.194 Slough Estates PLC 98 467 0.335 Domestic & General Group 14 159 0.415 LogicaCMG PLC 97 183 0.421 SMG PLC 16 880 0.539 Domino Printing Sciences 22 406 0.684 London Clubs International PLC 20 969 0.585 Smith & Nephew PLC 184 352 0.316 Drax Group PLC 87 488 0.374 London Merchant Securities 23 709 0.256 Smiths Group PLC 531 240 0.779 DSG International PLC 142 073 0.406 Lonmin PLC 194 696 0.734 Sondex PLC 12 148 0.910 DTZ Holdings PLC 25 850 0.948 Lookers PLC 16 024 0.849 Speedy Hire PLC 26 189 0.628 Edinburgh Small Companies Trust PLC 1 038 0.159 Low & Bonar PLC 14 011 0.996 Spirax-Sarco Engineering PLC 13 426 0.174 Electrocomponents PLC 64 912 0.458 Maclellan Group PLC 10 654 1.150 Sportingbet PLC 80 849 0.481 Elementis PLC 28 051 0.753 Maiden Group PLC 4 895 0.884 Spring Group PLC 5 045 0.437 Emap PLC 105 764 0.411 Man Group PLC 296 857 0.435 St Jamess Place Capital PLC 35 350 0.255 EMI Group PLC 150 804 0.679 Management Consulting Group PLC 9 154 0.794 ST Modwen Properties PLC 36 126 0.569 Enodis PLC 8 903 0.148 Marks & Spencer Group PLC 513 350 0.531 Stagecoach Group PLC 36 008 0.249 Enterprise Inns PLC 175 486 0.466 Matalan PLC 25 421 0.288 Standard Chartered PLC 1 057 449 0.534 Expro International Group 48 378 0.998 Meggitt PLC 137 733 0.762 Stanley Leisure PLC 51 475 0.913 Felix Group PLC 4 167 0.949 Melrose PLC 78 055 1.839 SVB Holdings PLC 9 467 0.706 Fenner PLC 14 489 0.489 Melrose Resources PLC 20 660 0.649 Tate & Lyle PLC 134 976 0.424 Findel PLC 34 699 0.709 Microgen PLC 5 471 0.630 Taylor Nelson Sofres PLC 51 391 0.440 First Choice Holidays PLC 36 227 0.238 Millennium & Copthorne Hotels PLC 77 234 0.580 Ted Baker PLC 9 588 0.379 First Technology PLC 6 626 0.265 Misys PLC 68 102 0.481 Tesco PLC 2 002 587 0.661 Foreign & Colonial Investment Trust PLC 69 536 0.278 Mitchells & Butlers PLC 111 801 0.461 Third Advance Value Realisation Co 6 317 0.820 Forth Ports PLC 13 993 0.165 MJ Gleeson Group PLC 5 530 0.293 Thorntons PLC 5 823 0.482 Friends Provident PLC 180 043 0.382 Mothercare PLC 9 199 0.300 Tomkins PLC 124 224 0.461 Future PLC 9 983 0.462 Mouchel Parkman PLC 20 039 0.595 Torex Retail PLC 9 969 0.252 Gallaher Group PLC 281 361 0.425 Mowlem PLC 31 848 0.851 Travis Perkins PLC 90 174 0.459 Galliford Try PLC 20 750 0.882 N Brown Group PLC 28 606 0.475 Trinity Mirror PLC 79 128 0.411 Games Workshop Group PLC 8 620 0.649 National Express Group PLC 30 009 0.199 UK Coal PLC 10 066 0.430 Genetix Group PLC 2 611 0.565 National Grid PLC 826 366 0.461 Ultra Electronics Holdings 50 885 0.666 George Wimpey PLC 46 100 0.210 NDS Group PLC 47 446 0.178 Unilever PLC 973 365 0.503 Georgica PLC 8 649 0.815 Nestor Healthcare Group PLC 11 609 0.950 United Business Media PLC 121 870 0.599 GKN PLC 110 646 0.447 NETeller PLC 133 286 1.298 United Utilities PLC 269 645 0.400 GlaxoSmithKline PLC 4 689 073 0.472 New Star Asset Management Group Ltd 6 973 0.065 Vedanta Resources PLC 63 323 0.219 Global Energy Development PLC 10 980 1.080 Next PLC 283 448 0.623 Victrex PLC 83 440 1.329 Goals Soccer Centres PLC 7 881 0.955 Northern Rock PLC 401 071 0.869 Vitec Group PLC/The 8 718 0.489 Goldshield Group PLC 15 461 0.949 Northgate PLC 21 501 0.297 Vodafone Group PLC 4 522 104 0.503 Greggs PLC 71 239 1.074 Northumbrian Water Group PLC 8 669 0.059 Weir Group PLC (The) 39 295 0.435 Group 4 Securicor PLC 105 295 0.132 O2 PLC 833 011 0.414 Wellington Underwriting PLC 13 945 0.257 Gulf Keystone Petroleum Ltd 10 455 0.505 Old Mutual PLC 396 015 0.506 Whatman PLC 37 594 0.844 Gulfsands Petroleum PLC 7 503 0.747 Osmetech PLC 4 019 0.971 Whitbread PLC 130 411 0.460

Limited companies are categorised under the country where the company has its headquarters. arPC 1 2 0.581 10924 0.673 672188 0.604 553530 Ye Xaar PLC Xstrata PLC WPP GroupPLC 0.439 0.871 261823 Wo 2172 Wo Wo WM MorrisonSupermarketsPLC Wi Wi Wi Whittard OfChelseaPLC Europe G

OVERNMENT lGopPC 3993 0.775 339973 ll GroupPLC la ilPC 5 6 0.239 0.369 56563 59102 0.443 63047 tan Investment Trust PLC lson BowdenPLC lliam HillPLC slyPC 5342 0.707 593422 0.400 0.313 17709 35282 lverhampton &DudleyBrewPLC lseley PLC lfson MicroelectronicsPLC P ENSION F UND –G LOBAL

Market value (NOK 1000)

Ownership stake (per cent) Americas eetc n 319 0.205 33169 0.431 0.104 27400 33 539 0.223 74354 0.232 172986 0.238 106020 Celestica Inc 0.199 0.385 0.223 Canadian Western 0.045 Bank 55596 0.261 97873 399594 66860 388 303 Canadian UtilitiesLtd 0.131 0.578 Canadian Tire 0.040 CorpLtd 60489 51434 602 Canadian PacificRailwayLtd 0.400 Canadian NaturalResourcesLtd 592459 0.097 0.292 Canadian NationalRailwayCo 85622 302 122 Canadian ImperialBankofCommerce Cameco Corp 0.095 0.385 0.355 Brookfield PropertiesCorp 21700 726082 939 985 0.261 Brookfield Asset ManagementInc 267901 Bombardier Inc 0.236 45721 Biovail Corp Bema GoldCorp 0.421 0.658 7635 BCE Inc 10503 Barrick GoldCorp Banro Corp Bank ofNovaScotia 0.228 Bank ofMontreal 27077 AT Arizona StarResourceCorp Aliant Inc Alcan Inc Agrium Inc Agricore United Abitibi-Consolidated Inc CANADA 0.181 0.128 63575 16601 Vo 0.060 Usinas Siderurgicas deMinasGeraisSA 15351 Tr 0.136 Ti 13188 Te Te 0.183 927360 Te 0.175 Te 18886 Te 0.534 Te 136233 0.153 0.122 26582 Te 18493 0.047 0.134 Souza CruzSA 5621 62265 Sadia SA 0.145 102187 Petroleo BrasileiroSA Perdigao SA 0.044 5227 NET ServicosdeComunicacaoSA Natura CosmeticosSA Metalurgica GerdauSA 0.078 6399 0.017 Lojas 0.076 Americanas SA 6506 28492 Klabin SA 0.120 Investimentos ItauSA 16803 Guararapes ConfeccoesSA 0.296 6138 Gol Linhas Aereas InteligentesSA 0.163 0.056 0.220 504393 6944 Gerdau SA 97817 Fertilizantes FosfatadosSA Empresa Brasileirade Aeronautica SA 0.200 0.031 79497 0.054 Embratel ParticipacoesSA 0.130 3458 0.147 7033 16886 Eletropaulo MetropolitanadeSaoPauloSA 77579 CPFL Energia SA 0.123 Contax ParticipacoesSA 51020 Cia Vale doRioDoce 0.094 Cia Siderurgica NacionalSA 0.037 23750 3247 Cia Siderurgica BelgoMineira Cia ParanaensedeEnergia Cia Energetica deMinasGerais 0.119 0.176 Paulista 22996 37965 0.078 Cia de Transmissao deEnergia Eletrica 122688 deSaoPaulo 0.057 0.162 Cia deSaneamentoBasicodoEstado 12340 24483 Cia deGasSaoPaulo 0.042 Cia deConcessoesRodoviarias 26484 Cia deBebidasdas Americas 0.122 0.081 de Acucar 47177 80747 Cia BrasileiradeDistribuicaoGrupoPao 0.158 0.212 0.134 0.091 Centrais EletricasBrasileirasSA 298510 61299 8850 0.137 12731 Caemi MineracaoeMetalurgica SA 34 682 Braskem SA 0.117 Brasil Telecom SA 198206 Brasil Telecom ParticipacoesSA Bradespar SA 0.285 Banco ItauHoldingFinanceiraSA 29356 Banco doBrasilSA 1.492 128300 0.663 Banco BradescoSA 58353 Aracruz CeluloseSA All America LatinaLogisticaSA AES Tiete SA 0.930 120311 Acesita SA BRAZIL 1.901 2.636 236176 422384 Scottish ReGroupLtd Platinum UnderwritersHoldingsLtd Endurance SpecialtyHoldingsLtd Catlin GroupLtd Assured GuarantyLtd BERMUDA atcpce A 2 4 0.147 22445 m ParticipacoesSA cee nri A 934 0.033 9374 actebel Energia SA le CentroOesteCelularParticipacoesSA ea ot et A 1 1 0.028 14115 1.239 207356 0.125 8009 0.011 6887 lesp CelularParticipacoesSA 0.002 147 0.151 lemig CelularParticipacoesSA 77962 lemar NorteLesteSA lecomunicacoes deSaoPauloSA le SudesteCelularParticipacoesSA le NorteLesteParticipacoesSA oatmClls ae A 1 5 0.106 17157 torantim CeluloseePapelSA ehooisIc 5 9 0.186 53697 I Technologies Inc Holding of equities Holding of

864 0.087 8604 Market value (NOK 1000)

Ownership stake (per cent) nutisPnlsS eC 433 0.096 0.154 14393 167 663 0.038 0.066 29887 0.075 14 782 21161 0.041 6185 Kimberly-Clark deMexico SA deCV 0.249 102160 Industrias PenolesSA de CV en America LatinaSA deCV Impulsora DelDesarrollo Y ElEmpleo 0.023 0.040 0.042 0.072 0.213 543 13818 Grupo Televisa 3505 SA 2856 30041 0.054 Grupo SanbornsSA deCV 0.235 5334 92114 Grupo ModeloSA 0.059 Grupo MexicoSA deCV 16305 0.444 126970 Grupo IndustrialSaltilloSA deCV Grupo FinancieroInbursaSA Grupo FinancieroBanorteSA deCV Grupo ElektraSA deCV 0.174 Grupo ContinentalSA 22 215 Grupo CarsoSA deCV 0.066 0.287 7219 0.083 Grupo BimboSA deCV 406492 7773 0.121 Gruma SA deCV 66402 0.027 Fomento EconomicoMexicanoSA deCV 9325 0.114 Desc SA 24929 Desarrolladora HomexSA deCV Corp InteramericanadeEntretenimientoSA 0.142 0.138 Corp GEOSA 0.190 deCV 162851 824125 116 718 Consorcio ARA SA deCV Coca-Cola FemsaSA deCV Cemex SA deCV Carso Global Telecom SA deCV 0.373 America Telecom SA deCV 16783 America MovilSA deCV Alfa SA deCV 0.494 480499 0.057 MEXICO 85908 United America IndemnityLtd CAYMAN ISLANDS 0.220 427 824 Vi 0.100 T 0.115 20787 0.066 180903 T 132997 To 0.235 Thomson Corp/The 127880 TELUS Corp 0.187 Te 60101 0.078 264 527 Ta 0.044 Suncor Energy Inc 5215 0.296 Sun LifeFinancialInc 0.739 251960 0.006 Shoppers DrugMartCorp 669748 1733 0.053 Shell CanadaLtd 72269 Shaw CommunicationsInc 0.240 0.256 0.156 335833 175311 Saputo Inc 128257 Royal BankofCanada 0.126 14199 Rogers CommunicationsInc 0.661 0.051 Research InMotionLtd 0.006 380995 748 2057 Quebecor World 0.225 Inc 189512 Precision Drilling Trust 0.236 Power FinancialCorp 0.125 43 726 20724 Power CorpOfCanada 0.659 587501 Potash CorpofSaskatchewan Placer DomeInc 0.309 Petro-Canada 0.187 4185 Penn West 0.089 108459 Energy Trust 0.230 13773 Orezone ResourcesInc 128440 0.086 Novelis Inc 76834 0.094 Nova ChemicalsCorp 295325 0.234 Nortel NetworksCorp 0.089 124286 200631 Nexen Inc 0.076 National BankOfCanada 53393 0.065 0.144 Molson CoorsCanadaInc 94289 8590 MDS Inc 0.232 118 209 MDC PartnersInc 0.021 Manulife FinancialCorp 33828 0.089 Magna InternationalInc 57242 Loblaw CosLtd 0.199 Inco Ltd 150255 1.238 0.233 8623 Imperial OilLtd 0.247 44293 652588 0.274 IGM FinancialInc 201455 Husky Energy 0.586 Inc 52596 Hudsons BayCo 0.232 0.096 0.239 67788 Great-West LifecoInc 9579 49340 0.493 Goldcorp Inc 35177 George Weston Ltd 0.512 Finning InternationalInc 109864 Falconbridge Ltd Fairmont Hotels&ResortsInc 0.145 0.297 Entree GoldInc 0.129 59945 2571 29891 EnCana Corp 1.292 Enbridge Inc 117 556 Eldorado GoldCorp Domtar Inc Dofasco Inc Descartes SystemsGroupInc Cott Corp Cognos Inc Cinram InternationalInc CI FinancialInc CGI GroupInc aslaCr 925 0.272 0.226 79285 233794 ransCanada Corp ransAlta Corp crItrainlIc 7 0 1.194 71808 ncor InternationalInc kCmnoLd 1642 0.227 166492 0.341 452331 ck ComincoLtd lisman Energy Inc ot-oiinBn 0 5 0.081 204052 ronto-Dominion Bank at31 December 2005 A NNUAL R 978 0.182 9738

Market value EPORT (NOK 1000) 2005 Ownership stake (per cent)

43 44 suatIc 1465 0.297 114 605 0.184 51871 0.127 26 839 0.056 0.126 3859 37 941 Limited companie 0.126 0.176 24991 45 570 0.126 75 569 Astoria FinancialCorp Assurant Inc 0.177 345 720 Associated Banc-Corp 0.128 0.126 139640 Ashland Inc 517 668 0.276 ArvinMeritor Inc 199382 0.267 Arthur JGallagher&Co 0.169 20420 0.149 257884 116 0.487 125 Arrow ElectronicsInc 26 405 Archstone-Smith Trust Archer-Daniels-Midland Co Applied MaterialsInc Applera Corp- Applied BiosystemsGroup 0.382 Apple ComputerInc 339928 0.126 0.552 285641 Apollo InvestmentCorp 149391 0.126 Apollo GroupInc 77921 0.165 0.175 Apex SilverMinesLtd 248207 46633 0.257 Apartment Investment&ManagementCo 0.916 0.128 1694431 272896 Apache Corp 7954 AON Corp Anheuser-Busch CosInc Analog DevicesInc Anadarko PetroleumCorp 0.130 0.516 0.076 Amylin PharmaceuticalsInc 30906 339185 44356 AmSouth Bancorp 0.533 370048 AMR Corp 0.962 726969 Amphenol Corp AMIS HoldingsInc Amgen Inc 0.197 111 1.063 819 Ameritrade HoldingCorp 9020 AmerisourceBergen Corp 0.026 1.476 111 878 0.250 Ameriprise FinancialInc 93181 72712 AmeriCredit Corp 0.160 113 193 American Tower Corp 0.095 0.142 22034 0.236 American StandardCosInc 52748 2828326 0.146 American PowerConversionCorp 144325 0.258 American ItalianPastaCo 206097 American InternationalGroupInc American ExpressCo 0.126 0.357 0.628 35880 American ElectricPowerCoInc 162373 830383 0.214 0.247 American EagleOutfitters 349486 2603713 1.015 HoldingsInc 556820 Manufacturing & American Axle 0.238 Ameren Corp 564202 Amerada HessCorp 0.129 Amdocs Ltd 0.068 34935 AMBAC FinancialGroupInc 66854 0.245 0.234 54408 AMB PropertyCorp 45783 0.023 Amazon.Com Inc 0.000 61502 66 0.338 Altria GroupInc 589639 0.133 Altera Corp 26221 Alltel Corp 0.171 90961 0.488 Allstate Corp/The 78633 Allied Waste IndustriesInc 0.166 0.848 Allied CapitalCorp 2247 241960 Alliant Energy Corp Alliance DataSystemsCorp 0.680 Allergan Inc 69093 0.127 0.104 Allegheny Energy Inc 19904 163729 0.131 Alexander &BaldwinInc 0.186 31591 211 0.175 580 Alcon Inc 155927 1.007 0.385 Alcoa Inc 216114 702476 Albertsons Inc 1.514 90885 Alberto-Culver Co 0.604 Alamo GroupInc 423161 Air Products&ChemicalsInc Agilent Technologies Inc Agere SystemsInc 0.167 0.443 0.303 AGCO Corp 82 978 516917 0.443 77270 AG EdwardsInc 141033 0.375 565975 Aflac Inc 0.126 Affymetrix Inc 105220 0.334 0.095 Affiliated ComputerServicesInc 561548 8299 0.193 Aetna Inc 769573 AES Corp/The 0.009 860 Advo Inc 0.169 0.122 Advanced MicroDevicesInc 700319 47312 0.377 Advance Auto Parts 18578 Adobe SystemsInc Activision Inc ACE Ltd ACCO BrandsCorp Accenture Ltd Abercrombie &FitchCo 0.069 9108 Abbott Laboratories 99 CentsOnlyStores 3M Co 3Com Corp 0.066 US 9268 0.042 7797 Wa Urbi DesarrollosUrbanosSA deC.V TV Azteca SA deCV Te Organizacion SorianaSA deCV Americas equities Holding of eoo eMxc Ad V 2361 0.119 223661 lefonos deMexicoSA deCV -atd eioS eC 4 9 0.091 147898 l-Mart deMexicoSA deCV s are categorised under the country where the company has its headquarters. its has company the where country the under categorised s are 2 4 0.368 124 449 3 8 0.123 30285 Market value (NOK 1000) Ownership stake at31 December 2005 (per cent) irxSsesIc 1514 0.451 155 124 0.126 2099045 0.202 141321 0.096 44737 0.226 0.167 0.125 62509 1191 583 0.908 71688 218887 0.452 0.149 125 815 141313 0.304 City NationalCorp/Beverly HillsCA 402219 Citrix SystemsInc 0.051 0.121 Citizens CommunicationsCo 0.479 28803 64224 129392 Citigroup Inc 0.126 CIT GroupInc 67603 Cisco SystemsInc Circuit CityStoresInc 0.639 5511 700 Cintas Corp 0.140 Cinergy Corp 39378 Cincinnati FinancialCorp Cigna Corp 0.172 0.183 29326 144334 Chubb Corp 0.175 ChoicePoint Inc 42799 0.261 Chiron Corp 0.028 66462 35825 Chicos FAS Inc 33 0.123 0.210 36238 Chicago MercantileExchangeHoldingsInc 0.176 0.097 130598 75617 Chevron Corp 33198 Chesapeake Energy Corp 0.267 319829 Checkfree Corp 0.149 0.144 46330 107363 Check PointSoftware Technologies 0.123 33110 Charles SchwabCorp/The 0.002 CH Robinson Worldwide Inc 0.370 140284 Certegy Inc 985759 0.271 0.521 Ceridian Corp 625755 102205 Cephalon Inc CenturyTel Inc 0.173 Centex Corp 272380 Centerpoint Energy Inc Cendant Corp 0.361 0.869 719 581 Celgene Corp 0.174 194447 0.095 26550 CDW Corp 79193 CCE SpincoInc 0.490 Caterpillar Inc 858993 Carnival Corp 0.644 275222 Carmax Inc 0.126 40886 Caremark RxInc 0.133 0.173 62252 Career EducationCorp 0.180 45980 397197 Cardinal HealthInc Capital OneFinancialCorp 0.081 47180 Campbell SoupCo 0.220 0.072 242084 20609 Cadence DesignSystemsInc 1.458 0.192 Cabot Corp 344709 178128 Cablevision SystemsCorp Burlington ResourcesInc 0.022 0.144 4915 439605 Burlington NorthernSantaFeCorp 0.053 Bunge Ltd 0.126 71830 Brunswick Corp 71166 0.312 0.125 0.507 Brown-Forman Corp 14572 37435 103893 Brown &Inc 0.479 Broadcom Corp 0.289 385041 0.176 Bristol-Myers SquibbCo 178216 81242 Brinker InternationalInc 0.814 Bowater Inc 93331 0.584 Boston ScientificCorp 0.175 608342 Boston PropertiesInc 34730 0.250 362267 BOK FinancialCorp BMC SoftwareInc 0.733 0.131 Blockbuster Inc 39542 439062 Black &DeckerCorp 0.114 BJ ServicesCo 1053191 BISYS GroupInc/The 0.117 Biomet Inc 84962 0.064 0.018 0.098 BioMarin PharmaceuticalsInc 64606 27731 23394 0.110 30912 Biogen IdecInc Best BuyCoInc 0.101 116 378 Berkshire HathawayInc Bemis Co 0.065 0.177 0.219 16154 BellSouth Corp 49389 348193 Bed Bath&BeyondInc 0.051 Becton Dickinson&Co 23130 Beckman CoulterInc 0.171 0.193 Bear StearnsCosInc/The 240278 2417905 BEA SystemsInc 0.224 371664 BB&T Corp Baxter InternationalInc 0.102 32520 Bausch &LombInc 0.094 Barr PharmaceuticalsInc 44821 Bank ofNew York CoInc/The 0.093 35736 Bank of 0.176 America Corp 47018 Ball Corp 0.125 Baker HughesInc 83719 Axis CapitalHoldingsLtd Av Av Av 0.297 0.198 532049 Av 889 Av Autozone Inc Autonation Inc Automatic DataProcessingInc Autoliv Inc Autodesk Inc Authentidate HoldingCorp e n 060 0.172 40630 0.128 0.127 43709 112 702 0.222 91936 0.126 56042 on ProductsInc net Inc ery DennisonCorp aya Inc alonBay CommunitiesInc

0 0.039 605 Market value (NOK 1000) Ownership stake (per cent) l il o 14198 0.331 1441928 0.152 82637 0.648 690 000 0.177 111 267 0.179 0.120 732600 0.176 102233 169 501 0.175 117 658 0.205 541389 Eli Lilly&Co Electronic DataSystems Corp 0.667 303 736 Electronic Arts Inc 0.060 0.176 49 365 El PasoCorp 50 159 EI DuPontdeNemours&Co 0.123 1.709 0.523 Edison International 38092 0.124 133157 302995 0.126 37370 0.212 Ecolab Inc 65505 365 960 EchoStar CommunicationsCorp eBay Inc 0.848 Eaton Corp 246516 0.210 Eastman KodakCo 159132 Eastman ChemicalCo 0.177 98347 E*Trade Financial Corp 0.071 14 180 Dun &BradstreetCorp Duke RealtyCorp 0.009 0.032 0.216 711 Duke Energy Corp 5471 618 128 DTE Energy Co DSW Inc 0.007 DST SystemsInc 0.175 0.830 539 71469 143208 DreamWorks Animation SKGInc 0.157 DR HortonInc 0.124 284271 22034 Dow Jones&CoInc 0.407 116 994 Dow ChemicalCo/The 0.136 20981 Dover Corp 0.258 0.416 71237 Doral FinancialCorp 553793 Dominion ResourcesInc/VA Dollar Tree StoresInc 0.277 0.172 0.313 Dollar GeneralCorp 521063 17758 1497157 0.078 DNP SelectIncomeFundInc 47568 Discovery HoldingCo 0.181 DIRECTV GroupInc/The 0.067 197671 19090 0.068 Digitas Inc 0.266 0.145 23775 37453 Diebold Inc 49923 0.124 Diamond Offshore DrillingInc 42902 Dex MediaInc 0.320 Devon Energy Corp 372849 0.487 0.018 709434 Developers DiversifiedRealtyCorp 7 277 0.504 Dentsply InternationalInc 74985 0.173 Deluxe Corp 0.176 49117 131458 Dell Inc 2.651 Del MonteFoodsCo 198 570 Deere &Co 0.068 Dean FoodsCo 31932 0.038 DaVita Inc 2308 Darden RestaurantsInc Danaher Corp Cytec IndustriesInc 0.573 0.940 0.068 1161514 CVS Corp 365649 42349 CV Therapeutics Inc 0.088 Cummins Inc 0.719 139771 CSX Corp 995569 0.176 Crown CastleInternationalCorp 0.103 0.652 79668 15837 0.175 41494 Crosstex Energy LP 26258 CR BardInc 0.627 Coventry HealthCareInc 199 276 Countrywide FinancialCorp 0.360 Costco Wholesale Corp 44184 1.421 Corning Inc 337162 0.174 Cooper Tire 0.501 &RubberCo 70892 0.111 196833 Cooper IndustriesLtd 85137 0.428 Cooper CosInc/The 298187 0.232 Cooper CameronCorp 0.757 1270102 33387 Convergys Corp 0.163 116 064 Continental Airlines Inc 1.029 Constellation Energy GroupInc 242070 Constellation BrandsInc 0.259 94305 Consolidated EdisonInc 0.126 Consol Energy Inc 79785 Conseco Inc 0.113 Conor MedsystemsInc 0.312 45833 198485 ConocoPhillips 0.119 ConAgra FoodsInc 455334 Comverse Technology 0.069 Inc 0.126 0.222 15856 Compuware Corp 50797 245750 Computer SciencesCorp Computer 0.125 Associates InternationalInc 0.128 107148 246083 Compass BancsharesInc 0.125 31154 0.119 Community HealthSystemsInc 771607 0.127 Commerce BancsharesInc/KansasCityMO 73879 0.200 Commerce BancorpInc/NJ 123022 0.747 0.012 Comerica Inc 110 372 6878 Comcast Corp 0.126 59281 Colonial BancGroupInc/The Colgate-Palmolive Co Cognizant Technology SolutionsCorp Coca-Cola EnterprisesInc Coca-Cola Co/The Coach Inc 0.079 CNET NetworksInc 37729 0.234 CNA FinancialCorp 269434 Clorox Co Clear ChannelOutdoorHoldingsInc Clear ChannelCommunicationsInc

2 7 0.130 29970 Market value (NOK 1000)

Ownership stake (per cent) albro o 3929 0.167 359249 0.129 70376 0.539 784046 0.567 57180 0.732 27897 0.126 33752 0.215 1786157 0.436 148989 0.242 9957 Halliburton Co 0.691 H&R BlockInc 4909 Guidant Corp GTECH HoldingsCorp 0.148 0.265 0.619 29722 1065244 Grey Wolf Inc 490538 0.442 0.095 Greatbatch Inc 606895 0.301 35465 0.499 GrafTech 491390 InternationalLtd 618021 Google Inc 0.175 Goodrich Corp 0.177 35828 91537 Goldman SachsGroupInc 0.537 0.351 90191 Golden West FinancialCorp 387318 Gold ReserveInc GlobalSantaFe Corp 0.146 0.164 Global SignalInc 172873 121725 Gilead SciencesInc 0.102 Getty ImagesInc 674338 0.436 0.189 Genzyme Corp 211 435 4750649 0.303 Genworth FinancialInc 314385 0.025 Genuine PartsCo 18921 0.043 Gentex Corp 42321 Gen-Probe Inc 0.970 144251 General MotorsCorp General MillsInc 0.545 0.123 General GrowthPropertiesInc 41013 23 076 General ElectricCo 1.019 7523 Genentech Inc 0.671 Gemstar-TV GuideInternationalInc 2050023 Garmin Ltd 0.063 70325 Gap Inc/The 0.140 96921 Gannett CoInc 0.231 0.116 GameStop Corp 372720 13386 Fulton FinancialCorp 0.315 242866 Frontera ResourcesCorp 0.157 0.379 Friedman BillingsRamseyGroupInc 0.174 0.393 152788 0.323 0.308 18163 116 340 178418 Freescale SemiconductorInc 300230 76691 Freeport-McMoRan Copper&GoldInc 0.091 0.176 23625 Freddie Mac 97221 Franklin ResourcesInc FPL GroupInc Foxhollow Technologies Inc 0.158 Fortune BrandsInc 173002 0.294 Forest LaboratoriesInc 119 133 0.304 Forest CityEnterprisesInc 677327 0.068 Ford MotorCo 0.063 34 946 9158 Foot LockerInc 0.130 0.124 38286 Fluor Corp 0.117 40793 0.429 Flextronics InternationalLtd 166286 909531 Fisher ScientificInternationalInc Fiserv Inc 0.127 50748 FirstEnergy Corp 0.298 First MarbleheadCorp/The 0.022 0.099 952001 0.129 6213 26 604 First HorizonNationalCorp 55978 First DataCorp First American Corp 0.126 Fifth Third Bancorp 24697 0.400 Fidelity National 0.735 Title GroupInc 488986 203330 Fidelity NationalFinancialInc 0.812 0.249 0.069 FedEx Corp 451991 5881108 57349 0.175 Federated InvestorsInc 421249 Federated DepartmentStoresInc 0.332 Fastenal Co 176644 Fannie Mae 1.969 Family DollarStoresInc 270850 Fairchild SemiconductorInternationalInc 0.249 0.060 104698 Fair IsaacCorp 14849 0.025 Exxon MobilCorp 0.176 0.126 18973 0.231 85959 42137 Express ScriptsInc 112 872 Expeditors International Washington Inc Expedia Inc 0.158 Exelon Corp 47379 0.147 0.135 0.156 0.095 142133 11 660 EW 187378 ScrippsCo 79260 Everest ReGroupLtd Estee LauderCosInc/The 0.176 Erie IndemnityCo 42962 0.003 Equity Residential 0.123 2188 0.157 27962 0.207 Equity Office Properties Trust 72156 37382 Equitable ResourcesInc Equifax Inc 0.150 0.317 32996 EOG ResourcesInc 35497 Enterprise ProductsPartnersLP 0.173 Entergy Corp 34111 Entegris Inc 0.190 0.271 ENSCO InternationalInc 394203 8454 Engelhard Corp 0.228 Energy EastCorp 61986 Energizer HoldingsInc 0.240 Energen Corp 529275 Endo PharmaceuticalsHoldingsInc Encysive PharmaceuticalsInc Emulex Corp Emerson ElectricCo Emdeon Corp EMC Corp/Massachusetts Americas G OVERNMENT P ENSION F UND –G LOBAL

Market value (NOK 1000)

Ownership stake (per cent) enrCr 0 1 0.157 100913 0.385 49873 0.174 0.136 49826 134220 0.064 149 832 0.018 16 682 1.853 0.965 612 708 317 100 0.140 Lennar Corp 129665 0.288 0.049 Lehman BrothersHoldings Inc 326 0.090 156850 0.733 Leggett &PlattInc 25237 13066 Legg MasonInc Lear Corp 0.806 73089 0.377 0.125 Las Vegas Sands Corp 108642 82553 Lamar Advertising Co 0.053 25612 Lam ResearchCorp Lafarge North America Inc Laboratory Corpof America Holdings 0.122 0.068 Kroger Co/The 23 016 0.018 0.155 18886 16414 0.126 129858 Kraft FoodsInc 0.126 62156 53046 Kohls Corp 0.063 0.196 74992 0.128 Knot Inc/The 92985 240603 Knight RidderInc Kla-Tencor Corp Kirby Corp King PharmaceuticalsInc 0.347 Kinetic ConceptsInc 295954 Kinder Morgan Inc 0.093 Kimco RealtyCorp 876683 0.124 0.162 0.277 Kimberly-Clark Corp 30023 154 575 5194 0.111 KeySpan Corp 1339 092 Keycorp 0.344 Kellogg Co 0.144 60767 74347 0.116 KB Home 31583 0.309 Juniper NetworksInc 269812 JPMorgan Chase&Co Jones Apparel GroupInc Johnson ControlsInc 0.080 0.133 0.140 46572 Johnson & 0.577 36199 2836 296672 0.131 Jo-Ann StoresInc 31098 JetBlue Airways Corp 0.177 Jefferson-Pilot Corp 0.084 113 852 0.207 JDS UniphaseCorp 5326 55297 0.096 JC PenneyCoInc 26081 0.064 0.378 JB Hunt Transport ServicesInc 15291 141631 0.318 Janus CapitalGroupInc 203055 James RiverGroupInc 0.079 Jacobs EngineeringGroupInc 20604 Jabil CircuitInc IVAX Corp ITT IndustriesInc 0.132 ITC HoldingsCorp 21371 iStar FinancialInc 0.221 0.995 0.175 247005 Iron MountainInc 100789 1786361 0.433 Invitrogen Corp 121789 Investors FinancialServicesCorp 0.138 Investment Technology GroupInc 30122 1.028 Intuit Inc 721 917 0.177 0.556 160 231 Intersil Corp 217529 Interpublic GroupofCosInc 0.400 0.173 33607 International PaperCo 0.051 36496 1.444 9966 International Game Technology 173190 0.178 1561731 International Flavors&FragrancesInc 0.200 International BusinessMachinesCorp 341610 1.658 0.195 Intel Corp 365749 116 954 0.584 Ingersoll-Rand CoLtd 357241 Independence CommunityBankCorp Inamed Corp IMS HealthInc 0.125 ImClone SystemsInc 0.390 45750 0.126 0.126 Illinois Tool Works Inc 181903 0.275 56990 61651 20919 Idacorp Inc 0.542 ICOS Corp 0.461 109509 52482 0.105 IAC/InterActiveCorp 0.126 31956 0.219 0.134 Huntington BancsharesInc/OH 24567 1273068 102185 Humana Inc Human GenomeSciencesInc 0.127 Hudson CityBancorpInc 78819 Hovnanian EnterprisesInc 0.066 Host MarriottCorp 59498 0.148 Hospitality Properties Trust 0.068 0.069 812223 0.380 17635 14155 Hospira Inc 151849 0.137 Hormel FoodsCorp 212120 0.173 Home DepotInc 42229 Hologic Inc HJ HeinzCo 0.125 48883 Hilton HotelsCorp Hillenbrand IndustriesInc Hewlett-Packard Co 0.068 25036 Hershey Co/The 0.124 29075 Henry ScheinInc Health NetInc 0.126 0.333 Health Management Associates Inc 111 530 319301 Health CarePropertyInvestorsInc 0.151 HCA Inc 263844 Hasbro Inc 0.505 Hartford FinancialServicesGroupInc 220317 Harris Corp Harrahs EntertainmentInc Harman InternationalIndustriesInc Harley-Davidson Inc Holding of equities Holding of

Market value (NOK 1000)

Ownership stake (per cent) ermti n 720 1.650 37210 0.127 53501 0.329 0.127 32 099 86 283 1.066 288892 0.159 13446 0.475 669 090 0.126 0.440 0.158 Neurometrix Inc 76360 325528 127 647 Network 0.156 Appliance Inc 0.463 593473 Nektar Therapeutics 0.067 314025 0.123 19399 NCR Corp 47224 0.028 NAVTEQ 0.187 Corp 34100 759834 National SemiconductorCorp National Oilwell Varco Inc 0.467 657748 National CityCorp 0.135 Nabors IndustriesLtd 42950 0.322 Myogen Inc 109451 Mylan LaboratoriesInc Murphy OilCorp Motorola Inc 0.210 0.131 0.122 Mosaic Co/The 81156 0.174 19762 19485 0.501 68696 Morgan Stanley 116 644 Moodys Corp 0.249 18922 Monster Worldwide Inc 0.186 Monsanto Co 3505857 MoneyGram InternationalInc 0.062 Molson CoorsBrewingCo 44016 0.880 0.126 Molex Inc 489921 40388 1.138 Mohawk IndustriesInc 0.125 0.186 232087 57075 Minerals Technologies 466256 Inc Mills Corp/The 0.226 91496 Millipore Corp Millennium PharmaceuticalsInc Microsoft Corp 0.222 Micron Technology Inc 0.181 0.287 7009 0.043 0.083 854050 0.505 Microchip Technology 1211 363 Inc 9163 11 285 82247 Michaels StoresInc MGM Mirage MGIC InvestmentCorp 0.321 1511 977 0.943 0.126 MFA MortgageInvestmentsInc 0.488 0.440 55422 39561 284740 Metlife Inc 427133 Merrill Lynch &CoInc Mercury InteractiveCorp 0.125 54748 Mercury GeneralCorp 0.176 Merck &CoInc 60 757 0.803 862776 Mercantile BanksharesCorp 0.146 169740 Mentor Corp 0.176 Mellon FinancialCorp 0.124 46726 0.192 38224 Medtronic Inc 551178 Medimmune Inc 0.718 0.174 0.122 1.663 392254 Medicines Co 227737 34098 3837360 0.767 Medco HealthSolutionsInc 91593 MeadWestvaco 0.623 Corp 269570 MDU ResourcesGroupInc 0.519 McKesson Corp 449485 MCI Inc McGraw-Hill CosInc/The McDonalds Corp McCormick &CoInc 0.418 336 389 McAfee Inc MBNA Corp 1.297 0.124 MBIA Inc 139750 0.126 26000 0.278 86291 Maxtor Corp 303246 0.163 39170 Maxim IntegratedProductsInc 0.400 Mattel Inc 0.193 110 121 0.121 0.223 0.069 291257 113 939 Masco Corp 261370 14776 Marvell Technology GroupLtd 0.502 Marvel EntertainmentInc 28955 0.126 34271 0.017 Martin MariettaMaterialsInc 13947 0.123 Marshall &IlsleyCorp 74295 Marsh &McLennanCosInc Marriott InternationalInc 0.696 Markel Corp 147698 0.115 Marathon OilCorp 0.128 405474 103079 Manpower Inc 0.091 Manor CareInc 108278 Macrovision Corp 0.177 34777 Macerich Co/The 0.125 32318 M&T BankCorp 0.640 0.678 L 68491 55439 Lucent Technologies Inc Ltd Brands 0.131 LSI LogicCorp 97433 0.125 0.543 Lowes CosInc 0.066 77992 8151 Louisiana-Pacific Corp 18321 Lone Star Technologies Inc 0.122 Loews Corp 0.211 0.072 31268 0.356 Liz ClaiborneInc 315832 93939 19932 Linens n Things Inc Linear Technology Corp Lindsay ManufacturingCo 0.133 46725 Lincoln NationalCorp 0.088 Lincare HoldingsInc 30416 0.565 76954 Ligand PharmaceuticalsInc Liberty Property Trust Liberty MediaCorp Liberty GlobalInc Lexmark InternationalInc Level 3CommunicationsInc Leucadia NationalCorp odl hmclC 410 0.211 84160 yondell ChemicalCo at31 December 2005 A NNUAL R

Market value EPORT (NOK 1000) 2005 Ownership stake (per cent)

45 46 LgcCr 468 0.139 0.261 24618 1251280 0.196 135127 0.340 54229 0.088 55804 0.025 19085 Limited companie 0.171 0.094 0.188 430288 19 452 Qualcomm Inc 40914 QLogic Corp 0.042 0.163 Pulte HomesInc 0.110 65 978 171121 82503 Puget Energy Inc Public StorageInc 0.152 Public ServiceEnterpriseGroupInc 0.632 0.215 2041431 37663 0.141 249039 0.042 Prudential FinancialInc 0.361 106578 38147 119 138 Protein DesignLabsInc Protective LifeCorp 0.121 0.176 48006 Prologis 81909 0.170 Progressive Corp/The 111 573 Progress Energy Inc 0.487 0.050 Procter &GambleCo 98420 21296 0.131 Principal FinancialGroup 14925 Pride InternationalInc 0.128 Priceline.com Inc 31804 Precision CastpartsCorp Praxair Inc 0.126 82244 PPL Corp 0.056 5668 PPG IndustriesInc 0.399 Popular Inc 487592 1.158 59332 Pogo ProducingCo 0.125 0.153 56 266 PNM ResourcesInc 143721 0.146 0.133 0.239 PNC FinancialServicesGroupInc 1704047 0.173 36947 106706 0.457 171490 PMI GroupInc/The 111 353 0.138 Plum Creek Timber CoInc(REIT) 914177 Pixar Pitney BowesInc 0.107 Pioneer NaturalResourcesCo 22599 0.172 Pinnacle West CapitalCorp 40576 0.123 Pier 1ImportsInc 35448 0.103 PHH Corp 48002 0.173 Phelps DodgeCorp 169519 PG&E Corp Pfizer Inc 0.062 0.173 18325 126812 0.126 Petsmart Inc 0.066 31651 20730 PepsiCo Inc 0.485 PepsiAmericas Inc 0.537 109964 Pepsi BottlingGroupInc 206992 0.464 0.176 99026 Pepco HoldingsInc 0.181 94028 143379 Peoples Bank/BridgeportCT 0.006 1311 Pentair Inc Peabody Energy Corp 1.488 Paychex Inc 324072 0.526 Patterson-UTI Energy Inc 10642 Patterson CosInc 0.123 0.297 0.211 PartnerRe Ltd 25883 52292 898170 Parker HannifinCorp 0.369 PanAmSat HoldingCorp 1.902 17 654 186258 Pall Corp 0.023 Pactiv Corp 9634 Paccar Inc 0.086 0.575 89167 Owens-Illinois Inc 55213 1.149 Outback SteakhouseInc 0.204 139645 58881 OSI SystemsInc 0.437 OSI PharmaceuticalsInc 287143 0.158 Orbital SciencesCorp 67014 0.174 Oracle Corp 0.124 0.106 122678 48539 34430 0.122 Oneok Inc 25368 0.184 ON SemiconductorCorp 399458 Omnicom GroupInc Omnicare Inc 1.918 0.121 Old RepublicInternationalCorp 160510 31204 OfficeMax Inc Office DepotInc Occidental PetroleumCorp 0.128 0.430 NVR Inc 0.127 27884 0.112 15858 97088 Nvidia Corp 21912 Nucor Corp 0.322 Nu SkinEnterprisesInc 220328 0.487 NTL Inc 318362 0.250 0.136 0.661 0.125 NSTAR 308816 208680 315769 48132 NRG Energy Inc 0.126 111 360 NPS PharmaceuticalsInc Novellus SystemsInc 0.401 Northern Trust Corp 179509 Northeast Utilities 0.962 0.391 492746 North ForkBancorporationInc 1363067 Norfolk SouthernCorp Nordstrom Inc 0.243 Noble Energy Inc 391 674 0.157 Noble Corp 0.123 0.223 67601 32054 NiSource Inc 98947 Nike Inc NII HoldingsInc Nextel PartnersInc News CorpInc 0.353 48848 Newmont MiningCorp 2.139 Newfield ExplorationCo 636842 Newell RubbermaidInc New York Times Co New York CommunityBancorpInc New CenturyFinancialCorp Americas equities Holding of s are categorised under the country where the company has its headquarters. its has company the where country the under categorised s are

Market value (NOK 1000) Ownership stake at31 December 2005 (per cent) yc op 4068 0.323 420698 0.126 24667 0.126 0.571 0.123 72095 732092 36942 0.157 0.176 113 461 38291 0.046 81 738 0.047 T 0.013 57531 3676 Sysco Corp 0.324 313 908 Synovus FinancialCorp 0.035 Synopsys Inc 356 0.242 Symbol Technologies Inc 0.611 76060 Symantec Corp 751621 0.119 0.106 134037 Supervalu Inc 165006 SunTrust BanksInc Sunoco Inc Sun MicrosystemsInc 0.377 0.193 102 595 0.125 Student LoanCorp 39300 42983 Stryker Corp 0.222 Strattec SecurityCorp 276 755 Station CasinosInc 0.227 State StreetCorp 117 475204 0.366 Starwood Hotels&Resorts Worldwide Inc 1711 093 Starbucks Corp 0.217 0.513 15195 Staples Inc 268281 0.179 Stanley Works/The 0.451 0.110 32001 397720 St Paul Travelers CosInc/The 190728 0.174 39401 St JudeMedicalInc St JoeCo/The SPX Corp 0.240 0.398 374201 Sprint NextelCorp 22533 0.214 Sovereign BancorpInc 49241 Southwest GasCorp 0.156 0.402 83364 Southwest Airlines Co 97926 Southern UnionCo 0.021 Southern Co/The 12515 South JerseyIndustriesInc 0.176 0.009 50771 10317 Solectron Corp Smurfit-Stone ContainerCorp 0.739 0.289 0.454 279997 Smithfield FoodsInc 51212 25336 Smith InternationalInc 0.109 1.562 16979 SLM Corp 0.198 579046 0.124 83505 Sirius SatelliteRadioInc 0.565 29081 37092 Simon PropertyGroupInc 0.207 Signature Bank/New York NY 161794 Sigma-Aldrich Corp 0.097 Sierra PacificResources 24123 0.174 0.290 Siebel SystemsInc 53825 16569 0.243 Sherwin-Williams Co/The 306573 Shaw GroupInc/The 0.295 ServiceMaster Co/The 191 408 0.126 Serena SoftwareInc 56336 0.247 0.159 Sepracor Inc 957566 48529 Sensient Technologies Corp Sempra Energy 0.378 0.131 787936 SEI InvestmentsCo 126928 0.126 Sears HoldingsCorp 98500 0.176 0.009 1.489 Sealed Air Corp 26691 0.072 6359 38089 Seagate Technology 465192 0.077 0.131 Scientific-Atlanta Inc 36626 30686 Schweitzer-Mauduit InternationalInc Schlumberger Ltd Schering-Plough Corp 0.126 SCANA 27042 Corp SBC CommunicationsInc 0.158 Sara LeeCorp 41634 0.129 0.176 Sanmina-SCI Corp 36415 87694 SanDisk Corp 0.132 95829 Salesforce.com Inc 0.094 60441 Safeway Inc 0.176 Safeco Corp 95804 Sabre HoldingsCorp 1.373 0.071 107102 Ry 9488 0.176 RR Donnelley&SonsCo 126167 Royal CaribbeanCruisesLtd 0.104 0.362 98960 Rowan CosInc 157957 Ross StoresInc 0.567 200085 Rohm &HaasCo 0.604 0.023 132304 4984 Rockwell CollinsInc Rockwell Automation Inc Robert HalfInternationalInc 0.123 26137 RH DonnelleyCorp 0.018 0.544 0.124 19139 Reynolds American Inc 0.282 177450 33665 30904 Revlon Inc Republic ServicesInc 0.640 0.737 Renal CareGroupInc 1.153 0.124 129567 139891 272060 23770 RenaissanceRe HoldingsLtd 0.130 0.126 42793 Reliant Energy Inc 55023 Reinsurance Groupof America Inc Regions FinancialCorp Regency CentersCorp 0.084 Regal EntertainmentGroup 59145 Reebok InternationalLtd Red HatInc Rambus Inc RadioShack Corp 0.231 Radian GroupInc 164454 Qwest CommunicationsInternationalInc Questar Corp Quest DiagnosticsInc oePieGopIc 8 5 0.131 83 658 Rowe PriceGroupInc e ytmIc 3 0 0.173 30809 der SystemInc

1 0.125 613 Market value (NOK 1000) Ownership stake (per cent) We We We We We We We We We We We We We Wa Wa Wa 0.127 52939 Wa Wa Wa Wa Wa Wa Wa 0.800 Wa 90047 Vu V Vi 0.237 0.128 Vi 107031 8296 VF Corp 0.102 Ve 374577 Ve Ve Ve 0.094 26636 0.079 Associates Inc 16506 0.945 Va 433990 Va Va Va 0.300 Utstarcom Inc 40481 0.374 0.065 227802 11UST Inc 174 0.367 0.174 US Bancorp 2109409 64070 Urban OutfittersInc 0.189 0.102 126913 572789 UnumProvident Corp 0.399 575930 Univision CommunicationsInc 0.172 0.157 281249 Universal HealthServicesInc 91653 Unitrin Inc UnitedHealth GroupInc United StatesSteelCorp United ParcelServiceInc Unisys Corp UnionBanCal Corp Union PacificCorp Ultra PetroleumCorp Ty Ty TXU Corp T 0.420 T 304028 T T T T T T To To To To TJX CosInc T Ta Ta Ta H n 577 0.745 75757 0.250 20467 0.116 38480 Ti THQ Inc Thermo ElectronCorp Theravance Inc Te Te 0.128 Te 30908 Te 0.063 Te 21680 0.124 Te 30 575 Te Te Te T Te TECO Energy Inc Te TD BanknorthInc TCF FinancialCorp Ta ea hpigCr 723 0.134 27293 eekay ShippingCorp iueC 696 0.122 0.094 76966 22807 0.704 90 958 0.109 24950 0.219 0.100 0.038 341041 14135 1496 rizec PropertiesInc 0.050 14846 rimble NavigationLtd ri-Continental Corporation ribune Co riad HospitalsInc 0.213 1174641 reeHouse FoodsInc ransocean Inc ransatlantic HoldingsInc ime Warner Inc raoRat rs 527 0.032 25287 ornado Realty Trust f cmIc 9490 0.280 954970 0.028 60952 acom Inc-NEW acom Inc o n 552 0.313 15542 0.127 10787 r nox Inc ke-Two InteractiveSoftwareInc to n 2 4 0.177 121847 0.270 52502 0.177 0.218 58579 767511 0.463 0.750 157929 182680 0.422 0.124 65935 49121 xtron Inc xas InstrumentsInc 0.121 0.338 0.112 radyne Inc 18351 9370 30736 net HealthcareCorp mple-Inland Inc llabs Inc lewest GlobalInc lephone &DataSystemsInc ktronix Inc 0.046 cumseh ProductsCo 1259 ch DataCorp ro PharmaceuticalsIndustries o od n 0 4 0.248 101840 0.371 1460675 son FoodsInc co InternationalLtd 0.125 48732 0.033 0.145 8781 53011 1.601 162 301 tal SystemServicesInc rchmark Corp mmy HilfigerCorp ll BrothersInc ia G n 606 0.793 0.283 66086 107585 0.308 57295 0.235 1326309 0.169 0.127 0.069 rtex PharmaceuticalsInc 366381 22960 30742 rizon CommunicationsInc ritas DGCInc riSign Inc rian SemiconductorEquipment rian MedicalSystemsInc lley NationalBancorp lero Energy Corp cnMtrasC 8 6 0.392 184060 lcan MaterialsCo ay&C 725 0.128 47205 fany &Co e op 7953 0.229 749593 get Corp ehesrC 4 8 0.317 0.095 348581 9264 0.440 0.021 119 498 3858 0.125 0.001 0.315 0.014 887850 1126730 4683 6 112 yerhaeuser Co stwood OneInc 0.123 stern DigitalCorp 0.148 28062 0.878 sco FinancialCorp 16366 149 703 0.201 0.416 ndys InternationalInc 56851 17122 0.036 lls Fargo &Co 12358 llPoint Inc 0.202 ll ChoiceInc 168871 0.387 ingarten RealtyInvestors 94394 0.174 ight Watchers InternationalInc 197658 0.031 0.108 bster FinancialCorp 15 442 0.182 337913 0.052 bMD HealthCorp 529676 156692 atherford InternationalLtd 0.247 47 822 usau PaperCorp 0.121 0.497 1600 946 tson PharmaceuticalsInc 2764474 ters Corp ste ManagementInc shington PostCo/The shington MutualInc rner MusicGroupCorp lt DisneyCo l-Mart StoresInc lgreen Co chovia Corp

Market value (NOK 1000)

Ownership stake (per cent) in acroain 6 7 0.145 66776 0.099 112 253 0.126 25818 0.244 263924 0.460 273713 0.260 206689 0.130 123636 Zions Bancorporation 0.126 Zimmer HoldingsInc 63333 Zebra Technologies Corp 0.599 Yu 245925 Ye 0.175 75419 Ya 0.050 20411XTO Energy Inc XM SatelliteRadioHoldingsInc 0.338 XL CapitalLtd 0.464 50560 24974 0.082 Xilinx Inc 82235 Xerox Corp As Xcel Energy Inc Wy Wy WW GraingerInc 0.231 WR BerkleyCorp 88229 0.119 WPS ResourcesCorp 86212 WMS IndustriesInc WM Wrigley JrCo Wi Wi Wi 0.079 Wi 32015 Whole FoodsMarketInc White MountainsInsuranceGroupLtd Whirlpool Corp Americas G OVERNMENT o!Ic 13102 0.367 1381032 0.458 79552 llow RoadwayCorp hoo! Inc !Bad n 745 0.097 87415 m! BrandsInc cni nryCr 761 0.122 37621 0.237 0.125 213110 42199 0.093 36660 sconsin Energy Corp llis GroupHoldingsLtd lliams-Sonoma Inc lliams CosInc t 4 6 0.274 1147064 0.669 247199 nn ResortsLtd eth P ENSION F UND –G LOBAL

Market value (NOK 1000)

Ownership stake (per cent) ikrGopLd 1095 0.162 120975 0.078 30 053 0.135 0.341 104133 85232 0.316 0.161 81226 13713 0.156 18428 0.020 0.146 0.188 11 188 1753 59366 Rinker GroupLtd 0.117 0.302 0.369 15 928 QBE InsuranceGroupLtd 89300 0.164 34810 16060 Qantas Airways Ltd 0.044 1064 Publishing &BroadcastingLtd Promina GroupLtd Perpetual Trustees Australia Ltd 0.116 Patrick CorpLtd 20454 0.393 PaperlinX Ltd 0.182 157 257 Pacifica GroupLtd 30315 Oxiana Ltd 0.120 5 271 Origin Energy Ltd 0.144 0.060 370330 4841 Orica Ltd OneSteel Ltd Nufarm Ltd 0.116 14751 Novogen Ltd Newcrest MiningLtd 0.208 0.071 0.261 National Australia BankLtd 162802 14429 66093 0.203 Mirvac Group 70095 0.291 Minara ResourcesLtd 123782 0.167 Metcash Ltd 48054 0.083 Mayne PharmaLtd 20479 Macquarie Office Trust Macquarie InfrastructureGroup 0.327 0.057 60791 Macquarie GoodmanGroup 2853 0.117 0.157 17 608 Macquarie BankLtd 32446 0.352 0.161 Macquarie Airports 22345 14637 0.204 Lion NathanLtd 11 179 0.181 Lend LeaseCorpLtd 0.185 77561 76140 Leighton HoldingsLtd 0.157 John FairfaxHoldingsLtd 6604 0.133 James HardieIndustriesNV 8505 0.117 Investa PropertyGroup 0.087 17951 0.128 3846 0.184 Insurance Australia GroupLtd 6073 102536 Incitec PivotLtd 0.163 25729 0.123 Iluka ResourcesLtd 12971 Healthscope Ltd 0.117 22354 Harvey NormanHoldingsLtd GWA InternationalLtd 0.150 Gunns Ltd 57778 GPT Group 0.132 Futuris CorpLtd 26655 Fosters GroupLtd 0.240 Flight CentreLtd 0.059 151551 0.083 7377 Envestra Ltd 4605 Downer EDILtd DB RREEF Trust CSR Ltd 1.961 2054 CSL Ltd/Australia 0.117 0.417 0.043 11 971 119 254 118 944 Corporate Express Australia Ltd 0.059 Computershare Ltd 2275 0.087 Commonwealth PropertyOffice Fund 17645 Commonwealth Bankof Australia 0.078 0.156 0.115 0.120 20 330 Coles MyerLtd 36884 29011 10099 0.100 Cockatoo Ridge Wines Ltd 11 081 0.088 Cochlear Ltd 9481 Coca-Cola Amatil Ltd 0.299 Challenger FinancialServicesGroupLtd 0.186 146601 45795 CFS GandelRetail Trust Centro RetailGroup 0.267 1.218 1081761 Centro PropertiesGroup 95793 0.125 Caltex Australia Ltd 18593 Burns Philp&CoLtd 0.117 0.047 8778 Brickworks Ltd 9212 Brambles IndustriesLtd Boral Ltd BlueScope SteelLtd Billabong InternationalLtd 0.173 76112 BHP BillitonLtd 0.175 Bendigo BankLtd 381 775 Bank ofQueenslandLtd 0.117 0.114Babcock &BrownLtd 0.512 19409 2424 0.196 AXA 22148 Asia PacificHoldingsLtd 76285 AW 0.060 0.127 Australian Worldwide ExplorationLtd 1804 11 167 0.039 0.184 0.058 Australian Wealth ManagementLtd 1460 131664 5227 0.185 0.276 Australian StockExchangeLtd 53293 90017 Australian PharmaceuticalIndustriesLtd 0.034 0.167 3925 0.362 Australian GasLightCoLtd 24068 155420 Australian FoundationInvestmentCoLtd GroupLtd Australia &NewZealandBanking Australand PropertyGroup 0.111 0.063 7600 Austereo GroupLtd 3578 Aristocrat LeisureLtd APN News&MediaLtd Ansell Ltd AMP Ltd Amcor Ltd Alumina Ltd Alinta Ltd Adelaide BrightonLtd Adelaide BankLtd AU STRALIA t 395 0.132 13905 B Ltd ia/Oceania Holding of equities Holding of 244 0.112 22 414 Market value (NOK 1000)

Ownership stake (per cent) NTBLd 1 7 0.165 14872 0.115 50162 0.059 We 6637 We 0.172 Wa 94854 UNiTAB Ltd 0.159 0.177 T 8133 135584 0.000 To 70 Te 0.226 Te 17991 0.116 Ta 0.117 10810 0.174 Symbion HealthLtd 7565 62886 Suncorp-Metway Ltd 0.306 0.096 Stockland 28062 0.069 6436 St George BankLtd 10241 0.173 0.109 271471 Spotless GroupLtd 4479 Southern CrossBroadcasting Australia Ltd Sonic HealthcareLtd Smorgon SteelGroupLtd Sims GroupLtd Sigma PharmaceuticalsLtd SFE CorpLtd Seven NetworkLtd Santos Ltd Rural PressLtd Rio Tinto Ltd hnHogHlig 223 0.487 12 223 0.056 3710 0.063 0.126 25307 5474 0.043 0.109 2011 33 672 0.044 Chen HsongHoldings 60201 0.178 Chaoda Modern 0.068 Agriculture 26178 4837 Cathay Pacific Airways Ltd 0.106 0.149 Cafe deCoralHoldingsLtd 3 914 33137 Brilliance China Automotive HoldingsLtd 0.105 BOC HongKongHoldingsLtd 1991 0.238 Beijing EnterprisesHoldingsLtd 32749 Bank ofEast Asia Ltd ASM Pacific Technology HoldingsLtd 0.822 Asia Satellite Telecommunications 13331 Asia Aluminum HoldingsLtd Agile PropertyHoldingsLtd HONG KONG 0.885 10335 0.418 0.961 ZTE Corp 20291 0.428 0.663 18422 0.537 Zhengzhou Yutong BusCo 11 441 57634 14611 Zhejiang HuahaiPharmaceuticalCoLtd Zhejiang HisunPharmaceuticalCoLtd 0.152 21527 Zhejiang GoldenEagleCoLtd Ya Ya Xinao GasHoldingsLtd Xiamen Tungsten CoLtd Xiamen International Airport GroupCoLtd 0.773 To 42120 0.074 0.044 Te 6737 7553 0.115 Sinopec QiluCoLtd 0.183 11 832 19035 Sina Corp 0.004 Shenzhen Yantian PortHoldingCoLtd 39284 0.877 0.618 Shanghai ZhenhuaPortMachineryCo 0.001 16278 13622 Shanghai PortContainerCoLtd 1160 1.233 Shanghai ForteLandCo 14665 Shanghai Automotive Co Shandong PharmaceuticalGlassCoLtd 0.079 14227 Shandong HuataiPaperCoLtd 0.278 0.269 15346 Shandong Dong-EE-Jiao-A 22997 Ping An InsuranceGroupCoofChina 0.344 PetroChina CoLtd 198 Panchichua NewSteel 0.106 Offshore 0.227 OilEngineeringCoLtd 19442 10586 Kweichow MoutaiCoLtd Huaneng PowerInternationalInc 1.069 9520 DevelopmentCoLtd 0.035 0.424 Henan ShuanghuiInvestment& 5135 0.386 18763 0.041 0.117 GuiZhou YiBai PharmaceuticalCoLtd 4324 0.200 82795 6421 25109 Gree Electric Appliances Inc Fuyao GroupGlassIndustriesCoLtd 0.191 Fujian LongxiBearingGroupCoLtd 305946 Dongfeng MotorGroupCoLtd 0.067 353690 Cosco Holdings 0.091 China Yurun FoodGroupLtd 3493 0.110 0.749 China Telecom 8 227 CorpLtd 11 110 China LifeInsuranceCoLtd 0.018 10703 ContainersCoLtd China InternationalMarine 0.140 14305 China ConstructionBank Bright Dairy&FoodCoLtd Black PeonyGroupCoLtd Baoshan Iron&SteelCoLtd Anhui ExpresswayCo Anhui ConchCementCoLtd CHINA, PEOPLE’SREPUBLIC Wo W W We We asra ru 022 0.347 90202 ransurban Group owrh t 1 1 0.225 219112 0.274 355523 oolworths Ltd oodside PetroleumLtd sr opLd 1158 0.042 101528 0.116 7262 0.273 110 640 n NetworkHoldingsLtd lstra CorpLtd bcorp HoldingsLtd cn odnsLd 6 2 0.471 60728 ncent HoldingsLtd lHlig t 864 0.157 38614 ll HoldingsLtd ge oLd 1 9 1.126 18297 ngwei CoLtd tiNrhAdeJieC 0 0.247 1902 0.338 33700 ntai Wanhua PolyurethaneCoLtd ntai North Andre JuiceCo st fresLd 1251 0.162 112 561 0.082 9479 sfarmers Ltd shington HSoulPattinson&CoLtd til ru 7 9 0.117 174890 0.532 1101603 stpac BankingCorp stfield Group lyasn t 6 0.025 3164 rleyParsons Ltd at31 December 2005

Australian NewspapersHoldingsLtd A Ltd NNUAL 7 7 0.612 473 476 R 765 0.407 7605 0.030 2587

Market value EPORT (NOK 1000) 2005 Ownership stake (per cent)

47 48 Limited companie 0.092 0.114 7702 0.175 2830 9876 0.035 971 0.156 89911 0.188 31717 Global Bio-Chem Technology GroupCo 0.166 Giordano InternationalLtd 45284 0.062 Fubon BankHongKongLtd 116 858 0.042 0.023 Fountain SET Hldgs 0.070 2242 0.229 2669 5077 First PacificCo 26981 0.227 0.050 0.076 Esprit HoldingsLtd 6267 16 381 72094 0.079 Denway MotorsLtd 32559 Dairy FarmInternationalHoldingsLtd Dah SingFinancialHoldingsLtd Dah SingBankingGroupLtd 0.083 COSCO PacificLtd 57593 Cofco InternationalLtd 0.034 Cnpc HongKongLtd 4739 CNOOC Ltd CLP HoldingsLtd Clear MediaLtd 0.084 Citic PacificLtd 0.757 6861 0.079 26647 CITIC InternationalFinancialHoldingsLtd 21234 Chinese EstatesHoldingsLtd 0.502 China UnicomLtd 73037 0.067 China Travel InternationalInvHK 21700 0.062 China Ting GroupHoldingsLtd 2732 0.058 0.063 China ResourcesPowerHoldingsCo 2.746 10860 400248 105605 China ResourcesEnterprise 0.059 China OverseasLand&InvestmentLtd 0.999 2520 78816 China NetcomGroupCorpHongKong China National Aviation CoLtd China MobileHongKongLtd InternationalCoLtd China MerchantsHoldings 0.147 237302 China MengniuDairyCoLtd HoldingsCoLtd China InsuranceInternational 0.066 China EverbrightLtd 31531 Cheung KongInfrastructureHoldingsLtd Cheung KongHoldingsLtd Asia/O equities Holding of hnr-aAi t 286 0.185 52 876 0.097 0.175 27301 0.074 29 415 0.130 2885 3121 0.081 11 014 0.046 1 364 0.304 Shenzhen InternationalHoldings 0.045 20516 0.079 2165 0.047 Shangri-La Asia Ltd 14294 34378 Shanghai IndustrialHoldingsLtd InternationalCorp Semiconductor Manufacturing 0.066 9486 SCMP GroupLtd PCCW Ltd 0.201 0.117 77156 Parkson RetailGroupLtd 38020 Oriental PressGroup 0.064 0.047 Orient OverseasInternationalLtd 17588 2191 0.566 NWS HoldingsLtd 0.051 18371 2855 Next MediaLtd New World DevelopmentLtd MTR Corp 0.929 Mandarin OrientalInternationalLtd 0.168 8596 36745 Lung Kee(Bermuda)Holdings 0.755 0.044 0.120 Liu ChongHingBankLtd 39193 0.683 3184 19369 24141 Li &FungLtd Lenovo GroupLtd 0.293 0.084 42 163 Lee &ManPaperManufacturingLtd 19721 Kowloon MotorBusHoldingsLtd Kingway BreweryHoldingsLtd 0.148 0.047 113 173 4356 Kingboard ChemicalHoldingsLtd 0.166 117Kerry PropertiesLtd 521 Johnson ElectricHoldingsLtd 0.022 JCG HoldingsLtd 0.312 725 0.087 144884 Jardine StrategicHoldingsLtd 0.150 15425 411 572 Jardine MathesonHoldingsLtd IT Ltd 0.367 ChinaLtd/HongKong 56030 0.058 0.107 Industrial &CommercialBankof 2414 2557 I-CABLE CommunicationsLtd Hysan DevelopmentCoLtd Hutchison Whampoa Ltd InternationalLtd 0.097 Hutchison Telecommunications 47151 0.089 63410 Hutchison HarbourRingLtd 0.231 29972 Hung HingPrintingGroup 0.081 Hopewell Holdings 0.142 8575 0.077 113 394 Hopewell HighwayInfrastructureLtd 6672 Hongkong LandHoldingsLtd 0.058 97323 HongKong ElectricHoldings 0.270 0.051 80468 17188 0.100 Hongkong &ShanghaiHotels/The 8285 Hong KongExchangesandClearingLtd 0.058 0.047 0.654 22710 0.002 11 539 125178 Hong Kong Aircraft Engineerg 1281 Hong Kong&ChinaGas Hengan InternationalGroupCoLtd 0.083 Henderson LandDevelopmentCoLtd 0.079 9324 2368 Henderson InvestmentLtd 0.050 0.043 7491 1949 Hang SengBankLtd Hang LungPropertiesLtd Hang LungGroupLtd GZI RealEstateInvestment Trust Guoco GroupLtd Guangzhou InvestmentCoLtd Guangdong InvestmentLtd Great EagleHldgCo ceania s are categorised under the country where the company has its headquarters. its has company the where country the under categorised s are Ltd 18 Ltd 6 465 0.058 4675 2 0.026 829 4 0.099 841 Market value (NOK 1000) Ownership stake at31 December 2005 (per cent) E eeim t 677 0.172 16777 0.995 3195 0.111 13399 0.373 10243 0.159 0.059 3338 ZEE Telefilms Ltd 22744 Ye VIP IndustriesLtd 0.135 Va 3135 UTI BankLtd Ta 1.453 Ta 3735 Ta 0.013 Ta 0.020 2457 0.056 37926 0.050 Suzlon Energy Ltd 7551 17978 SRF Ltd SpiceJet Ltd 0.024 5232 Sintex IndustriesLtd 0.102 0.011 3 20678 Shiv-Vani Oil&GasExplorationServicesLtd 15825 0.392 Satyam ComputerServicesLtd 10157 0.376 Satnam OverseasLtd 1805 0.185 Reliance IndustriesLtd 6671 0.019 Reliance Energy Ltd 1921 0.009 0.026 Reliance CapitalLtd 0.274 21604 7148 10547 Ranbaxy LaboratoriesLtd Punjab NationalBank 0.353 Patni ComputerSystemsLtd 4434 Patel EngineeringLtd Oriental BankOfCommerce 2.486 0.034 0.353 4803 Oil &NaturalGasCorpLtd 12 795 2608 0.307 NTPC Ltd 5 652 0.008 0.083 Mphasis BFL Ltd 0.265 6331 8578 2939 McDowell &CoLtd Maruti UdyogLtd 0.076 Mahindra GESCODevelopersLtd 7943 0.287 Macmillan IndiaLtd 5309 Logix MicrosystemsLtd Larsen & Toubro Ltd 0.237 0.061 Kotak MahindraBankLtd 19280 0.028 74774 JM FinancialLtd 34573 0.262 Jindal PolyFilmsLtd 0.500 7784 11 676 Jaiprakash Associates Ltd 0.047 Jain IrrigationSystemsLtd 0.049 0.316 15427 32082 IVRCL Infrastructures&ProjectsLtd 14552 ITC Ltd Infosys Technologies Ltd 0.022 4146 Indian HotelsCoLtd 0.123 0.006 1890 2619 Indiabulls FinancialServicesLtd 0.037 IL&FS InvestsmartLtd 12610 0.095 0.117 6521 ICICI BankLtd 7709 Housing DevelopmentFinanceCorp Hindustan LeverLtd 0.228 0.463 HDFC BankLtd 6299 0.140 0.648 4499 Great EasternShippingCoLtd/The 2785 6105 Grasim IndustriesLtd 0.355 0.082 Gokaldas ExportsLtd 30410 6102 0.110 0.080 Geometric SoftwareSolutionsCoLtd 22171 4831 0.078 8869 Geodesic InformationSystemsLtd 0.072 3962 GAIL IndiaLtd 0.018 Financial Technologies IndiaLtd 17595 0.116 Essar OilLtd 0.403 14758 EID ParryIndiaLtd 0.019 6955 9939 Eicher MotorsLtd 0.075 0.103 22968 Dr ReddysLaboratoriesLtd 12272 Crompton GreavesLtd Colgate-Palmolive/India Cipla Ltd/India 0.026 Biocon Ltd 0.242 3812 0.249 Bharti Televentures 3497 15 003 Bharat HeavyElectricals Bharat Forge Ltd Bharat ElectronicsLtd Bata IndiaLtd Bajaj Auto Ltd Associated CementCoLtd 0.047 10506 AIA EngineeringPvtLtd 0.212 Aditya BirlaNuvoLtd 123908 0.395 INDIA 44628 0.732 37873 AAC Acoustic Technology Holdings Inc Yu Wi Wi Wheelock &CoLtd Wharf HoldingsLtd TPV Technology Ltd Ti Te Te Te wr aii t 9 8 0.217 199484 0.060 20891 0.124 196106 0.051 0.088 0.035 2677 11 427 828 TCL Multimedia Technology Swire PacificLtd Sun HungKaiPropertiesLtd 2 SmarTone Telecommunications HoldingLtd Skyworth DigitalHoldingsLtd Sino LandCo Shun TAK HoldingsLtd Shenzhen InvestmentLtd giCya sad odn op 994 0.053 9934 ngyi CaymanIslandsHoldingCorp aTALd 1 0.000 10 0.022 0.269 8085 2579 0.013 16102 ta TEA Ltd ta MotorsLtd ta ElxsiLtd ta ConsultancyServicesLtd 0.086 5559 0.076 0.231 12015 54321 xwinca HoldingsLtd levision BroadcastsLtd chtronic IndustriesCo ba esLd 823 1.284 8273 ibhav GemsLtd akLd 881 0.318 8821 s BankLtd unIdsra odns 1 9 0.055 16995 e Yuen IndustrialHoldings gLn ak 711 0.059 7121 0.330 47317 ng LungBank ng HangBankLtd Holdings Ltd 2 Holdings Ltd 3 0.556 639 0.068 591 3 0.051 339 Market value (NOK 1000) Ownership stake (per cent) ad te oLd 1 8 0.042 11 884 0.473 47662 0.009 2467 0.047 0.058 8424 0.515 51684 0.256 16014 0.033 2.629 155 739 7413 132935 0.246 23120 Daido SteelCoLtd Daicel ChemicalIndustries Ltd Dai NipponPrintingCoLtd 0.046 Cyber Agent Ltd 0.014 10 446 1881 0.035 CSK HoldingsCorp 5232 Credit SaisonCoLtd 0.010 Create SDCoLtd 2237 0.045 Cosmo OilCoLtd 13370 Cosel CoLtd Coca-Cola West JapanCoLtd 0.002 0.037 0.205 1959 CMK Corp 0.127 0.083 18182 11 086 0.890 64 341 98191 Citizen Watch CoLtd 9919 0.043 Circle KSunkusCoLtd 3 428 Chugoku ElectricPowerCoInc/The 0.042 0.099 61002 349571 Chugoku BankLtd/The 0.007 0.005 Chugai PharmaceuticalCoLtd 1446 1416 0.010 Chubu ElectricPowerCoInc 624 Chofu SeisakushoCoLtd Chiyoda Corp 0.576 0.014 84497 1 713 Chiba BankLtd/The 0.013 0.141 0.045 2488 Central JapanRailwayCo 165488 11 403 Central GlassCoLtd 0.331 7266 CCS Inc/Japan 0.826 Casio ComputerCoLtd 63607 Canon SalesCoInc Canon Inc Canon FinetechInc Calsonic KanseiCorp 1.724 0.084 Brother IndustriesLtd 2.132 37157 65603 138575 Bridgestone Corp 0.456 0.010 0.009 31082 1088 Bosch Corp 2616 0.003 Benesse Corp 984 Benefit OneInc 0.023 Belluna CoLtd 2079 0.846 0.047 Bank of 121529 Yokohama Ltd/The 0.313 6250 0.009 Bank oftheRyukyus Ltd 474566 1054 Bank ofOkinawaLtd/The Bank ofNagoyaLtd/The 0.105 69274 Bank ofKyotoLtd/The Bank ofFukuokaLtd/The 0.112 0.258 12521 267514 Bals Corp 1.036 175986 0.012 Aw 0.247 4904 0.161 Autobacs SevenCoLtd 9420 13569 Astellas PharmaInc ASKUL Corp 0.793 Asics Corp 10108 Asatsu-DK Inc 0.948 Asahi KaseiCorp 0.047 0.045 90559 0.036 7233 10820 Asahi GlassCoLtd 1809 Asahi BroadcastingCorp 0.010 Asahi BreweriesLtd 0.980 1621 25013 Aruze Corp Arrk Corp 0.012 Arisawa ManufacturingCoLtd 0.010 5470 0.057 Aplix Corp 1 172 0.018 45348 0.032 8372 Aoyama Trading CoLtd 23673 1.495 AOC HoldingsInc 18194 0.013 0.067 Amuse Inc 1444 23851 Amada CoLtd 0.178 Alps ElectricCoLtd 222589 Alpha Corp/Japan 0.014 0.224 All Nippon Airways CoLtd 9502 152726 Alfresa HoldingsCorp 0.574 0.006 91442 2113 Ajinomoto CoInc 0.009 Aisin SeikiCoLtd 1850 Aioi InsuranceCoLtd Aiful Corp 0.603 Aichi SteelCorp 13398 Agrex Inc 0.000 Aeon CreditServiceCoLtd 63 Aeon CoLtd Advantest Corp Acom CoLtd ABC-Mart Inc 77 BankLtd/The JAPAN 0.068 15303 0.121 Te 24748 0.084 Emblaze Ltd 23829 0.069 0.540 Bank HapoalimBM 14719 14115 ISRAEL Unilever Indonesia Tbk PT 0.056 16103 Te 0.162 PT 14542 Astra International Tbk 0.319 Perusahaan GasNegaraPT 12034 International NickelIndonesia Tbk PT Indosat Tbk PT Bank Nisp Tbk PT Bank Central Asia Tbk PT Bank BuanaIndonesia Tbk PT INDONESIA aPamcuia nutisLd 6 2 0.034 63226 va PharmaceuticalIndustriesLtd 0.034 28197 lekomunikasi Indonesia Tbk PT akLdTe 109 0.010 1019 a BankLtd/The

Market value (NOK 1000)

Ownership stake (per cent) iah t 995 0.020 29965 0.010 0.023 1083 6098 0.495 201 168 0.037 11 084 Hokuhoku FinancialGroup Inc 0.561 0.316 0.024 208005 Hokkoku BankLtd/The 73720 6021 0.111 Hokkaido ElectricPowerCoInc 0.003 0.334 30251 1274 0.023 120472 Hitachi MetalsLtd 0.006 0.009 2477 1022 Hitachi Ltd 1201 0.418 129162 Hitachi High-Technologies Corp Hitachi ConstructionMachineryCoLtd 0.510 105664 Hitachi ChemicalCoLtd 0.493 32498 Hisamitsu PharmaceuticalCoInc 0.163 Hiroshima BankLtd/The 4700 Hirose ElectricCoLtd 1.255 Hino MotorsLtd 9110 0.293 Hikari Tsushin Inc 0.461 134317 12649 Higo BankLtd/The 0.045 0.053 Heiwa RealEstateCoLtd 10586 0.053 0.896 5850 0.010 5442 Heiwa Corp 21310 1290 Heian CeremonyServiceCoLtd Haseko Corp 0.010 Hanshin ElectricRailwayCoLtd 1764 0.010 2607 Hankyu ReitInc 0.010 0.526 2 401 0.015 Hankyu HoldingsInc 44715 265 Hankyu DepartmentStores Hamamatsu PhotonicsKK 0.020 Hakuto CoLtd 1559 0.208 Hakuhodo DY HoldingsInc 17734 Hakudo CoLtd 0.488 0.981 0.189 5262 1.499 Hachijuni BankLtd/The 18299 16 063 49711 Gunze Ltd 0.009 Gunma BankLtd/The 696 Gulliver InternationalCoLtd 0.190 Grandy HouseCorp 21577 0.082 Goodwill GroupInc/The 87064 Glory Ltd 0.008 2246 0.013 Gigno SystemJapanInc 0.596 2633 0.161 Gigas KsDenkiCorp 223583 13863 Gendai Agency Inc Gakken CoLtd 0.016 0.013 Futaba IndustrialCoLtd 1213 1088 Futaba Corp/Chiba Furukawa-Sky Aluminum Corp Furukawa ElectricCoLtd 0.372 186044 Funai ElectricCoLtd 0.498 0.017 2.699 1.271 685325 19152 Fukuyama Transporting CoLtd 166625 9208 0.174 Fujitsu Ltd 49951 0.357 Fujitsu BroadSolution&ConsultingInc 250496 0.047 Fujikura Ltd 0.164 0.700 10484 Fuji 43851 Television 27548 NetworkInc 0.021 Fuji Soft 2139 ABC Inc Fuji SealInternationalInc 0.006 0.713 0.326 Fuji PhotoFilmCoLtd 1232 0.108 8061 274207 0.037 16728 Fuji HeavyIndustriesLtd 5770 Fuji ElectricHoldingsCoLtd Fast RetailingCoLtd Fanuc Ltd FamilyMart CoLtd 0.050 16 078 F 0.044 T CommunicationsCoLtd 82 072 0.909 Ezaki GlicoCoLtd 2.059 2.083 0.057 25588 29993 Enplas Corp 241073 12629 0.113 60991 Elpida MemoryInc 1.184 Electric PowerDevelopmentCo 148881 0.005 Eisai CoLtd 3238 Edion Corp 0.004 0.129 680 Ebara Corp 266114 East JapanRailwayCo 1.285 135 881 E*Trade SecuritiesCoLtd Dowa MiningCoLtd Doshisha CoLtd 0.062 Don QuijoteCoLtd 9176 Disco Corp 0.566 0.048 0.010 Dip Corp 18042 49243 1138 Diamond LeaseCoLtd 0.298 Diamond CityCoLtd 173430 Dentsu Inc 0.042 1.549 18930 Denso Corp 409510 Denki KagakuKogyoK Daiwa SecuritiesGroupInc Daiwa HouseIndustryCoLtd 0.043 1.209 0.005 Daito Trust ConstructionCoLtd 22237 51684 1268 1.147 0.331 88712 Daishi BankLtd/The 77047 0.010 Daiseki CoLtd 0.779 1359 0.381 26381 Dainippon SumitomoPharmaCoLtd 365492 0.014 0.201 0.024 Dainippon ScreenManufacturingCoLtd 4530 26341 7 534 Dainippon InkandChemicalsInc Daimei Telecom EngineeringCorp Daimaru Inc Daikin IndustriesLtd Daiichikosho CoLtd Daiichi SankyoCoLtd 1.500 Daihen Corp 19063 Daihatsu MotorCoLtd Daihatsu DieselManufacturingCoLtd Daifuku CoLtd Daiei Inc/The Asia/O G OVERNMENT ceania P ENSION F UND –G LOBAL

Market value (NOK 1000)

Ownership stake (per cent) itcCr 619 0.556 0.016 66199 98 0.043 12658 0.634 248534 0.255 26522 0.955 61267 0.037 0.009 1.196 0.069 Lintec Corp 26024 1936 24369 65201 Leopalace21 Corp Lecip Corp 0.769 0.172 Lawson Inc 17287 46261 0.389 0.028 Kyushu-Shinwa HoldingsInc 12026 20777 Kyushu ElectricPowerCoInc 0.047 0.886 8014 132222 Kyowa HakkoKogyoCoLtd 0.646 0.024 25 745 Kyowa ExeoCorp 6548 0.010 Kyoto Kimono 1995 Yuzen CoLtd 0.047 Kyoritsu MaintenanceCoLtd 7417 Kyokuyo CoLtd 0.419 468469 Kyocera Corp Kurita Water 0.053 IndustriesLtd 0.073 6859 26768 Kuraray CoLtd Kumagai GumiCoLtd 0.060 41300 Kubota Corp Koyo SeikoCoLtd Kose Corp 0.043 Konica MinoltaHoldingsInc 0.942 0.047 0.801 19824 0.013 34846 7590 Konami Corp 133891 10097 Komeri CoLtd 0.022 2825 Komatsu Ltd 0.771 0.529 Komatsu ElectronicMetalsCoLtd 49811 0.355 0.251 45525 42625 Kokuyo CoLtd 220766 Koito ManufacturingCoLtd 0.278 Kobe SteelLtd 0.006 72172 868 0.256 Kobayashi PharmaceuticalCoLtd 11 427 Kirin BreweryCoLtd Kintetsu World ExpressInc 0.021 34993 Kintetsu Corp Kinden Corp 0.042 Kikkoman Corp 5957 0.173 Kibun FoodChemifaCoLtd 172584 0.022 Keyence Corp 0.179 1626 5151 Kenedix Inc 0.044 Keiyo BankLtd/The 11 132 0.046 Keisei ElectricRailwayCoLtd 12816 0.292 0.046 Keio Corp 0.315 85315 16459 49880 Keihin ElectricExpressRailwayCoLtd 0.022 0.109 Keihanshin RealEstateCoLtd 2273 17555 0.045 KDDI Corp 0.044 7448 Kawasaki KisenKaishaLtd 17977 Kawasaki HeavyIndustriesLtd 0.038 Katokichi CoLtd 53693 1.224 Kao Corp 15568 0.267 Kansai UrbanBankingCorp 121700 0.010 0.010 Kansai PaintCoLtd 1073 1785 Kansai ElectricPowerCoInc/The 0.005 0.216 1129 97485 0.584 Kaneka Corp 0.003 194888 Kandenko CoLtd 926 Kamigumi CoLtd Kakiyasu HontenCoLtd 0.039 0.126 13496 Kajima Corp 168118 Kagoshima BankLtd/The 0.448 0.222 kabu.com SecuritiesCoLtd 10980 438608 Juroku BankLtd/The Jupiter Telecommunications Co 0.010 2779 JSR Corp 0.021 1.533 JS GroupCorp 7532 0.035 170452 0.020 5017 Joyo BankLtd/The 4872 JGC Corp 0.938 13957 1.676 JFE HoldingsInc 0.021 0.045 0.081 105743 3969 39907 19299 Japan Transcity Corp Japan Tobacco Inc Japan PetroleumExplorationCo Japan ElectronicMaterialsCorp 0.046 0.006 13553 Japan Asia InvestmentCoLtd 1264 0.037 0.047 0.047 Japan Airlines Corp 2358 15020 13041 Jafco CoLtd 0.630 34531 Jaccs CoLtd 0.973 Izumi CoLtd 38168 0.021 Iyo BankLtd/The 0.910 24637 0.421 29086 Itochu Techno-Science 109203 Corp Itochu Corp 0.009 Ito EnLtd 4858 Isuzu MotorsLtd IndustriesCoLtd 0.155 169979 Ishikawajima-Harima Heavy Isetan CoLtd 0.010 0.010 Invoice Inc 0.014 1449 1165 2.320 1633 Intelligence Ltd 237700 Intec Inc INPEX Corp 0.071 Index Corp 253811 Icom Inc Ibiden CoLtd 0.037 Hyakujushi BankLtd/The 11 014 Hyakugo BankLtd/The Hoya Corp House FoodsCorp Honeys CoLtd Honda MotorCoLtd Hokuriku ElectricPowerCo Holding of equities Holding of

Market value (NOK 1000)

Ownership stake (per cent) ipnPitC t 2 0.043 0.057 3425 43807 0.021 3480 0.009 0.264 982 0.044 107746 4419 0.579 0.097 253734 0.996 38115 Nippon PaintCoLtd 0.169 26 504 Nippon OilCorp 195875 0.411 0.316 Nippon MiningHoldingsInc 193963 16789 0.078 Nippon MeatPackersInc 0.205 81 713 21789 Nippon LightMetalCoLtd 0.455 Nippon KayakuCoLtd 7849 0.437 Nippon ExpressCoLtd 360840 Nippon ElectricGlassCoLtd 0.773 0.022 164 638 Nippon DenkoCoLtd 1891 Nippon Chemi-ConCorp 2.231 0.227 38201 0.020 Nintendo CoLtd 12171 1256 Nikon Corp 0.068 Nikko CordialCorp 0.043 2424 0.017 Nihon UnisysLtd 7474 952 Nihon Trim CoLtd 0.048 Nihon InterElectronicsCorp 0.030 17167 9948 Nidec SankyoCorp Nidec Corp 0.665 0.534 Nidec CopalElectronicsCorp 0.009 116 415 27882 850 Nichirei Corp 0.335 0.186 10941 156224 Nichii GakkanCo 0.003 Nichias Corp 688 NHK SpringCoLtd 0.013 0.687 NGK SparkPlugCoLtd 1574 36349 NGK InsulatorsLtd NextCom KK NET OneSystemsCoLtd 1.299 16522 NEOMAX CoLtd 0.791 0.866 202318 NEC Tokin 5844 Corp 0.044 9656 NEC LeasingLtd 0.413 NEC ElectronicsCorp 53516 NEC Corp Nanto BankLtd/The 0.011 Namco BandaiHoldingsInc 10452 Nakanishi Inc 0.009 0.047 725 Nakabayashi CoLtd 10646 0.013 0.001 Nagoya RailroadCoLtd 704 1193 0.364 Musashino BankLtd/The 23169 0.004 0.159 Murata ManufacturingCoLtd 1081 1026960 Moritex Corp 0.004 Mochida PharmaceuticalCoLtd 3006 0.045 Mizuho Trust &BankingCoLtd 31 762 Mizuho InvestorsSecuritiesCoLtd Mizuho FinancialGroupInc 0.289 Mitsumi ElectricCoLtd 328034 0.174 0.058 0.260 239791 Mitsukoshi Ltd 20681 325633 0.063 Mitsui-Soko CoLtd 15 368 Mitsui Trust HoldingsInc Mitsui SumitomoInsuranceCoLtd 0.011 Mitsui OSKLinesLtd 6962 0.134 Mitsui Mining&SmeltingCoLtd 0.035 0.047 36004 Mitsui FudosanCoLtd 26677 8583 Mitsui Engineering&ShipbuildingCoLtd 0.045 0.044 17742 Mitsui ChemicalsInc 8492 0.133 Mitsui &CoLtd 1226409 Mitsubishi UFJSecuritiesCo 0.158 399157 Mitsubishi UFJFinancialGroupInc 0.263 0.095 0.045 481396 95 983 Mitsubishi RayonCoLtd 46753 0.046 Mitsubishi MotorsCorp 14270 0.013 2.501 1804 0.064 Mitsubishi MaterialsCorp 320766 5194 Mitsubishi LogisticsCorp 0.011 Mitsubishi HeavyIndustriesLtd 22 244 Mitsubishi GasChemicalCoInc 1.852 0.059 Mitsubishi EstateCoLtd 0.022 268826 45779 0.022 2192 Mitsubishi ElectricCorp 0.643 3022 31583 Mitsubishi Corp 0.217 Mitsubishi ChemicalHoldingsCorp 90490 MISUMI GroupInc Misawa HomesHoldingsInc 0.009 Minebea CoLtd 2213 Millea HoldingsInc Meitec Corp 0.016 7406 Meiji SeikaKaishaLtd 0.005 1.018 1268 Meiji DairiesCorp 116 0.332 708 162511 Mediceo PaltacHoldingsCoLtd 0.085 0.687 0.042 0.047 2312 7204 Mazda MotorCorp 22738 11 0.042 546 0.063 1.024 6040 201775 Max CoLtd 40524 Matsushita Electric Works Ltd Matsushita ElectricIndustrialCoLtd 1.741 1.416 71800 Matsumotokiyoshi CoLtd 0.022 37177 2945 Matsui SecuritiesCoLtd 0.010 0.398 Matsui ConstructionCoLtd 1 691 175886 Matsuda SangyoCoLtd Maruichi Steel Tube Ltd Marui CoLtd Marubeni Corp Makita Corp Macnica Inc Mac HouseCoLtd Mabuchi MotorCoLtd Lopro Corp livedoor CoLtd Lion Corp at31 December 2005 A NNUAL R

Market value EPORT (NOK 1000) 2005 Ownership stake (per cent)

49 50 oz op 449 0.907 4429 0.011 1.617 292044 9348 0.491 21 372 0.053 4602 0.700 26633 0.134 118 348 Limited companie 1.274 127207 0.971 Ry 76 875 0.022 Royal HoldingsCoLtd 2020 0.621 0.087 0.002 Round OneCorp 14192 1 802 6186 0.426 Rorze Corp 9363 Rohm CoLtd 0.038 Riso KagakuCorp 22810 Rinnai Corp 0.227 Ricoh CoLtd 1.475 22393 5909 Rex HoldingsCoLtd 0.531 0.009 20 825 1605 Resorttrust Inc 1.895 Resort SolutionCoLtd 98885 0.014 Resona HoldingsInc 1010 Renaissance Inc 0.045 0.010 Relo HoldingsInc 7965 0.789 800 QP Corp 50450 Promise CoLtd 0.023 Privee Zurich Turnaround 1833 GroupCoLtd 0.305 Press KogyoCoLtd 6843 0.283 Plenus CoLtd 0.005 21531 1194 0.657 Plant CoLtd 40296 Pioneer Corp Pentax Corp Penta-Ocean ConstructionCoLtd 0.374 0.687 Pasona Inc 573898 14686 0.067 Park24 CoLtd 35211 0.006 Parco CoLtd 1499 1.378 PanaHome Corp 20141 5 2.242 Pacific GolfGroupInternationalHoldingsKK 0.026 32 442 9 443 Ozeki CoLtd 2.238 85500 Otsuka KaguLtd 0.003 1109 Otsuka Corp 0.688 Osaki ElectricCoLtd 14761 0.201 Osaka SecuritiesExchangeCoLtd 78240 Osaka GasCoLtd 0.846 0.669 ORIX Corp 0.189 262259 153859 91056 Origin ElectricCoLtd 0.005 1712 Oriental LandCoLtd 0.699 60743 Orient Corp Oricon Inc 0.492 1.060 0.285 36262 26311Oracle CorpJapan 12474 Onward KashiyamaCoLtd 0.052 22330 Onoken CoLtd 0.009 Ono PharmaceuticalCoLtd 1434 Omron Corp 0.459 OMC CardInc 68113 1.684 27931 Olympus Corp 0.174 62713 0.009 Okura IndustrialCoLtd 1097 Okumura Corp 0.046 Oki ElectricIndustryCoLtd 0.047 11 413 0.031 0.012 11 989 Okamura Corp 28860 58055 0.042 OJI PaperCoLtd 12412 Ohara Inc 0.005 Ogaki KyoritsuBankLtd/The 1479 0.567 0.490 180118 Oenon HoldingsInc 36516 Odakyu ElectricRailwayCoLtd 0.066 Obic CoLtd 168031 Obayashi Corp 0.035 0.227 NTT 6247 UrbanDevelopmentCorp 84639 0.499 NTT DoCoMoInc 457580 NTT DataCorp 0.739 NTN Corp 12047 NSK Ltd 0.042 Nomura ResearchInstituteLtd 1.250 9158 76365 1.063 Nomura HoldingsInc 0.384 163722 95662 NOK Corp 0.022 NOF Corp 3967 Nittoku EngineeringCoLtd 0.079 Nitto DenkoCorp 243328 Nitori CoLtd Nissin FoodProductsCoLtd 1.423 57737 Nisshinbo IndustriesInc 0.061 Nisshin SteelCoLtd 11 070 0.334 Nisshin SeifunGroupInc 0.049 63173 4933 Nissen CoLtd Nissay DowaGeneralInsuranceCoLtd 1.214 131022 0.543 Nissan MotorCoLtd 151898 0.008 0.042 Nissan ChemicalIndustriesLtd 3584 3261 Nishio Rent All CoLtd 0.133 Nishi-Nippon RailroadCoLtd 0.043 217400 Nishi-Nippon CityBankLtd/The 24431 1.946 0.245 0.288 Nishimatsuya ChainCoLtd 147341 64569 10915 Nishimatsu ConstructionCoLtd 0.043 0.003 6410 Nipponkoa InsuranceCoLtd 0.028 1961 Nippon Yusen 137667 KabushikiKaisha Nippon Television NetworkCorp 0.048 0.305 6239 Nippon Telegraph & Telephone Corp 91389 Nippon SuisanKaishaLtd Nippon SteelCorp Nippon SignalCoLtd Nippon ShokubaiCoLtd Nippon ShinpanCoLtd Nippon SheetGlassCoLtd Nippon PaperGroupInc Asia/O equities Holding of hnKiauC t 9 1 1.777 294 514 ohin KeikakuCoLtd ceania s are categorised under the country where the company has its headquarters. its has company the where country the under categorised s are

7 0.037 973 Market value (NOK 1000) Ownership stake at31 December 2005 (per cent) Ta Ta 0.884 Ta 0.006 957365 1276 Ta 0.784 0.009 533331 Ta 2133 0.230 0.127 Ta 28648 7660 Ta Ta Ta Ta Ta T&D HoldingsInc Suzuki MotorCorp Suzuken CoLtd 1.819 0.030 Suruga BankLtd 196815 7614 Sundrug CoLtd 0.050 Suncity CoLtd 0.058 58138 4912 Sumitomo Warehouse CoLtd/The Sumitomo Trust 0.099 &BankingCoLtd/The 0.563 108833 Sumitomo RubberIndustriesInc 0.137 269560 0.266 171913 Sumitomo Realty&DevelopmentCoLtd 31783 0.282 0.320 96 495 1691809 Sumitomo OsakaCementCoLtd 0.237 Sumitomo MitsuiFinancialGroupInc 100781 0.149 0.043 0.198 Sumitomo MetalMiningCoLtd 0.260 154 111 22 417 5669 200338 Sumitomo MetalIndustriesLtd Sumitomo HeavyIndustriesLtd 1.278 24653 0.305 Sumitomo ForestryCoLtd 0.216 9487 596825 Sumitomo ElectricIndustriesLtd 0.005 0.432 Sumitomo Corp 1063 33796 1.456 Sumitomo ChemicalCoLtd 301 400 Sumitomo BakeliteCoLtd 0.272 Sumisho LeaseCoLtd 820179 Sumisho ComputerSystemsCorp 0.338 0.092 Sumco Corp 234892 82982 0.047 Studio Alice CoLtd 5964 Stella ChemifaCorp 0.273 28528 Stanley ElectricCoLtd Square EnixCoLtd 1.946 0.123 143503 Sony Corp 0.010 37186 0.427 3174 72840 0.407 Sompo JapanInsuranceInc 0.049 28478 Sohgo SecurityServicesCoLtd 5300 0.160 Softbank Corp 85950 SMC Corp/Japan 0.071 34583 SMBC FriendSecuritiesCoLtd 0.688 0.364 230125 SKY PerferctCommunicationsInc 193554 Skylark CoLtd Showa ShellSekiyuKK 0.392 0.301 153847 Showa DenkoKK 57781 0.595 164354 Shoei CoLtd 0.633 Shochiku CoLtd 0.047 145894 0.031 6643 Shizuoka BankLtd/The 0.297 10673 461837 0.062 Shiseido CoLtd 6593 Shionogi &CoLtd Shinsei BankLtd Shinko SecuritiesCoLtd 0.020 22848 0.010 Shinko ElectricIndustries 0.006 711 0.009 Shin-Etsu ChemicalCoLtd 1177 1179 0.033 Shimizu Corp 2155 0.037 Shimano Inc 13314 Shimamura CoLtd 0.057 0.038 Shimadzu Corp 34634 6457 Shimachu CoLtd 0.088 Shima SeikiManufacturingLtd 342006 0.010 0.044 Shikoku ElectricPowerCoInc 0.487 3181 6 708 120403 Shikoku BankLtd/The 0.241 1.784 Shiga BankLtd/The 198867 94342 Sharp Corp 0.871 SFCG CoLtd 368216 0.043 27714 Seven &IHoldingsCoLtd Sekisui HouseLtd Sekisui ChemicalCoLtd 0.022 2920 Seiyu Ltd/The 0.266 26323 Seino HoldingsCorp Seiko EpsonCorp 2.249 70431 Sega SammyHoldingsInc 0.010 0.005 2354 1 560 Secom CoLtd 0.108 0.005 41142 SBI HoldingsInc 927 Sato Corp 0.747 Sasebo HeavyIndustriesCoLtd 32887 0.027 0.760 1795 Sapporo HoldingsLtd 0.009 0.197 31634 1534 26966 Sapporo HokuyoHoldingsInc Sanyo ShokaiLtd 0.010 1188 Sanyo ShinpanFinanceCoLtd Sanyo ElectricCoLtd 0.010 950 Sanyo ChemicalIndustriesLtd Santen PharmaceuticalCoLtd 0.042 Sankyo CoLtd 1383 Sanken ElectricCoLtd San-In GodoBankLtd/The Sanden Corp San-A CoLtd Sakai ChemicalIndustryCoLtd Sagami RailwayCoLtd euiCr 2 0.011 7624 0.009 1644 0.047 0.022 15618 1887 0.012 0.045 0.175 1398 2.240 14866 569249 182974 0.045 nabe SeiyakuCoLtd 8 298 kefuji Corp 0.167 keda PharmaceuticalCoLtd 0.005 43512 1902 ke And GiveNeedsCoLtd kashimaya CoLtd kara HoldingsInc iyo Yuden CoLtd iyo NipponSansoCorp isho PharmaceuticalCoLtd isei Corp iheiyo CementCorp 8 8 0.411 287 785

Market value (NOK 1000) Ownership stake (per cent) Yo Yo Yo Yo Yo Ya Ya 0.047 Ya 0.176 6510 Ya 38770 0.029 4113Ya Ya 0.345 Ya 0.047 105758 9502 Ya 0.013 1053 Ya 0.045 3999 Ya 0.196 We 0.606 7864 Wa 127095 Vi Va 0.532 USS CoLtd 25409 Ushio Inc 0.047 8167 Usen Corp Urban Corp UNY CoLtd Uniden Corp Uni-Charm Corp Ulvac Inc UCS CoLtd Ube IndustriesLtd/Japan TV Tokyo Corp Ts T T To To To To To To To To To To To To To To To To To To To To To To To To To To To To To To To To To To To To 0.009 To 898 To To To 1.294 To 293139 To To To To To To 0.008 TO 5177 To To TIS Inc THK CoLtd Te Te Te Te Te Te Te TDK Corp edMcoIc 2581 0.647 225801 0.608 33949 rusco NakayamaCorp rend MicroInc mr o 9 8 0.742 98187 umura &Co trC fJpnLd 1 9 0.160 16095 ctor CoOfJapanLtd uoCr 8 4 0.446 188244 0.175 21031 1.388 0.060 96312 23930 0.420 6660 0.033 1.454 8946 21167 rumo Corp raoka SeisakushoCoLtd lewave Inc lepark Corp ikoku OilCoLtd ijin Ltd cmo Ltd oaTuh op 1 1 0.026 11 412 0.089 1128553 0.026 0.023 20 488 0.047 4832 7433 0.024 0.011 4090 1610 0.045 9603 0.022 0.909 2622 0.046 8533 yota Tsusho Corp 8172 0.045 yota MotorCorp 0.813 10666 28542 yota IndustriesCorp 0.054 yota BoshokuCorp 70678 yota Auto BodyCoLtd 0.745 yoda GoseiCoLtd 21797 yobo CoLtd 0.224 0.045 yo SuisanKaishaLtd 173032 3853 0.008 yo SeikanKaishaLtd 0.015 4269 1676 yo GoseiCoLtd 0.157 0.010 88978 yo Corp/Chuo-ku 3450 0.035 to Ltd 14985 soh Corp shin DenkiCoLtd shiba Corp 0.641 13252 ray IndustriesInc 0.028 0.053 3756 ppan PrintingCoLtd 4476 0.008 1820 ppan FormsCoLtd nenGeneral SekiyuKK men Corp 0.009 0.114 kyu LandCorp 1460 17855 0.201 0.134 kyu Corp 15874 112 940 kyu ConstructionCoLtd 0.318 0.430 48413 330135 kyo Tekko CoLtd 1.201 kyo Tatemono CoLtd 95218 0.155 kyo StyleCoLtd 37145 kyo SteelManufacturingCoLtd kyo StarBankLtd/The 0.022 0.038 3777 0.003 kyo SeimitsuCoLtd 83709 918 kyo LeasingCoLtd 0.014 0.282 1479 kyo GasCoLtd 18077 kyo ElectronLtd kyo ElectricPowerCoInc/The 0.625 0.704 97362 41310 0.341 kyo DomeCorp 40886 0.849 0.147 kyo BroadcastingSystemInc 36 117 0.037 0.501 42074 kuyama Corp 1.306 25871 6816 47009 kai RubberIndustriesInc kai RikaCoLtd kai CarbonCoLtd 1.460 hokushinsha FilmCorp 0.047 32335 hoku ElectricPowerCoInc 14295 ho RealEstateCoLtd ho GasCoLtd ho CoLtd/Tokyo ho CoLtd/Hyogo da Corp calo CoLtd bu RailwayCoLtd a Corp/Hyogo o oLd 32 0.005 342 lor CoLtd kw lcrcCr 4 1 0.891 141 212 0.015 0.053 1 762 12263 0.400 210 594 0.031 15 567 0.329 7496 0.009 1 848 0.445 0.026 340823 skawa ElectricCorp 6325 0.040 124512 mazaki BakingCoLtd mato HoldingsCoLtd maichi ElectronicsCoLtd maha MotorCoLtd maha Corp maguchi BankLtd/The mada DenkiCoLtd kult HonshaCoLtd hoo! JapanCorp hny & oLd 241 0.029 2 411 0.035 1.918 3899 83 473 0.045 13 225 0.043 5907 shinoya D&CCoLtd shimoto KogyoCoLtd rk-Benimaru CoLtd kohama RubberCoLtd/The kogawa ElectricCorp tJpnRiwyC 395 0.042 0.047 23935 6234 st JapanRailwayCo coal HoldingsCorp oLd 6 8 1.030 65683 C CoLtd

Market value (NOK 1000)

Ownership stake (per cent) yna oi 1 7 0.219 0.312 116 177 445 554 0.022 1481 0.989 81196 0.057 5396 0.040 15762 0.054 0.957 Hyundai MotorCo 2065 34801 Hyundai Mobis 0.201 46528 Hyundai MipoDockyard Hyundai MerchantMarine 0.485 Hyundai Hysco 160469 0.022 0.062 Hyundai HeavyIndustries 3 986 65958 0.026 0.713 Hyundai Engineering&Construction 0.028 2043 0.177 92396 3041 Hyundai ElevatorCoLtd 5 044 1.344 Hyundai DevelopmentCo 0.045 99 056 6 475 Hyundai DepartmentStoreH&SCoLtd 0.047 Hyundai DepartmentStoreCoLtd 5163 1.800 Hyosung Corp 59727 Hynix SemiconductorInc 0.019 0.505 0.005 1673 Honam PetrochemicalCorp 73970 3098 0.502 Hite BreweryCoLtd 7435 Hanwha ChemCorp Hanmi PharmCoLtd Hankook Tire CoLtd 0.420 Hanjin ShippingCoLtd 85613 0.675 Hana Tour ServiceInc 178995 0.045 Hana FinancialGroupInc 8189 Halla ClimateControl 0.049 3795 0.012 GS HoldingsCorp 0.314 0.025 933 30497 GS Engineering&ConstructionCorp 8819 Genexel-Sein Inc 0.013 Doosan InfracoreCoLtd 0.021 1718 ConstructionCoLtd 0.402 3612 95331 Doosan HeavyIndustriesand 0.060 0.356 Dongkuk SteelMillCoLtd 10008 86631 Dongbu InsuranceCoLtd Daishin SecuritiesCoLtd 0.676 0.062 EngineeringCoLtd 20116 5880 0.516 1.626 Daewoo Shipbuilding&Marine 8253 42753 Daewoo SecuritiesCoLtd 1.311 4083 Daewoo InternationalCorp 2.249 13 Daewoo Engineering&ConstructionCoLtd 13622 0.011 2267 Daelim IndustrialCo Daegu Bank Daeduck ElectronicsCo 0.252 CJ Corp 12927 Cheil IndustriesInc CDNetworks CoLtd Binggrae CoLtd 0.436 67701 Baiksan OPCCoLtd 0.154 AtlasBX CoLtd 23797 Amorepacific Corp REPUBLIC OFKOREA Jollibee FoodsCorp Bank ofthePhilippineIslands Ay PHILIPPINES 0.081 1538 Lihir GoldLtd 0.140 PA 5320 0.058 0.083 6560 2262 Wa Ve 0.165 To 0.116 0.164 14991 Te 4819 26636 Te 0.074 Sky Network Television Ltd 13020 Sky CityEntertainmentGroupLtd 0.013 Sanford Ltd/NZ 0.067 2015 6008 Port of 0.052 Tauranga Ltd 3084 Kiwi IncomeProperty Trust Infratil Ltd Fletcher BuildingLtd 0.169 7138 Fisher &PaykelHealthcareCorp 0.121 0.060 13449 Fisher &Paykel 23505 Appliances HoldingsLtd 0.122 Contact Energy Ltd 3690 Carter HoltHarveyLtd 0.518 25085 Auckland International Airport Ltd Air NewZealandLtd 0.653 0.033 0.056 NEW ZEALAND 19597 25077 21219 0.167 Star PublicationsMalaysiaBHD 0.509 0.520 24167 0.807 15 692 17508 Sime UEP PropertiesBHD 16530 0.790 0.047 Public BankBHD 29299 10162 POS Malaysia&ServicesHoldingsBHD Maxis CommunicationsBhd 2.710 Malaysian OxygenBHD 251806 Malayan BankingBhd Hong LeongBankBHD Guinness Anchor BHD 0.096 19686 Bursa MalaysiaBhd British American Tobacco Malaysia Bhd MALAYSIA Zuken Inc Zeon Corp Zenrin CoLtd Yu Asia/O G OVERNMENT o t 4 0.101 1145 0.026 14088 non Ltd lecom CorpofNewZealandLtd e t 0 0.116 4006 wer Ltd trLd 608 0.050 6048 ctor Ltd hnPeiinEupetC t 782 0.956 17862 shin PrecisionEquipmentCoLtd l adIc 2 5 0.203 27754 ala LandInc PUA NY-GUINEA eos ru t 0 0.080 4004 rehouse GroupLtd ceania P ENSION F UND –G LOBAL

1 0.045 812 Market value (NOK 1000)

Ownership stake (per cent) aSelLd 32 0.015 0.045 352 5610 0.128 0.040 10878 1068 0.029 5671 0.058 6170 0.198 69430 0.035 994 0.097 Noble GroupLtd 4225 0.064 Neptune OrientLinesLtd 9570 0.576 NatSteel Ltd 36898 0.394 MobileOne Ltd 11 028 0.072 MCL LandLtc 12622 Keppel LandLtd Keppel CorpLtd 0.079 2514 Jardine Cycle&CarriageLtd Hotel PropertiesLtd 1.187 Hong LeongFinanceLtd 0.123 0.057 1194526 0.479 5751 1 610 Haw ParCorpLtd 19138 0.319 0.019 GES InternationalLtd 0.230 43041 797 72 520 0.084 Fraser andNeaveLtd 0.059 10590 Fortune RealEstateInvestment Trust 22544 Elec &EltekInternationalCoLtd DBS GroupHoldingsLtd Datacraft 0.072 Asia Ltd 0.082 5569 4442 Creative Technology Ltd 0.058 ComfortDelgro CorpLtd 3256 City DevelopmentsLtd 18 Chartered SemiconductorManufacturingLtd Cerebos PacificLtd CapitaMall Trust 0.129 CapitaLand Ltd 2.195 0.015 68567 13 011 383 CapitaCommercial Trust 0.060 BIL InternationalLtd 0.074 3 960 33032 Allgreen PropertiesLtd SINGAPORE 0.056 55 770 Yu 0.711 W 0.225 25917 W 125699 UBprecision CoLtd Te Ssangyong MotorCo 0.013 S-Oil Corp 1181 0.114 SKC CoLtd 0.013 40598 3528 0.213 SK Telecom CoLtd 210382 SK Corp Sindo RicohCoLtd 0.606 0.045 Shinsegae CoLtd 0.255 137019 0.137 5038 33163 0.060 162013 Shinhan FinancialGroupCoLtd 16543 0.159 Samsung Techwin CoLtd 9147 0.038 0.226 Samsung SecuritiesCoLtd 1420 1467271 Samsung SDICoLtd 0.756 83782 Samsung HeavyIndustriesCoLtd 0.010 1831 Samsung Fire&MarineInsuranceCo 1.106 310109 Samsung FineChemicalsCoLtd 0.022 0.013 2329 Samsung ElectronicsCoLtd 0.970 948 101547 Samsung Electro-MechanicsCoLtd Samsung Corp 1.687 S1 Corp/Korea 20408 0.017 Pusan Bank 2 127 POSCO 0.006 Poongsan Corp 767 People & Telecommunication Inc 0.022 2452 Orion Corp 0.236 0.134 86051 Nong ShimCoLtd 137698 0.022 NHN Corp 1755 0.043 0.054 NCSoft Corp 0.276 3265 13282 235002 LS CableLtd 0.008 3512 Lotte MidopaCoLtd 0.010 4683 Lotte ConfectioneryCoLtd 0.058 0.599 45424 Lotte ChilsungBeverageCoLtd 34484 LG.Philips LCDCoLtd 0.013 1.615 3834 42629 LG Telecom Ltd LG PetrochemicalCoLtd LG Household&HealthCareLtd LG ElectronicsInc 0.027 0.676 4563 52778 LG Corp 0.030 4584 LG ChemLtd LG CardCoLtd 2.131 0.315 0.026 Kumho ElectricCoLtd 21650 543028 16141 KT&G Corp 0.032 0.013 0.053 KT FreetelCoLtd 4760 1933 32487 0.084 KT Corp 0.897 136252 15818 Korean ReinsuranceCo Korean Air LinesCoLtd 0.048 0.899 0.036 Korea InvestmentHoldingsCoLtd 2.091 14108 17655 4661 69257 Korea GasCorp Korea ExchangeBank Korea ElectricPowerCorp Kookmin Bank KoMiCo Ltd 0.013 Kia MotorsCorp 2191 0.303 144487 KH Vatec CoLtd KCC Corp Kangwon LandInc INTOPS CoLtd Interpark Corp INI SteelCo Industrial BankOfKorea Hyundai SecuritiesCo oiFnneHlig oLd 8 2 0.078 84127 0.715 163661 oori Investment&SecuritiesCoLtd oori FinanceHoldingsCoLtd hoSmce oLd 2 6 2.005 24666 chno SemichemCoLtd a op 137 0.013 1307 han Corp Holding of equities Holding of Ltd 63 0 0.142 904 4 0.150 040 Market value (NOK 1000)

Ownership stake (per cent) in auatrn oLd 667 0.182 6677 0.174 0.251 9838 0.140 0.115 15558 12067 66 315 0.400 196 799 Giant ManufacturingCo Ltd 0.010 11 088 Fuhwa FinancialHoldings CoLtd Fubon FinancialHoldingCoLtd 0.220 0.223 0.126 0.221 Fu ShengIndustrialCoLtd 7106 62868 73967 6100 Formosa Taffeta CoLtd 0.165 Formosa PlasticsCorp 5701 0.120 Formosa PetrochemicalCorp 3925 0.104 Formosa Chemicals&FibreCorp 0.192 3009 35880 First FinancialHoldingCoLtd Feng TAY 0.017 EnterpriseCoLtd 0.038 1871 2175 Feng HsinIron&SteelCo Farmers BankofChinaLtd/The 0.093 0.035 Faraday Technology Corp 27717 0.155 0.483 4653 5289 Far EasTone Telecommunications CoLtd 22796 0.103 Far Eastern Textile CoLtd 1726 0.151 Far EasternInternationalBank 5813 Evergreen MarineCorp Tawain Ltd 0.056 14185 Transport Corp 0.058 0.015 3088 Evergreen InternationalStorage& 0.317 751 41285 Eva Airways Corp Eternal ChemicalCoLtd Elitegroup ComputerSystems 3 Elite SemiconductorMemory Technology Inc 0.069 0.071 3125 15271 E.Sun FinancialHoldingCoLtd 0.229 D-Link Corp 17784 0.029 Delta ElectronicsInc 3465 CTCI Corp 0.040 0.063 Cosmos Bank Taiwan 92552 34312 Coretronic Corp 0.060 0.120 0.877 10354 Compeq ManufacturingCo 11 189 25689 0.021 Compal ElectronicsInc 2405 Compal CommunicationsInc 0.354 CMC MagneticsCorp 0.136 134431 Chunghwa Telecom CoLtd 4880 Chunghwa Picture Tubes Ltd 0.139 Chipbond Technology Corp 0.234 2582 6117 Chinatrust FinancialHoldingCo China SteelCorp China MotorCorp 28 0.173 China DevelopmentFinancialHoldingCorp 88331 0.043 China BillsFinanceCorp 0.049 6973 3190 China Airlines 0.137 Chicony ElectronicsCoLtd 0.114 22326 0.173 7775 Chia HsinCementCorp 0.443 6304 0.153 Chi MeiOptoelectronicsCorp 8322 23630 0.059 0.045 Cheng UeiPrecisionIndustryCo 61606 26720 0.127 Cheng ShinRubberIndustryCoLtd 6290 0.042 0.052 Chang HwaCommercialBank 640 30 995 0.058 Cathay RealEstateDevelopmentCoLtd 6127 0.118 Cathay FinancialHoldingCoLtd 0.061 11 116 23210 0.061 Catcher Technology CoLtd 0.182 4760 Capital SecuritiesCorp 3552 Benq Corp Bank ofKaohsiung AU OptronicsCorp Asustek ComputerInc 0.192 Askey ComputerCorp 4262 Asia OpticalCoInc 0.921 Asia CementCorp 37936 Arima ComputerCorp 0.225 Advantech CoLtd 0.487 63609 Advanced SemiconductorEngineeringInc 34503 Acer Inc Accton Technology Corp TAIWAN 0.346 0.529 28059 94307 0.084 0.165 0.099 Wi 3604 151311 0.065 6520 0.125 Wheelock PropertiesSLtd 4314 11 177 WBL CorpLtd Wa Ve 0.304 United OverseasLandLtd 27194 0.047 United OverseasBankLtd 4183 United IndustrialCorpLtd 0.106 Straits Trading 29365 CoLtd 0.351 0.181 STATS ChipPAC 43293 Ltd 321115 0.125 Starhub Ltd 77238 0.198 SMRT CorpLtd 32257 Singapore Telecommunications Ltd 0.065 3299 Singapore PressHoldingsLtd 0.082 Singapore PostLtd 0.040 15916 Singapore LandLtd 0.038 2505 0.215 1869 21710 Singapore ExchangeLtd Singapore Airport Terminal ServicesLtd Singapore Airlines Ltd SembCorp MarineLtd 0.084 6575 SembCorp LogisticsLtd SembCorp IndustriesLtd 0.151 Peoples FoodHoldingsLtd 128161 Parkway HoldingsLtd Pacific CenturyRegionalDevelopmentsLtd Overseas UnionEnterpriseLtd Oversea-Chinese BankingCorp tr opLd 5 0 0.343 51908 nture CorpLtd gTiHlig t 5 0.087 3753 ng Tai HoldingsLtd tWn odnsLd 299 0.034 2929 nt Want HoldingsLtd at31 December 2005 A NNUAL R 75 0.028 745 1 0.200 417 0 0.104 604 Market value EPORT (NOK 1000) 2005 Ownership stake (per cent)

51 52 Limited companie Yu Yu Yu Yi Ya Ya Ya Wi Wi 0.177 Wi 0.059 6178 Wa 44315 0.209 Wa 22686 Wa 0.264 24176 Vi 0.037 Va 2297 United MicroelectronicsCorp Uni-President EnterprisesCorp Union BankOf Taiwan Unimicron Technology Corp U-Ming Marine Transport Corp 0.092 292390 Tr To To Te Ta 0.219 Ta 4074 ManufacturingCoLtd Ta Ta Ta Ta Ta Ta 0.172 0.157 Ta 14021 1950 Ta 0.070 Ta 3623 0.226 0.067 Ta 17341 0.108 1 075 0.065 25349 Systex Corp 0.062 4052 0.164 Synnex Technology 13539 InternationalCorp 3215 Sunplus Technology CoLtd 0.040 0.011 SinoPac FinancialHoldingsCoLtd 4490 2453 Siliconware PrecisionIndustriesCo 0.024 7503 Silicon IntegratedSystemsCorp 0.230 14078 Shin KongFinancialHoldingCoLtd 0.174 0.030 Sheng Yu SteelCoLtd 1667 3894 Sampo Corp 0.121 Ruentex IndustriesLtd 4252 Ritek Corp 0.099 0.258 Realtek SemiconductorCorp 12894 26327 Quanta DisplayInc 0.222 0.000 0.089 Quanta ComputerInc 19817 2 4677 ProMOS Technologies Inc Prodisc Technology Inc 0.193 47993 President SecuritiesCorp 0.219 President ChainStoreCorp 7631 Premier Image Technology Corp Powertech Technology Inc 0.078 Powerchip SemiconductorCorp 0.043 0.160 4413 1470 POU ChenCorp 4828 1 0.440 Polaris SecuritiesCoLtd 43741 0.160 Pihsiang MachineryManufacturingCoLtd 0.037 0.057 4415 5824 0.191 6429 Phoenixtec PowerCoLtd 0.056 131597 Phoenix Precision Technology 10238 Corp 0.227 Oriental UnionChemicalCorp 156733 Optimax Technology Corp Novatek MicroelectronicsCorpLtd 0.156 Nien MadeEnterprises 5046 0.174 0.072 Nien Hsing 0.246 Textile CoLtd 0.145 6098 4548 13438 72409 Nanya Technology Corp Nan Ya 0.052 PlasticsCorp 12566 0.207 Mitac International 0.043 8114 5214 Micro-Star InternationalCoLtd Mega FinancialHoldingCoLtd 0.189 MediaTek Inc 11 901 0.226 Masterlink SecuritiesCorp 22798 Macronix International 0.157 Lite-On Technology 2255 Corp 0.224 15210 0.734 LITE-ON IT Corp 12858 Largan PrecisionCoLtd 0.144 0.234 Kinsus Interconnect Technology Corp 5895 0.015 21211 Kinpo Electronics 827 KGI SecuritiesCoLtd Kenda RubberIndustrialCo 0.146 0.079 Jih SunFinancialHoldingsCoLtd 38808 0.058 7556 26129 Inventec CoLtd Ichia Technologies Inc 0.216 Hua NanFinancialHoldingsCoLtd 0.160 9365 239367 Hsinchu InternationalBank Hotai MotorCoLtd HON HAIPrecisionIndustryCoLtd High Tech ComputerCorp HannStar DisplayCorp Gigabyte Technology CoLtd Asia/O equities Holding of ncn nomto n 7 0.115 4871 anscend InformationInc ehooisIc 186 0.032 1806 a Technologies Inc hPu nepie 596 0.203 5996 eh PhuiEnterprise ugC t 6 0.067 5369 0.202 3613 0.231 0.174 8634 7961 0.082 co ElectricandMachineryCoLtd 0.175 3209 0.030 tung CoLtd 0.174 13532 0.071 4048 14528 iwan StyreneMonomer 7457 0.048 14016 0.141 iwan Semiconductor 10413 iwan SecomCoLtd iwan LifeInsuranceCoLtd iwan GlassIndustrialCorp iwan FertilizerCoLtd 0.021 iwan CooperativeBank 3838 iwan CementCorp iwan CellularCorp iwan BusinessBank ishin FinancialHoldingsCoLtd nguard International Semiconductor Corp 1 1 nguard InternationalSemiconductorCorp iIdsra op 362 0.159 3622 0.157 5347 ng Yang IndustryCoLtd n Yi IndustrialCorp e op 1 8 0.233 16183 0.029 2947 0.043 2 952 ng MingMarine Transport geo Corp HsinIndustrialCoLtd en Foong Yu Paper Manufacturing Co Ltd 7 7 en Foong Yu PaperManufacturing CoLtd o oo oLd 1 5 0.140 14453 0.187 28106 lon MotorCoLtd anta CorePacificSecuritiesCo to op 422 0.043 4232 0.225 22455 0.052 4712 stron Corp ntek Corp nbond ElectronicsCorp a ie t 3 0.022 1736 0.234 17563 0.121 5894 terland FinancialHoldings n HaiLinesLtd lsin LihwaCorp ceania s are categorised under the country where the company has its headquarters. its has company the where country the under categorised s are

3 0.214 730 0.017 399 0.111 994 Market value (NOK 1000) Ownership stake at31 December 2005 (per cent) neto L 302 0.115 33022 0.091 47524 0.345 0.627 0.620 101441 126176 Investcom LLC 18510 EMIRATES 0.072 UNITED ARAB 26278 0.873 0.069 32693 Ti 37183 Siam CementPCL Regional ContainerLinesPCL PTT Exploration&ProductionPCL 0.161 Krung Thai BankPCL 9058 Kasikornbank PCL Hana MicroelectronicsPcl Bangkok BankPCL THAILAND Zyxel CommunicationsCorp Yu c akPL 2 9 0.919 22997 sco BankPCL ga niern oLd 444 0.250 4474 ngtay EngineeringCoLtd

Market value (NOK 1000) Ownership stake (per cent) ntasLd 609 0.171 6049 0.229 W 10583 We Ve 0.234 Unitrans Ltd 24484 0.220 T 0.254 362740 T 0.209 44550 0.054 11 723 T 5436 0.375 0.220 To 0.228 410521 23552 92153 T 0.217 Te 0.213 49368 23175 Super GroupLtd 0.272 0.171 Sun InternationalLtd 0.091 185141 60465 3515 Steinhoff InternationalHoldingsLtd Standard BankGroupLtd Spar GroupLtd/The Shoprite HoldingsLtd Sasol Ltd 0.104 15429 Sappi Ltd 0.079 Santam Ltd 0.165 5740 Sanlam Ltd 7799 0.089 RMB HoldingsLtd 15695 0.228 0.299 Reunert Ltd 7868 112 468 0.233 0.112 Remgro Ltd 27248 52795 Primedia Ltd Pretoria PortlandCementCoLtd 0.733 0.128 Pickn PayStoresLtd 60598 18756 Pickn PayHoldingsLtd Northam PlatinumLtd 0.083 0.226 0.171 3173 249478 New ClicksHoldingsLtd 6981 Network HealthcareHoldingsLtd Net 1UEPS Technologies Inc Nedbank GroupLtd 0.225 0.277 15605 4219 0.129 Naspers Ltd 0.131 9708 38158 0.054 Nampak Ltd 0.231 0.072 0.089 5383 25403 Mvelaphanda ResourcesLtd 16136 4474 Mvelaphanda GroupLtd Murray &RobertsHoldingsLtd 0.222 MTN GroupLtd 0.230 0.012 32073 0.048 Mittal SteelSouth 29867 Africa Ltd 257 15882 Metropolitan HoldingsLtd Medi-Clinic CorpLtd 0.001 621 Massmart HoldingsLtd 0.172 0.205 7911Liberty HoldingsLtd 70884 Liberty GroupLtd Lewis GroupLtd Lereko MobilityPTY LtdSUBOR 0.162 0.281 Kumba ResourcesLtd 10169 187488 Johnnic HoldingsLtd JD GroupLtd 0.219 0.254 Investec Ltd 29261 0.215 0.246 149585 0.038 Imperial HoldingsLtd 17767 88029 0.172 1906 189807 Impala PlatinumHoldingsLtd 0.059 0.063 Illovo SugarLtd 5251 2166 Hosken ConsolidatedInvestmentsLtd 0.213 0.225 6503 Highveld Steeland Vanadium CorpLtd 18292 0.221 Harmony GoldMiningCoLtd 8904 Growthpoint PropertiesLtd 0.030 Grindrod Ltd 4410 0.234 Gold ReefCasinoResortsLtd 0.069 47341 Gold FieldsLtd 1178 0.226 0.236 Foschini Ltd 60792 74871 FirstRand Ltd Ellerine HoldingsLtd Edgars ConsolidatedStoresLtd DRDGOLD Ltd Discovery HoldingsLtd 0.173 Delta ElectricalIndustries 10076 Consol Ltd 0.094 0.124 Caxton andCTP Publishers and 100050 0.127 110 369 17481 Bidvest GroupLtd 0.092 5202 0.181 Barloworld Ltd 3887 0.144 A 0.209 0.243 10504 12169 15019 0.111Av 10466 Aspen PharmacareHoldingsLtd ApexHi PropertiesLtd 0.093 8512 AngloGold Ashanti Ltd 0.115 82906 Anglo PlatinumLtd 0.233 Allied Technologies Ltd 30417 Allan GrayProperty Trust Alexander ForbesLtd African RainbowMineralsLtd African OxygenLtd African BankInvestmentsLtd Afgri Ltd 0.221 Aeci Ltd 176241 ABSA GroupLtd SOUTH AFRICA Orascom Telecom HoldingSAE EGYPT Africa ecrLd 608 0.173 6048 0.091 0.214 1291 0.185 26814 48672 ruworths InternationalLtd rencor Ltd rans HexGroupLtd iger BrandsLtd ILd 1 0 0.201 10400 VI Ltd owrh odnsLd 2 7 0.210 27879 oolworths HoldingsLtd kmS t 452 0.093 74592 lkom SA Ltd ga-uetGopLdTe 801 0.089 8071 ngaat-Hulett GroupLtd/The FnLd 6 8 0.257 63285 nFin Ltd n t 849 0.242 18419 eng Ltd tr ra t 306 0.176 13066 stern Areas Ltd Printers Ltd 5 Printers Ltd

4 0.061 145 Market value (NOK 1000)

Ownership stake (per cent) GOVERNMENT PENSION FUND – GLOBAL ANNUAL REPORT 2005 53

Fixed income securities at 31 December 2005

Europe alue in NOK 1000 alue in NOK 1000 alue in NOK 1000 V V V

AUSTRIA Imerys SA 88 029 Voith AG 46 597 Asfinag 121 257 Ixis Corporate & Investment 1 258 403 Volkswagen AG 185 439 Austrian government 7 899 321 Klepierre SA 25 549 Westfaelische Landschaft-Bodenkredit AG 1 000 670 Bank Austria Creditanstalt AG 239 999 La Poste 296 676 Bank Fuer Arbeit und Wirtschaft AG 933 985 Lafarge S.A. 186 151 GREECE Bundesimmobiliengesellshaft mbH 68 945 LVMH Moet Hennessy Louis Vuitton 103 728 Alpha Bank AE 12 414 Energie AG Oberoesterreich 16 971 Natexis Banques Populaire 25 777 Bank of Cyprus Ltd 14 059 Erste Bank der Oesterreichischen Sparkassen AG 116 391 Peugeot SA 91 484 Coca Cola Hellenic Bottling Co SA 56 140 Hypo Alpe-Adria-Bank International AG 112 726 Pinault Printemps Redoute 159 805 EFG Eurobank Ergasias SA 48 361 Kommunalkredit Austria AG 871 865 Regie Autonome des Transports Parisiens 137 081 Hellenic Republic 16 937 594 Pfandbriefstelle der Oesterreichischen Remy Cointreau S.A. 17 589 National Bank of Greece SA 4 257 Landes-Hypothekenbanken 527 404 Renault SA 28 145 OTE PLC 162 417 Sappi Papier Holding AG 44 847 Reseau Ferre de France 1 348 998 Piraeus Bank S.A. 16 049 Telekom Austria AG 226 176 Sanofi-Aventis SA 333 708 Public Power Corp 34 082 Wienerberger AG 90 173 Schneider Electric SA 25 507 SNCF 649 723 HUNGARY BELGIUM Societe Generale 646 675 Hungarian government 1 076 800 Belgian government (880 275) Societe Television Francaise 1 91 836 Mol Magyar Olaj- es Gazipari Rt 171 820 Dexia Credit Local 178 158 Sodexho Alliance SA 8 925 National Bank of Hungary 19 062 Elia System Operator SA 83 012 Suez SA 192 945 OTP Bank Rt 7 925 Kingdom of Belgium 4 004 Thomson (112 384) Societe Nationale de Chemins de Fer Belges 189 216 Total SA 109 803 IRELAND Solvay SA 136 962 Vauban Mobilisation Garantie 1 440 201 Aer Rianta 46 691 Veolia Environnement 368 221 Allied Irish Banks PLC 230 964 BULGARIA Vinci SA 206 222 Anglo Irish Bank Corp PLC 262 585 Bulgarian government (25 184) Vivendi Universal SA 447 803 Bank of Ireland 327 356 Eirles Four Ltd 32 238 CZECH REPUBLIC GERMANY Irish government 186 927 Ceska Exportni Banka AS 356 709 Allgemeine Hypothekenbank Rheinboden AG 1 975 537 Provide PLC 24 137 CEZ Finance BV 30 155 Allianz AG 1 285 569 Pure Mortgages 2 284 BankGesellschaft Berlin AG 1 282 535 Taurus CMBS PLC 4 227 CROATIA BASF AG 131 323 Titan Europe PLC 10 448 Croatian government 564 675 Bayer AG 157 190 Valentia Telecommunications Ltd 17 846 Zagrebacka Bank 227 794 Bayerische Hypo-und Vereinsbank AG 3 762 677 Bayerische Landesbank 6 825 776 ICELAND DENMARK Bayerische Motoren Werke AG 169 314 Kaupthing Bunadarbanki HF (183 661) BRFkredit AS 2 486 011 Berlin Land 2 081 523 Danish government 9 827 494 Bertelsmann AG 83 383 ITALY Danske Bank A/S 435 120 Bremer Landesbank Kreditanstalt 87 260 ASM Brescia SpA 44 007 DLR Kredit A/S 20 098 Commerzbank AG 98 762 Asset-Backed European Securitisation Trans 8 045 Dong A/S 1 724 873 DaimlerChrysler 2 215 153 Assicurazioni Generali SpA 237 294 ISS Global A/S 148 023 Degussa AG 80 354 Atlantide Finance SRL 1 590 Nykredit Realkredit A/S 4 771 430 Deka Bank Deutsche Girozentrale 1 291 640 Autostrade SpA 350 872 Realkredit Danmark A/S 1 468 799 Depfa Bank AG 9 802 637 Banca Antonveneta SpA 26 612 Sydbank A/S 12 004 Deutsche Apotheker- und Aerztebank 217 688 Banca Intesa SpA 236 097 Tele Danmark AS (TDC AS) 563 438 Deutsche Bahn BV 448 687 Banca Lombarda SpA 19 611 Tryg Forsikring AS 204 474 Deutsche Bank AG 641 622 Banca Monte dei Paschi di Siena SpA 840 280 Deutsche Genossenschafts Hypothekenbank 660 972 Banca Popolare dell’Emilia Romagna Scrl 12 020 ESTONIA Deutsche Post AG 681 236 Banca Popolare di Vicenza 8 029 Eesti Energia AS 106 570 Deutsche Telekom AG 2 157 349 Banca Popolare Italiana 123 675 Dresdner Bank AG 201 006 Bankinter Fondo De Titulizacion Hipotecaria 4 010 FINLAND Duesseldorfer Hypothekenbank 597 157 Capitalia SpA 12 043 Elisa Communications Oyj 3 965 Eurohypo AG 6 525 991 Cas Depositi e Prestiti SpA 3 339 232 Finnish government (394 369) EWE AG 205 591 Cassa di Risparmio di Firenze SpA 32 628 Fortum Oyj 240 281 German government 88 403 822 CIR - Compagnie Industriali Riunite SpA 174 706 Municipality Finance PLC 90 816 Gemeinsame Deutsche Bundeslaender 1 419 082 City of Rome 49 656 OKO Bank 165 027 Gerling-Konzern Lebensversicherung AG 44 241 Edison SpA 51 488 Sampo Oyj 211 027 Hannover Rueckversicherung AG 248 323 Enel SpA 222 372 Stora Enso Oyj 221 432 HeidelbergCement AG 8 752 ENI SPA 98 418 UPM-kymmene Corp 196 982 Henkel KGaA 899 666 Fiat Finance & Trade Ltd 66 717 Hornbach Holding AG 4 024 Finsoe SpA 229 865 FRANCE HSH Nordbank AG 2 909 237 Fondo Immobili Pubblici Funding S.R.L 4 068 Accor SA 98 674 Hypo Real Estate Bank AG 358 285 IItalfinance Securitisation Vehicle SRL 8 004 Agence Francaise de Developpement 60 317 Hypothekenbank in Essen AG 4 493 232 Italian government 42 016 528 Air Liquide 35 529 IKB Deutsche Industribank 111 099 Locat Securitisation Vehicle SRL 12 021 Alcatel SA 32 722 Kreditanstalt fuer Wiederaufbau 9 027 214 Lottomatica SpA 20 664 Auchan SA 57 214 Land Brandenburg 237 912 Poste Italiane SpA 271 597 AXA SA 537 828 Land Hessen 503 229 REGION OF LOMBARDY 73 358 Banque Federative du Credit Mutuel 112 158 Land of North-Rhine Westphalia 2 253 179 REGION OF SICILY 134 257 BNP Paribas 803 456 Land Sachsen-Anhalt 351 002 Romulus Finance SRL 38 304 Bouygues SA 237 023 Landesbank Baden-Wuerttemberg 8 013 275 Sanpaolo IMI SpA 293 748 Caisse Centrale des Assurances Mutuelles Agricoles 96 992 Landesbank Berlin 2 560 244 SCIP Societa Cartolarizzazione Immobili Pubblic 4 033 Caisse Centrale du Credit Immobilier de France 188 374 Landesbank Hessen-Thueringen Girozentrale 1 831 609 Telecom Italia SpA 2 431 667 Caisse d’Amortissement de la Dette Sociale 7 436 035 Landesbank Sachsen Girozentrale 163 801 Trevi Finance 4 198 Caisse Nationale des Autoroutes 197 427 Landeskreditbank Baden-Wuerttemberg Foerderbank 646 945 UniCredito Italiano SpA 342 148 Caisse Nationale des Caisses d’Epargne et Landwirtschaftliche Rentenbank 5 688 287 de Prevoyance 244 541 Lanxess AG 82 132 LUXEMBOURG Caisse Refinancement de l’Habitat 1 023 314 Linde AG 42 174 Arcelor 86 051 Carrefour SA 245 628 Metro Finance BV 138 049 Euroclear Finance SA 16 680 Casino Guichard Perrachon SA 177 073 Muenchener Rueckversicherungs AG 920 683 Kuznetski Capital for Bank of Moscow 3 436 Cie de Saint-Gobain 104 831 Muenchner Hypothekenbank 2 176 907 SES Global SA 65 883 CIF Euromortgage 1 313 636 Norddeutsche Landesbank 370 806 Cofinoga SA 25 843 NRW Bank 7 409 762 NETHERLANDS Compagnie Generale des Etablissements Michelin 162 676 Oebb Holding AG 198 290 ABN Amro Bank NV 647 804 Credit Agricole SA 647 497 ProSieben SAT.1 Media AG 17 297 ABN Amro Bouwfonds Nederlandse Gemeenten NV 817 597 Credit Foncier de France 7 342 077 Robert Bosch Gmbh 58 060 Aegon NV 119 663 Dexia Municipal Agency 7 938 400 RWE AG 447 439 Akzo Nobel NV 123 972 Electricite de France 646 901 SEB Hypothekenbank AG 364 301 Arena BV 8 038 France Telecom 1 035 177 Siemens AG 17 206 Bank Nederlandse Gemeenten N.V. 3 465 666 French government 11 000 715 Suedzucker AG 300 091 DSM NV 73 648 French Residential Asset 16 013 Talanx AG 310 987 Dutch government 3 884 788 Gaz de France 47 220 ThyssenKrupp AG 156 529 Dutch MBS BV 4 005 Gecina SA 68 998 TUI AG 7 987 E. ON AG 666 812

Fixed income securities at 31 December 2005

Europe alue in NOK 1000 alue in NOK 1000 alue in NOK 1000 V V V

Eneco Holding NV 83 590 Spanish government 6 523 041 Dolerite Funding PLC 5 841 Essent NV 68 207 Telefonica Europe B.V. 312 924 DSG International PLC 36 505 Eureko B.V. 83 590 Titulizacion De Activos 4 004 Emi Group PLC 14 766 Fixed link finance BV 73 741 Union de Creditos Inmobiliarios, E.F.C. S.A 16 016 Enterprise Inns PLC 179 808 Fortis Finance N.V. 446 764 Epic PLC 5 774 ING Bank N.V. 1 391 287 SWEDEN Equity Release Funding PLC 17 724 Ing Group NV 47 039 Akademiska Hus AB 167 702 FirstGroup PLC 39 130 KBC Bank N.V. 3 993 Electrolux AB 61 996 Fleet Street Finance One PLC 11 254 Koninklijke Ahold NV 35 703 Investor AB 132 544 Friends Provident PLC 115 214 Mittal Steel Co NV 10 027 Kommuninvest i Sverige Aktiebolag 509 909 Gallaher Group PLC 72 291 Monastery BV 12 044 Landshypotek AB 44 960 GKN Holdings PLC 71 600 Nederlandse Waterschapsbank N.V. 862 073 Lansforsakringar AB 16 556 Glaxo Smithkline 281 602 NIB Capital Bank N.V. 68 258 Nordea Bank AB 969 405 Gracechurch Card Funding PLC 98 546 Nuon NV 16 370 Scania AB 129 584 Granite Master Issuers PLC 4 798 NV LuchtHaven Schiphol 25 727 Securitas AB 26 500 Great Universal Stores PLC (115 287) Rabobank Nederland 1 608 044 Skandinaviska Enskilda Banken AB 1 450 167 Greene King Finance PLC 35 332 Rodamco Europe Finance BV 105 068 Specialfastigheter Sverige AB 44 714 Hammerson PLC 38 772 Royal Dutch/Shell Group of Companies 138 839 Spintab AB 795 004 Hanson PLC 114 607 Royal KPN NV 369 796 Svenska Cellulosa AB 170 414 Harbour Funding PLC 45 264 Shield BV 8 006 Svenska Handelsbanken 2 850 914 HBOS PLC 6 369 840 SMILE 2005 Synthetic B.V. 3 998 Swedbank (FöreningsSparbanken) 137 480 Hilton Group PLC 136 073 SNS Bank NV 397 771 Swedish government 2 310 799 HSBC Holdings PLC 3 547 178 SNS Reaal Groep NV 7 976 Swedish National Housing Finance 288 990 Imperial Chemical Industries PLC 64 455 SovRisc BV 953 401 Telefonaktiebolaget LM Ericsson 309 926 Imperial Tobacco Group PLC 102 949 TPG NV 64 992 TeliaSonera AB 85 555 Integrated Accom Service 41 886 Unilever NV 348 340 Vattenfall Treasury AB 800 764 Investec Finance PLC 13 318 Union Fenosa S.A. 59 604 Volvo AB 223 968 ITV PLC 197 622 Urenco Finance NV 43 863 J. Sainsbury PLC 311 977 VNU NV 41 731 SWITZERLAND Jardine Strategic Holdings Ltd. 35 960 Wolters Kluwer N.V 117 090 ABB International Finance Ltd 9 049 Karta 2005-1 PLC 4 015 Adecco SA 42 065 Kelda Group PLC 103 854 POLAND Ciba Specialty Chemicals AG 50 991 Kingfisher PLC 69 565 Polish government 1 544 130 Credit Suisse Group 1 838 776 Land Securities PLC 141 051 Telekomunikacja Polska SA 93 714 Glencore International AG 79 514 LCR FINANCE PLC 373 953 Holcim Ltd 244 229 Leeds & Holbeck Building Society 6 173 PORTUGAL Merck KGaA 40 026 Leek Finance PLC 21 485 Banco BPI SA 9 265 Nestle SA 47 648 Legal & General Group PLC 197 973 Banco Comercial Portugues S.A. 245 327 Roche Holding AG 61 140 Lloyds TSB Bank PLC 543 147 Banco Espirito Santo S.A. 892 775 Swiss Confederation 3 878 985 London and Regional Debt Securitisation PL 11 675 Banif SGPS SA 24 093 Swiss Life Holding 334 749 Lothian Mortgages PLC 5 829 Brisa-Auto Estradas de Portugal SA 86 691 Syngenta AG 5 035 Marks & Spencer PLC 306 517 Caixa Geral de Depositos 8 024 UBS AG 262 736 Meadowhall CMR Finance PLC 57 016 Cimpor Cimentos de Portugal SA 75 497 Unique Flughafen Zurich AG 27 987 Mitchells & Butlers PLC 118 301 Energias de Portugal SA 102 902 mmO2 PLC 296 549 Espirito Santo Financial Group SA 8 868 TURKEY Mound Financing PLC 18 704 Lusitano Mortgages PLC 3 196 Turkish government (13 464) National Air Traffic 62 533 Parpublica - Participacoes Publicas SGPS SA 199 475 National Grid Transco PLC 965 000 Portugal Telecom SGPS SA 255 025 UKRAINE Nationwide Building Society 1 563 582 Portugese government 6 139 071 NAK Naftogaz Ukrainy 9 294 Network Rail Ltd 9 567 607 Refer-Rede Ferroviaria Nacional SA 92 869 Northern Rock PLC 1 576 564 Sagres STC SA/Douro Mortgages 4 003 UK Octagon Healthcare Funding PLC 33 927 Abbey National PLC 486 384 Old Mutual PLC 171 512 RUSSIAN FEDERATION Alba PLC 5 838 Opera Finance PLC 47 012 OAO Gazprom 384 317 Alliance & Leicester PLC 63 994 Paragon Mortgages PLC 31 439 Russian Agricultural Bank 3 410 Amvescap PLC 185 164 Pearson PLC 149 483 Russian Federation 1 690 996 Anglian Water PLC 243 846 Pernod-Ricard SA 193 723 Sberbank RF 10 484 Anglo American PLC 78 900 Pilkington PLC 43 725 Tyumen Oil 8 523 Annington Finance 124 334 Principality Building Society 13 091 Vneshtorgbank 59 308 Arran Funding Ltd 11 647 Prudential PLC 303 924 Artesian Finance PLC 44 929 Punch Taverns 145 290 SLOVENIA Auburn Securities PLC 34 985 Real Estate Capital PLC 4 330 Nova Ljubljanska Banka 24 387 Aviva PLC 525 602 Rentokil Initial 60 096 Slovenian government 138 866 BACB Jersey Ltd 6 771 Resolution PLC 137 409 Bank of England Notes 2 204 585 Reuters Group PLC 25 278 SPAIN Barclays Bank PLC 1 082 340 Rexam PLC 87 097 Altadis SA 64 148 BG Energy Capital PLC 74 827 Rio Tinto PLC 129 938 Autonomous Community of Valencia 845 892 BOC Group PLC 62 271 RMAC 17 454 AyT Cedulas Cajas FTA 4 871 476 Boots Group PLC 60 965 RMPA Services PLC 77 614 Bancaja Fondo De Titulizacion De Activos 16 127 BP PLC 117 508 Rolls-royce PLC 103 700 Banco Bilbao Vizcaya Argentaria SA 6 665 793 Bradford & Bingley PLC 2 374 870 Royal & Sun Alliance Insurance Group 93 098 Banco de Sabadell SA 99 196 Britannia Bldg Society 11 988 Royal Bank of Scotland Group PLC 1 926 726 Banco Pastor SA 16 172 British American Tobacco PLC 303 381 Royal London Mutual Insurance Society Ltd 70 330 Banco Popular Espanol SA 3 929 426 British Broadcasting Corp 75 529 Safeway PLC 72 429 Banco Santander Central Hispano SA 5 845 923 British Land Co PLC 153 877 Sandwell Commercial Finance PLC 11 628 BBVA Hipotecario Fondo De Titulizaciton De 7 998 British Sky Broadcasting (8 916) Schlumberger Technology Corp 89 178 Caja de Ahorros de Valancia Castellon y Alicante 79 418 British Telecommunications PLC 501 735 Scottish Power PLC 136 842 Caja de Ahorros y Monte de Piedad de Madrid, S.A. 3 680 855 British United Provident Association Ltd 62 144 Scottish Widows PLC 236 629 Caja de Ahorros y Pensiones de Barcelona 1 326 893 Brixton PLC 5 871 SEVERN TRENT 112 735 Caja Galicia Preferentes 88 789 BAA PLC 296 823 Sherwood Castle Funding PLC 66 449 Caja Rural Intermediterranea, Sociedad Cadbury Schweppes PLC 352 457 Singer & Friedlander Group 6 576 Cooperativa de Credito 11 970 Canary Wharf Finance PLC 212 359 Slough Estates PLC 71 096 Cedulas TDA 3 644 148 Centrica PLC 86 679 Smiths Group PLC 66 749 Corporaticion de Reservas Estrategicas de Chesire Building Society 12 017 Southern Gas Network PLC 17 858 Productos Petroliferos (CORES) 293 275 Chester Asset Receivables Dealings PLC 73 725 Southern Water Services Finance PLC 211 469 Endesa SA 199 694 Clerical Medical Finance PLC 105 210 Spirit Issuer PLC 18 073 Ftpyme Bancaja 8 005 Compass Group PLC 105 577 Standard Bank Group Ltd 20 629 Gas Natural SDG, S.A. 18 491 Co-Operative Bank PLC 33 935 Standard Chartered PLC 195 854 GAT Ftgencat 4 000 Corp of Lloyds 308 812 Standard Life Assurance Co 659 552 Iberdrola SA 232 531 Coventry Building Society 36 065 Tate & Lyle PLC 137 401 Insitut Credito Oficial 995 891 CTRL Section 1 Finance PLC 64 443 Taylor Woodrow PLC 26 145 Radio Television Espanola 411 424 Daily Mail & General Trust 87 385 Telereal Securitisation PLC 119 200 Red Electrica de Espana 59 036 Derby Healthcare PLC 53 941 Tesco PLC 228 371 Repsol YPF SA 289 244 Diageo PLC 251 544 Tomkins PLC 77 278

Sovereign, local, and municipal bonds are classified under the country in question. Bonds issued by private companies are classified under the country where the company has its headquarters. Holdings are based on the trade date. Sell/buyback agreements and buy/sellback agreements have forward settlement. Negative holdings may therefore be reported without expressing the true financial exposure. P ru L 78132 38226 Asia 18446 473758 WPP GroupPLC (50257279) W Wi Wi White CityPropertyFin We We We W&DB IssuerPLC Vo United UtilitesPLC UK government Tr Europe G owrh ru L 12042 oolworths GroupPLC OVERNMENT fodCnr iac t 44195 afford CentreFinanceLtd aoeGopPC 816852 dafone GroupPLC deeCb 4697 24743 ndmere Cmbs llis GroupHoldingsLtd tCattanFnnePC 29624 39206 22210 st CoasttrainFinancePLC ssex Water ServicesFinancePLC rretown SupermarketsSecuritisationsPLC P ENSION F UND –G LOBAL

Value in NOK 1000 e eln oenet 1006187 127221 80636 179369 6835 Te New Zealandgovernment Fonterra CooperativeGroupLtd 14672 NEW ZEALAND Te Petroliam NasionalBerhad 34175 Malaysian government 7586 MALAYSIA 57966 Gulf InvestmentCorp KUWAIT 765109 JSC kazkommertsbank 405366 Development BankofKazakhstan 21572 88584 509356 18272 KAZAKHSTAN To 1010149 To 72293453 Ta Sumitomo MitsuiBankingCorp Sony Corp Shinsei BankLtd. 30037 87716 33162 Sanyo ShinpanFinanceCo 401065 Resona BankLtd Nippon LifeInsurance Mizuho BankLtd Kal Japan ABS 68072 56088 Japanese government 121534 17462 Japan HighwayPublicCorporation 216070 241355 Enterprises 34325 Japan FinanceCorporationforMunicipal Japan FinCorpS&MEntrp 86455 Japan BankforInternationalCooperation 184534 Honda MotorCoLtd 649547 Government HousingLoanCo. 120271 Fukoku MutualLifeInsuranceCo 168419 Fujitsu Ltd DTC FiveFundingLtd 11 339 Dai-ichi MutualLifeInsuranceCo Credit SaisonCoLtd Chuo Mitsui Trust &BankingCoLtd Bank of Tokyo-Mitsubishi Ltd. 35533 Aiful Corp Acom CoLtd JAPAN 112 203 Israel ElectricCorp Israel AID ISRAEL 149495 37041 322 740 74241 34969 ICICI BankLtd 33354 INDIA 100454 26393 PCCW CapitalLtd MTR CorporationLimited Kowloon CantonRailwayCorp 365251 Limited Hutchison Whampoa 137626 Hongkong LandHoldingsLtd 7981 Chinatrust FinancialHoldingCo 2036 China Light&Power Bank ofEast Asia Ltd Bangkok BankPubCO(HK) 10138 HONG KONG Export-Import BankOfChina 34783 CNOOC Ltd 70739 Chinese government China DevelopmentBank 3094 CHINA, PEOPLE´SREPUBLIC 49445 Gulf InternationalBankBsc 23271 Ahli UnitedBank 948 92400 545 BA 243400 29266 58660 We Te Symbion HealthLtd 2132053 Queensland Treasury Corp 54090 Qantas Airways Puma FinanceLimited New South Wales Treasury Corp Bank National Australia Mantis ReefLtdII Foster’s GroupLtd Commonwealth Bankof Australia 268018 BHP BillitonLtd Australian government Australia &NewZealandBankingGroupLtd Amcor Ltd AU eo opo e eln t 121123 53054 lecom CorpofNewZealandLtd naga NasionalBerhad 152759 kefuji Corporation 266304 lstra CorpLtd oaMtrCr 262654 230952 yota MotorCorp kyo ElectricPowerCompanyInc. til ru 263050 stfield Group HRAIN STRALIA Fixed /Oceania i ncome securities at31 2005 December

Value in NOK 1000 ainlBn fDbi 4748 3388 6779 61650 34002 190523 National BankofDubai National Bankof Abu Dhabi 3274666 Mashreqbank PSC EMIRATESUNITED ARAB 229054 174861 102444 PTT PublicCompanyLimited 108617 THAILAND 303589 109238 United OverseasBankLtd Singapore Telecommunications Ltd Singapore PowerLtd 121181 Singapore government Oversea-Chinese BankingCorp 87425 170172 Development BankofSingapore 846771 15110 78287 SINGAPORE 103818 Republic ofKorea POSCO 143027 LG-Caltex OilCorp 285105 KT Corp Korea NatlHousingCorp Korea East-West PowerCo Korea DevelopmentBank 30712 Industrial BankOfKorea Hyundai MotorCo Hanarotelecom Inc 27415 Export-Import BankOfKorea REPUBLIC OFKOREA State ofQatar Qatar Petroleum QATAR 69 Philippine government PHILIPPINES Bank MuscatS.A.O.G OMAN 704 A NNUAL R EPORT 2005 Value in NOK 1000

55 56 lsaeCr 340670 71263 43818 57425 134602 8578 7787 40955 41090 Allstate Corp 11 088 Allied Waste IndustriesInc 8055 Alliant Energy Corp 22731 17837 1609 Alcoa Inc Albertson’s Inc. Air Products&ChemicalsInc 92618 Aflac Inc 16814 75128 Aetna Inc 24399 Aegis Asset BackedSecurities Trust Advanta BusinessCardMaster Trust Adjustable RateMortgage Trust 2098761 ACE SecuritiesCorp. 41657 ACE Ltd 1907788 Accredited MortgageLoan Trust ABSC NIMS Trust ABN Amro MortgageCorp ABFS MortgageLoan Trust Abbott Laboratories 337116 18907 US 5933 Te Petroleos Mexicanos 88182 66182 Mexican government Grupo Televisa SA Grupo MineroMexicoSA deCV Banco NacionaldeComercioExteriorSNC 19874 14989 America MovilSA deCV MEXICO 2192 54057 El Salvadorgovernment EL SALVADOR 79521 71657 Corp NacionaldelCobredeChile-CODELCO Chilean government Celulosa Arauco yConstitucionSA 441244 CHILE 74052 51115 THPA FinanceLtd GHG FinanceLtd 95675 First CaribbeanInternationalBankLtd 1644310 Dwr CymruFinancingLtd 2426134 Chec NimLtd. CAYMAN ISLANDS 72253 76449 32443 We 37395 157637 Tr 45659 Thomson Corporation 38319 Ta Suncor Energy Inc Royal BankofCanada 347203 Province ofQuebec 25142 Province ofOntario Province ofNovaScotia 37935 Province ofNewfoundland 67129 95144 Province ofManitoba 12790 Potash CorpofSaskatchewan Placer DomeInc Petro-Canada 148 209 Ontario ElectricityFinancialCorporation 249853 37035 Nexen Inc Manufacturers LifeInsuranceCo 108246 11 297 85051 Inco Ltd 2566117 Hydro Quebec 23778 195222 92847 242054 Husky Energy Inc TorontoGreater AirportAuthority 35332 Falconbridge Ltd Catalyst PaperCorp Canadian PacificRailway Canadian OilSandsInvestmentsInc 181946 Canadian NaturalResourcesLtd 13966 Canadian NationalRailwayCo 183 Canadian government Brascan Corp 144893 Bombardier Inc. Biovail Corp 56920 89600 BCE Inc 26538 Barrick GoldCorp 31823 Alcan Inc 17066 Alberta Energy CoLtd Abitibi-Consolidated Inc CANADA 81420 Te Petroleo BrasileiroSA 144 Cia BrasileiradeBebidas Brazilian government Brazil DevelopmentFund Banco BradescoSA BRAZIL Oil InsuranceLtd Axis CapitalHoldings BERMUDA Americas Fixed based on the trade date. Sell/buyback agreements and buy/sellback Sovereign, local, nCnd ieie t 40446 ansCanada PipelinesLtd eoo eMxc .. 316748 lefonos deMexicoS.A. 77868 lisman Energy Inc 10074 le NorteLesteParticipacoes tFae ibrC t 49299 st Fraser Timber CoLtd and municipa i ncome l bonds are classified under the country in question. Bonds issued by private companies are class are companies private by issued Bonds question. in country the under classified are l bonds securities at31 December 2005

Value in NOK 1000 agreements have forward settlement. Negative holdings may the may holdings Negative settlement. forward have agreements etxCr 179250 155607 51110 298046 54917 143574 139218 28046 64183 1822 436910 Centex Corp Centerpoint Energy Inc 34656 96016 Cendant Corp Cedant MortgageCorp 606 6 Caterpillar Inc 10041 Carss FinanceLimitedPartnership 47092 15751 Carnival Corp Cargill Inc 8809 Caremark RxInc 179336 Cardinal HealthInc 13445 Capital OneMulti-AssetExecution Trust 92905 Capital OneBank 8069 120490 Receivables Asset Capital Auto 29351 CAMPBELL SOUP 173787 California StateUniversity 55493 Caithness CosoFundCorp Cabot Corp 537700 21883 Cablevision SystemsCorp Burlington ResourcesInc 539334 Burlington NorthernSantaFeCorp Bunge LtdFinanceCorp 83146 Bristol-Myers SquibbCo 74766 10243 Brandywine Realty 1063246 Trust BPL ConsumerSRL Bowater Inc 52909 Boston ScientificCorp Bosphorus FinancialServ BMW FloorplanMasterOwner Trust 357864 Berkshire HathawayInc BellSouth Corp Bella Vista Mortgage Trust 5532 23150 Beckman CoulterInc 61 2071 5059 Bear StearnsCosInc Bear StearnsCommercialMortgageSecuritiesInc 354 196 58903 Bear Stearns Asset BackedSecuritiesNIM 282296 Bear Stearns Asset BackedSecuritiesInc 50782 10451 4013 Bear Stearns ALT-A Trust 211 822 Bear Stearns Adjustable RateMortgage Trust BBVA PymeFondoDe Titulizacion De 104516 Activos BB&T Corp Bayview Financial Asset Trust Bayview Financial Acquisition Trust 97891 Bayview Commercial Asset Trust Bay View 2580094 Auto Trust 292758 Baxter InternationalInc 93860 Bankunited Trust 70932 20039 Bank OneIssuance Trust Bank ofNew York CoInc 161262 161013 85149 Bank of America MortgageSecurities Bank of America FundingCorp Bank of America Corporation 46433 Bank of America Alternative Loan Trust 65573 Bank of America -FirstUnionNBCommercial 3294 Banche PopolariUniteS.C.R.L. Banc of America Large Loan 54126 6361 Banc of 22587 America CommercialMortgageInc 27774 Av Av 33852 15799 Autozone Inc 1106 921 49 Atmos Energy Corp AT 29781 Assurant Inc 1 258061 Asset BackedSecuritiesCorpHomeEquityLoan Trust Asset BackedFundingCorp 47710 167214 Asset BackedFundingCertificates ArvinMeritor Inc 133988 Argent SecuritiesInc 86052 Argent NIM Trust Arden RealtyLP Archstone-Smith Trust 27329 Archer-Daniels-Midland Co Arch CoalInc 112 486 Arcap ReitInc 27714 AQ FinanceNIM Trust Apache Corp 29512 527116 Anheuser-Busch CosInc 32951 AmSouth Bancorporation 2285809 154665 Amortizing ResidentialCollateral Trust Amgen Inc 146994 179415 AmerisourceBergen Corp 205144 3899 Ameriquest MortgageSecuritiesInc. 795955 Ameriprise FinancialInc 3976 45434 American InternationalGroupInc American HomeMortgageInvestment Trust American ExpressCredit Account Master Trust American ExpressCo American ElectricPowerCoInc American EagleNorthwestLLC American Airlines Ameren Corp AMBAC FinancialGroupInc Altria GroupInc Alltel Corp saCr 7633 20319 ista Corp iation CapitalGroup Trust TCr 920087 &T Corp ified unde 708 818

refore be reported wi Value in NOK 1000 r the country where the company has its headquarters. Holdings are are Holdings headquarters. its has company the where country r the neg op 76605 60978 47536 77166 27495 7742 138512 63580 11 641 499311 47810 102756 56875 Entergy Corp 3400 Energy Transfer Partners LP 13947 Encore CreditRecevables Trust 441233 Emerson ElectricCo 389750 Eli Lilly&Co Education FundingCapital Trust I Edison International Ecolab Inc Eastman ChemicalCo 575335 E.I. duPontdeNemours&Co 133235 Duke Energy Corp DTE Energy Co 4793 DSLA MortgageLoan 344480 Trust 41268 DR HortonInc DPL Inc 16996 121696 Dow Chemical Dover Corp 362060 Donnelley (R.R.)&SonsCo 33075 Dominion ResourcesInc 748 64 104470 104728 175998 DLJ CommercialMortgageCorp 21820 Distribution FinancialSvcsFloorplanMastert Trust 21938 Discover CardMaster Trust I 1510 677 Diamond Offshore DrillingInc Devon Energy Corp 26920 826 65 Developers DiversifiedRealtyCorp Deutsche Mortgageand Asset ReceivingCorp Deutsche Alt-A SecuritiesIncMortgageLoan Trust Dentsply InternationalInc 3008 Deluxe Corp Inc Delhaize America 465907 Deere &Co Decora IndustriesInc 21231 CVS CORP CSX Corp Crusade Global Trust 817429 Crown CastleInternationalCorp 3590 Inc CRH America 31505 75988 48852 698163 Crest Ltd Credit-Based Asset ServicingandSecuritization 2652 744 20 Credit SuisseFirstBostonMortgageSecuritiesCorp COX EnterprisesInc Coventry HealthCareInc 5462 1596486 Countrywide Partnership Trust 91677 NIM Countrywide HomeLoans 587 107 Countrywide HomeEquityLoan Trust 7296 Countrywide FinancialCorp Countrywide Alternative Loan Trust 177641 ContraprvtPlacemt 161690 408 Countryplace ManufacturedHousing Corp Costco Wholesale 1124430 Corrections Corpof America Corning Inc Core InvestGrade Trust 36198 57393 Inc Continental Airlines 46114 56018 53169 Constellation Energy GroupInc. 35470 Constellation BrandsInc 69771 2481 Conseco FinanceSecuritization 196717 ConocoPhillips ConAgra FoodsInc 18374 Computer Associates InternationalInc Commercial Mortgage Acceptance Corp COMM 2986965 Comcast Corp Colonial Properties Trust Colgate-Palmolive Co 172468 34011 Coca-Cola EnterprisesInc 1119 625 Coca-Cola Co 14118 CNH equipmenttrust 196651 CNF Inc 249332 Clorox Co 36734 287 Clear ChannelCommunicationsInc 80997 2 City of Augusta 463 23 301381 35524 Citigroup/Deutsche BankCommercialMortgage Trust Citigroup MortgageLoan Trust, Inc 4365 Citigroup Inc Citigroup CommercialMortgage 33630 Trust Citicorp MortgageSecurities 142 Citibank CreditCardIssuance 93315 CIT GroupInc Cintas Corp 60888 Cinergy Corp 4299 8454 Cincinnati FinancialCorp 83248 ChevronTexaco Corp 794 Chesapeake FundingLLC Chaseflex Trust 7455 Chase MortgageFinanceCorporation Chase Issuance Trust Chase FundingNetInterestMargin 32944 Chase FundingMortgageLoan Asset-Backed Chase CreditCardMaster Trust Chase CommercialMortgageSecuritiesCorp CenturyTel Inc 703 Centex HomeEquity thout expressing the true financial exposure. exposure. financial true the 343 387 717 489 955 Value in NOK 1000 ubl n 36349 42099 19961 46230 156505 192833 13002 118 578 97708 40950 54877 10638 Hubbell Inc HSI Asset SecuritizationCorporation Trust 24906 Household MortgageLoan Trust Household CreditCardMasterNote Trust 42992 Hospira Inc 3498 Homestar Mortgage 74822 Acceptance Corp 13734 30908 Homebanc Mortgage Trust Home Equity Asset Trust 93472 Home DepotInc Holmes FinancingPLC 7181 57308 32554 HJ HeinzCo 4860 Hilton HotelsCorp Hilton HotelPool Trust High Income Trust Securities 160898 Hewlett-Packard Company Heller FinancialCommercialMortgage 303668 Healthcare Realty Trust Inc 32103 Health NetInc Hasco NIM Trust 514229 Harsco Corp Harrah’s OperatingCompanyInc. 193030 Harley-Davidson Inc 182998 Harborview MortgageLoan Trust 136904 Halliburton Co 30061 H&R BlockInc. 35147 Guggenheim StructuredRealEstateFundingLtd 130001 GSAA HomeEquity Trust 12438 7162 GSR MortgageLoan Trust 297319 GSMPS MortgageLoan Trust 39008 2434158 GS MortgageSecuritiesCorp. 80414 (414786) 3774 GS MortgageSecuritiesCorp Greenwich CapitalCommercialFunding 2216 Greenpoint MortgageFunding Trust Greenpoint ManufacturedHousing Green Tree FinancialCorp 15350 Granite MortgagesPLC 44046 Government NationalMortgage 55547 141872 115 390629 715 Goldman SachsGroupInc Golden West FinancialCorp 49288 Golden StateSecuritization 3905083 64276 GMAC MortgageCorporationLoan Trust GMAC CommercialMortgageSecuritiesInc Global MortgageSecuritizationLtd G-force Llc 118 774 15307 1060 G-Force CDOLtd Georgia-Pacific Corp 236882 112 783 Genworth FinancialInc 99845 18624 12063 General MotorsCorp General MillsInc General GrowthProperties General ElectricCo 199346 1069 GE DealerFloorplanMasrweNote Trust GE Corporate Aircraft FinancingLLC (41256) GE CapitalCommercialMortgage 42176 GE BusinessLoan Trust Fremont NIM Trust FPL GroupInc Fortune BrandsInc Ford MotorCo 32677 27404 29744 Ford Credit Auto Owner Trust 32882 Flextronics InternationalLtd 2304 9122 Fleet CreditCardMaster Trust 238124 80627 FirstEnergy Corp 145 First Union-LehmanBrothers-Bankof America First UnionNationalBank-Bankof America 180386 First UnionNationalBankComm 45660 First NationalMasterNote Trust 71248 First Horizon Asset SecuritiesINC 153268 First Horizon Alterative MortgageSecurities 290151 First FranklinNIM Trust 72498 First FranklinMTGLoan Asset First DataCorp 89357 10441666 Trust NIM Finance America Fifth Third Bancorp 25898500 22398156 30220 Fidelity InternationalLtd 84000 128502 FFCA SecuredLendingCorp Federated DepartmentStores 17195 62424 Federal NationalMortgage Association 299727 Federal HomeLoanMortgageCorp Federal HomeLoanBanks 4291 Federal ExpressCorp Farmers InsuranceExch 261643 Exelon Corp 50698 European PrimeRealEstatePLC European LoanConduit 194673 Estee LauderCosInc ERP OperatingLP Equity One ABS, Inc. Equifirst MortgageLoan Trust EOP OperatingLP Entertainment Properties Trust Enterprise ProductsPartnersLP Enterprice Rent A Car Americas G OVERNMENT P ENSION F UND akdCriiae Backed Certificates –G LOBAL

192 865

Value in NOK 1000 ognSalyCptlI 196559 1756908 132 13832 34825 25202 747 12 96145 679 201125 10 15016 6385 Morgan StanleyCapital I 565934 Morgan Stanley Auto Loan Trust 33859 Morgan Stanley Abs CapitalI 1598 Morgan Stanley Monumental GlobalFundingLtd Molson CoorsBrewingCo Mohawk IndustriesInc. MMCATrust Automobile 62509 MLCC MortgageIivestorsInc 138615 15171 47375 Miller BrewingCo 1363973 Mid-State Trust 46087 136976 MGM MirageInc MGIC InvestmentCorp 10976 15663 49805 Mezz CapComercialMortgage Trust Mettris Master Trust 184328 25158 Metlife Inc Merrill Lynch Mortgage Trust Merrill Lynch MortgageInvestors Merrill Lynch &CoInc Merrill Auto Trust Securitization 416820 Merck &Co.Inc 6126 Mellon FinancialCo. Medtronic Inc 129125 24999 21865 Medco HealthSolutionsInc 592 5 738 MeadWestvaco309 Corp. 951 49 McKesson Corp 2825 McDonald’s Corp 853 MBNA CreditCardMasterNote Trust 58261 MBNA America BankNA 231363 Mastr SpecializedLoan Trust 269026 Mastr ReperformingLoan Trust Trust Securitization Mastr Asset 103436 26190 71606 Mastr Asset BackedSecurities Trust Trust Loans Mastr Alternative 218321 1914 Mastr Adjustable RateMortgage Trust 153073 5553 Trust NIM Mastr ABS Massmutual GlobalFunding 26708 Masco Corp Marshall &IlsleyCorp 2495 Marsh &McLennanCompaniesInc 10853 Marriott Vacation ClubOwner Trust 35934 4010 Marriott International,Inc Marlin BV 7592 69334 67535 Marathon OilCorporation Manpower Inc Manor CareInc 63739 Magellan MidstreamPartnersLP Mack-Cali RealtyCorp 13766 Mach One Trust Long BeachMortgageLoan 44 Trust 89051 350631 Long Beach Asset HoldingsCorporationNIM Trust Lombarda LeaseFinance 6915 LNR CDOLtd 861530 Liz ClaiborneInc 19675 1730033 Limited BrandsInc Liberty MutualInsurance 6539 34675 353438 6536 Liberty MediaCorporation 76648 Lennar corp 17507 Lehman XSNetInterestMargin Notes Lehman Mortgage Trust Lehman BrothersHoldingsInc 69 Lehman BrothersFloatingRateCommercialMtg Trst LB-UBS CommercialMortgage Tru 354179 Laboratory Corpof 14453 America Holdings 497850 86134 125742 Kroger Co Kraft FoodsInc Kohl’s Corp 577712 Kinder Morgan Inc Kinder Morgan Energy PartnersLP Key BankNA Kellogg Co 60161 67617 KB Home 2631467 JP Morgan Morgage Trust Jones Apparel GroupInc 11 327 36775 Johnson ControlsInc Johnson & 294332 63138 John HancockFinancialServicesInc 62215 J.P. Morgan CommercialMortgageFinanceCorp 153564 SecuritiesCorp J.P. Morgan ChaseCommercialMortgage 30978 3483 J.P. Morgan Chase&Co 573105 J.C.Penney MasterCreditCard iStar FinancialInc 153692 3472 International PaperCompany Indymac Residential Asset Backed Trust 272 1 Indymac Loan Trust Indymac IndxMortgageLoan Trust Indymac INDBMortgageLoan Trust Impac Secured Assets Corp Impac CMB Trust Immeo ResidentialFinancePLC IBM CORP Trust Receivables Hyundai Auto Fixed i ncome securities at31 2005 December 577 232 Value in NOK 1000 eieta crdtLasIc 672415 10077 10126 8040 34076 37166 103324 20750 234877 48050 30472 Residential Accredit LoansInc 14678 174502 Residental Asset SecuritiesNIM Corp Resi FinanceLimitedPartnership Renaissance NIM Trust 7847 Renaissance HomeEquityLoan Trust Reinsurance GroupOf America Regions FinancialCorp Regency CentersLp 640511 98665 Reed ElsevierPLC 36613 Qwest CommunicationsInternational 328519 Quest DiagnosticsInc 1908 34566 71263 Quebecor World Inc. 418633 26986 QFA 112 672 RoyaltiesLLC 235961 Pulte HomesInc Public ServiceNewHamshireFundingLlc Public ServiceEnterpriseGroupInc 145757 174961 Public ServiceCompanyofNewMexico Prudential FinancialInc. Providian GatewayMaster Trust 96552 Protective LifeCorp 15006 ProLogis 33377 Progressive Corp Progress Energy Inc 39800 227903 Procter &GambleCo 7403 Principal LifeInsuranceCo 30329 7753 Praxair Inc 178528 80578 PPL CORP 140484 Power ContractFinancingLLC Popular NaInc 34024 Popular ABS MortgagePass-Through Trust 218426 75033 Polo RalphLauren 64474 PNC Mortgage Acceptance Corp PNC FinancialServicesGroupInc Pitney BowesInc Pillar FundingPLC 39381 24513 Pilgrim’s PrideCorp 34 (36774) 14156 Phoenix CosInc/The Pfizer Inc 388660 22339 Permanent FinancingPLC 29460 PepsiCo Inc PepsiAmericas Inc 74783 Pepco HoldingsInc People’s ChoicenetInterestMargin Note 51071 Park PlaceSecuritiesNIM Trust 6162 Park PlaceSecuritiesInc. 11 965 Pactiv Corp 136072 Pacific Gas&ElectricCo 24168 2969 Owens-Illinois Inc 3832 Origen ManufacturedHousing 75668 Oregon ST 262426 Option onemortgagesecuritiescorp 383 48563 Option OneMortgageLoan Trust 160372 20820 Opteum Mortgage Acceptance Corporation Oneok Inc 17057 Occidental PetroleumCorp Oakwood MortgageInvestorsInc 262730 49524 65579 Nuveen InvestmentsInc 52671 097 28 Nucor Corp NovaStar NIM Trust Novastar HomeEquityLoan 10752 74774 Northstar EducationalFinanceInc 10141 1100 Norfolk SouthernCorp Nordstrom Inc Nomura Asset SecuritiesCorp Corp Nomura AssetAcceptance Nissan MasterOwner Trust Receivables 136169 Nisource FinanceCorp 19640 Nike Inc 2192 Nextel PartnersInc (22653) News Corp 3193 Newmont MiningCorp 11 575 Newcastle CDOLimited New 16800 York 4688 State 128699 New York 182238 LifeInsuranceCo 94203 New CenturyMortgageCorporationNIM 261876 New CenturyHomeEquityLoan Trust 17645 Nelnet StudentLoan Trust 884 8 36583 Navistar InternationalCorp 5622 Navistar FinancialCorpOwner Trust Navigator CDOLtd Nationwide MutualInsuranceCo Nationwide HealthPPTYS 7364 Nationslink FundingCorporation 213533 National RuralUtilitiesCooperativeFinanceCorp National CityBank 9 National Archive Murphy OilCorporation 177762 MSDWCC HELOC Trust Motorola Inc Mortgageit Trust Mortgage CapitalFundingInc Morgan StanleyMortgageLoan Trust Morgan StanleyDean Witter CapitalI A NNUAL R EPORT 2005 Value in NOK 1000

57 58 ru P 11 108 (37584423) 26852 20027 Vi Ve 33801 370238 42409 356265 Ve 40503 216563 Ve 400829 Va Va US Treasury US CellularCorp Ursus EPC Univision CommunicationsInc Unitrin Inc UnitedHealth GroupInc 33580 United ParcelServiceInc. UnionBanCal Corp Union PacificCorp U.S. Bancorp Ty Ty 24893 TXU Corp 3211 Tw 12059 Tr 21693 34371 Tr TIAA GlobalMarkets TIAA CommercialRealEstateSecurities Ti 300216 Thornburg 63871 MortgageSecurities Trust The MoneyStoreHomeEquity Trust The DIRECTV GroupInc Te Te Te Te 80593 931 38 Te 15434 5708 701798 TECO Energy Inc Ta Synovus FinancialCorp 171921 210287 Suntrust Banks,Inc 246464 184 20 Structures Asset SecuritiesCorporation Trust Receivables Structured Assets 67987 Structured Asset MortgageInvestmentsInc Structured Asset InvestmentLoan Trust 95485 1052006 Structured Adjustable RateMortgageLoan Trust 190302 35519 2562 STRIPS 13312 37771 State StreetBank& Trust Co State ofIllinois State ofCalifornia 1742328 (17760) Starwood Hotels&Resorts Worldwide, Inc. 4660 14365 Staples Inc Stanley Works/The 45706 Standard PacificCorp 2914 Stancorp FinancialGroupInc St. Paul Travelers Cos. 349748 Specialty Underwriting&ResidentialFinance 69542 5331 Sovereign BancorpInc Southern UnionCo Southern Co 513 100 Smithfield FoodsInc Smith InternationalInc 1008464 33911 283 8888 1 SLM StudentLoan Trust 73440 SLM Corp Simon PropertyGroupLP Sharps SP ILLCNetInterestMargin Trust 26939 1196 73540 Sesi Llc Sequoia Mortgage Trust Sequoia MortgageFundingCompany 124638 Sempra Energy 890248 16454 Securitized Asset BackedReceivablesLlc 251367 Sears RoebuckandCo 986 186 Corp Sealed Air 315085 34000 3508 68453 SEACOR HoldingsInc 16351 Science Applications InternationalCorp. Scholastic Corp Schering-Plough Corp SCANA Corporation 82674 134 28330 41790 SBC CommunicationsInc. 1063 Sb FinanceNim Trust Trust Securities Saxon Asset 11 138 Sasco NetInterestMargin Trust Sarawak InternationalInc 68260 Sara LeeCorp Salomon BrothersMortgageSecurities Sail NetInterestMargin Notes 69599 Safeway Inc Safeco Corp Saco IInc 133085 Sabre HoldingsCorporation Rohm &HaasCo 400265 68652 Rock-Tenn Co RJ Reynolds Tobacco HoldingsInc Resix FinanceLimited Residential FundingMortgageSecurities Residential Asset SecuritiesCorp Residential Asset MortgageProducts mrcsAfrica Americas Fixed based on the trade date. Sell/buyback agreements and buy/sellback Sovereign, local, eWre n 928194 me Warner Inc a optl n (62781) 290 iad HospitalsInc Trust Owner Receivables iad Auto cmIc 190173 acom Inc to n 138124 32650 19142 351644 12819 xtron Inc xtron FinancialFloorplanMasterNote Trust soro Corp nnessee Valley Authority mple-Inland Inc r o od n. 112 600 529907 son FoodsInc. co InternationalLtd tsIc 23378 900 1420978 312856 47266 rizon CommunicationsInc ntas Inc. ndee Mortgage Trust nderbilt MortgageFinance lero Energy Corp nResPs-hog rs 12226 in ReefsPass-Through Trust e op 165247 get Corp and municipa i ncome l bonds are classified under the country in question. Bonds issued by private companies are class are companies private by issued Bonds question. in country the under classified are l bonds securities at31 December 2005

Value in NOK 1000 agreements have forward settlement. Negative holdings may the may holdings Negative settlement. forward have agreements F iaca we rs 2115 82899 42744 Wo WMALT MortgagePass-ThroughCertificates Wi White MountainsInsuranceGroupLtd WFS FinancialOwner Trust We We We We We We We Wa Wa Wa Wa Wa Wa Wa Wa Wa Vo AAA Trust 25 064 25 8219 77820 69673 850344 101123 86302 Bolivarian Republicof Venezuela VENEZUELA Aames MortgageInvestment Trust AAA Trust 39513 Zurich Finance(USA)Inc. Zeneca Wilmington Inc Yu XTO Energy Inc XL CapitalLtd Xerox EquipmentLeaseOwner Trust WYETH 417 010 nd ely 102401 rnado Realty !Bad n 166154 m! BrandsInc cni nryCr 47468 sconsin Energy Corp ehesrC 192770 14590 225284 1202634 13142 29379 647696 264463 1440103 yerhaeuser Co 867786 st Virginia EconomicDev Authority 860346 1922214 ndy’s InternationalInc lls Fargo MortgageBackedSecurities Trust lls Fargo HomeEquity Trust 65747 2226 lls Fargo &Co llPoint Inc 1846 shington MutualMortgageSecuritiesCorp shington MutualInc shington Mutual Asset SecuritiesCorp shington Mutual lt DisneyCo 313702 l-mart Stores,Inc chovia Corp chovia BankCommercialMortgage Trust chovia Asset Securitization l miMse we rs 14732 rld OmniMasterOwner Trust ified unde

refore be reported wi Value in NOK 1000 r the country where the company has its headquarters. Holdings are are Holdings headquarters. its has company the where country r the aqeCnrl eTnse 89664 318 267 16025 Banque Centralede Tunisie TUNISIA government South African Sasol FinancingInternationalPLC SOUTH AFRICA eeomn 511 375 147383 339073 16315825 539755 316900 109505 Nordic InvestmentBank 224881 &Development International BankforReconstruction Inter-American DevelopmentBank European InvestmentBank Eurofima Council ofEurope Corp Andina deFomentoCA Asian DevelopmentBank African DevelopmentBank organisations International 318 698 thout expressing the true financial exposure. exposure. financial true the

Value in NOK 1000