The ATP Group Annual Report 2012

The ATP GroupAnnual Report 2012

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsTable of contentsIntroduction3 The ATP Group in 20124 Financial highlights of ATP and the ATPGroup5 Financial highlights of the ATP Group6 Vision and valuesManagement’s review8 Management’s reviewHedging38 Strong protection against interest-ratefluctuationsInvestment42 Low risk and risk diversification ensureresilience45 Positive returns in four out of five riskclasses48 Interest RatesFinancial statements68 Statement by the Supervisory and ExecutiveBoards69 Internal Auditors' Report70 Independent Auditors’ Report71 Statement of comprehensive income for201273 Balance sheet for 201275 Cash flow statement for 2012Business Model17 ATP's business model and activitiesRisk20 Risk and risk managementPension26 Pension-activity results49 Credit50 Equities52 Inflation54 Commodities55 SUPPAdministration57 Administration activities76 NotesThe ATP Management133 Supervisory Board134 Board of Representatives135 Executive Committee, Audit Committee,Executive Board and Appeals Board136 Other directorships held by members ofthe Supervisory Board28 Predictable pension – for life31 Improved options for disability pensioners32 Low expenses translate into higher pensionHedging and InvestmentSocial Responsibility61 Social responsibility 2012Group64 Overview of the ATP Group137 General ManagementFurther Information138 Overview of further information on the ATPGroup Annual Report 2012 at www.atp.dk35 Hedging and investment-activity resultsand performance targetThe ATP Group – Annual Report 20122

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsThe ATP Group 2012• The ATP Group recorded a profit of DKK 10.1bn in 2012.• The DKK 10.1bn profit was driven by a positive return ofDKK 58.0bn and contribution income of DKK 8.6bn.• ATP’s investment-activity results corresponded to intereston the bonus potential of 13.6 per cent. Credit bonds,listed domestic equities and private equities in particularmade significant contributions to the profit for the year.• A DKK 34.8bn provision was made to safeguard thepensions promised to members, while DKK 11.9bn waspaid out to the pensioners during the year. Tax on pension-savingsreturns totalled DKK 8.7bn, with costs totallingDKK 0.9bn being incurred.• The profit for the year meant that ATP’s reserves – itsbonus potential – amounted to DKK 84.2bn at the endof 2012.• Hedging activities met the objective of ensuring thatchanges in interest rates do not affect ATP’s ability tomeet its pension liabilities to members.• At year-end, 879,400 pensioners were receiving a currentATP Lifelong Pension.• Administration expenses related to the ATP schemeamounted to DKK 68 for each member, while investment-activityexpenses totalled DKK 248 per member.The ATP Group – Annual Report 20123

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsFinancial highlights of ATP and the GroupDKK million 2012 2012ATPGroupInvestment activitiesReturn on investment 12,067 12,544Expenses (247) (598)Tax on pension-savings returns (1,734) (1,755)Investment-activity results 10,086 10,191Hedging activitiesReturn on hedging portfolio, etc. 45,417 45,417Change in guaranteed benefits due to change in discount rate (26,624) (26,624)Change in guaranteed benefits due to maturity reduction (10,394) (10,394)Tax on pension-savings returns (6,949) (6,949)Hedging-activity results 1,450 1,450Pension activitiesContributions 8,554 8,554Pension benefits (11,903) (11,903)Change in guaranteed benefits due to contributions and pension benefits 2,793 2,793Expenses (325) (351)Change in guaranteed benefits due to change in life expectancy (557) (557)Other items 0 22Pension-activity results (1,438) (1,442)Transferred to unit-linked contracts 0 (132)Administration activitiesIncome 842 807Expenses (836) (780)Administration-activity results 6 27Tax - 0Results before bonus 10,104 10,094Bonus addition for the year 0 0Profit for the year 10,104 10,094RatiosBonus rate 15.6 -Investment-activity results as a ratio of the bonus potential, beginning of year 13.6 -Total return on investment and hedging portfolios (DKK million) 57,484 -Total return on investment and hedging portfolios applying the Danish Financial Supervisory Authority’s accountingmethod (per cent). 9.9 -Expenses per member, pension activities (DKK) 68 -Expenses per member, investment activities, direct (DKK) 52 -Expenses per member, investment activities, including indirect expenses (DKK) 248 -The ATP Group – Annual Report 20124

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsFinancial highlights of the ATP GroupDKK million 2012 2011 2010 2009 2008Investment activitiesReturn on investment 12,544 16,782 23,791 25,460 (36,223)Expenses (598) (527) (548) (602) (402)Tax on pension-savings returns (1,755) (2,183) (3,273) (3,557) 6,563Investment-activity results 10,191 14,072 19,970 21,301 (30,062)Hedging activitiesReturn on hedging portfolio, etc. 45,417 107,889 50,419 (14,795) 93,455Change in guaranteed benefits due to change in discount rate (26,624) (91,186) (27,718) 25,982 (64,484)Change in guaranteed benefits due to maturity reduction (10,394) (12,017) (12,202) (11,200) (11,773)Tax on pension-savings returns (6,949) (16,183) (7,564) 2,219 (14,018)Hedging-activity results 1,450 (11,497) 2,935 2,206 3,180Pension activitiesContributions 8,554 8,602 8.293 8,185 7,210Pension benefits (11,903) (11,080) (10,170) (9,222) (8,362)Change in guaranteed benefits due to contributions and pension benefits 2,793 4,469 3,725 525 2,579Expenses (351) (336) (380) (562) (277)Change in guaranteed benefits due to change in life expectancy (557) (248) (857) (4,285) (1,244)Other items 22 32 38 145 138Pension-activity results (1,442) 1,439 649 (5,214) 44Transferred to unit-linked contracts (132) (17) (127) (1,400) 7,927Administration activitiesIncome 807 647 627 566 506Expenses (780) (637) (635) (552) (514)Administration-activity results 27 10 (8) 14 (8)Tax 0 (4) 1 4 (6)Results before bonus 10,094 4,003 23,420 16,911 (18,925)Change in guaranteed benefits due to change in estimated life expectancy - - (18,324) - -Bonus addition for the year 0 0 0 0 (7,082)Profit for the year 10,094 4,003 5,096 16,911 (26,007)Investment assets 729,278 698,193 689,839 580,626 587,915Other assets 64,379 80,456 70,474 35,473 23,039Total assets 793,657 778,649 760,313 616,099 610,954Guaranteed benefits 539,691 504,925 405,953 352,384 363,408Bonus potential 84,154 74,133 70,005 64,907 48,238Provisions for unit-linked contracts 2,938 2,513 2,196 4,160 44,661Other liabilities 166,874 197,078 282,159 194,648 154,647Total liabilities 793,657 778,649 760,313 616,099 610,954The ATP Group – Annual Report 20125

Vision and valuesVisionValuesWe are here to ensure basic financialsecurity for all of DenmarkWe dare take novel and innovative approaches in the worldof social security and pensionsWe strive to eliminate the complex and the cumbersomeWe make it safe and easy for the individualSimplicity and high returns are to ensure world-class performanceover and overTrustworthiness• We are ever aware that it is our clients' funds we aremanaging• We exhibit openness in respect of our actions• We assume responsibility for the decisions we makeInnovativeness• We take the initiative and blaze our own trail• We use state-of-the-art technology to meet our clients'needs• We develop new competenciesCompetitiveness• We put our clients first• We provide quality at favourable prices• Everything we do is founded in extensive knowledge andlong experienceJob satisfaction• We show respect and make demands• We have influence and assume responsibility• Each and every one of us makes a difference..…and don’t forget: working should be fun!The ATP Group - Annual Report 20126

Management's Review B u s i n e s s M o d e l R i s k P e n s i o n H e d g i n g a n d I nve s t m e n t H e d g i n g I nve s t m e n t A d m i n i s t r a t i o n S o c i a l R e s p o n s i b i l i t y T h e AT P G r o u p F i n a n c i a l S t a t e m e n t sManagement’s ReviewAm I saving enough for retirement?Fakta om pensionWe need to be mindful of our pensions throughoutHalvdelen af befolkningen står for 88 pct.af de samlede indbetalinger til pension.our lives, but our approach needs to change dependingon our age. At the top of each chapter in thisannual report, ATP outlines the factors to considerin different life-phases.»

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsReportFinancial highlights – ATP and the GroupATP GroupDKK million 2012 2012Return on hedging portfolio 45,417 45,417Return on investment portfolio 12,067 12,544Return on investment and hedging portfolios 57,484 57,961Increase in pension liabilities due to interest-rate falls, etc. (37,018) (37,018)Tax on pension-savings returns on investment and hedging portfolios (8,683) (8,704)Investment expenses (247) (598)Investment and hedging-activity results 11,536 11,641Pension-activity results, etc. (1,432) (1,547)Profit for the year 10,104 10,094Net profit for the year, broken down by activity:Investment activities 10,086 10,191Hedging activities 1,450 1,450Pension activities, etc. (1,432) (1,547)Ratios:Investment-activity results relative to the bonus potential (per cent) 13.6 -Pension-activity expenses per member (DKK) 68 -Investment-activity expenses per member (DKK) 248 -Bonus rate (per cent) 15.6 -Danish FSA ratios:Return before tax on pension-savings returns (per cent) 9.9 -PROFIT FOR THE YEAR – HIGHLIGHTSThe ATP Group recorded a profit of DKK 10.1bn in 2012.ATP’s reserves – its bonus potential – increased to DKK84.2bn. Total assets at the end of 2012 were DKK 624.1bn.2012 was another year overshadowed by the financial crisis,with low interest rates and uncertain financial markets.The year was characterised by weak growth and high debt,with trends in the eurozone in particular contributing to theuncertainty. Throughout the year ATP’s management chosean investment approach with low utilisation of the risk budgetin the light of the significant uncertainty in the financialmarkets.The DKK 10.1bn profit was driven by a return of DKK 58.0bnbefore tax on pension savings. This is equivalent to a rate ofreturn of 9.9 per cent applying the Danish Financial SupervisoryAuthority’s accounting method. From the return, ATPmade a provision of DKK 37.0bn to safeguard future pensions,primarily as a result of interest-rate falls. The tax onpension-savings returns totalled DKK 8.7bn.The profit for the year is a consolidation of the results for thefour activities: Pension, Hedging, Investment and Administrationactivities. Hedging and investment activities are theprimary contributors to the positive result.ATP’s investment activities are divided into a hedging portfolioand an investment portfolio. The aim of the hedgingThe ATP Group – Annual Report 20128

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsATP member assets 2008-2012ATP’s returns relative to the returns of life-insurance companiesand non-occupational pension funds in the period 2002-2011DKK billionPer cent80070060050040030020010002008 2009 2010 2011 2012Bonus potential– reservesPension liabilities302520151050-52002 2003 2004 2005 2006 2007 2008 2009 2010 2011Average2002-2011ATPLife-insurance companiesand non-occupationalpension fundsATP average 2002-2011Life-insurance companiesand non-occupationalpension funds average2002-2011portfolio is to ensure that changes in interest rates do not affectATP’s ability to meet its pension commitments to members,while the aim of the investment portfolio is to generatea return that is sufficient to preserve the long-term purchasingpower of pensions. Overall investment and hedging-activityresults were a profit of DKK 11.5bn.The hedging-activity results were a profit of DKK 1.5bn,meaning the hedging activities completely lived up to theirobjective.ATP’s investment-activity results were a profit of DKK 10.1bn.The bonus potential is ATP’s basis for taking on investmentrisk, and the investment-activity results corresponded to areturn on the bonus potential of 13.6 per cent. Credit bondsand investments in listed domestic equities and private equitiesin particular made significant contributions to theprofit for the year. The investment portfolio has contributedpositive returns in each quarter over the last four years.The Board of Directors has set the long-term target that,over time, hedging and investment-activity results must besufficient to ensure that pensions are revalued in line withthe Retail Price Index (RPI). The target is fixed independentlyof trends in the financial markets. The performancetarget for 2012 was set in isolation at DKK 17.2bn, whichis extremely ambitious in a year with historically low interestrates and uncertain financial markets. In the light of thechallenging market conditions and ATP’s decision to bothmaintain the low risk level throughout the year and to payfor protection against large losses, the profit of DKK 11.5bnwas considered satisfactory.According to a recent statement by the Danish Financial SupervisoryAuthority, covering the 10-year period from 2002to 2011, ATP achieved an average market return, after taxand expenses, of 8.8 per cent, which is 3.9 per cent higherthan the average for the Danish life-insurance and pensioncompanies. The size of future pensions depends on creatinga high, stable return year on year.ATP’s pension-activity expenses totalled DKK 325m in 2012,equivalent to 0.05 per cent of the average assets, or DKK 68per member. This level is in line with expectations for 2012.In 2012, overall direct and indirect investment expensesamounted to DKK 1,185m, equivalent to 0.20 per cent of theaverage assets managed by ATP in 2012, or DKK 248 permember. This level is in line with expectations for 2012.The Group’s expenses are low – by Danish and internationalstandards. The international comparison of expensesand performance in the pensions area (CEM benchmarking)shows that ATP’s administration expenses are 88 per centlower than for the other companies in the comparison. A recentCEM survey also shows that ATP’s total investment expensesare significantly lower than those of its peers in theglobal pension community.The ATP Group – Annual Report 20129

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsATP’s pension liabilities 2012Total ATP contributions and benefit payments, 1964-2012DKK billion5505255004754504254000ATP pensionliabilitiesDanish FSA’smethod of accountingDifference between ATP’sand Danish FSA’s lifeexpectancy calculationDifference between ATP’sand Danish FSA’syield curveDKK billionContributions Benefit payments1210864201964 1968 1972 1976 1980 1984 1988 1992 1996 2000 2004 2008 2012PENSION ACTIVITIESPension-activity results were a loss of DKK 1.4bn. This lossis mainly attributable to the acceleration in the increasein the retirement age as a consequence of the RetirementReform in 2011. Pension commitments already made havebeen converted to reflect the new retirement age, with anegative impact on results of DKK 1.7bn.ATP’s life-expectancy model factors in expected future increasesin life expectancy. The annual update of life expectancyled to an additional provision of DKK 0.6bn. The DanishFinancial Supervisory Authority (FSA) has prepared amodel for life expectancy and the expected future improvementsin life expectancy for use by insurance companiesand non-occupational pension funds. Had ATP used theDanish FSA’s model, its bonus potential at the end of theyear would have been DKK 15.4bn higher than the currentlevel of DKK 84.2bn. ATP has maintained its own model forlife expectancy which projects higher increases in life expectancythan the Danish FSA model.The general contributions to ATP were not regulated in2012. However a number of public-sector employee groupsswitched to a higher contribution rate in 2012, as a result ofcollective bargaining in the public sector in 2011. The affectedgroups have been paying significantly less to ATP thanprivate sector employees for a number of years.Overhaul of SUPPATP manages the Supplementary Labour Market PensionScheme for Disability Pensioners (SUPP). SUPP deposits totalledDKK 2.8bn at the end of 2012, equivalent to an averagedeposit of DKK 27,400 for each member. In December2012, the Danish Parliament passed an amendment toSUPP with effect from 1 January 2013. The amendment entailspensions becoming more predictable, and that in futurea lump sum will be paid out on death after pensionable agefor the state old-age pension. Administration is to be simplifiedand asset management combined with ATP’s assetmanagement.HEDGING ACTIVITIESAt the end of 2012, 879,400 pensioners received ATP LifelongPension. For more than 50 per cent of Denmark’s onemillion plus old-age pensioners, ATP is their only pensionincome besides the state old-age pension. In 2012, the fullannual ATP pension for a 65-year-old pensioner amountedto about DKK 24,300, equivalent to 35 per cent of the basicamount of the state old-age pension.Hedging activities achieved a profit of DKK 1.5bn. The hedgingportfolio generated a return of DKK 45.4bn. Tax on pension-savingsreturns totalled DKK 6.9bn. The return aftertax was therefore DKK 38.5bn. Conversely, the falling interest-ratelevels primarily had an effect of DKK 37.0bn on theguaranteed benefits. The objective of the hedging activitiesto ensure that changes in the interest rates do not affectThe ATP Group – Annual Report 201210

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsATP’s investment-activity resultsas a ratio of the bonus potential, beginning of yearReturn on the beta portfolio and individual risk classes2008-2012Per cent50403020100-10-20-30-402008 2009 2010 2011 2012DKK billion806040200-20-402008 2009 2010 2011 2012Beta portfolio in totalInterest rateInflationCreditCommoditiesEquitiesATP’s ability to meet its pension commitments to the memberswas thus illustrated once more in 2012.ATP uses an interest-rate curve to value the pension commitments,and this method provides effective and robusthedging. In 2012, the Danish FSA adapted the general interest-ratecurve for life-insurance companies and non-occupationalpension funds. Had ATP used the Danish FSA’smodel, its bonus potential at the end of the year wouldhave been DKK 47.7bn higher than the current level of DKK84.2bn. In ATP’s opinion, the interest-rate curve used by ATPbetter reflects ATP’s long-term liabilities, compared to thegeneral curve. ATP’s interest-rate curve is also hedgeable.return came from listed domestic equities, although privateequities also contributed positively to the return. The InterestRate risk class recorded a positive contribution of DKK2.6bn. Holdings in the Inflation and Commodity risk classesboth achieved a negative return of DKK 0.2bn.Expansion of investment activitiesIn 2012 ATP provided management and investment servicesto a pension trust called NOW: Pension Trustee in theUK. At the end of 2012, NOW: Pension Trustee had enteredinto an agreement on the management of employee pensionschemes for companies which employ in total morethan 150,000 employees.INVESTMENT ACTIVITIESADMINISTRATION ACTIVITIESInvestment activities generated a profit of DKK 10.2bn, ofwhich DKK 10.1bn is attributable to ATP. This is equivalentto a return of 13.6 per cent on the bonus potential at the beginningof 2012.In order to ensure that the return is as stable and as independentof economic trends as possible, the portfolio is investedin five risk classes with very different risk profiles.Three out of the five risk classes delivered positive returns.The Credit risk class, achieving a return of DKK 4.6bn, accountedfor the highest return in DKK terms. The highest returncame from the high risk bonds and loans to credit institutionsand funds. The Equity risk class also contributedsignificantly, achieving a return of DKK 4.3bn. The greatestAdministration activities generated a profit of DKK 27m.The ATP Group performs both statutory administrationtasks assigned to ATP by the Danish Parliament and administrationtasks acquired by ATP in open competition onmarket terms.Statutory administration services are provided on a costrecoverybasis, while other services are provided on marketterms. Expenses of DKK 780m were incurred in administrationactivities in 2012. Of these, expenses of DKK 644m werere-invoiced without profit but also without cost-related risk.The tasks contribute to economies of scale.The ATP Group – Annual Report 201211

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsOverview of the most significant risks and their managementMost significant risksLongevity risks– guarantee for lifelong pensionsMarket and credit risks– investments in the financial markets– effect of interest-rate development on pension liabilitiesCounterparty risks– liquidity of unlisted financial contractsOperational risks– use of technology for mass paymentsRisk managementUse of life-expectancy model which includes expected future changesin life expectancy.Control of the total investment risk through daily monitoring and dynamicadjustment.Hedging the interest-rate risks relating to pension commitments.Standardised contracts with financial counterparties with high creditratings. Daily collateral with limits on which bonds ATP can receive ascollateral.Business procedures and routines, separation of functions and structuredmethods for IT development and testing. Detailed delivery planand external review with implementation by Udbetaling Danmark.Udbetaling DanmarkIn 2012, the expansion of Udbetaling Danmark continued asplanned with the opening of the organisation’s new regionalcentres in Fredrikshavn, Haderslev, Hillerød, Holstebro andVordingborg as well as temporary branches in Odense andÅrhus. Approximately 1,000 municipal managers and employeeschose to be transferred to ATP.In parallel with this, a comprehensive offering of IT solutionshas been prepared to streamline and modernise businessprocesses and citizen service in the next few years.2012 saw the first two payment types, family benefit andmaternity/paternity benefit, put into operation. The remainingthree payment types, state old-age pension and disabilitypension plus housing benefit, will follow in spring 2013.Implementation is running according to plan.Udbetaling Danmark must pay out a total of DKK 180bn annuallyto two million citizens.RISKSAt the core of ATP’s activities is the provision of as predictableand secure lifelong pensions as possible for members.The risks facing ATP are associated particularly with the responsibilityof managing members’ savings during the oftenextensive period from payment of the first contribution untilfinal payout is made. The continued low interest-rate levels,combined with the members’ increasing life expectancy, isa significant challenge for both ATP and the entire pensionsector.Longer life expectancy means that the lifelong pensionsfor the members must be extended over longer periods. Tomanage this risk, ATP uses a life-expectancy model whichincludes the expected future increases in life expectancy.The expectation here is that the annual life-expectancy updateswill result in only minor changes in provisions.The management of investment risk is of paramount importanceto ATP. Reduced reserves as a result of suddenchanges in interest rates and equity prices are the greatestrisk in the short term. The portfolio is invested in five riskclasses with very different risk profiles to spread the markedrisk. The risk spread is supplemented by hedging strategiesfocusing on preventing catastrophic losses.The ATP Group – Annual Report 201212

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsHedging of pension provisionssafeguards reservesDKK billionIncreasing life expectancy andpension provisions 2001-2012DKK billionAge120100806040200-20-402008 2009 2010 2011 2012Return on hedgingportfolio after taxChange in guaranteedbenefits5040302010001 02 03 04 05 06 07 08 09 10 11 1284838281Live expectancy for65-year-olds(avg. of both genders)Accumulated provisionssince the start of the newmillennium to coverincreases in life expectancyCounterparty risks are largely managed by entering standardisedcontacts with accompanying agreements on collateralof the highest quality.Operational risks, including IT risks associated with masspayments, are managed in the form of routines and businessprocedures as well as structured methods for IT developmentand testing. In connection with the establishment ofUdbetaling Danmark, exposure to operational risks has increased.The Group has an organisational unit whose focusis to manage operational risks.ATP is not covered by the upcoming Solvency II Directive,but has chosen to follow the rules anyway as this enhancesrisk management in the relevant areas and ensures thatATP is at the leading edge of legislative development in thesector. ATP uses a proprietary model to calculate the reserverequirements. The model is also used in day-to-dayrisk management.A poor reputation can affect ATP’s potential earnings. Riskmanagement includes principles for social responsibilityand corporate governance in investments while ATP alsowants to be recognised as a reliable and trustworthy companyby communicating with the outside world in an openmanner.SOCIAL RESPONSIBILITYThe ATP Group’s overall vision is to ensure basic financialsecurity for all of Denmark. ATP practices business-drivensocial responsibility in such a way that the aim of all initiativesis to be conducive to positive results for the benefit ofATP’s members.Social responsibility is continuously incorporated in investmentdecisions to achieve the optimum risk-adjusted returnfor the benefit of members. This objective is expressed, interalia, in the Policies of Social Responsibility in Investmentsand Corporate Governance.The policy for driving social responsibility in investmentsis based on national legislation and international conventions.The six United Nations Principles for Responsible Investment(PRI), adopted by ATP in 2006, prescribe a processfor integrating social responsibility in investments. Noviolations of the Policy of Social Responsibility were notedin 2012.As part of the development of customer service, and in thelight of the growth in administrative tasks, in 2012 ATP decidedto establish a new, independent customer ambassadorfunction. The customer ambassador is tasked withhandling complaints and taking the complainants’ opinionsfurther, so that these can contribute to improvements. Theobjective is to resolve more cases before they reach the appealsystem.For ATP as a company, focus in 2012 was on employee satisfaction,work environment and diversity. The establish-The ATP Group – Annual Report 201213

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial Statementsment of Udbetaling Danmark led to the number of employeesin the ATP Group more than doubling, and considerablefocus was, and is, placed on maintaining high employeesatisfaction and productivity within the new and much largerorganisation.In 2011, ATP signed up to the United Nations Global Compact,which, among other things, obliges ATP to issue aCommunications on Progress report. The report is availableat www.atp.dk under supplementary information.CORPORATE GOVERNANCE ISSUESATP’s corporate governance framework is laid down in theATP Act. The Act prescribes that the Board of Directorsmust have equal representation from all labour market sectors,that the chairman must not be affiliated with employeror employee organisations, and that, in so far as possible,the Board of Directors should be gender-balanced.ATP complies with the recommendations of the Committeeon Corporate Governance – in a few respects adapted toATP’s special circumstances. ATP’s annual review showsthat, in all material respects, ATP complies with the specificrecommendations on corporate governance made bythe Committee.The Board of Directors undertakes an annual self-assessmentof its performance, including form of meetings, collaborationwith the ATP management, the quality of the Administration’sdecision-making proposals, the chairman’s performanceof his duties, etc.The Board of Directors reviews ATP’s pay policy at leastonce a year to adjust it to ATP’s performance. The pay policycomprises managers and significant risk takers withinthe ATP Group, but not ATP’s consolidated companies,including subsidiaries. The pay policy is approved by theBoard of Representatives. In accordance with the ExecutiveOrder on Pay, the Board of Directors delimits and definesthe group of persons to qualify as ’significant risk takers’ atATP and sets a cap on any variable pay elements.ATP prioritises openness and transparency in pay policyand remuneration. Information on pay policy and remuneration,including financial implementation of the pay policy,is provided in the annual report and at www.atp.dk. Supplementaryinformation is also available here on corporategovernance issues at ATP and ATP’s compliance with therecommendations for corporate governance.At the end of 2012, ATP’s senior management changed, withLars Rohde stepping down as CEO and taking up the post ofGovernor of the Danish Central Bank from 1 February 2013.ATP’s Board of Directors has, after a recruitment processinvolving several candidates, appointed Carsten Stendevadas CEO with effect from 1 May 2013. The Board of Directorshas appointed CIO Henrik Gade Jepsen to serve as ActingCEO until that date.The ATP Group – Annual Report 201214

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsATP’s bonus rate 2008-2012Per cent201510502008 2009 2010 2011 2012OUTLOOK FOR 2013At the start of 2013, large imbalances continue to affect theworld economy, and there are still significant risks in the financialmarkets. Investors face an elevated risk level, whilethe low interest rates also mean low return prospects. ATPis therefore expecting 2013 to be another challenging year.With this in mind, ATP will continue to maintain a cautiousapproach to investments. It continues to be of paramountimportance to ATP to ensure that the Group’s reserves arerobust – even in extreme situations – so as to preserve ATP’sfinancial scope and ensure that ATP will, at all times, beable to meet its pension commitments to the members.ATP’s ambitious objective is to ensure that hedging and investment-activityresults are sufficient to preserve the longtermpurchasing power of ATP Lifelong Pension. The historicallylow interest rates have increased pension liabilitiessignificantly, which places higher demands on return. Whenthe real interest rate is also negative, this is an extremelyambitious objective.The ATP Board of Directors has set a performance target for2013 based on the expected rate of inflation and a premiumof one per cent. The target is fixed independently of trendsin the financial markets.The bonus rate – the ratio between the bonus potential andthe benefits guaranteed to members, was 15.6 per cent atthe end of 2012. In this context, the assessment is that thereis no basis for increasing pensions in the coming year.In 2012, administration expenses for ATP came to DKK 68per member, while the direct investment expenses were DKK52 per member. ATP’s management expects administrationexpenses and direct investment expenses to be maintainedat the same level in 2013. There were also indirect investmentexpenses which are to a great extent dependent onmarket trends.Udbetaling Danmark will take over the remaining three areasfor payment services from local authorities during thecourse of 2013. Following a two-year phasing-in period, thisnew solution is expected to generate cost savings for localauthorities of DKK 300m annually.Jørgen SøndergaardChairman formand of theBoard of DirectorsHenrik Lars Gade RohdeJepsendirektør Acting CEOThe ATP Group – Annual Report 201215

Management's M a g e m e nt's Revi review ew Business B u s e s s Model M o d e l Social R i s k Pe Responsibility n s i o n H e d ginPension g an d inveHedging s tm e nt and H e dInvestment gin g s tmHedging e nt Admini Investment s tr a ti o n Administration S o c i al Re s p o n s ibRisk ili t y The T h e ATP P Group G r o Financial c i al StatementsS te m e sBusiness ModelManagement's Review B u s in e s s M o d e l R i s k Pe n s i o n H e d gin g an d inve s tm e nt H e d gin g Inve s tm e nt Admini s tr a ti o n S o c i al Re s p o n s ib ili t y T h e AT P G r o up Fin an c i al S ta te m e nt sFacts Young about and pensions in educationHalf of the population accounts for 88 per centof all pension contributions in Denmark."Your first pension contributions are always the most importantones". But you should not concern yourself with pensionissues when you're in your early twenties and still in education.At that point in your life, finances are typically tight. Enjoylife and worry about your pension later.»

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsATP's business model and activitiesLifelong provision, predictability and security are key elements in basic pension coverThe pension pyramidThree-pronged business modelIndividual pensionsLabour-marketpensionsObjective &risktoleranceState-old age pensionand ATP Lifelong PensionInvestmentsPensionsATP Lifelong Pension is an integral part of the basic Danishpension cover. This is reflected in the design of ATP, which –based on a simple product – aims to ensure basic financialsecurity for all Danes in their old age.The overall objective for ATP is to provide the best possiblepensions to its members in the form of guaranteed, lifelongbenefits that are indexed to inflation.Lifelong provision, predictability and security are especiallyimportant when it comes to basic pension cover.A THREE-PRONGED BUSINESS MODEL• hedging the interest-rate risk of its pension liabilities• pursuing an investment strategy where ATP never assumesgreater risk than it can afford• introducing a model for accrual of guaranteed lifelongpension rights that adapts to changing market conditions• introducing a life expectancy model that factors in expectedfuture increases in life expectancy.The business model in everyday operations at ATPAt ATP, the model is more than just an overall framework forthe organisation – it is highly visible in ATP’s everyday operations.ATP's organisation thus ensures close daily dialoguebetween the three prongs of the business model.Any pension provider must – at one and the same time:• have a clear picture of its overall objective and risk tolerance• pursue a clear and targeted investment strategy• have a model in place for how its members accrue pensionrights and how their pension targets can be met.The business model ensures a better ATP Lifelong Pension foreach member, and it has been a key prerequisite for the resultsobtained in recent years. Through its performance, ATPhas proven that guarantees and a return-seeking investmentpolicy, low expenses and high returns are not mutually exclusive.ATP's business model emphasises the close interrelationshipbetween the three prongs: objective and risk tolerance,investment and pension. This has prompted ATP to make anumber of key choices, notably:The close relationship between the three prongs of the businessmodel and the model's practical application in everydayoperations have attracted particular interest in the globalpension community.The ATP Group – Annual Report 201217

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsATPPension activitiesHedging activitiesInvestment activitiesAdministration activitiesACTIVITIES OF THE ATP GROUPThe activities of the Group are divided into four businessactivities: pension activities, hedging activities, investmentactivities and administration activities. The first three activitiesare closely linked to the ATP scheme, while the fourthactivity pertains to administration of other social-securityschemes on behalf of the Danish government, the socialpartners or private pension companies.Pension activitiesPension activities are comprised of the operation and developmentof the ATP and SUPP schemes, except for assetmanagement. Operations include the collection of contributions,membership administration and disbursement.Hedging activitiesThe hedging of ATP's pension liabilities is an independentbusiness activity, designed to ensure that changes in interestrates do not affect ATP's ability to meet its pension liabilities.ATP and SUPP schemes. Asset management is based on aclear investment strategy with risk classes, risk monitoringand risk management as well as ongoing portfolio management.In volume terms, management of ATP's assets accountsfor the vast majority of investment activities.Administration activitiesThe administration activities provides administration servicesin the fields of pensions and social security to otherschemes, including LG, AER, AES, FerieKonto and Barsel.dk. ATP is also in the process of taking over the payment ofa range of public services up until now provided by municipalities.These activities will be handled through UdbetalingDanmark.All statutory services are provided on a cost-recovery basis.In addition, services are sold on an arm's length basis (onmarket terms) through an independent subsidiary.Core elements are the payment of benefits, collection ofcontributions and membership and client administration.Investment activitiesInvestment activities cover the asset management of theThe ATP Group – Annual Report 201218

M a n a g e m e n t 's R ev i ew B u s i n e s s M o d e l R i s k Pe n s i o n H e d g i n g a n d I nve s t m e n t H e d g i n gI nve s t m e n t A d m i n i s t r a t i o n S o c i a l R e s p o n s i b i l i t y T h e AT P G r o u p F i n a n c i a l S ta te m e n t sRiskYoung and in the labour marketA pension contribution is automatically deducted from thepay of most Danish wage earners as part of the pay andworking conditions negotiated through collective bargaining.If you are covered by a labour-market pension scheme, youhardly need to pay in more to your pension at this stage.»

Management's Review Business Model Risk Pension Hedging and investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsRisk and risk managementPrepared for very negative events and at the forefront of Solvency IIExcess cover relative to the individual reserve requirement andthe red-light scenario of the Danish FSADKK billion706050403020100Q1 Q2 Q3 Q4Excess cover relative to theDanish FSA's red-light scenarioExcess cover relative to theindividual reserve requirementIndividual reserve requirementReserve requirement under theDanish FSA's red-light scenarioOVERALL RISK MANAGEMENTATP's overall risk management focuses on five main areas:longevity risks, market and credit risks, counterparty risks,operational risks and regulatory risks.Longevity risks concern only pension activities, market andcredit risks and counterparty risks concern both investmentand hedging activities, while other risks concern all segmentsof the ATP Group.The most significant risks facing the ATP Group relate to theATP scheme, which guarantees members fixed lifelong pensions.In this context, life-expectancy developments pose aparticular risk to ATP.The ATP Supervisory Board attaches importance to ensuringthat the bonus potential – i.e. the value of investmentassets over and above the value of guaranteed benefits –is robust even in extreme situations so that ATP's financialflexibility remains intact. Given that the ATP Group investsmembers' contributions in the financial markets and markspension liabilities to market based on a yield curve, the investmentrisks facing the Group – including market, creditand counterparty risks – are obvious and quite substantial.A number of other risks – for instance operational and regulatoryrisks – are typically less quantifiable. However, ATPstill includes these risks in its risk assessment. The relativeweighting of the various risk factors is lodged with the SupervisoryBoard.ATP's overall risk management is based on an individual reserverequirement and a dynamic rule, respectively. In addition,the Supervisory Board has defined policies and frameworksfor management of individual risk types.Solvency II and individual reserve requirementAlthough not subject to the upcoming Solvency II regulation,ATP has decided to comply with its requirements asthey further strengthen its risk management in relevantareas. Moreover, compliance ensures that ATP is at theforefront of regulatory developments in the industry. ATPthus calculates an individual reserve requirement that iscompatible with the risk measurement under the upcomingSolvency II regulation.The individual reserve requirement stipulates that the bonuspotential must be sufficient to ensure that the risk oflosing the bonus potential within a 12-month horizon isless than 0.5 per cent.This means that ATP cannot invest freely if the value of itsassets approaches the value of the benefits guaranteed tomembers. If these values approach each other, the risk isreduced to ensure that sudden losses do not weaken theassets to such an extent that ATP will not be able to pay theguaranteed benefits.The ATP Group – Annual Report 201220

Management's Review Business Model Risk Pension Hedging and investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsOverview of the most significant risks and how to manage theseMost significant risksLongevity risks– guaranteed lifelong pensionsMarket and credit risks– financial-market investment– impact of interest-rate developments on pension liabilitiesCounterparty risks– ability to meet payments for unlisted financial contractsOperational risks– technology use for bulk disbursementsRisk managementUse of life-expectancy model that factors in expected future changes inlife expectancy.Management of the overall investment risk through daily monitoring anddynamic adjustment.Hedging of the interest-rate risk of pension liabilities.Standardised contracts with financial counterparties with high creditratings. Daily provision of collateral with restrictions on the bonds acceptedby ATP as collateral.Procedures and routines, separation of functions and structured methodsfor IT development and testing. Detailed delivery plan and externalreview at the implementation of Udbetaling Danmark.ATP has been reporting the individual reserve requirementto the Danish Financial Authority (FSA) in parallel with itstraffic-light reporting since early 2011. Throughout 2012,ATP has had substantial excess cover relative to both theindividual reserve requirement and the red-light scenario ofthe Danish FSA.The dynamic rule defines a risk budget, determined on thebasis of the bonus potential. If the bonus potential has beensignificantly above the risk budget for a period of time, thedynamic rule slowly increases the risk budget; if, on theother hand, the bonus potential is smaller than the riskbudget, the dynamic rule reduces the risk budget.ATP relies on its own custom model for the calculation ofATP's reserve requirements. This model is also used in dailyrisk management.Accordingly, high investment returns mean that it is possibleto further increase the risk – e.g. by purchasing equities– while major losses result in active divestment.The model was further developed in 2012 and reported tothe Danish FSA as Internal Model for Solvency II in December2012. The aim was to use the model, under the name ofInternal Model, for ATP's reporting of its individual reserverequirement to the Danish FSA starting in 2013.MANAGEMENT OF THE MOST SIGNIFICANT RISKSThe most significant risks facing ATP and an outline of whatis being done to address these risks are specified in the tableabove.Dynamic ruleInternally, the individual reserve requirement is supplementedby the dynamic rule to ensure that the risk never exceedsan upper limit set by the Supervisory Board.Longevity risksATP guarantees its members lifelong pensions. Accordingly,increasing life expectancy (longevity risk) is the greatestpension risk facing ATP. ATP uses the SAINT life-expectan-The ATP Group – Annual Report 201221

Management's Review Business Model Risk Pension Hedging and investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsObserved current life expectancy of 65-year-oldsExpected future increases in life expectancyYearsYears88868482ATP 2011Danish FSA 2011Statistics Denmark2010/20119492908886ATP womenATP menDanish FSA womenDanish FSA men8078Women Men Average8482802011 2041 2071 2101Note: Projected life expectancies in the ATP SAINT life-expectancy modeland the Danish FSA's benchmark.cy model, based on comparable data from 18 OECD countries,to manage longevity risk. In addition to factoring in alreadyobserved increases in life expectancy, SAINT allowsfor projected future life-expectancy increases.The model provides for a stable long-term forecast and significantlyreduced longevity risk. ATP closely monitors theSAINT model's predictions of life expectancy, and the modelis updated once a year.The Danish FSA's life-expectancy model for current life expectancyand expected future increases in life expectancyapplies to insurance companies and non-occupational pensionfunds. The current life expectancy of ATP's members islower than that predicted by the Danish FSA, but the SAINTmodel predicts greater future increases in life expectancythan the Danish FSA's model.ATP's analyses and calculations show that the DanishFSA's life-expectancy model does not have any implicationsfor ATP's provisions. If the current life expectancyof the ATP pension population is combined withthe Danish FSA's expected future increases in life expectancy,the value of ATP's guaranteed benefits is lower thanthat predicted by the SAINT model. At end-2012, this calculationthus yielded a value of guaranteed benefits of DKK524.3bn, or DKK 15.4bn lower than the value of ATP's guaranteedbenefits.Managing market and credit risksMarket risks are risks resulting from changes e.g. in bondyields, equity prices, exchange rates and real-estate prices.Another market risk is loss from credit risk (issuer risk). ATPuses various policies for managing market risks, the mostimportant ones of which are described in separate sectionsbelow.Hedging of the interest-rate risk of pension liabilitiesThe objective of the hedging portfolio is to ensure optimalhedging of the interest-rate risk on the pension liabilitiesowed to ATP's members.The yield curve used by ATP to determine the value of pensionliabilities consists of yields on domestic and Germangovernment bonds and yields on interest-rate swaps denominatedin Danish kroner and euros. Therefore, ATP hassignificant interest-rate risk when it comes to the value of itspension liabilities. ATP seeks to hedge this risk through itshedging portfolio.If interest rates go down, the value of the hedging portfolioincreases – as does the value of pension liabilities. Conversely,if interest rates go up, the value of the hedging portfoliodecreases – as does the value of pension liabilities.Therefore, members can be confident that ATP will be ableto pay their pensions when they fall due – regardless of interest-ratechanges over the coming years.The ATP Group – Annual Report 201222

Management's Review Business Model Risk Pension Hedging and investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsPotential losses in the five risk classesDKK billion Sensitivity 2012 excl. Sensitivity 2012 incl. Sensitivity 2011 incl.tail-risk hedging tail-risk hedging tail-risk hedgingRisk classEventInterest Rates Interest rates +1.5% 0.4 0.4 4.7Credit Credit spread +7% 10.9 10.9 11.3Equities Equities -50% 22.9 18.1 10.2Inflation Real interest rate + 2.0%¹ 11.1 6.5 7.8Commodities Commodities -65% 4.8 4.8 3.01) The real interest rate increase of +2% is calculated as a change in inflation of -1.0% and a change in interest rates of + 1.0%.Risk diversificationIn its efforts to achieve returns, ATP systematically incursmarket risks through investment in different asset types. Inorder to diversify market risks, the assets of the investmentportfolio are invested in five risk classes with very differentrisk profiles. The Supervisory Board has established aframework for the distribution of assets.Protection against sharply falling valuesATP focuses on protecting itself against 'tail risks', i.e. sharpdrops in the value of the investment portfolio, e.g. a 30-percentplunge in equity or commodity prices.'Tail risks' represent a significant risk to ATP, and thereforeATP hedges against heavy losses if these very negativeevents were to occur.However, the purchase of hedging directly reduces the investmentreturn. This has prompted the Supervisory Boardto set a framework and limits for this type of risk hedging.In 2012, ATP hedged against heavy losses from falling equityprices, rising inflation and lower oil prices.Liquidity managementLike all other pension providers, ATP faces new challengesin terms of ensuring adequate liquidity. New regulations,setting out requirements for central clearing of value changesfor certain types of financial instruments, tighten investorliquidity requirements. Moreover, pension payouts exceedcontributions because ATP is a "mature" pension fund.In 2012, this prompted the ATP Supervisory Board to adopta new liquidity management model, placing limits on theamount of liquidity ATP must be able to muster both in theshort term (five days) and in the long term (one year) relativeto different scenarios.Increased focus on counterparty risksThe use of financial instruments, e.g. in the interest-ratehedging programme, represents a separate risk to ATP,since changes in the value of these instruments will generatea liability and a receivable between ATP and its counterparties.Therefore, ATP may suffer a loss if the counterpartydefaults. In order to reduce this counterparty risk, bothATP and its counterparties require that an agreement oncollateral be concluded on receivables from the other party.For instance, ATP is to provide more collateral if interestrates go up and receive more collateral if interest rates godown. Only liquid assets, such as government bonds, canbe pledged as collateral for these contracts. For most ofits counterparties, ATP has introduced restrictions on thebonds eligible as collateral. Only domestic government andmortgage bonds, US government bonds and governmentbonds issued by eurozone countries with high credit ratingsare eligible as collateral.Operational risksOperational risks are e.g. the risk of loss arising from theoperational performance of the Group's business. The mostsignificant operational risks are assessed as being errorsor delays in bulk disbursements and processing, for exampleerrors in calculation and payment systems, errors in col-The ATP Group – Annual Report 201223

Management's Review Business Model Risk Pension Hedging and investment Hedging Investment Administration Social Responsibility The ATP Group Financial Statementslections as well as loss of data and knowledge. These risksare managed through business procedures and routines, aswell as structured methods for IT development and testing.ATP follows up on critical errors, and action plans are drawnup for the management of such errors.Regulatory risksIn addition to the risks specified, ATP also faces risks thatare not directly quantifiable. These risks are managedthrough risk-reducing procedures and a high level of contingencyexpertise.With the establishment of Udbetaling Danmark, ATP's exposureto operational risks has increased. In future, UdbetalingDanmark is to disburse in the order of DKK 180bn to 2mcitizens each year. The establishment is managed accordingto a detailed delivery plan, underpinned by regular riskanalyses.In recent years, ATP has significantly increased its focus onoperational risks, for example by setting up an independentorganisational unit to monitor operational risks. Reportingto the Supervisory Board takes place at least once a year,and it is ensured that initiatives are implemented to reducerisks that are assessed as being inappropriate.Negative reputation could affect ATP's potential earnings.Therefore, ATP's risk management incorporates policies ofsocial responsibility and corporate governance in investments.At the same time, ATP wants to be recognised asa reliable and trustworthy company with open communication.Client satisfaction, employee satisfaction and theGroup's general image in the Danish population are systematicallymonitored. Reputational risks are not definedas a separate risk category, but rather as risks deriving fromdaily operations. These risks are managed through risk-reducingprocedures.ATP's operations extensively relate to schemes and tasksestablished and governed by statute or through collectivebargaining agreements. Such schemes may be set up,changed or discontinued by political decision – sometimesat relatively short notice. Similarly, the conditions of ATP'soperations or parts thereof are affected when significantregulatory conditions change and new, tighter financial, administrativeor other requirements are imposed on ATP.Obviously, such events could have significant impact on thefinances of the individual scheme. At the same time, suchevents typically affect the overall financial position of theATP Group and ATP's other activities. For example, discontinuationof one or more tasks may be reflected in loss ofeconomies of scale and thus higher costs in other areas.A case in point is the discontinuation of the SP scheme in2010.Regulatory risks are an inherent aspect of ATP's business.It is difficult to determine just how likely such events are tooccur and equally difficult to predict what the financial implicationswill be. ATP maintains a high level of contingencyexpertise in relevant areas, and for each of these areas procedureshave been established for assessing and managingsuch risks and for ensuring reporting to the ATP SupervisoryBoard.The ATP Group – Annual Report 201224

M a n a g e m e n t 's R ev i ew B u s i n e s s M o d e l R i s k Pension H e d g i n g a n d i nve s t m e n t H e d g i n g I nve s t m e n t A d m i n i s t r a t i o n Social Responsibility T h e AT P G r o u p Fi n a n c i a l S ta te m e n t sPensionFacts Young about and pensions working, but without a pension planHalf of the population accounts for 88 per centof all pension contributions in Denmark.If you are not covered by a pension plan via your work place,you should consider taking out life insurance to cover youand your family should accident strike. If you have no prospectof being covered by a labour market pension plan later,you should consider setting up an individual old age pensionplan.»

Management's Review Business Model Risk Pension Hedging and investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsPension-activity resultsAdditional provisions for increased life expectancy made in 2010 once again had a positive impactin 2012Pension-activity resultsAdditional provisions due to increases in life expectancyDKK million 2012 2011DKK billionYearsContributions 8,554 8,602Pension benefits (11,903) (11,080)Change in guaranteed benefits due to contributionsand pension benefits 2,809 4,479Expenses (351) (336)5040302010848382Life expectancies for65-year-olds(avg. both genders)Accumulated provisionssince the millenniumchange to cover increasesin life expectancyOther 6 21Results before change in life expectancy (885) 1,686001 02 03 04 05 06 07 08 09 10 11 1281Change in guaranteed benefits due to lifeexpectancyupdate (557) (248)Pension-activity results (1,442) 1,438ATP's pension activities comprise management of the ATPpension scheme and the SUPP savings scheme.Pension-activity results were a loss of DKK 1.4bn, attributablemainly to the acceleration in the increase of the retirementage resulting from the 2011 Retirement Reform. Pensioncommitments already made have been converted toreflect the new retirement age, detracting DKK 1.7bn fromresults. This is reflected in the item Change in guaranteedbenefits resulting from contributions and pension benefits.expectancy. The model factors in expected future increasesin life expectancy, but the annual updates of Danish life expectancymay still result in adjustments of the value of pensionprovisions.ATP performed the annual update of Danish life expectancyin connection with the preparation of the interim report forH1. Following the update, ATP made further provisions ofDKK 0.6bn, equivalent to just over 0.1 per cent of guaranteedbenefits. The equivalent figure for 2011 was DKK 0.2bn.In 2012, ATP received member contributions totalling DKK8.6bn. Contributions are divided into guarantee contributionsand bonus contributions. The guarantee contributionis earmarked for allocation of new pension rights for theyear.The bonus contribution accounts for 20 per cent of membercontributions. The bonus contribution is included in the bonuspotential, which is a precondition for future increasesin pensions.In connection with the 2010 annual report, ATP started usingthe SAINT life expectancy model and, as a result, made additionalprovisions of DKK 18.3bn for future increases in lifeThe 2012 life expectancy update showed a strong increaseof 5 months in life expectancy for women, while the increasein male life expectancy was just over 2.5 months. Had theSAINT model not been used, this would have resulted in additionalprovisions of approx. DKK 5.8bn. However, as mostof the increase in life expectancy had been forecast by themodel, the update resulted in additional provisions of onlyDKK 0.6bn.Since the start of the new millennium, ATP has made totalprovisions in excess of DKK 47bn to cover increases in lifeexpectancy. As a result of these provisions, ATP's bonus potentialhas been reduced similarly.The ATP Group – Annual Report 201226

Management's Review Business Model Risk Pension Hedging and investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsProportion of 65-year-olds that live to be 85, 1990-2050The price of pension, 1970-2050Survival rate, per centIndex 100 = year of 197080706050403020100> Projection1990 2012 2030 2050MenWomen1501401301201101009080> Projection1970 1990 2010 2030 2050Historically, average life expectancy in Denmark has increasedsignificantly – and it is set to continue increasing.Currently 65 year old men and women can expect - on average- to live another 18 and 22 years respectively. This is a fullthree years longer than in 1990, and three or four years lessthan is projected for 2050.In a pension context, life expectancy and the probability ofliving to a very old age are key issues. The longer the life expectancyand the more people who live to a very old age, themore expensive the "pension product" becomes. The price ofDKK 1 in annual lifelong pension from age 65 is currently 24per cent higher than in 1970. Forty years from now – in 2050 –the price will have gone up by another 15 percentage points.ATP’s pension payouts were DKK 11.9bn. Payouts exceedcontributions by DKK 3.3bn, reflecting that ATP is graduallymaturing as a pension fund. The payouts are matched bysimilar changes in ATP’s provisions and do not affect theoverall result.The ATP Group – Annual Report 201227

Management's Review Business Model Risk Pension Hedging and investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsPredictable pension – for lifeMost elderly Danes only have ATP Lifelong Pension to supplement their state funded old-age pensionATP members at year-end 2012Average annual ATP Lifelong PensionTotal number of members 4,782,900No. of members above pensionable age 997,100- of whom receiving a current pension 879,400- of whom paying contributions in 2012 88,500Annual pension in DKK20,00015,00010,0005,000All pensioners65-year-old pensionersNo. of members below pensionable age 3,785,800- of whom paying contributions in 2012 3,013,5000Women Men TotalATP Lifelong Pension helps to provide basic financial securityfor virtually all Danish pensioners. For more than 50 percent of Danish old-age pensioners, ATP Lifelong Pension istheir only source of supplementary pension income. For thegreater part of other pensioners, ATP is part of the foundationupon which other pensions rest.viders have decided to end or weaken pensions. The guaranteeelement is as a fundamental prerequisite for the basicsecurity that ATP is to help provide. Therefore, ATP LifelongPension remains a guaranteed, predictable pension.ATP has demonstrated that guarantees and high returns arenot mutually exclusive.More than 91 per cent of the Danish population aged 25-60 years paid ATP contributions in 2012, thus accruing ATPLifelong Pension rights. One in five Danes aged between 25and 60 do not contribute to pension schemes other thanATP.About 86 per cent of Denmark's more than 1m old-age pensionersreceive ATP Lifelong Pension.In 2012, ATP's payouts totalled just under DKK 11,9bn, withcurrent pension benefits accounting for DKK 11.0bn. ATP receivedcontributions totalling DKK 8.6bn from wage earnersand recipients of transfer income.In recent years, payouts have been exceeding contributions,which is a reflection of the maturing of the ATP scheme. Thematuring process will continue over the coming decades,and, other things being equal, the gap between ATP's contributionsand payouts will gradually widen.ATP is committed to guaranteesDuring recent years, an increasing number of pension pro-DKK 11bn paid in pension benefitsIn 2012, eight in ten old-age pensioners were able to supplementtheir state old-age pension with ATP Lifelong Pension.ATP paid a total of DKK 11bn in lifelong old-age pensionsand, at end-2012, 879,400 ATP members were receiving lifelongpensions from ATP.The full ATP Lifelong Pension for a 65-year-old pensioneramounted to DKK 24,300 in 2012, equivalent to 35 per centof the basic amount of the state funded old-age pension.The full ATP Lifelong Pension was paid to members who hadpaid the full ATP contribution from 1964 until retirement.The average ATP Lifelong Pension was approximately DKK13,000 a year. ATP members retiring at age 65 in 2012 receivedATP Lifelong Pension benefits averaging DKK 15,700a year.There is fairly significant variance in the ATP benefits paidto members. Younger pensioners, in general, receive morethan older pensioners because they have been able to accruepension rights over a longer period of their workingThe ATP Group – Annual Report 201228

Management's Review Business Model Risk Pension Hedging and investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsPension payouts in 2012ATP contributions in 2012NumberDKK millionDKK millionCurrent old-age pensions 909,200 11,012- personal pensions 900,100 10,983- survivor pensions 9,100 29Lump-sum benefits 23,200 891- personal pensions 3,700 70- spouse/common-law partnerbenefits 16,600 676- child benefits 2,900 145Total contributions 8,554Of which in respect of:- people in employment 6,285- recipients of unemployment, sickness ormaternity/paternity benefits 1,162- recipients of disability pension 504- recipients of early-retirement pension 138- recipients of other transfer incomes 312- SUPP deposits 153Number of contributing employers 153,900lives. ATP was set up in 1964, and at that time many of theolder current pensioners had already been working for severalyears. Men generally receive more than women becauseof the higher employment rate of men – especially among thecurrent older generations.In 2012, just over 3.1m members paid contributions to ATP,thereby accruing new lifelong pension rights. Contributionstotalling about DKK 8.6bn were paid into the ATP scheme in2012, some 25 per cent of which by recipients of transfer incomeSurvivor benefitsThe ATP scheme provides insurance for dependants of deceasedATP members in the form of survivor benefits. If anATP member dies before reaching pensionable age, his or hersurviving spouse or registered common-law partner is generallyeligible for a lump-sum benefit of DKK 50,000. Childrenunder the age of 21 are generally eligible for a similar amount– irrespective of the age of the deceasedIn 2012, 16,600 surviving spouses and common-law partnersreceived lump-sum survivor benefits from ATP. This numberhas stayed fairly constant for a number of years. Betweenthem, the spouses and common-law partners received DKK676m. 2,900 children of deceased ATP members receivedlump-sum benefits totalling about DKK 145m.DKK 8.6bn paid in contributionsThe ordinary annual ATP contribution, unchanged since 1January 2009, is DKK 3,240.For many years, a number of public-sector bargaining agreementshave provided for lower ATP contributions. In 2008, itwas decided to implement a gradual process to ensure thatall public-sector employees will eventually receive the sameATP lifelong pension benefits as those guaranteed to wageearners in the private sector.This process was continued as part of the 2011 round of collectivebargaining in the public sector. As a result, all affectedgroups started paying higher contribution rates at the beginningof 2012.The most recent adjustment of the ATP contribution was in2009. While the adjustment of the contribution rate has littleeffect on ATP pensions in the short term, continuous adjustmentis essential for pensions in the long term. In a maturepension scheme such as ATP, failure to adjust contributionswill translate into a reduction in the purchasing power of futurepensioners.The ATP Group – Annual Report 201229

Management's Review Business Model Risk Pension Hedging and investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsPercentage of +65-year olds receiving ATP Lifelong Pensionin 2011, broken down by age groupATP bonus rate 2008-2012Per centPer cent10080604020MenWomen2015105065 70 75 80 85 90 95 100 Age02008 2009 2010 2011 2012Groups outside ATPATP is a mandatory scheme for all wage earners and thevast majority of recipients of transfer income. A few groups– including the self-employed, recipients of voluntary earlyretirement benefits and recipients of benefits under the DanishFlexjob scheme (benefits paid for less demanding, publiclysupported jobs) – can opt to pay voluntary ATP contributions.The self-employed and students are the largest groups ofthe over-25s not covered by the ATP scheme on a compulsorybasis.Pensions to be maintained at 2012 levelsThe ATP Supervisory Board has decided, based on an assessmentof ATP's reserves – its bonus potential – to maintainpensions for 2013 at the 2012 levels.Automation, better communication and less paperDisbursement of ATP Lifelong Pension is automatic whenmembers reach the pensionable age under the state oldagepension system. Other communication with members isalso based increasingly on digital channels, primarily www.atp.dk.In partnership with e-Boks (electronic mail service for publicand private-sector companies), SKAT (Danish Tax and CustomsAdministration), and the Borger.dk and Virk.dk onlineportals, ATP will continue its efforts to target client serviceseven more effectively.The ATP Group – Annual Report 201230

Management's Review Business Model Risk Pension Hedging and investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsImproved offer for disability pensionersPredictable pension, joint asset management and cost effective administrationMember development in 2012Deposits, contributions and payouts in 2012NumberDK MillionNumberMembers, beginning of year 96,300Additions- new members 9,400Departures- retired members 4,100- deceased members 1,100Members, end of year 100,500Contributions 1 503Payouts 184- converted to ATP 153 4,100- lump-sum benefits on death 31 1,100Total deposits, end of year 2,755 100,5001) After social-security contributionsThe Supplementary Labour Market Pension Scheme forDisability Pensioners (SUPP) offers disability pensionersparticularly attractive opportunities for saving for lifelongretirement. In 2012, when disability pensioners paid aSUPP contribution of DKK 157 a month, this amount wastopped up by the central government, contributing a furtherDKK 314 a month.Enrolment in the SUPP scheme is voluntary. Just overfour in ten disability pensioners have enrolled in the SUPPscheme at ATP and enrolment is increasingPayouts under the scheme totalled DKK 184m in 2012,DKK 153m of which was converted into ATP Lifelong Pension,while DKK 31m was paid out on death.Overhaul of the SUPP schemeSo far, the SUPP scheme has been a purely individual savingsscheme with no insurance elements. Savings underthe scheme were converted into ATP Lifelong Pensionwhen the disability pensioner reached retirement age underthe state old-age pension.As of 1 January 2013, the SUPP scheme at ATP will belinked more closely to ATP Lifelong Pension. At the sametime, SUPP's asset management will be pooled with thatof ATP.SUPP members get a predictable, guaranteed old-agepension, which is gradually built up through the accrualprocess. As an added benefit, the closer link to ATP willtranslate into lower expenses for SUPP members.As part of the overhaul, individual savings accounts willbe dismantled, and contributions for 2013 onwards will beused to acquire guaranteed lifelong pension rights at ATP.Existing individual savings accounts are converted intoguaranteed ATP lifelong pension rigths at 1 January 2013.Under the new rules, the period of disbursement on deathwill be extended to five years after the SUPP memberreaches retirement age under the state funded old-agepension. The amount to be disbursed is gradually scaleddown from the time the member reaches the retirementage under the state funded old-age pension, and after fiveyears there will be no disbursement. Previously, the estatereceived no disbursement on the death of a SUPP memberover the retirement age under the state funded old-agepension.Independent annual reportFor more information on the SUPP scheme, please refer tothe SUPP annual report at www.atp.dk.The ATP Group – Annual Report 201231

Management's Review Business Model Risk Pension Hedging and investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsLow expenses translate into higher pensionATP's expenses are low – by Danish and by international standardsExpenses of the ATP and SUPP schemes in 2012ATPSUPPDKK million per cent 1 per member DKK million per cent 2 per memberAdministration expenses 325 0.05 68 26 1.04 268Investment expenses 1,185 0.20 248 9 0.33 86- of which direct investment expenses 247 0.04 52 9 0.33 86Insurance expenses 3 661) ATP's expense ratio has been calculated relative to average assets (guaranteed benefits plus bonus potential).2) SUPP's expense ratio has been calculated relative to the average deposit.3) Insurance expenses on the death of a contribution-paying member.Expenses have great impact on the size of future pensions.With a savings period of 40 years, small differences in expensescan make for significant differences in pension benefits.In exceptional cases, the difference between a highand a low level of expenses could reduce the amount ofpension available at retirement by as much as 50 per cent.Administration expensesPension-activity expenses for the ATP scheme amounted toa total of DKK 325m in 2012, equivalent to an average ofDKK 68 for each member. Relative to average assets (guaranteedbenefits plus bonus potential) managed by ATP in2012, ATP's administration expense ratio was 0.05.ATP's administration expenses are very low – by Danishand by international standards. A comparison with Danishlife-insurance companies and industry-wide pension fundsshows that ATP's administration expenses per member areindisputably the lowest in Denmark.ATP participates in the CEM Benchmarking service, providingpension schemes around the world with internationalcomparisons of expenses and performance. ATP's administrationexpenses are 88 per cent lower than the relevantbenchmark, based on data from its peers in the global pensioncommunity.The low expense level is facilitated by the very simple natureof the ATP product, drawing on the advantages of theunique Danish administration infrastructure, which is basedon public CPR and CVR registers (civil and business registres).Moreover, ATP – like schemes regulated by collectiveagreements – is a mandatory scheme, boasting a largemembership, which enables ATP to achieve various economiesof scale. Over recent years, ATP has digitalised largeamounts of its communication with members.In 2012, pension-activity expenses for the SUPP schemeamounted to a total of DKK 26m, equivalent to an average ofDKK 268 for each SUPP account holder. Expenses in 2012were significantly higher than in 2011 due mainly to projectexpenses related to the overhaul of the SUPP scheme. Interms of total deposits, the administration expense ratio ofthe SUPP scheme was 1.04.The SUPP scheme has a higher expense level than the ATPscheme, given that ATP's membership is much larger thanthat of SUPP. On 1 January 2013, the SUPP scheme will berestructured and linked more closely with ATP.Investment expensesIn 2012, ATP's direct investment-activity expenses totalledDKK 247m, equivalent to 0.04 per cent of average assetsmanaged by ATP in 2012, or DKK 52 for each member.The ATP Group – Annual Report 201232

Management's Review Business Model Risk Pension Hedging and investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsATP's investment expenses in 2012ExpensesDKK million per cent 1 per memberDirect investment expenses, cf. financial statements 2 247.3 0.04 52Indirect expenses for asset management through subsidiaries and external assetmanagement 4- Interest rates 0 0.00- Credit 82 0.17- Equities 445 0.97- Inflation 249 0.52- Commodities 39 0.51- Alpha 123 1.45Total investment expenses including subsidiaries and external asset management 1,185 0.20 3 2481) Expenses incurred relative to average assets in the respective category.2) As opposed to other pension institutions in Denmark, ATP prepares its financial statements in accordance with the International Financial Reporting Standards(IFRS) under which trading expenses (brokerage and due diligence) are included in the calculation of investment expenses. Trading expenses accounted for DKK 33mof the amount stated.3) Omkostningsprocent eksklusiv commitments. Inklusiv commitments udgør den 0.19 pct.4) In addition, performance fees of just over DKK 700m were incurred.If expenses related to external asset management and assetmanagement through subsidiaries are included, ATP'soverall investment expenses totalled DKK 1,185m in 2012,equivalent to 0.20 per cent of average assets managed byATP in 2012, or DKK 248 for each member.For the SUPP scheme, investment expenses totalled DKK9m, equivalent to 0.33 per cent, or DKK 86 for each accountholder. On 1 January 2013, the SUPP scheme will be restructuredand its assets will be managed jointly with ATP’sassets.ATP's expenses continue to be low – by Danish and internationalstandards.ATP has calculated overall percentage annual investmentexpenses for all Danish life-insurance companies and industry-widepension funds. This calculation, based on figuresreleased by the companies, shows that ATP's investmentexpenses are among the lowest in Denmark.According to the most recent CEM survey, ATP's investmentexpenses are significantly lower than those of its peers inthe global pension community.Increased transparencyFor a number of years, ATP has been providing detailed informationon investment expenses at scheme level. Since2011, other pension companies have provided similar information.This significantly increases the transparency as regardsexpenses in the Danish pension industry.ATP does not use individual custody accounts and thusdoes not calculate administration and investment expensesfor each individual member. Instead, ATP provides informationon annual expenses and the expense ratio per memberto all members.The ATP Group – Annual Report 201233

Management's Review B u s i n e s s M o d e l R i s k Pe n s i o n Hedging and Investment Hedging I nve s tm e nt Ad m i n i s t r a ti o n S o c i al R e s p o n s i b ili t y T h e AT P G r o u p Fi n a n c i al S ta te m e nt sHedging and InvestmentFacts When about life pensions takes a turnHalf of the population accounts for 88 per centEveryone's life goes through a number of stages, butof all pension contributions in Denmark.most people also encounter a few large or small bumpsalong the way. Major life events such as long-term unemployment,divorce or long spells of sickness may affectpensions to a greater or lesser extent.»

Management's Review Business Model Risk Pension Hedging and investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsHedging and investment-activity results andperformance targetHedging and investment-activity results totalled DKK 11.5bn, achieved on the basis of a return ofDKK 57.4bn. Market return significantly outperformed the industry averageHedging and investment-activity results in 2012 relative to theperformance targetReturn on the hedging and investment portfoliosDKK billion20181614121086420Hedging-activityresultsInvestment-activityresultsPerformance target,premiumPerformance target,inflationReturn2012Hedging portfolio 45,415Investment portfolio 11,998DKK million per cent 1Total 57,413 9.91) The return is calculated on a money-weighted return basis,using daily values.ATP's portfolio is divided into a hedging portfolio and aninvestment portfolio to match ATP's two-pronged objectiveof preserving the long-term purchasing power of pensionswithout exposing members to unnecessary risks:• The hedging portfolio, the aim of which is to ensure optimalhedging of the interest-rate risk of ATP's pensionliabilitiesFor 2012 in isolation, the Supervisory Board set the targetthat hedging and investment-activity results were to equalthe actual rate of inflation with a premium of 1 per cent. Theperformance requirement was calculated at DKK 17.2bn –the actual rate of inflation resulted in a performance requirementof DKK 12.1bn, while the premium corresponded toDKK 5.0bn. This is very ambitious in a year of interest ratesat historic lows and uncertain financial markets.• The investment portfolio, the aim of which is to generatean absolute return that is sufficient to preserve thelong-term purchasing power of pensions.Overall hedging and investment-activity results were DKK11.5bn in 2012. Results are comprised of an overall return onthe hedging and investment portfolio of DKK 57.4bn, or 9.9per cent, resulting in tax on pension-savings returns of DKK8.7bn. Conversely, the changes in guaranteed benefits affectedhedging activities by DKK 37.0bn, attributable mainlyto the decline in interest rates during the year. Finally, expensestotalling DKK 0.2bn were incurred.The ATP Supervisory Board has set the long-term targetthat, over time, hedging and investment-activity resultsmust be sufficient to ensure that pensions are revalued inline with the Retail Price Index (RPI). The target is thus independentof financial market conditions.Overall results of DKK 11.5bn are assessed as satisfactoryin the context of the challenging market conditions withlow interest rates and the low risk level maintained in ATP'sportfolio throughout the year. Moreover, expenses related tohedging to protect against heavy losses that did not occuralso detracted from the return.Return of DKK 57.4bn on the hedging and investmentportfolioIn 2012, hedging activities generated a profit of DKK 1.5bn,while investment activities achieved a profit of DKK 10.1bn.Hedging-activity results are comprised of a large positivereturn, which is offset by an almost similar increase in thevalue of guaranteed benefits. The return on hedging, comprisedprimarily of long-dated government bonds and interest-rateswaps, totalled DKK 45.4bn.The ATP Group – Annual Report 201235

Management's Review Business Model Risk Pension Hedging and investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsATP's returns relative to the returns of life-insurance companiesand industry-wide pension funds in the period 2002-2011Per cent302520151050(5)2002 2003 2004 2005 2006 2007 2008 2009 2010 2011Average2002-2011ATPLife-insurance companiesand industry-widepension fundsATP, average 2002-2011Life-insurance companiesand industry-widepension funds,average 2002-2011Investment-activity results are calculated as the return onthe investment portfolio less expenses and tax on pensionsavingsreturns. In 2012, the return on the investment portfoliowas DKK 12.0bn.Market return significantly outperformed the industryaverageEvery year, the Danish Financial Supervisory Authority (FSA)publishes return ratios for life-insurance companies and industry-widepension funds. The ratios applied by the DanishFSA measure only returns on assets, including the assetsof ATP's hedging portfolio, while no allowance is madefor changes in the market value of ATP's pension liabilities.In 2011, the latest year for which the Danish FSA has publishedreturn data, ATP achieved a market return that was afull 17.1 percentage points higher than the overall industry oflife-insurance companies and industry-wide pension funds.This should be seen in the context of plummeting interestrates in 2011 and ATP's strategy of hedging the interest-raterisk of its pension liabilities, among other factors.Over 5-year and 10-year horizons, ATP significantly outperformsthe industry average, achieving an average additionalmarket return of, respectively, 7.0 percentage points p.a.and 4.2 percentage points p.a. After tax and expenses, overthe 10-year horizon, ATP's average additional return relativeto the industry is 3.9 percentage points p.a. Achieving high,stable returns is key to the size of future pensions.ATP’s additional return is driven by three factors: firstly,use of bonds and interest-rate swaps to hedge the interestraterisk of its pension liabilities generated quite a substantialpositive return due to the drop in interest rates over theperiod; secondly, positive gains were achieved from extensiveuse of risk diversification; thirdly, ATP's equity portfolioconsisted substantially of listed domestic equities whereATP's domestic equities outperformed the domestic equitymarket, and the domestic equity market outperformed equitiesfrom a number of benchmark markets during the 10-year period.The ATP Group – Annual Report 201236

Management's Review B u s in e s s M o d e l R i s k Pe n s i o n H e d gin g an d Inve s tm e nt Hedging Inve s tm e nt Admini s tr a ti o n S o c i al R e s p o n s ib ili t y T h e AT P G r o up Fin an c i al S ta te m e nt sHedgingFacts Not about quite pensions as young anymoreHalf Take of a the look population your pension accounts provisions – for and 88 don't per forget centof your all pension state old-age contributions pension. Compare in Denmark.your expected retirementincome with your current income. If the gap betweenthe two seems too wide, you have three options: you cansave more for retirement, reduce your debt or stay in the labourmarket for a little longer. The aim is to make ends meet.»

Management's Review Business Model Risk Pension Hedging and investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsStrong protection against interest-rate declinesHedging of the interest-rate risk of pension liabilities once again proved its strengthATP's hedging-activity resultsHedging of pension provisions safeguards reservesDKK billion 2012 2011Return on the hedging portfolio 45.4 107.9Change in guaranteed benefits due to changein discount rate (26.6) (91.2)Change in guaranteed benefits due to decliningterm to maturity (10.4) (12.0)Tax on pension-savings returns (6.9) (16.2)Hedging-activity results 1.5 (11.5)Market value of the hedging portfolio 567.0 528.6DKK billion120100806040200(20)(40)2008 2009 2010 2011 2012Return on hedgingportfolio after taxChange in guaranteedbenefitsUnlike most other pension providers, ATP guarantees thesize of all future pension payouts to members. With the continueddeclines in interest rates, the requirement on theamount of assets needed to meet pension liabilities wasonce again raised significantly in 2012.To ensure that ATP will always be able to meet the guaranteesmade to members, ATP has been hedging the valueof pensions against interest-rate fluctuations since 2006 bymaking investments through an independent hedging portfolio.As far as possible, the expected future income fromthe hedging portfolio after tax is to be equivalent to expectedfuture pension payouts.Hedging is planned with a view to ensuring that the marketvalue of the hedging portfolio fluctuates in line with pensionliabilities when interest rates go up or down. Hedging is primarilyperformed by purchasing very long-dated fixed-rategovernment bonds or by entering into interest-rate swaps.Hedging activities generated a profit of DKK 1.5bn.The market return on the hedging portfolio was DKK45.4bn, driven mainly by declining yields on governmentbonds and interest-rate swaps during the year. Asa result of the return on the hedging portfolio, tax on pension-savingsreturns amounted to DKK 6.9bn. The return aftertax was DKK 38.5bn.Conversely, the value of guaranteed benefits increased byDKK 37.0bn, DKK 26.6bn of which was attributable to declininginterest rates. Without hedging, the bonus potentialwould thus have been reduced by DKK 26.6bn, viewedin isolation. In other words, hedging once again proved itsstrength in 2012, given that hedging more than offset the increasein the value of pension liabilities resulting from thefall in interest rates during the period.Hedging-activity results fluctuate around zero; insome years, hedging activities will generate a profit,in others a loss as hedging is not completely precise.As has also been the case in 2012, results reflectlarge gross movements with interest-rate changes due tothe high interest-rate sensitivity of ATP's pension liabilitiesand the hedging portfolio. Absence of hedging would thereforepose significant risks to ATP if interest rates were to godecline further.Given that hedging activities provide effective protectionagainst loss of bonus potential due to interest-rate changes,ATP's investment activities will have considerably morescope to take risks that may lead to a higher return.During the 5-year period from 2008 to 2012, ATP's hedgingportfolio achieved a return of DKK 282.4bn. The return aftertax was DKK 239.9bn.The ATP Group – Annual Report 201238

Management's Review Business Model Risk Pension Hedging and investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsYield developments in 2012 Yield-spread developments in 2012Per centPercentage points2.8 30-year domestic2.6swap rate2.430-year Europeanswap rate2.2Yield on 30-year2.0German government bond1.81.61.4Q1 Q2 Q3 Q4Yield on 30-yeardomestic government bond0.150.100.05(0.00)(0.05)(0.10)(0.15)(0.20)(0.25)(0.30)Q1 Q2 Q3 Q430-year domesticswap rate less 30-yearEuropean swap rateYield on 30-year domesticgovernment bond less yieldon 30-year Germangovernment bondYield on 30-year Germangovernment bond less30-year Europeanswap rateYield curve for valuation of pension liabilitiesSince December 2011, ATP has been calculating its pensionliabilities using a yield curve based on domestic governmentbonds and swap rates, as well as German governmentbonds and European swap rates.The introduction of this yield curve facilitated more efficientand robust hedging of ATP's pension liabilities, since, to agreater extent, it enabled ATP to use liquid assets for hedgingwith better correlation between yields on the assets ofthe hedging portfolio and the yield curve used in the calculationof pension liabilities.In 2012, the Danish Financial Supervisory Authority (FSA)eased the general yield curve for the valuation of pensionliabilities of insurance companies and industry-wide pensionfunds.Had ATP used the Danish FSA's yield curve, ATP's pensionliabilities at the end of 2012 would have been DKK 492.3bn,and the bonus potential would thus have been DKK 47.4bnhigher.In ATP's assessment, the yield curve used by ATP betterreflects ATP's non-current liabilities than the general yieldcurve. Moreover, ATP's yield curve risk is hedgeable. Therefore,ATP has decided to continue using the yield curve ithas used so far.Balancing of tax aspectReturns on financial assets and instruments are subject totax on pension-savings returns, while changes in the valueof pension liabilities are not taxed. On account of the taxasymmetry, the interest-rate sensitivity of the hedging portfolio'sbonds and interest-rate swaps before tax is higherthan the interest-rate sensitivity of ATP's pension liabilities,the aim being to strike a balance in hedging after tax.The ATP Group – Annual Report 201239

Management's Review Business Model Risk Pension Hedging and investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsHedging-activity ratios• In case of a general 1-percentage-point interest-rate fall,ATP's pension liabilities will rise by DKK 105.1bn.• At year-end 2012, hedging using bonds accounted for 46.6per cent of the interest-rate sensitivity of pension liabilities.• A tyear-end 2012, hedging using the euro market accountedfor 68.1 per cent of the interest-rate sensitivity of pensionliabilities.How to calculate the value of ATP's pension liabilitiesThe value of ATP's pension liabilities changes for two reasons:Firstly, the value increases when interest rates decline, as ATPhas to set aside more funds to be able to meet future pensionliabilities. In 2012, pension liabilities increased by DKK 26.6bnfrom an interest-rate drop. The opposite applies if interestrates go up.Secondly, pension benefits move one year closer to payout,also causing the value of pension liabilities to rise, as DKK 1one year from now is worth more than DKK 1 two years fromnow. This effect is reflected in the item 'Change in guaranteedbenefits due to declining term to maturity', representing a riseof DKK 10.4bn.Between them, these changes produced a DKK 37.0bn increasein the value of guaranteed benefits in 2012.Yield curve for valuation of pension liabilitiesATP's yield curve for the valuation of pension liabilities is comprised as follows:• interest-rate swaps denominated in Danish kroner• interest-rate swaps denominated in euros• domestic government bonds• German government bonds10 per cent40 per cent15 per cent35 per centThe curve is flat after the 30-year mark.Liquidity is made available for investment activitiesThere is a clear interface between hedging activities and investmentactivities.If the hedging of ATP's pension liabilities were performed exclusivelyusing a bond portfolio with the same interest-ratesensitivity as the pension liabilities, the interest expenses ofthe hedging activities would be zero. However, part of theinterest-rate hedging is achieved by using interest-rate swapswhere liquidity is not an issue as it is for the purchase of bonds.Consequently, ATP's hedging activities have 'idle liquidity',which is made available for investment activities against thepayment of an internal rate of interest.The hedging-activity bonds can also be used to raise liquidityby entry into repo transactions. This liquidity is also madeavailable for investment activities against the payment of aninternal rate of interest.The ATP Group – Annual Report 201240

Management's Review Business Model Risk Pension Hedging and investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsInvestmentFactsMakeabouta planpensionsHalf What of do the you population want your life in accounts retirement to for look 88 like? per centof all pension contributions in Denmark.When they think about retirement, many people envisagetravelling and unique, singular experiences – but don't foolyourself. What counts is everyday life, and most of yourdays will be "everyday".»

Management's Review Business Model Risk Pension Hedging and investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsLow risk and risk diversification ensure resilienceContinued low risk in the investment portfolio due to uncertainty over the international sovereigndebt crisis. Low interest rates reduce the risk-diversification ability of safe-haven governmentbonds. Closely coordinated management of risk-takingBreakdown of the beta portfolio by risk class, year-end 2012Beta portfolioMarket value DKK 270.2bnRisk DKK 5.2bnDiversification DKK 2.0bnInterest RatesAllocation DKK 124.6bnExposure DKK 0.3bnRisk DKK 0.5bnCreditAllocation DKK 46.5bnExposure DKK 52.5bnRisk DKK 0.5bnEquitiesAllocation DKK 46.2bnExposure DKK 43.1bnRisk DKK 4.1bnInflationAllocation DKK 45.3bnExposure DKK 82.7bnRisk DKK 1.4bnCommoditiesAllocation DKK 7.6bnExposure DKK 7.4bnRisk DKK 0.7bnBonds subject tointerest-rate sensitivityBonds subjectto credit risk’Broad’ equityexposureStable andinflation-proof paymentsExposureto commoditiesExamples:Government bondsMortgage bondsExamples:Low-rated governmentand corporate bonds(Emerging-market andhigh-yield bonds)Examples:Listed equitiesPrivate equitiesVenture capitalExamples:Index-linked bondsReal estateInfrastructure assetsExamples:Commodity-indexedbondsNote: The sum of the risk of the five risk classes is DKK 7.2bn, thus exceeding the investment-portfolio risk by DKK 2.0bn.The figure DKK 2.0bn represents the risk-diversification effect achieved from diversifying investments between the five risk classes.Exposure represents the sensitivity of the risk class to price changes. In terms of interest rates, the interest-rate sensitivity to a1-percentage-point interest-rate fall is shown.Risk represents the average loss in a number of worst-case scenarios based on calculations of 10,000 market scenarios. In terms of equities, the DKK4.1bn risk implies that, in the 5-per-cent worst-case scenarios, ATP’s equity portfolio is expected to lose an average of DKK 4.1bn over a 5-day period.ATP is under a statutory obligation to invest its assets for themaximum benefit of its members so as to ensure that thereis adequate security that ATP will, at all times, be able tomeet its liabilities. Another objective is to preserve the realvalue of pensions (the long-term purchasing power).Risk diversification in practiceThe investment portfolio consists of a beta portfolio and analpha portfolio. The lion's share – 96 per cent of the investment-activityassets of DKK 280.6bn – is invested in the betaportfolio.While ATP's hedging activities – see pages 38-40 – aredesigned to ensure that ATP will always be able to deliver onits pension commitments, the objective of investment activitiesis to generate a return that is sufficient to preserve thelong-term purchasing power of pensions.Investment decisions regarding the investment portfolio areguided by an overall strategy of effective risk diversification,and the investment risk is continuously adjusted to the sizeof ATP's bonus potential. The reason is that the risk of heavylosses must not be too high, given that heavy losses couldmake it difficult to take risks looking forward – and thus deliverconsistently high returns.As risk diversification in itself is not sufficient to avoid excessivelosses, hedging instruments are also used to protectthe bonus potential.The same amount invested in different assets not onlyhas different return opportunities, but also widely differentrisks. Consequently, risk allocation differs from investmentallocation in the traditional sense of the word,and ATP maintains a highly systematic focus on this aspect.To maintain a robust investment portfolio with a stablereturn and the greatest possible independence fromcyclical variations, the beta portfolio is invested in fiverisk classes with very different risk profiles. The five riskclasses focus on interest-rate sensitive issuances (the InterestRate risk class), the ability of issuers to repay debtobligations (the Credit risk class), corporate earnings (theEquity risk class), general price developments (the Inflationrisk class) and oil prices (the Commodity risk class).The table above shows the beta portfolio allocation amongthe five risk classes at year-end 2012.The ATP Group – Annual Report 201242

Management's Review Business Model Risk Pension Hedging and investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsRelative risk allocation in per cent for the beta portfolio'sfive risk classesPer centATP's investment risk in terms of equity allocation andrisk limitPer cent6050403020100InterestRatesCreditEquities Inflation CommoditiesTargetBeginning of 2012End of 201260504030201002008 2009 2010 2011 2012Framework for investment riskin terms of equity allocationActual investment risk translatedinto equity allocationThe table also provides examples of assets that may be includedin the risk classes.The Supervisory Board has set a target for the longer-termallocation of investment risks between the five risk classes,illustrated by the chart ‘Relative risk allocation in percent for the beta portfolio’s five risk classes’. The chart alsoshows the beta portfolio's actual risk allocation at the beginningand end of 2012.During 2012, the beta portfolio’s relative risk allocation increasinglydeviated from the target of the Interest Rate andEquity risk classes. In the course of 2012, yields on safehavengovernment bonds were driven down to a level atwhich both the current return and potential capital gainsfrom investment in bonds are highly limited in future. Consequently,safe-haven government bonds no longer contributesignificantly efficiently to risk diversification. This promptedATP to reduce the government bond allocation, while theequity allocation was increased. This reallocation did notsignificantly increase the risk of major losses, given thatATP's overall investment risk was low due to continued uncertaintyover the European sovereign debt crisis.Due to the limited risk-diversification ability of safe-havengovernment bonds, the beta portfolio is more vulnerableto losses on risky assets. To protect ATP’s bonus potentialfrom major losses on investment activities, absoluterisk was maintained at a low level in 2012. For the better partof 2012, the actual investment risk has been only just underhalf of that authorised under the risk-taking framework (seethe chart ‘ATP’s investment risk in terms of equity allocationand risk limit’).Hedging against very negative eventsATP's objective is to deliver positive returns and growth inthe bonus potential, regardless of the market environment.In response to this objective, for a number of years a coreelement of ATP's strategy has been to hedge against the occurrenceof very negative events with potentially huge consequencesfor ATP – events which are not captured by therisk diversification of the beta portfolio. Examples of verynegative events are financial markets in free fall and lack ofability to sell securities to raise liquidity.Among other initiatives, ATP purchases options to hedge theportfolio against major market downturns. The advantageof options is that they hedge the portfolio return against verynegative events; at the same time, the opportunity to realisepositive returns when the markets recover is preserved. In2012, ATP prolonged some of the equity options that hedgethe portfolio against equity-price drops. ATP also purchasedswaptions to hedge the portfolio against high inflation.The ATP Group – Annual Report 201243

Management's Review Business Model Risk Pension Hedging and investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsReturn on the beta portfolio and individual risk classes 2008-2012DKK billion806040200(20)(40)2008 2009 2010 2011 2012Total beta portfolioInterest RatesInflationCreditCommoditiesEquitiesCoordinated management of risk-taking and focusedapproach to investment in individual risk classesOverall investment decisions and risk-taking in the investmentportfolio are based on coordinated management. Thisensures an appropriate allocation of all investments relativeto the overall risk budget and the desired risk diversificationof the investment portfolio at all times. Risk diversificationis achieved by composing the risk allocation betweenand within the five risk classes so as to ensure thatthe portfolio is robust to most economic outcomes. Differentinvestments respond differently to economic changes. Forinstance, equities tend to perform well in a rising growth environment,while safe-haven bonds achieve their best performanceamid declining growth and inflation. By strikingthe right balance in the allocation of investments, it is possibleto build a portfolio that is not dependent on a specificeconomic outcome, and which generates a more stablereturn over time. In this context, it should be noted that thecurrent low interest rates are atypical. The risk-diversificationability of government bonds is highly reduced when interestrates are this low.Within each of the five risk classes, investment managersare responsible for ensuring a focused approach to investmentsin the respective risk classes. The aim is to achievemaximum payoff for the market risk incurred. A number ofstrategies are used and developed, the objective of whichis to systematically reap the payoff for market risk where itis most attractive. For instance, the bond portfolio is reallocatedfrom short-dated bonds to long-dated bonds andvice versa, depending on economic developments. Moreover,the focus is on ensuring that investments are made inthe most expedient and cost-effective manner. Therefore, itis regularly assessed whether a given investment should beachieved by purchasing an asset, through a financial contractor by use of external managers.ATP's investments are hedged against currency fluctuationsin Danish kroner and euros. At year-end 2012, the exposureto Danish kroner and euros was 99.9 per cent.ATP AlphaSince 2006, ATP has been operating ATP Alpha as an independentunit, investing in a large number of financial markets.The objective was to generate stable returns that were independentof long-term movements in financial markets. Duringthe period from 2006 to 2012, ATP Alpha generated a profitof close to DKK 1.7bn.As part of the ongoing optimisation of ATP's activities, ATPdecided to restructure ATP Alpha at the end of 2012. The objectiveis to strengthen ATP's position in a challenging investmentenvironment – with prospects of a prolonged period ofslow economic growth, low returns, significant risks and tightfinancial regulation.Following the restructuring, ATP Alpha will continue as an independentunit, but will be linked more closely with other ATPinvestments. The strong and flexible investment platform developedby ATP Alpha will be used for a larger portion of ATP'sinvestments. This will provide for even better management ofATP's overall investment risk and, as an added benefit, a reductionin expenses.The ATP Group – Annual Report 201244

Management's Review Business Model Risk Pension Hedging and investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsPositive returns in Credit, Equities and Interest RatesMarket return on the investment portfolio of DKK 12.1bn.Investment-activity resultsDKK million ATP SUPP Other¹ GroupReturn on investment 12,067 2 156 321 12,544Expenses (247) (9) (342) (598)Tax on pension-savings returns (1,734) (21) 0 (1,755)Investment-activity results 10,086 126 (21) 10,1911) Comprised primarily of reclassifications related to financial statement consolidation.2) The DKK 69m difference relative to 'Total investment portfolio after financing' in the table 'Return on the ATP investment portfolio' is due to differentmethods in terms of currency translation of foreign subsidiary financial statements into Danish kroner, on the one hand, and recognition of brokeragefees, on the other.ATP's investment-activity results as a ratioof the bonus potential, beginning of yearPer centQuarterly return on the investment portfolio during the period 2008-2012 as a ratio of the bonus potential at the beginning of the yearPer cent50403020100(10)(20)(30)(40)2008 2009 2010 2011 20122520151050(5)(10)(15)2008 2009 2010 2011 2012The Group’s investment-activity results totalled DKK 10.2bn,ATP’s investment-activity results accounting for DKK 10.1bn.The bonus potential is ATP’s foundation for assuming investmentrisk. Investment-activity results were equivalent toa return of 13.6 per cent on the bonus potential.The ATP investment portfolioThe objective of the investment portfolio is to generate a returnthat is sufficient to preserve the long-term purchasingpower of pensions. In other words, ATP seeks to achievepositive returns, regardless of financial-market conditions.The return on the investment portfolio in 2012 should beseen in the context that this was another year in the shadowof the financial crisis with low interest rates and uncertainfinancial markets. Throughout the year, ATP’s Supervisoryand Executive Boards opted for a conservative investmentapproach with low utilisation of the risk budget in light of theconsiderable uncertainty in financial markets.In 2012, the investment portfolio generated an overall marketreturn of DKK 12.1bn before tax. The investment portfoliohas been generating positive return contributions everyquarter for the last four years.The investment portfolio consists of a beta portfolio and analpha portfolio.The DKK 270.2bn beta portfolio contributed a return of DKK11.1bn. Three out of five risk classes in the beta portfolioproduced positive returns. The Credit risk class, generatinga return of DKK 4.6bn, was the top performer in DKK terms.The Credit risk class, generating a return of DKK 4.6bn, wasthe top performer in DKK terms. The Equity and InterestRate risk classes also achieved high returns.The ATP Group – Annual Report 201245

Management's Review Business Model Risk Pension Hedging and investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsReturn on the ATP investment portfolio 1Return2012Portfolioyear-end2012DKK million DKK billion per centBeta portfolio 11,068.7 270.2 100.0Interest Rates 2,580.7 124.6 46.1Credit 4,639.7 46.5 17.2Equities 4,251.0 46.2 17.1Inflation (195.2) 45.3 16.8Commodities (207.5) 7.6 2.8The alpha portfolio 1,059.9 10.5Total investment portfolio 12,128.6 280.6Transferred to hedging activities 2 (130.9) (218.3)Total investment portfolio after financing 11,997.7 62.31) Each figure is reconciled separately and, accordingly, rounding differences may occur.2) The hedging portfolio is comprised of bonds and financial instruments designed to hedge the interest-rate risk on ATP's pension liabilities.Funds that are not tied up in the hedging portfolio as a result of the use of financial instruments are available for investment in the investmentportfolio. A market rate is paid to hedging activities on these funds. This amount is referred to as ‘Transferred to hedging activities’.The DKK 10.5bn alpha portfolio contributed a return of DKK1.1bn.Weak global performance2012 was generally a year of weak global economic performance– both in developed economies and in emerging-marketeconomies. Politically, the global focus was oninitiatives to address the severe sovereign debt problemsand restore confidence in the crisis economies. Thus boththe European Central Bank (ECB) and the US Federal Reserve(Fed) continued their very expansionary monetarypolicies, and new unconventional measures were added.For instance, in early September, the ECB announced that,in future, the Bank may purchase short-dated governmentbonds in countries meeting certain specified conditions ofparticipation in bailout plans.Global equity markets responded positively to the very expansionarymonetary policies. The benchmark equity indicesin the US and Europe ended the year 10 per cent higherthan at the beginning of the year. The Danish benchmarkindex gained a full 25 per cent.Yields on safe-haven government bonds generally took a-nother dive in 2012. Continued uncertainty over the overallmacroeconomic outlook and continued sovereign debt problemscaused yields to decline in countries such as Germany,the USA and Denmark, mainly in Q2. Yields jumped Spainand Italy, among other countries, during the first eight monthsof the year, but the ECB's announcement that, in future,The ATP Group – Annual Report 201246

Management's Review Business Model Risk Pension Hedging and investment Hedging Investment Administration Social Responsibility The ATP Group Financial Statementsthe Bank may purchase government bonds reversed thetrend in bond yields in these countries. Having briefly tradedabove 7 per cent, the benchmark 10-year Spanish governmentbond yield declined to just over 5 per cent at year-end.Obviously, yields in these countries were still very high atyear-end and must be considered incompatible with longtermdebt sustainability.Following a short-lived appreciation of the euro against thedollar at the beginning of the year, the debt problems of anumber of European countries caused the euro to weakenagainst the dollar until end-July. Towards the end of theyear, the euro regained much of the ground lost earlier andended the year roughly where it started.There were generally large fluctuations in the currency marketsin 2012.The ATP Group – Annual Report 201247

Management's Review Business Model Risk Pension Hedging and investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsInterest RatesDomestic and German government bonds made positive return contributionsBeta portfolio return on Interest RatesReturnPortfolio, year-end2012 2012 2011Asset type DKK million DKK billion DKK billionGlobal bonds 2,280.1 117.7 171.2Domestic mortgage bonds 300.7 6.9 10.4Total 2,580.7 124.6 181.6Development in overall return on Interest Rates Yield development for 10-year government bonds in 2012DKK millionPer cent3,0002,5002,0001,5001,0005000(500)(1,000)Q1 Q2 Q3 Q42.22.01.81.61.41.21.00.8Q1 Q2 Q3 Q4DenmarkGermanyThe Interest Rate risk class generated a return of DKK 2.6bnThis risk class is comprised of global bonds and domesticmortgage bonds. The positive return of this risk class wasdriven primarily by interest-rate developments, as yields ondomestic and German bonds, both short and long-dated,ended the year lower than they began.The portfolio of global bonds generated a return of DKK2.3bn. At the beginning of the year, this portfolio was investedmainly in 10-year domestic and German governmentbonds. During the year, part of the portfolio was reallocatedto domestic and German government bonds with a remainingmaturity of less than 10 years.The portfolio of domestic mortgage bonds yielded a returnof DKK 0.3bn. The positive return was also driven by fallinginterest rates.The ATP Group – Annual Report 201248

Management's Review Business Model Risk Pension Hedging and investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsCreditHigh-yield bonds and loans to credit institutions and funds boosted the returnBeta portfolio return on CreditReturnPortfolio, year-end2012 2012 2011Asset type DKK million DKK billion DKK billionHigh-yield bonds 2,506.0 17.6 15.9Loans, etc. 2,133.7 28.9 29.4Total 4,639.7 46.5 45.2Development in overall return on CreditDKK million5,0004,0003,0002,0001,000Development in credit spreadsBasis points750700650600550High Yield credit(Merrill Lynch HighYield Master Index)0Q1 Q2 Q3 Q4500Q1 Q2 Q3 Q4The Credit risk class, consisting of high-yield bonds andloans to credit institutions and funds, generated a return ofDKK 4.6bn.High-yield bonds are bonds issued by companies with lowcredit ratings or by developing countries. These bondsgenerated a return of DKK 2.5bn. The positive return is attributableto a narrowing of credit spreads, see the chartabove. Credit spreads are the difference between the yieldson bonds with the same maturities, but of different creditqualities. The credit spread is the payment for the creditrisk associated with the bond – the wider the spread,the greater the risk of issuer default perceived by the market.The narrowing of the credit spread for high-yieldbonds in the course of 2012 produced increases in the priceof this type of bond, reflected in positive returns.Loans to credit institutions and funds, investing, amongother things, in bank loans and real-estate related loans,produced a return of DKK 2.1bn. These loans are made indirectlythrough ATP Alternative Investments K/S or directlythrough ATP.The ATP Group – Annual Report 201249

Management's Review Business Model Risk Pension Hedging and investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsEquitiesEquities made a positive contribution to the return, while investments in hedging strategiesdetracted from itBeta portfolio return on EquitiesReturnPortfolio, year-end2012 2012 2011Asset type DKK million DKK billion DKK billionListed domestic equities 3,694.2 14.3 15.5Private equities 3,021.6 31.6 27.7Hedging strategies (2,464.8) 0.3 2.4Total 4,251.0 46.2 45.7Development in overall return on Equities Equity-price developments in 2012DKK millionIndex5,0004,0003,0002,0001,0000(1,000)Q1 Q2 Q3 Q413012512011511010510095908580Q1 Q2 Q3 Q4USAEuropeDenmarkEmerging MarketsJapanEquities generated a return of DKK 4.3bn, driven by bothlisted domestic equities and private equities. Equity-relatedfinancial instruments, protecting the portfolio against steepequity-price falls and known as hedging strategies, detractedfrom the return.Listed domestic equities yielded a return of DKK 3.7bn.Holdings in Novo Nordisk A/S and GN Store Nord A/S madeparticularly positive contributions to the return, while holdingsin Vestas Wind Systems A/S and TDC A/S were thelargest negative contributors. In 2012, the portfolio of listeddomestic equities was reduced as part of the ongoing portfoliomanagement.During the year, no investments were made in listed foreignequities. This made a positive contribution to the return, aslisted domestic equities outperformed their foreign counterparts.The portfolio of private equities, consisting e.g. of investmentsin ATP Private Equity Partners, achieved a return ofDKK 3.0bn.The portfolio of private equities in ATP Private Equity Partners,investing primarily in private-equity funds, recordeda return of DKK 2.7bn. The positive return was achievedbroadly across the portfolio and is attributable primarily toa generally positive trend in the earnings and debt repaymentof the underlying portfolio companies.The ATP Group – Annual Report 201250

Management's Review Business Model Risk Pension Hedging and investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsIn 2012, ATP Private Equity Partners made further commitmentsof DKK 2.6bn to private-equity funds. Consideringthe difficult financial market environment, it is positivethat, like in 2011, the portfolio continues to generate positivecash flows. However, the level of activity has been decliningslightly relative to last year.Equity-related financial instruments, known as hedgingstrategies, help to hedge the equity portfolio against steepequity-price falls. In 2012, these hedging strategies produceda negative return of DKK 2.5bn, attributable primarilyto higher equity prices at the end of the year than at thebeginning.As Denmark does not have a sufficiently large and liquidmarket for equity-related financial instruments, hedging isconducted using European instruments (equity options). Asa fall in the price of domestic equities does not necessarilycoincide with a similar fall in European equities, this meansthat the domestic equity portfolio is not fully hedged. Historically,however, large equity-price falls in international equitymarkets have clearly tended to be correlated.The ATP Group – Annual Report 201251

Management's Review Business Model Risk Pension Hedging and investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsInflationReal-estate investments made the largest return contributionBeta portfolio return on InflationReturn Portfolio, year-end2012 2012 2011Asset type DKK million DKK billion DKK billionIndex-linked bonds 254.3 7.5 11.5Real estate 1,149.3 23.4 22.0Infrastructure 792.4 10.9 10.9Beta reference 364.9 2.5 2.1Financial contracts (188.1) (0.4) (0.2)Hedging strategies (2,568.1) 1.5 5.2Total (195.2) 45.3 51.6The Inflation portfolio, comprised of a number of differentasset types, produced a negative return of DKK 0.2bn.Index-linked bonds recorded a return of DKK 0.3bn. In 2012,this portfolio was invested primarily in US index-linkedbonds, and the positive return was driven mainly by fallingreal interest rates in the USA. During the year, the overallportfolio of index-linked bonds was reduced, reflecting lowerexpectations of future developments in this asset class.ATP's real-estate investments generated a return of DKK1.1bn. These investments are made both directly by ATP andATP Ejendomme A/S and indirectly by ATP Real Estate Partnersthrough investments in real-estate funds. Direct investmentsare investments made exclusively in domestic realestate, while indirect investments are primarily investmentsin foreign real-estate funds and joint ventures.Direct real-estate investments posted a return of DKK 0.8bn,including a 1.5 per cent value adjustment. In 2012, the valueadjustment was positively impacted by, among other factors,a slight decline in the required rate of return, a numberof new rentals and renegotiation of rental agreements.Indirect real-estate investments recorded a return of DKK0.3bn. Investments in foreign real estate are made throughunlisted real-estate funds in Europe and the USA. Thereturn on these funds is comprised of rental and interest income,proceeds from real-estate sales and value and currencyadjustments. European real-estate markets are stillrecovering from the economic downturn, which affected thereturn. US real-estate markets, on the other hand, saw amoderate return of investment appetite and more liquidity.Less risky real-estate investments with stable cash flows,in particular, continue to attract interest. At end-2012, ATPhad made investment commitments totalling DKK 15.2bn inrespect of indirect real-estate investments, distributed between33 funds. For the purpose of risk diversification, thereal-estate funds invest in several types of real estate andrisk segments.The ATP Group – Annual Report 201252

Management's Review Business Model Risk Pension Hedging and investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsDevelopment in overall return on InflationDKK milion2,0001,5001,0005000(500)(1,000)(1,500)Q1 Q2 Q3 Q4The portfolio of infrastructure investments produced a returnof DKK 0.8bn. This portfolio includes forestry investments inNorth America and Australia. At end-2012, the overall marketvalue of ATP's forestry investments was DKK 1.8bn.The externally managed beta reference portfolio with strongrisk diversification recorded a return of DKK 0.4bn. Thisportfolio is invested in a large number of assets, the objectivebeing for the return to be stable in changing economicclimates.The portfolio of financial contracts, consisting of inflationswaps, recorded a negative return of DKK 0.2bn.Hedging strategies consisting of inflation caps and swaptionsprovide protection from rising inflation in a fairly simpleand efficient manner. This portfolio yielded a negative returnof DKK 2.6bn, driven by falling volatility of long-dated yieldsin Europe during 2012.Valuation of real-estate investmentThe market value of each domestic property is calculated in accordance with the rules laid down by the Danish FinancialSupervisory Authority (FSA). The required rates of return on ATP’s properties range widely from 5.0 per cent to 8.5 percent. The weighted average required return on all properties amounted to 5.6 per cent in 2012, down from 5.7 per cent in2011. The market value of the European real-estate funds is based on individual market valuations of the underlying realestateportfolios. Valuations are performed mainly by external market assessors in accordance with internationally acceptedprinciples.Inflation caps and swaptionsWhen entering into agreements on inflation caps, ATP pays a fixed premium. At the same time, ATP's counterparty undertakesto pay the difference between an agreed rate of inflation and the actual rate of inflation, if this difference is to ATP's advantage.Over the life of the inflation cap, ATP cannot lose more than the premium paid – regardless of inflation developments.When entering into swaption agreements, ATP also pays a fixed premium. At the same time, ATP's counterparty undertakesto pay the difference between an agreed 30-year nominal interest rate and the actual nominal interest rate, if this difference isto ATP's advantage. Over the life of the swaption, ATP cannot lose more than the premium paid – regardless of interest-ratedevelopments.The ATP Group – Annual Report 201253

Management's Review Business Model Risk Pension Hedging and investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsCommoditiesDecline in oil prices was the driver of negative returnBeta portfolio return on CommoditiesReturnPortfolio, year-end2012 2012 2011Asset type DKK million DKK billion DKK billionOil bonds (133.8) 7.6 7.4Hedging strategies (73.7) 0.0 0.1Total (207.5) 7.6 7.4Development in overall return on Commodities Oil-price developments in 2012DKK millionDollars per barrel (WTI)1,5001151101,00010550010095090(500)(1,000)858075(1,500)Q1 Q2 Q3 Q470Q1 Q2 Q3 Q4The Commodity risk class, consisting exclusively of oil-relatedrisk, produced a negative return of DKK 0.2bn.The portfolio of oil-indexed bonds recorded a negative returnof DKK 0.1bn, reflecting the decline in oil prices.The portfolio of oil-indexed bonds has been hedged againststeep oil-price falls using oil options. These instruments,which provide a hedge against oil-price falls, produced anegative return of DKK 0.1bn, due mainly to expenses incurredin the form of hedging premiums.The ATP Group – Annual Report 201254

Management's Review Business Model Risk Pension Hedging and investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsSUPPThe SUPP portfolio generated an overall return of 6.2 per centSUPP – portfolio and returnPortfolioyear-end 2012Return2012DKK million per cent DKK million per cent 1SUPP 2,755 100.0 150.8 6.2SUPP Lav Risiko ('SUPP Low Risk') 1,126 40.9 44.6 4.4SUPP Høj Risiko ('SUPP High Risk') 1,558 56.5 106.1 8.0Cash and cash equivalents 2 71 2.6 0.1 0.11) ATP uses daily, time-weighted rates of return.2) The portfolio of cash and cash equivalents is comprised of social-security contributions payable and funds that are yet to be allocated to SUPP LavRisiko and SUPP Høj Risiko.The SUPP investment portfolioATP manages the Supplementary Labour Market PensionScheme for Disability Pensioners (SUPP). In 2012, the SUPPscheme achieved an overall market return on investment ofDKK 151m before tax, equivalent to a rate of return of 6.2per cent.In 2012, the SUPP scheme’s investments were placed intwo sub-portfolios: SUPP Lav Risiko (‘SUPP Low Risk’) andSUPP Høj Risiko (‘SUPP High Risk’) to achieve the most appropriateasset mix for each member, based on their age.For SUPP members up to age 45, investments were placedexclusively in SUPP Høj Risiko ('SUPP High Risk'), the investmentstrategy of which was return-seeking and fairlyrisky. For SUPP members aged over 45, the risk was scaleddown each year by reallocating some of the member's assetsto SUPP Lav Risiko ('SUPP Low Risk'), entailing that allof his or her SUPP assets were placed in SUPP Lav Risiko,the investment strategy of which is conservative, by the timehe or she reached retirement age (65).Bond and equity markets both generated positive returnsin 2012.The equity portfolio was comprised of listed domestic andforeign equities and equity futures. In 2012, all investmenttypes achieved positive returns, but the portfolio of domesticequities, in particular, boosted the overall return.The bond portfolio consisted of domestic mortgage bondsand domestic and German government bonds. All investmenttypes in the bond portfolio also delivered positive returnsin 2012.Equity markets generally outperformed bond markets. Accordingly,the highest returns (in percentage terms) wereachieved for the youngest SUPP members, having the highestportfolio allocation in SUPP Høj Risiko, as the risk of thissub-fund is higher due to its higher equity allocation.SUPP's assets to be pooled with ATP's assetsIn December 2012, the Danish Parliament adopted a numberof amendments to the SUPP scheme, to become effectiveas of 1 January 2013. 1. These amendments are describedin detail in the article "Improved options for disabilitypensioners" in the Pension chapter. Investment-wise,these amendments entail that SUPP's assets are pooledwith ATP’s far larger assets and will be managed as partof ATP's asset management in future. This provides for lessexpensive investment and greater risk diversification, theaim being to achieve a higher return. At the same time, individualmembers will benefit from more predictable pensionthrough the ATP guarantee element. Against this backdrop,the sub-portfolios SUPP Høj Risiko and SUPP Lav Risikowere adjusted to ATP's portfolio at year-end.The ATP Group – Annual Report 201255

Manage me nt's Review Bu s ine s s Mo de l Ri sk Pe n sion He dging and Inve stme nt H e d gin gInve stme nt Administration S o ci al Re s p o n s ibilit y T he ATP G roup Fin an ci al S tate me ntsAdministration»Facts Older about and close pensions to retirementHalfYou haveof thereachedpopulationa point in youraccountslife whenforyou88canpernocentof all pension contributions in Denmark.longer significantly change your pension circumstances bysaving more. But you could ask yourself how much longeryou want to keep working. Staying in the labour market for alittle longer could have a great impact on your pension.»

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsAdministration activitiesAdministration activities of the ATP GroupAdministration activitiesStatutory tasks provided ona cost-recovery basisTasks provided onmarket termsUdbetalingDanmarkLGAERAESFIBBarsel.dkSFSFerie-KontoDA-BarselLabourmarketpensionsThe core services of the Group's administration activitiesare the disbursement of benefits, collection of contributionsand membership or client administration. A number of majorschemes are managed by ATP on a cost-recovery basis.Services are provided at cost, but are to the advantage ofATP members as they help to generate economies of scale,thanks to which ATP has the lowest unit costs in the market.ATP also provides administration services on an arm'slength basis (i.e. on market terms) through a subsidiary.STATUTORY SERVICES PROVIDED ON A COST-RECOV-ERY BASIS650 employees are expected to be transferred from localauthorities. They will be supplemented by 140 fixed-termstaff on the transfer of housing benefits and pensions on 1March 2013.On 1 October 2012, the Supervisory Board of UdbetalingDanmark held its first board meeting and, among other duties,approved the administration agreement between ATPand Udbetaling Danmark. Based on the budget, the administrationcontribution for 2013 has been fixed at DKK 714m,or close to DKK 50m less than the estimated administrationcontribution announced to local authorities in July 2012.Udbetaling DanmarkOn 1 October 2012, Udbetaling Danmark came on streamand assumed authority and responsibility for family benefits.The five centres were up and running on time, and theenrolment and training of the newly recruited and insourcedemployees and managers progressed according to plan.The first bulk disbursement was completed as scheduled.On 1 December 2012, Udbetaling Danmark assumed authorityand responsibility for maternity and paternity benefits.Following the transfer of maternity and paternity benefitson 1 December 2012, a total of just over 400 employeeshave been hired for case work at the centres. AnotherThe total establishment costs for Udbetaling Danmark is expectedto be a little more than DKK 450m, which is aboutDKK 50m lower than budget implementation.In March 2015, two years after the implementation of alldisbursement areas, operating costs are to be reduced toDKK 575m, equivalent to the agreed cost reductions of DKK287m. Subsequently, ongoing annual streamlining of operatingcosts is expected to generate operating cost reductionsof 3 per cent each year.The Employees' Guarantee Fund (LG)LG – the Employees' Guarantee Fund is to ensure that wageThe ATP Group – Annual Report 201257

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsThe ATP Group's administration expenses, broken down by activityDKK million 2012 2011DKK millionUdbetaling Danmark 271 94LG 79 71AER 74 78AES 69 73FerieKonto 76 863002502001501005020122011FIB 16 16Barsel.dk 39 49SFS 12 16Labour-market pension schemes, etc. 144 154Total 780 6370Udbetaling DanmarkLGAERAESFerieKontoFIBBarsel.dkSFSLabour-market pensionsearners will be able to recover pay arrears, etc., from companiesdeclaring bankruptcy or otherwise going out of business.The LG scheme also assists wage earners if companiesare subject to financial reconstruction. The scheme isfunded by contributions from private-sector employers. In2012, the LG scheme received a total of 18,737 claims fromwage earners and disbursed DKK 728m in pay, compensationand holiday allowance. The administration expenses ofthe scheme amounted to a total of DKK 79m in 2012, equivalentto DKK 3,771 per wage-earner claim.The Employers' Reimbursement System (AER)AER – the Employers’ Reimbursement System is to providemore vocational apprenticeships and traineeships. AER,which is funded by contributions from public and privatesectoremployers, provides financial support to employers,apprentices, trainees, schools and committees in relationto training and education of apprentices and trainees in vocationaltraining. Disbursements under the AER scheme aredigital. In 2012, the AER scheme disbursed a total of DKK5,850m, including DKK 2,739m in wage reimbursement andDKK 1,890m in premiums and bonuses. The administrationexpenses of the AER scheme amounted to DKK 74m, equivalentto DKK 328 per apprentice/trainee.On 1 January 2013, the AER scheme was restructured toAUB – Employers' Training Contributions, entailing inter aliathat in 2013, Danish employers will assume financing responsibilityfor school-based apprenticeships.The Labour Market Occupational Diseases Fund (AES)AES – the Labour Market Occupational Diseases Fund providescompensation to wage earners suffering from recognisedoccupational diseases. The AES scheme is fundedby contributions from public and private-sector employers.AES pays lump-sum amounts and current benefits based onthe assessments of the Danish National Board of IndustrialInjuries of the specific claims filed. In 2012, the AES schemedisbursed a total of DKK 1,420m and collected DKK 755m incontributions. The administration expenses of the schemeamounted to a total of DKK 69m, equivalent to DKK 32 onaverage per wage earner covered by the scheme.FerieKontoEmployers pay holiday allowance into accounts with Ferie-Konto and the scheme subsequently pays the allowance towage earners based on their reporting. 900,000 wage earnersare covered by FerieKonto. ATP provides administrativeand technical assistance on the administration of FerieKontoon behalf of the Danish Agency for Labour Retention andThe ATP Group – Annual Report 201258

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsInternational Recruitment. In 2012, FerieKonto paid holidayallowance totalling DKK 8.3bn to wage earners and collectedDKK 10.3bn from employers. The administration expensesof the scheme amounted to a total of DKK 76m, equivalentto DKK 82 per wage earner.FIBThe FIB scheme – collection of financing contributions. Private-sectoremployers pay contributions to finance ATPcontributions for employees during spells of absence fromthe labour market due to unemployment, sickness or maternity/paternityleave. ATP collects these contributions fromthe employers along with the employers' contributions tothe LG scheme. Collection of the contributions is a statutorycollection service performed by the ATP Group on behalfof the Danish Government and LG under the name FIB('financing contributions'). In 2012, ATP collected DKK 1.4bnfrom just under 134,000 employers, equivalent to DKK 962for each full-time employee per year. The administrationexpenses of the scheme amounted to a total of DKK 16m,equivalent to DKK 35 per collection.SFSSFS – Tax Reductions for Senior Citizens is managed in collaborationwith the Danish Tax and Customs Administration– SKAT. The scheme has been set up to encourage wageearners and self-employed people to remain in the labourmarket after age 60. ATP's role is to calculate the employmentrate of employees age 60 to 64 and notify them accordingly.In order to qualify for a tax reduction of up to DKK100,000, the employment rate for the five years from age60 to age 65 must be at least 90 per cent. Data from ATPcollections are used to calculate the employment rate. In2012, ATP issued almost 322,000 statements to the birth cohortsfrom 1947 to 1951. Administration expenses for 2012amounted to DKK 12m.SERVICES PROVIDED ON AN ARM'S LENGTH BASIS (ONMARKET TERMS)These services are provided on an arm's length basis, ormarket terms, through the subsidiary ATP PensionServiceA/S.For 2013, the contribution has been set at DKK 919 for eachfull-time employee.Barsel.dkBarsel.dk is a statutory maternity/paternity compensationscheme, covering those segments of the private-sector labourmarket that are not already covered by decentralisedcompensation schemes. Barsel.dk collects contributionsfor maternity/paternity compensation and reimburses employerswho pay wages to employees on maternity/paternityleave. In 2012, employers paid contributions of DKK513m into the scheme and reimbursement of DKK 453mwas paid to employers. Administration expenses amountedto DKK 39m. Approx. 100,000 employers are covered bythe scheme.PensionDanmarkThe ATP Group currently acts as a subcontractor for servicesinvolving contribution collection, membership administrationand disbursements on behalf of PensionDanmark.PensionDanmark has terminated its cooperation agreementwith ATP, effective 1 June 2014. The termination of the agreementwill affect the economies of scale of the ATP Group,but the time horizon allows the Group to take the necessaryinitiatives and make the necessary adjustments to cushionthe effect of the discontinuation of this contractDA-BarselThe ATP Group manages the maternity/paternity schemeDA-Barsel on behalf of the Confederation of Danish Employers(DA). Administration involves the collection of contributionsfrom 14,500 employers and reimbursement to companieswith employees on maternity/paternity leave.The ATP Group – Annual Report 201259

M an a g e m e nt's Revi ew B u s ine s s Mo de l Ri sk Pe n s i o n H e d gin g an d Inve stme nt H e d gin gInve s tm e nt Admini s tratio n S o ci al Re s p o n s ibilit y T he ATP G roup Fin an ci al S tate me ntsSocial ResponsibilityFacts New about pensioner pensionsHalfMostofpeoplethe populationexperience aaccountsreduction in incomefor 88whenper centof all pension contributions in Denmark.they retire, and financial adjustment is an important elementin the pension puzzle. Some things happen automatically –others require planning.»

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility T h e AT P G r o u p F i n a n c i a l S t a t e m e n t sSocial responsibility 2012ATP's overall vision is to ensure basic financial security for all of Denmark. ATP practises socialresponsibility so as to ensure that all initiatives are conducive to positive outcomes for ATP'smembers.Overall policy of social responsibilityAt ATP, we believe we can create added value and security for our clients if we conduct the affairs of the company in a socially responsiblemanner.Our ambition is• To integrate social responsibility in all elements of daily operations in order thereby to strengthen the business development of ATP andoperate a healthy business for the benefit of ATP's members, clients, employees and society.• To pursue a proactive commitment to social responsibility.• To break new ground and set new standards where this may benefit the company.• To communicate openly and transparently about the initiatives in our company – and thus contribute to further knowledge sharing andserve as inspiration in social responsibility.ATP's initiatives and activities in relation to social responsibilityare divided into ATP as an investor, clients and societyand ATP as a company. Environment and climate areincluded both in the investor and the company components.ATP AS AN INVESTORPolicies and guidelinesATP practises social responsibility in investment in order tosafeguard and increase the return for the benefit of members.The Supervisory Board has established the frameworkin the form of Policy of Social Responsibility in Investmentsand Policy of Corporate Governance. ATP endorsesthe UN Principles for Responsible Investment (PRI), whichprescribe a process for integrating social responsibility ininvestments. Today, more than 1,000 institutional investorshave signed up to the PRI.From policy to actionTaken together, the policies provide a basis for ensuring thata wide range of socially relevant considerations concerningwhat are known as ESG (environmental, social and corporategovernance) issues are addressed in investment analysisand decisions. ATP has appointed a Committee for SocialResponsibility in Investment, chaired by ATP's CEO. TheCommittee is responsible for weighing these issues.In recent years, public scrutiny of where institutional investorschoose to invest in government bonds has increased.This has prompted ATP to disclose information about itsportfolio of government bonds by issuer country. For invest-ment reasons, ATP is generally cautious about investing inhigh-risk countries and has laid down special rules for itsexternal asset managers regarding such investment.Performance in 2012No violations of the ATP Policy of Social Responsibility in Investmentswere found in 2012.In 2012, particular focus was on building relations with severaldomestic companies in ATP's portfolio with regard toESG issues. These efforts have given ATP greater insightinto the risks and opportunities of the companies in thisarea.CLIENTS AND SOCIETYPolicyATP focuses on putting clients first and delivering qualityat favourable prices. The aim is to provide high returns andsimple solutions that match the best in the world.From policy to actionATP is committed to ensuring that citizens and companiesreceive a correct, stable and consistent service level. Clients'perception of the service they receive is measured inan annual client satisfaction survey, based on a number ofservice targets.In 2012, ATP set up a new independent function as clientambassador. The client ambassador is responsible to handlingcomplaints and passing on the views of complainants.The ATP Group – Annual Report 201261

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility T h e AT P G r o u p F i n a n c i a l S t a t e m e n t sTrend in employee satisfaction 2008 - 20122012 2011 2010 2009 2008Job satisfaction 83 83 84 82 79Executive Board 86 85 84 84 83Day-to-day work 83 83 84 82 79Professional and personaldevelopment 82 81 82 80 78The client ambassador does not replace the judicial appealssystem, but the objective is to resolve more cases beforethey reach the appeals board.Performance in 2012The 2012 employee satisfaction survey showed that all targetsset were met.Performance in 2012All client service targets set for 2012 were met.With the establishment of Udbetaling Danmark, ATP assumesresponsibility for the administration and disbursementof social benefits to more than 2m citizens every month.The implementation of Udbetaling Danmark has progressedaccording to plan. For further information, please see theAdministration chapter.ATP AS A COMPANYPolicies and guidelinesATP practises social responsibility as a workplace wherethis is believed to make a positive contribution for the benefitof the business and ATP's members. Guidelines are providede.g. in Policy of Social Responsibility, HR Policy, Healthand Safety at Work Policy, Policy of Diversity, ProcurementPolicy, as well in ATP’s values and internal guidelines. ATPsigned up to the UN Global Compact in 2011.From policy to actionBased on the overall framework, activities centre on the followingareas: HR, building operations, procurement andsupply-chain management.In connection with the establishment of Udbetaling Danmark,in 20012 ATP insourced 454 new employees, includingmanagers, at seven locations in Denmark. ATP's HR conceptshave been adjusted to match the new and larger organisation.ATP is committed to recruiting more women leaders. Atyear-end 2012, the percentage of women leaders was 45per cent, while the percentage of women executives was 34per cent. ATP has signed up to Charter for More WomenBusiness Leaders Operation Chain Reaction.In 2010, ATP set up a temporary department for vulnerablegroups in the labour market, Fase+, which helps womenfrom ethnic minorities to gain a foothold in the labour market.Fase+ has now been transformed into a permanent department,and in the course of 2013 similar functions will beset up in the new ATP centres.In connection with the recruitment of employees to UdbetalingDanmark, ATP is contributing to meeting the DanishParliament's target of reducing the number of unemployedDanes who stand to lose their unemployment benefits asa result of changes to unemployment benefit rules (the socalledAcute Package).Whistleblower functionSince 2011, efforts have been in progress to establish aWhistleblower function. The Whistleblower function is expectedto be set up in 2013.Climate and environmentIn 2012, three new ATP centres were built, all of them lowenergybuildings. The buildings have been designed to takeaccount of health and safety, social, financial, environmentaland climatic factors.The ATP Group – Annual Report 201262

M an a g e m e nt's Revi ew B u s ine s s Mo de l Ri sk Pe n s i o n H e d gin g an d Inve stme nt H e d gin gInve stme nt Admini stratio n Social Responsibility The ATP Group Fin an ci al S tate me ntsGroupFacts Pensioner about pensionsHalfDanishof thelife expectancypopulationis high.accountsMore thanforhalf88of allperDanescentof all pension contributions in Denmark.reaching 65 will live to be 85 – and many will reach significantlyhigher ages. People need to make ends – throughoutlife. It is important to plan for a long life rather than aimshort-term for a good life in the early years of retirement.»

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility T h e AT P G r o u p F i n a n c i a l S t a t e m e n t sOverview of the ATP GroupJudicially, the ATP Group is organised into the ATP parent company and 25 consolidated subsidiaries,all of which are included in the Group's consolidated financial statements.Organisational and legal structure of the ATP GroupATPResults: DKK 10,104mBalance sheet: DKK 791,076mATPEjendomme A/SResults:DKK 300mBalance sheet:DKK 3,695mATPReal EstatePartners I K/SResults:DKK 211mBalance sheet:DKK 5,286mATPPrivate EquityK/SResults:DKK 280mBalance sheet:DKK 5,293mVia VenturePartners FondI K/SResults:DKK 38mBalance sheet:DKK 386mATPTIMGP ApSResults:DKK 0mBalance sheet:DKK 0mATPAlternativeInvestmentsK/SResults:DKK 1,072mBalance sheet:DKK 4,813mATP AlphaFondsmæglerselskabA/SResults:DKK (2)mBalance sheet:DKK 136mATPInvest IIIResults:DKK 1,578mBalance sheet:DKK 17,227mCP2 (x)(3)InvestmentTrustResults:DKK (24)mBalance sheet:DKK 0mATPPensionService A/SResults:DKK 7mBalance sheet:DKK 77mNOW: PensionsInvestment A/SFondsmæglerselskabResults:DKK (7)mBalance sheet:DKK 24mStrandgade 7A/SATPReal EstatePartners II K/SATPPrivate EquityPartners I K/SVia VenturePartners FondII K/SATPTimberlandInvest K/SATPAlternativeInvestmentTrustResults:DKK 2mBalance sheet:DKK 580mResults:DKK 64mBalance sheet:DKK 863mResults:DKK 150mBalance sheet:DKK 2,952mResults:DKK (9)mBalance sheet:DKK 36mResults:DKK 14mBalance sheet:DKK 1,804mResults:DKK 249mBalance sheet:DKK 1,707mATPPrivate EquityPartners II K/SUpper HudsonWoodlandsATP LPNorthwoodsATP LPWolf RiverATP LPOuachitaATP LPResults:DKK 1,449mBalance sheet:DKK 8,952mResults:DKK 14mBalance sheet:DKK 230mResults:DKK 4mBalance sheet:DKK 221mResults:DKK 13mBalance sheet:DKK 107mResults:DKK (3)mBalance sheet:DKK 247mATPPrivate EquityPartners III K/SResults:DKK 873mBalance sheet:DKK 7,775mATPPrivate EquityPartners IV K/SResults:DKK (90)mBalance sheet:DKK 1,413mPrivate EquityAdvisors ApSResults:DKK (1)mBalance sheet:DKK 17mThe ATP Group – Annual Report 201264

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility T h e AT P G r o u p F i n a n c i a l S t a t e m e n t sORGANISATIONAL AND LEGAL STRUCTURE OF THE ATPGROUPJudicially, the ATP Group is divided into the ATP parent companyand 25 subsidiaries, all of which are included in the consolidatedfinancial statements.ATP is an independent institution. The SUPP savings schemeis part of ATP, but with a separate asset management functionand subject to separate financial reporting.Several of ATP's investment activities have been spun off intoa number of subsidiaries. This is the case for some of ATP'sinvestments in the Equity, Inflation and Credit risk classes.ATP's 25 consolidated companies are:ATP Ejendomme A/SATP Ejendomme A/S manages all of ATP’s direct real-estateinvestments. The company, founded in 1994, manages72 Danish properties at a total market value of DKK 12.4bn.The market value of DKK 12.4bn is distributed by DKK 9.0bn,owned directly by ATP, and DKK 3.4bn owned by the subsidiaryATP Ejendomme A/S.ATP Ejendomme has one subsidiary:• Strandgade 7 A/SThe group of ATP Real Estate PartnersThe group of ATP Real Estate Partners is comprised of ATPReal Estate Partners I K/S, founded in 2006, and ATP RealEstate Partners II K/S, founded at the end of 2010. The objectiveof the group of Real Estate Partners is to make indirect investmentsin foreign real-estate funds in Europe and the USA.At end-2012, the group of ATP Real Estate Partners had DKK3.8bn available for new investments of an overall investmentlimit of DKK 12.5bn.The group of ATP Real Estate Partners also manages a DKK7.2bn investment limit directly owned by ATP.The group of ATP Private Equity PartnersThe group of ATP Private Equity Partners is comprised of fivefunds and a management company, founded in the period2003-2010:• ATP Private Equity K/S• ATP Private Equity Partners I K/S• ATP Private Equity Partners II K/S• ATP Private Equity Partners III K/S• ATP Private Equity Partners IV K/S• Private Equity Advisors ApSThe objective of the group of ATP Private Equity Partners isto invest in unlisted equity investments and private-equityfunds, mainly in Western Europe and North America.At end-2012, the group of ATP Private Equity Partners hadDKK 3.2bn available for new investments of an overall investmentlimit of DKK 51.5bn.The group of Via Venture PartnersThe group of Via Venture Partners is comprised of Via VenturePartners Fond I K/S, founded in 2006, and Via Venture PartnersFond II K/S, founded in 2010. The objective of the groupof Via Venture Partners is to invest directly, primarily in Nordicgrowth and technology companies.At end-2012, the group of Via Venture Partners had DKK0.8bn available for new investments of an overall investmentlimit of DKK 2bn.The ATP Group – Annual Report 201265

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsATP Timberland Invest K/SThe objective of ATP Timberland Invest K/S, founded in2008, is to invest directly or indirectly in forestry or forestryoperations. At end-2012, the company had DKK 1.1bn availablefor new investments of an overall investment limit ofDKK 3bn.ATP Timberland Invest K/S has four subsidiaries:• Upper Hudson Woodlands ATP LP• Northwoods ATP LP• Wolf River ATP LP• Ouachita ATP LPTrustee, an independent pension trust in the UK. PensionTrustee. At end-2012, the company manages funds of DKK10m.ATP Invest IIIATP's investments in high-yield bonds, i.e. bonds issued bycompanies with low credit ratings or by developing countries,are performed by external portfolio managers throughATP Invest III. Nykredit Portefølje Administration A/S is responsiblefor the management of investments under ATPInvest III. At end-2012, the mutual fund has invested DKK16.6bn.ATP Alternative Investments K/SATP Alternative Investments K/S was founded and listedon the Irish Stock Exchange in 2010. The company makescredit-related investments, primarily targeting funds investingin corporate loans. At end-2012, the company hadDKK 8.0bn available for new investments of an overall investmentlimit of DKK 16bn.ATP TIM GP ApSThe objective of ATP Tim GP ApS, founded in 2008, is to bea general partner in ATP Timberland Invest K/S and ATPAlternative Investments K/S. The company has no activity.ATP Alpha Fondsmæglerselskab A/SThe objective of ATP Alpha Fondsmæglerselskab A/S,founded in 2003, is to provide investment advice to clientsclassifi ed as approved counterparties and execute tradingorders in relation to investment advice. At end-2012, thecompany manages funds of DKK 10.5bn.NOW: Pensions Investment A/S FondsmæglerselskabThe objective of NOW: Pensions Investment A/S Fondsmæglerselskab,founded in 2011, is to provide investment services,including portfolio management, to NOW: PensionCP2(x)(3) Investment TrustThe CP2(x)(3) Investment Trust was founded in 2010 as partof the acquisition and restructuring of infrastructure investmentsin the USA and Australia. The contents of the trustwere sold in early 2012.ATP Alternative Investment TrustATP Investment Trust, founded in 2011, is an Australian trustset up to invest in infrastructure. At end-2012, the companyhas invested DKK 1.6bn.ATP PensionService A/SATP PensionService A/S sells administration services to labour-marketpension schemes, maternity schemes, etc. Administrationsolutions include membership administration,collection of contributions, disbursement of pension benefits, etc. Asset management is not among the services offered.Annual reports of ATP's subsidiaries are available for downloadat www.atp.dkThe ATP Group – Annual Report 201266

M an a g e m e nt's Revi ew B u s ine s s Mo d e l R i s k Pe n s i o n H e d gin g an d Inve s tm e nt H e d gin g Inve s tm e nt Admini s trati o n S o ci al Re s p o n s ib ilit y The ATP Group Financial StatementsFinancial statementsPension is a patchwork quiltFacts Pension about savings pensions are important, but your pension savingsare just one element in your overall pension income. Al-Half of the population accounts for 88 per centthough personal pension plans will become increasingly im-of all pension contributions in Denmark.portant over time, the basic pension cover, provided bystate old-age pension and ATP, will remain the main sourceof income for the vast majority of Danes. It is important toconsider all elements in relation to pension income. Peopletend to overlook small debts, but they can be an importantpiece in the pension jigsaw puzzle.»

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsStatement by the Supervisory and Executive BoardsThe Supervisory and Executive Boards have today discussedand adopted the annual report of ATP for the financialyear 1 January to 31 December 2012.The annual report has been prepared in accordance withthe International Financial Reporting Standards (IFRS) asadopted by the EU and in accordance with additional Danishdisclosure requirements as set out in 'Executive Orderon Financial Reporting by the Danish Labour Market SupplementaryPension Scheme and the Supplementary LabourMarket Pension Scheme for Disability Pensioners'(available in Danish only).In our opinion, the consolidated financial statements andparent company financial statements give a true and fairview of the Group’s and ATP’s assets, liabilities and financialposition as at 31 December 2012 and of the financialperformance and cash flows of the Group and ATP for thefinancial year 1 January to 31 December 2012.In our opinion, the management's review also provides atrue and fair description of the development in the Group'sand the Parent Company's operations and financial conditions,and a description of the most significant risks anduncertainties that may affect the Group and the ParentCompany.We recommend that the annual report be adopted by theBoard of Representatives.Copenhagen, 30 January 2013ExecutiveBoard: Henrik Gade Jepsen /Lars Damgaard SørensenSupervisoryBoard:acting CEOJørgen SøndergaardChairman of the SupervisoryBoardChief Financial OfficerTorben Dalby Larsen Kim Graugaard Harald Børsting Lizette RisgaardMember of the SupervisoryMember of the Supervi-Member of the Supervi-Member of the Superviso-Boardsory Boardsory BoardryBoardJørn Neergaard Larsen Martin Damm Ingerlise Buck Kim SimonsenMember of the SupervisoryMember of the Supervi-Member of the Supervi-Member of the Superviso-Boardsory Boardsory BoardryBoardNiels Gotfredsen Vacant Erik Jylling Bente SorgenfreyMember of the SupervisoryMember of the Supervi-Member of the Supervi-Member of the Superviso-Boardsory Boardsory BoardryBoardAdopted by the Board of Representatives.Copenhagen, 30 January 2013Board ofRepresentatives:Jørgen SøndergaardChairman of the Board of RepresentativesThe ATP Group – Annual Report 201268

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsInternal Auditors' ReportTo the Board of RepresentativesAuditors' report on the consolidated financial statementsand parent company financial statementsWe have audited the consolidated financial statements ofthe ATP Group and the financial statements of the ATP ParentCompany for the financial year 1 January to 31 December2012. The consolidated financial statements and parentcompany financial statements have been prepared in accordancewith the International Financial Reporting Standards(IFRS) as adopted by the EU and in accordance withadditional Danish disclosure requirements as set out in ‘ExecutiveOrder on Financial Reporting by the Danish LabourMarket Supplementary Pension Scheme and the SupplementaryLabour Market Pension Scheme for Disability Pensioners’(available in Danish only).Basis of opinionWe conducted our audit in accordance with the Danish FinancialSupervisory Authority's Executive Order on Auditingof the Danish Labour Market Supplementary PensionScheme (ATP), the Labour Market Occupational DiseasesFund (AES), the Employees' Capital Pension Fund (LD) andin accordance with international Auditing Standards. Thosestandards require that we plan and perform our audit to obtainreasonable assurance that the consolidated financialstatements and parent company financial statements arefree from material misstatement.We participated in the audit of risk and other material areas,and we believe the audit evidence we have obtainedis sufficient and appropriate to provide a basis for our auditopinion.Our audit did not result in any qualification.OpinionIn our opinion, the procedures and internal controls established,including the risk management organised by Managementrelevant to the Group's and Parent Company's reportingprocesses and material business risks, are workingsatisfactorily.Furthermore, in our opinion, the consolidated financialstatements and parent company financial statements give atrue and fair view of the Group’s and the Parent Company’sassets, liabilities and financial position as at 31 December2012 and of the financial performance and cash flows of theGroup and the Parent Company for the financial year 1 Januaryto 31 December 2012 in accordance with the InternationalFinancial Reporting Standards (IFRS) as adopted bythe EU and in accordance with additional Danish disclosurerequirements as set out in ’Executive Order on Financial Reportingby the Danish Labour Market Supplementary PensionScheme and the Supplementary Labour Market PensionScheme for Disability Pensioners’ (available in Danish only).The audit was performed in accordance with the divisionof responsibilities agreed with the external auditors and includedan assessment of the procedures and internal controlsestablished, including the risk management organisedby Management relevant to reporting processes and materialbusiness risks. Based on materiality and risk we examined,on a test basis, the basis of amounts and other disclosuresin the consolidated financial statements and parentcompany financial statements. Furthermore, the auditincluded evaluating the appropriateness of the accountingpolicies applied by Management and the reasonablenessof the accounting estimates made by Management, as wellas evaluating the overall presentation of the consolidatedfinancial statements and parent company financial statements.Statement on the management's reviewPursuant to 'Executive Order on Financial Reporting by theDanish Labour Market Supplementary Pension Scheme andthe Supplementary Labour Market Pension Scheme for DisabilityPensioners' (available in Danish only), we have readthe management's review. We have not performed any furtherprocedures in addition to the audit of the consolidatedfinancial statements and parent company financial statements.On this basis, it is our opinion that the information providedin the management's review is consistent with the consolidatedfinancial statements and parent company financialstatements.Copenhagen, 30 January 2013Peter JochimsenChief AuditorThe ATP Group – Annual Report 201269

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsIndependent Auditors’ ReportTo the Board of RepresentativesAuditors' report on the consolidated financial statements and parentcompany financial statementsWe have audited the consolidated financial statements of the ATP Groupand the financial statements of the ATP Parent Company for the financialyear 1 January to 31 December 2012, which comprise the income statement,statement of comprehensive income, balance sheet, statement ofchanges in equity, cash flow statement and notes, including the accountingpolicies for the Group as well as the Parent Company. The consolidatedfinancial statements and parent company financial statements have beenprepared in accordance with the International Financial Reporting Standards(IFRS) as adopted by the EU and in accordance with additional Danishdisclosure requirements as set out in 'Executive Order on Financial Reportingby the Danish Labour Market Supplementary Pension Scheme and theSupplementary Labour Market Pension Scheme for Disability Pensioners'(available in Danish only).depend on the auditors' judgment, including an assessment of the risks ofmaterial misstatement in the consolidated financial statements and parentcompany financial statements, whether due to fraud or errors. In makingthose risk assessments, the auditors consider internal controls relevant tothe entity’s preparation and fair presentation of the consolidated financialstatements and parent company financial statements. The objective is todesign audit procedures that are appropriate in the circumstances, but notfor the purpose of expressing an opinion on the effectiveness of the entity’sinternal controls. An audit also includes evaluating the appropriateness ofthe accounting policies applied and the reasonableness of the accountingestimates made by Management, as well as evaluating the overall presentationof the consolidated financial statements and parent company financialstatements.We believe that the audit evidence obtained is sufficient and appropriate toprovide a basis for our audit opinion.Management's responsibility for the consolidated financial statementsand parent company financial statementsManagement is responsible for the preparation and fair presentation ofthe consolidated financial statements and parent company financial statementsin accordance with the International Financial Reporting Standardsas adopted by the EU and in accordance with additional Danish disclosurerequirements as set out in 'Executive Order on Financial Reporting by theDanish Labour Market Supplementary Pension Scheme and the SupplementaryLabour Market Pension Scheme for Disability Pensioners' (availablein Danish only). Management is also responsible for the internal controlsconsidered necessary by Management to prepare consolidated financialstatements and parent company financial statements that are free frommaterial misstatement, whether due to fraud or error.Auditors' responsibilityOur responsibility is to express an opinion on the consolidated financialstatements and parent company financial statements based on our audit.We conducted our audit in accordance with International Auditing Standardsand additional requirements in accordance with Danish auditing legislation.This requires that we comply with ethical requirements and plan andperform our audit to obtain reasonable assurance that the consolidated financialstatements and parent company financial statements are free frommaterial misstatement.An audit involves performing audit procedures to obtain audit evidenceabout the amounts and disclosures in consolidated financial statementsand parent company financial statements. The audit procedures selectedOur audit did not result in any qualification.OpinionIn our opinion, the consolidated financial statements and parent companyfinancial statements give a true and fair view of the Group’s and the ParentCompany’s assets, liabilities and financial position at 31 December 2012,and of the financial performance and cash flows of the Group and the ParentCompany for the financial year 1 January to 31 December 2012 in accordancewith the International Financial Reporting Standards (IFRS) asadopted by the EU and in accordance with additional Danish disclosurerequirements as set out in ’Executive Order on Financial Reporting by theDanish Labour Market Supplementary Pension Scheme and the SupplementaryLabour Market Pension Scheme for Disability Pensioners’ (availablein Danish only).Statement on the management's reviewPursuant to 'Executive Order on Financial Reporting by the Danish LabourMarket Supplementary Pension Scheme and the Supplementary LabourMarket Pension Scheme for Disability Pensioners' (available in Danishonly), we have read the management's review. We have not performedany further procedures in addition to the audit of the consolidated financialstatements and parent company financial statements.On this basis, it is our opinion that the information provided in the management'sreview is consistent with the consolidated financial statements andparent company financial statements.Copenhagen, 30 January 2013DeloitteStatsautoriseret RevisionspartnerselskabAnders O. GjelstrupState Authorised Public AccountantHenrik WellejusState Authorised Public AccountantThe ATP Group – Annual Report 201270

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsStatement of comprehensive income for 2012Group ATPDKKmillion 2012 2011 2012 2011NoteInvestment activities5 Income from subsidiaries - - 6,153 5,3436 Income from associates 647 471 515 2957 Income from investment properties 621 604 392 387Consulting fee 155 88 0 08 Interest income and dividends, etc., related to investment activities 12,417 16,346 10,664 14,392Fee income 57 80 57 808 Market-value adjustments related to investment activities 9 4,135 (4,352) 1,0268 Interest expenses related to investment activities (1,362) (4,941) (1,362) (5,005)9 Investment-activity expenses (598) (527) (247) (255)10 Tax on pension-savings returns in respect of investment activities (1,755) (2,183) (1,734) (2,189)Investment activity-results 10,191 14,073 10,086 14,074Hedging activities8 Interest income and dividends, etc., related to hedging activities 13,554 14,393 13,554 14,3938 Market-value adjustments related to hedging activities 31,900 94,136 31,900 94,1368 Interest expenses related to hedging activities (37) (640) (37) (640)10 Tax on pension-savings returns in respect of hedging activities (6,949) (16,183) (6,949) (16,183)Change in guaranteed benefits due to change in discount rate (26,624) (91,186) (26,624) (91,186)Change in guaranteed benefits due to maturity reduction (10,394) (12,017) (10,394) (12,017)Hedging-activity results 1,450 (11,497) 1,450 (11,497)Pension activities11 Contributions 8,554 8,602 8,554 8,602Fees 24 20 2 212 Benefit payouts (11,903) (11,080) (11,903) (11,080)Change in claims-outstanding provisions (16) (10) (16) (10)Change in guaranteed benefits due to contributions and pension benefits 2,809 4,479 2,809 4,4798 Interest income related to pension activities 12 14 12 168 Interest expenses related to pension activities (14) (1) (14) (2)9 Pension-activity expenses (351) (336) (325) (327)10 Tax on pension-savings returns in respect of pension activities 0 (2) 0 (2)Results before change in life expectancy (885) 1,686 (881) 1,678Change in guaranteed benefits due to life-expectancy update (557) (248) (557) (248)Pension-activity results (1,442) 1,438 (1,438) 1,43033 Transferred to unit-linked contracts (132) (17) 0 (1)The ATP Group – Annual Report 201271

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsStatement of comprehensive income – continuedGroup ATPDKKmillion 2012 2011 2012 2011NoteAdministration activities13 Other income 807 647 842 6709. 14 Other expenses (780) (637) (836) (676)Administration-activity results 27 10 6 (6)Results before tax 10,094 4,007 10,104 4,00015 Tax 0 (4) - -Results before bonus 10,094 4,003 10,104 4,000Bonus addition for the year 0 0 0 04 Net results for the year 10,094 4,003 10,104 4,000Minority interests' share of net results for the year 0 0 - -The ATP Group's share of net results for the year 10,094 4,003 10,104 4,000Allocated profit 10,094 4,003 10,104 4,000Other comprehensive incomeExchange-rate adjustments related to foreign subsidiaries (59) 125 (59) 125Revaluation reserve, owner-occupied properties (13) 0 (13) 0Other (1) 0 0 0Total other comprehensive income (73) 125 (72) 125Total comprehensive income for the year 10,021 4,128 10,032 4,125Minority interests' share of total comprehensive income for the year 0 0 - -The ATP Group's share of total comprehensive income for the year 10,021 4,128 10,032 4,125Allocated comprehensive income 10,021 4,128 10,032 4,125The ATP Group – Annual Report 201272

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsBalance sheet at 31 December 2012Group ATPDKKmillion 2012 2011 2012 2011NoteASSETSCash and demand deposits 4,991 2,688 3,363 2,01418 Bonds 556,335 530,456 539,677 515,22516. 18 Equity investments 64,813 64,370 29,068 29,77618. 33 Investment assets related to unit-linked contracts 2,640 2,178 0 017. 19 Financial derivatives 85,232 82,113 85,226 82,09420 Other loans 20 43 0 018. 20 Loans to portfolio companies 762 691 497 42420 Receivables from subsidiaries - - 51 1,12718. 21 Investments in subsidiaries - - 61,927 56,50218. 22 Investments in associates 7,889 7,217 4,888 4,29123. 24 Intangible assets 801 885 800 88525 Investment properties 11,587 11,125 7,421 7,06026 Owner-occupied properties 805 513 781 49123. 27 Operating equipment 62 14 54 620 Corporation tax 0 2 - -Deferred tax 12 6 - -Deferred tax on pension-savings returns 0 1 0 020 Interest receivable 5,699 5,337 5,427 5,03820 Contributions receivable 2,300 2,291 2,253 2,24918 Receivables from credit institutions 46,273 57,630 46,273 57,63020 Other receivables 2,772 10,456 2,710 10,095Other prepayments 664 633 660 627Total assets 793,657 778,649 791,076 775,534The ATP Group – Annual Report 201273

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsBalance Sheet at 31 December 2012Group ATPDKKmillion 2012 2011 2012 2011NoteLIABILITIES29 Payables to subsidiaries - - 681 2517. 19 Financial derivatives 46,854 41,092 46,825 40,81729 Tax payable on pension-savings returns 8,701 18,430 8,680 18,43028 Payables to credit institutions 106,193 130,726 106,193 130,72629 Other payables 5,031 6,751 4,565 6,215Total payables 166,779 196,999 166,944 196,21330 Guaranteed benefits 539,691 504,925 539,691 504,92531 Claims-outstanding provisions 91 75 91 7532 Bonus potential 84,154 74,133 84,167 74,13533 Provisions for unit-linked contracts 2,938 2,513 183 186Total pension provisions 626,874 581,646 624,132 579,321Minority interests 4 4 - -Total liabilities 793,657 778,649 791,076 775,53434 Operating leases35 Contingent liabilities and collateral security36 Related-party transactions37 Market risks38 Credit risks39 Liquidity risks40 Fair-value disclosure41 Non-current and current assets and liabilities42 Five-year summary for ATP43 Breakdown of ATP's assets and their returns at market value44 ATP's risk factors and their impact on the bonus potential (after tax)45 Equity investments, broken down by sector and region46 Correlation between sub-portfolios and accounting statements for ATPThe ATP Group – Annual Report 201274

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsCash flow statement for 2012DKK million Group ATPCash flows from operating activities2012 2011 2012 2011Contributions and fees received 9,054 8,890 8,555 8,427Pension-benefit payouts (12,114) (11,220) (11,935) (11,074)Pension-activity expenses paid (176) (233) (173) (215)Interest income received in respect of pension activities 12 15 12 16Interest expenses paid in respect of pension activities (14) (1) (14) (2)Tax paid on pension-savings return in respect of pension activities 0 (2) 0 (2)Cash flows from pension activities (3,238) (2,551) (3,555) (2,850)Interest income, etc., received in respect of investment and hedging activities 25,912 32,674 23,896 30,613Interest expenses, etc., paid in respect of investment and hedging activities (1,442) (5,642) (1,398) (5,645)Market-value adjustments realised in respect of investment and hedging activities 26,058 17,336 22,991 18,967Return received on investment properties and consulting fee 774 625 392 381Investment-activity expenses paid (580) (428) (247) (255)Tax paid on pension-savings returns in respect of investment and hedging activities (18,435) (10,492) (18,433) (10,481)Cash flows from investment and hedging activities 32,287 34,073 27,201 33,580Income received in respect of administration activities 801 677 842 693Administration-activity expenses paid (786) (645) (836) (676)Cash flows from administration activities 15 32 6 17Corporation tax paid 1 (1) - -Cash flows from operating activities 29,065 31,553 23,652 30,747Cash flows from investment activitiesSale of bonds 127,671 321,455 110,403 292,236Bond drawings 17,807 16,404 16,236 16,404Purchase of bonds (157,388) (264,353) (135,038) (243,036)Sale of equity investments 8,596 30,336 14,998 42,523Purchase of equity investments (9,716) (25,930) (14,707) (29,878)Sale of investment properties 83 19 9 12Purchase of investment properties (359) (158) (304) (76)Investment assets related to unit-linked contracts 451 (338) 0 0Sale and purchase, net, Intangible assets, property, plant and equipment and owner-occupiedproperties(453) (192) (449) (182)Loans to credit institutions and portfolio companies 11,284 (5,076) 11,284 (5,076)Cash flows from investment activities (2,024) 72,167 2,432 72,927Cash flows from financing activitiesLoans from credit institutions (24,533) (105,413) (24,533) (105,413)Cash flows from financing activities (24,533) (105,413) (24,533) (105,413)Change in cash and cash equivalents 2,508 (1,693) 1,551 (1,739)Exchange-rate adjustments (205) (17) (202) 152Cash and cash equivalents at 1 January 2,688 4,398 2,014 3,601Cash and cash equivalents at 31 December 4,991 2,688 3,363 2,014The cash-flow figures cannot be deduced directly from the figures of the consolidatedfinancial statements.The ATP Group – Annual Report 201275

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment A d m i n i s t r a t i o n S o c i a l R e s p o n s i b i l i t y T h e AT P G r o u p Financial StatementsContents of notes77 Note 1: Implementation of new and revisedstandards and interpretations78 Note 2: Accounting policies99 Note 18: Financial assets recognised atfair value in the income statement (chosen)99 Note 19: Trading assets and liabilities113 Note 34: Operating leases114 Note 35: Contingent liabilities and collateralsecurity84 Note 3: Significant accounting estimates100 Note 20: Loans and receivables115 Note 36: Related-party transactions85 Note 4: Segment information101 Note 21: Investments in subsidiaries117 Note 37: Market risks88 Note 5: Income from subsidiaries103 Note 22: Investments in associates119 Note 38: Credit risks88 Note 6: Income from associates106 Note 23: Impairment test120 Note 39: Liquidity risks88 Note 7: Income from investment properties107 Note 24: Intangible assets124 Note 40: Fair-value disclosure89 Note 8: Investment return broken down byasset type91 Note 9: Expenses92 Note 10: Tax on pension-savings returns92 Note 11: Contributions93 Note 12: Benefit payouts108 Note 25: Investment properties108 Note 26: Owner-occupied properties109 Note 27: Operating equipment109 Note 28: Financial liabilities recognised atfair value in the income statement109 Note 29: Loans and other payables127 Note 41: Non-current and current assetsand liabilities128 Note 42: Five-year summary for ATP129 Note 43: Breakdown of ATP's assets andtheir returns at market value130 Note 44: ATP's risk factors and theirimpact on the bonus potential (after tax)93 Note 13: Other income93 Note 14: Other expenses94 Note 15: Tax110 Note 30: Guaranteed benefits110 Note 31: Claims-outstanding provisions111 Note 32: Bonus potential130 Note 45: Equity investments, broken downby sector and region131 Note 46: Correlation between sub-portfoliosand accounting statements for ATP94 Note 16: Equity investments95 Note 17: Financial derivatives113 Note 33: Investment assets related tounit-linked contracts and provisions forunit-linked contractsThe ATP Group – Annual Report 201276

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment A d m i n i s t r a t i o n S o c i a l R e s p o n s i b i l i t y T h e AT P G r o u p Financial StatementsNotesNote 1 Implementation of new and revised standardsand interpretationsThe IASB and the EU have adopted the following new accountingstandards and interpretations, effective from 2012, which have beenimplemented by the ATP Group with effect from 1 January 2012:Standards and interpretations that affect the results for theyear or the financial positionThe implementation of new and revised standards in the consolidatedfinancial statements for 2012 has not resulted in any changesin accounting policies that affect the comprehensive income for theyear or the bonus potential.Revised IFRS 7, Financial Instruments: The revised IFRS 7 enhancesthe disclosure requirements for transfer transactions of financial assetswhere the transferor has some continued involvement with theasset transferred, whether the asset is derecognised or not.Standards and interpretations that have not yet taken effectAt the time of the publication of this annual report, a number of newor revised standards and interpretations have not yet taken effectand, therefore, have not been incorporated into the consolidated financialstatements. The following new or revised standards and interpretationsmay result in changes in comprehensive income andbonus potential or the disclosures in the notes:Revised IAS 1, Presentation of Financial Statements (June2011): Under the revised standard, items presented under othercomprehensive income are to be classified as items which, underother standards, are later to be reclassified (recycled) from othercomprehensive income to profit or loss, respectively items that arenot later reclassified. The amendments are effective for financial periodsbeginning on or after 1 July 2012.IFRS 12, Disclosure of Interests in Other Entities (May 2011):IFRS12 contains disclosure requirements on consolidated entities andentities that are unconsolidated but in which the reporting entity isinvolved. The standard contains increased requirements in terms ofdisclosure of minority interests, etc., and disclosure on entities inwhich the entity is involved but which are unconsolidated. Apart froman increase in the scope of information in notes, this standard is notexpected to have any significant impact on the consolidated financialstatements in future financial years. The standard is effective forfinancial periods beginning on or after 1 January 2013. The standardhas not yet been adopted by the EU.IFRS 13, Fair Value Measurement (May 2011): This standard consolidatesfair value measurement guidance from across various individualIFRSs into a single standard. IFRS 13 thus ensures a uniformdefinition of fair value across other standards and uniform guidanceand disclosure requirements in terms of fair value measurement.This standard is not expected to have any significant impact onthe consolidated financial statements in future financial years. Thestandard is effective for financial periods beginning on or after 1January 2013. The standard has not yet been adopted by the EU.IFRS 9, Financial Instruments: Classification and Measurement(Financial Liabilities) (October 2010): The revised IFRS 9 addsprovisions on classification and measurement of financial liabilitiesand derecognition. Most of the provisions of IAS 39 on recognitionand measurement of financial liabilities are transferred to IFRS 9 unchanged.However, IFRS 9 contains the following amendments tothe provisions of IAS 39: The exception in IAS 39 under which derivativesrelated to unquoted equity instruments could, in some cases,be measured at cost, is eliminated. The standard is not expected tohave any significant impact on the consolidated financial statementsin future financial years. IFRS 9 is effective for financial periods beginningon or after 1 January 2013. The standard has not yet beenadopted by the EU.IFRS 10, Consolidated Financial Statements (May 2011): Thisstandard replaces the sections on consolidated financial statementsin the current IAS 27, Consolidated and Separate Financial Statements,and SIC-12, Consolidation – Special Purpose Entities. In certainrespects, the new standard provides significantly more guidancewhen it comes to determining whether an entity controls anotherentity. IFRS 10 also establishes the principles for preparation andpresentation of consolidated financial statements when an entitycontrols one or more other entities. An examination will be conductedto establish resulting changes of the new standard. The standardis effective for financial periods beginning on or after 1 January2013. The standard has not yet been adopted by the EU.IFRS 9, Financial Instruments: Classification and Measurement(Financial Assets) (November 2009):I FRS 9 deals with theaccounting treatment of financial assets in relation to classificationand measurement. In accordance with IFRS 9, the classifications of'held to maturity' and 'available for sale' are eliminated. A new, optionalclassification is established for equity instruments that are notheld with a view to sale and which, on initial recognition, are classifiedunder 'fair value with value adjustment through other comprehensiveincome'. In future, financial assets are thus to be classifiedeither as 'measurement at amortised cost' or 'fair value through results'or – where equity instruments are concerned that comply withthe criteria to this effect – as 'fair value through other comprehen-The ATP Group – Annual Report 201277

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment A d m i n i s t r a t i o n S o c i a l R e s p o n s i b i l i t y T h e AT P G r o u p Financial Statementssive income'.The implementation of IFRS 9 will not result in changes to the currentaccounting policies under which all financial assets are recognised atfair value over profit or loss or at amortised cost. The standard is effectivefor financial periods beginning on or after 1 January 2013. Thestandard has not yet been adopted by the EU.Note 2 Accounting policiesThe consolidated financial statements and the annual report of ATPfor 2012 have been prepared in accordance with the International FinancialReporting Standards (IFRS) as adopted by the EU and in accordancewith additional Danish disclosure requirements as set out in'Executive Order on Financial Reporting by the Danish Labour MarketSupplementary Pension Scheme and the Supplementary LabourMarket Pension Scheme for Disability Pensioners' (available in Danishonly).The annual report is based on the historical cost convention. In thepreparation of the annual report, the Supervisory and ExecutiveBoards list a number of assumptions that affect the application of theaccounting policies and the carrying amounts of assets and liabilities,as well as income and expenses. Note 3 specifies the accounting estimatesand assessments considered to be material in the preparationof the annual report. Subsequently, assets and liabilities are measuredas described below for each individual item.ConsolidationThe consolidated financial statements include the ATP Parent Company,the Supplementary Labour Market Pension Scheme for DisabilityPensioners (SUPP) and subsidiaries in which ATP – directly or indirectly– holds more than 50 per cent of the voting rights or otherwisehas a controlling interest. ATP and its subsidiaries are jointly referredto as 'the Group'.The consolidated financial statements are based on the financialstatements of the Parent Company and the individual subsidiaries,prepared in accordance with the Group's accounting policies. Onconsolidation, items of a uniform nature are added together and thefollowing items are eliminated: intercompany income and expenses,equity holdings, intercompany balances and dividends, as well asrealised and unrealised gains and losses on transactions betweenconsolidated companies.Associates are entities in which the Group has a significant, but notcontrolling interest. The Group is considered to have a significant interestwhen the Group has between 20 and 50 per cent of the votingrights or otherwise exercises significant influence.Newly acquired or newly formed entities are recognised in the consolidatedfinancial statements from the date of acquisition. Newly acquiredentities are recognised in the consolidated financial statementsin accordance with the acquisition method. Entities disposed of or discontinuedare recognised in the consolidated income statement untilthe date of disposal. Comparative figures for newly acquired, disposedof or discontinued entities are not restated.Gains or losses from disposal of subsidiaries are stated as the differencebetween the selling price and the carrying amount plus the costsof disposal.Minority interests arise because a few investment subsidiaries haveco-investment schemes in which employees participate.Foreign-currency translation:Functional currency and presentation currencyThe consolidated financial statements are presented in Danish kroner(DKK), the functional currency and presentation currency of the ParentCompany.Translation of transactions and amountsA functional currency is determined for each of the Group's reportingentities. The functional currency is the currency used in the primary financialenvironment in which the reporting entity operates. Transactionsin currencies other than the functional currency are foreign-currencytransactions. Foreign-currency transactions are translated intothe functional currency at the rate prevailing at the transaction date.Investments, receivables and payables in foreign currencies are translatedinto the functional currency at the rate prevailing at the balancesheetdate. Realised and unrealised foreign-exchange gains and lossesare included in the income statement under 'Market-value adjustmentsrelated to investment activities' and 'Market-value adjustmentsrelated to hedging activities'.Translation of foreign subsidiariesFinancial statements of foreign subsidiaries are translated into thefunctional currency at the rates prevailing at the balance-sheet dateas far as assets and liabilities are concerned and at average exchangerates as far as income statement items are concerned. All market-valueadjustments are recognised in the income statement, except forforeign-exchange gains and losses arising as a result of:• Translation of the net assets of foreign subsidiaries at the beginningof the financial year at the rates prevailing at the balancesheetdate• Translation of the income statements of subsidiaries at averageexchange rates, while their balance sheets are translated at therates prevailing at the balance-sheet dateThe ATP Group – Annual Report 201278

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment A d m i n i s t r a t i o n S o c i a l R e s p o n s i b i l i t y T h e AT P G r o u p Financial StatementsThe currency translation differences specified above are recognised inother comprehensive income.Financial instrumentsClassificationOn initial recognition, financial assets are classified into the followingthree categories:• Trading assets, which are measured at fair value• Loans, which are measured at amortised cost• Financial assets recognised at fair value in the income statement(chosen)On initial recognition, financial liabilities are classified into the followingthree categories:• Trading liabilities, which are measured at fair value• Other financial liabilities, which are measured at amortised cost• Financial liabilities recognised at fair value in the income statement(chosen).Fair-value option – financial assets and liabilities recognised atfair value in the income statement (chosen)In accordance with the fair-value option of IAS 39, the following assetsand liabilities are recognised at fair value in the income statement:• Bonds• Equity investments• Investment assets related to unit-linked contracts• Loans to portfolio companies• Receivables from credit institutions• Payables to credit institutionsThe assets and liabilities specified above are managed and assessedbased on changes in fair value in accordance with the Group's riskmanagementstrategy, cf. the section 'Prepared for very negativeevents'.Financial derivativesOn initial recognition, i.e. the date of entering into the derivative transaction,financial derivatives are recognised at fair value. Subsequentto initial recognition, financial derivatives are also measured at fairvalue. For financial derivatives that are traded in a market, the officialmarket price is used. For financial derivatives that are not tradedin a market, various generally accepted valuation methods are used,depending on the type of instrument involved. For interest-rate instruments,valuation is based on the market rate expressed as the zerocouponyield curve at the balance-sheet date. Bid prices are used inthe measurement of financial assets, while ask prices are used in themeasurement of financial liabilities.Changes in the fair value of financial derivatives are recognised in theincome statement as they occur. Financial derivatives with a positivefair value are recognised in the balance sheet as assets, while financialderivatives with a negative fair value are recognised in the balancesheet as liabilities.Cash and cash equivalents received as part of a margin settlementare recognised in the balance sheet, given that ATP has the right ofdisposal of margin-account balances. Securities which, as part of collateralsecurity, have been formally assigned only to ATP's ownershipare not recognised in the balance sheet, given that ATP neither bearsthe risk nor benefits from the return of these securities. Similarly, securitieswhich ATP has assigned only formally to counterparties aspart of collateral security are still recognised in ATP’s balance sheet.Segment informationThe Group's activities can be divided into four business areas: investmentactivities, hedging activities, pension activities and administrationactivities. The segments comply with the Group's risk management,as well as its policy of corporate governance and internal financialmanagement. Segment information is prepared in accordancewith the Group's accounting policies.Information is not broken down by geographical segment, as theGroup performs pension and social-security activities on behalf ofDanish wage earners.Expenses are allocated between the individual segments either as directexpenses or as an expense allocation based on ATP's internalmodel for allocation of other expenses.Related-party transactionsRelated-party transactions are settled on an arm's length basis (marketterms) or, in the case of subsidiaries and schemes, on a cost-recoverybasis. Transactions are subject to contractual agreement betweenthe Group’s companies.INCOME STATEMENTRecognition of incomeIncome is recognised in the income statement as it accrues, includingvalue adjustments of financial assets and liabilities which are measuredat fair value or amortised cost. All expenses incurred to generatethe earnings for the year are also recognised in the income statement.Investment activities:Income from investments in subsidiaries is comprised of dividendsas well as value adjustments related to fair-value measurement of investmentsin subsidiaries in the financial statements of ATP.The ATP Group – Annual Report 201279

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment A d m i n i s t r a t i o n S o c i a l R e s p o n s i b i l i t y T h e AT P G r o u p Financial StatementsIncome from associates is comprised of dividends as well as valueadjustments related to fair-value measurement of investments in associates.Income from investment properties is comprised of the rental incomefor the year of investment properties less property-managementexpenses.Market-value adjustments are comprised of realised and unrealisedgains and losses related to financial derivatives and bonds.Interest expenses include all expenses related to forward premiumson repo transactions.Pension activities:Consulting fees are comprised of the fees received for the year for investmentadvice provided to mutual funds and other funds.Contributions are ATP contributions collected for the year less social-securitycontributions.Interest income and dividends, etc., include interest for the year onsecurities and loans, forward premiums related to repo transactionsand forward-exchange contracts, indexation of index-linked bonds,interest payments on financial derivatives and dividends on equityinvestments less foreign dividend taxes. Interest income on interestbearingfinancial instruments is recognised in the income statementusing the effective rate of interest method.Interest expenses include the interest expense for the year payableby investment activities to hedging activities for liquidity made available.The interest expense is calculated on a daily basis, using DanmarksNationalbank's (central bank) seven-day borrowing rate andbased on the value of guaranteed benefits. The contra entry is includedin interest income related to hedging activities. Also included areall expenses related to forward premiums on repo transactions andforward-exchange contracts.Market-value adjustments are comprised of value adjustments forthe year of equity investments, bonds, financial derivatives, loans toportfolio companies and investment properties, as well as realisedgains and losses on the sale of equity investments, bonds, financialderivatives, loans to portfolio companies and investment properties.Exchange-rate adjustments are also included.Fees are the portion of contribution payments by SUPP account holdersand the remaining SP account holders, transferred to the ATP ParentCompany, which are used to cover pension expenses.Benefit payoutsBenefit payouts include personal pensions paid, spouse pensions andcapitalised benefits for the year, as well as changes in claims-outstandingprovisions.Change in guaranteed benefitsThe change in guaranteed benefits includes the change for the year inpension provisions for future pension benefits.Transferred to unit-linked contractsThe change in provisions for unit-linked contracts covers the changein provisions associated with changes in the fair value of investmentassets related to unit-linked contracts under the remaining contractsof the Special Pension Savings Scheme (SP), which have been transferredto the ATP Parent Company, and the Supplementary LabourMarket Pension Scheme for Disability Pensioners (SUPP). This item isrecognised after deduction of tax on pension-savings returns.Administration activities:Fee income includes the fee income for the year related to the use offinancial instruments.Hedging activities:Interest income and dividends, etc., include the interest for the yearof hedging activities. Interest income includes the interest for the yearon securities and loans. The interest income on loans is the incomereceived by hedging activities from investment activities for liquiditymade available. Interest income is calculated on a daily basis, usingDanmarks Nationalbank's (central bank) seven-day borrowing rateand based on the value of guaranteed benefits. The contra entry is includedin interest expenses related to investment activities. Interestincome on interest-bearing financial instruments is recognised in theincome statement using the effective rate of interest method.Other income and other expensesOther income is income for the year from sale of administration servicesto external clients as well as related parties.Other expenses include expenses incurred for the sale of administrationservices.Other customary income and expenses for the year that cannot be attributedto pension, hedging or investment activities are also includedin the items 'Other income' or 'Other expenses'.Applicable to both investment, hedging, pension and administrationactivities:The ATP Group – Annual Report 201280

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment A d m i n i s t r a t i o n S o c i a l R e s p o n s i b i l i t y T h e AT P G r o u p Financial StatementsTax on pension-savings returnsTax on pension-savings returns comprises current tax on pensionsavingsreturns for the year, changes in deferred tax on pension-savingsreturns, and prior year adjustments, if any. Tax on pension-savingsreturns is allocated between investment and hedging activitiesbased on the return allocated to investment and hedging activities,respectively.Current tax liabilities in respect of pension-savings returns and currenttax receivable in respect of pension-savings returns are recognised inthe balance sheet as calculated tax on pension-savings returns adjustedfor interim payment of tax on pension-savings returns.Deferred tax on pension-savings returns resulting from temporary differencesbetween the carrying amount and the tax base of assets andliabilities is measured under the balance-sheet-liability method.Deferred tax assets in respect of pension-savings returns, includingthe tax value of tax-loss carryforwards, are included at the value atwhich the asset is expected to be realisable – either by elimination intax on pension-savings returns on future earnings or by set-off againstdeferred tax liabilities.Deferred tax on pension-savings returns is measured in accordancewith current tax rules and at the tax rates that are expected to apply inthe periods in which the temporary differences reverse.TaxTax on the profit for the year, comprising current tax for the year,changes in deferred tax and prior year adjustments, if any, is recognisedin the income statement. Tax payable and deferred tax are recognisedunder payables, while tax receivable and deferred tax assetsare recognised under assets.lated amortisation and impairment. Amortisation is provided on astraight-line basis over the estimated useful economic lives of the assets,typically from three to ten years.Development costs include expenses, salaries and amortisation attributableto the Group's development activities.Clearly defined and identifiable development projects, for which thetechnical rate of utilisation, sufficient resources and a potential futuremarket or application in the company can be demonstrated, andwhere it is the intention to manufacture, market or use the project, arerecognised as intangible assets, provided that the cost of these assetscan be measured reliably and there is a sufficient degree of certaintyof the future value in use. Other development costs are recognised inthe income statement as incurred.The useful economic lives of the assets are reviewed and adjusted, ifappropriate, at each balance-sheet date.Property, plant and equipmentOperating equipmentOperating equipment is measured at cost less accumulated depreciationand impairment.Cost includes the acquisition price as well as expenses directly relatedto the acquisition until such a time as the asset is ready for use. Expensesincurred for repair and maintenance are taken directly to theincome statement.Depreciation of operating equipment is provided on a straight-line basisover the estimated useful economic lives of the assets. The depreciationperiods range from two to five years.Deferred tax resulting from temporary differences between the carryingamount and the tax base of assets and liabilities is measured underthe balance-sheet liability method.The tax value of tax-loss carryforwards is included in the calculationof deferred tax if it is likely that the tax-loss carryforwards can be utilised.Deferred tax is measured in accordance with current tax rules andat the tax rates that are expected to apply in the periods in which thetemporary differences reverse.BALANCE SHEETIntangible assetsIntangible assets are measured at cost less deduction for accumu-Losses or gains on the sale or other disposal of property, plant andequipment are measured as the difference between the selling priceand the carrying amount. Losses or gains are recognised in the incomestatement as 'Other income' or 'Other expenses', respectively.The residual value and useful economic lives of the assets are reviewedand adjusted, if appropriate, at each balance-sheet date. Ifthe residual value of the asset exceeds the carrying amount, depreciationis discontinued.In case of changes in the depreciation period or the residual value, theprospective effect of depreciation is recognised as a change in accountingestimate.Owner-occupied propertiesOwner-occupied properties are recognised at cost and subsequentlymeasured at fair value using a revaluation model. The fair value ofThe ATP Group – Annual Report 201281

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment A d m i n i s t r a t i o n S o c i a l R e s p o n s i b i l i t y T h e AT P G r o u p Financial Statementsowner-occupied properties is assessed using the principles applied tothe Group's investment properties, see the description below.Purchase and sale of financial assets are recognised on the tradedate.Depreciation of owner-occupied properties is provided on a straightlinebasis over the estimated useful economic lives of the assets. Thedepreciation periods have been determined at 50 years. No depreciationis provided for land.Revaluation, at the balance-sheet date, of property, plant and equipmentfrom cost to fair value is recognised under the bonus potentialas a revaluation reserve. Increases in the fair value of a property arerecognised directly in the item 'Revaluation reserve' under the bonuspotential, unless the increase is offset by a corresponding decline invalue previously recognised in the income statement. A decrease inthe fair value of a property is recognised in the income statement, unlessthe decrease is offset by a corresponding increase previously recogniseddirectly in the item 'Revaluation reserve' under the bonus potential.In that case, the decrease in value is transferred directly as areduction in the Revaluation reserve.Investment propertiesInvestment properties are measured at fair value. A return-basedmodel is used in the determination of the fair value of the properties.The determination of the return of individual properties is based on expectedrental income in case of full occupancy of the properties. Expectedoperating, administration and maintenance expenses are deducted.The value subsequently calculated is adjusted for recognisedvacancy-rent loss for a suitable period and expected expenses relatedto major maintenance work; deposits and prepaid rent are also added.The required rates of return are determined based on external estateagents' assessment of the market level.Financial investment assets, comprised primarily of equities andbonds, are recognised on the transaction date. On initial recognition,i.e. the date of entering into the derivative transaction, financial derivativesare recognised at fair value. Subsequent to initial recognition,financial derivatives are also measured at fair value.For investment assets that are traded in a market, the official marketprice is used. For other investment assets, the following methods areapplied:Interest-based investment assets. For investments in bonds for whichno active market exists, yield curves with the addition of yield spreadsare used, so as to ensure that the pricing is as fair as possible.Private equity investments.Private-equity investments in real-estatefunds are measured based on a calculated fair value in which underlyingproperties and other balance-sheet items are recognised at marketvalue. If the fair value cannot be reliably measured, cost is used.Private-equity investments in private-equity funds are measured onthe basis of the latest market price – either in the form of a round ofcapital increases or a partial sale, based on the value of comparablecompanies and using traditional valuation methods.Private-equity investments in portfolio companies are measured onthe basis of the latest market price, based on the value of comparablecompanies and using traditional valuation methods. The followingfactors are included in the determination of fair value:Expenses incurred in the form of new or improved qualities which resultin an increase in the fair value determined immediately prior to theincurrence of the expenses, are added to the acquisition price as improvements.The Group's properties have not been valued by an external valuationexpert. An external assessment is obtained for the valuation of marketrent and required rates of return. The valuations are segmented on thelocations and qualities of the properties.Investments in subsidiaries and associatesInvestments in subsidiaries are measured at fair value in ATP's financialstatements. Investments in associates are measured at fair valuein the consolidated financial statements and ATP's financial statements.Other financial investment assets• valuation and other significant conditions related to the latestround of financing• significant events related to the company's business, productlaunches, new clients and changes to the management team• compliance or non-compliance with significant predefined milestonesand other conditions assessed to be capable of impactingthe fair value, including general changes in market and competitionconditions and new technologyOn initial recognition, loans to portfolio companies are recognised atfair value. Subsequent to initial recognition, loans to portfolio companiesare also measured at fair value.On initial recognition, receivables from credit institutions are recognisedat fair value. Subsequent to initial recognition, receivables fromcredit institutions are also measured at fair value. Receivables fromcredit institutions are comprised of amounts paid under repo transactions,i.e. purchase of securities where, as part of the agreement, theThe ATP Group – Annual Report 201282

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment A d m i n i s t r a t i o n S o c i a l R e s p o n s i b i l i t y T h e AT P G r o u p Financial Statementsbuyer agrees to sell back the security at some later date.Investment assets related to unit-linked contracts include assets allocatedto members of the SUPP scheme. Aktiverne der består af kapitalandeleog obligationer er specificeret i note 33. Værdiansættelsensvarer til koncernens regnskabspraksis for tilsvarende aktiver.The fair-value determination represents ATP's most objective estimateof the current fair value of equity investments, based on the most unambiguousand uniform guidelines possible and, to some extent, supportedby management estimates.Adjustment of the fair value of financial assets is recognised in the incomestatement under 'Market-value adjustments related to investmentactivities' and 'Market-value adjustments related to hedging activities'on an ongoing basis.Loans and receivablesLoans and receivables are measured at amortised cost (usually equivalentto nominal value).If an objective indication of impairment of a loan or receivable is believedto exist, impairment is performed to meet losses on other loansand receivables.An objective indication of impairment of a loan or receivable exists e.g.if a debtor is facing significant financial difficulties; if a debtor fails tomeet his or her payment obligations under contract or agreement; orif the debtor is likely to go bankrupt or be subject to other financial reconstruction.Impairment is performed individually. Impairment charges are deducteddirectly from the related asset items, while changes in impairmentfor the period under review are recognised in the income statement.Act, temporarily accounting for 15.3 per cent for the accounting periods2012 and 2013.Claims-outstanding provisionsClaims-outstanding provisions are unpaid pension benefits due in respectof events during the financial year or earlier.Bonus potentialThe bonus potential represents ATP's bonus-allowance capabilityover and above the bonus amounts added to guaranteed benefits.The bonus potential rises and falls with the comprehensive incomefor the year.Provisions for unit-linked contractsDeposits under the remaining contracts of the Special Pension SavingsScheme (SP), transferred to the ATP Parent Company, and theSupplementary Labour Market Pension Scheme for Disability Pensioners(SUPP) include contributions paid into the schemes by accountholders with the addition of accrual of returns for the year andless payouts during the year, social-security contributions and administrationexpenses incurred.Other liabilitiesOther liabilities, comprising current loans, payables to subsidiariesand associates and other payables, are measured at amortised cost,essentially equivalent to nominal value.On initial recognition, payables to credit institutions are recognised atfair value. Subsequent to initial recognition, payables to credit institutionsare also measured at fair value. Payables to credit institutionsare comprised of amounts received under repo transactions, i.e. saleof securities where, as part of the agreement, the borrower agrees torepurchase the security at some later date.Cash and demand depositsCash and cash equivalents are recognised and measured at nominalvalue in the balance sheet.Guaranteed benefitsGuaranteed benefits are calculated at the fair value of the Group'spension liabilities, i.e. the value in use of guaranteed benefits andrights (the pension commitment) assessed as a function of the currentdiscount rate at the balance-sheet date.The discount rate is calculated in accordance with the provision basisreported to the Danish Financial Supervisory Authority, based on thezero-coupon yield structure at the balance-sheet date, reflecting theterm of the guaranteed benefits. The rate thus calculated has been reducedby the tax rate under the Danish Pension Savings Returns TaxCASH FLOW STATEMENTThe Group's cash flow statement shows the cash flows for the year,broken down by operating, investment and financing activities; changesfor the year in cash and cash equivalents; and the Group's cashand cash equivalents at the beginning and end of the year.Cash flows from operating activities are presented directly and calculatedas pension contributions received less pension benefits paid tomembers. Moreover, management fees received, payments related toadministration activities, payments to suppliers and staff, and directand indirect taxes are included.Cash flows from investment activities include purchases and sales forthe financial year of bonds, equity investments, loans to credit institutions,investment properties, as well as intangible assets and operat-The ATP Group – Annual Report 201283

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment A d m i n i s t r a t i o n S o c i a l R e s p o n s i b i l i t y T h e AT P G r o u p Financial Statementsing equipment.Cash flows from financing activities include the use of repo transactionsfor the financial year.Cash and cash equivalents include cash and demand deposits, aswell as time deposits with an original term to maturity of less thanthree months.Note 3 Significant accounting estimatesIn the preparation of the annual report in accordance with generallyaccepted accounting principles, the Supervisory and ExecutiveBoards make estimates and assumptions that affect the reportedamounts of assets and liabilities. The Supervisory and ExecutiveBoards base their estimates on historical experience and on variousother factors that are believed to be reasonable and relevant underthe circumstances. The Supervisory and Executive Boards of the ATPGroup consider the following estimates and related assessments to besignificant in the preparation of the consolidated financial statements.Market rateThe market rate is determined as a zero-coupon yield structure, estimatedusing a recognised method. The assets included in the estimationbasis reflect the relevant currency denomination, maturity and liquidity.The percentage breakdown of the assets included in the estimationbasis is as follows:Interest-rate swaps denominated in Danish kroner (DKK) 10%Interest-rate swaps denominated in euros 40%Domestic government bonds 15%German government bonds 35%The market-yield curve is estimated on the basis of buying and sellingrates on the asset side of the breakdown above.The market-yield curve is estimated using the so-called 'boot-strapping'method. For interest-rate swaps denominated in Danish kroner,deposit rates for maturities of up to 6 months are used, as well as domesticswap rates with maturities of up to 30 years. For interest-rateswaps denominated in euros, the following rates are used: euro depositrates for maturities of up to 6 months, euro forward rate agreementsbetween 7 and 11 months, and euro swap rates with maturitiesof up to 30 years. For domestic government bonds, zero-coupon rateswith maturities from 3 months to and including 30 years are used. ForGerman government bonds, zero-coupon rates with maturities from 3months to and including 30 years are used.The zero-coupon rate is calculated using the continuous interest convention.Time (decimal years) is calculated using the 30/360 convention.The table below sets out significant yield-curve points for theyield curve used in 2012.Yield-curve points 2012 20111 years 0,14% 0,71%5 years 0,55% 1,25%10 years 1,48% 2,14%15 years 2,01% 2,62%20 years 2,21% 2,67%30 years 2,28% 2,43%Inflation 1,92% 2,54%Fair value of financial instrumentsThe fair value of financial instruments, including financial derivatives,for which listed market values are not available, is based on the bestinformation available under the circumstances. The accounting methodsinclude discounting of future cash flows and assessment of underlyingmarket conditions. Assumptions of interest rates, risk premiums,volatility, default and prepayments and other information are includedin the use of these methods.Pension provisionsIn the assessment of pension provisions, these provisions are calculatedon the basis of customary actuarial assumptions, the most significantassumptions relating to the discount factor based on the marketrate specified above and on life expectancies. The assumptions onwhich the assessment is based are assumed to reflect current marketconditions.Impairment test for development projectsDevelopment projects in progress must be tested for impairment atleast annually. All development projects in progress are progressingas planned and there are no circumstances to indicate that the assetsdeveloped will not be usable to the expected extent.On this basis, the Supervisory and Executive Boards have estimatedthe recoverable amount of development projects in progress in theform of expected future net cash flows, including costs of completion.The impairment test and the particularly sensitive conditions in thisrespect are described in detail in note 23 of the consolidated financialstatements.At the same time, the Supervisory and Executive Boards have assessedthat – for completed development projects that are amortisedover a useful life of 3 to 10 years – there are no indications of impairmentin addition to the amortisation already recorded. Accordingly,no impairment tests have been performed for completed developmentprojects.The ATP Group – Annual Report 201284

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment A d m i n i s t r a t i o n S o c i a l R e s p o n s i b i l i t y T h e AT P G r o u p Financial StatementsContingenciesDecisions regarding the accounting treatment of contingent assetsand liabilities are based on an assessment of the expected outcomeof the applicable contingency. If it is almost certain that a future economicbenefit will flow to the ATP Group, the asset and the related incomeare recognised. If, on the other hand, it is probable that a futureeconomic benefit will flow from the ATP Group when discharging the liability,the contingency is recognised as a liability. Where it is not possibleto estimate an amount with sufficient certainty, or it is not possibleto estimate the outcome of a given matter, information to this effectwill be provided. Decisions relating to such matters may generaterealised profits or losses in future accounting periods that exceed theamounts recognised in the financial statements.Hedging activitiesHedging activities relate only to ATP. The market value of guaranteedbenefits rises in case of interest-rate falls and declines in case of interest-raterises. The objective of ATP's hedging activities is, primarily,to hedge the interest-rate risk related to ATP's guaranteed benefits.In other words, the objective of the hedging activities is not, per se, togenerate an additional return.The hedging portfolio may consist of long-dated bonds or similar financialinstruments, e.g. interest-rate swaps. In principle, these instrumentsare subject to an interest-rate risk after tax that is equivalentto the interest-rate risk of guaranteed benefits.Pension activitiesPension activities comprise management of the ATP pension schemeand the SUPP savings scheme.Note 4 Segment informationThe Group's primary segments are the business areas upon which theplanning of the Group's internal financial management and reportingis based.Investment activitiesThe Group's investment activities comprise asset management of ATPand the Supplementary Labour Market Pension Scheme for DisabilityPensioners (SUPP). ATP's portfolio is divided into two separate subportfoliosto match the two main objectives to which the managementof ATP's investments is subject. These sub-portfolios are:• A hedging portfolio comprised primarily of interest-rate swapsand long-dated bonds, the aim of which is to ensure optimalhedging of ATP's pension liabilities. The hedging portfolio is notexpected to generate a return over time.• An investment portfolio, the aim of which is to generate an absolutereturn that is sufficient to ensure growth in the bonus potential,thus making it possible to preserve the purchasing power ofATP pensions and compensate for changes in life expectancy inthe long term.The financial statements of the SUPP scheme are presented as a unitlinkedscheme, entailing, among other things, that contribution paymentsand pension benefits are recognised directly in the item 'Provisionsfor unit-linked contracts' in the balance sheet.At ATP, changes in guaranteed benefits due to life-expectancy updatingare updated once a year at the end of H1.Administration activitiesIn relation to its pension activities, ATP sells administration services inthe fields of pensions and social-security services to other schemes,including Udbetaling Danmark, LG, AER, AES and FerieKonto. Theseservices are provided on a cost-recovery basis. ATP also sells administrationservices to a number of labour-market pension schemes.These services are provided as part of the Group’s administration activities.Other customary income and expenses that cannot be attributed topension or investment activities are also included under administrationactivities.Interest-rate swaps and bonds, designed to hedge ATP's pension liabilities,are part only of the hedging portfolio. The hedging-portfolioreturn is included in hedging-activity results, while investment activitiescomprise other investments.The ATP Group – Annual Report 201285

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment A d m i n i s t r a t i o n S o c i a l R e s p o n s i b i l i t y T h e AT P G r o u p Financial StatementsNote 4 Segment information, continued2012DKK millionInvestmentactivitiesHedgingactivitiesPensionactivitiesAdministrationactivitiesNon-allocateditemsGroupContributions 0 0 8,554 0 0 8,554Fees 0 0 24 0 0 24Income from associates 647 0 0 0 0 647Income from investment properties 621 0 0 0 0 621Interest income and dividends 12,417 13,554 12 0 0 25,983Fee income 57 0 0 0 0 57Consulting fee 155 0 0 0 0 155Market-value adjustments 9 31,900 0 0 0 31,909Interest expenses (1,362) (37) (14) 0 0 (1,413)Tax on pension-savings returns (1,755) (6,949) 0 0 0 (8,704)Benefit payouts 0 0 (11,903) 0 0 (11,903)Change in guaranteed benefits 0 (37,018) 2,236 0 0 (34,782)Transferred to client deposits under the SP and SUPPschemes0 0 0 0 (132) (132)Other income 0 0 0 807 0 807Expenses (598) 0 (351) (780) 0 (1,729)Results before tax 10,191 1,450 (1,442) 27 (132) 10,094Tax 0 0 0 0 0 0Results before bonus 10,191 1,450 (1,442) 27 (132) 10,094Bonus addition for the year 0 0 0 0 0 0Net results for the year 10,191 1,450 (1,442) 27 (132) 10,094The ATP Group – Annual Report 201286

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment A d m i n i s t r a t i o n S o c i a l R e s p o n s i b i l i t y T h e AT P G r o u p Financial StatementsNote 4 Segment information, continued2011DKK millionInvestmentactivitiesHedgingactivitiesPensionactivitiesAdministrationactivitiesNon-allocateditemsGroupContributions 0 0 8,602 0 0 8,602Fees 0 0 20 0 0 20Income from associates 471 0 0 0 0 471Income from investment properties 604 0 0 0 0 604Interest income and dividends 16,346 14,393 14 0 0 30,753Fee income 80 0 0 0 0 80Consulting fee 88 0 0 0 0 88Market-value adjustments 4,135 94,136 (1) 0 0 98,270Interest expenses (4,941) (640) 0 0 0 (5,581)Tax on pension-savings returns (2,183) (16,183) (2) 0 0 (18,368)Benefit payouts 0 0 (11,080) 0 0 (11,080)Change in guaranteed benefits 0 (103,203) 4,221 0 0 (98,982)Transferred to client deposits under the SP and SUPPschemes0 0 0 0 (17) (17)Other income 0 0 0 647 0 647Expenses (527) 0 (336) (637) 0 (1,500)Results before tax 14,073 (11,497) 1,438 10 (17) 4,007Tax 0 0 0 0 (4) (4)Results before bonus 14,073 (11,497) 1,438 10 (21) 4,003Bonus addition for the year 0 0 0 0 0 0Net results for the year 14,073 (11,497) 1,438 10 (21) 4,003The ATP Group – Annual Report 201287

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsNote 5 Income from subsidiariesGroup ATPDKK million 2012 2011 2012 2011Unrealised market-value adjustments - - 1,383 452Realised market-value adjustments - - 748 634Dividends received - - 4,022 4,257Income from subsidiaries - - 6,153 5,343Note 6 Income from associatesGroup ATPDKK million 2012 2011 2012 2011Unrealised market-value adjustments including exchange-rate adjustments 569 340 491 226Realised market-value adjustments including exchange-rate adjustments (63) (48) (91) (82)Dividends received 141 179 115 151Income from associates 647 471 515 295Note 7 Income from investment propertiesDKK million Group ATP2012 2011 2012 2011Rental income 707 762 487 525Income from forestry investment property 35 27 0 0Operating expenses excl. maintenance (65) (139) (86) (130)Operating expenses in respect of forestry investment property (39) (32) 0 0Maintenance (17) (14) (9) (8)Total income from investment properties 621 604 392 387Operating expenses excl. forestry investment properties,incl. repairs and maintenance, in respect of:Rented floor space (68) (133) (86) (127)Non-rented floor space (14) (20) (9) (11)Total (82) (153) (95) (138)88

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsNote 8 Investment returns, broken down by asset type, GroupDKK millionInterestincome anddividends,etc., relatedto investmentactivitiesInterestexpensesrelated toinvestmentactivitiesMarket-valueadjustmentsrelated toinvestmentactivities2012Interestincome anddividends,etc., relatedto hedgingactivitiesInterestexpensesrelated tohedgingactivitiesMarket-valueadjustmentsrelated tohedgingactivitiesInterestincome anddividends,etc., relatedto pensionactivitiesInterestexpensesrelated topensionactivitiesInvestment properties 13 0 227 0 0 0 0 0Equity investments 1,802 0 7,172 0 0 0 0 0Bonds 8,925 (631) (1,353) 8,468 (37) 11,535 0 0Unit-linked contracts 85 0 71 0 0 0 0 0Other 636 (1) (17) 133 0 (106) 12 (14)Financial assets and liabilities recognisedat fair value in the incomestatement (chosen) 11,461 (632) 6,100 8,601 (37) 11,429 12 (14)Financial derivatives 956 (730) (6,091) 4,953 0 20,471 0 0Total trading assets 956 (730) (6,091) 4,953 0 20,471 0 0Total 12,417 (1,362) 9 13,554 (37) 31,900 12 (14)DKK millionInterestincome anddividends,etc., relatedto investmentactivitiesInterestexpensesrelated toinvestmentactivitiesMarket-valueadjustmentsrelated toinvestmentactivities2011Interestincome anddividends,etc., relatedto hedgingactivitiesInterestexpensesrelated tohedgingactivitiesMarket-valueadjustmentsrelated tohedgingactivitiesInterestincome anddividends,etc., relatedto pensionactivitiesInterestexpensesrelated topensionactivitiesInvestment properties 4 0 73 0 0 0 0 0Equity investments 1,670 0 (1,006) 0 0 0 0 0Bonds 12,931 0 7,071 0 0 37,760 0 0Unit-linked contracts 68 0 (58) 0 0 0 0 0Other 1,282 (2,691) 133 14,393 0 55 14 (1)Financial assets and liabilities recognisedat fair value in the incomestatement (chosen) 15,955 (2,691) 6,213 14,393 0 37,815 14 (1)Financial derivatives 391 (2,250) (2,078) 0 (640) 56,321 0 0Total trading assets 391 (2,250) (2,078) 0 (640) 56,321 0 0Total 16,346 (4,941) 4,135 14,393 (640) 94,136 14 (1)The ATP Group – Annual Report 201289

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsNote 8 Investment returns, broken down by asset type, ATPDKK millionInterestincome anddividends,etc., relatedto investmentactivitiesInterestexpensesrelated toinvestmentactivitiesMarket-valueadjustmentsrelated toinvestmentactivities2012Interestincome anddividends,etc., relatedto hedgingactivitiesInterestexpensesrelated tohedgingactivitiesMarket-valueadjustmentsrelated tohedgingactivitiesInterestincome anddividends,etc., relatedto pensionactivitiesInterestexpensesrelated topensionactivitiesInvestment properties 9 0 99 0 0 0 0 0Equity investments 903 0 3,794 0 0 0 0 0Bonds 7,957 (631) (2,596) 8,468 (37) 11,535 0 0Unit-linked contracts 0 0 0 0 0 0 0 0Other 839 0 (217) 133 0 (106) 12 (14)Financial assets and liabilities recognisedat fair value in the incomestatement (chosen) 9,708 (631) 1,080 8,601 (37) 11,429 12 (14)Financial derivatives 956 (731) (5,432) 4,953 0 20,471 0 0Total trading assets 956 (731) (5,432) 4,953 0 20,471 0 0Total 10,664 (1,362) (4,352) 13,554 (37) 31,900 12 (14)DKK millionInterestincome anddividends,etc., relatedto investmentactivitiesInterestexpensesrelated toinvestmentactivitiesMarket-valueadjustmentsrelated toinvestmentactivities2011Interestincome anddividends,etc., relatedto hedgingactivitiesInterestexpensesrelated tohedgingactivitiesMarket-valueadjustmentsrelated tohedgingactivitiesInterestincome anddividends,etc., relatedto pensionactivitiesInterestexpensesrelated topensionactivitiesInvestment properties 2 0 139 0 0 0 0 0Equity investments 1,037 0 (5,127) 0 0 0 0 0Bonds 11,718 0 6,968 5,338 0 37,760 0 0Unit-linked contracts 0 0 0 0 0 0 0 0Other 1,279 (2,755) 907 2,690 0 55 16 (2)Financial assets and liabilities recognisedat fair value in the incomestatement (chosen) 14,036 (2,755) 2,887 8,028 0 37,815 16 (2)Financial derivatives 356 (2,250) (1,861) 6,365 (640) 56,321 0 0Total trading assets 356 (2,250) (1,861) 6,365 (640) 56,321 0 0Total 14,392 (5,005) 1,026 14,393 (640) 94,136 16 (2)The ATP Group – Annual Report 201290

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsNote 9 ExpensesGroup ATPDKK million 2012 2011 2012 2011Investment-activity expenses 598 527 247 255Pension-activity expenses 351 336 325 327Administration-activity expenses 780 637 836 6761,729 1,500 1,408 1,258Audit fees:Total fees paid to auditors can be broken down as follows:Statutory audit 3.0 2.7 1.0 0.8Other assurance engagements 0.2 0.2 0.0 0.1Tax and VAT services 0.5 0.6 0.4 0.2Other services 0.6 1.0 0.6 1.04.3 4.5 2.0 2.1Depreciation, amortisation and impairment:Depreciation and impairment, property, plant and equipment 12 10 8 6Amortisation and impairment, intangible assets 174 129 174 129Staff expenses:Payroll costs 672 509 511 422Pension contributions 98 83 83 69Other social-security expenses 1 9 0 8Total staff expenses 771 601 594 499Average number of full-time staff 958 794 843 686Remuneration to the CEO - - 6.0 6.0Of which pension contribution - - 0.9 0.9Total remuneration paid to the ATP Supervisory Board - - 1.7 1.7Total remuneration paid to the ATP Board of Representatives - - 0.2 0.2Total remuneration paid to the ATP Audit Committee - - 0.2 0.2Annual remuneration in DKK thousands paid to:Chairman of the Supervisory Board - - 567 562Member of the Executive Committee - - 158 156Member of the Supervisory Board - - 95 94Member of the Board of Representatives - - 11 10Member of the Audit Committee - - 47 47For information on pay policy and practice for the Board of Representatives, the Supervisory Board, the Executive Board and other significant risktakers as required under the executive order on pay policy and the remuneration disclosure requirements for the Danish Labour Market SupplementaryPension Scheme and the Employees' Capital Pension Fund, please visit www.atp.dk.The ATP Group – Annual Report 201291

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsNote 10 Tax on pension-savings returnsGroup ATPDKK million 2012 2011 2012 2011Investment activities:Tax on pension-savings returns (8,671) (18,359) (8,650) (18,360)Changes in deferred tax on pension-savings returns 0 0 0 0Prior year adjustments (33) (9) (33) (14)Tax on pension-savings returns transferred to hedging activities 6,949 16,183 6,949 16,183Tax on pension-savings returns transferred to pension activities 0 2 0 2Tax on pension-savings returns in respect of investment activities (1,755) (2,183) (1,734) (2,189)Hedging activities:Tax on pension-savings returns transferred from investment activities (6,949) (16,183) (6,949) (16,183)Tax on pension-savings returns in respect of hedging activities (6,949) (16,183) (6,949) (16,183)Pension activities:Tax on pension-savings returns transferred from investment activities 0 (2) 0 (2)Tax on pension-savings returns in respect of pension activities 0 (2) 0 (2)Total tax on pension-savings returns (8,704) (18,368) (8,683) (18,374)Investment-activity results before tax on pension-savings returns 11,946 16,256 11,820 16,263Hedging-activity results before tax on pension-savings returns and change in guaranteedbenefits 45,417 107,889 45,417 107,889Interest income and interest expenses, pension activities (2) 13 (2) 1457,361 124,158 57,235 124,166Calculated 15.3% (2012) / 15.0% (2011) of which (8,776) (18,624) (8,757) (18,625)Tax effect of different calculation methods of accounting and tax returns on transparententities, etc. (22) (21) (20) (21)Tax effect of reduction under section 10of the Pension Savings Returns Tax Act (reduction regarding life and pension-insurancepolicies, year-end 1982) 1982) 127 286 127 286Tax on pension-savings returns for the year (8,671) (18,359) (8,650) (18,360)Prior year adjustments (33) (9) (33) (14)Total tax on pension-savings returns (8,704) (18,368) (8,683) (18,374)Portion of tax on pension-savings returns falling due after more than one year 0 0 0 0Note 11 ContributionsGroup ATPDKK million 2012 2011 2012 2011ATP contributions 9,281 9,337 9,281 9,337Social-security contributions (727) (735) (727) (735)Total contributions 8,554 8,602 8,554 8,602The ATP Group – Annual Report 201292

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsNote 12 Benefit payoutsGroup ATPDKK million 2012 2011 2012 2011Personal pension (current) (10,983) (10,158) (10,983) (10,158)Spouse pension (current) (29) (32) (29) (32)Personal pension (capitalised) (70) (73) (70) (73)Spouse pension (capitalised) (676) (667) (676) (667)Child benefits (capitalised) (145) (150) (145) (150)Total benefit payouts (11,903) (11,080) (11,903) (11,080)Note 13 Other incomeGroup ATPDKK million 2012 2011 2012 2011Sale of administration services by subsidiaries 163 157 0 0Sale of administration services to related parties 644 490 842 670Total other income 807 647 842 670Note 14 Other expensesGroup ATPDKK million 2012 2011 2012 2011Expenses related to sale of administration services (136) (147) 0 0Expenses related to administration services to related parties (644) (490) (836) (676)Total other expenses (780) (637) (836) (676)The ATP Group – Annual Report 201293

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsNote 15 TaxGroup ATPDKK million 2012 2011 2012 2011Current tax (3) 0 - -Deferred tax 3 (4) - -Prior year adjustments 0 0 - -Total tax for the year 0 (4) - -ATP is liable to corporation tax only on the activities of the following subsidiaries: ATP PensionService A/S, ATP Alpha Fondsmæglerselskab A/S,Private Equity Advisors ApS, ATP PE GP ApS, ATP TIM GP ApS and NOW: Pensions Investment A/S Fondsmæglerselskab.Against this background, tax on the results for the year can be broken down as follows:Results before tax, ATP PensionService A/S 10 6 - -Results before tax, ATP Alpha Fondsmæglerselskab A/S (2) 9 - -Resultat before tax,NOW: Pensions Investment A/S Fondsmæglerselskab (9) (2) - -Results before tax, Private Equity Advisors ApS 0 0 - -Results before tax, ATP PE GP ApS 0 0 - -Results before tax, ATP Tim Gp ApS ApS 0 0 - -Results before tax in subsidiaries liable to tax (1) 13 - -Of which calculated tax 0 (3) - -Tax effect of non-deductible expenses 0 (1) - -Total tax for the year 0 (4) - -Portion of tax falling due after more than one year 0 0 - -Taxes falling due within 1 year 3 0 - -Taxes falling due after 1 year 0 0 - -Note 16 Equity investmentsGroup ATPDKK million 2012 2011 2012 2011Listed domestic equity investments:Fair value at 31 December 13,828 15,017 13,828 15,017Unlisted domestic equity investments:Fair value at 31 December 2,761 3,404 1 1Listed foreign equity investments:Fair value at 31 December 4,582 5,425 2,916 2,636Unlisted foreign equity investments:Fair value at 31 December 43,642 40,524 12,323 12,122Total:Fair value at 31 December 64,813 64,370 29,068 29,776Listed foreign equity investments lent at 31 December 2012 at fair value total DKK 0bn (2011: DKK 0bn).The ATP Group – Annual Report 201294

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsNote 17 Financial derivativesDKK million 2012 2011Group Fair value Fair valuePrincipal Positive Negative Principal Positive NegativeInterest-rate contractsInterest-rate swaps 806,846 82,212 (44,720) 755,269 75,569 (34,430)806,846 82,212 (44,720) 755,269 75,569 (34,430)Interest-rate swaptions 190,627 968 (1,068) 224,829 3,911 (2,358)190,627 968 (1,068) 224,829 3,911 (2,358)Interest-rate futures, purchase 0 0 0 3,407 27 0Interest-rate futures, sale 102,576 18 (321) 106,889 0 (474)102,576 18 (321) 110,296 27 (474)Equity contractsEquity futures, purchase 150 0 0 0 0 0Equity futures, sale 150 2 0 0 0 0300 2 0 0 0 0Equity-indexed options, purchase 13,618 286 0 33,449 2,397 0Equity-indexed options, sale 0 0 0 0 013,618 286 0 33,449 2,397 0Inflation contractsInflation swaps 3,738 0 -376 3,724 0 (188)Total return swaps 6 0 0 0 0 06 0 0 0 0 0The ATP Group – Annual Report 201295

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsNote 17 Financial derivatives, continuedDKK million 2012 2011Group Fair value Fair valuePrincipal Positive Negative Principal Positive NegativeUnsettled forward-exchange transactions for the hedging of foreign-currency investments, calculated as contractual principals.Foreign-exchange contractsUSDPurchased under forward contracts 6,380 8 (117) 21,392 193 (270)Sold under forward contracts 0 0 0 0 0 0Total 6,380 8 (117) 21,392 193 (270)EurosPurchased under forward contracts 70,942 1,039 (27) 65,905 1 (2,227)Sold under forward contracts 0 0 0 0 0 0Total 70,942 1,039 (27) 65,905 1 (2,227)OtherPurchased under forward contracts 93,788 699 (225) 43,299 15 (1,145)Sold under forward contracts 0 0 0 0 0 0Total 93,788 699 (225) 43,299 15 (1,145)Total forward contractsPurchased under forward contracts 171,110 1,746 (369) 130,596 209 (3,642)Sold under forward contracts 0 0 0 0 0 0Total 171,110 1,746 (369) 130,596 209 (3,642)Total, Group 1,288,821 85,232 (46,854) 1,258,163 82,113 (41,092)Positive fair values are included in assets 85,232 82,113Negative fair values are included in liabilities (46,854) (41,092)The ATP Group – Annual Report 201296

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsNote 17 Financial derivatives, continuedDKK million 2012 2011ATP Fair value Fair valuePrincipal Positive Negative Principal Positive NegativeInterest-rate contractsInterest-rate swaps 806,846 82,212 (44,720) 755,003 75,562 (34,430)806,846 82,212 (44,720) 755,003 75,562 (34,430)Interest-rate swaptions 190,627 968 (1,068) 224,829 3,911 (2,358)190,627 968 (1,068) 224,829 3,911 (2,358)Interest-rate futures, purchase 0 0 0 3,407 27 0Interest-rate futures, sale 102,576 18 (321) 106,889 0 (474)102,576 18 (321) 110,296 27 (474)Equity contractsEquity futures, purchase 150 0 0 33,449 2,397 0Equity futures, sale 150 2 0 0 0 0300 2 0 33,449 2,397 0Equity-indexed options, purchase 13,618 286 0 0 0 0Equity-indexed options, sale 0 0 0 0 0 013,618 286 0 0 0 0Inflation contractsInflation swaps 3,738 0 (376) 3,724 0 (188)Total return swaps 6 0 0 0 0 06 0 0 0 0 0The ATP Group – Annual Report 201297

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsNote 17 Financial derivatives, continuedDKK million 2012 2011ATP Fair value Fair valuePrincipal Positive Negative Principal Positive NegativeUnsettled forward-exchange transactions for the hedging of foreign-currency investments, calculated as contractual principals.Foreign-exchange contractsUSDPurchased under forward contracts 4,255 5 (89) 6,657 182 (1)Sold under forward contracts 0 0 0 0 0 0Total 4,255 5 (89) 6,657 182 (1)EurosPurchased under forward contracts 70,942 1,039 (27) 65,905 1 (2,227)Sold under forward contracts 0 0 0 0 0 0Total 70,942 1,039 (27) 65,905 1 (2,227)OtherPurchased under forward contracts 93,527 697 (224) 42,804 14 (1,139)Sold under forward contracts 0 0 0 0 0 0Total 93,527 697 (224) 42,804 14 (1,139)Total forward contracts:Purchased under forward contracts 168,724 1,740 (340) 115,337 197 (3,367)Sold under forward contracts 0 0 0 0 0 0168,724 1,740 (340) 115,337 197 (3,367)Total, ATP 1,286,435 85,226 (46,825) 1,242,638 82,094 (40,817)Positive fair values are included in assets 85,226 82,094Negative fair values are included in liabilities (46,825) (40,817)The ATP Group – Annual Report 201298

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsNote 18 Financial assets recognised at fair value over the income statement (chosen)Group ATPDKK million 2012 2011 2012 2011Investments in subsidiaries - - 61,927 56,502Investments in associates 7,889 7,217 4,888 4,291Equity investments 64,813 64,370 29,068 29,776Equity investments related to unit-linked contracts 142 729 0 0Bonds 556,335 530,456 539,677 515,225Bonds related to unit-linked contracts 2,498 1,449 0 0Loans to portfolio companies 762 691 497 424Receivables from credit institutions* 46,273 57,630 46,273 57,630Fair value at 31 December 678,712 662,542 682,330 663,848* Receivables from credit institutions are comprised of amounts paid under repo transactions, i.e. purchase of securities where, as part of the agreement,the buyer agrees to sell back the security at some later date. Securities purchased are not included in the balance sheet and therefore theamount paid is included as a receivable.At year-end 2012, the Group had received securities worth DKK 89,971m as collateral with clearing centres, etc. (2011: DKK 106,064m). The ATPGroup has the right to sell or relend securities received. The securities are not included in the Group's balance sheet.For information on credit risks related to loans, please refer to note 38.Note 19 Trading assets and liabilitiesGroup ATPDKK million 2012 2011 2012 2011Trading assets:Financial derivatives with a positive fair value 85,232 82,113 85,226 82,094Fair value at 31 December 85,232 82,113 85,226 82,094Trading liabilities:Financial derivatives with a negative fair value 46,854 41,092 46,825 40,817Fair value at 31 December 46,854 41,092 46,825 40,817The ATP Group – Annual Report 201299

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsNote 20 Loans and receivablesGroup ATPDKK million 2012 2011 2012 2011Loans to portfolio companies 762 691 497 424Other loans 20 43 0 0Contributions receivable 2,300 2,291 2,253 2,249Receivables from subsidiaries - - 51 1,127Interest receivable 5,699 5,337 5,427 5,038Corporation tax 0 2 - -Other receivables 2,772 10,456 2,710 10,09511,553 18,820 10,938 18,933Impairment included in the receivables above has developed as follows:Impairment at 1 January 56 53 56 53Impairment during the year 12 6 11 6Realised during the year 0 (3) 0 (3)Reversed 0 0 0 0Impairment at 31 December 68 56 67 56The ATP Group – Annual Report 2012100

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsNote 21 Investments in subsidiariesGroup ATPDKK million 2012 2011 2012 2011Fair value at 1 January - - 56,502 58,173Additions during the year - - 9,804 12,336Disposals during the year - - (6,568) (14,386)Market-value adjustment for the year - - 2,276 566Dividends - - (87) (187)Fair value at 31 December - - 61,927 56,502Ownership Share capitalper cent DKK millionAssetsDKK millionRevenueDKK millionNet resultsDKK million2012Supplementary Labour Market Pension Scheme for Disability Pensioners(SUPP) 0.0 (13) 2.792 - -10ATP Alternative Investments K/S 100.0 4.811 4.813 - 1.072ATP Ejendomme A/S 100.0 2.250 3.695 222 298Strandgade 7 A/S 100.0 28 580 42 2ATP Alpha Fondsmæglerselskab A/S 100.0 34 136 - -2NOW: NOW: Pensions Investment A/S Fondsmæglerselskab A/S 100.0 10 24 - -7ATP Invest III 100.0 17.043 17.227 - 1.578ATP PensionService A/S 100.0 23 77 149 7Private Equity Advisors ApS 100.0 3 17 - -1ATP Private Equity K/S 100.0 5.288 5.293 - 280ATP Private Equity Partners I K/S 100.0 2.943 2.952 - 150ATP Private Equity Partners II K/S 100.0 8.948 8.952 - 1.449ATP Private Equity Partners III K/S 100.0 7.760 7.775 - 873ATP Private Equity Partners IV K/S 100.0 1.375 1.413 - -90ATP Real Estate Partners I K/S 100.0 5.247 5.287 - 211ATP Real Estate Partners II K/S 100.0 858 863 - 64ATP TIM GP ApS 100.0 0 1 - 0ATP Timberland Invest K/S 100.0 1.804 1.804 - 14Northwoods ATP LP 100.0 220 221 2 4Upper Hudson Woodlands ATP LP 100.0 225 230 29 14Wolf River ATP LP 100.0 106 107 1 13Ouchita ATP LP 100.0 245 247 3 (3)Via Venture Partners Fond I K/S 99.8 386 386 - 38Via Venture Partners Fond II K/S 99.8 36 36 - (9)CP2 (X)(3) Investment Trust 100.0 0 0 - (24)ATP Alternative Investment Trust 100.0 1.707 1.707 - 249The ATP Group – Annual Report 2012101

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsNote 21 Investments in subsidiaries, continuedOwnership Share capitalper cent DKK millionAssetsDKK millionRevenueDKK millionNet resultsDKK million2011Supplementary Labour Market Pension Scheme for Disability Pensioners(SUPP) 0.0 (2) 2,327 - 3ATP Alternative Investments K/S 100.0 3,839 4,057 - 629ATP Ejendomme A/S 100.0 2,250 3,455 237 151Strandgade 7 A/S 100.0 28 617 47 2ATP Alpha Fondsmæglerselskab A/S 100.0 34 92 - 7NOW: NOW: Pensions Investment A/S Fondsmæglerselskab A/S 100.0 10 30 - (1)ATP Invest III 100.0 15,470 16,012 - 1,134ATP PensionService A/S 100.0 23 61 144 5Private Equity Advisors ApS 100.0 8 23 - (1)ATP Private Equity K/S 100.0 5,247 5,426 - 410ATP Private Equity Partners I K/S 100.0 3,648 3,766 - 965ATP Private Equity Partners II K/S 100.0 7,987 8,225 - 786ATP Private Equity Partners III K/S 100.0 5,789 5,954 - 412ATP Private Equity Partners IV K/S 100.0 406 467 - (41)ATP Real Estate Partners I K/S 100.0 4,729 4,862 - 433ATP Real Estate Partners II K/S 100.0 690 716 - 29ATP TIM GP ApS 100.0 0 0 - 0ATP Timberland Invest K/S 100.0 1,621 1,733 - (76)Northwoods ATP LP 100.0 216 217 5 (1)Upper Hudson Woodlands ATP LP 100.0 218 221 19 16Wolf River ATP LP 100.0 94 94 0 (14)Ouchita ATP LP 100.0 248 250 3 (35)Via Venture Partners Fond I K/S 99.8 714 714 - 118Via Venture Partners Fond II K/S 99.8 0 0 - (5)CP2 (X)(3) Investment Trust 100.0 1,230 1,230 - 213ATP Alternative Investment Trust 100.0 1,621 1,621 - 201The ATP Group – Annual Report 2012102

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsNote 22 AssociatesGroup ATPDKK million 2012 2011 2012 2011Fair value at 1 January 7,217 5,503 4,291 3,149Transferred from/to equity investments 0 0 0 0Additions during the year 469 1,654 334 1,142Disposals during the year (410) (296) (229) (228)Dividends (142) (180) (115) (151)Fair-value adjustment for the year 722 496 607 377Exchange-rate adjustment for the year 33 40 0 2Fair value at 31 December 7,889 7,217 4,888 4,291The ATP Group – Annual Report 2012103

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsNote 22 Associates, continuedOwner Ownership VotingrightsAssets Liabilities Revenue Net results2012per cent per cent DKK million DKK million DKK million DKK millionATPPFA K/S ATP 49.7 49.7 4,768 17 236 337Ejendomsselskabet Norden I K/S ATP 22.2 22.2 860 394 34 53Greenhills Real Estate Ltd. ATP 49.8 49.8 3,153 3,070 272 (237)Nordic Biotec Public Equity KS ATP 99.5 0.0 720 0 0 498ATPPD Lyngby A/S ATP 50.0 50.0 680 507 36 24ATPPD Århus A/S ATP 50.0 50.0 742 332 41 46ATPPD Odense A/S ATP 50.0 50.0 331 233 18 (15)FIH Holding A/S ATP 48.8 50.0 72,722 66,604 480 (896)Harbour P/S ATP 45.8 45.8 4 0 0 (6)Harbour Komplementar ApS ATP 45.8 45.8 0 0 0 0NOW: Pensions Ltd. ATP 50.0 50.0 13 42 - (29)Polaris Private Equity Partners II K/SATP Private Equity PartnersI K/S15.0 15.0 787 6 0 224Aberdeen Real Estate Fund Finland L.P. ATP Real Estate Partners K/S 32.8 32.8 3,676 2,454 347 110AREIM I Fund L.P. ATP Real Estate Partners K/S 32.8 32.8 3,578 1,997 188 158CBRE Real Estate Iberian Value AddedFund CVATP Real Estate Partners K/S 20.2 20.2 2,356 1,473 155 (147)Patroffice B.V. ATP Real Estate Partners K/S 46.9 46.9 2,655 2,271 181 21Townsend Consortium Fund LP ATP Real Estate Partners K/S 39.2 39.2 233 1 24 24Ejendomsselskabet Norden IV K/S ATP Real Estate Partners II K/S 32.4 32.4 426 127 2 (7)ComActivity AB Via Venture Partners Fond I K/S 49.6 49.6 32 12 22 (7)Viamix AB Via Venture Partners Fond I K/S 49.9 49.9 44 0 0 0PP Utköb AB Via Venture Partners Fond I K/S 31.7 31.7 169 39 4 3Retail Support International ApS Via Venture Partners Fond I K/S 43.9 43.9 56 9 3 3Nordic International Holding A/S Via Venture Partners Fond I K/S 47.3 47.3 103 18 18 18Beneq Oy Via Venture Partners Fond I K/S 30.2 30.2 181 149 135 (22)Medotech A/S Via Venture Partners Fond I K/S 29.4 29.4 23 2 0 (20)WPA Holding ApS Via Venture Partners Fond I K/S 49.0 49.0 17 5 0 (4)B.V. Electronic ApS Via Venture Partners Fond I K/S 44.6 44.6 76 32 0 4Dolphin Holding AS Via Venture Partners Fond I K/S 47.1 47.1 65 32 0 (3)Daldata AS Via Venture Partners Fond II K/S 49.9 49.9 - - - -Hostnordic A/S Via Venture Partners Fond II K/S 49.9 49.9 - - - -Hancock Queensland Plantations Pty Ltd. ATP Timberland Invest K/S 31.1 31.1 4,782 4,110 452 (14)The ATP Group – Annual Report 2012104

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsNote 22 Associates, continuedOwner Ownership VotingrightsAssets Liabilities Revenue Net results2011 per cent per cent DKK million DKK million DKK million DKK millionATPPFA K/S ATP 49.7 49.7 4,681 19 231 374Ejendomsselskabet Norden I K/S ATP 22.2 22.2 882 339 41 49Greenhills Real Estate Ltd. ATP 49.8 49.8 4,010 3,729 284 53Nordic Biotec Public Equity KS ATP 99.5 0.0 454 0 0 95ATPPD Lyngby A/S ATP 50.0 50.0 663 514 35 35ATPPD Århus A/S ATP 50.0 50.0 710 345 40 46ATPPD Odense A/S ATP 50.0 50.0 353 353 18 (1)FIH Holding A/S ATP 48.8 50.0 86,009 78,558 685 (893)Harbour P/S ATP 45.8 45.8 10 0 0 0Harbour Komplementar ApS ATP 45.8 45.8 0 0 0 0Polaris Private Equity Partners II K/SATP Private Equity PartnersI K/S15.0 15.0 763 0 0 104Aberdeen Real Estate Fund Finland L.P. ATP Real Estate Partners K/S 32.8 32.8 3,763 2,604 349 37AREIM I Fund L.P. ATP Real Estate Partners K/S 32.9 32.9 1,990 1,246 73 44CBRE Real Estate Iberian Value AddedFund CVATP Real Estate Partners K/S 20.2 20.2 2,610 2,172 118 (35)Patroffice B.V. ATP Real Estate Partners K/S 46.9 46.9 2,623 2,263 183 8Townsend Consortium Fund LP ATP Real Estate Partners K/S 39.2 39.2 215 1 56 55Ejendomsselskabet Norden IV K/S ATP Real Estate Partners II K/S 32.4 32.4 0 0 0 0ComActivity AB Via Venture Partners Fond I K/S 47.0 47.0 32 20 25 (8)Viamix AB Via Venture Partners Fond I K/S 49.0 49.0 42 0 0 0Plusfoursix AB Via Venture Partners Fond I K/S 41.0 41.0 0 0 0 0PP Utköb AB Via Venture Partners Fond I K/S 31.0 31.0 165 29 0 0Retail Support International ApS Via Venture Partners Fond I K/S 44.0 44.0 55 8 0 0Nordic International Holding A/S Via Venture Partners Fond I K/S 47.0 47.0 79 8 0 0Beneq Oy Via Venture Partners Fond I K/S 49.0 49.0 140 127 139 (18)Medotech A/S Via Venture Partners Fond I K/S 30.0 30.0 21 2 0 (21)QAtor A/S Via Venture Partners Fond I K/S 49.0 49.0 8 4 3 (1)WPA Holding ApS Via Venture Partners Fond I K/S 49.0 49.0 16 0 0 0B.V. Electronic ApS Via Venture Partners Fond I K/S 49.0 49.0 72 32 0 0Dolphin Holding AS Via Venture Partners Fond I K/S 48.0 48.0 51 30 0 0Hancock Queensland Plantations Pty Ltd. ATP Timberland Invest K/S 31.1 31.1 4,707 3,904 532 453The ATP Group – Annual Report 2012105

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsNote 23 Impairment testDevelopment projects in progressDevelopment projects in progress comprise primarily developmentand testing of a new standard framework system which is to replacea number of customised systems developed by the ATP Group over a40-year period in response to needs and requirements arising fromnew assignments and business areas. At 31 December 2012, the carryingamount of the ATP Business Platform totalled DKK 134m.The investment is a strategic investment in an IT platform, designedto meet future requirements, and based on web technology; the investmentalso has a clear efficiency-enhancement objective, however.The new system is designed to ensure lower expenses over a numberof years – through standardisation of uniform procedures and standardsoftware.In 2012, the Supervisory and Executive Boards conducted an impairmenttest of the carrying amount of development expenses in progress.The assessment is that the recoverable value exceeds the carryingamount. The assessment of the recoverable value is based onvalue in use calculations, determined through use of expected cashflows based on budgets for the years 2013 to 2018 as approved by theSupervisory and Executive Boards. Development projects in progressall relate to the Group's pension activities and total DKK 262m at 31December 2012.Other assetsThe Supervisory and Executive Boards have not identified any factorsto indicate that impairment tests are required for other intangible assetsor property, plant and equipment.The new system will also make it swifter and cheaper to integrate newservices.The ATP Group – Annual Report 2012106

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsNote 24 Intangible assetsGroup ATPDKK million 2012 2011 2012 2011Completed internally developed projects intended for internal use:Cost at 1 January 961 934 951 924Additions during the year 3 5 2 5Disposals during the year 0 0 0 0Transfer 111 22 111 22Cost at 31 December 1,075 961 1,064 951Depreciations at 1 January (362) (233) (352) (223)Depreciation for the year (174) (129) (174) (129)Disposals during the year 0 0 0 0Depreciations at 31 December (536) (362) (526) (352)Carrying amount at 31 December 539 599 538 599Internal development projects in progress:Cost at 1 January 286 212 286 212Additions during the year 88 96 88 96Disposals during the year (1) 0 (1) 0Transfer (111) (22) (111) (22)Cost at 31 December 262 286 262 286Deperciation at 1 January 0 0 0 0Depreciation for the year 0 0 0 0Transferred to/from other items 0 0 0 0Deperciation at 31 December 0 0 0 0Carrying amount at 31 December 262 286 262 286Total:Cost at 1 January 1,247 1,146 1,237 1,136Additions during the year 91 101 90 101Disposals during the year (1) 0 (1) 0Cost at 31 December 1,337 1,247 1,326 1,237Depreciation at 1 January (362) (233) (352) (223)Depreciation for the year (174) (129) (174) (129)Disposals during the year 0 0 0 0Depreciation at 31 December (536) (362) (526) (352)Carrying amount at 31 December 801 885 800 885The ATP Group – Annual Report 2012107

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsNote 25 Investment propertiesGroup ATPDKK million 2012 2011 2012 2011Fair value at 1 January 11,125 10,903 7,060 6,871Exchange-rate adjustment (9) 133 0 0Additions during the year 358 158 304 76Disposals during the year (44) (16) (9) (12)Fair-value adjustment for the year 157 (53) 66 125Fair value at 31 December 11,587 11,125 7,421 7,060Fair value is determined based on the following rates of required return:Weighted average required return 5.6% 5.5% 5.7% 5.6%Maximum required return 8.5% 8.5% 8.5% 8.5%Minimum required return 5.0% 5.0% 5.0% 5.0%The Group's properties have not been valued by an external valuation expert. An external assessment was obtained for the valuation of market rentand required rates of return.Note 26 Owner-occupied propertiesGroup ATPDKK million 2012 2011 2012 2011Cost at 1 January 496 416 475 396Improvements 0 1 0 0Additions during the year 309 79 308 79Cost at 31 December 805 496 783 475Revaluation at 1 January 39 39 37 35Reclassification from/to investment properties 0 0 0 0Revaluation for the year 1 2 0 2Reversal of revaluation due to value adjustment -14 -2 -14 0Revaluation at 31 December 26 39 23 37Depreciation and impairment at 31 December -22 -18 -21 -17Depreciation for the year -4 -4 -4 -4Depreciation and impairment at 31 December -26 -22 -25 -21Fair value at 31 December 805 513 781 491The ATP Group – Annual Report 2012108

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsNote 27 Operating equipmentGroup ATPDKK million 2012 2011 2012 2011Cost at 1 January 53 43 40 38Additions during the year 56 14 52 3Disposals during the year (2) (4) (1) (1)Cost at 31 December 107 53 91 40Depreciation at 1 January (39) (36) (34) (33)Depreciation for the year (8) (6) (4) (2)Disposals during the year 2 3 1 1Depreciation at 31 December (45) (39) (37) (34)Carrying amount at 31 December 62 14 54 6Note 28 Financial liabilities recognised at fair value over the income statement (chosen)Group ATPDKK million 2012 2011 2012 2011Payables to credit institutions* 106,193 130,726 106,193 130,726106,193 130,726 106,193 130,726*Payables to credit institutions are comprised of amounts received under repo transactions, i.e. sale of securities where, as part of the agreement,the borrower agrees to repurchase the security at some later date. Securities sold are still included in the balance sheet and therefore the amountreceived is included as a payable.At year-end 2012, the Group had deposited securities worth DKK 112,109m as collateral with clearing centres, etc. (2011: DKK 139,362m). DKK1,072m The counterparty has the right to sell or relend the assets received. At 31 December 2012, the securities are still included in the Group’s balancesheet.Note 29 Loans and other payablesGroup ATPDKK million 2012 2011 2012 2011Payables to subsidiaries - - 681 25Tax payable on pension-savings returns 8,701 18,430 8,680 18,430Other payables 5,031 6,751 4,565 6,21513,732 25,181 13,926 24,670The ATP Group – Annual Report 2012109

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsNote 30 Guaranteed benefitsGroup ATPDKK million 2012 2011 2012 2011Fair value at 1 January 504,925 405,953 504,925 405,953Change in provisions for the year:Contributions 8,554 8,602 8,554 8,602– of which transferred to bonus potential (1,711) (1,720) (1,711) (1,720)Pension benefits (11,903) (11,080) (11,903) (11,080)Change due to life-expectancy update 557 248 557 248Change due to change in discount rate 26,624 91,825 26,624 91,825Change due to bonus 0 0 0 0Change due to maturity reduction 10,394 12,017 10,394 12,017Change due to adjusted tax rate for pension-savings returns 0 746 0 746Change due to transition to new discount rate 0 (639) 0 (639)Change due to conversion of pension commitments 1,679 0 1,679 0Other changes 572 (1,027) 572 (1,027)Total change in provisions for the year 34,766 98,972 34,766 98,972Fair value at 31 December 539,691 504,925 539,691 504,925Change in provisions at the following changes:Interest-rate increase of 1 percentage point (82,136) (76,660) (82,136) (76,660)Interest-rate fall of 1 percentage point 105,148 99,508 105,148 99,508Mortality-rate increase of 10 per cent (17,869) (16,495) (17,869) (16,495)Mortality-rate fall of 10 per cent* 19,841 18,316 19,841 18,316* In 2012, a 10-per-cent fall in the mortality rate was equivalent to a 1,0-year increase in life expectancy,Note 31 Claims-outstanding provisionsGroup ATPDKK million 2012 2011 2012 2011Fair value at 1 January 75 65 75 65Change in provisions for the year 16 10 16 10Fair value at 31 December 91 75 91 75The ATP Group – Annual Report 2012110

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsNote 32 Bonus potential2012 GroupDKK millionCurrencytranslationRevaluationreserveOther Retained TotalearningsBonus potential at 1 January 162 39 0 73,932 74,133Net results for the year - - 0 10,094 10,094Other comprehensive income:Translation of foreign subsidiaries (59) - 0 - (59)Revaluation reserve in respect of owner-occupied properties - (13) 0 - (13)Other 0 0 (1) 0 (1)Total other comprehensive income (59) (13) (1) 0 (73)0Total comprehensive income for the year (59) (13) (1) 10,094 10,021Bonus potential at 31 December 103 26 (1) 84,026 84,154The SUPP adjustment pool accounting for (13)Under the bonus-allowance principles reported to the Danish Financial Supervisory Authority, the bonus potential may be divided into one portion thatmay be used to increase guaranteed benefits and one portion that must be retained as undistributed bonus.Bonus potential that could be used to increase guaranteed benefits 0Bonus potential that must be retained as undistributed bonus 84,154Total 84,1542011 GroupCurrency Revaluation Other Retained TotalDKK million translation reserveearningsBonus potential at 1 January 37 39 0 69,929 70,005Net results for the year - - 0 4,003 4,003Other comprehensive income:Translation of foreign subsidiaries 125 - 0 - 125Revaluation reserve in respect of owner-occupied properties - 0 0 - 0Total other comprehensive income 125 0 0 0 1250Total comprehensive income for the year 125 0 0 4,003 4,128Bonus potential at 31 December 162 39 0 73,932 74,133The SUPP adjustment pool accounting for (2)Bonus potential that could be used to increase guaranteed benefits 0Bonus potential that must be retained as undistributed bonus 74,133Total 74,133The ATP Group – Annual Report 2012111

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsNote 32, Bonus potential, continued2012 ATPCurrency Revaluation Other Retained TotalDKK million translation reserveearningsBonus potential at 1 January 162 39 0 73,934 74,135Net results for the year - - 0 10,104 10,104Other comprehensive income:Translation of foreign subsidiaries (59) - 0 - (59)Revaluation reserve in respect of owner-occupied properties 0 (13) 0 - (13)Total other comprehensive income (59) (13) 0 0 (72)0Total comprehensive income for the year (59) (13) 0 10,104 10,032Bonus potential at 31 December 103 26 0 84,038 84,167Under the bonus-allowance principles reported to the Danish Financial Supervisory Authority, the bonus potential may be divided into one portion thatmay be used to increase guaranteed benefits and one portion that must be retained as undistributed bonus.Bonus potential that could be used to increase guaranteed benefits 0Bonus potential that must be retained as undistributed bonus 84,167Total 84,1672011 ATPCurrency Revaluation Other Retained TotalDKK million translation reserveearningsBonus potential 1 January 37 39 0 69,934 70,010Net results for the year - - 0 4,000 4,000Other comprehensive income:Translation of foreign subsidiaries 125 - 0 - 125Revaluation reserve in respect of owner-occupied properties - 0 0 - 0Total other comprehensive income 125 0 0 0 1250Total comprehensive income for the year 125 0 0 4,000 4,125Bonus potential at 31 December 162 39 0 73,934 74,135Bonus potential that could be used to increase guaranteed benefits 0Bonus potential that must be retained as undistributed bonus 74,135Total 74,135The ATP Group – Annual Report 2012112

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsNote 33 Investment assets related to unit-linked contracts and provisions for unit-linked contractsGroup ATPDKK million 2012 2011 2012 2011Investment assets related to unit-linked contractsEquity investments 142 729 0 0Bonds 2,498 1,449 0 0Investment assets related to unit-linked contracts 31.12. 2,640 2,178 0 0Provisions for unit-linked contracts, ATPBalance at 1 January 186 192 186 192Account payouts for the year 0 0 0 0Extraordinary disbursements (2) (5) (2) (5)Transfers to external pension providers 0 0 0 0Adjustment of tax on pension-savings returns 0 0 0 0Payout rate 0 0 0 0Fees withdrawn from account holders (2) (2) (2) (2)Return transferred from statement of comprehensive income 0 1 0 1Other adjustments 1 0 1 0Provisions for unit-linked contracts 31.12. 183 186 183 186Provisions for unit-linked contracts, SUPPBalance at 1 January 2,327 2,004 - -Contributions received 503 467 - -Account payouts for the year (184) (143) - -Fees withdrawn from account holders (22) (18) - -Adjustment of tax on pension-savings returns (4) 1 - -Other prior year adjustments 3 0Return transferred from statement of comprehensive income 132 16 - -Provisions for SUPP 31.12. 2,755 2,327 - -Total provisions for unit-linked contracts 2,938 2,513 183 186The item 'Provisions for unit-linked contracts, ATP' consists of provisions of DKK 183m for remaining SP account holders, which could not be disbursedas part of the automatic disbursement of SP funds in 2010. The provisions represent 62,000 remaining account holders. In 2012, DKK 2m wasdisbursed. Any undisbursed funds at end-April 2015 will, by statute, accrue to ATP's bonus potential.Note 34 Operating leasesGroup ATPDKK million 2012 2011 2012 2011The Group as lessor:Rental income for the year from property rental 707 762 487 525The subtenants are under contractual obligation for an average of (years). 3 3 5 4At the balance-sheet date, the Group has entered into leases under which future rental income is expected to be distributed as follows:Within 1 year 704 656 495 452Between 1 and 5 years 1,659 1,547 1,182 1,105After 5 years 505 507 435 420Total rental income 2,868 2,710 2,112 1,977The ATP Group – Annual Report 2012113

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsNote 35 Contingent liabilities and collateralGroup ATPDKK million 2012 2011 2012 2011CollateralCollateral in respect of financial derivatives and repo transactions 112,109 139,362 111,954 139,362Investment and loan commitmentsInvestment commitments, equity investments and commitments made byATP Private Equity Partners K/S 12,846 13,520 0 0Investment commitments, real-estate funds 1,295 2,131 128 157Investment commitments, infrastructure funds 2,729 2,986 2,729 2,986Investment commitments, credit funds 3,293 4,884 28 29Investment commitments, biotech companies 728 964 728 964Investment commitments, unlisted equity investments 1,194 1,738 1,194 1,738Loan commitments, credit institutions 10,343 10,000 10,343 10,000Other contingent liabilitiesRental/lease obligations 496 245 482 245Agreements concluded on the supply of IT systems 19 19 19 19Potential deferred tax related to real estate 132 119 0 0ATP has joint VAT registration with a number of subsidiaries. These subsidiaries are jointly and severally liable for the payment of VAT and payrolltax included in the joint registration for VAT.The ATP Group – Annual Report 2012114

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsNote 36 Related-party transactionsThe ATP GroupRelated parties of the ATP Group are associates and independentschemes managed by ATP. For an overview of associates, please refer tothe section 'Assets and risk factors'.Members of the ATP Supervisory and Executive Boards and their closefamily members are also regarded as related parties. Enterprises in whichthese persons have a controlling or significant influence are also regardedas related parties.No-one is considered to have a controlling or significant influence on theGroup.The Group has entered into the following related-party transactions:2012DKK millionSales *) Purchases *) PayablesReceivables/LoansContingentliabilitiesAssociates 431 260 0 689 261Independent schemes managed by ATP:The Employers' Reimbursement System (AER) 71 0 0 6 0FerieKonto 63 0 0 21 0The Employees' Guarantee Fund (LG) 68 0 0 8 0The Labour Market Occupational Diseases Fund (AES) 65 0 0 8 0Barsel.dk 34 0 0 4 0Udbetaling Danmark 267 0 0 76 0Tax reductions for senior citizens 11 0 0 0 0FIB 14 0 0 1 0Other parties 6 0 0 0 0Total related-party transactions 1,030 260 0 813 2612011DKK millionSales *) Purchases *) PayablesReceivables/LoansContingentliabilitiesAssociates 1,264 (304) 0 671 522Independent schemes managed by ATP:The Employers' Reimbursement System (AER) 74 0 0 9 0FerieKonto 72 0 0 16 0The Employees' Guarantee Fund (LG) 63 0 0 6 0The Labour Market Occupational Diseases Fund (AES) 59 0 0 9 0Barsel.dk 32 0 0 3 0Udbetaling Danmark 93 0 0 10 0Tax reductions for senior citizens 14 0 0 1 0FIB 14 0 0 0 0Other parties 8 0 0 1 0Total related-party transactions 1,693 (304) 0 726 0*Internal sales and purchases include administration services, interest rates and internal forward-exchange transactions.Sales to schemes comprise a number of administration functions, includingaccounting functions, IT operations and development and staff administration,etc. These amounts are also set out in note 13.Related-party transactions also comprise the statutory labour-marketpension for members of the ATP Supervisory and Executive Boards andtheir close family members, as well as enterprises in which these personshave significant interests.Overall payments to ATP in 2012 total DKK 0.0m (2011 DKK 0.0m)Transactions with associates comprise loans entered into and interestaccrued, which are settled on an arm's length basis (market terms).Transactions with related parties are settled on a cost-recovery basis forschemes. The transactions are subject to contractual agreement withATP.Remuneration details for the Board of Directors and the Manager are setout in note 9.The ATP Group – Annual Report 2012115

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsNote 36 Related-party transactions, continuedATPRelated parties of ATP are associates, subsidiaries and independentschemes managed by ATP. For an overview of associates and subsidiaries,please refer to notes 21 and 22.SUPP is regarded as a scheme managed by ATP.Members of the ATP Supervisory Board, Executive Board and their closefamily members are also regarded as related parties.Enterprises in which these persons have significant interests are also regardedas related parties.ATP has entered into the following related-party transactions:2012DKK millionSales *) Purchases *) PayablesReceivables/LoansContingentliabilitiesAssociates 431 260 0 689 261Subsidiaries 209,361 206,083 0 51 0Independent schemes managed by ATP:The Employers' Reimbursement System (AER) 71 0 0 6 0FerieKonto 63 0 0 21 0The Employees' Guarantee Fund (LG) 68 0 0 8 0The Labour Market Occupational Diseases Fund (AES) 65 0 0 8 0Barsel.dk 34 0 0 4 0Udbetaling Danmark 267 0 0 76 0Tax reductions for senior citizens 11 0 0 0 0FIB 14 0 0 1 0Other parties 6 0 0 0 0Total related-party transactions210,391 206,343 0 864 2612011DKK millionSales *) Purchases *) PayablesReceivables/LoansContingentliabilitiesAssociates 1,264 (304) 0 671 522Subsidiaries 186,073 (193,903) 0 1,127 0Independent schemes managed by ATP:The Employers' Reimbursement System (AER) 74 0 0 9 0FerieKonto 72 0 0 16 0The Employees' Guarantee Fund (LG) 63 0 0 6 0The Labour Market Occupational Diseases Fund (AES) 59 0 0 9 0Barsel.dk 32 0 0 3 0Udbetaling Danmark 93 0 0 10 0Tax reductions for senior citizens 14 0 0 0 0FIB 14 0 0 0 0Other parties 8 0 0 1 0Total related-party transactions 187,766 (194,207) 0 1,852 0*Internal sales and purchases include administration services, interest rates and internal forward-exchange transactions.Sales to subsidiaries comprise a number of administration functions, includingaccounting functions, IT operations and development and staffadministration, etc. These amounts are also set out in note 13. Sales tosubsidiaries also comprise currency hedging undertaken by ATP on behalfof subsidiaries.Related-party transactions also comprise the statutory labour-marketpension for members of the ATP Supervisory and Executive Boards andtheir close family members, as well as enterprises in which these personshave a controlling or significant influence.Overall payments to ATP in 2012 total DKK 0.0m (2011 DKK 0.0m)Transactions with associates comprise loans entered into and interestaccrued, which are settled on an arm's length basis (market terms).Related-party transactions are settled on an arm's length basis (marketterms) or, in the case of subsidiaries and schemes, on a cost-recoverybasis. The transactions are subject to contractual agreement with ATP.Remuneration details for the Board of Directors and the Manager are setout in note 9.No-one is considered to have a controlling influence on the Parent Company.The ATP Group – Annual Report 2012116

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsNote 37 Market risksATP's risk limits are, in addition to statutory limits, based on an overallrisk framework as well as a number of more specific limits. The overallframework for ATP is expressed as a risk tolerance for the probability ofhitting a red-light scenario (the traffic-light system of the Danish FinancialSupervisory Authority) over a three-month period. The risk tolerance is amaximum probability of 1 per cent and at 31 December 2012, the actualprobability was very modest (at 0.0 per cent) relative to the risk tolerance.Moreover, the ATP Supervisory Board has established a rule, setting anupper limit of 55 per cent on the proportion of risky assets and a dynamiclimit of 46 per cent at 31 December 2012. 31.12.2012 udgjorde 46 pct. At31 December 2012, the allocation of risky assets in the investment portfoliowas 21.3 per cent.ATP's risk limits – statutory limits, limits set by the Supervisory Board andinternally established limits – are monitored and reported on a daily basisin relation to ATP's actual risks and any deviations from the limits arereported to the ATP Supervisory and Executive Boards.ATP's risk management is based on ATP's business model with a divisioninto the following activities: pension activities, investment activities, hedgingactivities and administration activities and a division of investmentactivities into a beta and an alpha portfolio, as well as classification ofthe beta portfolio into the risk classes: Interest Rate risk, Credit risk, Equityrisk, Inflation risk and Commodity risk.Market risksATP's risk management also applies the risk target of Expected Shortfallat a 3-month horizon and a 1-per-cent quantile (ES, 3 months, 99 percent). This risk target expresses the average of the 1 per cent worst lossesover a 3-month horizon.Expected Shortfall in DKK million for the ATP beta portfolioES31.12.2012ES31.12.2011BetaInterest Rates 2,350 4,485Credit 2,532 2,460Equities 14,981 11,183Inflation 6,069 7,041Commodities 2,917 2,614ATP's risk management also provides limits for allocation of risk onthe five risk classes of the beta portfolio with a view to ensuring appropriatediversification of ATP's investment. The risk allocation hasbeen determined as the proportion of each risk class of the sum of riskfor the five risk classes. The ATP Supervisory Board has established along-term target and upper and lower limits for the proportion of eachrisk class of the overall risk.Relative risk allocation (per cent)End of year2012End of year2011TargetInterest Rates 8 16 20Credit 9 9 10Equities 52 40 35Inflation 21 25 25Commodities 10 9 10In 2012, the risk allocation of the five risk classes has been fairly closely aligned with ATP's long-term target.The ATP Group Annual Report 2012117

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsNote 37 Market risksCurrency risksATP's currency risks are, as a general rule, hedged in DKK and euros.However, a limit applies for the currency exposure to other currencies.This limit allows for the fact that hedgingis not completely precise and, thus, it may be inexpedient to hedgesome currencies. Emerging-market currency exposure is, as a generalrule, not hedged.ATP's currency exposure at 31 December 2012CurrencyexposureDKK billionPer cent ofinvestmentportfolioCurrencyEuros 139 22US dollars 0 0Total other currencies 0 0The ATP Group Annual Report 2012118

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsNote 38 Credit risksThe Group's counterparty and credit risks are linked, in part, to investmentsin securities, in part to loans, receivables and cash and cash equivalentsand, in part, to financial derivatives with a positive fair value. ATP'sportfolios of government bonds and mortgage bonds involve a credit riskwhich, in the case of government bonds, is assessed as being close tozero, as ATP's portfolio of government bonds consisted exclusively ofGerman and domestic government bonds at year-end 2012, and, in thecase of mortgage bonds, is assessed as being moderate.Moreover, ATP's cash deposits with banks are subject to credit risk,which is assessed as being moderate. As part of the ATP investmentstrategy, ATP actively assumes credit risks by investment in governmentbonds from emerging-market countries, corporate bonds and mezzaninecapital. Credit risks associated with these investments are considered aseparate risk class to which separate limits apply. The exposure to thisrisk class is described in the section on market risks.ATP incurs counterparty risks when trading in financial instruments. ATPlimits the size of counterparty risks by ensuring that transactions are enteredinto only with counterparties where collateral is provided on a dailybasis. Financial contracts are entered into only with counterparties withhigh credit ratings and using ISDA standard documentation.Maksimum credit exposure at 31 December 2012The Credit risk class 47Mortgage bonds 67Unlisted financial derivatives (after provision of collateral) 0Cash and cash equivalents 5Other receivables3At 31 December 2012, the following overdue loans and receivables form part of the Group’s loans and receivables.GroupATP2012 2011 2012 2011DKK millionMaturity period:Up to 30 days 1 2 0 1Between 30 and 90 days 0 1 0 0Over 90 days 0 0 0 01 3 0 1The ATP Group – Annual Report 2012119

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsNote 39 Liquidity risksLiquidity risk is the risk that the ATP Group will not have sufficient fundsavailable to meet its contractual obligations when they fall due.Liquidity management at the ATP Group is conducted through continuousmonitoring and management of the Group's liquidity risk, e.g. throughpreparation of current cash budgets. The primary objective of the Group'sliquidity management is to ensure that the Group has a cash buffer whichis sufficient to enable it to meet its contractual obligations.Liquidity risk is associated primarily with contribution payments, pensionbenefitpayouts and payment of tax on pension-savings returns.Tax on pension-savings returns is settled twice a year in the followingaccounting period, with a payment on account in February and final settlementin May. In connection with the calculation and settlement of taxon pension-savings returns, it is ensured that ATP has sufficient cash, e.g.through sale of financial assets.The Group's cash reserves are comprised of cash and cash equivalentsand other financial assets and unutilised credit facilities.In the table below, the Group’s and ATP’s financial assets and liabilitiesare broken down by contractual maturity including interest. Equity investmentsare placed in the 0-1-year category.The net liquidity effect on contribution payments and pension payoutsover the year is very modest.Financial assets2012 Group 0-1 years 1-5 years 6-15 years 16-20 yearsMore than 20yearsTotalDKK millionEquity investments 64,813 0 0 0 0 64,813Bonds 95,493 178,035 128,571 45,865 267,530 715,494Financial derivatives 188,715 71,272 145,875 65,767 129,944 601,573Loans to portfolio companies 382 103 191 86 0 762Other loans 2 21 0 0 0 23Contributions receivable 2,300 0 0 0 0 2,300Other receivables 2,751 21 0 0 0 2,772Interest receivable 5,699 0 0 0 0 5,699Receivables from credit institutions 46,273 0 0 0 0 46,273Cash and demand deposits 4,991 0 0 0 0 4,991Total 411,419 249,452 274,637 111,718 397,474 1,444,7002011 Group 0-1 years 1-5 years 6-15 years 16-20 yearsMore than 20yearsTotalDKK millionEquity investments 64,370 0 0 0 0 64,370Bonds 117,120 162,716 132,865 42,072 233,340 688,113Financial derivatives 138,905 84,492 189,723 74,577 157,316 645,013Loans to portfolio companies 54 439 333 125 0 951Other loans 18 25 0 0 0 43Contributions receivable 2,291 0 0 0 0 2,291Other receivables 10,456 0 0 0 0 10,456Interest receivable 5,337 0 0 0 0 5,337Receivables from credit institutions 57,630 0 0 0 0 57,630Cash and demand deposits 2,688 0 0 0 0 2,688Total 398,869 247,672 322,921 116,774 390,656 1,476,892The ATP Group – Annual Report 2012120

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsNote 39, Liquidity risks, continued2012 ATP 0-1 years 1-5 years 6-15 years 16-20 yearsMore than 20yearsTotalDKK millionEquity investments 29,068 0 0 0 0 29,068Bonds 92,491 169,584 116,934 44,083 263,465 686,557Financial derivatives 186,329 71,272 145,875 65,767 129,944 599,187Loans to portfolio companies 117 103 191 86 0 497Contributions receivable 2,253 0 0 0 0 2,253Receivables from subsidiaries 27,664 0 0 0 0 27,664Other receivables 2,710 0 0 0 0 2,710Interest receivable 5,427 0 0 0 0 5,427Receivables from credit institutions 46,273 0 0 0 0 46,273Cash and demand deposits 3,363 0 0 0 0 3,363Total 395,695 240,959 263,000 109,936 393,409 1,402,9992011 ATP 0-1 years 1-5 years 6-15 years 16-20 yearsMore than 20yearsTotalDKK millionEquity investments 29,776 0 0 0 0 29,776Bonds 116,088 154,804 121,025 40,192 230,255 662,364Financial derivatives 138,886 84,492 189,723 74,577 157,316 644,994Loans to portfolio companies 54 178 327 125 0 684Contributions receivable 2,249 0 0 0 0 2,249Receivables from subsidiaries 43,807 0 0 0 0 43,807Other receivables 10,095 0 0 0 0 10,095Interest receivable 5,038 0 0 0 0 5,038Receivables from credit institutions 57,630 0 0 0 0 57,630Cash and demand deposits 2,014 0 0 0 0 2,014Total 405,637 239,474 311,075 114,894 387,571 1,458,651The ATP Group – Annual Report 2012121

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsNote 39, Liquidity risks, continued2012 Group 0-1 years 1-5 years 6-15 years 16-20 yearsMore than 20yearsTotalDKK millionDerivative financial liabilitiesFinancial derivatives 180,813 42,126 73,262 27,803 57,606 381,610Total derivative financial liabilities 180,813 42,126 73,262 27,803 57,606 381,610Other financial liabilitiesGuaranteed benefits 12,958 73,001 168,003 93,195 462,278 809,435Payables to credit institutions 106,193 0 0 0 0 106,193Tax payable on pension-savings returns 8,701 0 0 0 0 8,701Other payables 4,995 30 7 0 0 5,032Total other financial liabilities 132,847 73,031 168,010 93,195 462,278 929,361Total 313,660 115,157 241,272 120,998 519,884 1,310,9712011 Group 0-1 years 1-5 years 6-15 years 16-20 yearsMore than 20yearsTotalDKK millionDerivative financial liabilitiesFinancial derivatives 135,112 60,789 113,230 47,489 85,051 441,671Total derivative financial liabilities 135,112 60,789 113,230 47,489 85,051 441,671Other financial liabilitiesGuaranteed benefits 12,462 71,480 171,176 88,443 460,159 803,720Payables to credit institutions 130,726 0 0 0 0 130,726Tax payable on pension-savings returns 18,430 0 0 0 0 18,430Other payables 6,711 32 8 0 0 6,751Total other financial liabilities 168,329 71,512 171,184 88,443 460,159 959,627Total 303,441 132,301 284,414 135,932 545,210 1,401,298The ATP Group – Annual Report 2012122

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsNote 39, Liquidity risks, continued2012 ATP 0-1 years 1-5 years 6-15 years 16-20 yearsDKK millionDerivative financial liabilitiesMore than20 yearsTotalFinancial derivatives 178,404 42,126 73,262 27,803 57,606 379,201Total derivative financial liabilities 178,404 42,126 73,262 27,803 57,606 379,201Other financial liabilitiesGuaranteed benefits 12,958 73,001 168,003 93,195 462,278 809,435Payables to credit institutions 106,193 0 0 0 0 106,193Payables to subsidiaries 28,258 0 0 0 0 28,258Tax payable on pension-savings returns 8,680 0 0 0 0 8,680Other payables 4,565 0 0 0 0 4,565Total other financial liabilities 160,654 73,001 168,003 93,195 462,278 957,131Total 339,058 115,127 241,265 120,998 519,884 1,336,3322011 ATP 0-1 years 1-5 years 6-15 years 16-20 yearsDKK millionDerivative financial liabilitiesMore than20 yearsTotalFinancial derivatives 134,837 60,789 113,230 47,489 85,051 441,396Total derivative financial liabilities 134,837 60,789 113,230 47,489 85,051 441,396Other financial liabilitiesGuaranteed benefits 12,462 71,480 171,176 88,443 460,159 803,720Payables to credit institutions 130,726 0 0 0 0 130,726Payables to subsidiaries 24,876 0 0 0 0 24,876Tax payable on pension-savings returns 18,430 0 0 0 0 18,430Other payables 6,215 0 0 0 0 6,215Total other financial liabilities 192,709 71,480 171,176 88,443 460,159 983,967Total 327,546 132,269 284,406 135,932 545,210 1,425,363The ATP Group – Annual Report 2012123

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsNote 40 Fair-value disclosureFinancial instruments are recognised on the balance sheet at fair valueor amortised cost, cf. accounting policies, note 2. In the determination offair value, the ATP Group applies the IFRS 7 fair-value hierarchy of threelevels.2012 GroupDKK millionQuoted pricesObservable Unobservableinputs inputsTotalLevel 1 Level 2 Level 3AssetsBonds 520,171 11,906 24,258 556,335Equity investments 15,948 4,711 44,154 64,813Financial derivatives 308 84,924 0 85,232Loans to portfolio companies 0 0 762 762Receivables from credit institutions 0 46,273 0 46,273Total 536,427 147,814 69,174 753,415LiabilitiesPayables to credit institutions 0 106,193 0 106,193Financial derivatives 322 46,532 0 46,854Total 322 152,725 0 153,047For financial instruments, measured at fair value using unobservable input data (level 3), the movements for the year are as follows:Realised/unrealisedgainsAssetsBalanceSheet at01,01,12or losses forthe period,recognised Purchase SaleTransfer intolevel 3Transfer outof level 3BalanceSheet at31,12,12Losses/gainson assetsheldBonds 26,950 242 1,021 (3,902) 0 (53) 24,258 233Equity investments 41,970 458 4,524 (2,793) 0 (5) 44,154 3,615Loans to portfolio companies 691 (1) 86 (14) 0 0 762 1Total 69,611 699 5,631 (6,709) 0 (58) 69,174 3,849The ATP Group – Annual Report 2012124

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsNote 40 Fair-value disclosure, continued2011 GroupDKK millionQuoted pricesObservable Unobservableinputs inputsTotalLevel 1 Level 2 Level 3AssetsBonds 488,986 14,520 26,950 530,456Equity investments 18,345 4,055 41,970 64,370Financial derivatives 2,425 79,688 0 82,113Loans to portfolio companies 0 0 691 691Receivables from credit institutions 0 57,630 0 57,630Total 509,756 155,893 69,611 735,260LiabilitiesPayables to credit institutions 0 130,726 0 130,726Financial derivatives 473 40,619 0 41,092Total 473 171,345 0 171,818For financial instruments, measured at fair value using unobservable input data (level 3), the movements for the year are as follows:Realised/unrealisedgainsBalanceor losses forSheet atthe period,Assets 01,01,11recognisedPurchase SaleTransfer intolevel 3Transfer outof level 3BalanceSheet at31,12,11Losses/gainson assetsheldBonds 23,719 723 2,611 (423) 320 0 26,950 723Equity investments 37,655 516 8,530 (2,887) 10 (1,854) 41,970 1,328Loans to portfolio companies 1,147 3 14 (473) 0 0 691 3Total 62,521 1,242 11,155 (3,783) 330 (1,854) 69,611 2,0542012 ATPDKK millionQuoted pricesObservable Unobservableinputs inputsTotalLevel 1 Level 2 Level 3AssetsBonds 504,286 11,905 23,486 539,677Equity investments 14,281 0 14,787 29,068Loans to portfolio companies 0 0 497 497Financial derivatives 308 84,918 0 85,226Receivables from credit institutions 0 46,273 0 46,273Total 518,875 143,096 38,770 700,741LiabilitiesPayables to credit institutions 0 106,193 0 106,193Financial derivatives 322 46,503 0 46,825Total 322 152,696 0 153,018The ATP Group – Annual Report 2012125

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsNote 40 Fair-value disclosure, continuedFor financial instruments, measured at fair value using unobservable input data (level 3), the movements for the year are as follows:Realised/unrealisedgainsBalance or losses forSheet at the period,Assets 01,01,12 recognised Purchase SaleTransfer intolevel 3Transfer outof level 3BalanceSheet at31,12,12Losses/gainson assetsheldBonds 26,300 182 0 (2,996) 0 0 23,486 233Equity investments 14,221 363 817 (614) 0 0 14,787 317Loans to portfolio companies 424 1 86 (14) 0 0 497 1Total 40,945 546 903 (3,624) 0 0 38,770 5512011 ATPDKK millionObservable UnobservableQuoted prices inputs inputs TotalLevel 1 Level 2 Level 3AssetsBonds 474,405 14,520 26,300 515,225Equity investments 15,555 0 14,221 29,776Loans to portfolio companies 0 0 424 424Financial derivatives 2,425 79,669 0 82,094Receivables from credit institutions 0 57,630 0 57,630Total 492,385 151,819 40,945 685,149LiabilitiesPayables to credit institutions 0 130,726 0 130,726Financial derivatives 474 40,343 0 40,817Total 474 171,069 0 171,543For financial instruments, measured at fair value using unobservable input data (level 3), the movements for the year are as follows:Realised/unrealisedgainsBalance or losses forSheet at the period,Assets 01,01,11 recognised Purchase SaleTransfer intolevel 3Transfer outof level 3BalanceSheet at31,12,11Losses/gainson assetsheldBonds 23,485 684 2,131 0 0 0 26,300 684Equity investments 13,859 869 2,171 (824) 0 (1,854) 14,221 933Loans to portfolio companies 433 0 14 (23) 0 0 424 0Total 37,777 1,553 4,316 (847) 0 (1,854) 40,945 1,617The ATP Group – Annual Report 2012126

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsNote 41 Non-current and current assets and liabilitiesGroup ATPDKK million 2012 2011 2012 2011Non-current assets:Intangible assets 801 885 800 885Operating equipment 62 14 54 6Owner-occupied properties 805 513 781 491Investments in associates 7,889 7,217 4,888 4,291Investments in subsidiaries - - 61,927 56,502Deferred tax 12 6 - -Deferred tax on pension-savings returns 0 1 0 0Total non-current assets 9,569 8,636 68,450 62,175Current assets:Cash and demand deposits 4,991 2,688 3,363 2,014Bonds 556,335 530,456 539,677 515,225Equity investments 64,813 64,370 29,068 29,776Financial derivatives 85,232 82,113 85,226 82,094Investment assets related to unit-linked contracts 2,640 2,178 0 0Other loans 20 43 0 0Investment properties 11,587 11,125 7,421 7,060Corporation tax 0 2 - -Contributions receivable 2,300 2,291 2,253 2,249Loans to portfolio companies 762 691 497 424Receivables from subsidiaries - - 51 1,127Receivables from credit institutions 46,273 57,630 46,273 57,630Other receivables 2,772 10,456 2,710 10,095Other prepayments 664 633 660 627Interest receivable and accrued rent 5,699 5,337 5,427 5,038Total current assets 784,088 770,013 722,626 713,359Total assets 793,657 778,649 791,076 775,534Group ATPDKK million 2012 2011 2012 2011Non-current liabilities:Guaranteed benefits 527,044 493,042 527,044 493,042Claims-outstanding provisions 91 75 91 75Bonus potential 84,154 74,133 84,167 74,135Provisions for unit-linked contracts 2,938 2,513 183 186Minority interests 4 4 - -Total non-current pension provisions and liabilities 614,231 569,767 611,485 567,438Current liabilities:Guaranteed benefits 12,647 11,883 12,647 11,883Payables to subsidiaries - - 681 25Financial derivatives 46,854 41,092 46,825 40,817Tax payable on pension-savings returns 8,701 18,430 8,680 18,430Payables to credit institutions 106,193 130,726 106,193 130,726Other payables 5,031 6,751 4,565 6,215Total current liabilities 179,426 208,882 179,591 208,096Total liabilities 793,657 778,649 791,076 775,534The ATP Group – Annual Report 2012127

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsNote 42 Five-year summary for ATPFinancial highlights (DKK million) 2012 2011 2010 2009 2008Contributions 8,554 8,602 8,293 8,185 7,210Pension benefits 11,903 11,080 10,170 9,222 8,362Return on investment 48,552 124,167 71,370 8,387 66,531Pension-related operating expenses 325 327 318 196 182Technical profit 10,098 4,007 5,046 17,032 -25,651Net results for the year 10,104 4,000 5,042 17,039 -25,660Bonus potential 84,167 74,135 70,010 64,898 47,879Pension provisions 624,132 579,321 476,220 417,320 411,323Total assets 791,076 775,534 757,896 609,322 563,769Members (number in thousands) 4,783 4,732 4,678 4,641 4,611Pensioners (number in thousands) 879 838 795 756 698RatiosReturn ratiosReturn before tax on pension-savings returns (per cent) 9.9 26.2 17.2 2.0 18.8Return after tax on pension-savings returns (per cent) 8.4 22.3 14.6 1.8 16.3Expense ratioExpense ratio of contributions 3.8 3.8 3.8 2.4 2.5Expense ratio of provisions 0.1 0.1 0.1 0.1 0.1Expenses per member (DKK) 68 69 68 42 40Other ratiosBonus rate (per cent) 15.6 14.7 17.2 18.4 13.2Return on pension provisions before tax onpension-savings returns (per cent) 9.9 26.2 17.2 2.0 18.8Note: The five-year summary for ATP has been prepared in accordance with the format requirements of the Danish Financial Supervisory Authority inline with the methods of accounting used by other pension providers in Denmark. Consequently, the return on investment and the return ratios, etc.,deviate from ATP's format, which is IFRS compliant.The ATP Group – Annual Report 2012128

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsNote 43 Breakdown of ATP's assets and their returns at market valueCarrying amount Net Return p.a.DKK millioninvestment before tax onpension-savingsreturnsBeginning ofyearEnd ofyearDKKmillionper centLand and buildings directly owned 7,551 8,202 604 9Property companies 13,847 14,565 722 5Total land and buildings 21,398 22,767 1,326 6Other subsidiaries 32,237 35,184 2,483 13Listed domestic equity investments 15,017 13,828 (4,499) 31Unlisted domestic equity investments 1,342 1,939 271 25Listed foreign equity investments 5,033 3,399 143 (39)Unlisted foreign equity investments 9,783 10,212 324 6Total other equity investments 31,175 29,378 (3,761) 9Government bonds (Zone A) 396,385 430,367 23,915 5Mortgage bonds 61,499 58,663 (2,373) (3)Index-linked bonds 11,748 7,391 (4,608) 5Credit bonds, investment grade 26,966 23,486 (3,740) 1Credit bonds, non-investment grade, and emerging-markets bonds 15,470 17,043 (5) 10Other bonds 18,181 19,468 2,010 3Total bonds 530,249 556,418 15,199 6Other financial investment assets (495) 5,260 - -Financial derivatives entered into for the purpose of hedging the netchange of assets and liabilities42,496 37,016 (21,077) -Total investment assets 657,060 686,023 (5,830) 10The specification includes financial derivatives at a negative market value of DKK 40,817m at end-2011 and DKK 46,825m at end-2012,respectively.The ATP Group Annual Report 2012129

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsNote 44 ATP risk factors and their impact on the bonus potential (after tax)EventImpacton assetsImpact onguaranteedbenefitsTotal impactonbonus potentialDKK billion DKK billion DKK billionInterest-rate increase of 0.7 percentage points (59.2) 59.6 0.5Interest-rate fall of 0.7 percentage points 68.1 (70.9) (2.9)Equity-price fall of 12 percentage points (7.4) - (7.4)Property-price fall of 8 percentage points (1.5) - (1.5)Exchange-rate change with 1-per-cent probability over 10 days (0.1) - (0.1)Counterparty loss of 8 percentage points (5.1) - (5.1)Country-spread risk 1.2 - 1.2Commodity-price fall of 18 percentage points (1.1) - (1.1)Mortality-rate fall of 10 per cent - 19.8 (19.8)Mortality-rate increase of 10 per cent - (17.9) 17.9Note: The impact on assets and the value of guaranteed benefits, as well as the overall impact on the bonus potential is calculated foreach event. The impact of each event in the table is calculated based on a ceteris paribus consideration on the basis of the closing balancesheet as specified in the financial statements. It is assumed that the individual events occur as events with immediate effect.Note 45 Breakdown of equities by sector and regionDenmarkRest ofEurope North America Totalper cent per cent per cent per centEnergy 0.0 0.0 0.0 0.0Materials 1.2 0.0 0.0 1.2Industrials 7.1 0.0 0.0 7.1Consumer durables 1.2 0.0 0.0 1.2Consumer goods 4.4 0.0 0.0 4.4Health care 10.2 0.3 0.0 10.5Finance 5.6 0.7 0.0 6.3IT 1.0 0.0 0.0 1.0Telecommunications 1.5 0.0 0.0 1.5Utilities 0.0 0.0 0.0 0.0Not broken down 1 68.9 (27.7) 25.5 66.8101.1 (26.7) 25.5 100.01'Not broken down' for the rest of Europe includes options exposure of a negative DKK 13,618mThe ATP Group – Annual Report 2012130

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsNote 46 Correlation between sub-portfolio and accounting statement for ATPDKK billionHedgingportfolioInvestmentportfolioFundingaccountInvestmentstatementTotalAccountingstatementTotalDifferenceCash balance 246.2 (26.3) (218.3) 1.6 3.4 1.8Real estate 0.0 8.2 0.0 8.2 8.2 1 0.0Financial derivatives 15.6 (37.6) 0.0 (22.0) 85.2 107.2Equity investments 0.0 29.1 0.0 29.1 29.1 0.0Subsidiaries 0.0 66.8 0.0 66.8 66.8 2 0.0Bonds 305.2 240.0 0.0 545.2 539.7 (5.5)Loans to portfolio companies 0.0 0.5 0.0 0.5 0.5 0.0Other 3 0.0 0.0 0.0 0.0 58.2 4 58.2Total 567.0 280.7 5 (218.3) 6 629.4 791.1 7 161.71) Cf. the items 'Investment properties' and 'Owner-occupied properties' in ATP's balance sheet, page 73.2) Cf. the items 'Investments in subsidiaries' and 'Investments in associates' in ATP's balance sheet, page 73.3) Accounting items not included in the investment statement.4) Cf. the items 'Intangible assets', 'Operating equipment', 'Contributions receivable', 'Interest receivable and accrued rent', 'Other receivables', 'Deferredtax on pension-savings returns', 'Receivables from subsidiaries', 'Receivables from credit institutions' and 'Other prepayments' in ATP's balancesheet, page 73.5) Cf. the market value of 'Total investment portfolio', page 73.6) Cf. the market value at end-2012, specified under the item 'Transferred to hedging activities', page 46.7) Cf. the item 'Total assets' in ATP’s balance sheet, page 73.8) Each figure is reconciled separately and, accordingly, rounding differences may occur.ATP's portfolio is divided into two sub-portfolios – the hedging portfolioand the investment portfolio. As a result of this division and becauseof differences in the definition of assets for portfolio and accountingpurposes, the investment portfolio cannot be recogniseddirectly in ATP's financial statements. Correlations between the portfolios,including their market values, and the assets in the financialstatements are set out in the table above.The table shows the various accounting assets, calculated for purposesof investment and accounting, respectively. The difference betweenthe two statements appears from the outer right-hand column.The DKK 1.8bn difference in 'Cash balance' is attributable to unsettledtrades. In the investment statement, liquidity is affected by purchaseand sale already on the trade date, while liquidity is not affected untilthe value date in the accounting statement.The DKK 107.2bn difference in 'Financial derivatives' is attributableto four factors. Firstly, the investment statement includes the net valueof positive as well as negative market values. In the accountingstatement, positive and negative market values are divided into assetsand liabilities, respectively. Thus negative market values, totallingDKK 46.8bn, are included in the accounting statement of financialderivatives, but under liabilities. Secondly, the value of repo transactionsis classified differently. The investment statement includes bothpositive and negative market values related to repo transactions underfinancial instruments. In the accounting statement, repo transactionsare included as liabilities under 'Payables to credit institutions'at a negative market value of DKK 106.2bn, while repo transactionsare included as assets under 'Receivables from credit institutions' ata positive market value of DKK 46.3bn. Denne forskel udgør netto 59,9mia. kr. For det tredje klassificeres markedsværdien af valutaterminskontrakterindgået med datterselskaber forskelligt. The investmentstatement includes the DKK 0,7bn market value under 'Financial derivatives'.In the accounting statement, these contracts are included under'Payables to subsidiaries' (liability). Finally, open futures contractsare included in the investment statement at a market value of 0, whilethe accounting statement includes these contracts at a market valueequivalent to the sum of all margin settlements paid/received underopen futures contracts. This difference is a negative DKK 0.2bn. Betweenthem, these factors explain the DKK 107.2bn difference.The difference in 'Bonds', totalling DKK 5.5bn, is attributable mainlyto the fact that interest receivable is included in the market values ofThe ATP Group – Annual Report 2012131

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial Statementsbonds in the investment statement, while, in the accounting statement,interest receivable is not included in the item 'Bonds', but in the item'Interest receivable and accrued rent', see page 73.The DKK 58.2bn difference in 'Other' is attributable e.g. to the fact thatinterest receivable is classified differently in the investment and accountingstatements, see the previous section. Also included is a receivableof DKK 46.3bn related to repurchase of bonds in connectionwith repo transactions. Finally, a number of items are included whichare not part of the investment statement.The ATP Group – Annual Report 2012132

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsSupervisory BoardPresidentEmployee representativesChairman of the Supervisory BoardJørgen SøndergaardPresidentHarald BørstingEmployer representativesVice PresidentLizette RisgaardPresidentTorben Dalby LarsenEconomistIngerlise BuckDeputy Director GeneralKim GraugaardPresidentKim SimonsenDirector-GeneralJørn Neergaard LarsenPresidentBente SorgenfreyMayorMartin DammPresidentErik JyllingDirectorNiels GotfredsenThe ATP Group – Annual Report 2012133

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsBoard of RepresentativesChairman:Jørgen Søndergaard, Chairman of the Supervisory BoardAppointed by the Danish Employers' Association for theFinancial Sector (FA):Mariane Dissing, CEOEmployer representativesAppointed by the Confederation of Danish Employers(DA):Torben Dalby Larsen, Chairman; Kim Graugaard, DeputyDirector General; Jørn Neergaard Larsen, Director-General;Lise Bardenfleth, Chief Consultant; Berit Vinther, Deputy DirectorGeneral; Birthe Madsen, Managing Director; PernilleKnudsen, Deputy Director; Camilla Khokhar, Director, ManagementSecretariat.Employee representativesAppointed by the Danish Confederation of Trade Unions(LO):Harald Børsting, President; Lizette Risgaard, Vice President;Ingerlise Buck, Economist; Ole Wehlast, President;Claus Jensen, President; Poul Erik Skov Christensen, President;Jørgen Juul Rasmussen, President; Kim Simonsen,President; Gita Grüning, President; Benny Andersen, PresidentAppointed by the Danish Confederation of Employers'Associations in Agriculture:Nils Juhl Andreasen, Managing DirectorAppointed by the Minister of Finance:Niels Gotfredsen, DirectorAppointed by Danish Regions:Steen Bach Nielsen, President of Danish RegionsAppointed by Local Government Denmark (LGDK):Hanne Bæk Olsen, Mayor; Martin Damm, MayorAppointed by the Salaried Employees' and Civil Servants'Confederation (FTF):Bente Sorgenfrey, President; Kent Petersen, Vice President;Jens Kragh, DirectorAppointed by the Danish Association of Managers andExecutives (LH):Svend Askær, PresidentAppointed by the Danish Confederation of ProfessionalAssociations (AC):Erik Jylling, PresidentThe ATP Group – Annual Report 2012134

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsExecutive Committee, Audit Committee, ExecutiveBoard and Appeals BoardExecutive CommitteeJørgen Søndergaard (Chairman)Jørn Neergaard LarsenHarald BørstingAudit CommitteeJørgen Søndergaard (Chairman)Jørn Neergaard LarsenHarald BørstingExecutive BoardChief Executive Officer (CEO):(acting CEO)Henrik Gade JepsenMembers of the Group Executive Board:Lilian Mogensen, Human Resource, ServicesHenrik Gade Jepsen, Pensions & InvestmentsLars Damgaard Sørensen, Finance and ITTomas Frydenberg, Business DevelopmentAppointed actuary:Chresten DengsøeAppeals BoardThe Appeals Board for ATP, etc.,Ved Stranden 8, DK-1061 Copenhagen KThe ATP Group – Annual Report 2012135

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsOther directorships held by members of theSupervisory BoardJørgen Søndergaard, Chairman of the Supervisory BoardSeniority: joined the Supervisory Board in 2003 – current term expires in 2015Other directorships:Managing Director of SFI – the Danish National Centre for Social ResearchChairman of the Supervisory Board of the Employees' Guarantee Fund (LG)Chairman of the Supervisory Board of the Labour Market Occupational DiseaseFund (AES)Employer representativesTorben Dalby Larsen, ChairmanSeniority: joined the Supervisory Board in 2011 – current term expires in 2013Other directorships:Chairman of the Confederation of Danish Employers (DA)Member of the Supervisory Board of the Employees' Guarantee Fund (LG)Managing Director of Sjællandske Medier A/SEditor-in-Chief of DAGBLADET, Frederiksborg Amts Avis and Sjællandske.Chairman of the Supervisory Board of the wholly-owned subsidiaries of SjællandskeMedierChairman of the Danish news agency Dagbladenes BureauChairman of Vestsjællandske Distriktsblade A/SMember of the Supervisory Board of PFA Pension A/SMember of the Supervisory Board of the Danish Broadcasting CorporationMember of the Supervisory Board of Danish Newspapers and MediaMember of the Supervisory Board of the Danish Newspapers' and Media Employers'AssociationMember of the Supervisory Board of Roskilde Mediecenter K/S and A/SMember of the Supervisory Board of Sjællandske Avistryk A/S, SlagelseKim Graugaard, Deputy Director GeneralSeniority: joined the Supervisory Board in 2003 – current term expires in 2015Other directorships:Deputy Director General of the Confederation of Danish Industries (DI)Member of the Supervisory Board of the Employees' Guarantee Fund (LG)Member of the Supervisory Board of the Confederation of Danish Employers (DA)Vice Chairman of the Supervisory Board of Industriens PensionChairman of TekSamJudge of the Industrial CourtJørn Neergaard Larsen, Director-GeneralSeniority: joined the Supervisory Board in 1996 – current term expires in 2014Other directorships:Director-General of the Confederation of Danish Employers (DA)Chairman of Nordic Employers' Mutual Insurance AssociationVice Chairman of the Supervisory Board of PFA Pension A/S, independent, qualifiedmember of the Audit Committee of PFA Pension A/SMember of the Supervisory Board of the Employees' Guarantee Fund (LG)Martin Damm, MayorSeniority: joined the Supervisory Board in 2012 – current term expires in 2015Other directorships:Mayor of Kalundborg municipalityMember of the Supervisory Board of Local Government Denmark (LGDK)Chairman of LGDK's Technical and Environmental CommitteeMember of Growth Forum ZealandMember of the Supervisory Board of the Kalundborg Trade CouncilMember of the Supervisory Board of Kalundborg Forsyning A/SMember of the Supervisory Board of the Employees' Guarantee Fund (LG)Niels Gotfredsen, DirectorSeniority: joined the Supervisory Board in 2011 – current term expires in 2014Other directorships:Director General of the Agency for the Modernisation of Public AdministrationChairman of the Supervisory Board of the Danish Centre for Development of HumanResources and Quality (SCKK)Member of the Supervisory Board of the Employees' Guarantee Fund (LG)Delegate of the Supervisory Board of Statens og Kommunernes Indkøbsservice A/S(SKI) (National Procurement Denmark)Employee representativesHarald Børsting, PresidentSeniority: joined the Supervisory Board in 2007 – current term expires in 2015Other directorships:President of the Danish Confederation of Trade Unions (LO)Chairman of the Supervisory Board of the Employees' Capital Pension Fund (LD)Member of the Executive Committee of the Employees' Capital Pension Fund (LD)Chairman of the Supervisory Board of A/S A-PressenMember of the Supervisory Board of Fagbevægelsens Erhvervsinvestering A/SChairman of the Supervisory Board of the AKF foundationChairman of the Supervisory Board of Højstrupgård A/SMember of the Supervisory Board of the Employees' Guarantee Fund (LG)Member of the Supervisory Board of Arbejdernes LandsbankLizette Risgaard, Vice PresidentSeniority: joined the Supervisory Board in 2007 – current term expires in 2015Other directorships:Vice President of the Danish Confederation of Trade Unions (LO)Member of the Supervisory Board of the Employees' Guarantee Fund (LG)Member of the Supervisory Board of the Employees' Capital Pension Fund (LD)Member of the Executive Committee of the Employees' Capital Pension Fund (LD)Member of the Supervisory Board of Højstrupfonden A/SMember of the Supervisory Board of Højstrupgård A/SMember of the Supervisory Board of ALKA forsikring (insurance)Member of the Supervisory Board of the Economic Council of the Labour Movement(ECLM)Member of the Board of Representatives of Arbejdernes LandsbankIngerlise Buck, EconomistSeniority: joined the Supervisory Board in 1995 – current term expires in 2014Other directorships:Member of the Supervisory Board of the Employees' Guarantee Fund (LG)Member of the Supervisory Board of the Employees' Capital Pension Fund (LD)Kim Simonsen, PresidentSeniority: joined the Supervisory Board in 2010 – current term expires in 2013Other directorships:President of the Union of Commercial and Clerical Employees in Denmark (HK)Chairman of ALKAChairman of Forbrugsforeningen af 1886Chairman of Knudemosen A/SChairman of Refshaleøens EjendomsselskabVice Chairman of Erhvervsskolernes Bestyrelsesforening (Supervisory Board ofDanish vocational schools)Chairman of AKF-HoldingVice Chairman of Kommunernes Pensionsforsikringsselskab a/sVice Chairman of Sampensions Administrationsselskab a/sMember of the Supervisory Board of A-PressenMember of the Supervisory Board of the Employees' Capital Pension Fund (LD)Member of the Supervisory Board of the Economic Council of the Labour MovementMember of the Supervisory Board of the Environmental Economic CouncilMember of the Board of Representatives of Arbejdernes LandsbankMember of the Board of Representatives of Lån & Spar BankMember of the Supervisory Board of the Employees' Guarantee Fund (LG)Member of the Danish Board of TechnologyMember of the Supervisory Board of CPH WestChairman of Hotels Christiansminde a/sChairman of ASX7 Aps, SvendborgMember of the Supervisory Board of Young Enterprise DanmarkMember of the Supervisory Board of Nordisk Investeringsdepot (Nordic InvestmentDeposit)Erik Jylling, PresidentSeniority: joined the Supervisory Board in 2009 – current term expires in 2015Other directorships:President of the Danish Confederation of Professional Associations (AC)Member of the Supervisory Board of the Employees' Guarantee Fund (LG)Member of the Supervisory Board of the Employees' Capital Pension Fund (LD)Member of the Supervisory Board of the Danish Centre for Development of HumanResources and Quality (SCKK)Vice Chairman of the Supervisory Board of Lån & Spar BankBente Sorgenfrey, PresidentSeniority: joined the Supervisory Board in 2004 – current term expires in 2014Other directorships:President of the Salaried Employees' and Civil Servants' Confederation (FTF)Vice Chairwoman of the Employees' Capital Pension Fund (LD)Member of the Supervisory Board of the Employees' Guarantee Fund (LG)Member of the Board of Directors of Danmarks Nationalbank (central bank)Member of the Supervisory Board of Lån & Spar Bank A/SMember of the Supervisory Board of UCSJ – University College ZealandThe ATP Group – Annual Report 2012136

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsGeneral ManagementATP is an independent, statutory institution, managing theATP Pension Scheme as well as the Supplementary LabourMarket Pension Scheme for Disability Pensioners (SUPP).ATP is managed by a Board of Representatives, a SupervisoryBoard and a Chief Executive Officer (CEO). The compositionof the ATP Board of Representatives and SupervisoryBoard is determined by law. The CEO is appointed by theSupervisory Board. The Board of Representatives comprises15 employer representatives, 15 employee representativesand a Chairman appointed by the Board of Representatives.The chairman may not be affiliated with any employeror employee organisations. The Board of Representativesconvenes once a year. The Supervisory Board comprisessix employer representatives, six employee representativesand the Chairman of the Board of Representatives. The SupervisoryBoard convenes five times a year. The membersof the Board of Representatives and Supervisory Board areappointed by the Minister of Employment – upon the recommendationof the social partners. The Chairman and theother members of the Supervisory Board and the Board ofRepresentatives are appointed for three-year terms and areeligible for reappointment. No age limit applies.decisions and to prepare and implement Supervisory Boardresolutions as authorised by procedures adopted by the SupervisoryBoard. The Executive Committee has the authorityto make a range of decisions, especially pertaining to investmentand employment conditions. The Executive Committeeconvenes once a month and also handles the tasksassigned to the Remuneration Committee. The tasks of theRemuneration Committee are to prepare Supervisory Boarddecisions on remuneration, including pay policy and otherrelated decisions that may influence the company's riskmanagement.The Supervisory Board has appointed an Audit Committee– consisting of the Chairman of the ATP Supervisory Boardand two other Board Members. The Chairman of the SupervisoryBoard is the Chairman of the Audit Committee. TheAudit Committee has been appointed to assist the SupervisoryBoard in fulfilling its oversight responsibilities relatingto the financial reporting process with a view to ensuring reliability,integrity and transparency in financial reports. TheATP Audit Committee convenes four times a year. The AuditCommittee’s Terms of Reference are determined by the SupervisoryBoard.The Supervisory Board has appointed a three-member ExecutiveCommittee – consisting of the Chairman and two SupervisoryBoard Members, appointed by the employer andthe employee representatives of the Supervisory Board, respectively.It is the task of the Executive Committee to makeFor further information on the Group's corporategovernance and incentive schemes, please visit www.atp.dkThe ATP Group – Annual Report 2012137

Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsFor further information on the ATP Group'sAnnual Report– please visit www.atp.dkGENERAL MATTERS• Corporate governance at the ATP Group• Recommendations on corporate governance• Terms of reference of the Audit Committee• Procedures of the Executive CommitteeRemuneration• Pay Policy for the Supervisory and Executive Boards,significant risk takers, etc., at the Danish Labour MarketSupplementary Pension Fund (ATP).• The 10 largest single issuers in ATP's portfolio of creditbonds, year-end 2012• Financial instruments used by ATPRisk• The Danish FSA’s traffic-light system: red-light exposuresSupplementary accounting specifications• Breakdown of the ATP Group's listed domestic and foreignequities, year-end 2012• Breakdown of the ATP Group's private domestic equitiesin which the Group's ownership exceeds 5 per centOTHER INFORMATIONFinancial calendar• Interim and annual reporting 2013Hedging and investment activities• ATP's 10 largest listed equity investments, year-end2012• ATP's largest private-equity investments, year-end 2012• Breakdown of the ATP Group's portfolio of governmentbonds, broken down by issuer country, year-end 2012• Breakdown of the ATP Group's private foreign equities inwhich the Group’s ownership exceeds 5 per cent• The ATP Group's pension provisions calculated usingthe discount rates applied by ATP and the Danish FinancialSupervisory Authority, year-end 2012• The ATP Group's pension provisions, calculated usingthe discount rates applied by ATP and the Danish FinancialSupervisory Authority, at end-H1 2012Social Responsibility• Progress Report to the UN Global Compact 2012The ATP Group – Annual Report 2012138

Hovedtræk ATP Koncernens hovedtal Beretning for 1. halvår 2011 Forretningsområder RegnskabATPKongens Vænge 83400 HillerødTelefon 70 11 12 13Fax 48 20 48 00www.atp.dkwww.atp.dk/kontakt01-459-318-0113