Contents

INTRODUCTION AND SUMMARY

MAIN PRINCIPLES

1. MAIN PRINCIPLES OF GOVERNMENT DEBT MANAGEMENT
1.1 Government Debt
1.2 Division of Responsibilities
1.3 Organisation
1.4 Domestic and Foreign Funding Rules
1.5 Objectives and Strategy
1.6 Risk Management
1.7 Danish Government Securities Markets
1.8 Information on the Central-Government Debt

REPORT SECTION

2. GOVERNMENT DEBT AND INTEREST COSTS
2.1 Government Debt and Interest Costs
2.2 The Gross General-Government Debt (EMU Debt)

3. BORROWING IN 2005
3.1 Development in Interest Rates
3.2 Borrowing Requirement
3.3 Borrowing
3.4 Buy-Backs
3.5 Interest-Rate Swaps

4. ISSUANCE STRATEGY
4.1 Issuance Strategy
4.2 Strategy and Borrowing Requirement in 2006

5. ISSUANCE OF AND TRADING IN DANISH GOVERNMENT SECURITIES
5.1 Primary Dealer Systems for Danish Government Securities
5.2 Government Bonds
5.3 Treasury Bills
5.4 Turnover in Danish Government Securities

6. THE SOCIAL PENSION FUND, THE HIGH-TECHNOLOGY FOUNDATION AND THE FINANCING FUND
6.1 The Social Pension Fund
6.2 The High-Technology Foundation and the Financing Fund

7. GOVERNMENT LOAN GUARANTEES AND RE-LENDING
7.1 Framework for Government Loan Guarantees and Re-Lending
7.2 Loan Guarantees
7.3 Re-Lending

8. RISK MANAGEMENT OF CENTRAL-GOVERNMENT DEBT
8.1 Interest-Rate Risk
8.2 Exchange-Rate Risk
8.3 Credit Risk
8.4 Operational Risk

SPECIAL-TOPIC SECTION

9. ISSUANCE OF LONG-TERM GOVERNMENT BONDS
9.1 New Trends in Government Borrowing
9.2 Considerations behind Long-Term Issues
9.3 The Danish Perspective

10. INTEREST-RATE MODELS FOR COST-AT-RISK ANALYSIS
10.1 Risk Management and Interest-Rate Models
10.2 Criteria for Choice of Interest-Rate Models
10.3 Historical Interest-Rate Dynamics in the Models
10.4 Estimation Periods and Simulations
10.5 CaR Analysis

11. GOVERNMENT CASH MANAGEMENT
11.1 Cash Management in Denmark
11.2 Cash Management in an International Perspective

APPENDICES

INFORMATION ON GOVERNMENT BORROWING AND DEBT

PRINCIPLES FOR MANAGEMENT OF CREDIT RISK ON GOVERNMENT SWAPS

TERMS FOR THE CENTRAL GOVERNMENT'S AND THE SOCIAL PENSION FUND'S SECURITIES LENDING FACILITIES

APPENDIX OF TABLES

1. Central-Government Debt, Year-End 1995-2005
2. Service on Central-Government Debt, End-2005
3. The Central Government's Current, Investment and Lending Balance, Net Cash Balance and Gross Deficit, 1995-2004
4. Government Securities issued in 2005
5. Central-Government Interest-Rate Swaps, Transactions in 2005
6. Central-Government Currency Swaps, Transactions in 2005
7. Central-Government Forward Contracts in Foreign-Exchange with Danmarks Nationalbank, 2005
8. Central-Government Debt as of 31 December 2005
9. Central-Government Interest-Rate Swaps as of 31 December 2005
10. Kingdom of Denmark's Rating of Domestic Debt
11. Rating of Selected Countries' Central-Government Debt

GLOSSARY