Performance results 2016 - GIPS

Verification assesses whether (1) the firm has complied with all the composite construction requirements of the GIPS standards on a firm-wide basis and (2) the firm’s policies and procedures are designed to calculate and present performance in compliance with the GIPS standards. Verification does not ensure the accuracy of any specific composite presentation.

General disclosures

Verification

Norges Bank Investment Management has been independently verified for the period 31 December 1997 through 31 December 2016. The third party verifier’s report is available on our website www.nbim.no.

The firm

Norges Bank Investment Management, as the firm, is the asset management unit of the Norwegian central bank (Norges Bank). Norges Bank Investment Management manages the Government Pension Fund Global (Pension Fund) and the equity investments of Norges Bank’s foreign exchange reserves (Reserves Fund, equity).

Firm assets

Total firm assets include all assets that Norges Bank Investment Management has management responsibility for. As of year-end 2016 this is the sum of the Government Pension Fund Global and the equity investments of Norges Bank’s foreign exchange reserves.

The fixed income investments of Norges Bank’s long-term portfolio of foreign exchange reserves were transferred to Norges Bank Markets and Banking Services division on 30 November 2016 and is no longer part of the firm’s managed assets. On close of 31 December 2010 the Government Petroleum Insurance Fund was terminated and the assets were transferred to the Pension Fund. On 1 June 2012, the management of the Petroleum Buffer portfolio was transferred to Norges Bank Markets and Banking Services division.

Minimum asset level

Norges Bank Investment Management does not operate with a minimum asset level for portfolios to be included in a composite. All portfolios are accounted for in at least one composite.

Calculation methodology

Norges Bank Investment Management implements a time-weighted monthly rate of return methodology in the return calculations. The assets’ fair value is determined on the day of an external cash flow and interim returns are geometrically linked. Norges Bank Investment Management has not adopted a significant cash flow policy. All composite returns are calculated net of non-reclaimable withholding taxes on dividend, interest and capital gains. Withholding taxes are recognized when incurred. Norges Bank Investment Management uses accrual accounting for interest income and dividends. Securities lending income is included in portfolio return.

Assets and liabilities are reported on a fair value basis and in Norwegian kroner (NOK). Fair value is the estimated realisable value of an asset or the estimated cost of settling a liability in an arm’s length transaction between well-informed and willing parties. The sources of valuation and pricing follow Norges Bank Investment Management’s valuation hierarchy, which is well aligned with the GIPS standards’ recommendations. Performance is reported in terms of an international currency basket corresponding to the currency composition of the funds’ benchmark portfolios. This measure reflects the actual performance of the funds and isolates the effects of Norwegian kroner fluctuations versus the currencies in which the benchmarks are invested. Currency movements in Norwegian kroner do not affect the international purchasing power of the funds.

Carve-outs

The asset class composites constitute carve-outs from the total portfolio. Each composite holds its own cash balance. For each annual period presented in the equity and fixed-income composites (applies to Pension Fund and Reserves Fund) and the real estate composite (applies to Pension Fund), the share of composite assets represented by carve-outs equals 100 percent. The unlisted real estate composite can be seen as a carve-out of the Pension Fund’s real estate portfolio.

Additional information

A list of composite descriptions and additional information regarding policies for valuing portfolios, calculating performance, and preparing compliant presentations is available upon request.

A large extent of information is available on our website www.nbim.no.