Performance results 2015 - 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 2015. The third party verifier’s report is available at our website www.nbim.no.

The firm

Norges Bank Investment Management as the firm is the investment management division of Norges Bank – the central bank of Norway. Norges Bank Investment Management manages the Government Pension Fund Global (Pension Fund) and the investment portfolio of Norges Bank’s foreign exchange reserves (Reserves Fund).

Firm assets

Total firms assets are defined as the sum of the Government Pension Fund Global and the investment portfolio of Norges Bank’s foreign exchange reserves. The money market portfolio of Norges Bank’s foreign exchange reserves is managed by Norges Bank Markets and Banking Services division and is not part of firm assets. On close of 31 December 2010 the Government Petroleum Insurance Fund was terminated and the assets were transferred to the Pension Fund. On June 1 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.

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 the Norges Bank Investment Management pricing hierarchy which is well aligned with the GIPS standards’ recommendation. Performance is reported in terms of an international currency basket corresponding to the currency composition of the fund’s benchmark portfolio. This measure reflects the actual performance of the fund and isolates the effects of Norwegian kroner fluctuations versus the currencies in which the benchmark is invested. Currency movements in Norwegian kroner do not affect the international purchasing power of the fund.

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 at our website www.nbim.no.