INVESTMENT

MANAGEMENT AT

NORGES BANK

DEPUTY GOVERNOR

EGIL MATSEN

Copenhagen, 28 September 2017

Norges Bank’s balance sheet1)

Norges Bank’s balance sheet (excl. GPFG)

0

100

200

300

400

500

600

700

Assets Liabilities and equity

Claims on IMF and

other assets

Foreign exchange

reserves

Equity

1) Amounts in billions of NOK,. At 30 June 2017

Deposits from

the Treasury

Deposits from banks

Notes and coins

Liabilities to IMF

and other liabilities

2

Norges Bank’s balance sheet1)

Norges Bank’s balance sheet (excl. GPFG) Norges Bank’s balance sheet

0

100

200

300

400

500

600

700

Assets Liabilities and equity

Claims on IMF and

other assets

Foreign exchange

reserves

Equity

1) Amounts in billions of NOK. At 30 June 2017

0

1000

2000

3000

4000

5000

6000

7000

8000

9000

10000

Assets Liabilities and equity

Deposits in

krone account,

GPFG

(oil fund)

Investments,

GPFG

(oil fund)

Deposits from

the Treasury

Deposits from banks

Notes and coins

Liabilities to IMF

and other liabilities

3

Foreign exchange reserves and GPFG1)

GPFG (oil fund) Foreign exchange reserves

Note the scale difference

1) At 30 June 2017

Source: Norges Bank

0

10

20

30

40

50

60

70

80

90

100

USD billions % of GDP

0

100

200

300

400

500

600

700

800

900

1000

USD billions % of GDP

4

Investment organisations

EXECUTIVE BOARD

Governor (Chair) Deputy Governor (First Deputy Chair) Deputy Governor (Second Deputy Chair)

Audit Committee Remuneration

Committee Ownership

Committee

Risk and Investment

Committee

Internal Audit General Secretariat

Norges Bank

Central Banking Operations

5

Norges Bank

Investment Management

Number of

employees: 560

Number of

employees: 25

Objectives

GPFG (oil fund) Foreign exchange reserves

1. Ensure necessary funds to

– meet monetary policy goals

– promote financial stability

– fulfil Norges Bank’s international

commitments to the IMF

2. High long-term return, subject to

1. and other (risk) constraints

High long-term return subject to

– acceptable risk

– responsible investment

– cost-effective management

– transparency

6

Management mandate

Universe

Reference index

7

Investable universe

(permissible investments)

Risk preferences

and performance

benchmark

Return on the GPFG and reference index

0

50

100

150

200

250

300

350

1998 2001 2004 2007 2010 2013 2016

GPFG¹

Reference index²

Annualized excess

return: 0.27%%

Index

1) Equities, fixed income and real estate. 2) Benchmark index for equities and fixed income investments.

Sources: Bloomberg Barclays Indices, FTSE and Norges Bank 8

Return on the FX reserves and reference index

0

50

100

150

200

250

300

350

1998 2001 2004 2007 2010 2013 2016

Foreign exchangereserves

Reference index

Annualized excess

return: 0.20%

Index

Sources: Bloomberg Barclays Indices, FTSE and Norges Bank 9

Management mandate

Universe

Restrictions

Reference index

10

Investable universe

(permissible investments)

Ensure a portfolio in line

with preferences

Risk preferences

and performance

benchmark

Reference indexes – asset allocation1)

GPFG (oil fund) Foreign Exchange reserves

65.0% FIXED INCOME

35.0% EQUITY

- Bonds - 1-10-year government bonds

issued by France, Germany,

Japan, US, and UK

- 50% USD, 34% EUR, 8% GBP,

8% JPY

- Equities - FTSE All World Dev Markets,

limited to 9 economies

- Large and mid cap stocks

37.5% FIXED INCOME

62.5% EQUITY

- Bonds (based on Bloomberg

Global Aggregate Bond Index) - 70% government bonds, GDP-

weighted

- 30% corporate and securitised

bonds

- Equities - Based on FTSE Global All Cap

- Significant adjustments of regional

weights

1) At 30 June 2017 11

Reference indexes – regional allocation1)

GPFG (oil fund) Foreign exchange reserves

36% EUROPE

54% NORTH AMERICA

10% ASIA AND OCEANIA

- 18 countries and 9 currencies

- Only developed markets

42% EUROPE

37% NORTH AMERICA

18% ASIA AND OCEANIA

3% REST OF THE WORLD

- 46 countries and 34 currencies

- Approx. 9% emerging markets

1) At 30 June 2017 12

GPFG – actual allocation compared with the

reference index1)

Actual allocation Reference index

37.5% FIXED INCOME

62.5% EQUITY

42% EUROPE

37% NORTH AMERICA

18% ASIA AND OCEANIA

3% REST OF THE WORLD

- 46 countries and 34 currencies

32.4% FIXED INCOME

65.1% EQUITY

2.5% REAL ESTATE

36% EUROPE

42% NORTH AMERICA

18% ASIA AND OCEANIA

4% REST OF THE WORLD

- 77 countries and 50 currencies

1) At 30 June 2017 13

FX reserves – actual allocation compared with the

reference index1)

Actual allocation Reference index

65% FIXED INCOME

35% EQUITY

36% EUROPE

54% NORTH AMERICA

10% ASIA AND OCEANIA

64.4% FIXED INCOME

35.6% EQUITY

36% EUROPE

54% NORTH AMERICA

10% ASIA AND OCEANIA

1) At 30 June 2017 14

RENMINBI INVESTMENTS

15

Foreign exchange reserves and renminbi

Possible transactions between the IMF and Norges Bank may be

made in RMB in the future

Norges Bank has opened a RMB account at the BIS

Chinese markets available for FX reserve investments only recently.

Too early to evaluate experience

Norges Bank will monitor developments and provide information

about the Chinese market ahead

16

Investment universe GPFG: Equities

Reference index

Investment universe

Sources: FTSE Russell, MSCI

and Norges Bank 17

GPFG investments in China1)

Equities – China is the largest emerging economy in the fund’s equity

investments

– Around 3% of the equity portfolio

Fixed income – Smaller allocation, less than 1% of the bond portfolio.

1) At 30 June 2017 18

INVESTMENT

MANAGEMENT AT

NORGES BANK

DEPUTY GOVERNOR

EGIL MATSEN

Copenhagen, 28 September 2017