The mandate of the external managers responsible for MBS investments was terminated in 2026 Q3. Instead, MBS investments may now be made as part of the internal management of bond portfolios through ETFs and derivatives. The change aims to increase flexibility in managing the structure of the international reserves. Similarly, investments in corporate bonds may now also be made through ETFs and derivatives. In this case, the primary motivation is to increase the expected long-term returns on the CNB’s international reserves.
Table 1 – International reserves - actively managed portfolios
| Market Value | Average return in reserve currencies. p.a. | ||||
|---|---|---|---|---|---|
| EUR mil | Share | 5 years | 3 years | 1 year | |
| Liquidity tranche | 28 345 | 19.3% | 2.55% | 3.15% | 2.24% |
| Investment tranche | 118 758 | 80.7% | 4.64% | 9.88% | 5.62% |
| Total | 147 104 | 4.36% | 8.42% | 4.93% | |
Note: Sum of shares does not have to be equal 100% because of rounding.
The shares refer to the aggregate exposure, which may consist of investments in ETFs and derivatives, in addition to direct purchases.
Table 2 – Division of the international reserves by investment instrument
| Type of investment | Share |
|---|---|
| Bonds | 45.6% |
| – government | 39.6% |
| – government agencies | 2.7% |
| – supranational issuers | 0.8% |
| – covered bonds | 2.2% |
| – MBS | 0.3% |
| – corporate bonds | 0.0% |
| Money market instruments | 17.3% |
| Equities | 29.8% |
| Gold | 7.0% |
| Other | 0.4% |
Note: Sum of shares does not have to be equal 100% because of rounding.
The shares refer to the aggregate exposure, which may consist of investments in ETFs and derivatives, in addition to direct purchases.
Table 3 – Currency allocation of the international reserves
| Currency | Share |
|---|---|
| EUR | 47.5% |
| USD | 28.2% |
| CAD | 6.9% |
| gold | 7.0% |
| AUD | 3.5% |
| GBP | 3.3% |
| JPY | 2.4% |
| SEK | 0.9% |
| SDR | 0.4% |
| other currencies | 0.0% |
Note: Sum of shares does not have to be equal 100% because of rounding.
The shares refer to the aggregate exposure, which may consist of investments in ETFs and derivatives, in addition to direct purchases.
Explanatory notes:
- The average return in reserve currencies p.a. is calculated as the weighted average of the returns on portfolios in the currencies of the respective portfolios; the weights are the ratios of the portfolios’ market value to the total;
- Five years. three years and one year are moving periods. i.e.. for example. a one-year period contains data for the last four quarters.
- Bonds are broken down into four major categories:
- bonds issued by governments.
- bonds of government agencies. i.e. issuers with a close relationship with the central government. whose liabilities are usually explicitly guaranteed by the government.
- supranational issuers include. for example. the BIS. IBRD. EBRD. EIB. etc..
- MBS bonds and covered bonds are mortgage-backed bonds (bonds guaranteed by selected US agencies – MBS or covered bonds typically issued in Europe).
- Other is the sum of the market values of derivative positions, for example positions in futures contracts, interest rate and FX swaps, etc.