EUROPEAN COMMISSION Brussels, 17.7.2020 SWD(2020) 136 final COMMISSION STAFF WORKING DOCUMENT Accompanying the document TO THE EUROPEAN PARLIAMENT, THE COUNCIL AND THE COURT OF AUDITORS

ON THE GUARANTEE FUND FOR EXTERNAL ACTIONS AND ITS MANAGEMENT IN 2019







{COM(2020) 327 final}



TABLE OF CONTENTS 1.Introduction 2.Fund Management report 2.1. Development of the Fund in 2019 2.2. Situation of the Fund 2.2.1. Contributions as at 31 December 2019 2.3. General and segmental analyses of the Fund 2.3.1. Liquidity analysis 2.3.2. General analysis of the results of the Fund 2.3.3. Analysis by segment 2.4. Benchmarking, performance and interest rate risk analysis 2.4.1. Benchmarking 2.4.2. Performance 2.4.3. Interest rate risk 3.Guarantee Fund Financial Statements as at 31 December 2019 3.1. General disclosures 3.2. Significant accounting policies 3.2.1. Basis of preparation

3.2.2. Changes in accounting policies 3.2.3. Significant accounting judgments and estimates 3.2.4. Summary of significant accounting policies 3.2.5. Taxation 3.3. Financial Risk Management 3.3.1. Risk management organisation 3.3.2. Credit Risk 3.3.3. Liquidity Risk 3.3.4. Market Risk 3.3.5. Foreign exchange risk exposure 3.4. Fair value of financial instruments 3.4.1. Accounting classifications and fair value 3.4.2. Measurement of fair values 3.4.3. Transfers between level 1 and level 2 3.4.4. Level 3 fair value 3.5. Bond portfolio 3.6. EIB Unitary Fund investments 3.7. Cash and cash equivalents 3.8. Recovery fees 3.9. Contributions

3.10. Risk-related remuneration (in EUR) 3.11. Other payables (in EUR) 3.12. Subsequent events 1.Introduction According to the Article 7 of the Guarantee Fund Regulation, the assets of the Guarantee Fund (the "Fund") are managed by the EIB (the "Bank"). The Management agreement signed between the European Commission (the "Commission") and the Bank defines the principles governing the management of assets. Under Article 8(2) of the Agreement, at the beginning of March of each year the Bank has to send the Commission an annual status report on the Fund and the management thereof and the financial statements of the Fund for the preceding year. The management report on the Fund is presented in the section 2 of this Commission Staff Working Document (SWD). The financial statements audited by an external auditor are included in section 3. 2.Fund Management report 2.1.Development of the Fund in 2019 As at 31 December 2019, total assets (excluding accrued interest) of the Guarantee Fund (the “Fund”) amounted to EUR 2,819.8 million against EUR 2,596.7 million as at 31 December 2018, an increase of EUR 223.1 million. Fig.1: Development of total assets in 2019 and 2018 The net operating result amounted to EUR 25.13 million at 31 December 2019 compared with EUR 12.04 million at 31 December 2018 representing an increase of 108.7 %. 2.2.Situation of the Fund 2.2.1.Contributions as at 31 December 2019 2.2.1.1.Contributions paid in as at 31 December 2019 The net contributions paid into the Fund by the European Union budget increased by

EUR 48.3 million or 3.23% from EUR 1,495.2 million at 31 December 2018 to EUR 1,543.5 million at 31 December 2019.

This is explained by the movements shown in the following table: Contributions paid in (in EUR) Situation at 31/12/2018 Movements in 2019 Situation at 31/12/2019 Provisioning 4,383,789,739 103,222,935 4,487,012,674 Repayment of surplus -1,775,870,000 0 -1,775,870,000 Activation of guarantee calls -935,882,951 -54,907,598 -990,790,549 Recovery of historic called amounts 578,990,447 0 578,990,447 Repayment of Funds -755,856,713 0 -755,856,713 Balance 1,495,170,522 48,315,337 1,543,485,859 2.2.1.2.Contributions payable and receivable as at 31 December 2019 As at 31 December 2019, the Fund has recorded EUR 240.2 million (2018: EUR 103.2 million) as contributions to be paid in by the European Union. The Fund’s holdings net of accrued interest at 31 December 2019 The Fund’s holdings at 31 December 2019 excluding accrued interest, contributions receivable and risk-related remuneration receivable totalled EUR 2,579.0 million as detailed below: –EUR 42.8 million in the current accounts; –EUR 1.0 million in the Unitary Fund –EUR 2,535.2 million in the Available For Sale (AFS) (portfolio market value of fixed rate bonds, floating rate bonds, zero-coupon bonds and commercial papers, excluding accrued interest). The Fund operates in one currency only, the Euro. 2.3.General and segmental analyses of the Fund 2.3.1.Liquidity analysis The liquidity position of the Fund at 31 December 2019 is outlined in the table below. The liabilities shown in the column "maturity undefined" represent the Contributor's (i.e. European Union's) resources. Liquidity position as at 31 December 2019 (in EUR million):

Maturity less than 3 months 3 months to 1 year 1 to 10 years maturity undefined Total Total assets 295.0 214.0 2,320.0 0.0 2,829.0 Total net assets 0.0 0.0 0.0 -2,828.2 -2,828.2 Total liabilities -0.8 0.0 0.0 0.0 -0.8 Total net assets and liabilities -0.8 0.0 0.0 -2,828.2 -2,829.0 Net liquidity position 294.2 214.0 2,320.0 -2,828.2 0.0 2.3.2.General analysis of the results of the Fund

Overall, during the reporting period 1 January 2019 to 31 December 2019 the Fund achieved

EUR 25.13 million in net revenue. The following table outlines the net revenue earned in 2019 and compares it with 2018: In EUR million From 1 January to 31 December 2019 From 1 January to 31 December 2018 Risk-related remuneration 2.15 8.55% 0.00 0.0% Interest income on AFS assets 7.70 30.64% 6.29 52.2% Realised gain on sale of AFS assets 16.78 66.77% 9.96 82.7% Income from securities lending activity 0.12 0.48% 0.08 0.7% Interest expense on cash and cash equivalents -0.08 -0.32% -0.86 -7.1% Realised loss on sale of AFS assets -0.29 -1.15% -0.45 -3.7% Commission and other charges -1.25 -4.97% -2.98 -24.8% Total 25.13 100.0% 12.04 100.0% 2.3.3.Analysis by segment 2.3.3.1.Analysis of money market operations Money-market investments (excluding accrued interest) amount to EUR nil at 31 December 2019, as compared to EUR 14.0 million the year before. ·Market development in 2019 In the context of a weakening economy, subdued inflation and geopolitical downside risks, monetary policy turned accommodative. With three cuts of the Federal Funds rate throughout H2 2019, the Fed reversed the monetary tightening cycle initiated in 2015. In addition, the ECB delivered a stimulus package in September consisting of a 10 basis point deposit cut, an extended TLTRO , a tiering system for the banks and an open-ended quantitative easing programme. The manufacturing sector in the US and Europe contracted because of global trade weakness. Services sector growth also slowed down, albeit remaining in expansionary territory. Eurozone inflation was below central banks’ target whilst US inflation moved closer to target but the increase has not been considered satisfactory by the FED. European and US rates moved to lower levels until September on the back of accommodative central banks policy, low expectations on growth and uncertainty regarding geopolitical risks. Rates moved somewhat higher in Q4 in the context of easing geopolitical tensions and stabilization of economic data. Credit spreads, supported by accommodative central banks, trended downwards, with a few episodic and news-driven reversals.. ·Profile of counterparties In accordance with the agreement between the European Union and the EIB on the management of the Fund, all banks with which deposits are placed should have a minimum short-term credit rating of P-1 (Moody's or equivalent). As at 31 December 2019 no short term interbank investments were held. 2.3.3.2.Analysis of bond portfolio results The bond portfolio, seen as a long-term investment portfolio, is made up of euro-denominated securities initially acquired with the intention of holding them until maturity. In the Fund’s Financial Statements these securities are classified as Available for Sale (AFS) in line with the EC accounting rule 11. At 31 December 2019, the market value (excluding accrued interest) of securities with a residual period to maturity of less than three months amounted to EUR 9.7 million, between 3 months and one year EUR 213.3 million and between one and 10 years EUR 2,312.2 million. The starting value of the securities in this portfolio is the acquisition cost. The difference between the entry price and the redemption value is the premium/discount spread, which is amortised over the remaining life of each of the securities using the effective interest rate method as specified in the EC accounting rules. At 31 December 2019, the nominal value of the investment bond portfolio was EUR 2,492.1 million, against a clean market value of EUR 2,535.2 million. The global (modified) duration of the bond portfolio increased over 2019 to reach 2.99 at the end of the year. As of 31 December 2019, the clean market value of the investment bond portfolio came to EUR 2,535.2 million (2018: EUR 2,451.9 million) compared with a book value (including premiums/discounts) of EUR 2,514.3 million (2018: EUR 2,439.7 million), which gives an unrealised fair value result of EUR +20.9 million (2018: EUR +12.2 million).

In the 12-month period until December 2019, the German sovereign yield curve bull flattened. The front-end of the curve until the 3-year point remained unchanged. Longer tenors between 4-10 year maturities decreased by 5-40 basispoints. Fig. 2: Bull-flattening of the German sovereign yield curve during 2019 (source: Bloomberg) The absolute performance of the portfolio has reached a healthy 1.3% in 2019 supported by the continuation of lower yield environment and positive risk sentiment. This translates to a positive contribution of more than EUR 33 million. In terms of asset classes, financials followed by corporates were the best performing sectors, but covered bonds and sovereign and supranational agencies (SSA) provided a performance higher than 1%. Bonds in lower rated asset classes (A-BBB) has outperformed, as well as securities with higher duration, as curves bull-flattened. A new Iboxx benchmark has been implemented in January 2019, with a fixed duration of 3 years and fixed weights to asset classes, rating buckets and long-short maturity segments. The benchmark similarly to the new asset management guidelines encompasses full investment grade universe down to BBB- rating bucket. In line with the updated investment strategy and in compliance with the guidelines, a total nominal amount of EUR 1,543.3 million was invested in four asset classes: SSA (EUR 622.1 million or 40.3%), covered bonds (EUR 172.0 million or 11.1%), corporate bonds (EUR 269.4 million or 17.5%) and financials (EUR 479.8 million or 31.1%) either on an outright or on a switch basis. The purchases were made both on the primary and on the secondary markets. All of the transactions aimed to maximize the risk return profile of the portfolio while satisfying the liquidity constraints. The charts below outline the total 2019 investments per asset class as well as in terms of country distribution. Fig. 3: 2019 Investments per asset class

Fig. 4: 2019 Investments per country of exposure The below chart displays the maturity and instrument format split of the 2019 investments. It can be inferred from the chart that the 5Y tenor, as most attractive spot on the yield curve in terms of supply dynamics of new issuances. Fig. 5: 2019 Investments per maturity tenor and instrument type (EUR) ·Breakdown of the investment portfolio between fixed rate and variable rate securities (nominal value) Fig. 6: Investment portfolio breakdown between fixed and variable rate securities at 31 December 2019 ·Redemption profile of investment portfolio (nominal value)

Fig.7: Investment portfolio: Redemption profile at 31 December 2019 (EUR) The latest final maturity date for fixed rate securities is 26 November 2029. ·Profile of issuers The current Asset Management Guidelines for GF came into force at the beginning of October 2018. The guidelines define the maximum limit amounts per type of issuer and credit rating buckets, where the eligible credit rating is defined as the second best rating of the three rating agencies: S&P, Moody’s and Fitch. The securities held in the portfolio are in line with the asset management guidelines and meet the following criteria for: –Securities issued or guaranteed by European Union or Euratom: minimum rating Baa3; –Securities issued or guaranteed by Member States;: minimum rating Baa3; –Securities issued (or guaranteed) by a Supranational in which Member States have a participation, or by sovereigns that are not Member States of the EU: minimum rating Aa2; Securities issued by other legal entities: minimum rating Baa3. The profile of issuers by issuer type and long term rating of the investment portfolio (nominal amount) at 31 December 2019 is as follows: Fig.8: Investment portfolio: Profile of issuers at 31 December 2019

2.4.Benchmarking, performance and interest rate risk analysis 2.4.1.Benchmarking The performance of the Fund is monitored on a marked-to-market (MTM) basis against a composite index. The benchmark methodology8 applied for the mandates managed on behalf of the European Commission was revised during 2018 and as agreed with ECFIN, the new benchmark methodology started to be applied as of 1 January 2019. The new composite index is the result of the combination of the following sub-indices: • Eonia Index9 for cash and Unitary Fund holdings; • Euribid 1M for term deposits; • Euribid 3M for T-bills and fixed rate bonds with less than one year to maturity; • IBOXX EUR Sovereign indices for floating rate notes and fixed rate bonds issued by sovereign (or similar) issuers, split by credit rating and maturity buckets; • IBOXX EUR Collateralized Covered indices for covered bonds with a floating or fixed coupon rate , split by credit rating and maturity buckets • IBOXX EUR Financial indices for floating rate notes and fixed rate bonds issued by financial institutions, excluding subordinated bonds, split by credit rating and maturity buckets • IBOXX EUR Corporate indices for floating rate notes and fixed rate bonds issued by corporates, excluding subordinated bonds, split by credit rating and maturity buckets While under the old methodology, the index weightings were based on portfolio composition, under the new methodology the index weightings are independent of the portfolio composition. The new index weighting has been determined by the market risk and credit risk preference of the mandator as the result of setting up the target duration of the benchmark (3 years) and a specific allocation to asset classes and credit rating buckets, consistent with the eligibility criteria defined in the AMGs. The weights of each sub-index have been fixed as of 31 December 2018 and are going to remain fixed throughout the investment period. A rebalancing could occur if the effective benchmark duration deviates by more than 0.25 from the target benchmark duration. During 2019 no rebalancing of the benchmark occurred. Bucket (years) Performance Benchmark Sector Instrument GF Benchmark Weights as of 2019 0-1 O/N Cash, Unitary Fund 2.5% 1 m Money Market 5.0% 3 m T-bills and Fixed Rate Bonds 7.5% 1-5 Sovereign FRN and Fixed

Rate

Bonds

36.2% AAA 14.1% AA 14.2% A 4.2% BBB 3.7% Covered bonds 14.6% AAA 14.1% AA 0.5% Financials 9.5% AA 3.2% A 3.7% BBB 2.6% Corporates 10.0% AA 3.2% A 2.6% BBB 4.2% 5-10 Sovereign 7.6% AAA 2.9% AA 3.0% A 0.9% BBB 0.8% Covered bonds 3.0% AAA 2.9% AA 0.1% Financials 2.0% AA 0.7% A 0.8% BBB 0.5% Corporates 2.1% AA 0.7% A 0.6% BBB 0.8% Total 100.00% 2.4.2.Performance The performance of the Fund portfolio was monitored on a marked-to-market basis. During 2019, the portfolio delivered a 1.3043% MTM yearly return, underperforming its benchmark by -9.03 bps. The evolution of the portfolio return and excess return vis-à-vis its benchmark is presented in the following table:

Portfolio Out-performance Market Value (including accrued interest) Monthly return (absolute return in %) YTD return (absolute return in %) Monthly

Excess Return compared to benchmark (in%) YTD

Excess Return (in%) 31/01/2019 2,509,641,612 0.1643 0.1643 -0.0913 -0.0913 28/02/2019 2,611,608,440 0.0794 0.2438 0.0128 -0.0785 31/03/2019 2,615,165,774 0.4235 0.6683 -0.1330 -0.2123 30/04/2019 2,617,521,805 0.0903 0.7592 0.0235 -0.1888 31/05/2019 2,618,158,704 0.1931 0.9539 -0.0115 -0.2008 30/06/2019 2,621,297,126 0.4224 1.3803 -0.0846 -0.2872 31/07/2019 2,626,210,323 0.4009 1.7867 -0.0100 -0.2985 31/08/2019 2,634,051,716 0.4219 2.2161 -0.0057 -0.3055 30/09/2019 2,624,840,732 -0.3496 1.8588 0.0439 -0.2594 31/10/2019 2,612,095,431 -0.2613 1.5927 0.0698 -0.1875 30/11/2019 2,607,119,564 -0.1271 1.4636 0.0550 -0.1313 31/12/2019 2,587,824,732 -0.1570 1.3043 0.0402 -0.0903 2.4.3.Interest rate risk The interest rate risk sensitivity of the MTM value of the portfolio mainly stems from its fixed rate exposure. A 1bp increase of interest rates reduces the value of the portfolio by EUR 774,742 of which EUR 756,520 is related to the fixed rate bond exposure. The global modified duration of the fund increased during 2019, to decrease the gap versus the benchmark’s modified duration, and stood at 2.99 years as of 31 December 2019, compared to 2.58 years as of 31 December 2018. GF Sub- Portfolios Market Value (excluding accrued interest) 10 Modified Duration (Years) Interest Rate Exposure (+/-1bp) Floating Rate Notes 226,110,073 0.80 +/- 18,221 Fixed Rate Bonds 2,308,710,055 3.26 +/- 756,520 Money Market Instruments 997,284 0.01 +/- 1 Cash account 42,799,336 Total GF 2,578,616,748 2.99 +/- 774,742 3.Guarantee Fund Financial Statements as at 31 December 2019 GUARANTEE FUND FINANCIAL STATEMENTS AS AT 31 DECEMBER 2019

-Balance sheet -Statement of financial performance -Statement of changes in net assets -Cash flow statement -Notes to the financial statements -Independent auditor’s report

Balance sheet as at 31 December 2019 (in EUR) ASSETS Notes 31.12.2019 31.12.2018 NON-CURRENT ASSETS Available for Sale portfolio 5 Bond portfolio – cost 2,308,413,861.20 2,293,850,557.65 Bond portfolio – actuarial difference -16,685,886.06 -30,233,231.86 Bond portfolio – adjustment to fair value 20,423,758.78 11,725,338.09 Total Available for Sale Portfolio 2,312,151,733.92 2,275,342,663.88 TOTAL NON-CURRENT ASSETS 2,312,151,733.92 2,275,342,663.88 CURRENT ASSETS Available for Sale portfolio 5 Bond portfolio – cost 228,029,572.57 180,593,535.40 Bond portfolio – actuarial difference -5,373,495.13 -4,523,470.02 Bond portfolio – adjustment to fair value 437,936.70 501,853.62 Bond portfolio – accrued interest 8,957,567.06 13,186,177.35 EIB Unitary Fund investments - cost 6 999,956.97 0.00 EIB Unitary Fund investments - adjustment to fair value 6 -2,672.94 0.00 Total Available for Sale portfolio 233,048,865.23 189,758,096.35 Short-term receivables Contributions receivable 9 240,152,822.10 103,222,935.00 Guarantee recoveries receivable 9 0.00 0.00 Risk-related remuneration receivable 10 585,535.74 0.00 Total short-term receivables 240,738,357.84 103,222,935.00 Cash and cash equivalents 7 Current accounts 42,799,335.89 27,567,035.62 Short-term deposits – nominal 0.00 14,000,000.00 Short-term deposits - accrued interest 0.00 -8,983.34 Total cash and cash equivalents 42,799,335.89 41,558,052.28 TOTAL CURRENT ASSETS 516,586,558.96 334,539,083.63 TOTAL ASSETS 2,828,738,292.88 2,609,881,747.51 NET ASSETS AND LIABILITIES Notes 31.12.2019 31.12.2018 NET ASSETS Contributions 9 Net contributions paid in 1,543,485,859.40 1,495,170,522.10 Contributions allocated but not yet paid in 240,152,822.10 103,222,935.00 Reserves Fair value reserve 20,859,022.54 12,227,191.71 Accumulated surplus 998,247,759.44 986,210,996.77 Economic result of the year 25,134,402.85 12,036,762.67 TOTAL NET ASSETS 2,827,879,866.33 2,608,868,408.25 LIABILITIES CURRENT LIABILITIES Other payables 11 858,426.55 1,013,339.26 TOTAL CURRENT LIABILITIES 858,426.55 1,013,339.26 TOTAL NET ASSETS AND LIABILITIES 2,828,738,292.88 2,609,881,747.51 Statement of financial performance From 01.01.2019 to 31.12.2019 From 01.01.2018 to 31.12.2018 Revenue from operating activities 2,155,490.46 0.00 Risk-related remuneration 10 2,155,490.46 0.00 Expenses from operating activities -1,253,379.36 -2,978,737.26 Management fees -817,746.55 -894,626.42 Audit fees -41,325.00 -39,500.00 Bank fees -184,654.20 -143,460.81 Recovery fees 8 -209,653.61 -1,901,150.03 Result from operating activities 902,111.10 -2,978,737.26 Financial revenue Interest income 7,695,743.93 6,292,695.57 Cash and cash equivalents 2,318.79 1,182.91 Bond portfolio 7,693,425.14 6,291,512.66 Realised gain on sale of Bond portfolio 16,785,355.42 9,961,013.96 Income from securities lending activity 116,258.17 76,535.48 Financial expenses Interest expense -79,900.55 -865,166.98 Cash and cash equivalents -79,900.55 -865,166.98 Realised loss on sale of Bond portfolio -285,165.22 -449,578.10 Result from non-operating activities 24,232,291.75 15,015,499.93 ECONOMIC RESULT OF THE YEAR 25,134,402.85 12,036,762.67 Items directly recognised in net assets Net change in fair value of Bond portfolio 13,559,804.53 -657,312.28 Net amount transferred to statement of financial performance -4,927,973.70 -9,815,550.70 NET RESULT RECOGNISED IN NET ASSETS 8,631,830.83 -10,472,862.98 Statement of changes in net assets Contributions Fair value reserve Accumulated surplus Economic result of the year Total net assets Balance as at 01.01.2018 1,550,896,013.99 22,700,054.69 970,244,126.84 15,966,869.93 2,559,807,065.45 Contributions from the European Commission allocated but not yet paid 9 103,222,935.00 0.00 0.00 0.00 103,222,935.00 Contributions paid to the EIB as guarantee call 9 -55,725,491.89 0.00 0.00 0.00 -55,725,491.89 Change of fair value reserve 5 0.00 -10,472,862.98 0.00 0.00 -10,472,862.98 Allocation of the Economic result of the year 2017 0.00 0.00 15,966,869.93 -15,966,869.93 0.00 Economic result of the year 2018 0.00 0.00 0.00 12,036,762.67 12,036,762.67 Balance as at 31.12.2018 1,598,393,457.10 12,227,191.71 986,210,996.77 12,036,762.67 2,608,868,408.25 Contributions from the European Commission allocated but not yet paid 9 240,152,822.10 0.00 0.00 0.00 240,152,822.10 Risk-related remuneration 9 0.00 0.00 0.00 0.00 0.00 Contributions paid to the EIB as guarantee call 9 -54,907,597.70 0.00 0.00 0.00 -54,907,597.70 Change of fair value reserve 9 0.00 8,631,830.83 0.00 0.00 8,631,830.83 Allocation of the Economic result of the year 2018 0.00 0.00 12,036,762.67 -12,036,762.67 0.00 Economic result of the year 2019 0.00 0.00 0.00 25,134,402.85 25,134,402.85 Balance as at 31.12.2019 1,783,638,681.50 20,859,022.54 998,247,759.44 25,134,402.85 2,827,879,866.33 Cash flow statement

From 01.01.2019 to 31.12.2019 From 01.01.2018 to 31.12.2018 Operating activities Treasury management fee paid during the year -894,626.42 -915,279.18 Recovery fees paid during the year -288,866.45 -1,821,937.19 Bank fees / audit fees paid during the year -221,400.78 -182,960.81 Contributions paid as guarantee call -54,907,597.70 -55,725,491.89 Guarantee recoveries received from EIB 0.00 136,092.88 Risk related remuneration 1,569,955.17 0.00 Net cash flows used in operating activities -54,742,536.18 -58,509,576.19 Investing activities Net interest paid on cash and cash equivalents -89,963.52 -941,379.00 Subscription of EIB Unitary Fund investments -999,956.97 0.00 Purchase of investments - Bond portfolio -1,537,595,053.32 -1,067,048,346.00 Proceeds of investments - Bond portfolio 1,466,271,844.63 781,731,604.17 Interest received - Bond portfolio 25,048,772.46 24,288,343.98 Income from securities lending activity 116,258.17 76,535.48 Net cash flows used in investing activities -47,248,098.55 -261,893,241.37 Financing activities Contributions received from the European Commission 103,222,935.00 137,800,722.00 Net cash flows from financing activities 103,222,935.00 137,800,722.00 Net decrease in cash and cash equivalents 1,232,300.27 -182,602,095.56 Cash and cash equivalents at the beginning of the financial year 41,567,035.62 224,169,131.18 Cash and cash equivalents at the end of the financial year 42,799,335.89 41,567,035.62 Cash and cash equivalents are composed of (excluding accrued interest): Current accounts 42,799,335.89 27,567,035.62 Short-term deposits 0.00 14,000,000.00 Total cash and cash equivalents 42,799,335.89 41,567,035.62 Notes to the financial statements as at 31 December 2019 3.1.General disclosures The rules and principles for the management of the Guarantee Fund (the “Fund”) are laid out in the Agreement between the European Commission (the “EC”) and the European Investment Bank (the “EIB”) dated 25 November 1994 and the subsequent amendments to the Agreement dated 23 September 1996, 8 May 2002, 5 June 2002, 25 February 2008, 9 November 2010 and 28 September 2018 (the “Convention”). The main principles of the Fund, as extracted directly from the Convention, are as follows: • The Fund will operate in one single currency being Euro (EUR). It will exclusively invest in this currency in order to avoid any exchange rate risk. • The management of the Fund will be based upon the traditional rules of prudence relating to financial activities. Attention is given to control the risks and to ensure that the managed assets have a sufficient degree of liquidity and transferability while considering the Fund’s commitments. • In accordance with the Amendment Guarantee Agreement dated 3 October 2018, an Economic Resilience Initiative Private Mandate (ERI Private Mandate) and an Economic Resilience Initiative Public Mandate (ERI Public Mandate) were set up to grant guarantees to the bank against losses under financing operations supporting investments in private and public projects directed to the long-term economic resilience of refugees, migrants, host and transit communities and communities of origin as a strategic response to addressing root causes of migration. The risk to the Union budget associated with granted guarantees to the EIB Financing Operations under the ERI Private Mandate should be priced and the revenues generated from the commercial risk pricing should be paid into the Guarantee Fund. The present financial statements cover the period from 1 January 2019 to 31 December 2019. EIB’s management has authorized the financial statements for issue on 27 March 2020. 3.2.Significant accounting policies 3.2.1.Basis of preparation The Fund’s financial statements have been prepared in accordance with the accounting rules adopted by the Accounting Officer of the European Commission, in particular “Accounting rule 11 – Financial assets and liabilities” dated December 2004 and updated in October 2006, December 2009 and December 2011 2. The financial statements have been prepared on a going concern basis, which assumes that the Fund will be able to meet the mandatory payments of the guarantees. According to articles 3, 5 and 6 of Council Regulation (EC, Euratom) No 480/2009 of 25 May 2009 as amended by the Regulation (EU) 2018/409 of the European Parliament and of the Council of 14 March 2018 if, as a result of the activation of guarantees following one or more defaults, resources in the Fund fall below the set target amount of 9% of total outstanding capital liabilities arising from each operation, plus any unpaid interest, then the European Commission transfers to the Fund the difference between the target amount and the value of the Fund’s net assets at the previous year-end balance sheet date. The amounts in the financial statements are not rounded except in the section financial risk management where the amounts are rounded to the nearest thousand EUR.

3.2.2.Changes in accounting policies The Fund has consistently applied to all periods the accounting policies set out in Note 2.4 presented in these financial statements. 3.2.3.Significant accounting judgments and estimates The preparation of financial statements in conformity with the accounting rules adopted by the Accounting Officer of the European Commission requires the use of certain critical accounting estimates. It also requires the EIB Management to exercise its judgment in the process of applying the Fund’s accounting policies. The areas involving a higher degree of judgment or complexity, or areas where assumptions and estimates are significant to the financial statements are disclosed hereafter. The most significant use of judgments and estimates are as follows: Measurement of fair value of financial instruments The fair value of financial assets and financial liabilities that are traded in active markets is based on quoted market prices or broker price quotations. Where the fair values of financial assets and financial liabilities recorded on the balance sheet cannot be derived from active markets, they are determined using a variety of valuation techniques that include the use of mathematical models. The input to these models is taken from observable markets where possible, but where this is not feasible, a degree of judgment is required in establishing fair values. Impairment losses on financial instruments The Fund reviews its financial instruments at each reporting date to assess whether an allowance for impairment should be recorded in the statement of financial performance. In particular, judgment by EIB Management is required in the estimation of the amount and timing of future cash flows when determining the level of allowance required. 3.2.4.Summary of significant accounting policies 3.2.4.1.Foreign currency translation The Fund uses the Euro (EUR) for presenting its financial statements, which is also the functional currency. Foreign currency transactions are translated at the exchange rate prevailing on the date of the transaction. Monetary assets and liabilities denominated in currencies other than Euro are translated into Euro at the exchange rate prevailing at the balance sheet date. The gain or loss arising from such translation is recorded in the statement of financial performance. Non-monetary items that are measured in terms of historical cost in a foreign currency are translated using the exchange rates at the dates of the initial transactions. Non-monetary items measured at fair value in a foreign currency are translated using the exchange rates at the date when the fair value was determined. Exchange differences on non-monetary assets are a component of the change in their fair value. Depending on the classification of a non-monetary financial asset, exchange differences are either recognised in the statement of financial performance or within the reserves. Exchange differences arising on the settlement of transactions at rates different from those at the date of the transaction, and unrealised foreign exchange differences on unsettled foreign currency monetary assets and liabilities, are recognised in the statement of financial performance. 3.2.4.2.Financial instruments All financial assets are recognised in the balance sheet on trade date basis and measured according to their assigned category. ·Cash and cash equivalents

The Fund defines cash and cash equivalents as current accounts, commercial papers, treasury bills and short-term deposits with original maturity of three months or less. ·EIB Unitary Fund investments The EIB Unitary Fund represents pooled money market investments with a variable Net Asset Value (NAV) structure and currently only has a Euro segment. After initial measurement, the EIB Unitary Fund investments are subsequently carried at their fair value through net assets. Fair value changes are recorded in the Fair value reserve. The fair value of the EIB Unitary Fund investments is based on the latest available NAV, as reported by the calculation agent. ·Bond portfolio The bond portfolio is composed of Euro-denominated securities. These securities are classified as Available for Sale (AFS) according to the accounting rules adopted by the Accounting Officer of the European Commission and consequently, are carried out at their fair value through net assets. In accordance with the decision of the Accounting Officer of the Commission 4 concerning the “Presentation of the Guarantee Fund for external actions and other Available for Sale portfolios” on 31 January 2013, the Available for Sale financial instruments of the Fund’s Portfolio are categorised following the current/non-current distinction of Article 8.3 of the Accounting rule 1 according to their remaining contractual maturity at the balance sheet date. Available for Sale investments with a remaining maturity of less than a year and accrued interest with due date less than a year are presented in the balance sheet as current assets, while Available for Sale investments with a remaining maturity of more than a year are presented in the balance sheet as non-current assets. Unrealised gains or losses are reported in reserves until such a security is sold, collected or otherwise disposed of, or until such a security is determined to be impaired. Impairment losses identified are recognised in the statement of financial performance for the year. On disposal of an Available for Sale security, the accumulated unrealised gain or loss included in net assets is transferred to the statement of financial performance for the year. Interest income on Available for Sale securities is included in “interest income”. The determination of fair values of Available for Sale investments is generally based on quoted market rates in active markets. These securities are initially measured at their acquisition cost, being their fair value at this moment. The difference between the entry price and the redemption value, i.e. the premium/discount spread, is amortised over the remaining life of each of the securities using the effective interest rate method as specified under Accounting

rule 11. Securities are considered impaired if there is objective evidence of impairment as a result of one or more events that occurred after the initial recognition of the security (a “loss event”) and that loss event has an impact on the estimated future cash flows of the security that can be reliably estimated. Evidence of impairment is mainly about significant financial difficulties of the issuer, e.g. a breach of contract, a restructuring of the debt of the issuer or a high probability of bankruptcy. It is important to stress that the disappearance of an active market because the entity’s financial instruments are no longer publicly traded is not evidence of impairment. A downgrade of an entity’s credit rating is not, in itself, evidence of impairment, although it may be evidence of impairment when considered with other available information. A decline in the fair value of a financial asset below its cost or amortised cost is not necessarily evidence of impairment. If in a subsequent period, the fair value of a debt instrument classified as Available for Sale increases and the increase can be objectively related to an event occurring after the impairment loss was recognised in the statement of financial performance, the impairment loss shall be reversed, with the amount of the reversal recognised in the statement of financial performance. ·Fair value of financial instruments Fair value is the amount for which an asset could be exchanged, or a liability settled, between knowledgeable, willing parties in an arm’s length transaction. When applicable, the EIB on behalf of the Fund measures the fair value of an instrument using the quoted price in an active market for that instrument. A market is regarded as active if transactions for the asset or liability take place with sufficient frequency and volume to provide pricing information on an on-going basis.

Where the fair values of financial assets and financial liabilities recorded on the balance sheet cannot be derived from active markets, they are determined using a variety of valuation techniques that include the use of mathematical models. The input to these models is taken from observable markets where possible, but where this is not feasible, a degree of judgement is required in establishing fair values. The chosen valuation technique incorporates all the factors that market participants would take into account in pricing a transaction. The Fund measures fair values using the following fair value hierarchy that reflects the significance of the inputs used in making the measurements: Level 1: Quoted prices (unadjusted) in active markets for identical assets or liabilities; Level 2: Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly (i.e., as price) or indirectly (i.e., derived from prices); Level 3: Inputs for the asset or liability that are not based on observable market data (unobservable inputs). The Fund recognises transfers between levels of the fair value hierarchy as of the end of the reporting period during which the change has occurred. ·Impairment of financial assets The EIB assesses at each balance sheet date whether there is any objective evidence that a financial asset or a group of financial assets is impaired. A financial asset or a group of financial assets is deemed to be impaired if, and only if, there is objective evidence of impairment as a result of one or more events that has occurred after the initial recognition of the asset (an incurred “loss event”) and that loss event has an impact on the estimated future cash flows of the financial asset or the group of financial assets that can be reliably estimated. Evidence of impairment may include indications that the borrower or a group of borrowers is experiencing significant financial difficulty, default or delinquency in interest or principal payments, the probability that they will enter bankruptcy or other financial reorganisation and where observable data indicate that there is a measurable decrease in the estimated future cash flows, such as changes in arrears or economic conditions that correlate with defaults. For the Available for Sale financial assets, an objective evidence would include a significant or prolonged decline in the fair value of the investment below its cost. Where there is evidence of impairment, the cumulative loss (measured as the difference between the acquisition cost net of any principal repayment and amortisation and the current fair value, less any impairment loss on that investment previously recognised in the statement of financial performance) is removed from net assets and recognised in the statement of financial performance. Impairment losses on Available for Sale financial assets are reversed through the statement of financial performance. 3.2.4.3.Contributions Contributions are increased by: -Payment allocations made to the Fund by the general budget of the European Union; -Guarantee recoveries received from EIB. Contributions are decreased by: -Payment allocations to be made from the Fund to the general budget of the European Union; -Guarantee calls made by the EIB.

Contributions to be received5 from the general budget of the European Union, or to be paid back to the general budget of the European Union are recognized in the balance sheet on the date when they become due or owed according to articles 3, 4, 5 and 6 of the Council Regulation (EC, Euratom) No 480/2009 of 25 May 2009 establishing a Guarantee Fund for external actions (codified version) as amended by the Regulation (EU) 2018/409 of the European Parliament and of the Council of 14 March 2018. When it relates to articles 5 and 6 the contributions to be paid or received, based on the previous year end difference between the target amount and the value of the Fund’s net assets, are calculated and recorded at the beginning of the current year. When article 4 applies, the contribution to be paid back is calculated and recorded at the date of accession of the new Member State to the European Union. Contributions to be paid to the EIB in the context of guarantee calls in line with the Recovery Agreement between the European Union and the EIB signed on 25 July 2014 in respect of loans and loan guarantees granted by the EIB for projects outside the European Union (“Recovery Agreement”) are derecognised from the balance sheet on the date when the guarantee call becomes due. Guarantee recoveries paid by EIB to the Fund in line with the Recovery Agreement are recognised in the balance sheet as contributions (recovery of historically called amounts) and recoveries receivable on the date when the guarantee recovery is received in cash in the accounts of the Bank. 3.2.4.4.Interest income Interest income covers interest earned on cash and cash equivalents and the Bond portfolio and is recorded in the statement of financial performance on an accrual basis. 3.2.4.5.Interest expense Interest expense covers interest paid on cash and cash equivalents, due to negative interest rate, and is recorded in the statement of financial performance on an accrual basis. 3.2.4.6.Treasury management fees According to the Management Agreement, EIB shall receive a treasury management fee which is calculated on the basis of, in the case of securities, the average market value at the end of each month, and in the case of cash and money market deposits, the average nominal value at the end of each month. Treasury management fees are recorded in the statement of financial performance on an accrual basis. 3.2.4.7.Recovery fees According to the Recovery Agreement dated 3 October 2018 the EU shall reimburse EIB for external costs and expenses incurred by it in the course of execution of the recovery proceedings. Recovery fees are recorded in the statement of financial performance on an accrual basis. 3.2.4.8.Securities Lending Activity In April 2008, the EIB for the account of the Fund entered into an automatic securities lending program with Euroclear Bank SA/NV to lend assets from its bond portfolio. Within this securities lending program all bonds from the Bond portfolio are eligible to be lent out. Securities lent within the automatic securities lending program are not derecognized from the Fund’s balance sheet as the risks and rewards of these securities are still held by the Fund itself. Income from securities lending activity is recorded in the statement of financial performance on an accrual basis. 3.2.4.9.Risk-related remuneration In accordance with the Guarantee agreement dated 3 October 2018, the risk-related revenues received by the Bank from the pricing (in accordance with the Bank’s standard risk pricing methodology as may be amended from time to time) of EIB Financing Operations under the ERI Private Mandate shall remunerate on a quarterly basis the risk for the Union budget associated with EIB Financing Operations under the ERI Private Mandate. The Risk-related remuneration is recognised in the statement of financial performance on an accrual basis.

3.2.5.Taxation The Protocol on the Privileges and Immunities of the European Union, appended to the treaty on the European Union and the treaty of the functioning of the European Union, stipulates that the assets, revenues and other property of the Institutions of the Union are exempt from all direct taxes. 3.3.Financial Risk Management This note presents information about the Fund’s treasury portfolio exposure, its management and control of credit and financial risks, in particular the primary risks associated with its use of financial instruments. These are: –credit risk – the risk of loss resulting from client or counterparty default and arising on credit exposure in all forms, including settlement risk; –liquidity risk – the risk that an entity will encounter difficulty in meeting obligations associated with financial liabilities that are settled by delivering cash or another financial asset; –market risk – exposure to observable market variables such as interest rates and foreign exchange rates. 3.3.1.Risk management organisation The Risk Management function of EIB ensures that the treasury portfolio is managed in line with the agreed asset management guidelines, especially in respect of the eligible investments, the maximum maturity, the interest rate risk and the credit risk exposure of the Fund’s treasury portfolio. In this respect quarterly reporting is also delivered to the EC concerning the risk and the performance of the Fund’s treasury portfolio. The reporting makes reference to breaches, if any, of the limits set out in the asset management guidelines and includes a comparison of the valuations of the portfolio to a performance index taken as benchmark. 3.3.2.Credit Risk Credit risk is the potential loss that could result from client or counterparty default and arising on credit exposure in all forms, including settlement. 3.3.2.1.Credit risk policy The treasury portfolio’s agreed asset management guidelines and/or investment strategy define certain limits and restrictions in order to limit the exposure to credit risk of the treasury portfolio. The compliance with these limits is monitored by the Risk Management on a daily basis. Such limits and restrictions include eligibility criteria, absolute credit limits in nominal terms depending on issuer category, relative concentration limits depending on issuer category and concentration limits per issue. 3.3.2.2.Maximum exposure to credit risk without taking into account any collateral and other credit enhancements The following table shows the maximum exposure to credit risk for the components of the balance sheet (in EUR): Maximum exposure 31.12.2019 31.12.2018 ASSETS Available for Sale portfolio 2,545,200,599.15 2,465,100,760.23 Contributions receivable 240,152,822.10 103,222,935.00 Risk-related remuneration receivable 585,535.74 0.00 Cash and cash equivalents 42,799,335.89 41,558,052.28 Total assets 2,828,738,292.88 2,609,881,747.51 Total credit exposure 2,828,738,292.88 2,609,881,747.51 3.3.2.3.Credit risk on cash and cash equivalents ·Analysis of current accounts per profile of counterparties The following table shows the breakdown of current account balances per maximum long-term counterparty rating (based on the external long term ratings assigned by Fitch, Standard & Poor’s and Moody’s) (in EUR):

Rating 31.12.2019 31.12.2018 A1 42,797,618.13 27,566,935.63 Aa1 1,717.76 99.99 Total 42,799,335.89 27,567,035.62 All counterparties are maximum rated P-1 short-term (based on the external short term ratings assigned by Fitch, Standard & Poor’s and Moody’s). The Fund has two current accounts opened with BNP Paribas Fortis and one current account opened with Euroclear Bank as follows (in EUR): Current accounts 31.12.2019 31.12.2018 BNP Paribas Fortis transitory account 100.00 0.00 BNP Paribas Fortis current account 42,797,518.13 27,566,935.63 Euroclear Bank current account 1,717.76 99.99 Total 42,799,335.89 27,567,035.62 ·Analysis of short term deposits per profile of counterparties In accordance with the agreement between the European Commission and the EIB on the management of the Fund, all interbank investments should have a minimum issuer short-term rating from Moody’s or equivalent of P-1. The following table shows the breakdown of short term deposits (excluding short-term deposits under settlement) per maximum counterparty long term rating (based on the external long term ratings assigned by Fitch, Standard & Poor’s and Moody’s), the amounts presented include accrued interest (in EUR): Rating 31.12.2019 31.12.2018 Aa3 0.00 0.00% 13,991,016.66 100.00% Total 0.00 0.00% 13,991,016.66 100.00% 3.3.2.4.Credit risk on Bond portfolio ·Risk concentration per issuance Credit risk on Bond portfolio All the securities held in the portfolio are in line with the management guidelines and meet the following criteria for: –Securities issued or guaranteed by Member States: minimum rating Baa3; –Securities issued or guaranteed by a Supranational or other States: minimum rating Aa2; –Securities issued by other legal entities: minimum rating Baa3. The following table shows the breakdown of the Bond portfolio, at market value excluding accrued interest, per security type and rating (in EUR): Issuer - Rating 31.12.2019 31.12.2018 Banks Aa1 14,213,360.00 0.57% 46,255,730.00 1.90% Banks Aa2 41,206,300.00 1.63% 154,740,017.50 6.31% Banks Aa3 45,338,070.00 1.79% 25,121,200.00 1.02% Banks A1 57,426,465.00 2.27% 20,016,000.00 0.82% Banks A2 50,385,170.80 1.99% 10,298,686.30 0.42% Banks A3 37,362,890.00 1.47% 0.00 0.00% Banks Baa1 81,865,342.50 3.23% 14,832,978.50 0.60% Banks Baa2 42,396,362.00 1.67% 0.00 0.00% Member State Aaa 74,770,069.00 2.95% 128,657,262.00 5.25% Member State Aa1 5,589,650.00 0.22% 40,348,665.00 1.65% Member State Aa2 125,153,315.00 4.94% 216,783,850.00 8.84% Member State Aa3 60,681,815.00 2.39% 51,996,220.72 2.12% Member State A1 0.00 0.00% 56,495,670.00 2.30% Member State A2 141,645,523.00 5.59% 147,813,370.00 6.03% Member State A3 39,042,245.64 1.54% 42,537,786.40 1.73% Member State Baa1 5,100,950.00 0.20% 0.00 0.00% Member State Baa2 0.00 0.00% 41,671,950.00 1.70% Member State Baa3 74,035,790.00 2.92% 56,082,170.00 2.29% Covered Bonds Aaa 412,254,815.00 16.25% 482,342,055.50 19.67% Covered Bonds Aa1 10,101,600.00 0.40% 0.00 0.00% Covered Bonds Aa2 14,236,780.00 0.56% 0.00 0.00% Covered Bonds Aa3 18,488,720.00 0.73% 0.00 0.00% Corporates Aaa 18,596,940.00 0.73% 57,806,210.00 2.36% Corporates Aa1 23,171,040.00 0.91% 25,852,249.97 1.05% Corporates Aa2 60,105,132.00 2.37% 177,626,986.00 7.24% Corporates Aa3 22,597,990.00 0.89% 2,551,225.00 0.10% Corporates A1 29,646,590.00 1.17% 22,846,250.00 0.93% Corporates A2 62,920,110.00 2.48% 13,017,410.00 0.53% Corporates A3 55,209,180.00 2.18% 25,964,500.00 1.06% Corporates Baa1 118,206,524.80 4.66% 55,574,008.10 2.27% Corporates Baa2 70,901,835.01 2.80% 6,984,110.00 0.28% Corporates Baa3 12,318,240.00 0.49% 0.00 0.00% Public Institution Aaa 286,435,170.00 11.29% 306,330,014.00 12.50% Public Institution Aa1 37,531,946.36 1.48% 58,371,941.84 2.38% Public Institution Aa2 186,294,232.00 7.35% 61,428,285.00 2.51% Public Institution Aa3 7,506,075.00 0.30% 0.00 0.00% Public Institution A1 16,865,250.00 0.67% 0.00 0.00% Public Institution A2 8,103,040.00 0.32% 0.00 0.00% Public Institution A3 15,537,650.00 0.61% 5,275,500.00 0.22% Public Institution Baa1 34,060,880.00 1.34% 0.00 0.00% Supranational Aaa 40,451,100.00 1.60% 35,255,850.00 1.44% Supranational Aa1 25,762,720.00 1.02% 20,956,978.00 0.85% Supranational Aa2 0.00 0.00% 10,002,300.00 0.41% Non-EU Public Institution Aaa 3,063,390.00 0.12% 4,013,720.00 0.16% Non-EU Public Institution Aa2 15,054,300.00 0.59% 0.00 0.00% Non-EU Public Institution Aa3 5,435,150.00 0.21% 5,416,400.00 0.22% Non-EU Public Institution A1 20,504,879.95 0.81% 20,647,033.05 0.84% Non-EU Sovereign Aaa 7,671,150.00 0.30% 0.00 0.00% Total 2,535,245,748.06 100.00% 2,451,914,582.88 100.00% The above table presenting securities ratings is prepared according to the agreed asset management guidelines. In particular, security ratings of the Bond portfolio refer to the best rating given by Moody’s, Standard & Poor’s or Fitch. In case of securities for which no security rating is available the rating of the issuer (or guarantor for guaranteed positions) has been taken into account. ·EU sovereign exposure

The following tables show the portfolio structure by exposure towards EU sovereign (either directly or indirectly) and exposure towards other entities as at 31 December 2019 and as at 31 December 2018 (in EUR): At 31.12.2019 Purchase price Value at maturity Carrying Value*) EU sovereigns Croatia 7,851,840.00 8,000,000.00 8,263,840.00 Czech Republic 62,533,500.00 57,500,000.00 60,681,815.00 Finland 5,707,625.00 5,500,000.00 5,589,650.00 France 124,065,350.00 123,000,000.00 125,153,315.00 Germany 74,918,407.50 73,300,000.00 74,770,069.00 Italy 41,146,200.00 40,000,000.00 41,665,450.00 Latvia 21,193,020.00 21,000,000.00 21,176,650.00 Lithuania 37,043,035.82 36,844,600.00 36,901,796.89 Poland 81,976,800.00 76,000,000.00 78,451,300.00 Romania 26,546,318.75 23,000,000.00 24,106,500.00 Spain 49,458,427.00 48,265,000.00 49,258,971.75 Total EU sovereigns 532,440,524.07 512,409,600.00 526,019,357.64 Others 2,004,002,909.70 1,979,732,000.00 2,009,226,390.42 TOTAL 2,536,443,433.77 2,492,141,600.00 2,535,245,748.06 *) The carrying value represents the clean market value of the assets excluding accrued interest. At 31.12.2018 Purchase price Value at maturity Carrying Value*) EU sovereigns Austria 10,190,000.00 10,000,000.00 10,099,100.00 Czech Republic 63,747,770.50 57,388,000.00 61,994,120.72 Finland 29,445,625.00 29,500,000.00 30,249,565.00 France 216,161,690.00 214,000,000.00 216,783,850.00 Germany 121,617,810.00 120,300,000.00 121,791,234.00 Hungary 31,022,900.00 28,000,000.00 29,276,520.00 Ireland 30,347,000.00 30,000,000.00 30,395,300.00 Italy 44,342,400.00 40,000,000.00 41,671,950.00 Latvia 16,128,020.00 16,000,000.00 16,234,640.00 Netherlands 6,790,548.00 6,800,000.00 6,866,028.00 Poland 138,658,400.00 125,000,000.00 131,578,730.00 Romania 28,791,818.75 25,000,000.00 26,805,650.00 Slovakia 15,035,340.00 15,000,000.00 15,025,950.00 Slovenia 1,122,000.00 1,000,000.00 1,076,520.00 Spain 44,058,642.00 38,515,000.00 42,537,786.40 EU Supranational 30,416,400.00 30,000,000.00 30,185,950.00 Total EU sovereigns 827,876,364.25 786,503,000.00 812,572,894.12 Others 1,646,567,728.80 1,612,932,000.00 1,639,341,688.76 TOTAL 2,474,444,093.05 2,399,435,000.00 2,451,914,582.88 *) The carrying value represents the clean market value of the assets excluding accrued interest. In the tables above “EU sovereigns” refer to bonds issued or guaranteed by EU Member States and EU Supranationals while “others” refer to bonds issued by banks, covered bonds, bonds issued or guaranteed by non EU Supranationals or EU and non EU Public Institutions. . 3.3.3.Liquidity Risk Liquidity risk refers to an entity’s ability to meet obligations as they become due, without incurring unacceptable losses. It can be split into funding liquidity risk and market liquidity risk. Funding liquidity risk is the risk that an entity will not be able to meet efficiently both expected and unexpected current and future cash flow needs without affecting its daily operations or its financial condition. Market liquidity risk is the risk that an entity cannot easily offset or eliminate a position at the market price because of inadequate market depth or market disruption. 3.3.3.1.Liquidity risk management The treasury portfolio’s agreed asset management guidelines and/or investment strategy define certain limits and restrictions in order to limit the exposure to funding liquidity risk of the treasury portfolio. The compliance with these limits is monitored by Risk Management on a daily basis. Such limits and restrictions include a target liquidity buffer. 3.3.3.2.Liquidity risk measurement The table below provides an analysis of the non-derivative liabilities into relevant maturity groupings based on the remaining contractual maturities. The table is presented under the most prudent consideration of maturity dates where the earliest possible repayment date is shown. Maturity profile (at 31 December 2019) Less than 1 year 1 year to 5 years More than 5 years TOTAL Other payables 858,426.55 0.00 0.00 858,426.55 Total 858,426.55 0.00 0.00 858,426.55 Maturity profile (at 31 December 2018) Less than 1 year 1 year to 5 years More than 5 years TOTAL Other payables 1,013,339.26 0.00 0.00 1,013,339.26 Total 1,013,339.26 0.00 0.00 1,013,339.26 3.3.4.Market Risk Market risk represents the risk that changes in market prices and rates, such as interest rates and foreign exchange rates will affect an entity’s income or the value of its holdings in financial instruments. The treasury portfolio’s agreed asset management guidelines and/or investment strategy define certain restrictions (such as concentration limits, modified duration and target combined spread duration) in order to fulfil diversification and to control to market risk of the treasury portfolio. The compliance with these limits is monitored by Risk Management on a daily basis. 3.3.4.1.Interest rate risk position Interest rate risk arises from the volatility in the economic value of, or in the income derived from the treasury portfolio’s interest rate bearing positions due to adverse movements in interest rates. Exposure to interest rate risk occurs when there are differences in repricing and maturity characteristics of the different assets and liabilities. 3.3.4.2.Interest rate sensitivity analysis The interest rate sensitivity of the treasury portfolios represents the amount of a potential change in the fair value of the portfolio and is computed on a deal by deal basis assuming that all interest rate curves rose by one percentage basis and 100 basis points or decrease by one percentage basis point and 100 basis points.

The following table shows the sensitivity to interest rate variations of the three Guarantee Fund (“GF”) treasury sub-portfolios GF-Short term (Short term deposits, commercial papers and zero coupon bonds), GF-FRN (Bond portfolio variable interest), GF-Long term (Bond portfolio fixed interest). It is presented on the same basis as the quarterly risk management reporting delivered to the EC concerning the risk and the performance of the Fund’s portfolio. 31 December 2019 GF sub-portfolios Clean market value in EUR'000 Modified Duration (Years) IR Exposure (+/-1bp) in EUR'000 IR Exposure (100bp) in EUR'000 IR Exposure (-100bp) in EUR'000 GF - Short term 997 0.01 -/+ 0 0 0 GF - FRN 226,110 0.81 -/+ 18 -1,797 +1,849 GF - Long term 2,309,136 3.27 -/+ 757 -73,648 + 77,819 Current accounts 42,799 0.00 -/+ 0 0 0 TOTAL GF 2,579,042 2.99 -/+ 775 -75,445 + 79,668 31 December 2018 GF sub-portfolios Clean market value in EUR'000 Modified Duration (Years) IR Exposure (+/-1bp) in EUR'000 IR Exposure (100bp) in EUR'000 IR Exposure (-100bp) in EUR'000 GF - Short term 29,026 0.26 -/+ 1 -75 + 76 GF - FRN 302,709 0.64 -/+ 20 -1,929 + 1,990 GF - Long term 2,134,179 2.92 -/+ 627 -61,189 + 64,241 Current accounts 27,567 0.00 -/+ 0 0 0 TOTAL GF 2,493,481 2.58 -/+ 648 -63,193 + 66,307 The clean market value of the GF-Short term sub-portfolio as reported above represents the sum of clean market values calculated for short term deposits, commercial papers and zero coupon bonds. Those clean market values are determined as follows: –Short-term deposits: the sum of the nominal value and total interest at maturity for each position is discounted from the maturity date to the spot date, whereas the spot date equals the valuation date plus two business days. Finally, accrued interest at spot date is subtracted from the calculated market value of the position. –Commercial papers: the nominal value of each position is discounted from the maturity date to the spot date, whereas the spot date equals the valuation date plus two business days; –Zero coupon bonds: the nominal value of each position is multiplied with the observed spot/quote/price. The clean market values of the GF-FRN and GF-Long term sub-portfolios as reported above represents the sum of the clean market values calculated for fixed and floating rate bonds. Those clean market values are determined as follows: –Fixed rate bonds: the nominal value of each position is multiplied by its market quote as observed at valuation date. –Floating rate bonds (FRNs): the nominal value of each position is multiplied by its market quote as observed at valuation date. 3.3.5.Foreign exchange risk exposure Foreign exchange risk is the volatility in the economic value of, or in the income derived from, the Fund’s positions due to adverse movements of foreign exchange rates. As all assets and liabilities of the Fund are denominated in Euro, the Fund is not exposed to foreign exchange risk. 3.4.Fair value of financial instruments 3.4.1.Accounting classifications and fair value The following tables show the carrying amounts and fair values of financial assets and financial liabilities, including their levels in the fair value hierarchy. These do not include fair value information for financial assets and financial liabilities not carried at fair value if the carrying amount is a reasonable approximation of fair value. At 31 December 2019 Carrying amount Fair value in EUR Available for Sale Cash, loans and receivables Other financial liabilities Total Level 1 Level 2 Level 3 Total Financial assets carried at fair value: Bond portfolio 2,544,203,315.12 0.00 0.00 2,544,203,315.12 2,544,203,315.12 0.00 0.00 2,544,203,315.12 EIB Unitary Fund Investments 997,284.03 0.00 0.00 997,284.03 0.00 997,284.03 0.00 997,284.03 Total 2,545,200,599.15 0.00 0.00 2,545,200,599.15 2,544,203,315.12 997,284.03 0.00 2,545,200,599.15 Financial assets not carried at fair value: Contributions receivable 0.00 240,152,822.10 0.00 240,152,822.10 Risk-related remuneration receivable 0.00 585,535.74 0.00 585,535.74 Current accounts 0.00 42,799,335.89 0.00 42,799,335.89 Total 0.00 283,537,693.73 0.00 283,537,693.73 Total financial assets 2,545,200,599.15 283,537,693.73 0.00 2,828,738,292.88 Financial liabilities not carried at fair value: Financial liabilities not carried at fair value: 0.00 0.00 -858,426.55 -858,426.55 Total 0.00 0.00 -858,426.55 -858,426.55 Total financial liabilities 0.00 0.00 -858,426.55 -858,426.55

At 31 December 2018 Carrying amount Fair value in EUR Available for Sale Cash, loans and receivables Other financial liabilities Total Level 1 Level 2 Level 3 Total Financial assets carried at fair value: Bond portfolio 2,465,100,760.23 0.00 0.00 2,465,100,760.23 2,465,100,760.23 0.00 0.00 2,465,100,760.23 Total 2,465,100,760.23 0.00 0.00 2,465,100,760.23 2,465,100,760.23 0.00 0.00 2,465,100,760.23 Financial assets not carried at fair value: Contributions receivable 0.00 103,222,935.00 0.00 103,222,935.00 Current accounts 0.00 27,567,035.62 0.00 27,567,035.62 Short-term deposits 0.00 13,991,016.66 0.00 13,991,016.66 Total 0.00 144,780,987.28 0.00 144,780,987.28 Total financial assets 2,465,100,760.23 144,780,987.28 0.00 2,609,881,747.51 Financial liabilities not carried at fair value: Other payables 0.00 0.00 -1,013,339.26 -1,013,339.26 Total 0.00 0.00 -1,013,339.26 -1,013,339.26 3.4.2.Measurement of fair values Assets for which carrying value approximates fair value For financial assets and financial liabilities that are liquid or have a short term maturity (less than three months), it is assumed that the carrying amount approximates their fair value. Assets and liabilities carried at fair value Published price quotations in an active market are the first source for determining the fair value of a financial instrument. For instruments without available market price, the fair value is estimated using a discounted cash flow model based on either directly or indirectly observable market data (discount curves and estimation curves) prevailing at the balance sheet date. 3.4.3.Transfers between level 1 and level 2 There were no transfers between level 1 and level 2 of the fair value hierarchy during the financial period. 3.4.4.Level 3 fair value As at 31 December 2019 and 31 December 2018 the Fund has no financial instruments classified under Level 3. 3.5.Bond portfolio The following tables show the movements of the Bond portfolio (in EUR): Balance as at 1 January 2018 2,198,742,276.84 Acquisitions 1,067,048,346.00 Disposals and withdrawals (original acquisition cost) -781,103,640.60 Change in carrying amount - actuarial difference -8,036,194.38 Change in accrued interest -1,077,164.65 Change in fair value -10,472,862.98 Balance as amount at 31 December 2018 2,465,100,760.23 Balance as at 1 January 2019 2,465,100,760.23 Acquisitions 1,537,595,053.32 Disposals and withdrawals (original acquisition cost) -1,475,595,712.60 Change in carrying amount - actuarial difference 12,697,320.69 Change in accrued interest -4,228,610.29 Change in fair value 8,634,503.77 Balance as at 31 December 2019 2,544,203,315.12 As at 31 December 2019 the nominal value of the investment portfolio was EUR 2,492.1 million

(2018: EUR 2,399.4 million), against a market value of EUR 2,535.2 million (2018: EUR 2,451.9 million), excluding accrued interest. Accrued interest as at 31 December 2019 amounting to EUR 8,957,567.06 (2018: EUR 13,186,177.35) is split between: ·Fixed rate notes EUR 8,924,878.78 (2018: EUR 13,109,531.34); ·Floating rate notes EUR 32,688.28 (2018: EUR 76,646.01).

As at 31 December 2019 the market value of securities lent within the automatic security lending agreement with Euroclear (excluding accrued interest) amounts to EUR 11,022,385.63 (2018: EUR 11,281,092.69). 3.6.EIB Unitary Fund investments The following table shows the movements in the EIB Unitary Fund investments: Balance as at 1 January 2019 0.00 Subscriptions 999,956.97 Change in fair value -2,672.94 Balance as at 31 December 2019 997,284.03 3.7.Cash and cash equivalents The following table shows the split of cash and cash equivalents (including accrued interest) (in EUR): Description 31.12.2019 31.12.2018 Current accounts 42,799,335.89 27,567,035.62 Short-term deposits 0.00 13,991,016.66 of which accrued interest 0.00 -8,983.34 Total 42,799,335.89 41,558,052.28 3.8.Recovery fees According to the Recovery Agreement dated 3 October 2018 the EU shall reimburse EIB for external costs and expenses incurred by it in the course of execution of the recovery proceedings. During the reporting year 2019, recovery fees were amounting to EUR 209,653.61 (2018: EUR 1,901,150.03) of which the amount of EUR 0.00 is accrued as at 31 December 2019 (2018: EUR 79,212.84 ). 3.9.Contributions Contributions are increased by contributions from the general budget of the European Union, by the recoveries of previous interventions made by the Fund with regard to defaulted guaranteed loans and by receive risk remuneration earned under the ERI Private Mandate. Contributions are either decreased by repayments to the general budget of the European Union or by interventions the Fund is paying with regard to defaulted guaranteed loans. Contributions to/from the budget of the European Union are recognised in the balance sheet on the date when they become due or owed according to articles 3, 4, 5 and 6 of the Council Regulation (EC, Euratom) No 480/2009 of 25 May 2009 establishing a Guarantee Fund for external actions. The contribution allocated but not yet paid in as at 31 December 2018 amounting to EUR 103,222,935.00 was paid in cash during the reporting period. In 2019, the Fund has been allocated an additional contribution amount of EUR 240,152,822.10 which has not been paid as at 31 December 2019.



The following table shows the movements of the contributions during the reporting period (in EUR): Balance as at 1 January 2018 1,550,896,013.99 Contributions from the European Commission allocated but not paid in 103,222,935.00 Contributions paid to the EIB as guarantee call -55,725,491.89 Balance as at 31 December 2018 1,598,393,457.10 Balance as at 1 January 2019 1,598,393,457.10 Contributions from the European Commission allocated but not paid in 240,152,822.10 Contributions paid to the EIB as guarantee call -54,907,597.70 Balance as at 31 December 2019 1,783,638,681.50