COMMISSION STAFF WORKING DOCUMENT on the Guarantee Fund and its management in 2014 - COM(2015)343 dated 16.07.2015
Date: 2015-08-20
Institutions: Directorate-General for Economic and Financial Affairs, European Commission
Subjects: Community loan, European Investment Bank, balance sheet, budgetary reserve (EU), credit guarantee, financial control, financial transaction, fund (EU), investment policy, publication of accounts

EUROPEAN 
COMMISSION 

Brussels, 20.8.2015  
SWD(2015) 163 final 

COMMISSION STAFF WORKING DOCUMENT 

on the Guarantee Fund and its management in 2014 - COM(2015)343 dated 16.07.2015

EN 

   EN 

 
 
 
 
  
 
Contents 

1. 

2. 

2.1. 

2.2. 

Introduction .................................................................................................................. 3 

Fund Management report ............................................................................................. 3 

Development of the Fund in 2014................................................................................ 3 

Situation of the Fund.................................................................................................... 3 

2.2.1.  Contributions as at 31 December 2014 ........................................................................ 3 

2.2.2.  The Fund’s holdings net of accrued interest at 31 December 2014............................. 4 

2.3. 

General and segmental analyses of the Fund ............................................................... 4 

2.3.1.  Liquidity analysis ......................................................................................................... 4 

2.3.2.  General analysis of the results of the Fund .................................................................. 5 

2.3.3.  Analysis by segment .................................................................................................... 5 

2.4. 

Benchmarking, performance and interest rate risk analysis....................................... 11 

2.4.1.  Benchmarking ............................................................................................................ 11 

2.4.2.  Performance ............................................................................................................... 13 

2.4.3. 

Interest rate risk.......................................................................................................... 13 

3. 

Annex ......................................................................................................................... 14 

2 

 
 
 
 
 
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  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. 

2.1. 

FUND MANAGEMENT REPORT 

Development of the Fund in 2014 

As at 31 December 2014 total assets (excluding accrued interest) of the Guarantee Fund (the “Fund”) 
amounted to EUR 2 123.11 million against EUR 1 987.4 million as at 31 December 2013, an increase 
of EUR 135.7 million. 

Fig.1: Development of total assets in 2014 and 2013 

The  net  operating  result  amounted  to  EUR  29.77  million  at  31  December  2014  compared  with 
EUR 31.94 million at 31 December 2013 representing a decrease of -6.8%. 

2.2. 

Situation of the Fund  

2.2.1.  Contributions as at 31 December 2014 

2.2.1.1.  Contributions paid in as at 31 December 2014 

The  net  contributions  paid  into  the  Fund  by  the  European  Union  budget  decreased  by 
EUR -1.8 million or -0.2% from EUR 1 030.1 million at 31 December 2013 to EUR 1 028.3 million at 
31 December 2014.  

1 

The balance of total assets includes a contribution receivable of EUR 144.4 million which is due to be paid in 2015 
(2013: EUR  58.4  million).  In  the  chart  presented  in  figure  1  contributions  receivable  are  recognized  as  assets  in 
December of the corresponding years. 

3 

 
 
 
 
 
 
                                                 
This is explained by the movements shown in the following table: 

Contributions paid in (in EUR) 

Provisioning 

Repayment of surplus 
Activation of guarantee calls 
Recovery of historic called amounts 
Repayment of Funds  

Situation at 
31/12/2013 

3 545 485 163 

-1 775 870 000 
-562 512 676 
578 854 354 
-755 856 713 

Movements in 2014 

Situation at 
31/12/2014 

58 432 294 

3 603 917 457 

0 
-60 226 739 
0 
0 

-1 775 870 000 
-622 739 415 
578 854 354 
-755 856 713 

Balance 

1 030 100 128 

-1 794 445 

1 028 305 683 

2.2.1.2.  Contributions payable and receivable as at 31 December 2014 

As  at  31  December  2014  the  Fund  has  recorded  EUR  22.2  million  (2013:  EUR  22.2  million)  as 
contributions  payable  representing  the  provisioning  for  three  guarantee  calls  made  by  the  European 
Investment Bank in 2014 with regard to Syrian loan defaults (2013: three guarantee calls). In addition, 
as  at  31  December  2014  the  Fund  has  recorded  EUR  144.4  million  (2013:  EUR  58.4  million)  as 
contributions to be paid in by the European Union. 

2.2.2.  The Fund’s holdings net of accrued interest at 31 December 2014 

The  Fund’s  holdings  at  31  December  2014  excluding  accrued  interest  and  contributions  receivable 
totalled EUR 1 978.7 million as detailed below: 

-  EUR 146.8 million in the monetary portfolio (nominal value of interbank term deposits); 
-  EUR 1.1 million in the current accounts;  
-  EUR 1 830.8 million in the Available For Sale (AFS) (portfolio market value of fixed rate bonds, 
floating rate bonds, inflation linked bonds and zero-coupon bonds, 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 2014 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 2014 (in EUR million): 

Maturity 

Total assets 

less than 
3 months 
413 

3 months to 
1 year 
226 

1 to 10 years 

1 499 

maturity 
undefined 
0 

Total 

2 138 

Total net assets 

Total liabilities  

Total net 
liabilities 

assets 

and 

Net liquidity position 

0 

-23 

-23 

390 

0 

0 

0 

0 

0 

0 

-2 115 

-2 115 

0 

-23 

-2 115 

-2 138 

226 

1 499 

-2 115 

0 

4 

 
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
2.3.2.  General analysis of the results of the Fund 

Overall,  during  the  reporting  period  1  January  2014  to  31  December  2014  the  Fund  achieved 
EUR  29.77 million  in  net  revenue.  The  following  table  outlines the  net  revenue  earned  in 2014  and 
compares it with 2013: 

In EUR million 

From 1 January to 
 31 December 2014 

From 1 January to  
31 December 2013 

Interest income on cash & cash equivalents 
Interest income on AFS assets 
Realised gain on sale of AFS assets 
Income from securities lending activity 
Commission and other charges 

0.27 
29.28 
1.16 
0.10 
-1.04 

0.9%
98.4%
3.9%
0.3%
-3.5%

0.21 
31.30 
1.36 
0.08 
-1.01 

0.7%
98.0%
4.2%
0.3%
-3.2%

Total 

29.77 

100.0%

31.94 

100.0%

2.3.3.  Analysis by segment 

2.3.3.1.  Analysis of money market operations 

interest)  amount 
Money-market 
31 December 2014, as compared to EUR 152.1 million the year before. 

investments  (excluding  accrued 

to  EUR  147.9  million  at 

•  Evolution of money-market rates in 2014 

The  ECB  intensified  its  role  as  a  major  economic  player  in  the  euro  area  in  2014. The  fragile 
economic  data  in  the  Eurozone  which  deteriorated  as  the  year  progressed,  fears  of  a  scenario  of 
deflation and a slowdown in global economic growth, led the ECB, to make explicit its commitment to 
act  with  all  available  instruments  if  the  economic  recovery  is  truncated  and  worsened  long-term 
inflation away from its goal of price stability.   

The ECB held rates at 0.25% until June. At that time, the downward revision of growth and inflation 
expectations led the ECB to reduce the refinancing rate to 0.15% and the deposit rate to a negative rate 
of  -0.10%.  Unconventional  measures  were  also  announced:  new  liquidity  injections,  targeted  long 
term refinancing operations (designed to enhance the functioning of the monetary policy transmission 
mechanism  by  supporting  bank  lending  to  the  real  economy)  for  at  least  4  years, as  well  as  the 
commitment to maintain liquidity at least until December 2016. 

On  4  September,  the  ECB  surprised  markets  with  another  rate  cut  to  new  record  lows  for  the 
refinancing  and  deposit  facility  rates  at  0.05%  and  -0.20%,  respectively, and  the  announcement  of 
further monetary stimulus intended to combat the deterioration of expectations inflation and stagnation 
of economic activity in the euro area. In particular, the main measure was the announcement of two 
programmes  of  purchases  in  the  secondary  markets  of  covered  bonds  (bonds  covered  by  pools  of 
mortgages) and Asset Backed Securities (securitization) for two years, amounting to between 0.5 and 
1 billion euros, which were launched in the second half of October and November, respectively. 

In  addition,  the  ECB  President,  Mario  Draghi,  expressed  his  confidence  that  this  package  could  be 
enough,  noting  that  if  it  were  not  so,  would  increase  the  size  and  composition  of  debt 
purchases programs  and  may  include  Sovereign  debt.  Furthermore,  it  was  indicated  that  rates  will 
remain low for an extended period of time. 

5 

 
 
 
  
  
  
  
  
  
 
 
 
 
Excess  liquidity  was  the  main  driver  in  money  markets  in  2014,  with  an environment  of  negative 
interest rates in short terms periods. Figure 2 shows the evolution Euribor 1 and 3 months and EONIA 
in 1 month:  

Fig. 2: Evolution of Money Market rates during 2014 (source Reuters) 

•  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). The breakdown, including accrued interest, is as follows: 

Fig. 3: Short term interbank investments by profile of counterparty at 31 December 2014 

6 

 
 
 
 
 
 
 
•  Geographical breakdown 

As  regards  the  diversification  of  counterparty  location  the  EIB  is  pursuing  its  objective  of 
geographical  distribution  throughout  the  countries  of  the  European  Union  and  complying  with  the 
internal credit limits that make these counterparties available. This allows searching for better market 
on a risk-return basis. The geographical exposure of money-market investments (nominal value) is as 
follows: 

Fig. 4: Money-market investments by geographical exposure 

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.  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  2014,  the  market  value  (excluding 
accrued interest) of fixed rate securities with a residual period to maturity of less than three  months 
amounted to EUR 53.1 million, between 3 months and one year EUR 94.5 million and between one 
and 10 years EUR 1 041.4 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 2014, the nominal value of the investment bond portfolio was EUR 1 772.5 million, 
against a clean market value of EUR 1 830.8 million. 

The global (modified) duration of the bond portfolio decreased over 2014 to reach 2.04 at the end of 
the year. As of 31 December 2014, the clean market value of the investment bond portfolio came to 
EUR  1 830.8  million  (2013:  EUR  1 776.9  million)  compared  with  a  book  value  (including 
premiums/discounts) of EUR 1 774.7 million (2013: EUR 1 740.2 million), which gives an unrealised 
fair value result of EUR +56.1 million (2013: EUR +36.7 million).  

With  the  combined  effects  of  the  Eurozone’s  sluggish  growth,  declining  inflationary  outlook  and 
increasing  likelihood  of  ECB  launching  a  fully-fledged  QE  programme,  German  government  bond 
yield curve bull-flattened (namely longer term rates fell faster than short term rates) in the course of 
the year 2014, as depicted on figure 5.  

7 

 
 
 
 
 
 
 
Fig. 5: Euro sovereign yield declined during 2014 (source Bloomberg) 

The decline of the yield curves had a positive impact on the Fund’s portfolio performance, which in 
terms of the percentage return amounted to 2.55%. 

In  line  with  the  2014  approved  investment  strategy  and  in  compliance  with  the  asset  management 
guidelines, a total nominal amount of EUR 419.5 million was invested in fixed and floating rate SSA2 
(EUR 188.2 million  or  45%),  covered  bonds  (EUR  178.8  million  or  43%)  and  corporate  bonds 
(EUR 52.5 million or 12%), either on an outright or on a switch basis. The purchases were made both 
on  the  primary  and  on  the  secondary  market.  All  of  the  transactions  aimed  to  meet  the  overall 
objectives of the portfolio. The charts below outline the total 2014 investments per asset class as well 
as in terms of country distribution. 

SSA
45%

Corporate
12%

Corporate

Covered

SSA

Covered
43%

Fig. 6: 2014 Investments per asset class 

2 

SSA: refers to issuers that are Sovereign, Supranational or Agencies  

8 

 
 
 
 
 
 
 
 
                                                 
NO
2%

AT
2%

DK
4%

FI
5% AU

5% SE
5%

FR
26%

CA
14%

DE
11%

BE
8%

SNAT
5%

CH
5%

NL
8%

NO
AT
DK
FI
AU
SE
SNAT
CH
NL
BE
DE
CA
FR

Fig. 7: 2014 Investments per country exposure 

Due  to  their  liquidity  and  generally  high  credit  quality,  SSA  assets  formed  the  bulk  of  the  2014 
investments.    Sovereign  and  Agency  risk  out  of  France  and  Germany  constituted  the  largest  share 
among the newly opened positions, but they also included other strong names from Austria, Finland 
and  Belgium.  For  the  sake  of  diversifying  away  part  of  the  Euroarea  risk  some  EUR  denominated 
papers out of Norway and Canada, as well as papers issued by supranational institutions, were bought. 

The covered bond investments were also well diversified geographically, with the Euroarea exposures 
split  between  German  and  Austrian  Pfandbriefe  as  well  as  Obligations  Foncieres  and  Belgian 
Pandbrieven. The covered bond asset class, in view of a rich international supply of EUR denominated 
investments, served as a vehicle for introducing to the portfolio a number of non-Eurozone exposures. 
In the course of the year several securities out of the Swiss, Norwegian, Danish, Swedish, Australian 
and Canadian covered bond legislative frameworks were bought.  

In line with the strategy, a small proportion of corporate debt has been invested into. The concerned 
names included Rabobank, Shell, Total and Nestle. 

The below chart displays the maturity and instrument format split of the 2014 investments. It can be 
inferred from the chart that the 5Y tenor, as most attractive spot on the yield curve in terms of risk and 
return  consideration  (but  also  in  view  of  the  overall  Fund  portfolio  duration  management)  has  been 
favoured. 

180.00

160.00

140.00

120.00

100.00

80.00

60.00

40.00

20.00

0.00

s
n
o

i
l
l
i

M
R
U
E

FRN

FIXED

1

2

3

4

5

6

7

8

9

10

Years to maturity

Fig. 8: 2014 Investments per maturity tenor and instrument type 

9 

 
 
 
 
 
 
 
 
 
 
•  Breakdown  of  the  investment  portfolio  between  fixed  rate  and  variable  rate  securities  (nominal 

value) 

Fig. 9: Investment portfolio breakdown between fixed and variable rate securities at 31 December 2014 

•  Redemption profile of investment portfolio (nominal value) 

Fig.10: Investment portfolio: Redemption profile at 31 December 2014 

The latest final maturity date for fixed rate securities is 25 November 2024. 

10 

 
 
 
 
•  Profile of issuers 

All  the  securities  held  in  the  portfolio  are  in  line  with  the  management  guidelines  and  meet  the 
following criteria for: 

– 
– 
Aa2; 
– 
Aaa; 
– 

Securities issued or guaranteed by Member States3: minimum rating Baa3; 
Securities issued by a Supranational, other States or Public Company: minimum rating 

Covered Bonds or other legal bodies (including structured products): minimum rating 

Securities issued by Banks and Corporates: minimum rating Aa2. 

The  profile  of  issuers  by  issuer  type  and  long  term  rating4  of  the  investment  portfolio  (nominal 
amount) at 31 December 2014 is as follows: 

Fig.11: Investment portfolio: Profile of issuers at 31 December 20145 

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. This index is the result of the combination of the following sub-indices: 

• 

Euribid 1M for money-market operations 

Euribid  3M  for  floating  rate  notes  and  fixed  rate  bond  with  less  than  one  year  to 

• 
maturity 

IBOXX EUR Sovereign indices for fixed rate bonds issued by sovereign (or similar) 

• 
issuers, split by maturity buckets  

3 

4 

5 

Member  States  securities  (including  securities  guaranteed  by  Member  States)  may  be  kept  in  an  event  of 
downgrade below the minimum requirements. This applies also to cases where the rating downgrade would trigger 
a lower limit. 
Reported ratings are ratings of the respective issues. In the absence of all bond/issue ratings, the respective issuer 
ratings (in case of guaranteed positions the guarantor ratings) have been reported. 
The  “Other”  category  presented  in  figure  11  includes:  Member  States  A1  (1.41%),  European  Communities  Aaa 
(1.16%), Member States Ba1 (0.90%), Member States A2 (0.79%), Member States Aa3 (0.62%), Non-EU Public 
Institutions  Aa2  (0.28%),  Supranational  Institutions  Aaa  (0.28%),  Non-EU  Public  Institutions  Aaa  (0.23%), 
Corporates Aa2 (0.14%), Member States B2 (0.56%). 

11 

 
 
 
 
  
 
                                                 
IBOXX EUR Collateralized Covered indices for fixed rate bonds issued by corporate 

• 
(or similar) issuers, split by maturity buckets 

Index weightings are based on portfolio composition and are reviewed: 

• 
at each end-month day: the dates which define the time buckets (up to 1y, from 1y to 
3y,  from  3y  o  5y,  from  5y  to  7y  and  from  7y  to  10y)  are  updated.  As  a  consequence,  the 
shifts  between  buckets  due  to  the  aging  of  existing  positions  are  accounted  only  once  per 
month  at  end-month,  following  the  same  procedure  underlying  the  managing  of  the 
IBOXX’s indexes; 

• 
during  the  month,  whenever  a  change  higher  then  ±5%  in  one  of  the  asset-classes 
(with respect to the last benchmark’s adjustment) is observed. This change can be the result 
of: 

the impact of a contribution from the European Commission to the portfolio 

– 
(external cash flows from the European Commission); 

the  impact  of  a  withdrawal  from  the  portfolio  to  the  European  Commission 

– 
(external cash flows to the European Commission); 

– 

– 

the impact of a transaction settled (sales and purchases); 

the impact of a redemption; 

– 
the  sum  of  the  impacts  of  previous  events  accumulated  from  the  last 
benchmark’s adjustment, taking also into consideration the changes in the clean values 
of the positions. 

Bucket 
(years) 

Performance 
Benchmark Sector 

Instrument 

Average Clean Market 
Value Composition of 
2014 

1 m 

3 m 

Money Market 
FRN and Fixed Rate 
Bonds 

sovereign 

covered bonds 

sovereign 

covered bonds 

sovereign 

covered bonds 

sovereign 

covered bonds 

Fixed 
Rate 
Bonds 

 0-1 

1-3 

 3-5 

 5-7 

 7-10 

Total 

10.27% 

43.03% 

5.90% 

7.34% 

3.39% 

1.23% 

15.93% 

8.02% 

2.66% 

2.23% 

100.00% 

12 

 
 
 
  
 
 
 
 
 
 
 
 
 
2.4.2.  Performance 

The performance of the Fund portfolio was monitored on a marked-to-market basis. During 2014, the 
portfolio  delivered  a  2.5539%  MTM  yearly  return,  outperforming  its  benchmark  by  +19.6  bps.  The 
evolution of the portfolio return and excess return vis-à-vis its benchmark is presented in the following 
table: 

Portfolio 

Market Value 
(including accrued 
interest) 

Monthly  
return (absolute 
return in %) 

YTD  return 
(absolute return 
in %) 

Out-performance 

Monthly 
Excess Return 
compared to 
benchmark 
(in%) 

YTD 
Excess 
Return 
(in%) 

31/01/2014 

1 950 953 846 

28/02/2014 

1 996 616 218 

31/03/2014 

1 996 565 302 

30/04/2014 

2 000 668 326 

31/05/2014 

1 998 856 488 

30/06/2014 

2 004 334 086 

31/07/2014 

2 002 301 697 

31/08/2014 

1 994 378 109 

30/09/2014 

1 994 417 998 

31/10/2014 

1 995 840 933 

30/11/2014 

1 990 945 054 

31/12/2014 

1 993 846 360 

2.4.3. 

Interest rate risk 

0.4498 

0.1006 

0.1618 

0.2055 

0.3075 

0.2740 

0.1522 

0.3383 

0.1663 

0.0713 

0.1522 

0.1457 

0.4498 

0.5509 

0.7135 

0.9205 

1.2308 

1.5082 

1.6627 

2.0066 

2.1762 

2.2491 

2.4048 

2.5539 

-0.0053 

-0.0201 

-0.0208 

0.0392 

0.0603 

0.0054 

0.0192 

0.0563 

0.0107 

0.0346 

-0.0094 

0.0216 

-0.0053 

-0.0255 

-0.0464 

-0.0070 

0.0539 

0.0594 

0.0790 

0.1364 

0.1476 

0.1830 

0.1737 

0.1960 

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 407 258 of which 
EUR  395 126  is  related  to  the  fixed  rate  bond  exposure.  The  global  modified  duration  of  the  fund 
increased during 2014 and stood at 2.04 years as of 31 December 2014, compared to 1.53 years as of 
31 December 2013. 

GF Sub- Portfolios 

Market Value (excluding 
accrued interest) 

Modified 
Duration (Years)

Interest Rate 
Exposure (+/-1bp) 

Floating Rate Notes 

641 794 466 

Fixed Rate Bonds 
Money Market 
Instruments 
Cash account 

Total GF 

1 188 986 291 

146 799 703 

1 176 7866 
1 978 757 246 

0.17 

3.28 

0.08 

2.04 

-/+ 10 895 

-/+ 395 126 

-/+ 1 237 

-/+ 407 258 

6 

The  EUR  1.177  million  “cash  account”  balance  reported  in  this  table  does  not  include  any  payments  relating  to 
commissions, fees and other payments not strictly depending on the positions in the portfolio. This explains why it 
does  not  match  the  EUR  1.1  million  total  balance  of  the  “current  account”  balance  reported  in  section  1.2.  The 
“cash  account”  balance  is  however  reset  at  the  beginning  of  each  year  to  match  the  total  balance  of  the  current 
accounts. 

13 

 
 
 
 
  
 
 
  
  
  
  
  
  
  
  
  
  
  
  
 
 
 
 
 
                                                 
3. 

ANNEX 

GUARANTEE FUND 

FINANCIAL STATEMENTS 

AS AT 31 DECEMBER 2014 

− Balance sheet 

− Statement of financial performance 

− Statement of changes in net assets 

− Cash flow statement 

− Notes to the financial statements 

− Independent auditor’s report 

14 

 
 
 
 
                                                                                 
 
 
 
 
 
 
 
 
 
 
 
Balance sheet as at 31 December2014 (in EUR) 

ASSETS 

Notes 

31.12.2014

31.12.2013

NON-CURRENT ASSETS 

Available for Sale portfolio 

Available for Sale portfolio – cost 

Available for Sale portfolio – actuarial difference 

Available for Sale portfolio – adjustment to fair value 

Total Available for Sale Portfolio 

TOTAL NON-CURRENT ASSETS 

CURRENT ASSETS 

Available for Sale portfolio 

Available for Sale portfolio – cost 

Available for Sale portfolio – actuarial difference 

Available for Sale portfolio – adjustment to fair value 

Available for Sale portfolio – accrued interest 

Total Available for Sale portfolio 

Short-term receivables 

Contributions receivable 

Total short-term receivables 

Cash and cash equivalents 

Current accounts 

Short-term deposits – nominal  

Accrued interest on short-term deposits 

Total cash and cash equivalents 

TOTAL CURRENT ASSETS 

5 

5 

6 

1 442 014 346.95

1 394 349 787.68

2 620 871.89

54 493 682.62

2 830 052.94

35 027 112.52

1 499 128 901.46

1 432 206 953.14

1 499 128 901.46

1 432 206 953.14

330 380 880.00

-337 177.65

1 608 172.83

14 629 547.91

346 281 423.09

144 409 518.00

144 409 518.00

1 127 193.23

146 800 000.00

6 011.79

147 933 205.02

345 762 688.23

-2 717 150.48

1 635 647.34

16 933 098.26

361 614 283.35

58 432 294.00

58 432 294.00

1 222 298.07

150 872 000.00

8 814.35

152 103 112.42

638 624 146.11

572 149 689.77

TOTAL ASSETS 

2 137 753 047.57

2 004 356 642.91

NET ASSETS AND LIABILITIES 

Notes 

31.12.2014

31.12.2013

NET ASSETS 

Contributions  

Net contributions paid in 

Contributions payable as guarantee call 

Contributions allocated but not yet paid in 

Reserves 

Fair value reserve - first time application  

Fair value reserve 

Accumulated surplus 

Economic result of the year 

TOTAL NET ASSETS 

CURRENT LIABILITIES 

Payables 

Guarantee call payable 

Other payables 

TOTAL CURRENT LIABILITIES 

7

8 

7

1 028 305 682.61

-22 200 466.06

144 409 518.00

0.00

56 101 855.45

878 284 248.11

29 767 370.43

1 030 100 127.55

-22 191 713.04

58 432 294.00

2 313.96

36 662 759.86

846 343 661.55

31 940 586.56

2 114 668 208.54

1 981 290 030.44

22 200 466.06

884 372.97

23 084 839.03

22 191 713.04

874 899.43

23 066 612.47

TOTAL NET ASSETS AND LIABILITIES 

2 137 753 047.57

2 004 356 642.91

15 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Statement of financial performance 

For the year ended 31 December 2014 

(in EUR) 

Notes 

From 01.01.2014
to 31.12.2014

From 01.01.2013
to 31.12.2013

Revenue from operating activities 

0.00

0.00

Expenses from operating activities 

-1 036 950.92

-1 014 843.31

      Management fees 

      Audit fees 

      Bank fees 

-844 872.97

-39 500.00

-152 577.95

-841 299.43

-33 600.00

-139 943.88

Result from operating activities 

-1 036 950.92

-1 014 843.31

Financial revenue 

Interest income 

       Cash and cash equivalents

      Available for Sale portfolio

Realised gain on sale of Available for Sale portfolio

Income from securities lending activity 

29 542 103.21

31 507 572.30

267 136.21

208 412.77

29 274 967.00

31 299 159.53

1 162 566.88

1 364 029.81

99 651.26

83 827.76

Result from non-operating activities 

30 804 321.35

32 955 429.87

ECONOMIC RESULT OF THE YEAR  

29 767 370.43

31 940 586.56

Items directly recognised in net assets 

Net change in fair value of Available for Sale portfolio

20 658 139.91

-15 411 253.21

Net  amount 

transferred 

to  statement  of  financial 

-1 221 358.28

-1 604 945.84

NET RESULT RECOGNISED IN NET ASSETS

19 436 781.63

-17 016 199.05

16 

 
 
 
 
 
 
 
 
 
 
 
Statement of changes in net assets 

For the year ended 31 December 2014 

(in EUR) 

Balance as at 01.01.2013 

1 103 081 775.35

11 865.89 

53 669 406.98

802 354 046.04

43 989 615.51

2 003 106 709.77 

Reserves 

Fair value 
reserve - first time 
application 

Notes

Contributions

Fair value 
reserve

Accumulated 
surplus

Economic result 
of the year

Total 

Contributions from the European Commission allocated but not yet paid 

Contributions repaid to the European Commission 

Contributions paid to the EIB as guarantee call 

Change of contributions payable as guarantee call 

Change of  fair value  reserve - first time application  

Change of fair value reserve 

Allocation of the Economic result of the year 2012 

Economic result of the year 2013 

Balance as at 31.12.2013 

Contributions from the European Commission allocated but not yet paid 

Contributions paid to the EIB as guarantee call 

Change of contributions payable as guarantee call 

Change of  fair value  reserve - first time application  

Change of fair value reserve 

Allocation of the Economic result of the year 2013 

Economic result of the year 2014 

Balance as at 31.12.2014 

7 

7 

7 

5 

7 

7 

7 

5 

58 432 294.00

-30 335 185.93 

-60 628 847.40 

-4 209 327.51 

0.00

0.00

0.00

0.00

0.00 

0.00 

0.00 

0.00 

-9 551.93  

0.00 

0.00 

0.00 

0.00

0.00

0.00

0.00

0.00

-17 006 647.12 

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

58 432 294.00 

-30 335 185.93 

-60 628 847.40 

-4 209 327.51 

-9 551.93 

-17 006 647.12 

43 989 615.51

-43 989 615.51 

0.00 

0.00

31 940 586.56

31 940 586.56 

1 066 340 708.51

2 313.96 

36 662 759.86

846 343 661.55

31 940 586.56

1 981 290 030.44 

0.00 

0.00 

0.00 

-2 313.96  

0.00 

0.00 

0.00 

0.00 

0.00

0.00

0.00

0.00

19 439 095.59

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

144 409 518.00 

-60 226 738.94 

-8 753.02 

-2 313.96 

19 439 095.59 

31 940 586.56

-31 940 586.56 

0.00 

0.00

29 767 370.43

29 767 370.43 

56 101 855.45

878 284 248.11

29 767 370.43

2 114 668 208.54 

144 409 518.00

-60 226 738.94 

-8 753.02 

0.00

0.00

0.00

0.00

1 150 514 734.55

17 

 
 
 
 
 
 
 
 
 
 
Cash flow statement for the year ended 31 December 2014 

(in EUR) 

Operating activities 

     Treasury management fee paid during the year 

     Bank fees / audit fees paid during the year 

     Contributions paid  as guarantee call 

Net cash flows used in operating activities 

Investing activities 

From 01.01.2014 
to 31.12.2014 

From 01.01.2013 
to 31.12.2013

-841 299.43 

-186 177.95 

-805 306.70

-171 742.27

-60 226 738.94 

-60 628 847.40

-61 254 216.32 

-61 605 896.37

Interest received on cash and cash equivalents

269 938.77

219 205.55

     Purchase of investments - Available for Sale portfolio 

-422 489 999.00 

-523 078 195.53

     Proceeds of investments - Available for Sale portfolio 

387 880 985.59 

324 477 096.51

     Interest received - Available for Sale portfolio 

32 894 240.86 

36 599 210.68

     Income from securities lending activity 

Net cash flows used in investing activities 

Financing activities 

99 651.26 

83 827.76

-1 345 182.52 

-161 698 855.03

      Contributions received from the European Commission  

58 432 294.00 

155 660 000.00

      Contributions repaid to the European Commission 

0.00 

-30 335 185.93

Net cash flows from financing activities 

Net decrease in cash and cash equivalents 

58 432 294.00 

125 324 814.07

-4 167 104.84 

-97 979 937.33

Cash and cash equivalents at the beginning of the financial year 

152 094 298.07 

250 074 235.40

Cash and cash equivalents at the end of the financial year 

147 927 193.23 

152 094 298.07

Cash 
(excluding accrued interest): 

cash 

and 

equivalents 

are 

composed 

of

Current accounts 

Short-term deposits  

Total cash and cash equivalents 

1 127 193.23 

1 222 298.07

146 800 000.00 

150 872 000.00

147 927 193.23 

152 094 298.07

18 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Notes to the financial statements as at 31 December 2014 

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 of the 
Annex 2 to the Agreement dated 17/23 September 1996, 8 May 2002, 25 February 2008, 20 
October 2010 and 9 November 2010 (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. 

The present financial statements cover the period from 1 January 2014 to 31 December 2014. 

EIB’s management has authorized the financial statements for issue on 31 March 2015. 

2 

Significant accounting policies 

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, 
1
 and December 20112. The updated rule is effective for periods beginning on 
December 2009
or  after  1  January  2012  with  the  exception  of  the  rules  on  disclosures  in  Chapter  9,  which 
became effective for periods beginning on or after 1 January 20143.  

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 article 3 and 5 of Council Regulation (EC, Euratom) No 480/2009 of 25 May 
2009 if, as a result of the activation of guarantees following one or major default, 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.  

1 

2 

3 

This is based on the revised standards IAS 32 and 39 as issued by the IASB on 18 December 2003 and consequently, does not 
integrate the carved out provisions as set out in the version of IAS 39 endorsed by the European Commission on 19 November 
2004. 
This  accounting  rule  is  based  on  the  following  IPSAS  standard:  IPSAS  28  “Financial  Instruments:  Presentation”,  IPSAS  29 
“Financial Instruments: Recognition and Measurement” and IPSAS 30 “Disclosures”. 
Decision  of  the  Accounting  Officer.  Subject:  Effective  date  of  disclosure  requirements  of  EU  Accounting  rule  11(Ref.  Ares 
(2013) 171464 – 11/02/2013). 

19 

 
 
 
 
                                                 
2.2 

Significant accounting and 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. 

2.3  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.  Following  the  decision  of  the  Accounting  Officer 
“effective  date  of  disclosure  requirements  of  the  EU  Accounting  rule  11  (Ref.  Ares  (2013) 
171464  –  11/02/2013)“,  the  Fund  retrospectively  applied  the  disclosure  requirements  to 
comparative information provided in these financial statements. 

2.4 

Summary of significant accounting policies 

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. 

20 

 
 
 
 
 
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. 

The elements of the statement of financial performance are translated into Euro on the basis of 
the exchange rates prevailing at the end of each month. 

2.4.2  Financial instruments 

All financial assets are recognised in the balance sheet on settlement date basis and measured 
according to their assigned category. 

2.4.2.1 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. 

2.4.2.2 Available for Sale portfolio 

The  bond  portfolio,  seen  as  Available  for  Sale  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 Commission4 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  as  current  or  non-current  asset  according  to  their  remaining 
contractual  maturity  at  the  balance  sheet  date.  Available  for  Sale  investments  with  a 
remaining maturity of less than one year and accrued interest with due date less than one year 
are presented in the balance sheet as current assets, while Available for Sale investments with 
a remaining maturity of more than one year are presented in the balance sheet as non-current 
assets. 

Unrealised  gains  or  losses  are  reported  in  reserves  until  such  security  is  sold,  collected  or 
otherwise disposed of, or until such 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 

4 

Decision of the Accounting Officer. Subject: Presentation of the Guarantee Fund for external actions and other available for sale 
portfolios (Ref. Ares (2013) 122752 – 31/01/2013). 

21 

 
 
 
                                                 
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. 

The sales and purchases of the securities are accounted for at settlement date. 

2.4.2.3  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. 

22 

 
 
 
2.4.2.4  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  costs.  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. 

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). When it relates to articles 5 and 6 the contributions to be 
paid  or  received,  based  on  the  year  end  n-1  difference  between  the  target  amount  and  the 
value  of  the  Fund’s  net  assets,  are  calculated  and  recorded  at  the  beginning  of  the  year  n. 
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. 

5 

The interinstitutional Agreement between the European Parliament, the Council and the Commission on budgetary discipline and 
sound financial management adopted on 25 November 2013 sets the multiannual financial framework of the European Union for 
the period 2014 to 2020. 

23 

 
 
 
 
                                                 
Guarantee recoveries paid from the EIB to the Fund in line with the Recovery Agreement are 
recognised  in  the  balance  sheet  as  contributions  on  the  date  when  the  guarantee  recovery 
becomes due. 

2.4.4  Interest income 

Interest  income  covers  interest  earned  on  cash  and  cash  equivalents  and  Available  for  Sale 
portfolio and is recorded in the statement of financial performance on an accrual basis. 

2.4.5  Treasury management fees 

According  to  the  Convention,  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. 

2.4.6  Securities Lending Activity 

In April 2008 the Fund entered into an automatic securities lending program with Euroclear 
Bank SA/NV.  

Securities lent within the automatic securities lending program are not derecognized from the 
Fund’s balance sheet as the control of the contractual rights that comprises these securities is 
still held by the Fund itself. 

Income from securities lending activity is recorded in the statement of financial performance 
on an accrual basis. 

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 

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. 

3.1  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 

24 

 
 
 
 
 
 
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.  

3.2  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. 

3.2.1  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  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. 

3.2.2  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  

ASSETS 

31.12.2014

31.12.2013 

Available for Sale portfolio 

1 845 410 324.55

1 793 821 236.49 

Short-term receivables 

Cash and cash equivalents 

Total assets 

144 409 518.00

58 432 294.00 

147 933 205.02

152 103 112.42 

2 137 753 047.57

2 004 356 642.91 

Total credit exposure 

2 137 753 047.57

2 004 356 642.91 

25 

 
 
 
 
 
 
3.2.3  Credit risk on cash and cash equivalents 

3.2.3.1 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 

A1 

Total 

31.12.2014

1 127 193.23

1 127 193.23

31.12.2013 

1 222 298.07 

1 222 298.07 

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 

BNP Paribas Fortis transitory account 

BNP Paribas Fortis current account 

Euroclear Bank current account 

Total 

31.12.2014

37 682.51

1 068 682.53

20 828.19

1 127 193.23

31.12.2013 

33 976.91 

1 144 843.27 

43 477.89 

1 222 298.07 

3.2.3.2 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 (including accrued interest) per maximum counterparty long term rating (based 
on  the  external  long  term  ratings  assigned  by  Fitch,  Standard  &  Poor’s  and  Moody’s)  (in 
EUR): 

Rating 

Aa2 

A2 

A3 

Total 

31.12.2014

31.12.2013

50 004 198.59

34.06%

34 600 192.22

22.93% 

96 801 813.20

65.94%

72 706 329.42

48.19% 

0.00

0.00%

43 574 292.71

28.88% 

146 806 011.79

100.00%

150 880 814.35

100.00% 

26 

 
 
 
 
 
 
 
3.2.4  Credit risk on Available for Sale portfolio 

3.2.4.1 Risk concentration per issuance 

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  by  a  Supranational,  other  States  or  Public  Company:  minimum 

rating Aa2;  

-  Covered  Bonds  or  other  legal  bodies  (including  structured  products):  minimum 

rating Aaa; 

-  Securities issued by Banks and Corporates:  minimum rating Aa2.  

The following table shows the breakdown of the Available for Sale portfolio, at market value 
excluding accrued interest, per security type and rating (in EUR): 

Issuer - Rating

Banks Aaa 

Banks Aa2 

31.12.2014

31.12.2013

0.00

0.00%

5 000 000.00 

63 440 347.00

3.47%

58 283 384.80 

European Union Aaa 

21 132 274.45

1.16%

21 507 242.10 

0.28%

3.28%

1.21%

Member State Aaa 

Member State Aa1 

Member State Aa2 

Member State Aa3 

Member State A1 

Member State A2 

Member State A3 

Member State Ba1 

Member State Baa1 

Member State Baa2 

Member State Ba2 

Member State B2 

Member State B3 

Covered Bond Aaa 

Corporate Aaa 

Corporate Aa1 

Corporate Aa2 

Public Institution Aaa 

Public Institution Aa2 

Public Institution Aa1 

Supranational Aaa 

Supranational Aa1 

197 601 840.05

10.79%

190 199 502.20 

10.70%

127 892 908.85

6.99%

132 579 067.48 

64 091 116.00

3.50%

109 897 057.00 

10 727 750.00

0.59%

21 084 170.00 

25 855 889.00

1.41%

17 197 780.00 

14 157 685.60

0.77%

24 742 260.00 

33 763 681.00

1.84%

9 835 700.00 

17 071 040.00

0.93%

0.00 

65 750 658.45

3.59%

104 738 951.00 

0.00

0.00

0.00%

0.00%

27 856 375.00 

16 108 691.20 

10 071 570.73

0.55%

0.00 

0.00

0.00%

16 984 122.69 

7.46%

6.18%

1.19%

0.97%

1.39%

0.55%

0.00%

5.89%

1.57%

0.91%

0.00%

0.96%

564 263 853.86

30.82%

465 365 704.56 

26.20%

0.00

0.00%

10 019 700.00 

31 550 271.50

1.72%

2 534 650.00

0.14%

0.00 

0.00 

0.56%

0.00%

0.00%

330 158 942.15

18.03%

363 705 421.20 

20.48%

78 985 314.40

4.31%

34 372 228.00 

98 348 124.10

5.37%

115 731 761.40 

5 040 500.00

0.28%

0.00 

58 791 200.50

3.21%

31 679 019.60 

1.93%

6.51%

0.00%

1.78%

0.00%

0.00%

Non-EU Public Institution Aaa 

4 109 020.00

0.23%

Non-EU Public Institution Aa2 

5 442 139.00

0.30%

0.00 

0.00 

Total 

1 830 780 77 100.00 1 776 888 138.2

100.00%

27 

 
 
The  above  table  presenting  securities  ratings  is  prepared  according  to  the  agreed  asset 
management  guidelines.  In  particular,  security  ratings  of  the  AFS  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. 

3.2.4.2 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 2014 and as at 
31 December 2013 (in EUR): 

At 31.12.2014 

EU sovereigns
Austria 

Belgium 

Czech Republic 

Finland 

France 

Germany 

Greece 

Ireland 

Italy 

Lithuania 

Luxembourg 

Netherlands 

Poland 

Portugal 

Slovakia 

Slovenia 

Spain 

European Union 

EU Supranational 

Total EU sovereigns

Others 

TOTAL 

Purchase price

Value at 
maturity

Book Value*)

11 420 950.00

61 817 500.00

11 042 900.00

9 478 425.00

11 500 000.00

60 000 000.00

11 000 000.00

9 500 000.00

11 995 792.55

64 091 116.00

10 727 750.00

9 655 500.00

120 211 395.00

121 000 000.00

127 892 908.85

148 205 130.00

149 500 000.00

154 541 701.50

10 111 500.00

19 919 200.00

56 022 535.00

12 460 600.00

14 946 600.00

4 500 000.00

3 716 000.00

16 032 480.00

24 688 950.00

10 000 000.00

4 979 450.00

20 429 270.00

46 811 500.00

10 000 000.00

20 000 000.00

57 500 000.00

13 000 000.00

15 000 000.00

4 500 000.00

4 000 000.00

16 000 000.00

25 000 000.00

10 000 000.00

5 000 000.00

20 500 000.00

46 000 000.00

10 071 570.73

20 070 800.00

60 658 858.45

13 481 481.00

16 903 941.00

4 504 905.00

4 143 385.60

17 071 040.00

25 855 889.00

10 225 700.00

5 091 800.00

21 132 274.45

48 778 300.50

606 794 385.00

609 000 000.00

636 894 714.63

1 165 600 841.95

1 163 505 920.74

1 193 886 062.01

1 772 395 226.95

1 772 505 920.74

1 830 780 776.64

*) The book value represents the clean market value of the assets excluding accrued interest. 

28 

 
 
 
 
At 31.12.2013 

EU sovereigns
Austria 

Belgium 

Czech Republic 

France 

Germany 

Greece 

Ireland 

Italy 

Lithuania 

Luxembourg 

Netherlands 

Poland 

Portugal 

Slovakia 

Slovenia 

Spain 

European Union 

EU Supranational 

Total EU sovereigns

Others

Purchase price Value at maturity

Book Value*)

14 215 300.00

88 493 581.53

21 462 900.00

14 000 000.00

88 000 000.00

21 000 000.00

14 082 530.00

89 864 657.00

21 084 170.00

144 945 983.68

146 000 000.00

152 611 467.48

138 218 880.00

139 500 000.00

144 589 142.70

17 661 350.00

29 619 200.00

56 022 535.00

12 460 600.00

14 946 600.00

16 456 350.00

3 716 000.00

16 032 480.00

36 422 750.00

10 000 000.00

27 432 225.00

20 429 270.00

31 723 650.00

17 000 000.00

30 000 000.00

57 500 000.00

13 000 000.00

15 000 000.00

16 500 000.00

4 000 000.00

16 000 000.00

36 500 000.00

10 000 000.00

27 500 000.00

20 500 000.00

31 000 000.00

16 984 122.69

30 571 261.00

60 525 522.50

13 642 167.50

14 937 799.50

16 590 030.00

4 248 860.00

16 108 691.20

37 691 180.00

9 835 700.00

27 856 375.00

21 507 242.10

31 679 019.60

700 259 655.21

703 000 000.00

724 409 938.27

1 039 852 820.70

1 036 838 624.14

1 052 478 199.96

TOTAL
1 740 112 475.91
1 776 888 138.23
*)  The  book  value  represents  the  clean  market  value  of  the  assets  excluding  accrued 

1 739 838 624.14

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. 

The  Fund  did  not  participate  in  any  private  sector  initiative  for  Greece  and  therefore  no 
impairment was recorded on its Greek sovereign and sovereign guaranteed exposure for 2013 
and 2014.  

An  exchange  agreement  was  signed  between  the  Hellenic  Republic  and  the  EC  dated  7 
February  2012,  whereby  the  Greek  Government  Bonds  have  been  exchanged  for  new  debt 
securities of the Hellenic Republic issued in series having the same nominal amount, interest 
rate, interest payment dates and redemption dates. 

The following mark to market model has been applied to the Greek bonds held:  

•  a  spread  curve  versus  EUR  Swap  has  been  prepared  using  the  yields  quoted  on  the 

following instruments: 

a)  3 Month Greek Treasury Bill Benchmark; 
b)  6 Month Greek Treasury Bill Benchmark; 
c)  all securities issued by the Greek Government in replacement of bonds subject 

to Private Sector  Involvement (PSI); 

•  a  discounting  curve  has  been  prepared  adding  the  aforementioned  spreads  to  each 

EUR Swap tenor. Missing nodes have been interpolated linearly; 
the cash flows of the Greek Bonds have been discounted to the Net Present Value. 

• 

29 

 
 
 
 
3.3 

Liquidity Risk 

Liquidity  risk  refers  to  an  entity’s  ability  to  meet  obligations  as  they  come  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. 

3.3.1  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. 

3.3.2  Liquidity risk measurement 

The  table  below  provides  an  analysis  of  the  non-derivative  liabilities  into  relevant  maturity 
groupings  based  on  the  remaining  period  from  the  balance  sheet  date  to  the  contractual 
maturity  date  while  the  accrued  interests  are  presented  based  on  the  due  date  of  those  cash 
flows. The table is presented under the most prudent consideration of maturity dates where the 
earliest possible repayment date is shown. 

Maturity 
(at 31 December 2014) 

profile 

Less than
 1 year

1 year to
  5 years

More than 
 5 years 

Guarantee call payable 

Other payables 

Total  

22 200 466.06

884 372.97

23 084 839.03

0.00

0.00

0.00

0.00 

0.00 

0.00 

Maturity 
(at 31 December 2013) 

profile 

Less than
1 year

1 year to 
5 years

More than 
 5 years 

Guarantee call payable 

Other payables 

Total  

22 191 713.04

874 899.43

23 066 612.47

0.00

0.00

0.00

0.00 

0.00 

0.00 

TOTAL

22 200 466.06

884 372.97

23 084 839.03

TOTAL

22 191 713.04

874 899.43

23 066 612.47

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. 

1  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 limit the exposure to market risk of the treasury portfolio. The compliance 
with these limits is monitored by Risk Management on a daily basis.  

30 

 
 
 
 
 
 
 
31 

 
 
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. 

3.4.1.1 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 a 
parallel shift of the interest rate curve. 

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/zero coupon bonds), 
GF-FRN  (AFS  Bond  portfolio  variable  interest),  GF-Long  term  (AFS  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 2014

GF sub-portfolios 

GF - Short term
GF - FRN
GF - Long term

TOTAL GF 

31 December 2013

GF sub-portfolios 

GF - Short term
GF - FRN
GF - Long term

TOTAL GF 

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 

146 800
641 794
1 188 986

1 977 580 

0.08
0.17
3.28

2.04 

-/+ 1.237
-/+ 10.895
-/+ 395.126

-123
-1 086
-38 367

+ 124
+ 1 093
+ 40 720

-/+ 407.258 

-39 576 

 + 41 937 

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 

190 867
707 245
1 029 644

1 927 756 

0.06
0.16
2.73

1.53 

-/+ 1.199
-/+ 11.660
-/+ 285.264

-119
-1 161
-27 789

+ 120
+ 1 171
+ 29 301

-/+ 298.123 

-29 069 

 + 30 592 

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 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. 

•  Zero  coupon  bonds:  the  nominal  value    of    each    position    is    multiplied    with    the  

observed  spot  quote/price. 

32 

 
 
 
 
The clean market values of the GF-FRN and GF-Long term sub-portfolios as reported above 
represents  the  sum  of  clean  market  values  calculated  for  inflation  linked,  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. 

•  Inflation linked bonds: the nominal value of each position is multiplied by its market 

quote as observed at valuation date multiplied by the Inflation Index Ratio. 

•  Greek bonds: a model based valuation methodology is applied at valuation date (ad-

hoc market driven discounting methodology), as described in note 3.2. 

3.5 

Foreign exchange risk exposure 

2. 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. 

33 

 
 
 
 
4 

Fair value of financial instruments 

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 2014 

in EUR 

Financial assets carried at fair value: 

AFS portfolio 

Total  

Financial assets not carried at fair value: 

Short-term receivables 

Current accounts 

Short-term deposits 

Total  

Carrying Amount 

Fair value 

Available for 
sale

Cash, loans and 
receivables

Other financial 
liabilities

Total 

Level 1

Level 2

Level 3

Total

1 845 410 324.55

1 845 410 324.55

0.00

0.00

0.00

1 845 410 324.55 

  1 825 140 465.48

20 269 859.07

0.00

1 845 410 324.55

0.00

1 845 410 324.55 

  1 825 140 465.48

20 269 859.07

0.00

1 845 410 324.55

0.00

144 409 518.00

0.00

1 127 193.23

0.00

146 806 011.79

0.00

0.00

0.00

144 409 518.00 

1 127 193.23 

146 806 011.79 

0.00

292 342 723.02

0.00

292 342 723.02 

Total financial assets 

1 845 410 324.55

292 342 723.02

0.00

2 137 753 047.57 

Financial liabilities not carried at fair value: 

Other payables 

Guarantee call payable 

Total  

Total financial liabilities 

0.00

0.00

0.00

0.00

0.00

-884 372.97 

-884 372.97 

0.00

-22 200 466.06 

-22 200 466.06 

0.00

-23 084 839.03 

-23 084 839.03 

0.00

-23 084 839.03 

-23 084 839.03 

34 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
4 

Fair value of financial instruments (continued) 

4.1 

Accounting classifications and fair value (continued) 

At 31 December 2013 

in EUR 

Financial assets carried at fair value: 

AFS portfolio 

Total  

Financial assets not carried at fair value: 

Short-term receivable 

Current accounts 

Short-term deposits 

Total  

Carrying Amount 

Fair value 

Available for 
sale

Cash and Loans 
and receivables

Other financial 
liabilities

Total 

Level 1

Level 2

Level 3

Total

1 793 821 236.49

1 793 821 236.49

0.00

0.00

0.00

1 793 821 236.49 

  1 761 509 746.62

32 311 489.87

0.00

1 793 821 236.49

0.00

1 793 821 236.49 

  1 761 509 746.62

32 311 489.87

0.00

1 793 821 236.49

0.00

0.00

58 432 294.00

1 222 298.07

0.00

150 880 814.35

0.00

0.00

0.00

58 432 294.00 

1 222 298.07 

150 880 814.35 

0.00

210 535 406.42

0.00

210 535 406.42 

Total financial assets 

1 793 821 236.49

210 535 406.42

0.00

2 004 356 642.91 

Financial liabilities not carried at fair value: 

Other payables 

Guarantee call payable 

Total  

Total financial liabilities 

0.00

0.00

0.00

0.00

0.00

-874 899.43

-874 899.43 

0.00

-22 191 713.04

-22 191 713.04 

0.00

-23 066 612.47

-23 066 612.47 

0.00

-23 066 612.47

-23 066 612.47 

35 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
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. 

4.3 

Transfers between level 1 and level 2  

The table below shows the significant transfers between level 1 and level 2 of the fair value 
hierarchy (in EUR): 

Transfer out of level 1 into level 2 

10 032 041.76

4 949 223.88

Transfer out of level 2 into level 1 

9 818 930.78

15 168 558.75

31 December 2014

31 December 2013

The  transfer  out  of  level  1  into  level  2  is  due  to  changes  in  market  conditions  for  certain 
securities for which quoted  prices in active markets were no longer available at the balance 
sheet date. However, there was sufficient information available to measure the fair values of 
these securities based on observable market inputs.  

The  transfers  out  of  level  2  into  level  1  correspond  to  securities  for  which  quoted  prices  in 
active markets were available at the balance sheet date but not at the previous balance sheet 
date. 

4.4 

Level 3 fair value 

As  at  31  December  2014  and  31  December  2013  the  Fund  has  no  financial  instruments 
classified under Level 3. 

36 

 
 
 
 
 
 
 
 
 
 
5 

Available for Sale portfolio 

The following tables show the movements of the Available for Sale portfolio (in EUR): 

Balance as at 1 January 2013 

Acquisitions 

Disposals and withdrawals (original acquisition cost) 

Change in carrying amount -  actuarial difference 

Change in accrued interest 

Change in fair value 

Balance as amount at 31 December 2013 

Balance as at 1 January 2014 

Acquisitions 

Disposals and withdrawals (original acquisition cost) 

Change in carrying amount -  actuarial difference 

Change in accrued interest 

Change in fair value 

Balance as at 31 December 2014 

1 615 570 968.54 

523 078 195.53 

-326 339 063.80 

559 316.26 

-2 041 532.92 

-17 006 647.12 

1 793 821 236.49 

1 793 821 236.49 

422 489 999.00 

-390 207 247.96 

2 170 791.78 

-2 303 550.35 

19 439 095.59 

1 845 410 324.55 

As  at  31  December  2014,  the  nominal  value  of  the  investment  portfolio  was  EUR  1 772.5 
million (2013: EUR 1 739.8 million), against a market value of EUR 1 830.8 million (2013: 
EUR 1 776.9 million), excluding accrued interest. 

Accrued  interest  as  at  31  December  2014  amounting  to  EUR  14 629 547.91  (2013: 
EUR 16 933 098.26) is split between: 

•  Fixed rate notes 

EUR 14 279 223.81 (2013 EUR: 16 405 005.93) 

•  Floating rate notes   EUR  350 324.10 (2013: EUR: 528 092.33) 

As  at  31  December  2014  the  market  value  of  securities  lent  within  the  automatic  security 
lending  agreement  with  Euroclear  (excluding  accrued 
to  EUR 
24 359 135.98 (2013: EUR 37 605 514.54). 

interest)  amounts 

37 

 
 
 
 
 
6 

Cash and cash equivalents 

The following table shows the split of cash and cash equivalents (including accrued interest) 
(in EUR): 

Description 

Current accounts 

Short term deposits 

of which accrued interest 

Total 

7 

Contributions 

31.12.2014

1 127 193.23

31.12.2013

1 222 298.07

146 806 011.79

150 880 814.35

6 011.79

8 814.35

147 933 205.02

152 103 112.42

Contributions are increased by contributions from the general budget of the European Union 
and  by  the  recoveries  of  previous  interventions  made  by  the  Fund  with  regard  to  defaulted 
guaranteed loans. 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  2013  amounting  to  EUR 
58 432 294.00  was  paid  in  cash  during  the  reporting  period.  In  2014,  the  Fund  has  been 
allocated an additional contribution amount of EUR 144 409 518.00 which has not been paid 
as at 31 December 2014.  

In December 2013 the Fund made a capital repayment of EUR 30 335 185.93 to the European 
Commission following the EU enlargement with a new member: the Republic of Croatia. 

38 

 
 
 
 
The following table shows the movements of the contributions during the reporting period (in 
EUR):  

Balance as at 1 January 2013 

Contributions from the European Commission allocated but not paid in 

Change of  contributions payable as guarantee call 

Contributions paid to the EIB as guarantee call 

Contributions repaid to the European Commission 

Balance as at 31 December 2013 

Balance as at 1 January 2014 

Contributions from the European Commission allocated but not paid in 

Change of  contributions payable as guarantee call 

Contributions paid to the EIB as guarantee call 

Balance as at 31 December 2014 

8 

Current liabilities (in EUR) 

Description 

Payables 

Guarantee call payable 

Treasury management fees 

Audit fees 

Total 

1 103 081 775.35

58 432 294.00

-4 209 327.51

-60 628 847.40

-30 335 185.93

1 066 340 708.51

1 066 340 708.51

144 409 518.00

-8 753.02

-60 226 738.94

1 150 514 734.55

31.12.2014 

31.12.2013

22 200 466.06 

22 191 713.04

844 872.97 

841 299.43

39 500.00 

33 600.00

23 084 839.03 

23 066 612.47

Treasury management fees are payable to the EIB on an annual basis.  

9 

Subsequent events 

There  have  been  no  material  post-balance  sheet  events,  which  would  require  disclosure  or 
adjustment to the 31 December 2014 financial statements. 

39