COMMISSION STAFF WORKING DOCUMENT Accompanying the document REPORT FROM THE COMMISSION TO THE EUROPEAN PARLIAMENT AND THE COUNCIL ON THE GUARANTEE FUND FOR EXTERNAL ACTION AND ITS MANAGEMENT IN 2015
Date: 2016-07-05
Institutions: Directorate-General for Economic and Financial Affairs, European Commission
Subjects: Community loan, European Investment Bank, budgetary reserve (EU), closing of accounts, credit guarantee, financial control, fund (EU), general budget (EU), publication of accounts

EUROPEAN 
COMMISSION 

Brussels, 5.7.2016 
SWD(2016) 220 final 

COMMISSION STAFF WORKING DOCUMENT 
Accompanying the document 

REPORT FROM THE COMMISSION TO THE EUROPEAN PARLIAMENT AND 
THE COUNCIL 

ON THE GUARANTEE FUND FOR EXTERNAL ACTION AND ITS 
MANAGEMENT IN 2015 

{COM(2016) 439 final} 

EN 

   EN 

 
 
 
 
  
 
 
TABLE OF CONTENTS 

1. 

2. 

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

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

2.1. 

Development of the Fund in 2015................................................................................ 3 

2.2. 

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

2.2.1.  Contributions as at 31 December 2015 ........................................................................ 3 

2.2.2.  The Fund’s holdings net of accrued interest at 31 December 2015............................. 4 

2.3. 

General and segmental analyses of the Fund ............................................................... 5 

2.3.1.  Liquidity analysis ......................................................................................................... 5 

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. 

FUND MANAGEMENT REPORT 

2.1. 

Development of the Fund in 2015 

As at 31 December 2015 total assets (excluding accrued interest) of the Guarantee Fund (the “Fund”) 
amounted to EUR 2,328.11 million against EUR 2,123.1 million as at 31 December 2014, an increase 
of EUR 205 million. 

Fig.1: Development of total assets in 2015 and 2014 

The  net  operating  result  amounted  to  EUR  32.34  million  at  31  December  2015  compared  with 
EUR 29.77 million at 31 December 2014 representing an increase of 8.6%. 

2.2. 

Situation of the Fund  

2.2.1.  Contributions as at 31 December 2015 

2.2.1.1.  Contributions paid in as at 31 December 2015 

The  net  contributions  paid 
increased  by 
EUR 84.3 million or 8.2% from EUR 1,028.3 million at 31 December 2014 to EUR 1,112.6 million at 
31 December 2015.  

the  European  Union  budget 

the  Fund  by 

into 

1 

The balance of total assets includes a contribution receivable of EUR 257.1 million which is due to be paid in 2016 
(in the previous year: EUR 144.4 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 
31/12/2014 

3,603,917,457 

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

Movements in 2015 

Situation at 
31/12/2015 

144,409,518 

3,748,326,975 

0 
-60,164,572 
0 
0 

-1,775,870,000 
-682,903,987 
578,854,354 
-755,856,713 

Balance 

1,028,305,683 

84,244,946 

1,112,550,629 

2.2.1.2.  Contributions payable and receivable as at 31 December 2015 

As  at  31  December  2015  the  Fund  has  recorded  EUR  22.1  million  (2014:  EUR  22.2  million)  as 
contributions  payable  representing  the  provisioning  for  three  guarantee  calls  made  by  the  European 
Investment Bank in 2015 with regard to Syrian loan defaults (2014: three guarantee calls). In addition, 
as  at  31  December  2015  the  Fund  has  recorded  EUR  257.1  million  (2014:  EUR  144.4  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 2015 

The  Fund’s  holdings  at  31  December  2015  excluding  accrued  interest  and  contributions  receivable 
totalled EUR 2,071.02 million as detailed below: 

-  EUR 34.8 million in the monetary portfolio (nominal value of interbank term deposits); 

-  EUR 49.1 million in the current accounts;  

-  EUR 1,987.1 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 

This amount excludes a short-term deposits under settlement. 

4 

 
  
 
 
 
 
 
                                                 
2.3. 

General and segmental analyses of the Fund 

2.3.1.  Liquidity analysis 

The liquidity position of the Fund at 31 December 2015 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 2015 (in EUR million): 

Maturity 

Total assets 

less than 
3 months 
500 

3 months to 
1 year 
229 

1 to 10 years 

1,614 

maturity 
undefined 
0 

Total 

2,343 

Total net assets 

Total liabilities  

Total net 
liabilities 

assets 

and 

Net liquidity position 

0 

-23 

-23 

477 

0 

0 

0 

0 

0 

0 

-2,320 

-2,320 

0 

-23 

-2,320 

-2,343 

229 

1,614 

-2,320 

0 

2.3.2.  General analysis of the results of the Fund 

Overall,  during  the  reporting  period  1  January  2015  to  31  December  2015  the  Fund  achieved 
EUR  32.34 million  in net  revenue.  The  following table  outlines the  net  revenue  earned  in 2015  and 
compares it with 2014: 

In EUR million 

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

From 1 January to 
 31 December 2015 

From 1 January to  
31 December 2014 

0.03 
24.23 
9.18 
0.11 
-0.01 
-0.15 
-1.05 

0.1%
74.9%
28.4%
0.3%
0.0%
-0.5%
-3.2%

0.27 
29.28 
1.16 
0.10 
0.00 
0.00 
-1.04 

0.9%
98.4%
3.9%
0.3%
0.0%
0.0%
-3.5%

Total 

32.34 

100.0%

29.77 

100.0%

2.3.3.  Analysis by segment 

2.3.3.1.  Analysis of money market operations 

Money-market 
interest)  amount 
31 December 2015, as compared to EUR 147.9 million the year before. 

investments  (excluding  accrued 

to  EUR  83.93  million  at 

3 

This amount excludes a short-term deposit under settlement. 

5 

 
 
 
 
 
 
 
 
 
 
 
  
  
  
  
  
  
 
 
 
                                                 
•  Evolution of money-market rates in 2015 

The watchword on the monetary policy lead by the ECB in 2015 was once again liquidity. It was also 
the  year  when  there  were  innovative  and  novel  initiatives  aplenty.  At  the  same  time,  key  monetary 
policy rates were cut to levels never seen before, and the ECB started buying in the primary market, 
expanding it purchases to  include sovereign, agency and supranational bonds as well as  semi-public 
and even local bonds.  

The short end of the curve reached a new low (-0.44% for the 2-year Schatz on 2nd December). 

In January, the ECB launched its Extended Asset Purchase Programme (EAPP), with as objective to 
purchase EUR 60bn of securities until September 2016 (extended by six months on 3rd December). It 
was also announced that it would continue to provide liquidity trough quarterly targeted longer-term 
refinancing  operations  (TLTRO)  still  on  a  full  allotment  basis,  but  henceforth  at  the  repo  rate 
(instead of 10bp above). 

On 3rd September, the ECB continued to fine-tune its EAPP, announcing an easing of holding rules, 
raising the ceiling to 33% (from 25% previously).  

Risks  overhanging  inflation  and  growth,  with  concerns  fuelled  by  developments  in  China  and  other 
emerging economies, led the ECB at its October meeting to prepare the market for further measures in 
December. The central bank revealed plans to extend quantitative easing and modify the composition 
of its purchases, also stating explicitly its intention to cut the rate for the deposit facility. 

In the December ECB meeting, the Governing Council did announce a 6-month QE extension (from 
September 2016 until March 2017), a 10 bp cut in the deposit rate (to -0.30%, leaving unchanged the 
main  refinancing  operations  interest  rates  and  marginal  lending  facility  at  0.05%  and  0.30% 
respectively), and the reinvestment of proceeds from bond redemptions for as long as necessary.  

The  excess  of  liquidity  is  bringing  closes  to  the  maximus  of  2012  (EUR  801  bn),  with  a  year-end 
amount  of EUR  577  bn,  while  Euribor  fixing  in  negative  territory  in  the  curve  up  to  the  6  months 
reference. 

Fig. 2: Evolution of Money Market rates during 2015 (source Reuters) 

6 

 
 
 
  
 
 
 
•  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 breakdown4, including accrued interest, is as follows: 

Fig. 3: Short term interbank investments by profile of counterparty at 31 December 2015 

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  115.  At  31  December  2015,  the  market  value  (excluding  accrued  interest)  of  securities  with  a 
residual  period  to  maturity  of  less  than  three  months  amounted  to  EUR  153.2  million,  between 
3 months and one year EUR 219.7 million and between one and 10 years EUR 1,614.2 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 2015, the nominal value of the investment bond portfolio was EUR 1,910.2 million, 
against a clean market value of EUR 1,987.1 million. 

The global (modified) duration of the bond portfolio increased over 2015 to reach 3.21 years at the end 
of the year. As of 31 December 2015, the clean market value of the investment bond portfolio came to 
EUR  1,987.1  million  (2014:  EUR  1,830.8  million)  compared  with  a  book  value  (including 
premiums/discounts) of EUR 1,954.9 million (2014: EUR 1,774.7 million), which gives an unrealised 
fair value result of EUR +32.2 million (2014: EUR +56.1 million).  

The  front  end  of  the  German  government  curve  declined  deeper  into  negative  territory  as  ECB 
launched and continued the Public Sector Purchase Programme and lowered its deposit rate. Initially, 
negative  interest  rates  were  observed  in  the  short  end  of  the  yield  curve.  However,  they  have 
progressively  extended  to  the  middle  maturities  of  the  yield  curve.  The  long  end  of  the  yield  curve 
closed  the  year  at  marginally  higher  level  than  before,  which  was  a  result  of  a  market  selloff  that 
occurred  at  the  end  of  April  /  beginning  of  May  and  whose  effect,  in  case  of  longer  rates,  lasted 
beyond the end of year. 

4 
5 

The breakdown includes short-term deposits under settlement. 
The  Available  for  Sale  portfolio  also  includes  the  zero-coupon  bonds  and  commercial  papers  with  original 
maturities of more than three months. 

7 

 
 
 
 
 
 
 
 
                                                 
Fig. 4: Euro sovereign yield steepened during 2015 (source Bloomberg) 

The  decline  of  the  short  end  of  the  yield  curves  had  a  positive  impact  on  the  Fund’s  portfolio 
performance, which in terms of the absolute return amounted to 47 basis points. 

In  line  with  the  2015  approved  investment  strategy  and  in  compliance  with  the  guidelines,  a  total 
nominal  amount  of  EUR  853.756  million  was  invested  in  four  asset  classes:  Sovereigns,  Supra-
nationals,  Agencies  SSA  (EUR  555.10  million  or  65%),  covered  bonds  (EUR  135.25  million  or 
16%), corporate bonds (EUR 138.40 million or 16%) and financials (EUR 25.00 million or 3%) 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  maximize  the  risk  return  profile  of  the  portfolio 
while satisfying the liquidity constraints. The charts below outline the total 2015 investments per asset 
class as well as in terms of country distribution. 

Fig. 5: 2015 Investments per asset class 

6 

This amount does not include the zero-coupon bonds and commercial papers. 

8 

 
 
 
 
 
 
 
 
 
 
 
 
 
                                                 
Fig. 6: 2015 Investments per country of exposure 

The below chart displays the maturity and instrument format split of the 2015 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 Guarantee Fund portfolio duration management) 
has been favoured. 

500.00

450.00

400.00

350.00

300.00

250.00

200.00

150.00

100.00

50.00

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. 7: 2015 Investments per maturity tenor and instrument type 

9 

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

value) 

Fig. 8: Investment portfolio breakdown between fixed7 and variable rate securities at 31 December 2015 

•  Redemption profile of investment portfolio (nominal value) 

Fig.9: Investment portfolio: Redemption profile at 31 December 2015 

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

• 

Profile of issuers 

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 States8: 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. 

7 
8 

The fixed rate portfolio includes the zero-coupon bonds and commercial papers. 
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. 

10 

 
 
 
 
 
 
                                                 
The  profile  of  issuers  by  issuer  type  and  long  term  rating9  of  the  investment  portfolio  (nominal 
amount) at 31 December 2015 is as follows: 

Fig.10: Investment portfolio: Profile of issuers at 31 December 201510 

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  

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: 

• 

9 

10 

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; 

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 10 includes: Public Institutions Aa1 (1.39%), Banks A1 (1.32%), Banks 
Aa3  (1.07%),  Member  States  Ba1  (0.84%),  Banks  A2  (0.68%),  Member  States  Aa3  (0.58%),  Non-EU  Public 
Institutions Aa2 (0.26%), Supranational Aaa (0.26%), Non-EU Public Institutions Aaa (0.21%). 

11 

 
 
 
 
                                                 
• 

during the month, whenever a change higher than ±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 2015 

Money Market 
FRN and Fixed Rate 
Bonds 

Fixed 
Rate 
Bonds 

1 m 

3 m 

sovereign 

covered bonds 

sovereign 

covered bonds 

sovereign 

covered bonds 

sovereign 

covered bonds 

0-1 

1-3 

3-5 

5-7 

7-10 

Total 

8.29% 

33.45% 

12.83% 

4.80% 

12.32% 

12.33% 

4.27% 

6.38% 

3.73% 

1.60% 

100.00% 

12 

 
 
  
 
 
 
 
 
 
 
 
 
2.4.2.  Performance 

The performance of the Fund portfolio was monitored on a marked-to-market basis. During 2015, the 
portfolio  delivered  a  0.4706%  MTM  yearly  return,  outperforming  its  benchmark  by  +0.9  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 %) 

31/01/2015 

1,999,601,752 

28/02/2015 

2,126,934,513 

31/03/2015 

2,125,780,298 

30/04/2015 

2,123,491,965 

31/05/2015 

2,113,399,206 

30/06/2015 

2,104,669,968 

31/07/2015 

2,106,821,390 

31/08/2015 

2,088,509,558 

30/09/2015 

2,089,181,066 

31/10/2015 

2,095,499,929 

30/11/2015 

2,094,678,867 

31/12/2015 

2,086,475,442 

2.4.3. 

Interest rate risk 

0.2167 

0.1727 

0.1001 

-0.1077 

-0.1004 

-0.3707 

0.3025 

-0.1734 

0.1895 

0.3025 

0.3333 

-0.3917 

0.2167 

0.3897 

0.4902 

0.3819 

0.2812 

-0.0906 

0.2116 

0.0379 

0.2275 

0.5307 

0.8657 

0.4706 

Monthly 
Excess Return 
compared to 
benchmark 
(in%) 
0.0085 

-0.0426 

0.0189 

0.0240 

0.0341 

0.0363 

-0.0835 

-0.0263 

-0.0299 

0.0442 

0.0372 

-0.0122 

YTD 
Excess 
Return 
(in%) 

0.0085 

-0.0341 

-0.0152 

0.0090 

0.0432 

0.0794 

-0.0038 

-0.0301 

-0.0602 

-0.0160 

0.0213 

0.0090 

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 690,676 of which 
EUR  684,734  is  related  to  the  fixed  rate  bond  exposure.  The  global  modified  duration  of  the  fund 
increased during 2015 and stood at 3.21 years as of 31 December 2015, compared to 2.04 years as of 
31 December 2014. 

GF Sub- Portfolios 

Floating Rate Notes 

Fixed Rate Bonds 
Money Market 
Instruments 
Cash account 
Total GF 

Market Value (excluding 
accrued interest) 
236,045,302 

1,672,413,664 

113,411,902 

49,145,563 

2,071,016,431 

Modified 
Duration (Years)

0.170 

0.169 

3.937 

Interest Rate 
Exposure (+/-1bp) 
+/- 1,923 

+/- 3,995 

+/- 664,503 

3.21 

+/- 670,421 

13 

 
 
  
 
 
  
  
  
  
  
  
  
  
  
  
  
  
 
 
 
 
 
 
3. 

ANNEX 

GUARANTEE FUND 

FINANCIAL STATEMENTS 

AS AT 31 DECEMBER 2015 

− Balance sheet 

− Statement of financial performance 

− Statement of changes in net assets 

− Cash flow statement 

− Notes to the financial statements 

14 

 
 
 
 
 
 
 
 
                                                                                 
 
 
 
 
 
 
 
 
 
ASSETS 

NON-CURRENT ASSETS 

Available for Sale portfolio 

Bond portfolio – cost 

Bond portfolio – actuarial difference 

Bond portfolio – adjustment to fair value 

Total Available for Sale Portfolio 

TOTAL NON-CURRENT ASSETS 

CURRENT ASSETS 

Available for Sale portfolio 

Bond portfolio – cost 

Bond portfolio – actuarial difference 

Bond portfolio – adjustment to fair value 

Bond 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  

Short-term deposits - accrued interest 

Short-term deposits under settlement 

Total cash and cash equivalents 

TOTAL CURRENT ASSETS 

TOTAL ASSETS 

Balance sheet  

as at 31 December 2015 
(in EUR) 

Notes 

5 

5 

6 

31.12.2015 

31.12.2014

1,588,306,103.90 

1,442,014,346.95

-4,001,734.22 

29,929,113.76 

2,620,871.89

54,493,682.62

1,614,233,483.44 

1,499,128,901.46

1,614,233,483.44 

1,499,128,901.46

370,666,625.76 

330,380,880.00

-28,761.69 

2,194,274.03 

14,960,434.80 

-337,177.65

1,608,172.83

14,629,547.91

387,792,572.90 

346,281,423.09

257,121,792.00 

257,121,792.00 

144,409,518.00

144,409,518.00

49,145,562.99 

44,800,000.00 

-2,301.19 

-10,000,000.00 

83,943,261.80 

728,857,626.70 

1,127,193.23

146,800,000.00

6,011.79

0.00

147,933,205.02

638,624,146.11

2,343,091,110.14 

2,137,753,047.57

NET ASSETS AND LIABILITIES 

Notes 

31.12.2015 

31.12.2014

NET ASSETS 

Contributions  

Net contributions paid in 

Contributions payable as guarantee call 

Contributions allocated but not yet paid in 

Reserves 

Fair value reserve 

Accumulated surplus 

Economic result of the year 

TOTAL NET ASSETS 

CURRENT LIABILITIES 

Guarantee call payable 

Other payables 

TOTAL CURRENT LIABILITIES 

TOTAL NET ASSETS AND LIABILITIES 

7 

8 

1,112,550,629.06 

1,028,305,682.61

-22,130,631.78 

257,121,792.00 

-22,200,466.06

144,409,518.00

32,123,387.79 

56,101,855.45

908,051,618.54 

878,284,248.11

32,342,954.77 

29,767,370.43

2,320,059,750.38 

2,114,668,208.54

22,130,631.78 

900,727.98 

23,031,359.76 

22,200,466.06

884,372.97

23,084,839.03

2,343,091,110.14 

2,137,753,047.57

15 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Statement of financial performance 

For the year ended 31 December 2015 

(in EUR) 

From 01.01.2015 
to 31.12.2015 

From 01.01.2014
to 31.12.2014

Revenue from operating activities 

0.00 

0.00

Expenses from operating activities 

      Management fees 

      Audit fees 

      Bank fees 

-1,045,413.10 

-1,036,950.92

-861,227.98 

-39,500.00 

-144,685.12 

-844,872.97

-39,500.00

-152,577.95

Result from operating activities 

-1,045,413.10 

-1,036,950.92

Financial revenue 

Interest income 

       Cash and cash equivalents 

      Bond portfolio 

Realised gain on sale of Bond portfolio 

Income from securities lending activity 

Financial expenses 

Interest expense 

       Cash and cash equivalents 

Realised loss on sale of Bond portfolio 

24,252,802.28 

29,542,103.21

26,254.60 

267,136.21

24,226,547.68 

29,274,967.00

9,176,573.59 

115,809.80 

1,162,566.88

99,651.26

-8,633.64 

-8,633.64 

-148,184.16 

0.00

0.00

0.00

Result from non-operating activities 

33,388,367.87 

30,804,321.35

ECONOMIC RESULT OF THE YEAR  

32,342,954.77 

29,767,370.43

Items directly recognised in net assets 

Net change in fair value of Bond portfolio 

Net amount transferred to statement of financial performance 

NET RESULT RECOGNISED IN NET ASSETS 

-10,981,522.17 

20,658,139.91

-12,996,945.49 

-1,221,358.28

-23,978,467.66 

19,436,781.63

16 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Statement of changes in net assets 

For the year ended 31 December 2015 

(in EUR) 

Reserves 

Fair value 
reserve - first time 
application

Notes

Contributions

Fair value 
reserve

Accumulated 
surplus

Economic result 
of the year

Total

Balance as at 01.01.2014 

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

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 

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 

Allocation of the Economic result of the year 2014 

Economic result of the year 2015 

Balance as at 31.12.2015 

7 

7 

7 

5 

7 

7 

7 

5 

144,409,518.00

-60,226,738.94 

-8,753.02 

0.00

0.00

0.00

0.00

1,150,514,734.55

257,121,792.00

-60,164,571.55 

69,834.28

0.00

0.00

0.00

1,347,541,789.28

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

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

0.00

0.00

0.00

-23,978,467.66 

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

257,121,792.00

-60,164,571.55 

69,834.28

-23,978,467.66 

29,767,370.43

-29,767,370.43 

0.00

0.00

32,342,954.77

32,342,954.77

32,123,387.79

908,051,618.54

32,342,954.77

2,320,059,750.38

17 

 
 
 
 
 
 
 
Cash flow statement  

For the year ended 31 December 2015 

(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 

Notes 

From 01.01.2015 
to 31.12.2015 

From 01.01.2014 
to 31.12.2014

-844,872.97 

-184,185.12 

-841,299.43

-186,177.95

-60,164,571.55 

-60,226,738.94

-61,193,629.64 

-61,254,216.32

     Net interest received on cash and cash equivalents 

25,933.94 

269,938.77

     Purchase of investments - Bond portfolio 

5 

-1,054,379,125.37 

-422,489,999.00

     Proceeds of investments - Bond portfolio 

     Interest received - Bond portfolio 

     Income from securities lending activity 

Net cash flows used in investing activities 

Financing activities 

877,556,734.34 

387,880,985.59

29,483,128.69 

32,894,240.86

115,809.80 

99,651.26

-147,197,518.60 

-1,345,182.52

      Contributions received from the European Commission  

7 

144,409,518.00 

58,432,294.00

Net cash flows from financing activities 

Net decrease in cash and cash equivalents 

144,409,518.00 

58,432,294.00

-63,981,630.24 

-4,167,104.84

Cash and cash equivalents at the beginning of the financial year 

147,927,193.23 

0.00

Cash and cash equivalents at the end of the financial year 

83,945,562.99 

-4,167,104.84

Cash and cash equivalents are composed of 
(excluding accrued interest): 

Current accounts 

Short-term deposits  

Short-term deposits under settlement 

Total cash and cash equivalents 

49,145,562.99 

1,127,193.23

44,800,000.00 

146,800,000.00

-10,000,000.00 

0.00

83,945,562.99 

147,927,193.23

18 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Notes to the financial statements as at 31 December 2015 

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 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 2015 to 31 December 2015. 

EIB’s management has authorized the financial statements for issue on 23 March 2016. 

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,  December  20091  and  December  20112.  The 
updated  rule  is  effective  for  periods  beginning  on  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  articles  3,  5  and  6  of  Council  Regulation  (EC,  Euratom)  No  480/2009  of  25  May  2009  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.  

1

2 

3 

This is based on the revised standards IAS 32 and 39 as issued by the IASB in 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. The  Fund retrospectively changed its accounting policy with regards  to the timing of the 
recognition and derecognition of financial assets, shifting from settlement date to a trade date accounting. The 
change in the accounting policy has no effect on the prior year figures. 

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. 

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. 

20 

 
 
 
 
 
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. 

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  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 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 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.  

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 

 
 
 
                                                 
 
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 trade 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.  

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 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. 

22 

 
 
 
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. 

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 the Bond portfolio and is recorded in the 
statement of financial performance on an accrual basis. 

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. 

2.4.6  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. 

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 

 
 
 
 
 
 
 
                                                 
2.4.7  Securities Lending Activity 

In April 2008 the Fund entered into an automatic securities lending program with Euroclear Bank SA/NV to lend 
assets  from  its  Available  for  Sale  bond  portfolio.  Within  this  securities  lending  program  all  bonds  from  the 
Available for Sale 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 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 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 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. 

24 

 
 
 
 
 
 
 
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 

31.12.2015

31.12.2014 

Available for Sale portfolio 

2,002,026,056.34

1,845,410,324.55 

Contributions receivable 

Cash and cash equivalents 

Total assets 

257,121,792.00

144,409,518.00 

93,943,261.80

147,933,205.02 

2,353,091,110.14

2,137,753,047.57 

Total credit exposure 

2,353,091,110.14

2,137,753,047.57 

* excluding short-term deposits under settlement 

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 

Aa1 

Total 

31.12.2015

49,123,538.63

22,024.36

49,145,562.99

31.12.2014 

1,127,193.23 

0.00 

1,127,193.23 

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 

31.12.2015

33,884.70

49,089,653.93

22,024.36

49,145,562.99

31.12.2014 

37,682.51 

1,068,682.53 

20,828.19 

1,127,193.23 

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  (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): 

25 

 
 
 
 
 
 
 
 
Rating 

Aa2 

A2 

Aa3 

Total 

31.12.2015   

31.12.2014  

4,599,616.67 

10.27%

50,004,198.59

34.06% 

10,699,861.36 

23.88%

96,801,813.20

65.94% 

29,498,220.78 

65.85%

0.00

0.00% 

44,797,698.81 

100.00%

146,806,011.79

100.00% 

26 

 
 
3.2.4  Credit risk on Bond 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 Bond portfolio, at market value excluding accrued interest, per 
security type and rating (in EUR): 

Issuer - Rating

Banks Aa2 

Banks Aa3 

Banks A1 

Banks A2 

European Union Aaa 

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 B2 

Covered Bond Aaa 

Corporate Aa1 

Corporate Aa2 

Public Institution Aaa 

Public Institution Aa1 

Public Institution Aa2 

Supranational Aaa 

Supranational Aa1 

Non-EU Public Institution Aaa 

Non-EU Public Institution Aa2 

31.12.2015

60,018,950.00

20,504,766.41

25,196,381.01

12,899,988.56

0.00

136,777,774.50

0.00

126,727,098.85

11,008,800.00

91,597,718.50

65,179,156.00

37,114,380.00

16,519,200.00

68,076,178.64

0.00

3.02%

1.03%

1.27%

0.65%

0.00%

6.88%

0.00%

6.38%

0.55%

4.61%

3.28%

1.87%

0.83%

3.43%

0.00%

31.12.2014

63,440,347.00

0.00

0.00

0.00

21,132,274.45

3.47%

0.00%

0.00%

0.00%

1.16%

197,601,840.05

10.79%

127,892,908.85

64,091,116.00

10,727,750.00

25,855,889.00

14,157,685.60

33,763,681.00

17,071,040.00

65,750,658.45

10,071,570.73

6.99%

3.50%

0.59%

1.41%

0.77%

1.84%

0.93%

3.59%

0.55%

589,361,477.88

29.66%

564,263,853.86

30.82%

113,062,955.15

72,737,601.19

5.69%

3.66%

31,550,271.50

2,534,650.00

1.72%

0.14%

237,206,683.00

11.94%

330,158,942.15

18.03%

27,587,948.20

1.39%

223,558,927.85

11.25%

5,035,408.00

37,421,371.00

4,115,106.80

5,357,750.00

0.25%

1.88%

0.21%

0.27%

98,348,124.10

78,985,314.40

5,040,500.00

58,791,200.50

4,109,020.00

5,442,139.00

5.37%

4.31%

0.28%

3.21%

0.23%

0.30%

Total 

1,987,065,621.54

100.00%

1,830,780,776.64

100.00%

27 

 
 
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. 

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 2015 and as at 31 December 2014 (in EUR): 

At 31.12.2015 

EU sovereigns 

Austria
Belgium
Czech Republic
Finland
France
Germany
Ireland
Italy
Latvia
Lithuania
Luxembourg
Netherlands
Poland
Portugal
Slovakia
Slovenia
Spain
Sweden
EU Supranational

Purchase price Value at maturity 

Book Value*)

11,420,950.00
32,115,400.00
11,042,900.00
29,445,625.00
92,849,815.00
50,090,150.00
67,492,000.00
45,171,585.00
13,978,020.00
12,460,600.00
14,946,600.00
4,500,000.00
64,903,000.00
16,032,480.00
24,688,950.00
10,000,000.00
20,003,715.44
19,920,000.00
35,794,950.00

11,500,000.00
30,000,000.00
11,000,000.00
29,500,000.00
92,000,000.00
50,000,000.00
55,000,000.00
46,500,000.00
14,000,000.00
13,000,000.00
15,000,000.00
4,500,000.00
60,000,000.00
16,000,000.00
25,000,000.00
10,000,000.00
20,000,000.00
20,000,000.00
35,000,000.00

11,916,827.00
32,506,600.00
11,008,800.00
29,766,005.00
94,220,498.85
53,591,183.00
66,266,018.50
48,070,658.80
14,032,060.00
13,047,320.00
16,985,344.50
4,506,615.00
65,179,156.00
16,519,200.00
25,331,700.00
10,035,000.00
20,005,519.84
20,011,800.00
37,421,371.00

Total EU sovereigns 

576,856,740.44

558,000,000.00 

590,421,677.49

Others 

TOTAL 

1,382,115,989.22

1,352,158,731.40 

1,396,643,944.05

1,958,972,729.66

1,910,158,731.40 

1,987,065,621.54

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

28 

 
 
 
 
 
 
 
 
 
 
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

Purchase price Value at maturity 

Book Value*)

11,420,950.00
61,817,500.00
11,042,900.00
9,478,425.00
120,211,395.00
148,205,130.00
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

11,500,000.00
60,000,000.00
11,000,000.00
9,500,000.00
121,000,000.00
149,500,000.00
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

11,995,792.55
64,091,116.00
10,727,750.00
9,655,500.00
127,892,908.85
154,541,701.50
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

Total EU sovereigns 

606,794,385.00

609,000,000.00 

636,894,714.63

Others 

TOTAL 

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. 

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. 

In 2015 the Fund had no investments in Greek debt securities. 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 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); 

29 

 
 
 
 
 
 
•  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. 

• 

30 

 
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. 

3.3.1  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  contractual  maturities.  The  table  is  presented  under  the  most  prudent  consideration  of  maturity 
dates where the earliest possible repayment date is shown. 

Maturity 
(at 31 December 2015) 

Guarantee call payable 

Liabilities from investing activities 

Other payables 

Total  

profile

Less than
 1 year

1 year to
  5 years

More than 
 5 years 

TOTAL

22,130,631.78

10,000,000.00

900,727.98

33,031,359.76

0.00

0.00

0.00

0.00

0.00 

22,130,631.78

0.00 

10,000,000.00

0.00 

900,727.98

0.00 

33,031,359.76

Maturity 
(at 31 December 2014) 

Guarantee call payable 

Other payables 

Total  

3.4  Market Risk 

profile

Less than
1 year

1 year to 
5 years

More than 
 5 years 

TOTAL

22,200,466.06

884,372.97

23,084,839.03

0.00

0.00

0.00

0.00 

22,200,466.06

0.00 

884,372.97

0.00 

23,084,839.03

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.  

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. 

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),  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 2015

GF sub-portfolios 

GF - Short term 

GF - FRN 

GF - Long term

TOTAL GF 

31 December 2014 

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 

113,412 

236,045 

1,672,414

2,021,871 

0.17 

0.17 

3.94

3.21 

-/+ 1.923 

-/+ 3.995 

-/+ 664.503

-/+ 670.421 

-191  

-398  

-64,524

-65,113 

+ 193 

+ 401 

+ 68,473

+ 69,067 

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 

-/+ 407.258

-123
-1,086

-38,367 

-39,576 

+ 124
+ 1,093

 + 40,720 

+ 41,937

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. 

•  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. 

32 

 
 
 
 
 
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  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. 

3.4.2  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. 

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 2015 

in EUR 

Carrying amount 

Fair value 

Financial assets carried at fair value: 

Bond portfolio 

Total  

Financial assets not carried at fair value: 

Contributions receivable 

Current accounts 

Short-term deposits (including amounts under settlement) 

Available for 
sale

Cash, loans and 
receivables

Other financial 
liabilities

Total 

Level 1

Level 2

Level 3

Total

2,002,026,056.34

2,002,026,056.34

0.00

0.00

0.00

2,002,026,056.34 

  1,923,419,400.52

78,606,655.82

0.00

2,002,026,056.34

0.00

2,002,026,056.34 

  1,923,419,400.52

78,606,655.82

0.00

2,002,026,056.34

0.00

257,121,792.00

0.00

0.00

49,145,562.99

34,797,698.81

0.00

0.00

0.00

257,121,792.00 

49,145,562.99 

34,797,698.81 

Total  

0.00

341,065,053.80

0.00

341,065,053.80 

Total financial assets 

2,002,026,056.34

341,065,053.80

0.00

2,343,091,110.14 

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

-900,727.98 

-900,727.98 

0.00

-22,130,631.78 

-22,130,631.78 

0.00

-23,031,359.76 

-23,031,359.76 

0.00

-23,031,359.76 

-23,031,359.76 

34 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
4  Fair value of financial instruments (continued) 

4.1 

Accounting classifications and fair value (continued) 

At 31 December 2014 

in EUR 

Financial assets carried at fair value: 

Bond portfolio 

Total  

Financial assets not carried at fair value: 

Contributions receivable 

Current accounts 

Short-term deposits 

Total  

Total financial assets 

Financial liabilities not carried at fair value: 

Other payables 

Guarantee call payable 

Total  

Total financial liabilities 

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 

1,845,410,324.55

292,342,723.02

0.00

2,137,753,047.57 

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 

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 

Transfer out of level 2 into level 1 

31 December 2015 

31 December 2014

0.00 

10,032,041.76

10,025,427.78 

9,818,930.78

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  2015  and  31  December  2014  the  Fund  has  no  financial  instruments  classified 
under Level 3. 

36 

 
 
 
 
 
 
 
 
 
 
5 

Bond portfolio 

The following tables show the movements of the Bond portfolio (in EUR): 

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 amount at 31 December 2014 

Balance as at 1 January 2015 

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 2015 

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 

1,845,410,324.55 

1,054,379,125.37 

-867,801,622.66 

-6,314,190.15 

330,886.89 

-23,978,467.66 

2,002,026,056.34 

As  at  31  December  2015  the  nominal  value  of  the  investment  portfolio  was  EUR  1,910.2  million 
(2014:  EUR 1,772.5  million),  against  a  market  value  of  EUR  1,987.1  million  (2014:  EUR  1,830.8 
million), excluding accrued interest. 

Accrued 
EUR 14,629,547.91) is split between: 

interest  as  at  31  December  2015  amounting 

to  EUR  14,960,434.80 

(2014: 

•  Fixed rate notes  EUR 14,800,690.14 (2014: EUR 14,279,223.81); 

•  Floating rate notes EUR 159,744.66 (2014: EUR 350,324.10). 

As  at  31  December  2015  the  market  value  of  securities  lent  within  the  automatic  security  lending 
agreement  with  Euroclear  (excluding  accrued  interest)  amounts  to  EUR  20,595,850.15  (2014:  EUR 
24,359,135.98). 

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 

31.12.2015 

31.12.2014

49,145,562.99 

1,127,193.23

Short-term deposits (including deposits under settlement) 

34,797,698.81 

146,806,011.79

of which accrued interest 

Total 

-2,301.19 

6,011.79

83,943,261.80 

147,933,205.02

38 

 
 
 
 
 
 
7 

Contributions 

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  2014  amounting  to  EUR 
144,409,518.00 was paid in cash during the reporting period. In 2015, the Fund has been allocated an 
additional  contribution  amount of  EUR  257,121,792.00  which  has  not  been paid  as  at  31  December 
2015.  

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

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 

Balance as at 1 January 2015 

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 2015 

8 

Other payables (in EUR) 

Description 

Treasury management fees 

Audit fees 

Total 

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

1,066,340,708.51

144,409,518.00

-8,753.02

-60,226,738.94

1,150,514,734.55

1,150,514,734.55

257,121,792.00

69,834.28

-60,164,571.55

1,347,541,789.28

31.12.2015 

861,227.98 

39,500.00 

900,727.98 

31.12.2014

844,872.97

39,500.00

884,372.97

39 

 
 
 
 
 
9 

Subsequent events 

There have been no material post-balance sheet events, which would require disclosure or adjustment 
to the 31 December 2015 financial statements. 

40