COMMISSION STAFF WORKING DOCUMENT Accompanying the document TO THE EUROPEAN PARLIAMENT, THE COUNCIL AND THE COURT OF AUDITORS ON THE GUARANTEE FUND FOR EXTERNAL ACTIONS AND ITS MANAGEMENT IN 2019
Date: 2020-07-17
Institutions: Directorate-General for Budget, 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

EN 

  EN 

   EUROPEAN COMMISSION  Brussels, 17.7.2020 SWD(2020) 136 final  COMMISSION STAFF WORKING DOCUMENT Accompanying the document TO THE EUROPEAN PARLIAMENT, THE COUNCIL AND THE COURT OF AUDITORS   ON THE GUARANTEE FUND FOR EXTERNAL ACTIONS AND ITS MANAGEMENT IN 2019     {COM(2020) 327 final}  
 
 
TABLE OF CONTENTS 

1. 

2. 

2.1. 

2.2. 

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

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

Development of the Fund in 2019 ........................................................................... 3 

Situation of the Fund ............................................................................................... 4 

2.2.1.  Contributions as at 31 December 2019 ........................................................................ 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 .......................................................................................................... 14 

3. 

Guarantee Fund Financial Statements as at 31 December 2019 ................................ 15 

3.1. 

3.2. 

General disclosures ................................................................................................ 20 

Significant accounting policies ............................................................................. 20 

3.2.1.  Basis of preparation.................................................................................................... 20 

3.2.2.  Changes in accounting policies .................................................................................. 21 

3.2.3.  Significant accounting judgments and estimates ....................................................... 21 

3.2.4.  Summary of significant accounting policies .............................................................. 21 

3.2.5.  Taxation...................................................................................................................... 26 

3.3. 

Financial Risk Management .................................................................................. 26 

3.3.1.  Risk management organisation .................................................................................. 26 

3.3.2.  Credit Risk ................................................................................................................. 26 

1 

 
 
3.3.3.  Liquidity Risk ............................................................................................................ 30 

3.3.4.  Market Risk ................................................................................................................ 31 

3.3.5.  Foreign exchange risk exposure ................................................................................. 33 

3.4. 

Fair value of financial instruments ........................................................................ 34 

3.4.1.  Accounting classifications and fair value .................................................................. 34 

3.4.2.  Measurement of fair values ........................................................................................ 36 

3.4.3.  Transfers between level 1 and level 2 ........................................................................ 36 

3.4.4.  Level 3 fair value ....................................................................................................... 36 

3.5. 

3.6. 

3.7. 

3.8. 

3.9. 

3.10. 

3.11. 

3.12. 

Bond portfolio ....................................................................................................... 36 

EIB Unitary Fund investments .............................................................................. 37 

Cash and cash equivalents ..................................................................................... 37 

Recovery fees ........................................................................................................ 37 

Contributions ......................................................................................................... 37 

Risk-related remuneration (in EUR) ..................................................................... 38 

Other payables (in EUR) ....................................................................................... 38 

Subsequent events ................................................................................................. 38 

2 

 
 
 
GUARANTEE FUND 

1. 

INTRODUCTION 

According to the Article 7 of the Guarantee Fund Regulation, the assets of the Guarantee Fund (the "Fund") are 
managed by the EIB (the "Bank"). The Management agreement signed between the European Commission (the 
"Commission") and the Bank defines the principles governing the management of assets. 

Under  Article 8(2)  of  the  Agreement,  at  the  beginning  of  March  of  each  year  the  Bank  has  to  send  the 
Commission an annual status report on the Fund and the management thereof and the financial statements of the 
Fund for the preceding year. 

The management report on the Fund is presented in the section 2 of this Commission Staff Working Document 
(SWD). The financial statements audited by an external auditor are included in section 3. 

2. 

FUND MANAGEMENT REPORT 

2.1. 

Development of the Fund in 2019 

As at 31 December 2019, total assets (excluding accrued interest) of the Guarantee Fund (the “Fund”) amounted 
to EUR 2,819.81 million against EUR 2,596.7 million as at 31 December 2018, an increase of EUR 223.1 
million. 

)
o
r
u
e
n
o

i
l
l
i

m

(

2.830

2.780

2.730

2.680

2.630

2.580

2.530

2.480

2019
2018

Jan Feb Mar Apr May Jun

Jul Aug Sep Oct Nov Dec

Fig.1: Development of total assets in 2019 and 2018 

The  net  operating  result  amounted  to  EUR  25.13  million  at  31  December  2019  compared  with  EUR 12.04 
million at 31 December 2018 representing an increase of 108.7 %. 

2.2. 

Situation of the Fund 

2.2.1.  Contributions as at 31 December 2019 

2.2.1.1.  Contributions paid in as at 31 December 2019 

The net contributions paid into the Fund by the European Union budget increased by 
EUR 48.3 million or 3.23% from EUR 1,495.2 million at 31 December 2018 to EUR 1,543.5 million at 
31 December 2019.  

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

1 The balance of total assets includes a contribution receivable of EUR 240.1 million which is due to be paid in 2019 (2018: EUR 103.22 
million). In the chart presented in figure 1 contributions receivable are recognized as assets in December of the corresponding years. 

The accompanying notes form an integral part of these financial statements. 

Page 3 

 
 
 
                                                 
 
 
 
   
Contributions paid in (in EUR) 

Provisioning 

Repayment of surplus 

Activation of guarantee calls 

Recovery of historic called amounts 

Repayment of Funds  

Balance 

GUARANTEE FUND 

Situation at 
31/12/2018 

4,383,789,739 

-1,775,870,000 

-935,882,951 

578,990,447 

-755,856,713 

Movements in 2019 

Situation at 
31/12/2019 

103,222,935 

4,487,012,674 

0 

-1,775,870,000 

-54,907,598 

0 

0 

-990,790,549 

578,990,447 

-755,856,713 

1,495,170,522 

48,315,337 

1,543,485,859 

2.2.1.2.  Contributions payable and receivable as at 31 December 2019 

As at 31 December 2019, the Fund has recorded EUR 240.2 million (2018: EUR 103.2 million) as contributions 
to be paid in by the European Union. 

The Fund’s holdings net of accrued interest at 31 December 2019 

The Fund’s holdings at 31 December 2019 excluding accrued interest, contributions receivable and risk-related 
remuneration receivable totalled EUR 2,579.0 million as detailed below: 

–  EUR 42.8 million in the current accounts;  

–  EUR 1.0 million in the Unitary Fund 

–  EUR 2,535.2 million in the Available For Sale (AFS) (portfolio market value of fixed rate bonds, floating 

rate bonds, zero-coupon bonds and commercial papers, excluding accrued interest). 

The Fund operates in one currency only, the Euro. 

2.3. 

General and segmental analyses of the Fund 

2.3.1.  Liquidity analysis 

The liquidity position of the Fund at 31 December 2019 is outlined in the table below. The liabilities shown in 
the column "maturity undefined" represent the Contributor's (i.e. European Union's) resources.  
Liquidity position as at 31 December 2019 (in EUR million): 

The accompanying notes form an integral part of these financial statements. 

Page 4 

 
 
 
GUARANTEE FUND 

Maturity 

Total assets 

less than 
3 months 

3 months to 
1 year 

1 to 10 years 

maturity 
undefined 

Total 

295.0 

214.0 

2,320.0 

0.0 

2,829.0 

Total net assets 

Total liabilities  
Total net 
liabilities 

assets 

and 

0.0 

-0.8 

-0.8 

0.0 

0.0 

0.0 

0.0 

0.0 

0.0 

-2,828.2 

-2,828.2 

0.0 

-0.8 

-2,828.2 

-2,829.0 

Net liquidity position 

294.2 

214.0 

2,320.0 

-2,828.2 

0.0 

2.3.2.  General analysis of the results of the Fund 

Overall, during the reporting period 1 January 2019 to 31 December 2019 the Fund achieved 
EUR 25.13 million in net revenue. The following table outlines the net revenue earned in 2019 and compares it 
with 2018: 

In EUR million 

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

From 1 January to 
 31 December 2019 

From 1 January to  
31 December 2018 

2.15 
7.70 
16.78 
0.12 
-0.08 
-0.29 
-1.25 

8.55% 
30.64% 
66.77% 
0.48% 
-0.32% 
-1.15% 
-4.97% 

0.00 
6.29 
9.96 
0.08 
-0.86 
-0.45 
-2.98 

0.0% 
52.2% 
82.7% 
0.7% 
-7.1% 
-3.7% 
-24.8% 

Total 

25.13 

100.0% 

12.04 

100.0% 

2.3.3.  Analysis by segment 

2.3.3.1.  Analysis of money market operations 

Money-market investments (excluding accrued interest) amount to EUR nil at 31 December 2019, as compared 
to EUR 14.0 million the year before. 

 

Market development in 2019 

In  the  context  of  a  weakening  economy,  subdued  inflation  and  geopolitical  downside  risks,  monetary  policy 
turned  accommodative.  With  three  cuts  of  the  Federal  Funds  rate  throughout  H2  2019,  the  Fed  reversed  the 
monetary  tightening  cycle  initiated  in  2015.  In  addition,  the  ECB  delivered  a  stimulus  package  in  September 
consisting  of  a  10  basis  point  deposit  cut,  an  extended  TLTRO  ,  a  tiering  system  for  the  banks  and  an  open-
ended quantitative easing programme.  

The  manufacturing  sector  in  the  US  and  Europe  contracted  because  of  global  trade  weakness.  Services  sector 
growth  also  slowed  down,  albeit  remaining  in  expansionary  territory.  Eurozone  inflation  was  below  central 
banks’ target whilst US inflation moved closer to target but the increase has not been considered satisfactory by 
the FED. European and US rates moved to lower levels until September on the back of accommodative central 
banks policy, low expectations on growth and uncertainty regarding geopolitical risks. Rates moved somewhat 
higher in Q4 in the context of easing geopolitical tensions and stabilization of economic data. 

The accompanying notes form an integral part of these financial statements. 

Page 5 

 
 
 
 
 
 
 
 
 
 
 
  
  
  
  
  
  
 
 
 
 
Credit spreads, supported by accommodative central banks, trended downwards, with a few episodic and news-
driven reversals.. 

GUARANTEE FUND 

  Profile of counterparties 

In accordance with the agreement between the European Union and the EIB on the management of the Fund, all 
banks with which deposits are placed should have a minimum short-term credit rating of P-1 (Moody's or 
equivalent). As at 31 December 2019 no short term interbank investments were held. 

2.3.3.2.  Analysis of bond portfolio results  

The bond portfolio, seen as a long-term investment portfolio, is made up of euro-denominated securities initially 
acquired with the intention of holding them until maturity. In the Fund’s Financial Statements these securities 
are classified as Available for Sale (AFS) in line with the EC accounting rule 112. At 31 December 2019, the 
market value (excluding accrued interest) of securities with a residual period to maturity of less than three 
months amounted to EUR 9.7 million, between 3 months and one year EUR 213.3 million and between one and 
10 years EUR 2,312.2 million. 

The starting value of the securities in this portfolio is the acquisition cost. The difference between the entry price 
and the redemption value is the premium/discount spread, which is amortised over the remaining life of each of 
the securities using the effective interest rate method as specified in the EC accounting rules. 

At 31 December 2019, the nominal value of the investment bond portfolio was EUR 2,492.1 million, against a 
clean market value of EUR 2,535.2 million. 

The global (modified) duration of the bond portfolio increased over 2019 to reach 2.99 at the end of the year. As 
of 31 December 2019, the clean market value of the investment bond portfolio came to EUR 2,535.2 million 
(2018: EUR 2,451.9 million) compared with a book value (including premiums/discounts) of EUR 2,514.3 
million (2018: EUR 2,439.7 million), which gives an unrealised fair value result of EUR +20.9 million (2018: 
EUR +12.2 million).  

In the 12-month period until December 2019, the German sovereign yield curve bull flattened. The front-end of 
the curve until the 3-year point remained unchanged. Longer tenors between 4-10 year maturities decreased by 
5-40 basispoints.  

2 The Available for Sale portfolio also includes the zero-coupon bonds and commercial papers with original maturities of more than three 
months. 

The accompanying notes form an integral part of these financial statements. 

Page 6 

 
 
 
 
 
 
 
                                                 
GUARANTEE FUND 

Fig. 2: Bull-flattening of the German sovereign yield curve during 2019 (source: Bloomberg) 

The absolute performance of the portfolio has reached a healthy 1.3% in 2019 supported by the continuation of 
lower yield environment and positive risk sentiment. This translates to a positive contribution of more than EUR 
33 million. In terms of asset classes, financials followed by corporates were the best performing sectors, but 
covered bonds and sovereign and supranational agencies (SSA) provided a performance higher than 1%. Bonds 
in lower rated asset classes (A-BBB) has outperformed, as well as securities with higher duration, as curves bull-
flattened.  

A new Iboxx benchmark has been implemented in January 2019, with a fixed duration of 3 years and fixed 
weights to asset classes, rating buckets and long-short maturity segments. The benchmark similarly to the new 
asset management guidelines encompasses full investment grade universe down to BBB- rating bucket. 

In line with the updated investment strategy and in compliance with the guidelines, a total nominal amount of 
EUR 1,543.3 million was invested in four asset classes: SSA (EUR 622.1 million or 40.3%), covered bonds 
(EUR 172.0 million or 11.1%), corporate bonds (EUR 269.4 million or 17.5%) and financials (EUR 479.8 
million or 31.1%) either on an outright or on a switch basis. The purchases were made both on the primary and 
on the secondary markets. All of the transactions aimed to maximize the risk return profile of the portfolio while 
satisfying the liquidity constraints. The charts below outline the total 2019 investments per asset class as well as 
in terms of country distribution. 

The accompanying notes form an integral part of these financial statements. 

Page 7 

 
 
 
 
 
 
 
 
GUARANTEE FUND 

Fig. 3: 2019 Investments per asset class 

Fig. 4: 2019 Investments per country of exposure 

The below  chart  displays  the  maturity  and  instrument  format  split  of  the  2019 investments.  It  can  be  inferred 
from the chart that the 5Y tenor, as most attractive spot on the yield curve in terms of supply dynamics of new 
issuances. 

The accompanying notes form an integral part of these financial statements. 

Page 8 

 
 
 
 
 
 
 
 
 
 
GUARANTEE FUND 

Fig. 5: 2019 Investments per maturity tenor and instrument type (EUR) 

  Breakdown of the investment portfolio between fixed rate and variable rate securities (nominal value) 

Fig. 6: Investment portfolio breakdown between fixed3 and variable rate securities at 31 December 2019 

  Redemption profile of investment portfolio (nominal value) 

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

The accompanying notes form an integral part of these financial statements. 

Page 9 

 
 
 
 
 
 
 
 
 
 
 
                                                 
GUARANTEE FUND 

Fig.7: Investment portfolio: Redemption profile at 31 December 2019 (EUR) 

The latest final maturity date for fixed rate securities is 26 November 2029. 

 

Profile of issuers 

The current Asset Management Guidelines for GF came into force at the beginning of October 2018. 

The guidelines define the maximum limit amounts per type of issuer and credit rating buckets, where the eligible 
credit rating is defined as the second best rating of the three rating agencies: S&P, Moody’s and Fitch.  
The securities held in the portfolio are in line with the asset management guidelines and meet the following 
criteria for: 

– 
– 
– 

Securities issued or guaranteed by European Union or Euratom: minimum rating Baa3; 
Securities issued or guaranteed by Member States4;5: minimum rating Baa3; 
Securities issued (or guaranteed) by a Supranational in which  Member States have a participation, or 
by sovereigns that are not Member States of the EU: minimum rating Aa2; 

Securities issued by other legal entities: minimum rating Baa3. 

The profile of issuers by issuer type and long term rating6 of the investment portfolio (nominal amount) at 31 
December 2019 is as follows: 

4 The second best rating of the three rating agencies : S&P, Moody’s and Fitch. 

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. 

6 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 accompanying notes form an integral part of these financial statements. 

Page 10 

 
 
 
 
 
 
 
 
                                                 
 
 
 
GUARANTEE FUND 

Fig.8: Investment portfolio: Profile of issuers at 31 December 20197 

2.4. 

Benchmarking, performance and interest rate risk analysis 

2.4.1.  Benchmarking 

The performance of the Fund is monitored on a marked-to-market (MTM) basis against a composite index. The 
benchmark methodology8 applied for the mandates managed on behalf of the European Commission was revised 
during 2018 and as agreed with ECFIN, the new benchmark methodology started to be applied as of 1 January 
2019. 

The new composite index is the result of the combination of the following sub-indices: 

• 

• 

• 

Eonia Index9 for cash and Unitary Fund holdings; 

Euribid 1M for term deposits; 

Euribid 3M for T-bills and fixed rate bonds with less than one year to maturity; 

IBOXX  EUR  Sovereign  indices  for  floating  rate  notes  and  fixed  rate  bonds  issued  by  sovereign  (or 

• 
similar) issuers, split by credit rating and maturity buckets; 

IBOXX  EUR  Collateralized  Covered  indices  for  covered  bonds  with  a  floating  or  fixed  coupon  rate  , 

• 
split by credit rating and maturity buckets 

IBOXX  EUR  Financial  indices  for  floating  rate  notes  and  fixed  rate  bonds  issued  by  financial 

• 
institutions, excluding subordinated bonds, split by credit rating and maturity buckets 

IBOXX  EUR  Corporate  indices  for  floating  rate  notes  and  fixed  rate  bonds  issued  by  corporates, 

• 
excluding subordinated bonds, split by credit rating and maturity buckets 

7 The “Other” category presented in figure 8 includes: Banks Aa3 (1.81%), Banks Baa2 (1.68%), Banks Aa2 (1.65%), Supranational Aaa 
(1.60%), Member State A3 (1.55%), Public Institution Aa1 (1.48%), Banks A3 (1.48%), Public Institution 
Baa1 (1.36%), Corporates A1 (1.18%), Supranational Aa1 (0.97%), Corporates Aa1 (0.92%), Corporates Aa3 (0.88%), Non EU Public 
Institution A1 (0.81%), Corporates Aaa (0.72%), Covered Bonds Aa3 (0.72%), Non-EU Public Institution Aa2 (0.60%), Public Institution 
A3 (0.60%), Public Institution A1 (0.60%), Banks Aa1 (0.56%), Covered Bonds Aa2 (0.56%), Corporates Baa3 (0.48%), Covered Bonds 
Aa1  (0.40%),  Public  Institution  A2  (0.32%),  Public  Institution  Aa3  (0.30%),  Non  EU  Sovereign  Aaa  (0.30%),  Member  State  Aa1 
(0.22%), Member State Baa1 (0.20%), Non-EU Public Institution Aa3 (0.20%) and Non-EU Public Institution Aaa (0.12%). 

The accompanying notes form an integral part of these financial statements. 

Page 11 

 
 
 
                                                 
GUARANTEE FUND 

While  under  the  old  methodology,  the  index  weightings  were  based  on  portfolio  composition,  under  the  new 
methodology the index weightings are independent of the portfolio composition. 

The new index weighting has been determined by the market risk and credit risk preference of the mandator as 
the result of setting up the target duration of the benchmark (3 years) and a specific allocation to asset classes 
and credit rating buckets, consistent with the eligibility criteria defined in the AMGs. The weights of each sub-
index have been fixed as of 31 December 2018 and are going to remain fixed throughout the investment period. 
A rebalancing could occur if the effective benchmark duration deviates by more than 0.25 from the target 
benchmark duration. During 2019 no rebalancing of the benchmark occurred.  

Bucket 
(years) 

Performance Benchmark 
Sector 

Instrument 

GF Benchmark Weights as of 
2019 

0-1 

1-5 

O/N 

1 m 

3 m 

Sovereign 

Cash, Unitary Fund 

Money Market 

T-bills and Fixed Rate Bonds 

Covered bonds 

Financials 

Corporates 

Sovereign 

FRN and Fixed 
Rate 
Bonds 

AAA 

AA 

A 

BBB 

AAA 

AA 

AA 

A 

BBB 

AA 

A 

BBB 

AAA 

AA 

A 

BBB 

AAA 

AA 

AA 

A 

5-10 

Covered bonds 

Financials 

2.5% 

5.0% 

7.5% 

36.2% 

14.1% 

14.2% 

4.2% 

3.7% 

14.6% 

14.1% 

0.5% 

9.5% 

3.2% 

3.7% 

2.6% 

10.0% 

3.2% 

2.6% 

4.2% 

7.6% 

2.9% 

3.0% 

0.9% 

0.8% 

3.0% 

2.9% 

0.1% 

2.0% 

0.7% 

0.8% 

The accompanying notes form an integral part of these financial statements. 

Page 12 

 
 
 
 
 
GUARANTEE FUND 

Corporates 

BBB 

AA 

A 

BBB 

0.5% 

2.1% 

0.7% 

0.6% 

0.8% 

100.00% 

Total 

2.4.2.  Performance 

The performance of the Fund portfolio was monitored on a marked-to-market basis. During 2019, the portfolio 
delivered a 1.3043% MTM yearly return, underperforming its benchmark by -9.03 bps. The evolution of the 
portfolio return and excess return vis-à-vis its benchmark is presented in the following table: 

Portfolio8 

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%) 

31/01/2019 

2,509,641,612 

28/02/2019 

2,611,608,440 

0.1643 

0.0794 

31/03/2019 

2,615,165,774 

0.4235 

30/04/2019 

2,617,521,805 

31/05/2019 

2,618,158,704 

30/06/2019 

2,621,297,126 

31/07/2019 

2,626,210,323 

0.0903 

0.1931 

0.4224 

0.4009 

31/08/2019 

2,634,051,716 

0.4219 

30/09/2019 

2,624,840,732 

-0.3496 

31/10/2019 

2,612,095,431 

-0.2613 

30/11/2019 

2,607,119,564 

-0.1271 

31/12/2019 

2,587,824,732 

-0.1570 

0.1643 

0.2438 

0.6683 

0.7592 

0.9539 

1.3803 

1.7867 

2.2161 

1.8588 

1.5927 

1.4636 

1.3043 

-0.0913 

-0.0913 

0.0128 

-0.0785 

-0.1330 

-0.2123 

0.0235 

-0.1888 

-0.0115 

-0.2008 

-0.0846 

-0.2872 

-0.0100 

-0.2985 

-0.0057 

-0.3055 

0.0439 

-0.2594 

0.0698 

-0.1875 

0.0550 

-0.1313 

0.0402 

-0.0903 

2.4.3. 

Interest rate risk 

The interest rate risk sensitivity of the MTM value of the portfolio mainly stems from its fixed rate exposure. A 
1bp increase of interest rates reduces the value of the portfolio by EUR 774,742 of which EUR 756,520 is 
related to the fixed rate bond exposure. The global modified duration of the fund increased during 2019, to 

8 The Benchmark comprises independently calculated IBOXX indexes. The prices of the securities represented in the IBOXX indexes are 
sourced from Markit, which is the same source used for the prices of the correspondent securities in the table. These prices are different 
from the ones used for the financial reporting purposes. CBBT/BGN+ quotes (Bloomberg) is the source of pricing of the securities for the 
year-end financial reporting. 

The accompanying notes form an integral part of these financial statements. 

Page 13 

 
 
 
 
 
 
  
 
 
  
  
  
  
  
  
  
  
  
  
  
  
 
                                                 
decrease the gap versus the benchmark’s modified duration, and stood at 2.99 years as of 31 December 2019, 
compared to 2.58 years as of 31 December 2018. 

GUARANTEE FUND 

GF Sub- Portfolios 

Market Value (excluding 
accrued interest)10 

Modified Duration 
(Years) 

Interest Rate 
Exposure (+/-1bp) 

Floating Rate Notes 

226,110,073 

Fixed Rate Bonds 

2,308,710,055 

Money Market Instruments 

997,284 

Cash account 

42,799,336 

0.80 

3.26 

0.01 

+/- 18,221 

+/- 756,520 

+/- 1 

Total GF 

2,578,616,748 

2.99 

+/- 774,742 

10 The Benchmark comprises independently calculated IBOXX indexes. The prices of the securities represented in the IBOXX indexes 
are  sourced  from  Markit,  which  is  the  same  source  used  for  the  prices  of  the  correspondent  securities  in  the  table.  These  prices  are 
different  from  the  ones  used  for  the  financial  reporting  purposes.  CBBT/BGN+  quotes  (Bloomberg)  is  the  source  of  pricing  of  the 
securities for the year-end financial reporting. 

The accompanying notes form an integral part of these financial statements. 

Page 14 

 
 
 
 
 
                                                 
GUARANTEE FUND 

3. 

GUARANTEE FUND FINANCIAL STATEMENTS AS AT 31 DECEMBER 2019 

GUARANTEE FUND 

FINANCIAL STATEMENTS 

AS AT 31 DECEMBER 2019 

 Balance sheet 

 Statement of financial performance 

 Statement of changes in net assets 

 Cash flow statement 

 Notes to the financial statements 

 Independent auditor’s report 

The accompanying notes form an integral part of these financial statements. 

Page 15 

 
 
 
 
 
 
 
 
 
 
 
                                                                                 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
GUARANTEE FUND 

Balance sheet  
as at 31 December 2019 

(in EUR) 

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 

EIB Unitary Fund investments - cost 
EIB Unitary Fund investments - adjustment to fair value 

Total Available for Sale portfolio 
Short-term receivables 

Contributions receivable 
Guarantee recoveries receivable 

Risk-related remuneration receivable 

Total short-term receivables 

Cash and cash equivalents 

Current accounts 

Short-term deposits – nominal  
Short-term deposits - accrued interest 

Total cash and cash equivalents 

TOTAL CURRENT ASSETS 

TOTAL ASSETS 

Notes 

31.12.2019 

31.12.2018 

5 

5 

6 
6 

9 
9 

10 

7 

2,308,413,861.20 
-16,685,886.06 

2,293,850,557.65 
-30,233,231.86 

20,423,758.78 

11,725,338.09 

2,312,151,733.92 

2,275,342,663.88 

2,312,151,733.92 

2,275,342,663.88 

228,029,572.57 
-5,373,495.13 

437,936.70 
8,957,567.06 

999,956.97 
-2,672.94 

180,593,535.40 
-4,523,470.02 

501,853.62 
13,186,177.35 

0.00 
0.00 

233,048,865.23 

189,758,096.35 

240,152,822.10 
0.00 

585,535.74 

103,222,935.00 
0.00 

0.00 

240,738,357.84 

103,222,935.00 

42,799,335.89 

0.00 
0.00 

42,799,335.89 

27,567,035.62 

14,000,000.00 
-8,983.34 

41,558,052.28 

516,586,558.96 

334,539,083.63 

2,828,738,292.88 

2,609,881,747.51 

NET ASSETS AND LIABILITIES 

Notes 

31.12.2019 

31.12.2018 

NET ASSETS 
Contributions  

Net contributions paid in 
Contributions allocated but not yet paid in 

Reserves 

Fair value reserve 

Accumulated surplus 
Economic result of the year 

TOTAL NET ASSETS 
LIABILITIES 
CURRENT LIABILITIES 

Other payables 

TOTAL CURRENT LIABILITIES 

TOTAL NET ASSETS AND LIABILITIES 

9 

11 

1,543,485,859.40 
240,152,822.10 

1,495,170,522.10 
103,222,935.00 

20,859,022.54 

998,247,759.44 
25,134,402.85 

12,227,191.71 

986,210,996.77 
12,036,762.67 

2,827,879,866.33 

2,608,868,408.25 

858,426.55 

858,426.55 

1,013,339.26 

1,013,339.26 

2,828,738,292.88 

2,609,881,747.51 

The accompanying notes form an integral part of these financial statements. 

Page 16 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
GUARANTEE FUND 

Statement of financial performance 

For the year ended 31 December 2019 

(in EUR) 

Revenue from operating activities 

Risk-related remuneration 

Expenses from operating activities 

      Management fees 

      Audit fees 

      Bank fees 

      Recovery fees 

From 01.01.2019 
to 31.12.2019 

From 01.01.2018 
to 31.12.2018 

2,155,490.46 

2,155,490.46 

0.00 

0.00 

-1,253,379.36 

-2,978,737.26 

-817,746.55 

-41,325.00 

-184,654.20 

-209,653.61 

-894,626.42 

-39,500.00 

-143,460.81 

-1,901,150.03 

10 

8 

Result from operating activities 

902,111.10 

-2,978,737.26 

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 

7,695,743.93 

6,292,695.57 

2,318.79 

7,693,425.14 

16,785,355.42 

116,258.17 

1,182.91 

6,291,512.66 

9,961,013.96 

76,535.48 

-79,900.55 

-79,900.55 

-285,165.22 

-865,166.98 

-865,166.98 

-449,578.10 

Result from non-operating activities 

24,232,291.75 

15,015,499.93 

ECONOMIC RESULT OF THE YEAR  

25,134,402.85 

12,036,762.67 

Items directly recognised in net assets 

Net change in fair value of Bond portfolio 

Net amount transferred to statement of financial performance 

NET RESULT RECOGNISED IN NET ASSETS 

13,559,804.53 

-4,927,973.70 

-657,312.28 

-9,815,550.70 

8,631,830.83 

-10,472,862.98 

The accompanying notes form an integral part of these financial statements. 

Page 17 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
GUARANTEE FUND 

Statement of changes in net assets 

For the year ended 31 December 2019 

(in EUR) 

Balance as at 01.01.2018 

Contributions from the European Commission allocated but not yet paid 

Contributions paid to the EIB as guarantee call 

Change of fair value reserve 

Allocation of the Economic result of the year 2017 

Economic result of the year 2018 

Balance as at 31.12.2018 

Contributions from the European Commission allocated but not yet paid 

Risk-related remuneration 

Contributions paid to the EIB as guarantee call 

Change of fair value reserve 

Allocation of the Economic result of the year 2018 

Economic result of the year 2019 

Balance as at 31.12.2019 

9 

9 

5 

9 

9 

9 

9 

Contributions 
1,550,896,013.99 

reserve 
22,700,054.69 

103,222,935.00 

-55,725,491.89 

0.00 

0.00 

0.00 

0.00 

0.00 

-10,472,862.98 

0.00 

0.00 

Fair value              

Accumulated 
surplus 
970,244,126.84 

Economic result of 
the year 
15,966,869.93 

0.00 

0.00 

0.00 

0.00 

0.00 

0.00 

Total net assets 
2,559,807,065.45 

103,222,935.00 

-55,725,491.89 

-10,472,862.98 

15,966,869.93 

-15,966,869.93 

0.00 

0.00 

12,036,762.67 

12,036,762.67 

1,598,393,457.10 

12,227,191.71 

986,210,996.77 

12,036,762.67 

2,608,868,408.25 

240,152,822.10 

0.00 

-54,907,597.70 

0.00 

0.00 

0.00 

0.00 

0.00 

0.00 

8,631,830.83 

0.00 

0.00 

0.00 

0.00 

0.00 

0.00 

0.00 

0.00 

0.00 

0.00 

240,152,822.10 

0.00 

-54,907,597.70 

8,631,830.83 

12,036,762.67 

-12,036,762.67 

0.00 

0.00 

25,134,402.85 

25,134,402.85 

1,783,638,681.50 

20,859,022.54 

998,247,759.44 

25,134,402.85 

2,827,879,866.33 

The accompanying notes form an integral part of these financial statements. 

Page 18 

 
  
 
 
 
 
 
 
 
 
 
GUARANTEE FUND 

Cash flow statement  

For the year ended 31 December 2019 

(in EUR) 

Operating activities 

     Treasury management fee paid during the year 

     Recovery fees paid during the year 

     Bank fees / audit fees paid during the year 

     Contributions paid  as guarantee call 

     Guarantee recoveries received from EIB 

     Risk related remuneration 

Net cash flows used in operating activities 

Investing activities 

     Net interest paid on cash and cash equivalents 

     Subscription of EIB Unitary Fund investments 

     Purchase of investments - Bond portfolio 

     Proceeds of investments - Bond portfolio 

     Interest received - Bond portfolio 

     Income from securities lending activity 

Net cash flows used in investing activities 

Financing activities 

From 01.01.2019 
to 31.12.2019 

From 01.01.2018 
to 31.12.2018 

-894,626.42 

-288,866.45 

-221,400.78 

-915,279.18 

-1,821,937.19 

-182,960.81 

-54,907,597.70 

-55,725,491.89 

0.00 

136,092.88 

1,569,955.17 

0.00 

-54,742,536.18 

-58,509,576.19 

-89,963.52 

-999,956.97 

-941,379.00 

0.00 

-1,537,595,053.32 

-1,067,048,346.00 

1,466,271,844.63 

781,731,604.17 

25,048,772.46 

24,288,343.98 

116,258.17 

76,535.48 

-47,248,098.55 

-261,893,241.37 

      Contributions received from the European Commission  

103,222,935.00 

137,800,722.00 

 Net cash flows from financing activities 

Net decrease in cash and cash equivalents 

103,222,935.00 

137,800,722.00 

1,232,300.27 

-182,602,095.56 

Cash and cash equivalents at the beginning of the financial year 

41,567,035.62 

224,169,131.18 

Cash and cash equivalents at the end of the financial year 

42,799,335.89 

41,567,035.62 

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

Current accounts 

Short-term deposits  

Total cash and cash equivalents 

42,799,335.89 

27,567,035.62 

0.00 

14,000,000.00 

42,799,335.89 

41,567,035.62 

The accompanying notes form an integral part of these financial statements. 

Page 19 

 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
GUARANTEE FUND 

NOTES TO THE FINANCIAL STATEMENTS AS AT 31 DECEMBER 2019 

3.1. 

General disclosures 

The  rules  and  principles  for  the  management  of  the  Guarantee  Fund  (the  “Fund”)  are  laid  out  in  the 
Agreement between the European Commission (the “EC”) and the European Investment Bank (the “EIB”) 
dated 25 November 1994 and the subsequent amendments to the Agreement dated 23 September 1996, 8 
May 2002, 5 June 2002, 25 February 2008, 9 November 2010 and 28 September 2018 (the “Convention”). 

The main principles of the Fund, as extracted directly from the Convention, are as follows: 

The Fund will operate in one single currency being Euro (EUR). It will exclusively invest in this 

• 
currency in order to avoid any exchange rate risk. 

• 
The  management  of  the  Fund  will  be  based  upon  the  traditional  rules  of  prudence  relating  to 
financial  activities.  Attention  is  given  to  control  the  risks  and  to  ensure  that  the  managed  assets  have a 
sufficient degree of liquidity and transferability while considering the Fund’s commitments.  

• 
In  accordance  with  the  Amendment  Guarantee  Agreement  dated  3  October  2018,  an  Economic 
Resilience Initiative Private Mandate (ERI Private Mandate) and an Economic Resilience Initiative Public 
Mandate (ERI Public Mandate) were set up to grant guarantees to the bank against losses under financing 
operations  supporting  investments  in  private  and  public  projects  directed  to  the  long-term  economic 
resilience  of  refugees,  migrants,  host  and  transit  communities  and  communities  of  origin  as  a  strategic 
response  to  addressing  root  causes  of  migration.  The  risk  to  the  Union  budget  associated  with  granted 
guarantees  to  the  EIB  Financing  Operations  under  the  ERI  Private  Mandate  should  be  priced  and  the 
revenues generated from the commercial risk pricing should be paid into the Guarantee Fund. 

The present financial statements cover the period from 1 January 2019 to 31 December 2019. 

EIB’s management has authorized the financial statements for issue on 27 March 2020. 

3.2. 

Significant accounting policies 

3.2.1.  Basis of preparation 

The Fund’s financial statements have been prepared in accordance with the accounting rules adopted by 
the Accounting Officer of the European Commission, in particular “Accounting rule 11 – Financial assets 
and  liabilities”  dated  December  2004  and  updated  in  October  2006,  December  20099  and  December 
20112.  

The financial statements have been prepared on a going concern basis, which assumes that the Fund will 
be able to meet the mandatory payments of the guarantees.  

According to articles 3, 5 and 6 of Council Regulation (EC, Euratom) No 480/2009 of 25 May 2009 as 
amended by the Regulation (EU) 2018/409 of the European Parliament and of the Council of 14 March 
2018 if, as a result of the activation of guarantees following one or more defaults, resources in the Fund 
fall below the set target amount of 9% of total outstanding capital liabilities arising from each operation, 

9  

2  

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”. 

The accompanying notes form an integral part of these financial statements. 

Page 20 

 
 
 
 
                                                 
GUARANTEE FUND 

plus any unpaid interest, then the European Commission transfers to the Fund the difference between the 
target amount and the value of the Fund’s net assets at the previous year-end balance sheet date.  

The amounts in the financial statements are not rounded except in the section financial risk management 
where the amounts are rounded to the nearest thousand EUR.  

3.2.2.  Changes in accounting policies 

The Fund has consistently applied to all periods the accounting policies set out in Note 2.4 presented in 
these financial statements. 

3.2.3. 

Significant accounting judgments and estimates 

The  preparation  of  financial  statements  in  conformity  with  the  accounting  rules  adopted  by  the 
Accounting Officer of the European Commission requires the use of certain critical accounting estimates. 
It  also  requires  the  EIB  Management  to  exercise  its  judgment  in  the  process  of  applying  the  Fund’s 
accounting  policies.  The  areas  involving  a  higher  degree  of  judgment  or  complexity,  or  areas  where 
assumptions and estimates are significant to the financial statements are disclosed hereafter. 

The most significant use of judgments and estimates are as follows: 

Measurement of fair value of financial instruments  

The  fair  value  of  financial  assets  and  financial  liabilities  that  are  traded  in  active  markets  is  based  on 
quoted  market  prices  or  broker  price  quotations.  Where  the  fair  values  of  financial  assets  and  financial 
liabilities recorded on the balance sheet cannot be derived from active markets, they are determined using 
a variety of valuation techniques that include the use of mathematical models. The input to these models is 
taken  from  observable  markets  where  possible,  but  where  this  is  not  feasible,  a  degree  of  judgment  is 
required in establishing fair values.  

Impairment losses on financial instruments  

The Fund reviews its financial instruments at each reporting date to assess whether an allowance for 
impairment should be recorded in the statement of financial performance. In particular, judgment by EIB 
Management is required in the estimation of the amount and timing of future cash flows when determining 
the level of allowance required. 

3.2.4. 

Summary of significant accounting policies 

3.2.4.1.  Foreign currency translation 

The  Fund  uses  the  Euro  (EUR)  for  presenting  its  financial  statements,  which  is  also  the  functional 
currency. 

Foreign currency transactions are translated at the exchange rate prevailing on the date of the transaction.  

Monetary assets and liabilities denominated in currencies other than Euro are translated into Euro at the 
exchange  rate  prevailing  at  the  balance  sheet  date.  The  gain  or  loss  arising  from  such  translation  is 
recorded in the statement of financial performance. 

Non-monetary items that are measured in terms of historical cost in a foreign currency are translated using 
the exchange rates at the dates of the initial transactions. Non-monetary items measured at fair value in a 
foreign currency are translated using the exchange rates at the date when the fair value was determined. 

Exchange  differences  on  non-monetary  assets  are  a  component  of  the  change  in  their  fair  value. 
Depending  on  the  classification  of  a  non-monetary  financial  asset,  exchange  differences  are  either 
recognised in the statement of financial performance or within the reserves. 

The accompanying notes form an integral part of these financial statements. 

Page 21 

 
GUARANTEE FUND 

Exchange differences arising on the settlement of transactions at rates different from those at the date of 
the transaction, and unrealised foreign exchange differences on unsettled foreign currency monetary assets 
and liabilities, are recognised in the statement of financial performance. 

3.2.4.2.  Financial instruments 

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

  Cash and cash equivalents 

The  Fund  defines  cash  and  cash  equivalents  as  current  accounts,  commercial  papers,  treasury  bills  and 
short-term deposits with original maturity of three months or less. 

  EIB Unitary Fund investments 

The  EIB  Unitary  Fund  represents  pooled  money  market  investments  with  a  variable  Net  Asset  Value 
(NAV) structure and currently only has a Euro segment.  After initial measurement, the EIB Unitary Fund 
investments are subsequently carried at their fair value through net assets. Fair value changes are recorded 
in  the  Fair  value  reserve.  The  fair  value  of  the  EIB  Unitary  Fund  investments  is  based  on  the  latest 
available NAV, as reported by the calculation agent. 

  Bond portfolio 

The bond portfolio is composed of Euro-denominated securities.  

These securities are classified as Available for Sale (AFS) according to the accounting rules adopted by 
the Accounting Officer of the European Commission and consequently, are carried out at their fair value 
through net assets.  

In  accordance  with  the  decision  of  the  Accounting  Officer  of  the  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. 

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). 

The accompanying notes form an integral part of these financial statements. 

Page 22 

 
 
 
                                                 
 
GUARANTEE FUND 

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 
Accounting  
rule 11. 

under 

Securities are considered impaired if there is objective evidence of impairment as a result of one or more 
events that occurred after the initial recognition of the security (a “loss event”) and that loss event has an 
impact on the estimated future cash flows of the security that can be reliably estimated.  

Evidence  of  impairment  is  mainly  about  significant  financial  difficulties  of  the  issuer,  e.g.  a  breach  of 
contract,  a  restructuring  of  the  debt  of  the  issuer  or  a  high  probability  of  bankruptcy.  It  is  important  to 
stress that the disappearance of an active market because the entity’s financial instruments are no longer 
publicly traded is not evidence of impairment. A downgrade of an entity’s credit rating is not, in itself, 
evidence of impairment, although it may be evidence of impairment when considered with other available 
information.  A  decline  in  the  fair  value  of  a  financial  asset  below  its  cost  or  amortised  cost  is  not 
necessarily evidence of impairment.  

If in a subsequent period, the fair value of a debt instrument classified as Available for Sale increases and 
the increase can be objectively related to an event occurring after the impairment loss was recognised in 
the  statement  of  financial  performance,  the  impairment  loss  shall  be  reversed,  with  the  amount  of  the 
reversal recognised in the statement of financial performance. 

  Fair value of financial instruments 

Fair  value  is  the  amount  for  which  an  asset  could  be  exchanged,  or  a  liability  settled,  between 
knowledgeable, willing parties in an arm’s length transaction. 

When applicable, the EIB on behalf of the Fund measures the fair value of an instrument using the quoted 
price in an active market for that instrument. A market is regarded as active if transactions for the asset or 
liability take place with  sufficient frequency and volume to provide pricing information on an on-going 
basis. 

Where the fair values of financial assets and financial liabilities recorded on the balance sheet cannot be 
derived from active markets, they are determined using a variety of valuation techniques that include the 
use of mathematical models. The input to these models is taken from observable markets where possible, 
but  where  this  is  not feasible, a  degree of judgement  is  required  in  establishing  fair  values. The  chosen 
valuation technique incorporates all the factors that market participants would take into account in pricing 
a transaction. 

The Fund measures fair values using the following fair value hierarchy that reflects the significance of the 
inputs used in making the measurements: 

Level 1: Quoted prices (unadjusted) in active markets for identical assets or liabilities; 

Level  2:  Inputs  other  than  quoted  prices  included  within  Level  1  that  are  observable  for  the  asset  or 
liability, either directly (i.e., as price) or indirectly (i.e., derived from prices); 

Level 3: Inputs for the asset or liability that are not based on observable market data (unobservable 

inputs). 

The  Fund  recognises  transfers  between  levels  of  the  fair  value  hierarchy  as  of  the  end  of  the  reporting 
period during which the change has occurred. 

The accompanying notes form an integral part of these financial statements. 

Page 23 

 
 
 
GUARANTEE FUND 

 

Impairment of financial assets 

The EIB assesses at each balance sheet date whether there is any objective evidence that a financial asset 
or a group of financial assets is impaired. A financial asset or a group of financial assets is deemed to be 
impaired if, and only if, there is objective evidence of impairment as a result of one or more events that 
has occurred after the initial recognition of the asset (an incurred “loss event”) and that loss event has an 
impact on the estimated future cash flows of the financial asset or the group of financial assets that can be 
reliably  estimated.  Evidence  of  impairment  may  include  indications  that  the  borrower  or  a  group  of 
borrowers  is  experiencing  significant  financial  difficulty,  default  or  delinquency  in  interest  or  principal 
payments,  the  probability  that  they  will  enter  bankruptcy  or  other  financial  reorganisation  and  where 
observable  data  indicate  that  there  is  a  measurable  decrease  in  the  estimated  future  cash  flows,  such  as 
changes in arrears or economic conditions that correlate with defaults. 

For the Available for Sale financial assets, an objective evidence would include a significant or prolonged 
decline  in  the  fair  value  of  the  investment  below  its  cost.  Where  there  is  evidence  of  impairment,  the 
cumulative loss (measured as the difference between the acquisition cost net of any principal repayment 
and  amortisation  and  the  current  fair  value,  less  any  impairment  loss  on  that  investment  previously 
recognised  in the  statement  of  financial  performance)  is  removed  from  net  assets  and  recognised in  the 
statement of financial performance. Impairment losses on Available for Sale financial assets are reversed 
through the statement of financial performance. 

3.2.4.3.  Contributions 

Contributions are increased by: 

-  Payment allocations made to the Fund by the general budget of the European Union; 

-  Guarantee recoveries received from EIB. 

Contributions are decreased by: 

-  Payment allocations to be made from the Fund to the general budget of the European Union; 

-  Guarantee calls made by the EIB.  

Contributions to be received5 from the general budget of the European Union, or to be paid back to the 
general budget of the European Union are recognized in the balance sheet on the date when they become 
due or owed according to articles 3, 4, 5 and 6 of the Council Regulation (EC, Euratom) No 480/2009 of 
25  May  2009  establishing  a  Guarantee  Fund  for  external  actions  (codified  version)  as  amended  by  the 
Regulation  (EU)  2018/409  of  the  European  Parliament  and  of  the  Council  of  14  March  2018.  When  it 
relates  to  articles  5  and  6  the  contributions  to  be  paid  or  received,  based  on  the  previous  year  end 
difference between the target amount and the value of the Fund’s net assets, are calculated and recorded at 
the beginning of the current year. When article 4 applies, the contribution to be paid back is calculated and 
recorded at the date of accession of the new Member State to the European Union. 

Contributions to be paid to the EIB in the context of guarantee calls in line with the Recovery Agreement 
between the European Union and the EIB signed on 25 July 2014 in respect of loans and loan guarantees 
granted  by  the  EIB  for  projects  outside  the  European  Union  (“Recovery  Agreement”)  are  derecognised 
from the balance sheet on the date when the guarantee call becomes due. 

Guarantee recoveries paid by EIB to the Fund in line with the Recovery Agreement are recognised in the 
balance sheet as contributions (recovery of historically called amounts) and recoveries  receivable on the 
date when the guarantee recovery is received in cash in the accounts of the Bank. 

The accompanying notes form an integral part of these financial statements. 

Page 24 

 
 
 
GUARANTEE FUND 

3.2.4.4.  Interest income 

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

3.2.4.5.  Interest expense 

Interest  expense  covers  interest  paid  on  cash  and  cash  equivalents,  due  to  negative  interest  rate,  and  is 
recorded in the statement of financial performance on an accrual basis. 

3.2.4.6.  Treasury management fees 

According  to  the  Management  Agreement,  EIB  shall  receive  a  treasury  management  fee  which  is 
calculated on the basis of, in the case of securities, the average market value at the end of each month, and 
in the case of cash and money market deposits, the average nominal value at the end of each month. 

Treasury management fees are recorded in the statement of financial performance on an accrual basis. 

3.2.4.7.  Recovery fees 

According  to  the  Recovery  Agreement  dated  3  October  2018  the  EU  shall  reimburse  EIB  for  external 
costs and expenses incurred by it in the course of execution of the recovery proceedings. 

Recovery fees are recorded in the statement of financial performance on an accrual basis. 

3.2.4.8.  Securities Lending Activity 

In April 2008, the EIB for the account of the Fund entered into an automatic securities lending program 
with Euroclear Bank SA/NV to lend assets from its bond portfolio. Within this securities lending program 
all bonds from the Bond portfolio are eligible to be lent out. 

Securities  lent  within  the  automatic  securities  lending  program  are  not  derecognized  from  the  Fund’s 
balance sheet as the risks and rewards of these securities are still held by the Fund itself. 

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

3.2.4.9.  Risk-related remuneration 

In accordance with the Guarantee agreement dated 3 October 2018, the risk-related revenues received by 
the Bank from the pricing (in accordance with the Bank’s standard risk pricing methodology as may be 
amended from time to time) of EIB Financing Operations under the ERI Private Mandate shall remunerate 
on a quarterly basis the risk for the Union budget associated with EIB Financing Operations under the ERI 
Private Mandate.  

The Risk-related remuneration is recognised in the statement of financial performance on an accrual basis. 

3.2.5.  Taxation 

The  Protocol  on  the  Privileges  and  Immunities  of  the  European  Union,  appended  to  the  treaty  on  the 
European  Union  and  the  treaty  of  the  functioning  of  the  European  Union,  stipulates  that  the  assets, 
revenues and other property of the Institutions of the Union are exempt from all direct taxes. 

3.3. 

Financial Risk Management 

This note presents information about the Fund’s treasury portfolio exposure, its management and control 
of credit and financial risks, in particular the primary risks associated with its use of financial instruments. 
These are: 

–  credit  risk  –  the  risk  of  loss  resulting  from  client  or  counterparty  default  and  arising  on  credit 

exposure in all forms, including settlement risk; 

The accompanying notes form an integral part of these financial statements. 

Page 25 

 
GUARANTEE FUND 

– 

liquidity risk  – the risk that an entity will encounter difficulty in meeting obligations associated 
with financial liabilities that are settled by delivering cash or another financial asset; 

–  market risk – exposure to observable market variables such as interest rates and foreign exchange 

rates. 

3.3.1.  Risk management organisation 

The  Risk  Management  function  of  EIB  ensures  that  the  treasury  portfolio  is  managed  in  line  with  the 
agreed  asset  management  guidelines,  especially  in  respect  of  the  eligible  investments,  the  maximum 
maturity, the interest rate risk and the credit risk exposure of the Fund’s treasury portfolio. In this respect 
quarterly  reporting  is  also  delivered  to  the  EC  concerning  the  risk  and  the  performance  of  the  Fund’s 
treasury  portfolio.  The  reporting  makes  reference  to  breaches,  if  any,  of  the  limits  set  out  in  the  asset 
management  guidelines  and  includes  a  comparison  of  the  valuations  of  the  portfolio  to  a  performance 
index taken as benchmark.  

3.3.2.  Credit Risk 

Credit risk is the potential loss that could result from client or counterparty default and arising on credit 
exposure in all forms, including settlement. 

3.3.2.1.  Credit risk policy 

The  treasury  portfolio’s  agreed  asset  management  guidelines  and/or  investment  strategy  define  certain 
limits and restrictions in order to limit the exposure to credit risk of the treasury portfolio. The compliance 
with  these  limits  is  monitored  by  the  Risk  Management  on  a  daily  basis.  Such  limits  and  restrictions 
include eligibility criteria, absolute credit limits in nominal terms depending on issuer category, relative 
concentration limits depending on issuer category and concentration limits per issue. 

3.3.2.2.  Maximum  exposure  to  credit  risk  without  taking  into  account  any  collateral  and  other 

credit enhancements 

The following table shows the maximum exposure to credit risk for the components of the balance sheet 
(in EUR): 

Maximum exposure  
ASSETS 
Available for Sale portfolio 
Contributions receivable 
Risk-related remuneration receivable 
Cash and cash equivalents 
Total assets 

31.12.2019 

31.12.2018 

2,545,200,599.15 
240,152,822.10 
585,535.74 
42,799,335.89 
2,828,738,292.88 

2,465,100,760.23 
103,222,935.00 
0.00 
41,558,052.28 
2,609,881,747.51 

Total credit exposure 

2,828,738,292.88 

2,609,881,747.51 

3.3.2.3.  Credit risk on cash and cash equivalents 

 

Analysis of current accounts per profile of counterparties 

The following table shows  the  breakdown of  current account balances  per  maximum long-term 
counterparty rating (based on the external long term ratings assigned by Fitch, Standard & Poor’s 
and Moody’s) (in EUR): 

Rating 

31.12.2019 

31.12.2018 

The accompanying notes form an integral part of these financial statements. 

Page 26 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
GUARANTEE FUND 

A1 

Aa1 

Total 

42,797,618.13 

27,566,935.63 

1,717.76 

99.99 

42,799,335.89 

27,567,035.62 

All counterparties are maximum rated P-1 short-term (based on the external short term ratings assigned by 
Fitch, Standard & Poor’s and Moody’s). 

The Fund has two current accounts opened with BNP Paribas Fortis and one current account opened with 
Euroclear Bank as follows (in EUR): 

Current accounts 

BNP Paribas Fortis transitory account 

BNP Paribas Fortis current account 

Euroclear Bank current account 

Total 

31.12.2019 

100.00 

31.12.2018 

0.00 

42,797,518.13 

27,566,935.63 

1,717.76 

99.99 

42,799,335.89 

27,567,035.62 

 

Analysis of short term deposits per profile of counterparties 

In  accordance  with  the  agreement  between  the  European  Commission  and  the  EIB  on  the 
management  of  the  Fund,  all  interbank  investments  should  have  a  minimum  issuer  short-term 
rating  from  Moody’s  or  equivalent  of P-1.  The  following  table  shows  the  breakdown  of  short 
term deposits (excluding short-term deposits under settlement) per  maximum counterparty long 
term  rating  (based  on  the  external  long  term  ratings  assigned  by  Fitch,  Standard  &  Poor’s  and 
Moody’s), the amounts presented include accrued interest (in EUR): 

Rating 
Aa3 
Total 

31.12.2019 
0.00 
0.00 

0.00% 
0.00% 

31.12.2018 
13,991,016.66  
13,991,016.66 

100.00% 
100.00% 

3.3.2.4.  Credit risk on Bond portfolio 

 

Risk concentration per issuance Credit risk on Bond portfolio 

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

–  Securities issued or guaranteed by Member States: minimum rating Baa3;  
–  Securities issued or guaranteed by a Supranational or other States: minimum rating Aa2;  
–  Securities issued by other legal entities:  minimum rating Baa3.  

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

Issuer - Rating 

Banks Aa1 

Banks Aa2 

Banks Aa3 

31.12.2019 

14,213,360.00 

41,206,300.00 

45,338,070.00 

0.57% 

1.63% 

1.79% 

31.12.2018 

46,255,730.00 

154,740,017.50 

25,121,200.00 

1.90% 

6.31% 

1.02% 

The accompanying notes form an integral part of these financial statements. 

Page 27 

 
 
  
  
 
 
 
 
 
 
 
 
Banks A1 

Banks A2 

Banks A3 

Banks Baa1 

Banks Baa2 

Member State Aaa 

Member State Aa1 

Member State Aa2 

Member State Aa3 

Member State A1 

Member State A2 

Member State A3 

Member State Baa1 

Member State Baa2 

Member State Baa3 

Covered Bonds Aaa 

Covered Bonds Aa1 

Covered Bonds Aa2 

Covered Bonds Aa3 

Corporates Aaa 

Corporates Aa1 

Corporates Aa2 

Corporates Aa3 

Corporates A1 

Corporates A2 

Corporates A3 

Corporates Baa1 

Corporates Baa2 

Corporates Baa3 

Public Institution Aaa 

Public Institution Aa1 

Public Institution Aa2 

Public Institution Aa3 

Public Institution A1 

Public Institution A2 

Public Institution A3 

Public Institution Baa1 

Supranational Aaa 

Supranational Aa1 

Supranational Aa2 

Non-EU Public Institution Aaa 

Non-EU Public Institution Aa2 

GUARANTEE FUND 

57,426,465.00 

50,385,170.80 

37,362,890.00 

81,865,342.50 

42,396,362.00 

74,770,069.00 

5,589,650.00 

125,153,315.00 

60,681,815.00 

0.00 

141,645,523.00 

39,042,245.64 

5,100,950.00 

0.00 

74,035,790.00 

2.27% 

1.99% 

1.47% 

3.23% 

1.67% 

2.95% 

0.22% 

4.94% 

2.39% 

0.00% 

5.59% 

1.54% 

0.20% 

0.00% 

2.92% 

20,016,000.00 

10,298,686.30 

0.00 

14,832,978.50 

0.00 

128,657,262.00 

40,348,665.00 

216,783,850.00 

51,996,220.72 

56,495,670.00 

147,813,370.00 

42,537,786.40 

0.00 

41,671,950.00 

56,082,170.00 

0.82% 

0.42% 

0.00% 

0.60% 

0.00% 

5.25% 

1.65% 

8.84% 

2.12% 

2.30% 

6.03% 

1.73% 

0.00% 

1.70% 

2.29% 

412,254,815.00 

16.25% 

482,342,055.50 

19.67% 

10,101,600.00 

14,236,780.00 

18,488,720.00 

18,596,940.00 

23,171,040.00 

60,105,132.00 

22,597,990.00 

29,646,590.00 

62,920,110.00 

55,209,180.00 

118,206,524.80 

70,901,835.01 

12,318,240.00 

0.40% 

0.56% 

0.73% 

0.73% 

0.91% 

2.37% 

0.89% 

1.17% 

2.48% 

2.18% 

4.66% 

2.80% 

0.49% 

0.00 

0.00 

0.00 

57,806,210.00 

25,852,249.97 

177,626,986.00 

2,551,225.00 

22,846,250.00 

13,017,410.00 

25,964,500.00 

55,574,008.10 

6,984,110.00 

0.00 

0.00% 

0.00% 

0.00% 

2.36% 

1.05% 

7.24% 

0.10% 

0.93% 

0.53% 

1.06% 

2.27% 

0.28% 

0.00% 

286,435,170.00 

11.29% 

306,330,014.00 

12.50% 

37,531,946.36 

186,294,232.00 

7,506,075.00 

16,865,250.00 

8,103,040.00 

15,537,650.00 

34,060,880.00 

40,451,100.00 

25,762,720.00 

0.00 

3,063,390.00 

15,054,300.00 

1.48% 

7.35% 

0.30% 

0.67% 

0.32% 

0.61% 

1.34% 

1.60% 

1.02% 

0.00% 

0.12% 

0.59% 

58,371,941.84 

61,428,285.00 

0.00 

0.00 

0.00 

5,275,500.00 

0.00 

35,255,850.00 

20,956,978.00 

10,002,300.00 

4,013,720.00 

0.00 

2.38% 

2.51% 

0.00% 

0.00% 

0.00% 

0.22% 

0.00% 

1.44% 

0.85% 

0.41% 

0.16% 

0.00% 

The accompanying notes form an integral part of these financial statements. 

Page 28 

 
GUARANTEE FUND 

Non-EU Public Institution Aa3 

Non-EU Public Institution A1 

Non-EU Sovereign Aaa 

Total 

5,435,150.00 

20,504,879.95 

7,671,150.00 

0.21% 

0.81% 

0.30% 

5,416,400.00 

20,647,033.05 

0.00 

0.22% 

0.84% 

0.00% 

2,535,245,748.06 

100.00% 

2,451,914,582.88 

100.00% 

The  above  table  presenting  securities  ratings  is  prepared  according  to  the  agreed  asset  management 
guidelines. In particular, security ratings of the Bond portfolio refer to the best rating given by Moody’s, 
Standard & Poor’s or Fitch. 

In  case  of  securities  for  which  no  security  rating  is  available  the  rating  of  the  issuer  (or  guarantor  for 
guaranteed positions) has been taken into account. 

 

EU sovereign exposure 

The following tables show the portfolio structure by exposure towards EU sovereign (either directly or 
indirectly) and exposure towards other entities as at 31 December 2019 and as at 31 December 2018 (in 
EUR): 

At 31.12.2019 

EU sovereigns 
Croatia 

Czech Republic 

Finland 

France 

Germany 

Italy 

Latvia 

Lithuania 

Poland 

Romania 

Spain 

Total EU sovereigns 
Others 

TOTAL 

Purchase price  Value at maturity  Carrying Value*) 

7,851,840.00 

8,000,000.00 

8,263,840.00 

62,533,500.00 

57,500,000.00 

60,681,815.00 

5,707,625.00 

5,500,000.00 

5,589,650.00 

124,065,350.00 

123,000,000.00 

125,153,315.00 

74,918,407.50 

73,300,000.00 

74,770,069.00 

41,146,200.00 

40,000,000.00 

41,665,450.00 

21,193,020.00 

21,000,000.00 

21,176,650.00 

37,043,035.82 

36,844,600.00 

36,901,796.89 

81,976,800.00 

76,000,000.00 

78,451,300.00 

26,546,318.75 

23,000,000.00 

24,106,500.00 

49,458,427.00 

48,265,000.00 

49,258,971.75 

532,440,524.07 
2,004,002,909.70 

512,409,600.00 
1,979,732,000.00 

526,019,357.64 
2,009,226,390.42 

2,536,443,433.77 

2,492,141,600.00 

2,535,245,748.06 

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

At 31.12.2018 

EU sovereigns 
Austria 

Czech Republic 

Finland 

France 

Germany 

Hungary 

Ireland 

Italy 

Purchase price  Value at maturity  Carrying Value*) 

10,190,000.00 

10,000,000.00 

10,099,100.00 

63,747,770.50 

57,388,000.00 

61,994,120.72 

29,445,625.00 

29,500,000.00 

30,249,565.00 

216,161,690.00 

214,000,000.00 

216,783,850.00 

121,617,810.00 

120,300,000.00 

121,791,234.00 

31,022,900.00 

28,000,000.00 

29,276,520.00 

30,347,000.00 

30,000,000.00 

30,395,300.00 

44,342,400.00 

40,000,000.00 

41,671,950.00 

The accompanying notes form an integral part of these financial statements. 

Page 29 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Latvia 

Netherlands 

Poland 

Romania 

Slovakia 

Slovenia 

Spain 

EU Supranational 

Total EU sovereigns 
Others 

TOTAL 

GUARANTEE FUND 

16,128,020.00 

16,000,000.00 

16,234,640.00 

6,790,548.00 

6,800,000.00 

6,866,028.00 

138,658,400.00 

125,000,000.00 

131,578,730.00 

28,791,818.75 

25,000,000.00 

26,805,650.00 

15,035,340.00 

15,000,000.00 

15,025,950.00 

1,122,000.00 

1,000,000.00 

1,076,520.00 

44,058,642.00 

38,515,000.00 

42,537,786.40 

30,416,400.00 

30,000,000.00 

30,185,950.00 

827,876,364.25 
1,646,567,728.80 

786,503,000.00 
1,612,932,000.00 

812,572,894.12 
1,639,341,688.76 

2,474,444,093.05 

2,399,435,000.00 

2,451,914,582.88 

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

In  the  tables  above  “EU  sovereigns”  refer  to  bonds  issued  or  guaranteed  by  EU  Member  States  and 
EU Supranationals  while  “others”  refer  to  bonds  issued  by  banks,  covered  bonds,  bonds  issued  or 
guaranteed by non EU Supranationals or EU and non EU Public Institutions. 

. 

3.3.3.  Liquidity Risk 

Liquidity  risk  refers  to  an  entity’s  ability  to  meet  obligations  as  they  become  due,  without  incurring 
unacceptable losses. It can be split into funding liquidity risk and market liquidity risk. Funding liquidity 
risk is the risk that an entity will not be able to meet efficiently both expected and unexpected current and 
future  cash  flow  needs  without  affecting  its  daily  operations  or  its  financial  condition.  Market  liquidity 
risk  is  the  risk  that  an  entity  cannot  easily  offset  or  eliminate  a  position  at  the market  price  because  of 
inadequate market depth or market disruption. 

3.3.3.1.  Liquidity risk management 

The  treasury  portfolio’s  agreed  asset  management  guidelines  and/or  investment  strategy  define  certain 
limits and restrictions in order to limit the exposure to funding liquidity risk of the treasury portfolio. The 
compliance  with  these  limits  is  monitored  by  Risk  Management  on  a  daily  basis.  Such  limits  and 
restrictions include a target liquidity buffer. 

3.3.3.2.  Liquidity risk measurement 

The  table  below  provides  an  analysis  of  the  non-derivative  liabilities  into  relevant  maturity  groupings 
based on the remaining contractual maturities. The table is presented under the most prudent consideration 
of maturity dates where the earliest possible repayment date is shown. 

Maturity profile 
(at 31 December 2019) 
Other payables 

Total  

Maturity profile 
(at 31 December 2018) 
Other payables 

Less than 
 1 year 
858,426.55 

858,426.55 

1 year to 
  5 years 
0.00 

0.00 

More than 
 5 years 
0.00 

TOTAL 

858,426.55 

0.00 

858,426.55 

Less than 
1 year 
1,013,339.26 

1 year to  
5 years 
0.00 

More than 
 5 years 
0.00 

TOTAL 

1,013,339.26 

The accompanying notes form an integral part of these financial statements. 

Page 30 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
GUARANTEE FUND 

Total  

1,013,339.26 

0.00 

0.00 

1,013,339.26 

3.3.4.  Market Risk 

Market risk represents the risk that changes in market prices and rates, such as interest rates and foreign 
exchange rates will affect an entity’s income or the value of its holdings in financial instruments. 

The  treasury  portfolio’s  agreed  asset  management  guidelines  and/or  investment  strategy  define  certain 
restrictions (such as concentration limits, modified duration and target combined spread duration) in order 
to fulfil diversification and to control to market risk of the treasury portfolio. The compliance with these 
limits is monitored by Risk Management on a daily basis.  

3.3.4.1.  Interest rate risk position 

Interest  rate  risk  arises  from  the  volatility  in  the  economic  value  of,  or  in  the  income  derived  from  the 
treasury portfolio’s interest rate bearing positions due to adverse movements in interest rates. Exposure to 
interest rate risk occurs when there are differences in repricing and maturity characteristics of the different 
assets and liabilities. 

3.3.4.2.  Interest rate sensitivity analysis  

The interest rate sensitivity of the treasury portfolios represents the amount of a potential change in the 
fair value of the portfolio and is computed on a deal by deal basis assuming that all interest rate curves 
rose by one percentage basis and 100 basis points or decrease by one percentage basis point and 100 basis 
points. 

The  following  table shows  the  sensitivity  to  interest rate  variations  of  the three Guarantee  Fund  (“GF”) 
treasury sub-portfolios GF-Short term (Short term deposits, commercial papers and zero coupon bonds), 
GF-FRN  (Bond portfolio variable interest), GF-Long term (Bond portfolio fixed interest). It is presented 
on the same basis as the quarterly risk management reporting delivered to the EC concerning the risk and 
the performance of the Fund’s portfolio. 

31 December 2019 

GF sub-portfolios 

GF - Short term 
GF - FRN 

GF - Long term 

Current accounts 

TOTAL GF 

31 December 2018 

GF sub-portfolios 

GF - Short term 
GF - FRN 

GF - Long term 

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 

997  
226,110  

2,309,136  

42,799  

2,579,042 

0.01 
0.81 

3.27 

0.00 

2.99 

-/+ 0 
-/+ 18 

-/+ 757 

-/+ 0 

-/+ 775 

0 
-1,797  

-73,648  

0 

0 
+1,849 

+ 77,819 

0 

-75,445 

+ 79,668 

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 

29,026 
302,709 

2,134,179 

0.26 
0.64 

2.92 

-/+ 1 
-/+ 20 

-/+ 627 

-75 
-1,929 

-61,189 

+ 76 
+ 1,990 

+ 64,241 

The accompanying notes form an integral part of these financial statements. 

Page 31 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
GUARANTEE FUND 

Current accounts 

TOTAL GF 

27,567 

2,493,481 

0.00 

2.58 

-/+ 0 

-/+ 648 

0 

0 

-63,193 

+ 66,307 

The clean market value of the GF-Short term sub-portfolio as reported above represents the sum of clean 
market values calculated for short term deposits, commercial papers and zero coupon bonds. Those clean 
market values are determined as follows: 

–  Short-term deposits: the sum of the nominal value and total interest at maturity for each position 
is discounted from the maturity date to the spot date, whereas the spot date equals the valuation 
date plus two business days. Finally, accrued interest at spot date is subtracted from the calculated 
market value of the position. 

–  Commercial papers: the nominal value of each position is discounted from the maturity date to 

the spot date, whereas the spot date equals the valuation date plus two business days; 

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

spot/quote/price. 

The clean market values of the GF-FRN and GF-Long term sub-portfolios as reported above represents 
the sum of the clean market values calculated for fixed and floating rate bonds. Those clean market values 
are determined as follows: 

–  Fixed  rate  bonds:  the  nominal  value  of  each  position  is  multiplied  by  its  market  quote  as 

observed at valuation date. 

–  Floating rate bonds (FRNs): the nominal value of each position is multiplied by its market quote 

as observed at valuation date. 

3.3.5.  Foreign exchange risk exposure 

Foreign exchange risk is the volatility in the economic value of, or in the income derived from, the Fund’s 
positions due to adverse movements of foreign exchange rates. 

As  all  assets  and  liabilities  of  the  Fund  are  denominated  in  Euro,  the  Fund  is  not  exposed  to  foreign 
exchange risk. 

The accompanying notes form an integral part of these financial statements. 

Page 32 

 
 
3.4. 

Fair value of financial instruments 

3.4.1.  Accounting classifications and fair value 

GUARANTEE FUND 

The following tables show the carrying amounts and fair values of financial assets and financial liabilities, including their levels in the fair value hierarchy. These do 
not include fair value information for financial assets and financial liabilities not carried at fair value if the carrying amount is a reasonable approximation of fair 
value. 

At 31 December 2019 

in EUR 

Financial assets carried at fair value: 

Bond portfolio 

EIB Unitary Fund Investments 

Total  

Financial assets not carried at fair value: 

Contributions receivable 

Risk-related remuneration receivable 

Current accounts 

Total  

Carrying amount 

Fair value 

Available for 
Sale 

Cash, loans and 
receivables 

Other financial 
liabilities 

Total 

Level 1 

Level 2 

Level 3 

Total 

2,544,203,315.12 

997,284.03 

2,545,200,599.15 

0.00 

0.00 

0.00 

0.00  2,544,203,315.12 

 2,544,203,315.12 

0.00 

0.00  2,544,203,315.12 

0.00 

997,284.03 

0.00 

997,284.03 

0.00 

997,284.03 

0.00  2,545,200,599.15 

 2,544,203,315.12 

997,284.03 

0.00  2,545,200,599.15 

0.00 

240,152,822.10 

0.00 

240,152,822.10 

0.00 

0.00 

585,535.74 

42,799,335.89 

0.00 

0.00 

585,535.74 

42,799,335.89 

0.00 

283,537,693.73 

0.00 

283,537,693.73 

Total financial assets 

2,545,200,599.15 

283,537,693.73 

0.00  2,828,738,292.88 

Financial liabilities not carried at fair value: 

Financial liabilities not carried at fair value: 

Total  

Total financial liabilities 

0.00 

0.00 

0.00 

0.00 

0.00 

0.00 

-858,426.55 

-858,426.55 

-858,426.55 

-858,426.55 

-858,426.55 

-858,426.55 

At 31 December 2018 

Carrying amount 

Fair value 

The accompanying notes form an integral part of these financial statements. 

Page 33 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
GUARANTEE FUND 

in EUR 

Financial assets carried at fair value: 

Bond portfolio 

Total  

Financial assets not carried at fair value: 

Available for 
Sale 

Cash, loans and 
receivables 

Other financial 
liabilities 

Total 

Level 1 

Level 2 

Level 3 

Total 

2,465,100,760.23 

2,465,100,760.23 

0.00 

0.00 

0.00  2,465,100,760.23  

2,465,100,760.23 

0.00  2,465,100,760.23  

2,465,100,760.23 

0.00 

0.00 

0.00  2,465,100,760.23 

0.00  2,465,100,760.23 

Contributions receivable 

0.00 

103,222,935.00 

0.00 

103,222,935.00  

Current accounts 

Short-term deposits 

Total  

Total financial assets 

0.00 

0.00 

27,567,035.62 

13,991,016.66 

0.00 

0.00 

27,567,035.62  

13,991,016.66  

0.00 

144,780,987.28 

0.00 

144,780,987.28  

2,465,100,760.23 

144,780,987.28 

0.00  2,609,881,747.51  

Financial liabilities not carried at fair value: 

Other payables 

Total  

0.00 

0.00 

0.00 

0.00 

-1,013,339.26 

-1,013,339.26  

-1,013,339.26 

-1,013,339.26  

The accompanying notes form an integral part of these financial statements. 

Page 34 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
 
 
 
 
 
GUARANTEE FUND 

3.4.2.  Measurement of fair values 

Assets for which carrying value approximates fair value 

For financial assets and financial liabilities that are liquid or have a short term maturity (less than three months), 
it is assumed that the carrying amount approximates their fair value. 

Assets and liabilities carried at fair value 

Published price quotations in an active market are the first source for determining the fair value of a financial 
instrument.  

For instruments without available market price, the fair value is estimated using a discounted cash flow model 
based on either directly or indirectly observable market data (discount curves and estimation curves) prevailing 
at the balance sheet date. 

3.4.3.  Transfers between level 1 and level 2  

There were no transfers between level 1 and level 2 of the fair value hierarchy during the financial period. 

3.4.4.  Level 3 fair value 

As at 31 December 2019 and 31 December 2018 the Fund has no financial instruments classified under Level 3. 

3.5. 

Bond portfolio 

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

Balance as at 1 January 2018 
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 2018 

Balance as at 1 January 2019 
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 2019 

2,198,742,276.84 
1,067,048,346.00 
-781,103,640.60 
-8,036,194.38 
-1,077,164.65 
-10,472,862.98 
2,465,100,760.23 

2,465,100,760.23 
1,537,595,053.32 
-1,475,595,712.60 
12,697,320.69 
-4,228,610.29 
8,634,503.77 
2,544,203,315.12 

As  at  31  December  2019  the  nominal  value  of  the  investment  portfolio  was  EUR  2,492.1  million  
(2018:  EUR 2,399.4  million),  against  a  market  value  of  EUR  2,535.2  million  (2018:  EUR  2,451.9  million), 
excluding accrued interest. 

Accrued interest as at 31 December 2019 amounting to EUR 8,957,567.06 (2018: EUR 13,186,177.35) is split 
between: 

  Fixed rate notes  EUR 8,924,878.78 (2018: EUR 13,109,531.34); 

  Floating rate notes EUR 32,688.28 (2018: EUR 76,646.01). 

As at 31 December 2019 the market value of securities lent within the automatic security lending agreement with 
Euroclear (excluding accrued interest) amounts to EUR 11,022,385.63 (2018: EUR 11,281,092.69). 

The accompanying notes form an integral part of these financial statements. 

Page 35 

 
 
 
 
 
 
 
 
3.6. 

EIB Unitary Fund investments 

The following table shows the movements in the EIB Unitary Fund investments: 

GUARANTEE FUND 

Balance as at 1 January 2019 
Subscriptions 
Change in fair value 
Balance as at 31 December 2019 

3.7. 

Cash and cash equivalents 

0.00 
999,956.97 
-2,672.94 
997,284.03 

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 

3.8. 

Recovery fees 

31.12.2019 

31.12.2018 

42,799,335.89 
0.00 
0.00 
42,799,335.89 

27,567,035.62 
13,991,016.66 
-8,983.34 
41,558,052.28 

According to the Recovery Agreement dated 3 October 2018 the EU shall reimburse EIB for external costs and 
expenses incurred by it in the course of execution of the recovery proceedings. 

During the reporting year 2019, recovery fees were amounting to EUR 209,653.61 (2018: EUR 1,901,150.03) of 
which the amount of EUR 0.00  is accrued as at 31 December 2019 (2018: EUR 79,212.84 ). 

3.9. 

Contributions 

Contributions are increased by contributions from the general budget of the European Union, by the recoveries 
of  previous  interventions  made  by  the  Fund  with  regard  to  defaulted  guaranteed  loans  and  by  receive  risk 
remuneration  earned  under  the  ERI  Private  Mandate.  Contributions  are  either  decreased  by  repayments  to  the 
general budget of the European Union or by interventions the Fund is paying with regard to defaulted guaranteed 
loans. Contributions to/from the budget of the European Union are recognised in the balance sheet on the date 
when they become due or owed according to articles 3, 4, 5 and 6 of the Council Regulation (EC, Euratom) No 
480/2009 of 25 May 2009 establishing a Guarantee Fund for external actions. 

The contribution allocated but not yet paid in as at 31 December 2018 amounting to EUR 103,222,935.00 was 
paid in cash during the reporting period. In 2019, the Fund has been allocated an additional contribution amount 
of EUR 240,152,822.10 which has not been paid as at 31 December 2019.  

The accompanying notes form an integral part of these financial statements. 

Page 36 

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

GUARANTEE FUND 

Balance as at 1 January 2018 
Contributions from the European Commission allocated but not paid in 
Contributions paid to the EIB as guarantee call 
Balance as at 31 December 2018 

Balance as at 1 January 2019 
Contributions from the European Commission allocated but not paid in 
Contributions paid to the EIB as guarantee call 
Balance as at 31 December 2019 

1,550,896,013.99 
103,222,935.00 
-55,725,491.89 
1,598,393,457.10 

1,598,393,457.10 
240,152,822.10 
-54,907,597.70 
1,783,638,681.50 

3.10.  Risk-related remuneration (in EUR) 

During 2019, the risk-related remuneration under the ERI Private Mandate amounts to EUR 2,155,490.46 (2018: 
EUR Nil) out of which EUR 585,535.74 is accrued as at 31 December 2019 (EUR Nil as at 31 December 2018). 

3.11.  Other payables (in EUR) 

Description 
Treasury management fees 
Recovery fees 
Audit fees 
Total 

31.12.2019 
817,746.55 
0.00 
40,680.00 
858,426.55 

31.12.2018 
894,626.42 
79,212.84 
39,500.00 
1,013,339.26 

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

3.12. 

Subsequent events 

There have been no material post-balance sheet events, which would require disclosure or adjustment to the 31 
December 2019 financial statements. 

The accompanying notes form an integral part of these financial statements. 

Page 37