COMMISSION STAFF WORKING DOCUMENT Accompanying the document REPORT FROM THE COMMISSION TO THE EUROPEAN PARLIAMENT, THE COUNCIL AND THE COURT OF AUDITORS ON THE GUARANTEE FUND FOR EXTERNAL ACTIONS AND ITS MANAGEMENT IN 2020
Date: 2021-08-20
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, 20.8.2021 SWD(2021) 224 final  COMMISSION STAFF WORKING DOCUMENT Accompanying the document REPORT FROM THE COMMISSION TO THE EUROPEAN PARLIAMENT, THE COUNCIL AND THE COURT OF AUDITORS   ON THE GUARANTEE FUND FOR EXTERNAL ACTIONS AND ITS MANAGEMENT IN 2020          {COM(2021) 465 final}  
 
 
TABLE OF CONTENTS 

1. 

2. 

2.1. 

2.2. 

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

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

Development of the Fund in 2020 ........................................................................... 3 

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

2.2.1.  Contributions as at 31 December 2020 ................................................................... 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 .................................. 13 

2.4.1.  Benchmarking ....................................................................................................... 13 

2.4.2.  Performance ........................................................................................................... 15 

2.4.3. 

Interest rate risk ..................................................................................................... 16 

3. 

3.1. 

Guarantee Fund Financial Statements as at 31 December 2020 ........................... 17 

Notes to the financial statements as at 31 December 2020 ................................... 21 

3.1.1.  General disclosures ................................................................................................ 21 

3.1.2.  Significant accounting policies ............................................................................. 22 

3.1.3.  Financial risk management .................................................................................... 27 

3.1.4.  Fair value of financial instruments ........................................................................ 36 

3.1.5.  Bond portfolio ....................................................................................................... 38 

3.1.6.  EIB Unitary Fund investments .............................................................................. 39 

3.1.7.  Cash and cash equivalents ..................................................................................... 39 

Page 1 

 
 
 
 
 
3.1.8.  Recovery fees ........................................................................................................ 39 

3.1.9.  Contributions ......................................................................................................... 39 

3.1.10.  Risk-related remuneration ..................................................................................... 40 

3.1.11.  Other payables ....................................................................................................... 40 

3.1.12.  Specific financial information disclosed ............................................................... 40 

3.1.13.  Subsequent events ................................................................................................. 41 

Page 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 2020 

As at 31 December 2020, total assets (excluding accrued interest) of the Guarantee Fund (the “Fund”) amounted 
to EUR 2,855.01 million against EUR 2,828.7 million as at 31 December 2019, an increase of EUR 26.3 million. 

)
o
r
u
e
n
o

i
l
l
i

m

(

2.930

2.880

2.830

2.780

2.730

2.680

2.630

2.580

2020
2019

Jan Feb Mar Apr May Jun

Jul Aug Sep Oct Nov Dec

Fig.1: Development of total assets in 2020 and 2019 

The  net  operating  result  amounted  to  EUR  22.26  million  at  31  December  2020  compared  with  EUR 25.13 
million at 31 December 2019 representing a decrease of 11.4 %. 

1 The balance of total assets includes a contribution receivable of EUR 42.3 million which is due to be paid in 2021 (2019: EUR 240.1 
million  paid  in  2020).  In  the  chart  presented  in  figure  1  contributions  receivable  are  recognized  as  assets  in  December  of  the 
corresponding years. 

Page 3 

 
 
 
 
 
                                                 
 
GUARANTEE FUND 

2.2. 

Situation of the Fund  

2.2.1.  Contributions as at 31 December 2020 

2.2.1.1.  Contributions paid in as at 31 December 2020 

increased  by 
The  net  contributions  paid 
EUR  188.4  million  or  12.21%  from  EUR  1,543.5  million  at  31  December  2019  to  EUR  1,731.9  million  at 
31 December 2020.  

the  European  Union  budget 

the  Fund  by 

into 

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

Contributions paid in (in EUR) 

Situation at 31/12/2019 

Movements in 2020 

Situation at 
31/12/2020 

Provisioning 

Repayment of surplus 

Activation of guarantee calls 

Recovery of historic called amounts 

Repayment of Funds  

Balance 

4,487,012,674 

-1,775,870,000 

-990,790,549 

578,990,447 

-755,856,713 

240,152,822 

4,727,165,496 

0 

-1,775,870,000 

-52,434,350 

-1,043,224,899 

705,327 

0 

579,695,774 

-755,856,713 

1,543,485,859 

188,423,799 

1,731,909,658 

2.2.1.2.  Contributions payable and receivable as at 31 December 2020 

(1) 
contributions to be paid in by the European Union. 

As  at  31  December  2020,  the  Fund  has  recorded  EUR  42.3  million  (2019:  EUR  240.2  million)  as 

(2) 

The Fund’s holdings net of accrued interest at 31 December 2020 

The Fund’s holdings at 31 December 2020 excluding accrued interest, contributions receivable and risk-related 
remuneration receivable totalled EUR 2,802.6 million as detailed below: 

–  EUR 16.8 million in the current accounts;  

–  EUR 39.8 million in the Unitary Fund 

–  EUR 2,754.2 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 2020 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 2020 (in EUR million): 

Maturity 

Total assets 

less than 
3 months 

3 months to 
1 year 

1 to 10 years 

maturity 
undefined 

Total 

168.6 

301.7 

2,384.7 

0.0 

2,855.0 

Total net assets 

0.0 

0.0 

0.0 

-2,854.1 

-2,854.1 

Page 4 

 
 
 
 
GUARANTEE FUND 

Total liabilities  
Total net 
liabilities 

assets 

and 

-0.9 

-0.9 

0.0 

0.0 

0.0 

0.0 

0.0 

-0.9 

-2,854.1 

-2,855.0 

Net liquidity position 

167.7 

301.7 

2,384.7 

-2,854.1 

0.0 

2.3.2.  General analysis of the results of the Fund 

Overall,  during 
the  Fund  achieved 
EUR 22.26 million in net revenue. The following table outlines the net revenue earned in 2020 and compares it 
with 2019: 

the  reporting  period  1  January  2020 

to  31  December  2020 

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 2020 

From 1 January to  
31 December 2019 

9.08 
6.84 
8.81 
0.11 
-0.04 
-1.36 
-1.18 

40.79% 
30.73% 
39.58% 
0.49% 
-0.18% 
-6.11% 
-5.30% 

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% 

Total 

22.26 

100.0% 

25.13 

100.0% 

2.3.3.  Analysis by segment 

2.3.3.1.  Analysis of money market operations 

There were no money-market investments as at 31 December 2020 and 31 December 2019.  

 

Market development in 2020 

The year 2020 on the financial markets was characterized by the outbreak and the battle against the COVID-19 
pandemic, its impact on the economy and financial markets and the reactions of the fiscal and monetary policy. 

The first quarter of 2020 saw parts of the global economy come to an abrupt halt by the pandemic. Economic 
activity  fell  by  an  unprecedented  magnitude  in  major  economies.  Equity  markets  moved  lower  by  over  40% 
from  the  highs  in  February,  bonds  yields  dropped  and  credit  spreads  widened  by  200-300bps  for  most 
investment-grade indices. Market volatility increased to extreme levels and liquidity was poor. 

The  initial  policy  response  was  significant  monetary  stimulus  from  central  banks  and  extraordinary  fiscal 
stimulus  from  governments.  The  FED  cut  rates  by  1.5%  to  0-0.25%  and  increased  their  balance  sheet  by 
purchasing  both  an  enormous  amount  and  lowering  the  credit  quality  of  purchases  including  non-investment 
grade bonds. The ECB introduced a new buying program, PEPP (Pandemic Emergency Purchase Program) with 
a total envelope of EUR 1850bn along with easier terms for banks to access TLTRO financing and reduction in 
capital buffers and reserve requirements. The ECB did not cut its main policy rate however and it has made clear 
that  further  policy  easing  is  likely  to  come  from  increasing  asset  purchases  or  easing  terms  of  refinancing 
operations for banks. 

Page 5 

 
 
 
 
 
 
 
 
  
  
  
  
  
  
 
 
 
 
GUARANTEE FUND 

As  a  reaction  to  the  extraordinary  policy  measures,  financial  markets already  stabilized  and  started  to recover 
significantly in Q2 and this trend continued until the end of the year, despite of second wave of infections and 
economic lockdowns introduced later in 2020. 

Hence,  the  pandemic  is  exacerbating  divergence  in  economic  growth  in  Europe:  the  periphery  had  worse 
outbreaks, its tourism-dependent economies are more vulnerable to social distancing and weaker fiscal positions 
make governments less able to secure the recovery. On the other hand, countries relying more on manufacturing 
sectors are less impacted. Driven by the weak demand, there is a downward pressure on inflation, with stronger 
Euro exerting an additional drag on prices. National fiscal responses and furlough schemes have mitigated the 
loss  in  jobs,  and  ECB  bank  funding  and  government  loan  guarantees  have  supported  corporate’s  liquidity, 
mostly  SMEs.  After  delivering  one  of the  worse  quarterly  GDP  figures  on  records  in  Q2,  European  countries 
recovered partly the missed output over the summer supported by strong retail sales and industrial production. 

Major  central  banks  are  determined  to  maintain  favourable  financial  conditions  at  least  until  the  economic 
recovery and inflation pressures are solid. Measures relating to the NGEU recovery fund – amounting to around 
0.5% of GDP each year between 2021-23 will also support economic activity.  

For the Eurozone, the ECB forecasted a decline of annual real GDP at -7.3% in 2020, which should rebound by 
3.9%  in  2021  and  4.2%  in  2022.  As  regards  inflation,  the  baseline  ECB  scenario  foresees  HICP  inflation 
rebounding  from  0.2%  in  2020  to  1.0%  in  2021  and  then  gradually  increasing  further  to  1.1%  in  2022.  The 
unemployment rate is expected to increase to 9.3% in 2021 from 8% in 2020, while recovering slowly to 8.2% 
by the end of 2022. Needless to say, there is a great amount of uncertainty on this base scenario, with risk mostly 
skewed to the downside. 

Two key major risk factors have faded: the US has a new president announcing a major stimulus package, and 
UK and EU negotiators came to an agreement for Brexit.  

Yet, there is a fair amount of uncertainty regarding rate levels going forward due to the COVID crisis evolution. 
In the base case, EUR interest rates are expected to move higher in 2021 from currently low levels, on the back 
of a move to higher yields globally. Most market rate forecasters see the 10-year German bund at levels around -
0.4%  by  the  end  of  2021,  which  would  steepen  yield  curves.  Eurozone  government  bonds  spreads  to  Bunds 
should be relatively well-contained on the back of ECB strong technical support.  

Credit spreads in EUR investment grade will need to find a balance between strong technical support and weaker 
fundamentals,  with  the  former  probably  overriding  the  latter.  While  credit  spreads  are  well  supported,  high 
absolute and relative debt levels, lower interest coverage ratios, less economic activity, higher expected default 
rates and uncertainty all would suggest higher risk premia. 

 

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 2020 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 

Page 6 

 
 
GUARANTEE FUND 

are classified as Available for Sale (AFS) in line with the EC accounting rule 112. At 31 December 2020, the 
market  value  (excluding  accrued  interest)  of  securities  with  a  residual  period  to  maturity  of  less  than  three 
months amounted to EUR 66.9 million, between 3 months and one year EUR 300.8 million and between one and 
10 years EUR 2,378.2 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 2020, the nominal value of the investment bond portfolio was EUR 2,692.0 million, against a 
clean market value of EUR 2,745.9 million. 

The global (modified) duration of the bond portfolio increased slightly over 2020 to reach 3.04 at the end of the 
year. As of 31 December 2020, the clean market value of the investment bond portfolio came to EUR 2,745.9 
million  (2019:  EUR  2,535.2  million)  compared  with  a  book  value  (including  premiums/discounts)  of  EUR 
2,711.5 million (2019: EUR 2,514.3 million), which gives an unrealised fair value result of EUR +34.4 million 
(2019: EUR +20.9 million).  

In  the  12-month  period  until  December  2020,  the  German  sovereign  yield  curve  bull  flattened.  While  short 
tenors  up  to  3-years  moved  lower  by  smaller  magnitude  (by  8-18bps),  the  belly  of  the  curve  in  3-7  years 
decreased by 20-30bps, and longer tenors in 7-10 years segment moved lower by more significant 34-38 basis 
points. The rates rally was fuelled by the expansion of the ECB QE policy, which met negative net supply, the 
economic shock generated by the coronavirus outbreak and the expected slow recovery, and lower inflation due 
to both consumer subdued demand and supply shortages. 

2 The Available for Sale portfolio also includes the zero-coupon bonds and commercial papers with original maturities of more than three 
months. After the implementation of IPSAS 41 as from 1 January 2021, the portfolio will be accounted at fair value through profit or loss 
(FVTPL). 

Page 7 

 
 
 
 
 
 
 
                                                 
GUARANTEE FUND 

Fig. 2: Bull-flattening of the German sovereign yield curve during 2020 (source: Bloomberg) 

The absolute performance of the portfolio has reached a healthy 1.07% in 2020 supported by record low yield 
levels  and  narrowing  credit  spreads  fuelled  by  extended  ECB  quantitative  easing  policy.  This  translates  to  a 
positive  contribution  of  more  than  EUR  29.6  million.  In  terms  of  asset  classes,  sovereign  and  supranational 
agencies  (SSA)  and  covered  bonds  provided  the  highest  performance  well  over  1%,  while  financials  and 
corporate  bonds  gained  0.75%  and  0.90%,  respectively.  Bonds  in  lower  rated  asset  classes  (A-BBB)  have 
outperformed, as well as securities with higher duration, as curves bull-flattened.  

The European Commission (EC) has decided to repatriate the Guarantee Fund and carry out asset management 
in-house.  A  draft Termination  Agreement has  been  sent by  EIB  to  the  EC,  and  the  repatriation  is  expected to 
take place in the course of Q2 2021. The EC has requested from the EIB to apply active portfolio management 
until the repatriation. 

In line with the updated investment strategy and in compliance with the guidelines, a total nominal amount of 
EUR 1,198.7 million was invested in four asset classes: SSA (EUR 515.8 million or 43%), covered bonds (EUR 
231  million  or  19.3%),  corporate  bonds  (EUR  153.3  million  or  12.8%)  and  financials  (EUR  298.6  million  or 
24.9%)  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 20120 investments per asset class as well as in terms of country 
distribution. 

Page 8 

 
 
 
 
 
 
 
43%

GUARANTEE FUND 

13%

25%

19%

Corporate

Covered

Financial

SSA

Fig. 3: 2020 Investments per asset class 

AT
1,25%

US
14,78%

CA
9,05%

BE
5,67%

CH
2,25%

CZ
0,19%

DE
9,99%

FI
6,59%

DK
0,69%

EE
0,92%

ES
3,34%

SNAT
6,76%

SK
0,83%

SI
0,29%

SG
1,04%

SE
2,09%

RO
0,46%

PT
0,33%

PL
2,25%
NO
0,08%

NL
1,92%

LU
0,83%

KR
4,00%

JP
4,05%

IT
2,13%

IE
1,33%

HR
HU…
3,09%

GB
5,89%

FR
6,51%

Fig. 4: 2020 Investments per country of exposure 

The below  chart  displays  the  maturity  and  instrument  format  split  of  the  2020 investments.  It  can  be  inferred 
from  the  chart  that  the  5Y  and  the  10Y  tenors,  as  most  attractive  spots  on  the yield  curve  in  terms  of  supply 
dynamics of new issuances. (The 2Y and 3Y concentrations are rather reflection of secondary market activity.) 

Page 9 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
GUARANTEE FUND 

Fig. 5: 2020 Investments per maturity tenor and instrument type (EUR) 

 

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

Variable rate 
7%

Fixed rate  93%

Fig. 6: Investment portfolio breakdown between fixed3 and variable rate securities at 31 December 2020 

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

Page 10 

 
 
 
 
 
 
 
 
 
 
                                                 
GUARANTEE FUND 

  Redemption profile of investment portfolio (nominal value) 

700.000.000

600.000.000

500.000.000

400.000.000

300.000.000

200.000.000

100.000.000

0

FLOATING

FIXED

2021

2022

2023

2024

2025

2026

2027

2028

2029

2030

Fig.7: Investment portfolio: Redemption profile at 31 December 2020 (EUR) 

The latest final maturity date for fixed rate securities is 25 November 2030. 

  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 2020 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. 

Page 11 

 
 
 
 
 
 
 
 
 
 
                                                 
 
 
 
GUARANTEE FUND 

Fig.8: Investment portfolio: Profile of issuers at 31 December 20207

869è 

7 The “Other” category presented in figure 8 includes: Corporates Aa1 (1.48%), Supranational Aa1 (1.45%), Public Institution Baa1 
(1.25%), Corporates A1 (1.24%), Banks Aa3 (1.08%), Covered Bonds Aa3 (1.08%), Member State Aa1 (1.06%), Non-EU Sovereign Aaa 
(1.06%), Public Institution A2 (1.02%), Covered Bonds Aa2 (1.00%), Non-EU Public Institution A1 (0.97%), Corporates Baa1 (0.84%), 
Banks Aa1 (0.78%), Covered Bonds Aa1 (0.74%), Banks Aa2 (0.67%), Non-EU Public Institution Aaa (0.67%), Member State Baa2 
(0.62%), Public Institution Aaa3 (0.58%), Public Institution A3 (0.56%), Public Institution A1 (0.56%), Corporates Aaa (0.45%), 
Supranational Aa2 (0.37%), Member State A3 (0.19%), Member State A3 (0.19%), Member State Baa1 (0.19%), Non-EU Public 
Institution Aa3 (0.19%). 

8 The overnight rate was changed from Eonia to Ester with starting date 01.01.2020. 

Page 12 

 
 
 
 
 
 
                                                 
 
 
2.4. 

Benchmarking, performance and interest rate risk analysis 

GUARANTEE FUND 

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 is applied since 1 January 2019. 

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

• 

• 

• 

Ester Index 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 

The index weighting is independent of the portfolio composition and 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 2020 no rebalancing of the benchmark occurred. 

Page 13 

 
 
 
 
GUARANTEE FUND 

Bucket 
(years) 

Performance Benchmark 
Sector 

Instrument 

GF Benchmark Weights as of 
2020 

0-1 

1-5 

5-10 

Total 

O/N 

1 m 

3 m 

Sovereign 

Cash, Unitary Fund 

Money Market 

T-bills and Fixed Rate Bonds 

Covered bonds 

Financials 

Corporates 

Sovereign 

Covered bonds 

Financials 

Corporates 

AAA 

AA 

A 

BBB 

AAA 

AA 

AA 

A 

BBB 

AA 

A 

BBB 

AAA 

AA 

A 

BBB 

AAA 

AA 

AA 

A 

BBB 

AA 

A 

BBB 

FRN and Fixed 
Rate 
Bonds 

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% 

0.5% 

2.1% 

0.7% 

0.6% 

0.8% 

100.00% 

Page 14 

 
 
 
 
 
 
 
 
2.4.2.  Performance 

GUARANTEE FUND 

The performance of the Fund portfolio was monitored on a marked-to-market basis. During 2020, the portfolio 
delivered  a  1.0746%  MTM  yearly  return,  outperforming  its  benchmark  by  28.58  bps.  The  evolution  of  the 
portfolio return and excess return vis-à-vis its benchmark is presented in the following table: 

Market Value 
(including 
accrued 
interest) 

Portfolio9 

Monthly  
return 
(absolute 
return in %) 

YTD  return 
(absolute 
return in %) 

31/01/2020 

2,603,416,403 

28/02/2020 

2,602,009,601 

31/03/2020 

2,780,743,534 

0.5404 

0.0690 

-1.8898 

30/04/2020 

2,800,826,073 

0.6279 

0.5404 

0.6097 

-1.2916 

-0.6707 

31/05/2020 

2,806,092,664 

0.2055 

-0.4666 

30/06/2020 

2,808,921,101 

31/07/2020 

2,819,033,364 

0.5828 

0.4028 

31/08/2020 

2,814,895,259 

-0.0333 

30/09/2020 

2,814,251,680 

0.2396 

31/10/2020 

2,824,934,635 

30/11/2020 

2,826,225,942 

31/12/2020 

2,811,292,299 

0.2756 

0.0631 

0.0091 

0.1135 

0.5168 

0.4833 

0.7241 

1.0017 

1.0654 

1.0746 

Out-performance 

Monthly 
Excess Return 
compared to 
benchmark 
(in%) 

0.0294 

0.0267 

YTD 
Excess 
Return 
(in%) 

0.0294 

0.0562 

-0.2519 

-0.1982 

0.0207 

0.0913 

0.1354 

0.0899 

0.0502 

0.0287 

0.0134 

0.0209 

-0.1778 

-0.0873 

0.0472 

0.1373 

0.1877 

0.2169 

0.2310 

0.2522 

0.0333 

0.2858 

9 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. 

Page 15 

 
 
 
  
 
 
  
  
  
  
  
  
  
  
  
  
  
  
 
                                                 
GUARANTEE FUND 

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 853,378  of  which  EUR  842,732  is 
related  to  the  fixed  rate  bond  exposure.  The  global  modified  duration  of  the  fund  increased  during  2020  and 
stood at 3.04 years as of 31 December 2020, compared to 2.99 years as of 31 December 2019. 

GF Sub- Portfolios 

Floating Rate Notes 

Fixed Rate Bonds 

Money Market Instruments 

Cash account 

Total GF 

Market Value (excluding 
accrued interest)10 

Modified Duration 
(Years) 

Interest Rate 
Exposure (+/-1bp) 

183,734,823 

2,562,189,574 

39,847,191 

16,819,348 

0.58 

3.28 

0.01 

+/- 10,602 

+/- 842,732 

+/- 44 

2,802,590,936 

3.04 

+/- 853,378 

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. 

Page 16 

 
 
 
 
 
 
 
 
 
                                                 
GUARANTEE FUND 

3. 

GUARANTEE FUND FINANCIAL STATEMENTS AS AT 31 DECEMBER 2020 

GUARANTEE FUND 

FINANCIAL STATEMENTS 

AS AT 31 DECEMBER 2020  

 Balance sheet 

 Statement of financial performance 

 Statement of changes in net assets 

 Cash flow statement 

 Notes to the financial statements 

 Independent auditor’s report 

Page 17 

 
 
 
 
 
 
 
 
 
                                                                                 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
GUARANTEE FUND 

Balance sheet  

as at 31 December 2020 

(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 

Total cash and cash equivalents 

TOTAL CURRENT ASSETS 

TOTAL ASSETS 

Notes 

31.12.2020 

31.12.2019 

5 

5 

6 
6 

9 
9 

10 

7 

2,359,535,584.98 
-14,685,898.84 

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

33,371,954.44 

20,423,758.78 

2,378,221,640.58 

2,312,151,733.92 

2,378,221,640.58 

2,312,151,733.92 

374,810,499.10 
-8,125,957.03 

1,032,951.15 
8,291,518.06 

39,999,968.97 
-152,777.96 

228,029,572.57 
-5,373,495.13 

437,936.70 
8,957,567.06 

999,956.97 
-2,672.94 

415,856,202.29 

233,048,865.23 

42,340,133.67 
0.00 

1,810,108.50 

240,152,822.10 
0.00 

585,535.74 

44,150,242.17 

240,738,357.84 

16,819,347.55 

16,819,347.55 

42,799,335.89 

42,799,335.89 

476,825,792.01 

516,586,558.96 

2,855,047,432.59 

2,828,738,292.88 

NET ASSETS AND LIABILITIES 

Notes 

31.12.2020 

31.12.2019 

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 

1,731,909,658.48 
42,340,133.67 

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

34,252,127.63 

1,023,382,162.29 
22,259,548.20 

20,859,022.54 

998,247,759.44 
25,134,402.85 

2,854,143,630.27 

2,827,879,866.33 

903,802.32 

903,802.32 

858,426.55 

858,426.55 

2,855,047,432.59 

2,828,738,292.88 

Page 18 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
GUARANTEE FUND 

Statement of financial performance 

For the year ended 31 December 2020 

(in EUR) 

Revenue from operating activities 

Risk-related remuneration 

Expenses from operating activities 

      Management fees 

      Audit fees 

      Bank fees 

      Recovery fees 

From 01.01.2020 
to 31.12.2020 

From 01.01.2019 
to 31.12.2019 

10 

9,084,830.18 

2,155,490.46 

-837,634.32 

-66,168.00 

-246,363.07 

-35,152.26 

-817,746.55 

-41,325.00 

-184,654.20 

-209,653.61 

8 

Result from operating activities 

7,899,512.53 

902,111.10 

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 

6,839,043.32 

7,695,743.93 

3,478.82 

6,835,564.50 

8,812,549.65 

106,259.09 

2,318.79 

7,693,425.14 

16,785,355.42 

116,258.17 

-35,460.85 

-35,460.85 

-1,362,355.54 

-79,900.55 

-79,900.55 

-285,165.22 

Result from non-operating activities 

14,360,035.67 

24,232,291.75 

ECONOMIC RESULT OF THE YEAR  

22,259,548.20 

25,134,402.85 

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 

17,239,006.65 

13,559,804.53 

-3,845,901.56 

-4,927,973.70 

13,393,105.09 

8,631,830.83 

Page 19 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Balance as at 01.01.2019 

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 2018 

Economic result of the year 2019 

Balance as at 31.12.2019 

Contributions from the European Commission allocated but not yet paid 

Recovery of historically called amount 

Contributions paid to the EIB as guarantee call 

Change of fair value reserve 

Allocation of the Economic result of the year 2019 

Economic result of the year 2020 

Balance as at 31.12.2020 

9 

9 

9 

9 

9 

9 

9 

9 

GUARANTEE FUND 

Statement of changes in net assets 

For the year ended 31 December 2020 

(in EUR) 

Fair value              

Accumulated 
surplus 
986,210,996.77 

Economic result of 
the year 
12,036,762.67 

Contributions 
1,598,393,457.10 

reserve 
12,227,191.71 

240,152,822.10 

-54,907,597.70 

0.00 

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 

Total net assets 
2,608,868,408.25 

240,152,822.10 

-54,907,597.70 

0.00 

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 

42,340,133.67 

705,327.23 

-52,434,350.25 

0.00 

0.00 

0.00 

0.00 

0.00 

0.00 

13,393,105.09 

0.00 

0.00 

0.00 

0.00 

0.00 

0.00 

0.00 

0.00 

0.00 

0.00 

42,340,133.67 

705,327.23 

-52,434,350.25 

13,393,105.09 

25,134,402.85 

-25,134,402.85 

0.00 

0.00 

22,259,548.20 

22,259,548.20 

1,774,249,792.15 

34,252,127.63 

1,023,382,162.29 

22,259,548.20 

2,854,143,630.27 

Page 20 

  
 
 
 
 
 
 
 
 
 
GUARANTEE FUND 

Cash flow statement  

For the year ended 31 December 2020 

(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 01.01.2020 
to 31.12.2020 

From 01.01.2019 
to 31.12.2019 

-817,746.55 

-35,152.26 

-278,610.58 

-894,626.42 

-288,866.45 

-221,400.78 

-52,434,350.25 

-54,907,597.70 

705,327.23 

7,860,257.42 

0.00 

1,569,955.17 

-45,000,274.99 

-54,742,536.18 

-40,414.52 

-39,000,012.00 

-89,963.52 

-999,956.97 

-1,195,986,162.48 

-1,537,595,053.32 

995,711,303.58 

1,466,271,844.63 

18,076,490.88 

25,048,772.46 

106,259.09 

116,258.17 

-221,132,535.45 

-47,248,098.55 

      Contributions received from the European Commission  

240,152,822.10 

103,222,935.00 

 Net cash flows from financing activities 

Net increase in cash and cash equivalents 

240,152,822.10 

103,222,935.00 

-25,979,988.34 

1,232,300.27 

Cash and cash equivalents at the beginning of the financial year 

42,799,335.89 

41,567,035.62 

Cash and cash equivalents at the end of the financial year 

16,819,347.55 

42,799,335.89 

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

Current accounts 

Total cash and cash equivalents 

16,819,347.55 

42,799,335.89 

16,819,347.55 

42,799,335.89 

3.1. 

Notes to the financial statements as at 31 December 2020 

3.1.1.  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: 

Page 21 

  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
GUARANTEE FUND 

  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. 

Upon entry into force of the Neighbourhood, Development and International Cooperation Instrument (“NDICI”) 
Regulation  foreseen  for  2021,  the  Guarantee  Fund  will  become  a  compartment  of  the  Common  Provisioning 
Fund,  which  will  be  managed  by  the  European  Commission.  Management  of  the  Fund  by  EIB  will  be 
terminated. 

The present financial statements cover the period from 1 January 2020 to 31 December 2020. 

EIB’s management has authorized the financial statements for issue on 26 March 2021. 

3.1.2.  Significant accounting policies 

3.1.2.1.  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 200911 and December 201112.  

The financial statements have been prepared on a going concern basis, considering the fact that upon entry  into 
force of the NDICI Regulation foreseen for 2021 the Fund will keep its ability to meet the mandatory payments 
of the guarantees and only the management of the Guarantee Fund by the EIB will be terminated. Instead, the 
assets of the Guarantee Fund will be managed by the European Commission under the Common Provisioning 
Fund. 

According to articles 3, 5 and 6 of Council Regulation (EC, Euratom) No 480/2009 of 25 May 2009 as amended 
by the Regulation (EU) 2018/409 of the European Parliament and of the Council of 14 March 2018 if, as a result 
of the  activation  of  guarantees following  one  or  more  defaults, resources  in the  Fund  fall  below  the  set  target 
amount of 9% of total outstanding capital liabilities arising from each operation, plus any unpaid interest, then 
the European Commission transfers to the Fund the difference between the target amount and the value of the 
Fund’s net assets at the previous year-end balance sheet date.  

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

3.1.2.2.   

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. 

11 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. 
12 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”. 

Page 22 

 
                                                 
3.1.2.3.  Significant accounting judgments and estimates 

GUARANTEE FUND 

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. 

3.1.2.4.  Summary of significant accounting policies 

(a) 

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. 

(b) 

Financial instruments 

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

Page 23 

 
GUARANTEE FUND 

(i) 

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. 

(ii) 

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. 

(iii) 

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 Commission13 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, 

13  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). 

Page 24 

 
                                                 
GUARANTEE FUND 

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. 

(iv) 

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. 

(v) 

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. 

Page 25 

 
 
GUARANTEE FUND 

(c) 

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 received14 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. 

(d) 

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. 

(e) 

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. 

(f) 

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. 

14 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. 

Page 26 

 
 
 
                                                 
(g) 

Recovery fees 

GUARANTEE FUND 

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. 

(h) 

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  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. 

(i) 

 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. 

3.1.2.5.  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. 

3.1.3.  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. 

3.1.3.1.   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.  

Page 27 

 
3.1.3.2.  Credit risk 

GUARANTEE FUND 

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

(a) 

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.  

(b)  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 

31.12.2020 

31.12.2019 

2,794,077,842.87 
42,340,133.67 
1,810,108.50 
16,819,347.55 
2,855,047,432.59 

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

Total credit exposure 

2,855,047,432.59 

2,828,738,292.88 

(c) 

Credit risk on cash and cash equivalents 

(i) 

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 

31.12.2020 

31.12.2019 

16,819,247.55 

42,797,618.13 

100.00 

1,717.76 

Total 
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). 

16,819,347.55 

42,799,335.89 

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 

31.12.2020 
100.00 

31.12.2019 
100.00 

16,819,147.55 

42,797,518.13 

100.00 

1,717.76 

16,819,347.55 

42,799,335.89 

Page 28 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
(ii) 

Analysis of short term deposits per profile of counterparties 

GUARANTEE FUND 

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. There were no short term deposits as at the year end. 

(d) 

Credit risk on bond portfolio 

(i) 

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 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 

Banks A1 

Banks A2 

Banks A3 

Banks Baa1 

Banks Baa2 

Member State Aaa 

Member State Aa1 

Member State Aa2 

Member State Aa3 

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 

31.12.2020 

21,393,400.00 

18,106,190.00 

29,241,820.00 

57,158,060.12 

109,565,161.20 

47,474,793.97 

79,713,448.74 

41,221,885.16 

76,041,455.00 

29,633,205.00 

133,958,050.00 

61,723,370.00 

147,774,192.00 

5,046,350.00 

5,116,400.00 

16,997,290.00 

79,641,640.16 

0.78% 

0.66% 

1.07% 

2.08% 

3.99% 

1.73% 

2.90% 

1.50% 

2.77% 

1.08% 

4.88% 

2.25% 

5.38% 

0.18% 

0.19% 

0.62% 

2.90% 

31.12.2019 

14,213,360.00 

41,206,300.00 

45,338,070.00 

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 

141,645,523.00 

39,042,245.64 

5,100,950.00 

0.00 

74,035,790.00 

0.57% 

1.63% 

1.79% 

2.27% 

1.99% 

1.47% 

3.23% 

1.67% 

2.95% 

0.22% 

4.94% 

2.39% 

5.59% 

1.54% 

0.20% 

0.00% 

2.92% 

461,917,761.50 

16.82% 

412,254,815.00 

16.25% 

20,391,470.00 

27,454,010.00 

29,736,450.00 

12,197,880.00 

40,716,570.00 

0.74% 

1.00% 

1.08% 

0.44% 

1.48% 

10,101,600.00 

14,236,780.00 

18,488,720.00 

18,596,940.00 

23,171,040.00 

0.40% 

0.56% 

0.73% 

0.73% 

0.91% 

Page 29 

 
 
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 

Non-EU Public Institution Aa3 

Non-EU Public Institution A1 

Non-EU Sovereign Aaa 

GUARANTEE FUND 

43,223,854.00 

42,804,810.00 

33,874,920.00 

102,612,270.00 

60,814,370.00 

22,701,665.00 

78,621,485.00 

0.00 

235,505,200.00 

71,448,374.80 

128,756,357.00 

15,815,605.00 

16,655,100.00 

28,004,000.00 

15,467,550.00 

34,090,040.00 

87,695,520.00 

41,026,724.00 

10,204,400.00 

18,521,280.00 

44,970,295.00 

5,387,400.00 

26,408,781.15 

29,108,280.00 

1.57% 

1.56% 

1.23% 

3.74% 

2.22% 

0.83% 

2.86% 

0.00% 

8.58% 

2.60% 

4.69% 

0.58% 

0.61% 

1.02% 

0.56% 

1.24% 

3.19% 

1.49% 

0.37% 

0.68% 

1.64% 

0.20% 

0.96% 

1.06% 

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 

2.37% 

0.89% 

1.17% 

2.48% 

2.18% 

4.66% 

2.80% 

0.49% 

286,435,170.00 

11.29% 

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 

5,435,150.00 

20,504,879.95 

7,671,150.00 

1.48% 

7.35% 

0.30% 

0.67% 

0.32% 

0.61% 

1.34% 

1.60% 

1.02% 

0.00% 

0.12% 

0.59% 

0.21% 

0.81% 

0.30% 

Total 

2,745,939,133.80 

100.00% 

2,535,245,748.06 

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. 

(ii) 

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 2020 and as at 31 December 2019 (in EUR): 

At 31.12.2020 

EU sovereigns 
Austria 

Croatia 

Czech Republic 

Purchase price  Value at maturity  Carrying Value (*) 

15,168,150.00 

15,000,000.00 

15,582,000.00 

30,920,332.00 

29,296,000.00 

30,937,240.16 

42,485,500.00 

37,500,000.00 

39,322,470.00 

Page 30 

 
 
 
 
Estonia 

Finland 

France 

Germany 

Hungary 

Ireland 

Italy 

Latvia 

Lithuania 

Poland 

Romania 

Slovenia 

Spain 

EU Supranational 

Total EU sovereigns 
Others 

TOTAL 

GUARANTEE FUND 

6,923,980.00 

7,000,000.00 

7,206,220.00 

13,797,540.00 

13,500,000.00 

14,051,205.00 

132,800,980.00 

131,500,000.00 

133,958,050.00 

75,181,005.00 

73,500,000.00 

76,041,455.00 

16,682,620.00 

16,800,000.00 

16,997,290.00 

10,904,850.00 

11,000,000.00 

11,547,470.00 

41,146,200.00 

40,000,000.00 

42,065,200.00 

5,065,000.00 

5,000,000.00 

5,046,350.00 

16,088,800.00 

16,000,000.00 

16,027,280.00 

81,303,070.00 

78,000,000.00 

78,653,110.00 

6,390,430.00 

3,492,755.00 

6,000,000.00 

3,500,000.00 

6,639,200.00 

3,647,210.00 

58,343,467.00 

57,265,000.00 

58,210,202.00 

77,400,860.00 

76,000,000.00 

77,770,870.00 

634,095,539.00 
2,100,250,545.08 

616,861,000.00 
2,075,183,000.00 

633,702,822.16 
2,112,236,311.64 

2,734,346,084.08 

2,692,044,000.00 

2,745,939,133.80 

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

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

48,265,000.00 
512,409,600.00 
1,979,732,000.00 

49,258,971.75 
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. 

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. 

(e) 

Credit risk on EIB UF Investments 

The  Fund  is  indirectly  exposed  to  credit  risk  through  the  investments  in  the  EIB  Unitary  Fund.  This  money 
market investment is governed by its Deed Poll and Information Memorandum which define certain limits and 

Page 31 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
restrictions  in  order  to  limit  its  exposure  to  credit  risk.  The  respect  of  these  limits  is  monitored  by  Risk 
Management on a daily basis.  

GUARANTEE FUND 

(f) 

Credit risk on contributions receivable 

Contributions receivable is due from the European Commission and the European Commission is rated AAA as 
at 31 December 2020 and as at 31 December 2019. 

(g) 

Credit risk on risk-related remuneration receivable 

The risk-related remuneration receivable is due from the EIB and EIB is rated AAA as at 31 December 2020 and 
as at 31 December 2019. 

3.1.3.3.  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. 

(a) 

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. 

(b) 

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 in EUR 

(at 31 December 2020) 

Other payables 

Total  

Less than 

1 year to 

More than 

 1 year 

  5 years 

 5 years 

TOTAL 

903,802.32 

903,802.32 

0.00 

0.00 

0.00 

0.00 

903,802.32 

903,802.32 

Page 32 

 
 
 
 
 
 
 
GUARANTEE FUND 

Less than 

1 year to  

More than 

1 year 

5 years 

 5 years 

TOTAL 

858,426.55 

858,426.55 

0.00 

0.00 

0.00 

0.00 

858,426.55 

858,426.55 

Maturity profile in EUR 

(at 31 December 2019) 

Other payables 

Total  

3.1.3.4.  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.  

(a) 

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 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 2020 

GF sub-portfolios 

GF - Short term 
GF - FRN 

GF - Long term 

Current accounts 

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 

39,847  
183,735  

2,562,204  

16,819  

2,802,605 

0.01 
0.58 

3.28 

0.00 

3.04 

-/+ 0 
-/+ 11 

-/+ 843 

-/+ 0 

-/+ 854 

-4 
-1,046  

-81,660  

0 

+4 
+1,075 

+ 87,077 

0 

-82,710 

+ 88,156 

Page 33 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
GUARANTEE FUND 

31 December 2019 

GF sub-portfolios 

GF - Short term 
GF - FRN 

GF - Long term 

Current accounts 

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 

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 

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,  zero  coupon  bonds  and  EIB  Unitary  Fund 
investments. 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; 

–  EIB Unitary Fund investments: based on the latest available Net Asset Value (NAV) reported by the 

calculation agent. 

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. 

EIB Unitary Fund Investments 

As  at  31  December  2020  the  Fund  is  indirectly  exposed  to  market  risk  through  the  investments  in  the  EIB 
Unitary Fund. The value of the underlying investments of the EIB Unitary Fund investments changes under the 
influence of the prevailing interest rates but also under other influences, including the perceived creditworthiness 
of the issuer or obligor. Due to the characteristics of this money market investment, the interest rate sensitivity of 
the investment in EIB Unitary Fund can be considered as nil, under normal market conditions. 

A +/- 10 percent change in the NAV of the EIB Unitary Fund would result into a change of the value of the EIB 
Unitary Fund investments amounting to EUR -3,984,719.10 (2019: EUR -99,728.40) or EUR +3,984,719.10 
(2019: EUR +99,728.40) respectively and would be recorded in the statement of changes of net assets under 
change in fair value reserve. 

Page 34 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
3.1.3.5.  Foreign exchange risk exposure 

GUARANTEE FUND 

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. 

Page 35 

 
GUARANTEE FUND 

3.1.4.  Fair value of financial instruments 

3.1.4.1.  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 2020 

in EUR 

Financial assets carried at fair value: 

Bond portfolio 

EIB Unitary Fund Investments 

Total  

Financial assets not carried at fair value: 

Carrying amount 

Fair value 

Available for 
Sale 

Cash, loans and 
receivables 

Other financial 
liabilities 

Total 

Level 1 

Level 2 

Level 3 

Total 

2,754,230,651.86 

39,847,191.01 

2,794,077,842.87 

0.00 

0.00 

0.00 

0.00  2,754,230,651.86 

 2,754,230,651.86 

0.00 

0.00  2,754,230,651.86 

0.00 

39,847,191.01 

0.00 

39,847,191.01 

0.00 

39,847,191.01 

0.00  2,794,077,842.87 

 2,754,230,651.86 

39,847,191.01 

0.00  2,794,077,842.87 

Contributions receivable 

0.00 

42,340,133.67 

0.00 

42,340,133.67 

Risk-related remuneration receivable 

0.00 

1,810,108.50 

0.00 

1,810,108.50 

Current accounts 

Total  

0.00 

16,819,347.55 

0.00 

16,819,347.55 

0.00 

60,969,589.72 

0.00 

60,969,589.72 

Total financial assets 

2,794,077,842.87 

60,969,589.72 

0.00  2,855,047,432.59 

Financial liabilities not carried at fair value: 

Other payables 

Total  

Total financial liabilities 

0.00 

0.00 

0.00 

0.00 

0.00 

0.00 

-903,802.32 

-903,802.32 

-903,802.32 

-903,802.32 

-903,802.32 

-903,802.32 

Page 36 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
At 31 December 2019 

in EUR 

Carrying amount 

Fair value 

GUARANTEE FUND 

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  

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 

0.00 

585,535.74 

42,799,335.89 

0.00 

0.00 

0.00 

240,152,822.10 

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: 

Other payables 

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 

Page 37 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
GUARANTEE FUND 

3.1.4.2.  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. 

3.1.4.3.  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. 

3.1.4.4.  Level 3 fair value 

As at 31 December 2020 and 31 December 2019 the Fund has no financial instruments classified under Level 3. 

3.1.5.  Bond portfolio 

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

Balance as at 1 January 2020 
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 2020 

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 amount at 31 December 2019 

2,544,203,315.12 
1,195,986,162.48 
-998,083,512.17 
-752,474.68 
-666,049.00 
13,543,210.11 
2,754,230,651.86 

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  2020  the  nominal  value  of  the  investment  portfolio  was  EUR  2,692,044,000.00  million  
(2019:  EUR 2,492,141,600.00  million),  against  a  market  value  of  EUR  2,745,939,133.80  million  (2019:  EUR 
2,535,245,748.06 million), excluding accrued interest. 

Accrued  interest  as  at  31  December  2020  amounting  to  EUR  8,291,518.06  (2019:  EUR 8,957,567.06)  is  split 
between: 

  Fixed rate notes  EUR 8,275,764.96 (2019: EUR 8,924,878.78); 

  Floating rate notes EUR 15,753.10 (2019: EUR 32,688.28). 

Page 38 

 
 
 
 
 
 
As at 31 December 2020 the market value of securities lent within the automatic security lending agreement with 
Euroclear (excluding accrued interest) amounts to EUR 9,494,167.78 (2019: EUR 11,022,385.63). 

GUARANTEE FUND 

3.1.6.  EIB Unitary Fund investments 

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

Balance as at 1 January 2020 

Subscriptions 

Change in fair value 

Balance as at 31 December 2020 

Balance as at 1 January 2019 

Subscriptions 

Change in fair value 

Balance as at 31 December 2019 

3.1.7.  Cash and cash equivalents 

997,284.03 

39,000,012.00 

-150,105.02 

39,847,191.01 

0.00 

999,956.97 

-2,672.94 

997,284.03 

Cash  and  cash  equivalents  is  composed  only  of  current  accounts  amounting  to  EUR  16,819,347.55  as  at  
31 December 2020 (31 December 2019: EUR 42,799,335.89). 

3.1.8.  Recovery fees 

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

During the reporting year 2020, recovery fees were amounting to EUR 35,152.26 (2019: EUR 209,653.61) of 
which the amount of EUR 0.00  is accrued as at 31 December 2020 (2019: EUR 0.00 ). 

3.1.9.  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 2019 amounting to EUR 240,152,822.10 was 
paid in cash during the reporting period. In 2020, the Fund has been allocated an additional contribution amount 
of EUR 42,340,133.67 which has not been paid as at 31 December 2020. 

Page 39 

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

GUARANTEE FUND 

Balance as at 1 January 2020 
Contributions from the European Commission allocated but not paid in 
Contributions paid to the EIB as guarantee call 
Recovery of historically called amount 
Balance as at 31 December 2020 

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 

3.1.10.  Risk-related remuneration 

1,783,638,681.50 
42,340,133.67 
-52,434,350.25 
705,327.23 
1,774,249,792.15 

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

(1)  During  2020,  the  risk-related  remuneration  under  the  ERI  Private  Mandate  amounts to  EUR  9,084,830.18 
(2019: EUR 2,155,490.46) out of which EUR 1,810,108.50 is accrued as at 31 December 2020 (EUR 585,535.74 
as at 31 December 2019). 

3.1.11.  Other payables 

Description 
Treasury management fees 
Audit fees 
Total 

31.12.2020 
837,634.32 
66,168.00 
903,802.32 

31.12.2019 
817,746.55 
40,680.00 
858,426.55 

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

3.1.12.  Specific financial information disclosed 

The following specific information is disclosed for the EU’s annual reporting to the United Kingdom following 
article 143 of the Agreement on the withdrawal of the United Kingdom  of Great Britain and Northern Ireland 
from the European Union and the European Atomic Energy Community (hereafter “WA”). 

3.1.12.1. 

Provisions in the Guarantee Fund by 31 December 2020 (WA Art. 143(3)(a)(i)) 

Provisions in the Guarantee Fund  
Net Assets Value of the guarantee fund excluding contributions not yet paid in 
(WA Art. 143.3(a)(i)) 
Total provisions in the guarantee fund (NAV)  

31.12.2020 

2,811,803,496.60 
2,811,803,496.60 

3.1.12.2. 
financial operations (including those related to “pre-Brexit operations” as per WA Art 143(4)(b)) 

Total  payments  made  from  the  Guarantee  Fund  in  2020  relating  to  the  guaranteed 

Payments for guarantee calls, fees and costs relating to operations 
Payments for guarantee calls 
Payments for recovery costs 
Total payments for guarantee calls and costs relating to operations 

2020  
52,434,350.25 
35,152.26 
52,469,502.51 

Page 40 

 
 
 
 
 
 
 
 
 
 
GUARANTEE FUND 

3.1.12.3. 
in 2020 (including those related to “pre-Brexit operations” as per WA Art 143(2)) 

Total reflows from the guaranteed financial operations settled in the Guarantee Fund 

Reflows from financial operations  
Amounts recovered from the defaulting debtors or returns of undue payments 
Amounts of revenue from the financial operations (risk related remuneration)                     
Total reflows from financial operations 

2020 
705,327.23 
7,860,257.42 
8,565,584.65 

3.1.13.  Subsequent events 

In the context of the Covid-19 pandemic, the Facility continues to monitor the situation closely notably as part of 
the subsequent event review. It is considered that there have been no material events after the balance sheet date 
that would require adjustment of, or disclosure in, the financial statements as at 31 December 2020. 

Page 41