COMMISSION STAFF WORKING DOCUMENT Accompanying the document Report from the Commission to the European Parliament and the Council on the common provisioning fund in 2022
Date: 2023-05-31
Institutions: Directorate-General for Budget, European Commission
Subjects: EU budget, budgetary reserve (EU), financial management, fund (EU), investment, multiannual financial framework, provision, reserves

EN 

  EN 

   EUROPEAN COMMISSION  Brussels, 31.5.2023  SWD(2023) 170 final  COMMISSION STAFF WORKING DOCUMENT     Accompanying the document Report from the Commission to the European Parliament and the Council on the common provisioning fund in 2022 {COM(2023) 288 final}  
 
 
Table of Contents 

1. 

2. 

INTRODUCTION ............................................................................................................................ 2 

EVOLUTION OF THE CPF PORTFOLIO IN 2022 .................................................................... 2 

FINANCIAL STATEMENTS .......................................................................................................... 3 
3. 
3.1.  Assets of the CPF ................................................................................................................................ 3 
3.2.  Balance sheet ...................................................................................................................................... 3 
3.3.  Asset structure and value of compartments ........................................................................................ 4 
Financial performance ........................................................................................................................ 5 
3.4. 
Statement of financial performance .................................................................................................... 5 
3.5. 

 
 
 
 
 
 
 
1.  INTRODUCTION 

This staff working document (SWD) accompanies the annual report on the common provisioning 
fund  (CPF)  for  2022.  It  contains  information  on  the  evolution  of  the  portfolio,  including  a 
complete  list  of  CPF  compartments  at  the  end  of  2022,  as  well  as  presents  the  financial 
statements of the fund. 

2.  EVOLUTION OF THE CPF PORTFOLIO IN 2022 

CPF  is  the  largest  of  the  Commission  managed  portfolios  with  an  asset  value  of  EUR 14.39 
billion  at  year-end.  In  2022,  the  CPF  received  EUR  3.26  billion  net  contributions  (2021:  EUR 
12.44 billion). 

The CPF comprises several compartments, corresponding to provisions established by different 
EU  legislative  instruments.  On  1  January  2022,  the  CPF  was  composed  of  four  active 
compartments  which  contained  funds:  EFSI (1),  EFSD (2),  GFEA (3)  and  InvestEU  (EU 
compartment). In October 2022 several new compartments were opened, as envisaged under the 
various basic acts, bringing their total number up to 14.  

The full list of compartments is presented in the table below. The non-active compartments will 
be activated at a later stage upon reception of corresponding first inflows. 

Compartment 

Activated by December 2022 

EFSD 

EFSD+ 

GFEA 

EFSI 

InvestEU 

Post-2020 MFA 

Exceptional MFA Ukraine 

Post-2020 Euratom loans 

Repurposed ELM loans Ukraine 

InvestEU Guarantee Romania 

InvestEU Guarantee Czech Republic 

InvestEU Guarantee Finland 

InvestEU Guarantee Greece 

InvestEU Blending Operations 

Yes 

Yes 

Yes 

Yes 

Yes 

No 

No 

No 

No 

No 

Yes 

Yes 

No 

Yes 

(1)  European Fund for Strategic Investments 

(2)  European Fund for Sustainable Development 

(3)  Guarantee Fund for external actions (GFEA), holding the provisions for the external lending mandate 

(ELM), legacy (macro-financial assistance (MFA) and Euratom programmes 

Page 2 / 6 

 
 
 
                                                      
3.  FINANCIAL STATEMENTS 

3.1.  Assets of the CPF 

The net assets of the CPF stood at EUR 14.39 billion as at 31 December 2022. The main assets 
were bond securities, classified as fair value  through surplus or deficit (EUR 14.06 billion) and 
cash and cash equivalents (EUR 0.33 billion). Including cash and cash equivalents, current assets 
stood at EUR 2.68 billion.  

3.2.  Balance sheet 

ASSETS 

31 December 2022 
EUR 

31 December 2021 
EUR 

NON-CURRENT ASSETS 
Financial assets at fair value through surplus or deficit 

11 717 670 068 

9 165 352 836 

Securities 
Derivatives 

CURRENT ASSETS 
Financial assets at fair value through surplus or deficit 

Securities 

Derivatives 

Receivables 

Cash and cash equivalents 

Current accounts 

  Cash equivalents  
  Accrued interest on cash and cash equivalents 

11 717 670 068 
- 

9 165 352 836 
- 

2 677 872 627 

3 141 276 916 

2 339 443 343 

2 106 297 201 

4 631 483 

1 812 602 

533 198 

363 467 

333 264 603 
325 572 456 

7 312 957 
379 190 

1 032 803 646 
1 008 293 189 

24 958 876 
-448 419 

TOTAL ASSETS  

14 395 542 695 

12 306 629 752 

NET ASSETS AND LIABILITIES 

(A) NET ASSETS 

31 December 2022 
EUR 

31 December 2021 
EUR 

14 395 085 726 

12 306 420 400 

Contribution from EU Budget 

15 695 093 245 

12 439 736 157 

Retained earnings 
Economic result of the year 

-133 315 757 
-1 166 691 762 

- 
-133 315 757 

Page 3 / 6 

 
 
 
 
 
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
 
(B) CURRENT LIABILITIES 

456 969 

209 352 

Financial liabilities at fair value through surplus or deficit 

Derivatives 

Other payables 

- 

- 

456 969 

209 352 

(A+B) TOTAL NET ASSETS AND LIABILITIES 

14 395 542 695 

12 306 629 752 

3.3.  Asset structure and value of compartments 

Top  (AAA)  rated  securities  correspond  to  35.7%  of  total  assets.  Cash  and  cash  equivalents 
represent 2.3% of the total portfolio value. The average credit quality of CPF at the end of 2022 
was A, while the average one year default probability was 0.04%. The sensitivity of the portfolio 
to interest rate changes was close to that of the benchmark; in particular, the so-called modified 
duration of the portfolio was 3.17, while the duration of the benchmark stood at 3.24 at the end of 
December 2022. 

Figure 1 – Portfolio by rating (left) and portfolio vs benchmark split by asset class (right) – December 2022 

As  mentioned  in  the  introduction,  at  the  end  of  2022  the  CPF  consisted  of  eight 
compartments. Each compartment holds a number of CPF units or shares in the CPF of a 
standard size. Changes in the market valuation of the CPF are reflected in the price of the 
units referred to as the Net Asset Valuation, reflecting the market valuation of the assets 
belonging to each compartment at the end of each month. 

Page 4 / 6 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
The movements and values are presented in the tables below. Net Asset Values (NAV) 
are in EUR. 

Compartment 
31.12.2022 

as 

of 

Contributions 
redemptions in EUR 

less 

Number of units 

Market  Value 
EUR  

in 

EFSD 

EFSD+ 

EFSI 

GFEA 

INVESTEU 

INVESTEU - Czech R. 

INVESTEU - Finland 

INVESTEU - Blending 

 Total CPF 

773 238 694 

1 087 585 038 

9 341 006 538 

2 727 106 589 

1 717 040 841 

13 665 629 

17 689 916 

17 760 000 

77 475 

118 458 

939 733 

273 857 

183 347 

1 494 

1 934 

1 972 

697 793 925 

1 066 911 768 

8 463 863 835 

2 466 536 436 

1 651 342 769 

13 457 063 

17 419 930 

17 760 000 

15 695 093 245 

1 598 270 

14 395 085 726 

Annual performance NAV per unit 
31.12.2021 

9 880.88028 € 

31.12.2022 

since 31.12.2021: 

9 006.66861 € 

-8.848% 

3.4.  Financial performance 

The  CPF  ended  the  year  with  an  economic  result  of  EUR -1,166.7  million.  This  result 
needs to be viewed in the context of very difficult investment conditions in international 
bond markets, as described in detail in the CPF annual report. 

The  main  driver  for  the  2022  result  was  the  loss  from  the  change  in  fair  value  of 
securities  and  interests  on  securities  (EUR -1,155.2  million)  which  was  reduced  by 
EUR 39.3  million  from  net  currency  gains  from  holding  USD-denominated  assets  to  a 
losses  
net 
(EUR -11.2 million from forwards and EUR -40.0 from cash) were related to hedging the 
currency risk of USD-denominated securities and are largely offset by currency and other 
gains from holding USD-denominated assets included in the security result above. 

securities  of  EUR 1,115.9  million.  EUR 51.2  million 

loss  on 

3.5.  Statement of financial performance 

Revenue from operating activities 
Foreign exchange gains 
Other revenue from operating activities 

Expenses from operating activities 
Foreign exchange losses 

Other expenses from operating activities 
     Audit fees 

2022 
EUR 

14 649 672 
14 649 672 
- 

2021 
EUR 

3 377 874 
3 377 874 
- 

-54 630 184 
-54 618 184 

-11 695 279 
-11 678 279 

-12 000- 
-12 000 

-17 000 
-17 000 

Page 5 / 6 

 
 
 
 
  
 
 
 
 
 
 
 
 
 
 
RESULT FROM OPERATING ACTIVITIES 

-39 980 512 

-8 317 405 

Financial revenue  
Interest revenue on: 
     Cash and cash equivalents 
Other interest revenue 

Other financial income - fair value changes of securities 
Other financial income - fair value changes of derivatives 

Security lending income 
Settlement penalties received 

5 013 513 
1 127 985 
1 127 985 
- 

- 
- 

3 874 321 
11 207 

882 260 
2 306 
2 306 
- 

- 
- 

879 954 
- 

Financial expenses  
Interest expenses on cash and cash equivalents 

-1 131 724 763 
-914 842 

-125 880 612 
-4 563 034 

Other financial expenses - fair value changes of securities 
Other financial expenses - fair value changes of derivatives 

-1 115 878 645 
-11 187 456 

-82 370 766 
-37 204 835 

Custody fees and other financial expenses 

-3 743 820 

-1 741 977 

FINANCIAL RESULT 

-1 126 711 250 

-124 998 352 

ECONOMIC RESULT OF THE YEAR 

-1 166 691 762 

-133 315 757 

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