COMMISSION STAFF WORKING DOCUMENT Accompanying the document Report from the Commission to the European Parliament and the Council on the common provisioning fund in 2023
Date: 2024-06-25
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, 25.6.2024  SWD(2024) 161 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 2023 {COM(2024) 180 final}  
 
 
TABLE OF CONTENTS 

1. 

INTRODUCTION .............................................................................................................................................. 1 

2. 

EVOLUTION OF THE CPF PORTFOLIO IN 2023 .............................................................................. 1 

3. 

FINANCIAL STATEMENTS .......................................................................................................................... 1 

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1. 

INTRODUCTION 

This  staff  working  document  (SWD)  accompanies  the  annual  report  on  the  common 
provisioning fund (CPF) for 2023 and presents the financial statements of the fund. 

2.  EVOLUTION OF THE CPF PORTFOLIO IN 2023 

CPF  is  the  largest  of  the  Commission  managed  portfolios  with  asset  value  of  EUR 18.80 
billion at year-end. In 2023, the CPF received EUR 3.53 billion net contributions (2022: EUR 
3.26 billion).  
The  CPF  comprises  sixteen  compartments,  corresponding  to  provisions  established  by 
different  EU  legislative  instruments,  out  of  which  two  were  opened  in  2023.  Thirteen 
compartments  are  currently  fully  active  and  contain  funds.  The  remaining  non-active 
compartments will be activated upon reception of corresponding first inflows. 

3.  FINANCIAL STATEMENTS 

3.1. 

Assets of the CPF 

The  net  assets  of  the  CPF  stood  at  EUR 18.80  billion  on  31  December  2023.  The  main 
assets were debt securities and investment funds, classified as fair value through surplus 
or deficit (EUR 18.70 billion). 

3.2. 

Balance sheet 

ASSETS 

31 December 
2023 

31 December 
2022 

EUR 

EUR 

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

15 162 667 146 

11 717 670 068 

Securities 
Derivatives 

CURRENT ASSETS 
Financial  assets  at  fair  value  through 
surplus or deficit 

15 162 667 146 
- 

11 717 670 068 
- 

3 634 196 920 

2 677 872 627 

Securities 

3 535 639 678 

2 339 443 343 

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Derivatives 

Receivables 

38 900 368 

4 631 483 

337 689 

533 198 

Cash and cash equivalents 

Current accounts 
  Cash equivalents  
  Accrued interest on cash and cash equivalents 

59 319 185 
23 034 850 
36 018 100 
266 235 

333 264 603 
325 572 456 
7 312 957 
379 190 

TOTAL ASSETS  

18 796 864 066 

14 395 542 695 

NET ASSETS AND LIABILITIES 

(A) NET ASSETS 

31 December 
2023 
EUR 
18 796 615 295 

31 December 
2022 
EUR 
14 395 085 726 

Contribution from EU Budget 

19 221 060 781 

15 695 093 245 

Retained earnings 
Economic result of the year 

(B) CURRENT LIABILITIES 
Financial  liabilities  at  fair  value  through 
surplus or deficit 

Derivatives 

Other payables 

-1 300 007 519 

-133 315 757 

875 562 033 

-1 166 691 762 

248 771 

456 969 

- 

- 

248 771 

456 969 

(A+B) TOTAL NET ASSETS AND LIABILITIES 

18 796 864 066 

14 395 542 695 

3.3. 

Asset structure and value of compartments 

Top (AAA) rated securities correspond to 36.1% of total assets. Cash and cash equivalents 
represent 1.9% of the total portfolio value. The average credit quality of CPF at the end of 
2023 was A, while the average one year default probability was 0.04%. The sensitivity of 
the portfolio to interest rate changes (i.e. the “modified duration”) was slightly lower than 
that of the benchmark; in particular, the modified duration of the portfolio was 3.32, while 
the duration of the benchmark stood at 3.55 at the end of December 2023. 

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Figure 1: CPF portfolio in 2023 – split by credit rating 

Figure 2: CPF portfolio allocation by asset class vs. benchmark (1) 

(1)  Benchmark:  indicative  asset  allocation  for  the  CPF  based  on  the  CPF  investment  horizon  and  CPF  risk 

appetite. It provides long-term investment guidance to the CPF portfolio managers.  

Bucket 0: short-term assets with maturities comprised between 0 and 1 year. 

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Cash; 1.9%AAA; 36.1%AA+; 8.1%AA; 9.3%AA-; 11.0%A+; 3.5%A; 4.7%A-; 7.4%BBB+; 2.2%BBB; 9.1%BBB-; 0.6%NR; 6.2%15.2%19.8%12.5%18.7%11.1%10.0%6.6%5.5%10.3%31.2%16.7%12.1%11.3%7.8%4.6%5.5%0%5%10%15%20%25%30%35%Bucket 0CorePeripherySSACoveredCorporatesHedged USDEquityPortfolioBenchmark 
 
 
 
 
 
 
 
 
At  the  end  of  2023,  the  CPF  consisted  of  sixteen  compartments  (with  three  non-active 
compartments). Each active 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. 

Table 1: Value of compartments 

Compartment as of 
31.12.2023 

Contributions less 
redemptions (2)  
in EUR 

Number of 
units 

Market Value  
in EUR 

EFSD 

EFSD+ 

EFSI 

GFEA 

INVESTEU 

774 316 009 

2 149 725 750 

9 647 678 067 

2 904 724 989 

3 284 008 548 

INVESTEU - Bulgaria 

40 000 000 

INVESTEU - Blending 

154 778 600 

INVESTEU - Czech R. 

INVESTEU - Finland 

INVESTEU - Greece 

INVESTEU - Malta 

INVESTEU - Romania 

27 551 080 

24 630 458 

30 000 000 

6 147 280 

77 500 000 

77 593 

234 506 

973 535 

293 060 

354 320 

4 362 

17 000 

3 008 

2 691 

3 297 

670 

8 529 

735 238 610 

2 222 070 437 

9 224 784 078 

2 776 909 741 

3 357 374 937 

41 334 023 

161 082 630 

28 505 258 

25 499 598 

31 241 677 

6 352 640 

80 817 782 

MFA post-2020 

100 000 000 

11 124 

105 403 884 

Total CPF 

19 221 060 781 

1 983 695 

18 796 615 295 

Table 2: Annual performance and NAV per unit 

NAV per unit in EUR 

31.12.2022 

31.12.2023 

9 006.66861  

9 475.55849  

Annual performance in % 

since 31.12.2022: 

5.206 

(2)  Outflows from the CPF. 

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3.4. 

Financial performance 

The CPF ended the year with a financial result of EUR 884.2 million and an economic result 
(financial result minus net operating expenses) of EUR 875.6 million 

Total financial revenue amounted to EUR 887.5 million. The bulk of this was generated by a 
gain on securities of EUR 856.7 million supplemented by fair value gains on derivatives of 
EUR 21.7 million and income from sundry items (e.g., securities lending). From this must be 
subtracted:  (a)  financial  expenses  (EUR  3.36  million),  mainly  custody  fees  for  securities 
holdings,  and  (b)  net  operating  losses  (EUR  8.66  million)  reflecting  net  losses  and  costs 
linked to holding USD-denominated assets (3). 

3.5. 

Statement of financial performance 

The table below presents the statement of financial performance for the year ending at 31 
December 2023 (amounts expressed in EUR). 

2023 

EUR 

2022 

EUR 

Revenue from operating activities 

Foreign exchange gains 

16 220 758 
16 220 758 

14 649 672 
14 649 672 

Other revenue from operating activities 

- 

- 

Expenses from operating activities 

(24 881 660) 

(54 630 184) 

Foreign exchange losses 

(24 865 685) 

(54 618 184) 

Other expenses from operating activities 
     Audit fees 

(15 975) 
(15 975) 

(12 000) 
(12 000) 

RESULT FROM OPERATING ACTIVITIES 

(8 660 902) 

(39 980 512) 

Financial revenue  
Interest revenue on cash and cash equivalents 

887 583 340 
4 182 105 

5 013 513 
1 127 985 

(3)  USD-denominated  assets  are  hedged  against  currency  risk.  Accordingly,  foreign  exchange  losses  are 
partially offset by: (a) EUR 13 million gains resulting from the transactions for hedging the currency risk 
of  USD-denominated  holdings  (EUR  +21.7  million  from  FX  forwards  and  EUR  -8.7  million  from  factors 
such as the settlement of associated FX spot transactions), as well as (b) other gains  (e.g. higher yield) 
from holding USD-denominated assets. 

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

856 713 839 

21 688 217 

- 

- 

Security lending income 
Settlement penalties received 

Financial expenses  
Interest  expenses  on 
equivalents 

cash  and 

cash 

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

4 942 301 
56 878 

3 874 321 
11 207 

(3 360 405) 

(1 131 724 763) 

- 

- 

- 

(914 842) 

(1 115 878 645) 

(11 187 456) 

Custody fees and other financial expenses 

(3 360 405) 

(3 743 820) 

FINANCIAL RESULT 

884 222 935 

(1 126 711 250) 

ECONOMIC RESULT OF THE YEAR 

875 562 033 

(1 166 691 762) 

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