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Document 52023SC0170
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
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
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
SWD/2023/170 final
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.INTRODUCTION
2.EVOLUTION OF THE CPF PORTFOLIO IN 2022
3.FINANCIAL STATEMENTS
3.1.Assets of the CPF
3.2.Balance sheet
3.3.Asset structure and value of compartments
3.4.Financial performance
3.5.Statement of financial performance
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 |
Yes |
|
EFSD+ |
Yes |
|
GFEA |
Yes |
|
EFSI |
Yes |
|
InvestEU |
Yes |
|
Post-2020 MFA |
No |
|
Exceptional MFA Ukraine |
No |
|
Post-2020 Euratom loans |
No |
|
Repurposed ELM loans Ukraine |
No |
|
InvestEU Guarantee Romania |
No |
|
InvestEU Guarantee Czech Republic |
Yes |
|
InvestEU Guarantee Finland |
Yes |
|
InvestEU Guarantee Greece |
No |
|
InvestEU Blending Operations |
Yes |
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 |
31 December 2021 |
|
EUR |
EUR |
|
|
NON-CURRENT ASSETS |
11 717 670 068 |
9 165 352 836 |
|
Financial assets at fair value through surplus or deficit |
||
|
Securities |
11 717 670 068 |
9 165 352 836 |
|
Derivatives |
- |
- |
|
CURRENT ASSETS |
2 677 872 627 |
3 141 276 916 |
|
Financial assets at fair value through surplus or deficit |
||
|
Securities |
2 339 443 343 |
2 106 297 201 |
|
Derivatives |
4 631 483 |
1 812 602 |
|
Receivables |
533 198 |
363 467 |
|
Cash and cash equivalents |
333 264 603 |
1 032 803 646 |
|
Current accounts |
325 572 456 |
1 008 293 189 |
|
Cash equivalents |
7 312 957 |
24 958 876 |
|
Accrued interest on cash and cash equivalents |
379 190 |
-448 419 |
|
TOTAL ASSETS |
14 395 542 695 |
12 306 629 752 |
|
NET ASSETS AND LIABILITIES |
||
|
|
31 December 2022 |
31 December 2021 |
|
EUR |
EUR |
|
|
(A) NET ASSETS |
14 395 085 726 |
12 306 420 400 |
|
Contribution from EU Budget |
15 695 093 245 |
12 439 736 157 |
|
Retained earnings |
-133 315 757 |
- |
|
Economic result of the year |
-1 166 691 762 |
-133 315 757 |
|
(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.
The movements and values are presented in the tables below. Net Asset Values (NAV) are in EUR.
|
Compartment as of 31.12.2022 |
Contributions less redemptions in EUR |
Number of units |
Market Value in EUR |
|
EFSD |
773 238 694 |
77 475 |
697 793 925 |
|
EFSD+ |
1 087 585 038 |
118 458 |
1 066 911 768 |
|
EFSI |
9 341 006 538 |
939 733 |
8 463 863 835 |
|
GFEA |
2 727 106 589 |
273 857 |
2 466 536 436 |
|
INVESTEU |
1 717 040 841 |
183 347 |
1 651 342 769 |
|
INVESTEU - Czech R. |
13 665 629 |
1 494 |
13 457 063 |
|
INVESTEU - Finland |
17 689 916 |
1 934 |
17 419 930 |
|
INVESTEU - Blending |
17 760 000 |
1 972 |
17 760 000 |
|
Total CPF |
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 |
9 006.66861 € |
|
since 31.12.2021: |
-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 net loss on securities of EUR 1,115.9 million. EUR 51.2 million losses
(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.
3.5.Statement of financial performance
|
|
2022 |
2021 |
|
EUR |
EUR |
|
|
Revenue from operating activities |
14 649 672 |
3 377 874 |
|
Foreign exchange gains |
14 649 672 |
3 377 874 |
|
Other revenue from operating activities |
- |
- |
|
Expenses from operating activities |
-54 630 184 |
-11 695 279 |
|
Foreign exchange losses |
-54 618 184 |
-11 678 279 |
|
Other expenses from operating activities |
-12 000- |
-17 000 |
|
Audit fees |
-12 000 |
-17 000 |
|
RESULT FROM OPERATING ACTIVITIES |
-39 980 512 |
-8 317 405 |
|
Financial revenue |
5 013 513 |
882 260 |
|
Interest revenue on: |
1 127 985 |
2 306 |
|
Cash and cash equivalents |
1 127 985 |
2 306 |
|
Other interest revenue |
- |
- |
|
Other financial income - fair value changes of securities |
- |
- |
|
Other financial income - fair value changes of derivatives |
- |
- |
|
Security lending income |
3 874 321 |
879 954 |
|
Settlement penalties received |
11 207 |
- |
|
Financial expenses |
-1 131 724 763 |
-125 880 612 |
|
Interest expenses on cash and cash equivalents |
-914 842 |
-4 563 034 |
|
Other financial expenses - fair value changes of securities |
-1 115 878 645 |
-82 370 766 |
|
Other financial expenses - fair value changes of derivatives |
-11 187 456 |
-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 |
