Page 86 - Annual Report 2010

ANNUAL REPORT 2010

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The decrease in the exposure at risk in 2010 is mainly due to terminated deals. Two new transactions were signed in 2010 for a total amount of EUR 260.0 m. During 2010, guarantees have been called for a total amount paid of EUR 6.7 m mainly stemming from two transactions. The ad-ditional provisions on the portfolio (in particular arising from the downgrades) amounted to EUR 48.1 m (see note 5.2.). The portfolio’s overall initial weighted average life stabi -lised at 5.4 years at end 2010, the same as at end 2009.

3.4 Treasury

3.4.1 Background

Treasury management has been outsourced to EIB under a treasury management agreement and is carried out ac-cording to EIF treasury guidelines. These EIF guidelines define EIF intention to hold the treasury portfolio to ma-turity, reflect the investment strategy, and mirror closely the relevant sections of the EIB’s own treasury guidelines. Quarterly meetings between the EIB and EIF take place to review the performance of the treasury portfolio and relevant market events.

EIF does not borrow funds. EIF operations use sharehold-ers’ equity, which is the basis for PE investments and capi-tal allocation for G&S.

The treasury is managed in such a way as to protect the value of the paid-in capital, to ensure an adequate level of liquidity to meet possible guarantee calls, PE commit-ments, administrative expenditure, and earn a reasonable return on assets invested with due regard to the minimisa-tion of risk.

3.4.2 Portfolio overview

The treasury portfolio is broken down into the following separate sub-portfolios:

„„ current accounts;

„„ money market instruments;

„„ available for sale portfolio (made up of long-term debt instruments, floating rate and fixed rate instruments).

EURm Weighted Average Rating

Exposure at risk (commit-

ment minus repayment) % of total

2010 2009 2010 2009 2010 2009

Credit Enhancement Ba2 Baa3 2 438.4 2 739.8 94.5% 94.7% Credit Insurance Aa2 Aa3 135.5 131.8 5.3% 4.6% SIV Ba2 Ba2 6.3 17.5 0.2% 0.6% Defaulted D 0.0 3.9 0.0% 0.1%

Total 2 580.2 2 893.0 100.0% 100.0%

EUR 31.12.2010 31.12.2009

Current accounts 31 183 332 33 311 981 Money market instruments 42 419 922 72 954 136 Available for sale portfolio 863 578 881 832 313 566

Total Treasury portfolio 937 182 135 938 579 683