# SWD_2017_0235_FIN.ENG.xhtml.1_EN_autre_document_travail_service_part1_v3.docx

european flagEUROPEAN COMMISSION

Brussels, 16.6.2017

SWD(2017) 235 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 MANAGEMENT OF THE GUARANTEE FUND OF THE EUROPEAN FUND FOR STRATEGIC INVESTMENTS IN 2016

{COM(2017) 326 final}

Table of Contents

1.
     INTRODUCTION

2.
     EFSI OPERATIONS SUPPORTED BY THE EU GUARANTEE

2.1
     EIB OPERATIONS

2.2
     EIF OPERATIONS

2.3
     BREAKDOWN OF EFSI OPERATIONS BY SECTOR AND COUNTRY

3.
     EFSI GF FINANCIAL STATEMENTS

4.
     ASSET MANAGEMENT

4.1
     COMPOSITION OF THE PORTFOLIO

4.2
     KEY RISK CHARACTERISTICS OF THE PORTFOLIO

1.INTRODUCTION

This Staff Working Document (SWD) accompanies the Report on the Management of the European Fund for Strategic Investments Guarantee Fund (EFSI GF) in 2016. The SWD provides further information and tables on (2) operations managed by EIB and EIF (signatures and disbursed amounts, breakdown by sector and country), (3) financial statements and (4) asset management.

2.EFSI OPERATIONS SUPPORTED BY THE EU GUARANTEE

This section provides a breakdown of the EFSI operations supported by the EU guarantee in terms of number of operations, investment volume (signature and investment mobilised) as well sector and country breakdown.

2.1EIB OPERATIONS

As of end-2016, EIB had signed 121 operations in 24 Member States. The total signatures amount to EUR 14.2 billion which is expected to mobilise investments of EUR 67.7 billion. More than half of the signed operations in terms of volume were in the energy (34%) and research sector (19%) followed by transport (15%) and the provision of financial support to SME’s and small Mid-Cap companies (12%).

2.2EIF OPERATIONS

As of end-2016, the EIF signed 225 operations with 192 financial intermediaries in 27 Member States. The total EIF financing of EUR 7.1 billion is expected to mobilise investments of EUR 58.9 billion, of which EUR 39.7 billion private finance.

Of the 388,100 final recipients (SMEs, small mid-caps and mid-caps) which are estimated to eventually benefit from the above financing, 45,883 final recipients were already reached, thus supporting 432,357 jobs. The most important sectors in terms of amounts were research and development (67%) and information and communication technologies (21%).

2.3BREAKDOWN OF EFSI OPERATIONS BY SECTOR AND COUNTRY

Table 1:
     Distribution of signed EFSI Infrastructure and Innovation Window ("IIW") and Small and Medium Enterprises Window ("SMEW") operations by sector (as defined in the EFSI regulation) at the end of 2016.

Table 2:
     Distribution of signed EFSI IIW and SMEW operations by country at the end of 2016.

3.EFSI GF FINANCIAL STATEMENTS

Balance sheet as at 31 December 2016

ASSETS

| | EUR |
| --- | --- |
| NON-CURRENT ASSETS | 833,258,147 |
| | |
| Available for sale financial assets | 833,258,147 |
| | |
| CURRENT ASSETS | 186,696,779 |
| | |
| Available for sale financial assets | 114,825,356 |
| | |
| Financial assets at fair value through surplus or deficit | 475,241 |
| | |
| Short-term deposits (>3 months and ≤ 1 year) | 45,000,000 |
| | |
| Cash and cash equivalents | 26,396,182 |
| Current accounts | 1,395,113 |
| Cash equivalents (call-deposits incl. accrued interest) | 25,001,069 |
| | |
| TOTAL | 1,019,954,926 |

EUR

NON-CURRENT ASSETS

833,258,147

Available for sale financial assets

833,258,147

CURRENT ASSETS

186,696,779

Available for sale financial assets

114,825,356

Financial assets at fair value through surplus or deficit

475,241

Short-term deposits (>3 months and ≤ 1 year)

45,000,000

Cash and cash equivalents

26,396,182

Current accounts

1,395,113

Cash equivalents (call-deposits incl. accrued interest)

25,001,069

TOTAL

1,019,954,926

NET ASSETS AND LIABILITIES

| | EUR |
| --- | --- |
| NET ASSETS | 1,018,968,395 |
| | |
| Contribution from EU Budget | 1,018,037,889 |
| Fair value reserve | (3,388) |
| Retained earnings | - |
| Economic result of the year | 933,894 |
| | |
| CURRENT LIABILITIES | 986,531 |
| | |
| Financial liabilities at fair value through surplus or deficit | 902,827 |
| Other payables | 83,704 |
| | |
| TOTAL | 1,019,954,926 |

EUR

NET ASSETS

1,018,968,395

Contribution from EU Budget

1,018,037,889

Fair value reserve

(3,388)

Retained earnings

-

Economic result of the year

933,894

CURRENT LIABILITIES

986,531

Financial liabilities at fair value through surplus or deficit

902,827

Other payables

83,704

TOTAL

1,019,954,926

Statement of financial performance for the year ended 31 December 2016

| | EUR |
| --- | --- |
| Revenue from operating activities | 968,645 |
| Foreign exchange gains | 968,645 |
| | |
| Expenses from operating activities | 796,214 |
| Foreign exchange losses | 681,319 |
| | |
| Other expenses from operating activities | 114,895 |
| Audit fees | 33,500 |
| IT cost | 42,379 |
| Custody and bank fees | 39,016 |
| | |
| RESULT FROM OPERATING ACTIVITIES | 172,431 |
| | |
| Financial revenue | 1,666,328 |
| | |
| Interest revenue on: | 329,309 |
| Cash and cash equivalents | 1,389 |
| Available for sale assets | 327,434 |
| Other interest revenue | 486 |
| | |
| Realised gains on sale of AFS assets | 861,762 |
| | |
| Other financial income - fair value changes of derivatives | 475,241 |
| | |
| Miscellaneous income | 16 |
| | |
| Financial expenses | 904,865 |
| | |
| Interest expenses on cash and cash equivalents | 2,039 |
| | |
| Other financial expenses - fair value changes of derivatives ddefderdderivatives | 902,827 |
| | |
| FINANCIAL RESULT | 761,463 |
| | |
| ECONOMIC RESULT OF THE YEAR | 933,894 |

EUR

Revenue from operating activities

968,645

Foreign exchange gains

968,645

Expenses from operating activities

796,214

Foreign exchange losses

681,319

Other expenses from operating activities

114,895

Audit fees

33,500

IT cost

42,379

Custody and bank fees

39,016

RESULT FROM OPERATING ACTIVITIES

172,431

Financial revenue

1,666,328

Interest revenue on:

329,309

Cash and cash equivalents

1,389

Available for sale assets

327,434

Other interest revenue

486

Realised gains on sale of AFS assets

861,762

Other financial income - fair value changes of derivatives

475,241

Miscellaneous income

16

Financial expenses

904,865

Interest expenses on cash and cash equivalents

2,039

Other financial expenses - fair value changes of derivatives ddefderdderivatives

902,827

FINANCIAL RESULT

761,463

ECONOMIC RESULT OF THE YEAR

933,894

4.ASSET MANAGEMENT

The following sections provide some further details on the (a) composition of the portfolio and (b) key risk characteristics of the portfolio.

4.1COMPOSITION OF THE PORTFOLIO

The EFSI GF portfolio at the year-end is well diversified in terms of asset classes and rating categories. In addition, it is diversified in non-euro denominated securities (USD) in the form of an allocation to US Treasuries. The currency risk is hedged.

As shown in

  Figure

  , over 40% of the market value of the portfolio is invested in AAA securities and only a minor percentage in the lower-rated assets. The AAA category includes for example securities issued by the US Government and covered bonds issued by several European financial institutions.

In terms of main asset classes, 42% of the portfolio is invested in Government securities, 23% in sub-sovereigns, supranationals and agencies (SSA) and 17% in covered bonds while only 7% in bonds issued by corporates and financial institutions (other than covered bonds).

Figure: Portfolio exposure by asset class and rating

(Note: The "Bucket 0" category includes all instruments with a maturity below 1 year. This includes also floating rate notes.)

4.2KEY RISK CHARACTERISTICS OF THE PORTFOLIO

Market Risk

Market risk is, inter alia, assessed by way of calculating the duration
  1
  of the portfolio.

At the end of December 2016, the portfolio had a duration of 3.5 years.

Stresses to the term structure, in particular a parallel yield curve shift of +100 bps, would have a theoretical impact on the P&L of -3.43% of the portfolio value.

Value-at-Risk (95% confidence level) for the month of December 2016 corresponded to 0.64% of the EFSI GF market value.

Currency risk and hedging activities

The first USD investments started on 13 December 2016 and are represented by US Treasuries given the liquidity and depth of this market. Such investments represented ca. 15% of the portfolio market value at the end of 2016. The currency risk of USD-denominated investments was hedged via forward contracts.

Credit Risk

The credit quality of the EFSI GF portfolio is high with an average rating of A, suggesting a low default probability.

Liquidity characteristics of the portfolio

About 23% of the portfolio consists of bonds, floating rate notes and short-term money market instruments which provide a further buffer for the portfolio.

(1)


   
     Duration figures refer to 'modified duration' which measures the price sensitivity of a bond to interest rate movements.