EUROPEAN 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 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





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 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). (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 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.