EUROPEAN COMMISSION Brussels, 28.7.2021 SWD(2021) 209 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 2020 {COM(2021) 427 final}



Table of Contents 1. INTRODUCTION 2. EFSI OPERATIONS SUPPORTED BY THE EU GUARANTEE 2.1 IIW OPERATIONS 2.2 SMEW OPERATIONS 2.3 BREAKDOWN OF EFSI OPERATIONS BY SECTOR AND COUNTRY 3. EFSI GF FINANCIAL STATEMENTS 4. PROVISIONING OF THE EFSI GF 5. ASSET MANAGEMENT 5.1 COMPOSITION OF THE PORTFOLIO 5.2 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 2020. The SWD provides further information and tables on (2) operations under the IIW and SMEW (signatures and disbursed amounts, breakdown by sector and country), (3) financial statements, (4) provisioning of the EFSI GF and (5) 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) and a sector and country breakdown. 2.1 IIW OPERATIONS As at 31 December 2020, 629 operations in all Member States were signed under the IIW. The total signatures amount to EUR 57.2 billion which is expected to mobilise investments of EUR 278.2 billion. Almost half of the signed operations in terms of volume were in the energy (24%) and research sectors (21%), followed by the provision of financial support to SMEs and small Mid-Cap companies (18%) and transport (16%).

2.2 SMEW OPERATIONS As at 31 December 2020, 792 operations in all Member States were signed under the SMEW. The total financing of EUR 25.5 billion is expected to mobilise investments of EUR 201.3 billion. The most important sectors in terms of volume were research and development (66%) and digital (17%). 2.3BREAKDOWN OF EFSI OPERATIONS BY SECTOR AND COUNTRY Table 1: Distribution of signed EFSI IIW and SMEW operations by sector as at 31 December 2020 (EUR million). Source: EFSI Operational Report provided by the EIB Note: Objective and subcategory as defined in Art.9 of EFSI Regulation. Totals may not always add up exactly due to rounding.

Table 2: Distribution of signed EFSI IIW and SMEW operations by country as at 31 December 2020 (EUR million) Source: EFSI Operational Report provided by the EIB Note: Totals may not always add up exactly due to rounding.



3.EFSI GF FINANCIAL STATEMENTS Statement of Financial Position as at 31 December 2020 ASSETS 31 December 2020 31 December 2019 EUR EUR NON-CURRENT ASSETS 5 580 091 191 5 151 007 135 Available for sale financial assets 5 580 091 191 5 151 007 135 CURRENT ASSETS 2 447 875 141 1 536 875 909 Available for sale financial assets 1 945 666 647 1 502 587 447 Financial assets at fair value through surplus or deficit 6 200 825 2 708 066 Short-term deposits (>3 months and ≤ 1 year) incl. accrued negative interest - - Receivables (i.e. bond lending fees) 44 400 39 578 Cash and cash equivalents 495 963 269 31 540 818 Current accounts 468 387 939 5 083 651 Cash equivalents 27 770 760 26 462 735 Accrued interest on cash and cash equivalents (195 430) (5 568) TOTAL ASSETS 8 027 966 332 6 687 883 044 NET ASSETS AND LIABILITIES 31 December 2020 31 December 2019 EUR EUR NET ASSETS 8 027 834 210 6 687 770 451 Contribution from EU Budget 7 875 310 513 6 626 955 272 Fair value reserve 119 677 046 49 616 101 Retained earnings 11 199 078 (10 512 413) Economic result of the year 21 647 573 21 711 491 CURRENT LIABILITIES 132 122 112 593 Financial liabilities at fair value through surplus or deficit - - Other payables 132 122 112 593 Accrued charges - - TOTAL NET ASSETS AND LIABILITIES 8 027 966 332 6 687 883 044 Statement of financial performance for the year ended 31 December 2020

2020 2019 EUR EUR Revenue from operating activities 47 796 035 47 488 284 Foreign exchange gains 47 796 035 47 488 284 Other revenue from operating activities - - Expenses from operating activities (86 917 174) (65 064 399) Foreign exchange losses (86 902 174) (65 049 399) Other expenses from operating activities (15 000) (15 000) Audit fees (15 000) (15 000) RESULT FROM OPERATING ACTIVITIES (39 121 139) (17 576 115) Financial revenue 73 604 305 54 280 642 Interest revenue on: 17 681 020 18 842 645 Cash and cash equivalents 27 248 66 473 Available for sale assets 17 653 772 18 776 172 Other interest revenue - - Realised gains on sale of AFS assets 12 747 184 18 506 857 Other financial income - fair value changes of derivatives 42 645 971 16 447 915 Security lending income 530 130 483 225 Financial expenses (12 835 593) (14 993 036) Interest expenses on cash and cash equivalents (726 483) (527 706) Realised losses on sale of AFS assets (1 600 852) (1 390 733) Other financial expenses - fair value changes of derivatives (9 191 136) (12 008 473) Custody fees and other financial expenses (1 317 122) (1 066 124) FINANCIAL RESULT 60 768 712 39 287 606 ECONOMIC RESULT OF THE YEAR 21 647 573 21 711 491 4.PROVISIONING OF THE EFSI GF The Guarantee Fund is provisioned through: ·Contributions from the general Union budget; the budget allocated for EFSI contributions amounts to EUR 8 425 million; ·Revenues and any other payments received by the Union in accordance with the EFSI Agreement as well as revenues and repayments from financial instruments under the “Connecting Europe Facility” (Regulation (EU) No 1316/2013) and “2020 European Fund for Energy, Climate Change & Infrastructure” - Marguerite Fund (Regulation (EC) No 680/2007). ·Returns (interests) on guarantee fund resources invested in the financial markets; ·Amounts recovered from projects for which the EU Guarantee was called (i.e. defaulting debtors); The Guarantee Fund, as part of the CPF compartment since January 2021, is provisioned progressively by 2022. Table 3: Provisioning of the EFSI GF for the period 2015-2022 (EUR million)



5.ASSET MANAGEMENT The following sections provide some further details on (a) the composition of the portfolio and (b) the key risk characteristics of the portfolio. 5.1 COMPOSITION OF THE PORTFOLIO The year-end EFSI GF portfolio data show that it is well diversified in terms of asset classes and rating categories. In addition, there is also diversification in non-euro denominated securities (USD) in the form of an allocation to US Treasuries and other US issuers (e.g. Supranational, other Sovereigns or Agencies) and cash for about 6% of the portfolio. The currency risk is hedged. As shown in Figure 1, over 24% of the market value of the portfolio is invested in AAA securities, and the rest is well distributed across the whole spectrum of the investment-grade scale. The AAA category includes, for example, securities issued by the US Government and covered bonds issued by financial institutions.

The share of bonds complying with environmental, social and governance criteria was 9.5% at the end of 2020, compared with 6.9% at the end of 2019. Figure 2 shows the distribution of the ESG instruments per asset class and rating. Figure 1: Portfolio exposure by rating as at 31 December 2020 Source: European Commission services Figure 2: ESG instruments per asset class and rating (%) Source: European Commission services (¹) Corporate: unsecured bonds issued by financial and non-financial corporations. 5.2 KEY RISK CHARACTERISTICS OF THE PORTFOLIO Market Risk Market risk is, inter alia, assessed by way of calculating the duration of the portfolio. As at 31 December 2020, the portfolio had a duration of 3.19 years. Currency risk and hedging activities