EUROPEAN COMMISSION Brussels, 28.5.2018 SWD(2018) 268 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 2017 {COM(2018) 345 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 2017. 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-2017, EIB had signed 278 operations in 27 Member States. The total signatures amount to EUR 27.4 billion which is expected to mobilise investments of EUR 131.4 billion. Half of the signed operations in terms of volume were in the energy (28%) and research sector (22%), followed by the provision of financial support to SME’s and small Mid-Cap companies (18%) and transport (14%). 2.2EIF OPERATIONS

As of end-2017, the EIF signed 328 operations with 305 financial intermediaries in 28 Member States. The total EIF financing of EUR 10.0 billion is expected to mobilise investments of EUR 75.9 billion. The most important sectors in terms of amounts were research and development (70%) and digital (17%). 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 at the end of 2017 (EUR million). Note: Objective and subcategory as defined in Art.9 of EFSI Regulation.

Table 2: Distribution of signed EFSI IIW and SMEW operations by country at the end of 2017 (EUR million).



3.EFSI GF FINANCIAL STATEMENTS Balance sheet ASSETS 31 December 2017 31 December 2016 EUR EUR NON-CURRENT ASSETS 3 070 600 996 833 258 147 Available for sale financial assets 3 070 600 996 833 258 147 CURRENT ASSETS 433 762 404 186 696 779 Available for sale financial assets 343 757 854 114 825 355 Financial assets at fair value through surplus or deficit 6 307 288 475 241 Short-term deposits (>3 months and ≤ 1 year) Including accrued negative interest 39 991 422 45 000 000 Receivables (bond lending fees) 8 456 - Cash and cash equivalents 43 697 384 26 396 182 Current accounts 18 683 831 1 395 113 Cash equivalents (call-deposits incl. accrued interest) 25 013 553 25 001 069 TOTAL ASSETS 3 504 363 400 1 019 954 926 NET ASSETS AND LIABILITIES 31 December 2017 31 December 2016 EUR EUR NET ASSETS 3 504 263 077 1 018 968 395 Contribution from EU Budget 3 507 682 256 1 018 037 889 Fair value reserve (6 783 279) (3 388) Retained earnings 933 894 - Economic result of the year 2 430 206 933 894 CURRENT LIABILITIES 100 324 986 531 Financial liabilities at fair value through surplus or deficit - 902 827 Other payables 54 145 83 704 Accrued charges 46 179 - TOTAL NET ASSETS AND LIABILITIES 3 504 363 400 1 019 954 926





Statement of financial performance 2017 2016 EUR EUR Revenue from operating activities 22 721 597 968 645 Foreign exchange gains 22 721 597 968 645 Expenses from operating activities (60 846 316) (757 198) Foreign exchange losses (60 742 759) (681 319) Other expenses from operating activities (103 557) (75 879) Audit fees (15 000) (33 500) IT cost (88 557) (42 379) RESULT FROM OPERATING ACTIVITIES (38 124 719) 211 447 Financial revenue 51 393 189 1 666 328 Interest revenue on: 6 435 843 329 309 Cash and cash equivalents 53 004 1 389 Available for sale assets 6 382 100 327 434 Other interest revenue 739 486 Realised gains on sale of AFS assets 4 135 733 861 762 Other financial income - fair value changes of derivatives 40 754 819 475 241 Bond lending income 66 794 - Miscellaneous income - 16 Financial expenses (10 838 265) (943 881) Interest expenses on cash and cash equivalents (63 603) (2 039) Realised losses on sale of AFS assets (386 120) - Other financial expenses - fair value changes of derivatives ddefderdderivatives (10 139 884) (902 827) Custody fees and other financial expenses (248 658) (39 015) FINANCIAL RESULT 40 554 924 722 447 ECONOMIC RESULT OF THE YEAR 2 430 206 933 894



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 and other issuers (e.g. Supranational, other Sovereigns or Agencies) issuing in USD (about 18% of the portfolio). The currency risk is hedged. As shown in the Figure, over 46.8% 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 several financial institutions. In terms of main asset classes, 42.5% of the portfolio is invested in Government securities, 21.5% in sub-sovereigns, supra-nationals and agencies (SSA) and 25.5% in covered bonds while only 10.5% in bonds issued by corporates and financial institutions (other than covered bonds). Figure: Portfolio exposure by asset class and rating

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 2017, the portfolio had a duration of 3.47 years. Currency risk and hedging activities USD investments represented 18% of the portfolio market value at the end of 2017. 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 (0.07% at 1-year).