EUROPEAN COMMISSION Brussels, 28.5.2019 SWD(2019) 188 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 2018 {COM(2019) 244 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 2018. 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) as well sector and country breakdown. 2.1IIW OPERATIONS

As at 31 December 2018, 407 operations in 28 Member States were signed under the IIW. The total signatures amount to EUR 39.1 billion which is expected to mobilise investments of EUR 196.3 billion. Half of the signed operations in terms of volume were in the energy (27%) and research sector (21%), followed by the provision of financial support to SMEs and small Mid-Cap companies (20%) and transport (13%). 2.2SMEW OPERATIONS As at 31 December 2018, 470 operations in 28 Member States were signed under the SMEW. The total financing of EUR 14.5 billion is expected to mobilise investments of EUR 104.6 billion. The most important sectors in terms of volume were research and development (70%) and digital (15%). 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 2018 (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 2018 (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 2018 ASSETS 31 December 2018 31 December 2017 EUR EUR NON-CURRENT ASSETS 4 233 866 211 3 070 600 996 Available for sale financial assets 4 233 866 211 3 070 600 996 CURRENT ASSETS 1 217 907 446 433 762 404 Available for sale financial assets 765 897 485 343 757 854 Financial assets at fair value through surplus or deficit 1 923 458 6 307 288 Short-term deposits (>3 months and ≤ 1 year) incl. accrued negative interest - 39 991 422 Receivables (i.e. bond lending fees) 160 147 8 456 Cash and cash equivalents 449 926 356 43 697 384 Current accounts 418 899 111 18 683 831 Cash equivalents 31,139,540 25,013,519 Accrued interest on cash and cash equivalents (112,295) 35 TOTAL ASSETS 5 451 773 656 3 504 363 400 NET ASSETS AND LIABILITIES 31 December 2018 31 December 2017 EUR EUR NET ASSETS 5 451 673 202 3 504 263 077 Contribution from EU Budget 5 460 743 179 3 507 682 256 Fair value reserve 1 442 436 (6 783 279) Retained earnings 3 364 100 933 894 Economic result of the year (13 876 513) 2 430 206 CURRENT LIABILITIES 100 455 100 324 Financial liabilities at fair value through surplus or deficit - - Other payables 100 455 54 145 Accrued charges - 46 179 TOTAL NET ASSETS AND LIABILITIES 5 451 773 656 3 504 363 400 Statement of financial performance for the year ended 31 December 2018

2018 2017 EUR EUR Revenue from operating activities 103 725 359 22 721 597 Foreign exchange gains 103 679 180 22 721 597 Other revenue from operating activities 46 179 - Expenses from operating activities (86 684 186) (60 846 316) Foreign exchange losses (86 669 186) (60 742 759) Other expenses from operating activities (15 000) (103 557) Audit fees (15 000) (15 000) IT cost - (88 557) RESULT FROM OPERATING ACTIVITIES 17 041 173 (38 124 719) Financial revenue 50 409 147 51 393 189 Interest revenue on: 17 548 278 6 435 843 Cash and cash equivalents 134 210 53 004 Available for sale assets 17 412 590 6 382 100 Other interest revenue 1 478 739 Realised gains on sale of AFS assets 4 275 489 4 135 733 Other financial income - fair value changes of derivatives 28 389 730 40 754 819 Bond lending income 195 651 66 794 Financial expenses (81 326 833) (10 838 265) Interest expenses on cash and cash equivalents (247 367) (63 603) Realised losses on sale of AFS assets (17 550 692) (386 120) Other financial expenses - fair value changes of derivatives (62 913 181) (10 139 884) Custody fees and other financial expenses (615 593) (248 658) FINANCIAL RESULT (30 917 686) 40 554 924 ECONOMIC RESULT OF THE YEAR (13 876 513) 2 430 206 4.PROVISIONING OF THE EFSI GF The Guarantee Fund is provisioned through: ·Contributions from the general budget of the Union; the budget allocated for the EFSI contributions amounts to EUR 8 425 million; ·Revenues and any other payments received by the Union in accordance with the EFSI Agreement (i.e. projects benefitting from EFSI support); these assigned revenues to the EFSI GF amount to EUR 675 million. ·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 is provisioned progressively up to the target amount of EUR 9 100 million 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 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) for about 9% of the portfolio. The currency risk is hedged. The exposure of the portfolio to bonds complying with environmental, social and governance criteria was more then 3 times higher when compared to its benchmark (2,31% for the portfolio vs 0,68% for the benchmark). As shown in Figure 1, over 40% 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. In terms of main asset classes, 27.3% of the portfolio is invested in Sovereign securities, 17.8% in sub-sovereigns, supra-nationals and agencies (SSA) and foreign Governments and 25% in covered bonds while only 15.5% in bonds issued by corporates and financial institutions (other than covered bonds). Figure 1: Portfolio exposure by rating as at 31 December 2018 Source: European Commission services Figure 2: Portfolio exposure by asset class as at 31 December 2018