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
Date: 2017-06-16
Institutions: Directorate-General for Economic and Financial Affairs, European Commission
Subjects: European Investment Bank, European Investment Fund, financial control, fund (EU), investment, operation of the Institutions

EN 

   EN 

   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 .......................................................................................................................................... 3 

2.  EFSI OPERATIONS SUPPORTED BY THE EU GUARANTEE ................................................................ 3 

2.1  EIB OPERATIONS ............................................................................................................................... 3 

2.2  EIF OPERATIONS ............................................................................................................................... 3 

2.3  BREAKDOWN OF EFSI OPERATIONS BY SECTOR AND COUNTRY ........................................ 4 

3.  EFSI GF FINANCIAL STATEMENTS ......................................................................................................... 6 

4.  ASSET MANAGEMENT ............................................................................................................................... 7 

4.1  COMPOSITION OF THE PORTFOLIO .............................................................................................. 7 

4.2  KEY RISK CHARACTERISTICS OF THE PORTFOLIO .................................................................. 8 

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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.  

2.1  EIB 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%).   

2.2  EIF 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%). 

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2.3  BREAKDOWN 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. 

4 

Objective and subcategory as per Article 9of the EFSI RegulationIIWSMEWTotal(EUR m)(EUR m)(EUR m)research, development and innovation           2,670.39            4,743.28            7,413.67 developmentoftheenergysectorinaccordancewiththeEnergyUnion priorities           4,762.74                     -              4,762.74 developmentoftransportinfrastructures,andequipmentandinnovative technologies for transport           2,075.79                     -              2,075.79 financialsupportthroughtheEIFandtheEIBtoentitieshavingupto 3 000 employees           1,733.61              493.92            2,227.53 developmentanddeploymentofinformationandcommunicationtechnologies           1,373.75            1,487.39            2,861.14 environment and resource efficiency           1,053.95                     -              1,053.95 human capital, culture and health             499.22              375.92              875.14 Total         14,169.45            7,100.51          21,269.96 Signatures 
 
 
 
 
Table 2:  Distribution of signed EFSI IIW and SMEW operations by country at the end of 

2016. 

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CountryIIWSMEWTotal(EUR m)(EUR m)(EUR m)Austria               72.25              105.00              177.25 Belgium             701.37              147.07              848.44 Bulgaria             150.00                44.29              194.29 Croatia               50.00                16.16                66.16 Cyprus                    -                    5.00                  5.00 Czech Republic               28.53              174.56              203.09 Denmark             201.02                95.92              296.94 Estonia               30.00                65.80                95.80 Finland             477.16                     -                477.16 France           2,237.16              897.84            3,135.00 Germany           1,728.74              615.50            2,344.24 Greece             525.00                73.00              598.00 Hungary                 9.25                12.83                22.08 Ireland             169.05                86.00              255.05 Italy           2,518.84            1,188.60            3,707.44 Latvia                    -                    7.00                  7.00 Lithuania             193.21                  6.00              199.21 Luxembourg               11.70                60.00                71.70 Malta                    -                    6.00                  6.00 Netherlands             185.73                69.12              254.85 Poland             627.15                43.32              670.47 Portugal             423.83              240.00              663.83 Romania               18.50                25.00                43.50 Slovakia             432.83                23.50              456.33 Slovenia                    -                    8.10                  8.10 Spain           1,507.59              282.99            1,790.58 Sweden             210.07              183.16              393.23 United Kingdom           1,548.67              473.54            2,022.21 Multi-country (SMEW)                    -              2,145.21            2,145.21 Total EU-Countries         14,057.65            7,100.51          21,158.16 No. of Countries                    24                     27                     28 Regional - EU countries             111.80                     -                111.80 Non-EU                    -                       -                       -   Total         14,169.45            7,100.51          21,269.96 Signatures 
 
 
 
 
3.  EFSI GF FINANCIAL STATEMENTS 

Balance sheet as at 31 December 2016 

ASSETS  

NON-CURRENT ASSETS 

Available for sale financial assets 

CURRENT ASSETS 

Available for sale financial assets 

Financial assets at fair value through surplus or deficit 

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

Cash and cash equivalents 

Current accounts 

Cash equivalents (call-deposits incl. accrued interest) 

TOTAL 

NET ASSETS AND LIABILITIES  

NET ASSETS 

Contribution from EU Budget 

Fair value reserve 

Retained earnings 
Economic result of the year 

CURRENT LIABILITIES 

Financial liabilities at fair value through surplus or deficit 

Other payables 

TOTAL 

EUR 

833,258,147 

833,258,147 

186,696,779 

114,825,356 

475,241 

45,000,000 

26,396,182 

1,395,113 

25,001,069 

1,019,954,926 

EUR 

1,018,968,395 

1,018,037,889 
(3,388) 

- 
933,894 

986,531 

902,827 
83,704 

1,019,954,926 

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Statement of financial performance for the year ended 31 December 2016 

Revenue from operating activities 
Foreign exchange gains 

Expenses from operating activities 
Foreign exchange losses 

Other expenses from operating activities 
     Audit fees 
     IT cost 

Custody and bank fees 

RESULT FROM OPERATING ACTIVITIES 

Financial  revenue  

Interest revenue on: 
     Cash and cash equivalents 
     Available for sale assets 
Other interest revenue 

Realised gains on sale of AFS assets 

Other financial income - fair value changes of derivatives 

Miscellaneous income 

Financial expenses  

Interest expenses on cash and cash equivalents 

Other financial expenses - fair value changes of derivatives 
ddefderdderivatives 
FINANCIAL RESULT 

ECONOMIC RESULT OF THE YEAR 

EUR 

968,645 
968,645 

796,214 
681,319 

114,895 

33,500 
42,379 
39,016 

172,431 

1,666,328 

329,309 

1,389 
327,434 
486 

861,762 

475,241 

16 

904,865 

2,039 

902,827 

761,463 

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. 

4.1  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. 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.  

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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 

AAA

AA+

AA

AA-

A+

A

A-

BBB+

BBB

1,0% 

7,1% 

4,3% 

3,6% 

2,5% 

7,4% 

7,0% 

BBB-

0,0% 

42,4% 

24,8% 

Bucket 0
Sovereign Core
SSA
Sovereign Periphery
Covered
Corporates
Non-EUR exposures

0,0%

10,0%

20,0%

30,0%

40,0%

50,0%

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

4.2  KEY RISK CHARACTERISTICS OF THE PORTFOLIO 

Market Risk 

Market risk is, inter alia, assessed by way of calculating the duration1 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% 

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

movements. 

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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. 

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