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 2019
Date: 2020-08-18
Institutions: Directorate-General for Budget, European Commission
Subjects: European Fund for Strategic Investments, European Investment Bank, European Investment Fund, financial control, operation of the Institutions

EN 

  EN 

   EUROPEAN COMMISSION  Brussels, 18.8.2020  SWD(2020) 162 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 2019 {COM(2020) 385 final}  
 
 
TABLE OF CONTENTS 
1. 
INTRODUCTION .......................................................................................................................................... 2 
2.  EFSI OPERATIONS SUPPORTED BY THE EU GUARANTEE ................................................................ 2 

2.1 
IIW OPERATIONS ............................................................................................................................... 2 
2.2  SMEW OPERATIONS ......................................................................................................................... 2 

2.3  BREAKDOWN OF EFSI OPERATIONS BY SECTOR AND COUNTRY ........................................ 3 
3.  EFSI GF FINANCIAL STATEMENTS ......................................................................................................... 5 

4.  PROVISIONING OF THE EFSI GF .............................................................................................................. 7 
5.  ASSET MANAGEMENT ............................................................................................................................... 7 

5.1  COMPOSITION OF THE PORTFOLIO .............................................................................................. 7 
5.2  KEY RISK CHARACTERISTICS OF THE PORTFOLIO .................................................................. 9 

1 

 
 
 
 
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  2019.  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. 

2.1

IIW OPERATIONS 

As  at  31  December  2019,  532  operations  in  28  Member  States  were  signed  under  the  IIW. 
The total signatures amount to EUR 49.2 billion which is expected to mobilise investments of 
EUR 244.4 billion. Half of the signed operations in terms of volume were in the energy (26%) 
and research sector (21%), followed by the provision of financial support to SMEs and small 
Mid-Cap companies (18%) and transport (15%). 

2.2

SMEW OPERATIONS 

total  financing  of  EUR 19.5 billion 

As at 31 December 2019, 630 operations in 28 Member States were signed under the SMEW. 
investments  of 
The 
EUR 156.3 billion.  The  most  important  sectors  in  terms  of  volume  were  research  and 
development (69%) and digital (17%). 

to  mobilise 

is  expected 

2 

 
 
 
 
 
 
 
 
 
2.3

  BREAKDOWN OF EFSI OPERATIONS BY SECTOR AND 

COUNTRY 

Table 1:  Distribution  of  signed  EFSI  IIW  and  SMEW  operations  by  sector  as  at  31 

December 2019 (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.  

3 

Objective and subcategoryIIWSMEWTotalEFSI: research, development and innovation         10.374,14          13.410,85          23.784,98 EFSI:developmentoftheenergysectorinaccordancewiththeEnergy Union priorities         12.710,98                     -            12.710,98 EFSI:developmentoftransportinfrastructures,andequipmentandinnovative technologies for transport           7.143,06                     -              7.143,06 EFSI:financialsupportthroughtheEIFandtheEIBtoentitieshaving up to 3 000 employees           8.944,88            1.424,46          10.369,34 EFSI:developmentanddeploymentofinformationandcommunication technologies           3.410,13            3.317,66            6.727,79 EFSI: environment and resource efficiency           3.805,30                     -              3.805,30 EFSI: human capital, culture and health           1.847,27            1.297,61            3.144,88 EFSI: Less-developed regions and transition regions             444,65                     -                444,65 EFSI:sustainableagriculture,forestry,fishery,aquacultureandother elements of the wider bioeconomy             498,50                98,77              597,27 Total         49.178,90          19.549,36          68.728,26 Signed operations 
 
 
 
Table 2: Distribution of signed EFSI IIW and SMEW operations by country as at 31 

December 2019 (EUR million) 

Source: EFSI Operational Report provided by the EIB 

Note: Totals may not always add up exactly due to rounding.  

4 

CountryIIWSMEWTotalAustria             784,45              233,57            1.018,02 Belgium           1.352,43              217,35            1.569,78 Bulgaria             310,18              151,44              461,62 Croatia             114,02              145,52              259,54 Cyprus               35,34                10,00                45,34 Czech Republic             150,91              583,37              734,28 Denmark             516,46              266,79              783,25 Estonia               69,99                26,64                96,63 Finland           1.462,73              316,35            1.779,08 France           9.210,08            2.691,22          11.901,30 Germany           5.226,39              972,22            6.198,61 Greece           2.167,10              384,41            2.551,51 Hungary             410,20              182,30              592,50 Ireland             663,22              246,24              909,46 Italy           7.304,25            2.828,71          10.132,96 Latvia               94,36                22,05              116,41 Lithuania             231,03                19,57              250,60 Luxembourg               25,52                93,00              118,52 Malta               33,00                  6,00                39,00 Netherlands           2.211,19              363,65            2.574,84 Poland           2.719,59              166,47            2.886,06 Portugal             945,56            1.171,26            2.116,81 Romania             546,39              200,64              747,03 Slovakia             466,57                86,42              552,99 Slovenia               63,25                34,12                97,37 Spain           7.163,53            1.504,66            8.668,18 Sweden           2.365,89              309,91            2.675,80 United Kingdom           1.466,82              466,33            1.933,15 Regional - EU countries             963,47                     -                963,47 Multi-country (SMEW)                    -              5.731,10            5.731,10 Total EU-Countries         49.073,90          19.431,30          68.505,21 No. of Countries                    28                     28                     28 Non-EU/non-EFSI-IFE Operations (SMEW)                    -                118,05              118,05 Non-EU (IIW)             105,00                     -                105,00 Total         49.178,90          19.549,36          68.728,26 Signed operations 
 
 
 
 
3.  EFSI GF FINANCIAL STATEMENTS 

STATEMENT OF FINANCIAL POSITION AS AT 31 DECEMBER 2019 

ASSETS 

NON-CURRENT ASSETS 

31 December 2019 
EUR 

31 December 2018 
EUR 

5 151 007 135 

4 233 866 211 

Available for sale financial assets 

5 151 007 135 

4 233 866 211 

CURRENT ASSETS 

1 536 875 909 

1 217 907 446 

Available for sale financial assets 

1 502 587 447 

765 897 485 

Financial assets at fair value through surplus or deficit 

2 708 066 

1 923 458 

Short-term deposits (>3 months and ≤ 1 year) 
incl. accrued negative interest 

- 

- 

Receivables (i.e. bond lending fees) 

39 578 

160 147 

Cash and cash equivalents 

Current accounts 

  Cash equivalents  
  Accrued interest on cash and cash equivalents 
TOTAL ASSETS  

NET ASSETS AND LIABILITIES 

NET ASSETS 

Contribution from EU Budget 
Fair value reserve 
Retained earnings 
Economic result of the year 

31 540 818 
5 083 651 

26 462 735 
(5 568) 
6 687 883 044 

449 926 356 
418 899 111 

31,139,540 
(112 295) 
5 451 773 656 

31 December 2019 
EUR 

31 December 2018 
EUR 

6 687 770 451 

5 451 673 202 

6 626 955 272 
49 616 101 
(10 512 413) 
21 711 491 

5 460 743 179 
1 442 436 
3 364 100 
(13 876 513) 

CURRENT LIABILITIES 

112 593 

100 455 

Financial liabilities at fair value through surplus or deficit 

Other payables 

Accrued charges 

- 

112 593 

- 

- 

100 455 

- 

TOTAL NET ASSETS AND LIABILITIES 

6 687 883 044 

5 451 773 656 

5 

 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
 
 
 
 
STATEMENT OF FINANCIAL PERFORMANCE FOR THE YEAR ENDED 31 DECEMBER 2019 

Revenue from operating activities 
Foreign exchange gains 
Other revenue from operating activities 

Expenses from operating activities 
Foreign exchange losses 

Other expenses from operating activities 
     Audit fees 

2019 
EUR 

47 488 284 
47 488 284 
- 

2018 
EUR 

103 725 359 
103 679 180 
46 179 

(65 064 399) 

(65 049 399) 

(86 684 186) 

(86 669 186) 

(15 000) 
(15 000) 

(15 000) 
(15 000) 

RESULT FROM OPERATING ACTIVITIES 

(17 576 115) 

17 041 173 

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

54 280 642 
18 842 645 
66 473 
18 776 172 
- 

50 409 147 
17 548 278 
134 210 
17 412 590 
1 478 

Realised gains on sale of AFS assets 

18 506 857 

4 275 489 

Other financial income - fair value changes of derivatives 

16 447 915 

28 389 730 

Security lending income 

483 225 

195 651 

Financial expenses  
Interest expenses on cash and cash equivalents 

(14 993 036) 
(527 706) 

(81 326 833) 
(247 367) 

Realised losses on sale of AFS assets 

(1 390 733) 

(17 550 692) 

Other financial expenses - fair value changes of derivatives 

(12 008 473) 

(62 913 181) 

Custody fees and other financial expenses 

(1 066 124) 

(615 593) 

FINANCIAL RESULT 

39 287 606 

(30 917 686) 

ECONOMIC RESULT OF THE YEAR 

21 711 491 

(13 876 513) 

6 

 
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
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 
EUR 9 100 million by 2022. 

is  provisioned  progressively  up 

to 

the 

target  amount  of 

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  6%  of  the  portfolio.  The  currency  risk  is  hedged.  The  exposure  of  the 
portfolio  to  bonds  complying  with  environmental,  social  and  governance  criteria  was  more 
than 5 times higher when compared to its benchmark (6,93% for the portfolio vs 1,24% for 
the benchmark). 

As  shown  in  Figure  1,  over  26%  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. 

7 

 
 
 
 
In terms of main asset classes, 47% of the portfolio is invested in Sovereign securities, sub-
sovereigns, supra-nationals and agencies (SSA) and foreign Governments and 18% in covered 
bonds while 23% in bonds issued by corporates and financial institutions (other than covered 
bonds). 

FIGURE 1: PORTFOLIO EXPOSURE BY RATING AS AT 31 DECEMBER 2019 

BB; 2,96% 

BBB; 13,87% 

AAA; 26,43% 

A; 26,69% 

AA; 30,05% 

Source: European Commission services 

FIGURE 2: PORTFOLIO EXPOSURE BY ASSET CLASS AS AT 31 DECEMBER 2019 

Source: European Commission services 

(¹) Corporate: unsecured bonds issued by financial and non-financial corporations. 
(²) Derivative: inflation-linked bonds. 

8 

 
 
 
 
 
 
 
 
 
 
 
5.2      KEY RISK CHARACTERISTICS OF THE PORTFOLIO 

Market Risk 

Market risk is, inter alia, assessed by way of calculating the duration1 of the portfolio. 
As at 31 December 2019, the portfolio had a duration of 3.07 years.  

Currency risk and hedging activities 

USD investments represented 6% of the portfolio market value as at 31 December 2019. 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  rating2  of  BBB+, 
suggesting a low default probability (0.11% at 1-year). 

Liquidity characteristics of the portfolio 

About 21% of the portfolio consists of bonds with a maturity below 1-year, floating rate notes 
and  short-term  money  market  instruments  which  provide  a  further  liquidity  buffer  for  the 
portfolio. 

1  

2  

The duration figure refers to 'modified duration' which measures the price sensitivity of a bond to interest 
rate movements. 
The average rating is calculated on the basis of portfolio’s average 1-year default probability. 

9