REPORT FROM THE COMMISSION TO THE EUROPEAN PARLIAMENT AND THE COUNCIL Comprehensive Report to the European Parliament and the Council on the use of the European Fund for Strategic Investments (EFSI) EU Guarantee and the functioning of the European Fund for Strategic Investments (EFSI) Guarantee Fund
Date: 2021-06-29
Institutions: Directorate-General for Economic and Financial Affairs, European Commission
Subjects: EU aid, European Fund for Strategic Investments, European Investment Bank, European Investment Fund, guarantee, innovation, investment promotion, small and medium-sized enterprises

EN 

  EN 

   EUROPEAN COMMISSION  Brussels, 29.6.2021  COM(2021) 337 final  REPORT FROM THE COMMISSION TO THE EUROPEAN PARLIAMENT AND THE COUNCIL Comprehensive Report to the European Parliament and the Council on the use of the European Fund for Strategic Investments (EFSI) EU Guarantee and the functioning of the European Fund for Strategic Investments (EFSI) Guarantee Fund  
 
 
Contents 

1. Introduction ....................................................................................................................................... 2 

2. The EU Guarantee ............................................................................................................................. 3 

3. The use of the EU Guarantee ........................................................................................................... 5 

3.1. Infrastructure and Innovation Window ........................................................................................ 6 

3.1.1. IIW Debt Portfolio ................................................................................................................. 7 

3.1.2. IIW Equity Portfolio .............................................................................................................. 7 

3.2. SME Window ............................................................................................................................... 8 

3.2.1. SMEW Debt Portfolio ........................................................................................................... 8 

3.2.2. SMEW Equity Portfolio ........................................................................................................ 9 

4. The functioning of the EU Guarantee Fund under EFSI .............................................................. 9 

4.1. The provisioning mechanism of the Guarantee Fund ................................................................. 10 

4.2. Annual and cumulative flows ..................................................................................................... 10 

4.3. Composition and key characteristics of the portfolio ................................................................. 11 

4.4. Performance................................................................................................................................ 12 

4.5. Assessment of the adequacy of the Target Rate and the level of the Guarantee Fund ............... 12 

5. Conclusions ...................................................................................................................................... 13 

1 

 
 
 
 
 
 
 
 
1. Introduction  

The  European  Fund  for  Strategic  Investments  (EFSI)  was  set  up  in  2015,  together  with  the 
European  Investment  Advisory  Hub  (EIAH)  and  the  European  Investment  Project  Portal 
(EIPP), under Regulation (EU) 2015/1017 of the European Parliament and of the Council of 
25 June 2015, amending Regulations (EU) No 1291/2013 and (EU) No 1316/20131 (the EFSI 
Regulation), with the aim of kick-starting investments in the Union through the mobilisation 
of private finance. The agreement on the management of the EFSI and on the granting of the 
EU  Guarantee  (the  EFSI  Agreement)  was  signed  by  the  Commission  and  the  European 
Investment Bank (the EIB) on 22 July 2015.  

The EFSI Agreement was amended and restated several times: 

  The first amendment and restatement of the EFSI Agreement was signed on 21 July 
2016,  adding  two  further  Products  under  the  SME  Window  (SMEW):  the  SMEW 
Equity Product and the EaSI2 Guarantee Enhancement; 

  The  second  amendment  and  restatement  of  the  EFSI  Agreement  was  signed  on  21 
November  2017,  converting  the  three  guarantee  Products  under  the  SMEW  from  a 
temporary enhancement (frontloading) to a permanent enhancement (top-up) structure 
and  adding  a  new  SMEW  Product,  the  Cultural  and  Creative  Sectors  Guarantee 
Facility (CCS GF) Enhancement; 

 

In  2017,  the  EFSI  Regulation  was  amended  by  Regulation  (EU)  2017/2396  of  the 
European Parliament and Council of 13 December 2017 amending Regulations (EU) 
No  1316/2013  and  (EU)  2015/1017  as  regards  the  extension  of  the  duration  of  the 
EFSI  as  well  as  the  introduction  of  technical  enhancements  for  the  Fund  and  the 
EIAH3 (the EFSI 2.0 Regulation). The EFSI 2.0 Regulation increased, inter alia, the 
size  of  the  EU  Guarantee  and  adjusted  the  provisioning  target  rate.  A  third 
amendment  and restatement  of the EFSI Agreement  was signed on 9 March 2018 to 
reflect the EFSI 2.0 Regulation; 

  The  fourth  amendment  and  restatement  of  the  EFSI  Agreement  was  signed  on  20 
December 2018 to increase the EFSI contribution to existing SMEW Products and add 
two further SMEW Products (EFSI Combinations Product and EFSI Private Credit for 
SMEs Product); 

  The fifth amendment and restatement of the EFSI Agreement was signed on 27 March 
2020 to, inter alia, increase the EFSI contribution to the existing SMEW Products and 
add  two  new  SMEW  Products  (the  European  Scale-up  Action  for  Risk  Capital 
(ESCALAR) Product and Skills and Education (S&E) Product);  

1    OJ L 169, 1.7.2015, p. 1-38. 
2    The Employment and Social Innovation programme. 
3    OJ L 345, 27.12.2017, p. 34. 

2 

 
 
 
                                                           
  As  a  response  to  contain  the  economic  impact  of  the  COVID-19  virus,  the  sixth 
amendment  and restatement  of the EFSI Agreement  was signed on 27 April 2020 to 
repurpose  resources  from  the  Infrastructure  and  Innovation  Window  (IIW)  Equity 
Portfolio  National  Promotional  Banks  (NPBs)  as  well  as  certain  existing  SMEW 
Products to support working capital lending to companies impacted by COVID-19.   

In  this  context,  the  EU  Guarantee  allocated  to  the  COSME  Loan  Guarantee  Facility 
(COSME  LGF)  Enhancement  was  increased  to  EUR  1,484  million  and  the  EU 
Guarantee allocated to the InnovFin SMEG Enhancement was increased to EUR 1,400 
million.  

Article 18(3)(b) of the EFSI Regulation provides that the Commission shall, by 30 June 2018 
and  every  three  years  thereafter,  publish  a  comprehensive  report  on  the  use  of  the  EU 
Guarantee and the functioning of the Guarantee Fund.  

The  EFSI  commitment  period  ended  on  31  December  2020.  Signatures  of  the  already 
approved EFSI operations may occur until 31 December 2022, whilst operational monitoring 
will continue until repayment of all financing and investment operations supported by the EU 
Guarantee.  

The cut-off date for all figures in this report is 31 December 2020. 

2. The EU Guarantee  

The Union provides an unconditional, irrevocable and first demand guarantee to the EIB for 
financing and investment operations under the EFSI. By providing higher risk bearing to the 
EIB, the EU Guarantee allows for an increase in the volume of higher risk projects supported 
by  EIB  financing  and  investment  operations  under  IIW  and,  as  a  result,  helps  addressing 
market  failures  and  sub-optimal  investment  situations.  The  EU  Guarantee  also  allows  for  a 
greater volume of lending and a larger number of companies to be covered under the SMEW 
by the European  Investment  Fund (EIF) and thereby facilitates access  to finance4  for SMEs 
and small mid-cap companies. 

Part of the overall EFSI operations is covered by the EU Guarantee while a part is carried out 
at the own risk of the EIB. The initial endowment of the EU Guarantee was of EUR 16 billion 
from  the  Union  budget,  complemented  by  an  allocation  of  EUR  5  billion  of  EIB’s  own 
resources. These amounts were increased to EUR 26 billion and EUR 7.5 billion, respectively, 
by the EFSI 2.0 Regulation. 

4    Article 3 of the EFSI Regulation. 

3 

 
 
 
 
                                                           
The  nature  of  the  EU  Guarantee  is  revolving  until  the  end  of  2022,  meaning  that  the  EU 
Guarantee  cover  may  be  made  available  to  new  operations  following  the  amortisation  of 
existing  ones,  provided  that  the  EU  Guarantee  never  exceeds  EUR  26  billion  and  that 
aggregate net payments from the general budget of the Union under the EU Guarantee do not 
exceed EUR 26 billion. 

The EU Guarantee covers financing and investment operations signed by the EIB under the 
IIW and by the EIF under the SMEW. The initial repartition between the two windows was up 
to a maximum of EUR 13.5 billion for the IIW and up to a maximum of EUR 2.5 billion for 
the  SMEW.  Given  the  strong  response  to  the  SMEW,  the  EFSI  Steering  Board  decided  to 
reinforce the latter through the reassignment of EUR 500 million from the IIW to the SMEW 
in  July  2016.  The  EFSI  2.0  Regulation  further  increased  the  share  of  the  SMEW,  setting  a 
limit  of  EUR  6.5  billion  that  could  be  adjusted  by  the  Steering  Board  up  to  a  maximum  of 
EUR 9 billion5 (Table 1).  

In April 2020, as a response to the COVID-19 pandemic, the EFSI Steering Board approved 
the transfer of EUR 250 million from the IIW Equity NPBs Portfolio to the SMEW in order to 
increase the capacity of instruments targeting COVID-19 impacted SMEs. 

Table 1 - The split of the EU Guarantee and its development over time  

(in billion EUR) 

EFSI 1.0 

EFSI 1.0 adjustment 

EFSI 2.0 

EFSI 2.0 adjustment 

Source: Commission services 

Year 

2015 

2016 

2018 

2020 

IIW 

SMEW 

Total EU 
Guarantee 

EIB own 
resources 

Total 
EFSI 

13.5 

13.0 

19.5 

2.5 

3.0 

6.5 

19.25 

6.75 

16.0 

16.0 

26.0 

26.0 

5.0 

5.0 

7.5 

7.5 

21.0 

21.0 

33.5 

33.5 

5    Article 11(3) of the EFSI Regulation. 

4 

 
 
 
 
 
 
 
 
 
 
 
                                                           
EFSI response to the COVID-19 crisis  

Following  the  outbreak  of  the  COVID-19  pandemic  in  early  2020,  EFSI  was  part  of  the 
European coordinated response seeking to mitigate the socio-economic impact of the COVID-
19 crisis. Based on the resources unlocked from EFSI, the EIF provided guarantees of EUR 
2.2  billion  to  financial  intermediaries,  making  available  EUR  8  billion  in  financing  for 
businesses, including micro and social enterprises as well as SMEs in the cultural and creative 
sectors. 

Furthermore, in order to provide support to final beneficiaries within the fastest timeframes, 
the EFSI Steering Board decided in April 2020 to simplify the approval process for specific 
operations within COVID‐ 19 envelopes of financing under the IIW. 

For  example,  the  EIB  Board  approved  in  May  2020  the  EFSI  transaction  supporting  the 
German  BioNTech  SE  with  EUR  100  million  in  debt  financing  for  the  development  and 
manufacturing of COVID-19 vaccine. This allowed the company to expand its manufacturing 
capacity  in  order  to  supply  the  vaccine  worldwide  as  fast  as  possible  in  response  to  the 
pandemic. 

3. The use of the EU Guarantee  

This section reviews the use of the EU Guarantee under the different activities supported by 
the EFSI. The EU Guarantee covers different products under the two windows: Infrastructure 
and Innovation Window and SME Window. 

As  of  end-2020,  the  EIB  group  (EIB  and  EIF)  approved  1,549  operations  under  EFSI  for  a 
total financing of EUR 103 billion. Of these operations 1,421 had already been signed as of 
end-2020, for a total financing of EUR 82.7 billion. The approved operations are expected to 
mobilise investments of EUR 545.3 billion (of which the total investments of already signed 
operations amounts to EUR 479.5 billion) in all EU Member States and across all objectives 
set out in the EFSI Regulation, with more than half allocated to Research, Development and 
Innovation (RDI) and SMEs and mid-caps (Figure 1).  

5 

 
 
 
  
 
 
 
 
 
 
Figure 1: EFSI investment mobilised for signed operations (by sector, December 2020)  

4,7%  0,2% 

0,6% 

3,4% 

9,5% 

25,6% 

RDI

Energy

Transport

SMEs and mid-caps

Digital

33,4% 

16,2% 

Environment and resource efficiency

Source: Commission services 

6,5% 

Social infrastructure

Less-developed regions

Bioeconomy

At the end of 2020, the exposure of the EU budget to possible future payments under the EU 
Guarantee in terms of signed operations (disbursed and undisbursed) amounted to EUR 24.1 
billion,  whereas  the  overall  outstanding  disbursed  exposure  covered  by  the  EU  Guarantee 
amounted to nearly EUR 18.9 billion.  

As of 31 December 2020, the EU Guarantee was called under the IIW for the total amount of 
EUR  80.4  million.  In  addition,  an  amount  of  EUR  5.0  million  was  called  for  EIB  funding 
costs, EUR 77.4 million for value adjustments of equity-type operations and EUR 3.9 million 
for recovery costs and EIB recoverable administrative fees.  

As of end 2020, under the SMEW, the EU Guarantee was called for the total amount of EUR 
45.6 million which was used to purchase non-EUR currencies for hedging purposes.  

3.1. Infrastructure and Innovation Window  

Under the IIW, the allocation of EIB operations to the debt or equity portfolio is based on the 
EIB's system of loan grading and the EIB's standard risk assessment. Under the IIW, the EU 
Guarantee cap amount of EUR 19.25 billion is broken down as follows: 

  up to EUR 15.24 billion for debt-type operations; 
  up to EUR 4.01 billion for equity-type operations. 

As of 31 December 2020, under the IIW, the EIB signed 629 operations for a total financing 
of EUR 57.2 billion, which are expected to mobilise investments of EUR 278.2 billion in all 
Member States. 

6 

 
 
 
 
 
3.1.1. IIW Debt Portfolio 

The IIW Debt Portfolio includes all signed and not cancelled debt-type operations. For each 
operation,  the  EIB  conducts  its  standard  risk  assessment,  involving  the  computation  of  the 
probability of default and the recovery rate, without taking into account the EU Guarantee (in 
order  to  reflect  the  overall  risk  of  the  transaction6).  The  operations  supported  by  the  EU 
Guarantee  typically  have  a  higher  risk  profile  than  EIB  normal  operations  and  hence  fall 
within  the  scope  of  special  activities7.  Less  risky  transactions  may  be  incorporated  into  the 
EFSI portfolio, provided that a high added-value is clearly demonstrated and their inclusion is 
consistent with the criterion of providing additionality.  

Under the IIW Debt Portfolio, the Union budget provides a 100 % first-loss piece guarantee 
for the debt portfolio implemented by the EIB under the EFSI. The first-loss piece is expected 
to  be  approximately  25  %  for  the  IIW  Debt  Portfolio-Standard  and  33  %  for  the  IIW  Debt 
Portfolio-Hybrid8 of the volume of the overall portfolio of operations financed by the EIB at 
the end of the investment period, whereas the residual risk is fully borne by the EIB.  

The EU Guarantee may  be called in  case of defaults by EIB's  obligors or, if a restructuring 
process is undertaken, to cover restructuring losses in relation to debt-type operations. 

EIB  debt  operations  generate  revenues  established  in  accordance  with  EIB  pricing 
methodology. Risk-related revenues are shared between the Union and the EIB on the basis of  
the  risk-  and  revenue-sharing  principles  set  out  in  the  EFSI  Agreement,  according  to  which 
the EU guarantee covers the full of first-loss piece, whereas the EIB retains the full residual 
risk tranche.  

As of 31 December 2020, 460 debt-type operations, of which 403 debt-standard and 57 debt-
hybrid had been signed under the IIW for a total financing of EUR 50.3 billion. 

3.1.2. IIW Equity Portfolio 

The IIW Equity Portfolio includes all signed and not cancelled equity-type operations. Under 
this  portfolio,  the  EU  Guarantee  may  be  used  to  support  direct  investments  in  individual 
companies  or  projects  (equity-type  direct  investments)  or  financing  for  funds  or  analogous 
portfolio risks (equity-type portfolio).  

The EIB performs its standard assessment and determines whether an operation bears equity-
type risks or not, irrespective of its legal form and nomenclature. 

6   Annex II of the EFSI Regulation, point 6. 
7   EIB Statute, Article 16. 
8    A hybrid compartment within the IIW Debt Portfolio was created to accommodate specific operations such as 
risk-sharing operations, which EIB delegates fully to financial intermediaries, Asset Backed Securities, etc. 
As of 31 December 2020, the allocation of EU Guarantee to this portfolio was EUR 2 billion. 

7 

 
 
 
                                                           
 
Under the IIW Equity Portfolio - Standard, the EIB invests on a pari passu basis with the EU 
guarantee. The EU guarantee covers 50% in  each equity-type operation included in the  IIW 
Equity Portfolio - Standard, whereas the EIB retains the remaining 50%. 

The  EU  Guarantee  may  be  called  to  cover  negative  value  adjustments,  realised  losses  at 
divestment and the EIB funding costs, for the part of the equity investment guaranteed by the 
EU.  

The  revenues  attributable  to  the  EU  guarantee  and  received  in  respect  of  the  IIW  Equity 
Portfolio - Standard are used to remunerate the EU Guarantee.  

The third amendment and restatement of the EFSI Agreement of 9 March 2018 established an 
IIW  Equity  Portfolio  -  NPBs,  in  addition  to  the  IIW  Equity  Portfolio  -  Standard.  On  a 
portfolio  basis,  the  EU  Guarantee  provides  95%  of  the  first-loss  piece,  whereas  the  EIB 
retains the remaining 5% as well as the full residual risk.  

As  of  31  December  2020,  169  equity-type  operations,  of  which  163  equity-standard  and  6 
equity-NPBs had been signed under the IIW for a total financing of EUR 6.9 billion. 

3.2. SME Window  

The  SMEW  facilitates  access  to  loan  and  equity  financing  for  small  and  medium  sized 
enterprises and, to a limited extent, also small mid-cap companies.  It is implemented by the 
EIF. 

The EU Guarantee allocated to the SMEW under the EFSI Regulation is capped at EUR 6.75 
billion for both debt and equity operations. 

As of 31 December 2020, the EIF signed SMEW operations with financial intermediaries for 
a  total  EIF  financing  of  EUR  25.5  billion.  These  operations  are  expected  to  mobilise 
investments  of  EUR  211  billion  in  all  Member  States.  Furthermore,  a  total  of  1,427,600 
companies had received EFSI financing under the SMEW. 

3.2.1. SMEW Debt Portfolio 

In  the  area  of  support  to  loan  financing,  a  part  of  the  SMEW  benefitting  from  the  EU 
guarantee boosts  pre-existing EU financial instruments for SMEs.  Their  enhancement under 
EFSI allowed for a faster deployment of the guarantee and allowed these financial instruments 
to  support  a  greater  volume  of  lending  and  a  larger  number  of  companies.  Specifically,  the 
support is provided to the following facilities: 

 
 
 
 

the COSME LGF that enhances access to finance for riskier SMEs; 
the InnovFin SMEG that focuses on innovative and research-intensive enterprises; 
the EaSI Guarantee Facility which supports microfinance and social enterprises; 
the  CCS  GF  which  provides  dedicated  support  to  SMEs  in  the  cultural  and  creative 
sectors; 

8 

 
 
 
 

 

the S&E Product that was developed as a pilot under the EFSI and provides financing 
for  individual  students  and  learners,  entreprises  investing  in  the  re-skilling  of  their 
employees and organisations offering/investing in education and training; and 
the  EFSI  Combinations  Product  which  targets  specific  policy  objectives  in  Member 
States,  especially  enhancing  access  to  finance  in  the  agricultural  sector.  It  combines 
resources from EU structural funds or national funds and EFSI. 

As of 31 December 2020, 437 debt-type operations had been signed under the SMEW for a 
total financing of EUR 15.1 billion. 

3.2.2. SMEW Equity Portfolio 

In  the  area  of  equity  financing,  the  part  of  the  SMEW  benefitting  from  the  EU  Guarantee 
under EFSI supports three facilities: 

 

 

 

the  SMEW  Equity  Product,  under  which  the  EIF  invests  in  equity  funds,  funds  of 
funds or co-investment vehicles that channel equity financing to early stage companies 
(e.g. start-ups) and growth and expansion stage companies (e.g. scale ups); 
the  ESCALAR  which  helps  funds  focused  on  scale-ups  to  achieve  a  larger  critical 
mass; and 
the EFSI Private Credit Programme supporting diversified debt funds, thus increasing 
the volume and diversity of alternative debt financing available to European SMEs and 
small mid-caps. 

Additionally, the SMEW also benefits from a direct EIB contribution of EUR 4 billion which 
has served to extend the EIB's Risk Capital Resources mandate to the EIF in support of equity 
financing for SMEs and mid-caps. 

As of 31 December 2020, 355 equity-type operations had been signed under the SMEW for a 
total financing of EUR 10.5 billion. 

4. The functioning of the EU Guarantee Fund under EFSI  

The Guarantee Fund under the EFSI (the Guarantee Fund) was established under Article 12 of 
the EFSI Regulation and it is funded mainly from payments from the Union general budget 
and  revenues  originating  from  operations  under  the  EU  Guarantee.  The  Guarantee  Fund 
constitutes a liquidity cushion from which the EIB is to be paid in the event of a call on the 
EU Guarantee. The Guarantee Fund has to be maintained at a certain percentage (the Target 
Rate)  of  the  total  amount  of  the  obligations  under  the  EU  Guarantee,  currently  set  at  35%. 
Thus,  the  liquidity  cushion  is  intended  to  provide  an  appropriate  safety  margin  avoiding 
exposing  the  Union  budget  to  sudden  guarantee  calls,  which  could  entail  spending  cuts  or 
budget amendments.  

9 

 
 
 
 
According to the EFSI Agreement, calls are paid by the Guarantee Fund if their amount is in 
excess  of  the  funds  at  the  disposal  of  the  EIB  on  the  EFSI  Account.  The  EFSI  Account, 
managed  by  the  EIB,  was  established  for  the  purposes  of  collecting  the  Union  revenues 
resulting from operations under the EU Guarantee and recovered amounts, as well as for the 
payment  of  calls  under  the  EU  Guarantee  and  for  the  payment  of  EIB  recoverable 
administrative costs and recovery costs. 

The  Financial  Regulation9  established  the  Common  Provisioning  Fund  (CPF)  to  hold  the 
provisions  assigned  to  cover  the  financial  liabilities  arising  from  budgetary  guarantees  and 
financial  assistance  programmes  under  the  2021-2027  Multiannual  Financial  Framework  as 
well as legacy liabilities. Therefore, as of January 2021, the Guarantee Fund under the EFSI 
constitutes a separate compartment within the CPF. 

4.1. The provisioning mechanism of the Guarantee Fund 

The Guarantee Fund is provisioned through: 

  contributions  from  the  general  budget  of  the  Union;  the  budget  allocated  for  the 

 

Guarantee Fund provisioning 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”10  and  “2020  European  Fund  for  Energy,  Climate 
Change & Infrastructure” - Marguerite Fund11; 
returns (interests) on Guarantee Fund resources invested in the financial markets; 

 
  amounts recovered from projects for which the EU Guarantee was called. 

The  global  provisioning  of  the  Guarantee  Fund,  as  part  of  the  CPF  as  a  compartment  since 
January 2021, is being constituted progressively up until 2022.   

4.2. Annual and cumulative flows 

The  budgetary  commitments  and  payments  for  provisioning  of  the  Guarantee  Fund  is 
presented in Table 2.  

Table 2 – Provisioning of the Guarantee Fund  

(in million EUR) 

2015 

2016 

2017 

2018 

2019 

2020 

Commitments 

Payments 

1,350.0 

2,110.2 

2,680.3 

2,069.3 

357.3 

301.0 

0 

1,018.0 

2,489.6 

2,013.9 

1,166.2 

1,248.9 

9      Regulation (EU, Euratom) 2018/1046 (OJ L 193, 30.7.2018, p. 1). 
10    Regulation (EU) No 1316/2013. 
11    Regulation (EC) No 680/2007. 

10 

 
 
 
 
 
 
                                                           
The EFSI  commitment  period for EU budget  contributions  ended on 31 of December 2020. 
Commitments from assigned revenues could be made until 2022, whenever available. As of 
31  December  2020,  the  cumulative  amount  of  approximately  EUR  8,868  million  were 
committed for the provisioning of the Guarantee Fund, of which EUR 8,425 million from the 
EU general budget and EUR 443 million from assigned revenues. 

Payments into the Guarantee Fund from the EU budget  are scheduled until  2022. However, 
payments from assigned revenues could be made until 2023. A total amount of approximately 
EUR 7,937 million was effectively paid into the Guarantee Fund, of which EUR 7,513 million 
came  from  the  EU  general  budget,  while  EUR  424  million  was  recovered  as  assigned 
revenues. 

As  of  31  December  2020,  EFSI  operations  managed  by  the  EIB  under  the  IIW  generated  a 
cumulative net revenue of EUR 674 million for the EU, of which EUR 243 million are related 
to the year 202012.  

For  the  EFSI  operations  under  the  SMEW,  the  EU  incurred  a  cumulative  net  cost  of 
EUR 452 million, of which EUR 295 million are related to the year 202013.  

4.3. Composition and key characteristics of the portfolio 

The  Guarantee  Fund’s  investment  portfolio  is  invested  in  accordance  with  the  management 
principles laid down in Commission Decision C(2016)165 of 21 January 2016 approving the 
asset management guidelines of the guarantee fund of the EFSI. 

These  guidelines  foresee  that  the  assets  in  the  investment  portfolio  shall  provide  sufficient 
liquidity in relation to the potential guarantee calls, while still aiming at optimising the return 
and risk level that is compatible with maintaining a high degree of security and stability.  

Investment and risk management strategies were adopted reflecting the investment objectives 
and outlook of market conditions. The investment approach aims at enhanced diversification 
across various fixed income asset classes.  

As of December 2020, the investment portfolio was made predominantly of securities issued 
by  sovereigns,  sub-sovereigns,  supranationals  and  agencies  (46.8%  of  market  value), 
corporates (20.3% of market value) and covered bonds (17.1% of market value). About 5.2% 
of  the  portfolio  was  invested  in  liquid  and  highly-rated  (AA/AAA)  USD  denominated 
investments. The currency risk exposure of these investments has been hedged. 

The portfolio duration at the end of 2020 was 3.19 years and its average credit rating is BBB+. 

12    Figures as per audited Financial Report (Schedule III of EFSI Agreement). 
13    Idem as above. 

11 

 
 
 
                                                           
The bulk of the portfolio is invested in liquid securities and an adequate part (25% of the total 
portfolio value) matures in less than 12 months. 

The profile of the portfolio, in terms of duration, credit risk and liquidity, has been calibrated 
in  line  with  the  forecasted  cash-flows  arising  from  the  EFSI  operations  under  the  EU 
Guarantee (e.g. projected calls, revenues). 

As of December 2020, the proportion of ESG14-labeled instruments in portfolio was 9.5%. 

4.4. Performance 

Performance is calculated on a time-weighted basis in order not to be affected by the size of 
the portfolio, which grew considerably during the period. 

Since its  inception in April 2016, the Guarantee Fund delivered an absolute performance of 
2.4% as of December 2020. This return was achieved against a background of highly negative 
rates, especially for what is perceived by the markets as “credit risk free” and liquid exposures 
in Europe. As an illustration, the 3Y German Bond yield was at -0.77% at the end of 2020. 

4.5. Assessment of the adequacy of the Target Rate and the level of the Guarantee 
Fund 

The Target Rate of the Guarantee Fund was originally set at 50% of the total EU guarantee 
obligations. This target was estimated before the start of EFSI.  

In  2016,  the  Commission's  internal  evaluation  of  EFSI15  concluded  that  the  provisioning  of 
the Guarantee Fund could be adjusted. The risk assessment of the different products supported 
by  the  EU  Guarantee  showed  that  overall  the  Union  budget  would  be  adequately  shielded 
from potential calls under the EU Guarantee with an adjusted Target Rate for provisioning the 
Guarantee Fund of 35% taking into consideration recoveries, revenues and reflows from EFSI 
operations.  

The European Parliament and the Council approved the Commission proposal and the Target 
Rate  was  set  at  the  level  of  35%  of  the  total  EU  Guarantee  obligations  as  of  the  entry  into 
force of the EFSI 2.0 Regulation.  

The  risk  assessment  of  the  different  products  supported  by  the  EU  Guarantee  in  February 
2021  confirmed  that  the  overall  Union  budget  would  be  adequately  shielded  from  potential 
calls  under  the  EU  Guarantee  with  a  35%  target  rate,  taking  into  consideration  recoveries, 
revenues and reflows from EIB operations.  

14    Environmental, Social and Governance. 
15    SWD(2016) 297. 

12 

 
 
 
                                                           
5. Conclusions  

The latest independent evaluation of the application of the EFSI Regulation that underpinned 
the  Commission’s  proposal  for  a  Regulation  establishing  the  InvestEU  Programme16 
concluded to  the overall relevance and  effectiveness  of the EU Guarantee.  In particular, the 
levels of the EU Guarantee and of the EIB contribution were appropriately sized as it allowed 
the EIB Group to mobilise a level of investment in line with expectations. The adjustment of 
the Target Rate for the Guarantee Fund under EFSI 2.0 resulted in a more efficient use of the 
EU  budget.  Moreover,  the  impact  on  other  parts  of  the  EU  budget  was  limited,  thereby 
leading to an increased efficiency of EU budget support. Furthermore, the overall approach to 
modelling the EFSI Target Rate appeared to be adequate and in line with industry practice.  

By end-2020, EFSI triggered EUR 545.3 billion in cumulative investment across all Member 
States, thus exceeding the EUR 500 billion target while alleviating the impact of COVID-19 
on Europe’s economy.  

In 2021, the Commission will launch an ex-post evaluation of EFSI, which is expected to be 
transmitted to the European Parliament and Council by end-2022. 

16    SWD(2018) 314 final. 

13