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 2020
Date: 2021-07-28
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, 28.7.2021  SWD(2021) 209 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 2020 {COM(2021) 427 final}  
 
 
TABLE OF CONTENTS 
1. 
INTRODUCTION .......................................................................................................................................... 2 
2.  EFSI OPERATIONS SUPPORTED BY THE EU GUARANTEE ................................................................ 2 

2.1

2.2

IIW OPERATIONS ............................................................................................................................... 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 ............................................................................................................................... 8 

5.1  COMPOSITION OF THE PORTFOLIO .............................................................................................. 8 
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  2020.  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) and a 
sector and country breakdown. 

2.1

  IIW OPERATIONS  

As  at  31  December  2020,  629  operations  in  all  Member  States  were  signed  under  the  IIW. 
The total signatures amount to EUR 57.2 billion which is expected to mobilise investments of 
EUR 278.2 billion.  Almost  half  of  the  signed  operations  in  terms  of  volume  were  in  the 
energy  (24%)  and  research  sectors  (21%),  followed  by  the  provision  of  financial  support  to 
SMEs and small Mid-Cap companies (18%) and transport (16%). 

2.2

  SMEW OPERATIONS 

total  financing  of  EUR 25.5 billion 

As at 31 December 2020, 792 operations in all Member States were signed under the SMEW. 
investments  of 
The 
EUR 201.3 billion.  The  most  important  sectors  in  terms  of  volume  were  research  and 
development (66%) 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 2020 (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          12,173.45           16,904.43           29,077.88 EFSI:developmentoftheenergysectorinaccordancewiththeEnergy Union priorities          13,999.98                      -             13,999.98 EFSI:developmentoftransportinfrastructures,andequipmentandinnovative technologies for transport           9,298.77                      -              9,298.77 EFSI:financialsupportthroughtheEIFandtheEIBtoentitieshavingup to 3 000 employees          10,287.85            2,463.30           12,751.15 EFSI:developmentanddeploymentofinformationandcommunication technologies           3,622.40            4,347.65            7,970.05 EFSI: environment and resource efficiency           4,189.10                      -              4,189.10 EFSI: human capital, culture and health           2,288.74            1,830.07            4,118.81 EFSI: Less-developed regions and transition regions              534.75                      -                 534.75 EFSI:sustainableagriculture,forestry,fishery,aquacultureandotherelements of the wider bioeconomy              815.50                      -                 815.50 Total          57,210.54           25,545.45           82,755.99 Signed operations 
 
 
 
 
Table 2: Distribution of signed EFSI IIW and SMEW operations by country as at 31 

December 2020 (EUR million) 

Source: EFSI Operational Report provided by the EIB 

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

4 

CountryIIWSMEWTotalAustria           1,404.92               299.34            1,704.26 Belgium           1,441.69               244.17            1,685.86 Bulgaria              365.18               290.05               655.23 Croatia              103.87               254.71               358.58 Cyprus              130.71                   8.74               139.45 Czech Republic              152.04               728.94               880.98 Denmark              530.18               406.23               936.42 Estonia              128.49                 50.33               178.82 Finland           1,552.49               195.09            1,747.58 France          10,523.88            2,998.06           13,521.94 Germany           6,701.15            1,198.22            7,899.37 Greece           2,306.99               502.46            2,809.44 Hungary              385.20               168.65               553.85 Ireland              682.79               330.99            1,013.78 Italy           8,042.77            3,460.40           11,503.17 Latvia              113.11                 23.94               137.05 Lithuania              301.60                 18.79               320.39 Luxembourg                56.02                 92.44               148.47 Malta                33.00                   7.11                 40.11 Netherlands           2,277.10               661.38            2,938.48 Poland           2,878.00               251.42            3,129.42 Portugal           1,210.74            1,546.79            2,757.53 Romania              694.02               278.84               972.86 Slovakia              515.39                 64.22               579.61 Slovenia              153.25                 34.12               187.37 Spain           9,146.26            1,941.03           11,087.29 Sweden           2,844.51               405.67            3,250.19 United Kingdom           1,239.22               399.21            1,638.42 Regional - EU countries           1,190.99                      -              1,190.99 Multi-country (SMEW)                     -              8,450.45            8,450.45 Total EU-Countries          57,105.54           25,311.82           82,417.36 No. of Countries                     28                      28                      28 Non-EU/non-EFSI-IFE Operations (SMEW)                     -                 233.63               233.63 Non-EU (IIW)              105.00                      -                 105.00 Total          57,210.54           25,545.45           82,755.99 Signed operations 
 
 
 
 
 
3.  EFSI GF FINANCIAL STATEMENTS 

STATEMENT OF FINANCIAL POSITION AS AT 31 DECEMBER 2020 

ASSETS 

NON-CURRENT ASSETS 

31 December 2020 
EUR 

31 December 2019 
EUR 

5 580 091 191 

5 151 007 135 

Available for sale financial assets 

5 580 091 191 

5 151 007 135 

CURRENT ASSETS 

2 447 875 141 

1 536 875 909 

Available for sale financial assets 

1 945 666 647 

1 502 587 447 

Financial assets at fair value through surplus or deficit 

6 200 825 

2 708 066 

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

- 

- 

Receivables (i.e. bond lending fees) 

44 400 

39 578 

Cash and cash equivalents 

Current accounts 

  Cash equivalents  
  Accrued interest on cash and cash equivalents 

495 963 269 
468 387 939 

27 770 760 
(195 430) 

31 540 818 
5 083 651 

26 462 735 
(5 568) 

TOTAL ASSETS  

8 027 966 332 

6 687 883 044 

NET ASSETS AND LIABILITIES 

NET ASSETS 

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

31 December 2020 
EUR 

31 December 2019 
EUR 

8 027 834 210 

6 687 770 451 

7 875 310 513 
119 677 046 
11 199 078 
21 647 573 

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

CURRENT LIABILITIES 

132 122 

112 593 

Financial liabilities at fair value through surplus or deficit 

Other payables 

- 

132 122 

- 

112 593 

5 

 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
 
 
 
 
Accrued charges 

- 

- 

TOTAL NET ASSETS AND LIABILITIES 

8 027 966 332 

6 687 883 044 

STATEMENT OF FINANCIAL PERFORMANCE FOR THE YEAR ENDED 31 DECEMBER 2020 

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 

2020 
EUR 

47 796 035 
47 796 035 
- 

2019 
EUR 

47 488 284 
47 488 284 
- 

(86 917 174) 

(86 902 174) 

(65 064 399) 

(65 049 399) 

(15 000) 
(15 000) 

(15 000) 
(15 000) 

RESULT FROM OPERATING ACTIVITIES 

(39 121 139) 

(17 576 115) 

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

73 604 305 
17 681 020 
27 248 
17 653 772 
- 

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

Realised gains on sale of AFS assets 

12 747 184 

18 506 857 

Other financial income - fair value changes of derivatives 

42 645 971 

16 447 915 

Security lending income 

530 130 

483 225 

Financial expenses  
Interest expenses on cash and cash equivalents 

(12 835 593) 
(726 483) 

(14 993 036) 
(527 706) 

Realised losses on sale of AFS assets 

(1 600 852) 

(1 390 733) 

Other financial expenses - fair value changes of derivatives 

(9 191 136) 

(12 008 473) 

Custody fees and other financial expenses 

(1 317 122) 

(1 066 124) 

FINANCIAL RESULT 

60 768 712 

39 287 606 

ECONOMIC RESULT OF THE YEAR 

21 647 573 

21 711 491 

6 

 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
4.  PROVISIONING OF THE EFSI GF 

The Guarantee Fund is provisioned through: 

  Contributions  from  the  general  Union  budget;  the  budget  allocated  for  EFSI 

contributions 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” (Regulation (EU) No 1316/2013) and “2020 European 
Fund  for  Energy,  Climate  Change  &  Infrastructure”  -  Marguerite  Fund  (Regulation 
(EC) No 680/2007). 

  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,  as  part  of  the  CPF  compartment  since  January  2021,  is  provisioned 
progressively by 2022. 

Table 3: Provisioning of the EFSI GF for the period 2015-2022 (EUR million) 

7 

20152016201720182019202020212022Commitments1350211026802069357301Payments (¹)10182490201411661249525387(¹) Including assigned revenues: EUR 6.3 million in 2016, EUR 39.2 million in 2017, EUR 59.0 million in 2018, EUR 163.1 million in 2019 and EUR 156.0 million in 2020.Note: From 2021 and onward data are provisional and do not include the expected assigned revenues. 
 
 
 
 
 
 
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 year-end EFSI GF portfolio data show that it is well diversified in terms of asset classes 
and  rating  categories.  In  addition,  there  is  also  diversification  in  non-euro  denominated 
securities  (USD)  in  the  form  of  an  allocation  to  US  Treasuries  and  other  US  issuers  (e.g. 
Supranational,  other  Sovereigns  or  Agencies)  and  cash  for  about  6%  of  the  portfolio.  The 
currency risk is hedged.  

As  shown  in  Figure  1,  over  24%  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. 

The share of bonds complying with environmental, social and governance criteria was 9.5% 
at the end of 2020, compared with 6.9% at the end of 2019. 

Figure 2 shows the distribution of the ESG instruments per asset class and rating. 

FIGURE 1: PORTFOLIO EXPOSURE BY RATING AS AT 31 DECEMBER 2020 

Cash (AAA); 
6,2% 

BB-; 3,0% 

MMF (A); 5,1% 

BBB-; 10,2% 

BBB; 2,1% 

BBB+; 0,9% 

AAA; 24,1% 

A-; 10,1% 

A; 5,2% 

AA+; 
7,3% 

AA; 9,8% 

AA-; 12,7% 

A+; 3,4% 

Source: European Commission services 

8 

 
 
 
 
 
 
 
FIGURE 2: ESG INSTRUMENTS PER ASSET CLASS AND RATING (%) 

[CATEGO
RY 
NAME] 
(1); 
[VALUE] 

Covered; 
15,1% 

SSA; 
57,0% 

AAA; 
27,4% 

AA+; 
14,6% 

BBB+; 
4,7% 

A-; 
14,5% 

A; 
2,6% 

A+; 
4,2% 

AA-; 
8,3% 

AA; 
23,7% 

Source: European Commission services 

(¹) Corporate: unsecured bonds issued by financial and non-financial corporations. 

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 2020, the portfolio had a duration of 3.19 years.  

Currency risk and hedging activities 

USD  investments  represented  5.7%  of  the  portfolio  market  value  as  at  31  December  2020. 
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 (0.12% on a 1-year basis). 

Liquidity characteristics of the portfolio 

About 33% 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