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Document 52018SC0268
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 2017
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 2017
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 2017
SWD/2018/268 final
EUROPEAN COMMISSION
Brussels, 28.5.2018
SWD(2018) 268 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 2017
{COM(2018) 345 final}
Table of Contents
1. INTRODUCTION
2. EFSI OPERATIONS SUPPORTED BY THE EU GUARANTEE
2.1 EIB OPERATIONS
2.2 EIF OPERATIONS
2.3 BREAKDOWN OF EFSI OPERATIONS BY SECTOR AND COUNTRY
3. EFSI GF FINANCIAL STATEMENTS
4. ASSET MANAGEMENT
4.1 COMPOSITION OF THE PORTFOLIO
4.2 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 2017. 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.
2.1EIB OPERATIONS
As of end-2017, EIB had signed 278 operations in 27 Member States. The total signatures amount to EUR 27.4 billion which is expected to mobilise investments of EUR 131.4 billion. Half of the signed operations in terms of volume were in the energy (28%) and research sector (22%), followed by the provision of financial support to SME’s and small Mid-Cap companies (18%) and transport (14%).
2.2EIF OPERATIONS
As of end-2017, the EIF signed 328 operations with 305 financial intermediaries in 28 Member States. The total EIF financing of EUR 10.0 billion is expected to mobilise investments of EUR 75.9 billion. The most important sectors in terms of amounts were research and development (70%) and digital (17%).
2.3BREAKDOWN 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 at the end of 2017 (EUR million).
Note: Objective and subcategory as defined in Art.9 of EFSI Regulation.
Table 2: Distribution of signed EFSI IIW and SMEW operations by country at the end of 2017 (EUR million).
3.EFSI GF FINANCIAL STATEMENTS
Balance sheet
ASSETS
|
31 December 2017 |
31 December 2016 |
|
|
EUR |
EUR |
|
|
NON-CURRENT ASSETS |
3 070 600 996 |
833 258 147 |
|
Available for sale financial assets |
3 070 600 996 |
833 258 147 |
|
CURRENT ASSETS |
433 762 404 |
186 696 779 |
|
Available for sale financial assets |
343 757 854 |
114 825 355 |
|
Financial assets at fair value through surplus or deficit |
6 307 288 |
475 241 |
|
Short-term deposits (>3 months and ≤ 1 year) Including accrued negative interest |
39 991 422 |
45 000 000 |
|
Receivables (bond lending fees) |
8 456 |
- |
|
Cash and cash equivalents |
43 697 384 |
26 396 182 |
|
Current accounts |
18 683 831 |
1 395 113 |
|
Cash equivalents (call-deposits incl. accrued interest) |
25 013 553 |
25 001 069 |
|
TOTAL ASSETS |
3 504 363 400 |
1 019 954 926 |
NET ASSETS AND LIABILITIES
|
31 December 2017 |
31 December 2016 |
|
|
EUR |
EUR |
|
|
NET ASSETS |
3 504 263 077 |
1 018 968 395 |
|
Contribution from EU Budget |
3 507 682 256 |
1 018 037 889 |
|
Fair value reserve |
(6 783 279) |
(3 388) |
|
Retained earnings |
933 894 |
- |
|
Economic result of the year |
2 430 206 |
933 894 |
|
CURRENT LIABILITIES |
100 324 |
986 531 |
|
Financial liabilities at fair value through surplus or deficit |
- |
902 827 |
|
Other payables |
54 145 |
83 704 |
|
Accrued charges |
46 179 |
- |
|
TOTAL NET ASSETS AND LIABILITIES |
3 504 363 400 |
1 019 954 926 |
Statement of financial performance
|
2017 |
2016 |
|
|
EUR |
EUR |
|
|
Revenue from operating activities |
22 721 597 |
968 645 |
|
Foreign exchange gains |
22 721 597 |
968 645 |
|
Expenses from operating activities |
(60 846 316) |
(757 198) |
|
Foreign exchange losses |
(60 742 759) |
(681 319) |
|
Other expenses from operating activities |
(103 557) |
(75 879) |
|
Audit fees |
(15 000) |
(33 500) |
|
IT cost |
(88 557) |
(42 379) |
|
RESULT FROM OPERATING ACTIVITIES |
(38 124 719) |
211 447 |
|
Financial revenue |
51 393 189 |
1 666 328 |
|
Interest revenue on: |
6 435 843 |
329 309 |
|
Cash and cash equivalents |
53 004 |
1 389 |
|
Available for sale assets |
6 382 100 |
327 434 |
|
Other interest revenue |
739 |
486 |
|
Realised gains on sale of AFS assets |
4 135 733 |
861 762 |
|
Other financial income - fair value changes of derivatives |
40 754 819 |
475 241 |
|
Bond lending income |
66 794 |
- |
|
Miscellaneous income |
- |
16 |
|
Financial expenses |
(10 838 265) |
(943 881) |
|
Interest expenses on cash and cash equivalents |
(63 603) |
(2 039) |
|
Realised losses on sale of AFS assets |
(386 120) |
- |
|
Other financial expenses - fair value changes of derivatives ddefderdderivatives |
(10 139 884) |
(902 827) |
|
Custody fees and other financial expenses |
(248 658) |
(39 015) |
|
FINANCIAL RESULT |
40 554 924 |
722 447 |
|
ECONOMIC RESULT OF THE YEAR |
2 430 206 |
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.
4.1COMPOSITION 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) issuing in USD (about 18% of the portfolio). The currency risk is hedged.
As shown in the Figure, over 46.8% 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 several financial institutions.
In terms of main asset classes, 42.5% of the portfolio is invested in Government securities, 21.5% in sub-sovereigns, supra-nationals and agencies (SSA) and 25.5% in covered bonds while only 10.5% in bonds issued by corporates and financial institutions (other than covered bonds).
Figure: Portfolio exposure by asset class and rating
4.2KEY RISK CHARACTERISTICS OF THE PORTFOLIO
Market Risk
Market risk is, inter alia, assessed by way of calculating the duration 1 of the portfolio.
At the end of December 2017, the portfolio had a duration of 3.47 years.
Currency risk and hedging activities
USD investments represented 18% of the portfolio market value at the end of 2017. 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 (0.07% at 1-year).
Liquidity characteristics of the portfolio
About 16% 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.
Duration figures refer to 'modified duration' which measures the price sensitivity of a bond to interest rate movements.