This week's show features an interview with Estonia's President Kersti Kaljulaid, the first head of state to appear on the podcast.

Kaljulaid explains why Estonia wants to pay more to the EU, reveals a promise Jean-Claude Juncker made to her about the post-Brexit EU budget and talks about how Estonia is struggling with Russia's turn to militarism.

POLITICO Managing Editor Florian Eder joins us to preview the World Economic Forum in Davos January 22-26.

Sign up to POLITICO's daily Davos Playbook coming out next week. And listen out for our daily pop-up Davos Confidential podcasts, which will be on the same feed as EU Confidential.

With our podcast panel, we launch a new feature: MEP of the Week. We draw MEP names out of a box and see whether the panel knows who they are or what they've achieved.

Some more highlights from our interview with Kaljulaid...

Estonia ready to pay more to EU budget: "I'm hoping for a lot of change because we have lots of common, supranational goals which we need to develop," Kaljulaid said.

Juncker's promise to the Baltics — No Brexit black hole: Kaljulaid spoke to EU Confidential directly after meeting European Commission President Jean-Claude Juncker. She said Juncker promised that the financing of projects like the high-speed Rail Baltic project would not be affected by Brexit.

Estonia's place in the world: “Fully intertwined with Nordic economies … We stand on the liberal Democratic value base.”

On Russia: “I want to set one thing straight ... We definitely thought that Russia will undertake exactly the same development path to democratic nations as we ourselves were undertaking … We definitely didn't want it to turn out this way and we are definitely in no way benefiting from the fact that it turned out this way,” Kaljulaid said.

Data is Estonia’s designated survivor: Asked about Estonia’s plans for coping with an invasion or top-level threat, Kaljulaid focused on the country’s data embassy (essentially its data back-up) in Luxembourg as proof of how ready it is to cope with all scenarios. “This is something which I would advocate every country do," she said.

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