AFD_REGISTRATION_DOCUMENT_2017

RISK MANAGEMENT

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BaselbIII pillarb3

BALANCE SHEET EXPOSURE TO CREDIT RISK COVERED BY ELIGIBLE PERSONAL SURETIES (GUARANTEES)

Net weighted exposure after

Net unweighted exposure covered by a guarantee

Net weighted exposure covered by a guarantee

Mitigating techniques (guarantees)

mitigating techniques

In millions of euros

Governments and central banks

565

565

-b565 -b549

0

Corporates Institutions

1b523

1b565

1b015

209

209

-b4

205

Public sector entities

1

1

0

1

Local and regional governments

1b072

1b071

-b59

1b034

OFF-BALANCE SHEET EXPOSURE TO CREDIT RISK COVERED BY ELIGIBLE PERSONAL SURETIES (GUARANTEES)

Net unweighted exposure covered by a guarantee Before conversion factor

Net unweighted exposure covered by a guarantee After conversion factor

Net weighted exposure covered by a guarantee

Net weighted exposure after

Mitigating techniques (guarantees)

mitigating techniques

In millions of euros

Governments and central banks

364

184

184

-b27 -b12

157

Corporates Institutions

46 20

23 10

23 10

12 10

0

Local and regional governments

431 861

217 434

217 434

-b38 -b76

179 357

GRAND TOTAL

4.2.4.1.4 Counterparty risk Counterparty risk relating to financial activities

The Group’s overall net foreign-currency position subject to capital requirements at 31 December 2017bis €91M, primarily in dollars. It does not exceed the threshold of 2% of capital. 4.2.4.3 Operational risk Operational risk management within AFD Group (identifying and evaluating risks, rating risk management data, reporting, procedure for declaring operational incidents) is described in detail in Chapterb4.3.1 “Internal control and risk monitoring”. The measurement and management of operational risk is incorporated in the permanent control system. Operational risk assessment When calculating its regulatory capital requirements for operational risk, AFD Group uses the basic method, which relies on the basic indicator as defined in Articleb316bof EU Regulation 575/2013 on prudential requirements for credit institutions and investment firms. Under the basic method, capital requirements for operational risk are equal to 15% of the average of the basic indicator (net banking income, excluding provisions and

AFD uses derivatives to hedge interest rate and foreign exchange risks (see derivative exposure table above). Transactions are limited to counterparties that have signed framework agreements with French (AFB or FBF) or international (ISDA) bodies. AFD renegotiated collateral contracts with almost all of its active counterparties. These contracts are activated with no regard to rating and are triggered immediately and with no deductible upon reaching a certain threshold. AFD does not carry out credit derivative transactions. Limit system Counterparty risk on financial instruments is managed using a set of limits and management rules whose principles and main characteristics are set by the Board of Directors. The unitary approval limit is set for a counterparty based on the counterparty’s type, rating, capital and AFD’s capital. 4.2.4.1.5 Securitisation AFD has no securitisation activity. 4.2.4.2 Foreign exchange and market risk AFD does not have a speculative operations portfolio. However, it records in its trading book any non-deliverable or illiquid currency hedging instruments, forward hedging instruments and/or hedging instruments that have lost their hedging purpose. AFD’s positions were below the thresholds applicable to capital requirements for market risk.

impairments) smoothed over three years. Capital requirements for operational risk

AFD’s average NBI stood at €708M for the last three financial years including 2016, and capital requirements for operational risk totalled €106M at 31 December 2017.

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REGISTRATION DOCUMENT 2017

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