AFD - 2018 Registration document

RISK MANAGEMENT

Basel III Pillar 3

❙ Consolidated AFD capital adequacy ratio at 31/12/2018 (inmillions of euros)

Capital requirements

RWA

In millions of euros Credit risk (CAD)

33,687

2,694

Equity stakes

2,263

181

TOTAL CREDIT RISK

35,951

2,876

DVA

1,612 1,355

129 108

Operational risk

Market risk

161

12

Total RWA excluding market risk

39,080

3,126 7,179

Regulatory capital SOLVENCY RATIO

18.37 %

4.2.5 Risk exposure and evaluation procedures 4.2.5.1 Credit risk 4.2.5.1.1 General information Exposure to credit risk includes balance sheet risk, notably exposure to loans, equity investments, financial instruments and derivatives, as well as off-balance sheet exposures (financing commitments and guarantees given). Regarding risk stemming from loans, exposures that are in arrears, i.e. primarily loan risk, are monitored in the information system and are automatically downgraded as doubtful loans, in accordance with arrears rules defined by the regulations, and impairments are recorded. The approaches adopted for specific and general provisions and impairments are presented in Paragraph 6.2.3.2 of the consolidated financial statements. Ratings are reviewed on a periodic basis to ensure individual monitoring of counterparties.

4.2.4.3 Basel III ratios Because AFD does not hold speculative positions, market risk is limited to foreign-exchange risk. This year, the capital requirement is €13M (see Regulation (EU) no. 575/2013 on capital adequacy with regard to the market). AFD meets the minimum capital requirements with a capital adequacy ratio of 18.37%, compared with 16.44% at 31 December 2017. 4.2.4.4 Leverage ratio Since AFD’s status was changed to that of a «financing company» in 2017, it is no longer subject to this.

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REGISTRATION DOCUMENT 2018