AFD - 2018 Registration document

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RISK MANAGEMENT

Basel III Pillar 3

❙ 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

390

392

-392 -594

0

Corporates Institutions

1,515

1,610

1,016

204

204

-8

196

Public sector entities

0

0

0

0

Local and regional governments

1,051 3,161

1,190 3,397

-191

998

TOTAL

-1,186

2,210

❙ 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 Net weighted exposure covered by a guarantee After conversion factor

Net weighted exposure after

Mitigating techniques (guarantees)

mitigating techniques

In millions of euros

Governments and central banks

0

0

0

0

0

Corporates Institutions

203

101

101

-28

73

34

17

17

-8

8 0

Local and regional governments

0

0

0

0

GRAND TOTAL

236

118

118

-37

82

4.2.5.1.4 Counterparty risk Counterparty risk relating to financial activities

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. 4.2.5.1.5 Securitisation AFD has no securitisation activity.

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.

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www.afd.fr

REGISTRATION DOCUMENT 2018

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