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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