AFD - 2019 Universal registration document

CONSOLIDATED FINANCIAL STATEMENTS PREPARED IN ACCORDANCE WITH IFRS 6 Notes to the consolidated financial statements

❙ Table 1: Summary of AFD’s limits and alert indicators for large exposures (sovereign + related) Unless otherwise indicated, the percentages apply to large exposure capital (FPGR).

Limit system

Regulatory requirements

Internal requirements

Alert system

Type of exposure/Outstandings considered

Authorised and unauthorised exposure and new approvals 23% or 24%* -> an alert is given to the BoD 21% -> an alert is given to the Executive Committee

Authorised exposure

Authorised exposure

“Large exposure” limit**

Ceiling: 25% Reporting as “large exposure” when exposure exceeds 10%

23% or 24%* of exposure

* if all exposures are euro-denominated. ** with the fi rst public NS group attached to the central government. ❙ Table 2: Summary of AFD’s limits and alert indicators for non-sovereign activity

Limit system Alert system Regulatory requirements Internal requirements Authorised exposure Authorised exposure Authorised and

Type of exposure/Outstandings considered

unauthorised exposure and new approvals 30% of exposure -> an alert is given to the BoD 25% of exposure -> an alert is given to the Executive Committee

Monitoring of non-sovereign activity

Regional limits***

30% of FPGR

Limit by counterparty (and counterparty group)

Ceiling: 25% Reporting as “large exposure” when exposure exceeds 10%

8% of weighted risk for an individual counterparty 12% for a counterparty group, calculated based on FPGR 15% of sovereign and non-sovereign expo. to gross risk

Monitoring of overall activity by region

*** without the 1 st Ǿ public NS group attached to the central government

Large exposure limit The “large exposure” regulatory limit defines the aggregate maximum authorised exposure to third parties or groups of connected third parties as 25% of eligible capital. Based on consolidated capital of €7,466M at 31 Ǿ December Ǿ 2019, the regulatory limit for large exposures is €1,866M. The default internal limit is 23% (€1,717M). If all exposures are euro- denominated, the internal limit increases to 24% (€1,792M). Large exposures correspond to authorised exposures exceeding 10% of capital. The list at 31 Ǿ December Ǿ 2019 includes exposures on (i) Ǿ 17 central governments (with related public entities, where applicable) and (ii) Ǿ two banks based in France. The security of large exposure report production is ensured through close monitoring of approvals and unauthorised exposures. Special attention is also given to controls of groups of related customers.

Within the Executive Risk Department (DXR), the Risk Monitoring (DSR) division is responsible for monitoring credit risk and limits for the AFD Group. To this end, the dedicated Group Risk Monitoring and Reporting (SRG) division creates the database that is used to calculate the large exposures reported quarterly and to monitor the limits set by the Board of Directors. SRG is responsible for preparing the pre-approval box that is inserted for each exposure into the memoranda submitted to AFD’s decision-making bodies, thereby ensuring continuous monitoring of large exposures and credit limits. Compliance with limit and large exposure thresholds is also reviewed quarterly by the Counterparty Risk Committee (CORIS), of which Senior Management is a permanent member, and every six months by the Group Risk Committee.

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UNIVERSAL REGISTRATION DOCUMENT 2019

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