AFD - 2019 Universal registration document

RISK MANAGEMENT 4 Basel III Pillar 3

4.2.3.2 Capital adequacy AFD easily meets the minimum capital requirements set out in Pillar 1, with a capital adequacy ratio of 16.75% at 31 Ǿ December Ǿ 2019, down on 2018 when it was 18.37%. ❙ Consolidated AFD capital adequacy ratio at 31/12/2019

Capital requirements

RWA

In millions of euros

Credit risk (CAD)

38,205

3,056

Equity stakes and other long-term securities

2,825

226

TOTAL CREDIT RISK

41,029

3,282

DVA

2,126 1,418

170 113

Operational risk

Market risk

58

0

Total RWA excluding market risk

44,573

3,566 7,466

Regulatory capital SOLVENCY RATIO

16.75% Under Pillar 2, AFD began its Internal Capital Adequacy Assessment Process (ICAAP) in November Ǿ 2016. Supported by a firm of consultants and involving teams from the departments concerned, several workshops were held in late 2016 and in the first quarter of 2017 to finalise the definition, approach, methodology and results of the calculations relating to material risks and to formalise the planning and capital allocation process. The formalisation of this first ICAAP was approved by AFD’s Board of Directors in April Ǿ 2017. Work continued in 2019 for a 4-year period. ❙ Capital adequacy

In millions of euros Total capital CET1 capital Tier b 1 capital Tier b 2 capital Eligible capital

7,466

6,178 7,018

448

3,566

Credit risk

3,282 1,759

Governments and central banks

Banks

618 672 232 170

Corporates

Equities

DVA

Market risk

0

Foreign currency net position < Ǿ 2% of capital

-

Operational risk

113 113

Standard approach to operational risk

Capital surplus or deficit

3,900

Solvency ratio

16.75%

86

UNIVERSAL REGISTRATION DOCUMENT 2019

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