SFIL Annual financial report 2018

3 I Consolidated financial statements in accordance with IFRS 100 SFIL Annual Financial Report 2018 7.3.2. Evaluation of asset credit quality SFIL Group decided to use the advanced method recommended by the regulators in relation to the Basel III reforms on the capi- tal adequacy ratio and capital requirements. SFIL Group has developed internal rating models covering the main client segments. These models were validated by the banking supervisors who authorized the Group to use these advanced internal models. This enables SFIL Group to present on December 31, 2018, an analysis of its exposures, broken down by risk weighting, as used to calculate equity requirements. Credit weighting is mainly calculated on the basis of the probability of default of the counterparty and of the loss incurred in the event of default. This analysis confirms the excellent quality of the assets in SFIL’s portfolio. More than 76% of the portfolio has a weighting of less than 5% and more than 96% of the portfolio has a weighting that is less than or equal to 20%. Risk weighting (Basel III) from 0 to 5% from 5% to 20% from 20% to 50% more than 50% Total Loans at fair value through net income 5,071 576 - 192 5,839 Bonds at fair value through equity 233 948 382 - 1,563 Hedging derivatives 1,535 51 485 46 2,117 Loans and advances at amortized cost 41,767 6,424 101 739 49,031 Bonds at amortized cost 1,731 6,808 426 851 9,816 Financing commitments on loans 6,312 - - - 6,312 TOTAL EXPOSURE 56,649 14,807 1,394 1,828 74,678 SHARE OF TOTAL EXPOSURE 75.90% 19.80% 1.90% 2.40% 100.00% Certain exposures do not yet benefit from an internal evaluation system validated by banking supervisors; in this case, their weighting is the one in the standard method, which is, for example, 20% for local governments. 7.4 - LIQUIDITY RISK: ANALYSIS BY TERM TO MATURITY 7.4.1. Breakdown of assets 12/31/2018 Sight Less than 3 months 3 months to 1 year 1 to 5 years More than 5 years No fixed maturity Total broken down Central banks 1,927 - - - - - 1,927 Financial assets at fair value through net income - 162 341 1,433 2,884 - 4,820 Hedging derivatives - - - - - - - Financial assets available for sale - - - - - - - Financial assets at fair value through equity - 140 705 614 100 - 1,560 Loans and advances due from banks at amortized cost 7 12 5 31 184 - 239 Loans and advances to customers at amortized cost 7 1,143 2,875 13,886 24,356 - 42,267 Bonds at amortized cost - 496 991 2,971 3,784 - 8,242 Tangible assets - - - - 11 - 11 Fair value revaluation of portfolio hedge - - - - - - - Intangible assets - - - - 52 - 52 Tax assets - - 80 - - - 80 Accruals and other assets - 2,137 15 - 80 - 2,232 TOTAL 1,941 4,090 5,012 18,935 31,451 - 61,430 12/31/2018 Total broken down Accrued interest Fair value adjustment Impairment Total Central banks 1,927 - - 1,927 Financial assets at fair value through net income 4,820 79 687 5,586 Hedging derivatives - 530 3,885 - 4,415 Financial assets available for sale - - - - - Financial assets at fair value through equity 1,560 - 4 - 1,563 Loans and advances due from banks at amortized cost 239 - - - 239 Loans and advances to customers at amortized cost 42,267 494 2,006 (60) 44,706 Bonds at amortized cost 8,242 81 1,062 - 9,384 Fair value revaluation of portfolio hedge - - 2,552 - 2,552 Tangible assets 11 - - (5) 6 Intangible assets 52 - - (19) 33 Tax assets 80 - - - 80 Accruals and other assets 2,232 (1) - - 2,231 TOTAL 61,430 1,183 10,196 (84) 72,722