SFIL Annual financial report 2018

3 I Consolidated financial statements in accordance with IFRS 102 SFIL Annual Financial Report 2018 7.5 - CURRENCY RISK Classification by original currency 12/31/2017 EUR Other EU currencies USD Other currencies Total Total assets 69,202 1,380 1,263 587 72,432 Total liabilities 69,202 1,380 1,263 587 72,432 NET BALANCE SHEET POSITION - - - - - Classification by original currency 12/31/2018 EUR Other EU currencies USD Other currencies Total Total assets 69,198 989 1,991 544 72,722 Total liabilities 69,198 989 1,991 544 72,722 NET BALANCE SHEET POSITION - - - - - 7.6 - SENSITIVITY TO INTEREST RATE RISK The policy applied by the SFIL Group makes it possible to be protected from interest rate risk. For CAFFIL: •  In the first step, all the assets and the liabilities benefiting from the priviliege which do not naturally have a foating rate are hedged against Euribor until maturity as soon as they are recorded on the balance sheet. In practice, acquisitions of loan portfolios (in which the unit amount is generally small) are usually macro-hedged. Loans granted individually or bond issues can be micro- or macro-hedged. Hedging of assets and liabilities is more often obtained in using new interest rate swaps, but the same effect can also be obtained whenever possible by the cancelation of swaps of opposite direction; •  In the second step, macro-swaps are conducted against Eonia over a maximum period of two years in order to limit the volatility of income linked to the fixing risk (owing to refixing dates based on different reference indices in the assets and the liabilities). The residual risk is managed through macro-hedges with a management horizon of one week. For SFIL, parent company, the strategy is a perfect micro hedge of interest rate risk, using swaps conducted against Eonia, or by a natural hedge using assets and liabilities using the same index, or in the credit export activity using the mechanism of the stabilization process. At the end, there is no rate risk at SFIL level. The sensitivity of residual positions that remain after the first stage and after the second level of hedges is monitored carefully and kept within strict limits. The set of limits on interest rate risk guarantees, with 99% probability, a maximum one year loss of less than EUR 80 million in the event of a major change in interest rates (translations, sloping or rotation). This calibration is based on a directional shift in rates corresponding to the 1% at one-year decile observed over the period 2005-2015. A set of three limits makes it possible to have a grasp of the slope risk, as well as the directional risk. The measures of sensitivity at the end of quarters for a change of 100 bp in interest rates are presented below: Directional risk Total sensitivity EUR millions Limit 3/31/2018 6/30/2018 9/30/2018 12/31/2018 Sensitivity 25/(25) (1.5) 1.7 (2.0) 0.9 Risk of slope between two distant points on the rate curve EUR millions Limit 3/31/2018 6/30/2018 9/30/2018 12/31/2018 Short term 10/(10) (7.1) (4.3) (5.5) (5.8) Medium term 10/(10) (2.1) (1.0) (4.9) 0 Long term 10/(10) 5.6 4.6 4.6 2.5 Very long term 10/(10) 2.0 2.4 3.8 4.3