SFIL Annual financial report 2018

Management report I 1 25 Annual Financial Report 2018 SFIL Management report Report on corporate governance Consolidated financial statements in accordance with IFRS Annual financial statements in accordance with French GAAP Shareholders’ Meeting of May 29, 2019 General information To control their liquidity risk, SFIL and CAFFIL mainly rely on static, dynamic and stressed liquidity projections to ensure that the liquidity reserves they have in the short and long term will enable them to meet their commitments. The Group’s liquidity risk is also subject to compliance with regulatory liquidity ratios and internal liquidity indicators. It should be noted that as a société de crédit foncier (SCF), CAFFIL must comply with specific regulatory indicators. Liquidity risk is controlled by monitoring and managing the following indicators: •  Regulatory indicators specific to SCFs: –– the regulatory coverage ratio (or over-collateralization ratio): this represents the ratio between assets and lia‑ bilities benefiting from the legal privilege under the law on SCFs, and must be at least 105%; –– forecast cash needs at 180 days: CAFFIL ensures that, at all times, its cash needs over a period of 180 days are covered by replacement assets and ECB-eligible assets; –– the maximum gap of 1.5 years between the average maturity of debt benefiting from the legal privilege and that of assets eligible to make up the minimum amount necessary to meet the regulatory coverage ratio. •  Regulatory liquidity indicators applicable to credit institutions: –– in particular the liquidity coverage ratio (LCR): as of December 31, 2018, CAFFIL’s LCR was 603% and SFIL’s 422%. •  the financing of liquidity requirements in connection with compliance with regulatory ratios; •  the financing of cash collateral paid on SFIL’s derivatives (EUR 2.2 billion). As of 31 December 2018, the sources of financing used other than the entity’s equity were as follows: •  debt benefiting from the legal privilege, i.e. the obligations foncières that CAFFIL issues (EUR 50.3 billion) and the cash collateral that it receives (EUR 0.5 billion); •  the financing provided by shareholders CDC and LBP the under the credit agreements implemented between them and SFIL in 2013 (EUR 1.9 billion); •  the negotiable debt securities issued by SFIL (EUR 5.5 billion). Furthermore, the SFIL Group has a number of assets held by CAFFIL or SFIL and eligible for the European Central Bank’s refinancing operations. These securities can be made available for ECB refinancing operations via the Banque de France. In addition to accessing central bank financing in its own name, CAFFIL can refinance certain of its assets by using interbank financing in the form of repurchase agree‑ ments. There were no transactions of this type in 2018. Since the first half of 2017, SFIL has had the additional role of refinancing export credit transactions, for which CAFFIL provides it with liquidity by issuing obligations foncières . Coverage of liquidity needs over 180 days: EUR billions Cumulative liquidity need (+) / surplus (-) over 180days Assets eligible for the Banque de France refinancing, after haircut, respecting a 5% over-collateralization calculed on a regulatory basis including cash surplus –2 –3 –1 0 2 1 4 3 5 J0 J10 J20 J30 J40 J50 J70 J80 J60 J90 J100 J110 J120 J130 J140 J150 J160 J170 J180 Gap between the average maturity of assets and liabilities: 0.31 years.