Alert thresholds

Underlying Risk

Key risk indicator

Actual value

Previous value

Trend over the period

Normal situation

Alarming situation

Critical situation

Insufficient unbundling of tasks between approval, execution and recording of investment accounts

The number of anomalies detected by internal controllers, internal or external auditors, etc.)

0

1

≥2

Sub-optimized cash management: Surplus not invested, insufficient liquidity

Theoretical return of assets not invested

≤1% of the total investment returns

]1%; 5%[ of the total investment returns

≥5% of the total investment returns

Liquidity exceedance ratio

≤20% of the total securities portfolio

]20%; 25%[ of the total securities portfolio

≥25% of the total securities portfolio

Inaccurate asset valuation

The number of anomalies detected by internal controllers, internal or external auditors, market authority etc.)

0

1

≥2

Issuer risk: Overexposure to a given issuer

Issuer ratio

≤20% of the total securities portfolio

]20%; 25%[ of the total securities portfolio

≥25% of the total securities portfolio

Noncompliance with the pre-established investment policy

Yield spread between strategic portfolio and existing one

>0%

<0%

<−5%

Unfunded asset’s depreciation

The number of anomalies detected by internal controllers, internal or external auditors, market authority etc.)

0

1

≥2

Unrecorded depreciation value

≤1% of the securities portfolio

]1%; 3%[ of the securities portfolio

≥3% of the securities portfolio

Exceedance of the borrowing limit

Borrowing ratio

≤10% of the securities portfolio

]10%; 15%[ of the securities portfolio

≥15% of the securities portfolio