AFD - 2019 Universal registration document

AFD’S ANNUAL FINANCIAL STATEMENTS 7

Notes to the financial statements at 31 December 2019

NOTE 32 Other off-balance sheet commitments

December b 2019

December b 2018

In thousands of euros

Guarantee commitments received from the French State on loans Guarantee commitments received from credit institutions

4,645,686

4,128,610

290,861 30,834 84,386

332,990 23,480 167,478

Guarantee commitments made to credit institutions Guarantee commitments given on securities Guarantee commitments made to customers

2,517,515

2,327,416

NOTE 33 Commitments on forward financial instruments excluding IMF transactions (1)

December b 2019

December b 2018

In thousands of euros

notional

value (2)

notional

value (2)

Outright transactions Interest rate swaps (hedging transactions) Currency swaps (hedging transactions)

-41,974,188 32,689,252 16,351,938 16,337,314

749,903 -139,671

-36,060,958 31,556,417 15,847,114 15,709,303

425,429 114,153

Commitments received Commitments given

Other instruments (hedging transactions) Options

-285,556

375

-337,587

1,701

(1) This information does not appear in the publishable off-balance sheet. (2) The value of these fi nancial instruments was established with reference to market value.

Total 2019

Less than 1 b year From 1 to 5 b years More than 5 b years

In thousands of euros

Outright, micro-hedge and OTCmarket transactions Interest rate swaps

1,127,500 6,754,850 3,448,372 3,306,478

12,257,268 10,608,557 5,334,779 5,273,778

28,589,420 15,325,845 7,568,787 7,757,058

41,974,188 32,689,252 16,351,938 16,337,314

Currency swaps

Commitments received Commitments given

Options

0

57,613

227,942

285,556

NOTE34 Valuationof forwardfinancial instruments excluding IMF transactionsby issuer rating (1)

December 2019 Value (2)

December 2018 Value (2)

Banking counterparty rating

AAA

-

-

AA

60,777 784,645

118,669 581,647 127,319

A

BBB

4,306 -1,015

NR

-2,551

TOTAL 825,084 (1) Counterparty risk on derivatives related to the fi nancing of IMF transactions is covered by the overall guarantee granted to AFD by the French State for this purpose. (2) Replacement cost is represented by the net gain on market values, including accrued interest. If the balance is negative, the cost is zero. 848,714

196

UNIVERSAL REGISTRATION DOCUMENT 2019

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