AFD // 2021 Universal Registration Document

RISK MANAGEMENT Basel III Pillar 3

Similarly, the following table breaks down the various items making up the derivatives heading presented in Notes ɸ 1.1 and ɸ 2.1 to the financial statements: ❙ Derivatives

31/12/2021 IFRS

31/12/2020 IFRS

Assets

Assets

In thousands of euros

Fair value hedging Interest rate derivatives

1,526,512

2,400,454

Interest rate and foreign exchange derivatives (cross-currency swaps)

476,531

493,018

Total ɸ 1

2,003,043

2,893,471

Financial assets at fair value Interest rate derivatives Foreign exchange derivatives

604

353

51,909 74,804

170,929 128,158

Derivatives at fair value through profit and loss

CVA/DVA

28

15

Total ɸ 2

127,344

299,455

TOTAL DERIVATIVES

2,130,387

3,192,927

4

All derivative transactions are carried out with credit institutions in OECD countries. The off-balance sheet commitments given consist of financing commitments related to undisbursed amounts under signed loan agreements and guarantees. ❙ Off-balance sheet – commitments given (financing and guarantees) according to counterparty type

31/12/2021 1,850,484 15,213,849 17,064,334

31/12/2020 2,148,651 13,485,720 15,634,371

In thousands of euros

Financing commitments made to credit institutions Financing commitments made to customers

Subtotal financing commitments

Guarantee commitments made to credit institutions Guarantee commitments made to customers

141,783 824,959 966,741

116,498 534,817 651,315

Subtotal guarantee commitments

At 31 ɸ December 2021, the off-balance sheet items relating to sovereign outstandings amounted to €13,159M and off-balance sheet outstanding loans at State risk amounted to €56M.

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2021 UNIVERSAL REGISTRATION DOCUMENT