AFD // 2021 Universal Registration Document

RISK MANAGEMENT 4 Basel III Pillar 3

4.2.4.1.1.3 Amount of impaired receivables and provisions by major counterparty category and major geographic area Impaired loans and impairments recorded by counterparty category are presented in Note ɸ 5.2 to the financial statements “Receivables due from credit institutions and customers”. ❙ The Group’s loan portfolio in gross and net values, with impaired assets separated out

Outstandings net of impairments

Outstandings

Impairment

In millions of euros Foreign countries Sovereign of which doubtful

35,971

9 8

35,971

1,219

1,219

Non-sovereign

15,725

747 383

14,978

of which doubtful

927

544

French Overseas Departments and Collectivities Non-sovereign

6,370

173

6,197

of which doubtful

215

79

136

Other outstanding loans

25

0

25

TOTAL

58,092

928

57,164

of which doubtful

2,362

470

2,161

4.2.4.1.1.4 Reconciliation of changes in provisions for impaired receivables Note ɸ 9 “Provisions”, in the notes to the financial statements, outlines the changes for each category of provisions and impairments. 4.2.4.1.2 Credit risk: portfolios under the standard approach and regulatory weightings AFD chose the standardised method to calculate the risks used to determine the solvency ratio. The weightings applied depend on the ratings given to countries or entities by external bodies (Moody’s, FITCH and Standard & Poor’s) and to the type of counterparty (third-party asset class). As most of the non-sovereign counterparties do not have a rating from an external body, they are weighted at 100% or 150% for non-performing loans. The weightings applied by the Group for rated counterparties are as follows: ❙ Weighting used to calculate risks

Rating Asset class Sovereign

Lesser than or equal to CCC+ Not rated

AAA to AA-

A+ to A- BBB+ to BBB-

BB+ to BB-

B+ to B

0%

20% 50% 50%

50% 50%

100% 100% 100%

100% 100% 150%

150% 150% 150%

100% 100% 100%

Banks

20% 20%

Corporates

100%

The application of weightings to AFD’s credit risk results in the following weighted exposures: ❙ Group credit risk: portfolio subject to the standardised approach, by risk segment

Sovereigns and other institutions

Covered bonds

Banks Corporates

Equities

Total

Risk weighting

10% 20% 50%

20

20

857

721

18

1,597 4,136

2,655

1,477 7,192

1

4

100% 150% 250%

25,612

7,433 2,460

1,411

41,648

1,435

265

273 847 104

4,433

847 104

1250% TOTAL

30,559

9,655

9,911

20

2,639

52,784

102

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2021 UNIVERSAL REGISTRATION DOCUMENT