AFD // 2021 Universal Registration Document

CONSOLIDATED FINANCIAL STATEMENTS Notes to the consolidated financial statements

6.2.4 Notes to the fi nancial statements at 31 ɸ December 2021 6.2.4.1 Notes to the balance sheet

NOTE 1 Financial assets and liabilities at fair value through profit and loss

31/12/2021

31/12/2020

Notional/ Outstanding

Notional/ Outstanding

Notes

Assets Liabilities

Assets Liabilities

In thousands of euros

Interest rate derivatives

1.1 1.1

604

5,898 457,586

353

10,955 408,825

Foreign exchange derivatives

51,909 197,901 4,073,655 170,929 238,004 4,740,971

Derivatives at fair value through profit and loss Loans and securities that do not meet SPPI criteria

74,804

54,384 983,927 128,158

36,597 1,090,076

1.2 2,428,459

2,462,188 2,329,084

2,390,826

CVA/DVA

28

1,810

-

15

1,612

-

TOTAL

2,555,803 259,993 7,977,355 2,628,539 287,169 8,630,698

Under IFRS, a derivative is always presumed to be held for trading, unless there is documented evidence of the hedging intention and the derivative is eligible for hedge accounting. At AFD, this category covers the hedging instruments not eligible for hedge accounting or so-called “natural” exchange rate hedging.

Note ɸ 1.1 Foreign exchange and interest rate derivatives

Foreign exchange and interest rate derivatives are measured at fair value through profit and loss and are therefore treated as financial assets held for trading.

Note ɸ 1.2 Loans and securities that do not meet SPPI criteria

Notional/ Outstanding 31/12/2020

Notional/ Outstanding

Notes

31/12/2021

In thousands of euros

Loans to credit institutions

1.2.1 456,066 474,854 437,597 453,225

6

Performing loans

455,621

454,685 20,169

436,718

434,765 18,460

Non-performing loans Loans to customers

455

879

1.2.1 586,407 612,770 724,000 721,903

Performing loans

573,694 12 713

563,831 48,939

718,339

690,426 31,478

Non-performing loans

5,661

Title

1,385,986 1,374,563 1,167,487 1,215,699

Bonds and other fixed-income securities

1.2.2

19,058 55,437

24,259 41,033

39,474 54,521

38,900 41,044

UCITS

Equity investments and ɸ other long-term securities Of which equity investments held in investment funds Of which equity investments held directly with a put option

1.2.3 1,311,491 1,309,271 1,073,492 1,135,754

1,159,296 1,190,817

949,287 1,034,222

152,195

118,454

124,205

101,533

TOTAL

2,428,459 2,462,188 2,329,084 2,390,826

145

2021 UNIVERSAL REGISTRATION DOCUMENT