AFD // 2021 Universal Registration Document

CONSOLIDATED FINANCIAL STATEMENTS Notes to the consolidated financial statements

❙ Investments in unconsolidated structured entities – Risk exposure and dividends received

31/12/2021

31/12/2020

Financial assets at fair value through profit or loss

Financial assets at fair value through profit or loss

Dividends received over the year

Dividends received over the year

Maximum exposure

Maximum exposure

In thousands of euros

Homogeneous portfolios Agribusiness

39,100 33,844 74,720 73,598 89,578 343,330 505,126 -

39,100 33,844 74,720 73,598 89,578 343,330 505,126 -

- -

40,392 35,668 58,933 61,952 40,052 230,197 482,002 91

40,392 35,668 58,933 61,952 40,052 230,197 482,002 91

6

Energy

-

Infrastructure

11

11

Mining

- - -

- - -

Multi-sector SME-SMI

Healthcare

Financial services

3,214

3,854

Multi-sector

377

264

UNCONSOLIDATED STRUCTURED ENTITIES – INVESTMENT FUNDS 1,159,296 1,159,296

3,603

949,287 949,287

4,135

Bearing in mind the type of interests, maximum exposure to loss is defined in this note as the fair value of the investment fund presented on the balance sheet as of the closing date. This amount includes financing commitments that have not yet been disbursed. Furthermore, the Group has not and does not offer financial support or other assistance to an unconsolidated structured entity outside of contractual obligations. The AFD Group does not act as a sponsor for structured entities. Sponsorship is assumed when AFD does not have or no longer has an ownership interest in an entity yet still provides this entity with both operational and strategic support.

Note ɸ 1.3 Equity instruments at fair value through pro fi t and loss Equity instruments measured at fair value through profit and loss correspond to investments held by AFD for which the classification at fair value through non-transferable shareholders’ equity has not been selected. The Group has opted for a classification at fair value through non transferable equity for its portfolio of direct equity investments without put options, which make up the majority of the Group’s equity instruments.

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NOTE 2 Financial hedging derivatives Note ɸ 2.1 Fair value hedging instruments

31/12/2021

31/12/2020

Carrying amount

Carrying amount

Assets Liabilities

Notional

In thousands of euros

Notional

Assets Liabilities

Fair value hedging Interest rate derivatives

1,526,512 958,749 54,268,105 2,400,454 1,265,603 49,211,444

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

476,531 568,496 11,534,129 493,018 615,720 10,113,105 2,003,043 1,527,245 65,802,234 2,893,471 1,881,323 59,324,549

TOTAL

147

2021 UNIVERSAL REGISTRATION DOCUMENT