AFD // 2021 Universal Registration Document

CONSOLIDATED FINANCIAL STATEMENTS Notes to the consolidated financial statements

P downgrading of the counterparty’s internal rating between the state at inception of the contract and the current state, P placement of the counterparty under supervision, P 30 ɸ days past due; P stage ɸ 3: this category includes non-performing loans, i.e. outstandings (balance sheet and off-balance sheet) of third parties with: P significant arrears exceeding 90 ɸ days (180 ɸ days for local authorities); a significant unpaid rent is determined by the following two cumulative criteria: P the sum of unpaid loans on all credit obligations exceeds €500, P the sumof arrears on all credit obligations is greater than 1% of all credit obligations of the third party (excluding the balance to be paid and equity investments); P proven credit risk, P a restructured (“forborne”) credit which is more than 30 ɸ days past due and/or a second forbearance during the probation period. The doubtful nature is applied to all exposures to the third party concerned, according to the contagion principle. A new definition of doubtful sovereign loans was validated in 2021, resulting in a breakdown of doubtful sovereign loans into three sub-classes: P CR6a = ɸ doubtful with proven credit risk, classification based on the occurrence of a significant adverse event or an alert signal; P CR6b = ɸ simple doubtful with automatic classification in the event of material arrears of more than 3 ɸ months; P CR6c = ɸ doubtful including in the event of arrears of more than 15 ɸ months (3 ɸ months + ɸ 1 ɸ year). Estimates of impairments and provisions The model used to estimate credit losses varies depending on the stage to which the outstanding amount relates and the type of outstanding amount involved. Impairment and provisions are calculated for non-sovereign loans issued by AFD, debt securities, financial guarantees and undisbursed balances that

have been authorised (by identifying a conversion factor and estimating early repayment). For stage ɸ 1 loans, provisions are based on the calculation of the expected loss at one year, which takes into account the probability of default (which varies in particular according to the credit rating), the loss in the event of default, and exposure at default (varying according to the residual maturity and the conversion factor for off-balance sheet exposures). For loans in stage ɸ 2, individual impairments or provisions are determined using the same calculation methodology, but based on a calculation at maturity (instead of after one year). Provisions and impairments are calculated quarterly by the Risk Monitoring Division. They are subject to a control plan and an analysis of changes. At 31 ɸ December 2021, the Group’s collective provisions amounted to €529.7M. In the context of the Covid-19 crisis, AFD decided to maintain two exceptional provisions in 2021 to cover potential risks: P in the aviation and tourism sectors particularly affected by this crisis; P on the ARIZ portfolio of guarantees, which benefit small and medium-sized companies sensitive to the deterioration of the economic environment. This provision was calculated on the basis of a rating downgrade of the performing counterparties concerned compared to their rating observed at 31 ɸ December 2021. At Group level, these two provisions amounted to €91.4M as at 31 ɸ December 2021 (including €69.1M for the aviation and tourism sectors and €22.3M for the ARIZ guarantee portfolio). Maximum credit risk exposure In total, gross consolidated outstandings under Group risk exposure amounted to €41.4bn at 31 ɸ December 2021 (compared with €36.1bn at 31 ɸ December 2020), of which €35.3bn in foreign countries and €6.1bn in French Overseas Departments and Collectivities. The parent company bears most of the Group’s credit risk (€38bn, i.e. 92% of outstanding loans). The AFD Group’s non-performing loans amounted to €1.7bn at 31 ɸ December 2020, of which €569M in non-performing sovereign loans and €1.1bn in non-sovereign non-performing loans. Non-sovereign non-performing loans are covered by impairments and provisions totalling €0.5bn, equivalent to a coverage ratio of 44.7%.

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❙ Age of arrears The age of arrears on AFD loans and receivables at the closing date breaks down as follows:

31/12/2021

In thousands of euros

AFD non-sovereign (excluding sub-inv.) Proparco (excluding sub-inv.) Sub-investments (AFD side) Sub-investments (Proparco side)

119,196 67,209

8,014

11,036 205,455

167

2021 UNIVERSAL REGISTRATION DOCUMENT