AFD // 2021 Universal Registration Document

CONSOLIDATED FINANCIAL STATEMENTS 6 Notes to the consolidated financial statements

Exposure to credit risk: change in the carrying amounts and value adjustments for losses over the period Value adjustments for losses correspond to impairment on assets and provisions on off-balance sheet commitments recognised in net income (“Cost of risk”) in respect of the credit risk.

Stage ɸ 1

Stage ɸ 2

Stage ɸ 3

Total

Provisions at 31/12/2020

13,293,831 7,312,369

477,298,691 21,274,036 -7,758,738 -39,940,724 4,425,730 7,803,528

561,967,438 1,052,559,960

New signatures Extinct exposures Change in exposure

28,586,405 -81,319,440 -37,656,383 18,445,810

-102,546 -167,837

-73,458,156 2,452,179 27,551,318 -9,227,711 -10,608,750

Stage change

-13,531,238

Other (including changes in parameters)

997,331

-426,852

IFRS restatements

-

-

-10,608,750

Total change in operating provisions

-5,491,920 -14,196,169 -63,291,120 -82,979,209

TOTAL CHANGE IN EXCEPTIONAL PROVISIONS PROVISIONS AT 31/12/2021 ACTIVITY + ɸ PARAMETERS + ɸ EXCEPTIONAL PROVISIONS

13,273,598 -65,834,144

-

-52,560,546

66,822,284 462,949,874 498,676,318 1,028,448,476

6.2.5.2 Liquidity risk The notion of liquidity refers to the company’s ability to finance new assets and meet obligations as they mature. Liquidity must enable the Group to meet its commitments, including under adverse circumstances (crisis, financial market tensions, ɸ etc.). The AFD Group, including its Proparco subsidiary, does not receive deposits or repayable funds from the public. Its financing model is mainly based on medium- and long-term market borrowings; liquidity is given high priority in light of the Group’s performance target, which entails controlling the financing cost and minimising the cost of carry. This model reflects the Agency’s aversion to refinancing risk and liquidity risk, which are monitored as part of asset and liability management for both AFD and Proparco. The Group’s risk appetite framework primarily uses two indicators to monitor liquidity risk: P the standard liquidity indicator, which enables the Group to measure the time horizon over which it will be able to meet its commitments without raising new resources. The target value of this indicator is between 9 ɸ and 12 ɸ months;

P the liquidity coefficient: this is a regulatory indicator (order of 5 ɸ May 2009) reported on a quarterly basis. It is the ratio of liquidities (available resources) against payables (commitments to be met) at one month. It determines AFD’s ability to mobilise the necessary resources to meet its immediate commitments. This indicator must be greater than 100%. AFD has a Euro Medium Term Notes (EMTN) programme for not more than €50,000M enabling it to complete financing transactions with fewer financial disclosure requirements. Short term liquidity risk prevention relies on a programme of short term Negotiable European Commercial Papers (“NEU ɸ CPs”) amounting to €4,000M. There is also a €2,000M programme of Negotiable European Medium-Term Notes (“NEU ɸ MTNs”). AFD also has a portfolio of high quality bonds, which constitutes a liquidity reserve that can be mobilised through market repurchase agreements. The notional amount outstanding of these portfolios amounted to €1,461M at 31 ɸ December 2021. The liquidity risk measuring and monitoring system includes both regulatory ratios and internal indicators. The various liquidity risk measuring and monitoring indicators reveal very moderate exposure to liquidity risk.

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2021 UNIVERSAL REGISTRATION DOCUMENT