AFD // 2021 Universal Registration Document

CONSOLIDATED FINANCIAL STATEMENTS Notes to the consolidated financial statements

The statement of financial assets and liabilities by contractual maturity presents the maturity of financial liabilities at 31 ɸ December 2021.

Less than 3 ɸ months

From 3 ɸ months to 1 ɸ year

From 1 ɸ year to 5 ɸ years

More than 5 ɸ years

Carrying amount

Residual contractual maturities

Liabilities Financial liabilities at fair value through profit or loss Derivatives used for hedging purposes (liabilities) Financial liabilities measured at amortised cost

87

2,538 5,019

56,288

201,080

259,993

702

190,285 1,331,238 1,527,245

2,974,578 2,997,143 16,359,571 19,675,651 42,006,943

6.2.5.3 Foreign exchange risk The foreign exchange risk is the risk of losses on financial instruments and margins due to adverse changes in exchange rates. AFD’s general policy is to systematically hedge foreign currency loans through cross-currency swaps, which exchange future foreign currency cash flows for future euro cash flows. Financing transactions carried out in currencies other than the euro are also hedged using cross-currency swaps. As AFD does not hold speculative positions, market risk is limited to exchange rate risk, which is below the threshold for applying CRBF Regulation No. ɸ 95-02 on capital adequacy vis-à vis the market. Foreign exchange risk can be measured by analysing sensitivity: if foreign currencies appreciate against the euro by 10%, this has an estimated impact on income of -€4.5M (+€4.5M for a 10% decrease), the sensitivity to exchange rates mainly originating from the dollar. For information, the AFD Group applies an internal limit approved by the Board of Directors on 16 ɸ December 2021: individual currency exposure may not exceed 1.5% of the three-month average of regulatory capital, while aggregated exposure must remain below 3%. This internal policy keeps foreign exchange risk to a minimum (excluding ownership interests, provisions and arrears). Fair value hedging modifies the risk induced by the changes in fair value of a fixed-rate instrument caused by changes in interest rates. This hedging transforms fixed-rate assets and liabilities into variable-rate items. Fair value hedging notably includes the hedging of loans, securities, deposits and debts. In practice, the resources raised by AFD (fixed-rate bond issues) are not immediately “allocated” to the refinancing of loan transactions as part of the Resources with Ordinary Conditions regime. The resources raised initially increase the volume

of AFD’s cash invested at variable rates. In order to eliminate interest rate risk, at the same time as the bond issue is raised, AFD sets up an issue swap that makes the debt service variable over the total period of the loan. It is onlywhen the loans are effectively disbursed on an adjustable basis that the loans are allocated, for AFD’s balance sheet management requirements and for an amount corresponding to the outstanding capital for the loan issued in resources with ordinary conditions. AFD breaks down the outstanding loans in resources with ordinary conditions by quarterly maturity band and based on their contractual term. In order to set the subsidy paid by the French State, AFD “resets” the resource when disbursing the loans through a “fixed rate/ adjustable rate” swap. The notional value of the swap is, therefore, a function of the outstanding principal not past due in resources with ordinary conditions. As it is allocated to a set of loans (resources with ordinary conditions) and not singly, this transaction is qualified as “macro-hedging”. 6.2.5.4 Compliance with regulatory ratios The Group was in compliance with all of the regulatory ratios at 31 ɸ December 2021. 6.2.6 Additional information 6.2.6.1 Investments held onmanaged funds AFD has interests in ten companies via a number of managed funds (Cidom, Fides, Fidom and Micro Finances Facility) or via funds contributed by the French State. These holdings, recorded at cost, do not appear on the balance sheet. These holdings, which were subscribed to on behalf of the French State with public fundsmade available to AFD, are not included in ownership or control percentages and are therefore not consolidated in the financial statements.

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2021 UNIVERSAL REGISTRATION DOCUMENT