AFD // 2021 Universal Registration Document

RISK MANAGEMENT 4 Risk factors

Changes to AFD’s condensed balance sheet are presented below. Most of AFD’s funding is from market borrowings.

Accounting 31/12/2020

Accounting 31/12/2021

Var. Balance sheet 1 ɸ year

In millions of euros TOTAL ASSETS Gross outstandings

53,574 42,054

56,898 45,967

3,324 3,913

(-) individual impairments

-415 161 686

-434 183 608

-19

(+) accrued interest

22

Investment portfolio Short-term cash assets

-77

7,936 1,024

7,152 1,255

-784 231

Equity stakes at cost and in companies accounted for by the equity investments

Fixed assets

230

240

10 38

Accruals and other assets IMF-PRGF transactions

1,483

1,521

415

406

-9

TOTAL LIABILITIES

53,574

56,898

3,324

Borrowings from French Treasury

2,180

1,463

-717

Market borrowings Current accounts

40,536

43,181

2,645

421 894

576 907

155

Managed funds and State advances

13

Accruals and other liabilities

1,817 1,598 5,608

1,357 1,657 7,112

-460

Provisions

59

Provision retained earnings Income for the financial year

1,504

106 415

240 406

134

IMF-PRGF transactions

-9

curve”) compared to the central scenario indicates that, as of 30 ɸ September 2021, the “increase in parallel rates” is the most adverse scenario with a loss of equity value of around €1,198M. An increase in interest rates would lead to a decrease in our income, since part of our fixed-rate cash is backed by variable rate resources. In the event of a change in compensation, an outflow of cash instruments could be made quickly in order to be replaced on better terms. 4.1.1.5 Foreign exchange risk The AFD Group defines foreign-exchange risk as current or future risk to which its equity and its profits are exposed owing to adverse exchange rate fluctuations. The AFD Group’s exposure to foreign-exchange risk is tolerated to a marginal degree in the case of its local currency loans. No negotiating position would expose it to this risk. Exposure to this risk can increase occasionally due to internal events, such as the disbursement of small amounts of currency that are not hedged, but above all to external events, such as arrears, counterparties defaulting on a loan in a local currency or the receipt of share dividends in local currency.

As such, the AFD Group’s refinancing risk takes the form of: P its inability to fund the development of its assets and to repay commitments made at a time when financing or repayments appear; P its temporary inability to raise capital at a reasonable cost. Measures put in place by AFD to guard against refinancing risk enable it to be restricted to situations of systemic risk. 4.1.1.4 Interest rate risk The Group does not have a trading book or speculative operations portfolio. As such its interest rate risk is only linked to its credit activity and is part of its “banking book”. Interest rate risk in the banking book refers to current or future risk to which the AFD Group’s equity or profits are exposed owing to adverse fluctuations in interest rates which influence the positions of the institution’s banking book. For information, measuring the sensitivity of the economic value of the AFD Group’s equity based on six scenarios (“increase in parallel rates”, “reduction in parallel rates”, “increase in short-term rates”, “steeping of the curve”, “flattening of the

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2021 UNIVERSAL REGISTRATION DOCUMENT