AFD // 2021 Universal Registration Document

RISK MANAGEMENT 4 Basel III Pillar 3

4.2.3.2 Capital adequacy AFD easily meets the minimum capital requirements set out in Pillar ɸ 1, with a capital adequacy ratio of 16.04% at 31 ɸ December 2020, down on 2020 when it was 16.29%. ❙ Consolidated AFD capital adequacy ratio at 31 December 2021

Capital requirements

RWA

In millions of euros Credit risk (CAD) Equity investments TOTAL CREDIT RISK CR SEC securitisation

50,215

4,017

2,569

206

52,784

4,223

293 261

23 21

DVA

Operational risk

1,595

128

Market risk Total RWA

38

0

54,933

4,395 8,810

Regulatory capital SOLVENCY RATIO

16.04%

Under Pillar ɸ 2, AFD began its Internal Capital Adequacy Assessment Process (ICAAP) in November ɸ 2016. Supported by a firm of consultants and involving teams from the departments concerned, several workshops were held in late 2016 and in the first quarter of 2017 to finalise the definition, approach, methodology and results of the calculations relating to material risks and to formalise the planning and capital allocation

process. The formalisation of this first ICAAP was approved by AFD’s Board of Directors in April ɸ 2017. Work continued in 2019, 2020 and 2021 on a four-year horizon. The 2021 ICAAP will be presented to the Risk Committee for approval on 14 ɸ March 2022 and will be presented to the Board of Directors for approval on 17 ɸ March 2022.

❙ Capital adequacy

In millions of euros Capital into account

8,810

CET1 capital Tier ɸ 1 capital Tier ɸ 2 capital Eligible capital

7,970 8,810

0

4,189

Credit risk

4,223 2,445

Governments and central banks

Credit institutions

772 793 203

Corporates

Equities

DVA

21 23

CR SEC

Market risk

0

Foreign currency net position <2% of capital

-

Operational risk

128 128

Standard approach to operational risk

Capital surplus or shortfall

4,621

Solvency ratio

16.04%

98

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2021 UNIVERSAL REGISTRATION DOCUMENT