AFD_REGISTRATION_DOCUMENT_2017

CONSOLIDATED FINANCIAL STATEMENTS PREPARED IN ACCORDANCE WITH IFRS 6 Notes to the consolidated financial statements

The various liquidity risk measuring and monitoring indicators reveal very moderate exposure to liquidity risk.

The table below shows the maturity of AFD’s financial liabilities at 31bDecember 2017, analysed based on undiscounted contractual cash flows.

Less than 3bmonths

3bmonths to 1byear

1byear to 5byears

More than 5byears

Total cash flow

Book value

Contractual term to maturity

Liabilities

b

b

b

b

b

b

Financial liabilities at fair value through profit and loss

41,956

59,174

2,190

162,885

266,205

266,205

Hedging derivatives (liabilities)

4,189

213,117

45,775

794,192

1,057,272 29,633,110

1,057,272 29,633,110

Financial liabilities valued at amortised cost

2,317,796

1,699,309

11,236,807

14,379,197

6.2.6.3 Interest rate risk Interest rate risk reflects the sensitivity of current or future earnings and of the net economic value of the balance sheet to changes in interest rates on the financial markets. This sensitivity may result from differences between lending and borrowing structures (maturity spreads), the conditions of use of equity (short-term investments, loan financing or investments), and off-balance sheet commitments. As AFD’s funding mainly relies on floating-rate resources (market borrowings swapped on issuance), disbursements of fixed-rate loans are covered by a micro-hedge consisting of a fixed-for- floating swap that protects the net interest margin. AFD’s total interest-rate risk is monitored using asset liability management and modified duration gap matching. Based on the figures at 31bDecember 2017, the impact of a 100bbp rise in interest rates on projected 2018bearnings was estimated at -€16.3M (+€16.5M for a 100bbp decrease). 6.2.6.4 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. The foreign-exchange risk may be measured by analysing modified duration: if foreign currencies appreciate against the euro by 10%, this increases earnings by an estimated €1.4M (-€1.4M for a 10% decline), the sensitivity of exchange rates being mainly attributable to the Japanese Yen.

Note that AFD Group adheres to an internal limit approved by the Board of Directors on 26bApril 2017: exposure per currency may not exceed 1% of the three-month average of regulatory capital, with the understanding that overall exposure must remain below 2% of this same amount of capital. This internal policy keeps foreign exchange risk to a minimum (excluding ownership interests, provisions and past due amounts). 6.2.6.5 Market risk Because AFD does not hold speculative positions, market risk is limited to foreign-exchange risk, which is below the threshold set by Article 351 of the CRR on capital requirements for foreign- exchange risk. 6.2.6.6 Counterparty risk Counterparty risk is the threat of a counterparty defaulting on interest-rate and currency swaps entered into as part of debt and counterparty management linked to short-term or portfolio investments. The counterparty risk exposure is managed through counterparty indicators and regularly updated limits. For non-sovereign risks, the highest authorised exposure to a counterparty is 10% of AFD’s benchmark consolidated equity, i.e . €560M based on benchmark equity of €5,600M. By way of an exception, this limit is 20% for banking groups whose registered office is in France. Specific rules also govern the operation of the various portfolios. 6.2.6.7 Compliance with regulatory ratios The Group was in compliance with all of the regulatory ratios at 31bDecember 2017.

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REGISTRATION DOCUMENT 2017

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