AFD - Universal Registration Document 2020

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

The recognition method for financial assets resulting from the analysis of the contractual clauses and the qualification of the management model is presented in the diagram below:

Based on the criteria observed, the three management models for the classification and measurement of financial assets are: P the collection only model for contractual cash flows of financial assets; P the model based on the collection of contractual cash flows and the sale of financial assets; P and any other model, notably the transfer only model

Financial Assets (IAS 32)

Cash flow characteristics

Management model

Asset classes

Amortised cost

Collection of contractual flows

"SPPI (Solely Payment of Principal and Interest)"

Collection of contractual flows and sales

Fair value through equity to be TGE[ENGF KP RTQƒV QT NQUU

Debt securities

Fair value through P&L

Other

Non basic debt instruments and derivatives

Fair value through P&L

All management models

Non SPPI

Fair value through P&L or Option Fair Value through equity not to be recycled in P&L

All management models

Equity securities

Non SPPI

method, which includes the amortisation of premiums and discounts. Interest accrued on coupons that are not yet due are included at their balance sheet value under IFRS. These financial assets are subject to impairment under the conditions described in the paragraph below “Impairment of financial assets at amortised cost and at fair value through shareholders’ equity”. b) Debt securities at fair value through equity Debt instruments are classified at fair value through shareholders’ equity if the following two criteria are met: the contractual cash flows are solely comprised of payments on principal and interest on the principal and the management model is qualified as “collection and sale”. This category essentially corresponds to fixed income and fixed maturity securities that AFD may have to sell at any time, particularly securities held as part of its asset/liability management. These financial assets are initially measured at their fair value plus transaction costs. They are subsequently marked to market and changes in fair value are recognised in equity to be recycled in P&L to be included in profit and loss in the future. They are also subject to a calculation of expected credit risk losses on the same terms as those applicable to debt securities at amortised cost (Note Ǿ 5 “Financial instruments at amortised cost” ).

a) Debt instruments at amortised cost Debt instruments are classified at amortised cost if the following two criteria are met: the contractual cash flows only constitute payments of the principal and interest on the principal and the management model is qualified as collection only. This category of financial assets includes: P Loans and receivables Loans and receivables are initially booked at market value plus transaction costs. In general, this is the amount originally paid (including related receivables). Loans and receivables are measured after their initial recognition at amortised cost based on the effective interest rate and may be subject to individual impairment whenever a default event has occurred after the grant of the loan with an impact on future projected asset cash flows and, is therefore, likely to generate measurable loss. These impairments are determined by comparing discounted cash flows to book value. The effect of subsequent reversal of the impairment is booked under net banking income. P Securities at amortised cost This category includes debt securities whose contractual characteristics are SPPI and whose business model is classified as “hold to collect”. They are recognised initially at market value plus transaction costs and then at amortised cost using the effective interest

134

www.afd.fr

2020 UNIVERSAL REGISTRATION DOCUMENT