AFD - Universal Registration Document 2020

AFD’S ANNUAL PARENT COMPANY FINANCIAL STATEMENTS Notes to the financial statements at 31 December 2020

NOTE 32 Other off-balance sheet commitments

December Ǿ 2020

December Ǿ 2019

In thousands of euros

Guarantee commitments received from the French State on loans Guarantee commitments received from credit institutions

5,112,763

4,645,686

347,739 40,759 116,326

290,861 30,834 84,386

Guarantee commitments made to credit institutions Guarantee commitments given on securities Guarantee commitments made to customers

2,501,424

2,517,515

NOTE 33 Commitments on forward financial instruments excluding IMF transactions (1)

December Ǿ 2020

December Ǿ 2019

Notional

Valuation (2)

Notional

Valuation (2)

In thousands of euros

Outright transactions Interest rate swaps (hedging transactions) Currency swaps (hedging transactions)

49,817,119 31,985,063 16,018,892 15,966,171

1,052,848 -262,006

41,974,188 32,689,252 16,351,938 16,337,314

749,903 -139,671

Commitments received Commitments given

Other instruments (hedging transactions) Options

232,920

353

-285,556

375

(1) This information does not appear in the publishable off-balance sheet. (2) The value of these fi nancial instruments was established with reference to market value.

Less than 1 Ǿ year From Ǿ 1 to 5 Ǿ years More than 5 Ǿ years

Total 2020

In thousands of euros

Outright, micro-hedge and OTCmarket transactions Interest rate swaps

2,076,513 5,924,996 2,893,404 3,031,592

13,172,026 11,146,502 5,469,629 5,676,874

34,568,580 14,913,565 7,655,859 7,257,705

49,817,119 31,985,063 16,018,892 15,966,171

Currency swaps

Commitments received Commitments given

Options

2,427

36,000

194,493

232,920

NOTE 34 Valuationof forwardfinancial instruments excluding IMF transactions by issuer rating (1)

7

31/12/2020 valuation (2)

31/12/2019 valuation (2)

Banking counterparty rating

AAA

-

-

AA

343,504 572,209 -28,525

60,777 784,645

A

BBB

4,306 -1,015

NR

-

TOTAL 848,714 (1) Counterparty risk on derivatives related to the fi nancing of IMF transactions is covered by the overall guarantee granted to AFD by the French State for this purpose. (2) Replacement cost is represented by the net gain on market values, including accrued interest. If the balance is negative, the cost is zero. 887,188

203

2020 UNIVERSAL REGISTRATION DOCUMENT