AFD - Universal Registration Document 2020

RISK MANAGEMENT Risk factors

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

Acct 30/06/2019

Acct 31/12/2019

Acct 30/06/2020

Acct 31/12/2020

Var. balance sheet 1 year

In millions of euros TOTAL ASSETS Gross outstandings (+) accrued interest Investment portfolio Short-term cash assets (-) individual impairments

46,326 47,850 51,142 53,574

5,724 3,726

36,169

38,328

39,582

42,054

-526 174 750

-539 174 713

-549 171 687

-415 161 686

124 -13 -27

6,761

6,004

7,945

7,936

1,932

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

865 235

873 227

858 225

1,024

151

Fixed assets

230

3

Accruals and other assets IMF-PRGF transactions

1,148

1,313

1,812

1,483

170 -343

749

758

410

415

TOTAL LIABILITIES

46,326 47,850 51,142 53,574 5,724

Borrowings from French Treasury

1,703

1,943

2,191

2,180

237

Market borrowings Current accounts

34,218

35,156

38,151

40,536

5,380

351 880

470 904

406

421 894

-49 -10

4

Managed funds and government advances

1,024 1,874 1,413 5,448

Accruals and other liabilities

1,621 1,250 5,448

1,685 1,327 5,448

1,817 1,598 5,608

132 271 160

Provisions

Provision retained earnings

Income FY

106 748

160 758

226 409

106 415

-54

IMF-PRGF transactions

-343

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 curve”) compared to the central scenario indicates that, as of 30 Ǿ September 2020, the “increase in parallel rates” is the most adverse scenario with a loss of equity value of around €809 Ǿ million. 4.1.1.5 Currency 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.

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2020 UNIVERSAL REGISTRATION DOCUMENT