AFD - Universal Registration Document 2020

RISK MANAGEMENT 4 Basel III Pillar 3

4.2.3.2 Capital adequacy AFD easily meets the minimum capital requirements set out in Pillar 1, with a capital adequacy ratio of 16.29% at 31 Ǿ December 2020, down on 2019 when it was 16.75%. ❙ Consolidated AFD capital adequacy ratio at 31/12/2020

Capital requirements

RWA

In thousands of euros Credit risk (CAD)

43,626

3,490

Equity stakes and Ǿ other long-term securities

2,439

195

TOTAL CREDIT RISK

46,065

3,685

CR SEC

314 786

25 63

DVA

Operational risk

1,406

112

Market risk Total RWA

49

0

48,571

3,886 7,910

Regulatory capital SOLVENCY RATIO

16.29% Under Pillar 2, AFD began its Internal Capital Adequacy Assessment Process (ICAAP) in November Ǿ 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 Ǿ 2017. Work continued in 2019 and 2020 on a 4-year horizon. The 2020 ICAAP was presented to the Risk Committee on 14 Ǿ December 2020 and was approved by the Board of Directors on 18 Ǿ December 2020. ❙ Capital adequacy

In thousands of euros Total capital

7,910

CET1 capital Tier Ǿ 1 capital Tier Ǿ 2 capital Eligible capital

6,375 7,215

695

3,886

Credit risk

3,685 2,135

Governments and central banks

Banks

667 682 202

Corporates

Equities

DVA

63 25

CR SEC

Market risk

-

Foreign currency net position < Ǿ 2% of capital

-

Operational risk

112 112

Standard approach to operational risk

Capital surplus or deficit

4,024

Solvency ratio

16.29%

94

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2020 UNIVERSAL REGISTRATION DOCUMENT