AFD - Universal Registration Document 2020

RISK MANAGEMENT Basel III Pillar 3

Similarly, the following table breaks down the various items making up the derivatives heading presented in Notes 1.1 and 2.1 to the financial statements: ❙ Derivatives

31/12/2020 IFRS

31/12/2019 IFRS

Assets

Assets

In thousands of euros

Fair value hedging Interest rate derivatives

2,400,454

1,787,323

Interest rate and foreign exchange derivatives (cross-currency swaps)

493,018

771,655

Total 1

2,893,471

2,558,978

Financial assets at fair value Interest rate derivatives Foreign exchange derivatives

353

374

170,929 128,158

65,402 77,917

Derivatives at fair value through profit and loss

CVA/DVA

15

32

Total 2

299,455

143,725

TOTAL DERIVATIVES

3,192,927

2,702,703

Source DEF All derivative transactions are carried out with credit institutions in OECD countries. The off-balance sheet commitments given consist of financing commitments related to undisbursed amounts under signed loan agreements and guarantees. ❙ Off-balance sheet – commitments given (financing and guarantees) according to counterparty type

4

31/12/2020 2,148,651 13,485,720 15,634,371

31/12/2019 1,735,164 12,767,039 14,502,203

In thousands of euros

Financing commitments made to credit institutions Financing commitments made to customers

Subtotal financing commitments

Guarantee commitments made to credit institutions Guarantee commitments made to customers

116,498 534,817 651,315

140,169 584,889 725,058

Subtotal guarantee commitments

At 31 December 2020, the off-balance sheet items relating to sovereign outstanding loans amounted to €11,788M and off-balance sheet outstanding loans at State risk amounted to €112M.

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2020 UNIVERSAL REGISTRATION DOCUMENT