AFD - Universal Registration Document 2020
RISK MANAGEMENT 4 Basel III Pillar 3
4.2.4.1.1.3 Amount of impaired receivables and provisions by major counterparty category and major geographic area Impaired loans and impairments recorded by counterparty category are presented in Note Ǿ 5.2 to the financial statements – “Receivables due from credit institutions and customers”. ❙ The Group’s loan portfolio in gross and net values, with impaired assets separated out
Outstandings net of impairments
Outstandings
Impairments
In thousands of euros Foreign countries Sovereign of which doubtful Non-sovereign of which doubtful
31,984
0 0
31,984
3
3
14,528
800 457
13,727
1,053
597
French Overseas Departments and Collectivities Non-sovereign
6,266
166
6,100
of which doubtful
319
75
244
Other outstanding loans
25
0
25
TOTAL
52,803
966 532
51,837
of which doubtful
1,375
843
4.2.4.1.1.4 Reconciliation of changes in provisions for impaired receivables Note Ǿ 9 “Provisions”, in the notes to the financial statements, outlines the changes for each category of provisions and impairments. 4.2.4.1.2 Credit risk: portfolios under the standard approach and regulatory weightings AFD chose the standardised method to calculate the risks used to determine the solvency ratio. The weightings applied depend on the ratings given to countries or entities by external bodies (Moody’s, FITCH and Standard & Poor’s) and to the type of counterparty (third-party asset class). As most of the non-sovereign counterparties do not have a rating from an external body, they are weighted at 100% or 150% for doubtful debt. The weightings applied by the Group for rated counterparties are as follows: ❙ Weighting used to calculate risks
Lesser than or equal to
Rating Asset class Sovereign
AAA to AA-
A+ to A- BBB+ to BBB-
BB+ to BB-
B+ to B-
CCC+ Not rated
0%
20% 50% 50%
50% 50%
100% 100% 100%
100% 100% 150%
150% 150% 150%
100% 100% 100%
Banks
20% 20%
Corporates
100%
The application of weightings to AFD’s credit risk results in the following weighted exposures: ❙ Group credit risk: portfolio subject to the standardised approach, by risk segment
Sovereign and other institutions
Risk weighting
Banks Corporates
Equities
Total
0% 10% 20% 50%
21 23
21
830
1,027 1,307 5,782
1,880 4,383
3,076
100% 150% 250%
20,708
7,486
518
34,493
1,996
299
991
1,349
4,635
0
653
653
TOTAL
26,610
8,415
8,522
2,519
46,065
98
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2020 UNIVERSAL REGISTRATION DOCUMENT
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