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