AFD_REGISTRATION_DOCUMENT_2017

CONSOLIDATED FINANCIAL STATEMENTS PREPARED IN ACCORDANCE WITH IFRS 6 Notes to the consolidated financial statements

BREAKDOWN OF UNIMPAIRED LOANS BY RATING (EXCLUDING LOANS REIMBURSED AND GUARANTEED BY THE STATE)

31/12/2017 IFRS

31/12/2016 IFRS

In millions of euros Sovereign loans Non-sovereign loans Rated A (very good risk)

14,598 14,395

13,187 14,605

1,138 6,233 4,994 2,002

1,293 6,660 4,688 1,935

Rated B (good to average risk) Rated C+ (passable risk) Rated C- (significant risk)

Not rated

27

29

Risks involved: P consolidated AFD and Proparco after excluding AFD loans to Proparco P outstanding loans excluding residual income and guarantees given In 2017, the breakdown by intrinsic rating was reviewed to provide a more relevant breakdown of performing loans by credit rating. MAXIMUM EXPOSURE TO CREDIT RISK The book value of financial assets is the maximum exposure to credit risk. Maximum exposure to credit risk at year-end is as follows:

31/12/2017 IFRS Book value

31/12/2016 IFRS Book value

In thousands of euros

Financial assets at fair value through profit and loss

180,095

146,976

Hedging derivatives

1,679,788 3,016,003 32,051,148

2,390,382 2,017,348 31,054,065

Financial assets available for sale

Loans and receivables

Held-to-maturity financial assets

778,182

800,402

Other financial assets

b

b

Firm lending commitments

11,989,375

10,656,145

Financial guarantees

584,957

528,360

TOTAL

50,279,548

47,593,677

AGE OF ARREARS The age of arrears on loans and receivables at the closing date may be analysed as follows:

31/12/2017 IFRS

31/12/2016 IFRS

In thousands of euros Less than 90bdays

63,629

52,631

More than 90bdays and less than 180bdays More than 180bdays and less than one year

189

2,757

6,876

11,443 292,656

More than 1byear

344,047

6.2.6.2 Liquidity risk The notion of liquidity refers to a company’s ability to finance new assets and meet obligations as they mature. This risk is monitored as part of asset and liability management for AFD, Proparco and its banking subsidiary. AFD has a Euro Medium Term Notes (EMTN) programme for not more than €40.0bn enabling it to complete financing transactions with fewer financial disclosure requirements. Short-term liquidity risk prevention relies on a programme of short term Negotiable European Commercial Papers (“NEU CPs”) amounting to €2bn. There is also a €2bn programme of Negotiable European Medium-Term Notes (“NEU MTNs”).

The portfolio of long-term investment securities also recognises a liquidity reserve that can be mobilised through market repurchase agreements. This portfolio has a supplementary securities portfolio (€1.16bn in nominal) created in the context of an additional liquidity reserve to respect the LCR ratio. These securities may also be mobilised through repurchase agreements. Furthermore, operating cash flow is maintained at all times at a level equivalent to a minimum of three months of activity. The liquidity risk measuring and monitoring system includes both regulatory ratios and internal indicators.

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REGISTRATION DOCUMENT 2017

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