PDF (3.77 Mo) - Le CrÃ©dit Agricole

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Crédit Agricole S.A.Update of the 2011 registration document - A032. Cost of riskThe cost of risk of Crédit Agricole S.A. and its subsidiaries totalled €2.93 billion in the first half of 2012,compared with €1.95 billion in the first half of 2012 (+50%).This sharp increase relates primarily to International Retail Banking and Specialised Financial Services. InGreece, the inclusion of state-owned companies guaranteed by the government within the framework of thesovereign debt exchange is reflected by the impairment of loans granted by Emporiki in the amount of 320million euros. In addition, due to the unfavourable development of the economic climate in Greece andCyprus, Crédit Agricole S.A. has booked a provision for country and business line risk of 314 million euros.Additional provisions were booked during the first half of 2012 for Agos representing a total of 364 millioneuros.Detailed operations affecting the cost of risk are set out in Note 3.8 to the consolidated financial statements.Market riskMarket risk measurement and management internal methods are described pages 196 to 201 of the 2011Registration document.Market risk is the risk of a negative impact on the income statement or the balance sheet caused byadverse fluctuations in the value of financial instruments following changes in market parameters, inter alia:- interest rates: interest rate risk is the risk of a change in the fair value of a financial instrument or thefuture cash flows from a financial instrument due to a change in interest rates;- exchange rates: currency risk is the risk of a change in the fair value of a financial instrument due to achange in exchange rates;- prices: price risk is the risk of a change in the price or volatility of equities and commodities, baskets ofequities and stock indices. The instruments most exposed to this risk are variable-income securities,equity derivatives and commodity derivative instruments;- credit spreads: credit risk is the risk of a change in the fair value of a financial instrument resulting frommovement in the credit spreads of indices or issuers. For more complex credit products, there is also therisk of a change in fair value arising from a change in the correlation between issuer defaults.Page 112 sur 237
Crédit Agricole S.A.Update of the 2011 registration document - A03Main changes1. Risk policy and managementOrganisation and monitoring systemThe organisation of market risk monitoring has not undergone any significant change during the first half of2012.Methods and measurement systemThe methods of measurement of VaR have not undergone any significant change during the first half of2012.The main changes currently being made concern taking account of the cost of collateral in calculating markto-marketvalue and measuring market risk.2. ExposureVaR of Crédit Agricole S.A. Group takes into account the effects of diversification between the variousentities of the Group. This mutualised VaR amounts to €15 million at 30 June 2012.The table below shows the change in the VaR of Crédit Agricole S.A. group's market activities between 31December 2011 and 30 June 2012, broken down by major risk factor:Breakdown of VaR (99%, 1-Day)(in millions of euros) 30/06/2012 Minimum Maximum Average 31/12/2011Fixed income 12 7 17 12 8Credit 6 4 16 7 13Foreign exchange 5 1 7 3 4Equities 2 2 6 3 3Commodities 1 1 5 3 5Netting (11) (13) (13)VAR OF THE CREDIT(1) 15 11 25 15 20AGRICOLE S.A. GROUPFor referenceTotal VaR of all entities20 12 27 18 25(1)The mutualised VaR between the different entities of the Group.For information purpose, at 30 June 2012, the sum of the VaR of the various entities of the Group is€20 million, of which €16 million on Crédit Agricole CIB.The change in the Group’s VaR relates primarily to that of Crédit Agricole CIB. The most significant changeseen in the first half of the year is the decline in VaR relating to lending activities, as a result of the sale inFebruary of market risk on the Crédit Agricole CIB correlation portfolio to investment fund Blue Mountain.Page 113 sur 237
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UPDATE A03Financial reviewat 30 Jun
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JUNE 2012JUNE 2012JUNE 2012JUNE 201
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Total regulatory capital before ded
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