PDF (3.77 Mo) - Le CrÃ©dit Agricole

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Crédit Agricole S.A.Update of the 2011 registration document - A03Outlook and uncertainties for the second half of 2012Against the continuing backdrop of a high level of market volatility, the Group will continue with its policy ofcautious management of its risk profile.Sensitive exposures based on the Financial Stability Board recommendationsFollowing recommendations of the Financial Stability Board, the particular risks of Credit Agricole S.A. Groupattributable to the financial crisis are presented in the statements below. These risks mainly arise fromcorporate and investment banking activities.Summary schedule of exposures at 30 June 2012in millions of eurosGrossexposureAssets under loans and receivablesDiscountCollectivereserveNetexposureAccountingcategoryGrossexposureAssets at fair valueDiscountNetexposureAccountingcategoryRMBS 480 -104 -60 316 226 -157 69(1)CMBS 175 -5 -35 135 11 -2 9Unhedged super seniorCDOs2,809 -1,246 -518 1,045 1,203 -1,178 25(3)Unhedged mezzanine CDOs (2)690 -690 0Unhedged CLOs 2,228 -41 -11 2,176 732 -30 702Protections purchased frommonolinesProtections purchased fromCDPC193 -133 60634 -78 556(1) Loans and receivables to credit institutions and to customers - securities not traded in an active market (see. note 5.3 to the consolidated financial statements).(2) Loans and receivables to customers - securities not traded in an active market (see note 5.3 to the consolidated financial statements).(3) Financial assets at fair value through profit or loss - bonds and other fixed-income securities and derivatives (see note 5.1 to the consolidated financial statements)(4) Financial assets at fair value through profit or loss - derivatives (see note 5.1 to the consolidated financial statements)(4)Page 114 sur 237
Crédit Agricole S.A.Update of the 2011 registration document - A03Mortgage ABSin million of eurosUnited States United Kingdo m SpainR M B S 31.12.2011 30.06.2012 31.12.2011 30.06.2012 31.12.2011 30.06.2012R eco gnised under lo ans and receivablesGross exposure 430 150 197 194 172 136Discount* (132) (74) (68) (40) (47) (50)N et expo sure in millio ns o f euro s 298 76 129 154 125 86R eco gnised under assets measured at fair valueGross exposure 214 153 66 43 31 30Discount (185) (146) (7) (6) (5) (5)N et expo sure in millio ns o f euro s 29 7 59 37 26 25% underlying subprime on net exposure 98% 85%B reakdo wn o f gro ss expo sure, by ratingAAA 5% 8% 7% 34%AA 2% 6% 34% 17% 19% 45%A 7% 5% 41% 63% 19% 22%BBB 3% 5%BB 1% 18% 20% 3% 4%B 4% 25%CCC 21% 1%CC 9% 1%C 28% 45%Not rated 20% 29% 29%in million of eurosUnited States United Kingdo m OthersC M B S 31.12.2011 30.06.2012 31.12.2011 30.06.2012 31.12.2011 30.06.2012R eco gnised under lo ans and receivablesNet exposure* 63 42 97 93R eco gnised under assets measured at fair valueNet exposure 5 5 4 4* o f which € 95m o f co llective reserves at 30 June 2012 co mapared with € 93 m at 31 D ecember 2011Moreover, purchases of hedges on RMBSs and CMBSs measured at fair value amount to:30 June 2012: nominal = €137 million; fair value = €113 million.31 December 2011: nominal = €320 million; fair value = €87 million.Mortgage ABSs measured at fair value are measured based on information provided by outside sources.Page 115 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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