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Crédit Agricole S.A.Update of the 2011 registration document - A03Measurement methodology for super-senior CDO tranches with US residential mortgage underlyingsSuper senior CDOs measured at fair valueSuper-senior CDOs are measured by applying a credit scenario to the underlyings (mainly residentialmortgage loans) of the ABSs making up each CDO.The final loss rates applied to the outstanding mortgages are determined on the basis of:the quality and origination date of each residential loan;and the historical behaviour of similar portfolios (prepayments, scheduled payment experience,observed losses).As of March 2011, loss rates are presented as a percentage of the outstanding loans’ nominal amount(until now, loss rates were estimated as a percentage of the outstanding loans’ nominal amount at inception);this approach enables to picture our loss assumptions in relation to the risks still carried on the bank’sbalance sheet.Loss rated on subprimeproducedC lo sing date 2005 2006 200731.12.2011 50% 60% 60%30.06.2012 50% 60% 60%Super senior CDOs measured at amortised costImpairment is recognised on these CDOs when credit risk is proved.Unhedged super senior CDOs with US residential mortgage underlyingsAt 30 June 2012, Crédit Agricole S.A. net exposure to unhedged super senior CDO was €1.1 billion (aftertaking into consideration collective reserves of €518 million).Breakdown of super senior CDOsin millions of eurosA ssets at fair valueA ssets in lo ans andreceivablesN o minal 1,203 2,809Discount 1,178 1,246Collective reserves 518N et value 25 1,045Net value (31.12.2011) 975 1,290D isco unt rate ( 1 ) 98% 69%Underlying% of underlying subprime assets produced before2006% of underlying subprime assets produced in2006 and 200740% 40%12% 13%% of underlying Alt A assets 1% 19%% of underlying Jumbo assets 0% 2%(1) After inclusion of fully written down tranchesPage 116 sur 237