PDF (3.77 Mo) - Le CrÃ©dit Agricole

More documents

Recommendations

Info

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
Crédit Agricole S.A.Update of the 2011 registration document - A03Other exposures at 30 June 2012in million of euros N o minal D isco untC o llectivereservesN etUnhedged CLOs measured at fair value 732 (30) 702Unhedged CLOs recognised as loans and receivables 2,228 (41) (11) 2,176Unhedged mezzanine CDOs 690 (690) 0ProtectionProtection acquired from monolines at 30 June 2012in million of eurosGross notional amount ofpurchased protectionGross notional amount ofhedged itemsUS residentialCDOsMonolines to hedgeCorporate CDOsCLOsOtherunderlyingsTotal protectionsacquired frommonolines112 5,587 287 356 6,342112 5,587 287 356 6,342Fair value of hedged items 101 5,555 264 229 6,149Fair value of protectionbefore value adjustmentsand hedges11 32 23 127 193Value adjustments recognisedon protection(3) (18) (21) (91) (133)Residual exposure tocounterparty risk onmonolines8 14 2 36 60Breakdown of net exposure to monolines at 30 June 2012N/R; 15%AA; 52%B; 33%Lowest rating issued by Standard’s & Poor’s or Moody’s at 30 June 2012AA :B :N/R :Assured GuarantedRadian et MBIACIFGProtection acquired from CDPC (Credit Derivative Product Companies)Page 117 sur 237
Page 1 and 2:
UPDATE A03Financial reviewat 30 Jun
Page 3:
Crédit Agricole S.A.Update of the
Page 8 and 9:
Page 10 and 11:
Page 12 and 13:
Page 14 and 15:
Page 16 and 17:
Page 18 and 19:
Page 20:
Page 23 and 24:
Page 25 and 26:
Page 27 and 28:
Page 29 and 30:
Page 31:
Page 36 and 37:
Page 38 and 39:
Page 40 and 41:
Page 42 and 43:
Page 44 and 45:
Page 46 and 47:
Page 48 and 49:
Page 50 and 51:
JUNE 2012JUNE 2012JUNE 2012JUNE 201
Page 52 and 53:
Page 54 and 55:
Page 56 and 57:
Page 58 and 59:
Total regulatory capital before ded
Page 60 and 61:
Page 62 and 63:
Page 64 and 65:
Page 66 and 67: Crédit Agricole S.A.Update of the
Page 166 and 167:
Page 168 and 169:
Page 170 and 171:
Page 172 and 173:
Page 174 and 175:
Page 176 and 177:
Page 178 and 179:
Page 180 and 181:
Page 182 and 183:
Page 184 and 185:
Page 186 and 187:
Page 188 and 189:
Page 190 and 191:
Page 192 and 193:
Page 194 and 195:
Page 196 and 197:
Page 198 and 199:
Page 200 and 201:
Page 202 and 203:
Page 204 and 205:
Page 206 and 207:
Page 208 and 209:
Page 210 and 211:
Page 212 and 213:
Page 214 and 215:
Page 216 and 217:
Page 218 and 219:
Page 220 and 221:
Page 222 and 223:
Page 224 and 225:
Page 226 and 227:
Page 228 and 229:
Page 230 and 231:
Page 232 and 233:
Page 234 and 235:
Page 236 and 237:
show all

PDF (3.77 Mo) - Le CrÃ©dit Agricole

Create successful ePaper yourself

Delete template?

Save as template?