PDF (3.77 Mo) - Le CrÃ©dit Agricole

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Crédit Agricole S.A.Update of the 2011 registration document - A03At 30 June 2012, the net exposure to CDPC was €556 million (compared to €985 million at 31 December2011) mainly on corporate CDOs, after a discount of €78 million (compared to €160 million at 31 December2011).Asset/Liability managementThe organisation and management principles and the monitoring of asset and liability management aredescribed pages 206 to 212 of the 2011 registration document.1. Global interest rate risk1.1 Objectives and policyGlobal interest rate risk management (GIRR) aims to protect the net asset value of Group entities andoptimise their interest margins.Net asset value and interest margins vary according to the sensitivity of net present values and cash flowson financial instruments held on- or off-balance sheet to changes in interest rates. This sensitivity ariseswhen the interest rate reset dates for assets and liabilities do not coincide.The Crédit Agricole S.A. Group uses the fixed-rate gap method to measure its global interest rate risk, whichis hedged at the level of each Group entity.There were no material changes to the Group’s global interest rate risk management policy during the firsthalf of 2012.1.2 Risk managementOrganisation and monitoring principlesThe system for applying limits adopted in 2011 was revised during the first half of 2012: the limit onmismatches has been lowered, while the limit on sensitivity of net asset value has been maintained. A limiton mismatches indexed to inflation has also been added.Methodology and measurement systemsThe revision schedule of agreements and limits of each entity is set so that the latter are revised on anannual basis. A review of savings agreements was carried out and is due to be implemented in the secondhalf of 2012.Page 118 sur 237
Crédit Agricole S.A.Update of the 2011 registration document - A031.3 ExposureThe Group’s interest-rate gaps are broken down by type of risk (nominal rate/real rate) in the variouscurrencies. They measure the surplus or deficit on sources of fixed-rate funds. By convention, a positive(negative) figure represents a downside (upside) risk on interest rates in the year considered. The figureindicates the economic sensitivity to a change in interest rates.Main changesThe Crédit Agricole S.A. Group’s exposure changed during the first half of 2011: the euro gap now reflectsexposure to an increase in interest rates for the first maturities.The results of these measures for Crédit Agricole S.A. Group in the aggregate at 31 December 2011 are asfollows:Gaps in euros at 31 December 2012(in billions of euros) A1 2013-2017 2018-2022 > 2022Gaps in euros -9.9 -1.8 0.8 -0.1In terms of net banking income sensitivity during the first year rolling, Crédit Agricole S.A. Group is exposedto a rise in interest rates in the eurozone and would lose €99 million in the event of instant translation of achange of 100 basis points, giving a net banking income sensitivity of -0.48% (2011 reference net bankingincome: €20.78 billion).At 31 December 2011, in terms of net banking income sensitivity in the first year rolling, Crédit Agricole S.A.Group was exposed to a fall in the eurozone interest rates and would have lost €22.4 million in the event ofinstant translation of a fall in interest rates of 100 basis points, giving a net banking income sensitivity of-0.11% (reference net banking income of €20.78 billion).Based on these sensitivity figures, the net present value of losses incurred over the next 30 years in theevent of a 200-basis-point downward shift in the eurozone yield curve is less than 0.6% of CréditAgricole S.A. Group’s regulatory capital (Tier 1 + Tier 2) after deduction of equity investments.Other currency gaps (excluding euros) at 30 June 2012(in billions of euros) A1 2013-2017 2018-2022 > 2022Other currency gaps* 2.5 1.3 0.2 0.1* Sum of all gaps in all currencies in absolute values expressed in billions of euros.The aggregate sensitivity of revenues for the first year rolling to a change in interest rates across all othercurrencies amounts to 0.12% of reference 2011 revenues for the Crédit Agricole S.A. Group.At 31 December 2011, the aggregate sensitivity of revenues for the first year rolling to a change in interestrates across all other currencies amounted to 0.26% of reference 2011 revenues for the Crédit Agricole S.A.Group.Page 119 sur 237
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UPDATE A03Financial reviewat 30 Jun
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