PDF (3.77 Mo) - Le Crédit Agricole
PDF (3.77 Mo) - Le Crédit Agricole
PDF (3.77 Mo) - Le Crédit Agricole
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Crédit <strong>Agricole</strong> S.A.Update of the 2011 registration document - A03Financial liabilities measured at fair valueAmounts presented below include accrued interest.(in millions of euros)Total30/06/2012Quotedprices inactivemarkets foridenticalinstruments:<strong>Le</strong>vel 1Valuationbased onobservabledata:<strong>Le</strong>vel 2Valuationbased onunobservabledata:<strong>Le</strong>vel 3Total31/12/2011Quotedprices inactivemarkets foridenticalinstruments:<strong>Le</strong>vel 1Valuation Valuationbased on based onobservable unobservabledata: data:<strong>Le</strong>vel 2 <strong>Le</strong>vel 3Financial liabilities held for trading 478,371 33,283 439,840 5,248 439,680 30,974 406,074 2,632Securities sold short 29,262 27,206 2,056 - 26,259 24,724 1,535 -Securities sold under repurchase agreements 26,561 - 26,561 - 36,013 - 36,013 -Debt securities 31,975 - 31,975 - 31,413 - 31,413 -Derivative instruments 390,573 6,077 379,248 5,248 345,995 6,250 337,113 2,632Financial liabilities designated asat fair value upon initial recognition - - - - - - - -Hedging derivative instruments 36,285 810 35,475 - 34,605 746 33,859 -TOTAL FINANCIAL LIABILITIES MEASURED AT FAIRVALUE 514,656 34,093 475,315 5,248 474,285 31,720 439,933 2,632Market data used for valuation models are regarded as observable if the Market Risks department can obtain data from several sources independent of the frontoffices on a regular basis (daily if possible), for example from brokers or pricing services that collect data from a sufficient number of market participants. A dedicatedteam, which reports to the Market Risks department, regularly checks the relevance of data obtained in this way and formally documents it.Conversely, some complex products with a basket component, where valuation requires correlation or volatility data that are not directly comparable with marketdata, may be classified as non-observable.The specific context described in consolidated financial statements on December 31st, 2011, had led Crédit <strong>Agricole</strong> S.A. to value the Greek sovereign bonds usingan internal valuation model and to classify them as <strong>Le</strong>vel 3. The bonds received during the exchange being traded in an active market, they are classified in level 1on June 30th, 2012.Estimated impact of inclusion of the margin at inception(in millions of euros) 30/06/2012 31/12/2011Deferred income at 1 January 162 241Income generated by new transactions during the year 14 27Recognised in net income for the period - -Amortisation and cancelled/reimbursed/matured transactions (62) (106)Effects of inputs or products reclassified as observable during the year - -Deferred income at period end 114 162Page 188 sur 237