PDF (3.77 Mo) - Le Crédit Agricole

Crédit Agricole S.A.Update of the Registration document 2011 - A03CORPORATE AND INVESTMENT BANKINGUnhedged super senior CDOs with US residential mortgages underlyings• Breakdown by super senior CDO tranche€mTotal assets at fairvalueTotal assets in loansand receivablesNominal amount 1,203 2,809Discount 1,178 1,246Collective reserves 518Net value 25 1,045Net value at 31/12/2011 975 1,290Discount rate* 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%* After inclusion of fully written down tranches• After collective impairment and inclusion of fully written down tranches, the discount rateapplied to CDOs recognised in loans and receivables is 69%49SECOND QUARTER AND FIRST HALF 2012 RESULTSCORPORATE AND INVESTMENT BANKINGSuper senior CDOs with US residential mortgages underlyingsMethodology at 30/06/2012• Supersenior CDOs measured at fair value• Discounts are calculated by applying a credit scenario on the underlying assets(mainly residential mortgage loans) of the ABSs that make up each CDO• Final loss rates applied to the outstanding mortgages are adjusted based on:- the quality and origination date of each mortgage loan- the historic behaviour of portfolios (early reimbursements, amortisations, realised losses)• As of March 2011, loss rates are presented as a percentage of the outstanding loans’ nominal amount(until then, loss rates were estimated as a percentage of the outstanding loans’ nominal amount at inception); thisapproach enables to picture our loss assumptions in relation to the risks still carried on the bank’s balance sheet.Loss rates on subprime produced in:Period end 2005 2006 200731/12/2010 32% 42% 50%31/12/2011 50% 60% 60%30/06/2012 50% 60% 60%• Supersenior CDOs measured at amortised cost• These are impaired when there is an identified credit risk50SECOND QUARTER AND FIRST HALF 2012 RESULTSPage 52 sur 237