PDF (3.77 Mo) - Le CrÃ©dit Agricole

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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
Crédit Agricole S.A.Update of the Registration document 2011 - A03CORPORATE AND INVESTMENT BANKINGOther exposures• Unhedged CLOs€m Gross Discount NetCLOs measured at fair value 732 30 702CLOs in loans and receivables* 2,228 52 2,176* Includes collective reserves of €11m• Unhedged mezzanine CDOs€m Gross Discount NetUnhedged mezzanine CDOs 690 690 051SECOND QUARTER AND FIRST HALF 2012 RESULTSCORPORATE AND INVESTMENT BANKINGProtections purchased to hedge exposure to CDOs and other assetsat 30/06/2012• From monolines€mMortgage CDOsin the USAMonolines to hedge:Corporate CDOsCLOsOtherunderlyingsTotal protectionsacquired frommonolinesGross notional amountof purchased protections 112 5,587 287 356 6,342Gross notional amountof hedged items 112 5,587 287 356 6,342Fair value of hedgeditems 101 5,555 264 229 6,149Residual exposures tocounterparty risk on monolinesFair value of protectionbefore valueadjustments andhedgingValue adjustmentsrecognised on hedgesResidual exposure tocounterparty risk onmonolines11 32 23 127 193(3) (18) (21) (91) (133)8 14 2 36 60Lowest rating issued by S&P or Moody’s at30 June 2012:AA: Assured GuarantyB: Radian and MBIAN/R: CIFG• From CDPC• At 30/06/2012, net exposure to CDPC was €556m (on corporate CDOs) after taking into account a €78m discount. Netexposure at 31/12/2011 was €985m.52SECOND QUARTER AND FIRST HALF 2012 RESULTSPage 53 sur 237
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