Update of Crédit Agricole Group Pillar 3 as of 30 june 2017

Transcription

1 Update of Crédit Agricole Group Pillar 3 as of 30 june 2017 Contents Informations regarding the Basel 3 Pillar Regulatory background and scope Indicators and regulatory ratios Composition and change in regulatory capital Composition and changes in risk weighted assets I. Risk weighted assets by type of risks II. Risk weighted assets by business line III. Trends in risk weighted assets Credit and counterparty risk I. General overview of credit and counterparty risk II. Credit risk III. Counterparty risk IV. Credit and counterparty risk mitigation V. Equity exposures in the banking portfolio Market risk I. Risk weighted exposure using the standardised approach II. Exposure under the internal model method... 39

2 Informations regarding the Basel 3 Pillar 3 Regulation (EU) No.575/2013 of 26 June 2013 requires relevant financial institutions (notably credit institutions and investment companies) to disclose quantitative and qualitative information on their risk management activities. Crédit Agricole Group s risk management system and exposure levels are presented in this section. The Crédit Agricole. Group has chosen to disclose its Pillar 3 Prudential information in a separate section from its Risk Factors in order to isolate the items that meet the regulatory publication requirements. The main objective of the Group s solvency management is to assess its own funds and verify at all times that the Group has sufficient own funds to cover the risks to which it is or could be exposed in view of its activities, thereby securing the Group s access to financial markets on the desired terms. To achieve this objective, the Group relies on an internal ICAAP (Internal Capital Adequacy and Assessment Process), which includes (i) measurements of regulatory capital and economic capital requirements and (ii) management of those requirements. The ICAAP is developed in accordance with the interpretation of the main regulatory texts specified below (Basel agreements, guidelines of the European Banking Authority, prudential expectations of the European Central Bank). More specifically, it includes: governance of the management of share capital, adapted to the specificities of the Group s subsidiaries, that allows centralised and coordinated monitoring at the Group level; a measurement of regulatory capital requirements (Pillar 1); a measurement of economic capital requirements based on the risk identification process and valuation using an internal approach (Pillar 2); the management of regulatory capital, which is based on short-term and medium-term prospective measures, consistent with budgetary projections, on the basis of a central economic scenario; the management of ICAAP stress tests that aim to simulate the destruction of capital after a three-year adverse economic scenario (see Chapter 5 of the registration document Different types of stress tests section ); the management of economic capital (see Part III "Measurement of the economic capital requirement" and; a qualitative ICAAP that formalizes in particular the major areas for risk management improvement. ICAAP is also an integrated process that interacts with the Group s other strategic processes (ILAAP, risk appetite, budget process, recovery plan, risk identification, etc.). The EDTF cross-reference table is presented in the consolidated report on Risk factors and Pillar 3 available on the website: 2/41

3 1. Regulatory background and scope 1.1. Scope of application of the capital requirements for the purposes of regulatory supervision The scope of application of capital requirements for the purposes of regulatory supervision is described on page 44 of the 2016 Crédit Agricole Group consolidated risk report Regulatory scope Difference between the accounting and regulatory scopes of consolidation Entities consolidated for accounting purposes, but excluded from the regulatory scope of consolidation of credit institutions on a consolidated basis predominantly comprise insurance companies and several ad hoc entities that are equity-accounted for regulatory purposes. In addition, entities consolidated on an accounting basis using proportional consolidation at 31 December 2013 and now equity-accounted in accordance with IFRS 11, are still consolidated proportionally for regulatory purposes. Information on these entities and their consolidation method for accounting purposes is provided in the consolidated financial statements, Scope of consolidation at 30 June TABLE 1 DIFFÉRENCES IN THE TREATMENT OF EQUITY INVESTMENTS BETWEEN THE ACCOUNTING AND PRUDNETIAL SCOPES Type of equity investment Accounting treatment Fully loaded Basel 3 regulatory treatment Subsidiaries with financial operations Jointly held subsidiaries with financial operations Subsidiaries with insurance operations Equity investments of over 10% with operations that are financial in nature Equity investments of 10% with financial or insurance operations ABCP business securitisation vehicles Fully consolidated Equity Accounted Fully consolidated Equity accounted Equity investments in credit institutions Equity investments and available-for-sale securities Full Full consolidation generating capital requirements for the subsidiary's operations. Proportionate consolidation. Regulatory treatment of these equity investments using equity accounting, since the Group is identified as being a financial conglomerate : CET1 instruments weighted at 370%, with EL equity at 2.4%; AT1 and T2 instruments deducted from the respective equity capital. In turn, as in the past, Crédit Agricole S.A. Group and Crédit Agricole Group are subject to additional capital requirements and capital adequacy ratios applying to financial conglomerates. Deduction of CET1 instruments from CET1, beyond an exemption threshold of 17.65% of CET1. This exemption threshold, applied after calculation of a 10% threshold, is common to the nondeducted portion of deferred tax assets that rely on future profitability arising from temporary differences. AT1 and T2 instruments deducted from the respective equity capital. Deduction of CET1, AT1 and T2 instruments, beyond an exemption threshold of 10% of CET1. Risk weighting of the equity-accounted value and commitments on these structures (liquidity facilities and letters of credit). 3/41

4 1.3. Regulatory framework (CRR/CRD 4) A summary of the major changes introduced by Basel 3 (CRR/CRD 4) compared with Basel 2 is described on page 46 of the 2016 Crédit Agricole Group consolidated risk report Transitional implementation phase To facilitate compliance by credit institutions with the CRR/CRD 4, less stringent transitional provisions have been provided for, notably with the progressive introduction of new capital components: these less stringent provisions are described on page 47 of the 2016 Crédit Agricole Group consolidated risk report. The phasing percentages are, as explained in the aforementioned document, amended on a yearly basis Minimum requirements The requirements with regard to Pillar 1 are ruled by the Regulation (EU) no. 575/2013 of the European Parliament and of the Council of 26 June 2013 (CRR). The legislator also fixes on a discretionary basis, the minimum requirements, within the framework of Pillar 2. Minimum requirements for Pillar 1 Capital ratios before buffers: the minimum phased-in CET1 requirements moved to 4.5% from Likewise, the minimum phased-in Tier 1 requirement rose to 6% in 2015 and for the following years (5.5% in 2014). Lastly, the minimum phased-in total capital requirement stood at 8% as in 2014, and remains at that level for the following years. Capital buffers are added to these ratios, to be applied progressively: the capital conservation buffer (2.5% of risk-weighted assets in 2019); the countercyclical buffer (in principle within a range of 0 to 2.5%): the buffer for the Group being an average weighted by exposure at default (EAD (1) ) of the buffers defined for each country in which the Group operates; the buffers for systemic risk (0 to 3% in general, up to 5% after agreement from the European Commission, and more exceptionally above that figure) and for Global Systemically Important Banks (G-SIB) (between 0% and 3.5%) or Other Financial Institutions (O-SII) (between 0% and 2%). These buffers are not cumulative, and in general, subject to exceptions, it is the highest that applies. Only Crédit Agricole Group is a systematic institution and has a buffer of 1% phased-in at 0.25% in 2016 and 0.50% in Crédit Agricole S.A. does not fall within these categories. These buffers come into force on an incremental basis from 2016 to 2019 (0% in 2015, 25% of the required buffer in 2016, 50% in 2017, etc.). When the countercyclical buffer rate is calculated by one of the national authorities, the application date is at least 12 months after the date of publication. The progressive increments above apply at the end of the 12-month advance notice period. At the end of June 2017, counter-cyclical buffers for Norway, Sweden and Hong Kong were recognised by the Financial Stability Board (FSB). These buffers must be covered by phased-in CET1. 1st january Common Equity Tier % 4.5 % 4.5 % 4.5 % 4.5 % Tier 1 (CET1 + AT1) 6.0 % 6.0 % 6.0 % 6.0 % 6.0 % Tier 1 + Tier % 8.0 % 8.0 % 8.0 % 8.0 % Capital conservation buffer % % % 2.50 % Contracycal buffer (between 0 and 2.5 %) % 0.010% Systemic risk buffer (between 0 and 5 %) 0.25 % 0.50 % 0.75 % 1.0% ( 1 ) The exposure at default is the exposure amount in the event of default. It encompasses balance sheet assets plus a proportion of off-balance sheet commitments. 4/41

5 Minimum requirements with regard to Pillar 2 published on 21 December 2016 Crédit Agricole Group and Crédit Agricole S.A. have been notified by the European Central Bank (ECB) of the new minimum capital requirements following the results of the Supervisory Review and Evaluation Process (SREP). For 2017, the ECB is changing the methodology used, dividing the prudential requirement into two parts: a Pillar 2 Requirement (P2R). This requirement concerns each level of own funds and must be made up entirely of Common Equity Tier 1. Failure to comply with this requirement automatically results in restrictions on distributions (AT1 coupons, dividends, bonuses). Accordingly, this requirement is public; a Pillar 2 Guidance (P2G). At this stage, this requirement is not public. Crédit Agricole group will therefore have to comply in 2017 with a consolidated minimum CET1 ratio of 7.76% phased in or 9.51% fully loaded. These levels include the requirements under Pillar 1, Pillar 2 P2R, the capital conservation buffer that is subject to phasing and the countercyclical buffer: Phased in Fully loaded 13.01% 11.26% 2.50% 1.25% 0.01% 0.50% 9.51% 0.01% 1.00% 7.76% 1.50% 2.50% 1.50% 1.25% 0.01% 0.50% 0.01% 1.00% 1.50% 1.50% 8.00% 8.00% 4.50% 4.50% CET 1 Total capital Pillar 1 P2 Requirement G-SIB buffer contracycal buffer capital conservation buffer At end june 2017, CET1 phased-in ratio was 15%. Crédit Agricole S.A. as the central body of Crédit Agricole Group fully benefits from the solidarity mechanism as well as internal flexibility on capital circulation within the very strongly capitalised Crédit Agricole Group. CET 1 Total capital 5/41

6 2. Indicators and regulatory ratios 2.1 Solvency ratios The following table shows the regulatory capital of Crédit Agricole group 30/06/ /12/2016 Phased-in Fully loaded Phased-in Fully loaded Capital and reserves Group share (1) 93,330 93,807 90,331 91,526 (+) Minority interests (1) 1,851 1,455 1,682 1,148 (-) Prudent valuation (1,077) (1,077) (809) (809) (-) Deductions of goodwill and other intangible assets (15,747) (15,747) (15,767) (15,767) (-) Deferred tax assets that rely on future profitability not arising from temporary differences after deduction of the associated tax liabilities (-) Shortfall in adjustments for credit risk relative to expected losses under the internal ratings-based approach deducted from the CET1 (-) Amount exceeding the exemption threshold for CET1 instruments of financial stakes in w hich the institution ow ns a significant holding and of the deductible deferred tax assets that rely on future profitability arising from temporary differences (2) (41) (52) (35) (59) (389) (389) (391) (391) Transitional adjustments and other deductions applicable to CET1 capital (74) (138) (62) (181) COMMON EQUITY TIER 1 (CET1) 77,853 77,859 74,949 75,467 Equity instruments eligible as AT1 capital 5,292 5,292 5,616 5,616 Ineligible AT1 equity instruments qualifying under grandfathering clause 3, ,508 0 Tier 1 or Tier 2 instruments of entities operating mainly in the insurance sector in w hich the institution has a significant investment deducted from Tier 1 capital (542) (121) (953) (124) Transitional adjustments and other deductions (138) (74) (193) (75) ADDITIONAL TIER 1 CAPITAL 7,708 5,097 8,978 5,417 TIER 1 CAPITAL 85,561 82,956 83,927 80,884 Equity instruments and subordinated borrow ings eligible as Tier 2 capital 16,453 16,453 17,876 17,876 Ineligible equity instruments and subordinated borrow ings Surplus provisions relative to expected losses eligible under the internal ratings based approach and general credit risk adjustments under the 1,250 1,250 1,985 1,985 standardised approach (3) Tier 2 instruments of entities operating mainly in the insurance sector in w hich the institution has a significant investment deducted from Tier 2 capital (3,787) (3,912) (3,314) (3,846) Transitional adjustments and other deductions (279) (279) (240) (240) TIER 2 CAPITAL 14,043 13,512 16,740 15,775 TOTAL CAPITAL 99,604 96, ,667 96,659 TOTAL RISK WEIGHTED ASSETS 519, , , ,963 CET1 ratio 15.0% 15.0% 14.4% 14.5% Tier 1 Ratio 16.5% 16.0% 16.1% 15.5% Total capital ratio 19.2% 18.6% 19.3% 18.6% (1) This line is detailed in the table below Reconciliation of accounting and regulatory capital. (2) Financial-sector CET1 instruments in w hich the institution holds a significant stake account for 4,884 million, and the deferred taxes that rely on future profitability arising from temporary differences amount to 1,236 million on a fully loaded basis as at 30 June (3) The transfer to Tier 2 of the surplus provisions relative to eligible expected losses determined in accordance w ith the internal ratings-based approach is limited to 0.6% of risk-weighted assets under IRB. In addition, general credit risk adjustments gross of tax effects may be included up to 1.25% of risk-weighted assets under the standardised approach. 6/41

7 The fully loaded Common Equity Tier 1 (CET1) capital amounted to 77.9 billion at 30 June 2017, up 2.4 billion compared with year-end The non-recurring events that affected CET1 in the first half of 2017 firstly concern the Amundi capital increase intended to fund the acquisition of Pioneer Investments, Unicredit's asset management subsidiary (the acquisition will be finalised in the third quarter), and the disposal of Crédit Agricole S.A.'s entire holding in Eurazeo. The first transaction had an impact of 0.3 billion on CET1. The disposal of Eurazeo generated a positive impact of 0.1 billion. For recurring changes (and so excluding Eurazeo), the retained prudential net income amounted to 3.2 billion. Details of residual changes are shown under detailed ratios categories. The detail of fully loaded Common Equity Tier 1 (CET1) capital is as follows: capital and reserves on a fully loaded basis rose by 2.3 billion compared with 2016 year-end, to 93.8 billion, mainly due to retained prudential net income amounting to 3.3 billion, the issuing of mutual shares for 0.1 billion and to the 0.1 billion impact of the acquisition of Pioneer Investments on the reserves. Conversely, the drop in unrealised gains and losses stood at 0.6 billion, translation adjustments, net of the foreign currency impact of AT1 issues, had a negative impact of 0.4 billion and AT1 coupons represented an expense of just over 0.2 billion for CET1; fully loaded non-controlling interests amounted to 1.5 billion, up 0.3 billion, mainly due to the effect of the acquisition of Pioneer Investments (for 0.2 billion); the deduction for prudent valuation amounted to 1.1 billion, up 0.3 billion; deductions of goodwill and other intangible assets were stable at 15.7 billion; deferred tax assets (DTA) which are dependent on future profitability related to tax loss carryforwards were stable and amounted to less than 0.1 billion; the provision deficit in relation to the expected loss on IRB exposures amounted is stable at 0.4 billion at 30 June 2017; CET1 instruments of significant financial stakes (over 10%) were up 0.1 billion and amounted to 4.9 billion. They are the subject of an exemption threshold with no exceeds. Deferred tax assets (DTA) that rely on future profitability arising from temporary differences amounted to 1.2 billion at 30 June 2017, down 0.4 billion on 31 December The latter are subject to the calculation of an exemption threshold and are treated as riskweighted assets and weighted at 250%. The phased-in Common Equity Tier 1 (CET1) capital stood at 77.9 billion at 30 June 2017 similar to fully loaded amount. In summary, the negative impact from the 0.5 billion phasing on unrealized capital gains and losses was offset by the positive impact of the reinstatement of non-controlling interests of 0.4 billion and of the phasing of own shares deduction of 0.1 billion. Fully loaded Tier 1 capital came in at 83 billion, up 2.1 billion compared to 31 December 2016, with additional Tier 1 capital down 0.3 billion. This change was attributable to: the hybrid securities included in Tier 1 capital eligible under Basel 3, which amounted to 5.3 billion, down 0.3 billion due to an unfavourable foreign currency impact; the entire stock prior to 1 January 2014, or 3.1 billion, was ineligible; AT1 and T2 instruments mainly concerning the insurance sector in which the group does not have any significant investment amounted of 0.1 billion, unchanged from 31 December Other deductions of 0.1 billion, unchanged from 31 December Phased-in Tier 1 capital amounted to 85.6 billion and was down 1.6 billion on 31 December 2016 with additional Tier 1 capital down 1.3 billion. This change comprises the fully loaded changes detailed above and the phasedin changes. The latter was mainly attributable to: "grandfathered" securities, which fell by 1.4 billion, mainly due to partial redemptions of 1.3 billion in the context of a liability management transaction and a negative foreign currency impact of 0.1 billion. The total amount of grandfathered securities thus remains below the level authorised by the grandfathering provision, which makes it possible to include, in addition to the CRR/CRD 4-eligible instruments, an amount of debt equivalent to a maximum of 50% of the base at 31 December 2012; subordinated loans and receivables from credit institutions and insurance companies, all representative of Tier 2 instruments, which are deducted for their share of the deduction from Tier 1. This item, impacted by the change in the phasing percentage, amounted to 0.5 billion at 30 June 2017, representing a decrease of 0.4 billion from 31 December /41

8 Fully loaded Tier 2 capital amounted to 13.5 billion, down 2.3 billion from 31 December This change was attributable to: the hybrid securities included in category 2 capital eligible under Basel 3, which amounted to 16.5 billion, or 1.4 billion lower than at 31 December A number of redemptions were completed in the half year, amounting to 0.5 billion. Regulatory haircuts had an impact of 0.7 billion, and the foreign exchange impact was negative to the tune of 0.2 billion; surplus provisions relative to expected losses under the internal ratings-based approach were down 0.7 billion at 30 June 2017 mainly due to an update of ratings on the retail banking counterparts; subordinated loans and receivables from credit institutions and insurance companies, all representative of Tier 2 instruments, were deducted in full from Tier 2 in the amount of 3.9 billion on a fully loaded basis, up nearly 0.1 billion on 31 December 2016; the other deductions now include a deduction from the redemption ceiling for Tier 2 instruments of 0.3 billion, unchanged from 31 December 2016; Phased-in Tier 2 capital was 14 billion, down 2.7 billion from 31 December This change comprises the fully loaded changes above and the phased-in changes. The latter was mainly attributable to: 0.4 billion of non-eligible instruments, unchanged from 31 December 2016; subordinated loans and receivables from credit institutions and insurance companies, for their share allocated as a Tier 2 deduction, which amounted to 3.8 billion, an increase of 0.5 billion on 31 December 2016, due mainly to the change in the phasing percentage. In all, fully loaded total capital at 30 June 2017 stood at 96.5 billion, down 0.2 billion on 31 December At 99.6 billion, phased-in total capital was 1.1 billion lower than at 31 December This regulatory capital does not take into account the non-preferred senior debt issues that are discussed in paragraph 2.5. MREL/TLAC ratio. 8/41

9 2.2 Capital adequacy ratios of the Regional Banks (1) as at 30 June /06/ /12/2016 In euros millions Phased in Fully loaded Phased in Fully loaded CET1 44,624 44,208 44,780 44,237 Additional Tier Tier 1 44,624 44,208 44,780 44,237 Tier ,000 Total capital ,003 44,792 45,237 Credit risk 238, , , ,120 Market risk Operational risk 15,308 15,308 15,357 15,357 Risk w eighted assets 253, , , ,477 CET1 capital adequacy ratio 17.6% 17.5% 18.2% 18.0% Tier 1 capital adequacy ratio 17.6% 17.5% 18.2% 18.0% Total capital adequacy ratio 17.7% 17.8% 18.2% 18.4% (1) Total of the 38 Regional Banks (excluding Caisse Régionale de Corse) The CET1 capital adequacy ratio (fully loaded) for all the Regional Banks (excluding Corsica) decreased by 0.5% in the first half of 2017 to 17.5%. Risk weighted assets (fully loaded) now stand at billion, an increase of 7.8 billion. This increase resulted primarily from strong business momentum and a methodological effect on the credit risk of the portfolio (+ 2.6 billion) Total capital remains solid at 45 billion. Lastly, you are reminded that the Regional Banks granted a guarantee, on a joint and several basis, to third-party creditors of Crédit Agricole S.A., up to the total amount of their capital and reserves, if the assets of Crédit Agricole S.A. are found to be insufficient at the end of bankruptcy or dissolution proceedings. Furthermore, Crédit Agricole S.A., in its capacity as Central Body, is responsible for the solvency and liquidity of the Regional Banks. Consequently, the international rating agencies give identical ratings to Crédit Agricole S.A. and Regional Bank issue programmes. 2.3 Conglomerate ratio The conglomerate ratio is defined on page 52 of the 2016 Crédit Agricole Group consolidated risk report. As of 30 june 2017, the conglomerate ratio of Crédit Agricole group based on Solvency 2 adequacy was 167% on a phased-in basis, a level far above the required 100%. The group therefore has more than one and half the level of capital minimum requirements for both banking and insurance activities. 2.4 Leverage ratio Leverage ratio calculation and publication method is defined on page 52 of the 2016 Crédit Agricole Group consolidated risk report. As of 30 june 2017, the leverage ratio of Crédit Agricole group was 5.8% based on a phased-in Tier /41

10 CRR leverage ratio exposures 1 On-balance sheet items (excluding derivatives, SFT) 1,151,237 2 (Asset amounts deducted in determining Tier 1 capital) - 18, Total on-balance sheet exposures (excluding derivatives, SFTs and fiduciary assets) (sum of lines 1 and 2) 1,132,304 Derivative exposures - Replacement cost associated w ith all derivatives transactions (ie net of eligible cash variation margin) 17,531 5 Add-on amounts for PFE associated w ith all derivatives transactions (mark-to-market method) 30,709 5a Exposure determined under Original Exposure Method - 6 Gross-up for derivatives collateral provided w here deducted from the balance sheet assets pursuant to the applicable accounting framew ork 7 (Deductions of receivables assets for cash variation margin provided in derivatives transactions) - 19,119 8 (Exempted CCP leg of client-cleared trade exposures) - 1,410 9 Adjusted effective notional amount of w ritten credit derivatives 16, (Adjusted effective notional offsets and add-on deductions for w ritten credit derivatives) - 11, Total derivative exposures (sum of lines 4 to 10) 36, Securities financing transaction exposures - Gross SFT assets (w ith no recognition of netting), after adjusting for sales accounting transactions 3, , (Netted amounts of cash payables and cash receivables of gross SFT assets) - 160, Counterparty credit risk exposure for SFT assets 5,820 14a Derogation for SFTs: Counterparty credit risk exposure in accordance w ith Article 429ter and 222 of Regulation (EU) No 575/ Agent transaction exposures - 15a (Exempted CCP leg of client-cleared SFT exposure) - 16 Total securities financing transaction exposures (sum of lines 12 to 15a) 151,576 Other off-balance sheet exposures - 17 Off-balance sheet exposures at gross notional amount 311, (Adjustments for conversion to credit equivalent amounts) - 147, Other off-balance sheet exposures (sum of lines 17 to 18) 163,911 Exempted exposures in accordance w ith CRR Article 429 (7) and (14) (on and off balance sheet) (Exemption of intragroup exposures (solo basis) in accordance w ith Article 429(7) of 19a Regulation (EU) No 575/2013 (on and off balance sheet)) (Exposures exempted in accordance w ith Article 429 (14) of Regulation (EU) No 575/2013 (on and 19b off balance sheet)) Capital and total exposures - 20 Tier 1 capital 85, Total leverage ratio exposures (sum of lines 3, 11, 16, 19, EU-19a and EU-19b) 1,484,363 Leverage ratio 22 Leverage ratio 5.8% Choice on transitional arrangements and amount of derecognised fiduciary items 23 Choice on transitional arrangements for the definition of the capital measure Phased in 24 Amount of derecognised fiduciary items in accordance w ith Article 429(11) of Regulation (EU) NO 575/ /41

11 Table LRSum: Summary reconciliation of accounting assets and leverage ratio exposures Applicable Amounts 1 Total assets as per published financial statements 1,741,462 Adjustment for entities w hich are consolidated for accounting purposes but are outside 2 the scope of regulatory consolidation (Adjustment for fiduciary assets recognised on the balance sheet pursuant to the 3 applicable accounting framew ork but excluded from the leverage ratio exposure measure in accordance w ith Article 429(13) of Regulation (EU) No 575/2013 ''CRR'') - 332,252 4 Adjustments for derivative financial instruments - 102,864 5 Adjustments for securities financing transactions''sfts'' 33,039 Adjustment for off-balance sheet items (ie conversion to credit equivalent amounts of offbalance sheet exposures) 6 (Adjustment for intragroup exposures excluded from the leverage ratio exposure 6a measure in accordance w ith Article 429 (7) of Regulation (EU) No 575/2013) (Adjustment for exposures excluded from the leverage ratio exposure measure in 6b accordance w ith Article 429 (14) of Regulation (EU) No 575/2013) - 163,911 7 Other adjustments - 18,933 8 Total leverage ratio exposure 1,484, Table LRSpl: Split-up of on balance sheet exposures (excluding derivatives and SFTs) CRR leverage ratio exposures 1 Total on-balance sheet exposures (excluding derivatives, SFTs, and exempted exposures), of w hich: 1,151,237 2 Trading book exposures 7,181 3 Banking book exposures, of w hich: 1,144,056 4 Covered bonds 4,629 5 Exposures treated as sovereigns 186,332 6 Exposures to regional governments, MhB, international organisations and PSE NOT treated as sovereigns 33,139 7 Institutions 54,325 8 Secured by mortgages of immovable properties 12,690 9 Retail exposures 507, Corporate 254, Exposures in default 23, Other exposures (eg equity, securitisations, and other non-credit obligation assets) 67,668 11/41

12 1 Description of the procedures used to manage the risk of excessive leverage The leverage ratio is not sensitive to risk factors and, on this basis, it is considered to be a measurement that supplements the solvency and liquidity risk management system (solvency ratio/resolution ratio) already limiting the size of the balance sheet. Within the framework of monitoring excessive leverage, controls at Group level set limits on the size of the balance sheet for some businesses that use few riskweighted assets. 2 Description of factors which had an impact on the leverage ratio during the period to which the leverage ratio reported by the institution relates 2.5 MREL/TLAC RATIO MREL ratio The MREL ratio and its application by the Crédit Agricole Group are described on page 55 of the 2016 Crédit Agricole Group consolidated risk report. Since September 2015, Crédit Agricole Group has already reached an MREL ratio of 8% excluding preferred senior debt, which, in the event of resolution, would enable recourse to the European resolution fund before applying the bail-in to preferred senior debt, creating an additional level of protection for preferred senior investors. Crédit Agricole Group, will be subject to a MREL target defined by the resolution authority, which could be different from the target goal of 8% retained by the Group. The Group had set itself the objective of reaching the ratio of 8% excluding preferred senior debt by the end of In 2016, the CRU only sent the Group an indicative MREL target, which included potentially eligible preferred senior debt (3), which is non-binding at the consolidated level. By the end of 2017, the CRU could set a MREL requirement for the Group at the consolidated level and take its first MREL decisions at the individual level. At 30 June 2017, Crédit Agricole Group posted a MREL ratio estimated at 8.5% excluding potentially eligible preferred senior debt. TLAC ratio The TLAC ratio and its application by the Crédit Agricole Group are described on page 55 of the 2016 Crédit Agricole Group consolidated risk report. Crédit Agricole Group must comply with a TLAC ratio in excess of 19.5% (including a capital conservation buffer of 2.5% and a G-SIB buffer of 1%) from 2019, then 21.5% from Crédit Agricole Group aims to comply with these TLAC requirements, excluding eligible preferred senior debt, subject to changes in methods of calculating risk-weighted assets. At 30 June 2017, the TLAC ratio relative to risk weighted assets was estimated at 20.8% (1) for the Crédit Agricole Group, not including eligible preferred senior debt. ( 3 ) Estimate based on our current understanding of the texts. 12/41

13 3. Composition and change in regulatory capital 3.1 COMPOSITION OF CAPITAL Ow n funds disclosure as of 30 June 2017 Numbering (Phased-in) Phased-in Fully-loaded Common Equity Tier 1 capital : instruments and reserves 1 Capital instruments and the related share premium accounts 20,952 20,952 of w hich : Crédit Agricole S.A. shares 8,824 8,824 of w hich : Regional Banks' mutual shares (CCI/CCA) 5,634 5,634 of w hich : Local Banks' mutual shares 6,494 6,494 2 Retained earnings Accumulated other comprehensive income (and other reserves, to include unrealised gains and losses under the applicable accounting standards) 30 JUNE ,324 70,324 3a Funds for general banking risk 4 Amount of qualifying items referred to in Article 484 (3) and the related share premium accounts subject to phase out from CET1 Public sector capital injections grandfathered until 1 January Minority interests (amount allow ed in consolidated CET1) 1,776 1,361 5a 6 Independently review ed interim profits net of any foreseeable charge or dividend Common Equity Tier 1 (CET1) capital before regulatory adjustments Common Equity Tier 1 capital : regulatory adjustments 93,052 92,638 7 Additional value adjustments (negative amount) - 1,077-1,077 8 Intangible assets (net of related tax liability) (negative amount) - 15,747-15,747 9 Empty set in the EU 10 Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of related tax liability w here the conditions in Article 38 (3) are met) (negative amount) Fair value reserves related to gains or losses on cash flow hedges Negative amounts resulting from the calculation of expected loss amounts Any increase in equity that results from securitised assets (negative amount) Gains or losses on liabilities valued at fair valur resulting from changes in ow n credit standing Defined-benefit pension fund assets (negative amount) Direct and indirect holdings by an institution of ow n CET1 instruments (negative amount) Holdings of the CET1 instruments of financial sector entities w here those entities have reciprocal cross holdings w ith the institution designed to inflate artificially the ow n funds of the institution (negative amount) Direct and indirect holdings by the institution of the CET1 instruments of financial sector entities w here the institution does not have a significant investment in those entities (amount above 10% threshold and net of eligible short positions) (negative amount) Direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities w here the institution has a significant investment in those entities (amount above 10% threshold and net of eligible short positions) (negative amount) Empty set in the EU 13/41

14 Numbering (Phased-in) 20a 20b Phased-in Fully-loaded Exposure amount of the follow ing items w hich qualify for a RW of 1250%, w here the institution opts for the deduction alternative of w hich: qualifying holdings outside the financial sector (negative amount) c of w hich: securitisation positions (negative amount) 20d of w hich: free deliveries (negative amount) 21 Deferred tax assets arising from temporary differences (amount above 10% threshold, net of related tax liability w here the conditions in Article 38 (3) are met) (negative amount) 22 Amount exceeding the 15% threshold (negative amount) 23 of w hich: direct and indirect holdings by the institution of the CET1 instruments of financial sector entities w here the institution has a significant investment in those entities 24 Empty set in the EU 25 of w hich: deferred tax assets arising from temporary differences 25a Losses for the current financial year (negative amount) b Foreseeable tax charges relating to CET1 items (negative amount) 26 26a 26b Regulatory adjustments applied to Common Equity Tier 1 in respect of amounts subject to pre-crr treatment Regulatory adjustments relating to unrealised gains and losses pursuant to Articles 467 and Of w hich: unrealised gains (phase out) Of w hich: unrealised losses (phase out) Of w hich: unrealised gains linked to exposures to central administrations (phase out) Of w hich: unrealised losses linked to exposures to central administrations (phase out) Amount to be deducted from or added to Common Equity Tier 1 capital w ith regard to additional filters and deductions required pre CRR Qualifying AT1 deductions that exceed the AT1 capital of the institution (negative amount) Total regulatory adjustments to Common Equity Tier 1 (CET1) ,542-18, Common Equity Tier 1 (CET1) capital 74,510 74,487 Additional Tier 1 (AT1) capital: instruments 30 Capital instruments and the related share premium accounts 5,292 5, of w hich: classified as equity under applicable accounting standards 5,292 5, of w hich: classified as liabilities under applicable accounting standards Amount of qualifying items referred to in Article 484 (4) and the related share premium accounts subject to phase out from AT1 3, Public sector capital injections grandfathered until 1 January 2018 Qualifying Tier 1 capital included in consolidated AT1 capital (including minority interests not included in row 5) issued by subsidiaries and held by third parties 35 of w hich: instruments issued by subsidiaries subject to phase out 36 Additional Tier 1 (AT1) capital before regulatory adjustments 8,389 5,292 14/41

15 Numbering (Phased-in) Phased-in Fully-loaded Additional Tier 1 (AT1) capital: regulatory adjustments Direct and indirect holdings by an institution of ow n AT1 instruments (negative amount) Holdings of the AT1 instruments of financial sector entities w here those entities have reciprocal cross holdings w ith the institution designed to inflate artificially the ow n funds of the institution (negative amount) Direct and indirect holdings by the institution of the AT1 instruments of financial sector entities w here the institution does not have a significant investment in those entities (amount above 10% threshold and net of eligible short positions) (negative amount) Direct and indirect holdings by the institution of the AT1 instruments of financial sector entities w here the institution has a significant investment in those entities (amount above 10% threshold and net of eligible short positions) (negative amount) Regulatory adjustments applied to Additional Tier 1 in respect of amounts subject to pre-crr treatment and transitional treatments subject to phase out as prescribed in Regulation (EU) No 575/2013 (i.e. CRR residual amounts) a 41b Residual amounts deducted from Additional Tier 1 capital w ith regard to deduction from Common Equity Tier 1 capital during the transitional period pursuant to article 472 of Regulation (EU) No 575/2013 Residual amounts deducted from Additional Tier 1 capital w ith regard to deduction from Tier 2 capital during the transitional period pursuant to article 475 of Regulation (EU) No 575/ c Amount to be deducted from or added to Additional Tier 1 capital w ith regard to additional filters and deductions required pre CRR Qualifying T2 deductions that exceed the T2 capital of the institution (negative amount) Total regulatory adjustments to Additional Tier 1 (AT1) capital Additional Tier 1 (AT1) capital 7,708 5, Tier 1 capital (T1=CET1+AT1) 82,218 79,584 Tier 2 (T2) capital: instruments and provisions 46 Capital instruments and the related share premium accounts 16,453 16, Amount of qualifying items referred to in Article 484 (5) and the related share premium accounts subject to phase out from T Public sector capital injections grandfathered until 1 January Qualifying ow n funds instruments included in consolidated T2 capital (including minority interests and AT1 instruments not included in row s 5 and 34) issued by subsidiaries and held by third parties 49 of w hich: instruments issued by subsidiaries subject to phase out 50 Credit risk adjustments 1,250 1, Tier 2 (T2) capital before regulatory adjustments 18,109 17,703 15/41

16 Numbering (Phased-in) Phased-in Fully-loaded Tier 2 (T2) capital: regulatory adjustments Direct and indirect holdings by an institution of ow n T2 instruments and subordinated loans (negative amount) Holdings of the T2 instruments and subordinated loans of financial sector entities w here those entities have reciprocal cross holdings w ith the institution designed to inflate artificially the ow n funds of the institution (negative amount) Direct and indirect holdings by the institution of the T2 instruments and subordinated loans of financial sector entities w here the institution does not have a significant investment in those entities (amount above 10% threshold and net of eligible short positions) (negative amount) a Of w hich new holdings not subject to transitional arrangements 54b Of w hich holdings existing before 1 January 2013 and subject to transitional arrangements Direct and indirect synthetic holdings by the institution of the T2 instruments and subordinated loans of financial sector entities w here - the institution has a significant investment in those entities (net of 3,912-3,912 eligible short positions) (negative amount) Regulatory adjustments applied to Tier 2 in respect of amounts subject to pre-crr treatment and transitional treatments subject to phase out as prescribed in Regulation (EU) No 575/2013 (i.e. CRR residual amounts) 56a Residual amounts deducted from Tier 2 capital w ith regard to deduction from Common Equity Tier 1 capital during the transitional period pursuant to article 472 of Regulation (EU) No 575/ b Residual amounts deducted from Tier 2 capital w ith regard to deduction from Additional Tier 1 capital during the transitional period pursuant to article 475 of Regulation (EU) No 575/ c Amount to be deducted from or added to Tier 2 capital w ith regard to additional filters and deductions required pre CRR Total regulatory adjustments to Tier 2 (T2) capital - 4,066-4, Tier 2 (T2) capital 14,043 13, Total capital (TC=T1+T2) 96,261 93,096 59a Risk w eighted assets in respect of amounts subject to pre- CRR treatment and transitional treatments subject to phase out as prescribed in Regulation (EU) No 575/2013 (i.e. CRR residual amounts) 18,074 18,074 Of w hich: CET1 instruments of financial sector entities not deducted from CET1 (Regulation (EU) No 575/2013 residual amounts) 14,066 14,066 Of w hich: Deferred tax assets that rely on future profitability and arising from temporary differences not deducted from CET1 (Regulation (EU) No 575/2013 residual amounts) Of w hich: AT1 instrument of financial sector entities not deducted from AT1 (Regulation (EU) No 575/2013 residual amounts) Of w hich: Tier 2 instrument of financial sector entities not deducted from Tier 2 (Regulation (EU) No 575/2013 residual amounts) 3,090 3, Total risk w eighted assets 519, ,880 16/41

17 Numbering (Phased-in) Capital ratios and buffers Phased-in Fully-loaded 61 Common Equity Tier 1 (as a percentage of risk exposure amount) 14.33% 14.33% 62 Tier 1 (as a percentage of risk exposure amount) 15.81% 15.31% 63 Total capital (as a percentage of risk exposure amount) 18.52% 17.91% 64 Institution specific buffer requirement (CET1 requirement in accordance w ith article 92 (1) (a) plus capital conservation and countercyclical buffer requirements, plus systemic buffer, plus the systemically important institution buffer (G-SII or O-SII buffer), expressed as a percentage of risk exposure amount) 1.76% 3.51% 65 of w hich: capital conservation buffer requirement 1.25% 2.50% 66 of w hich: countercyclical buffer requirement 0.01% 0.01% 67 of w hich: systemic risk buffer requirement 0.00% 0.00% 67a of w hich: Global Systemically Important Institution (G-SII) or Other Systemically Important Institution (O-SII) buffer 0.50% 1.00% 68 Common Equity Tier 1 available to meet buffers (as a percentage of risk exposure amount) 9.83% 9.83% 69 [non relevant in EU regulation] 70 [non relevant in EU regulation] 71 [non relevant in EU regulation] Amounts below the thresholds for deduction (before risk w eighting) Direct and indirect holdings of the capital of financial sector entities w here the institution does not have a significant investment in those entities (amount below 10% threshold and net of eligible short positions) Direct and indirect holdings by the institution of the CET1 instruments of financial sector entities w here the institution has a significant investment in those entities (amount below 10% threshold and net of eligible short positions) 1,120 1,120 4,884 4, Empty set in the EU 75 Deferred tax assets arising from temporary differences (amount below 10% threshold, net of related tax liability w here the conditions in Article 38 (3) are met) Applicable caps on the inclusion of provisions in Tier 2 1,236 1, Credit risk adjustments included in Tier 2 in respect of exposures subject to standardized approach (prior to the application of the cap) Cap on inclusion of credit risk adjustments in T2 under standardized approach Credit risk adjustments included in Tier 2 in respect of exposures subject to internal ratings-based approach (prior to the application of the cap) Cap on inclusion of credit risk adjustments in T2 under internal ratingsbased approach Capital instruments subject to phase-out arrangements (only applicable between 1 Jan 2013 and 1 Jan 2022) 1,437 1,437 2,048 2,048 1,468 1, Current cap on CET1 instruments subject to phase out arrangements 81 Amount excluded from CET1 due to cap (excess over cap after redemptions and maturities) 82 Current cap on AT1 instruments subject to phase out arrangements 4, Amount excluded from AT1 due to cap (excess over cap after redemptions and maturities) 84 Current cap on T2 instruments subject to phase out arrangements 1, Amount excluded from T2 due to cap (excess over cap after redemptions and maturities) 17/41

18 Tier 1 capital This includes Common Equity Tier 1 (CET1) and Additional Tier 1 capital (AT1): Common Equity Tier 1 (CET1) The definition of CET1 is given on page 62 of the 2016 Crédit Agricole Group consolidated risk report. Additionnal Tier 1 capital (AT1) A dditional Tier 1 capital eligible on a fully loaded basis under Basel 3 The definition of fully loaded AT1 capital eligible under Basel 3 is given on page 62 of the 2016 Crédit Agricole Group consolidated risk report. The five Basel 3 eligible AT1 issues have two bail-in mechanisms that are triggered if: Crédit Agricole S.A. Group s phased-in CET1 ratio drops below 5.125%; Crédit Agricole Group s phased-in CET1 ratio falls below 7%. At 30 June 2017, the phased-in ratios of Crédit Agricole S.A. and of Crédit Agricole Group were 12.5% and 15.0% respectively. Thus, they represent capital buffers of 21.8 billion (for Crédit Agricole S.A. s threshold) and 41.5 billion (for Crédit Agricole Group s threshold) relative to the bail-in thresholds. At 30 June 2017, there were no applicable restrictions on the payment of coupons. At 30 June 2017, the potentially distributable items of Crédit Agricole S.A. totalled 38.1 billion, including 25.9 billion in distributable reserves and 12.2 billion in share premiums. Additional Tier 1 capital eligible on a phased-in basis During the transitional phase, the amount of Tier 1 included in the ratios represents: additional Tier 1 capital eligible under Basel 3 (AT1); and a fraction of the ineligible Tier 1, equal to the lower of: the regulatory amount of ineligible Tier 1 instruments on the closing date (after amortisation, any calls, redemptions, etc.), including preferred shares, 50% (threshold for 2017) of the Tier 1 stock at 31 December The Tier 1 stock at 31 December 2012 stood at 9,313 million, with a maximum possible amount of 4,657 million being recognised. The amount of Tier 1 capital exceeding this regulatory threshold is included in phased-in Tier 2, up to the regulatory threshold applicable to Tier 2. 18/41

19 Tier 2 Capital The definition of Tier 2 capital is given on page 63 of the 2016 Crédit Agricole Group consolidated risk report. The subordinated debt is presented below with the distinction existing at 31 December 2013 between undated subordinated debt and participating securities, on the one hand, and dated subordinated notes, on the other hand. The amount of Tier 2 included in the ratios represents: on a fully loaded basis: CRD 4 eligible Tier 2; on a phased-in basis: CRD 4 eligible Tier 2, plus the lower of: regulatory ineligible Tier 2 securities at the closing date and, as applicable, the remainder of Tier 1 securities exceeding the 50% threshold (threshold for 2017) of ineligible Tier 1 securities, 50% (threshold for 2017) of the CRD 4 ineligible Tier 2 stock at 31 December The CRD 4 ineligible Tier 2 stock at 31 December 2012 stood at 3,161 million, or a maximum recognisable amount of 1,581 million. The detailed characteristics of Common Equity Tier 1 capital, components of Additional Tier 1 capital and components of Tier 2 Capital are available on the website: under the heading Pillar 3 and other regulatory information. 19/41

20 3.2 RECONCILIATION OF ACCOUNTING AND REGULATORY CAPITAL 30/06/ /12/2016 Phased-in Fully loaded Phased-in Fully loaded Equity, Group share (carrying amount) 100, ,108 98,628 98,628 Expected dividend payment on result of year Y Expected result distribution (535) (535) (954) (954) Filtered unrealised gains/(losses) on change in own credit risk on structured products Filtered unrealised gains/(losses) on change in own credit risk on derivatives (23) (29) (46) (77) Filtered unrealised gains/(losses) on cash flow hedges (412) (412) (544) (544) Transitional regime applicable to unrealised gains/(losses) (485) 0 (1,230) 0 AT1 instruments included in equity (carrying amount) (5,011) (5,011) (5,011) (5,011) Other regulatory adjustments (645) (647) (730) -734 Capital and reserves Group share (1) 93,330 93,807 90,331 91,526 Minority interests (carrying amount) 5,357 5,357 4,546 4,546 (-) items not recognised under regulatory framework (2) (3,506) (3,902) (2,864) (3,398) Minority interests (1) 1,851 1,455 1,682 1,148 (-) Prudent valuation (1,077) (1,077) (809) (809) Deductions of goodwill and other intangible assets (15,747) (15,747) (15,767) (15,767) Deferred tax assets that rely on future profitability not arising from temporary differences Shortfall in adjustments for credit risk relative to expected losses under the internal ratings-based approach deducted from the CET1 (41) (52) (35) (59) (389) (389) (391) (391) Amount exceeding the exemption threshold for CET1 instruments of financial stakes in which the institution owns a significant holding and of the deductible deferred tax assets that rely on future profitability arising from temporary differences Amount exceeding the exemption threshold for CET1 instruments of financial stakes in which the institution owns under 10% Other CET1 components (74) (138) (62) (181) Total CET1 77,853 77,859 74,949 75,467 AT1 equity instruments (including preferred shares) 8,388 5,292 10,124 5,616 Tier 1 or Tier 2 instruments of financial-sector entities in which the institution holds a significant investment deducted fromtier 1 capital (542) (121) (953) (124) Transitional adjustments and deductions (74) (74) (75) (75) Other components of Tier 1 capital (64) 0 (118) 0 Total Additional Tier 1 7,708 5,097 8,978 5,417 TOTAL TIER 1 85,561 82,956 83,927 80,884 Tier 2 equity instruments 16,859 16,453 18,309 17,876 Surplus provisions relative to expected losses eligible under the internal ratings based approach ,474 1,474 General credit risk adjustments under the standardised approach Tier 2 instruments of entities operating mainly in the insurance sector in which the institution has a significant investment deducted from Tier 2 capital (3,787) (3,912) (3,314) (3,846) Transitional adjustments and deductions (279) (279) (240) (240) Total Tier 2 14,043 13,512 16,740 15,775 Total capital 99,604 96, ,667 96,659 (1) This item can be found in the table of ratios, section Indicators and regulatory ratios, item 1: solvency ratio. (2) Of which 1.7 billion of hybrid securities issued by Crédit Agricole Assurances. 20/41