Update of pillar 3 of Crédit Agricole Group at 30 June 2018

Transcription

1 Update of pillar 3 of Crédit Agricole Group at 30 June 2018 Contents Basel 3 Pillar 3 Disclosures Management of regulatory capital Management of economic capital Composition and changes in risk-weighted assets /45

2 Basel 3 Pillar 3 Disclosures Regulation (EU) no. 575/2013 of the European Parliament and of the Council of 26 June 2013 (Capital Requirements Regulation or CRR ) requires relevant financial institutions (notably credit institutions and investment firms) 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 and in the section entitled Risk Factors of this update to the 2017 Registration Document. Basel 3 focuses on three Pillars: Pillar 1 sets the minimum capital adequacy requirements and level of ratios in accordance with the current regulatory framework; Pillar 2 completes the regulatory approach with the quantification of a capital requirement covering the major risks to which the Bank is exposed, on the basis of methodologies specific to it (see part 2: "Management of economic capital"); Pillar 3 introduces new standards for financial disclosure to the market; the latter is more detailed in terms of regulatory capital components and risk assessments, both for the regulations applied and the business during the period. 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). 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, which 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 quantification of capital requirements 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, which aim to simulate the destruction of capital after a three-year adverse economic scenario (see Chapter 5, "Risk Factors: Different types of stress tests ", of the 2017 Registration Document); the management of economic capital (see part 2 - Economic capital management ); and a qualitative ICAAP that formalises 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: Internal Liquidity Adequacy and Assessment Process), risk appetite, budget process, recovery plan, risk identification, etc.). 2/45

3 In addition to solvency, Crédit Agricole S.A. also manages leverage and resolution ratios (MREL & TLAC) on behalf of Crédit Agricole Group. Lastly, the major solvency ratios are an integral part of the risk appetite management system applied within the Group (described in Chapter 5, "Risk Factors"", of the 2017 Registration Document). 1. MANAGEMENT OF REGULATORY CAPITAL Qualitative and quantitative information on capital management under IAS 1 are presented in sections 1.1, and in this chapter. When they are covered by the Statutory Auditors' opinion, these information are identified by a dedicated footnote, as following: Information covered by the Statutory Auditors' opinion. 1.1 Applicable regulatory framework Tightening up the regulatory framework, Basel 3 agreements enhanced the quality and level of regulatory capital required and added new risk categories to the regulatory framework. The legislation concerning the regulatory requirements applicable to credit institutions and investment firms was published in the Official Journal of the European Union on 26 June 2013 (directive 2013/36/EU, known as CRD 4, transposed notably by Order no of 20 February 2014 and the Capital Requirements Regulation, CRR ) and entered into force on 1 January 2014, in accordance with the transitional provisions specified in the legislation. Under CRR/CRD 4, three levels of solvency ratio are calculated: the Common Equity Tier 1 ratio (CET1); the Tier 1 (T1) ratio; the total capital ratio. These ratios are to be phased-in so that the transition from the Basel 2 calculation rules to the Basel 3 rules can be managed in a gradual way. Transitional processing ended on 1 January 2018, except for those related to hybrid debt instruments which will end on 1 January 2022 (see point "Transitional implementation"). Two other families of ratios are added to this system: the leverage ratio; the resolution ratios. Each of these ratios links an amount of regulatory capital to a risk exposure. The definitions and calculations are covered in the following sections. The minimum requirements applicable to Crédit Agricole S.A. Group and Crédit Agricole Group are complied with. Information covered by the Statutory Auditors' opinion. 3/45

4 1.2 Supervision Credit institutions and certain investment activities referred to in Annex 1 of Directive 2004/39/EC are subject to solvency ratios and large exposure ratios on an individual, and where applicable, sub-consolidated basis. The French Regulatory Control and Resolution Authority (ACPR) has accepted that certain subsidiaries of the Group may benefit from individual exemption or, as necessary, on a sub-consolidated basis in the conditions specified by Article 7 of the CRR Regulation. As such, Crédit Agricole S.A. has been exempted by the ACPR from application on an individual basis. The transition to single supervision on 4 November 2014 by the European Central Bank did not call into question the individual exemptions previously granted by the ACPR. 1.3 Regulatory supervision 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 Note 10 to the consolidated financial statements, Scope of consolidation at 31 June DIFFERENCES IN THE TREATMENT OF EQUITY INVESTMENTS BETWEEN THE ACCOUNTING AND REGULATORY SCOPES Type of equity investment Accounting treatment Fully loaded Basel 3 regulatory treatment Subsidiaries with financial operations Fully consolidated Consolidation by the full consolidation method generating a capital requirement for the subsidiary's operations. Jointly held subsidiaries with financial operations Equity Accounted Proportional consolidation. Subsidiaries with insurance operations Fully consolidated Regulatory treatment of these equity investments using equity accounting method, since the Group is identified as being a financial conglomerate : CET1 instruments weighted at 370% (for non-listed entities), with ELequity at 2.4%, subject to approval by the banking supervisor; otherwise, deduction of the subsidiary's CET1 financial instruments from the Group's total CET1 instruments; AT1 and Tier 2 instruments deducted from the total of equivalent financial instruments of the Group. In turn, as in previous years, Crédit Agricole S.A. Group and Crédit Agricole Group are subject to additional capital requirements and capital adequacy ratios applying to financial conglomerates. Equity investments of over 10% with operations that are financial in nature Equity Accounted Equity investments in credit institutions 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 non-deducted portion of deferred tax assets that rely on future profitability arising from temporary differences. AT1 and Tier 2 instruments deducted from the total of equivalent financial instruments of the Group. Equity investments of 10% with with financial or insurance operations ABCP (Asset-backed commercial paper) business securitisation vehicles Equity investments and securities held for collection and sale purposes Full Deduction of CET1, AT1 and Tier 2 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). 4/45

5 1.4 Solvency ratios SOLVENCY RATIO NUMERATOR (SEE PART 1.5 "DEFINITION OF CAPITAL") Basel 3 defines three levels of capital: Common Equity Tier 1 (CET1); Tier 1 capital, which consists of Common Equity Tier 1 and Additional Tier 1 capital (AT1); total capital, consisting of Tier 1 capital and Tier 2 capital. SOLVENCY RATIO DENOMINATOR (SEE PART 3 "COMPOSITION AND CHANGES IN RISK-WEIGHTED ASSETS") Basel 3 defines several types of risk: credit risks, market risks and operational risks, which give rise to riskweighted asset calculations. These are discussed in part 4, below. Furthermore, risk-weighted assets include the equity-accounted value of insurance investments for the validated conglomerate scope, pursuant to Article 49 of the CRR. For the Crédit Agricole S.A. Group and the Crédit Agricole Group, the weighting is 370% given the unlisted status of Crédit Agricole Assurances (CAA). Furthermore, the risk arising from these regulatory prudential requirements on Crédit Agricole S.A.'s investment in CA Assurances has been transferred to the Regional Banks through the implementation of specific guarantees (Switch), since 2 January The guarantee covers 9.2 billion of equity value for CA Assurances. Pursuant to Regulation (EU) no. 575/2013 of 26 June 2013, two approaches are used to measure exposure to credit risk: the standardised approach, which is based on external credit ratings and fixed weightings for each Basel exposure class; the Internal Ratings Based approach (IRB), which is based on the bank's own internal rating system. A distinction is made between the following approaches: the Foundation Internal Ratings-Based approach, under which institutions may use exclusively their own default probability estimates; the "Advanced Internal Ratings-Based" approach, under which institutions may use all their internal estimates of risk components: exposures given default, maturity, probability of default, loss given default Minimum regulatory requirements The Pillar 1 requirements are governed by the CRR Regulation. The regulator also fixes, on a discretionary basis, the minimum requirements, as part of Pillar 2. MINIMUM REQUIREMENTS FOR PILLAR 1 Capital ratios before buffers: the minimum phased-in CET1 requirements have been set at 4.5% of riskweighted assets since Likewise, the minimum phased-in Tier 1 requirement was raised to 6% in 2015 and for the following years. Lastly, the minimum phased-in total capital requirement is 8%, in 2015 and 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 from 0 to 2.5%), with the buffer for the Group being an average weighted by relevant exposure at default (EAD (1) ) of the buffers defined for each 1 EAD (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. 5/45

6 country in which the Group operates; when the countercyclical buffer rate is calculated by one of the national authorities, the application date is at most 12 months after the date of publication, other than in exceptional circumstances. 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 (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 systemic institution and has a buffer of 1% as from 1 January 2019, phased-in at 0.50% in 2017 and 0.75% in These requirements do not apply to the Crédit Agricole S.A. Group. These buffers came into force in 2016 and must be covered by Common Equity Tier 1 (CET1). The capital conservation buffer and systemic risk buffers apply in annual progressive increments until 2019 (50% of the required buffer in 2017, 75% in 2018). 1 January Common Equity Tier 1 4.5% 4.5% 4.5% 4.5% Tier 1 (CET1 + AT1) 6.0% 6.0% 6.0% 6.0% Tier 1 + Tier 2 8.0% 8.0% 8.0% 8.0% Capital conservation buffer 1.250% 1.875% 2.500% 2.500% Countercyclical buffer (0% to 2.5%) 0.008% 0.009% 0.025% 0.197% Systemic risk buffer (0% to 5%) 0.50% 0.75% 1.00% 1.00% At the end of June 2018, countercyclical buffers for Hong Kong, Iceland, Norway, the Czech Republic, the United Kingdom, Slovakia and Sweden were recognised by the High Council for Financial Stability (HCFS). In 2019, countercyclical buffers for France, Lithuania and Denmark will also enter into effect. With regards to French exposures, the High Council for Financial Stability (HCFS) will raise this rate to 0.25% starting from 1 July 2019, the date it comes into effect. Taking into account the Group's exposures in these countries, the Group's countercyclical buffer rate at 30 June 2018 was 0.017%. It will reach 0.197% at the end of June 2019 taking into account, in particular, the entry into force of the French countercyclical buffer on 1 July Details of the countercyclical buffer calculation: General credit exposures Trading book exposure Securitisation exposure Own funds requirements 30/06/2018 (in millions of euros) Standard approach IRB approach Sum of long and short position of trading book Value of trading book exposure for internal models Standard approach IRB approach General credit exposure Trading book exposure Securitisati on exposure Total Breakdown by country (in %) Countercyclica l capital buffer rate (in %) 30/06/2018 Countercyclica l capital buffer rate forecast (in %) 30/06/2019 Czech Republic % 0.50% 1.50% Danemark % 0.00% 0.50% France 83, , , ,497 23, , % 0.00% 0.25% Hong Kong 280 4, % 1.88% 2.50% Iceland % 1.25% 1.75% Lithuania % 0.00% 0.50% Norway % 2.00% 2.00% Slovakia % 0.50% 1.25% Sweden 83 1, % 2.00% 2.00% Unitedkingdom Other countries * 1,508 13, , % 0.50% 1.00% 74, , ,757 25,493 9, , % 0.00% 0.00% Total 160, , ,138 2,385 37,690 34, , % 0.017% 0.197% *For which no countercyclical buffer has been defined by the competent authority The projected countercyclical capital buffer rate at 30 June 2019 is obtained by applying currently known buffer rates by country, and which apply within at most a 12-month period, to the breakdown of capital requirements by country at 30 June /45

7 MINIMUM REQUIREMENTS WITH REGARD TO PILLAR 2 PUBLISHED ON 19 DECEMBER 2017 Crédit Agricole Group and Crédit Agricole S.A. Group have been notified by the European Central Bank (ECB) of the new minimum capital requirements for following the results of the Supervisory Review and Evaluation Process (SREP). Since 2017, the ECB has changed 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 (additional Tier 1 capital instrument coupons, dividends, variable compensation); accordingly, this requirement is public; a Pillar 2 recommendation or Pillar 2 Guidance (P2G); at this stage, this requirement is not public. Crédit Agricole Group must therefore comply, at 30 June 2018, with a consolidated minimum CET1 ratio of 8.64% phased-in or 9.52% fully loaded. These levels include the requirements under Pillar 1, Pillar 2 P2R, of the phased-in capital conservation and systemic risk buffers and the countercyclical buffer (according to decisions as of today). 8,64% 0,75% 1,88% 0,02% 1,50% 4,50% Phased-in 12,14% 0,75% 1,88% 0,02% 1,50% 8,00% Fully loaded 13,02% 1,00% 2,50% 9,52% 0,02% 1,00% 1,50% 2,50% 0,02% 1,50% 8,00% 4,50% CET1 Total capital CET1 Total capital Pilier 1 P2 Requirement Countercyclical buffer Capital conservation buffer Systemic risk buffer At 30 June 2018, the Crédit Agricole Group phased-in CET1 ratio is 14.8%; the fully loaded ratio is identical. Crédit Agricole S.A., as the central body of Crédit Agricole Group, fully benefits from the internal legal solidarity mechanism as well as internal flexibility on capital circulation within the very strongly capitalised Crédit Agricole Group Summary table of Crédit Agricole Group solvency ratios All tables and comments below include the retained earnings for the period (with the exception of the solvency ratios of the Regional Banks). 7/45

8 CREDIT AGRICOLE GROUP'S SOLVENCY RATIOS 30/06/ /12/2017 Phased-in Fully loaded Phased-in Fully loaded Common equity tier 1 (CET1) 78,817 78,817 77,398 77,599 Tier 1 capital 85,552 83,794 84,292 82,562 Total capital 99,172 97,006 97,172 94,911 Total risk weighted assets 533, , , ,516 CET 1 RATIO 14.8% 14.8% 14.8% 14.9% TIER 1 RATIO 16.0% 15.7% 16.2% 15.8% TOTAL CAPITAL RATIO 18.6% 18.2% 18.6% 18.2% SOLVENCY RATIOS OF REGIONAL BANKS (1) (Retained interim earnings not included) 30/06/ /12/2017 Phased-in Fully loaded Phased-in Fully loaded COMMON EQUITY TIER 1 CAPITAL 49,225 49,211 48,718 48,289 Additional Tier TIER 1 49,225 49,211 48,718 48,289 Tier ,073 TOTAL CAPITAL 50,176 49,936 49,002 49,362 Credit risk 246, , , ,873 Market risk Operational risk 16,863 16,863 16,696 16,696 RISK WEIGHTED ASSETS 263, , , ,813 CET1 SOLVENCY RATIO 18.7% 18.7% 18.8% 18.6% TIER 1 SOLVENCY RATIO 18.7% 18.7% 18.8% 18.6% TOTAL SOLVENCY RATIO 19.1% 19.0% 18.9% 19.0% (1) Total of 38 Regional banks (excluding Caisse régionale de Corse) The CET1 (fully loaded) solvency ratios of all Regional Banks (excluding Corsica) is up by 0.1 % to 18.7% at 30 June The tier 1 capital (CET1) is up by 0.9 billion over the period, particularly due to mutual shares being issued ( 0.3 billion) and the IFRS 9 standard being applied for the first time. Risk weighted assets are up 3.3 billion over the half-year, mainly in credit risk ( 3.2 billion i.e. +1.3%) due to an ever more buoyant business momentum, but also the IFRS 9 standard being applied for the first time. The above figures do not include prudential deductions relating to the irrevocable commitments of Regional Banks in terms of the Single Resolution Fund and Deposit Resolution Guarantee Fund totalling 0.4 billion; After taking these into account under Pillar II, CET1 (fully loaded) solvency ratios stood at 18.5%. Moreover, the Regional Banks acted as guarantors towards the third party creditors of Crédit Agricole S.A. on a joint and several basis, for the total of their capital and reserves, in the event of an asset shortfall at Crédit Agricole S.A. identified in the course of its bankruptcy or dissolution. The guarantee agreement was renewed in Moreover, as a Corporate Centre, Crédit Agricole S.A. guarantees the solvency and liquidity of the Regional Banks. Consequently, international rating agencies award the issuance program of Crédit Agricole S.A. and the rated Regional Banks the same rating. 8/45

9 1.5 Definition of capital Tier 1 Capital (Tier 1) This includes Common Equity Tier 1 (CET1) and Additional Tier 1 capital (AT1): CATEGORY 1 OR COMMON EQUITY TIER 1 (CET1) CAPITAL; This includes: share capital; reserves, including share premiums, retained earnings, income net of tax after dividend payments as well as accumulated other comprehensive income, including unrealised capital gains and losses on financial assets held for collection and sale purposes and conversion differences; non-controlling interests, which are partially derecognised, or even excluded, depending on whether or not the subsidiary is an eligible credit institution; this partial derecognition corresponds to the excess of the amount of capital required to cover the subsidiary's capital requirements; it applies to each tier of capital; deductions, which mainly include the following items: treasury shares held and valued at their carrying amount, intangible assets, including start-up costs and goodwill, prudent valuation (laid down in the regulatory framework : adjustment of the amount of assets and liabilities measured at fair value according to a prudential methodology by deducting any potential value adjustment), deduction from the CET1 of deferred tax assets (DTAs) that rely on future profitability arising from tax loss, carryforwards, deduction from the CET1 of negative amounts resulting from any shortfall of provisions relative to (expected losses EL ), deduction from the CET1 of CET1 instruments held in equity investments less than or equal to 10% above an exemption threshold of 10% of CET1 capital; items not deducted are included in riskweighted assets (variable weighting depending on the nature of instruments and the Basel methodology), deduction from the CET1 of deferred tax assets (DTAs) that rely on future profitability arising from temporary differences above an exemption threshold of 17.65% of CET1 capital; this exemption threshold, applied after application of an initial exemption threshold of 10% of CET1, is common to the non-deducted portion of CET1 instruments held in significant financial stakes (over 10%); items not deducted are included in risk-weighted assets (250% weighting), deduction from the CET1 of CET1 instruments held in equity investments over 10% (significant investments) above an exemption threshold of 17.65% of CET1 capital; this exemption threshold, applied after application of an initial exemption threshold of 10% of CET1, is common to the nondeducted portion of the deferred tax assets that rely on future profitability arising from temporary differences; items not deducted are included in risk-weighted assets (250% weighting). Since 1 January 2018, the Group has applied IFRS 9 to financial instruments. As the standard applies retrospectively, the impacts linked to the new principles for classification and valuation of financial instruments and depreciation of credit risk were fully taken into account in the Group's equity. 9/45

10 ADDITIONAL TIER 1 (AT1) CAPITAL Additional Tier 1 capital eligible on a fully loaded basis under Basel 3 Additional Tier 1 capital (AT1) eligible under Basel 3 consists of undated debt instruments without any redemption incentive or obligation (in particular step-up features). AT1 instruments are subject to a bail-in mechanism triggered when the CET1 ratio is below a threshold that must be set at no lower than 5.125%. Instruments may be converted into equity or suffer a reduction in their nominal value. Payments must be totally flexible: no automatic remuneration mechanisms and suspension of coupon payments at the issuer's discretion are permitted. Investments in financial-sector entities related to this tier (AT1) are deducted, as are those resulting from the transitional regime rules. The five Basel 3 eligible AT1 issues have two bail-in mechanisms that are triggered if: the CET1 ratio of the Crédit Agricole S.A. Group is below a 5.125% threshold; the CET1 ratio of the Crédit Agricole Group is below a 7% threshold; At 30 June 2018, the ratios of Crédit Agricole S.A. and Crédit Agricole Group were 11.4% and 14.8% respectively. Thus, they represent capital buffers of 19.3 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 2018, there are no applicable restrictions on the payment of coupons. At 30 June 2018, the potentially distributable items of Crédit Agricole S.A. totalled 37.8 billion, including 25.5 billion in distributable reserves and 12.3 billion in share premiums. Additional Tier 1 capital eligible on a transitional 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 (ATI); 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, 40% (threshold for 2018) 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 43,725 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. For clarity, the tables for deeply subordinated securities are presented in Pillar 3, available on the website: agricole.com/en/finance/finance/financial-publications Tier 2 Capital (Tier 2) This includes: subordinated debt instruments, which must have a minimum maturity of five years; they must not carry any early repayment incentives; these instruments are subject to a haircut during the five-year period prior to their maturity date; grandfathering as presented for the AT1 capital above; net unrealised capital gains on equity instruments included before tax in Tier 2 capital at a rate of 45% (only on a phased-in basis); surplus provisions related to eligible expected losses determined in accordance with the internal ratingsbased approach are limited to 0.6% of risk-weighted assets under IRB; in addition, gross general credit 10/45

11 risk adjustments of tax effects could be included for up to 1.25% of risk-weighted assets under the standardised approach before applying IFRS 9; deductions of investments in financial-sector entities related to this tier (predominantly in the insurance sector, since most subordinated banking receivables are not eligible) and those resulting from the transitional regime rules, following phasing of investments deducted at 50% from Tier 1 and at 50% from Tier 2 according to the applicable regulations. 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 40% threshold (threshold for 2018) of ineligible Tier 1 securities, 40% (threshold for 2018) of the CRD 4 ineligible Tier 2 stock at 31 December 2012; the CRD 4 ineligible Tier 2 stock at 31 December 2012 stood at 4,704 million, or a maximum recognisable amount of 1,1881 million.for clarity, the tables of undated subordinated debt, participating securities and subordinated notes at 30 June 2018 are presented in Pillar 3, available on the website agricole.com/en/finance/finance/financial-publications. As with Common Equity Tier 1 capital, from 1 January 2018 the Group has applied IFRS 9 to financial instruments. As the standard applies retrospectively, the impacts linked to the new principles for classification and valuation of financial instruments and impairment of credit risk have been fully taken into account in the Group's equity Transitional implementation To facilitate compliance by credit institutions with the CRR/CRD 4, less stringent provisions had been granted on a transitional basis, notably with the progressive introduction of new regulatory prudential treatment of capital components. All of these transitional provisions ended on 1 January 2018, with the exception of those concerning hybrid debt instruments, which will end on 1 January 2022: In summary, the following are fully included in CET1, i.e. with no transitional provisions applying: unrealised gains and losses, non-controlling interests, deductions of deferred tax assets (DTAs) dependent on future profits linked to tax loss carryforwards and the deduction of the excess amount of double threshold, common to deferred tax assets dependent on future profits linked to temporary differences and CET1 instruments held in the financial entities constituting investments in which the holding rate is greater than 10%. Therefore, at 30 June 2018, the fully loaded Tier 1 capital is equal to the phased-in Tier 1 capital. The 31 December 2017 data being presented in the following tables, the transitional provisions in effect at that date are shown in the six points below. Only point 6 concerning the hybrid debt instruments still applies at 30 June transitional treatment of prudential filters on unrealised gains and losses on available-for-sale assets: prior to 2014, unrealised gains were excluded from CET1 and were integrated on a gradual basis (40% en 2015; 60% en 2016; 80% in 2017 and 100% in the following years) and conversely, unrealized losses were integrated as of 2014; in addition, the unrealized gains and losses on sovereign securities were excluded from the capital until the application of IFRS 9 by the EU; 2. progressive deduction of the partial derecognition or exclusion of non-controlling interests by tranche rising by 20% per annum since 1 January 2014; 11/45

12 3. progressive deduction of deferred tax assets (DTAs) that rely on future profitability arising from tax loss carryforwards by tranche, rising by 20% per annum from 1 January 2014; the residual amount (80% in 2014, 60% in 2015, 40% in 2016, 20% in 2017 and 0% in the following years) continues to be handled using the CRD 3 method (treatment as risk-weighted assets with a 0% weighting); 4. progressive deduction of deferred tax assets (DTAs) that rely on future profitability arising from temporary differences: the amount that exceeds the double exemption threshold that is partly common to significant equity investments over 10% is deducted by tranche rising by 20% per annum with effect from 1 January 2014; the items covered by the exemption thresholds are weighted 250%; the residual amount by which the exemption threshold (80% in 2014, 60% in 2015, 40% in 2016, 20% in 2017 and 0% in the following years) is exceeded continues to be handled using the CRD 3 method (treatment as risk-weighted assets with a 0% weighting); 5. progressive deduction of CET1 instruments held in financial entities constituting significant equity investments over 10%: the residual amount by which the double exemption threshold common to the deferred tax assets referred to in the previous point is exceeded, is deducted according to the same conditions as described in the above point; the items covered by the exemption threshold are weighted 250% as above; that residual amount by which the exemption threshold is exceeded (80% in 2014, 60% in 2015, 40% in 2016, 20% in 2017 and 0% in the following years) continues to be handled using the CRD 3 method (50% deduction from Tier 1 and 50% from Tier 2); 6. hybrid debt instruments that were eligible as capital in Basel 2 and are no longer eligible as capital following the entry into force of the new regulation, may in certain conditions be eligible under the grandfathering clause; all instruments issued after 31 December 2011 in non-compliance with the CRR regulation were excluded after 1 January 2014; instruments whose date of issue is prior to that may in some conditions be grandfathered. In accordance with this clause, these instruments are gradually excluded over a period of eight years, with a reduction of 10% per annum. In 2014, 80% of the total stock declared on 31 December 2012 was recognised, then 70% in 2015, and so on. The unrecognised part can be included in the lower capital category (from AT1 to Tier 2, for example) if it meets the corresponding criteria. 12/45

13 1.5.4 Simplified regulatory capital at 30 June 2018 The following table shows the regulatory capital at 30 June 2018 (simplified version). To facilitate its reading, the full table of the composition of capital is presented under Pillar 3, available on our website at finance/financial-publications. Phased-in 30/06/ /12/2017 Fully loaded Phased-in Fully loaded Capital and reserves Group share (1) 97,637 97,637 95,285 95,764 (+) Minority interests (1) 2,610 2,610 2,534 2,373 (-) Prudent valuation (1,508) (1,508) (1,256) (1,256) (-) Deductions of goodwill and other intangible assets (18,521) (18,521) (18,439) (18,439) (-) 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 which the institution owns a significant holding and of the deductible deferred tax assets that rely on future profitability arising from temporary differences (2) (264) (264) (243) (304) (396) (396) (401) (401) Transitional adjustments and other deductions applicable to CET1 capital (741) (741) (82) (138) COMMON EQUITY TIER 1 (CET1) 78,817 78,817 77,398 77,599 Equity instruments eligible as AT1 capital 5,195 5,195 5,098 5,098 Ineligible AT1 equity instruments qualifying under grandfathering clause 1,758-2,416 - Tier 1 or Tier 2 instruments of entities operating mainly in the insurance sector in which the institution has a significant investment deducted from Tier 1 capital (121) (121) (429) - Transitional adjustments, other deductions and minority interests (97) (97) (191) (135) ADDITIONAL TIER 1 CAPITAL 6,735 4,977 6,894 4,963 TIER 1 CAPITAL 85,552 83,794 84,292 82,562 Equity instruments and subordinated borrowings eligible as Tier 2 capital 15,208 15,208 15,507 15,507 Ineligible equity instruments and subordinated borrowings Surplus provisions relative to expected losses eligible under the internal ratings based approach and general credit risk adjustments under the standardised approach (3) Tier 2 instruments of entities operating mainly in the insurance sector in which the institution has a significant investment deducted from Tier 2 capital 1,307 1,307 1,078 1,078 (3,094) (3,094) (3,865) (3,999) Transitional adjustments, other deductions and minority interests (209) (209) (224) (237) TIER 2 CAPITAL 13,620 13,212 12,880 12,349 TOTAL CAPITAL 99,172 97,006 97,172 94,911 TOTAL RISK WEIGHTED ASSETS 533, , , ,516 CET1 RATIO 14.8% 14.8% 14.8% 14.9% TIER 1 RATIO 16.0% 15.7% 16.2% 15.8% TOTAL CAPITAL RATIO 18.6% 18.2% 18.6% 18.2% (1) This line is detailed in the table below "Reconciliation of accounting and regulatory capital". (2) Financial-sector CET1 instruments in which the institution holds a significant stake account for 4,203 million, and the deferred taxes that rely on future profitability arising from temporary differences amount to 973 million on a fully loaded basis as of 30 June (3) The transfer to Tier 2 of the surplus provisions relative to eligible expected losses determined in accordance with the infernal ratings-based approach is limited to 0,6% of risk-weighted to assets under IRB. In addition, general credit risk adjustements gross of tax effects could be included up top 1,25% of risk-weighted assets under the standardised approach before IFRS 9 application. The fully loaded Common Equity Tier 1 (CET1) capital amounted to 78.8 billion at 30 June 2018, up by 1.5 billion compared with year-end /45

14 The non-recurring events that have impacted the CET1 in the first half of 2018 mainly concern the implementation of the IFRS 9 standard on 1 January 2018 down by 1.2 billion; it mainly affected the unrealised gains and losses down by 1.5 billion, the realised reserves up 0.5 billion and the non-controlling interests down by 0.1 billion; For recurring changes, the retained prudential result amounts to 3.0 billion and, in the other direction, the expense for coupons on Basel 3-eligible AT1 issues is 0.2 billion. Details of residual changes are shown under detailed ratios categories: the capital and reserves total 97.6 billion fully loaded, up by 1.9 billion compared to the end of 2017 mainly due to the retained prudential net income of 3.0 billion, and the increase in realised gains and losses up by billion (first application of the IFRS 9 standard), the issuance of mutual shares up billion and the positive impact of translation adjustments net of the foreign currency impact of AT1 issues on the reserves which stood at 0.1 billion; In the other direction, the drop in unrealised gains and losses stood at 1.5 billion (explained by IFRS 9) and AT1 coupons represented a 0.2 billion burden on CET1; in addition, free shares were allocated to shareholders previously benefiting from a loyalty dividend in the total amount of 87 million (neutral impact on capital); fully loaded non-controlling interests amounted to 2.6 billion, up by 0,2 billion, mainly due to the effect of taking into account the Agos non-controlling interests; the deduction for prudent valuation amounted to 1.5 billion, up 0.3 billion; the deductions of goodwill and other intangible assets totalled 18,5 billion, up by just 0.1 billion; deferred tax assets (DTA) which are dependent on future profitability related to tax loss carryforwards amounted to 0.3 billion, stable in comparison with 31 December 2017 figures; The deduction for expected equity risk losses (reported as a shortfall in adjustments for credit risk compared with expected losses using the IRB approach) stood at 0.4 billion, stable compared with the 31 December 2017 figures; the CET1 instruments held in equity investments over 10% increased by 0.4 billion to 3.8 billion, mainly due to the change in fair value of the equity investment in Banque Saudi Fransi; they are subject to an exemption threshold and dropped under this threshold; deferred tax assets (DTAs) that rely on future profitability arising from temporary differences amounted to 1.0 billion, down 0.1 billion compared with 31 December 2017; the latter benefit fully from an exemption threshold and are thus treated as riskweighted assets and weighted at 250%; overall, the capital deduction for financial equity investments in excess of 10% was zero at 30 June 2018 (the same as at 31 December 2017). the deductions applicable to CET1 capital and other transitional adjustments total 0.7 billion, up by the same amount compared with the end of 2017, due to Crédit Agricole Group's irrevocable commitments with respect to the Single Resolution Fund and the Deposit Resolution Guarantee Fund. The phased-in Common Equity Tier 1 (CET1) capital stood at 78.8 billion, i.e. an amount equal to the fully loaded capital. Fully loaded Tier 1 capital totalled at 83.8 billion, up by 1.2 billion compared with 31 December In addition to the increase in fully loaded Tier 1 capital, this change was attributable to: the hybrid securities included in Tier 1 capital eligible under Basel 3, which amounted to 5.2 billion, up by 0.1 billion due to a favourable foreign currency impact; the deductions mainly include the redemption ceiling for AT1 instruments of less than 0.1 billion, unchanged from 31 December Phased-in Tier 1 capital amounted to 85.6 billion, up by 1.3 billion compared with 31 December 2017, despite additional Tier 1 capital being down 0.2 billion. This change comprises the fully loaded changes detailed above and the phased-in changes. Except for the ineligible debt, the amounts are identical whether phased or fully loaded: 14/45

15 grandfathered" securities fell by 0.7billion, due to a redemption of the same amount; the total amount of these securities remains below the grandfathering clause, which makes it possible to include, in addition to the CRR/CRD 4-eligible instruments, an amount of debt equivalent to a maximum of 40% of the base at 31 December 2012; subordinated loans and receivables from credit institutions and insurance companies, all representatives 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 0.1 billion at 30 June 2018, representing a decrease of 0.4 billion from 31 December Fully loaded Tier 2 capital amounted to 13.2 billion, up 0.9 billion from 31 December This change was attributable to: the hybrid securities included in category 2 capital eligible under Basel 3 totalled 15.2 billion, down by 0.3 billion compared with 31 December 2017; the amount of 1.5 billion issued during the period did not offset an early repurchase of 0.7 or the impact of regulatory discounts of 0.5 billion (the foreign exchange effect was neutral); the surplus provisions relative to expected losses under the internal ratings-based approach and adjustments for the gross general credit risk of tax effects under the standardised approach increased by 0.2 billion to 1.3 billion, attributable to the first application of IFRS 9 (+ 0.4 billion); the subordinated receivables from banks and insurance companies, all representative of Tier 2 instruments, were fully deducted from Tier 2 in the amount of 3.1 billion on a fully loaded basis, compared with 4.0 billion at 31 December 2017, following payments made by Crédit Agricole Assurances; transitional adjustments and other deductions include a deduction from the redemption ceiling for Tier 2 instruments of 0.2 billion, and in the other direction, the Tier 2 impact of non-controlling interests of instruments issued by subsidiaries. Phased-in Tier 2 capital was 13.6 billion, up 0.7 billion from 31 December This change comprises the fully loaded changes above and the phased-in changes. This change is mainly attributable to: 0.4 billion of ineligible instruments, almost stable compared with 31 December 2017; subordinated loans and receivables from credit institutions and insurance companies, for their share allocated as a Tier 2 deduction, which amounted to 3.1 billion, an increase of 0.8 billion on 31 December 2017, due mainly to the repayments described previously. In all, fully loaded total capital at 30 June 2018 stood at 97.0 billion, an increase of 2.1 billion over 31 December Phased-in total capital, at 99.2 billion, was 2.0 billion higher than at 31 December This regulatory capital does not take into account the non-preferred senior debt issues, which are discussed in the item Resolution Ratios below. 15/45

16 1.5.5 Change in regulatory capital Phased-in 30/06/2018 vs 31/12/2017 Common Equity Tier 1 capital at 31/12/ ,398 IFRS 9 first time application (1,186) Capital increase 362 Accounting attributable net income/loss for the year before dividend 3,277 Expected dividend (547) Change in unrealised gains and losses (46) Foreign currency impact 64 Minority interests 161 Change in goodwill and other intangible assets (82) Shortfall in adjustments for credit risk relative to expected losses under the internal ratings-based approach deducted from the CET1 12 Amount exceeding the exemption thresholds - Other reserves and regulatory adjustments (597) COMMON EQUITY TIER 1 CAPITAL AT 30/06/ ,817 Additional Tier 1 capital at 31/12/2017 6,894 Issues - Redemptions and foreign currency impact on the debt stock (1) (561) Change in the regulatory adjustments to Additional Tier 1 capital 402 ADDITIONAL TIER 1 CAPITAL AT 30/06/2018 6,735 TIER 1 CAPITAL AT 30/06/ ,552 Tier 2 capital at 31/12/ ,880 IFRS 9 first time application 396 Issues 1,016 Redemptions and foreign currency impact on the debt stock (1)(2) (1,291) Change in the regulatory adjustments to Tier 2 capital 619 TIER 2 CAPITAL AT 30/06/ ,620 TOTAL CAPITAL AT 30/06/ ,172 (1) including the impact of deductions of AT1 and T2 repruchase instruments and the applicable cap to these instruments (2) Tier 2 instruments are subject to a haircut during the 5 years prior to their maturity date 16/45

17 1.5.6 Reconciliation of accounting and regulatory capital Phased-in 30/06/ /12/2017 Fully loaded Phased-in Fully loaded EQUITY, GROUP SHARE (CARRYING AMOUNT) 103, , , ,291 Expected dividend payment on result of year Y (547) (547) (1,007) (1,007) 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 (31) (31) (14) (17) Filtered unrealised gains/(losses) on cash flow hedges (247) (247) (421) (421) Transitional regime applicable to unrealised gains/(losses) - - (484) - AT1 instruments included in equity (carrying amount) (5,011) (5,011) (4,999) (4,999) Other regulatory adjustments (404) (404) (460) (462) Capital and reserves Group share (1) 97,637 97,637 95,285 95,764 MINORITY INTERESTS (CARRYING AMOUNT) 5,266 5,266 5,446 5,446 (-) items not recognised under regulatory framework (2) (2,656) (2,656) (2,912) (3,073) Minority interests (1) 2,610 2,610 2,534 2,373 (-) Prudent valuation (1,508) (1,508) (1,256) (1,256) Deductions of goodwill and other intangible assets (18,521) (18,521) (18,439) (18,439) 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 (264) (264) (243) (304) (396) (396) (401) (401) 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 Other CET1 components (741) (741) (82) (138) TOTAL CET1 78,817 78,817 77,398 77,599 AT1 equity instruments (including preferred shares) 6,953 5,195 7,514 5,098 Tier 1 or Tier 2 instruments of financial-sector entities in which the institution holds a significant investment deducted fromtier 1 capital (121) (121) (429) - Transitional adjustments, other deductions and minority interests (97) (97) (135) (135) Other components of Tier 1 capital - - (56) - Total Additional Tier 1 6,735 4,977 6,894 4,963 TOTAL TIER 1 85,552 83,794 84,292 82,562 Tier 2 equity instruments 15,616 15,208 15,891 15,507 Surplus provisions relative to expected losses eligible under the internal ratings based approach 1,307 1, 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 (3,094) (3,094) (3,865) (3,999) Transitional adjustments, other deductions and minority interests (209) (209) (224) (237) TOTAL TIER 2 13,620 13,212 12,880 12,349 TOTAL CAPITAL 99,172 97,006 97,172 94,911 (1) This item can be found in the hereabove table of simplified prudential equity capital. (2) Of which hybrid securities issued by Crédit Agricole Assurances. * Information covered by the Statuary Auditors' Opinion. 17/45

18 1.6 Other ratios Financial conglomerate ratio At 30 June 2018, the financial conglomerate ratio of Crédit Agricole Group., which includes the Solvency 2 requirement relating to the equity investment in Crédit Agricole Assurances, is 156% on a phased-in basis, a level well above the minimum 100% requirement. The Group therefore has capital well above the level of minimum capital requirements for banking activities and insurance activities. The conglomerate ratio is defined as the ratio of the phased-in total capital of the financial conglomerate to the cumulative total of the bank's capital requirements and insurance company's capital requirements: it includes all banking and insurance requirements, restating the share of intragroup transactions related to equity investments from both the numerator and the denominator; the insurance subsidiary's capital raised outside of the scope of consolidation is included in the conglomerate's capital. Financial conglomerate ratio = Total capital of the conglomerate Banking requirements + Insurance requirements >100% The conglomerate view is the most relevant for a bancassurance group. The conglomerate combines banks and insurance companies, which corresponds to the natural scope of Crédit Agricole Group Moreover, the conglomerate ratio reflects the actual risks borne by each of the two activities. Therefore, the conglomerate ratio view is economic, whereas the bank solvency ratio treats insurance as an equity investment Leverage ratio Article 429 of the CRR specifying the methods for calculating the leverage ratio was amended and replaced by the Delegated Act no. 62/2015 of 10 October The delegated act was published in the Official Journal of the European Union on 18 January Publication of the ratio at least once per annum has been mandatory since 1 January 2015; institutions can choose to publish a fully loaded ratio, a phased-in ratio or both ratios. If the institution decides to change its publication choice, at the time of first publication it must reconcile the data for all of the ratios previously published with the data for the new ratios selected for publication. An observation period has been introduced for the leverage ratio running from 1 January 2014 to 1 January 2017 to monitor the components and the behaviour of the ratio relative to the requirements based on risks. At this stage, the implementation of Pillar 1 (minimum regulatory requirement), initially planned for 1 January 2018, has been delayed, and could take place as part of the CRR2 transposition. A requirement for a two-level leverage ratio is recommended by the Basel Committee: it could be 3%, for non G-SIB, and a level of 3% increased by half of the entity's systemic buffer for G-SIB. The leverage ratio is defined as the Tier 1 capital divided by the exposure measure, i.e. balance sheet and offbalance-sheet assets after certain restatements of derivatives, securities financing transactions, items deducted from the numerator and off-balance-sheet items. At 30 June 2018, Crédit Agricole Group's leverage ratio stood at 5.4% 2 on a phased-in Tier 1 basis. 2 The leverage ratio amounts to 5.6% at this date subject to the issue by the ECB of an authorisation to exempt exposures linked to the centralisation of deposits with the Caisse des Dépôts et Consignations to take account of Judgement T-758/16 of the General Court of the European Union of 13 July /45

19 LEVERAGE RATIO - COMMON DISCLOSURE CRR Leverage ratio exposures On-balance sheet exposures (excluding derivatives and SFTs) 1 On-balance sheet items (excluding derivatives, SFTs and fiduciary assets, but including collateral) 1,233,788 2 (Asset amounts deducted in determining Tier 1 capital) (22,153) 3 Total on-balance sheet exposures (excluding derivatives, SFTs and fiduciary assets) (sum of lines 1 and 2) 1,211,635 Derivative exposures 4 Replacement cost associated with all derivatives transactions (ie net of eligible cash variation margin) 15,791 5 Add-on amounts for PFE associated with all derivatives transactions (mark-to-market method) 31,441 EU- 5a 6 Exposure determined under Original Exposure Method - Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the applicable accounting framework 7 (Deductions of receivables assets for cash variation margin provided in derivatives transactions) (17,907) 8 (Exempted CCP leg of client-cleared trade exposures) (1,596) 9 Adjusted effective notional amount of written credit derivatives 12, (Adjusted effective notional offsets and add-on deductions for written credit derivatives) (9,648) 11 Total derivative exposures (sum of lines 4 to 10) 35,714 SFT exposures 12 Gross SFT assets (with no recognition of netting), after adjusting for sales accounting transactions 207, (Netted amounts of cash payables and cash receivables of gross SFT assets) (46,635) 14 Counterparty credit risk exposure for SFT assets 4,280 EU- 14a Derogation for SFTs: Counterparty credit risk exposure in accordance with Article 429b (4) and 222 of Regulation (EU) No 575/ Agent transaction exposures - Other off-balance sheet exposures 17 Off-balance sheet exposures at gross notional amount 318, (Adjustments for conversion to credit equivalent amounts) (149,117) 19 Other off-balance sheet exposures (sum of lines 17 to 18) 169,738 Exempted exposures in accordance with Article 429(7) and (14) of Regulation (EU) No 575/2013 (on and off balance sheet) EU- 15a (Exempted CCP leg of client-cleared SFT exposure) - 16 Total securities financing transaction exposures (sum of lines 12 to 15a) 165,414 EU- 19a EU- 19b (Intragroup exposures (solo basis) exempted in accordance with Article 429(7) of Regulation (EU) No 575/2013 (on and off balance sheet)) (Exposures exempted in accordance with Article 429 (14) of Regulation (EU) No 575/2013 (on and off balance sheet)) - Capital and total exposures 20 Tier 1 capital 85, Total leverage ratio total exposure measure (sum of lines 3, 11, 16, 19, EU-19a and EU-19b) 1,582,502 Leverage ratio 22 Leverage ratio 5.41% Choice on transitional arrangements and amount of derecognised fiduciary items EU- 23 EU- 24 Choice on transitional arrangements for the definition of the capital measure 5, Transitional Amount of derecognised fiduciary items in accordance with Article 429(11) of Regulation (EU) NO 575/ /45

20 SUMMARY RECONCILIATION OF ACCOUNTING ASSETS AND LEVERAGE RATIO EXPOSURES Applicable Amount 1 Total assets as per published financial statements 1,824,385 2 Adjustment for entities which are consolidated for accounting purposes but are outside the scope of regulatory consolidation (349,055) 3 (Adjustment for fiduciary assets recognised on the balance sheet pursuant to the applicable accounting framework but excluded from the leverage ratio total exposure measure in accordance with Article 429(13) of Regulation (EU) No 575/2013) - 4 Adjustments for derivative financial instruments (78,077) 5 Adjustments for securities financing transactions (SFTs) 37,664 6 EU- 6a EU- 6b Adjustment for off-balance sheet items (ie conversion to credit equivalent amounts of off-balance sheet exposures) (Adjustment for intragroup exposures excluded from the leverage ratio total exposure measure in accordance with Article 429 (7) of Regulation (EU) No 575/2013) (Adjustment for exposures excluded from the leverage ratio total exposure measure in accordance with Article 429 (14) of Regulation (EU) No 575/2013) 169, Other adjustments (22,153) 8 LEVERAGE RATIO TOTAL EXPOSURE MEASURE 1,582,502 SPLIT-UP OF ON BALANCE SHEET EXPOSURES (EXCLUDING DERIVATIVES AND SFTS) CRR leverage ratio exposures EU-1 Total on-balance sheet exposures (excluding derivatives, SFTs, and exempted exposures), of which: 1,233,788 EU-2 Trading book exposures 6,843 EU-3 Banking book exposures, of which: 1,226,946 EU-4 Covered bonds 4,109 EU-5 Exposures treated as sovereigns 210,577 EU-6 Exposures to regional governments, MDB, international organisations and PSE not treated as sovereigns 33,557 EU-7 Institutions 55,614 EU-8 Secured by mortgages of immovable properties 13,777 EU-9 Retail exposures 539,262 EU-10 Corporate 249,295 EU-11 Exposures in default 21,390 EU-12 Other exposures (eg equity, securitisations, and other non-credit obligation assets) 99,364 20/45

21 The qualitative elements (LRQua) required by implementation regulation (EU) 2016/200 of 15 February 2016 are as follows: 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 (solvency ratio/resolution ratio) and liquidity risk management system 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 risk-weighted assets. DESCRIPTION OF FACTORS WHICH HAD AN IMPACT ON THE LEVERAGE RATIO DURING THE PERIOD TO WHICH THE LEVERAGE RATIO REPORTED BY THE INSTITUTION RELATES The leverage ratio decreased over the first half-year and was explained by the growth in business activity, despite an increase in capital, limited by the application of IFRS Resolution ratios MREL RATIO The MREL (Minimum Requirement for Own Funds and Eligible Liabilities) ratio, is defined in the European Bank Recovery and Resolution Directive (BRRD), published on 12 June 2014 and effective since 1 January 2015 (except for provisions on bail-in and MREL, which are applicable since 1 January 2016). More generally, the BRRD establishes a framework for the resolution of banks throughout the European Union and with the aim of equipping resolution authorities with shared instruments and powers to pre-emptively tackle banking crises, preserve financial stability and reduce taxpayers' exposure to losses. The MREL ratio corresponds to the minimum requirement of own funds and eligible liabilities that must be available to absorb losses in the event of resolution. This minimum requirement is calculated as being the amount of own funds and eligible liabilities, expressed as a percentage of the institution's total liabilities and capital, after certain regulatory adjustments. In this calculation, total liabilities takes into account the full recognition of netting rights applicable to derivatives. Regulatory capital, subordinated notes with a residual maturity of more than one year (including prudentially ineligible instruments and the amortised portion of Tier 2), non-preferred senior debts with a residual maturity of more than one year and certain preferred senior debts with residual maturities of more than one year qualify for inclusion in the numerator of the MREL ratio. MREL eligible preferred senior debt is subject to the appreciation of the Single Resolution Board (SRB). The MREL ratio calibrates an eligible liabilities requirement but does not specify which debt would be called upon to absorb losses in the event of resolution. In the first half of 2018, Crédit Agricole Group was notified by the Single Resolution Board (SRB) of its MREL requirement at the consolidated level, with which the Group complied at the end of June 2018 and is applicable henceforth. This requirement could possibly change at the time it is set annually by the SRB, but also as part of the evolution of the European regulatory framework. The first MREL decisions by the SRB at the individual level are not expected before At 30 June 2018, Crédit Agricole Group posted a MREL ratio estimated at 8.2% of the regulatory balance sheet, excluding potentially eligible 3 senior preferred debt. Crédit Agricole Group has not changed its objective of maintaining this ratio above 8%, which, in the event of resolution, would enable recourse to the Single Resolution Fund (subject to the decision of the resolution authority) before applying the bail-in to senior preferred debt, creating an additional level of protection for senior preferred investors. Expressed as a percentage of risk-weighted assets, the estimated MREL ratio of Crédit Agricole Group reached 21.2% excluding potentially eligible senior debts, and approximately 33% including the latter. 3 Estimate based on our current understanding of the texts. 21/45

22 TLAC RATIO This ratio, whose modalities were indicated in a Term Sheet published on 9 November 2015, was established by the Financial Stability Board (FSB) at the request of the G20. The FSB defined the calculation of a ratio aimed at estimating the adequacy of the bail-in and recapitalisation capacities of Global Systemically Important banks (G-SIB). This new Total Loss Absorbing Capacity (TLAC) ratio, which will be transposed at the European level into the CRR and enter into force from 1 January 2019, will provide resolution authorities with the means to assess whether G-SIBs have sufficient bail-in capacity, before and during resolution. As a result, the resolution authorities will be able to implement an ordered resolution strategy that minimises impacts on financial stability, ensures the continuity of the G-SIBs' critical economic functions and limits the use of taxpayers' money. According to the provisions of the TLAC Term Sheet, included in the European Commission's proposed amendments to the CRR published on 23 November 2016 and currently the subject of a trilogue procedure involving the European Commission, the Parliament and the Council, the minimum level of the TLAC ratio is equal to two times the minimum regulatory requirements (i.e. the higher of 6% of the leverage ratio denominator and 16% of the risk-weighted assets) and regulatory buffers applicable from 1 January 2019, then at the higher of 6.75% of the denominator of the leverage ratio and 18% of the weighted risks (then adding regulatory buffers) from 1 January This minimum level could be increased by the resolution authorities through the MREL requirement (see previous point). This ratio will only apply to systemically important institutions. The elements that could absorb losses are made up of equity, subordinated notes and debts to which the Resolution Authority can apply the bail-in. Once this regulation is enacted into European law, Crédit Agricole Group will be expected to comply with a minimum TLAC ratio of 19.5% (including a capital conservation buffer of 2.5% and a G-SIB buffer of 1%) from 1 January 2019, then 21.5% from 1 January Crédit Agricole Group aims to comply with these TLAC requirements without including eligible senior preferred debt, subject to changes in methods of calculating riskweighted assets. At 30 June 2018, the TLAC ratio relative to risk weighted assets stood at 21.2% for the Crédit Agricole Group, excluding eligible senior preferred debt. 2. ECONOMIC CAPITAL MANAGEMENT 2.1 Overall system In order to permanently maintain adequate capital to cover the risks to which it is exposed, the Group supplements the measurement of regulatory capital requirements (Pillar 1) with measurement of economic capital requirements based on the risk identification process and valuation using an internal approach (Pillar 2). This system is one of the components of the ICAAP (Internal Capital Adequacy Assessment Process) whose implementation and updating is the responsibility of each subgroup. Economic capital is developed in accordance with the interpretation of the main regulatory texts: the Basel agreement; CRD 4 through its transposition into French regulations by the Decree of 3 November 2014; the guidelines of the European Banking Authority; and the prudential expectations of the ICAAP and ILAAP and the harmonised collection of information on the subject. 22/45

23 The Group has implemented an economic capital requirement measuring system covering Crédit Agricole Group, Crédit Agricole S.A. Group and the Group's main French and foreign entities. The Group has also defined the available internal capital (an internal view of capital), which is compared to the economic capital requirement. 2.2 Economic capital requirement For each of the risks identified during the risk identification process, the calculation of economic capital requirements consists of: adjusting capital requirements calculated under Pillar 1 so that internal capital adequately reflects, from an economic standpoint, all the risks in each business activity; applying a quantile (the probability of default), the level of which is defined on the basis of the Group's appraisal of external ratings; taking into account a more relevant conglomerate approach as part of Crédit Agricole S.A. Group's bancassurance activity; taking into account, on a prudent basis, the impacts of diversification resulting from the broad spread of business activities within the same Group, including between banking and insurance. All economic capital requirements are covered by internal capital. At the Crédit Agricole Group level, the available internal capital covered 150% of the economic capital requirements at 30 June At 30 June 2018, all the major risks identified during the risk identification process were thus taken into account. For each of these risks, internal capital requirement measures are developed, including if applicable, an adjustment to the risk compared to the Pillar 1 requirements. The Group notably measures: interest rate risk on the banking portfolio, issuer risk, business and strategic risk, credit risk, and liquidity price risk. Coherence of all methodologies for measuring economic capital requirements is ensured by a specific governance within the Group. The measurement of the economic capital requirement is supplemented by a projection over the current year consistent with capital planning forecasts at that date, so that the effects of the main prudential reforms that can be anticipated are incorporated. Crédit Agricole Group entities subject to the requirement to measure economic capital within their scope are responsible for doing so in accordance with standards and methodologies defined by the Group. In particular, they must ensure that the economic capital measurement system is appropriately organised and governed. Economic capital determined by the entities is reported in detail to Crédit Agricole S.A. In addition to the quantitative aspect, the Group's approach relies on a qualitative component that supplements the calculation of economic capital requirement with indicators of the business lines' exposure to risk and their permanent controls. The qualitative component meets three objectives: evaluation of the risk management system and the control of entities within the scope of deployment along different axes, this assessment is a component of the risk identification system; if required, identification and formalising of points for improvement of the risk management and permanent control system, in the form of an action plan formalised by the entity; identification of any elements that are not adequately captured in quantitative ICAAP measures. 23/45

24 3. COMPOSITION AND CHANGES IN RISK WEIGHTED ASSETS 3.1 Summary of risk-weighted assets Risk-weighted assets by type of risks (OV1) The risk-weighted assets in respect of credit risk, market risk and operational risk were billion at 30 June 2018, compared with billion at 31 December Minimum capital requirements 30/06/ /12/ /06/ Credit risk (excluding CCR) 438, ,974 35,051 2 Of which the standardised approach 131, ,864 10,515 3 Of which the foundation IRB (FIRB) approach 81,251 80,761 6,500 4 Of which the advanced IRB (AIRB) approach 161, ,518 12,890 5 Of which equity IRB under the simple risk-weighted approach or the IMA 64,328 64,831 5,146 6 CCR 19,155 17,583 1,532 7 Of which mark to market 6,991 5, Of which original exposure Of which the standardised approach Of which internal model method (IMM) 8,128 7, Of which risk exposure amount for contributions to the default fund of a CCP Of which CVA 3,667 3, Settlement risk Securitisation exposures in the banking book (after the cap) 6,138 6, Of which IRB approach 1,303 1, Of which IRB supervisory formula approach (SFA) Of which internal assessment approach (IAA) 2,476 2, Of which standardised approach 1,565 1, Market risk 12,875 10,770 1, Of which the standardised approach 5,321 5, Of which IMA 7,554 5, Large exposures Operational risk 47,649 47,091 3, Of which basic indicator approach Of which standardised approach 9,000 8, Of which advanced measurement approach 38,649 38,548 3, Amounts below the thresholds for deduction (subject to 250% risk weight) 9,352 8, Floor adjustment Bâle I Total 533, ,516 42,665 24/45

25 3.1.2 Operating segment information 30/06/2018 Credit risk Credit risk Stantardised approach Weighting approach IRB IRB Approach (1) Contribution s to a CCP default fund Credit valuation adjustment Operational Risk Market risk Total riskweighted assets French retail banking 36,732 15, , , , ,024 International retail banking 34, , , , ,004 Asset gathering 5,822 47, , , ,783 Specialised financial services 36,013 1,023 17,032-54, , ,629 Large customers 19,251 4,595 68, ,650 2,555 16,218 7, ,341 Corporate center 4,584 5,053 4,714-14, ,640 19,526 TOTAL RISK-WEIGHTED ASSETS 137,247 73, , ,116 3,667 47,649 12, ,307 (1) Advanced IRB or Foundation IRB approach depending on business lines. 31/12/2017 Credit risk Stantardised approach Weighting approach IRB IRB Approach (1) Contribution s to a CCP default fund Credit risk Credit valuation adjustment risk Operational Risk Market risk Total riskweighted assets French retail banking 37,232 14, , , , ,829 International retail banking 34, , , , ,101 Asset gathering 6,048 48, , , ,689 Specialised financial services 36, ,754-54, , ,968 Large customers 17,038 3,869 64, ,425 2,270 15,972 6, ,671 Corporate center 4,740 4,770 4,930-14, ,303 19,258 TOTAL RISK-WEIGHTED ASSETS 135,858 73, , ,222 3,433 47,091 10, ,516 (1) Advanced IRB or Foundation IRB approach depending on business lines Trends in risk-weighted assets The table below shows the change in Crédit Agricole Group s risk-weighted assets during the first half of 2018: 31/12/2017 Foreign exchange Organic change and optimisation Equityaccounted value Insurance Scope Method Total variation /06/2018 Credit risk 460, ,692 (2,921) (297) 1,543 8, ,116 of which Equity risk 73,650-1,798 (2,921) - 1, ,680 CVA 3, ,667 Market risk 10,770-2, ,105 12,875 Operational risk 47, ,649 TOTAL 521, ,587 (2,921) (295) 1,543 11, ,307 Risk-weighted assets totalled 533 billion at 30 June 2018, up 11.8 billion (+2.3%) mainly due to: the growth of business lines, in particular of the Large Customers business line (up billion); the first application of the IFRS 9 standard (up 1.5 billion, above in the column "Method"), with an increase in the Insurance business line column ( 1.2 billion) following the reclassification and evaluation of the 25/45

26 securities portfolio, and an increase of 1.2 billion in deferred tax assets connected to an increase in impairments in other business lines and, conversely, a negative effect of in the other business lines owing to the deduction of collective provision for exposures under the standardised approach. These changes are partially offset by: the drop in the equity-accounted value of the equity investment in Insurance companies of billion, excluding the impact of the first application of IFRS 9; an overall negative scope effect mainly from Forso leaving the scope (- 0.6 billion), and the acquisition of Banca Leonardo (+ 0.5 billion). 3.2 Credit and counterparty risk General overview of credit and counterparty risk Exposures by type of risk The table below shows Crédit Agricole S.A. Group s exposure to global risk (credit, counterparty, dilution and settlement and delivery) by exposure class for the standardised and internal ratings-based approaches at 30 June 2018 and at 31 December The 17 exposure classes under the standardised approach are grouped together to ensure the presentation aligns with the IRB exposures. OVERALL RISK EXPOSURE (CREDIT, COUNTERPARTY, DILUTION, SETTLEMENT AND DELIVERY) AT 30 JUNE /06/2018 Standardised IRB Total (in billions of euros) Central governments or central banks Gross exposure (1) Gross exposure afrer CRM (2) EAD Gross exposure (1) Gross exposure afrer CRM (2) EAD Gross exposure (1) Gross exposure afrer CRM (2) EAD Capital requireme nt Institutions Corporates Retail customers Loans to individuals o/w secured by real estate assets o/w revolving o/w other Loans to small and medium businesses o/w secured by real estate assets o/w other Shares Securitisations Assets other than credit obligation TOTAL , , , , (1) Initial gros exposure. (2) Gross exposure after credit risk mitigation (CRM). 26/45

27 OVERALL RISK EXPOSURE (CREDIT, COUNTERPARTY, DILUTION, SETTLEMENT AND DELIVERY) AT 31 DECEMBER /12/2017 Standardised IRB Total (in billions of euros) Central governments or central banks Gross exposure (1) Gross exposure afrer CRM (2) EAD Gross exposure (1) Gross exposure afrer CRM (2) EAD Gross exposure (1) Gross exposure afrer CRM (2) EAD Capital requireme nt Institutions Corporates Retail customers Loans to individuals o/w secured by real estate assets o/w revolving o/w other Loans to small and medium businesses o/w secured by real estate assets o/w other Shares Securitisations Assets other than credit obligation TOTAL , , , , (1) Initial gros exposure. (2) Gross exposure after credit risk mitigation (CRM). Measured in terms of gross exposure, the Group's total outstanding amounts were up +3.6% over six months reflecting the favourable business climate in the main business lines, in particular in the Institutions portfolio (up +7.8%). The main portfolio remains the Retail customers category with total gross exposure of billion at the end of June 2018 (compared with billion at the end of 2017). density (defined as the ratio of risk-weighted assets/ead) was 22% on average for retail customers and 54% for Corporates at 30 June Default exposures and value adjustments CREDIT QUALITY OF EXPOSURES BY TYPE OF EXPOSURE AND INSTRUMENT (CR1-A) 30/06/2018 Gross carrying values of Provisions / Defaulted Non-defaulted Impairment Net values exposures exposures 1 Central governments or central banks , ,121 2 Institutions , ,673 3 Corporates 5, ,555 5, ,845 4 Of which: Specialised lending 1,244 57, ,248 5 Of which: SMEs 1,410 31,739 1,577 31,571 6 Retail 13, ,657 11, ,672 7 Secured by real estate property 5, ,406 3, ,215 8 SMEs , ,354 9 Non-SMEs 4, ,231 2, , Qualifying revolving , , Other retail 7, ,575 7, , SMEs 4,357 87,373 4,168 87, Non-SMEs 3, ,202 3, ,301 27/45

28 14 Equity - 18,331-18, Total IRB approach 30/06/ ,781 1,199,362 17,502 1,201,641 Total IRB approach 31/12/ ,820 1,147,163 17,427 1,150, Central governments or central banks - 45, , Regional governments or local authorities Public sector entities - 1,005-1, Multilateral development banks International organisations Institutions - 47, , Corporates - 107, , Of which: SMEs - 17, , Retail - 32, , Of which: SMEs - 11, , Secured by mortgages on immovable property - 12, , Of which: SMEs - 1, , Exposures in default 6,791-3,778 3, Items associated with particularly high risk Covered bonds Claims on institutions and corporates with a short-term credit Collective assessment investments undertakings - 37, , Equity exposures - 1, , Other exposures - 21, , Total standardised approach 30/06/2018 6, ,451 4, ,298 Total standardised approach 31/12/2017 7, ,789 3, , TOTAL 30/06/ ,572 1,507,813 22,447 1,511,938 TOTAL 31/12/ ,052 1,448,952 21,372 1,455,632 Exposures at default stood at 26.6 billion at 30 June 2018, down 5.3% compared with 31 December They represent 1.7% of gross total exposures versus 1.9% at the end of The reduction in the total amount of provisions/impairments was mainly attributable to the implementation of IFRS 9 accounting standards from 1 January QUALITY OF CREDIT EXPOSURES BY GEOGRAPHIC AREA (CR1-C) 30/06/2018 Gross carrying values of Defaulted exposures Non-defaulted exposures Provisions and depreciation Net values 1 EUROPE 23,789 1,325,175 20,490 1,328,474 2 France 14,668 1,016,096 14,095 1,016,669 3 Italy 6, ,041 4, ,572 4 United Kingdom , ,413 5 Germany , ,370 6 Luxembourg , ,683 7 Switzerland 86 16, ,971 8 Netherland , ,472 9 Spain , , Others (EUROPE) 1,053 59,489 1,051 59, ASIA & OCEANIA , , Japan 35 33, , Others (ASIA & OCEANIA) , , NORTH AMERICA , , USA 78 58, , Others (North America) 39 5, , CENTRAL & SOUTH AMERICA , , AFRICA AND MIDDLE EAST 1,494 22,311 1,054 22, TOTAL 30/06/ ,572 1,507,813 22,447 1,511, TOTAL 31/12/ ,052 1,448,952 21,372 1,455,632 28/45

29 AGE OF EXPOSURES ON WATCHLIST (CR1-D) 30/06/2018 Gross carrying values 30 days > 30 days 60 days > 60 days 90 days > 90 days 180 days > 180 days 1year > 1year 1 Loans 14,628 1, ,814 2 Debt Securities (4) Total exposures 14,623 1, ,814 Exposures on watchlist for up to 60 days account for 69% of total exposures on watchlist. NON-PERFORMING AND RE-NEGOTIATED EXPOSURES (CR1-E) Gross carrying amount of performing and non-performing exposures Accumulated impairment and provisions and negative fair value adjustments due to credit risk Collaterals and financial guarantees received 30/06/2018 Of which performin g but past due >30 days and <=90 days of which performing forborne Of which non-performing Of which: defaulted of which: impaired of which: forborne On performing exposures of which: forborne On non-performing exposures of which: forborne On nonperforming exposures of which: forborne exposures 10 Debt securities 139, (61) - (9) Loans and advances Off-balance sheet exposures 996,589 2,614 5,530 26,862 25,148 25,148 7,867 (5,855) (378) (15,598) (3,419) 6,005 5, , ,780 3, The information on non-performing and renegotiated exposures includes the gross carrying amount, impairment, provisions and related valuation adjustments, as well as the value of collateral and guarantees received. CHANGE IN BALANCE OF SPECIFIC CREDIT RISK ADJUSTMENTS (CR2-A) 30/06/2018 Accumulated specific credit risk adjustment 1 Opening balance 22,033 2 Increases due to origination and acquisition 1,037 3 Decreases due to derecognition (3,751) 4 Changes due to change in credit risk (net) 3,293 5 Changes due to modifications without derecognition (net) Changes due to update in the institution's methodology for estimation (net) 7 Decrease in allowance account due to write-offs - 8 Other adjustments (37) 9 Closing balance (1) 21, Recoveries of previously written-off amounts recorded directly to the statement of profit or loss 11 Amounts written-off directly to the statement of profit or loss (162) 29/45

30 (1) Differences in total provisions between CR2-A, CR1-A and CR1-C tables are mainly due to divergences in scope. Impairment of fixed assets and equity investments and provisions for guarantee commitments given are only included in the CR1-A and CR1-C Credit risk Exposures under the standardised approach STANDARDISED APPROACH EXPOSURE TO CREDIT RISK AND CREDIT RISK MITIGATION (CRM) EFFECTS AT 30 JUNE 2018 (CR4) 30/06/2018 Asset classes Exposures before CCF and CRM On-balance sheet amount Off-balance sheet amount Exposures post-ccf and CRM On-balance sheet amount Off-balance sheet amount and density density 1 Central governments or central banks 42, , , % 2 Regional governments or local authorities % 3 Public sector entities , % 4 Multilateral developments banks % 5 International organisations Institutions 24,292 3,708 38,160 1,967 7, % 7 Corporate 74,623 28,647 59,978 10,751 63, % 8 Retail 27,142 4,798 26, , % 9 Secured by mortgages on immovable property 12, , , % 10 Exposure in default 1, , , % 11 Higher-risk categories 2, , , % 12 Covered bonds % 13 Institutions and corporates with a short-term credit assessment Collective investment undertakings Equity 16,132 21,279 16,132 5,918 8, % 16 Other items 21, , , % 17 Total 225,921 59, ,255 19, , % STANDARDISED APPROACH - EXPOSURE TO CREDIT RISK AND CREDIT RISK MITIGATION (CRM) EFFECTS AT 31 DECEMBER 2017 (CR4) 31/12/2017 Asset classes Exposures before CCF and CRM On-balance sheet amount Off-balance sheet amount Exposures post-ccf and CRM On-balance sheet amount Off-balance sheet amount and density density 1 Central governments or central banks 48, , , % 2 Regional governments or local authorities % 3 Public sector entities % 4 Multilateral developments banks % 5 International organisations % 6 Institutions 21,572 3,231 35,310 1,813 7, % 7 Corporate 72,743 25,808 58,217 10,136 61, % 8 Retail 27,100 5,100 26, , % 9 Secured by mortgages on immovable property 12, , , % 10 Exposure in default 1, , , % 30/45

31 11 Higher-risk categories 3, , , % 12 Covered bonds % 13 Institutions and corporates with a short-term credit assessment % 14 Collective investment undertakings % 15 Equity 16,930 20,761 16,930 5,937 9, % 16 Other items 21, , , % 17 Total 227,318 55, ,791 18, , % EXPOSURES BY ASSET CLASS AND BY RISK WEIGHTING COEFFICIENT AT 30 JUNE 2018 (CR5) 30/06/2018 Risk weight 0% 2% 4% 10% 20% 35% 50% 70% 75% 100% 150% 250% 370% 1250% Others Deducted Total o/w unrated 1 Central governments or central banks 38, , ,057 43, Regional governments or local authorities Public sector entities Multilateral developments banks International organisations ,102 1, Institutions 15,948 3, ,992-7, , ,126 29,356 7 Corporate ,260-8, ,692 1, ,729 49,904 8 Retail , ,026 27,026 9 Secured by mortgages on immovable property ,782 1,031-3, ,938 11, Equity exposure , ,953 1, Exposure in default Items associated with particularly high risk ,637 1, ,759 2, Covered bonds Claims on institutions and corporate with a short-term credit assessment Claims in the form of CIU 8, ,584-4, ,003 1, ,050 21, Other items 3, , , ,349 21, TOTAL 68,045 3, ,325 7,783 21,464-30,132 82,830 4, , ,533 EXPOSURES BY ASSET CLASS AND BY RISK WEIGHTING COEFFICIENT AT 31 DECEMBER 2017 (CR5) 31/12/2017 Risk weight 0% 2% 4% 10% 20% 35% 50% 70% 75% 100% 150% 250% 370% 1250% Others Deducted Total o/w unrated 1 Central governments or central banks 44, , ,115 48,726 48,664 2 Regional governments or local authorities /45

32 3 4 5 Public sector entities Multilateral developments banks International organisations Institutions 15,384 2, ,513-7, , ,123 26,859 7 Corporate ,677-7, ,240 1, ,353 48,837 8 Retail (0) , ,121 27,121 9 Secured by mortgages on immovable property ,050 1,119-1, ,132 12, Equity exposure , ,736 1, Exposure in default Items associated with particularly high risk ,979 1, ,447 3, Covered bonds Claims on institutions and corporate with a short-term credit assessment Claims in the form of CIU 7, , ,585 1, ,867 22, Other items 3, , , ,356 21, TOTAL 72,133 2, ,758 9,050 17,078-29,065 83,335 4, , , , Quality of exposures under the internal ratings-based approach CREDIT RISK EXPOSURES BY PORTFOLIO AND PROBABILITY OF DEFAULT (PD) RANGE INTERNAL RATINGS-BASED APPROACH AT 30 JUNE 2018 (CR6) (in millions of euros) Central governments and central banks Institutions Corporates - Other Corporates - SME PD Scale Original on-balance sheet gross exposure Off-balance sheet exposures pre CCF Average CCF EAD post CRM and post- CCF Average PD Average LGD Average maturity density EL Value adjustments and provisions 0,00 à < 0,15 103, % 104, % 45.00% 1, % 1-0,15 à < 0, % % 45.00% % - - 0,25 à < 0, % % 44.81% % - - 0,50 à < 0, % % 45.00% % - - 0,75 à < 2, % % 44.98% % - - 2,50 à < 10, % % 45.00% % ,00 à < 100, % % 44.94% % 3-100,00 (défaut) % % 45.24% % - - Sous-total 103, % 105, % 45.00% 2, % ,00 à < 0,15 41,950 4, % 45, % 42.19% 7, % 6-0,15 à < 0, % % 39.24% % 1-0,25 à < 0,50 1, % 1, % 42.24% % 1-0,50 à < 0, % % 44.86% % 1-0,75 à < 2, % % 44.79% % 1-2,50 à < 10, % % 44.57% % ,00 à < 100, % % 45.00% 1, % ,00 (défaut) % % 45.00% % 8 - Sous-total 44,990 4, % 49, % 42.20% 10, % ,00 à < 0,15 18,160 7, % 24, % 44.83% 5, % 5-0,15 à < 0,25 6,059 3, % 8, % 44.53% 3, % 6-0,25 à < 0,50 6,562 4, % 9, % 44.44% 5, % 13-0,50 à < 0,75 6,250 3, % 8, % 44.50% 7, % 23-0,75 à < 2,50 10,812 3, % 12, % 43.97% 13, % 68-2,50 à < 10, % 1, % 43.48% 1, % 24-10,00 à < 100,00 1, % 1, % 44.23% 3, % ,00 (défaut) % % 44.55% % Sous-total 50,706 24, % 67, % 44.49% 41, % 612 1,293 0,00 à < 0, % % 44.45% % - - 0,15 à < 0, % % 44.08% % - - 0,25 à < 0,50 1, % 2, % 43.59% 1, % 3-0,50 à < 0,75 2, % 2, % 43.63% 2, % 8-0,75 à < 2,50 15,384 3, % 17, % 43.18% 16, % 109-2,50 à < 10,00 2, % 3, % 42.79% 3, % 67-10,00 à < 100,00 1, % 1, % 42.99% 3, % ,00 (défaut) 1, % 1, % 44.10% % Sous-total 26,203 6, % 29, % 43.27% 26, % 875 1,568 Total (all portfolios) 226,877 36, % 253, % 44.11% 81, % 1,567 2,952 32/45

33 CREDIT RISK EXPOSURES BY PORTFOLIO AND PROBABILITY OF DEFAULT (PD) RANGE INTERNAL RATINGS-BASED APPROACH AT 31 DECEMBER 2017 (CR6) (in millions of euros) Central governments and central banks Institutions Corporates - Other Corporates - SME PD Scale Original on-balance sheet gross exposure Off-balance sheet exposures pre CCF Average CCF EAD post CRM and post- CCF Average PD Average LGD Average maturity density EL Value adjustments and provisions 0,00 à < 0,15 94, % 96, % 45.00% 1, % 1-0,15 à < 0, % % 45.00% % 0-0,25 à < 0, % % 44.98% % 0-0,50 à < 0, % % 45.00% % 0-0,75 à < 2, % % 44.99% % 1-2,50 à < 10, % % 45.00% % 0-10,00 à < 100, % % 45.00% % 8-100,00 (défaut) % % 44.62% % 0 - Sous-total 95, % 97, % 45.00% 2, % ,00 à < 0,15 42,383 4, % 46, % 43.54% 7, % 7-0,15 à < 0, % % 42.24% % 0-0,25 à < 0, % % 42.04% % 1-0,50 à < 0, % % 45.00% % 1-0,75 à < 2, % % 44.73% % 1-2,50 à < 10, % % 45.00% % 0-10,00 à < 100, % % 45.00% 1, % ,00 (défaut) % % 45.00% % 9 - Sous-total 45,006 4, % 49, % 43.52% 10, % ,00 à < 0,15 16,722 8, % 23, % 44.81% 4, % 5-0,15 à < 0,25 5,291 3, % 8, % 44.49% 3, % 6-0,25 à < 0,50 6,364 3, % 8, % 44.40% 5, % 12-0,50 à < 0,75 5,701 2, % 7, % 44.40% 6, % 20-0,75 à < 2,50 10,912 4, % 12, % 44.03% 13, % 69-2,50 à < 10, % % 43.39% 1, % 19-10,00 à < 100,00 1, % 2, % 44.52% 5, % ,00 (défaut) % % 44.58% % Sous-total 48,687 23, % 64, % 44.48% 41, % 707 1,124 0,00 à < 0, % % 44.76% % 0-0,15 à < 0, % % 43.96% % 0-0,25 à < 0,50 1, % 1, % 43.52% % 2-0,50 à < 0,75 2, % 2, % 43.55% 1, % 7-0,75 à < 2,50 14,636 3, % 17, % 43.21% 15, % 105-2,50 à < 10,00 2, % 3, % 42.77% 3, % 65-10,00 à < 100,00 1, % 1, % 42.92% 3, % ,00 (défaut) 1, % 1, % 44.07% % Sous-total 24,887 6, % 28, % 43.26% 26, % 925 1,838 Total (all portfolios) 215,115 35, % 241, % 44.35% 80, % 1,715 3,018 33/45

34 CREDIT RISK EXPOSURES BY PORTFOLIO AND PROBABILITY OF DEFAULT (PD) RANGE ADVANCED INTERNAL RATINGS-BASED APPROACH AT 30 JUNE 2018 (CR6) (in millions of euros) Central governments and central banks Institutions Corporates - Other Corporates - SME Corporates - Specialised Lending Retail - Secured by immovable property non SME Retail - Other SME Retail - Qualifying revolving Retail - Secured by immovable property SME PD Scale Original on-balance sheet gross exposure Off-balance sheet exposures pre CCF Average CCF EAD post CRM and post- CCF Average PD Average LGD Average maturity density EL Value adjustments and provisions 0,00 à < 0,15 59,683 1, % 69, % 1.29% % - - 0,15 à < 0, % 1, % 10.00% % - - 0,25 à < 0, % % 34.14% % - - 0,50 à < 0, % % 10.00% % - - 0,75 à < 2, % % 48.59% 1, % - - 2,50 à < 10, % % 59.65% 1, % 2-10,00 à < 100, % % 88.63% 1, % 2-100,00 (défaut) % % 45.00% 1, % 16 - Sous-total 62,457 2, % 71, % 1.74% % ,00 à < 0,15 23,423 2, % 27, % 11.48% 449 1, % 1-0,15 à < 0, % % 39.27% % - - 0,25 à < 0,50 1, % 1, % 43.62% % 1-0,50 à < 0,75 1, % % 56.12% % 2-0,75 à < 2,50 1,041 1, % % 42.12% % 3-2,50 à < 10, % % 81.21% % 1-10,00 à < 100, % % 71.81% % 1-100,00 (défaut) % % 45.01% % Sous-total 28,324 5, % 31, % 16.01% 443 2, % ,00 à < 0,15 25,573 48, % 52, % 33.84% 725 7, % 8-0,15 à < 0,25 9,786 16, % 17, % 42.76% 953 6, % 11-0,25 à < 0,50 9,153 14, % 13, % 45.24% 974 7, % 16-0,50 à < 0,75 7,460 8, % 7, % 44.94% 899 5, % 18-0,75 à < 2,50 7,671 9, % 10, % 45.18% 1,199 9, % 40-2,50 à < 10, , % % 47.40% % 9-10,00 à < 100, , % 1, % 43.40% 694 2, % ,00 (défaut) 1, % 1, % 45.11% % 1,470 - Sous-total 63, , % 105, % 39.17% , % 1,647 1,948 0,00 à < 0, % % 45.66% 1, % - - 0,15 à < 0, % % 40.69% % - - 0,25 à < 0, % % 49.63% % - - 0,50 à < 0, % % 45.95% % - - 0,75 à < 2, % % 43.85% 1, % 1-2,50 à < 10, % % 39.36% 1, % 1-10,00 à < 100, % % 34.84% % 1-100,00 (défaut) % % 45.03% % 5 - Sous-total % % 42.80% 1, % 7 9 0,00 à < 0,15 2,269 1, % 9, % 5.93% 1, % - - 0,15 à < 0,25 7,399 2, % 8, % 10.24% 1, % 1-0,25 à < 0,50 9,813 2, % 9, % 13.52% 1,231 1, % 4-0,50 à < 0,75 7,627 3, % 7, % 12.08% 1,239 1, % 5-0,75 à < 2,50 10,266 3, % 9, % 13.26% 1,254 2, % 14-2,50 à < 10,00 1, % 1, % 10.53% 1, % 5-10,00 à < 100,00 1, % 1, % 22.19% 1,131 1, % ,00 (défaut) 1, % 1, % 42.89% 1, % Sous-total 41,992 13, % 48, % 12.04% 1,272 9, % ,00 à < 0,15 116,868 4, % 121, % 12.19% 2, % 10-0,15 à < 0,25 52,069 1, % 54, % 12.82% 2, % 12-0,25 à < 0,50 53,738 2, % 56, % 12.30% 5, % 27-0,50 à < 0, % % 0.00% % - - 0,75 à < 2,50 51,318 3, % 54, % 12.37% 10, % 76-2,50 à < 10,00 31,882 2, % 34, % 12.77% 15, % ,00 à < 100,00 2, % 2, % 0.00% 2, % ,00 (défaut) 4, % 4, % 63.90% 1, % 2,718 - Sous-total 312,637 14, % 327, % 12.97% 39, % 3,164 2,629 0,00 à < 0, , % 3, % 60.22% % 1-0,15 à < 0, , % 1, % 54.37% % 1-0,25 à < 0, , % 2, % 61.08% % 6-0,50 à < 0, % % 0.00% % - - 0,75 à < 2,50 1,189 2, % 2, % 58.04% 1, % 24-2,50 à < 10,00 2,241 1, % 3, % 58.11% 2, % ,00 à < 100, % % 59.00% % ,00 (défaut) % % 85.23% % Sous-total 4,729 14, % 13, % 59.97% 5, % ,00 à < 0,15 34,202 1, % 35, % 15.95% 1, % 4-0,15 à < 0,25 12, % 13, % 21.17% 1, % 5-0,25 à < 0,50 15, % 16, % 24.70% 2, % 17-0,50 à < 0, % % 0.00% % - - 0,75 à < 2,50 21, % 22, % 35.41% 9, % 110-2,50 à < 10,00 16, % 16, % 38.85% 10, % ,00 à < 100,00 1, % 1, % 16.48% 1, % ,00 (défaut) 3, % 3, % 77.09% % 2,713 - Sous-total 106,373 4, % 110, % 27.10% 27, % 3,457 3,351 0,00 à < 0,15 1, % 1, % 25.77% % 1-0,15 à < 0, % % 15.59% % - - 0,25 à < 0,50 6, % 6, % 22.44% % 7-0,50 à < 0, % % 0.00% % /45

35 Retail - Other non- SME 0,75 à < 2,50 5, % 5, % 20.86% 1, % 19-2,50 à < 10,00 3, % 4, % 21.45% 2, % 64-10,00 à < 100, % % 1.99% % ,00 (défaut) % % 72.54% % Sous-total 19, % 20, % 23.32% 6, % ,00 à < 0,15 4, % 5, % 31.32% % 3-0,15 à < 0,25 8,701 1, % 9, % 18.77% 1, % 3-0,25 à < 0,50 24,327 3, % 27, % 23.70% 5, % 30-0,50 à < 0, % % 0.00% % - - 0,75 à < 2,50 22,839 2, % 25, % 23.12% 8, % 94-2,50 à < 10,00 14,273 1, % 15, % 26.98% 8, % ,00 à < 100,00 3, % 3, % 0.00% 2, % ,00 (défaut) 4, % 4, % 80.19% % 3,359 - Sous-total 82,018 9, % 90, % 25.69% 27, % 4,064 4,168 Total (all portfolios) 721, , % 819, % 19.68% 161, % 14,579 14,550 CREDIT RISK EXPOSURES BY PORTFOLIO AND PROBABILITY OF DEFAULT (PD) RANGE ADVANCED INTERNAL RATINGS-BASED APPROACH AT 31 DECEMBER 2017 (CR6) (in millions of euros) Central governments and central banks Institutions Corporates - Other Corporates - SME Corporates - Specialised Lending Retail - Secured by immovable property non SME Retail - Other SME PD Scale Original on-balance sheet gross exposure Off-balance sheet exposures pre CCF Average CCF EAD post CRM and post- CCF Average PD Average LGD Average maturity density EL Value adjustments and provisions 0,00 à < 0,15 55, % 63, % 1.12% % 0-0,15 à < 0, % % 10.00% 1, % 0-0,25 à < 0,50 1, % 1, % 15.74% % 1-0,50 à < 0, % % 10.00% % 0-0,75 à < 2, % % 47.28% 1, % 0-2,50 à < 10, % % 60.00% 1, % 1-10,00 à < 100, % % 67.55% 1, % 5-100,00 (défaut) % % 45.00% 1, % 15 - Sous-total 58,215 2, % 65, % 1.68% % ,00 à < 0,15 20,806 3, % 26, % 11.58% 491 1, % 1-0,15 à < 0, % % 40.89% % 0-0,25 à < 0,50 1, % 1, % 45.33% % 1-0,50 à < 0,75 1, % 1, % 50.97% % 2-0,75 à < 2, % % 33.22% % 2-2,50 à < 10, % % 50.79% % 0-10,00 à < 100, % % 60.88% 1, % 1-100,00 (défaut) % % 45.03% % Sous-total 25,483 5, % 30, % 15.67% 484 2, % ,00 à < 0,15 19,197 54, % 46, % 35.43% 768 6, % 7-0,15 à < 0,25 6,207 16, % 13, % 44.80% 972 5, % 8-0,25 à < 0,50 8,955 14, % 13, % 43.45% 953 7, % 16-0,50 à < 0,75 6,525 7, % 6, % 44.76% 871 4, % 15-0,75 à < 2,50 7,631 9, % 9, % 49.53% 1,089 9, % 39-2,50 à < 10, % % 41.00% % 12-10,00 à < 100,00 1,027 2, % 1, % 39.87% 749 2, % ,00 (défaut) 2, % 2, % 45.54% % 1,611 - Sous-total 52, , % 94, % 40.40% , % 1,780 2,509 0,00 à < 0, % % 73.95% % 0-0,15 à < 0, % % 39.42% % 0-0,25 à < 0, % % 47.64% 1, % 0-0,50 à < 0, % % 46.46% % 0-0,75 à < 2, % % 42.88% 1, % 1-2,50 à < 10, % % 43.66% 1, % 1-10,00 à < 100, % % 40.58% % 1-100,00 (défaut) % % 45.03% 1, % 3 - Sous-total % % 43.49% 1, % 6 3 0,00 à < 0,15 2,260 1, % 9, % 5.48% 1, % 0-0,15 à < 0,25 7,953 1, % 8, % 9.49% 1, % 1-0,25 à < 0,50 10,384 2, % 10, % 12.60% 1,242 1, % 4-0,50 à < 0,75 6,040 2, % 5, % 11.16% 1,328 1, % 4-0,75 à < 2,50 10,174 3, % 9, % 14.85% 1,250 3, % 15-2,50 à < 10,00 1, % 1, % 11.95% 1, % 6-10,00 à < 100,00 1, % 1, % 19.42% 1,235 1, % ,00 (défaut) 1, % 1, % 38.30% 1, % Sous-total 41,272 12, % 48, % 11.72% 1,296 9, % ,00 à < 0,15 111,916 4, % 116, % 12.27% - 2, % 10-0,15 à < 0,25 49,348 1, % 51, % 12.92% - 2, % 12-0,25 à < 0,50 50,548 2, % 52, % 12.35% - 4, % 26-0,50 à < 0, % % 0.00% % - - 0,75 à < 2,50 48,924 2, % 51, % 12.38% - 9, % 73-2,50 à < 10,00 29,844 1, % 31, % 12.85% - 14, % ,00 à < 100,00 2, % 2, % 0.00% - 2, % ,00 (défaut) 4, % 4, % 64.14% % 2,677 - Sous-total 297,118 13, % 310, % 13.06% - 37, % 3,102 2,222 0,00 à < 0, , % 3, % 60.22% % 1-0,15 à < 0, , % 1, % 53.98% % 1-0,25 à < 0, , % 2, % 60.24% % 5-0,50 à < 0, % % 0.00% % - - 0,75 à < 2,50 1,178 2, % 2, % 57.55% - 1, % 23-2,50 à < 10,00 2,233 1, % 3, % 57.55% - 2, % /45

36 Retail - Qualifying revolving Retail - Secured by immovable property SME Retail - Other non- SME 10,00 à < 100, % % 58.23% % ,00 (défaut) % % 84.98% % Sous-total 4,708 14, % 13, % 59.53% - 5, % ,00 à < 0,15 36,056 1, % 37, % 16.66% - 1, % 4-0,15 à < 0,25 13, % 14, % 19.58% - 1, % 5-0,25 à < 0,50 15, % 16, % 23.98% - 2, % 16-0,50 à < 0, % % 0.00% % - - 0,75 à < 2,50 22, % 23, % 34.51% - 9, % 109-2,50 à < 10,00 16, % 16, % 38.18% - 10, % ,00 à < 100,00 1, % 1, % 17.30% - 1, % ,00 (défaut) 3, % 3, % 75.90% % 2,753 - Sous-total 109,525 4, % 113, % 26.62% - 27, % 3,502 3,048 0,00 à < 0,15 1, % 1, % 25.72% % 1-0,15 à < 0, % % 16.25% % 0-0,25 à < 0,50 5, % 5, % 22.99% % 7-0,50 à < 0, % % 0.00% % - - 0,75 à < 2,50 4, % 5, % 21.88% - 1, % 18-2,50 à < 10,00 3, % 3, % 22.61% - 2, % 61-10,00 à < 100, % % 1.62% % ,00 (défaut) % % 72.04% % Sous-total 18, % 18, % 24.23% - 6, % ,00 à < 0,15 4, % 5, % 31.50% % 3-0,15 à < 0,25 8,905 1, % 9, % 17.61% % 3-0,25 à < 0,50 24,298 3, % 27, % 23.41% - 5, % 30-0,50 à < 0, % % 0.00% % - - 0,75 à < 2,50 21,688 2, % 24, % 23.32% - 7, % 90-2,50 à < 10,00 14,365 1, % 15, % 26.71% - 8, % ,00 à < 100,00 3, % 3, % 0.00% - 2, % ,00 (défaut) 4, % 4, % 80.32% % 3,348 - Sous-total 80,927 10, % 89, % 25.42% - 27, % 4,076 4,229 Total (all portfolios) 687, , % 784, % 19.75% - 154, % 14,767 14, Use of credit derivatives for hedging purposes EFFECT OF CREDIT DERIVATIVES ON RISK-WEIGHTED ASSETS (CR7) 30/06/2018 Pre-credit derivatives s Actual s 1 Exposures under FIRB Central governments and central banks Institutions Corporates SMEs Corporates Specialised lending Corporates Other Exposures under AIRB Central governments and central banks Institutions Corporates SMEs 4,398 2, Corporates Specialised lending Corporates Other Retail Secured by real estate SMEs Retail Secured by real estate non-smes Retail Qualifying revolving Retail Other SMEs Retail Other non-smes Equity IRB Other non credit obligation assets TOTAL 4,436 2,854 36/45

37 Change in between 31 December 2017 and 30 June 2018 STATEMENT OF RISK-WEIGHTED ASSET () FLOWS FOR CREDIT RISK EXPOSURES UNDER THE INTERNAL RATINGS-BASED APPROACH (CR8) 30/06/2018 amounts Capital requirements 1 s as at the end of the previous reporting period 308,929 24,714 2 Asset size 8, Asset quality (1,747) (140) 4 Model updates Methodology and policy Acquisitions and disposals Foreign exchange movements Other (318) (25) 9 s as at the end of the reporting period 316,053 25, Counterparty credit risk Crédit Agricole S.A. and its subsidiaries calculate counterparty risk for all their exposures, whether in the banking book or the trading book. For items in the trading book, counterparty risk is calculated in accordance with the provisions relating to the regulatory supervision of market risk. The regulatory treatment of counterparty risk on transactions on forward financial instruments in the banking portfolio is defined on a regulatory basis in Regulation (EU) 575/2013 of 26 June Crédit Agricole S.A. Group uses the market price method to measure its exposure to counterparty risk on transactions on forward financial instruments in the banking portfolio (Article 274) or the internal model method (Article 283) within the scope of Crédit Agricole CIB Analysis of exposure to counterparty risk EXPOSURE TO COUNTERPARTY RISK BY APPROACH AT 30 JUNE /06/2018 Standard IRB Total (en milliards d euros) Administrations centrales et banques centrales Exposition brute EAD Exposition brute EAD Exposition brute EAD Exigence de fonds propres Établissements Entreprises Clientèle de détail Actions Titrisations Autres actifs ne correspondant pas à une obligation de crédit TOTAL EXPOSURE TO COUNTERPARTY RISK BY APPROACH AT 31 DECEMBER /12/2017 Standard IRB Total (in billions of euros) Gross Exposure EAD Gross Exposure EAD Gross Exposure EAD Capital Requirem ent Central governments and central banks Institutions Corporates Retail Customers Shares Securitisations Other non credit-obigation assets TOTAL /45

38 Exposure to counterparty risk under the standardised approach EXPOSURES TO COUNTERPARTY RISK UNDER THE STANDARDISED APPROACH BY REGULATORY PORTFOLIO AND BY RISK WEIGHTING AT 31 JUNE 2017 (CCR3) 30/06/2018 Risk weight Exposure classes Central governments or central banks Regional governments or local authorities 0% 2% 4% 10% 20% 35% 50% 70% 75% 100% 150% Other Total Exposure to credit risk o/w unrated 2, ,653 2, Public sector entities Multilateral developments banks International organisations Banks (Institutions) - 12, ,509-1, ,245 14,998 Corporate , ,704 2,151 Retail Default Institutions and corporates with a short-term credit assessment Other items TOTAL 2,474 12, ,780-1, , ,618 19,809 EXPOSURES TO COUNTERPARTY RISK UNDER THE STANDARDISED APPROACH BY REGULATORY PORTFOLIO AND BY RISK WEIGHTING AT 31 DECEMBER 2017 (CCR3) 31/12/2017 Risk weight Exposure classes 0% 2% 4% 10% 20% 35% 50% 70% 75% 100% 150% Other Total Exposure to credit risk o/w unrated Central governments or central banks Regional governments or local authorities 1, ,855 1, Public sector entities Multilateral developments banks International organisations Banks (Institutions) - 11, ,707-1, ,481 13,414 Corporate , ,334 1,778 Retail Default Institutions and corporates with a short-term credit assessment Other items TOTAL 1,665 11, ,995-1, , ,683 17,052 38/45

39 Exposure to counterparty risk under the advanced approach COUNTERPARTY RISK EXPOSURES BY PORTFOLIO AND PROBABILITY OF DEFAULT (PD) RANGE, SUPERVISORY PORTFOLIOS FOR FOUNDATION INTERNAL RATINGS-BASED APPROACH AT 30 JUNE 2018 (CCR4) Prudential portfolios for the FIRB approach PD scale EAD post- CRM average PD Average LGD Average maturity density Institutions Corporates - Other 0.00 to < % 42.37% % 0.15 to < % 39.24% % 0.25 to < % 42.24% % 0.50 to < % 44.86% % 0.75 to < % 0.00% % 2.50 to < % 0.00% % to < % 45.00% % (Default) % 0.00% % Sub-total % 42.13% % 0.00 to < % 44.83% % 0.15 to < % 44.53% % 0.25 to < % 44.44% % 0.50 to < % 44.50% % 0.75 to < % 43.91% % 2.50 to < % 43.48% % to < % 44.37% % (Default) % 44.55% % Sub-total % 44.34% % TOTAL 1, % 42.63% % COUNTERPARTY RISK EXPOSURES BY PORTFOLIO AND PROBABILITY OF DEFAULT (PD) RANGE, SUPERVISORY PORTFOLIOS FOR FOUNDATION INTERNAL RATINGS-BASED APPROACH AT 31 DECEMBER 2017 (CCR4) Prudential portfolios for the FIRB approach PD scale EAD post- CRM average PD Average LGD Average maturity density 0.00 to < % 43.44% % 0.15 to < % 42.24% % 0.25 to < % 42.04% % 0.50 to < % 0.00% % Institutions 0.75 to < % 44.89% % 2.50 to < % 0.00% % to < % 45.00% % (Default) % 0.00% % Sub-total % 43.49% % 0.00 to < % 44.81% % 0.15 to < % 44.49% % 0.25 to < % 44.40% % 0.50 to < % 44.40% % Corporates - Other 0.75 to < % 44.01% % 2.50 to < % 43.39% % to < % 44.70% % (Default) % 44.58% % Sub-total % 44.47% % TOTAL 1, % 43.69% % 39/45

40 COUNTERPARTY RISK EXPOSURES BY PORTFOLIO AND PROBABILITY OF DEFAULT (PD) RANGE, SUPERVISORY PORTFOLIOS FOR FOUNDATION INTERNAL RATINGS-BASED APPROACH AT 30 JUNE 2018 (CCR4) 30/06/2018 Central governments and central banks Institutions Corporates - Other Corporates - SME Corporates - Specialised lending PD scale EAD post- CRM average PD Average LGD Average maturity density 0.00 to <0.15 7, % 1.14% 1, % 0.15 to < % 10.00% % 0.25 to < % 34.14% % 0.50 to < % 10.00% % 0.75 to < % 45.61% 1, % 2.50 to < % 0.00% % to < % 75.90% % (Default) % 0.00% % Sub-total 7, % 2.62% % 0.00 to < , % 18.98% 709 1, % 0.15 to <0.25 1, % 39.27% % 0.25 to <0.50 1, % 43.62% % 0.50 to < % 56.12% % 0.75 to < % 43.39% % 2.50 to < % 81.21% % to < % 50.28% 1, % (Default) % 0.00% % Sub-total 19, % 24.58% 659 3, % 0.00 to < , % 36.46% 768 1, % 0.15 to <0.25 1, % 42.76% % 0.25 to <0.50 2, % 45.24% 974 1, % 0.50 to <0.75 1, % 44.94% % 0.75 to <2.50 1, % 45.90% 1,209 1, % 2.50 to < % 47.40% % to < % 42.94% % (Default) % 45.11% % Sub-total 18, % 39.65% 857 5, % 0.00 to < % 47.75% 1, % 0.15 to < % 40.69% % 0.25 to < % 49.63% % 0.50 to < % 45.95% % 0.75 to < % 39.07% 1, % 2.50 to < % 39.36% 1, % to < % 35.91% % (Default) % 45.03% % Sub-total % 44.48% 1, % 0.00 to < % 12.11% 1, % 0.15 to < % 10.24% 1, % 0.25 to < % 13.52% 1, % 0.50 to < % 12.08% 1, % 0.75 to < % 12.82% 1, % 2.50 to < % 10.53% 1, % to < % 28.90% 1, % (Default) % 42.89% 1, % Sub-total 2, % 12.81% 1, % TOTAL 48, % 26.49% - 10, % COUNTERPARTY RISK EXPOSURES BY PORTFOLIO AND PROBABILITY OF DEFAULT (PD) RANGE, SUPERVISORY PORTFOLIOS FOR FOUNDATION INTERNAL RATINGS-BASED APPROACH AT 31 DECEMBER 2017 (CCR4) 31/12/2017 Central governments and central banks Institutions PD scale EAD post- CRM average PD Average LGD Average maturity density 0.00 to <0.15 6, % 1.00% 1, % 0.15 to < % 10.00% 1, % 0.25 to < % 16.00% % 0.50 to < % 10.00% % 0.75 to < % 46.00% 1, % 2.50 to < % 0.00% % to < % 51.00% 1, % (Default) % 0.00% % Sub-total 7, % 3.00% 1, % 0.00 to < , % 19.00% 764 1, % 0.15 to <0.25 1, % 41.00% % 0.25 to <0.50 1, % 45.00% % 0.50 to < % 51.00% % 0.75 to < % 32.00% % 2.50 to < % 51.00% % to < % 38.00% 1, % 40/45

41 (Default) % 45.00% % Sub-total 17, % 24.00% 708 3, % 0.00 to <0.15 7, % 38.00% % 0.15 to <0.25 1, % 45.00% % 0.25 to <0.50 1, % 43.00% 953 1, % 0.50 to <0.75 1, % 45.00% % Corporates - Other 0.75 to <2.50 1, % 50.00% 1,119 1, % 2.50 to < % 41.00% % to < % 41.00% % (Default) % 46.00% % Sub-total 13, % 41.00% 893 4, % 0.00 to < % 48.00% 1, % 0.15 to < % 39.00% % 0.25 to < % 48.00% 1, % 0.50 to < % 46.00% % Corporates - SME 0.75 to < % 44.00% 1, % 2.50 to < % 44.00% 1, % to < % 40.00% % (Default) % 45.00% 1, % Sub-total % 46.00% 1, % 0.00 to < % 11.00% 1, % 0.15 to < % 9.00% 1, % 0.25 to < % 13.00% 1, % 0.50 to < % 11.00% 1, % Corporates - Specialised 0.75 to < % 14.00% 1, % lending 2.50 to < % 12.00% 1, % to < % 20.00% 1, % (Default) % 38.00% 1, % Sub-total 2, % 12.00% 1, % TOTAL 41, % 26.00% - 9, % Change in under the internal models method (IMM) between 31 December 2017 and 30 June 2018 STATEMENT OF FLOWS OF RISK-WEIGHTED ASSETS () FOR COUNTERPARTY RISK EXPOSURES UNDER THE INTERNAL MODELS METHOD (IMM) (CCR7) 30/06/2018 amounts Capital requirements 1 s as at the end of the previous reporting period 7, Asset size Credit quality of counterparties (96) (8) 4 Model updates (IMM only) Methodology and policy (IMM only) Acquisitions and disposals Foreign exchange movements (479) (38) 8 Other s as at the end of the current reporting period 8, /45

42 CVA CAPITAL REQUIREMENT FOR CREDIT VALUATION ADJUSTMENT (CVA) (CCR2) 30/06/ /12/2017 Total portfolios subject to the Advanced CVA capital 1 charge EAD post-crm EAD post- CRM 14,919 2,061 15,950 1,893 2 (i) VaR component (including the 3 multiplier) (ii) Stressed VaR component (including the 3 multiplier) All portfolios subject to the Standardised CVA capital charge 15,332 1,606 10,457 1,540 EU4 Based on the original exposure method Total subject to the CVA capital charge 30,251 3,667 26,407 3, Risk mitigation techniques applied to counterparty risk Credit derivatives used for hedging purposes These techniques are presented in part Risk factors - Credit risk - Credit risk mitigation mechanisms - Use of credit derivatives" of this A01 update to the 2017 Registration Document. EXPOSURES TO CREDIT DERIVATIVES (CCR6) 30/06/2018 Credit derivative hedges Protection bought Protection sold Other credit derivatives Notionals Single-name credit default swaps 4, Index credit default swaps Total return swaps Credit options Other credit derivatives TOTAL NOTIONALS 4, Fair values Positive fair value (asset) Negative fair value (liability) (4) /45

43 3.2.4 Equity exposures in the banking portfolio GROSS EXPOSURE AND EXPOSURE AT DEFAULT UNDER THE INTERNAL RATINGS-BASED APPROACH AT 30 JUNE 2018 (CR10) 30/06/2018 Onbalance Categories sheet (in million of euros) amount Offbalance sheet amount Risk weight Exposure amount s Capital requirements Exchange-traded equity exposures 1, % 1,282 2, Private equity exposures 1, % 1,483 4, Other equity exposures 15, % 15,565 57,591 4,607 TOTAL 18, ,330 64,328 5,146 GROSS EXPOSURE AND EXPOSURE AT DEFAULT UNDER THE INTERNAL RATINGS-BASED APPROACH AT 32 DECEMBER 2017 (CR10) 31/12/2017 Onbalance Categories sheet (in million of euros) amount Offbalance sheet amount Risk weight Exposure amount s Capital requirements Exchange-traded equity exposures % 751 1, Private equity exposures 1, % 1,475 4, Other equity exposures 16, % 15,981 59,128 4,730 TOTAL 18, ,206 64,831 5, Market risk Exposure to market risk of the trading book Risk weighted exposure using the standardised approach RISK-WEIGHTED ASSETS USING THE STANDARDISED APPROACH (MR1) 30/06/ /12/2017 Futures and forwards Capital requirement Capital requirement 1 Interest rate risk (general and specific) Risk on shares (general and specific) Currency risk 4, , Commodities risk Options 43/45

44 5 Simplificated approach Delta-plus method Scenarios based approach Securitisation TOTAL 5, , Exposures using the internal models approach Risk-weighted assets and capital requirements MARKET RISK UNDER THE INTERNAL MODELS APPROACH (MR2-A) 30/06/ /12/2017 Capital requirement Capital requirement 1 VaR (higher of values a and b) , (a) Previous day's VaR (VaRt-1) (b) Average of the daily VaR on each of the preceding sixty business days (VaRavg) x multiplication factor (mc) SVaR (higher of values a and b) 2, , (a) Latest SVaR (svart-1) (b) Average of the SVaR during the preceding sixty business days (svaravg) x multiplication factor (ms) Incremental risk charge -IRC (higher of values a and b) 4, , (a) Most recent IRC value (incremental default and migration (b) risks section 3 calculated) Average of the IRC number over the preceding 12 weeks Comprehensive Risk Measure CRM (higher of values a, b and Most c) recent risk number for the correlation trading (a) portfolio (b) (c) Average of the risk number for the correlation trading portfolio over the preceding 12-weeks 8 % of the own funds requirement in SA on most recent risk number for the correlation trading portfolio TOTAL 7, , /45

45 Values resulting from use of internal models VALUE OF THE TRADING BOOK UNDER THE INTERNAL MODELS APPROACH (IMA) (MR3) 30/06/ /12/ VaR (10 days, 99 %) 2 Maximum value Mean value Minimum value End of period value VaR in stressed period (10 days, 99 %) 7 Maximum value Mean value Minimum value End of period value Capital requirement in line with IRC (99,9 %) 12 Maximum value Mean value Minimum value End of period value Capital requirement in line with CRM (99,9 %) 17 Maximum value Mean value Minimum value End of period value Floor (standard measure method) Back testing of the VAR model (MR4) 45/45