20 20 BASEL III PILLAR 3 DISCLOSURES - Crédit Agricole CIB
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20 20 BASEL III PILLAR 3 DISCLOSURES Review at 30 June 2021
CONTENTS
BASEL III PILLAR 3 DISCLOSURES ..............................................................................3
1. COMPOSITION AND MANAGEMENT OF CAPITAL........................................................................................................................................... 4
2. COMPOSITION AND CHANGES IN RISK-WEIGHTED ASSETS....................................................................................................................19
3. LIQUIDITY COVERAGE RATIO ............................................................................................................................................................................. 56
4. INTEREST RISK......................................................................................................................................................................................................... 58
RESPONSIBILITY STATEMENT................................................................................. 59
2 CRÉDIT AGRICOLE CIB - BASEL III PILLAR 3 DISCLOSURES - 30 JUNE 2021Informations au titre du Pilier 3 de Bâle III
BASEL III PILLAR 3 DISCLOSURES
f Phased-in key metrics at Crédit Agricole CIB Group level (EU KM1)
€ million 30.06.2021
Available own funds (amounts)
1 Common Equity Tier 1 (CET1) capital 14,716
2 Tier 1 capital 23,053
3 Total capital 27,211
Risk-weighted exposure amounts
4 Total risk exposure amount 131,884
Capital ratios (as a percentage of risk-weighted exposure amount)
5 Common Equity Tier 1 ratio (%) 11.2%
6 Tier 1 ratio (%) 17.5%
7 Total capital ratio (%) 20.6%
Additional own funds requirements to address risks other than the risk of excessive leverage (as a percentage of risk-weighted
exposure amount)
EU 7a Additional own funds requirements to address risks other than the risk of excessive leverage (%) 1.50%
EU 7b of which: to be made up of CET1 capital (percentage points) 0.84%
EU 7c of which: to be made up of Tier 1 capital (percentage points) 1.13%
EU 7d Total SREP own funds requirements (%) 9.50%
Combined buffer and overall capital requirement (as a percentage of risk-weighted exposure amount)
8 Capital conservation buffer (%) 2.50%
EU 8a Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State (%) na
9 Institution specific countercyclical capital buffer (%) 0.048%
EU 9a Systemic risk buffer (%) na
10 Global Systemically Important Institution buffer (%) na
EU 10a Other Systemically Important Institution buffer (%) na
11 Combined buffer requirement (%) 2.55%
EU 11a Overall capital requirements (%) 12.05%
12 CET1 available after meeting the total SREP own funds requirements (%) 5.81%
Leverage ratio
13 Total exposure measure 620,473
14 Leverage ratio (%) 3.72%
Liquidity Coverage Ratio
15 Total high-quality liquid assets (HQLA) (Weighted value -average) 102,545
EU 16a Cash outflows - Total weighted value 122,351
EU 16b Cash inflows - Total weighted value 39,311
16 Total net cash outflows (adjusted value) 83,040
17 Liquidity coverage ratio (%) 123%
Net Stable Funding Ratio
18 Total available stable funding 208,195
19 Total required stable fuding 186,178
20 NSFR ratio (%) 112%
CRÉDIT AGRICOLE CIB - BASEL III PILLAR 3 DISCLOSURES - 30 JUNE 2021 3Informations au titre du Pilier 3 de Bâle III
COMPOSITION AND MANAGEMENT OF CAPITAL
1. COMPOSITION AND MANAGEMENT OF CAPITAL
Within the framework of Basel 3 agreements, (EU) regulation In addition to solvency, Crédit Agricole CIB also manages the lev-
No. 575/2013 of the European Parliament and of the Council of erage and resolution ratios (MREL & TLAC). The Crédit Agricole
26 June 2013 (the Capital Requirements Regulation, or “CRR”) CIB Group does not have any requirement specific to TLAC or
modified by CRR No. 2019/876 (“CRR 2”) requires relevant finan- MREL, but as a subsidiary of the Crédit Agricole Group it contrib-
cial institutions (notably credit institutions and investment firms) utes to these ratios and is subject to the monitoring and steering
to disclose quantitative and qualitative information on their risk process put in place by the Group.
management activities. The risk management system and expo- Lastly, the solvency and leverage ratios are an integral part of
sure levels of Crédit Agricole CIB are presented in this section the risk appetite framework applied within the Group (described
and in the section entitled “Risk management” of the Universal in the chapter on “Risk Factors and Risk management” of the
Registration Document of 2020 and its Amendment as at 30 Universal Registration Document of 2020 and its Amendment
June 2021. as at 30 June 2021.
The Basel 3 agreements are categorised into three pillars:
¡ Pillar 1 sets the minimum capital adequacy requirements
and level of ratios in accordance with the current regulatory 1.1 Applicable regulatory framework
framework; Tightening up the regulatory framework, Basel 3 agreements
¡ Pillar 2 completes the regulatory approach with the quantifica- enhanced the quality and level of regulatory capital required and
tion of a capital requirement covering the major risks to which added new risk categories to the regulatory framework.
the bank is exposed, on the basis of internal approaches (see
Furthermore, a specific regulatory framework, allowing an alter-
section on “Economic Capital Adequacy”);
native to bank default, has entered into force following the 2008
¡ Pillar 3 introduces standards for financial disclosure to the financial crisis.
market, with the requirement to give details of the regulatory
The legislation concerning the regulatory requirements applicable
capital components and risk assessments, both for the regu-
to credit institutions and investment firms was published in the
lations applied and the business during the period.
Official Journal of the European Union on 26 June 2013 (Capital
Requirements Directive, known as “CRD 4”, directive 2013/36/
Crédit Agricole CIB has chosen to disclose its Pillar 3 information EU transposed by French Order No. 2014-158 of 20 February
in a separate section from its Risk Factors and Risk Management 2014 and the Capital Requirements Regulation, known as “CRR”,
in order to isolate the items that meet the regulatory prudential Regulation 575/2013) and entered into force on 1 January 2014,
publication requirements. in accordance with the transitional provisions specified in the
The main purpose of solvency management is to assess Crédit legislation.
Agricole CIB’s own funds and to verify that they are sufficient The European directive “the Bank Recovery and Resolution
to cover the risks to which Crédit Agricole S.A. is or could be Directive” (known as “BRRD”), was published for an effect since
exposed, given its activities. The objective is to secure its cus- 1st January 2015 and the “European Single Resolution Mechanism
tomers’ deposits and allow the Group access to the financial Regulation” (known as “SRMR”, Regulation 806/2014) was pub-
markets under the desired conditions. lished on 30 July 2014 for an effect on the 1st August 2016,
To achieve this objective, the Group measures regulatory capital in accordance with the transitional provisions specified in the
requirements (Pillar 1) and conducts regulatory capital manage- legislation.
ment, by relying on both short- and medium-term prospective On 7 June 2019, four pieces of legislation constituting the banking
measures that are consistent with the budgetary projections, package were published in the Official Journal of the European
based on a central economic scenario. Union for a progressive effect by end-June 2021:
Moreover, the Group relies on an internal process, named ICAAP ¡ BRRD 2: Directive (EU) 2019/879 of the European Parliament
(Internal Capital Adequacy and Assessment Process), which has and of the Council of 20 May 2019 amending Directive
been developed in accordance with the interpretation of the regu- 2014/59/EU;
latory texts specified below. More specifically, the ICAAP includes: ¡ SRMR 2: Regulation (EU) 2019/877 of the European
¡ the governance of capital management, adapted to the spe- Parliament and of the Council of 20 May 2019 amending
cificities of the Group’s subsidiaries, which enables centralised Regulation (EU) No. 806/2014;
and coordinated monitoring at Group level; ¡ CRD 5: Directive (EU) 2019/878 of the European Parliament
¡ a measurement of economic capital requirements based on and of the Council of 20 May 2019 amending Directive
the risk identification process and quantification of capital 2013/36/EU;
requirements using an internal approach (Pillar 2); ¡ CRR 2: Regulation (EU) 2019/876 of the European Parliament
¡ conducting ICAAP stress test exercises that aim to simulate and of the Council of 20 May 2019 amending Regulation
the destruction of capital after a three-year adverse eco- (EU) No. 575/2013.
nomic scenario; Regulations SRMR 2 and CRR 2 entered into force 20 days
¡ the management of economic capital (see section on after their publication, i.e. on 27 June 2019 (although not all the
“Economic Capital Adequacy”); provisions are immediately applicable). The CRD 5 and BRRD2
¡ a qualitative ICAAP mechanism that formalises, amongst other directives were both transposed into French law on 21 December
items, the major areas for risk management improvement. 2020 by Decrees 2020-1635 and 2020-1636 and came into force
seven days after their publication, i.e., on 28 December 2020.
The ICAAP is highly integrated within the Group’s other strategic Regulation 2020/873, known as “Quick-Fix”, was published on
processes, such as the ILAAP (Internal Liquidity Adequacy and 26 June 2020 and came into force on 27 June 2020, amending
Assessment Process), the risk appetite framework, the budgetary Regulations 575/2013 (“CRR”) and 2019/876 (“CRR 2”).
process, the recovery plan and the risk identification process. Under the CRR 2/CRD 5 regime, four levels of capital require-
ments are calculated:
¡ the Common Equity Tier 1 (CET1) ratio;
4 CRÉDIT AGRICOLE CIB - BASEL III PILLAR 3 DISCLOSURES - 30 JUNE 2021Informations au titre du Pilier 3 de Bâle III
COMPOSITION AND MANAGEMENT OF CAPITAL
¡ the Tier 1 ratio; ¡ to approve the structuring assumptions with an effect on
¡ the total capital ratio; solvency in line with the Medium-Term Plan;
¡ The leverage ratio, which has been a Pillar 1 regulatory require- ¡ to set the rules for capital management and distribution
ment since 28 June 2021. between the bank’s various business lines within the Group;
These ratios are subject to a phasing-in period of calculation ¡ to decide on liability management transactions (subordinated
which aim to progressively take into account: debt management);
¡ the transition from Basel 2 calculation rules to Basel 3 rules ¡ to keep up to date with the latest supervision and regula-
(the transitional provisions applied to all the own funds until tory news;
1 January 2018 and apply to hybrid debt instruments until ¡ to examine the relevant problems relating to the subsidiaries;
1 January 2022); ¡ to prepare the decisions to be submitted if necessary to
¡ the eligibility criteria defined by CRR 2 (until 28 June 2025); the Asset-Liability Management Committee and the Board
¡ the impacts related to the application of the IFRS 9 accounting of Directors;
standard. ¡ to study any other subject affecting solvency and resolution
A fully loaded view of the ratios, as if the regulatory changes were ratios at Group level.
of immediate application, is also published. The management of regulatory capital is performed using a
In addition, a ratio already supplements this processs with the aim process called capital planning.
of assessing the adequacy of loss absorption and recapitalisation Capital planning is designed to provide projections for capital and
capacities of Global Systemically Important Institutions (G-SII). The rare resource consumption (risk-weighted assets and size of the
TLAC ratio (Total Loss Absorbing Capacity completes the mon- balance sheet) over the current Medium-Term Plan, with a view
itoring of the MREL (Minimum Requirement for Own Funds and to determining the trajectories for solvency ratios (CET 1, Tier 1,
Eligible Liabilities) ratio defined in the BRRD. The Crédit Agricole total ratio), leverage ratio and resolution ratios (if applicable).
Group does not have any requirement specific to TLAC or MREL It covers the budgetary components of the financial trajec-
but as a subsidiary of the Crédit Agricole Group it contributes to tory, including organisational transaction projects, regulatory
these ratios and is subject to the monitoring and steering process accounting and prudential changes, as well as model effects
put in place by the Group. against risk bases. It also reflects the issuance policy (subordi-
nated debts and eligible TLAC and MREL debts) and distribution
with regard to the capital structure targets defined in line with the
Group’s strategy.
1.2 Supervision and regulatory scope It determines the leeway available to the business lines for
development.
Credit institutions and certain investment activities referred to in
Annex 1 of Directive 2004/39/EC are subject to solvency ratios Capital planning is submitted to various governance bodies and is
and large exposure ratios on an individual, and where applicable, communicated to the competent authorities, either in the context
“sub-consolidated” basis. of regular discussions or for specific transactions (such as author-
isation requests).
The French Regulatory and Resolution Supervisory Authority
(ACPR) has accepted that certain subsidiaries of the Group may
benefit from individual exemption under the conditions specified
by Article 7 of the CRR. Accordingly, Crédit Agricole CIB has been
1.5 Regulatory capital
exempted by the ACPR from application on an individual basis.
The transition to single supervision on 4 November 2014 by the 1.5.1 REGULATORY CAPITAL
European Central Bank did not call into question the individual
exemptions previously granted by the ACPR. Basel 3 defines three levels of capital:
¡ Common Equity Tier 1 (CET1);
¡ Tier 1 capital, which consists of Common Equity Tier 1 and
1.3 Capital policy Additional Tier 1 (AT1) capital;
The Group unveiled its financial trajectory for the Group Project ¡ total capital, consisting of Tier 1 capital and Tier 2 capital.
and the 2022 Medium-Term Plan during the Investors’ Day on All the tables and remarks below include the retained earnings
6 June 2019. Targets in terms of results and scarce resources of the period.
were explained on this occasion.
Subsidiaries under Crédit Agricole S.A. exclusive control and 1.5.1.1 Common Equity Tier 1 (CET1);
subject to compliance with capital requirements, for which Crédit
This includes:
Agricole CIB belongs to, are capitalised at a consistent level,
taking into account local regulatory requirements, capital require- ¡ share capital;
ments necessary to finance their development and a management ¡ reserves, including share premiums, retained earnings, income
buffer adapted to the volatility of their CET1 ratio. net of tax after dividend payments as well as accumulated
other comprehensive income, including unrealised capital
gains and losses on financial assets held to collect and sale
1.4 Governance purposes and translation adjustments;
¡ non-controlling interests, which are partially derecognised,
The Scarce Resources Committee meets quarterly, chaired by or even excluded, depending on whether or not the subsid-
the Deputy General Manager, Chief Financial Officer; it includes iary is an eligible credit institution; this partial derecognition
in particular the Group Chief Risk Officer, the Head of control, corresponds to the excess capital compared to the amount
the Head of Treasury, and Crédit Agricole S.A. representatives. required to cover the subsidiary’s capital requirements and
This Committee has the following main tasks: applies to each tier of capital;
¡ to review the short- and medium-term solvency, leverage ratio ¡ deductions, which mainly include the following items:
and resolution projections for Crédit Agricole Group and for - CET1 instruments held under liquidity contracts and buyback
Crédit Agricole CIB; programmes,
CRÉDIT AGRICOLE CIB - BASEL III PILLAR 3 DISCLOSURES - 30 JUNE 2021 5Informations au titre du Pilier 3 de Bâle III
COMPOSITION AND MANAGEMENT OF CAPITAL
- intangible assets, including start-up costs and goodwill, - deferred tax assets (DTAs) that rely on future profitability
- prudent valuation which consists of adjusting the amount of arising from temporary differences for the amount exceeding
the institution’s assets and liabilities if, in accounting terms, an individual ceiling of 10% of the institution’s CET1 capital;
it does not reflect a valuation that is deemed to be prudent items not deducted are included in risk-weighted assets
by the regulations, (weighting at 250%),
- deferred tax assets (DTA) that rely on future profitability arising - CET1 instruments held in financial sector equity investments
from tax losses carried forward, of more than 10% (significant investments) for the amount
- expected losses shortfall in relation to the credit exposures exceeding an individual ceiling of 10% of the institution’s CET1
monitored using the internal ratings-based (IRB) approach, capital; items not deducted are included in risk-weighted
as well as anticipated losses related to equity exposures, assets (weighting at 250%),
- capital instruments held in financial sector equity investments - the total of deferred tax assets (DTAs) dependent on future
of less than or equal to 10% (non-significant investments), for profits related to temporary differences and CET1 instruments
the amount exceeding a ceiling of 10% of the CET1 capital held in financial sector equity investments greater than 10%
of the subscribing institution, up to the proportion of CET1 (“significant investments”) for the amount exceeding an indi-
instruments in the total capital instruments held; items not vidual ceiling of 17.65% of the institution’s CET1 capital; com-
deducted are included in risk-weighted assets (variable ponents not deducted are included in risk-weighted assets
weighting depending on the nature of instruments and the (weighting at 250%).
Basel methodology),
f Reconciliation of equity to phased-in CET1 capital
30.06.2021 31.12.2020
€ million Phased-in Phased-in
EQUITY - GROUP SHARE 1 25,413 22,484
(-) Expected dividend (625) (1,023)
(-) AT1 instruments accounted as equity (7,909) (4,649)
Shareholders’ equity, Group share 16,879 16,811
(-) Equity value increases resulting from securitized assets (289) (265)
Cash flow hedge reserves (319) (513)
(-) Cumulative gains and losses attributable to changes in own credit risk for liabilities measured at fair value 287 258
(-) Fair value gains and losses resulting from the institution's own credit risk related to derivative instruments in
(18) (11)
liabilities
(-) Prudent valuation (740) (508)
Prudential filters (1,079) (1,040)
Goodwill (1,039) (1,043)
Intangible assets (245) (244)
(-) Deduction of goodwill and intangible assets (1,284) (1,286)
Deferred tax assets that rely on future profitability excluding those arising from temporary differences (25) (21)
Shortfall in adjustments for credit risk relative to expected losses under the internal ratings-based approach (7) (7)
Amount exceeding thresholds of CET1 0 0
Other CET1 components 231 77
COMMON EQUITY TIER 1 (CET1) 14,716 14,534
1 The impact of transitional adjustments is included in the phased-in figures.
6 CRÉDIT AGRICOLE CIB - BASEL III PILLAR 3 DISCLOSURES - 30 JUNE 2021Informations au titre du Pilier 3 de Bâle III
COMPOSITION AND MANAGEMENT OF CAPITAL
1.5.1.2 Additional Tier 1 (AT1) capital (variable weighting depending on the nature of instruments
and the Basel methodology);
This includes: ¡ deductions of Tier 2 instruments held in financial sector equity
¡ eligible AT1 capital, which consists of perpetual debt instru- investments of more than 10% (significant investments), pre-
ments without any requirements or incentives to redeem (in dominantly in the insurance sector;
particular step-up clauses); ¡ Tier 2 capital components or other deductions (including Tier
¡ direct deductions of AT1 instruments (including market 2 eligible non-controlling interests).
making); The amount of Tier 2 instruments used in fully loaded ratios cor-
¡ deductions of capital instruments held in financial sector responds to Tier 2 capital instruments eligible under CRR No.
equity investments of less than or equal to 10% (non-signifi- 575/2013, as amended by CRR No. 2019/876 (CRR 2).
cant investments), for the amount exceeding a ceiling of 10% These instruments are published at https://www.ca-cib.com/
of the CET1 capital of the subscribing institution, up to the about-us/financial-information/regulated-information in Appendix
proportion of AT1 instruments in the total capital instruments II “Main characteristics of regulatory capital instruments and other
held; items not deducted are included in risk-weighted assets eligible TLAC instruments”.
(variable weighting depending on the nature of instruments
and the Basel methodology);
¡ deductions of AT1 instruments held in equity investments in 1.5.1.4 Transitional implementation
the financial sector of more than 10% (significant investments); To facilitate compliance by credit institutions with CRR 2/CRD
¡ other AT1 capital components or other deductions (including 5, less stringent transitional provisions have been provided for,
AT1 eligible non-controlling interests). notably with the gradual introduction of new prudential treatment
AT1 instruments eligible under CRR No. 575/2013 as amended of capital components.
by CRR No. 2019/876 (CRR 2) include a bail-in mechanism that All these transitional provisions ended on 1 January 2018, with
is triggered when the CET1 ratio is below a threshold that must the exception of those concerning hybrid debt instruments, which
be set at no lower than 5.125%. Instruments may be converted will end on 1 January 2022.
into equity or suffer a reduction in their nominal value. Payments
Hybrid debt instruments that were eligible as capital under CRD
must be totally flexible: no automatic compensation mechanisms
3 and are no longer eligible as capital following the entry into
and/or suspension of coupon payments at the issuer’s discretion
force of CRD 4 may be eligible, in certain circumstances, under
are permitted.
the grandfather clause:
At 30 June 2021, the phased-in CET1 ratio of Crédit Agricole
¡ any instrument issued after 31 December 2011, which does
CIB was 11.16%. Thus, the ratio represents capital buffers of
not comply with the CRR regulation has been excluded since
€8.0 billion for Crédit Agricole CIB relative to the bail-in thresh-
1 January 2014;
olds of 5.125%.
¡ instruments issued prior to that date may, under certain con-
At 30 June 2021, there were no applicable restrictions on the ditions, be eligible for the grandfather clause and are then
payment of coupons. gradually excluded over an eight-year period, decreasing by
The CRR 2 regulation adds eligibility criteria. For example, instru- 10% per annum. In 2014, 80% of the total stock declared
ments issued by an institution established in the European Union on 31 December 2012 was recognised, then 70% in 2015,
that are subject to the law of a third country must include a bail-in and so on;
clause in order to be eligible. These provisions apply to each cat- ¡ the unrecognised part can be included in the lower level
egory of AT1 and Tier 2 capital instruments. capital components (from AT1 to Tier 2, for example) if it
These instruments are published at https://www.ca-cib.com/ meets the corresponding criteria.
about-us/financial-information/regulated-information in the
Appendix II “Main characteristics of regulatory capital instru- CRR 2 complements these provisions by introducing a new
ments and other eligible TLAC instruments”. grandfather clause: ineligible instruments issued before 27 June
2019 will remain eligible under transitional provisions until 28
1.5.1.3 Tier 2 capital June 2025.
During the transitional phase, the amount of Tier 1 included in
This includes:
the ratios corresponds to the sum of:
¡ subordinated debt instruments, which must have a minimum
¡ additional Tier 1 capital eligible under CRR 2 (AT1);
maturity of five years and for which:
¡ additional Tier 1 capital instruments eligible for CRR issued
- early redemption incentives are prohibited,
before 27 June 2019;
- a haircut applies during the five-year period prior to their
¡ a fraction of the CRR ineligible Tier 1 issued before 1 January
maturity date;
2014, equal to the lower of:
¡ deductions of directly held Tier 2 instruments (including market
- the regulatory amount of ineligible Tier 1 instruments at the
making);
end of the reporting period (after amortisation, any calls,
¡ the surplus provisions relative to expected eligible losses
redemptions, etc.),
determined in accordance with the internal ratings-based (IRB)
- 10% (regulatory threshold for 2021) of the Tier 1 stock at 31
approach, limited to 0.6% of risk-weighted assets under IRB;
December 2012, which stood at €691 million, i.e. a maximum
¡ deductions of capital instruments held in financial sector equity
recognisable amount of €469 million,
investments of less than or equal to 10% (non-significant
- the amount of Tier 1 capital exceeding this regulatory
investments), for the amount exceeding a ceiling of 10% of
threshold is included in phased-in Tier 2, up to the regula-
the CET1 capital of the subscribing institution, up to the pro-
tory threshold applicable to Tier 2.
portion of Tier 2 instruments in the total capital instruments
held; items not deducted are included in risk-weighted assets During the transitional phase, the amount of Tier 2 included in
the ratios corresponds to the sum of:
CRÉDIT AGRICOLE CIB - BASEL III PILLAR 3 DISCLOSURES - 30 JUNE 2021 7Informations au titre du Pilier 3 de Bâle III
COMPOSITION AND MANAGEMENT OF CAPITAL
¡ CRR 2 eligible Tier 2; During the transitional phase (until 2024), the impacts related
¡ CRR eligible Tier 2 capital instruments issued before 27 June to the application of the IFRS 9 accounting standard can be
2019; included in the CET1 equity, according to a calculation composed
¡ a fraction of the CRR ineligible Tier 2 issued before 1 January of several components:
2014, equal to the lower of: ¡ a static component making it possible to neutralise, in share-
- the regulatory amount of ineligible Tier 2 securities at the holders’ equity, part of the impact of the first-time application
reporting period-end and, as applicable, the remainder of of IFRS 9. In 2021, neutralisation is achieved on the basis
Tier 1 securities exceeding the 10% threshold (threshold for of a rate of 50%;
2021) of ineligible Tier 1 securities, ¡ a dynamic component, making it possible to neutralise part
- 10% (threshold for 2021) of the CRR ineligible Tier 2 stock of the net increase in provisions recorded between 1 January
at 31 December 2012; the CRR ineligible Tier 2 stock at 31 2018 and 1 January 2020 on performing outstandings (Stages
December 2012 stood at €680 million, or a maximum rec- 1 and 2 of IFRS 9). In 2021, neutralisation is achieved on the
ognisable amount of €68 million. basis of a rate of 50%;
A second dynamic component, making it possible to neutralise
Finally, the “Quick Fix” regulation of 26 June 2020 extended until part of the net increase in provisions recorded between 1 January
2024 the transitional provisions set out in the CRR, by allowing 2020 and the balance sheet date on performing loans (compart-
inclusion of the impacts associated with the application of the ments 1 and 2 of IFRS 9). In 2021, neutralisation is achieved on
IFRS 9 accounting standard in the solvency ratios. Crédit Agricole the basis of a rate of 100%.
CIB had not opted for this provision when IFRS 9 was first applied
in 2018. Following the publication of the “Quick Fix” regulation, it
was decided to opt for this provision as from June 2021.
1.5.1.5 Position at 30 June 2021
f Simplified regulatory capital
30.06.2021 31.12.2020
€ million Phased-in Fully loaded Phased-in Fully loaded
Capital instruments eligible as CET1 capital 9,425 9,425 9,425 9,425
Retained earnings and other reserves 7,548 7,548 7,520 7,520
Accumulated other comprehensive income (94) (94) (133) (133)
Minority interests (amount allowed in consolidated CET1) 0 0 0 0
Capital instruments and reserves 16,879 16,879 16,811 16,811
Prudential filters (1,079) (1,079) (1,040) (1,040)
(-) Deduction of intangible assets (1,284) (1,284) (1,286) (1,286)
Amount exceeding thresholds 0 0 0 0
Other CET1 components 200 (24) 48 49
Regulatory adjustments (2,163) (2,387) (2,277) (2,277)
COMMON EQUITY TIER 1 (CET1) 14,716 14,492 14,534 14,534
Eligible AT1 capital instruments 7,909 7,909 4,649 4,649
Ineligible AT1 capital instruments qualifying under grandfathering clause 468 0 938 0
Holdings by the institution of the AT1 instruments of financial sector entities where the
0 0 0 0
institution has a significant investment in those entities
Other Tier 1 components (40) (40) (82) (82)
ADDITIONAL TIER 1 CAPITAL 8,337 7,869 5,506 4,567
TIER 1 CAPITAL 23,053 22,361 20,040 19,102
Eligible Tier 2 capital instruments 3,671 3,671 3,225 3,225
Ineligible Tier 2 capital instruments under grandfathering clause 31 0 137 0
Surplus provisions relative to expected losses eligible under the internal ratings based
457 457 412 412
approach
Holdings by the institution of the T2 instruments and subordinated loans of financial
0 0 0 0
sector entities where the institution has a significant investment in those entities
Other Tier 2 components (0) 0 0 0
TIER 2 CAPITAL 4,158 4,128 3,774 3,637
TOTAL CAPITAL 27,211 26,489 23,814 22,739
For clarity, the full tables of the composition of capital (EU CC1 and EU CC2) are presented under Pillar 3, available at on the website
Regulated Information | Crédit Agricole CIB (ca-cib.com)
8 CRÉDIT AGRICOLE CIB - BASEL III PILLAR 3 DISCLOSURES - 30 JUNE 2021Informations au titre du Pilier 3 de Bâle III
COMPOSITION AND MANAGEMENT OF CAPITAL
CHANGES DURING THE PERIOD Phased-in Tier 1 capital amounted to €23.1 billion, up
€3.0 billion compared to 31 December 2020, with an increase in
Fully loaded Common Equity Tier 1 (CET1) capital amounted to additional Tier 1 capital of €2.8 billion.
€14.5 billion at 30 June 2021, stable compared to year-end 2020.
Ineligible AT1 equity instruments qualifying under a grandfather
Details of changes are shown under detailed ratios categories: clause were down €0.5 billion, due to a partial buyback transac-
¡ capital instruments and reserves were €16.9 billion, up tion. In addition, the total amount of securities benefiting from a
€0.1 billion compared with end-2020; “grandfather” clause defined by CRR remains below the grand-
¡ prudential filters were stable compared with the end of 2020; fathering, which makes it possible to retain, in addition to the
¡ deductions for goodwill and other intangible assets amounted instruments eligible for CRR, an amount of debt corresponding
to €1.3 billion, also stable in the first half of year 2021. to a maximum of 10% of the stock at 31 December 2012.
Phased-in Common Equity Tier 1 (CET1) capital stood at Fully loaded Tier 2 capital amounted to €4.1 billion, up
€14.7 billion at 30 June 2021, showing an increase of €0.2 billion €0.5 billion compared to 31 December 2020. This change was
compared to the fully loaded Common Equity Tier 1 (CET1) primarily due to an issuance realised in January 2021:
capital. This increase is entirely due to a measure in the “Quick Phased-in Tier 2 capital amounted to €4.2 billion, up €0.4 billion
Fix” regulation of 26 June 2020 mentioned above, in the para- compared with 31 December 2020 and showed the same total
graph on transitional provisions, which extended until 2024 the variation compared to the fully loaded view.
possibility to take into account in the solvency ratios the impacts
related to the application of the IFRS 9 accounting standard. In addition, the total amount of securities benefiting from a “grand-
During this transitional phase, the impacts related to the appli- father” clause defined by CRR remains below the grandfathering,
cation of this standard can therefore be included in CET1 equity, which makes it possible to retain, in addition to the instruments
which the Group has chosen to do as from this decree. eligible for CRR, an amount of debt corresponding to a maximum
of 10% of the stock at 31 December 2012.
Fully loaded Tier 1 capital was €22.4 billion, or an increase
In all, fully loaded total capital stood at €26.5 billion, up €3.8 billion
of €3.3 billion compared to 31 December 2020, corresponding
compared to 31 December 2020.
to the rise in additional Tier 1 capital as a result of several issu-
ances realised in February ($0.7 billion), March 2021 (€0.6 billion; Phased-in total capital was €27.2 billion, which was €3.4 billion
replacing the replacement of an issuance of the same amount) more than at 31 December 2020.
and June 2021 (€2.6 billion);
f Change in Phased-in prudential capital
30.06.2021
vs.
€ million 31.12.2020
COMMON EQUITY TIER 1 CAPITAL AT 31.12.2020 14,534
Increase in share capital 0
Accounting attributable net income/loss for the year before dividend 789
Expected dividend (625)
Accumulated other comprehensive income 40
Eligible minority interests 0
Goodwill and other intangible assets 2
Amount exceeding the exemption threshold 0
Other CET1 components (24)
COMMON EQUITY TIER 1 CAPITAL at 30.06.2021 14,716
Additional Tier 1 capital at 31.12.2020 5,506
Issuances 3,260
Redemptions (470)
Other Tier 1 components 41
ADDITIONAL TIER 1 CAPITAL at 30.06.2021 8,337
TIER 1 CAPITAL at 30.06.2021 23,053
Tier 2 capital at 31.12.2020 3,774
Issues 422
Redemptions (82)
Other T2 elements 44
TIER 2 CAPITAL at 30.06.2021 4,158
TOTAL CAPITAL AT 30.06.2021 27,211
CRÉDIT AGRICOLE CIB - BASEL III PILLAR 3 DISCLOSURES - 30 JUNE 2021 9Informations au titre du Pilier 3 de Bâle III
COMPOSITION AND MANAGEMENT OF CAPITAL
1.6 Capital adequacy On 12 March 2020, in view of the impacts of the Covid-19 crisis,
the European Central Bank brought forward the entry into force of
The regulatory perspective of capital adequacy is ensured through Article 104a of the CRD 5 and has authorised institutions under
the monitoring of solvency, leverage and resolution ratios. Each its supervision to use Tier 1 capital and Tier 2 capital to meet
of these ratios reports the amount of regulatory capital and/or, their additional capital requirements under P2R. In total, 75% of
when applicable, eligible instruments, to the risk, leverage or size P2R can now be covered by Tier 1 capital, at least 75% of which
of the balance sheet exposures. These exposures are defined must be CET1 capital.
and calculated in section “Composition of and changes in risk- ¡ a “Pillar 2 Guidance” (P2G), which is not public and must be
weighted assets”. The regulatory perspective is supplemented by fully met with Common Equity Tier 1 (CET1) capital.
the economic internal perspective of capital adequacy, which is
ensured by the monitoring of the economic capital requirements’ Combined buffer requirement and restriction
coverage ratio. on distributions threshold
The regulator provides for the establishment of capital buffers,
1.6.1 SOLVENCY RATIOS which are gradually being implemented:
¡ the capital conservation buffer (2.5% of the risk-weighted
Solvency ratios are intended to check the adequacy of the various
assets in 2021), which aims to absorb losses in a situation
categories of capital (CET1, Tier 1 and total capital) to cover
of intense economic stress;
risk-weighted assets arising as a result of credit risk, market risk
and operational risk. These risk-weighted assets are computed ¡ the countercyclical buffer (a rate set within a range of 0% to
using either a standardised approach or an internal approach (see 2.5%), which aims to prevent excessive credit growth. The
section “Composition of and changes in risk-weighted assets”). rate is set by the competent authorities from each country
(the Haut Conseil de Stabilité Financière or HCFS/High Council
for Financial Stability in the case of France) and the buffer
1.6.1.1 Regulatory requirements applying at the institution’s level therefore results from the
The CRR regulation (UE) No. 575/2013 of the European Parliament weighted average of the buffers defined for each country in
and the Council of 26 June 2013, governs the requirements with which the institution operates applied to the relevant expo-
regard to Pillar 1. The supervisor also sets, on a discretionary sures at default (EAD); when the countercyclical buffer rate is
basis, the minimum requirements, within the framework of Pillar 2. calculated by one of the national authorities, the application
date should be no later than 12 months from the publication
Minimum requirements to Pillar 1 date, except in exceptional circumstances;
¡ The systemic risk buffers (0% to 3% in general, up to 5% after
The capital requirements established under Pillar 1 since 2015
agreement from the European Commission and more excep-
are as follows:
tionally above that figure), for Global Systemically Important
Minimum requirements 30.06.2021 Banks (G-SIBs, between 0% and 3.5%); or for other system-
Common Equity Tier 1 (CET1) 4.5% ically important institutions (O-SIIs, between 0% and 2%).
Tier 1 (CET1 + AT1) 6.0% These buffers are not cumulative, and in general, with some
exceptions, the highest applies. Only Crédit Agricole Group
Total capital (Tier 1 + Tier 2) 8.0%
is a G-SII and has a buffer of 1% since 1 January 2019,
Minimum requirements with regard to Pillar 2 phased-in at 0.75% in 2018. Crédit Agricole CIB is not subject
to these requirements.
The European Central Bank (ECB) annually notifies Crédit Agricole
CIB of their minimum capital requirements following the results of To date, countercyclical buffers have been activated in six coun-
the Supervisory Review and Evaluation Process (“SREP”). tries by the relevant national authorities. Many countries have
relaxed their countercyclical buffer requirement in the wake of
Since 2017, The ECB has developed the methodology uses,
the Covid-19 crisis. As for French exposures, the High Council
dividing the prudential requirement into two parts:
for Financial Stability (Haut Conseil de stabilité financière – HCFS)
¡ a “Pillar 2 Requirement” (P2R) which applies to each level lowered the countercyclical buffer rate from 0.25% to 0% on 2
of capital; failure to comply with this requirement automati- April 2020.
cally results in restrictions on distributions (additional Tier 1
With respect to Crédit Agricole CIB’s exposures in these countries,
capital instrument coupons, dividends, variable compensa-
Crédit Agricole CIB’s countercyclical buffer rate was 0.0484% at
tion); accordingly, this requirement is public.
30 June 2021.
10 CRÉDIT AGRICOLE CIB - BASEL III PILLAR 3 DISCLOSURES - 30 JUNE 2021Informations au titre du Pilier 3 de Bâle III
COMPOSITION AND MANAGEMENT OF CAPITAL
f The breakdown by geographic area of relevant credit exposures for the countercyclical buffer calculation
(EU CCYB1)
€ million 30.06.2021
Relevant credit
General credit exposures – market
exposures risk Capital requirements
Relevant
Sum of credit
long and Securi- exposures
short tisation – Secu-
positions Value of exposures ritisation
in the trading Value position
trading book exposed Relevant not Capital
book exposures to risk not Relevant credit included require- Counter-
for the for included credit exposures in the Weighted ments cyclical
Breakdown by Standard IRB standard internal in trading exposures market trading exposures weight- buffer rate
country approach approach approach models book Total credit risk risk book Total amount ings (%) (%)
Germany 13 8,802 - - 3,080 11,895 206 - 42 248 3,101 3.4% 0.00%
Belgium 11 2,880 - - - 2,891 61 - - 61 761 0.8% 0.00%
Bulgaria - 13 - - - 13 - - - - 4 0.0% 0.50%
Denmark - 782 - - 72 854 12 - 1 13 159 0.2% 0.00%
France 5,492 41,801 217 1,642 15,668 64,820 1,406 149 286 1,841 23,010 25.2% 0.00%
Hong Kong 507 5,324 - - - 5,832 155 - - 155 1,937 2.1% 1.00%
Ireland 5 4,445 - - 45 4,495 138 - 1 138 1,727 1.9% 0.00%
Luxembourg 171 12,330 - - 1,608 14,110 322 - 1 322 4,030 4.4% 0.50%
Norway - 1,196 - - 32 1,228 34 - - 35 434 0.5% 1.00%
Czech Republic - 106 - - - 106 4 - - 4 55 0.1% 0.50%
United-King-
295 14,115 - - 2,171 16,581 417 - 32 449 5,612 6.2% 0.00%
dom
Slovakia - 3 - - - 3 - - - - 1 0.0% 1.00%
Sweden 51 1,556 - - 38 1,645 58 - - 59 732 0.8% 0.00%
Other coun-
4,529 117,796 - - 28,601 150,924 3,601 - 372 3,972 49,653 54.4% 0.00%
tries*
Total 11,074 211,149 217 1,642 51,315 275,397 6,414 149 735 7,297 91,216.00 100.00% 0.04842%
* For which no countercyclical buffer has been defined by the competent authority
f Amount of institution-specific countercyclical capital buffer (EU CCYB2)
€ million 30.06.2021 31.12.2020
Total risk exposure amount 131,884 124,143
Institution specific countercyclical capital buffer rate 0.048% 0.0377%
Institution specific countercyclical capital buffer requirement 63.9 47
f Summarised
Combined buffer requirement 30.06.2021 31.12.2020
Phased-in capital conservation buffer 2.50 % 2.50 %
Phased-in systemic buffer - -
countercyclical buffer 0.05 % 0.04 %
Combined buffer requirement 2.55 % 2.54 %
CRÉDIT AGRICOLE CIB - BASEL III PILLAR 3 DISCLOSURES - 30 JUNE 2021 11Informations au titre du Pilier 3 de Bâle III
COMPOSITION AND MANAGEMENT OF CAPITAL
After taking into account Pillar 1, Pillar 2 and the combined buffer requirement, the overall capital requirement reaches the following level:
SREP own funds requirement 30.06.2021 31.12.2020
Pillar 1 minimum CET1 requirement 4.50% 4.50%
Additional Pillar 2 requirement (P2R) 0.84% 0.84%
Combined buffer requirement 2.55% 2.54%
CET1 requirement 7.89% 7.88%
Pillar 1 minimum AT1 requirement 1.50% 1.50%
P2R in AT1 0.28% 0.28%
Pillar 2 minimum Tier 2 requirement 2.00% 2.00%
P2R in Tier 2 0.38% 0.38%
Overall capital requirement 12.05% 12.04%
Crédit Agricole CIB must therefore comply with a minimum CET1 ratio of 7.89%. This includes the requirements under Pillar 1, Pillar 2
(P2R), plus the combined buffer requirement (based on the decisions known to date).
The transposition of Basel regulations into European law (via CRD 4 and their transposition into French law ) has established a distribution
restriction mechanism applicable to dividends, AT1 instruments and variable compensation. The principle of the Maximum Distributable
Amount (MDA), the maximum amount that a bank can allocate to distributions, aims at restricting distributions where they would result
in non-compliance with the combined buffer requirement.
The distance to the MDA trigger is the lowest of the respective distances to the SREP requirements in CET1 capital, Tier 1 capital and
total capital.
CET1 SREP Tier 1 SREP Overall capital SREP
requirement requirement requirement
Pillar 1 minimum requirement 4.50% 6.00% 8.00%
Pillar 2 requirement (P2R) 0.84% 1.13% 1.50%
Capital Conservation buffer 2.50% 2.50% 2.50%
Countercyclical buffer 0.05% 0.05% 0.05%
SREP requirement (a) 7.89% 9.68% 12.05%
30.06.21 Phased-in solvency ratio (b) 11.16% 17.48% 20.63%
Distance to SREP requirement (b-a) 327 pb 780 pb 858 pb
Distance to MDA trigger threshold 327 pb (€4 bn) - -
At 30 June 2021, Crédit Agricole CIB Group posted a buffer of 327 basis points above the MDA trigger, i.e. approximately €4.3 billion
in CET1 capital.
1.6.1.2 Position at 30 June 2021
f Summary of the key figures
30.06.2021 31.12.2020
€ million Phased-in Fully loaded Requirements Phased-in Fully loaded Requirements
Common Equity Tier 1 (CET1) capital 14,716 14,492 14,534 14,534
TIER 1 CAPITAL 23,053 22,361 20,040 19,102
Total capital 27,211 26,489 23,814 22,739
TOTAL RISK-WEIGHTED ASSETS 131,884 131,872 124,143 124,143
CET1 RATIO 11.2% 11.0% 7.9% 11.7% 11.7% 7.9%
TIER 1 RATIO 17.5% 17.0% 9.7% 16.1% 15.4% 9.7%
TOTAL CAPITAL RATIO 20.6% 20.1% 12.0% 19.2% 18.3% 12.0%
The applicable minimum requirements are fully met; the phased-in CET1 ratio of Crédit Agricole CIB was 11.16% as at 30 June 2021.
CHANGE IN CET 1 IN THE FIRST HALF OF YEAR 2021
CET1 ratio registered a decrease of 0.55 percentage point in the first half of year 2021/ This deterioration mainly resulted from the risk
of risk weighted-assets (-0.57 percentage point).
12 CRÉDIT AGRICOLE CIB - BASEL III PILLAR 3 DISCLOSURES - 30 JUNE 2021Informations au titre du Pilier 3 de Bâle III
COMPOSITION AND MANAGEMENT OF CAPITAL
IMPACT OF THE APPLICATION OF THE IFRS 9 TRANSITIONAL PROVISIONS
IFRS 9 transitional provisions were applied for the first time from the Decree of 30 June 2021.
f Quantitative model (EBA/GL/2020/12)
Own funds and own funds and leverage ratios comparison of institutions with and without the transitional provisions application relative
to IFRS 9 or similar ECL (IFRS 9-FL).
€ million 30.06.2021 31.12.2020
Available own funds (amounts)
Common Equity Tier 1 (CET1) capital 14,716 14,534
Common Equity Tier 1 (CET1) capital if the transitional provisions linked to IFRS 9 or similar ECL had
14,492 14,534
not been applied
Tier 1 capital 23,053 20,040
Tier 1 capital if transitional provisions linked to IFRS 9 or similar ECL had not been applied 22,829 20,040
Total capital 27,211 23,814
Total capital if transitional provisions linked to IFRS 9 or similar ECL had not been applied 26,987 23,814
Overall risk-weighted exposure amounts
Total risk weighted-exposure amount 131,884 124,143
Total risk weighted-exposure amount if transitional provisions linked to IFRS 9 or similar ECL had not
131,872 124,143
been applied
Own funds ratios
Common Equity Tier 1 (CET1) capital (% of risk exposure amount) 11.16% 11.71%
Common Equity Tier 1 (CET1) capital (% of risk exposure amount) if transitional provisions linked to
10.99% 11.71%
IFRS 9 or similar ECL had not been applied
Tier 1 capital (% of risk exposure amount) 17.48% 16.14%
Tier 1 capital (% of risk exposure amount) if transitional provisions linked to IFRS 9 or similar ECL had
17.31% 16.14%
not been applied
Total capital (% of risk exposure amount) 20.63% 19.18%
Total capital (% of risk exposure amount) if transitional provisions linked to IFRS 9 or similar ECL had
20.46% 19.18%
not been applied
Leverage ratio
Leverage ratio total exposure measure 620,473 566,283
Leverage ratio 3.72% 3.54%
Leverage ratio if transitional provisions linked to IFRS 9 or similar ECL had not been applied 3.68% 3.54%
Crédit Agricole CIB did not apply the temporary treatment described in article 468of regulation CRR No. 2019/876 and was not impacted
by any change related to this provision during the period. Crédit Agricole CIB’s capital and capital and leverage ratios already reflect the
full impact of unrealised gains and losses measured at their fair value through other comprehensive income.
1.6.2 LEVERAGE RATIO ¡ failure to comply with the leverage ratio buffer requirement
will result in a distribution restriction and the calculation of a
1.6.2.1 Regulatory framework maximum distributable amount (L-MDA).
Regulation CRR 2 stipulates that certain Central Bank expo-
The objective of the leverage ratio is to help preserve financial sures may be excluded from the overall leverage ratio exposure
stability by acting as a safety net to supplement risk-based capital if macroeconomic circumstances so justify. If this exemption is
requirements and by limiting the accumulation of excessive lev- applied, the institutions must satisfy an adjusted leverage ratio
erage in times of economic recovery. The Basel Committee, in the requirement of over 3%. On 18 June 2021, the European Central
context of Basel 3 agreements, defined the leverage ratio rule, Bank declared that credit institutions under its supervision could
which was transposed into European law via Article 429of the apply this exclusion in light of the exceptional circumstances
CRR, amended by Delegated Act 62/2015 of 10 October 2014 existing since 31 December 2019; this measure is applicable
and published in the Official Journal of the European Union on until 31 March 2022. Crédit Agricole CIB applies this provision
18 January 2015. and therefore must comply with a leverage ratio requirement of
The leverage ratio is defined as the Tier 1 capital divided by the 3.06% during this period.
leverage exposure measure, i.e. balance sheet and off-balance- As of 1 January 2015 publication of the leverage ratio is man-
sheet assets after certain restatements of derivatives, transac- datory at least once a year; institutions can choose to publish a
tions between Group affiliates, securities financing transactions, fully loaded ratio or a phased-in ratio. If the institution decides
items deducted from the numerator, and off-balance-sheet items. to change its publication choice, at the time of first publication it
Since the publication of European Regulation CRR 2 in the Official must reconcile the data for all of the ratios previously published
Journal of the European Union on 7 June 2019, the leverage ratio with the data for the new ratios selected for publication.
has been subject to a minimum Pillar 1 requirement applicable Crédit Agricole CIB has opted to publish a phased-in leverage
as from 28 June 2021: ratio.
¡ the minimum leverage ratio requirement is 3%;
CRÉDIT AGRICOLE CIB - BASEL III PILLAR 3 DISCLOSURES - 30 JUNE 2021 13Informations au titre du Pilier 3 de Bâle III
COMPOSITION AND MANAGEMENT OF CAPITAL
1.6.2.2 Position at 30 June 2021 The leverage ratio is up 0.18 percentage points in the first half of
year 2021, mainly due to the neutralisation of the Central Bank’s
PUBLICATION OF QUALITATIVE INFORMATION exposures. Excluding this, the ratio was stable over the year,
ON THE LEVERAGE RATIO (EU LRA) as the increase in Tier 1 capital made it possible to cover the
increase in exposures.
The leverage ratio of Crédit Agricole CIB was 3.72% on a
phased-in Tier 1 basis following neutralisation of Central Bank The leverage ratio is not sensitive to risk factors and, on this
exposures. The application of this measure makes it possible to basis, is considered to be a measurement that supplements the
neutralise Central Bank exposures of €30.4 billion at 30 June solvency and liquidity risk management, which already limit the
2021. size of the balance sheet. Under the excessive leverage moni-
toring framework, controls are made, setting limits on leverage
loan to certain volatile activities that are considered to be limited
consumers of risk-weighted assets.
f Leverage ratio – common disclosure (LR2)
30.06.2021
Phased-in
On-balance sheet exposures (excluding derivatives and SFTs)
1 On-balance sheet items (excluding derivatives, SFTs, but including collateral) 341,991
Addition of collateral provided for derivatives, when deducted from on-balance sheet assets pursuant to the
2 8,550
applicable accounting framework
3 (Deductions of receivables assets for cash variation margin provided in derivatives transactions) (18,579)
4 (Adjustments for lending securities under financing operation on securities accounted as assets)
5 (Adjustments for general credit risk for balance-sheet items)
6 (Asset amounts deducted in determining Tier 1 capital) (2,171)
7 Total on-balance sheet exposures (excluding derivatives, SFTs) 329,791
Derivatives exposures
8 Replacement cost of all SA-CCR derivatives transaction (i.e. net of eligible cash variation margin) 20,095
EU-8a Derogation for derivatives: contribution to replacement cost according to the simplified standard approach
9 Add-on amounts for the potential future exposure associated to SA-CCR derivatives operations 44,023
EU-9a Derogation for derivatives: Potential future exposure contribution according to the simplified strandard approach
EU-9b Exposure determined by the application of the initial exposure method
10 (Exempted CCP leg of client-cleared trade exposures) (SA-CCR)
EU-10a (Exempted CCP leg of client-cleared trade exposures) (Simplified standard approach)
EU-10b (Exempted CCP leg of client-cleared trade exposures) (initial exposure method)
11 Adjusted effective notional amount of written credit derivatives 13,731
12 (Adjusted effective notional offsets and add-on deductions for written credit derivatives) (3,933)
13 Total derivative exposures 73,917
SFT exposures
14 Gross SFT assets (with no recognition of netting), after adjusting for sales accounting transactions 364,010
15 (Netted amounts of cash payables and cash receivables of gross SFT assets) (227,956)
16 Counterparty credit risk exposure for SFT assets 12,399
Derogation for SFTs: Counterparty credit risk exposure in accordance with Article 429b sexies, §5, and article
EU-16a
222of CRR
17 Agent transaction exposures
EU-17a (Exempted CCP leg of client-cleared SFT exposure)
18 Total securities financing transaction exposures 148,453
Other off-balance sheet exposures
19 Off-balance sheet exposures at gross notional amount 251,639
20 (Adjustments for conversion to credit equivalent amounts) (109,710)
(General provision deducted when Tier 1 capital and specific provisions associated to off balance-sheet
21
exposures are determined )
22 Off balance-sheet exposures 141,929
Excluded exposures
EU-22a (Excluded exposures of the total exposure pursuant to Article 429bis, §1, point c of CRR) (30,621)
EU-22b (Exposures exempted in accordance with Article 429bis, §1, point j of CRR (on and off balance sheet)
EU-22c (Exclusions of public development banks (ou banks units) exposures (public investments)
EU-22d (Exclusions of public development banks (ou banks units) exposures – incentive loans)
14 CRÉDIT AGRICOLE CIB - BASEL III PILLAR 3 DISCLOSURES - 30 JUNE 2021Informations au titre du Pilier 3 de Bâle III
COMPOSITION AND MANAGEMENT OF CAPITAL
30.06.2021
Phased-in
(Exclusions exposures arising from incentive loans transfer by banks (or banks units) which are not public
EU-22e
development banks)
EU-22f (Exclusions of secured parties exposures resulting from export credits) (12,676)
EU-22g (Exclusions of excess collateral deposited with tripartite agents)
EU-22h (Exclusions of services linked to DCT provided by institutions/ DCT pursuant to Article 429bis, §1, point o of CRR)
(Exclusions of services linked to DCT provided by designated institutions pursuant to Article 429bis, §1 point p of
EU-22i
CRR
EU-22j (Exposure value of prefinancing or intermediary credits reduction)
EU-22k (Exempted total exposures) (43,297)
Capital and total exposures
23 Tier 1 capital 23,053
24 Total exposure measure 620,473
Leverage ratio
25 Leverage ratio (%) 3.72%
EU-25 Leverage ratio (excluding the exemption impact of public investments and incitative loans) (%) 3.72%
25a Leverage ratio (excluding all temporary exemption impact of applicable central bank reserves) (%) 3.54%
26 Minimum leverage ratio requirement (%) 3.06%
EU-26a Additional own funds requirements for excessive leverage risk (%)
EU-26b o/w: to be formed with Common equity Tier 1 capital
27 Leverage ratio buffer requirement (%)
EU-27a Overall leverage ratio requirement (%)
Choice on transitional arrangements and relevant exposures
EU-27b Choice on transitional arrangements for the definition of the capital measure Transitional
Average values disclosure
Average of gross STF assets daily values, after adjustment for transactions recognized as sales and net of the
28 161,243
corresponding cash payable and receivable
End-quarter value of gross SFT assets, after adjustment for transactions recognized as sales and net of the
29 136,054
corresponding cash payable and receivable
Total exposure measure (including all temporary exemption impact of applicable central bank reserves) integrating
30 645,662
average values of gross SFT assets of line 28*
Total exposure measure (excluding all temporary exemption impact of applicable central bank reserves) integrating
30a 676,012
average values of gross SFT assets of line 28*
Leverage ratio (including all temporary exemption impact of applicable central bank reserves) integrating average
31 3.57%
values of gross SFT assets of line 28*
Leverage ratio (excluding all temporary exemption impact of applicable central bank reserves) integrating average
31a 3.41%
values of gross SFT assets of line 28*
CRÉDIT AGRICOLE CIB - BASEL III PILLAR 3 DISCLOSURES - 30 JUNE 2021 15You can also read
