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Chapter 2 : Group Project and 2022 Medium-Term Plan

MAJOR RISKS


CREDIT RISKS

(including country risk)

Risk of loss from the failure of a counterparty and its resulting inability to meet commitments.

GEOGRAPHIC BREAKDOWN OF RISK EXPOSURE


Crédit Agricole S.A

  • France 48%
  • Europe (excluding France and Italy) 17%
  • Asia/Japan 10%
  • Americas 9%
  • East 4%
  • Italy 12%


BREAKDOWN BY COUNTERPARTY


Crédit Agricole S.A

  • Retail banking customers 27 %
  • Retail banking customers 21 %
  • Energy 7 %
  • Other financial activities 11 %
  • Other 34 %


PPERCENTAGE OF RISK WEIGHTED ASSETS(1)

  • 87.8%
  • 85.9%
MARKET RISKS

Risk of loss arising from changes in market parameters.

VAR (99% - 1 DAY) MUTUALISED

of Crédit Agricole S.A. : €9m 
at end-December 2019

PERCENTAGE OF RISK WEIGHTED ASSETS(1)

  • 2.1%
  • 3.6%
OPERATIONAL RISKS

Risk of loss resulting from inadequate or failed processes, personnel, information systems (including information security and privacy, as well as cyberspace risks that deliver telecommunications systems and means), or external events.

PERCENTAGE OF RISK WEIGHTED ASSETS(1)

  • 10.0%
  • 10.5%
INSURANCE RISKS

Risk of loss arising from inadequate pricing, claims reserving or reinsurance.

COMPLIANCE AND LEGAL RISKS

Risks arising from failure to comply with regulations and legislation governing banking and financial activities. Risks arising from exposure to civil or criminal legal proceedings.

PROVISIONS FOR LITIGATION:
  • Crédit Agricole Group: €852m
  • Crédit Agricole S.A : €607m
ASSET AND LIABILITY MANAGEMENT RISKS

Risk of loss arising from structural balance sheet risks, interest rate risk, exchange rate risk and liquidity and funding riskfinancement.

Crédit Agricole Group:

  • SURPLUS OF STABLE RESOURCES as at 31/12/2019, in accordance with the MTP target
     > €100bn
  • LIQUIDITY RESERVES as at 31/12/2019
    €298bn
STRATEGIC RISKS

Risks related to losses, revenue or income decreases due to decisions related to our strategic choices and/or competitive positioning, as well as the macroeconomic, political and regulatory environment.

CLIMATE AND ESG RISKS(2)

Environmental, social and governance risks related to financing and investment.

According to the recommendations of the TCFD(3), sensitivity to climate risks is assessed through four scenarios. Each scenario has led to  a climate trajectory and a carbon price level in the short, medium and long term.

Environmental and/or social impacts related to financing and investments are taken into account using three pillars: application of the Equator Principles, CSR sector policies, and an assessment of the environmental and social aspects of operations (notably the possible controversies).

(1) Fully-loaded Basel 3 risk-weighted assets.

(2) Environmental, social and governance. 

(3) Task Force on Climate-related Financial Disclosures.