DESCRIPCIÓ DE FUNCIONS DE LA GERÈNCIA DE MEDI AMBIENT

Securitisations are treated differently from traditional lending operations under the prudential requirements set out by the European directive as transposed by the decree of 20 February 2007. Two methods are used to measure exposure to securitisation risk: the standardised approach and the internal ratings-based approach. The weights used in the standardised approach and the internal ratings methods are not the same as those used for traditional lending operations and require specific treatment.

Definitions:

• securitisation: a transaction or structure under which the credit risk associated with an exposure or pool of exposures is sub-divided into tranches with the following features:

- cash flows from the underlying exposure or pool of exposures are used to make payments,

- subordination of the tranches determines how losses are allocated during the period of the transaction or structure;

• traditional securitisation: implies the economic transfer of the securitised exposures to a special purpose entity that issues notes. The transaction or structure implies the transfer of ownership in the securitised exposures by the originating bank or via a sub-participation. The notes issued do not represent payment obligations for the originating bank;

• synthetic securitisation: the credit risk is transferred through the use of credit derivatives or guarantees and the pool of exposures is kept on the balance sheet of the originating bank;

• tranche: a contractually established portion of the credit risk associated with an exposure or pool of exposures. Each tranche has a specific credit risk depending on its subordination rank, independently of the credit protection obtained directly from third parties;

• securitisation exposure: an exposure to a securitisation transaction or structure. This includes exposures to securitisations resulting from interest rate or exchange rate derivatives;

• liquidity facility: a securitisation exposure arising from a financing contract designed to ensure timely payments to the investors;

• asset-backed commercial paper programme (ABCP): securitisation programme that mainly issues notes in the form of commercial paper with an initial maturity of less than or equal to one year.

A brief description of the accounting methods used for securitisations is provided in note 2.4 to the financial statements on “Securitisation transactions and Special Purpose Entities”.

I. Internal ratings-based approach

1. Securitisations carried out on behalf of customers

The securitisation techniques used in this business are multi-seller conduits (ABCP) which issue short-term paper, or special purpose entities (SPEs) which issue long-term notes.

As part of its securitisation business, the Crédit Agricole Group:

• provides financing facilities and letters of credit to the securitisation vehicles to cover liquidity risk and a portion of the credit risk associated with the transactions financed;

• participates directly in the financing by holding ABCP and ABS.

The assets financed are mainly commercial loans and automobile loans. The countries of origin of the assets are mainly France, the United States and Italy.

Securitisation exposures are measured using the IRB – securitisation approach, i.e.:

ƒ Rating Based Approach (RBA) for exposures with a public external rating (direct or inferred); • Internal Assessment Approach (IAA) for exposures related to ABCP programmes;

• Supervisory Formula Approach (SFA) for the rest.

The external rating agencies used are Standard & Poors, Moody’s and Fitch Ratings. The relevant exposures are notes acquired by Calyon and liquidity facilities senior to the securitisation positions (usually ABS, CMBS), with a public external rating (inferred).

GROSS SECURITISATION EXPOSURES

(in millions of euros) 31/12/2008

Gross securitisation exposures 23,997

Traditional securitisations 23,997

Synthetic securitisations 0

Calyon is the originator and sponsor of €22.7 billion and holds €1.3 billion of notes issued by conduits. Total revolving securitisation exposures amounted to €20.1 billion at 31 December 2008.

AGGREGATE AMOUNTS OF SECURITISATION EXPOSURES HELD OR ACQUIRED (EXPOSURES AT RISK) BY WEIGHT

(in millions of euros) 31/12/2008

Exposure at risk by weight 22,032

Ratings based method 3,573

Weight 6-10% 2,533

Weight 12-35% 817

Weight 50-75% 223

Weight 100-650% 0

Weight = 1,250% 0

Supervisory Formula Approach 805

Transparency 0

Internal Assessment Approach 17,654

2. Securitisation transactions on own account

Calyon has two types of exposure to own account securitisations:

• Calyon uses securitisation techniques to manage its corporate financing portfolio. They are used in addition to a range of risk-transfer instruments (see section of the management report entitled “Risk Factors – Credit Risk - Credit Risk Mitigation Mechanisms – Use of Credit Derivatives”).

The aim is to reduce concentration of corporate credit exposures, to diversify the portfolio and to reduce loss levels. This business is managed by the Credit Portfolio Management (CPM) team.

The internal ratings based approach is used to calculate risk-weighted securitisation exposures on own account. The external credit rating agencies used for outstanding of own account securitisations are Standard & Poors, Moody’s and Fitch Ratings;

• Calyon is also an investor in securitisations, for an amount of €17.5 billion at 31 December 2008. Pursuant to the revision to IAS 39, at 1 October 2008, Calyon reclassified €16.8 billion of its trading book assets to the banking book.

GROSS SECURITISATION EXPOSURES (AFTER PROTECTION)

(in millions of euros) 31/12/2008

Gross securitisation exposures 20,529

Traditional securitisations 15,775

Synthetic securitisations 4,754

At 31 December 2008, exposure deductible from Basel II capital amounted to €1,316 million and non- deductible exposure to less than €1 million.

AGGREGATE AMOUNTS OF SECURITISATION EXPOSURES HELD OR ACQUIRED (EXPOSURES AT RISK) BY WEIGHT

(in millions of euros) 31/12/2008

Exposure at risk by weight 19,012

Ratings based method 11,847

Weight 6-10% 1,575

Weight 12-35% 7,569

Weight 50-75% 2,230

Weight 100-650% 473

Weight = 1,250% 1

Supervisory Formula Approach 7,164

Transparency 0

Internal Assessment Approach 0

Impaired assets totalled €400 million at 31 December 2008. Impairment losses of €229 million were recognised in 2008.

No impairment losses on assets reclassified as of 1 October 2008 were recognised in the final quarter of 2008.

II. Securitisation exposures in the standardised approach GROSS SECURITISATION EXPOSURES

(in millions of euros) 31/12/2008

Gross securitisation exposures 386

Traditional securitisations 386

Synthetic securitisations ₀

The gross amount of securitisation exposures in the standardised method is very small compared with exposures in the internal ratings based approach (see section on “Internal Ratings based approach”).

AGGREGATE AMOUNTS OF SECURITISATION EXPOSURES HELD OR ACQUIRED (EXPOSURES AT RISK) BY WEIGHT

(in millions of euros) 31/12/2008

Exposure at risk by weight 301

With external credit rating 264

Weight 20% 224 Weight 50% ₄₀ Weight 100% 0 Weight 350% ₀ Weight = 1,250% 37 Transparency ₀

Half of the exposures comprise the securitisation portion of mutual funds held in the banking book and treated by transparency. The other half is held mainly by Emporiki and mostly comprises positions acquired.