Instruction No. 2011-I-13 of December 2, 2011 amending Instruction No. 2000-07 of September 4, 2000 on the monitoring of large exposures and gross risks

PRUDENTIAL CONTROL AUTHORITY

Instruction No. 2011-I-13 dated December 2, 2011 amending Instruction No. 2000-07 of September 4, 2000 on the monitoring of large exposures and gross risks

The Prudential Control Authority, Having regard to Directive 2010/76/EU of the European Parliament and of the Council of November 24, 2010 amending Directives 2006/48/EC and 2006/49/EC as regards capital requirements for the trading book and for securitisations, and the prudential supervision of remuneration policies; Having regard to the Monetary and Financial Code, in particular Article L. 612-24 thereof; Having regard to the Order of February 20, 2007, as amended, on capital requirements applicable to credit institutions and investment firms; Having regard to Regulation No. 90-02 of February 23, 1990, as amended, of the Banking Regulation Committee on own funds; Having regard to Regulation No. 93-05 of December 21, 1993, as amended, of the Banking and Financial Regulation Committee on the monitoring of large exposures; Having regard to Instruction No. 2000-07 of September 4, 2000 on the monitoring of large exposures and gross risks; Having regard to Instruction No. 2009-01 of November 30, 2009 on the implementation of the unified financial reporting system; Having regard to Instruction No. 2009-02 of June 19, 2009 repealing or modifying several instructions of the Banking Commission; Having regard to the opinion of the Prudential Affairs Consultative Commission dated September 21, 2011; Decides:

Article 1 Annex 1 to Instruction No. 2000-07 is replaced by the GRAN_RISK tables below, which also replace Annex 9 of Instruction No. 2009-01 of June 19, 2009 on the implementation of the unified financial reporting system.

Instruction No. 2011-I-13 amending Instruction No. 2000-07 of September 4, 2000 and on the monitoring of large exposures and gross risks Prudential Control Authority 2

Scope Individual Consolidated CRC Consolidated IFRS Activity All zones Currency All currencies Amounts 1 1 2 Increase (+) or decrease (-) in own funds at the reporting date (b) II 3 Own funds at the reporting date (III = I + II) III 4 Large exposure thresholds: 6 10% of own funds (III x 10 / 100) 7 25% of own funds (III x 25 / 100) 8 Total of large exposures 9 10

MONITORING OF LARGE EXPOSURES AND GROSS RISKS GRAN_RISK Gross Large Exposures (a) Take the amount declared in line 1.6.L.E of the most recent COREP CA statement submitted to the General Secretariat of the Prudential Control Authority. (b) The institution is invited to specify the nature of the elements explaining the variation in own funds when this variation is significant.

Number of other declared beneficiaries (within the meaning of Articles 2 and 3 of Instruction No. 2000-07 of the Banking Commission) Own funds within the meaning of Regulation No. 90-02 (a) I Number of large exposure beneficiaries (within the meaning of Article 1 of Regulation No. 93-05)

Instruction No. 2011-I-13 amending Instruction No. 2000-07 of September 4, 2000 and on the monitoring of large exposures and gross risks Prudential Control Authority 3

Scope Individual Consolidated CRC Consolidated IFRS Activity All zones Currency All currencies SIREN Number CIB Number Quality Surname Date of birth Internal Number Beneficiary Name APE Code Internal Rating External Rating Agency Probability of default Address Gross Risks Provisions Net Risks after provisions Deductions (a) Risks after deductions Weighted Risks 1 - 2 = 3 3 - 4 = 5 (5 x weighting x %) = 6 1 2 3 4 5 6 1 1.1 Balance Sheet 1.1.1 Securities 1.1.2 Loans and other items 1.2 Off-balance sheet (excluding derivative instruments) 1.2.1 Guarantee commitments 1.2.1.1 Received guarantee commitments 1.2.1.2 Given guarantee commitments 1.2.2 Financing commitments 1.3 Derivative instruments (not traded on an organized market) 1.3.1 Market price method 1.3.1.1 Market value 1.3.1.2 Potential future risk 1.3.2 Initial risk method 1.3.3 Standard method 1.3.4 Internal models method 2 TRADING BOOK ELEMENTS 2.1 Position risk 3 TOTAL 4 NUMBER OF COUNTERPARTIES

GRAN_RISK Gross Large Exposures (a) Received collateral: amounts must be recorded before applying the weighting.

LARGE EXPOSURES AND GROSS RISKS STATEMENT PER BENEFICIARY ELEMENTS TAKEN INTO ACCOUNT FOR THE PURPOSE OF CREDIT RISK AND COUNTERPARTY RISK UNDER THE ORDER OF FEBRUARY 20, 2007

Instruction No. 2011-I-13 amending Instruction No. 2000-07 of September 4, 2000 and on the monitoring of large exposures and gross risks Prudential Control Authority 4

Article 2 This instruction shall enter into force on December 31, 2011. Paris, December 2, 2011 The President of the Prudential Control Authority [Christian NOYER]