Instruction No. 2010-I-01 of 29 September 2010 amending Instruction No. 2000-07 of 4 September 2000 on the control of large exposures and gross risks

PRUDENTIAL SUPERVISION AND RESOLUTION AUTHORITY

Instruction No. 2010-I-01 dated 29 September 2010 amending Instruction No. 2000-07 of 4 September 2000 on the control of large exposures and gross risks

The Prudential Supervision and Resolution Authority, Having regard to Council Directive No. 2006/48/EC of the European Parliament and of the Council of 14 June 2006 amended concerning the taking up and pursuit of the business of credit institutions; Having regard to Council Directive No. 2006/49/EC of the European Parliament and of the Council of 14 June 2006 amended concerning the capital adequacy of credit institutions and investment firms; Having regard to the Monetary and Financial Code, in particular Article L. 612-24; Having regard to Regulation No. 90-02 of 23 February 1990 amended of the Banking and Financial Regulation Committee on own funds; Having regard to Regulation No. 93-05 of 21 December 1993 amended of the Banking and Financial Regulation Committee on the control of large exposures; Having regard to the Order of 20 February 2007 on capital requirements applicable to credit institutions and investment firms; Having regard to Instruction No. 2000-07 of 4 September 2000 on the control of large exposures and gross risks; Having regard to Instruction No. 2009-01 of 30 November 2009 on the implementation of the unified financial reporting system; Having regard to Instruction No. 2009-02 of 19 June 2009 repealing or amending several instructions of the Banking Commission, Decides:

Article 1

• Article 1 is replaced by the following provisions: "Credit institutions, financial companies, and investment firms shall report the calculation elements of the ratios defined in Article 1 of the aforementioned Regulation No. 93-05 in the 'GRAN_RISK' table, the models of which are set out in Annex I to this Instruction.

The ratios and percentages mentioned in Article 1 of the aforementioned Regulation No. 93-05 shall be assessed in accordance with the provisions of said Regulation based on net risks, after provisions allocated, taking into account collateral and applying weighting factors."

Article 2 - Article 2 is replaced by the following provisions: The risks referred to in Article 12 of the aforementioned Regulation No. 93-05 shall be declared on the forms referred to in Article 1.

Article 3 - Article 3 is replaced by the following provisions: "Institutions shall also declare on the forms referred to in Article 1 the risks on the same beneficiary, as defined in Article 3 of the aforementioned Regulation No. 93-05, whenever the total gross risks incurred from their operations with that beneficiary exceed 10% of own funds, as defined in Regulation No. 90-02, or €300 million. In any event, institutions using the internal ratings-based approach shall declare at least their twenty largest exposures, excluding counterparties assigned a zero weighting factor.

By gross risk is meant the total of risks incurred on the same beneficiary before deduction of allocated provisions, received collateral, or reductions provided for in Chapter VI of Title VII of the Order of 20 February 2007 on capital requirements applicable to credit institutions and investment firms, and before the application of weighting factors."

Article 4 - Article 4 is replaced by the following provisions: "Institutions subject to the aforementioned Regulation No. 93-05 on a consolidated or sub-consolidated basis, in accordance with Article 2 of said Regulation, shall submit the 'GRAN_RISK table on a consolidated basis'.

They shall attach a note describing the nature of the elements explaining the variation in own funds when such variation is significant. They shall also transmit electronically the consolidation perimeter established in accordance with the modalities of Instructions No. 2009-01 and No. 2009-02 of 19 June 2009 if it differs from that communicated twice a year in accordance with the aforementioned Instruction."

Article 5 - Article 5 is replaced by the following provisions: "Without prejudice to the provisions of the second paragraph of Article 12 of the aforementioned Regulation No. 93-05, in application of the provisions of the first paragraph of that Article and of Article L. 612.24 of the Monetary and Financial Code, the 'GRAN_RISK table' shall be prepared four times a year based on figures finalized on the last day of each quarter.

When these documents reflect the activity of permanent branches established in mainland France, they must be submitted:

• for credit institutions having more than 100 permanent branches as well as for credit institutions whose accounting documents pass through a central body or a professional association, by the last day of the month following the finalization date;
• for other institutions, by the 25th day of the month following the finalization date.

When these documents reflect the activity of permanent branches established either in overseas departments, overseas territories, abroad, or in several territories, they must be submitted to the General Secretariat of the Prudential Supervision and Resolution Authority by the last day of the month following the finalization date."

Article 6 - Article 6 is replaced by the following provisions: "The GRAN_RISK table shall be sent to the General Secretariat of the Prudential Supervision and Resolution Authority by electronic transmission.

This table shall be prepared in accordance with Annex I of this Instruction."

Article 7 - Annex 1 is replaced by the GRAN_RISK tables mentioned in the annex to this Instruction, which also amends Annex 9 of Instruction 2009-01 of 19 June 2009 on the implementation of the unified financial reporting system.

Article 8 - This Instruction shall enter into force on 31 December 2010.

Paris, 29 September 2010 The President of the Prudential Supervision and Resolution Authority, Christian NOYER

4 Annex GRAN_RISK Gross Large Exposures Scope Individual Consolidated CRC Consolidated IFRS Activity All zones Currency All currencies CONTROL OF LARGE EXPOSURES AND GROSS RISKS Amounts

1. Own funds as defined in Regulation No. 90-02 (a) I
2. Increase (+) or decrease (-) in own funds at the finalization date (b) II
3. Own funds at the finalization date (III = I + II) III
4. Large exposure thresholds:
5. 10% of own funds (III x 10 /100)
6. 25% of own funds (III x 25 /100)
7. Total of large exposures
8. Number of large exposure beneficiaries (as defined in Article 1 of Regulation No. 93-05)
9. Number of other declared beneficiaries (as defined in Articles 2 and 3 of Instruction No. 2000-07 of the Banking Commission) (a) Take the amount declared in line 1.6.L.E of the most recent COREP SA form submitted to the General Secretariat of the Prudential Supervision and Resolution Authority (b) The institution is invited to specify the nature of the elements explaining the variation in own funds when such variation is significant.

5 GRAN_RISK Gross Large Exposures Scope Individual Consolidated CRC Consolidated IFRS Activity All zones Currency All currencies SIREN Number CIB Number Quality Surname DOB SGR_015 0 Internal Number Beneficiary Name APE Code Internal Rating External Rating SGR_020 0 Entity SGR_021 0 Probability of Default SGR_022 0 Address STATEMENT OF LARGE EXPOSURES AND GROSS RISKS BY BENEFICIARY Gross Risks Provisions Net Risks after Provisions Deductions (a) Risks after Deductions Weighted Risks 1 - 2 = 3 3 - 4 = 5 (5xweightingx%)= 6 1 2 3 4 5 6 1 ELEMENTS TAKEN INTO ACCOUNT FOR CREDIT RISK AND COUNTERPARTY RISK OF THE ORDER OF 20 FEBRUARY 2007 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 PORTFOLIO ITEMS 2.1 Position risk 2.2 Delivery risk 3 TOTAL 4 NUMBER OF COUNTERPARTIES (a) Received collateral: amounts must be entered before applying the weighting factor.