ourexpertise - Crédit Agricole CIB

32010 MANAGEMENT REPORTTraditional securisations€ million 31.12.2010 31.12.2009Exposures 19,315 19,540Balance sheet 1,867 2,034Off-balance sheet 17,448 17,507Exposures at default (EAD) 18,652 18,896Rating-Based Approach (RBA) 5,057 4,611Weighting 6-10 % 2,876 2,263Weighting 12-35 % 1,128 1,395Weighting 50-75 % 258 405Weighting 100-650 % 795 549Internal Assessment Approach (IAA) 12,815 13,796Weighting 6-10 % 10,878 9,470Weighting 12-35 % 1,936 3,563Weighting 50-75 % 1 344Weighting 100-650 % 0 419Supervisory Formula Approach (SFA) 781 489Risk weighted assets (RWA) 2,874 3,511Capital requirements 230 281Proprietary securisationsTranches of securitisation (after protection)€ million 31.12.2010 31.12.2009Traditional securisations 11,917 9,325Synthetic securisations 33,621 30,015Total 45,539 39,340Securisation tranches deductible from shareholders’ equity (EAD)At 31 December 2010, the total amount of retained securisation tranches deductible from Basel II shareholders’ equity was €2,574 million.Aggregate amount of securitized positions retained or acquired by weighting category (EAD)€ million 31.12.2010 31.12.2009Rating-Based Approach (RBA) 5,756 3,713Weighting 6-10 % 4,272 1,743Weighting 12-35 % 597 581Weighting 50-75 % 102 237Weighting 100-650 % 785 1,135Weighting = 1250 % 46 17Supervisory Formula Approach (SFA) 30,686 24,787Total 36,488 28,500Impaired assets, exposure to delinquent securitised loans and losses during the periodAfter impairment of €186 million, the net exposure of impaired assets was 209 million at 31 December 2010.136SHELF-REGISTRATION DOCUMENT CRÉDIT AGRICOLE CIB 2010