ourexpertise - Crédit Agricole CIB

4CONSOLIDATED FINANCIAL STATEMENTSGains and losses for the period from assets and liabilities on thebalance sheet at year-end (-€0.5 billion approximately) mainlyinclude:• the impact of changes in value recognised on CDO units withUS mortgage underlying and their hedges, in the amount ofapproximately + €1.8 billion;• the change in value of other interest rate, credit and equity derivatives,and notably corporate CDOs valued on the basis ofdata that became non-observable, in the amount of approximately-€2.3 billion.However, the fair value (and the change in fair value) of theseproducts by itself is not representative. These products areextensively hedged by other, less complex products, which areindividually valued based on data deemed to be observable. Thevaluation of these hedging products (and the change in their value),which to a large extent is symmetrical to the valuation ofproducts measured on the basis of data deemed to be non-observable,does not appear in the table above.During the period, the fair value of fi nancial instruments transferredout of Level 3 was approximately €329 million. These transfersare mainly due to the restored observability horizon over thematurity of certain measurement variables over time.Sensitivity analysis of fi nancial instruments measured at fair valueon a Level 3 valuation modelAt 31 December 2010, at Crédit Agricole CIB, the sensitivity tovariables used in the models based on reasonable alternativeassumptions amounted to approximately €209 million (most ofit for discontinuing operations, including €108 million on CDOswith US mortgage underlying and €89 million for corporate CDObusiness).Sensitivity is calibrated independently of the front offi ce, basedprimarily on consensus data:• Corporate CDOs: the extent of uncertainty over the defaultcorrelation (a non-observable variable) is determined based onthe standard deviation between the consensus data relative tothe standard indices;• super-senior ABS CDO tranches: the extent of uncertainty isestimated based on a set rate (10% change in loss scenarios);• equity derivatives: the method is the same as tat used forcorporate CDOs (standard deviation relative to consensus estimates)but applied to dividend volatility and standard correlationvariables;• Fixed-income derivatives: a 2% shock is applied to the maincorrelations (Interest rate/ Exchange rate and Interest rate/Interestrate).10.3 Measurement of the impact of taking into account gains€ million 31.12.2010 31.12.2009Deferred gains at 1 January 297 361Deferred gains generated by new transactions during the period 51 93Recognised in income during the periodAmortisation and cancelled/redeemed/expired transactions (107) (157)Effect of parameters or products that became observable during theyearDeferred gains at the end of the period 241 297• NOTE 11: POST- STATEMENT OF FINANCIALPOSITION EVENTSNo signifi cant event after the closing.208SHELF-REGISTRATION DOCUMENT CRÉDIT AGRICOLE CIB 2010