Results for 2016 - February 23, 2016 CREDIT MUTUEL-CM11 Group* Specific financial information (based on the recommendations of the Financial Stability Board)CREDIT MUTUEL-CM11 Group: Members of Caisse Fédérale de Crédit Mutuel *

Consolidated figures of the mutual banks of Crédit Mutuel Centre Est Europe, Sud-Est, Ile-de- France, Savoie-Mont Blanc, Midi-Atlantique, Loire-Atlantique et Centre-Ouest, Centre, Normandie, Dauphiné-Vivarais, Méditerranée and Anjou, of their common federal bank (CF de CM), and of the Banque Fédérative du Crédit Mutuel and its main subsidiaries: ACM, BECM, IT, CIC, TARGOBANK Germany, Cofidis and CIC Iberbanco

SECURITIZATION

SECURITIZATION
(in € millions)
Carrying amount
31/12/16
Carrying amount
31/12/15
RMBS
2,798
3,198
CMBS
51
412
CLO
2,075
1,666
Other ABS
1,640
1,564
RMBS hedged by CDS
CLO hedged by CDS
5
38
Other ABS hedged by CDS
Liquidity lines for RMBS programs
Liquidity lines for ABCP programs
185
223
Total
6,754
7,101

Unless otherwise indicated, securities are not hedged by CDS.

Carrying amount
Dec. 31, 2016 (in € millions)
RMBS
CMBS
CLO
Other ABS
Total
Trading
762
51
113
47
922
Available for sale
1,501
1,814
1,367
4,733
Loans
535
148
226
909
Total
2,798
51
2,075
1,640
6,564
France
130
51
58
412
600
Spain
72
116
188
United Kingdom
295
85
162
542
Europe excluding France, Spain and the UK
450
436
950
1,887
USA
1,850
894
2,744
Others
1
602
603
Total
2,798
51
2,075
1,640
6,564
US Agencies
1,451
51
1,990
972
1,451
AAA
686
3,648
AA
157
48
425
630
A
62
22
13
97
BBB
31
4
230
316
BB
31
31
B and lower
380
380
Not rated
11
11
Total
2,798
51
2,075
1,640
6,564
Carrying amount
Dec. 31, 2015 (in € millions)
RMBS
CMBS
CLO
Other ABS
Total
Trading
1,078
70
135
52
1,335
Available for sale
1,482
342
1,267
1,337
4,428
Loans
638
264
175
1,077
Total
3,198
412
1,666
1,564
6,840
France
9
19
22
379
410
Spain
85
51
136
United Kingdom
374
50
189
632
Europe excluding France, Spain and the UK
740
60
553
928
2,281
USA
1,983
333
769
17
3,102
Others
7
272
279
Total
3,198
412
1,666
1,564
6,840
US Agencies
1,514
359
1,625
998
1,514
AAA
800
3,782
AA
266
327
593
A
92
16
161
269
BBB
40
53
4
61
158
BB
31
2
33
B and lower
455
2
17
474
Not rated
17
17
Total
3,198
412
1,666
1,564
6,840

CIC - Crédit Industriel et Commercial SA published this content on 23 February 2017 and is solely responsible for the information contained herein.
Distributed by Public, unedited and unaltered, on 23 February 2017 17:47:05 UTC.

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