AXA BANK EUROPE SCF COVERED BOND PROGRAM. Investor Presentation March 2016

Transcription

1 AXA BANK EUROPE SCF COVERED BOND PROGRAM Investor Presentation March 2016

2 Table Of Content 1. Program Update P.3 2. AXA Bank Europe & AXA Banque P.8 3. AXA Bank Europe SCF Program P Cover Pool P Overview of the Underlying Residential Loans Portfolios P Conclusion P Contacts P Appendix P.53 2

3 Program Update

4 Program Update Initial set-up AXA Bank Europe is a Belgium based bank focusing on retail banking activities in Belgium: AXA Bank Europe is rated A/A-1, Outlook Positive by S&P and A2/P-1, Outlook Stable by Moody s. AXA Bank Europe is a significant and long-established player in the Belgian mortgage market, which is one of the healthiest and most stable housing markets in Europe. The EUR 5bn AXA Bank Europe SCF (ABE SCF) program was initially set-up in 2010 as the funding platform for AXA Bank Europe (ABE). The Obligations Foncières issued by ABE SCF were originally secured by AAA-rated RMBS Notes backed by prime Belgian residential mortgage loans originated and serviced by ABE. The Obligations Foncières issued by ABE SCF are rated Aaa/AAA by Moody s/fitch. 4

5 Program Update Recent Change: Inclusion of French Assets via Promissory Note Since November 2014, ABE SCF is also being used as a funding platform for AXA Banque (France). In November 2014, ABE SCF subscribed a EUR 450 MM Mortgage Promissory Note (*) backed by guaranteed French residential home loans originated by AXA Banque in France and serviced by Crédit Foncier de France (CFF). The underlying residential loans are guaranteed by Crédit Logement (currently rated Aa3, Outlook Stable by Moody s / AAL, Outlook Stable by DBRS). To subscribe such Mortgage Promissory Note, ABE SCF issued a EUR 400 MM 5Y Obligations Foncières Series that has been purchased by AXA Banque (France). The inclusion of Mortgage Promissory Notes is limited by law to a maximum of 10% of ABE SCF s total balance sheet (**). (*) A Mortgage Promissory Note is a promissory note secured by a specified mortgage loan; it is a written promise to repay a specified sum of money plus interest at a specified rate and length of time to fulfill the promise. (**) Mortgage Promissory Notes ( billets à ordre hypothécaires ) are governed by Article L et seq. of the French Code monétaire et financier. French Mortgage Promissory Notes can be included in Société de Crédit Foncier (SCF) s cover pool provided that (a) such Mortgage Promissory Notes do not exceed 10% of the Issuer's assets in accordance with Article L of the French Code monétaire et financier and (b) the loans refinanced by such Mortgage Promissory Notes are (i) secured by a first ranking mortgage over an eligible real estate (or by other real estate security interests providing an equivalent security interest in accordance with Article L of the French Code monétaire et financier) or (ii) guaranteed by a credit institution or an insurance company that does not belong to the same group as the relevant SCF. 5

6 Program Update Future Change & Impact: RMBS as Collateral to be Replaced by Secured Loans (1/3) ABE SCF s cover pool is currently for 90% composed of internal RMBS tranches: RS-2 (EUR 1.5bn AAA tranche) & RS-3 (EUR 2.7bn AAA tranche). As from 1 January 2018, CRD IV / CRR requires that own (Group) issued RMBS and subscribed by Sociétés de Crédit Foncier may only be refinanced within 10% of the nominal amount of the Obligations Foncières and other liabilities benefiting from the privilège (priority right of payment). As required by French regulations, ABE SCF submitted an Action Plan to the French regulator (ACPR) in December 2015 detailing two options by which ABE SCF intends to comply with the above requirement. 6

7 Program Update Future Change & Impact: RMBS as Collateral to be Replaced by Secured Loans (2/3) Preferred option: there are currently discussions ongoing in France to harmonize the legal frameworks applicable to Sociétés de Crédit Foncier (SCF) and Sociétés de Financement de l Habitat (SFH). Expected key measures are: Permission granted to SCF to make use of secured loans ( prêts sécurisés ) on the asset side; Removal of the 10% cap applicable to Mortgage Promissory Notes ( billets à ordre ); Removal of the 35% limit applicable to guaranteed home loans. If the SCF / SFH alignment becomes effective in 2016, the RMBS Senior Notes included in ABE SCF s cover pool will be substituted by secured loans ( prêts sécurisés ) secured by eligible residential home loans which would be pledged to the benefit of ABE SCF. Indeed, under the current French legislative framework, the use of secured loans is only allowed for SFH vehicles. Alternative Option (if the Preferred Option cannot be implemented): a conversion of ABE SCF into a Société de Financement de l Habitat (SFH) will be contemplated. 7

8 AXA Bank Europe & AXA Banque (France)

9 AXA Bank Europe & AXA Banque within the AXA Group AXA SA 100% S&P: A-/A-2, Outlook Positive Moody s: A2/P-1, Outlook Stable Fitch: A/F1, Outlook Stable AXA France Assurance SAS 100% 100% 51% AXA Banque (France) SA Non-rated AXA France Vie SA 49% S&P: A+, Outlook Positive Moody s: Aa3, Outlook Stable Fitch: AA-, Outlook Stable AXA Bank Europe SA/NV 99.99% AXA Bank Europe SCF SA S&P: A/A-1, Outlook Positive Moody s: A2/P-1, Outlook Stable 9

10 AXA Bank Europe within the AXA Group AXA Bank Europe Is fully integrated within the AXA Group. - AXA Bank Europe is wholly-owned (100%) by AXA SA. Its retail banking operations are essentially based in Belgium (Non Belgium lending activities are in run-off since end-2011). These activities are provided in line with AXA business model, through which AXA Bank Europe offers both insurance and banking products & services to retail clients. In Belgium, AXA Bank Europe provides retail credit, savings, investments and pension products and services. AXA Bank Europe also develops and implements synergies with other AXA bank entities such as France and Germany. 10

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12 AXA Bank Europe within the AXA Group Intermediation Activity in Belgium VISION MISSIONS Support of Group activities Leverage on ABE s execution, trade processing, collateral management, trade reporting, clearing, valuation capabilities & expertise. Providing an easy access to the interbank and central clearer for derivatives market to AXA entities in a post EMIR world. «Mutualize ABE s banking expertise within AXA Group» Intermediation role in financial products Provide comprehensive and easy to use services to AXA companies in the fields of derivatives and Repo s. Remain on the edge of the derivative market, derivative processing and evolving regulation to be able to translate this into services provided to AXA entities. Contribute to ABE s profitability within a tight risk framework (intermediation / no proprietary trading and no market making). Derivatives, repo s, EMTN structuring Propose tailor made financial solutions 12

13 ABE Balance Sheet Non-Audited Key Figures Commercial Bank 13 AXA Bank Europe (In EUR MM As of Dec. 2015) (**) Assets Non- Commercial / Capital Market Bank Treasury Bank 17,939 6,518 3,220 Commercial Bank Liabilities Non- Commercial / Capital Market Bank Treasury Bank 18,356 3,435 5,531 Other Assets 666 Equity 1,021 Total Assets 28,343 Total Liabilities 28,343 Belgium Commercial Balance Sheet (In EUR MM As of Dec. 2015) (**) Fixed Rate Mortgages Variable Rate Mortgages (*) Investment Credits Personal Loans Cash Credits Other Assets Total Assets Assets Liabilities 8,918 EMTN 1,505 5,899 1,333 Savings Certificates Term Deposits 170 1, Savings 12, ,890 Current Accounts Total Liabilities (*) Capped mortgages that include at least one period of variable interest rate. (**) FV of derivatives and other assets are excluded. 2,458 17,890

14 AXA Banque (France) within the AXA Group AXA Banque (France) Is ultimately wholly-owned (100%) by AXA SA. Offers a complete range of bank products to retail clients in France. Intends to pursue its commercial development in France by: - Constantly improving the services quality; - Strengthening the Assur-Bank model via AXA France s distribution networks, mainly its 2 Tied Agents ( Agents Généraux d Assurance ) networks, but also AXA France s salaried sales-force and IFA (*); - Developing the visibility of the banking activities in these networks; - Increasing synergies with AXA Wealth Management. Negotiated partnerships with two major players in the French residential loan market: - AXA Banque uses Crédit Foncier de France s (CFF) platform (including IT systems) to originate and manage its home loans offering; - AXA Banque concluded an agreement with Crédit Logement (CRELOG). Currently, 88% of AXA Banque s residential home loans production benefit from a guarantee granted by CRELOG. Ingénierie finance assurance (IFA) is an entity of AXA offering to Conseillers en gestion de patrimoine indépendants (CGPI) customized/innovative services intended to their private/vip clients. 14

15 AXA Banque (France) Key Facts Staff 630 AXA Banque employees, among which 450 dedicated to the relationships with clients and with the distribution network. AXA France network 3,250 «Agents Généraux» (= Tied agents), i.e., exclusive distributors mandated by the insurance company Among which 745 Agents «Assur-Banquiers». 3,500 salespersons from the savings and coverage network 1,000 tied agents specialists in wealth and insurance products 1,200 independant mandated business providers (CGPI = IFAs) 2,150 brokers 715,000 clients Amongwhich65,000 new clients during Business figures (*) RETAIL LOANS EUR 6bn outstanding Of which 55% mortgages 182,000 loans outstanding SAVINGS ACCOUNTS EUR 2.1bn outstanding 426b000 savings account outstanding CURRENT ACCOUNTS EUR 837 MM outstanding 275,000 current acounts 214,000 credit cards 15 (*) As of Dec. 31, 2015

16 AXA Banque (France) Balance Sheet RETAIL BANKING ASSETS EUR MM Treasury 628 Retail Assets 6171 Bonds Portfolio 914 OtherAssets 100 TOTAL 7813 LOANS PORTFOLIO EUR MM Mortgage loans 3177 Consumer loans 882 Private banking loans 1630 TOTAL 5690 LIABILITIES EUR MM DEPOSITS EUR MM Treasury 671 RetailFunding 3842 Debt 2688 Shareholder'sEquity 395 OtherLiabilities 218 TOTAL 7813 Current accounts 785 Savings accounts 2169 Term deposits 725 TOTAL (*) As of Nov. 30, 2015

17 AXA Bank Europe SCF Covered Bond Program

18 AXA Bank Europe SCF Covered Bond Program By mean of the ABE SCF program, ABE and ABF are able to diversify the funding sources. The French Covered Bond legislation provides ABE and ABF with a strong and well recognized framework to access long-term funding. AXA Bank Europe SCF Program Characteristics Issuer Program Size External Ratings AXA Bank Europe SCF EUR 5bn (Current Outstanding: EUR 3.9bn) Aaa / AAA (Moody s / Fitch) EUR 4.21bn Aaa/AAA (Moody's/Fitch) Senior RMBS Notes backed by prime Belgian residential mortgages originated and serviced by AXA Bank Europe Collateral EUR 450 MM French Mortgage Promissory Note backed by prime French guaranteed home loans originated by AXA Banque (France) and serviced by CFF and guaranteed by Crédit Logement 18 Minimum Overcollateralization (OC) Compliance with European Legislation Currently 19.6% (5% min. committed) CRD & UCITS Compliant ECB Eligible Risk Weighting 10% (*) Listing ECBC Label Luxembourg Stock Exchange Yes (*) Under Standard Approach of IRBA.

19 AXA Bank Europe SCF Covered Bond Program Structure Highlights AXA Bank Europe SCF is 99.99% owned by AXA Bank Europe. AXA Bank Europe SCF is licensed as a specialized credit institution (as from January 1st, 2014) with the status of a Société de Crédit Foncier under French law to issue Obligations Foncières. AXA Bank Europe SCF is fully supported by AXA Bank Europe via a separate comfort letter required by the French Autorité de contrôle prudentiel et de résolution (ACPR) as part of the licensing process and a cash advance mechanism. AXA Bank Europe SCF is legally bankruptcy remote from AXA Bank Europe. AXA Bank Europe Comfort Letter & Cash Advance Mechanism AXA Bank Europe SCF (Issuer) Issues AAA rated Obligations Foncières Obligations Foncières (Investors) 19

20 AXA Bank Europe SCF Covered Bond Program Structural Enhancements (1/3) AXA Bank Europe supports AXA Bank Europe SCF Via a cash advance mechanism: AXA Bank Europe will advance cash in an amount equal to the sums to be paid by AXA Bank Europe SCF under the Obligations Foncières which cannot be paid from the interest received from the cover pool assets on each payment date. As provider of a loan to finance the overcollateralization (OC): - Minimum 5% OC at the SCF level has to be maintained at all times; - Current OC level is 19.6% (vs. min. 5% required by law / rating agencies). As provider of a first demand guarantee to cover AXA Banque (France) s obligations under the Mortgage Promissory Note. AXA Bank Europe SCF also benefits from credit enhancement: At the RMBS level: - The SCF only invests in AAA-rated Senior RMBS Notes backed by prime Belgian residential mortgage loans originated by AXA Bank Europe; - Current credit enhancement for the AAA Senior RMBS Notes: Royal Street 17.7% / Royal Street 13.5%. At the Mortgage Promissory Note level: - The outstanding nominal of the guaranteed residential home loan portfolio exceeds by 11% the outstanding nominal of the Mortgage Promissory Note. 20

21 AXA Bank Europe SCF Covered Bond Program Structural Enhancements (2/3) AXA Bank Europe SCF assets are predominantly AAA-rated Senior RMBS Notes issued by Royal Street in Belgium, which has been used for the purpose of transferring Belgian assets to the French SCF. AXA Bank Europe s primary motivation for structuring RMBS Notes used as collateral of the SCF was to facilitate the cross-boarder transfer of Belgian mortgage loans into the French Société de Crédit Foncier (AXA Bank Europe SCF). This RMBS structure has been created by AXA Bank Europe solely to transfer Belgian mortgage loans to AXA Bank Europe SCF. Sells Belgian residential mortgage loans to RS Sells AAA-rated RMBS to ABE SCF Issues AAA-rated Obligations Foncières AXA Bank Europe (Seller & Servicer) Royal Street Compartment (SIC) AXA Bank Europe SCF (Issuer) Obligations Foncières (Investors) True sale of the mortgages at the RMBS level and sale of the Senior RMBS Notes to AXA Bank Europe SCF. 21 As a side effect, this two layer structure provides additional credit enhancement to investors.

22 AXA Bank Europe SCF Covered Bond Program Structural Enhancements (3/3) The Obligations Foncières benefit from structural enhancement at both the RMBS and the French Mortgage Promissory Note levels, but also at the AXA Bank Europe SCF level. Royal Street Compartment (SIC) AXA Bank Europe SCF (Issuer) Obligations Foncières (Investors) RMBS Class A (AAA) benefit from subordination, guaranteed excess spread, & reserve fund RMBS Class B (NR) (retained by AXA Bank Europe) Sells AAA rated RMBS to ABE SCF Obligations Foncières benefit from overcollateralization & structural enhancements Issues AAA rated OFs Investors benefit from protection at the ABE SCF, RMBS & Mortgage Promissory Note levels AXA Banque (France) Mortgage Promissory Note (NR) benefits from Overcollateralization Sells non-rated Mortgage Promissory Note to ABE SCF The RMBS Junior Notes have been purchased by AXA Bank Europe. The first piece of credit loss on top of the excess spread on the Belgian mortgage collateral are therefore borne by AXA Bank Europe. 22

23 AXA Bank Europe SCF Covered Bond Program Liquidity Support In addition to the cash advance mechanism and the first demand guarantee, AXA Bank Europe SCF benefits from asset liability management tools to fund temporary liquidity needs: In particular, AXA Bank Europe SCF may at any time sell or liquidate assets if required to repay Obligations Foncières. The RMBS are ECB repo eligible. 23

24 AXA Bank Europe SCF Covered Bond Program Interest Rate Hedging Strategy Interest rate risk is mitigated using swaps. AXA Bank Europe SCF enters into a swap for each publicly placed Series of Obligations Foncières to swap the Euribor 3 month floating interest rate received on the RMBS Notes into the fixed rate coupon to be paid to the publicly placed Obligations Foncières investors. No swaps have been concluded at the French Mortgage Promissory Note level since the (fixed) coupon is matched with the (fixed) coupon of the corresponding Obligations Foncières Series. The notional of each swap is the amount of the respective Series of Obligations Foncières. Hedging counterparties subject to minimum rating requirement as defined per rating agencies methodologies. Swaps comply with the swap criteria of Moody s and Fitch. One-way collateral posting under CSA. 24

25 Cover Pool

26 AXA Bank Europe RMBS Program Royal Street AXA Bank Europe SCF s cover pool is currently made up for 90% of internal RMBS tranches: EUR 4.21bn of AAA-rated Senior RMBS Notes issued by the second and third compartments of Royal Street (Compartments RS-2 and RS-3, respectively) ultimately backed by prime Belgian residential mortgage loans originated and serviced by ABE: - RS-2: EUR 1.5bn AAA tranche; - RS-3: EUR 2.7bn AAA tranche. EUR 450 MM of Mortgage Promissory Note backed by guaranteed French residential home loans originated by ABF and serviced by Crédit Foncier de France (CFF). The underlying residential loans are guaranteed by Crédit Logement. RS-2 and RS-3 have been structured solely to transfer part of the eligible Belgian prime residential mortgage portfolio of AXA Bank Europe to AXA Bank Europe SCF. Performance details of RS-2 and RS-3 are available on: RS-1 was issued in 2008 and is not used as collateral for ABE SCF. 26

27 AXA Bank Europe RMBS Program Royal Street, Compartment RS-2 & RS-3 Replenishment period: initially 5 years (starting from the issue date) subject to strict eligibility and replenishment criteria. RS-2: till November 2017 (recently extended by 2 years) / RS-3 till October First call date after 5 years (Optional Redemption Call). Reserve Fund: 1% of the initial amount of the issued notes. Royal Street, Compartment RS-2 Tranche Size (EUR) Rating (Moody s/fitch) Profile (%) Credit Enhancement (**) A 1,500,000,000 Aaa/AAA 83.3% 17.7% B 300,000,000 NR/NR 16.7% 1.0% Total 1,800,000, % 27 Royal Street, Compartment RS-3 Tranche Size (EUR) (*) Rating (Moody s/fitch) Profile (%) Credit Enhancement (**) A 2, ,000 Aaa/AAA 87.5% 13.5% B ,000 NR/NR 12.5% 1.0% Total 3,100,000, % (*) The RS-3 portfolio was increased by EUR 1bn in July 2013 via a Tap issuance. (**) The guaranteed excess spread (35bps) is not taken into account.

28 AXA Bank Europe RMBS Program Royal Street, Compartment RS-2 & RS-3 Belgian Assets Pool Overview Royal Street RS-2 & RS-3 Portfolio Overview RS-2 Portfolio (February 2016) RS-3 Portfolio (January 2016) Replenishment Constraints (Applicable to each individual portfolio) Aggregate Portfolio Current Loan Balance (EUR) 1,748,144,541 2,930,678,792 (*) - 4,678,823,333 Number of Loans 28,127 43,355-71,482 Number of Borrowers 20,241 31,554-51,795 Average Loan Balance per Borrower (EUR) WA Seasoning (Years) WA Remaining Term to Maturity (Years) WA Current Loan to Current Value (CLTCV) WA Initial Loan to Initial Value (ILTIV) WA Current Loan to Mortgage Inscription (CLTM) WA Current Interest Rate 3.09% 3.07% WA Debt to Income (DTI) 37.84% 35.67% 86,367 92,878-90,445 Min (RS-2) / 1.50 (RS-3) years for all new loans % 56.81% WA < 60% 55.61% 73.96% 72.62% WA < 80% 73.12% 89.39% 93.01% WA < 100% 91.66% WA > 2% (RS-2) / > 2.5% (RS-3) WA < 42%; per loan < 60% % 36.48% 28 (*) The RS-3 portfolio was increased by EUR 1bn in July 2013 via a Tap issuance.

29 Mortgage Promissory Note French Assets Pool Overview The portfolio backing the Mortgage Promissory Note is entirely made up of residential home loans: Originated by AXA Banque in France; Serviced by Crédit Foncier de France (CFF rated A-/A2/A by S&P/Moody s/fitch), a major player in France; and Benefiting from a guarantee mechanism ( mécanisme de caution ) granted by Crédit Logement (rated Aa3/AAL by Moody s/dbrs), i.e., these loans are part of the 88% residential loans of ABF with CRELOG guarantee. The residential home loan pool is compliant with the general ABF origination policy. Main eligibility criteria applies to the Mortgage Promissory Note in order to comply with Article 129 of the CRR. In addition, some specific eligibility criteria applies to the Mortgage Promissory Note transaction See next page. General ABF Origination Policy (Examples) Debt to Income (DTI) < 38% Initial LTV < 100% Mortgage Promissory Note Main Eligibility Criteria Debt to Income (DTI) < 33% Outstanding Amount Interest Rate Type < EUR 480k 100% Fixed Average Current LTV < 80% 29 Loan Type 100% Residential (Commercial Excluded) 100% Guaranteed

30 Mortgage Promissory Note French Assets Pool Overview Mortgage Promissory Note Additional Eligibility Criteria Loan Type Loan Amortization Interest Rate Type Borrower Type Loan Schedule Crédit Logement guarantee only Amortizing loans Bridging loans ( crédits relais ) are excluded Fixed rate only Individuals or SCI (*) Familiales AXA Employees are excluded Fully disbursed only Loan Performance Loans with an arrear balance are excluded Debt to Income < 33% (*) SCI = société civile immobilière. 30

31 Mortgage Promissory Note Mortgage Promissory Note French Assets Pool Overview Mortgage Promissory Note Portfolio Overview (December 2015) Individual Eligibility Criteria Outstanding Balance (EUR) 504,422,070 Number of Loans 2,868 Number of Borrowers 2,772 Average Loan Balance per Borrower (EUR) 175,879 < EUR 480,000 WA Seasoning (Years) 1.4 WA Remaining Term to Maturity (Years) 17.7 WA Current Loan to Current Value (WA CLTCV) 79.55% < 80% WA Initial Loan to Initial Value (WA ILTIV) 80.63% WA Interest Rate 2.6% WA Debt to Income (DTI) 24.3% < 33% 31

32 Overview of the Underlying Residential Loans Portfolios AXA Bank Europe

33 Belgian Housing Market & European Context Strong housing market in comparison with other European markets. Supportive tax incentives for mortgage loans (now managed by the three Regions). Structural factors such as wage indexation and pension planning. Cultural factor: home-ownership favored by most of the Belgian population. The Belgian market has remained very stable during the crisis. Prices have not suffered any significant downturn since Since 2012, sales prices have moved just in line with inflation. Since the 2008 crisis and until now, the Belgian housing market has proved resilient. Developments in the housing market are relatively de-correlated from business and financial cycles. The probability of a sharp correction in house prices seems low in the short run. Healthy home finance market. Household-related debt (expressed as the housing loans outstanding as a percentage of the GDP) is lower than the European average. Mortgages credit policy tends to be more selective when lending to households over the last years. The Belgian residential mortgage market mainly consists of amortizing loans. 33

34 Belgian Housing Market & European Context House prices (left-hand scale) annual change in %; ownership rate (right-hand scale): share in %. Source: Eurostat Between 2008 and 2014, the house prices in Belgium tend to increase. The ownership rate is higher than 70%. 34

35 Overview of the Belgian Housing Market Belgium is in the group of countries where the nominal value of house prices increases. Since 2006, it increases nearly without any downside. 35

36 Overview of the Belgium mortgage loans market Loan-to-value ratio at origination Initial maturity Source : NBB. The Belgian banking sector strengthened their lending criteria during the last years. Therefore, the mortgage credit policy is more cautious in term of Loan-to-Value and maturity at origination. 36

37 Positioning of ABE in the Belgian Mortgage Market Internal refinancing YTD 2014: EUR 0.89bn Internal refinancing YTD 2015: EUR 2.76bn Source: AXA Bank Europe AXA Bank Europe is one of the major players on the mortgage market. AXA Bank Europe occupies the sixth position in the Belgian market which is quite concentrated. The four biggest banks (BNPP Fortis, KBC, Belfius, ING) and AXA Bank Europe hold c.90% of the market share. 37 Since the last quarter of 2014, the production is highly influenced by the refinanced mortgage credits (ABE s internal refinanced credits included).

38 AXA Bank Europe Belgian Mortgage Portfolio ABE offers mortgage loans in the Belgian prime market to individuals for the purchase, the construction, or the renovation of property. The credit files are all backed by prime residential first ranking mortgages. Ongoing improvements of the origination process and of the risk control have enabled ABE to develop its mortgage lending activity, leading to a sustainable growth of its mortgage portfolio since 2001 combined with a strong performance. Excellent risk profile as the default rate on the production of mortgages since 12 months is about 0.20%. Excellent recovery rate (> 90% at the end of the recovery process). As a consequence, the net loss ratio remains very low (0.10%) and is fully covered by a cautious provisioning policy. The level of loans in the foreclosure process (doubtful loans) remains low. (Please see RS-2 and RS-3 quarterly investor reports available on: ABE mortgage loans production was strongly impacted by refinancing of loans from the other competitors; which, at a risk level, have a potential higher credit worthiness than a new transaction. 38

39 AXA Bank Europe Belgian Mortgage Portfolio Mortgage Loans Portfolio The mortgage loans portfolio tends to grow steadily. 39 Source: AXA Bank Europe

40 AXA Bank Europe Belgian Mortgage Portfolio Credit Quality The default rate on 12 months on the new production (internal refinancings excluded) tends to decrease drastically since 2013 to reach about 0.20%. Source: AXA Bank Europe The percentage of the bad loans in the mortgage loans portfolio is stable and remains at a low level. Source: AXA Bank Europe 40

41 AXA Bank Europe Belgian Mortgage Portfolio Arrears & Recovery (1/2) ABE Risk Policy tends to maintain the 90 DPD at a low level. 15 Days Past Due 90 Days Past Due Manual Decision Source: AXA Bank Europe Time days past due: Fully automated reminder cycle (letters) As from 90 days past due: Arrears management by desk Remedy: phone contacts, remediation if possible, conciliation procedure if necessary Enforcement by desk Recovery - Sale of property if necessary (enforcement of the collateral) - Until repayment or loss recognition NORMAL (Performing & Up to 90 DPD) UNCERTAIN (Remediation) DOUBTFUL (Recovery) 41

42 AXA Bank Europe Belgian Mortgage Portfolio Arrears & Recovery (2/2) AXA Bank Europe s processes and the use of the industry s best practices drive the strong quality of the portfolio. The recovery process is efficient and fast: Source: AXA Bank Europe 60% of the exposure at default is recovered within the first 24 months. Gross recovery rate > 90% at the end of the recovery process. 42

43 Overview of the Underlying Residential Loans Portfolios AXA Banque (France)

44 AXA Banque (France) Residential Home Loans Portfolio AXA Banque(France) originates residential home loans to individuals in France since *Data end of year ABF s residential home loans portfolio outstanding: EUR 3.3bn at end-2015; Increase of 29% between 2014 and ABF s residential home loans production: Since 2011, regular and sustained progression of the residential home loans origination activity is demonstrating a successful integration of the banking activity within the distribution network of AXA France to insurance clients. *Data end of year 44

45 AXA Banque (France) Residential Home Loans Portfolio Overview Residential loans Outstanding (EUR) 3.1 Bn Market Share 0,4% WA Maturity at origination (in months) 223 EUR 3.1bn outstanding as of Sep. 30, % of the French residential market. WA Outstanding balance (EUR) ,400 loans granted to 19,385 borrowers: 10 Highest borrowers represent 0.62% of the portfolio. 8.5% of the portfolio made of loans granted to AXA employees. Outstanding amount at origination: Minimum of EUR 50,000. Original loan balance of EUR 3.7bn, Average balance of EUR 162k. Current outstanding of EUR 3.1bn, Average current balance of EUR 137k. 92% of the loans have a current balance lower than EUR 500k. Maturity of the portfolio: Weighted average maturity at origination: 223 months. Weighted average remaining maturity: 208 months. Amortizing loans (6 to 30 years) represent 98% of the portfolio. Bridging loans ( crédits relais ) have a maturity up to 2 years. 45

46 AXA Banque (France) Residential Home Loans Portfolio Portfolio Characteristics Guarantee types Guarantee from Crédit Logement. - NB: the pool can only include loans with a CRELOG guarantee. Mortgage guarantee. Other: mainly AXA France Life insurance policy. Loan origination criteria Analysis of the client s ability to repay (Debt to Income < 38%). Max. LTV when granting a loan: - Max. 100% for own-occupied properties. - Max. 110% for properties bought for rental purposes or when the client already owns its main property. Loan insurance Borrowers have to subscribe insurance, which covers life accidents (mainly death and disability) and with AXA Banque as beneficiary. Insurance policies are underwritten by AXA France Vie (group insurance) when distributed by AXA Banque. A borrower can undertake an individual insurance with another company. 46

47 AXA Banque (France) Residential Home Loans Portfolio Crédit Logement & the Guarantee Mechanism Crédit Logement (CRELOG) (rated Aa3, Outlook Stable by Moody s / AAL, Outlook Stable by DBRS) is the leading provider of home loan guarantees in France. The main activity of Crédit Logement is to guarantee banks residential home loans to individuals in France. Its shareholders are the major French banks offering guaranteed home loans. The acceptance criteria include a double due diligence (by the originator and Crédit Logement itself) when the loan is originated. When the loan is originated, the loans are recorded on the balance sheet of the bank which also collects the payment of the principal and the interests on the loan. After the borrower defaults on three monthly payments, Crédit Logement may be called to stand in for the borrower. When the borrower defaults, Crédit Logement may recover the loan out of Court (before the event of default is declared) or in Court (after the event of default is declared). When the event of default is declared, Crédit Logement pays off the lending bank and then replaces the bank in all its rights. It becomes the new creditor and carries out all the necessary formalities, such as proceeding to judicial mortgage registrations and selling off the asset. Arrears < 60 days Automated recovery process handled by CFF Arrears > 60 days but < 90 days Amicable recovery carried out by CFF Arrears > 90 days Triggers the Crédit Logement s guarantee within 2 months 47 - CFF notifies the default event to Crédit Logement. - Crédit Logement provides the outstanding defaulted amount to AXA Banque and manages the recovery process for itself.

48 AXA Banque (France) Residential Home Loans Portfolio Performance Indicators The net loss linked to guaranteed home loans is negligible (0.004% of the total guaranteed home loan portfolio as per end-december 2014). In case of a client s default, AXA Banque gets the outstanding loan amount from Crédit Logement. As of end-december 2014, only one loan for which the Credit Logement guarantee did not cover-up the amount outstanding. Performance Indicator: Saisine Crédit Logement: - 3 months in arrear. - Confirmation from CRELOG covering the loan within 30 days. - Reimbursement of instalment in arrears / of the amount outstanding through the Fond Mutuel de Garantie (FMG) Year Amount originated (in EUR M) Saisines (in EUR M) CumulatedRate of Saisine ,8 0,9% ,4 1,5% ,7 1,1% ,2 2,3% ,0 0,7% ,2 1,1% ,5 0,9% ,6 0,6% ,9 0,2%

49 Conclusion

50 Conclusion AXA Bank Europe and AXA Banque (France) are banking entities integrated within the AXA Group. A very strong legal framework: ABE SCF is a French law governed Société de Crédit Foncier (SCF) established for the purpose of issuing Obligations Foncières. Wholly-owned subsidiary of ABE and bankruptcy-remote from ABE. Investors benefit from several structural enhancements providing investors with additional comfort: At ABE SCF level: AAA-rated OFs Series, high 19.6% OC, cash advance mechanism, very liquid collateral; At the RMBS level: subordination, guaranteed excess spread, Reserve Fund; At the French Mortgage Promissory Note level: 11% OC. CRD and UCITS-compliant, ECB eligible. Exposure to some of the most stable housing markets in Europe providing investors with a diversification opportunity. 50

51 Contacts

52 Contacts For further information, please contact AXA Bank Europe SCF - Covered Bond Team coveredbonds@axa.be BNP Paribas Covered Bond Structuring - Boudewijn Dierick boudewijn.dierick@bnpparibas.com Information on the Internet AXA Bank Europe: AXA Banque (France): AXA Bank Europe SCF Covered Bond program: ECBC Covered Bond Label 52

53 Appendix

54 Organization AXA Bank Europe 54

55 Organization AXA Banque (France) Jean Philippe Rollin P.A of the CEO Pierre Janin CEO Florence Genon-Catalot Communication Jean PREVOST HumanRessources Marie-Cécile Plessix Head of Product Management - Memberof the Management Board Emmanuel Ramé Chief Financial Officer- Member of the Management Board Valérie BRONCARD Chief Commercial Officer- Memberof the Management Board Jean-Marc Vasseux Chief Risk Officer Pascal Lozovoy ChiefInformation Officer Marc Legardeur Private banking Nathalie Couveignes Marketing Raphaël Krivine Direct clients and E-Banking 55

56 Robust Legislative Framework (1/2) AXA Bank Europe SCF is monitored or regulated by multiple entities AXA Bank Europe SCF Licensed and regulated by Supervised by Audited by Independent Auditors French Banking Authorities / French Banking Regulator Autorité de contrôle prudentiel et de résolution (ACPR) PwC Mazars Legal privilege Monitored by Specific Controller Rated by Fides Audit Moody s Fitch Obligations Foncières investors and swap counterparties on a pari passu basis rank senior to all nonprivileged creditors of AXA Bank Europe SCF. No early redemption or acceleration of the Obligations Foncières in case of insolvency of AXA Bank Europe SCF, no event of default under the Obligations Foncières in the Terms and Conditions. AXA Bank Europe SCF is bankruptcy remote from AXA Bank Europe (legal prohibition of extension of its bankruptcy to the SCF). 56

57 Robust Legislative Framework (2/2) Articles L to L of the French Monetary and Financial Code set out the list of eligible assets to be held (directly or indirectly) by the SCF. Eligible Conditions Property must be located in France or EC or EEA or in a country benefiting from highest level of credit assessment. Loan to individuals can be used up to 80% LTV to finance Obligations Foncières. Replacement assets must not exceed 15% of the amount of Obligations Foncières and other resources benefiting from the legal privilege. Those are exposures to credit institutions benefiting from the highest level of credit assessment. Guaranteed loans cannot exceed 35% of the Société de Crédit Foncier s total assets. AXA Bank Europe SCF: OK AXA Bank Europe SCF: OK AXA Bank Europe SCF: OK AXA Bank Europe SCF: OK In the Basel III context, the CRD IV and CRR extended the exemption until Dec. 31, 2017 to allow 100% RMBS of own assets in Covered Bond pools for CRD-compliant Covered Bonds. 57

58 AXA Bank Europe SCF Covered Bond Program Transaction Parties Program Arranger Originators Servicers Guarantor of the French Residential Home Loans SCF Financial & Asset Liability Management Assistance, Global Accounting Supervision, Legal & Tax Management AXA Bank Europe SCF Transaction Parties BNP Paribas AXA Bank Europe AXA Banque (France) AXA Bank Europe Crédit Foncier de France (CFF) Crédit Logement AXA Bank Europe AXA Banque (France) SCF Account Bank Principal Paying Agent, Fiscal Agent & Calculation Agent Luxembourg Listing Agent Specific Controller Auditors Permanent Dealers BNP Paribas BNP Paribas Securities Services BNP Paribas Securities Services Fides Audit PWC Mazars BNP Paribas, Crédit Agricole CIB, HSBC France, Merrill Lynch International, Natixis, Société Générale 58

59 AXA Bank Europe SCF Covered Bond Program Successful placement of EUR 2.75bn with external investors. AXA Bank Europe SCF Outstanding Issuances Series 1 ISIN: FR Series 3 ISIN: FR Series 5 ISIN: FR Series 7 ISIN: FR EUR 750 MM Issue Date: Nov. 5, 2010 Maturity Date: Nov. 5, 2020 Extendable Maturity (Soft Bullet) 3.5% coupon Aaa / AAA (Moody's / Fitch) EUR 500 MM Issue Date: Apr. 4, 2011 Maturity Date: Apr. 4, 2016 Extendable Maturity (Soft Bullet) 3,625% Coupon Aaa / AAA (Moody s / Fitch) EUR 1bn Issue Date: Apr. 19, 2012 Maturity Date: Apr. 19, 2017 Extendable Maturity (Soft Bullet) 2.25% Coupon Aaa / AAA (Moody's / Fitch) EUR 500 MM Issue Date: Sept. 20, 2012 Maturity Date: Sept. 20, 2019 Extendable Maturity (Soft Bullet) 1.875% Coupon Aaa / AAA (Moody's / Fitch) 59

60 AXA Bank Europe SCF Covered Bond Program Outstanding Issues EUR 1.15bn retained within AXA. AXA Bank Europe SCF Outstanding Issuances Series 8 (Retained) ISIN: FR Series 9 (Purchased by AXA Banque France) ISIN: FR EUR 750 MM Issue Date: July 1, 2013 Maturity Date: July 25, 2023 Extendable Maturity (Soft Bullet) Euribor 3M + 75bps Coupon Callable at any time by the Issuer Aaa / AAA (Moody s / Fitch) EUR 400 MM Issue Date: November 18, 2014 Maturity Date: November 18, 2019 Extendable Maturity (Soft Bullet) 0.345% Coupon Callable at any time by the Issuer Aaa / AAA (Moody s / Fitch) NB: The ECB repo eligibility of AXA Bank Europe SCF Covered Bonds is not endangered under the new ECB repo rules applying from April 1st, 2013, given that the RMBS in the cover pool were originated within the same consolidated Group and are used as a technical tool to transfer mortgage loans form the originating entity into the cover pool. 60

61 AXA Bank Europe SCF Covered Bond Program Cover Pool Royal Street RS-2, Class A ISIN: BE Royal Street RS-3, Class A ISIN: BE AXA Bank Europe SCF Cover Pool EUR 1.5bn Issue Date: November 5, 2010 Maturity Date: November 5, 2051 Replenishment Period: 7 years (extended by 2years in 2015) Aaa/AAA (Moody s/fitch) EUR 2.71bn Issue Date: December 8, 2011 Maturity Date: October 8, 2051 Replenishment Period: 5 years Aaa/AAA (Moody s/fitch) French Mortgage Promissory Note (Not listed) EUR 450 MM Issue Date: November 18, 2014 Maturity Date: November 18, 2019 NR (Moody s/fitch) 61

62 AXA Banque (France) Residential Home Loan Portfolio Portfolio Characteristics Property Type / Borrower Employment / Loan Purpose (*) 62 (*) As of Sep. 30, 2015

63 AXA Banque (France) Residential Home Loan Portfolio Portfolio Characteristics Loan to Value (*) Max. 100% for own-occupied properties. Max. 110% for properties bought for rental purposes or when the client already owns its main property. (*) Current LTV based on current value of properties. 63 (*) As of Sep. 30, 2015

64 AXA Banque (France) Residential Home Loan Portfolio Portfolio Characteristics Source of production Source of production: - Tied Agents: Agents ( Agents Généraux d Assurance ) networks, but also AXA France s salaried sales-force and IFAs ( CGPI ); - Others: i.e., direct customers, AXA employees). Ouest: 222 Agents Production 2014: EUR 57 M Nord-est: 176 Agents Production 2014: EUR 54 M Ile-de-France: 63 Agents Production 2014: EUR 170 M Tied agents production by region in 2014 Sud-ouest: 125 Agents Production 2014: EUR 52 M Sud-est: 156 Agents Production 2014: EUR 68 M 64

65 Disclaimer & Important Notice This material (the "Material") has been prepared by AXA Bank Europe solely for use in the program update presentation and is provided by AXA Bank Europe "as is" without warranty or guarantee of any kind to recipients. This Material is provided for illustrative purposes only and is not intended to provide, nor should it be interpreted as providing, any facts regarding, or guarantee or prediction or forecast of, the likelihood that investors in the securities described herein will receive payment of principal or interest.. This Material is strictly confidential and it is strictly prohibited to reproduce by any person and/or redistribute to any person, in whole or in part, other than its original recipient. AXA Bank Europe and its affiliates, directors, officers, employees or agents do not accept any liability whatsoever for the action and use of this Material by any person. Some information contained herein and other information or material may include forward-looking statements based on current beliefs and expectations about future events. These forward-looking statements are not guarantees of future performance and are subject to inherent risks, uncertainties and assumptions about AXA Bank Europe. Those events are uncertain, and their outcome may differ from current expectations, which may in turn significantly affect expected results. Actual results may differ materially from those projected or implied in these forward-looking statements. Any forward-looking statement contained in this Material speaks as of the date of this Material, without any obligation from AXA Bank Europe to update. The delivery of this Material shall not in any circumstance imply that the information contained herein is correct at any time subsequent to the date of this Material. While the information set out in this Material comprises a description of certain provision of the transactions described herein (the "Transactions"), it should be read as a summary only and it is not intended as a full statement of the provisions of the Transactions. This Material does not constitute an offer document of any kind and shall not be considered as an invitation to invest. Any investment decision to buy or purchase securities related to this Transactions must be based on the information contained in Royal Street compartment RS-2 and compartment RS-3 prospectuses and/or the covered bond prospectus (together, the "Prospectuses"). In particular, investors should pay particular attention to any risk factors described in Prospectuses. Only the contents of the covered bond prospectus are binding on AXA Bank Europe. This Material is distributed solely for information purposes and should not be treated as investment advice. 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This Material does not constitute an offer to sell or the solicitation of any offer to buy the securities described herein in any jurisdiction to any person to whom it is unlawful to make the offer or solicitation in such jurisdiction. The distribution of this Material and the offer or sale of the securities described herein may be restricted by law in certain jurisdictions. In particular, no action has been taken by AXA Bank Europe which would permit a public offering of any securities or distribution of this Material in any jurisdiction where action for that purpose is required. Persons into whose possession this Material may come must inform themselves about, and observe, any such restrictions on the distribution of this Material and the offering and sale of securities. 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