Crédit Mutuel CIC Home Loan SFH Investor presentation

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Derek O’Connor’
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1 Crédit Mutuel CIC Home Loan SFH Investor presentation Full year 2017 July 2018

2 Disclaimer This document has been prepared by Banque Fédérative du Crédit Mutuel ("BFCM") solely for use in this presentation. This document may contain a number of statements that are not historical facts, including statements about Crédit Mutuel CM11 Group and BFCM s beliefs and expectations. These statements may include forward-looking statements. Forward-looking statements are based on current plans, estimates and objectives, which are subject to uncertainty and may prove to be untrue. Therefore undue reliance should not be placed on them. Forward-looking statements are only made as of the date of this presentation, and neither the Group nor BFCM undertakes any obligation to update publicly any of them in light of new information or future events. This presentation is not to be reproduced by any person other than its original recipient. Crédit Mutuel CM11 Group and BFCM take no responsibility and assume no liability for the use of these materials by any such person. This presentation and subsequent discussion does not constitute a public offer for the purposes of any applicable law or an offer to sell or solicitation of an offer to purchase any securities or other financial instruments and no part of it shall form the basis of or be relied upon in connection with any investment decision. Audit procedures have been performed on the key financial figures disclosed on 22 nd February The audit certificate will be issued after finalization of the additional procedures required for the publication of the annual financial report. Crédit Mutuel CM11 Group ( The Group ) represents the Group members of the Caisse Fédérale de Crédit Mutuel and the consolidated data of its subsidiaries: the Caisses de Crédit Mutuel Centre Est Europe, Sud-Est, Ile de France, Savoie-Mont Blanc, Midi-Atlantique, Loire- Atlantique & Centre-Ouest, Centre, Normandie, Dauphiné-Vivarais, Méditerranée and Anjou, and their common Caisse fédérale (CF de CM), and of the Banque Fédérative du Crédit Mutuel, its main subsidiaries: ACM, BECM, IT, the CIC, Targobank Germany, Targobank Spain, Cofidis, CIC Iberbanco and others. This document contains unaudited 2017 consolidated key financial figures 2

Federations 1 National Body CNCM Governance* 7.

3 Crédit Mutuel Group 18 Federations Structure Crédit Mutuel-CM11 Group 2,092 Crédit Mutuel Local Banks* 18 Regional Federations 1 National Body CNCM Governance* 7.8 million members 22,600 non executive directors c.82,000 employees * as at Dec

Two issuers for Crédit Mutuel CM11 Group c.

Federations 1 Caisse Fédérale de Crédit Mutuel Cooperative entities of the Group BFCM Group Banque Fédérative du Crédit Mutuel SA BFCM

Management of the Group liquidity, critical & payment function, access to ECB 3.

4 Two issuers for Crédit Mutuel CM11 Group c.5m Members & 15,247 non executive directors Consolidation level Issuer Crédit Mutuel CM11 Group 1,368 Crédit Mutuel Local Banks 11 Federations 1 Caisse Fédérale de Crédit Mutuel Cooperative entities of the Group BFCM Group Banque Fédérative du Crédit Mutuel SA BFCM Issuer of Bonds on Capital Markets 1. Funding arm of the Group Crédit Mutuel CM11 2. Management of the Group liquidity, critical & payment function, access to ECB 3. Owner of every business line out of the mutual perimeter CIC Group 1. Head of network 2. Ile de France network 3. CIB activities 5 Regional Banks Banking Subsidiaries BECM, Targobank Germany & Spain, Cofidis Other Subsidiaries Financial, GACM (Insurance), Technology, Private Banking, Private Equity Crédit Mutuel-CIC Home Loan SFH Issuer of Covered Bonds 4

5 Crédit Mutuel-CIC Home Loan SFH: Summary Banque Fédérative du Crédit Mutuel ( BFCM or the Borrower ) > Holding and central financing entity of the Crédit Mutuel-CM11 Group > Senior unsecured debt ratings of Aa3 (stable) / A (stable / A+ (stable) by Moody s, S&P and Fitch Ratings respectively Crédit Mutuel Network & CIC Network (the Collateral Provider ) Third largest retail bank in France in terms of number of branches Third largest provider of home loans in France Crédit Mutuel-CIC Home Loan SFH (the Issuer ) Crédit Mutuel-CIC Home Loan SFH is a specialised French credit institution (établissement de crédit spécialisé) licensed and regulated by the regulator Autorité de Contrôle Prudentiel et de Résolution (ACPR) Full recourse obligation of the Issuer to BFCM AAA / Aaa / AAA expected ratings issuance with hard or soft bullet maturities Standard covered bond features: Asset Cover Test with 80% LTV cap and 92.5% maximum asset percentage A bankruptcy of BFCM cannot result in insolvency proceedings being extended to Crédit Mutuel-CIC Home Loan SFH French Home Loan Cover Pool Crédit Mutuel CM11 Group s French residential home loan portfolio, subject to Eligibility Criteria Prime residential mortgages and guaranteed home loans ( crédits cautionnés ) Weighted average indexed current LTV of 63%, weighted average seasoning of 70 months Source: Investors Report June

6 Overview of the Crédit Mutuel-CIC Home Loan SFH Program CCM Local Banks Caisse Fédérale de Crédit Mutuel CCM Local Banks CCM Local Banks CCM Local Banks CIC Regional Banks BFCM Borrower Debt Advances Collatéral Art L Crédit Mutuel-CIC Home Loan SFH AAA Bonds Collateral Cash Investors 6

7 Cover Pool as at June, 15 th 2018 Prime residential mortgages and guaranteed home loans only no RMBS no securitization no substitution assets Cover pool % by region % of CM-CIC HL SFH s Cover Pool > 15 > 7% and < 15% > 2% and < 5% < 2% no loans in arrears in the cover pool Cover Pool Underlying properties exclusively located in France Only loans originated by the group s networks are eligible Restrictive eligibility criteria Home Loan origination in every region of France 7

8 Key Terms Issuer Program Size Ratings Risik Weighting Maturity Type Currency Listing Governing Law Max. LTV Crédit Mutuel-CIC Home Loan SFH 30bn Aaa (Moody s) / AAA (S&P) / AAA (Fitch) ECBC + CRR / CRD4 compliant hard or soft bullet any Paris french 100% (with LTV cap at 80% for ACT) 8

9 Cover Pool as at June, 15 th 2018 Pool Notional Type 31bn Prime French residential mortgages and guaranteed Number of loans 374,413 WA Current LTV 63% WA Indexed LTV 63% Seasoning Interest Type 70 months 93% fixed, 7% floating and indexed Max. loan amount 1,000,000 Collateralisation 70% mortgages, 30% guaranteed 9

10 Cover Pool as at June, 15 th 2018 Maturity Property type Occupancy Loan Purpose 10

11 Cover Pool as at April, 9th 2018 Employment type Rate type Fixed rate Floating rate 13% Reset rate 1% Collateralisation Unindexed LTV 11

12 A sound French housing market Favorable structural factors growing population one of the lowest home ownership ratios in Europe inadequate growth in supply vis à vis strong and structural demand shortage of housing supply drives the evolution of prices in France Low risk with a conservative origination policy borrowers repayment cannot exceed 33% of his disposable monthly income (31% average debt ratio) close analysis of the client work status, regularity of income, credit history more than 86% of home loans have a fixed rate to maturity all the loans are collateralized by a caution or mortgage Market Indicators for France Observatoire Crédit Logement May 2018 Rate Average Interest rate 1.46% Interest old property: 1.49% Interest new property: 1.51% Maturity Average maturity of housing loans 224 months Average cost of a housing loan 4.2 years of a household s annual income 12

13 Comparison with European Peer Frameworks Name of debt Instrument Obligation à l Habitat Obligation Foncière Hypothekenpfandbrief Issuer Société de Financement de l Habitat (SFH) Société de Credit Foncier (SCF) Pfandbrief bank Issuer status Specialised credit Institution Specialised credit Institution Dedicated Legal Framework Yes Yes Yes Specific Supervision French banking regulator and specific supervisor (controleur specifique) French banking regulator, specific supervisor (controleur specifique) Universal Credit Institution with special license Bafin and cover pool monitor Recourse on the credit institution Yes, direct Yes, direct, Yes, direct Credit Institution, but assets are Who owns the cover assets pledged to the issuer (with transfer The issuer directly The issuer directly to the issuer upon trigger breach) Public sector, Residential Eligible assets Residential property loans Eligible RMBS notes mortgages, guaranteed loans, unit Mortgage loans (including of eligible ABS guaranteed real estate loans) Public sector Legal Over-Collateralization 105% 105% 102% Includes Commercial Real Estate No No Yes Location of real estate property Domestic, EEA, non EEA AAA-AA Domestic, EEA, non EEA AAA-AA Domestic, EEA, non EEA AAA-AA Maximum Loan-to-value to calculate 60 to 80% depending on the 80% c collateralisation rate collateral 60% Replacement securities /substitutional assets 15% 15% 20% Acceleration of Covered Bonds No No No Liquidity Risk Management 180-day needs must be 180-day needs must be covered at 180-day needs must be covered at all times all times covered at all times UCITS 52(4) compliant? Yes Yes Yes 13 Source: ECBC, Barclays

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Half Year 2016 INVESTOR PRESENTATION. THE FAVORITE BANK IN FRANCE Posternak IFOP BEST BANKING GROUP, FRANCE World Finance : 2014, 2015 & 2016

Half Year 2016 INVESTOR PRESENTATION. THE FAVORITE BANK IN FRANCE Posternak IFOP BEST BANKING GROUP, FRANCE World Finance : 2014, 2015 & 2016 THE FAVORITE BANK IN FRANCE Posternak IFOP 2016 BEST BANKING GROUP, FRANCE World Finance : 2014, 2015 & 2016 ONE OF THE SAFEST BANKS In the Eurozone excluding banks with an implicit government support