CIF Euromortgage. CHF 200,000, % Obligations Foncières

Transcription

1 CIF Euromortgage (incorporated in France as a société anonyme à directoire et conseil de surveillance) CHF 200,000, % Obligations Foncières (the Notes ) (with reopening clause) The outstanding long-term debt of CIF Euromortgage (the Issuer ) is rated Aaa by Moody s Investors Service and AAA by Fitch Ratings. Issuer: Issue Price: Placement Price: Form of Notes: CIF Euromortgage, rue de Madrid, F Paris Cedex 08, France The Manager (as defined below) has purchased the Notes at the price of % of the nominal amount (before commissions) According to demand The Notes will be initially represented by a Temporary Global Certificate exchangeable for definitive materialised bearer Notes not earlier than 40 days after the Issue Date. Denomination: CHF 5,000, CHF 100,000 and CHF 1,000,000 Issue Date: 30 July 2010 Maturity Date: 30 January 2019 Early Redemption: Reopening: Covenants: Listing: Selling Restrictions: Law and Jurisdiction: None (no tax call or gross-up clause) The Issuer reserves the right to issue further Notes to be assimilated with the Notes (for details see Condition 12 of the Terms and Conditions of the Notes). Pari passu clause (no negative pledge clause or cross default clause) The Notes have been admitted to trading on the SIX Swiss Exchange AG (the SIX Swiss Exchange ) with effect from 28 July 2010 until 25 January 2019 and application will be made to list the Notes on the SIX Swiss Exchange. United States of America and U.S. persons, France, European Economic Area and United Kingdom (for details see pages 2 and 3 of this Prospectus) The Notes and all related contractual documentation will be governed by and construed in accordance with French law. Place of jurisdiction shall be Paris. Credit Suisse Swiss Security Number: ISIN: CH Common Code: Prospectus dated 28 July 2010

2 Selling Restrictions United States of America and U.S. persons The Notes have not been and will not be registered under the U.S. Securities Act of 1933, as amended (the Securities Act ) and, subject to certain exceptions, may not be offered or sold within the United States or to, or for the account or benefit of, U.S. persons. Terms used in this paragraph have the meanings given to them by Regulation S under the Securities Act. The Notes are subject to U.S. tax law requirements and may not be offered, sold or delivered within the United States or its possessions or to a United States person, except in certain transactions permitted by U.S. tax regulations. Terms used in this paragraph have the meanings given to them by the U.S. Internal Revenue Code of 1986 and regulations thereunder. The Manager has agreed that, except as permitted by the Note Purchase Agreement, it will not offer, sell or deliver the Notes (i) as part of their distribution at any time or (ii) otherwise until 40 days after the later of the commencement of the offering and the closing of the offering, within the United States or to, or for the account or benefit of, U.S. persons, and it will have sent to each dealer to which it sells Notes during the distribution compliance period a confirmation or other notice setting forth the restrictions on offers and sales of the Notes within the United States or to, or for the account or benefit of, U.S. Persons. Terms used in this paragraph have the meanings given to them by Regulation S under the Securities Act. In addition, until 40 days after the commencement of the offering, an offer or sale of Notes within the United States of America by any dealer (whether or not participating in the offering) may violate the registration requirements of the Securities Act. France Each of the Manager and the Issuer has represented and agreed that it has not offered or sold and will not offer or sell, directly or indirectly, any Notes to the public in France and it has not distributed or caused to be distributed and will not distribute or cause to be distributed to the public in France, the Prospectus or any other offering material relating to the Notes and such offers, sales and distributions have been and will be made in France only to (a) persons providing investment services relating to portfolio management for the account of third parties, and/or (b) qualified investors (investisseurs qualifiés) acting for their own account, as defined in, and in accordance with, Articles L.411-1, L and D to D of the French Code monétaire et financier (the Code ). European Economic Area 1 In relation to each Member State of the European Economic Area which has implemented the Prospectus Directive (each, a Relevant Member State ), the Manager has represented and agreed that with effect from and including the date on which the Prospectus Directive is implemented in that Relevant Member State (the Relevant Implementation Date ) it has not made and will not make an offer of Notes to the public in that Relevant Member State prior to the publication of a prospectus in relation to the Notes which has been approved by the competent authority in that Relevant Member State or, where appropriate, approved in another Relevant Member State and notified to the competent authority in that Relevant Member State, all in accordance with the Prospectus Directive, except that it may, with effect from and including the Relevant Implementation Date, make an offer of Notes to the public in that Relevant Member State at any time: (a) (b) to legal entities which are authorised or regulated to operate in the financial markets or, if not so authorised or regulated, whose corporate purpose is solely to invest in securities; to any legal entity which has two or more of (1) an average of at least 250 employees during the last financial year; (2) a total balance sheet of more than 43,000,000 and (3) an annual net turnover of more than 50,000,000, as shown in its last annual or consolidated accounts; or 1 In each Member State of the European Economic Area additional selling restrictions might apply which must be complied with. Neither registration of securities offered, nor publication of a prospectus outside of Switzerland is intended. 2

3 (c) in any other circumstances which do not require the publication by the Issuer of a prospectus pursuant to Article 3 of the Prospectus Directive, provided that no such offer of Notes referred to in (a) to (c) above shall require the Issuer or the Manager to publish a prospectus pursuant to Article 3 of the Prospectus Directive or supplement a prospectus pursuant to Article 16 of the Prospectus Directive. For the purposes of this provision, the expression an offer of Notes to the public in relation to any Notes in any Relevant Member State means the communication in any form and by any means of sufficient information on the terms of the offer and the Notes to be offered so as to enable an investor to decide to purchase or subscribe the Notes, as the same may be varied in that Member State by any measure implementing the Prospectus Directive in that Member State and the expression Prospectus Directive means Directive 2003/71/EC and includes any relevant implementing measure in each Relevant Member State. United Kingdom The Manager has represented and agreed that it has only communicated or caused to be communicated and will only communicate or cause to be communicated any invitation or inducement to engage in investment activity (within the meaning of section 21 of the Financial Services and Markets Act 2000 (the FSMA )) received by it in connection with the issue or sale of any Notes in circumstances in which section 21(1) of the FSMA does not apply to the Issuer, and it has complied and will comply with all applicable provisions of the FSMA with respect to anything done by it in relation to such Notes in, from or otherwise involving the United Kingdom. 3

4 Table of Contents Selling Restrictions Table of Contents General Information Transaction Summary Taxation Terms and Conditions of the Notes Temporary Global Certificate Issued in Respect of Materialised Notes Summary of the Legislation and Regulations Relating to Sociétés de Crédit Foncier Specific Controller s Certificate Relating to the Quarterly Borrowing Programme Description of CIF Euromortgage Recent Developments Annual Report Annex A 4

5 General Information Authorisation Pursuant to a decision of Patrick Amat, Chairman of the Management Board, dated 6 July 2010 and the Note Purchase Agreement dated 28 July 2010 between the Issuer, on the first part, and Credit Suisse AG (the Manager ), on the second part, the Issuer has decided to issue in Switzerland 2.00% Obligations Foncières due 30 January 2019 (the Notes ) in the nominal amount of CHF 200,000,000. Privilège The Notes benefit from the privilège (the Privilège ) (priority right of payment) created by Article L of the Code. Pursuant to Article L of the Code, all amounts payable to the Issuer in respect of loans, assimilated receivables, exposures and securities referred to in Articles L to L of the Code and the forward financial instruments referred to in Article L of the Code (in each case after any applicable netting), together with the claims in respect of deposits made by the Issuer with credit institutions, are allocated in priority to the payment of any sums due in respect of Notes issued by the Issuer and any other resources raised by the Issuer pursuant to the Privilège (including other privileged notes). It should be noted that, in addition to the Notes and other resources raised by the Issuer, derivative transactions used for hedging in the conditions set out under Article L of the Code also benefit from the Privilège. Article L of the Code provides that, notwithstanding any legislative provisions to the contrary and in particular those contained in the French Code de Commerce relating to conciliation (conciliation) preservation (sauvegarde), judicial reorganisation (redressement judiciaire) and judicial liquidation (liquidation judiciaire), the amounts due regularly under the Notes and any other resources benefiting from the Privilège (including other privileged notes), are paid on their contractual due date, and in priority to all other debts, whether or not preferred, including interest resulting from agreements whatever their duration. Accordingly, until all creditors benefiting from the Privilège have been fully paid, no other creditor of the Issuer may exercise any right over the assets and rights of the Issuer. The Notes are not Lettres de Gage within the meaning of the Loi Suisse sur l émission de lettres de gage of 25 June Quarterly Borrowing Programme A resolution of the Management Board of the Issuer passed on 16 June 2010 has authorised a programme of borrowings which benefit from the Privilège of up to an including Euro 5 billion or its equivalent in other currencies, for the period from 1 July 2010 to 30 September Use of Net Proceeds The net proceeds of the issue of the Notes, amounting to CHF 198,677,000 (the Net Proceeds ), will be used for financing the assets eligible to the sociétés de crédit foncier as referred to in Article L I-1 et seq. of the Code. The Manager shall not have any responsibility for or be obliged to concern itself with the application of the Net Proceeds. Litigation The Issuer is not or has not been involved in any governmental, legal or arbitration proceedings (including any such proceedings which are pending or threatened of which the Issuer is aware), during a period covering at least the previous 12 months which may have, or have had in the recent past, significant effects on the financial position or profitability of the Issuer. 5

6 No Significant or Material Adverse Change There has been no significant change in the financial or trading position of the Issuer since 31 December 2009 and no material adverse change in the prospects of the Issuer since 31 December Auditors The auditors appointed by the Issuer for the financial years ended 31 December 2008 and 2009 and for the current financial year are PricewaterhouseCoopers Audit at 63, rue de Villiers, Neuilly-sur-Seine, France, and Mazars, Tours Exaltis 61, rue Henri Regnault, Paris La Défense Cedex, France. Representative In accordance with Article 43 of the Listing Rules of the SIX Swiss Exchange, the Issuer has appointed Credit Suisse AG as representative to lodge the listing application with SIX Exchange Regulation. Prospectus Copies of this Prospectus are available free of charge from Credit Suisse AG, Uetlibergstrasse 231, CH-8070 Zurich, Switzerland, or may be obtained upon request by telephone ( ), by fax ( ) or by to The financial institutions involved in the issuance and offering of these Notes are banks, which directly or indirectly have participated, or may participate, in financing transactions and/or banking business with the Issuer, which are not disclosed herein. Investors are advised to familiarise themselves with the entire content of this Prospectus. Responsibility To the best knowledge of the Issuer (having taken all reasonable care to ensure that such is the case), the information contained in this Prospectus is in accordance with the facts and contains no omission likely to affect its import and the Issuer accepts its responsibility accordingly. Paris, 28 July 2010 CIF Euromortgage rue de Madrid Paris Cedex 08 France Duly represented by: 6

7 Transaction Summary Issuer: Manager: Principal Paying Agent: CIF Euromortgage, Paris, France Credit Suisse AG, Zurich, Switzerland Credit Suisse AG, Zurich, Switzerland Amount: CHF 200,000,000 Interest Rate: Interest Payment Date: 2.00% per annum payable annually in arrear 30 January in each year, commencing on 30 January 2011 and ending on the Maturity Date Day Count Fraction: 30/360 Issue Price: Placement Price: % of the nominal amount (before commissions and expenses) According to demand Issue Date: 30 July 2010 Maturity Date/Redemption: 30 January 2019 at par Swiss Security Number: ISIN: CH Common Code: Early Redemption: Taxation: Covenants: Law and Jurisdiction: Form of Notes: None All payments of principal and interest by or on behalf of the Issuer in respect of the Notes shall be made free and clear of, and without withholding or deduction for, any taxes, duties, assessments or governmental charges of whatever nature imposed, levied, collected, withheld or assessed by or within France or any authority therein or thereof having power to tax, unless such withholding or deduction is required by law (for details see Condition 8 of the Terms and Conditions of the Notes and section Taxation Taxation in France on page 9 of this Prospectus). Pari passu clause (no negative pledge clause or cross default clause) The Notes, any non-contractual obligations arising out or in connection with the Notes and all related contractual documentation will be governed by and construed in accordance with French law. Place of jurisdiction shall be Paris. The Notes will be initially represented by a Temporary Global Certificate exchangeable for definitive materialised bearer Notes on or after the Exchange Date, being 40 days after the Issue Date, at no cost to the holders of the Notes, in accordance with the listing rules of the SIX Swiss Exchange. Denominations: CHF 5,000, CHF 100,000 and CHF 1,000,000 Privilège: The holders of Notes issued by a société de crédit foncier (like the Issuer) benefit from a privilège (priority of right of payment) over all assets and revenues of such société de crédit foncier (see also Terms and conditions of the Notes Privilège on page 11 of this Prospectus and 7

8 Summary of the Legislation and Regulations Relating to Sociétés de Crédit Foncier on page 19 of this Prospectus). Clearing: Listing: Reopening: Selling Restrictions: SIX SIS AG, Euroclear Bank S.A./N.V. and Clearstream Banking, société anonyme The Notes have been admitted to trading on the SIX Swiss Exchange with effect from 28 July 2010 until 25 January 2019 and application will be made to list the Notes on the SIX Swiss Exchange. The Issuer reserves the right to issue further Notes to be assimilated with the Notes (for details see Condition 12 of the Terms and Conditions of the Notes). United States of America and U.S. persons, France, European Economic Area and United Kingdom (for details see pages 2 and 3 of this Prospectus). 8

9 Taxation European Union Savings Tax Directive On 3 June 2003, the Council of the European Union adopted a directive (Directive 2003/48/EC) on the taxation of savings income (the EU Savings Tax Directive ). Pursuant to the directive, a member state of the European Union (the EU ) is required to provide to the tax authorities of other EU member states information regarding payments of interest (or other similar income) paid by a person within its jurisdiction to individual residents of such other EU member states, except that Belgium, Luxembourg and Austria have chosen to operate instead a withholding tax system for a transitional period in relation to such payments (unless during that period they elect otherwise, which Belgium has done with effect as from 1 January 2010). EU member states were required to bring the EU Savings Tax Directive into force by and apply it from 1 July On 26 October 2004, the European Community and Switzerland entered into an agreement on the taxation of savings income by way of a withholding tax system and voluntary declaration in the case of transactions between parties in the EU member states and Switzerland. On the basis of such agreement, Switzerland has introduced a withholding tax on interest payments or other similar income paid by a paying agent within Switzerland to EU resident individuals as of 1 July The withholding tax was withheld at a rate of 15% for the first three years of the transitional period, is withheld at a rate of 20% for the subsequent three years and will be withheld at a rate of 35% thereafter. The beneficial owner of the interest payments may be entitled to a tax credit or refund of the withholding if certain conditions are met. On 13 November 2008 the European Commission published a detailed proposal for amendments of the EU Savings Tax Directive, which included a number of suggested changes. The European Parliament approved an amended version of this proposal on 24 April If any of those proposed changes are made in relation to the EU Savings Tax Directive they may amend or broaden the scope of the requirement described above. Prospective purchasers of the Notes should consult their advisors concerning the impact of the EU Savings Tax Directive. Notwithstanding the above, for the avoidance of doubt, should the Issuer, Swiss Paying Agent or any institution where the Notes are deposited be required to withhold any amount as a direct or indirect consequence of the EU Savings Tax Directive, then, there is no requirement for the Issuer to pay any additional amounts relating to such withholding. Taxation in France The descriptions below are intended as a basic summary of certain tax consequences in relation to the purchase, ownership and disposal of the Notes under French law. Persons who are in any doubt as to their tax position should consult a professional tax adviser. The EU Savings Tax Directive was implemented into French law under Article 242 ter of the Code général des impôts, which imposes on paying agents based in France an obligation to report to the French tax authorities certain information with respect to interest payments made to beneficial owners domiciled in another EU member state, including, among other things, the identity and address of the beneficial owner and a detailed list of the different categories of interest paid to that beneficial owner. Pursuant to the amended Article 125 A III of the Code général des impôts, payments of interest and other securities income made by a debtor with respect to certain debt securities (including debt in the form of bonds) are not subject to withholding tax unless such payments are made outside France in a non-cooperative State or territory within the meaning of Article A of the Code général des impôts (a Non-Cooperative State ), in which case a 50% withholding tax is applicable subject to exceptions, certain of which being set forth below, and to more favourable provisions of any applicable double tax treaty. The 50% withholding tax is applicable irrespective of the tax residence of the holder of notes. The list of Non-Cooperative States is published by a ministerial executive order, which is updated on a yearly basis. Furthermore, according to Article 238 A of the Code général des impôts, interest and other securities income will not be deductible from the Issuer s taxable income, as from the fiscal years starting on or after 1 January 2011, if they are paid or accrued to persons domiciled or established in a Non-Cooperative State or paid to a bank account opened in a financial institution located in a Non-Cooperative State. Under certain conditions, any such non- 9

10 deductible interest or other securities income may be re-characterised as constructive dividends pursuant to Articles 109 et seq. of the Code général des impôts, in which case it may be subject to the withholding tax provided under Article 119-bis 2 of the same Code, at a rate of 25% or 50%, subject to more favourable provisions of any applicable double tax treaty. Notwithstanding the foregoing, neither the 50% withholding tax provided by Article 125 A III of the Code général des impôts, the non-deductibility of the interest and other securities income nor the withholding tax provided set out Article 119-bis 2 of the same Code that may be levied as a result of such non-deductibility, to the extent the relevant interest or income relates to genuine transactions and is not in an abnormal or exaggerated amount, will apply in respect of a particular issue of notes provided that the Issuer can prove that the main purpose and effect of such issue of notes is not that of allowing the payments of interest or income to be made in a Non-Cooperative State (the Exception ). In addition, under Ruling (rescrit) 2010/11 (FP and FE) of the Direction générale des finances publiques dated 22 February 2010, an issue of notes benefits from the Exception without the Issuer having to provide any evidence supporting the main purpose and effect of such issue of notes, if such notes are: (i) offered by means of a public offer within the meaning of Article L of the Code monétaire et financier or pursuant to an equivalent offer in a State other than a Non-Cooperative State. For this purpose, an equivalent offer means any offer requiring the registration or submission of an offer document by or with a foreign securities market authority; or (ii) admitted to trading on a regulated market or on a French or foreign multilateral securities trading system provided that such market or system is not located in a Non-Cooperative State, and the operation of such market is carried out by a market operator or an investment services provider, or by such other similar foreign entity, provided further that such market operator, investment services provider or entity is not located in a Non-Cooperative State; or (iii) admitted, at the time of their issue, to the operations of a central depositary or of a securities clearing and delivery and payments systems operator within the meaning of Article L of the Code monétaire et financier, or of one or more similar foreign depositaries or operators provided that such depositaries or operators are not located in a Non-Cooperative State. As the Notes are admitted at the time of their issue to the operations of a central depositary, payments of interest or other securities income made by or on behalf of the Issuer with respect to the Notes will not be subject to the withholding tax set out under Article 125 A III of the Code général des impôts. In addition, they will be subject neither to the non-deductibility set out under Article 238 A of the Code général des impôts nor to the withholding tax set out under Article 119-bis 2 of the same Code solely on account of their being paid to a bank account opened in a financial institution located in a Non-Cooperative State or accrued or paid to persons established or domiciled in a Non-Cooperative State. 10

11 Terms and Conditions of the Notes The terms and conditions of the Notes (the Terms and Conditions ) governing the Notes and established pursuant to the Note Purchase Agreement (the Agreement ) concluded between CIF Euromortgage, Paris, France (the Issuer ) on the first part, and Credit Suisse AG (the Manager ), on the second part, by virtue of which Swiss Francs ( CHF ) 200,000,000 (two hundred million) 2.00% Obligations Foncières (the Notes ) of the Issuer are constituted, will be reproduced on the reverse side of the Notes in the English language as follows: 1 Form, Denomination and Title (a) Form: The Notes are issued in materialised form ( Materialised Notes ). Materialised Notes are issued in bearer form. Materialised Notes in definitive form are printed on security paper, are serially numbered and are issued with coupons (each, a Coupon ) attached. In accordance with Articles L and R of the Code monétaire et financier (the Code ), securities (including the Notes) in materialised form and governed by French law must be issued outside the French territory. (b) (c) Denomination: Notes shall be issued in the denominations of CHF 5,000, CHF 100,000 and CHF 1,000,000 (the Specified Denominations ). Title: (i) (ii) (iii) Title to definitive Materialised Notes and Coupons shall pass by delivery. Except as ordered by a court of competent jurisdiction or as required by law, the holder (as defined below) of any Note or Coupon shall be deemed to be and may be treated as its absolute owner for all purposes, whether or not it is overdue and regardless of any notice of ownership, or an interest in it, any writing on it or its theft or loss and no person shall be liable for so treating the holder. In these Terms and Conditions, holder means the bearer of any definitive Materialised Note and the Coupon relating to it, and capitalised terms have the meanings given to them hereon, the absence of any such meaning indicating that such term is not applicable to the Notes. 2 Conversions and Exchanges of Materialised Notes Materialised Notes of one Specified Denomination may not be exchanged for Materialised Notes of another Specified Denomination. 3 Status The Notes and Coupons relating to them constitute direct, unconditional and, pursuant to the provisions of Condition 4, privileged obligations of the Issuer and rank and will rank pari passu and without any preference among themselves and equally and rateably with all other present or future notes (including further issues of Notes) and other resources raised by the Issuer benefiting from the Privilège, as described in Condition 4. 4 Privilège (a) (b) The Notes benefit from the Privilège (priority right of payment) created by Article L of the Code. Pursuant to Article L of the Code, all amounts payable to the Issuer in respect of loans, assimilated receivables, exposures and securities referred to in Articles L to L of the Code and the forward financial instruments referred to in Article L of the Code (in each case after any applicable netting), together with the claims in respect of deposits made by the Issuer with credit institutions, are allocated in priority to the payment of any sums due in respect of the Notes issued by the 11

12 Issuer and any other resources raised by the Issuer pursuant to the Privilège (including other privileged notes). It should be noted that in addition to the Notes and other resources raised by the Issuer, derivative transactions used for hedging in the conditions set out under Article L of the Code also benefit from the Privilège. (c) Article L of the Code provides that, notwithstanding any legislative provisions to the contrary and in particular those contained in the French Code de commerce relating to conciliation (conciliation), preservation (sauvegarde), judicial reorganisation (redressement judiciaire) and judicial liquidation (liquidation judiciaire), the amounts due regularly under the Notes and any other resources benefiting from the Privilège (including the other privileged notes), are paid on their contractual due date, and in priority to all other debts, whether or not preferred, including interest resulting from agreements whatever their duration. Accordingly, until all creditors benefiting from the Privilège have been fully paid, no other creditor of the Issuer may exercise any right over the assets and rights of the Issuer. 5 Interest and other Calculations (a) Definitions: In these Terms and Conditions, unless the context otherwise requires, the following defined terms shall have the meanings set out below: Business Day means (i) a day (other than a Saturday or a Sunday) on which banks and foreign exchange markets are open for business in Zurich and (ii) a day on which the Trans-European Automated Real-Time Gross Settlement Express Transfer (TARGET 2) System is operating. Day Count Fraction means, in respect of the Interest on the Bonds, a 360-day year of twelve 30-day months, without regard to the date of the first day or last day of the period (30/360). Issue Date means 30 July Interest Payment Date means 30 January annually, for the first time on 30 January Interest Period means the period beginning on (and including) the Issue Date and ending on (but excluding) the first Interest Payment Date and each successive period beginning on (and including) an Interest Payment Date and ending on (but excluding) the next succeeding Interest Payment Date. Specified Currency means Swiss Francs ( CHF ). (b) (c) (d) Interest on the Notes: Each Note bears interest on its outstanding nominal amount from the Issue Date at the rate of 2.00% per annum (the Rate of Interest ), such interest being payable in arrear on each Interest Payment Date. There will be a first short coupon in respect of the period beginning on (and including) the Issue Date and ending on (but excluding) the first Interest Payment date. Accrual of Interest: Interest shall cease to accrue on each Note on the due date for redemption unless, upon due presentation, payment is improperly withheld or refused, in which event interest shall continue to accrue (as well after as before judgment) at the Rate of Interest in the manner provided in this Condition 5. Calculations: The amount of interest payable in respect of any Note for any period shall be calculated by multiplying the product of the Rate of Interest and the outstanding nominal amount of such Note by the Day Count Fraction. 6 Redemption and Purchase (a) Final Redemption: Unless previously redeemed, purchased and cancelled as provided below in accordance with Condition 6(c), each Note shall be finally redeemed on 30 January 2019 (the Maturity Date ) at its Final Redemption Amount (which is its nominal amount). 12

13 (b) (c) (d) Redemption for Taxation Reasons: If French law should require that payments of principal or interest in respect of any Note be subject to deduction or withholding in respect of any present or future taxes or duties whatsoever, such Notes may not be redeemed early. Purchases: The Issuer shall have the right at all times to purchase Notes (provided that, in the case of Materialised Notes, all unmatured Coupons relating thereto are attached thereto or surrendered therewith) in the open market or otherwise at any price. Cancellation: All Notes purchased by or on behalf of the Issuer must be cancelled, in the case of Materialised Notes, by surrendering the definitive Materialised Notes in question together with all unmatured Coupons to the Principal Paying Agent and, in each case, if so transferred or surrendered, shall, together with all Notes redeemed by the Issuer, be cancelled forthwith, together with all unmatured Coupons attached thereto or surrendered therewith). Any Notes so cancelled or, where applicable, transferred or surrendered for cancellation may not be reissued or resold and the obligations of the Issuer in respect of any such Notes shall be discharged. 7 Payments (a) (b) (c) Materialised Notes: Payments of principal and interest in respect of Materialised Notes shall, subject as mentioned below, be made against presentation and surrender of the Notes and Coupons at the any office in Switzerland of any Paying Agent in Swiss Francs by transfer to an account denominated in such currency with a bank. Payments Subject to Fiscal Laws: All payments are subject in all cases to any applicable fiscal or other laws, regulations and directives in the place of payment but without prejudice to Condition 8. No commission or expenses shall be charged to the holders of Notes or Coupons in respect of such payments. Appointment of Agents: Credit Suisse AG is appointed as Principal Paying Agent (the Principal Paying Agent ) and as Paying Agent (the Paying Agent ) by the Issuer. The Principal Paying Agent and the Paying Agent act solely as agents of the Issuer and do not assume any obligation or relationship of agency for any holder of Notes or Coupons. The Issuer reserves the right at any time to vary or terminate the appointment of any Paying Agent an to appoint additional or other Paying Agents, provided that the Issuer shall at all times as long as the Notes are listed on the SIX Swiss Exchange, maintain a Paying Agent having an office in Switzerland. No payments of principal or interest on the Notes will be effected at any office of the Principal Paying Agent or a Paying Agent outside Switzerland. The Issuer undertakes not to appoint any other institutions or individuals as Paying Agents for the Notes and not to pay to other institutions or individuals any commissions or remunerations for the servicing of the Notes and Coupons (payment of interest and redemption moneys) (the Servicing of the Notes and Coupons ) without the prior consent of the Principal Paying Agent, which consent shall not be unreasonably withheld. Notice of any such change or any change of any specified office shall promptly be given to the holders of Notes in accordance with Condition 13. (d) Unmatured Coupons: Upon the due date for redemption of any Materialised Note, unmatured Coupons relating to such Note (whether or not attached) shall become void and no payment shall be made in respect of them. Where any Materialised Note that provides that the relative unmatured Coupons are to become void upon the due date for redemption of those Notes is presented for redemption without all unmatured Coupons, redemption shall be made only against the provision of such indemnity as the Issuer may require. (e) Business Days for Payment: If any date for payment in respect of any Note or Coupon is not a business day, the holder shall not be entitled to payment until the next following Business Day, nor to any interest or other sum in respect of such postponed payment. 13

14 8 Taxation (a) (b) Withholding tax: All payments of principal, interest and other revenues by or on behalf of the Issuer in respect of the Notes shall be made free and clear of, and without withholding or deduction for, any taxes, duties, assessments or governmental charges of whatever nature imposed, levied, collected, withheld or assessed by or within France or any authority therein or thereof having power to tax, unless such withholding or deduction is required by law. No Additional Amounts: If French law should require that payments of principal or interest in respect of any Note constituting Notes, or any Coupon relating thereto, be subject to deduction or withholding in respect of any present or future taxes or duties whatsoever, the Issuer will not be required to pay any additional amounts in respect of any such deduction or withholding. 9 Prescription Claims against the Issuer for payment in respect of the Notes and Coupons shall be prescribed and become void unless made within 10 years (in the case of principal) or 5 years (in the case of interest) from the appropriate Relevant Date in respect of them. Relevant Date means, in respect of any Note or Coupon, (i) the date on which payment in respect of it first became due or (ii) (if any amount of the money payable is improperly withheld or refused) the date on which payment in full of the amount outstanding is made or (iii) (in the case of Materialised Notes if earlier) the date seven days after that on which notice is duly given to the holders of such Materialised Notes that, upon further presentation of the Materialised Note or Coupon being made in accordance with the Terms and Conditions, such payment will be made, provided that payment is in fact made upon such presentation. 10 Representation of holders of Notes Holders of Notes will be grouped automatically for the defence of their common interests in a masse (in each case, the Masse ). The Masse will be governed by the provisions of the French Code de commerce with the exception, in relation to issues of Notes made outside France, of Articles L , L and R and R subject to the following provisions: (a) Legal Personality The Masse will be a separate legal entity and will act in part through one or two representatives (each a Representative ) and in part through a general meeting of the holders of Notes (the General Meeting ). The Masse alone, to the exclusion of all individual holders of Notes, shall exercise the common rights, actions and benefits which now or in the future may accrue respectively with respect to the Notes. (b) Representative The office of Representative may be conferred on a person of any nationality. However, the following persons may not be chosen as Representatives: (i) (ii) the Issuer, the members of its Directoire (Management Board), Conseil de Surveillance (Supervisory Board), its statutory auditors, its employees and their ascendants, descendants and spouses; or companies guaranteeing all or part of the obligations of the Issuer, their respective managers (gérants), general managers (directeurs généraux), members of their Board of Directors, Executive Board or Supervisory Board, their statutory auditors, employees and their ascendants, descendants and spouses; or 14

15 (iii) (iv) companies holding 10% or more of the share capital of the Issuer or companies having 10% or more of their share capital held by the Issuer; or persons to whom the practice of banker is forbidden or who have been deprived of the right of directing, administering or managing an enterprise in whatever capacity. The name and address of the sole initial Representative of the Masse will be Walter Hüni, Director of Credit Suisse AG, Paradeplatz 8, CH-8001 Zurich, Switzerland. The Representative will not be remunerated. All interested parties will at all times have the right to obtain the names and addresses of the Representatives at the head office of the Issuer and the specified offices of any of the Paying Agents. In the event of death, retirement or revocation of appointment of one or both Representatives, such Representative(s) will be replaced by one or both Representatives, as the case may be. (c) Powers of Representative The Representatives, acting jointly or separately, shall, in the absence of any decision to the contrary of the General Meeting and except as provided by paragraph 1 of Article L of the Code, have the power to take all acts of management necessary in order to defend the common interests of the holders of Notes. All legal proceedings against the holders of Notes or initiated by them, must be brought by or against the Representatives; except that, should judicial reorganisation or liquidation (redressement or liquidation judiciaires) proceedings be commenced against the Issuer, the specific controller would file the proof of debt of all creditors (including the holders of Notes) of the Issuer benefiting from the Privilège. The Representatives may not be involved in the management of the affairs of the Issuer. (d) General Meeting A General Meeting may be held at any time, on convocation either by the Issuer or by the Representatives. One or more holders of Notes, holding together at least one-thirtieth of the principal amount of the Notes outstanding, may address to the Issuer and the Representatives a demand for convocation of the General Meeting. If such General Meeting has not been convened within two months after such demand, the holders of Notes may commission one of their members to petition a competent court in Paris to appoint an agent (mandataire) who will call the General Meeting. Notice of the date, hour, place and agenda of any General Meeting will be published as provided under Condition 13. Each holder of a Note has the right to participate in a General Meeting in person or by proxy. Each Note carries the right to one vote or, in the case of Notes issued with more than one Specified Denomination, one vote in respect of each multiple of the lowest Specified Denomination comprised in the principal amount of the Specified Denomination of such Note. (e) Powers of the General Meetings The General Meeting is empowered to deliberate on the dismissal and replacement of the Representatives and the alternate Representatives and also may act with respect to any other matter that relates to the common rights, actions and benefits which now or in the future may accrue with respect to the Notes, including authorising the Representatives to act at law as plaintiff or defendant. The General Meeting may further deliberate on any proposal relating to the modification of the Terms and Conditions including any proposal, whether for arbitration or settlement, relating to rights in controversy or which were the subject of judicial decisions, it being specified, however, that the General Meeting may not increase amounts payable to holders of Notes, nor authorise or accept a postponement of the date of payment of interest on or a modification of the terms of repayment of or the rate of interest on the Notes, nor establish any unequal treatment between the holders of Notes. 15

16 General Meetings may deliberate validly on first convocation only if holders of Notes present or represented hold at least one-fifth of the principal amount of the Notes then outstanding. On second convocation, no quorum shall be required. Decisions at meetings shall be taken by a two-third majority of votes cast by holders of Notes attending such General Meetings or represented thereat. In accordance with Article R of the French Code de commerce, the rights of each Noteholder to participate in General Meetings will be evidenced by the entries in the books of the relevant Account Holder of the name of such Noteholder on the third business day in Zurich preceding the date set for the meeting of the relevant General Meeting at 0:00, Zurich time. For the purpose of this Condition 10(e), Account Holder means any intermediary institution entitled to hold accounts, directly or indirectly, on behalf of its customers with SIX SIS AG. Decisions of General Meetings must be published in accordance with the provisions set forth in Condition 13. (f) Information to holders of Notes Each holder of a Note or Representative thereof will have the right, during the 15-day period preceding the holding of each General Meeting, to consult or make a copy of the text of the resolutions which will be proposed and of the reports which will be presented at the General Meeting, all of which will be available for inspection by the relevant holders of Notes at the registered office of the Issuer, at the specified offices of any of the Paying Agents and at any other place specified in the notice of the General Meeting. (g) Expenses The Issuer will pay all expenses relating to the operation of the Masse (including those incurred by the Representatives in the proper performance of their functions and duties), and those relating to the calling and holding of General Meetings and, more generally, all administrative expenses resolved upon by the General Meeting, it being expressly stipulated that no expenses may be imputed against interest payable on the Notes. (h) Single Masse The holders of Notes and the holders of Notes of any further issue of Notes which have been assimilated and/or consolidated with the Notes of such first mentioned Series in accordance with Condition 12, may, for the defence of their respective common interests, be grouped in a single Masse. The Representatives appointed in respect of the first issue of Notes will be the Representatives of the single Masse of all further issues Notes. 11 Replacement of definitive Materialised Notes and Coupons If, in the case of any Materialised Notes, a definitive Materialised Note or Coupon is lost, stolen, mutilated, defaced or destroyed, it may be replaced, subject to applicable laws, regulations and stock exchange regulations, at the specified office of the Principal Paying Agent or such other Paying Agent as may from time to time be designated by the Issuer for the purpose and notice of whose designation is given to holders of Notes, in each case on payment by the claimant of the fees and costs incurred in connection therewith and on such terms as to evidence, security and indemnity (which may provide, inter alia, that if the allegedly lost, stolen or destroyed definitive Materialised Note or Coupon is subsequently presented for payment or, as the case may be, for exchange for further Coupons, there shall be paid to the Issuer on demand the amount payable by the Issuer in respect of such definitive Materialised Notes or Coupons or further Coupons) and otherwise as the Issuer may require. Mutilated or defaced Materialised Notes or Coupons must be surrendered before replacements will be issued. 12 Further Issues The Issuer may from time to time without the consent of the holders of Notes or Coupons create and issue further Notes to be assimilated (assimilées) with the Notes provided such Notes and the further Notes carry 16

17 rights identical in all respects (or in all respects save for the principal amount thereof and the first payment of interest thereon) and that the terms of such Notes provide for such assimilation and references in these Terms and Conditions to Notes shall be construed accordingly. 13 Notices Notices to the holders of Materialised Notes in bearer form shall be shall be valid if published (i) electronically on the internet website of the SIX Swiss Exchange ( search_en.html) or (ii) in a daily newspaper with national circulation in Switzerland (expected to be the Neue Zürcher Zeitung ) or (iii) otherwise in accordance with the regulations of the SIX Swiss Exchange. 14 Governing Law and Jurisdiction (a) (b) Governing Law: The Notes and Coupons and any non-contractual obligation arising out of or in connection with the Notes are governed by, and shall be construed in accordance with, French law. Jurisdiction: Any claim against the Issuer in connection with any Notes or Coupons may be brought before any competent court in Paris. 17

18 Temporary Global Certificate Issued in Respect of Materialised Notes Temporary Global Certificate A temporary global certificate without interest coupons will initially be issued in connection with materialised Notes (the Temporary Global Certificate ). The Temporary Global Certificate shall be deposited with SIX SIS AG or any other intermediary in Switzerland recognised for such purposes by the SIX Swiss Exchange (SIX SIS AG or any such other intermediary, the Intermediary ). Once the Temporary Global Certificate has been deposited with the Intermediary and entered into the accounts of one or more participants of the Intermediary, the Notes will constitute intermediated securities ( Intermediated Securities ) in accordance with the provisions of the Swiss Federal Intermediated Securities Act. For so long as the Temporary Global Certificate remains deposited with the Intermediary, the Notes may only be transferred by the entry of the transferred Notes in a securities account of the transferee, as set out in the provisions of the Swiss Federal Intermediated Securities Act regarding the transfer of Intermediated Securities. The records of the Intermediary will determine the number of Notes held through each participant in that Intermediary. In respect of the Notes held in the form of Intermediated Securities, the holders of the Notes will be the persons holding the Notes in a securities account in their own name and for their own account. Exchange The Temporary Global Certificate issued in respect of materialised Notes will be exchangeable, free of charge to the holder, on or after the Exchange Date, in whole, but not in part, for definitive materialised Notes. Delivery of definitive materialised Notes In exchange for the Temporary Global Certificate, the Issuer will deliver, or procure the delivery of, an equal aggregate nominal amount of duly executed and authenticated definitive materialised Notes (having attached to them all coupons in respect of interest amounts that have not already been paid on the Temporary Global Certificate). The definitive materialised Notes will be security printed in accordance with the requirements of SIX SIS AG. Exchange Date Exchange Date means 8 September 2010, being 40 days after the Issue Date, provided that in the event any further materialised Notes which are to be assimilated with such first mentioned materialised Notes are issued prior to such day pursuant to Condition 12 of the Terms and Conditions of the Notes, the Exchange Date may, at the option of the Issuer, be postponed to the day falling after the expiry of 40 days after the issue date of such further materialised Notes. 18

19 Summary of the Legislation and Regulations Relating to Sociétés de Crédit Foncier Entities entitled to issue Obligations Foncières Article L et seq. of the Code creates a whole new category of credit institutions (sociétés de crédit foncier), the exclusive purpose of which is to grant or acquire secured loans from the proceeds of the issue of Obligations Foncières as well as other forms of notes or borrowings. Holders of Obligations Foncières or of these other borrowings benefit from the Privilège (priority right of payment) over all the assets and revenues of the relevant société de crédit foncier and are allowed to operate in a bankruptcy remote environment. Sociétés de crédit foncier may grant or acquire either mortgage-backed loans or loans to states or stateowned entities (regional and local authorities) and issue Obligations Foncières (or incur other forms of borrowing) in order to finance these loans. The Code allows sociétés de crédit foncier to issue ordinary bonds or raise funds which do not benefit from the Privilège. Pursuant to Article L V of the Code, sociétés de crédit foncier may not hold shares in other companies. Eligible receivables Eligible mortgage-backed loans include loans which are secured by a first-ranking mortgage or an equivalent security over real estate. Other types of charges and security interest also qualify, under certain conditions, provided in particular they are at least equivalent to a first-ranking mortgage, such as a guarantee given by a credit institution or an insurance company that does not belong to the same group as the relevant société de crédit foncier. The eligible receivables must be located in France, in a member state of the European Community ( EC ), a state party to the agreement on the European Economic Area (the EEA ), or a state that qualify for the credit quality assessment step one. According to the implementation in the French regulations of the European capital adequacy directive, a société de crédit foncier is authorised to purchase all types of eligible loans, but the financing for these loans may include only a certain proportion of obligations foncières or other privileged debt, with the proportion varying from 60% to 80% based of the property s value. This proportion can be raised to a maximum of 100% when the mortgage loan is guaranteed by the French Guarantee Fund for Home Ownership (fonds de garantie de l accession sociale à la propriété). Other eligible receivables comprise loans granted to, or debt instruments issued by, state or state-owned entities mentioned in Article L of the Code, or wholly guaranteed by such entities, as well as other specific investments (namely units and bonds (titres de créance) issued by fonds commun de créances (French securitisation vehicles) or other similar vehicles organised under the laws of a member state of the EC or a state party to the agreement on the EEA, the assets of which comprise at least 90% of secured loans or loans to state or stateowned entities). In addition, the ordinance no dated 19 April 2007 included in the scope of the assets eligible to the sociétés de credit foncier mortgage promissory notes complying with Articles L et seq. of the Code. As provided in Article L of the Code, sociétés de crédit foncier may not make any other investments, except investments in securities which are sufficiently secure and liquid to be held as so-called replacement values (as defined in Article R of the Code). Over-Collateralisation Article L of the Code provides for the principle of over-collateralisation (surdimensionnement), which entails that the total amount of the assets of a société de crédit foncier must be at all times greater than the global amount of liabilities benefiting from the Privilège. Sociétés de crédit foncier must appoint a specific controller (contrôleur spécifique) with the approval of the French Autorité de contrôle prudentiel (formerly known as Commission Bancaire) whose task is to ensure that the principle of overcollateralisation is at all times complied with. In particular, the specific controller must certify that the 19

20 principle of over-collateralisation is satisfied in connection with (i) the société de crédit foncier s quarterly programme of issues benefiting from the Privilège and (ii) any specific issue also benefiting from the Privilège whose amount is greater than Euro 500 million. The specific controller must verify the quality of the assets, the process of yearly revaluation and the quality of the asset liability management (ALM). See section Specific Controller s Certificate Relating to the Quarterly Borrowing Programme of this Prospectus. Privilège For bonds to qualify as Obligations Foncières and for other resources to benefit from the Privilège, the documentation relating thereto must explicitly refer to such Privilège. Sociétés de crédit foncier may enter into derivative transactions for hedging Obligations Foncières and other resources benefiting from the Privilège. The amounts due under these derivative transactions also benefit from the Privilège. The sums resulting from eligible receivables and from derivative transactions, together with deposits made by sociétés de crédit foncier with other credit institutions, are allocated in priority to the payment of any sums due in relation to the Obligations Foncières or other financial resources benefiting from the Privilège. Insolvency remoteness Article L of the Code precludes the extension of insolvency proceedings in respect of the sociétés de crédit foncier s parent company to the sociétés de crédit foncier. The Code provides for a new regime which derogates in many ways from the French legal provisions relating to insolvency proceedings. In particular, in the event of judicial reorganisation (redressement judiciaire) or judicial liquidation (liquidation judiciaire) or conciliation proceeding (procédure de conciliation) of a société de crédit foncier, all claims benefiting from the Privilège, including interest thereon, must be paid on their due contractual dates and in preference to all other claims, whether or not secured or statutorily preferred and, until payment in full of all such preferred claims, no other creditors may take any action against the assets of the sociétés de crédit foncier. Sociétés de crédit foncier are the only French companies being totally bankruptcy remote and enjoying full protection from the risks of default by their parent company or the group to which they belong. In addition, the provision of French insolvency law which provides that certain transactions entered into in the months preceding the commencement of insolvency proceedings (période suspecte) are voidable do not apply to sociétés de crédit foncier (Article L of the Code). 20

21 Specific Controller s Certificate Relating to the Quarterly Borrowing Programme The following text is a convenience translation of the original French text. To the members of the Supervisory Board of CIF Euromortgage, In our capacity as Specific Controller of your company and pursuant to the provisions laid down in Articles L and R IV of the French Monetary and Financial Code, We hereby set out our certification regarding compliance with the rule provided for in Article L of the French Monetary and Financial Code within the framework of a quarterly programme for issuing funding that qualify for the privileged right mentioned in Article L of said Code. In a decision dated 16 June 2010, the Management Board of CIF Euromortgage set the maximum ceiling for the programme for issuing funding that qualify for the privileged right laid down by Article L of the French Monetary and Financial Code at Euro 5 billion or its equivalent in currencies, for the period from 1 July 2010 to 30 September Article L of the French Monetary and Financial Code states that the total amount of assets held by sociétés de crédit foncier must be greater than the amount of liabilities which qualify for the privileged right mentioned in Article L of said Code. Our responsibility is to express an opinion on the respect of the said Article L in the context of the quarterly programme for issuing funding of the Management Board. Compliance with this rule, in view of the aforementioned issue programme, was checked on the basis of estimated financial data, in respect of the period elapsed, and forecasted financial data, in respect of the future period, drawn up under the responsibility of your Management Board. The forecasted financial data were drawn up on the basis of assumptions which reflect the future position that you have deemed to be most probable as of the date that they were drawn up. We performed our examination in accordance with the standards of the profession that are applicable in France. These standards require on the basis of the estimated financial data and the aforementioned issue programme, the checking of compliance with the rule laid down by Article L of the French Monetary and Financial Code and with the methods of calculating the hedge ratio provided for in Regulation no of July 9, 1999 of the French Banking and Financial Regulations Committee. Regarding the forecasted financial data, an evaluation of the procedures applied in order to choose which assumptions to use and draw up the forecasted statement of source and application of funds as well as the implementation of procedures which make it possible to assess whether the assumptions chosen are consistent, check the figures with regard to these assumptions and ensure that the rules of Article L of the French Monetary and Financial Code are complied with. We wish to reiterate that, as forecasts are uncertain by their very nature, the actual financial results may differ, sometimes significantly, from the forecasts presented. Based on this examination, we don t have any objection regarding the respect by CIF Euromortgage of the Article L of the French Monetary and Financial Code arranging that the amount of assets belonging to CIF Euromortgage will be greater than the amount of privileged liabilities after this issue programme has been taken into account. Paris, on 13 July 2010 The Specific Controller FIDES AUDIT Represented by Stéphane MASSA 21

22 Description of CIF Euromortgage CIF Euromortgage is a member of Crédit Immobilier de France. Organisation of Crédit Immobilier de France Initially organised around sociétés anonymes de crédit immobilier (or SACIs ), the oldest of which have been operating since 1908, Crédit Immobilier de France is a network (the Network ) of credit institutions supplying residential mortgage loans to individual borrowers. Crédit Immobilier de France is regulated since 2007 by a new legal framework established by the ordinance of 25 August 2006, ratified by the law of 18 December Following changes resulted from the ordinance of 25 August 2006: the SACIs were transformed into sociétés anonymes coopératives d intérêt collectif pour l accession à la propriété (Sacicaps) (cooperative collective interest companies for homeownership) whose main purpose is to implement home-ownership programmes for households with incomes below the threshold referred to in the French Code général des impôts; the Chambre Syndicale of the SACIs was transformed into a Union d économie sociale pour l accession à la propriété (UES-AP); and a new group structure was created endowing CIFD with the status of central regulatory authority, as defined in Articles L and L of the Code. CIFD is thus replacing the Chambre Syndicale in this role. In order to refinance its lending activities, Crédit Immobilier de France set up, as far back as 2001, a new refinancing structure based on the securitisation of the residential mortgage loans granted by the Regional Financial Subsidiaries (the SFRs ) and Banque Patrimoine et Immobilier ( BPI ) (together the Operational Subsidiaries ) and the constitution of a wholly-owned 3CIF subsidiary, CIF Euromortgage benefiting from the status of société de crédit foncier and dedicated to the issue of French covered bonds (obligations foncières). Pursuant to the new refinancing structure, the residential mortgage loans of the Operational Subsidiaries are transferred to mutual debt funds (fonds communs de créances): CIF Assets in the case of the SFRs and BPI Master Mortgage in the case of BPI. In return, CIF Assets and BPI Master Mortgage issue senior securities rated AAA/Aaa and subordinated units of debt. The AAA/Aaa senior units of debt are acquired by CIF Euromortgage which refinances this portfolio by issuing AAA/ Aaa rated obligations foncières benefiting from the privilege of Article L of the Code (the Privilège ). On 15 June 2007, 3CIF sold its entire shareholding, less one share, in CIF Euromortgage to CIFD. Incorporation, duration and registered office of the Issuer The Issuer is a credit institution (établissement de crédit), licensed as a société financière with the status of société de crédit foncier, incorporated under French law on 12 March 2001 for a period of 99 years as a société anonyme à directoire et conseil de surveillance. The Issuer is registered with the Commercial and Companies Registry (Registre du commerce et des sociétés) of Paris under number Its office is at 26/28, rue de Madrid, Paris, France (Tel ). The Issuer is governed, inter alia, by the French Code de commerce and by the Code, more specifically, in relation to its capacity as a société de crédit foncier, by the provisions of Livre V Title 1 Chapter V Section 4 (see above Summary of the legislation and regulations relating to sociétés de crédit foncier ). Share capital of the Issuer The Issuer s share capital at the date of this Prospectus amounts to Euro 100,000,000 divided into 2,000,000 fully paid-up ordinary shares of Euro 50. There is no authorised and non-issued share capital. 22

23 There are no securities which grant rights to shares in the capital of the Issuer. There is one voting right for each share. Including reserves, retained earnings and first-half net profit, shareholders equity at 30 June 2009 amounted to 108,423 thousand. The Issuer has also obtained 570 million in various subordinated loans from CIFD, which are repayable at the sole discretion of the Company. If the Issuer has no distributable income for a given year, it is entitled to defer interest payments until the first due date immediately following the shareholders meeting that acknowledges the existence of distributable income. These subordinated loans are not Tier 2 capital as construed under Regulation no of the Comité de la règlementation bancaire et financière (French Banking and Financial Regulations Committee the CRBF ). As CIFD does not qualify for preferred creditor status under Article L of the Code, the loans can be used at any time to guaranty the repayment of CIF Euromortgage s privileged debt. Issuer s objectives In accordance with the law applicable to sociétés de crédit foncier and with Article 3 of its by-laws, the Issuer s exclusive objects both in France and abroad shall be: to grant or acquire loans secured by a first ranking mortgage, priority charge or any other security interest in real property affording at least equivalent security, or loans guaranteed by credit institutions or insurance companies; to acquire units in debt mutual funds (fonds communs de créances), or units or securities issued by similar entities governed by the laws of a member state of the European Economic Area, provided that such units or securities are eligible assets for real estate loan companies; to acquire and own secure and liquid securities as substitute assets provided such securities are eligible assets for sociétés de crédit foncier. In order to finance these loans and securities, the Issuer may: issue obligations foncières benefiting from the Privilège; obtain all forms of financial resources stipulating in the governing agreement that they benefit from the priority right provided for in said Article L ; obtain all other forms of financial resources, including by issuing debt instruments, which do not benefit from the priority right afforded by law to obligations foncières; realise all or part of its debt claims in accordance with the applicable legislation from time to time. The Issuer may resort to any form of financial forwards to ensure adequate transaction coverage for its loan management, obligations foncières, other financial resources benefiting or not from the statutory priority right. The Issuer may sign all necessary agreements with credit institutions to procure services for: loan management and recovery; bond and financial resource management; full technical and administrative management, including the management of its assets, liabilities and financial positions. It may also acquire and own any realty or personally required to achieve its objects or obtained in debt recovery and, generally, do dealings in any way relating to its business or contributing to the achievement of its objects provided such dealings are within the authorised objects for real estate loan companies as defined by the governing laws and regulations. 23

24 Business description of the Issuer The residential mortgage loans granted by the Operational Subsidiaries are transferred to mutual debt funds, CIF Assets in the case of loans granted by the SFR and BPI Master Mortgage in the case of loans granted by BPI. In return, CIF Assets and BPI Master Mortgage issue senior securities rated AAA/Aaa and subordinated units of debt. The AAA/Aaa senior units of debt are acquired by the Issuer which also acquires AAA and/or Aaa rated Residential Mortgage Backed Securities ( RMBS ) issued in accordance with the Code, by similar entities subject to the laws of European Economic Area States. In order to refinance this portfolio, the Issuer issues obligations foncières benefiting from the Privilège. These obligations foncières are rated AAA by Fitch Ratings and Aaa by Moody s Investors Service, Inc. and listed on the Luxembourg, Frankfurt and Paris stock exchanges. By offering the market AAA/Aaa rated obligations foncières, which are a reflection of the intrinsic quality of the assets of the Network, the Issuer boosted the competitiveness of Crédit Immobilier de France. The Issuer also safeguarded Crédit Immobilier de France against volatility risk in term of its rating. Lastly, by providing the market with a second counterparty after 3CIF, Crédit Immobilier de France expanded substantially its investor base. CIF Euromortgage s Management Board set ceilings of 3.00 billion and 5.00 billion, or their foreign currency equivalent, for covered bond and other privileged debt issues in the first and second quarters of 2009, respectively. In accordance with Article L of the Code, the specific controller certified in both instances that CIF Euromortgage complied with Article L of the Code, which provides that the Issuer s assets, including the amount of the quarterly issue program approved by the Management Board, must exceed its assets that confer privileged creditor status. In a totally unusual context a sluggish market that rebounded on the ECB s announcement early in May 2009 that it would purchase covered bonds CIF Euromortgage issued a total of 7.18 billion in covered bonds and other privileged debt in 2009, more than ever before in a single year. This funding was raised in a total of 47 issues, including: three new jumbo public issues one for 2 billion in June 2009 (the largest covered bond issue since the Lehman Brothers bankruptcy), a 1.25 billion ten-year offering in October 2009, and a 1.25 billion two-year offering in December 2009 featuring the best covered bond spread since November 2008 twelve public issues involving additional bonds from several past issues, totalling 1.25 billion, primarily in the first half, before the markets eased in June 2009 six private placements, including two denominated in euros totalling 30 million, and four in Swiss francs for a total of 236 million twenty-six issues of registered covered bonds, which are German debt securities benefiting from the privilege of Article L of the Monetary and Financial Code. All of these public issues and private placements were carried out under the CIF Euromortgage 25 billion debt issue program. The program s prospectus was updated early in 2010 and has been filed with the Luxembourg Stock Exchange. In 2009, CIF Euromortgage registered covered bonds issues totalled 1.16 billion. These registered covered bonds were not issued under the CIF Euromortgage debt issue program, but specific offering documentation was prepared and validated by two law firms specializing in German and French law. As the German authorities consider such offerings as public deposit-taking, CIF Euromortgage was required to file a request for the right of establishment in Germany, which it received. These registered covered bonds, with maturities ranging from ten to thirty years, were placed with German institutional investors, particularly insurance companies seeking to match their long-term commitments with funds maturing in over eight years. In 2009 CIF Euromortgage redeemed the following?2.95 billion in obligations that had reached maturity. The borrowings thus redeemed were raised at an average cost of 4.24bp below 3-month Euribor. 24

25 Breakdown of public and private issues Excluding redemptions of obligations that had matured, CIF Euromortgage s outstanding privileged debt amounted to billion at 31 December 2009, up by nearly 23% from billion a year earlier. Euro-denominated issues accounted for 93.36% of this debt, and foreign currency-denominated issues accounted for the remaining 6.64%. Analysis of Debt, by Currency and Interest Rate, at 31 December 2009 (thousands euros) Changes in Debt According to Currency and Interest Rate Between 31 December 2008 and 31 December 2009 (thousands euros) The bulk of covered bond issues (81.94% at 31 December 2009) were offered on the market. That proportion was nevertheless lower than at year-end 2008 (83.91%), primarily reflecting the large number of registered covered bonds issued in Private placements accounted for 18.06% of covered bond issues outstanding at 31 December 2009, versus 16.09% at year-end Private placements consisted mainly of structured bonds paying interest based on the performance of a basket of stock market indexes (Nikkei 225, Eurostoxx 50, and S&P 500). Private placements enable CIF Euromortgage to raise funds at a significantly lower cost than that incurred in public offerings. Interest on the issues is systematically converted to Euribor using swaps. 25

26 As at 31 December 2009, outstanding registered covered bonds amounted to 1.28 billion. CIF Euromortgage s covered bond issues are listed on the Luxembourg, Paris, and Frankfurt Stock Exchanges and placed with a broad range of mainly European investors. Most investors are from Germany and France, followed by Northern Europe and the United Kingdom. The Asian investor base has now expanded from Japan to cover a large portion of the continent. Selected financial Information Interest and related income in 2009 amounted to 1, million (in 2008: 1,598 million). After deducting interest and related expense of 1, million and fees and commissions of 0.76 million, net banking income came to 9.37 million (in 2008: million). General operating expenses amounted to 4.55 million in 2009, up appreciably from 2.29 million in This increase primarily reflected an increase in income tax and other taxes, particularly the 1.47 in Organic tax that CIF Euromortgage had to pay for the first time in Operating income totalled 4.81 billion in 2009 versus 7.72 billion a year earlier. Net income, after 1.63 million in income tax, amounted to 3.18 million, compared with 5.02 million in Coverage ratio One of the key guarantees underpinning obligations foncières is the requirement for the related debt to be more than covered at all times by the société de crédit foncier s assets, as specified in Regulation no of the CRBF. CIF Euromortgage s coverage ratio stood at % at 31 December Considering the fact that CIF Euromortgage s asset portfolio consists exclusively of senior securities issued by FCCs and similar vehicles, the regulatory coverage ratio does not adequately reflect the real overcollateralization benefiting to the Issuer s preferred creditors, which also should include the overcollateralization of the individual senior securities comprising the Issuer s assets, as well as the coverage mechanisms used by the issuers of these securities. Subsidiaries According to Article L of the Code, the Issuer, as a société de crédit foncier, is not allowed to have any subsidiaries. Management of the Issuer The Issuer has a Management Board (Directoire) and a Supervisory Board (Conseil de surveillance). The Issuer s Management Board, which at the date of this Prospectus comprises two members, has full powers to act in all circumstances on behalf of the Issuer, within the limits set by its internal rules, the by-laws of the Issuer and subject to the powers expressly conferred by the French Code de commerce to the shareholders and to the Supervisory Board. The Supervisory Board, which at the date of this Prospectus comprises five members, appoints the members of the Management Board and exercises the permanent supervision of the Issuer s management by the Management Board. The Supervisory Board examines the quarterly report of the Management Board and, authorises it to grant guarantees and securities or to dispose of the Issuer s real estate. During the shareholders meeting; it presents its observations on the Management Board s report and on the annual accounts. The Issuer has appointed two Statutory Auditors (Commissaires aux comptes) and two Deputy Statutory Auditors (Commissaires aux comptes suppléants) in compliance with applicable laws and regulations. Furthermore, the Issuer has appointed, in accordance with Articles L to L of the Code, a Specific Controller (Contrôleur spécifique) and a substitute Specific Controller (Contrôleur Spécifique suppléant), who are selected from the official list of auditors and are appointed by the Management Board of the Issuer with the ap- 26

27 proval of the French Autorité de contrôle prudentiel (formerly known as Commission Bancaire). The Specific Controller ensures that the Issuer complies with the Code (in particular, verifying the quality and the eligibility of the assets and the coverage ratio). He also monitors the balance between the Issuer s assets and liabilities in terms of rates and maturity (cash flow adequacy) and notifies the Management Board of the Issuer and the French Autorité de contrôle prudentiel (formerly know as Commission Bancaire) if he considers such balance to be unsatisfactory. At the date of this Prospectus, the members of the Supervisory Board and Management Board and the Issuer s Statutory Auditors were as follows: 1 Management Board Patrick Amat Chairman of the Management Board CIFD Group s Chief Financial Officer 26/28, rue de Madrid Paris France Francis Gleyze Chief Executive Officer 3CIF s Head of Legal Department 26/28, rue de Madrid Paris France 2 Supervisory Board Jean-Pierre Goetzinger Chairman Advisory Officer of 3CIF 26/28, rue de Madrid Paris France Alain Giraud Vice Chairman Chief Executive Officer CIFRAA 93/95, rue Vendôme Lyon France Moncef Zniber Chief Executive Officer CIF Ile de France 59 rue de Provence Paris France Hervé Magne Member of the Supervisory Board Chief Executive Officer CIF Centre Ouest 11, Rue Albin Haller Poitiers France Caisse Centrale du Crédit Member of the Supervisory Board Immobilier de France Represented by Gustave Wattinne 3 Specific Controllers Specific controller: Fides Audit 11, rue Marie Laurencin Paris 27

28 Substitute Specific Controller: Hugues Beaugrand 9, Rue des Sesçois Bois le Roi France 4 Auditors Statutory auditors Mazars Represented by Frank Boyer 61, rue Henri Regnault Paris La Défense Cedex France PricewaterhouseCoopers Audit Represented by Pierre Clavié 63, rue de Villiers Neuilly-sur-Seine France Mazars and PricewaterhouseCoopers Audit are registered as statutory auditors with the Versailles Regional Association of Statutory Auditors, under the authority of the French National Accounting Oversight Board (Haut Conseil du commissariat aux Comptes). Substitute auditors Michel Barbet Massin 61, rue Henri Regnault Courbevoie Franche Etienne Boris 63, rue de Villiers Neuilly-sur-Seine France The Issuer identified no potential conflicts of interests between the duties to it by the members of the Management and the Supervisory Boards and their private interests. Under Regulation no of the CRBF, the Supervisory Board may set up an Audit Committee. At the date of this Prospectus no Audit Committee was constituted by the Issuer. The Chambre Syndicale set up an Audit Committee comprising five members appointed among the Directors of the SACIs and the Government Commissioner at the Chambre Syndicale. The Audit Committee is consulted and formulates opinions on the evolution of the methods of control of the Network General Inspection. It is consulted on the program of inspection and can decide all other controls which it considers necessary, It is empowered to require any action to restore or reinforce the financial balance and to correct, if necessary, the methods of management of every affiliate company. Moreover, the Audit Committee may act in an advisory capacity within the Network s procedures and disciplinary actions. Staff The Issuer has no human resources. Its technical administration has been delegated to 3CIF, which acts in accordance with the directives of the Issuer s Management Board. Compliance with the corporate governance regulations The Issuer complies with the corporate governance regulations applicable to French companies. 28

29 Recent Developments Since 1 January 2010, CIF Euromortgage issued for 349,5 million in five RCB a Private issue for 100 million CHF, three Private issues for 160 million EUR and two Public issues for 820 million EUR. Since 1 January 2010 CIF Euromortgage redeemed for 2.92 billion euros in obligations that had reached maturity. 29

30 Annex A Annual Report

31 CIF EUROMORTGAGE A N N U A L R E P O R T 2009

32 TABLE OF CONTENTS REPORT OF THE MANAGEMENT BOARD 3 AUDITED FINANCIAL STATEMENTS 46 AUDITED LIABILITIES AND SHAREHOLDERS EQUITY.. 47 AUDITED OFF-BALANCE SHEET AUDITED INCOME STATEMENT 50 NOTES TO THE FINANCIAL STATEMENTS. 51 REPORT OF THE SUPERVISORY BOARD FOR THE YEAR ENDED 31 DECEMBER STATUTORY AUDITOR S REPORT ON THE FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER RAPPORT GENERAL DES COMMISSAIRES AUX COMPTES AU 31 DECEMBRE

33 CIF EUROMORTGAGE French corporation (société anonyme) governed by a Management Board and a Supervisory Board Capital stock: 100,000, Rue de Madrid, Paris, France Corporate and Commercial Registry n RCS Paris REPORT OF THE MANAGEMENT BOARD FINANCIAL YEAR 2009 Faced with a situation of financial instability in 2008 and 2009, the leading governments and international institutions moved swiftly to respond to the crisis, both together and individually. In 2008, with help from its main domestic banks, France created a government-guarantied credit institution to raise funding in the international markets. Throughout 2009, the European Central Bank provided banks with vast amounts of liquidity. While the financial crisis, and its most immediate component the liquidity crunch seemed to abate in H2 2009, the impact on the global economy, and especially on employment and household consumption, varied considerably from one country to the next. France s national statistical office, INSEE, observed that corporate and consumer demand in Germany and France, sustained by government support, resumed moderate growth starting in Q Over the year as a whole, France s GDP contracted by 2.3%, following 0.3% growth in GDP is expected to have grown by 1.1% as of the end of Q After several years of strong growth, France s real estate sector began to soften late in 2008 amid tighter mortgage lending conditions. Consumers housing investments continued to fall, reaching a cumulative decline of 14% in Q Since then, the real estate sector seems to have stabilized. In 2009 the mortgage lending market confirmed the slowdown observed in 2008, and, according to the Group s estimates, mortgage loans issued in France over the year amounted to some 95 billion. In this environment, following five years of steady growth until 2006 and a virtually stability in 2007 and 2008, Crédit Immobilier de France s production amounted to 4.35 billion in 2009, equivalent to the level of As in previous years, CIF Euromortgage financed most of those new loans. As the leading financing arm of Crédit Immobilier de France, the société de credit foncier (French covered bonds issuing company) CIF Euromortgage has been working to ensure the Group s competitiveness and financial independence since its inception in At 31 December 2009, it had billion in covered bonds and other secured debt outstanding. I SOCIETE DE CREDIT FONCIER - A SECURE, HIGHLY REGULATED VEHICLE Sociétés de credit foncier ( SCFs ) are credit institutions licensed to operate as finance companies. They benefit from a special status that is intended to protect the holders of the bonds they issue named obligations foncières. They are governed by the stringent regulatory framework of Sections L et seq. of France s Monetary and Financial Code (Code Monétaire et Financier) and operate under the close scrutiny of France s Banking Commission (Commission Bancaire), the banking industry supervisor, which requires compliance with management rules designed to ensure control over risks. 3

34 1 A DEDICATED ENTITY Many European countries allow all credit institutions to issue covered bonds, provided that the asset pool backing the bonds is segregated in their balance sheet. France, however, requires banking groups to set up a dedicated entity, completely separate from other group companies, for the purpose of issuing covered bonds and managing the assets backing those issues. The balance sheets of SCFs, which only include the cover pool, are homogeneous and therefore easy for investors to read. Without any exposure to other banking or financial transactions, SCFs are totally transparent and better equipped to manage the risks associated with their business. 2 SOLE PURPOSE The sole purpose of SCFs is to: grant or purchase loans secured by a first mortgage or lien or by a joint guaranty (in amounts not exceeding 35% of their total assets); grant or purchase exposures to public-sector entities; purchase securities issued by French securitization vehicles or mortgage-backed securities (MBSs) issued by entities governed by the laws of a European Union or European Economic Area member state, provided that at least 90% of the assets of the securitization vehicle or similar vehicle consist of loans with the same characteristics as those that the SCF is authorized to grant or purchase directly; The assets of such securitization or similar vehicles may only consist of home loans backed by a first ranking mortgage, or of public-sector loans; under no circumstances may they be backed by securitizations of other assets, such as consumer loans or future receivables, or by assets that have been created by consolidating or repackaging multiple securitizations. Thus, SCFs may not hold securitization instruments of the type whose opacity and lack of traceability led to the financial crisis that began in 2007; To be eligible for inclusion in the portfolio of an SCF, the senior notes issued by a French securitization vehicle or similar vehicle must necessarily have received the highest credit quality rating from a rating agency recognized by the French Banking Commission and not have first-line exposure to defaults by borrowers; purchase mortgage promissory notes representing loans stipulated under Section L of the Monetary and Financial Code and that are issued in line with the conditions specified in Sections L et seq. of the Monetary and Financial Code. Mortgage promissory notes may not account for more than 10% of an SCF s assets. Moreover, SCFs may hold cash and replacement assets up to a maximum of 15% of the amount of covered bonds and other secured debt on their balance sheet. 3 PRIVILEGED DEBT CONFERRING PREFERRED CREDITOR STATUS In order to finance its cover pool, an SCF issues covered bonds conferring preferred creditor status under Section L of the Monetary and Financial Code, and any other securities whether or not they confer preferred creditor status. Furthermore, Section L stipulates that all the assets of an SCF are held, first and foremost, to redeem the company s covered bonds and any other privileged debt it may issue. Preferred creditor status is also enjoyed by counterparties that have entered into financial futures transactions to hedge their assets and liabilities. Holders of this privileged debt have an absolute senior interest with respect to all other creditors, including the State. 4 ENTITIES WITHOUT EMPLOYEES In order to avoid any conflicts between the preferred status granted to employees under French labor laws, and the preferred creditor status of covered bond holders, SCFs generally do not employ any staff. The management and collection of loans and related receivables, securities, and other assets held, and the management of bonds and other funding raised must be delegated to an outside credit institution that is under contract to the SCF and that operates under the supervision of the banking authorities. Fees due to this service provider also have preferred status under Section L of the Monetary and Financial Code. 4

35 5 STRICT MANAGEMENT STANDARDS AND TIGHT RISK CONTROL SCFs are required to comply with a certain number of risk management and control rules, which in their particular case, are considerably more stringent than those that apply to credit institutions as a whole. In order to fulfil its obligations toward preferred creditors, the SCF must ensure that its total assets, weighted according to applicable regulations, constantly exceed the amount of the privileged debt it has issued. For this purpose, it calculates a coverage ratio, which must be greater than or equal to 100%. The coverage ratio is determined on the basis of accounting data and is reported and published at regular intervals, in accordance with applicable laws and regulations. The SCF manages its assets in compliance with regulatory limits relating to guaranteed loans, mortgage promissory notes, and replacement assets, and it matches its assets and liabilities in terms of interest rates and maturities. As credit institutions, SCFs are subject to French Comité de la Réglementation Bancaire et Financière (CRBF) regulation on internal control. Accordingly, they must set up systems for monitoring transactions and internal procedures, handling accounting processes and data processing, and risk management and monitoring. 6 STRENGTHENED EXTERNAL AUDITING SCFs are required to appoint a registered independent specific controller expressly authorized by the French Banking Commission. To ensure independence, the specific controller may not be an employee of either of the SCF s independent auditors, of the company that controls the SCF, or of any company directly or indirectly controlled by a company that controls the SCF. The specific controller ensures that the SCF adheres to the rules concerning qualifying assets and complies with the coverage ratio requirement. The specific controller certifies the documentation submitted to the Banking Commission and issues an annual report on the execution of his assignment. Every quarter, the specific controller reviews the impact on the coverage ratio of the company s quarterly covered bond issue program, as well as that of any individual covered bond issue exceeding 500 million. The specific controller attends shareholders meetings and has the right to consult the Company s Board of Directors or Management Board at his discretion. He is also empowered to report any material mismatches to the SCF s management and to the Banking Commission. 7 ACTIVITY SUPERVISED BY THE BANKING AUTHORITIES SCFs operate under the constant supervision of the Banking Commission. Pursuant to Section L of the Monetary and Financial Code, the Banking Commission monitors compliance by SCFs with their obligations and can sanction lapses on their part. Like all credit institutions, SCFs must issue periodic financial information. Moreover, SCFs are also required to publish various reports that must be certified by the specific controller and then filed with the Banking Commission, including: an interim report on their coverage ratio, compliance with regulatory limits and calculation of the amount of eligible assets that can be refinanced by privileged debts; an annual report on the quality of their assets, describing the characteristics and breakdown of loans and guaranties, the amount of defaults, the breakdown of receivables by amount and by class of debtors, the proportion of early redemptions, the list and characteristics of the securities issued by securitization vehicles and RMBSs that it holds, the volume and breakdown of replacement assets that it holds, and the extent and sensitivity of its interest-rate exposure. 8 EXEMPTION FROM BANKRUPTCY LAW Under Section L of the Monetary and Financial Code, preferred creditor status is upheld even in the event of forced or voluntary bankruptcy of the issuer, and the company s other creditors have no rights whatsoever to its assets until the claims of preferred creditors have been satisfied in full. Moreover, the courtordered liquidation of an SCF does not constitute an event of default in respect of privileged debt, which remains repayable according to the schedule specified in the issuing agreement. 5

36 As an exception to general principles of French law, if a company that holds shares in an SCF is placed in bankruptcy or liquidation, the procedure cannot be extended to the SCF. As a result, SCFs are the only French companies to enjoy full protection from the risks of default by their parent company or group, in accordance with the express wishes of the government. 9 A VEHICLE THAT COMPLIES WITH EUROPEAN STANDARDS SCFs must comply with the standards contained in Article 22.4 of the European Council directive 85/611/EC of 20 December 1985 on the coordination of laws, regulations, and administrative provisions relating to undertakings for collective investment in transferable securities (UCITS). As such, they qualify for a 10% risk weighting. They also satisfy the conditions stipulated in European Parliament and Council Directive 2006/48/CE (CRD) concerning covered bonds. II A DEDICATED FUNDING VEHICLE FOR CREDIT IMMOBILIER DE FRANCE A CIF Euromortgage and Crédit Immobilier de France 1 Crédit Immobilier de France Crédit Immobilier de France which celebrated its centenary in 2008 has organized itself throughout the 20 th century around nonprofit sociétés anonymes de crédit immobilier (or SACIs ), the oldest of which have been operating since 1908, to promote home ownership by the deserving working classes. As special partners to the French government, helping it apply its social housing policy, the SACIs gradually developed two activities: building residential housing and originating subsidized loans, such as the Prêt à l Accession à la Propriété, which they granted exclusively until the late 1970s and then alongside other institutions until 1995, when the subsidized loans were replaced by the Prêt à Taux Zéro (the interest-free loan). In 1984, France s banking law gave SACIs the status of credit institutions in addition to their status of lowincome housing providers. The law of 15 May 1991 grouped the SACIs together into a banking network under a central entity (Chambre Syndicale). In 1999 the Chambre Syndicale separated the SACIs lending and real estate activities and spun them off. The real estate activities were transferred to dedicated real estate construction and management subsidiaries, whereas the lending activities were sold to the Regional financial subsidiaries, of which Crédit Immobilier de France Développement CIFD acquired the majority of the capital stock, CIFD itself being a wholly-owned subsidiary of the SACIs. In 2000 CIFD purchased 100% of the capital stock of Banque Patrimoine et Immobilier BPI. In 2006 the SACIs were given a new, updated organization by the Law of 18 December 2006, which ratified the government order of 25 August 2006 concerning cooperative home loan companies. The new law transformed the SACIs into cooperative home loan companies ( SACICAPs ) whose corporate purpose is to execute any and all transactions designed to enable low-income individuals to become home owners, and also to encourage social integration, conduct all forms of real estate development and renovation, and provide housing-related services. SACICAPs are authorized to hold direct or indirect interests in any companies whose corporate purpose is either to execute any and all housing transactions, provide housingrelated services, and carry out any and all development operations related wholly or in part to housing operations; or to provide banking products and services and related services to retail customers in connection with housing transactions. SACICAPs are federated under Union d Economie Sociale pour l Accession à la Propriété ( UES-AP ), which pre-approves acquisitions and divestments of direct or indirect ownership interests by the SACICAPs. This new legislative framework establishes the SACICAPs as strong local players thanks to a diversified shareholder base grouped into colleges one of them represented primarily by HLM low-income housing organizations and another represented primarily by local authorities. Each of these colleges may include other members provided that these aforementioned HLM organizations and local authorities hold the majority of the voting rights in the college concerned. If appropriate, another college may be created consisting of public- 6

37 interest cooperative companies or subsidiaries of public-interest cooperative companies but excluding HLM low-income housing companies, on the condition that this college not hold more than 10% of the voting rights at the shareholders meeting. This new legislative framework also confers on SACICAPs an important role in terms of agreements between the French government and UES-AP. SACICAPs, which continue to be private-sector entities, have strengthened their role as a long-standing partner to the French government in implementing its policy of developing and revitalizing social housing. On 16 April 2007 the French government and UES-AP signed a six-year agreement, effective 1 January 2008, whereby the SACICAPs agree to: undertake a vast program of building and selling housing intended to promote home ownership; devote at least one-third of their distributable earnings each year to government-designated social programs, with a combined goal of providing between 200 million and 300 million in financing over that six-year period. As concerns lending and granting home loans, Clause 3 of the Law of 18 December 2006 provided for the creation of a new network, still known as Crédit Immobilier de France, comprising all the entities involved in the former Crédit Immobilier de France network s lending activities, mainly CIFD and its subsidiaries: Caisse Centrale de Crédit Immobilier de France 3CIF, CIF Euromortgage, the 11 Regional financial subsidiaries existing at that time, and Banque Patrimoine et Immobilier. CIFD is the new network s central entity ( organe central ), as construed under French banking legislation. The operating subsidiaries the Regional financial subsidiaries and Banque Patrimoine et Immobilier continue to be responsible for granting residential mortgages, largely covering different customer segments but having particular expertise in the area of low-income borrowers, whereas 3CIF and CIF Euromortgage are responsible for raising the funding required for these lending activities. This organization is completed with the Caution Mutuelle du Crédit Immobilier de France, which issues financial guaranties for real estate lending; Assurances et Conseils, an insurance broker; and Cegeris, an issuance broking and appraising company. The Crédit Immobilier de France network, as created by the Law of 18 December 2006, is organized as follows: UES-AP Caution Mutuelle 56 SACICAP 100% 49% Cr édit Immobilier de France D CIFD éveloppement 51% 99.99% 99.99% 100% CIF Euromortgage Caisse Centrale du Crédit Immobilier de France 3CIF Banque Patrimoine Immobilier BPI 11 Regional Financial Subsidiaries 100% Subordinated units 100% Subordinated units BPI Master Mortgage (FCC ) CIF Assets (FCT) 99.99% 100% Senior units 100% Senior notes 60% 20% Assurances et Conseils Cegeris 20% Real estate subsidiaries Network created by the Law of 18 December

38 2 CIF Euromortgage CIF Euromortgage is the SCF of the Crédit Immobilier de France. Since 2001 it has been the central arm in the Crédit Immobilier de France group s medium- and long-term financing organization. Its sole purpose is to raise, at lowest cost, the funds the operating subsidiaries lend to their customers. This activity has been organized around the securitization of Crédit Immobilier de France s residential mortgage portfolios via two securitization vehicles CIF Assets and BPI Master Mortgage followed by CIF Euromortgage s purchase of the senior securities (notes or units) issued by the securitization vehicles. CIF Euromortgage was founded on 11 January 2001 with capital stock of 50 million. In January 2002 its capital stock was increased to 100 million, fully paid-up, and it is wholly-owned by Crédit Immobilier de France Développement (CIFD), except for the qualifying shares held by the members of the Supervisory Board (one share per member) in accordance with the Company s articles of incorporation. As a member of the Crédit Immobilier de France, it is covered not only by its own safeguards, but also by the CIFD mutual guaranty system, whereby each group entity is entitled to receive support from the other entities, up to the amount of their shareholders equity. CIF Euromortgage cannot, however, be called upon to fulfill the obligations of other entities because its assets may only be used to cover its obligations to its preferred creditors by virtue of the specific regulations that apply to it. With their AAA/Aaa ratings from Fitch and Moody s, CIF Euromortgage s covered bonds have attracted considerable investor interest since the Company s inception. CIF Euromortgage has thus enhanced Crédit Immobilier de France s financial competitiveness while minimizing the risks inherent in the credit rating on its non-preferred debt. B Securitization of Crédit Immobilier de France s Mortgage Loans As of 31 December 2009, there were 12 operating subsidiaries granting home loans to consumers. Each serves a specific geographic market and has its own shareholder base, in addition to CIFD s shareholding interest in each of them. To maximize the benefits of this organization, each company adapts the CIFD-approved marketing strategy to its local market and works to create value for its shareholders. The operating subsidiaries receive funding from the SCF. At the same time, they seek to obtain a fair return on the pools of home loans they sell to the securitization vehicles, considering the quality of their loan originations and the cash flows they generate, which they could not obtain from direct sales of home loans to the SCF. Securitization programs allow them to receive the excess spread obtained by the vehicles, after expenses, reflecting the quality and performance of the receivables they sell. Securitization thus satisfies the network s need to pool portfolios of home loans of various amounts and origins into a single instrument, and to obtain a return on the asset sales that is commensurate with each portfolio s performance. 1 Regulations Governing Securitization Order N of 13 June 2008, implementing the European Parliament and Council Directive 2005/68/CE of 16 November 2005 on reinsurance, and amending the legal framework for French securitization vehicles ( FCCs ), substantially changed the conditions for securitization in France. This order distinguishes between two types of securitization entities: the securitization company (an ordinary French corporation or simplified business French corporation) and the securitization vehicle ( fonds commun de titrisation or FCT), which is not a separate legal entity but retains most of the earlier characteristics of the late FCC. However, Section 16 of the aforementioned order stipulates that FCCs created prior to its publication date continue to be governed by Sections L to L of the Monetary and Financial Code as worded prior to that date, unless changes to their by-laws subject them to the new regulations as FCTs. FCTs, and, in their form prior to 13 June 2008, FCCs are vehicles set up for the joint ownership of pools of receivables. They are not separate legal entities and are therefore exempt from the bankruptcy provisions of Book 6 of France s Commercial Code. Their operations and their investment and financing strategy are defined in rules drawn up jointly by the management company, which manages the securitization vehicles and represents it in its dealings with third parties, and by the custodian generally a bank which holds the vehicle s assets and unallocated cash. 8

39 The securitization vehicle acquires or disposes of receivables by means of a simple transfer certificate signed by the assignor. The transfer takes effect and becomes valid against claims from third parties on the certificate date, regardless of the starting date, term, or due date of the receivables themselves. Disposals are final even if the assignor is put into forced bankruptcy after the sale. The transfer certificate automatically confers rights to the collateral and other guaranties and accessions securing the receivables, including mortgages, and is proof of transfer that is valid against claims from third parties without any further formalities being required. Securitization vehicles are structured to issue two types of securities: senior securities that are protected from risk of default on the underlying assets and are generally rated AAA, and subordinated securities that are directly exposed to default risk. To limit the exposure of subordinated securities holders, a guaranty fund may also be set up to absorb all or part of the losses generated by defaults on the underlying assets. The proportion of senior and subordinated securities is determined on the basis of various stress scenarios, to ensure that senior securities are protected from default risk as efficiently as possible and receive a AAA rating. 2 CIF Assets CIF Assets was organized as a multi-series FCC on 27 April 2001 by Caisse Centrale du Crédit Immobilier de France (the custodian) and Paris Titrisation (the management company). The first and series to date, CIF Assets , was also created in April It purchases residential mortgages from Crédit Immobilier de France s Regional financial subsidiaries, which are the main originators of loans granted to Crédit Immobilier de France s customers. CIF Assets , a multi-assignor series with a multi-annual issue capacity, has steadily brought all of the Regional financial subsidiaries into the securitization process. At 31 December 2009, the sub-vehicle had assets of billion. Since its inception, CIF Assets has undergone the following changes: It adopted quarterly amortizations as of 23 April 2004; Until the third quarter of 2008, it issued only senior and subordinated units. Pursuant to a change in the European Central Bank s eligibility criteria for refinancing, which exclude the senior units of FCCs as of 1 st January 2009, CIF Assets transformed its senior units into senior notes on the occasion of the October 2008 reloading. Since then, CIF Assets has been issuing senior notes and subordinated units. Like the senior units for which they were substituted, these senior notes have a senior interest and are AAA/Aaa-rated by the agencies Fitch and Moody s. This transformation, which has not affected in any way the FCC s economics and architecture, has enabled Crédit Immobilier de France to preserve its ECB refinancing capability, as the senior notes issued by the FCCs are accepted as collateral for ECB repo funding operations; On the occasion of the October 2008 reloading, each of the Regional financial subsidiaries created a special collection reserve in the FCC s books for the purpose of protecting securityholders against potential default by servicers of the receivables; On the occasion of its October 2009 reloading, CIF Assets was transformed into an FCT governed by Sections L et seq. of France s Monetary and Financial Code. At the same time, in addition to its special collection reserve, CIF Assets created a redemption reserve that is funded by the Regional financial subsidiaries and intended to enhance securityholder protection by guarantying the risk of having to reimburse an assignee in the event of cancellation of the sale of a receivable. At 31 December 2009, the main characteristics of CIF Assets were as follows: It had 317,562 loans outstanding; The average loan amount was 59,631.08; The average residual amortization period of the loans was 19.9 years; 85.77% of home loans held were secured by a first mortgage or lien; 14.23% were guarantied by a credit institution or insurance company with capital stock of at least 12 million and not belonging to the same consolidating entity as CIF Euromortgage, or by the French National Railways (Société Nationale des Chemins de Fer Français SNCF ) for 2.09% of the total; 11.5% were backed by an FGAS (Guarantee fund for social access to home ownership) guaranty; Their average initial loan-to-value (LTV) ratio was 93.06%; Their average LTV ratio after amortization was approximately 71.00%; 32.8% were fixed-rate loans; 9

40 6.64% were ordinary floating-rate loans; 54.16% were capped floating-rate loans, with the cap applying over the entire term of the loan or for a fixed period only; 6.40% were interest-free loans; 84.7% were loans to finance the purchase of the borrower s principal residence; 14.42% were loans to finance the purchase of rental real estate. As of 31 December 2009, CIF Assets had financed these asset purchases by issuing two categories of securities: 438,947 series A senior notes rated AAA/Aaa by Fitch and Moody s, representing 87.7% of the total amount of debt securities issued 23,137 series B subordinated units rated A2 by Moody s, representing 12.3% of the total amount of debt securities issued. As of 31 December 2009, the Regional financial subsidiaries had special collection reserves totaling 430 million. At that same date, the redemption reserve amounted to 60 million. All holders of all classes of securities issued by CIF Assets are protected from default risk, first by charging the losses against the excess spread due to the Regional financial subsidiaries, and second, by tapping the guaranty fund, which amounted to 3.70% of the value of the securitized assets as of 31 December Series A senior noteholders also benefit from the subordination of the series B units. At 31 December 2009, CIF Assets senior notes were 16% overcollateralized. Overcollateralization is readjusted on the occasion of every half-yearly reloading for the purpose of protecting the FCT s senior noteholders. CIF Assets senior notes are listed on the Paris Stock Exchange. The initial prospectus was filed with France s securities regulator, Commission des Opérations de Bourse, under the number FCC R The prospectus is updated and refiled with the regulator on the occasion of every reloading. When CIF Assets was created, the interest paid on senior units was set at 10bp over 3-month Euribor. However, CIF Euromortgage s cost of funds has increased since the financial crisis. Consequently, as of the April 2009 reloading, the remuneration of the senior securities was increased to 30bp over 3-month Euribor, and again, to 40bp over 3-month Euribor, as of the October 2009 reloading. 3 BPI Master Mortgage In May 2003 Caisse Centrale du Crédit Immobilier de France and Paris Titrisation formed a second reloadable multi-series FCC, BPI Master Mortgage, with the primary aim of purchasing home loans held by Banque Patrimoine et Immobilier, which Crédit Immobilier de France had recently acquired. The first and only series to date, BPI Master Mortgage 2003, was also created in May 2003, with annual reloading and quarterly amortization. At 31 December 2009, the main characteristics of BPI Master Mortgage 2003 were as follows: It had 38,272 loans outstanding. The average loan amount was 56,835. The average residual amortization period of the loans was 13.8 years % of home loans held were secured by a first mortgage or lien % were guarantied by a credit institution or insurance company with capital stock of at least 12 million and not belonging to the same consolidating entity as CIF Euromortgage. 7.23% of residential mortgages were unsecured (this only applies to mortgages granted to employees of EDF and GDF). Their average initial LTV ratio was 83.5%. Their average LTV ratio, after amortization, was approximately 57.1%. 57.8% were fixed-rate loans. 4.9% were ordinary floating-rate loans. 37.3% were capped floating-rate loans, with the cap applying over the entire term of the loan or for a fixed period only. 64.3% were loans to finance the purchase of the borrower s principal residence. 10

41 25.2% were loans to finance the purchase of rental real estate. As of 31 December 2009, BPI Master Mortgage 2003 had assets of 2.28 billion, which were financed by issuing two categories of securities: 74,978 series A senior units rated AAA/Aaa by Fitch and Moody s, representing 90.20% of the total amount of securities issued 2,124 series B subordinated units rated A2 by Moody s, representing 9.80% of the total amount of debt securities issued. All holders of all classes of securities are protected from default risk, first by charging the losses against the excess spread, and second, by tapping the guaranty fund, which amounted to 3.40% of the value of the securitized assets as of 31 December At 31 December 2009, BPI Master Mortgage senior units were 13.2% overcollateralized. As BPI Master Mortgage 2003 switched to half-yearly reloading in 2009, overcollateralization is now readjusted on the occasion of every reloading. After Order # took effect on 13 June 2008, BPI Master Mortgage 2003 was not converted into an FCT, but remained an FCC as authorized by Section L of the Monetary and Financial Code. BPI Master Mortgage 2003 has not been listed. Consequently, no request has been made for its senior units to be eligible for ECB repo funding. As in the case of CIF Assets, when BPI Master Mortgage 2003 was created, the interest it paid on senior units was set at 10bp over 3-month Euribor. As of the May 2009 reloading, their remuneration was increased to 30bp over 3-month Euribor, and again, to 40bp over 3-month Euribor, as of the November 2009 reloading. C Acquisition of Senior Securities by CIF Euromortgage CIF Euromortgage purchases the senior notes issued by CIF Assets and senior units issued by BPI Master Mortgage. It has also been authorized by France s Comité des Etablissements de Crédit et des Entreprises d Investissement (CECEI) to purchase AAA-rated senior securities from other French securitization vehicles as well as securities from similar vehicles governed by the laws of a member state of the European Economic Area, (Residential mortgage-backed Securities -RMBS) provided that those securities qualify for inclusion in the portfolio of an SCF and have a AAA rating. Under the terms of the CECEI authorization, it may also make direct purchases of residential mortgages and other loans. CIF Euromortgage has chosen to not acquire directly mortgage loans but to invest exclusively in senior securities issued by French securitization vehicles and in residential mortgage-backed securities (RMBS) issued by similar vehicles governed by the laws of a European Economic Area State. It currently holds no investments outside the European Economic Area, even though it is authorized to do so, and it thus has no direct or indirect exposure to the US subprime mortgage market. As CIF Euromortgage does not purchase residential mortgages directly, it has no direct, immediate exposure to default risks of the final borrower, except in case of exceptional circumstances. Thanks to the mechanisms set up by the securitization vehicles to minimize and manage the default risk on mortgage loans overcollateralization at the time of purchase; creation of a guaranty fund; allocation of losses first to subordinated securities following payouts by the guaranty fund CIF Euromortgage s covered bonds have extremely low exposure to default risk of the final borrower. At the securitization vehicles set up as part of the Crédit Immobilier de France loan securitization process, credit losses on residential mortgages are allocated in the first instance to the guaranty fund and then to subordinated securities so that, on the basis of the stress tests performed at the vehicles inception and regularly updated thereafter, there is no risk of any impact on the senior notes. To date, CIF Euromortgage has never incurred the slightest loss on its investment portfolio. 11

42 Through securitization, CIF Euromortgage s investors benefit from two levels of overcollateralization: the legal obligation to overcollateralize inherent in the SCFs coverage ratio, and overcollateralization at the level of the securitization vehicles, whose senior securities are held by CIF Euromortgage, as described above. CECEI authorization requires that CIF Euromortgage acquire only senior assets that are rated AAA by at least one rating agency. CIF Euromortgage has taken this requirement one step further, by choosing to invest exclusively in assets rated AAA by at least two agencies. For reasons of its unique organization, its use of securitization, and the stringent management rules by which it abides, CIF Euromortgage offers investors a much higher level of protection than that afforded by the law governing SCFs. Securitization offers another key advantage to CIF Euromortgage in times of financial crisis, such as the credit crunch that has just affected the markets: The liquidity of its assets, which are eligible for ECB repo funding, shelters CIF Euromortgage from cash flow problems. To finance its various asset purchases, CIF Euromortgage issues covered bonds that confer preferred creditor status (Section L of the Monetary and Financial Code) and are rated AAA/Aaa by Fitch Ratings and Moody s. III BUSINESS REVIEW In 2009 CIF Euromortgage raised funds for the lending activities of Crédit Immobilier de France s operating subsidiaries. It issued covered bonds and purchased the senior notes and units issued by the group s securitization vehicles CIF Assets and BPI Master Mortgage, as well as mortgage promissory notes issued by the operating subsidiaries. A Financing 1 Issues of Covered Bonds and Other Privileged Debt a Issues in 2009 In a totally unusual context a sluggish market that rebounded on the ECB s announcement early in May 2009 that it would purchase covered bonds CIF Euromortgage issued a total of 7.18 billion in covered bonds and other privileged debt in 2009, more than ever before in a single year. This funding was raised in a total of 47 issues, including: three new jumbo public issues one for 2 billion in June 2009 (the largest covered bond issue since the Lehman Brothers bankruptcy), a 1.25 billion ten-year offering in October 2009, and a 1.25 billion two-year offering in December 2009 featuring the best covered bond spread since November 2008 twelve public issues involving additional bonds from several past issues, totalling 1.25 billion, primarily in the first half, before the markets eased in June 2009 six private placements, including two denominated in euros totalling 30 million, and four in Swiss francs for a total of 236 million twenty-six issues of registered covered bonds, which are German debt securities benefiting from the privilege of Article L of the Monetary and Financial Code. 12

43 Euro-Denominated Public Offerings in 2009 ISIN Issue date Maturity Coupon (%) Interest rate Currency Amount FR /01/ /02/ Fixed-rate Euro 230,000,000 FR /01/ /12/ Fixed-rate Euro 310,000,000 FR /02/ /12/ Fixed-rate Euro 70,000,000 FR /02/ /12/ Fixed-rate Euro 10,000,000 FR /03/ /04/ Fixed-rate Euro 30,000,000 FR /05/ /06/ Fixed-rate Euro 20,000,000 FR /05/ /10/ Fixed-rate Euro 30,000,000 FR /05/ /03/ Fixed-rate Euro 25,000,000 FR /04/ /10/ Fixed-rate Euro 10,000,000 FR /05/ /10/ Fixed-rate Euro 140,000,000 FR /05/ /10/ Fixed-rate Euro 125,000,000 FR /06/ /12/ Fixed-rate Euro 2,000,000,000 FR /08/ /10/ Fixed-rate Euro 250,000,000 FR /10/ /10/ Fixed-rate Euro 1,250,000,000 FR /11/ /04/ Fixed-rate Euro 1,250,000,000 Total 5,750,000,000 Euro-Denominated Private Placements in 2009 ISIN Issue date Maturity Coupon (%) Interest rate Currency Amount XS /06/ /07/2016 Structured Euro 15,000,000 XS /07/ /07/2016 Structured Euro 15,000,000 Total 30,000,000 13

44 Foreign-Currency-Denominated Private Placements in 2009 ISIN Issue date Maturity Coupon (%) Interest rate Currency Amount CH /07/ /11/ Fixed-rate CHF 33,701,806 FR /06/ /03/ Fixed-rate CHF 67,403,613 FR /07/ /10/ Fixed-rate CHF 67,403,613 CH /11/ /03/ Fixed-rate CHF 67,403,613 Total 235,912,645 All of these public issues and private placements were carried out under the CIF Euromortgage 25 billion debt issue program. The program s prospectus was updated early in 2010 and has been filed with the Luxembourg Stock Exchange. In 2009, CIF Euromortgage registered covered bonds issues totalled 1.16 billion. These Registered covered bonds were not issued under the CIF Euromortgage debt issue program, but specific offering documentation was prepared and validated by two law firms specializing in German and French law. As the German authorities consider such offerings as public deposit-taking, CIF Euromortgage was required to file a request for the right of establishment in Germany, which it received. These registered covered bonds, with maturities ranging from ten to thirty years, were placed with German institutional investors, particularly insurance companies seeking to match their long-term commitments with funds maturing in over eight years. b Redemptions in 2009 In 2009 CIF Euromortgage redeemed the following 2.95 billion in obligations that had reached maturity: ISIN Issue date Maturity Interest rate Currency Amount FR /06/ /06/2009 Fixed-rate Euro 1,250,000,000 XS /05/ /05/2009 Revisable Euro 75,000,000 FR /04/ /06/2009 Fixed-rate Euro 228,000,000 FR /06/ /10/2009 Fixed-rate Euro 1,000,000,000 FR /10/ /10/2009 Fixed-rate Euro 400,000,000 Total 2,953,000,000 The borrowings thus redeemed were raised at an average cost of 4.24bp below 3-month Euribor. 14

45 c Outstandings at Year-End 2009 Excluding redemptions of obligations that had matured, CIF Euromortgage s outstanding privileged debt amounted to billion at 31 December 2009, up by nearly 23% from billion a year earlier. Eurodenominated issues accounted for 93.36% of this debt, and foreign currency-denominated issues accounted for the remaining 6.64%. Analysis of Debt, by Currency and Interest Rate, at 31 December 2009 (thousands euros) Public offerings in foreign currencies 2.22% Private placements in foreign currencies 4.42% Private placements in euros 7.97% Registered covered bonds 5.64% Public offerings in euros 79.74% Changes in Debt According to Currency and Interest Rate Between 31 December 2008 and 31 December 2009 (thousands euros) 25,000,000 20,000,000 15,000,000 10,000,000 5,000,000 0 EUR fixed rate EUR floating rate CHF GBP USD SEK DKK Total Dec. 08 Dec. 09 The bulk of covered bond issues (81.94% at 31 December 2009) were offered on the market. That proportion was nevertheless lower than at year-end 2008 (83.91%), primarily reflecting the large number of registered covered bonds issued in Private placements accounted for 18.06% of covered bond issues outstanding at 31 December 2009, versus 16.09% at year-end

46 Euro-Denominated Public Issues Outstanding at 31 December 2009 ISIN Issue date Maturity Coupon (%) Interest rate Amount outstanding ( ) at 31/12/09 FR /10/ /10/ Fixed-rate 1,750,000,000 FR /07/ /07/ Fixed-rate 1,000,000,000 FR /12/ /12/ Fixed-rate 1,000,000,000 FR /06/ /06/ Fixed-rate 1,000,000,000 FR /09/ /07/ Fixed-rate 250,000,000 FR /12/ /12/ Fixed-rate 1,250,000,000 FR /10/ /10/ Fixed-rate 1,500,000,000 FR /03/ /03/ Fixed-rate 1,000,000,000 FR /10/ /10/ Fixed-rate 1,000,000,000 FR /11/ /04/ Fixed-rate 1,250,000,000 FR /04/ /04/ Fixed-rate 1,000,000,000 FR /07/ /04/ Fixed-rate 150,000,000 FR /08/ /10/ Fixed-rate 100,000,000 FR /07/ /10/ Fixed-rate 100,000,000 FR /10/ /12/ Fixed-rate 30,000,000 FR /01/ /12/ Fixed-rate 310,000,000 FR /01/ /02/ Fixed-rate 230,000,000 FR /02/ /12/ Fixed-rate 70,000,000 FR /02/ /12/ Fixed-rate 10,000,000 FR /03/ /04/ Fixed-rate 30,000,000 FR /04/ /10/ Fixed-rate 10,000,000 FR /05/ /03/ Fixed-rate 25,000,000 FR /05/ /06/ Fixed-rate 20,000,000 FR /05/ /10/ Fixed-rate 30,000,000 FR /05/ /10/ Fixed-rate 140,000,000 FR /05/ /10/ Fixed-rate 125,000,000 FR /06/ /12/ Fixed-rate 2,000,000,000 FR /08/ /10/ Fixed-rate 250,000,000 FR /10/ /10/ Fixed-rate 1,250,000,000 FR /11/ /04/ Fixed-rate 1,250,000,000 Total 18,130,000,000 16

47 Foreign-Currency-Denominated Public Issues Outstanding at 31 December 2009 ISIN Issue date Maturity Coupon (%) Interest rate Currenc y Foreign currency amount Outstanding euro amount at 31/12/09 CH /12/ /06/ Fixed-rate CHF 200,000, ,807,226 CH /04/ /06/ Fixed-rate CHF 100,000,000 67,403,613 CH /10/ /06/ Fixed-rate CHF 200,000, ,807,226 CH /10/ /10/ Fixed-rate CHF 250,000, ,509,032 Total 505,527,097 Euro-Denominated Private Placements Outstanding at 31 December 2009 ISIN Issue date Maturity Coupon (%) Interest rate Outstanding at 31/12/09 FR /05/ /12/2014 Structured 102,000,000 XS /06/ /06/2019 Structured 50,000,000 XS /06/ /06/2019 Structured 50,000,000 FR /09/ /09/2014 Structured 50,000,000 FR /10/ /12/2019 Structured 55,800,000 XS /01/ /01/2012 Structured 50,000,000 FR /02/ /02/2017 Structured 60,000,000 FR /02/ /02/2020 Structured 50,000,000 FR /03/ /03/2022 Structured 50,000,000 FR /04/ /04/2020 Structured 75,000,000 FR /06/ /06/2020 Structured 100,000,000 FR /06/ /06/2020 Structured 30,000,000 FR /06/ /06/2021 Structured 100,000,000 FR /07/ /07/2021 Structured 85,000,000 FR /07/ /07/2021 Structured 25,000,000 FR /08/ /08/2016 Structured 120,000,000 FR /08/ /08/2016 Structured 20,000,000 FR /12/ /12/2020 Structured 20,000,000 FR /04/ /01/ Fixed-rate 500,000,000 FR /07/ /01/ month Euribor 190,000,000 XS /06/ /07/2016 Structured 15,000,000 XS /07/ /07/2016 Structured 15,000,000 Total 1,812,800,000 17

48 Private placements consisted mainly of structured bonds paying interest based on the performance of a basket of stock market indexes (Nikkei 225, Eurostoxx 50, and S&P 500). Private placements enable CIF Euromortgage to raise funds at a significantly lower cost than that incurred in public offerings. Interest on the issues is systematically converted to Euribor using swaps. Foreign-Currency-Denominated Private Placements Outstanding at 31 December 2009 ISIN Issue date Maturity Coupon (%) Interest rate Currency Foreign currency amount Outstanding euro at 31/12/09 FR /07/ /07/ Fixed-rate GBP 75,000,000 78,740,157 FR /01/ /11/ Fixed-rate USD 260,000, ,821,873 FR /01/ /12/ Fixed-rate USD 150,000, ,781,850 FR /01/ /06/ Fixed-rate USD 295,000, ,970,971 XS /07/ /07/ Fixed-rate SEK 667,000,000 61,361,546 XS /07/ /07/ Fixed-rate SEK 667,000,000 61,361,546 XS /07/ /07/ Fixed-rate DKK 140,000,000 18,760,720 CH /08/ /01/ Fixed-rate CHF 70,000,000 47,138,047 FR / /03/ Fixed-rate CHF 100,000,000 67,403,613 CH /07/ /11/ Fixed-rate CHF 50,000,000 33,701,806 FR /07/ /10/ Fixed-rate CHF 100,000,000 67,403,613 CH /11/ /03/ Fixed-rate CHF 100,000,000 67,403,613 Total 1,005,858,153 As at 31 December 2009, outstanding registered covered bonds amounted to 1.28 billion. CIF Euromortgage s covered bond issues are listed on the Luxembourg, Paris, and Frankfurt Stock Exchanges and placed with a broad range of mainly European investors. Most investors are from Germany and France, followed by Northern Europe and the United Kingdom. The Asian investor base has now expanded from Japan to cover a large portion of the continent. Below is an analysis of primary market investors, according to geographic region and sector, at 31 December 2009: Geographic Analysis of Primary Market Investors Spain/Portugal 2.6 Switzerland 3.9 UK/Ireland 9.1 US Offshore 1.9 Asia 7.6 Benelux 8.8 Scandinavia 13.3 Eastern Europe 1.6 Other 1.6 Middle Easet 0.6 Italy 1.8 Germany/Austria 29.0 France

49 At 31 December 2009, the main investors in CIF Euromortgage covered bonds were banks, central banks, fund managers, pension funds, and insurance companies. Business Analysis of Primary Market Investors Asset managers/ fund managers Other Banks Insurance companies Central banks The cost of new issues in 2009, amid financial crisis and concomitant with the redemption at maturity of five bond issues raised with narrow spreads between 2004 and 2008, increased the average cost of CIF Euromortgage s debt, which was equivalent to 27bp over 3-month Euribor. The maturity schedule of CIF Euromortgage s covered bonds outstanding at 31 December 2009 is shown below: Maturity Schedule of CIF Euromortgage s Covered Bonds Outstanding at 31 December ,500,000 2,000,000 1,500,000 1,000, ,000 14/ 01/ / 04/ / 04/ / 07/ / 07/ / 07/ / 04/ / 04/ / 12/ / 01/ / 04/ / 10/ / 01/ / 03/ / 03/ / 12/ / 12/ / 12/ / 01/ / 06/ / 06/ / 06/ / 06/ / 06/ / 09/ / 12/ / 12/ / 07/ / 10/ / 10/ / 10/ / 10/ / 10/ / 11/ / 07/ Maturities 19

50 2 Shareholders Equity and Other Funds a Shareholders Equity CIF Euromortgage has share capital of 100 million, represented by 2 million common shares with a par value of 50. Including reserves, retained earnings, and unappropriated 2009 net income, shareholders equity at 31 December 2009 amounted to million. b Subordinated Loans and Other Non Privileged Loans CIF Euromortgage has obtained seven undated subordinated loans from CIFD (its parent company and the holding company of the Crédit Immobilier de France group) for a total of 570 million. These loans are repayable at CIF Euromortgage s sole discretion. If CIF Euromortgage has no distributable income for a given year, it is entitled to defer interest payments until the first due date immediately following the shareholders meeting that acknowledges the existence of distributable income. Between September and December 2009, CIF Euromortgage received two new unsubordinated bullet loans from CIFD, one for 230 million and another for 100 million both over twenty years. These various loans, with a total face value of 900 million at year-end 2009, are contractually excluded from preferred creditor status under Section L of the Monetary and Financial Code. Consequently, they can be used at any time to guaranty the repayment of CIF Euromortgage s privileged debt and to finance the portion of the Company s assets that are not eligible for repo funding. B Investment Portfolio and Replacement Assets 1 Investment Portfolio The assets qualifying for inclusion in an SCF investment portfolio consist of loans and securities issued by securitization and similar vehicles that satisfy the criteria stipulated in Section L of the Monetary and Financial Code, and related assets, such as mortgage promissory notes. In line with its management rules, CIF Euromortgage has not invested directly in any loan portfolios. It only holds senior notes and units issued by CIF Assets and BPI Master Mortgage the Crédit Immobilier de France group s captive securitization units and, to a small extent, mortgage promissory notes representing residential mortgages granted by the operating subsidiaries of Crédit Immobilier de France, and for the remainder, RMBSs of European issuers. a Securities Issued by Securitization Units and RMBSs All securities issued by securitization vehicles and RMBSs held by CIF Euromortgage are backed by receivables guarantied by a first mortgage or lien, or, within the limitations imposed on SCFs by applicable regulations, the guaranty of a credit institution or insurance company. According to CIF Euromortgage s in-house regulations, each of these securities issues must be rated AAA by at least two rating agencies at the purchase date. At 31 December 2009 senior debt instruments issued by securitization vehicles and RMBSs amounted to billion, versus billion a year earlier. Senior notes issued by CIF Assets and BPI Master Mortgage accounted for 92.67% of the total and external RMBSs only 7.33%, compared with 88.68% and 11.32% respectively at year-end CIF Euromortgage has not purchased any new external RMBSs since July The table below analyzes the weighting of Group securitization vehicles senior securities and RMBSs in the investment portfolio showing the predominance of Crédit Immobilier de France s securitization vehicles starting in

51 Analysis of the Portfolio of Instruments Issued by Group Securitization Vehicles and by External RMBSs from 31/12/2001 to 31/12/ % 73% 72% 77% 82% 85% 89% 93% 57% 43% 31% 27% 29% 23% 18% 15% 11% 7% CIF Assets and BPI Master Mortgage External issuers Quarterly changes in investment portfolio outstandings over the year are shown below: TRANSACTION CIF ASSETS BPI MM RMBS TOTAL Balance at 31 December , , , , FCC FCT securities/rmbs purchases in Q FCC-FCT/RMBS amortizations in Q (376.02) (67.48) (83.60) (527.10) FCC-FCT securities/rmbs purchases in Q , , FCC-FCT/RMBS amortizations in Q (453.28) (96.22) (67.73) (617.23) FCC-FCT securities/rmbs purchases in Q FCC-FCT/RMBS amortizations in Q (338.50) (70.43) (79.64) (488.57) FCC-FCT securities/rmbs purchases in Q , , FCC-FCT/RMBS amortizations in Q (430.37) (73.75) (157.69) (661.81) Total at 31 December , , , , In 2009 CIF Euromortgage s portfolio expanded largely with the acquisition of CIF Assets senior notes, of which it purchased 4.75 billion, versus million of BPI Master Mortgage senior units. 21

52 Analysis of the FCC-FCT Securities/RMBS Portfolio According to Group and External Securitizations, at 31 December 2008 and 31 December 2009 December 2008 External RM BSs 11.32% % December 2009 External RMBSs 7.34% Group securitization units 88.68% BPI MM 11,30% Var i abl e-r ate Fi xed-r ate RMBSs RMBSs 1.43% 9.89% Group securitization units 92.66% BPI MM 10,70% Fi xed-r ate RMBSs 0.57% Var iable-r ate RMBSs 6.77% CIF ASSETS 77,38% CIF ASSETS 81,96% Floating-rate securities largely dominated the interest-rate structure of the FCC-FCT securities/rmbs portfolio in At year-end, they represented 99.43% of portfolio assets; fixed-rate securities accounted for the remaining 0.57%. Analysis of the FCC-FCT Securities/RMBS Portfolio According to Interest Rate, at 31 December 2009 FIXED-RATE 0.57% 1-MONTH EURIBOR % 6-MONTH EURIBOR 0.000% 3-MONTH EURIBOR 99.36% Geographic Analysis of the FCC-FCT Securities/RMBS Portfolio, at 31 December 2009 Netherlands 1% Spain 3% Italy 2% Netherlands Spain Italy France France 93% 22

53 The portfolio of RMBSs issued by entities from outside the Crédit Immobilier de France Group dates back to the period when CIF Euromortgage was founded, when the first loadings by CIF Assets, involving only a few CIF Group companies, fell short of the total funds raised in the Company s benchmark issues. Most of the securities in this RMBS portfolio are backed by loans that were issued for the most part before At 31 December 2009, these RMBSs, with a value of 1.34 billion, had the following main characteristics: there are a total of 42 investments in 41 different RMBS issues; CIF Euromortgage has two investments in the Italian vehicle Vela Home Series 4. all the issuers are governed by the laws of a European Economic Area Member State, including: o o o o 1 from the United Kingdom 21 from Spain 14 from Italy 5 from the Netherlands. apart from the cash investments referred to in their prospectus, at least 90% of each RMBS s assets consists of loans eligible for inclusion in the portfolio of an SCF (home loans secured by a first mortgage or lien). of the 42 RMBSs in the CIF Euromortgage portfolio, 25 (46.48% of the total) were issued prior to 31 December 2003 and 35 (84.72% of the total) prior to 31 December Senior debt instruments are protected from default risks by the existence of a guaranty fund and by the existence of subordinated units. all but three of the RMBS issues is backed by a guaranty fund equal to between 0.50% and 12% of the vehicles total liabilities, and in all but four cases, the guaranty fund is or greater than or equal to the target amount. subordinated units account for 2.4% to 11.96% of all the securities issued by the vehicle. with the exception of the Delphinus RMBSs 2001-I and 2001-II, which have a current LTV ratio of 94.60% and 96.90%, respectively, the current LTV ratio of RMBSs ranges from 30.83% to 78.70%. the 1- to 3-month default rate is less than 2% for 73.80% of the RMBSs. among the senior debt instruments in the portfolio the only type held by CIF Euromortgage 10 are AAA-rated by three rating agencies (Moody s, Fitch, and Standard & Poor s) and all are AAA-rated by two of these agencies. The above information has been obtained from prospectuses, pre-sale reports, and rating agency quarterly performance overviews. The RMBS Granite 03-2 was put into accelerated amortization in This event didn t resulted from a default or loss on securitized assets, but by a decision made by the sponsor alone, with the consent of the UK supervisory authorities, not to sell additional loans to the vehicle. The decision set off a non-asset trigger, which contractually led to the accelerated amortization of the vehicle. The quality of the securities held by CIF Euromortgage was in no way affected by this event, and the rating agencies confirmed their AAA rating. In 2009, the following changes were made to ratings of RMBSs in the portfolio: Argo Mortgage 2, TDA Cam 4, and TDA Pastor 1 were subject to a creditwatch by Moody s. Moody s downgraded the Sestante 2 senior notes from Aaa to Aa1, whereas Fitch and Standard & Poor s left their ratings unchanged, although Standard & Poor s has placed the issue on creditwatch. An in-depth analysis of the subordinated units of RMBS issuers, of which CIF Euromortgage only holds senior securities, shows that those whose Fitch and Moody s ratings were upgraded in 2009 outnumbered those that were downgraded. Out of the entire RMBS portfolio held by CIF Euromortgage, Moody s upgraded the ratings of at least one subordinated securities issue of four RMBS issuers, while no subordinated securities issues were downgraded. In the meantime, Fitch downgraded at least one subordinated securities issue of three RMBS issuers while upgrading twenty RMBS subordinated securities issues. Crédit Immobilier de France has developed a tool to simulate the impact of various stress scenarios on its RMBS portfolio. The results of simulations show that the risk to CIF Euromortgage s RMBS portfolio is reasonable: zero loss even in the event of a 20% to 50% drop in the value of the underlying real estate assets. 23

54 The detailed list of securitization instruments and RMBSs held in the investment portfolio, including the issuer s name and rating, is provided in Appendix 1.2. b Mortgage Promissory Notes SCFs have the option of investing up to 10% of their total portfolio in mortgage promissory notes backed by loans qualifying for inclusion in SCF portfolios and issued in accordance with Sections L et seq. of the Monetary and Financial Code. CIF Euromortgage made use of this option throughout 2009 and purchased a number of mortgage promissory notes issued exclusively by the operating subsidiaries of Crédit Immobilier de France, enabling them to raise low-cost financing between two CIF Assets and BPI Master Mortgage reloads. Each of these mortgage promissory notes, with a maturity of one month, is guarantied for up to 127% of its face value by home loans held by the operating subsidiaries and benefit from the endorsement of 3CIF. At the end of each monthly period in 2009, the face value of mortgage promissory notes in the portfolio was as follows: Mortgage Promissory Notes in the Portfolio at the End of Each Monthly Period in ,950 1,960 1,990 2,050 2,140 2,290 1,890 1,960 1,860 2,050 2,030 1,236 January February March April May June July August September October November December At year-end 2009, the CIF Euromortgage investment portfolio included 13 mortgage promissory notes for a total of 2.29 billion. Counterparty Issue date Maturity Face value CIF RHONE ALPES AUVERGNE 16/12/ /01/ ,000,000 CIF ILE DE FRANCE 16/12/ /01/ ,000,000 CIF SUD 16/12/ /01/ ,000,000 CIF MEDITERRANEE 16/12/ /01/ ,500,000 CIF BRETAGNE ATLANTIQUE 16/12/ /01/ ,500,000 CIF CENTRE OUEST 16/12/ /01/ ,000,000 CIF NORD PAS DE CALAIS 16/12/ /01/ ,000,000 CIF PAYS DE LOIRE 16/12/ /01/ ,000,000 CIF BOURGOGNE FRANCHE COMTE ALLIER 16/12/ /01/ ,000,000 CIF BRETAGNE 16/12/ /01/ ,000,000 BANQUE PATRIMOINE ET IMMOBILIER 16/12/ /01/ ,000,000 CIF SUD OUEST 16/12/ /01/ ,000,000 SOFIAP 16/12/ /01/ ,000,000 2,290,000,000 24

55 CIF Euromortgage investment portfolio, net of purchases and amortizations during the year, and including mortgage promissory notes, amounted to billion at 31 December 2009, up by 19.8% from billion at 31 December It comprised billion in securities of Crédit Immobilier de France group securitization vehicles ( billion in CIF Assets senior notes and 1.95 billion in BPI Master Mortgage senior units), 1.34 billion in RMBSs, and 2.29 billion in mortgage promissory notes. Including CIF Euromortgage s mortgage promissory note purchases, the investment portfolio was 93.48%- backed by receivables from within the Crédit Immobilier de France Group at 31 December 2009, versus 89.92% a year earlier. 2 Replacement Assets Under Section L of the Monetary and Financial Code, as amended in 2007 in connection with the implementation of the Capital Requirements Directive in French law, SCFs are authorized to hold the equivalent of 15% of their covered bonds and other senior debt in the form of low-risk, liquid assets in place of qualifying loans and securities. Section L of the Monetary and Financial Code defines low-risk, liquid assets as securities and deposits from credit institutions and investment companies that have received the highest credit rating as established by a rating agency recognized by the Banking Commission, as well as receivables from credit institutions and investment companies having the second-highest credit rating, with a residual term not exceeding 100 days. During 2009, CIF Euromortgage purchased a number of jumbo certificates of deposit with a total face value of 2.59 billion at 31 December Moreover, it purchased qualifying RMBSs under repurchase agreements totaling approximately 1 billion at year-end Analysis of Replacement Assets at 31 December 2008 and 31 December 2009 December 2008 Analysis of cash holdings Décembre 09 Répartition de la trésorerie % Term loans 0.00% Prêts à terme 13,64% Repos 44.21% Jumbo CDs 55.79% Pensions 24,28% CD 62,08% For reasons of 3CIF s rating, these transactions were concluded for a maximum term of one month and remunerated on the basis of interest rates applicable to 1-month investments. It became apparent, however, that 3CIF has had the continuous benefit of a substantial amount of cash due to the fact that these operations have regularly been rolled over. Under the terms of an agreement dated 1 st June 2009, both parties have agreed that 3CIF will pay CIF Euromortgage an additional remuneration computed on the basis of the average outstanding amount of the operations between 1 st January and 31 December In addition, CIF Euromortgage held million in its current account at year-end Other Assets With the exception of the aforementioned assets, at 31 December 2009, CIF Euromortgage did not hold any other assets, and in particular, none of those that have been designated as incurring a specific risk in the context of the financial crisis that began in 2007: subprime credit, commercial mortgage-backed securities (CMBS), collateral debt obligations (CDO), leveraged debt instruments, LBOs, or monoline exposure. 25

56 IV FINANCIAL REVIEW A Analysis 1 Income Statement The change in CIF Euromortgage net banking income in 2009 reflects the impact of the decline in 3-month Euribor, which is the benchmark interest rate for its assets and liabilities. After peaking at 5.393% in October 2008, 3-month Euribor averaged 4.648% in 2008 and stabilized at 2.892% at 31 December At the beginning of January 2009, 3-month Euribor stood at 2.859% and continued to decline, averaging 1.218% over the year and hitting 0.70% at 31 December CIF Euromortgage reported 1, million in interest and related income in 2009, compared with 1,598 million in Although it was affected by the drop in 3-month Euribor, interest and related income benefited from the increased remuneration on senior debt instruments issued by the captive vehicles CIF Assets and BPI Master Mortgage. As of the April 2009 reloading, the remuneration CIF Assets paid on its senior notes was increased from 10bp over 3-month Euribor to 30bp over 3-month Euribor, and again, to 40bp over 3-month Euribor, as of the October 2009 reloading. BPI Master Mortgage increased the remuneration of its senior units in the same proportions as of the May 2009 and November 2009 reloadings. Operations in 2010 will reflect, on a full-year basis, the new remuneration of the Crédit Immobilier de France Group s captive securitization vehicles. The mortgage promissory notes CIF Euromortgage purchased from the operating subsidiaries in 2009 had an average value of 1,807 million and offered remuneration equal to 20bp over 3-month Euribor. Under the terms of their agreement between CIF Euromortgage and 3CIF dated 1 June 2009, 3CIF paid an additional remuneration of million on the cash that CIF Euromortgage invested with it in Interest and related expense amounted to 1, million, benefiting from the drop in 3-month Euribor, although the impact was attenuated by the widening of CIF Euromortgage s issue spreads, which rose sharply on issues floated during the financial crisis. This amount reflected 0.76 million in fees, commissions, and other banking expenses. Net banking income totaled 9.37 million, in line with forecasts, compared with million in 2008, when CIF Euromortgage received a swap equalization payment from Lehman Brothers International Europe in respect of hedging transactions it had entered into with CIF Euromortgage. General operating expenses amounted to 4.55 million in 2009, up appreciably from 2.29 million in This increase primarily reflected an increase in income tax and other taxes, particularly the 1.47 in Organic tax that CIF Euromortgage had to pay for the first time in Operating income totalled 4.81 billion in 2009 versus 7.72 billion a year earlier. Net income, after 1.63 million in income tax, amounted to 3.18 million, compared with 5.02 million in Balance Sheet At 31 December 2009 CIF Euromortgage had total assets of billion versus billion a year earlier. Bonds and other fixed-income securities (debt securities held to maturity, comprising securities issued by securitization vehicles and RMBSs, including accrued interest) amounted to billion at 31 December 2009 versus billion at 31 December At that same date, the available-for-sale portfolio (jumbo CDs and mortgage promissory notes) amounted to billion. Amounts due from credit institutions comprise loans and advances repayable on demand or term loans and advances. Loans and advances repayable on demand totaled million and corresponded to CIF Euromortgage s current account balance. Term loans and advances included a 1.00 billion repurchase agreement with 3CIF from December 2009, million on deposit with 3CIF to satisfy Bank of France reserve requirements, and the million Lehman Brothers receivable, which has been completely written off. 26

57 Accrued assets, amounting to million, comprise million in interest receivable on swaps and million in equalization payments due on swaps, including the 6.88 million difference between the cost of replacing the swaps negotiated with Lehman Brothers, and debt issue costs and bond issue premiums in the amount of million. Liabilities mainly comprise bond issues and accrued interest, totaling billion, compared with billion at year-end This debt is primarily in the form of covered bonds ( billion), plus 1.29 billion in registered covered bonds issued by the Company during the year. Liabilities also include subordinated loans from the parent company CIFD, comprising: seven subordinated loans totaling million, including accrued interest, at 31 December 2009 two non-privileged loans totaling million, including accrued interest, at 31 December Other liabilities consist mainly of million in deposits received as collateral on forward contracts. Accrued liabilities, totaling million, essentially comprise million in gains on hedging instruments and million in accrued expenses. Before the appropriation of net income for the year, shareholders equity amounted to million at 31 December 2009, compared with million a year earlier. The total includes capital stock of 100 million, the legal reserve of 1.2 million, and retained earnings of 6.42 million, plus unappropriated net income for the year in the amount of 3.18 million. CIF Euromortgage distributed a dividend of 4.76 million to its shareholders in Off-Balance Sheet The 2.29 billion in items carried off the balance sheet corresponds to endorsements received from 3CIF on mortgage promissory notes (face value plus accrued interest) created by the operating subsidiaries and purchased by CIF Euromortgage. B Appropriation of Net Income The Management Board recommends the following appropriation of net income for the year: 5% to the legal reserve 158, Distribution of a dividend of 1.50 per share, excluding the dividend tax credit 3,000, Unappropriated retained earnings carried forward 18, Total, equal to net income for the period 3,177, Details of dividends distributed over the past three years are presented in Appendix 3. C Five-Year Financial Summary The five-year financial summary is provided in Appendix 4. V RISK MONITORING AND MANAGEMENT Pursuant to Comité de la Réglementation Bancaire et Financière (CRBF) regulation 97-10, SCFs are required to match their assets and liabilities in terms of interest rates and maturities. Based on recommendations issued by the credit rating agencies, the Supervisory Board has adopted a series of rules applicable to the Management Board in its conduct of business. These rules, which were established in the weeks after CIF Euromortgage was incorporated, have been updated several times to reflect developments in the Company s outstandings and balance sheet, as well as changes in the models used by the rating agencies. They are designed to protect the Company against interest-rate, liquidity, and other risks. 27

58 1 Interest-Rate Risk CIF Euromortgage eliminates all interest-rate mismatch risks by systematically hedging interest-rate exposures at the time they arise. Consequently, all interest-bearing assets and liabilities are indexed to revisable rates. interest rates on fixed-rate assets (investment and available-for-sale portfolios) are swapped for 3-month Euribor at the time of purchase. covered bonds, which are generally issued at fixed rates, are swapped for 3-month Euribor at the time the proceeds are received. fixing risks are hedged by using fixed-rate-to-eonia swaps. A residual technical risk exists on fixing-risk hedges, for which the authorized sensitivity of net income to a 1- point increase or decrease in interest rates is a maximum of 200,000. Moreover, the sensitivity of the net asset value of the balance sheet to a 2-point increase or decrease in interest rates must not exceed 400,000. At 31 December 2009, the sensitivity of net income to a 1-point increase or decrease in interest rates was only 249 (or 0.2% of the maximum authorized amount), and the sensitivity of the net asset value of CIF Euromortgage s balance sheet (excluding shareholders equity) was low, at 28,087 (or 7% of the maximum authorized amount). 2 Liquidity Mismatch Risk CIF Euromortgage protects itself against liquidity mismatch risk by holding only liquid assets and by limiting its future liquidity gap risks. 1 Most of its assets are traded on a regulated stock exchange. CIF Assets senior notes are listed on Euronext and virtually all the RMBSs held in the portfolio are listed on a regulated exchange. Virtually all of the RMBSs and securities issued by securitization vehicles in the CIF Euromortgage investment portfolio are eligible for European Central Bank (ECB) repo funding. Most of those that are not eligible are securities issued by the captive FCC BPI Master Mortgage, which are potentially eligible but not at the present time because no listing has been requested for them. At 31 December 2009, 88.99% of the portfolio of RMBSs and securities issued by securitization vehicles was eligible for ECB repo funding. CIF Euromortgage has never had recourse to ECB repo funding, although it did execute, in July 2009, the administrative and technical procedures to allow for it in the event that the need to secure ECB refinancing arises in the future. For this purpose, it has signed an agreement with the Bank of France and it conducted a test on 22 July 2009 involving 5 million over a period of seven days. As of year-end 2009, CIF Euromortgage s ability to secure ECB refinancing thus remained intact. 2 CIF Euromortgage continually determines the repayment of its assets and liabilities according to their contractual and forecast repayment schedules. It also determines the repayment of its assets using repayment assumptions based on commonly observed early repayment rates. It assesses and monitors liquidity mismatch risk by determining gaps, using: daily cash projections for the first six months calculation of liquidity gaps reflecting the difference between stable, liquid debt instruments and the investment portfolio, aggregated by monthly maturities up to the transaction maturity date. CIF Euromortgage has set itself the objective of complying with the following liquidity gap targets: a zero or positive liquidity gap for up to two years, based on the contractual maturities of the assets held in the investment portfolio, using assumptions based on observed early repayment rates a liquidity gap equivalent to 1 billion for periods exceeding two years. The calculation is based on the investment portfolio s maturity profile, using assumptions based on observed early repayment rates. This limit, which was set in 2001, when the Company was first incorporated and had a small balance sheet, could be revised in 2010 to reflect the Company s subsequent growth. 28

59 In order to control its liquidity mismatch risk for up to two years, CIF Euromortgage entered into an agreement with 3CIF on 1 October 2009 whereby 3CIF will provide CIF Euromortgage with a facility enabling it to cover any liquidity gap that may arise over a moving period of 24 months. At year-end 2009, the Company complied with the liquidity gap target for up to two years, although it temporarily exceeded the liquidity gap target for periods over two years due primarily to the difficulties bond issuers encountered in raising long-term funds during the financial crisis. CIF Euromortgage will take advantage of the improvement in the liquidity market to extend the maturity of its issues and thus gradually eliminate this gap. The graph below shows, at 31 December 2009, the profile of CIF Euromortgage debt (in gray) and of assets based on three scenarios: zero early repayment (orange), observed early repayment (red), and stressed early repayment (blue). Asset/Liability Matching at 31 December ,000 m 24,000 m 23,000 m 22,000 m 21,000 m 20,000 m 19,000 m 18,000 m 17,000 m 16,000 m 15,000 m 14,000 m 13,000 m 12,000 m 11,000 m 10,000 m 9,000 m 8,000 m 7,000 m 6,000 m 5,000 m 4,000 m 3,000 m 2,000 m 1,000 m 0 m 0 Y 1 Y 2 Y 3 Y 4 Y 5 Y 6 Y 7 Y 8 Y 9 Y 10 Y 11 Y 12 Y 13 Y 14 Y 15 Y 16 Y 17 Y 18 Y 19 Y 20 Y 21 Y 22 Y 23 Y 24 Y Assets - Observed early repayment Assets - Zero early repayment Assets - Stressed early repayment Liabilities 3 Currency Risk CIF Euromortgage does not acquire any foreign currency positions or hold cash in foreign currencies. All assets and liabilities are denominated in euros or converted into euros at the outset using currency hedges. Foreign currency bond issues have been hedged from the date when the proceeds were received using crosscurrency swaps. 4 Counterparty Risk on Forward Transactions CIF Euromortgage only enters into forward currency and interest-rate hedging transactions with counterparties that have short-term ratings of Prime-1 (Moody s) and F-1 (Fitch) or higher. These are covered by FBF or similar master agreements that comply with standards and procedures previously established by the Supervisory Board, and are signed with each counterparty. These transactions are secured by cash deposits posted by counterparties for the sole benefit of CIF Euromortgage. CIF Euromortgage is never required to post collateral, counterparties enjoying preferred creditor status pursuant to Section L of the Monetary and Financial Code. The master agreements also include clauses providing for the transfer of commitments to a new counterparty with a short-term rating of Prime-1 (Moody s) and F-1 (Fitch) or higher: 29

60 in the case of interest-rate hedges, when the counterparty s short-term rating is downgraded below Prime-2 (Moody s) or F-2 (Fitch) in the case of currency hedges, when the counterparty s short-term rating is downgraded below Prime-1 (Moody s) or F-1 (Fitch). CIF Euromortgage may, however, enter into off-balance sheet transactions with unrated counterparties, provided that their commitments are backed by an irrevocable and unconditional guaranty from their parent company or another group company whose rating complies with the above minimum requirements. In this case, margin call triggers and other thresholds are based on the guarantor s rating. As of 31 December 2009, CIF Euromortgage had entered into forward transactions with 21 counterparties. During the year, hedging positions were valued regularly on the basis specified in the master agreements. Due to credit rating downgrades since the onset of the financial crisis, several of CIF Euromortgage s counterparties have posted cash deposits, totalling million at 31 December 2009, to secure those transactions. 5 Other Risks a General Security Procedures 3CIF CIF Euromortgage s service provider has defined a set of procedures to ensure the security of transactions executed for CIF Euromortgage. Back office procedures have been defined to prevent any fraudulent transfers of funds. Controls are in place to prevent hacking, particularly via the Internet. Computerized data and files are backed up daily and back-up copies are stored off-site. Controls have also been established to prevent unauthorized access to the computer facilities. All visitors are required to present identification, and employees have been issued badges. Access to certain areas, such as the trading room and data centers, is restricted to authorized personnel only. b Legal Risks For reasons of the complexity of its transactions and the amounts involved, particularly in the case of covered bond issues, and due to the heavily regulated environment in which it conducts its business, CIF Euromortgage pays close attention to managing legal risks. Under the terms of the service agreement, 3CIF s legal department negotiates all contracts for CIF Euromortgage. Its hedging transactions are executed under FBF master agreements, which provide for margin payments in line with rating agency requirements. All contracts required to set up and implement CIF Euromortgage s debt issue program are prepared with the assistance of two international law firms that have recognized expertise in capital markets transactions. c Insurance CIF Euromortgage s operating risks are covered by several insurance policies: professional liability insurance comprehensive fidelity insurance, covering fraud, theft, and embezzlement comprehensive information systems insurance. The company s managers and officers also have professional indemnity coverage. Coverage is provided by several different insurance companies through Assurances et Conseils, CIFD s captive insurance broker. 6 Internal Control Compliance Procedures CIF Euromortgage has appointed an officer responsible for monitoring the consistency and effectiveness of its internal control system, and it has prepared an internal control procedural manual, as required under CRBF regulation

61 Caisse Centrale Crédit Immobilier de France is responsible for internal auditing of CIF Euromortgage, under the terms of the service agreement. At its meeting on 13 December 2005, the Supervisory Board designated the Chief Executive Officer as compliance officer, to fulfil CRBF requirements. In 2007, the Supervisory Board adopted a compliance charter enumerating the compliance officer s role and responsibilities. The group s General Inspection verifies the operational and financial security measures implemented by CIFD subsidiaries and performs group-wide checks. In cooperation with the various units, it also coordinates training policies and establishes risk analysis methods. An audit committee, composed of Crédit Immobilier de France staff members chosen for their expertise, oversees the activities of the internal auditors and monitors their independence. The procedural manual approved by the Supervisory Board in 2002 has been updated several times, mainly to incorporate the recommendations of the internal control unit. VI COVERAGE RATIO AND COMPLIANCE WITH REGULATORY LIMITS 1 Coverage Ratio SCFs are required to ensure that their coverage ratio of assets to senior debt is greater than or equal to 100% at all times. The preferred creditor status given to holders of covered bonds and other privileged debt is contingent such compliance. The coverage ratio is calculated as specified in CRBF regulation The denominator of the ratio corresponds to covered bonds and other privileged debt, any payables in respect of the contract mentioned in Section L of the Monetary and Financial Code, and any payables due in respect of financial futures contracts that have preferred creditor status. The numerator corresponds to all of the Company s assets, particularly securities issued by securitization vehicles that are weighted on a scale of 0% to 100% according to their long-term rating: Rating agency 100% weighting Minimum LT rating 50% weighting Minimum LT rating 0% weighting LT rating Fitch AA A < A Moody s Aa3 A3 < A3 Standard & Poor's AA A < A According to applicable regulations, securities that are secure and liquid are given a 100% weighting. For reasons of their AAA rating, the RMBSs and senior securities issued by FCCs -FCTs in CIF Euromortgage s asset portfolio are given a 100% weighting in its coverage ratio. CIF Euromortgage s coverage ratio stood at % at 31 December The ratio s components are presented in Appendix 2. 31

62 Changes in the coverage ratio at each year-end since CIF Euromortgage s inception are shown in the graph below: Changes in CIF Euromortgage s Coverage Ratio Since its Inception 105,1 104,42 104,31 103,73 102,6 102,65 102,39 102,11 102, Considering the fact that CIF Euromortgage s asset portfolio consists mainly of senior securities issued by securitization vehicles and similar vehicles, the regulatory coverage ratio of % does not adequately reflect the real overcollateralization benefiting the Company s preferred creditors, which also includes the overcollateralization of the individual bonds and senior notes comprising the Company s assets, as well as the coverage mechanisms used by the issuers of these securities, such as guaranty funds and the existence of subordinated units, which absorb losses incurred by these same entities. As an illustration, the overcollateralization of the senior securities of CIF Asset and BPI Master Mortgage, which together account for 92.67% of the CIF Euromortgage investment portfolio, stood at 16% and 13.20%, respectively, at 31 December Compliance with Regulatory Limits As part of their asset management operations, SCFs are required to comply with a certain number of limits in accordance with applicable regulations. a Limit With Respect to Guarantied Loans Pursuant to Section L of the Monetary and Financial Code, loans that are granted exclusively to finance real estate acquisitions, and that are guarantied by a credit institution or insurance company that is not part of the same consolidated group as the SCF, as defined under Section L of France s Commercial Code, may comprise up to 35% of the assets of the SCF. As CIF Euromortgage does not hold any loans directly, guarantied loans in the portfolio at 31 December 2009 are either those that are held by the captive securitization vehicles CIF Assets and BPI Master Mortgage, or those given as collateral for the mortgage promissory notes it has purchased. Securities issued by external RMBSs are not backed by guarantied loans. At 31 December 2009, guarantied loans amounted to 2,984 million, or 12.12% of the Company s assets, which totaled 24,616 million at that same date. b Limit With Respect to Mortgage Promissory Notes Section L of the Monetary and Financial Code authorizes SCFs to hold up to 10% of their assets in the form of mortgage promissory notes governed by Sections L et seq. of the Monetary and Financial Code if the receivables backing those notes comply with the conditions stipulated in Section L of the Monetary and Financial Code. At 31 December 2009, the total face value of mortgage promissory notes amounted to 2,290 million, or 9.30% of the Company s assets, which totaled 24,616 million at that same date. 32

63 c Replacement assets Sections L and R of the Monetary and Financial Code authorizes SCFs to hold sufficiently secure and liquid assets and deposits for up to 15% of the face value of their covered bonds and other securities conferring preferred creditor status under Section L of the Monetary and Financial Code. At 31 December 2009, replacement assets held by CIF Euromortgage consisted exclusively of: three jumbo CDs, for a total face value of 2,590 million one repo of an SCF-approved RMBS, for million a current account balance of million. After deducting cash deposits from counterparties, in accordance with regulations, replacement assets had a face value of 3, million at 31 December 2009, or 13.73% of the 22,735 million total face value of covered bonds and other privileged debt under Section L of the Monetary and Financial Code at that same date. d Amount of Eligible Assets being Refinanced by privileged debts Mortgage Promissory Notes Under article R of the Monetary and Financial Code, a receivable guarantied under Article L can be refinanced by privileged debt up to the lesser amount of: the unamortized principal of the receivable, or the value of the asset financed or given as collateral multiplied by the financing coefficient as defined in section II of the Article. This coefficient is equal to: 60% of the asset financed, for guarantied loans, or of the asset given as collateral, for residential mortgages 80% of the value of the asset on loans which a mortgage promissory issuer has transferred to noteholder in the case where the loans were granted to individuals either to finance the construction or purchase of a home, or to finance both the acquisition of the undeveloped land and the cost of building the home. Section R of the Monetary and Financial Code allows for these coefficients to be increased as follows: 90% of the value of the asset if the amount of receivables pledged for refinancing exceeds by at least 25% that of the mortgage promissory notes they guaranty 100% of the value of the asset given as collateral, for assets guarantied by the FGAS, or for any subrogee, or for loans secured by a guaranty satisfying the conditions stipulated in Section L of the Monetary and Financial Code, or by the guaranty of one or more public institutions specified in Section L of the Monetary and Financial Code, for the portion of the loans exceeding the established coefficient. Mortgage promissory notes held by CIF Euromortgage at 31 December 2009 are backed by receivables whose face value is greater than or equal to 127% of the face value of the notes. An overcollateralization test and a covered bond/privileged debt refinancing eligibility test are performed at the time any mortgage promissory notes are purchased. On the basis of these tests, the 13 promissory notes held by CIF Euromortgage at 31 December 2009, amounting to 2,290 million, were determined to be fully eligible for refinancing. Securities Issued by Securitization Vehicles or Similar Entities As stipulated in Section R of the Monetary and Financial Code, securities issued by securitization vehicles or similar entities mentioned in Section R of the Monetary and Financial Code may be financed with privileged debt up to the lesser amount of: 33

64 the outstanding amount of securities issued by the securitization unit or similar entity, and held by the SCF, with the exception of specific securities and debt securities incurring the risk of loss in the event of borrower default, or the sum of unamortized principal on loans carried under assets of the securitization vehicles or similar entity, plus the cash of the securitization vehicle or similar entity, as defined under Section R , or the value of the assets financed or given as collateral for loans carried under assets of the securitization vehicle or similar entity multiplied by the coefficients stipulated in Section R according to the nature of the unit s assets; plus the cash of the securitization unit or similar entity as defined under Section R , The amount that can be financed with covered bonds or other privileged debt by each of Credit Immobilier de France s captive securitization vehicles (CIF Assets and BPI Master Mortgage) has been revalued on the basis of the long-term value of the assets at each reloading date, after revaluation of the assets financed or given as collateral. The amount that can be financed with covered bonds or other privileged debt by each external RMBS issuer is valued either at the time the RMBS is launched (the usual case) or upon the reloading corresponding to the series of securities acquired by CIF Euromortgage for the reloadable instruments. On these bases, the amount that can be financed with CIF Euromortgage s covered bonds or other privileged debt amounted to 20,503 million at 31 December The amount that cannot be financed with covered bonds or other privileged debt amounted to 62,748 million. This latter amount was financed using non privileged debt, amounting to 1,108 million at 31 December 2009 and comprising million in shareholders equity, 570,000 thousand in undated subordinated loans, and 330 million in the form of two twenty-year loans, one for 230 million and another for 100 million. VII SERVICE AGREEMENT CIF Euromortgage does not have any employees or its own technical and administrative facilities. As Section L of the Monetary and Financial Code requires that it subcontract all services to an outside provider having the status of credit institution, CIF Euromortgage has entered into a service agreement with Caisse Centrale du Crédit Immobilier de France. Under the terms of this agreement, which was updated effective 1 st January 2006, CIF Euromortgage paid 3CIF a total of 1.27 million for services rendered in 2009, excluding custodian fees. VIII OTHER INFORMATION 1 Non-Tax-Deductible Expenses CIF Euromortgage didn t carry in its 2009 accounts Non-tax-deductible expenses, as defined by Article 39-4 of France s General Tax Code. 2 Information on Payment Deadlines Pursuant to Article L of the Commercial Code, debt suppliers which were in totally fallen represented at 31 December 2009 an amount of 374,558 euros versus 32,694 euros in 31 December IX SUBSIDIARIES AND AFFILIATED COMPANIES Pursuant to Section L of the Monetary and Financial Code, CIF Euromortgage has no subsidiaries or affiliated companies. 34

65 X SUBSEQUENT EVENTS At its meeting on 10 December 2009, the Management Board set the amount of the first quarter 2010 debt issue program at 5 billion. In his report dated 14 January 2010, prepared pursuant to Section L of the Monetary and Financial Code, the specific controller attested to CIF Euromortgage s compliance with Section L of the Code, which stipulates that privileged debt must be more than covered at all times by assets, factoring in the amount of the quarterly debt issue program established by the Management Board. Under this program, CIF Euromortgage made the following issues between 1 st January and 10 March 2010: three fixed-rate bond issues totalling 200 million Swiss francs, and two registered covered bond issues. CIF Euromortgage has purchased a number of mortgage promissory notes issued by operating subsidiaries. As of 10 March 2010, it held 13 of them, for a total of 2.31 billion. The notes pay interest at 70bp over Eonia and are endorsed by 3CIF. Between 31 December 2009 and 10 March 2010, there were no rating changes affecting RMBSs held in the CIF Euromortgage portfolio. XI OUTLOOK FOR Issues and Investments The CIF Assets and BPI Master Mortgage securitization programs will continue in 2010 according to the predetermined timetable. Each unit will conduct two reloads: CIF Assets in April and October, and BPI Master Mortgage in May and November. CIF Euromortgage will purchase all or part of the senior securities issued in connection with the CIF Assets and BPI Master Mortgage reloads. In 2010 CIF Euromortgage will also redeem five covered bond issues totaling 2.92 billion. It currently holds substantial cash assets (jumbo CDs and repos) in its available-for-sale portfolio to cover those redemptions. Taking into account the amortizations of FCC-FCT securities and RMBSs, totaling approximately 2.2 billion, CIF Euromortgage expects to have financing needs of between 4 billion and 5 billion. 2 Legislative and Regulatory Developments As part of the banking and financial regulation bill presented to the French Parliament in April 2010, the French government has decided, at the request of covered bond issuers, to make covered bonds even more attractive to investors and to give SCFs new tools for managing their liquidity. Along with regulations to be published once the bill is ratified, the legal framework governing covered bonds would be enhanced as follows: raising the minimum coverage ratio to 102% from its current level of 100% requiring SCFs to maintain at all times a positive liquidity gap over 180 days extending the faculty given to SCFs to use all or part of their receivables for repo funding and authorizing them to issue mortgage promissory notes enabling SCFs to hold their own covered bonds in amounts of up to 10% of their privileged debt for the sole purpose of using them to guaranty Bank of France repo funding operations. This banking and financial regulation bill is also creating a new funding instrument, home loan bonds, to provide a specific regulatory framework for France s structured covered bond issuers operating under the Collateral Directive. 35

66 XII AUTHORIZATION TO ISSUE BONDS Pursuant to Article L of the Commercial Code, the Management Board of CIF Euromortgage, at its meeting on 1 July 2009, gave the Chairman (Patrick Amat) and the Chief Executive Officer (Francis Gleyze), acting jointly or separately, a one-year authorization to issue up to 25 billion or its foreign-currency equivalent of bonds, whether or not they are privileged debt as construed under Article L of the Monetary and Financial Code. XIII CORPORATE GOVERNANCE ORGANIZATION The current members of the Supervisory Board and Management Board are listed below. The list of all directorships and other offices held by them in 2009 is provided in Appendix 5, as required by Section L of the Commercial Code. 1 Management Board Patrick Amat Chairman Francis Gleyze Chief Executive Officer 2 Supervisory Board Jean-Pierre Goetzinger Chairman Alain Giraud Vice Chairman Hervé Magne Moncef Zniber Caisse Centrale du Crédit Immobilier de France 3CIF, represented by Gustave Wattinne As required under Section L of the Commercial Code, the Management Board s report includes details of the total remuneration and benefits paid to each corporate officer during the year, as well as the remuneration and benefits received by corporate officers either of controlled entities or of CIF Euromortgage s controlling shareholder, as construed under Section L In 2009 none of the members of the Management Board or Supervisory Board received any remuneration or benefits from CIF Euromortgage, and none of the members of the Supervisory Board received any remuneration or benefits from Crédit Immobilier de France Développement, CIF Euromortgage s controlling shareholder. In 2009 the Chairman of the Management Board received total gross remuneration of 217,214 from CIFD, including an exceptional bonus of 50,000 and a special bonus of 7,000, and he benefited from a funded pension plan, to which the employer contributed 15,639 during the year. None of the corporate officers has received any CIF Euromortgage shares, debt securities, or other securities convertible into shares or conferring rights to CIF Euromortgage debt securities. The terms of Jean-Pierre Goetzinger, Hervé Magne, and Caisse Centrale du Crédit Immobilier de France as members of the Supervisory Board will expire at the next Shareholders Meeting. The Shareholders Meeting will be asked to renew their terms for six years, to end at the close of the Shareholders Meeting convened to approve the financial statements at and for the year ended 31 December Independent Auditors As of 31 December 2009, the Company s independent auditors were: Statutory auditors PricewaterhouseCoopers Audit, represented by Pierre Clavié and Antoine Prioullaud Mazars et Guérard, represented by Franck Boyer 36

67 Alternate auditors Michel Barbet-Massin Etienne Boris 4 Specific Controllers As of 31 December 2009, the specific controllers were: Specific controller: Fides Audit, represented by Stéphane Massa Alternate specific controller: Hugues Beaugrand XIV AMENDMENTS TO THE ARTICLES OF INCORPORATION The Annual Shareholders Meeting, voting under conditions of quorum and majority for special shareholders meetings, will be asked to make a number of amendments to the articles of incorporation, in particular: adding to Article 3 concerning the corporate purpose, the most recent changes made to regulations concerning SCFs as they appear in Section L of the Monetary and Financial Code reformulating Articles 11 and 12 concerning the indivisibility, rights, and obligations pertaining to shares, in accordance with applicable regulations reiterating that the Management Board exercises its powers within the limitations of the corporate purpose making several additions concerning vacancies on the Supervisory Board, the age limit for the Chairman of the Supervisory Board, to be raised to 76 years under the terms of a proposal, and the faculty for Supervisory Board members to attend meetings via videoconference introducing clauses enabling shareholders to attend Annual Shareholders Meetings via videoconference and voting electronically or by any other means of telecommunication whereby their identity can be verified. The Management Board 37

68 APPENDIX 1.1 Principal Characteristics of CIF Assets and BPI Master Mortgage 2003 at 31 December 2009 CIF Assets BPI Master Mortgage Series A senior notes/units 87.70% 90.20% Series B subordinated units 12.30% 9.80% Reserve 3.70% 3.40% Total overcollateralization 16.00% 13.20% Unamortized principal 18,701,355, ,118,885, Average margin 1.54 points 1.52 points Excess spread (excluding impact of disputes and arrears) 1.11 points 1.03 points Default rate (moving period of 12 months) 0.57% 0.44% Initial LTV ratio 93.06% 83.5% Initial LTV ratio after amortization 80% 19.56% 36.29% Initial LTV ratio after amortization 80% to 90% 9.41% 13.90% Initial LTV ratio after amortization 90% to 100% 18.02% 13.10% Initial LTV ratio after amortization 100%-110% 45.01% 36.61% Initial LTV ratio after amortization > 110% 7.99% 0.09% Updated LTV ratio ( Perval index at 30/06/2009) 71.00% 57.10% Updated LTV ratio after amortization (unamortized principal + property value) rate 80% Updated LTV ratio after amortization (unamortized principal + property value) rate of 80%-90% Updated LTV ratio after amortization (unamortized principal + property value) rate of 90%-100% Updated LTV ratio after amortization (unamortized principal + property value) rate of 100%-110% Updated LTV ratio after amortization (unamortized principal + property value) rate > 110% 55.23% 70.92% 10.44% 7.36% 12.32% 8.73% 14.40% 10.14% 7.6% 2.8,5% Loans secured by a first mortgage or lien 85.77% 67.05% Loans guarantied by a credit institution or insurance company 14.23% 25.72% Loans guarantied by FGAS (including interest-free loans) 11.5% Early repayments 5.18% 5.12% Borrower effort rate 30.23% 27.30% Interest-free loans 6.40% 0.00% Fixed-rate loans 32.80% 57.80% Revisable rate loans without caps 6.64% 4.90% Revisable rate loans with cap 5 years 26.86% 0.00% Revisable rate loans with cap > 5 years 27.30% 37.30% Amortizable loans 98.09% 84.84% 38

69 CIF Assets BPI Master Mortgage Seasoning Residual term (number of months) Principal residence 84.70% 64.28% Investment real estate 14.42% 25.23% Secondary residence 0.88% 10.14% Nonresidents 0.90% 14.23% Self-employed professionals 6.18% 12.22% Civil servants 13.44% 28.7%, Private sector salaried employees 75.08% 49.90% No occupation/retired 1.46% 2.27% Other 1.21% 0.10% Real estate partnership 2.62% 6.81% 39

70 APPENDIX 1.2 Securitization securities and RMBSs Held in the Investment Portfolio at 31 December 2009 Issue ISIN Country Rating Net book value Moodys Fitch S&P Eligibility for ECB refinancing Eligibility amount CIF ASSETS 1A FR France AAA AAA 14,979,849, yes 14,979,849, BPI MASTER MTG x France AAA AAA 1,955,658, no 0.00 AYT 2 A ES Spain AAA AAA 37,092, yes 37,092, AYT GEN 3A ES Spain AAA AAA AAA 56,537, yes 56,537, BANCAJA 7A2 ES Spain AAA AAA AAA 51,752, yes 51,752, BANCAJA 8A ES Spain AAA AAA 22,563, yes 22,563, BANCAJA 6 A2 ES Spain AAA AAA AAA 26,794, yes 26,794, BANKINTER FTH 8A ES Spain AAA AAA 69,673, yes 69,673, BANKINTER T3 ES Spain AAA AAA 31,408, yes 31,408, BKINTER FTH 6A ES Spain AAA AAA 35,307, yes 35,307, HIPOCAT 4 ES Spain AAA AAA 15,339, yes 15,339, HIPOCAT3 ES Spain AAA AAA 8,717, yes 8,717, HIPOTEBENSA 9 ES Spain AAA AAA 12,501, yes 12,501, IM PASTOR 2A ES Spain AAA AAA 32,677, yes 32,677, RURAL HIPO 6A ES Spain AAA AAA 54,087, yes 54,087, TDA CAM 1 A ES Spain AAA AAA 37,623, yes 37,623, TDA CAM 2A ES Spain AAA AAA 86,352, yes 86,352, TDA CAM 3A ES Spain AAA AAA 13,282, yes 13,282, TDA CAM 4A ES Spain AAA AAA 14,351, yes 14,351, TDA PASTOR 1A1 ES Spain AAA AAA 18,578, yes 18,578, UCI 7 TR A ES Spain AAA AAA 17,951, yes 17,951, UCI 8 TR A ES Spain AAA AAA 14,070, yes 14,070, TDA 19 A ES Spain AAA AAA 53,711, yes 53,711, ARGO MORT 2A IT Italy AAA AAA 25,987, yes 25,987, ARGO TR A1 IT Italy AAA AAA 5,183, yes 5,183, BIPIELLE 2004 A2 IT Italy AAA AAA 44,430, yes 44,430, FE MORTG1 A1 IT Italy AAA AAA AAA 35,613, yes 35,613, FE MORTGAGES 05 A IT Italy AAA AAA AAA 61,249, yes 61,249, GIOTTO FIN 2A IT Italy AAA AAA 4,104, yes 4,104, HELICONUS 02-1A IT Italy AAA AAA AAA 8,921, yes 8,921, SESTA 2 A IT Italy Aa1 AAA AAA 62,006, yes 62,006, SIENA A2 IT Italy AAA AAA AAA 30,967, yes 30,967, VELA HOME 1A1 IT Italy AAA AAA 6,165, yes 6,165, VELA HOME 2 A2 IT Italy AAA AAA 104,663, yes 104,663, CORDUSIO 3 A2 IT Italy AAA AAA AAA 33,599, yes 33,599, MEDIA 1A IT Italy AAA AAA AAA 14,760, yes 14,760, VELA HOME 4 A1 IT Italy AAA AAA 7,516, yes 7,516, VELA HOME 4 A2 IT Italy AAA AAA 49,999, yes 49,999, ARENA 1A XS Netherlands AAA AAA 30,000, yes 30,000, DELPHINUS 01-1 A1 XS Netherlands AAA AAA 9,680, yes 9,680, DELPHINUS1 2A2 XS Netherlands AAA AAA 25,000, yes 25,000, DUTCHMPL I A2 XS Netherlands AAA AAA AAA 48,500, no 0.00 HOLLAND HOMES A1 XS Netherlands AAA AAA 13,071, yes 13,071, GRANITE A XS UK AAA AAA AAA 8,743, no 0.00 CIF securitization: 92.67% External securitization: 7.33% Eligibility for ECB refinancing: 88.99% Total exposure of CIF s investment portfolio: 93,48% 18,276,048, ,263,145,

71 APPENDIX 2 Data Used to Calculate the Coverage Ratio (thousands euros) Assets ASSET ITEMS COVERING PRIVILEGED DEBT Item Amount 1 Weighting (%) Loans guarantied by a credit institution or insurance company that do not satisfy the conditions in 1) of the appendix to CRBF regulation Weighted amount 2 Shares of FCCs-FCTs that do not satisfy the conditions in 2) of the appendix to CRBF regulation Loans guarantied by a credit institution or insurance company that satisfy the conditions in 1.b) of the appendix to CRBF regulation Shares of FCCs-FCTs that satisfy the conditions in 2.b) of the appendix to CRBF regulation Long-term investments resulting from foreclosures Low-risk, liquid assets: Due from credit institutions in under 1 year 210 1,021, ,021,106 Reserve requirements held by 3CIF , ,277 Securities 211 2,590, ,590,000 Accrued interest Other Class 1 assets Other Class 2 assets: Mortgage loans Including: Mortgage loans with FGAS guaranty Mortgage loans with credit institution or insurance company guaranty Mortgage loans with public corporation guaranty Loans guarantied by a credit institution or insurance company that satisfy the conditions in 1.a) of the appendix to CRBF regulation Loans to public corporations Other Class 2 assets Other Class 3 assets: Shares of FCCs-FCTs that satisfy the conditions in 2.a) ,315, ,315,789 of the appendix to CRBF regulation Other Class 3 assets , ,501 Mortgage promissory notes, including accrued interest 242 2,290, ,290,857 Other Class 4 assets R 24,616,179 COVERAGE RATIO (to 2 decimal places) (R/T x 100)

72 Data Used to Calculate the Coverage Ratio (thousands euros) Liabilities PRIVILEGED DEBT WITH PREFERRED CREDITOR STATUS (Section 98, Law # of 25 June 1999) Item Amount 1 I Privileged debt from credit institutions II Privileged debt from customers Financial customers Nonfinancial customers Subtotal A III DEBT INSTRUMENTS Covered bonds ,454,185 Money market securities Other privileged debt instruments 117 1,281,300 Accrued interest ,250 Subtotal B ,018,735 IV Receivables due on contracts governed by Section 98, Law # of 25 June ,182 V Receivables due on financial futures with preferred creditor status governed by Section 98, Law # of 25 June 1999 Cash collateral received ,649 Subtotal , ,271 VI Debt resulting from related expenses stipulated in the final paragraph of Section 98, Law # of 25 June Privileged debt (Item 140 = ) T ,600,188 42

73 APPENDIX 3 Dividends for the Last Three Years Year Number of shares with dividend rights Dividend Dividend eligible for 40% tax relief Dividend ineligible for 40% tax relief for 2008, paid in ,000,000 4,760, ,759, for 2007, paid in ,000,000 2,980, ,979, for 2006, paid in ,000,000 3,900, ,899,

74 APPENDIX 4 Five-Year Financial Summary Financial position at year-end Capital stock (thousands of euros) 100, , , , ,000 Number of shares outstanding 2,000,000 2,000,000 2,000,000 2,000,000 2,000,000 Results of operations (thousands of euros) Net banking income ,630 21,933 9,365 Other revenue and net gains on disposals of tangible and intangible assets EBITDA ,724 7,723 4,812 Corporate income tax ,575 2,703 1,630 Net income ,148 5,017 3,178 Total distributed income , Per-share data (euros) EBITDA Earnings per share Dividend per share Employee data Number of employees Total payroll (euros) Payroll taxes (euros)

75 APPENDIX 5 LIST OF OTHER DIRECTORSHIPS HELD IN 2009 BY THE MEMBERS OF THE MANAGEMENT BOARD AND THE SUPERVISORY BOARD MEMBERS OF THE MANAGEMENT BOARD Patrick Amat Chief Operating Officer Caisse Centrale du Crédit Immobilier de France President of the Management Board CIF Euromortgage Francis Gleyze Chief Executive Officer CIF Euromortgage MEMBERS OF THE SUPERVISORY BOARD Jean-Pierre Goetzinger Chairman of the Supervisory Board CIF Euromortgage Nonvoting Director Caisse Centrale du Crédit Immobilier de France Director La Sécurité Familiale Director SACICAP Eure et Dieppe Director SACICAP Le Havre Normandie Alain Giraud Vice-Chairman of the Supervisory Board CIF Euromortgage Managing Director Crédit Immobilier de France Financière Rhône Alpes Auvergne Vice-Chairman and Managing Director Société d Habitation des Alpes Vice-Chairman and Managing Director Procivis Alpes Dauphiné Director SA HLM Ardèche Hervé Magne Member of the Supervisory Board CIF Euromortgage Managing Director Procivis Limousin Managing Director CIF Centre Ouest Director 3 CIF Director Centre Ouest Habitat Director Union d Economie Sociale pour l Accessio à la Propriété (UES-AP) Director Procivis Participations Moncef Zniber Member of the Supervisory Board CIF Euromortgage Chairman Crédit Immobilier Ile de France Chairman Société la SA d HLM France Loire Chairman Société Cooperative Arcansud Chairman Société Amepro Managing Director SACICAP La Ruche Director Société Arche Promotion Director SA d HLM SFHE Director SA d HLM Aiguillon Construction Memer of of the Supervisory Board Habitat Développement Permanent representative Aiguillon Résidences Permanent representative SCCI-Arcade Permanent representative Mésolia Habitat Permanent representative SA d HLM CPH Permanent representative SA d HLM Antin Résidences Permanent representative ESH La Vincennoise Permanent representative Le LogisCorse Permanent representative SAS Arche Immobilier Permanent representative Notre Cottage Accession Permanent representative La Ruche Habitat Gustave Wattinne Representative of 3CIF to the Supervisory Board CIF Euromortgage Member of the Supervisory Board Rabot Dutilleul Investissement Executive Director Holding NPCA Director CIF Nord (Crédit Immobilier de France Nord) 45

76 CIF EUROMORTGAGE FINANCIAL STATEMENTS at and for the year ended 31 December