Investissez-vous assez dans le marché français?: Investment Considerations

Transcription

1 Investissez-vous assez dans le marché français?: Investment Considerations France is currently an interesting country for investors and we have therefore decided to update our from 3 November 2010 to focus more on investment recommendations. This analysis is set out against the following economic background: As GDP momentum is losing steam, we have revised down our 2011 and 2012 GDP forecast for France in the wake of a general scaling down of growth expectations for the eurozone as a whole: We now expect French GDP to settle at 1.6% this year (vs. 1.7%), and 1.1% next year (vs. 1.8%). French inflation rose 0.3pp in August to 2.2%, thus resuming its upward trajectory after a temporary setback in July. The government recently presented its draft Budget for Late in August, French PM Fillon announced new austerity measures for 2011 (EUR 1bn) and particularly for 2012 (EUR 11bn) to reach the pledged deficit targets of 5.7% and 4.5% of GDP the 2012 target was revised down by 0.1pp vs. the original estimate. This early presentation aimed at reinforcing the credibility of the government s commitment to bring the public deficit below the 5% threshold in The new measures were in line with the July recommendations of the European Commission, which called for beefing up fiscal measures by around 0.2% and 0.5% of GDP in 2011 and 2012, respectively. Contents French Economy Overview 2 French Banking Sector Wrap-Up 4 A Comparison of the big 6 French Banks 5 Overview Investment Metrics 9 The Stress-Robustness of the big 6 French Banks _ 14 Snapshot French Bank Profiles 21 BNP Paribas 21 BPCE 25 Natixis 31 Crédit Agricole 35 Groupe Crédit Mutuel 40 Crédit Mutuel Arkéa 46 Dexia 50 HSBC France 56 Société Générale 60 Investment Considerations 64 Quantitative Trade Signals 80 Financial calendar: 3Q11 reporting BNP Paribas 3 November BPCE 10 November Natixis 9 November Crédit Agricole 10 November Dexia S.A. 9 November Société Générale 8 November Sector drivers: Spreads of French banks were first hit by concerns about their Greek exposure, and in July/August as sovereign fears spilled over to Italy by their exposure to Italian debt. According to BIS statistics based on end-march 2011 data, French banks had an outstanding exposure to Italy of USD 404bn or approx. EUR 280bn. Then, French banks suffered from doubts about the French government's level of indebtedness, growth prospects and its willingness to stick to its austerity measures (discussion regarding the introduction of a "règle d'or" in the constitution to make a balanced budget mandatory, etc.) and its impact on French banks. This was accompanied by downgrades and negative reviews for major French banks on 14 Sept 2011, and happened against the backdrop of ongoing rumors about the instability of French banks. All these events have led to massive spread widening for bonds of French banks, generating some interesting investment opportunities. We analyze the French iboxx universe across the capital structure spectrum, as the respective issuer banks combine the following features: considerable activities in France and mostly liquid debt instruments outstanding. We then derive concrete investment ideas. We believe that the recent spread widening is fundamentally exaggerated. With the right timing and focusing on liquid bonds, it may be worth considering specific trades in French bank bonds. Recent news was encouraging: there were many negative rumors and all were rejected and when one finally proved true, extensive state support for Dexia was announced. The large French banks are solidly rooted in retail business and/or part of a mutual support system. As soon as sovereign fears ebb away, the fundamental strength of French banks will be mirrored in tighter spreads. Authors Dr. Tilo Höpker (UniCredit Bank) tilo.hoepker@unicreditgroup.de Tullia Bucco (UniCredit Bank Milan) tullia.bucco@unicredit.eu Bloomberg UCCR Internet UniCredit Research page 1 See last pages for disclaimer.

2 French Economy Overview French economy in 2Q11: GDP momentum is losing steam: We have revised down our 2011 and 2012 GDP forecast for France in the wake of a general scaling down of growth expectations for the eurozone as a whole: we now expect French GDP to settle at 1.6% this year (vs. 1.7%), and 1.1% next year (vs. 1.8%). The latest PMI surveys indicate a sharp deterioration of demand conditions in manufacturing, which has led to activity contracting since the start of August (when the output component fell below the 50 threshold for the first time in more than two years). Services activity remains resilient, but is set to slow down as global demand loses steam and new austerity measures kick in, weighing on the pace of recovery in employment and disposable income. Employment in the private sector settled to an annual rate of 1.1% in 1H the highest rate since early 2008 but the number of payrolls is still 2.0% below pre-crisis levels. Moreover, hiring intentions (as of the PMIs) revised down significantly in September, so a softening in the pace of job creation is likely to take center stage in the coming quarters. Overall, while we need more hard data to gauge underlying momentum, we expect GDP to pick up 0.3% in 3Q, partly as a correction of the one-off factors that weighed on economic activity in 2Q (when GDP stalled). Inflation on an upward trend: French inflation rose 0.3pp in August to 2.2%, thus resuming its upward trajectory after a temporary setback in July. The August reading was the highest since October The core reading accelerated to 1.2%, the same level as in June. The main drivers of the acceleration in the headline were price increases for fresh food (up to 0.4% yoy vs. -3.7% in July), manufactured goods (to -0.2% yoy vs. -0.8%), and energy (to 11.9% yoy vs. 11.5%). Our baseline scenario foresees inflation peaking at ca. 2.4% in October/November, before starting to steadily decline and falling below the 2% mark by early spring. Our scenario incorporates the newly announced administered price increases for this year (6.0% on tobacco prices in November), and in 2012 (3.8% for sugared soft drinks, 5.4% for alcohol and a further 6.0% for tobacco). New austerity measures kick-in: The government recently presented its draft Budget for This time round the Budget presentation drew less attention than usual given that the government had already unveiled beforehand the main Budget guidelines. As a matter of fact, late in August, French PM Fillon announced new austerity measures for 2011 (EUR 1bn) and particularly for 2012 (EUR 11bn) to reach the pledged deficit targets of 5.7% and 4.5% of GDP the 2012 target was revised down by 0.1pp vs. the original estimate. This early presentation aimed at reinforcing the credibility of the government s commitment to bring the public deficit below the 5% threshold in 2012, in the wake of a sharp sell-off in banking stocks and increasing pressures on the sovereign. The new measures were in line with the July recommendations from the European Commission, which called for beefing up fiscal measures by around 0.2% and 0.5% of GDP in 2011 and 2012, respectively: in fact, the French multi-year budget plan outlined in spring lacked details about how to bring the deficit below the 5.0% threshold in Overall, we cannot rule out further measures being needed to create a buffer to the 2012 deficit reduction plan against a possibly less favorable growth environment than the one envisaged by the government (we think that the 1.75% GDP forecast could prove too optimistic). Moreover, efforts to modify the French taxation system to make it more growth-friendly are only a first step in the right direction, although we acknowledge that more radical changes may prove difficult in the run-up to general elections (scheduled for April/May 2012). UniCredit Research page 2 See last pages for disclaimer.

3 FRANCE FORECASTS Q-10 2Q-10 3Q-10 4Q-10 1Q-09 2Q-09 3Q-09 4Q-09 1Q-09 2Q-09 3Q-09 4Q GDP GDP (% yoy) Private Consumption Government Consumption Gross Fixed Capital Formation Domestic Final Expenditure Inventories* Exports Imports Net Exports* CPI Inflation (% yoy) Unemployment rate (%) Current Account (% GDP) Budget Balance (% GDP) Public Debt (% GDP) All data are % qoq unless otherwise specified; GDP data are wda. *Contribution to growth. Source: INSEE, UniCredit Research UniCredit Research page 3 See last pages for disclaimer.

4 French Banking Sector Wrap-Up Sector wrap-up Sector drivers: French banks' spreads were first hit by concerns about their Greek exposure, and in July/August, as sovereign fears have spilled over to Italy, about French banks' exposure to Italian debt. According BIS statistics based on end of March 2011 data, French banks had an outstanding exposure to Italy of USD 404bn or approx. EUR 280bn. According to the recent EBA Stress Test data, the Italy exposure was as follows for individual banks in France as major economic powerhouses in Europe: BNP EUR 24.8bn (45% of FY10 core Tier-1) Crédit Agricole EUR 10.2bn (22% of FY10 core Tier-1) BPCE EUR 3.5bn (11% of FY10 core Tier-1) Société Générale EUR 2.7bn (9.6% of FY10 core Tier-1) Then, French banks suffered from doubts about the French state's level of indebtedness, growth prospects and its willingness to stick to its austerity measures (discussion around the introduction of a "règle d'or" in the constitution to make a balanced budget mandatory, etc.) and its effects on French banks. This was accompanied by downgrades and negative reviews for the three major French banks on 14 September 2011 (please refer to details below). This all happened against the backdrop of ongoing rumors about the instability of French banks. While French banks were first named in the context of Italian spread widening in July (BNP as the alleged acquirer of an Italian bank), rumors surfaced on the fate of French banks. For example, there was speculation on 7 August that SocGen might require a bailout, which was immediately denied by the bank and for which the newspaper which published the rumor subsequently apologized. Then, on 13 September, BNP Paribas was said to be shut out of the USD money market. BNP denied this immediately and its stock price rebounded. Other concerns were that French banks would have general funding concerns and therefore the fear of nationalization (which was denied by French officials), or a discussion about investment by Qatari investors in BNP. This development reminds us of events in Italy, where many rumors were taken very seriously by the markets and which led to very volatile stock prices and spreads as well as demonstrating just how jittery and nervous investors had become.for details, please refer to our Bank & Insurance Watch from 2 August 2011 and our on Italian banks from 7 July 2011). All these events affected and fit into the larger European context. We think the pessimistic market view will continue to predominate in the near future. The European sovereign crisis remains center-stage, and as long as this issue has not been resolved, tightening potential is limited. Moreover, there is no new positive investment theme on the horizon that could divert investors' attention. Hence, the many investment opportunities that make sense fundamentally and are highly attractive following the re-pricing will become even more attractive in coming weeks before we return to tighter, justified levels. However, at a certain moment, market participants will perceive spread levels as sufficiently attractive and the negative story as priced in and start buying again. Finding this optimal entry point is impossible, especially due to the large carry that is lost when not being invested, meaning investors will return to financials credit before positive news kicks in. This also translates into last month's recap: September was another horrible month for financials credit markets, with spreads widening across the board. For an in-depth, historic sector overview, including covered bonds, please refer to our on French banks of 3 November UniCredit Research page 4 See last pages for disclaimer.

5 A Comparison of the big 6 French Banks Analysis of the French banks' ratings Rating-wise, the six major French banking groups show the following picture. FRENCH MAJOR BANKS: RATING AND KEY FIGURES OVERVIEW Agency BNP Paribas Crédit Agricole SOCGEN BPCE Natixis Groupe Crédit Mutuel Moody's Issuer Aa2 Aa2 Aa3 Aa3 Aa3 - Short-Term P-1 P-1 P-1 P-1 P-1 - Outlook negative negative negatigve stable stable - Financial Strength B- C C+ C- D+ - S&P Issuer AA A+ A+ A+ A+ - Short-Term A-1+ A-1 A-1 A-1 A-1 - Outlook negative stable stable stable stable - Financial Strength Fitch Issuer AA- AA- A+ A+ A+ - Short-Term F1+ F1+ F1+ F1+ F1+ - Outlook stable stable stable stable stable - Financial Strength B - B/C - C/D - Viability Rating aa- - a FY10 in EUR mn Total assets 1,998,158 1,730,846 1,132,072 1,048, , ,309 Total equity 75,708 74,598 43,436 45,215 16,739 33,388 Tier-1 ratio 11.4% 10.3% 10.6% 10.1% 11.4% 11.5 Source: Bankscope, Rating Agencies, UniCredit Research Recent rating actions On 14 September 2011, Moody's took the following rating actions on three top French banks, while affirming their Prime-1 short-term ratings. Crédit Agricole: Due to exposures to the Greek economy, Crédit Agricole S.A.'s (CASA) Bank Financial Strength Rating (BFSR) was downgraded by one notch to C from C+, as were the long-term debt and deposit ratings by one notch to Aa2 from Aa1. CASA's long-term debt and deposit ratings also remain on review for possible downgrade of likely not more than one notch due to the fragility in financing markets and Groupe Crédit Agricole's (GCA) continued reliance on wholesale funding. Société Générale S.A.: Extended review for downgrade of the C+ BFSR for Société Générale S.A., equivalent to a standalone Baseline Credit Assessment (BCA) of A2 on the long-term rating scale. While SocGen's capital base was seen as adequate to support its Greek, Portuguese, and Irish exposures, the extension was driven by the fragility in the financing markets, given SocGen's continued reliance on wholesale funding. Downgrade of SocGen's debt and deposit ratings by one notch to Aa3 from Aa2 and stating as negative the outlook on the long-term debt ratings, with a possible onenotch downgrade due to a re-evaluation of systemic support. UniCredit Research page 5 See last pages for disclaimer.

6 BNP: Review extension for downgrade of likely one notch of BNP's B- BFSR and Aa2 longterm debt and deposit ratings due to fragility in the financing markets and BNP's continued reliance on wholesale funding, while also stating that: BNP's profitability and capitalization are adequate to support its Greek, Portuguese, and Irish exposures, and BNP's long-term debt and deposit ratings are two notches above BNPP's standalone financial strength to reflect the likelihood that it will receive systemic support from government authorities. The rating actions are credit-negative. Although they were widely expected, they hit French banks at a time of ongoing rumors and doubts about their and the French sovereign's prospects, and will likely contribute to continued market nervousness and spread volatility. Analysis of financial key figures for the six major banks Regarding financial key figures, there are different rankings and three tiers in terms of size: (i) BNP Paribas and Crédit Agricole; (ii) SocGen and BPCE and (iii) BPCE's Natixis and Group Crédit Mutuel: In P&L terms for full FY10: BNP Paribas had the largest figures among the six peers in terms of revenues (EUR 43.8bn), operating profit (EUR 12.5bn) and net profits (EUR 7.8bn); Natixis on the other hand, is the smallest in total revenues (EUR 6.4bn) and operating profit (EUR 2.0bn) and net profits (EUR 1.7bn). Trading income is relatively high at 21.61% of SOCGEN's, 14.36% of CAG's and 14.48% of Natixis' total revenues, while it is only 6.8% for the latter's parent company BPCE Group and even only 1.6% of Groupe Crédit Mutuel's total revenues. Loan-loss provisions are coming down from their peaks in FY09 and consume 14% of Crédit Agricole Group's, 13% of SOCGEN's and 11% of BNP's and Groupe Crédit Mutuel's total revenues while they are negative (reversal of provisions) for Natixis (- 0.6%). UniCredit Research page 6 See last pages for disclaimer.

7 In balance sheet terms: BNP has the largest asset base (EUR 1,998bn), which is 29% of peer group s total assets. BNP is closely followed by Crédit Agricole Group (EUR 1,731bn, 25% of total assets). Groupe Crédit Mutuel and Natixis are the smallest players (EUR 591bn and EUR 458bn) with only 9% and 7% of total assets of the peer group. The average customer loan shares in terms of total assets for the big six is 40%, which is surpassed by Groupe Crédit Mutuel (55%), BPCE Group (50%) and Crédit Agricole Group (44%). Natixis only has a customer loan share of 20%. Senior debt of more than one year to maturity is 12% of BPCE's and Groupe Crédit Mutuel's total funding compared to an average of 6% and just 1.7% at Natixis. Funding is mainly done via other liabilities with 48% for BPCE Group and 87% for Natixis. The average loan/deposit ratio is 135%, significantly surpassed by Natixis (326%) but quite representative for the others. Regarding ratios and valuation: Natixis has the lowest net interest margin (0.8%) and Groupe Crédit Mutuel the highest (1.51%), while BNP Paribas the highest ROE (11.0%) and Crédit Agricole Group the lowest (5.4%). ROA ranges from 0.2% for Crédit Agricole Group to 0.5% for Groupe Crédit Mutuel and BNP. The cost/income ratio is 69% for BPCE Group and Natixis and approx. 61% for the other three banks. NPL ratios range between 3.7% (BPCE Group) and 5.5%-6.6% (Natixis, SOCGEN, BNP Paribas) and NPL coverage is between 56% (BPCE Group) and 64.6% (Groupe Crédit Mutuel). Capitalization ratios have generally improved, while decreasing 30bp yoy for Groupe Crédit Mutuel to 11.5% in FY10 and 10bp yoy for SOCGEN to 10.6% in FY10. Groupe Crédit Mutuel leads the field for the Tier-1 ratio (11.5%), closely followed by Natixis and BNP Paribas (11.4%) and then SOCGEN (10.6%), Crédit Agricole Group (10.3%) and BPCE Group (10.1%). Natixis leads in the total capital ratio (15.8%), followed by BNP Paribas (14.7%), SOCGEN (12.1%), Crédit Agricole Group (11.7%), BPCE Group (11.6%) and Groupe Crédit Mutuel (11.5%). Moreover, equity represents 5.7% of Groupe Crédit Mutuel's, 4.3% of Crédit Agricole's and BPCE Group's, 3.8% of BNP's and SOCGEN's and 3.7% of Natixis's total assets. Equity markets attach the highest value to BNP Paribas in both absolute (market capitalization of EUR 32.5bn) and relative terms (price/book value 0.47 vs as of FY10 and vs.1.08 as of FY09), followed by a close group of Crédit Agricole (market capitalization of EUR 12.5bn and a price/book value of 0.29 vs as of FY10 and vs.0.67 as of FY09) and SocGen (market capitalization of EUR 12.7bn and a price/book value of 0.29 vs as of FY10 and vs as of FY09). Moreover, while BPCE is not listed, its member Natixis has a market capitalization of EUR 7bn and a price/book value of 0.43 as of the end of June 2011 and of 0.63 as of FY10 vs as of FY09. UniCredit Research page 7 See last pages for disclaimer.

8 FRENCH MAJOR BANKS: P&L HIGHLIGHTS (AS OF FY10) Year ending (EUR mn) BNP Paribas Crédit Agricole Group SOCGEN BPCE Group Natixis Groupe Crédit Mutuel Average Net interest revenue 24,490 23,133 12,288 12,524 3,264 8,182 13,980 83,881 Net fees & commissions 8,486 10,796 7,485 7,422 2,143 3,590 6,654 39,922 Trading income 5,036 4,912 5,801 1, ,081 18,488 Other operating income 5,773-4,641 1,271 1, ,710 1,162 6,969 Total revenues 43,785 34,200 26,845 23,355 6,353 14,722 24, ,260 Operating expenses 26,517 20,849 16,545 16,057 4,677 8,948 15,599 93,593 Loan-loss provisions 4,921 4,851 3,464 1, ,583 2,699 16,192 Operating profit 12,466 8,160 6,140 5,644 1,974 4,213 6,433 38,597 Other income/expenses 554-1, ,223 Pre-tax profit 13,020 6,608 5,844 5,749 1,982 4,171 6,229 37,374 Attributable net profit 7,843 3,611 3,917 3,640 1,733 2,916 3,943 23,660 FRENCH MAJOR BANKS: B/S HIGHLIGHTS (AS OF FY10) Year ending (EUR mn) BNP Paribas Crédit Agricole Group Assets SOCGEN BPCE Group Natixis Groupe Crédit Mutuel Average Liquid assets 581, , , , , , ,854 1,727,126 Customer loans 684, , , ,151 94, , ,233 2,779,400 Other assets 732, , ,307 45, ,228 19,015 50,878 2,128,296 Total assets 1,998,158 1,730,846 1,132,072 1,048, , ,309 1,159,806 6,958,836 Liabilities & equity Customer deposits 553, , , ,499 29, , ,448 2,054,687 Senior debt >1Y 86,258 59,535 37, ,752 7,882 68,937 64, ,275 Subordinated debt 24,750 24,262 12,023 13,847 7,447 8,133 15,077 90,462 Other liabilities 1,258,065 1,008, , , , ,449 45,462 4,140,328 Total equity 75,708 74,598 43,436 45,215 16,739 33,388 48, ,084 Total liabilities & equity 1,998,158 1,730,846 1,132,072 1,048, , ,309 1,159,806 6,958,836 FRENCH MAJOR BANKS: KEY RATIOS (AS OF FY10) Year ending Profitability BNP Paribas Crédit Agricole Group SOCGEN BPCE Group Natixis Groupe Crédit Mutuel Total Total Average Net interest margin 1.33% 1.49% 1.24% 1.32% 0.80% 1.51% 1.28% Cost/income ratio 60.6% 61.0% 61.6% 68.75% 68.5% 60.69% 63.52% Return on average assets 0.5% 0.2% 0.4% 0.39% 0.4% 0.52% 0.40% Return on average equity 11.0% 5.4% 8.8% 8.13% 8.3% 9.46% 8.51% Liquidity Interbank ratio 31.7% 55.4% 59.1% 106.8% 78.0% 166.6% 82.9% Loans/deposits 125.6% 131.6% 129.9% 149.9% 337.1% 139.9% 169.0% Net loans/total assets 34.3% 43.9% 34.3% 50.5% 20.7% 54.6% 39.7% Liquid assets/deposits & ST Funding Asset quality 66.6% 22.6% 62.9% 45.2% 91.1% 32.3% 53.5% Loan loss reserves/gross loans 3.84% 3.34% 3.79% 2.08% 3.13% 2.72% 3.15% NPL ratio 6.06% % 3.70% 5.49% 4.22% 4.98% NPL coverage 63.35% % 56.20% 57.07% 64.60% 64.29% Capital Tier-1 ratio 11.4% 10.3% 10.6% 10.1% 11.4% 11.5% 10.9% Total capital ratio 14.7% 11.7% 12.1% 11.6% 15.8% 11.5% 12.9% Equity/total assets 3.8% 4.3% 3.8% 4.3% 3.7% 5.7% 4.3% Source: Bankscope, UniCredit Research UniCredit Research page 8 See last pages for disclaimer.

9 Overview Investment Metrics Analysis of investment metrics In this section, we provide an overview of relevant investment metrics for French banks and also put them in a European peer context. France ranks just after the UK but before Germany, regarding total assets of its banking system (see left chart below). Regarding asset quality, measured by the uncovered NPL ratio, French banks rank in the European middle. This is both true from both an aggregate as well as from an individual perspective (see both charts below). Concerning loss aborbancy (measured by the Tier-1 ratio), they also rank in the main field. Again, the aggregate picture is confirmed, when looking at individual French banks (see both charts below). KEY CREDIT METRICS AT A GLANCE EUROPE KEY CREDIT METRICS AT A GLANCE - NATIONAL CHAMPIONS 20% Switzerland Bubble size reflects sum of total assets of covered banks 20% UBS Bubble size reflects total assets 18% 18% Credit Suisse Danske Weighted Tier-1 ratio 16% 14% Benelux 12% Scandinavia 10% 8% Germany Spain France Italy UK Austria Greece Ireland 6% 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% Weighted uncovered NPL ratio = Weighted gross NPL ratio x (1 - weighted NPL coverage) Tier 1 ratio 16% 14% Rabobank Deutsche Bank ING Bank Barclays RBS Lloyds Banking Group 12% HSBC BNP Commerzbank SocGen NBG 10% Nordea Santander Intesa Crédit Sanpaolo Agricole Erste Bank BPCE BCP BBVA RZB EFG Eurobank 8% DNB NOR UniCredit Caixa Geral de Depositos 6% -1% 0% 1% 2% 3% 4% 5% 6% Uncovered NPL ratio = Gross NPL ratio x (1 - NPL coverage) Source: BankScope, company data, UniCredit Research for individual French banks in particular When looking at French banks in more detail, we can distinguish three characteristic groups regarding asset quality. While capitalization levels show a relatively narrow band for the Tier-1 ratio of 10-12% as of 2Q11: (i) SocGen clearly has the highest uncovered NPL ratio (in the 3-3.5% range), (ii) while BNP Agricole and Crédit Agricole rank in the middle (in the 2-.5% range) and (iii) BPCE, Natixis and Crédit Mutuel form the most conservative group (in the 1-1.5% range) KEY CREDIT METRICS AT A GLANCE - FRANCE 13% Bubble size reflects total assets 12% Natixis Crédit Mutuel BNP SocGen 11% Crédit Agricole Tier 1 ratio 10% 9% BPCE 8% 7% 6% 0.0% 0.5% 1.0% 1.5% 2.0% 2.5% 3.0% 3.5% 4.0% Uncovered NPL ratio = Gross NPL ratio x (1 - NPL coverage) Source: BankScope, company data, UniCredit Research UniCredit Research page 9 See last pages for disclaimer.

10 French issuance activity French banks issued 16.1% of all iboxx debt securites in the last 12 months and were thus the biggest overall issuer. LAST 12 MONTHS ISSUANCE VOLUME BY ISSUER COUNTRY ISSUANCE BY ISSUER COUNTRY (TOP 10) Other 20.1% United States 9.0% 35,000 30,000 All Countries United States United Kingdom France Netherlands Germany Italy Switzerland Spain Australia Sweden 35,000 30,000 United Kingdom 10.4% 25,000 25,000 Sweden 4.2% 20,000 20,000 Australia 1.9% France 16.1% 15,000 10,000 15,000 10,000 Spain 9.2% Switzerland 2.2% Italy 11.7% Germany 5.3% Netherlands 9.9% 5,000 0 Jan-06 Apr-06 Jul-06 Oct-06 Jan-07 Apr-07 Jul-07 Oct-07 Jan-08 Apr-08 Jul-08 Oct-08 Jan-09 Apr-09 Jul-09 Oct-09 Jan-10 Apr-10 Jul-10 Oct-10 Jan-11 Apr-11 Jul-11 5,000 0 Source: iboxx, UniCredit Research New French debt issues While June was already the weakest month for the year, July was even worse. Even fewer and again only high-quality names and special issuers accessed the market in times of very high market volatility and concerns, and last but not least the summer holiday season in full swing. The EBA stress test release has not helped. Instead, the market was driven by sovereign concerns regarding Italy. In fact, there were no new unsecured bonds issued in August. At the end of August, covered bond issuance picked up again considerably. Given continued macro uncertainties, we doubt that senior unsecured markets will resume significant activity soon. However, on 29 September, and after a period of more than two months, Deutsche Bank AG sold EUR 1.5bn of 2Y notes at a spread of 98bp, according to Bloomberg data. A day later, ABN Amro Bank NV sold EUR 500mn of senior unsecured floating-rate notes of similar maturity, yielding 125bp above EURIBOR, according to Bloomberg data. French issues are cited below in bold and italic, both for fixed (first chart) and for floating rate (second chart) issues. NEW ISSUANCE TABLE FIXED (ABOVE EUR 500MN): JULY- AUGUST 2011 Issuer Issue date Amount Coupon Maturity Rating outstanding INTESA SANPAOLO 27-Jul Jul-13 n.a. UNICREDIT BANK A 15-Jul Jul-14 A AMADEUS CAP MKT 15-Jul Jul-16 BBB- LCL SA 13-Jul Jul-21 n.a. NED WATERSCHAPBK 12-Jul-11 1, Jul-16 AAA OESTER VOLKSBK 12-Jul Jul-14 n.a. FIAT FIN & TRADE 8-Jul Jul-14 BB FIAT FIN & TRADE 8-Jul Jul-18 BB BNP PARIBAS 6-Jul-11 1, Jul-15 AA- CREDIT AGRI CIB 4-Jul Jul-21 n.a. Source: Bloomberg, UniCredit Research UniCredit Research page 10 See last pages for disclaimer.

11 NEW ISSUANCE TABLE FRN (ABOVE EUR 500MN): JULY-AUGUST 2011 Issuer Issue date Amount outstanding Coupon Maturity Rating ING BANK NV 2-Sep Sep-13 n.a. UNICRED BANK IRE 31-Aug-11 1, Nov-12 n.a. ERSTE ABWICKLUNG 1-Aug Aug-12 AA ERSTE ABWICKLUNG 1-Aug Aug-12 AA CRED AGRICOLE SA 25-Jul Jul-13 AA- CASS RISP PARMA 25-Jul Jul-16 n.a. BANCA POP FRIULA 25-Jul Jul-16 n.a. CREDIT DU NORD 21-Jul Jul-12 n.a. CAIXA GERAL DEPO 19-Jul-11 1, Jul-14 NR CRD MUTUEL ARKEA 13-Jul Jan-13 NR ING BANK NV 7-Jul-11 1, Jan-13 A+ CASS RISP PARMA 5-Jul Oct-13 NR Source: Bloomberg, UniCredit Research French issuance activity French banks issued 16.1% of all iboxx debt securites in the last 12 months and were thus the biggest overall issuer. Given recent market conditions and the lack of any senior unsecured issues in all of August, it will be interesting to see how this will develop with French bank spreads having risen so much. IBOXX FINANCIALS VOLUME DEVELOPMENT BY ISSUER COUNTRY 700, ,000 Germany France United Kingdom Italy United States Spain Netherlands Switzerland Other 500, , , , , Source: iboxx, UniCredit Research UniCredit Research page 11 See last pages for disclaimer.

12 Outstanding French debt issues The following charts are intended to give a detailed analysis of outstanding French debt issues by capital structure. IBOXX BANKS SENIOR OUTSTANDING BY ISSUER COUNTRY IBOXX BANKS LT2 OUTSTANDING BY ISSUER COUNTRY Australia 4.2% Switzerland 6.4% Netherlands 11.8% Other 19.7% Spain 4.3% Germany 4.2% France 8.2% United States 17.9% United Kingdom 14.0% Italy 9.2% Switzerland 4.3% Netherlands 6.6% Spain 4.2% United States 12.0% Other 12.7% Italy 10.1% Germany 8.6% France 14.8% United Kingdom 26.7% Source: iboxx, UniCredit Research IBOXX BANKS UT2 OUTSTANDING BY ISSUER COUNTRY IBOXX BANKS T1 OUTSTANDING BY ISSUER COUNTRY United Kingdom 0.0% Other 0.0% Germany 0.0% Other 17.2% Germany 9.3% Denmark 30.4% Switzerland 7.3% Japan 0.0% Spain 0.0% Italy 69.6% Netherlands 0.0% Spain 1.8% United States 0.0% Italy 16.2% United Kingdom 12.8% France 35.4% Source: iboxx, UniCredit Research UniCredit Research page 12 See last pages for disclaimer.

13 Outstanding French debt issues in perspective As can be seen in the charts below, French banks' issues are quite dominant in Tier-1 issues. BIG 3 CONCENTRATION IN IBOXX FIN SECTOR iboxx (Outstanding in EUR bn) Big 3 Top 3 Concentration Banks Senior (375.0) Rabobank (10%), Goldman Sachs (4%), Bank of America (4%) 18% Banks Lower Tier II (95.2) RBS (6%), Barclays (6%), HSBC (5%) 18% Banks Upper Tier II (5.6) Unicredit (34%), Danske Bank (30%), Intesa Sanpaolo (22%) 87% Banks Tier I (35.5) Société Générale (12%), Intesa Sanpaolo (11%), BNP Paribas (9%) 32% Insurance Senior (26.0) Allianz (21%), ING (20%), Assicurazioni Generali (17%) 58% Insurance Sub (32.9) Allianz (18%), Munich Re (12%), AXA (9%) 40% GE (industrial) (56%), Unibail-Rodamco (7%), 3CIF (Caisse Centrale du Credit 68% Financial Services Senior (42.7) Immobilier de France) (6%) Financial Services Sub (6.0) GE (industrial) (49%), Nykredit (23%), Macquarie (10%) 83% Source: iboxx, UniCredit Research The biggest French iboxx issuer, BNP (iboxx weight: 2.7% vs. Rabobank's leading 6.4%), ranks ninth among the overall biggest iboxx Financial issuers, followed by SocGen (rank 11, iboxx weight: 2.5% vs. Rabobank's leading 6.4%), Crédit Agricole (rank 17, iboxx weight: 1.9% vs. Rabobank's leading 6.4%) and BFCM (rank 23, iboxx weight: 1.6% vs. Rabobank's leading 6.4%): BIGGEST IBOXX FINANCIALS BOND ISSUERS iboxx out. iboxx FIN Current Rating Issuer iboxx Sector (mn) weight (Moody's/S&P/Fitch) Rabobank (RABOBK) Banks 39, % Aaa/AAA/AA+ GE (industrial) (GE) Financial Services 26, % Aa2/AA+/-- Intesa Sanpaolo (ISPIM) Banks 23, % Aa3*-/A/AA- RBS (RBS) Banks 19, % Aa3*-/A+/AA+ HSBC (HSBC) Banks 19, % A3/A/AA- Bank of America (BAC) Banks 19, % Baa1/A/A+*- Barclays (BACR) Banks 18, % (P)A1/A+/AA- Citigroup (C) Banks 17, % A3/A/A+*- BNP Paribas (BNP) Banks 16, % Aa2*-/AA/AA- Goldman Sachs (GS) Banks 16, % A1/A/A+ Société Générale (SOCGEN) Banks 15, % Aa3/A+/A+ Credit Suisse (CS) Banks 15, % Aa2/A/AA- UBS (UBS) Banks 15, % Aa3*-/A+*-/A+ Unicredit (UCGIM) Banks 12, % Aa3*-/A/A Lloyds Banking Group (LLOYDS) Banks 12, % Baa2/BBB+/A+ Deutsche Bank (DB) Banks 12, % WR/NR/AA- Crédit Agricole (ACAFP) Banks 11, % Aa2*-/A+/AA- Banco Santander (SANTAN) Banks 11, % Aa1/AA/AA Allianz (ALVGR) Insurance 11, % Aa3/AA/AA- JPMorgan Chase (JPM) Banks 10, % Aa3/A+/AA- Morgan Stanley (MS) Banks 10, % A2/A/A ABN Amro Bank NV (ABNANV) Banks 9, % Aa3/A/A+ Banque Federative du Credit Mutuel (BFCM) Banks 9, % Aa3/A+/AA- ING (INTNED) Banks 9, % A1/A/A Nordea (NBHSS) Banks 9, % Aa2/AA-/AA- National Australia Bank Limited (NAB) Banks 8, % Aa2/AA/AA BBVA (BBVASM) Banks 7, % Aa2*-/AA/AA- Commerzbank (CMZB) Banks 7, % A2/A/A+ Source: iboxx, UniCredit Research UniCredit Research page 13 See last pages for disclaimer.

14 The Stress-Robustness of the big 6 French Banks Analysis of the French banks' stress resilience Stress-wise, the major individual French banking groups showed the following overall exposure to periphery countries according to EBA's 15 July stress test. STRESS TEST DATA ON FRENCH BANKS' EXPOSURE TO OVERALL TOTAL PERIPHERY COUNTRIES 400% 350% 300% 250% 200% 150% 100% 50% 0% BNP Crédit Agricole BPCE SocGen Source: EBA, Company data, UniCredit Research and composition of their periphery exposure The major individual French banking groups had the following composition regarding their periphery exposure according to EBA's 15 July stress test. FRENCH BANKS' SHARE OF INDIVIDUAL OVERALL TOTAL PERIPHERAL COUNTRY EXPOSURE AS OF FY10 Periphery's share of FY10 CT1 capital Periphery's share of FY10 CT1 capital by country 100% Italy Spain Portugal Greece Ire land 300% Greece Ireland Italy Portugal Spain 80% 250% 60% 200% 150% 40% 100% 20% 50% 0% BNP Crédit Agricole BPCE SocGen 0% BNP Crédit Agricole BPCE SocGen Source: EBA, Company data, UniCredit Research UniCredit Research page 14 See last pages for disclaimer.

15 and composition of their periphery exposure The French banking groups had the following composition regarding their periphery exposure: Periphery's share of BNP total exposure FY10 by country Periphery 15.2% Greece Portugal 4.3% 4.1% Ireland 3.9% Spain 17.3% Other 84.8% Italy 70.4% Periphery's share of Crédit Agricole total exposure FY10 by country Periphery 10.5% Ireland 5.0% Greece 20.0% Portugal 2.4% Spain 11.0% Italy 61.6% Other 89.5% Periphery's share of BPCE total exposure FY10 by country Periphery 4.8% Ireland 5.5% Greece 4.5% Portugal 7.0% Italy 43.8% Other 95.2% Spain 39.2% Periphery's share of SocGen total exposure FY10 by country Periphery 6.6% Ireland 10.0% Greece 14.0% Portugal 2.7% Italy 44.5% Other 93.4% Spain 28.8% Source: EBA, Company data, UniCredit Research UniCredit Research page 15 See last pages for disclaimer.

16 Stress test results for BNP Paribas CAPITALIZATION Reported Baseline scenario Adverse scenario Figures in EUR mn vs vs vs vs Net interest income 24,590 24,238-1% 24,210-2% 23,268-5% 22,800-7% Trading income 5,109 4,824-6% 4,824-6% 3,237-37% 2,525-51% of which trading losses from stress scenarios n.a n.a n.a. -1,514 n.a. -1,514 n.a. of which valuation losses due to sovereign shock n.a. n.a. n.a. n.a. n.a n.a n.a. Other operating income (incl. expenses) 3,350 2,816-16% 2,816-16% 2,394-29% 2,035-39% Operating profit before impairments 17,181 15,029-13% 15,118-12% 10,563-39% 7,845-54% Banking book impairments -5,333-5,006-6% -4,057-24% -7,596 42% -8,637 62% Operating profit after impairments and other losses 11,848 10,023-15% 11,060-7% 2,967-75% % Other income 1,172 1,182 1% 1,182 1% 1,005-14% % Net profit 9,164 7,927-14% 8,653-6% 2,863-69% 61-99% Risk-weighted assets 601, ,993 10% 673,782 12% 686,949 14% 723,305 20% Core Tier-1 capital 55,352 60,428 9% 65,989 19% 57,053 3% 56,802 3% CT1 ratio 9.2% 9.1% -0.1pp 9.8% 0.6pp 8.3% -0.9pp 7.9% -1.4pp CT1 ratio incl. committed measures until 30 Apr % 9.1% -0.1pp 9.8% 0.6pp 8.3% -0.9pp 7.9% -1.4pp Additional capital needed to reach 5% CT1 ratio 0 0 n.m. 0 n.m. 0 n.m. 0 n.m. Supervisory recognized capital ratio n.a. 9.1% n.a. 9.8% n.a. 8.3% n.a. 7.9% n.a. Funding costs (bp) 209 n.a. n.a. n.a. n.a % % GEOGRAPHIC EXPOSURE BREAKDOWN EUR mn as of Dec 2010 FI Corp Retail CRE Default Other Sov gross Sov net Sov deriv Sov indirect Total net sov Austria ,544 1,921 1, ,094 3,796 Belgium 3,470 31,060 51,941 7,772 3,135 20,191 26,770 24, , ,104 Denmark ,788 Finland 113 1, ,101 1, ,133 France 20,776 83, ,478 13,572 8,876 31,072 20,741 18, ,565 20, ,554 Germany 3,139 12,235 6, ,691 16, ,449 39,788 Greece 144 3, ,239 4, ,311 8,499 Ireland 1,859 2, , ,701 Italy 4,422 46,281 41,830 5,369 5,206 11,679 27,988 24,114 1, , ,570 Netherlands 3,050 9,563 10, ,870 10,630 9, ,752 50,420 Norway 463 1,302 2, ,299 Portugal 254 2,622 1, ,368 2,302 2, ,305 8,149 Spain 3,799 11,604 8, ,478 3,676 4,980 3, ,126 34,362 Sweden 409 1, ,857 United Kingdom 9,168 39,982 2,046 1,762 1,179 16,314 6,479 4, ,256 74,708 Other EEA 1,517 12,458 10,212 1,719 1,625 5,110 5,976 5, ,979 38,621 United States 9,529 60,980 20,202 5,202 2,309 40,144 33,071 25, ,981 21, ,788 Japan 1,048 2, ,590 40,809 34, ,782 34,970 Other non EEA non Emerging 3,207 24,789 5, ,533 10,284 9, ,092 50,299 Asia 12,799 30, , ,052 16,145 15, ,888 61,296 Middle and South America 2,086 12,338 3, ,251 3,961 3, ,240 24,563 Eastern Europe non EEA 1,174 12,475 1, , ,971 2, ,235 18,493 Others 7,176 39,559 3,559 1,423 2,461 6,964 6,330 6, ,251 67,394 Total 90, , ,118 39,775 30, , , , , ,071 1,307,152 Total Greece, Ireland, Portugal 2,258 8,636 1, ,420 8,170 7, ,124 24,350 Share of FY10 CT1 capital 4.1% 15.6% 2.6% 0.2% 0.7% 6.2% 14.8% 13.6% 0.7% 0.4% 14.7% 44.0% Total Italy, Spain 8,220 57,884 50,602 6,277 6,684 15,355 32,968 28,015 1, , ,932 Share of FY10 CT1 capital 14.9% 104.6% 91.4% 11.3% 12.1% 27.7% 59.6% 50.6% 1.8% -0.2% 52.2% 314.2% Total periphery/ct1 capital 18.9% 120.2% 94.0% 11.5% 12.7% 33.9% 74.3% 64.2% 2.5% 0.2% 66.9% 358.2% Overall total Source: Company data, UniCredit Research UniCredit Research page 16 See last pages for disclaimer.

17 Stress test results for BPCE CAPITALIZATION Reported Baseline scenario Adverse scenario Figures in EUR mn vs vs vs vs Net interest income 12,343 12,343 0% 12,343 0% 11,748-5% 11,643-6% Trading income -2,126-2,368 11% -2,368 11% -2,845 34% -2,845 34% of which trading losses from stress scenarios n.a n.a n.a n.a n.a. of which valuation losses due to sovereign shock n.a. n.a. n.a. n.a. n.a. -93 n.a. -93 n.a. Other operating income (incl. expenses) 4,711 4,711 0% 4,711 0% 4,711 0% 4,711 0% Operating profit before impairments 7,175 6,934-3% 6,934-3% 5,862-18% 5,757-20% Banking book impairments -1,911-2,369 24% -2,156 13% -3,772 97% -4, % Operating profit after impairments and other losses 5,265 4,565-13% 4,778-9% 2,090-60% 1,615-69% Other income % 439 0% % % Net profit 4,026 3,389-16% 3,533-12% 1,683-58% 1,332-67% Risk-weighted assets 407, ,349 5% 440,570 8% 465,832 14% 512,504 26% Core Tier-1 capital 31,943 34,654 8% 37,480 17% 33,310 4% 34,411 8% CT1 ratio 7.8% 8.1% 0.3pp 8.5% 0.7pp 7.2% -0.7pp 6.7% -1.1pp CT1 ratio incl. committed measures until 30 Apr % 8.2% 0.3pp 8.6% 0.7pp 7.2% -0.6pp 6.8% -1.1pp Additional capital needed to reach 5% CT1 ratio 0 0 n.m. 0 n.m. 0 n.m. 0 n.m. Supervisory recognized capital ratio n.a. 8.2% n.a. 8.6% n.a. 7.2% n.a. 6.8% n.a. Funding costs (bp) 185 n.a. n.a. n.a. n.a % % GEOGRAPHIC EXPOSURE BREAKDOWN EUR mn as of Dec 2010 FI Corp Retail CRE Default Other Sov gross Sov net Sov deriv Sov indirect Total net sov Austria 1, ,330 Belgium 48 1, ,217 Denmark Finland France 16, , ,034 13,798 17,092 80,831 46,073 41,973 3, , ,724 Germany 1,975 7, , ,756 Greece ,335 1, ,361 1,720 Ireland , ,081 Italy 941 3, , ,576 5,447 3, ,497 16,689 Netherlands 379 3, , ,306 Norway Portugal , ,683 Spain 323 4, ,458 1, ,964 Sweden United Kingdom 2,573 5, , ,757 Other EEA 722 3, ,302 1,687 1, ,895 8,410 United States 3,873 15, ,518 10,580 10, ,218 54,184 Japan , ,702 Other non EEA non Emerging 2,331 6, , ,218 Asia 1,216 4, ,671 Middle and South America 447 3, , ,046 Eastern Europe non EEA 466 2, ,614 Others 326 2, , ,102 Total 34, , ,270 18,269 19, ,717 72,385 63,650 3, , ,232 Total Greece, Ireland, Portugal 442 1, ,286 2,029 1, ,044 6,484 Share of FY10 CT1 capital 1.4% 3.6% 1.2% 0.1% 0.5% 7.2% 6.4% 5.9% 0.0% 0.5% 6.4% 20.3% Total Italy, Spain 1,264 7, , ,034 6,451 3, ,910 31,653 Share of FY10 CT1 capital 4.0% 23.9% 1.2% 5.7% 1.8% 50.2% 20.2% 12.1% 0.0% 0.1% 12.2% 99.1% Total periphery/ct1 capital 5.3% 27.5% 2.4% 5.8% 2.3% 57.4% 26.5% 18.1% 0.0% 0.6% 18.6% 119.4% Overall total Source: Company data, UniCredit Research UniCredit Research page 17 See last pages for disclaimer.

18 Stress test results for Crédit Agricole CAPITALIZATION Reported Baseline scenario Adverse scenario Figures in EUR mn vs vs vs vs Net interest income 16,413 15,672-5% 14,780-10% 14,870-9% 13,593-17% Trading income 1, % % % % of which trading losses from stress scenarios n.a n.a n.a. -1,507 n.a. -1,507 n.a. of which valuation losses due to sovereign shock n.a. n.a. n.a. n.a. n.a n.a n.a. Other operating income (incl. expenses) % 833 0% 833 0% 833 0% Operating profit before impairments 11,367 10,136-11% 9,244-19% 8,519-25% 7,242-36% Banking book impairments -5,563-5,647 2% -4,611-17% -8,820 59% -8,226 48% Operating profit after impairments and other losses 5,804 4,489-23% 4,633-20% % % Other income 530 1, % 1, % 1, % 1, % Net profit 4,034 3,867-4% 3,962-2% % % Risk-weighted assets 561, ,571-1% 555,990-1% 557,395-1% 553,362-1% Core Tier-1 capital 46,277 49,251 6% 52,312 13% 46,771 1% 46,950 1% CT1 ratio 8.2% 8.8% 0.6pp 9.4% 1.2pp 8.4% 0.2pp 8.5% 0.2pp CT1 ratio incl. committed measures until 30 Apr % 8.8% 0.6pp 9.4% 1.2pp 8.4% 0.2pp 8.5% 0.2pp Additional capital needed to reach 5% CT1 ratio 0 0 n.m. 0 n.m. 0 n.m. 0 n.m. Supervisory recognized capital ratio n.a. 8.8% n.a. 9.4% n.a. 8.4% n.a. 8.5% n.a. Funding costs (bp) 159 n.a. n.a. n.a. n.a % % GEOGRAPHIC EXPOSURE BREAKDOWN EUR mn as of Dec 2010 FI Corp Retail CRE Default Other Sov gross Sov net Sov deriv Sov indirect Total net sov Austria ,259 Belgium 1,558 4,805 4, ,575 2,844 2, ,482 15,604 Denmark ,211 Finland 259 1, ,450 France 50, , ,185 11,105 15, ,826 32,176 28, , ,582 Germany 2,200 7,612 2, ,125 2,263 1, ,263 16,533 Greece ,825 8, ,192 1, ,096 Ireland 99 3, , ,796 Italy 1,925 19,462 39,906 2,773 3,746 5,543 10,754 10, ,187 83,541 Netherlands 1,463 4,931 3, , ,527 Norway 462 1, ,648 Portugal , ,193 1, ,202 Spain 1,480 5,823 1, ,758 3,892 2, ,597 14,938 Sweden 692 1, ,206 United Kingdom 3,815 7, , ,798 Other EEA 6,142 7,724 4, , ,523 United States , ,470 3,563 3, ,327 57,489 Japan 207 2, , ,578 8,263 4, ,404 15,324 Other non EEA non Emerging 2,994 17,134 5, ,267 1,238 1, ,166 Asia 6,356 28,929 2, ,068 6,801 7,067 6, ,987 52,074 Middle and South America 526 7, ,920 1,219 1, ,207 12,235 Eastern Europe non EEA 1,328 7,891 1, ,448 Others 495 3, , ,374 Total 83, , ,668 19,182 27, ,687 78,978 67,628-1, ,416 1,296,022 Total Greece, Ireland, Portugal ,721 9, ,346 4,175 2,004 1, ,744 37,094 Share of FY10 CT1 capital 2.1% 36.1% 20.7% 1.1% 7.2% 9.0% 4.3% 4.1% -0.3% 0.0% 3.8% 80.2% Total Italy, Spain 3,405 25,284 41,030 3,693 3,982 8,300 14,645 12, ,784 98,479 Share of FY10 CT1 capital 7.4% 54.6% 88.7% 8.0% 8.6% 17.9% 31.6% 27.9% -0.2% 0.0% 27.6% 212.8% Total periphery/ct1 capital 9.5% 90.8% 109.4% 9.1% 15.8% 27.0% 36.0% 32.0% -0.5% 0.0% 31.4% 293.0% Overall total Source: Company data, UniCredit Research UniCredit Research page 18 See last pages for disclaimer.

19 Stress test results for Société Générale CAPITALIZATION Reported Baseline scenario Adverse scenario Figures in EUR mn vs vs vs vs Net interest income 11,933 11,605-3% 11,380-5% 10,867-9% 10,787-10% Trading income 5,401 5,193-4% 5,193-4% 3,622-33% 3,622-33% of which trading losses from stress scenarios n.a n.a n.a. -2,164 n.a. -2,164 n.a. of which valuation losses due to sovereign shock n.a. n.a. n.a. n.a. n.a n.a n.a. Other operating income (incl. expenses) 5,330 5,300-1% 5,300-1% 5,000-6% 5,000-6% Operating profit before impairments 9,258 8,550-8% 8,324-10% 5,801-37% 5,721-38% Banking book impairments -3,979-3,546-11% -2,807-29% -5,309 33% -4,230 6% Operating profit after impairments and other losses 5,279 5,004-5% 5,516 5% % 1,490-72% Other income % 550-8% % % Net profit 4,301 3,665-15% 4,004-7% % 1,314-69% Risk-weighted assets 343, ,205 12% 394,318 15% 418,651 22% 445,529 30% Core Tier-1 capital 27,824 30,341 9% 32,921 18% 28,374 2% 29,221 5% CT1 ratio 8.1% 7.9% -0.2pp 8.3% 0.3pp 6.8% -1.3pp 6.6% -1.5pp CT1 ratio incl. committed measures until 30 Apr % 7.9% -0.2pp 8.3% 0.3pp 6.8% -1.3pp 6.6% -1.5pp Additional capital needed to reach 5% CT1 ratio 0 0 n.m. 0 n.m. 0 n.m. 0 n.m. Supervisory recognized capital ratio n.a. 7.9% n.a. 8.3% n.a. 6.8% n.a. 6.6% n.a. Funding costs (bp) 136 n.a. n.a. n.a. n.a % % GEOGRAPHIC EXPOSURE BREAKDOWN EUR mn as of Dec 2010 FI Corp Retail CRE Default Other Sov gross Sov net Sov deriv Sov indirect Total net sov Austria , Belgium ,492 2,677 1, ,492 0 Denmark Finland France 19, , ,004 3,260 7,668 29,106 19,272 13, , ,450 Germany 9,131 9,572 6, ,463 17,768 6, ,521 29,415 Greece 137 2,162 1, ,837 2, ,668 6,592 Ireland 892 1, , ,675 Italy 1,862 6,452 5, ,348 2,606 8,815 3, ,662 20,891 Netherlands , Norway Portugal ,290 Spain 1,579 6, ,471 4,755 2, ,190 13,535 Sweden United Kingdom 21,583 13,075 1, ,766 1,813 1, ,204 40,303 Other EEA 1,090 8,006 8, ,222 11,024 10, ,796 25,581 United States 26,831 35, ,565 35,137 8,373 5, , ,201 Japan ,604 2,263 2, ,604 0 Other non EEA non Emerging 3,838 14,585 1, ,960 3,548 3, ,248 26,259 Asia 4,152 22,125 4, , ,192 Middle and South America Eastern Europe non EEA 1,595 11,308 8, ,160 1,698 2,142 2, ,139 27,020 Others 7,690 34,864 13, ,754 10,049 6,971 6, ,950 74,728 Total 100, , ,508 5,500 16,871 82,985 99,729 67,391-2, , ,132 Total Greece, Ireland, Portugal 1,527 4,522 1, ,003 4,719 3, ,757 12,557 Share of FY10 CT1 capital 5.5% 16.3% 4.8% 0.0% 1.5% 3.6% 17.0% 13.4% 0.2% -0.1% 13.5% 45.1% Total Italy, Spain 3,441 13,307 5, ,466 5,078 13,569 5, ,851 34,426 Share of FY10 CT1 capital 12.4% 47.8% 20.4% 2.2% 5.3% 18.2% 48.8% 20.0% -2.4% -0.2% 17.4% 123.7% Total periphery/ct1 capital 17.9% 64.1% 25.1% 2.2% 6.8% 21.9% 65.7% 33.4% -2.2% -0.3% 30.9% 168.9% Overall total Source: Company data, UniCredit Research UniCredit Research page 19 See last pages for disclaimer.