Crédit Mutuel-CIC Home Loan SFH.

Transcription

1 Crédit Mutuel-CIC Home Loan SFH SEPTEMBER 2012

2 DISCLAIMER This presentation has been prepared by Banque Fédérative du Crédit Mutuel ("BFCM") solely for use in the roadshow presentation CM10-CIC is constituted by the addition of 10 Crédit Mutuel federations : Centre-Est-Europe, Sud-est, Ile de France, Savoie Mont-Blanc, Midi-Atlantique, Loire Atlantique, Normandie, Centre, Dauphiné-Vivarais and Méditerranée As of January 2012, Anjou federation has joined the Group : Crédit Mutuel-CIC represents the perimeter of CM10-CIC until the December 2011 and of CM11-CIC starting as of January 2012 Statements that are not historical facts, including statements about Crédit Mutuel-CIC s and BFCM s beliefs and expectations, are forward-looking statements. These statements are based on current plans, estimates and projections, and therefore undue reliance should not be placed on them Forward-looking statements are only valid as of the date they are made, and neither CM10-CIC Group nor BFCM undertakes any obligation to update publicly any of them in light of new information or future events This presentation is confidential and is neither to be reproduced by any person, nor be distributed to any person other than its original recipient. Crédit Mutuel-CIC and BFCM take no responsibility for the use of these materials by any such person This presentation is not an offer to sell or the solicitation of an offer to purchase any notes and no part of it shall form the basis of or be relied upon in connection with any contract or commitment whatsoever The financial data 2011 are not approved already by the board Investor Presentation SEPTEMBER

3 Crédit Mutuel-CIC Home Loan SFH: Executive summary Banque Fédérative du Crédit Mutuel ( BFCM or the Borrower ) > Holding and central financing entity of the Crédit Mutuel-CIC Group > Strong senior unsecured debt ratings of A+ (stable) / Aa3 (stable)/ A+ (stable) by S&P, Moody s and Fitch Ratings respectively Crédit Mutuel-CIC (the Collateral Provider ) > Third largest retail bank in France in terms of number of branches > Third largest provider of home loans in France Crédit Mutuel-CIC Home Loan SFH (the Issuer ) > Crédit Mutuel-CIC Home Loan SFH is a French credit institution (établissement de crédit) approved and regulated by the regulator Autorité de Contrôle Prudentiel (ACP) > Full recourse obligation of the Issuer to BFCM > AAA / Aaa / AAA rated issuance with hard bullet maturities > Standard covered bond features: Asset Cover Test with 80% LTV cap and 92.5% maximum asset percentage > A bankrupcy of BFCM may not legally be extended to include Crédit Mutuel-CIC Home Loan SFH French Home Loan Cover Pool > Only Crédit Mutuel-CIC s French residential home loan portfolio, subject to Eligibility Criteria > Prime residential mortgages and guaranteed home loans (crédits cautionnés) > Weighted average indexed current LTV of 61%, weighted average seasoning of 58 months > High quality and low risk Cover Pool (no arrears) > Only French home loans which are very low risk by international standards Investor Presentation SEPTEMBER

4 Crédit Mutuel-CIC Home Loan SFH Programme Structure Overview CCM CCM CCM Caisse Fédérale CCM Local Banks CIC Regional Banks Collatéral Art L BFCM Upon Borrower Rating Event Borrower Debt Advances Collatéral Cash Crédit Mutuel-CIC Home Loan SFH AAA bonds Investors Investor Presentation SEPTEMBER

5 Crédit Mutuel-CIC Home Loan SFH: the AAA issuer of Crédit Mutuel-CIC Crédit Mutuel-CIC Home Loan SFH > A French credit institution, licensed and supervised by the Autorité de Contrôle Prudentiel (ACP), the French Banking Supervisory Authority > Audited by Price waterhouse Coopers and Ernst & Young Crédit Mutuel Home Loan SFH has a limited purpose designed to be bankruptcy remote > Its single purpose is to issue covered bonds and provide funding to the Group s entities > Limited recourse and non petition clauses included in all contracts signed with third parties > Double recourse to BFCM and to the collateral surety ( cover pool of home loans) In case of a Borrower Event of Default: automatic enforcement of the Collateral Surety > Regulated by common law: European collateral directive provisions transposed into the French Monetary and Financial Code (Article L July 2005) > Segregation of the assets by the Collateral Providers (CM11-CIC) to the benefit of the Issuer (Crédit Mutuel Home Loan SFH) > Assets will be entirely transferred in case of enforcement of the Collateral Surety Crédit Mutuel-CIC Home Loan SFH benefit from the new legal framework (SFH) which has been approved by French Parliament in October 2010 (Bankruptcy law, UCITS 22.4 compliance.) Investor Presentation SEPTEMBER

6 Crédit Mutuel-CIC Home Loan SFH Cover Pool Only prime residential mortgages and guaranteed home loans (no RMBS, no securitization, no substitution assets) Underlying properties exclusively located in France Only residential loans under French law % of CM-CIC SFH HL's Cover Pool > 10% > 5% and < 10% > 2% and < 5% > 1% and < 2% < 1% Only loans originated by the group s networks are eligible > Mastering the underwriting procedures > Unique IT system to support the different processes No loans in arrears in the cover pool Restrictive eligibility criteria Home Loan origination > Present in the whole country > Over weighted in the wealthy areas (Paris, Lyon, Strasbourg, French Riviera ) Investor Presentation SEPTEMBER

7 Crédit Mutuel-CIC Home Loan SFH Programme Key Terms Issuer Crédit Mutuel-CIC Home Loan SFH Programme Size EUR 30 bn Ratings AAA (S&P) / Aaa (Moody s) / AAA (Fitch Ratings) Risk Weighting 20% Maturity Type Hard bullet Currency Any Listing Paris Governing Law French Maximum LTV 100% (with LTV cap at 80% for ACT) Investor Presentation SEPTEMBER

8 Crédit Mutuel-CIC Home Loan SFH Programme Cover Pool as at August, the 15 th 2012 Pool Notional EUR 35 bn Type Prime French residential mortgages and guaranteed home loans Number of Loans 421,358 WA Current LTV 68% WA Indexed LTV 61% Seasoning 60 months Rate Type 83% Fixed, 17% Floating and Indexed Max Loan Amount Breakdown of Cover Pool Outstanding EUR 1 mn 65% Mortgages, 35% guaranteed Investor Presentation SEPTEMBER

9 Asset quality Highly liquid and strongly rated instrument AAA / Aaa / AAA by S&P, Moody s and Fitch Ratings Exposure to the high quality French home loan market Full support of the Crédit Mutuel-CIC Group Third largest retail bank in France A+ (stable) / Aa3 (stable)/ A+ (stable) by S&P, Moody s and Fitch Ratings A stable and profitable financial structure with a low risk business model Stable and growing high quality cover pool Extremely low non-performing loan rate Tight customer scoring monitoring systems Structural features of the programme Asset Cover Test ensures overcollateralisation level and mitigates negative carry risk 141,629 on 118,053 underlying properties Hedging strategy and liquidity providers mitigate market and liquidity risks Prime French residential mortgages and guaranteed home loans Investor Presentation SEPTEMBER

10 Number of transactions % yearly change A sound French housing market Structurally the French home loan market is a sound and strong market > Low home ownership ratio (57%) among the lowest in Europe Favourable structural factors > French housing market characterized by inadequate growth in supply relative to growth in the number of households > growing population > strong and structural demand > pension planning (*) 2011, rising prices in the first half of housing market (excluded new builded homes): > sales in 2011 (-2% vs 2010 ) > 1% to 5% increase in average prices in 2011 With heterogeneous evolution ( +15% in Paris, +2% in countryside) > The end of the year was impacted by the economic environment and the forecast of fiscal reform These have weakened the intentions of purchase and given a brake to the upward trends of the beginning of the year. (*) from CFF press release House Price Index (Base100 = T1 1975) Source: ESRI, Ministerio de Vivienda, Nationwide, INSEE, Hypoport Activity in volume (old housing) Number of annual transactions (thousands) Annual changes (%) Esp Irl GB It Fr US Investor Presentation SEPTEMBER

11 A sound French housing market, prudently financed Low risk with only prime home loans and conservative origination policy Average Home Loan maturity (months) > Borrowers repayment cannot exceed 33% of the disposable income (31 % average debt ratio ) > Close analysis of the client (work status, regularity of income, credit history) > Home loans are attributed to the client and not to the asset > Sustainable maturity : 18, 7 years average > More than 90% of home loans have a fixed rate to maturity Average Home Loan Interest rate (%) (data : Source Secrétariat Général ACP) Low penetration of variable interest rates (%) Relative cost of operations (income year) Sources: Credit Logement Investor Presentation SEPTEMBER

12 SFH:Framework French Peer Comparison Société de Financement de l'habitat (SFH) CRH Structured Covered Bonds Secured Issuances Obligations de Financement de l'habitat Cover Bonds Structured Covered Bonds Dedicated Legal Framework Yes 1. Home Loans secured by: - a mortgage - an eligible guarantee (subject to additional specific weightings) Yes 1. Home secured by: - a mortgage - an eligible guarantee (subject to additional specific weightings and limited to 35% oaf assets) No 1. Home Loans secured by: - a mortgage - an eligible guarantee (subject to additional specific weightings) Eligible Assets 2. Securitizations of the above (subject to specific rules and criteria) 2. Replacement Assets 3. Replacement Assets OC, 180-day liquidity needs OC, full recourse to the OC, pre-maturity and collection Investor Protection coverage and ability to repo participating banks in case of loss reserve tests, Hedging own issuances, controlled ALM collateral shortfall Strategy Transfer of Benefit of Cover Pool True Sale or Financial Guarantee Financial Guarantee Only True Sale or Financial Guarantee Regulatory Supervision French banking supervisor (ACP) and Specific Controller ACP ACP Minimum OC Legal (102%) and contractual (AAA compatible) 125% Contractual (AAA compatible) UCITS Compliance Yes Yes No CRD SA RW 20% 10% 20% Investor Presentation SEPTEMBER

13 SFH:Framework European Peer Comparison Société de Financement de l Habitat (SFH) Issuer of Hypothekenpfandbriefe Legal Over-Collateralization 102% 102% Underlying Real Estate property prudent re-appraisal Yes Yes Maximum Loan-to-Financing 80% 60% Include Commercial Real Estate No YES Location of real estate property UE, EEA, non EEA AAA-AA UE, EEA, non EEA AAA (max 10%) Replacement securities 15% 20% Regulatory oversight Yes, role played by the Specific Controller Yes, role played by the Sachwalter Acceleration of Covered Bonds No No Liquidity Risk Management 180-day needs must be covered at all times 180-day needs must be covered at all times Investor Presentation SEPTEMBER

14 Crédit Mutuel-CIC Home Loan SFH Structure Details Hedging Strategy Before an event of default, the Issuer is not exposed to any risk of an interest or currency rate mismatch arising between the payments received on the Borrower Advances and the payments to be made under the Covered Bonds Upon the occurrence of a Hedging Rating Trigger Event, the Issuer will enter into Hedging Agreements > Swap agreements concluded by the Issuer with Eligible Hedging Providers (Issuer Hedging Agreements) to hedge any currency and interest rate mismatch between the Covered Bonds and the Cover Pool > Hedging Rating Trigger Event means the event in which the senior unsecured, unsubordinated and unguaranteed debt obligations of BFCM become rated below A-1 by S&P, A1 by Moody's or F1+ by Fitch Ratings Upon the occurrence of a Borrower Event of Default, and the subsequent transfer in favour of the Issuer of title to the Home Loans, the Issuer will > Maintain its rights and obligations under the existing Issuer Hedging Agreements > Terminate immediately the Borrower Hedging Agreements Investor Presentation SEPTEMBER

15 Crédit Mutuel-CIC Home Loan SFH Structure Details Structural Highlights The Pre-Maturity Test is designed to ensure that the Borrower can provide sufficient liquidity in case of a downgrade > If 9 months before the maturity of any Covered Bonds series the Borrower short-term ratings are below A1 by S&P, P-1 by Moody s or F1+ by Fitch Ratings, the Borrower must fund a cash collateral account up to a sufficient amount to insure the redemption of the Covered Bonds > A non-compliance with the Pre-Maturity Test will prevent the Issuer from issuing any further series of Covered Bonds as long as it remains unremedied Liquidity Support > Monthly payment under the Covered Bond Swap > Funds held by the highly rated Covered Bond Swap provider until the annual payment of interest Account Agreement > BFCM provides bank accounts to the Issuer Asset Servicing > The Collateral Providers will perform the Asset Servicing. BFCM will provide Crédit Mutuel-CIC Home Loan SFH with Asset Reporting > Crédit Mutuel-CIC Home Loan SFH will use reasonable efforts to enter into a master servicing agreement with an Eligible Servicer if downgraded below BBB by S&P, Baa2 by Moody s or BBB- by Fitch Ratings Investor Presentation SEPTEMBER

16 Crédit Mutuel-CIC Home Loan SFH Structure Details Cash Flow Priorities Senior Administrative and Tax Costs Covered Bonds Hedging Costs Pre-Enforcement Priority Payment Order Interest on the Covered Bonds Principal on the Covered Bonds Hedging Termination Costs Dividend to the Issuer s shareholders and any payment under the subordinated loan Investor Presentation SEPTEMBER

17 Crédit Mutuel-CIC Home Loan SFH Structure Details Key Events (1/3) Borrower Event of Default The occurrence of any of the following events will constitute a Borrower Event of Default Default in the payment of principal or interest on any Borrower Facility not remedied within 3 business days after the due date Breach of Pre-Maturity Test Breach of Asset Cover Test Breach of Amortisation Test Failure to comply with any of the Borrower s material obligations Occurrence of an Insolvency Event Failure to enter into any Hedging Agreement within 30 days following a Hedging Rating Trigger Event Failure to constitute a reserve within specified period of 10 days A Borrower Event of Default will result in a Borrower Enforcement Notice Borrower advances due and payable Enforcement of the Borrower Facility with transfer of assets to the Issuer Senior Administrative and Tax Costs Covered Bonds Hedging Costs Controlled Post- Enforcement Priority Payment Order Interest on the Covered Bonds Principal on the Covered Bonds Hedging Termination Costs Subject to full repayment of any outstanding Covered Bonds, distribution of remaining enforcement proceeds to the Borrower Investor Presentation SEPTEMBER

18 Crédit Mutuel-CIC Home Loan SFH Structure Details Key Events (2/3) Issuer Event of Default The occurrence of any of the following events will constitute an Issuer Event of Default Default in the payment of principal or interest on any Covered Bond not remedied within 5 business days after the due date Order made for the liquidation or winding up of the Issuer The Issuer ceases to carry on all or a material part of its business Breach of Amortisation Test Failure to enter into any Hedging Agreement within 30 days following a Hedging Rating Trigger Event An Issuer Event of Default will result in an Issuer Enforcement Notice and an Accelerated Post-Enforcement Priority Payment Order Accelerated Post- Enforcement Priority Payment Order Senior Administrative and Tax Costs Covered Bonds Hedging Costs Interest on the Covered Bonds Principal on the Covered Bonds Hedging Termination Costs Subject to full repayment of any outstanding Covered Bonds, distribution of remaining enforcement proceeds to the Borrower Investor Presentation SEPTEMBER

19 Crédit Mutuel-CIC Home Loan SFH Structure Details Key Events (3/3) No further Issuance The Issuer undertakes not to issue further Covered Bonds under the Programme As from the date a Borrower Enforcement Notice has been served As from the date an Issuer Enforcement Notice has been served For so long as Non Compliance with Asset Cover Test has occurred and is not remedied For so long as, regarding the Pre-Maturity Test, a Non Compliance Notice has been delivered and is not withdrawn Investor Presentation SEPTEMBER

20 Collateral description August 2012 Investor Presentation SEPTEMBER

21 Portfolio breakdown by regions August 2012 Investor Presentation SEPTEMBER

22 Portfolio breakdown August 2012 Investor Presentation SEPTEMBER

23 Asset Cover Test August the 15 th 2012 Investor Presentation SEPTEMBER

24 Conclusion A group with a strong identity and recognised for its robustness Image of a safe retail bank which has been reinforced during the financial crisis A business model used to help member-clients, associating constant progress with prudence A well-balanced asset portfolio with high quality standards A strong level of capitalisation, Tier One of 11% Good access to liquidity both internally and externally Has the human, material and financial resources required to pursue growth Investor Presentation SEPTEMBER

25 Appendices Investor Presentation SEPTEMBER

26 Consolidated account statement 2011 CM10-CIC P&L ( m) Retail banking 2010 CM5-CIC P&L ( m) Retail bkg Insurance Insurance Private banking NET PROFIT (737) Investor Presentation SEPTEMBER Private bkg CIB Private Equity Holding Interco TOTAL NBI (482) % of consolidated NBI 73,9% 10,5% 3,6% 9,4% 1,7% 0,9% 100,0% Overheads (4 890) (367) (320) (262) (35) (963) 482 (6 356) Cost-to-income ratio -58,2% -30,7% -79,1% -24,4% -18,6% ,4% EBITDA (860) Cost of risk (1 154) 0 (15) (32) (0) (105) (0) (1 305) EBIT (966) Net gains/losses on other assets and equity accounted cies 30 (3) 1 (0) (0) (32) (0) (3) PRE-TAX PROFIT (997) Income tax (800) (144) (8) (190) (3) (884) CIB Private Equity Holding Interco TOTAL NBI (557) % of consolidated NBI 79,3% 8,3% 3,7% 7,6% 0,8% 0,2% 100,0% Overheads (5 484) (351) (317) (256) (34) (1 057) 557 (6 942) Cost-to-income ratio -59,6% -36,3-73,5% -28,9% -36,6% -3914,8% -100,0% -62,8% EBITDA (1 030) Cost of risk (879) (44) (43) (148) 0 (342) (1 456) OPERATING PROFIT (1 372) Net gains/losses on other assets & equity accounted cies (30) 63 PRE TAX PROFIT (1 402) Income tax (926) (194) (18) (181) (2) 408 (913) NET PROFIT (994)

27 Group Awards Bank of the year FRANCE 2011, The Banker Dec 2011 (Bank of the year FRANCE 2010, The Banker Dec 2010) Top 5 best capitalised bank in Eurozone, S&P 2011 Best Developed Market Banks in France, Global Finance March 2012 "We recognize these banks for their outstanding accomplishments," says Global Finance's publisher, Joseph D. Giarraputo. "Global financial markets are extremely difficult and conditions in each market may have differed but the winning banks were all noteworthy in their dedication to satisfying their customers' needs. ks_developed_2012.pdf Investor Presentation SEPTEMBER

28 Contact details Christian Klein, Deputy CEO / T : +33 (0) Christian Ander, Director, Head of Funding & Capital Raising christian.ander@creditmutuel.fr / T : +33 (0) Jerome Linder, Head of FIG jerome.linder@creditmutuel.fr / T : +33 (0) Eric Cuzzucoli, Head of Funding eric.cuzzucoli@creditmutuel.fr / T : +33 (0) Sandrine Cao-Dac Viola, Head of Investor Relations sandrine.caodac@creditmutuel.fr / T : +33 (0) Investor Presentation SEPTEMBER