Crédit Agricole: solid capital structure under Basel 3

Transcription

1 Crédit Agricole: solid capital structure under Basel 3 7 November 2013 Presentation to be included in the medium-term plan scheduled for release on 20 March 2014

2 DISCLAIMER This presentation may include prospective information on the Group, supplied as information on trends. This data does not represent forecasts within the meaning of European Regulation 809/2004 of 29 April 2004 (chapter 1, article 2, 10). This information was developed from scenarios based on a number of economic assumptions for a given competitive and regulatory environment. Therefore, these assumptions are by nature subject to random factors that could cause actual results to differ from projections. Likewise, the financial statements are based on estimates, particularly in calculating market value and asset depreciation. Readers must take all these risk factors and uncertainties into consideration before making their own judgement. The figures presented are not audited. The calculations are based on the rules contained in Directive 2013/36/EU of 26 June 2013 on the access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms and in Regulation (EU) No 575/2013 of 26 June 2013 on the prudential requirements for credit institutions and investment firms (CRDIV), as interpreted by Crédit Agricole S.A. at the end of September Note: The Crédit Agricole Group scope of consolidation comprises: the Regional Banks, the Local Banks and Crédit Agricole S.A. and their subsidiaries. This is the scope of consolidation used by the French and European regulatory authorities to assess the Group's liquidity and solvency. Crédit Agricole S.A. is the listed entity. It owns ~25% of the Regional Banks and the subsidiaries of its business lines (French retail banking, International retail banking, Savings management, Specialised financial services, and Corporate and investment banking). 2 CREDIT AGRICOLE: SOLID CAPITAL STRUCTURE UNDER BASEL 3 - NOVEMBER 2013

3 CONTENTS Solvency track: CA Group and Crédit Agricole S.A. Detailed calculation and assumptions Capital structure at end-2015 Specific guarantees granted by the Regional Banks to Crédit Agricole S.A. (Switch) 3 CREDIT AGRICOLE: SOLID CAPITAL STRUCTURE UNDER BASEL 3 - NOVEMBER 2013

4 CRÉDIT AGRICOLE GROUP AND CRÉDIT AGRICOLE S.A. Solvency ratios (Basel 2.5) Basel 2.5 solvency ratio at 30/09/13 Crédit Agricole S.A. and Crédit Agricole Group 15.7% 11.9% 9.4% 12.3% Crédit Agricole Group 10.4% 15.4% Crédit Agricole S.A. Core Tier 1 Tier 1 CRD ratio 4 CREDIT AGRICOLE: SOLID CAPITAL STRUCTURE UNDER BASEL 3 - NOVEMBER 2013

5 SOLVENCY TRACK CA GROUP AND CRÉDIT AGRICOLE S.A. Transition of Crédit Agricole S.A. ratio from Basel 2.5 to Basel 3 9.4% 7.8% to 8.0% Assumptions are listed in slides 9 to 12. Ratios above include the impact of ~-25 bp related to non-deductibility of the loss on the disposal of the Emporiki shares. Claim underway, not taken into account in the track. * Subject to ACPR approval 5 CREDIT AGRICOLE: SOLID CAPITAL STRUCTURE UNDER BASEL 3 - NOVEMBER % to 9.0% Sept 2013 Basel 2.5 CRD4 impacts on RWAs Excess minority interest Financial stakes either >10% or equity accounted DTAs (timing differences and carry forward) Application of threshold rules Redemption of the residual shareholders' advance and T3CJ Danish compromise and Switch stage 2* Others (including Q4-13 results) Target CET1 Basel 3 fully loaded 1st Jan Target 31 December 2014 (94 bp) (38 bp) (111 bp) (33 bp) +78 bp (45 bp) +88 bp

6 SOLVENCY TRACK CA GROUP AND CRÉDIT AGRICOLE S.A. Fully loaded CET1 ratio Basel 3 fully loaded CET1 ratio - targets Crédit Agricole Group and Crédit Agricole S.A. 11.0% 7.8% to 8.0% 12.0% 8.8% to 9.0% 13.0% >9.5% Taking into account - the weighting of the capital and reserves of Crédit Agricole Assurances (at 370%) i.e. 34bn in RWAs - the extension of the Switch guarantees between the Regional Banks and Crédit Agricole S.A. ( 34bn in RWAs) - a dividend pay-out ratio of 35% 1 January December December 2015 Crédit Agricole Group Crédit Agricole S.A. - the commitment by SAS Rue la Boétie to opt for a scrip dividend until Crédit Agricole S.A. reaches a fully loaded minimum CET1 ratio of 9% End-2014 and end-2015 targets will be reached Through organic capital generation Thanks to asset disposals and balance sheet operations already identified Disclaimer: The above ratios are based on a number of assumptions (those used for calculating the ratio of Crédit Agricole S.A. as of 01/01/2014 are described on slides 9 to12). The actual ratios on each of these dates will depend on a number of factors, including the future net income of Crédit Agricole S.A. and of Crédit Agricole Group, which are inherently subject to uncertainty. 6 CREDIT AGRICOLE: SOLID CAPITAL STRUCTURE UNDER BASEL 3 - NOVEMBER 2013

7 SOLVENCY TRACK CA GROUP AND CRÉDIT AGRICOLE S.A. Phased ratios Phased CET1 ratios* (including and excluding goodwill) at 1 st January 2014 and distance to ECB thresholds for AQR exercise 12.0% 10.0% Goodwill phasing 8.3% Phased CET1 (excl goodwill) Goodwill phasing 11.0% Phased CET1 (excl goodwill) Equivalent to ~ 20bn in capital ECB threshold of 8% Crédit Agricole S.A. Crédit Agricole Group The European banks' balance sheet assessment (Asset Quality Review, stress test) will be conducted by the ECB - at Crédit Agricole Group level (Regional Banks and Crédit Agricole S.A.), - all items being in principle phased in accordance with CRD4 minimum rules * Calculation based on Crédit Agricole S.A. s understanding of CRR/CRD4 rules applicable to French banks supervised by ACPR 7 CREDIT AGRICOLE: SOLID CAPITAL STRUCTURE UNDER BASEL 3 - NOVEMBER 2013

8 CONTENTS Solvency track: CA Group and Crédit Agricole S.A. Detailed calculation and assumptions Capital structure at end-2015 Specific guarantees granted by the Regional Banks to Crédit Agricole S.A. (Switch) 8 CREDIT AGRICOLE: SOLID CAPITAL STRUCTURE UNDER BASEL 3 - NOVEMBER 2013

9 DETAILED CALCULATION AND ASSUMPTIONS Detailed calculation of Basel 3 fully loaded CET1 ratio at 01/01/2014 Crédit Agricole S.A. ( bn) 01/01/2014 Basel 3 fully loaded Estimated shareholders' equity Group share* /09/2013 Basel Limited recognition of minority interest Goodwill and intangibles (15.8) - Financial stakes either >10% or equity accounted (3.5) - DTA carryforwards (0.2) - DTA timing differences (0.9) - EL equity (0.1) + Application of threshold rules (15%) 3.5 = CET1 / Core Tier / RWAs 315 to Ratio CET1 / Core Tier 1 7.8% to 8.0% 9.4% * Q4-13 results based on analysts' consensus (established using 21 research analysts forecasts received mid-october 2013 prior to Q3-13 results) and taking into account a 35% pay-out ratio 9 CREDIT AGRICOLE: SOLID CAPITAL STRUCTURE UNDER BASEL 3 - NOVEMBER 2013

10 DETAILED CALCULATION AND ASSUMPTIONS Detailed assumptions at 01/01/2014 for Crédit Agricole S.A. NUMERATOR: REGULATORY CAPITAL DENOMINATOR: RISK WEIGHTED ASSETS Dividend pay-out policy 35% Shareholders' equity Minority interest Payment of scrip dividend 78% - 100% by the Regional Banks - 50% by the public Redemption of the residual shareholders' advance Cancellation of filters on AFS securities and crystallisation of related unrealised gains or losses at 30/09/2013 Limited recognition of minority interest to 8% ( 958m) + 0.5bn ( 1.2bn) Redemption of residual T3CJ ( 470m) CRD4 impacts Activity and others Main CRD4 impacts ~+ 34bn - CVA + 15bn - Central Counterparty Clearing + 5bn - Securitisations + 6bn - Financial institutions + 7bn mainly in CIB Stability of organic risk weighted assets Weighting of threshold utilised at 250% +~ 9bn Deductions Threshold Deferred tax assets (DTAs) (see focus) Financial stakes either >10% or equity accounted 1/3 used by DTA timing differences 2/3 used by financial stakes either >10% or equity accounted Deduction from numerator after application of threshold rules (see focus) (~ 1.0bn) Insurance and Switch Transition to Danish compromise ~+ 5bn * Subject to ACPR approval Extension of Switch guarantees to RWAs of Crédit Agricole Assurances (transferred to the Regional Banks)* ( 34bn) The figures above correspond to the difference between amounts used for the calculation of Core Tier 1 under Basel 2.5 and the CET1 under Basel 3 10 CREDIT AGRICOLE: SOLID CAPITAL STRUCTURE UNDER BASEL 3 - NOVEMBER 2013

11 DETAILED CALCULATION AND ASSUMPTIONS Focus on equity investments - Crédit Agricole S.A. scope Financial stakes either >10% or equity accounted Amounts before application of threshold m 4,000 3,500 3,000 2,500 2,000 Others* C.R.H. Crédit Logement Others* BES Of which stakes carried by Crédit Agricole S.A. on behalf of the Group: impact ~15bp Impact: ~7bp Impact : ~25bp Bankinter: Equity affiliate deconsolidated and reclassified under AFS in 2012, then sold in ,500 1, Saudi Al Fransi Impact : ~45bp Bank Saudi Al Fransi (30.4% equity affiliate): steady rise in value BES: 20.1% equity affiliate 0 Dec. 10 Dec. 11 Dec. 12 Sept. 13 Equity accounted financial stakes Financial stakes (AFS) >10% Bankinter * Other equity accounted financial stakes: Wafasalaf, GAC Sofinco Auto finance, etc.. - Other financial stakes >10%: Agricéréales, Unicéréales, etc. 11 CREDIT AGRICOLE: SOLID CAPITAL STRUCTURE UNDER BASEL 3 - NOVEMBER 2013

12 DETAILED CALCULATION AND ASSUMPTIONS Focus on deferred tax assets (DTAs) - Crédit Agricole S.A. scope Regulatory treatment of DTAs m 4,000 3,500 Basel 3 treatment 3,000 2,500 2,000 1,500 1, Consolidated financial Difference due to scope statements 31/12/2012 of consolidation/ regulatory (mainly insurance) Difference due to netting* and others DTA changes in 2013 (estimate) Tax loss (1) carryforwards Timing differences(2) Recoverable DTA (3) Regulatory 01/01/2014 (estimate) Deductions from capital ~ 0.2bn Fully included in the threshold ~ 0.9bn Risk weighted at 100% ~ 1.5bn * Difference between netting for accounting purposes and netting for regulatory purposes (1) Mainly in foreign entities (2) Difference between accounting and fiscal results (collective reserves), OCI (3) Claims on Italian government (Agos and Cariparma) 12 CREDIT AGRICOLE: SOLID CAPITAL STRUCTURE UNDER BASEL 3 - NOVEMBER 2013

13 CONTENTS Solvency track: CA Group and Crédit Agricole S.A. Detailed calculation and assumptions Capital structure at end-2015 Specific guarantees granted by the Regional Banks to Crédit Agricole S.A. (Switch) 13 CREDIT AGRICOLE: SOLID CAPITAL STRUCTURE UNDER BASEL 3 - NOVEMBER 2013

14 CAPITAL STRUCTURE AT END targets Capital structure under Basel 3 at end-2015 Crédit Agricole S.A. Crédit Agricole Group 10.5% 2.0% 1.5% 7.0% Tier % (grandfathered*) 14.5% 15.0% 4.5% 2.0% 7.8% to 8.0% 3.5% 2.0% >9.5% Additional Tier 1 (grandfathered*) G-SIFI additional requirement (anticipated) Common Equity Tier 1 (fully loaded) 12.0% 2.0% 1.5% 1.5% 7.0% 3.0% 1.0% 11.0% 16.5% 2.0% 1.5% 13.0% Regulatory requirement 2018 Target 1st January 2014 Target 31 Dec Regulatory requirement 2018 Target 1st January 2014 Target 31 Dec The anticipated G-SIFI additional requirement of up to 1.5% is taken into account at Crédit Agricole Group level Disclaimer: The above ratios are based on a number of assumptions (those used for calculating the ratio of Crédit Agricole S.A. as of 01/01/2014 are described on slides 9 to 12). The actual ratios on each of these dates will depend on a number of factors, including the future net income of Crédit Agricole S.A. and of Crédit Agricole Group, which are inherently subject to uncertainty. * Phased calculation based on Crédit Agricole S.A. s understanding of CRR/CRD4 rules applicable to French banks supervised by ACPR 14 CREDIT AGRICOLE: SOLID CAPITAL STRUCTURE UNDER BASEL 3 - NOVEMBER 2013

15 CAPITAL STRUCTURE AT END-2015 Management of capital structure Structural generation of capital due to Crédit Agricole's specific business model The Regional Banks retain most of their earnings Crédit Agricole S.A. dividend policy - 35% pay-out over the duration of its medium-term plan - commitment by SAS Rue la Boétie to opt for a scrip dividend until Crédit Agricole S.A. reaches a fully loaded minimum CET1 ratio of 9% Flexibility in capital allocation Crédit Agricole S.A. carries some equity investments on behalf of the Regional Banks for ~ 15bp of CET1 ratio Specific guarantees: transfer to the Regional Banks of a capital requirement of ~190 bp Management of leverage ratio Managed at Group level to take into account intragroup funding (Crédit Agricole S.A. / Regional Banks) Crédit Agricole Group: 3.5% at end-sept and target of 5% in 2018 Crédit Agricole S.A.: target of 3% in 2018 Management of capital instruments not included in CET1 AT1 issuance Further issuance of Tier 2 contingent capital if appropriate Tier 2 issuance 15 CREDIT AGRICOLE: SOLID CAPITAL STRUCTURE UNDER BASEL 3 - NOVEMBER 2013

16 CONTENTS Solvency track: CA Group and Crédit Agricole S.A. Detailed calculation and assumptions Capital structure at end-2015 Specific guarantees granted by the Regional Banks to Crédit Agricole S.A. (Switch) 16 CREDIT AGRICOLE: SOLID CAPITAL STRUCTURE UNDER BASEL 3 - NOVEMBER 2013

17 SPECIFIC GUARANTEES GRANTED BY THE REGIONAL BANKS TO CRÉDIT AGRICOLE S.A. (SWITCH) An illustration of the Group's internal flexibility Initial target Replacement of 2 capital instruments* not eligible under Basel 3 by - Redemption of 5.5bn of shareholders advance and T3CJ deeply subordinated notes held by the Regional Banks - Transfer of 70bn RWAs to the Regional Banks Stage 1 (Dec. 2011) Redemption of 4.1bn in shareholders advance and T3CJ Transfer of 53bn of RWAs related to Crédit Agricole S.A.'s stake in the Regional Banks Stage 2 (1 st Jan. 2014**) Initial target met by: - Redemption of the residual 1.4bn shareholders advance and T3CJ - Transfer of 17bn of RWAs related to insurance (CAA) Transfer of RWAs beyond the initial target ( 17bn of RWAs related to insurance) Numerator Regulatory capital 5.5bn 4.1bn 1.4bn Capital Capital Capital 1.4bn Denominator RWAs RWAs RWAs Risk weighted assets (RWAs) 70bn 17bn 53bn 17bn 17bn 87bn * Shareholders advance and T3CJ deeply subordinated notes ** subject to ACPR approval Initial target met and transfer of additional RWAs beyond the initial target 17 CREDIT AGRICOLE: SOLID CAPITAL STRUCTURE UNDER BASEL 3 - NOVEMBER 2013

18 SPECIFIC GUARANTEES GRANTED BY THE REGIONAL BANKS TO CRÉDIT AGRICOLE S.A. (SWITCH) An illustration of the Group's internal flexibility Principle The guarantees transfer to the Regional Banks the risk of a decline in the equity-accounted value of Crédit Agricole S.A.'s stakes in the Regional Banks (CCIs/CCAs) and in Crédit Agricole Assurances (CAA) The guarantees cover a fixed equity-accounted value of 23.9bn ( 14.7bn for the CCIs/CCAs from 31 December 2011 and 9.2bn for CAA from 1 January 2014) Cash deposit The way it works The guarantees include an 8.1bn cash deposit providing, over the long-term, liquidity equivalent to the redeemed T3CJs and shareholders advance ( 5.5bn), as well as additional long-term resources The cash deposit is sized to reflect the regulatory capital saving achieved by Credit Agricole S.A. If the equity-accounted value declines, the Regional Banks bear the loss of value up to their maximum commitment of 23.9bn, subject to a clawback provision If guarantees are activated, the corresponding compensation is claimed by Crédit Agricole S.A. out of the cash deposit, which is then replenished by the Regional Banks up to the level of the regulatory requirement Benefits Better allocation of capital within Crédit Agricole Group Strengthened solvency ratios for Crédit Agricole S.A., with no impact for Crédit Agricole Group Timetable November 2013: submission to the French Regulatory Authority (ACPR) 18 CREDIT AGRICOLE: SOLID CAPITAL STRUCTURE UNDER BASEL 3 - NOVEMBER 2013

19 SPECIFIC GUARANTEES GRANTED BY THE REGIONAL BANKS TO CRÉDIT AGRICOLE S.A. (SWITCH) An illustration of the Group's internal flexibility Transfer of risk to the Regional Banks At 1 st January 2014 Extension of the guarantee to the RWAs related to Crédit Agricole Assurances (CAA), transferred to the Regional Banks for 34bn Redemption of the residual shareholders advance and T3CJ notes for a total amount of 1.4bn Risk transfer Improved solvency & liquidity Remuneration Total (Stage 1 & Stage 2) Transfer of risk to the Regional Banks by: Transfer of 87bn* of RWAs related to Crédit Agricole S.A.'s stakes in the Regional Banks (CCI co-operative investment certificates/cca co-operative associate certificates) and in CAA Transfer of a 670m** deduction from the numerator of CET1 ratio * 53bn for the Regional Banks (Stage 1) and 34bn for CAA (Stage 2) ** Mainly Expected Loss 19 CREDIT AGRICOLE: SOLID CAPITAL STRUCTURE UNDER BASEL 3 - NOVEMBER 2013

20 SPECIFIC GUARANTEES GRANTED BY THE REGIONAL BANKS TO CRÉDIT AGRICOLE S.A. (SWITCH) An illustration of the Group's internal flexibility Remuneration Remuneration of the cash deposit at market rate Remuneration of the guarantee based on the amount of the equity-accounted value, which is guaranteed Remuneration of the capital tied up by the Regional Banks on the basis of the cash deposit Risk transfer Remuneration validated by an independent expert Improved solvency & liquidity Remuneration Pre-tax remuneration of 9.34% based on the 8.1bn cash deposit Pre-tax cost of ~ 750m per annum booked in revenues (Corporate Centre) compared with 585m pretax cost in 2013 (Switch1 + shareholders advance + T3CJ) Interest deductible at the standard tax rate of 38%* * Estimated tax rate in CREDIT AGRICOLE: SOLID CAPITAL STRUCTURE UNDER BASEL 3 - NOVEMBER 2013

21 SPECIFIC GUARANTEES GRANTED BY THE REGIONAL BANKS TO CRÉDIT AGRICOLE S.A. (SWITCH) An illustration of the Group's internal flexibility Improved solvency and liquidity Risk transfer Remuneration Increase in Crédit Agricole S.A.'s solvency ratios Transfer of 87bn in RWAs Lower deduction of 670m from numerator Improved solvency & liquidity Tangible illustration of the Group's flexibility through the active support of the Regional Banks Cash deposit providing additional long-term resources 21 CREDIT AGRICOLE: SOLID CAPITAL STRUCTURE UNDER BASEL 3 - NOVEMBER 2013