bank of america merrill lynch conference€¦ · 2 bank of america merrill lynch conference –...

Bank of America

Merrill Lynch Conference

Jérôme Grivet

Deputy General Manager and Group CFO

September 28. 2016

BANK OF AMERICA MERRILL LYNCH CONFERENCE – SEPTEMBER 2016 2

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 for the six-month period ending 30 June 2016 have been prepared in accordance with IFRS as adopted in the

European Union and applicable at that date, and with prudential regulations currently in force . This financial information does not constitute

a set of financial statements for an interim period as defined by IAS 34 “Interim Financial Reporting” and it has not been audited.

Throughout the document, data on 2015 results is presented pro forma: transfer of CACEIS from Asset Gathering to Large Customers,

transfer of Insurance Switch from the Corporate centre to Insurance and reclassification of the contribution of the Regional Banks under

IFRS5. Within Crédit Agricole S.A., “Retail banking” now covers only LCL and International retail banking.

DISCLAIMER

Note:

The Crédit Agricole Group scope of consolidation comprises: the Regional Banks, the Local Banks, Crédit Agricole S.A. and their

subsidiaries. This is the scope of consolidation that has been privileged by the competent authorities to assess the Group’s situation,

notably in the 2016 Stress test exercise.

Crédit Agricole S.A. is the listed entity. It notably owns the subsidiaries of its business lines (French retail banking, International

retail banking, Asset gathering, Specialised financial services, and Large Customers.


INTRODUCTION

Major project of simplification of CASA’s structure: transfer of CCIs/CCAs for a price of €18.5bn

A tight schedule respected: announce made in February and transaction fully completed early August 2016

Impact on the business mix of the listed entity: remains mainly focused on retail customers (households, SMEs

and professionals)

Immediate positive impact on the capital position of CASA from both a qualitative and quantitative viewpoint

Significant positive one-offs in 2016

Presentation of a new Medium Term Plan for the next 4 years

Ambitious Customer Project

Acceleration of the digital transformation

Revenue growth based on the further strengthening of cross-selling

Significant cost reductions, financing an acceleration of investment programme

Credit Agricole Group: among the strongest banking groups in Europe

Rating LT: A1 (Moody’s), A (S&P), A (Fitch)

Confirmation of financial solidity by the 2016 stress test results: CET1 ratio at 10.5% under adverse scenario

Target of CET1 ratio in 2019 at 16% (from 14.2% at June 30. 2016)

TLAC compliant

Achievements of H1-16

Distribution policy confirmed: dividend in cash with a pay-out ratio of 50%

CASA is becoming an income stock


SOMMAIRE

Simplification of the Group's structure

New business mix

Good set of results in H1 2016

Appendices

1

2

3

4

p. 4

p. 7

p. 13

p. 18


11.2%11.9%

June 16 June 16Proforma

+70 bps

Enhanced clarity of the Group structure for the benefit of the market and the regulators

Significant one-off P&L impacts in the first 3 quarters of 2016

Liability management transaction in Q1 enabling important future savings in the cost of debt

- Cost of -€683m in revenues (-€448m in NIGS) booked in Q1-16, lower than the -€750m initially estimated thanks to excellent

execution (for recurring benefits, see slide 6)

Total sale price of €18,542m

- Initial sale price: €18,025m1

- Price adjustment: €517m2

Dividends received from Regional Banks for year 2015: +€287m (booked in Q1 and Q2)

Immediate positive impact on Crédit Agricole S.A.’s solvency: +70 bps

CASA’s CET1 ratio increased to 11.9% at 30/06/16 on a pro forma basis

Qualitative improvement of CASA’s CET1 ratio (unwinding of Switch 1)

No impact at Group level and limited impact for the Regional Banks (average

pro forma 2015 CET1 ratio of 17.3%)

SIMPLIFICATION OF THE GROUP’S STRUCTURE

An €18.5bn transaction with major structural benefits for CASA

Total net capital gain for CASA of around €1,250m

to be recognised in Q3-16

1 Based on the Regional Banks’ balance sheets at 31/12/2015

2 Taking into account the change in the Regional Banks’ restated equity between 31/12/15 and 30/06/2016



1 The scope of the transaction includes all CCI/CCAs held by CASA except for (i) securities held by Predica, (ii) the portion of CCI/CCAs held in excess of 50% of the capital of 4 Regional Banks (Brie

Picardie, Loire Haute-Loire, Nord de France and Toulouse31). This excess part will be retained by CASA to comply with regulations regarding the capital structure of the Regional Banks, which

authorise the issuance of CCI/CCAs above 50% only if they are held by the Central body (in total, residual value of €0.5bn) and (iii) CCIs potentially held through liquidity schemes. 2 Relative to a situation in which an option to pay a scrip dividend would have been proposed with respect to the 2016 annual result. Earnings-enhancement calculation based on the assumption that

the take-up rate for the scrip dividend would be the same as that observed in 2015

Recurring benefits of the transaction

Transaction features

The unwinding of the guarantee mechanism

("Switch 1") associated with the holding of the

CCI/CCAs

+€461m in revenues on an

annual basisFrom Q3-16

The initiation of a loan granted to the Regional Banks

to finance the transaction

+€261m in revenues on an

annual basisFrom Q3-16

In revenues:

+€160m in 2016

+€190m in 2017

+€128m in 2018

…

Total impact in Net income Group share ~-€700m in 2016 and ~-€500m in 2017 to 2019

Recurring impacts for CASA

The intragroup reclassification of CCI/CCAs1 held by

CASA in the Regional Banks to SACAM Mutualisation

Deconsolidation of the

contribution from CCI/CCAs:

-€1,072m on an annual basis

From Q1-16

Optimisation of the balance sheet From Q2-16

Elimination of the dilutive effect of scrip dividend, around 5% annually2

Recovery of the 2015 EPS before the end of the MTP


SOMMAIRE


New business mix


Appendices

1

2

3

4

p. 4

p. 7

p. 13

p. 18


THE GROUP'S DNA

A Customer-focused universal banking model

Recognised ability to distribute products created by our specialised business lines through

our retail banking networks to meet our customers’ needs

€7.8bn of cross-selling revenues in 2015 for CA Group

An average of 9 products per demand deposit account1 for a Regional Bank customer at end 2015 and

approx. 8 for an LCL customer

Business mix mainly focused on retail customers (households, SMEs, professionals)

1 Source: Regional Bank customer database

Large customers

CIB

Asset servicing

Specialised

financial services

Consumer Finance

Leasing & Factoring

Cards & Payments

Asset gathering

Asset management

Insurance

Wealth Management

Retail banking

27m individual customers

in France, 1.7m in Italy

28% market share

in home loans

in France


36%

20% 17% 22%

33%

38% 41% 35%

9%

13% 15% 13%

22%29% 27% 30%

NEW BUSINESS MIX

A business mix historically largely dominated by retail-related activities: this will not

change significantly going forward

Net income Group share: CASA business mix

(excluding Corporate centre) in % (including Regional Banks in 2015 underlying)

Specialised financial services

Large customers (CACIB and CACEIS) Asset gathering

Retail banking

2019 2015 underlying

pro forma 2015 underlying

A balanced mix now more concentrated on Asset gathering

No change in Crédit Agricole S.A.’s

revenue mix following the simplification

transaction1

Net Income Group Share related to retail

customers to remain stable at around 70%

Crédit Agricole S.A.’s business lines will

continue to benefit from the Regional

Banks’ customer basis

1The share of Crédit Agricole S.A. in the Regional Banks was equity-accounted until 2015

H1 2016

underlying

Retail

distributed

products


Digital transformation and branch network

restructuration

Acceleration of the pace of customer gains

Enhancement of our multi-product strategy

Reinforcement of business in specialised markets

Tightening of cost control

Retail Banking

STRENGTHENING OF THE GROUP'S GROWTH MOMENTUM

Business line strategies

Insurance: reinforcing our leading position whilst

adapting to the low rates environment

Asset management: balanced development

between retail customers and institutionals

Pursuit of value-creating acquisitions

Primarily in asset management

And, to a lesser extent, in wealth management

Asset gathering

Further integration with the Group's retail banks

Support the Group’s networks

Increase sales of insurance products at CACF

Selective relaunching of profitable production in

stand-alone businesses

Direct channel

Partnerships and car finance joint ventures

Optimisation of operational efficiency with

sustained cost-cutting efforts

Development of an asset-light model

Specialised financial services

A stable scope of chosen activities in which we

have expertise and recognition

A more selective customer approach to further

increase profitability

A low risk profile, both in financing and capital

markets

Large customers

RONE 20191

>16%

RONE 20191

>11%

RONE 20191

>25%

RONE 20191

>13%

1 RoNE calculated as the net income (post tax) on normative equity, on the basis of a capital allocation tailored to the needs and risks of each business line


4,8 5,36,0

2,32,5

2,8

CASA’s specialised subsidiaries have access to the

customer bases of the Regional Banks (21m), LCL

(6m) and Cariparma (1.7m)

Cross-selling revenues represent more than 25% of

business line revenues

Targeted revenue growth at CASA level: +€1.8bn, of

which €700m is related to internal synergies

40% of growth easily secured

Main sources of additional revenue synergies

CAA to insource the Group creditor insurance contracts

Off-balance sheet asset inflows in high net worth segment

Sales of individual property & casualty and death & disability

insurance (LCL)

Consumer finance loans distributed by our retail banks

together with CACF (LCL, Cariparma)

CACIB – CACEIS cross-selling to institutional clients

Amundi - CAA revenue synergies in group pensions, health

and death & disability

CACIB – Retail banks cross-selling to mid-corps

2019

+€1bn at GCA level o/w +€0,7bn at CAsa level

2015 2013

8.8

7.8 7.11

Régional Banks Crédit Agricole S.A.

Revenue synergies (€bn)

1 2013 restated

STRENGTHENING OF THE GROUP'S GROWTH MOMENTUM

Revenue synergies target of €8.8bn for CA Group in 2019


SUSTAINABLE IMPROVEMENT OF INDUSTRIAL EFFICIENCY

CA Group

7.7

CASA

4.4

Regional

Banks

3.3

Group cumulative investments1 2016/2019 (€bn)

Business

development

and digital

transformation

Industrial

efficiency

Regulatory

1 Cumulative investments. Investments on a cash-out basis

€4.9bn

Business

development and

digital transformation

€1.8bn

Industrial efficiency

~ €1bn

Compliance and

risk mitigation 10%

16%

11%

37%

26%

Savings by

business line

900

Savings by lever

35%

36%

16%

13%

900

Large

customers

Asset

gathering

Corporate

centre

Retail

Banking

Specialised

financial

services

Rationalisation of

number of Group

entities

Purchases (non IT)

IT

transformation

Operational

efficiency

- 6 pts of Crédit Agricole S.A.

cost/income ratio by 2019

i.e. a cost/income ratio < 60% in 2019

CASA cost savings 2016/2019 (€m)

An ambitious programme in cost savings and investment

A €900m operational efficiency programme for CASA and a €7.7bn investment programme for the Group

to prepare for the future

Stability of CASA’s cost base over the

duration of the MTP


SOMMAIRE


New business mix


Appendices

1

2

3

4

p. 4

p. 7

p. 13

p. 18


Key figures

H1-16 RESULTS

Stated Net Income

Group Share

(NIGS)

Underlying Net

Income Group

Share (NIGS)

€1,942m

€1,623m

€2,760m

€2,865m

€1,158m

€818m

€1,385m

€1,212m

Q2-16

Crédit Agricole Group Crédit Agricole S.A.

H1-16 Q2-16 H1-16

Fully-loaded CET 1 14.2% 11.2%

+25.8% Q2/Q2 -18.7% H1/H1 +1.2% H1/H1 +29.5% Q2/Q2

-1.5% Q2/Q2 -0.9% H1/H1 +13.0% Q2/Q2 +4.6% H1/H1

Regional Banks

NIGS

€780m

-3.8% Q2/Q2

€1,606m

+0.4% H1/H1

Q1-16

€227m

€394m

Q1-16

nm Q1/Q1

-9.4% Q1/Q1

€818m

€1,242m

-33.4% Q1/Q1

-0.2% Q1/Q1

€826m

+4.6 % Q1/Q1


2016

Results

Decrease of our Retail banking exposure following the transaction to simplify Credit Agricole’s structure

Progressive offsetting of the decrease of the NIM thanks to

Increase in volumes

Development in consumer credit and SME loans

Cross-selling of fee businesses to new customers

Network optimisation

Launch of "Branch Network Optimisation" plan (closing of 250 LCL branches for a €42m provision booked in Q2-16)

Liability management operation for LCL in Q3-16 to adapt its cost of funding

2019 profitability target of the MTP confirmed

Strong commercial momentum in H1-16: continuation of the dynamic growth in loan and deposit volumes

Loans outstanding + 6.9% June/June in small businesses and corporate segment

Deposits up 7.4% YoY in Q2-16

Acceleration in the sale of P&C and protection policies

Property & casualty: +24% Q2/Q2 (in home, motor and health insurance)

Death & disability: +67% Q2/Q2

Stabilisation of revenues between Q1 and Q2 but new pick-up in renegotiations in Q2

Strategy in

low rates

environment

H1-16 RESULTS

Focus on Business lines impacted by low interest rates: Retail banking in France


2016

Results

Improving business mix by the development of non-life activities

Share of non-life activities in total NIGS of Insurance: +6 pts between 2010 and 2016

2019 target: +27% growth in P&C premiums and +35% growth in Protection premiums since 2015

Increasing the proportion of unit-linked contracts in our AuM in life insurance

Nearly + 2 pts in share of unit-linked contracts in total AuM between 2011 and 2015

2019 target: + 5 pts in share of unit-linked contracts in total AuM versus 2015

Maintaining prudent risk management in euro-denominated products and adjusting the activities to the new context

Quick adaptation of the profit-sharing rate (reduced by more than 40% since 2010)

Increase fees on euro funds

CAA has the capacity to cope with this situation

Average investment portfolio yield far above the minimum guaranteed rate due to policyholders

Significant increase of the different reserves (profit-sharing provision and capitalisation reserve)

Growth in all business lines Q2/Q2

Savings/retirement: +6.4%

Property & casualty insurance: +6.0%

Death & disability / creditor / group insurance: +12.0%

Strategy in

low rates

environment

H1-16 RESULTS

Focus on Business lines impacted by low interest rates: Insurance


106.1% 105.6%101.3% 100.3% 100.3% 100.4% 102.6% 102.3% 103.4%

71.1% 71.9% 71.9% 72.8% 72.9% 72.6% 71.5% 68.5% 67.9%

Coverage ratio (incl. collective reserves)*

Regional Banks

CASA

4.0%

3.6% 3.6% 3.6% 3.6% 3.7%3.5% 3.5% 3.6%

2.5% 2.5% 2.6% 2.6% 2.5% 2.5% 2.5% 2.5% 2.5%

Impaired loans ratio

CASA

Regional Banks

279 271 264244

226201

162140 133

Cariparma(1)

H1-16 RESULTS

Prudent risk management in all business lines

CACF

CIB – Financing activities (2)

Regional Banks (3)

LCL

Cost of risk on outstandings (in bps over a rolling four-quarter period)

(1) Restated for additional provisions recognised largely in preparation for the AQR in Italy for -€109m at end-March

2014

(2) Restated for the impact of the additional OFAC litigation provision at end-June 2015 and additional legal provisions

at end-June 2016

(3) Restated for the impact of the Switch guarantee trigger at end-June 2015 and the Switch guarantee clawback at

end-September 2015

133 137 140 136 135130

117 113108

30 3425 25 21 20 18 21

29

28 2619 17

12 10 13 11 14

21 19 1816 15 16

18 17 18

* Restated for the impact of Switch guarantee trigger and additional OFAC provision at end-June 2015, Switch guarantee

clawback and provision for OFAC remediation costs at end-September 2015, and provision for OFAC remediation costs,

additional legal provisions at end-December 2015 and additional legal provisions at end-June 2016.

** Restated for the impact of additional OFAC provision at end-June 2015, provision for OFAC remediation costs at end-

September and end-December 2015, additional legal provisions at end-December 2015 and additional legal provisions at

end-June 2016

64 64

5551

48

43 4139 41

43 42

3734

3230 30 28 30

Crédit Agricole S.A.*

Groupe Crédit Agricole **

Crédit Agricole S.A. & Regional Banks : impaired loans ratios and coverage ratios

* Calculated on the basis of outstandings not netted for available collateral and guarantees


OUR COMMITMENT TO INVESTORS

Group organisation clarified

Simplification of the Group’s structure completed

Solvency situation normalised

CET1 ratio at 11.9% end-June 2016 on a pro forma basis

Commitment to a level above, and as close as possible to 11%, throughout the duration of the MTP

Ambitious but realistic MTP

Main targets for 2019

- NIGS: €4.2bn for CASA

- RoTE: >10% (i.e.: ~850 bps above risk-free rate)

Conservative assumptions within a controlled business mix

Crédit Agricole S.A. is becoming an income stock

An attractive pay-out policy: 50% in cash


SOMMAIRE


New business mix


Appendices

1

2

3

4

p. 4

p. 7

p. 13

p. 18


(1) The transaction includes all CCI/CCAs held by CASA except for (i) securities held by Predica, (ii) the portion of CCI/CCAs held in excess of 50% of the capital of 4 RBs (Brie Picardie, Loire Haute-

Loire, Nord de France and Toulouse31). This excess part will be retained by CASA to comply with regulations regarding the capital structure of the RBs, which authorise the issuance of CCI/CCAs

above 50% only if they are held by the Central body (in total, residual value of €0.5bn) and (iii) CCIs potentially held through liquidity schemes

(2) The RB of Corsica, owned at 100% by Crédit Agricole S.A., will also be a shareholder of Sacam Mutualisation

(3) As of December 31. 2015

The transaction announced mid-February was completed early August

Float

56.7% (3) 43.3%

(3)

Crédit Agricole S.A.

Local Banks of

Crédit Agricole

and other

members

Holders of

CCI/CCAs

RB

1

RB

3

RB

38

RB

2

38 Regional Banks (excl. RB of Corsica)(2)

SACAM Mutualisation

100%(2)

~25%

(through

CCI/CCAs (1))

Current Group structure New Group structure

Float

43.3% (3)

Mutual

share(s)(1)

25% of

capital

under the

form of

CCI/CCAs

(no voting

right) +

Switch

Guarantee


Local Banks of Crédit Agricole and

other members

Holders of

CCI/CCAs

mutual shares (with voting right)

and CCAs (no voting right)

CCIs

(no voting

right) 75% of capital

RB

1

RB

3

RB

38

RB

2

38 Regional Banks (excl. RB of Corsica)(2)

56.7% (3)

20


The CCIs/CCAs formerly held by CASA were transferred to SACAM Mutualisation, a wholly-owned

subsidiary of the Regional Banks, on August 3. 2016

An

€18.5

bn

tra

nsacti

on


Reclassification of the Regional Banks' contribution under IFRS5 as of 01/01/16

Approval obtained from the Autorité des Marchés Financiers (AMF) on 06/04/16

Final completion of the transaction on 03/08/16

Quarterly impacts in 2016 of the simplification of the Group’s structure

SIMPLIFICATION OF GROUP’S STRUCTURE

Note: NIGS calculated using the 2016 tax rate of 34.43%

Q1 Q2 Q3 Q4

2016

Balance sheet optimisation -€683m in revenues

-€448m in NIGSCapital gain ~ +€1,250m

including the price adjustement

-€108m related to the dividend

paid in H1

Balance sheet optimisation +€53m in revenues per quarter in 2016

Deconsolidation of the contribution from CCI/CCAs~ -€207m (based on their contribution at 100% in Q1-16), then ~ -€270m on average per quarter (2015 basis)

End of interest paid on Switch 1+€461m in revenues per year (i.e. : +€230m in 2016)

Interest on the loan granted to the Regional Banks

and investment of the remainder of the net proceed +€261m in revenues per year (i.e.: +€130m in 2016)

One-off impacts

Recurring impacts

Dividend+€256m in NIGS

Dividend+€29m in NIGS

Impact Q1-16

-€399m in NIGS Impact Q2-16

-€206m€ in NIGS

Estimated impact

Q3-16

+€1,100m in NIGS

Estimated impact

Q4-16

-€100m in NIGS

Total impact

Estimated total impact


Crédit Agricole

Group

Of which


>+1.5% >+2.5% Revenue growth1

<60% <60% 2019 cost / income ratio

<35bps <50bps Cost of risk / outstandings

>€7.2bn >€4.2bn 2019 Net income Group share

>10% 2019 RoTE

22% TLAC excl. eligible senior debt

50%, in cash Pay-out ratio

≥11% Fully-loaded CET1 16%

2019 Global financial targets

Q1 to Q3-16 are impacted by the transaction to simplify the Group’s capital structure.

These atypical quarters are fully taken into account in the financial trajectory of the MTP.

1 2019 CAGR vs 2015 underlying pro forma for Crédit Agricole Group simplification transaction

MEDIUM TERM PLAN


2019 Business line targets

Revenues

2015-2019 CAGR1

2019

Cost / income 2019 RoNE2

LCL

Cariparma

Retail

banking

~+0.5%

~+3%

~65%

~55%

>16%

>16%

Insurance

Asset management

Wealth management

Asset

gathering >+3% <45% >25%

Consumer credit

Leasing & Factoring

Specialised

financial

services >+2.5% <46% >13%

Corporate & investment

banking

Asset servicing

~+2% <60% >11% Large

customers

1 2019 CAGR vs 2015 underlying pro forma for Crédit Agricole Group simplification transaction and analytical transfer of the cost of the Switch 2 guarantee to Insurance activity 2 RoNE calculated on the basis of a capital allocation tailored to the needs and risks of each business line (see “Profitability - Risk weighted assets and capital allocated by business line”).

MEDIUM TERM PLAN


A Customer-Focused Universal banking model

A model based on the expertise of all our business lines, on the excellence and the know-how required to

meet the financial and wealth management needs of our customers

A « Full Multi-Channel » distribution model

A model that enables our customers to choose how and when they interact with their bank and switch

easily between the various channels

A strategic investment in customer relationships

An acceleration of the digital transformation and foster innovation

A new wealth advisory approach with a renowned sales/advisory method of customer advisers

New products and services

Digital revolution supporting the rolling-out of the customer project

MULTI-CHANNEL

Attached to the simplicity of digital for some transactions and the extra value

provided by an adviser

~70%

DIGITAL

Attached to the freedom and simplicity of digital banking

~20%

BRANCH

Prefers to have a face-to-face relationship with his adviser ~10%

% of customers1

1 source: McKinsey “Retail distribution 2015: full digitalisation with a human touch”; estimation of banking customer behaviours on complex operations

MEDIUM TERM PLAN


SOLVENCY PLANNING

Fully-loaded CET1 ratio of Crédit Agricole S.A. 2015 to 2019

Fully-loaded CET1 ratio - Crédit Agricole S.A.

1 Regulatory impacts, including IFRS 9

50% dividend pay-out ratio, based on net income after AT1 coupon payments, paid in cash as of 2016 results

Downward trend in AFS reserves expected in the context of rising interest rates

Selectivity and optimisation actions, mainly on CIB

Expansion of business lines with strong added value driven mainly by retail banking

Leeway allowing flexibility in the solvency monitoring

1

-2.3%

31-Dec-15 Net income after

AT1 coupons

payment

Distribution

-0.7%

≥11% 11%

Flexibility

-0.6%

Regulatory

impacts1

Expansion of

each

business line

-0.7%

Selectivity &

optimisation

+4.6%

31 Dec

2019 Target

-1.0%

+0.7%

AFS reserve

A capital planning reconciling a cash pay-out policy in a constrained regulatory

environment and capital allocation favouring high profitability business lines


CRÉDIT AGRICOLE GROUP Q2-16 & H1-16 HIGHLIGHTS

Strong solvency and TLAC position: Credit Agricole exhibits no shortfall

* Assuming that the current overall SREP requirement (Pillar 1, Pillar 2, capital conservation buffer) remains unchanged over the period. As a reminder, the ECB performs an analysis of the SREP requirements on at least an annual basis

and may impose additional requirements at any time. This hypothesis should not be construed as any form of guarantee in respect of the expected CET1 ratios and buffers going forward. It corresponds to the position of the EBA and the

ECB, and to Crédit Agricole S.A.’s interpretation of the relevant texts

** Pillar 2 SREP add-on assumed to be included in requirements starting from 2016, as per our understanding of EBA and ECB’s guidelines

*** Preferred senior unsecured liabilities that rank alongside those excluded liabilities in the insolvency creditor hierarchy but otherwise respects eligibility criteria

Current and 2019 requirements* already fulfilled at 30/06/2016

Forecasts:

No need to issue new AT1 instruments over the medium term plan horizon

The Tier 2 bucket represents 3.0% at Crédit Agricole Group and 4.4% at Crédit Agricole S.A., leading to fully-loaded Total Capital ratios at 18.2% for the

Group and 17.4% for Crédit Agricole S.A.

4.5%

14.2% 16.0%

1.5%

1.0%

1.0%

2.0%

4.3%

5.0%

8.0%

2.5% 1.0%

19.5%

2019requirements*

Estimate at30/06/16

Targetedstructure in

2019

TLAC ratio

Crédit Agricole Group

Systemic buffer

Conservation buffer

Additional TLAC

Tier 2

AT1

CET1 (Pillar 1)

Excl. eligible senior debt***

Senior non

pref., T2, T1

under Basel

2

AT1

CET1

19.5%

22.0%

(per FSB final Term Sheet)

4.5% 4.5%

2.5% 2.5%

2.5% 2.5%

1.0%

11.2%

9.5% 10.5%

14.2%

Crédit Agricole S.A. Crédit AgricoleGroup

2019 requirements*

Fully-loaded at

30/06/16

Systemic buffer

Pillar 2

(SREP add-on)

Conservation

buffer

CET1

(Pillar 1)

CET1 ratio

Crédit Agricole S.A. Crédit Agricole Group

2019 target at 16.0%

11.2% 9.5% 10.5%

14.2%

1.8%

1.5% 1.5%

1.0% 13.0%

11.0% 12.0%

15.2%

Crédit Agricole S.A. Crédit AgricoleGroup

2019 requirements*

Fully-loaded at

30/06/16

Tier 1 ratio

of which

AT1

Including Pillar 2 (2.5%

SREP

add-on) **

Crédit Agricole S.A. Crédit Agricole Group

Crédit Agricole Group’s CET1 ratio is strongly

above SREP requirement, and Crédit Agricole S.A.

is managed above a 150bps buffer (as calculated

under current SREP methodology)

AT1 ratio is calibrated to fulfill 1.5% bucket for

Credit Agricole S.A., whereas Credit Agricole Group

uses 0.5% of its excess of CET1

TLAC minimum for 2019 is already reached without

eligible senior debt***

Targeted structure in 2019 includes a growing

contribution from CET1

27 BANK OF AMERICA MERRILL LYNCH CONFERENCE – SEPTEMBER 2016

* Estimate based on Crédit Agricole S.A.’s understanding of texts

** Countercyclical buffer set at 0%

*** Subject to decision of the resolution authority

**** Preferred senior unsecured liabilities that rank alongside those excluded liabilities in the insolvency creditor hierarchy but otherwise respect eligibility criteria

Crédit Agricole Group: TLAC & MREL ratios

FINANCIAL MANAGEMENT

TLAC ratio at 30/06/2016

19.5% excluding eligible senior debt, estimated in

accordance with FSB* final term sheet requirements,

versus minimum requirement of 19.5% including

eligible senior debt

On track for the 22% Medium Term Plan target by end-

2019 excluding eligible senior debt

The Group intends to protect its existing senior

bondholders and is considering issuing non preferred

senior debt as specified in the draft French law

MREL ratio at 30/06/2016

8.1% excluding potentially eligible senior debt > 1 year*

Calculation based on the same numerator as the one used

to calculate the TLAC ratio

End-2016 Group commitment of 8% already met

Level reached allowing potential recourse to the Single

Resolution Fund (SRF), subject to decision of the resolution

authority

4.5%

8.0% 8.1%

19.5%

1.5%

6%

~14.4%

2.0%

19.5%

2.5%

2.5%

1.0%

TLAC requirement (FSB final term sheet)

TLAC estimate at30/06/16**

MREL possibly allowingrecourse to SRF***

MREL estimate at30/06/16**

MREL estimateas a % of RWA

AdditionalTier 1

CET1

Regulatory own funds and eligible subordinated debt

Tier 2

AdditionalTLAC

Conservation

buffer

G-SIB buffer

Eligible senior debt ****

19.5% to 21.5% **

8.0% to 10.0%

~ 6,0%

22.0%

Potentially eligible senior debt **** > 1 year

Regulatory own funds and eligible subordinated debt

~14%

~34%


RATINGS OVERVIEW Crédit Agricole S.A.’s ratings are based on Crédit Agricole Group’s credit fundamentals

LT / ST: A1 / P-1

Outlook: stable

Last rating action on 19/07/2016:

• LT rating raised to A1 from A2, ST rating

affirmed

• Outlook changed to stable from positive • Subordinated debt ratings raised by 1 notch

Rating drivers

• The stable outlook reflects the absence of

tangible rating drivers up or down

G-SIB LT ratings

Moody’s

LT / ST: A / A-1

Outlook: stable


• LT/ST ratings affirmed; the removal of 1 notch for

extraordinary government support was

compensated by 1-notch of ALAC

• Outlook changed to stable from negative

On 11/08/16, S&P raised by 1 notch the ratings of AT1

and Tier 2 Coco issues

Rating drivers

• The stable outlook reflects the absence of tangible

rating drivers up or down

G-SIB LT ratings

S&P

LT / ST: A / F1

Outlook: positive


• LT/ST ratings affirmed

• Positive outlook (since 23/06/15) affirmed

Rating drivers

• The positive outlook reflects expectations that the

Group will maintain its fairly low risk appetite and

continue to improve its capitalisation => possible LT

rating upgrade (an outlook typically lasts up to18-24

months)

G-SIB LT ratings

Fitch Ratings

3 4

14

4 2 2 1

Aa2 Aa3 A1 A2 A3 Baa1 Baa2

5 3

15

3 3 0 1

AA- A+ A A- BBB+ BBB BBB-

2 4 7 12

3 2

AA AA- A+ A A- BBB+

Ratings at 25/08/2016 Ratings at 25/08/2016 Ratings at 25/08/2016


RATINGS OVERVIEW

Crédit Agricole S.A.’s debt ratings and 5 year CDS spreads

Moody’s S&P Fitch Ratings

Issuer Rating A1 LT senior

unsecured debt A+ A+

A2 Issuer Credit Profile A LT senior

unsecured debt

Issuer Default Rating

Viability Rating A

LT senior unsecured debt

Senior non-preferred*

A3 Stand-Alone

Credit Profile a- A- Dated T2

Adjusted Baseline Credit

Assessment baa1 BBB+ Senior non-preferred* BBB+

Baa2 Senior non-preferred*

Dated T2 BBB Dated T2 BBB

Baa3 BBB- BBB-

Ba1 Additional T1

(unsolicited rating) BB+ Additional T1 BB+ Additional T1

*Crédit Agricole S.A.’s assessment of the rating that is likely to be assigned to senior non-preferred debt instruments

Crédit Agricole S.A. 5-Year CDS spreads

Long-term ratings

Ratings Debt instrument

5-year CDS spreads - senior 5-year CDS spreads - subordinated

Ratings Debt instrument Ratings Debt instrument


4.50% 4.50% 4.50% 4.50%

4.375% 3.75%

3.125% 2.50%

0,625% 1.25%

1,875% 2.50%

0,25% 0,50% 0,75% 1,00% 9,75%

10,00% 10,25% 10,50%

2016 2017 2018 2019

G-SIB Buffer Capital Conservation Buffer Pillar 2 buffer Minimum CET1 ratio Pillar 2 CET1 requirement

Year-end

* We do not take into account the planned evolution of the SREP methodology in 2017. This new methodology is expected to have a favourable impact, with a lower requirement and the introduction of a non-binding guidance

** Including reserves of €13.9bn and share issue premium of €12bn at 30/06/2016

*** Based on reported CRR/CRD4 phased-in CET1 capital and RWAs at 30/06/2016, assuming that they remain constant, excluding potential TLAC requirements, and assuming that the overall SREP requirement (Pillar 1, Pillar 2, capital conservation buffer)

remains constant over the period. As a reminder the ECB performs an analysis of the SREP requirement at least on an annual basis, and may impose additional requirements at any time. These hypotheses should not be construed as any form of guidance in

respect of the expected CET1 ratios and buffers going forward. They correspond to the current position of the EBA and the ECB, and to Crédit Agricole S.A.’s interpretation of the relevant texts

No G-SIB buffer at


level

Distributable items at end June 16

€25.9bn **

Crédit Agricole S.A. –

Buffer*** to mandatory coupon restrictions

Crédit Agricole Group –

Buffer*** to mandatory coupon restrictions

FINANCIAL MANAGEMENT Maximum Distributable Amount: Pillar 2 constraint

MDA above target for Crédit Agricole S.A. at Q2-16

(150bps above Pillar 2 requirement of 9.5%)

Under current ECB methodology*

Year-end

€22bn €21bn €20bn €18bn

Current

buffer:

€5bn

4.50% 4.50% 4.50% 4.50%

4,375% 3.75%

3,125% 2.50%

0,625% 1.25%

1,875% 2.50%

9.50% 9,50% 9,50% 9,50%

2016 2017 2018 2019

Current

buffer:

425bps

Target:

150bps or

€4.5bn+



Crédit Agricole Group: diversified funding sources

2016 MLT senior + sub. issues - Crédit Agricole Group

Breakdown by main issuers: €24.1bn at 30/06/2016 Crédit Agricole Group

Highly diversified funding mix by instrument, investor base

and targeted geographic area

• At 30/06/2016: €20.1bn in senior debt* issued by Group issuers (full

year 2015: €33.6bn)


79% of the 2016 MLT market funding programme (senior +

sub.) completed at 30/06/2016 (as a reminder, 2016

programme of €14bn)

• Senior debt: €9.5bn eq. (EUR, USD, JPY, CHF)

• EMTN: €2.6bn eq., 6 and 10 years

• USMTN: USD1.4bn (€1.2bn eq.), 5 years

• Covered Bonds: €4.9bn eq., 5, 7, 10 and 15 years

• Samurai: JYP92.4bn (€0.8bn eq.), 5, 7 and 10 years

• Subordinated debt: €1.5bn eq (USD, JPY)

• Additional Tier 1: USD1.25bn (€1.15bn eq.)

• Tier 2 Samurai: JPY37.7bn (€0.3bn eq.)

2016 MLT market senior + sub. issues - Crédit Agricole S.A.

Breakdown by main issuers: €11.0bn at 30/06/2016

Senior: €9.5bn (average maturity: 8.1 years; spread vs. mid-swap : 42.5bps)

Covered public

issues 45%

Senior public

issues 42%

Subordinated

issues 13%

Crédit

Agricole S.A. market

46%

Crédit

Agricole S.A. network

14%

LCL network

2%

Cariparma

network 3%

CACIB

18%

CACF

15%

EFL

1% Amundi

1%

* Excluding T-LTRO drawings, which are however classified as LT market sources



Crédit Agricole Group: liquidity reserves

Liquidity reserves at end-December 2015 (€bn)

* Available liquid market securities after haircut

HQLA securities represent 224% of ST debt not deposited with Central Banks

Liquidity Coverage Ratio (LCR) at 30/06/2016 above 110% at both Crédit Agricole

Group and Crédit Agricole S.A.

24

132

9

21

186

Reverse repos & other ST

Securities portfolios

Central Bank deposits 36 o/w

cash (€3bn)

o/w mandatory reserves (€6bn)

24

130

20

21

32

Central Bank deposits (excl. cash and mandatory reserves)

HQLA* (High Quality Liquid Asset) securities

portfolio

Other non HQLA securities*

Self-securisations eligible to Central Banks

Assets eligible to Central Banks after ECB

haircut (immediate access)

Valuation

gains/losses &

haircuts

Cash balance sheet assets Liquidity reserves

24

58

ST debt

ST debt net of Central Bank

deposits

227

Central bank deposits (excl. cash and mandatory reserves)

82

Liquidity reserves at end-June 2016 (€bn)

bank of america merrill lynch conference€¦ · 2 bank of america merrill lynch conference –...

Documents