CA HL SFH Investor Report October 2012
Overview data Value of loans granted as guarantee as of : 31/10/2012 (Based on remaining balance as of : 30/09/2012) Total Outstanding Current Balance 39 658 857 159 Number of loans 982 850 Number of borrowers 696 346 Average Loan Balance 40 351 Seasoning in months 75 Remaining terms in months 163 % of variable mortgages 14,27% Weighted Average Current LTV 62,85% Weighted Average Current indexed LTV 55,99% Page 2
distribution Unindexed LTV ranges Total Loan Balance in millions Number of Loans 0-40% 7 093 361 469 >40%- 4 652 119 123 >50%- 5 624 114 270 >60%- 5 374 100 287 >70%- 5 774 96 321 >80%- 2 886 52 373 >85%- 3 126 55 422 >90%- 3 272 52 869 >95%- 1 857 30 716 >100%- 105% - - >105% - - TOTAL 39 659 982 850 Current arrears ranges distribution Number of months in arrears Total Loan Balance in Number of Loans 0 39 658 857 159 982 850 >0 TOTAL 39 658 857 159 982 850 Page 3
Seasoning Seasoning (in months) Total Loan Balance in millions LTV: 0-40% < 12 1 422 155 128 140 119 170 133 155 191 232 12-<24 7 030 749 682 914 991 1 059 553 628 861 593 24-<36 10 449 1 243 981 1 223 1 300 1 447 840 1 179 1 515 721 36-<60 4 458 651 519 663 646 673 325 389 367 226 60 16 300 4 295 2 341 2 685 2 319 2 426 1 034 776 338 85 Loan purpose Loan purpose Total Loan Balance in millions LTV: 0-40% Purchase 25 355 4 527 3 127 3 790 3 614 3 690 1 706 1 860 1 989 1 053 Renovation 4 098 600 390 463 475 584 336 426 498 326 Construction 10 206 1 966 1 135 1 372 1 285 1 501 845 840 785 478 Other Page 4
Occupancy type Occupancy type Total Loan Balance in millions LTV: 0-40% Owner-occupied 32 767 6 021 3 849 4 611 4 514 4 671 2 288 2 527 2 648 1 639 Buy to let 5 682 790 617 801 702 960 528 536 552 194 Vacation/ second home 1 210 282 186 212 158 143 70 63 72 24 Other Borrower type Borrower type Total Loan Balance in millions LTV: 0-40% Employed 27 826 4 872 3 206 3 874 3 790 4 082 2 048 2 244 2 358 1 353 Protected life-time employment 4 634 791 527 640 626 685 357 383 398 228 Self-employed 7 193 1 429 918 1 110 958 1 006 481 499 517 276 Unemployed Other 5 1 1 1 1 1 0 0 0 0 Page 5
Regions Regions Total Loan Balance in millions LTV: 0-40% Alsace 618 82 71 90 80 99 49 62 58 28 Aquitaine 2 217 371 249 291 267 335 183 185 215 123 Auvergne 694 139 88 93 74 74 52 65 66 44 Basse-Normandie 906 156 122 128 126 137 64 73 68 32 Bourgogne 897 146 94 113 116 123 67 80 93 65 Bretagne 2 035 340 217 242 265 348 200 190 166 67 Centre 1 573 254 159 203 203 229 125 145 149 106 Champagne-Ardenne 670 111 68 89 100 101 50 51 58 42 Corse 182 25 18 23 23 23 17 18 22 14 Franche-Comté 693 116 90 97 88 103 57 52 52 38 Haute-Normandie 1 087 197 136 143 137 159 81 99 96 39 Ile-de-France 7 649 1 450 1 048 1 259 1 273 1 168 414 419 448 168 Languedoc-Roussillon 1 676 340 196 235 204 211 114 129 146 102 Limousin 316 58 40 44 35 40 25 29 29 15 Lorraine 769 81 75 85 101 129 74 84 90 51 Midi-Pyrénées 1 882 315 217 276 237 294 144 148 156 95 Nord-Pas-de-Calais 1 854 291 201 248 236 274 122 197 191 92 Outre mer 492 90 55 69 52 89 50 36 31 19 Provence-Alpes-C. d'a. 3 278 608 401 496 449 406 211 235 288 184 Pays de la Loire 2 449 473 249 313 334 337 197 208 205 133 Picardie 1 397 208 140 179 183 227 117 129 136 76 Poitou-Charentes 1 126 187 108 142 134 172 93 108 113 69 Rhône-Alpes 5 200 1 054 609 768 656 697 380 383 398 254 Page 6
Currency distribution Currency of loans Total Loan Balance in Number of Loans EUR 39 658 857 159 982 850 CHF GBP Other TOTAL 39 658 857 159 982 850 Guarantee type distribution Guarantee type distribution Total Loan Balance in Number of Loans CAMCA guarantee 4 779 387 090 138 338 Crédit Logement guarantee 9 391 915 025 120 254 Mortgage 20 260 812 628 592 818 Mortgage with state guarantee 5 226 742 416 131 440 TOTAL 39 658 857 159 982 850 Other criterias Origination : 100% home loans self originated in France by 39 Regional banks and LCL Key eligibility criteria : No arrears, Current LTV max 100% Page 7
ASSET COVER TEST Date of Asset Cover Test 31/10/2012 R Adjusted Aggregate Asset Amount (AAAA) Aggregate Covered Bond Outstanding Principal Amount (AAAA) = A + B + C + D - (Y + Z) R Asset Cover Ratio 115,84% Adjusted Aggregate Asset Amount ( AAAA ) 30 640 822 145 Aggregate Covered Bond Outstanding Principal Amount 26 451 832 642 ASSET COVER TEST RESULT (PASS/FAIL) PASS A A = min((a1);(a2)) 32 520 262 871 (A1) Aggregate Adjusted Home Loan Outstanding Principal Amount 38 830 265 533 (A2) (i)*(ii) 32 520 262 871 (i) Aggregate Unadjusted Home Loan Outstanding Principal Amount 39 658 857 159 (ii) Asset Percentage 82,00% B Cash Collateral Account - C C = min(asaa;sal * AAAA) - Aggregate Substitution Asset Amount (ASAA) - SAL * AAAA 6 128 164 429 Substitution Asset Limit (SAL) 20% Substitution Asset Limit level is acceptable TRUE D Permitted Investments - Y Payments due under Issuer Hedging Agreement 237 242 506 Z Z = WAM *ACBOPA * CCP 1 642 198 219 WAM (Years) 5,17 Aggregate Covered Bond Outstanding Principal Amount (ACBOPA) 26 451 832 642 Carrying Cost Percentage (CCP) 1,20% Page 8
LIABILITIES Date 31/10/2012 Series Code ISIN Currency Outstanding Principal Amount Outstanding Principal Amount Issue date Maturity Date Remaining Maturity (Years) Exchange Rate serie 1 FR0010717785 EUR 1 250 000 000 1 250 000 000 29/01/2009 29/01/2016 3,24 serie 1 (*) FR0010717785 EUR 250 000 000 250 000 000 31/03/2009 29/01/2016 3,24 serie 2 FR0010781047 EUR 1 250 000 000 1 250 000 000 21/07/2009 21/07/2014 1,72 serie 3 FR0010851337 EUR 2 000 000 000 2 000 000 000 29/01/2010 29/01/2013 0,24 serie 5 FR0010875880 EUR 1 250 000 000 1 250 000 000 23/03/2010 23/03/2017 4,39 serie 1 (*) FR0010717785 EUR 150 000 000 150 000 000 02/06/2010 29/01/2016 3,24 serie 6 FR0010913806 EUR 1 000 000 000 1 000 000 000 24/06/2010 24/06/2015 2,65 serie 7 FR0010920900 EUR 1 250 000 000 1 250 000 000 16/07/2010 16/07/2025 12,71 serie 10 CH0116103489 CHF 200 000 000 149 454 491 27/10/2010 27/07/2017 4,74 1,33820 serie 7 (*) FR0010920900 EUR 350 000 000 350 000 000 09/11/2010 16/07/2025 12,71 serie 12 FR0010989087 EUR 1 500 000 000 1 500 000 000 12/01/2011 12/01/2021 8,20 serie 16 FR0010998872 EUR 2 250 000 000 2 250 000 000 28/01/2011 28/01/2014 1,24 serie 13 CH0123094812 CHF 275 000 000 214 676 034 07/02/2011 07/02/2014 1,27 1,28100 serie 17 USF22787AB53 USD 1 500 000 000 1 034 304 430 21/04/2011 21/07/2014 1,72 1,45025 serie 12 (*) FR0010989087 EUR 300 000 000 300 000 000 28/04/2011 12/01/2021 8,20 serie 7 (*) FR0010920900 EUR 250 000 000 250 000 000 28/04/2011 16/07/2025 12,71 serie 19 FR0011060367 EUR 1 500 000 000 1 500 000 000 10/06/2011 14/06/2018 5,62 serie 6 (*) FR0010913806 EUR 200 000 000 200 000 000 14/06/2011 24/06/2015 2,65 serie 17 (*) USF22787AB53 USD 300 000 000 206 860 886 24/06/2011 21/07/2014 1,72 1,45025 serie 7 (*) FR0010920900 EUR 300 000 000 300 000 000 18/07/2011 16/07/2025 12,71 serie 10 (*) CH0116103489 CHF 100 000 000 74 727 246 27/07/2011 27/07/2017 4,74 1,33820 serie 26 FR0011109164 EUR 1 250 000 000 1 250 000 000 09/09/2011 09/09/2016 3,86 serie 12 (*) FR0010989087 EUR 200 000 000 200 000 000 19/10/2011 12/01/2021 8,20 serie 5 (*) FR0010875880 EUR 275 000 000 275 000 000 23/12/2011 23/03/2017 4,39 serie 35 FR0011179852 EUR 1 500 000 000 1 500 000 000 17/01/2012 17/01/2022 9,21 serie 19 (*) FR0011060367 EUR 350 000 000 350 000 000 20/02/2012 14/06/2018 5,62 serie 5 (*) FR0010875880 EUR 150 000 000 150 000 000 20/02/2012 23/03/2017 4,39 serie 41 FR0011230598 EUR 1 500 000 000 1 500 000 000 10/04/2012 10/07/2017 4,69 serie 44 CH0188938841 CHF 200 000 000 166 569 501 30/07/2012 30/07/2018 5,75 1,20070 Private placements Total Currency Outstanding Principal Amount Outstanding Principal Amount EUR 3 998 400 000 3 998 400 000 CHF 400 000 000 331 840 053 SUB TOTAL EUR ISSUES SUB TOTAL CHF ISSUES SUB TOTAL USD ISSUES 24 273 400 000 24 273 400 000 1 175 000 000 CHF 937 267 325 1 800 000 000 USD 1 241 165 316 TOTAL (ALL ISSUES) 26 451 832 642 (*) : Tap on existing issue Page 9