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
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 2013.
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
CONTENTS
3
1
Solvency track: CA Group and Crédit Agricole S.A.
2
Detailed calculation and assumptions
3
Capital structure at end-2015
4
Specific guarantees granted by the Regional Banks to Crédit Agricole S.A.
(Switch)
CREDIT AGRICOLE: SOLID CAPITAL STRUCTURE UNDER BASEL 3 - NOVEMBER 2013
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%
12.3%
Crédit Agricole
Group
15.4%
9.4%
Core Tier 1
4
10.4%
Tier 1
CRD ratio
CREDIT AGRICOLE: SOLID CAPITAL STRUCTURE UNDER BASEL 3 - NOVEMBER 2013
Crédit
Agricole S.A.
SOLVENCY TRACK – CA GROUP AND CRÉDIT AGRICOLE S.A.
Transition of Crédit Agricole S.A. ratio from Basel 2.5 to Basel 3
(94 bp)
(38 bp)
(33 bp)
+78 bp
(45 bp)
+88 bp
Target CET1 Basel
3 fully loaded
1st Jan. 2014
Others (including
Q4-13 results)
Danish compromise
and Switch stage 2*
Redemption of the
residual
shareholders'
advance and T3CJ
Application of
threshold rules
DTAs (timing
differences and
carry forward)
Financial stakes
either >10% or
equity accounted
Excess minority
interest
7.8% to
8.0%
CRD4 impacts on
RWAs
Sept 2013
Basel 2.5
9.4%
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 2013
8.8% to
9.0%
Target
31 December 2014
(111 bp)
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.
Taking into account
13.0%
12.0%
11.0%
8.8% to
9.0%
7.8% to
8.0%
1 January 2014
31 December 2014
Crédit Agricole Group
-
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%
-
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%
>9.5%
31 December 2015
Crédit Agricole S.A.
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
SOLVENCY TRACK – CA GROUP AND CRÉDIT AGRICOLE S.A.
Phased ratios
Phased CET1 ratios* (including and excluding goodwill) at 1st January 2014
and distance to ECB thresholds for AQR exercise
12.0%
Goodwill phasing
10.0%
11.0%
Goodwill phasing
8.3%
Equivalent
to ~€20bn
in capital
Phased CET1
(excl goodwill)
ECB threshold
of 8%
Phased CET1
(excl goodwill)
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
CONTENTS
8
1
Solvency track: CA Group and Crédit Agricole S.A.
2
Detailed calculation and assumptions
3
Capital structure at end-2015
4
Specific guarantees granted by the Regional Banks to Crédit Agricole S.A.
(Switch)
CREDIT AGRICOLE: SOLID CAPITAL STRUCTURE UNDER BASEL 3 - NOVEMBER 2013
DETAILED CALCULATION
AND ASSUMPTIONS
Detailed calculation of Basel 3 fully loaded CET1 ratio at 01/01/2014
Crédit Agricole S.A.
(€bn)
Estimated shareholders' equity Group share*
+ Limited recognition of minority interest
01/01/2014
Basel 3
fully loaded
30/09/2013
Basel 2.5
40.5
1.9
- 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 1
25.4
29.0
315 to 325
309.9
7.8% to 8.0%
9.4%
/ RWAs
Ratio CET1 / Core Tier 1
* 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
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CREDIT AGRICOLE: SOLID CAPITAL STRUCTURE UNDER BASEL 3 - NOVEMBER 2013
DETAILED CALCULATION
AND ASSUMPTIONS
Detailed assumptions at 01/01/2014 for Crédit Agricole S.A.
NUMERATOR: REGULATORY CAPITAL
➜
Shareholders'
equity
➜
Dividend pay-out policy
35%
Payment of scrip dividend
78%
-
➜
➜
Minority
interest
Deductions
➜
DENOMINATOR: RISK WEIGHTED ASSETS
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
(€958m)
(€1.2bn)
➜
Redemption of residual T3CJ
(€470m)
➜
Deferred tax assets (DTAs)
➜
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
Threshold
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
➜
Transition to Danish compromise
~+€5bn
➜
Extension of Switch guarantees
to RWAs of Crédit Agricole
Assurances (transferred to
the Regional Banks)*
(€34bn)
+€0.5bn
Limited recognition of minority
interest to 8%
➜
➜
CRD4
impacts
Activity and
others
(see focus)
(see focus)
(~€1.0bn)
Insurance
and Switch
* Subject to ACPR approval
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
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
Others*
C.R.H.
Crédit
Logement
3,000
2,500
Of which stakes carried by Crédit
Agricole S.A. on behalf of the Group:
impact ~15bp
Others*
Impact: ~7bp
BES
Impact : ~25bp
2,000
1,500
• Bankinter: Equity affiliate
deconsolidated and reclassified under
AFS in 2012, then sold in 2013
• Bank Saudi Al Fransi (30.4% equity
affiliate): steady rise in value
1,000
Saudi
Al
Fransi
500
Impact : ~45bp
• 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
DETAILED CALCULATION
AND ASSUMPTIONS
Focus on deferred tax assets (DTAs) - Crédit Agricole S.A. scope
Regulatory treatment of DTAs
€m
4,000
Basel 3 treatment
3,500
3,000
2,500
Tax loss
(1)
carryforwards
2,000
Timing
differences(2)
1,500
Deductions from capital
~€0.2bn
Fully included in the
threshold
~€0.9bn
1,000
Recoverable
DTA (3)
500
0
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)
Regulatory 01/01/2014
(estimate)
* 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
Risk weighted at 100%
~€1.5bn
CONTENTS
13
1
Solvency track: CA Group and Crédit Agricole S.A.
2
Detailed calculation and assumptions
3
Capital structure at end-2015
4
Specific guarantees granted by the Regional Banks to Crédit Agricole S.A.
(Switch)
CREDIT AGRICOLE: SOLID CAPITAL STRUCTURE UNDER BASEL 3 - NOVEMBER 2013
CAPITAL
STRUCTURE AT END-2015
2015 targets
Capital structure under Basel 3 at end-2015
Crédit Agricole S.A.
14.5%
Crédit Agricole Group
15.0%
Tier 2
(grandfathered*)
3.5%
Additional Tier 1
(grandfathered*)
10.5%
4.5%
2.0%
1.5%
2.0%
7.0%
7.8% to
8.0%
>9.5%
Regulatory
requirement
2018
Target
1st January
2014
Target
31 Dec. 2015
2.0%
G-SIFI additional
requirement (anticipated)
16.5%
15.0%
12.0%
2.0%
1.5%
1.5%
2.0%
1.5%
3.0%
1.0%
13.0%
11.0%
Common Equity Tier 1
(fully loaded)
7.0%
Regulatory
requirement
2018
Target
1st January
2014
Target
31 Dec. 2015
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
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%
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. 2013 and
target of 5% in 2018
➜ Crédit Agricole S.A.: target of 3% in 2018
15
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 capital instruments
not included in CET1
➜ AT1 issuance
➜ Further issuance of Tier 2 contingent capital if
appropriate
➜ Tier 2 issuance
CREDIT AGRICOLE: SOLID CAPITAL STRUCTURE UNDER BASEL 3 - NOVEMBER 2013
CONTENTS
16
1
Solvency track: CA Group and Crédit Agricole S.A.
2
Detailed calculation and assumptions
3
Capital structure at end-2015
4
Specific guarantees granted by the Regional Banks to Crédit Agricole S.A.
(Switch)
CREDIT AGRICOLE: SOLID CAPITAL STRUCTURE UNDER BASEL 3 - NOVEMBER 2013
SPECIFIC GUARANTEES GRANTED BY THE REGIONAL BANKS TO
CRÉDIT AGRICOLE S.A. (SWITCH)
An illustration of the Group's internal flexibility
Initial target
Stage 1 (Dec. 2011)
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
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
Transfer of €70bn RWAs to the
Regional Banks
Numerator
Regulatory
capital
Stage 2 (1st 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)
€4.1bn
€5.5bn
€1.4bn
Capital
Capital
Capital
RWAs
RWAs
RWAs
€1.4bn
Denominator
Risk weighted
assets (RWAs)
€17bn
€17bn
€17bn
€87bn
€70bn
€53bn
Initial target met and transfer of additional RWAs
beyond the initial target
* Shareholders’ advance and T3CJ deeply subordinated notes
** subject to ACPR approval
17
CREDIT AGRICOLE: SOLID CAPITAL STRUCTURE UNDER BASEL 3 - NOVEMBER 2013
SPECIFIC GUARANTEES GRANTED BY THE REGIONAL BANKS TO
CRÉDIT AGRICOLE S.A. (SWITCH)
An illustration of the Group's internal flexibility
➜
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)
➜
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
➜
Better allocation of capital within Crédit Agricole Group
➜
Strengthened solvency ratios for Crédit Agricole S.A., with no impact for Crédit Agricole Group
➜
November 2013: submission to the French Regulatory Authority (ACPR)
Principle
Cash
deposit
The way it
works
Benefits
Timetable
18
CREDIT AGRICOLE: SOLID CAPITAL STRUCTURE UNDER BASEL 3 - NOVEMBER 2013
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
Total (Stage 1 & Stage 2)
Transfer of risk to the Regional
Banks by:
At 1st 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
Remuneration
Improved
solvency
& liquidity
➜ 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
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
Pre-tax remuneration of
9.34% based on the
€8.1bn cash deposit
Risk
transfer
Remuneration
Improved
solvency
& liquidity
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%*
➜ Remuneration validated
by an independent expert
* Estimated tax rate in 2014
20
CREDIT AGRICOLE: SOLID CAPITAL STRUCTURE UNDER BASEL 3 - NOVEMBER 2013
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
Increase in Crédit
Agricole S.A.'s
solvency ratios
➜ Transfer of €87bn
in RWAs
➜ Lower deduction of
€670m from numerator
21
Remuneration
Improved
solvency
& liquidity
Cash deposit providing
additional long-term resources
Tangible illustration of the
Group's flexibility through the
active support of the Regional
Banks
CREDIT AGRICOLE: SOLID CAPITAL STRUCTURE UNDER BASEL 3 - NOVEMBER 2013