Investor Presentation January 2016 www.caffil.fr Agenda 1. A - - PowerPoint PPT Presentation

Investor Presentation – January 2016 CAFFIL – the leading public sector covered bond issuer

www.caffil.fr

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Agenda 1. A development Bank with two public policy missions 2. CAFFIL’s balance sheet: high quality assets and prudent management 3. CAFFIL’s issuing strategy

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A public set up with two public policy missions

Public sphere

20% 75% Reference shareholder 100% 5%

Two public policy missions

• Provide funding for French Local

authority and hospital investments

• Provide funding for large export

contracts as new mission from 2015

• nwards

Public ownership and covered bonds as funding tool

• CAFFIL – issuance of covered bonds
• SFIL - holding and operating company
• 100% publicly owned
• 7th French bank in terms of

balance sheet size, total assets of EUR 88 billion (31.12.2014)

• directly supervised by the ECB

with strong results under AQR and stress test

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SFIL reached high quality ratings on the basis of:

• Strategic importance of public policy missions conferred to SFIL
• Close links to the French State, also its reference shareholder, with specific responsibilities in terms
• f financial support without time limitation

CAFFIL obtained highest possible ratings on the basis of:

• Legal status, high quality and prudent management of its cover pool
• The high credit standing of its mother company
• According to current rating methodologies, public sector covered bond ratings of CAFFIL are capped
• ne notch above SFIL (and the sovereign) for S&P and at the same level as the sovereign in the

case of Fitch

Strong credit ratings

Negative outlook by S&P on the ratings of SFIL and CAFFIL

Moody’s S&P Fitch SFIL Aa3 AA AA- French State Aa2 AA AA Moody’s S&P Fitch CAFFIL Aaa AA+ AA

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First public mission: refinance loans to the French local public sector

Situation: Shortage of long term funding for French local authorities - necessity for a public set up to provide a stable access to long dated funding for public investments, confirmed by the European Commission decision dated December 28th 2012 Decision: Creation of a new development bank as service provider and refinancing entity for public sector loans originated by La Banque Postale

February 2013 Creation of SFIL as the new bank for the French Local Public Sector Set up established as market leader in French Local Public Sector lending

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• Creation of SFIL at the center of a new

public set up to finance the French Local Public Sector in February 2013

• La Banque Postale as loan originator
• SFIL takes full ownership of DEXMA, now

CAFFIL, to refinance local authority and public hospital loans via issuance of covered bonds

• 2013 and 2014: Second lender to the

French local public sector with respectively EUR 3.3 billion and EUR 4.2 billion in new lending

• 2015: First lender to the local public

sector with over EUR 5 billion in new loans, market share for loans to smaller local authorities above 50%

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CAFFIL refinances loans to Local Authorities originated through the large network of La Banque Postale

• Scope of lending business is limited to French local public sector
• Pricing at the going market rate, no subsidization
• Full control of credit risk by CAFFIL during the origination process and again prior to transfer
• Cost efficient and well integrated partnership: loan origination by La Banque Postale, servicing of the loans by

SFIL, who also acts as servicer of CAFFIL

• New set-up firmly established in French local public sector lending with EUR 4.2 billion in loans originated in

2014 to over 1500 local authorities and around 100 public hospitals - second player behind the savings banks

• First lender to the French local public sector in 2015 with a volume of EUR 5 billion in new loans and a

market share of around 25%

French Local Public Sector

Service provider

Covered bond investors

Refinancing via issuance of covered bonds Origination of French local public sector loans Transfer True Sale

First public mission: refinance loans to the French local public sector

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Second public mission: provide financing for large export credits

“We have decided to create an export bank in France at the service of large international contracts. ” François Hollande, President of France, 6th of February 2015

Situation: French exporters face difficulties to complete the financing of their exports contracts and suffer from competitive disadvantage vis-à-vis foreign exporters relying on export loans provided or refinanced by public entities at competitive rates (More than 15 public schemes within OECD countries ) Decision: Create an French Export Refinancing scheme on the same model as in Nordic countries (Sweden, Finland), which :

• avoids creating additional risk for public

sector and

• allows deconsolidation for banks.
• Goal : support French

exports through improvement of the financial offer in terms of volume, maturity and cost. February 2015 French State announces a new public export credit scheme based on SFIL and CAFFIL capabilities

• European Commission

Approval received on May 5th 2015

• Build-up of the internal

workforce and processes Q2 2015 The new scheme is ready to support banks and French exporters

• Framework agreement

signed with 12 banks among the most active in the French export credit market

• First deals to be closed in

2016 Q3-Q4 2015 Operational launch and first bids

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Second public mission: main features of the set-up

A refinancing tool dedicated to Coface loans

• Available for all credits insured by Coface with a minimum size of 70 MEUR
• No restriction in terms of country or sector
• Target activity p.a : 1.5-2.5 Bn €

A platform open to all banks working with French exporters and their customers

• 1. The export bank i) does the fronting with the borrower and ii) keeps the uninsured part of the export credit (at

least 5%)

• 2. SFIL buys the insured part of the export credit (up to 95%)
• 3. CAFFIL grants a back-to back refinancing loan to SFIL which benefits from an irrevocable and unconditional 100%

guarantee by the French Republic via Coface (enhanced guarantee mechanism law n°2012-1510)

Export Bank – acting as agent of the loan Export Client – Foreign country

SFIL takes 95% of the export credit (100% insured) Export bank will keep an exposure of 5% of the credit (uninsured) Export credit insurance provided by Coface, covering 95% of the loan Coface acting on behalf of the French State Refinancing loan Refinancing via issuance

• f covered bonds

Irrevocable and unconditional guarantee by the French Republic granted via Coface

1 2 3

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Agenda 1. A development Bank with two public policy missions 2. CAFFIL’s balance sheet: high quality assets and prudent management 3. CAFFIL’s issuing strategy

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Obligations Foncières - protection via strong legal framework

3-Access to liquidity independently from sponsor bank

4-Strong investor protection 1- A Bank with business limited to low risk activities 2-Strict balance sheet management

• Balance sheet distinct from

sponsor bank

• Bankruptcy remote from

sponsor bank/servicer

• Access to interbank and

ECB repo facilities maintained

• Operational continuity

ensured by the replacement of the servicer

• Sole activity is to acquire

and manage mortgage and/or public sector assets

• Dedicated legal and

regulatory framework, in contrast to common law

• Controlled and certified by

auditors and a “Contrôleur Spécifique” under SCF law

• 5% permanent

mandatory over- collateralization

• Interest rate risk and

maturity matching to be actively managed

• No currency risk

3-Bankruptcy remote from the sponsor

• Seniority of payments

to OF holders

• No early redemption or

acceleration of payment

• Derivative counterparties

rank pari passu with OF investors

• OF excluded from bail-in

process of sponsor bank

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Main balance sheet items of CAFFIL

2.5 52.8

Main balance sheet items September 30th, 2015 - (in EUR billion) Over-collateral Equity 1.5 Senior unsecured credit facilities 5.5 Cover pool 59.0 Covered bonds 50.7 Cash collateral 1.4 Solvency ratio (Basel III phased -in) 24.1% EUR 7 billion equity and unsecured financing Total privileged debt of EUR 52.1 billion comprises EUR 50.7 billion covered bonds Cover pool of 59.0 billion OC of 13.2%, EUR 6.9 billion …and EUR 1.4 billion cash collateral received from derivative counterparties

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Liquidity risk well covered

• Liquidity Coverage Ratio (LCR) above 100% since January 1, 2014
• Limited duration gap between assets and liabilities : Maximum limit: 3 years, 1.71 years as of September 30th, 2015, down

significantly from 1.84 years as of 31.12.2014 and 2.08 years as of 31.12.2013 Strict interest rate risk management via two levels of hedging No foreign exchange risk

• Level 1: All fixed rate assets and liabilities are hedged against

Euribor until maturity

• Level 2: Euribor flows hedged against Eonia to eliminate

interest rate risk due to different index periodicities (1, 3, 6 or 12 m) and fixing dates

• Clear management rules : all non-Euro assets and bond issues

systematically micro-swapped into EUR

Strict management of liquidity, interest and foreign exchange risk

Liquidity as of September 30th, 2015 - EUR billion Cover pool 59.0 Equity 1.5 Senior unsecured credit facilities 5.5 Covered bonds 50.7

 Unsecured liquidity

Provided by CDC and LBP via SFIL

 Eligibility to ECB refi

SCF status allows access to Eurosystem refi operations if necessary

• Important stock of eligible

assets (2/3 of the cover pool) CAFFIL has not used ECB refinancing over the past two years Declaration of financial support of SFIL and the French State to CAFFIL

 Covered bonds

Main source of long term funding

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CAFFIL cover pool as of 30th September 2015 (excluding cash and replacement assets) Expected Evolution of the cover pool

• New assets exclusively French : local government and public hospital loans, refinancing loans benefitting from

a French State guarantee

• International legacy portfolio managed in runoff
• Expected evolution of total cover pool over the coming 5 years :
• Share of French assets to increase to close to 90%
• Refinancing loans linked to the export credit activity expected to represent 9% of the cover pool
• Expected share of loans to the French local public sector originated since the creation of SFIL above 30%

76% 79% 88% 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% 2014 2015 2020

French Assets

• Intern. Portfolio

Cover pool ¾ French, new assets exclusively French

9% SFIL export credit 30% LBP loan activity

76.0% 11.4% 4.1% 4.0% 1.5% 0.9% 0.6% 1.4% 78.3% 11.2% 4.1% 2.8% 1.1% 0.6% 0.6% 1.4%

0% 10% 20% 30% 40% 50% 60% 70% 80% 90%

12/31/2014 09/30/2015

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High granularity, low concentration, diversity of borrowers

High granularity, low concentration

• Well over 17 000 different counterparties
• Low concentration risk:
• Sum of 20 largest exposures (excl. replacement assets) = 14.7% of cover pool
• Largest single borrower exposure represents 1% of cover pool
• 20th largest exposure represents 0.4% of cover pool

Diversity of borrowers - Breakdown by type of counterparty as of as of September 30th, 2015

Municipalities 51.9% Departments 13.6% Regions 9.9% Public hospitals 10.8% Public sector entities 5.0% States 1.0% Municipalities 3.9% Departments 1.6% Regions 1.1% States 1.1% Public sector entities 0.1% Indirect exposures 7.8%

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Strong asset quality reflected in cover pool risk weightings and comprehensive assessment results

Composition of the Cover Pool by risk weighting – September 30th 2015 Low risk weightings under advanced internal model

• CAFFIL uses a Basel II advanced internal

rating model approved by the regulator and based on over 10 years of default statistics, financial and fiscal data and 30 explanatory ratios and risk indicators

• The quality of CAFFIL’s cover pool is reflected

by an average risk weighting of only 6.7% versus a standard 20% weighting under Basel II

• Only 3.3% of the portfolio carry a weighting

above 20% Comprehensive assessment of asset quality and stress scenarios by the new European regulator

• Minimal impact of AQR on prudential capital

– high solvency ratio under adverse scenario

• Prudential adjustments under the AQR of

EUR 48 million impact regulatory capital by around -3% and the CET1 ratio by -1%

• Solid CET1 ratio at 13.2% under the

adverse scenario – SFIL ranked 20th out of 130 banks

0.3% 3.0% 23.3% 12.0% 61.4% 0.2% 3.2% 24.5% 12.1% 60.0%

0% 10% 20% 30% 40% 50% 60% 70% >50% ]20%- 50%] ]5%-20%] ]2%-5%] [0%-2%] 12/31/2014 09/30/2015 Standard weighting 20% Weighting cover pool

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Agenda

1. A development Bank with two public policy missions 2. CAFFIL’s balance sheet: high quality assets and prudent management 3. CAFFIL’s issuing strategy

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CAFFIL – Three years of funding activity

2013 - Inaugural Year € 3bn raised 12.4 years a long average life 2014 - Confirmation Year € 4bn raised 11.5 years a long average life CAFFIL a key Issuer Over €50bn outstanding with a large investor recognition Almost €13bn raised since 2013 2015 - Expansion year close to € 6bn issued ytd with 10 years average life

Strong Private Placement activity Strong Private Placement activity

Inaugural Transaction Longest French Covered Bond First 2014 French Covered Bond First Sub Libor French CB

• Feb. 2013

SFIL / CAFFIL Set up July 2013 Jumbo 7y Inaugural Sept.2013 Benchmark 15 years Jan. 2014 Jumbo 10 years April 2014 15 y increased Sept. 2014 Jumbo 5 years Jan. 2015 20 years April 2015 Jumbo 8y

2015 Longest Covered bond CAFFIL’s tightest benchmark

Sept. 2015 Jumbo 10y

First 10y Jumbo since March 2015

Oct. 2015 Jumbo long 7y

Long 7y Jumbo in 2015

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CAFFIL Funding Strategy going forward

 Complete € reference curve via regular on-the-run

transactions

 with an interest from medium to long duration  benchmark size  Possibly tap our € outstanding on a selective basis

(min € 150m) with a max size of €2bn per bond tap included

 Currency diversification as long as :  there is investor interest  cost of funding after hedging swap in € is

consistent with € funding levels

 transaction would bring us the useful duration  Objectives  answer to specific and tailor-made investor demand  enhance issuance programme execution, providing

diversification, granularity and smooth execution for both CAFFIL and Investors

 provide a permanent offer of private placements for

• ur investors to catch opportunities

 work notably on maturities unusual for public

issuance (20 years and over)

 Issuance guidance  vanilla pay-off : EUR - CHF - GBP - JPY - USD  lightly structured pay-off : EUR  minimum size : €10M – No Maximum size  RCB assignment flexibility : €1M

Provide secured long term funding for French local authorities Support the new SFIL assignment on export credit

Private Placements Public Issuance

Regular Issuer expected annual issuance program of € 5 to 7 billion

19 Central Banks 51% Banks 24% Asset Managers 14% Insurance 11% France 52% Germany & Austria 31% Asia 6% Nordics 3% UK 3% Others 2% Benelux 1% Italy 1%

• Switz. 1%

CAFFIL – Funding achievements - 2015

 April : fulfill the curve

 First Caffil 8 years  Jumbo size : €1 bn  Final book of €1.9bn  62 orders collected  MS-11 bps /OAT +9 bps

 Sept : a new 10y Jumbo

 Reopen €10y Jumbo

market (last deal March 2015)

 Jumbo size : €1bn  ~40 orders  MS+3bps/OAT-5,5 bps

Public issuance

 Jan : CAFFIL first 20 years

 First 20y French CB since

2001

 Benchmark size : €500m  Final order book of €800m  22 investors involved  MS+19 bps / OAT+ 4bps

 Oct : long 7y Jumbo

 Seize investors interest

for 7y tenor

 Book size over €1.2bn  Jumbo size : €1bn  Around 50 orders  MS+5bps/OAT+20,5 bps

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CAFFIL Funding Id-Card Bloomberg ticker CAFFIL Govt <GO> Website

Including Documentation and Factsheet

www.caffil.fr

Bonds legal framework

Obligations foncières (OF) benefiting from the legal privilege defined by French law

http://www.ecbc.eu/framework/show/id/73

ECB Eligibility

All CAFFIL Euro jumbo benchmarks are eligible under best liquidity category achievable (category II)

https://mfi-assets.ecb.int/query_EA.htm

Ratings

Aaa/AA+/AA (Moodys/S&P/Fitch) Since Jan. 1, 2013

https://www.coveredbondlabel.com/

EMTN Programme

Size €75bn Hard Bullet Listing Paris Luxembourg Governing French law Obligation Foncières issued by CAFFIL meet the CRR / CRD IV and UCITS standards RWA 10% (standardized approach)

CRR and UCITS Compliant

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Contacts

CAFFIL Management Gilles Gallerne Chairman of the Executive Board of CAFFIL Tel : +33(0)1 7328 9123 gilles.gallerne@sfil.fr Caroline Gruson Managing Director Tel : +33(0)1 7328 8657 caroline.gruson@sfil.fr Financial Markets Management Sami Gotrane Head of Treasury and Financial Markets Tel : +33(0)1 7328 9131 sami.gotrane@sfil.fr Olivier Eudes Head of the Dealing Room Tel : +33(0)1 3013 3908

• livier.eudes@sfil.fr

Investor Relations Ralf Berninger, CFA Co Head - Investor Relations Tel : + 33(0)1 7328 8807 ralf.berninger@sfil.fr Jérôme Gyss Co Head - Investor Relations Tel : + 33(0)1 7328 8757 jerome.gyss@sfil.fr investorrelations@Sfil.fr Treasury and Funding Desk Gonzague Veillas Head of Treasury and Funding Tel : +33(0)1 3013 3909 gonzague.veillas@sfil.fr Guillaume Levesque Treasury and Funding Tel : +33(0)1 3013 3910 guillaume.levesque@sfil.fr Djamel Outahar Treasury and Funding Tel : +33(0)1 3013 3912 djamel.outahar@sfil.fr Anne-Sophie Perfetta Treasury and Funding Tel : +33(0)1 3013 39 11 anne-sophie.perfetta@sfil.fr Prisca Sabarros Treasury and Funding Tel : +33(0)1 3013 39 13 prisca.sabarros@sfil.fr

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Disclaimer

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