Credit Agricole S A : Covered bond IP - May 2024

MAY 2024

COVERED BOND

INVESTOR PRESENTATION

WORKING EVERY DAY IN THE INTEREST

OF OUR CUSTOMERS AND SOCIETY

Disclaimer

This document has been prepared by Crédit Agricole S.A. on the basis of proprietary information and is available on its website (https://www.credit-agricole.com/en/finance/debt-and-ratings). It may not be reproduced by any person, or be forwarded or distributed to any person unless so authorised by Crédit Agricole S.A.. Failure to comply with this directive may result in a violation of applicable laws. None of Crédit Agricole S.A. or its affiliates, advisers, dealers or representatives takes any responsibility for the use of these materials by any person.

This document does not constitute regulated financial information on Crédit Agricole S.A. and Crédit Agricole Group. Regulatory financial information comprises the periodic financial results presentations, the financial reports, the registration document and the updates thereto, which are available on Crédit Agricole S.A.'s website (https://www.credit-agricole.com/en/finance/financial- publications). Some of, but not all, the data presented in this document is derived from the aforementioned regulatory financial information.

Save for the data that has been directly extracted from publications which have been reviewed by the Statutory auditors of Crédit Agricole S.A., the information contained in this document has not been independently verified. No representation or warranty expressed or implied is made as to, and no reliance should be placed on, the fairness, accuracy, completeness or correctness of the information or opinions contained herein. None of Crédit Agricole S.A. or its affiliates, advisers, dealers or representatives, or any other person, shall have any liability whatsoever (in negligence or otherwise) for any loss arising from any use of this document or its contents or otherwise arising in connection with this document. This document is for preliminary informational purposes only and is not an offer to sell or the solicitation of an offer to purchase or subscribe for any securities and no part of it shall form the basis of or be relied upon in connection with any contract or commitment whatsoever. This document is not intended for distribution to, or use by, any person or entity in any jurisdiction or country where such distribution or use would be contrary to law or regulation.

Forward-Looking and Prospective Statements

This documents may contain forward-looking information and prospective statements about Crédit Agricole S.A., that are not historical facts. These statements include financial projections and estimates and their underlying assumptions, statements regarding plans, objectives and expectations with respect to future operations, products and services, and statements regarding future performance. Such statements do not represent profit forecasts within the meaning of European Delegated Regulation (EU) 2019/980 of 14 March 2019, as amended from time to time. Forward- looking statements may be identified by the words "believe," "expect," "anticipate," "target" or similar expressions. Although Crédit Agricole S.A.'s management believes that the expectations reflected in such forward-looking statements are reasonable, investors are cautioned that forward-looking information and statements are subject to various risks and uncertainties, many of which are difficult to predict and generally beyond the control of Crédit Agricole S.A., that could cause actual results and developments to differ materially from those expressed in, or implied or projected by, the forward-looking information and statements. These risks and uncertainties include, but are not limited to, those discussed or identified in the annual reports and other filings with the French Autorité des marchés financiers made or to be made by Crédit Agricole S.A. Crédit Agricole S.A. undertakes no obligation to publicly update its forward-looking statements, whether as a result of new information, future events, or otherwise.

Summary and key figures

French Housing Market

Crédit Agricole

Home Loan SFH

Crédit Agricole

Public Sector SCF

Appendices

3

COVERED BOND IP - MAY 2024

Summary and key figures

4

COVERED BOND IP - MAY 2024

THE GROUP CONTINUES TO GROW

• Outlook: 2024 results expected to reach 2025 Ambitions MTP target a year ahead
• Highest-everfirst quarter driven by the increase in GOI, excluding SRF, and the end of SRF building-up period
• Very solid capital and liquidity positions
• Progress of strategic operations (ISB(1), creation of JV with Worldline CAWL, Degroof Petercam, Alpha Associates, Victory Capital)
• Increased support for the energy transition

Crédit Agricole Group

€2.4bn

Q1-24 Net income(2)

+42.8% Q1/Q1

(+6.1% excl. SRF)

Crédit Agricole Group

+8.0%

Increase in GOI

excl. SRF

Q1/Q1

Crédit Agricole Group

25bp

CoR/outstandings 4 rolling quarters

Q1-2024

Crédit Agricole S.A.

11.8%

Phased-in CET1

Q1-2024

Crédit Agricole Group

17.5%

Phased-in CET1

Q1-2024

1. RBC Investor Services in Europe has become CACEIS Investor Services Bank ("ISB") and has been consolidated since Q3-2023.
2. Stated

5

COVERED BOND IP - MAY 2024

KEY FIGURES

CRÉDIT AGRICOLE GROUP

1ST QUARTER 2024

CRÉDIT AGRICOLE S.A.

1ST QUARTER 2024

Net income Group share

stated

Revenues

stated

GOI

stated

Cost / income	58.8%
ratio
-0.2 pp Q1/Q1
underlying
CET 1	17.5%
Phased-in	Stable Q1/Q4

€2,384 m

+42.8% Q1/Q1 (+6.1% excl. SRF)

€9,525 m

+6.7% Q1/Q1

€3,936 m

+30.4% Q1/Q1 (+8.0% excl. SRF)

25 bp	CoR /
outstandings
Stable Q1/Q4
4 rolling quarters
€476bn	Liquidity
reserves
+7.0% Q1/Q4
31/03/2024

Net income Group share

stated

Revenues

stated

GOI

stated

Cost/income	53.7%
ratio
-0.4 pp Q1/Q1
underlying
CET 1	11.8%
Phased-in	Stable Q1/Q4

€1,903 m

+55.2% Q1/Q1 (+13.3% excl. SRF)

€6,806 m

+11.2% Q1/Q1

€3,137 m

+37.6% Q1/Q1 (+12.3% excl. SRF)

33 bp	CoR /
outstandings
Stable Q1/Q4
4 rolling quarters
16.3%	ROTE
+1.9 pp Q1/Q1	Underlying (1)

1. Underlying ROTE calculated on the basis of underlying net income Group share and linearised IFRIC costs over the year

6

COVERED BOND IP - MAY 2024

French Housing Market

7

COVERED BOND IP - MAY 2024

FRENCH HOUSING MARKET

ECONOMIC ENVIRONMENT FACTORS

A correction process in 2023-2024

In 2023, the housing market has been impacted by significant corrections.

• In the second-hand segment, sales reached 869,000 units over 2023, down -22% on 2022, returning to their early 2017. After four exceptional years, above 1 million sales (1.8M in 2021), stimulated by very low interest rates and post-covideuphoria, the market began to normalize; the high interest rate environment accelerated the movement. Prices have begun to adjust since end-2022 (-3.9% yoy in Q4 2023).
• New home sales fell by ~40% in 2023. Until now, the new housing market has suffered from a supply problem linked to the scarcity of land, delays in obtaining permits, rising construction costs and the inflation of technical standards and environmental requirements. Today, the market is also facing a sharp drop in demand. Prices have just begun to stabilize since the end of 2022, falling by just -0.8%yoy in Q4 2023.
• Nevertheless, in real terms, the adjustment in prices is sharper, with consumer prices rising by 10% over the 2022-2023 period, compared with a rise of just 1% in the overall housing price index.

The main factor behind these corrections is the sharp rise in interest rates. This has undermined households' ability to buy property, at a time when high inflation has eroded their purchasing power, and high geopolitical uncertainties are weighing on their confidence. Interest rates on new home loans have risen by 250bp since their low point at the end of 2021, reaching 3.63% (excl. insurance) at the end of 2023. The rapid rise in ECB's rates has led to an upward adjustment in market rates. Initially held back by the usury rate mechanism, the rise in home loan rates accelerated in 2023, thanks to the monthly - rather than quarterly - calculation of the usury rate (based on the average effective rates for the previous 3 months) between February and December 2023.

Some favorable factors partially offset these negative factors. Property purchasing power has fallen since end-2020,excluding the most modest households from the market, but it remains higher than over the 2005- 2014 period. Households have adapted: longer loan terms, smaller homes and higher down payments. While mortgage rates appear to have peaked, and even started to decline, the gradual price adjustment by sellers, disinflation and the partial wage catch-up should slow the decline in sales. Structural demand factors remain favorable, and the French home loan model is prudent and sound (see slides 10-11).

Forecasts for 2023-2024: Lending rates are set to fall gradually in 2024. Sales of second-hand housing should renormalize to around 850,000 in 2023 and 2024. Historically low levels of new home sales would persist (less than 70,000 for new developers), in the absence of significant new support measures. Prices of second-hand dwellings are set to fall gradually, by around 6% by the end of 2024: this is due to the drop in sales, and the resale of "thermal sieves", F or G rated housing, whose value has been reduced by the new regulations.

France: existing homes sales (12-month cumulative)

40	Number, thousands (RHS)	1 300
20	yoyr change, % (LHS)	1 100
0		900
-20		700
-40		500

01	03	05	07	09	11	13	15	17	19	21	23
Source: CGEDD, Notaries

France: home loan rates

(in %, monthly average, excluding insurance)

6						New home loan rate		ECB Deposit rate
5
					10y OAT
4
3
2
1
0
-1
01	03	05	07	09	11	13	15	17	19	21	23

Source: Banque de France, Crédit Agricole S.A.

		France: sales of newly-built homes
		(in thousands, 4Q-cumulative)
160		New to market

1. New housing sold

60

95

97

99

01

03

05

07

09

11

13

15

17

19

21

23

Source: French Ministry of Ecology

8

COVERED BOND IP - MAY 2024

FRENCH HOUSING MARKET

A RESILIENT MARKET

Home prices: average year-on-year growth (year-end, %)

The French market did not experience a bubble / excessive risk-taking,

as seen in the US, the UK, Ireland or Spain between 1998 and 2007. The 2008-2009 recession put an end to the boom.

In France, the correction was limited, as prices were globally stable between 2008 and 2014, to be compared with a cumulative decline in prices of 31% in Ireland, 27% in Spain, 17% in the Netherlands and 14% in Italy. In the UK, prices dropped by 14% between end-2007 and end-2012.

14

9

4

-1

-6

2014/2008 2022/2014 2023/2022

In France, the market rebounded sharply between 2015 and 2021, with housing sales reaching record levels and prices accelerating, albeit moderately.

For existing homes, sales have risen sharply since the low in 2014 (689,000), surpassing the 2005 high (829,000) as early as 2016, and reaching a record level in 2021 (1.175 million.

Prices recovered gradually between 2015 and 2019 (+3% p.a. on average), then accelerated (+6.7% p.a. between end 2019 and end 2021), slowing to +4.7% p.a. by end 2022.

For new-built homes (developer segment), the sales jumped by 16.3% per year over 2014-2017, from 83,000 to 130,000, just above the 2007 peak. It remained stable until 2019 before starting to reduce. Prices rose by an average of 2.9% a year between the end of 2014 and the end of 2020, before accelerating over the following two years (+5.4% a year).

In 2020-2022, the French housing market remained buoyant despite the Covid-19 pandemic. It began to correct in 2023, with rising interest rates accelerating its necessary normalization. The present correction should be moderate.

Sales of existing homes remain above the 2010s average (569,000 in 2023 vs. 520,000). With interest rates starting to fall at the beginning of 2024 and a certain resurgence in loan applications, the current correction should be moderate. In the existing home market, price differentials are likely to be accentuated according to the energy quality of the property. The new-build market (around 15% of retail home sales), in particular single-family homes, is in a structurally more difficult situation and is likely to continue to suffer, due to (environmental) constraints on construction and limited tax incentives.

Prices have been falling since end-2022(-3.6% yoy on average). The correction over 2023 is stronger than the eurozone average, but not all countries have yet begun the price correction phase of this cycle.

€Z FR DE

IT

ES PT NL

IE

BE

FI

AT SW UK

Source: Eurostat

France: year-on-year change in house prices (%)

15					total housing		New-built			Existing
10
5
0
-5
-10
01	03	05	07	09	11	13	15	17	19	21	23
Source: Insee

9

COVERED BOND IP - MAY 2024

FRENCH HOUSING MARKET

FAVOURABLE STRUCTURAL FUNDAMENTALS

Strong demand-side factors

Lower rate of home ownership (63% of French households were owner-occupiers in 2022) compared with other European countries (69% in the EU)

Highest birth-rate in the EU (2022) - but a sharp decline in 2023

Other factors also support demand (divorce, retirement planning, limited supply of rental accommodation)

A "safe haven" effect: in an uncertain environment and given the volatility of financial markets, French households are showing a preference for what is perceived as low-risk and more profitable investments, in particular housing. Yields are attractive and valuations are generally favorable over long periods.

Higher demand towards comfortable and greener housing (terraces, houses with gardens), due to the health crisis, the ecological priority and the development of work from home.

Weak supply

France has a structural housing deficit, and housing construction is at its lowest level for at least 23 years. Housing starts are particularly low and insufficient to meet demand. At 291,000 in January 2024 (cumulative over 12 months), they are at their lowest since at least 2000 (the start of the series). The number of housing starts is more than 110,000 units below the average for the last 20 years, and permits are 100,000 units below average. According to the French Building Federation, the housing deficit could be around 850,000 units by 2030.

A structurally sound home loan market

The French housing debt-to-income ratio has been declining since mid-2022. It is higher than the euro area average, but relatively moderate compared to some other European countries, especially the UK, and even more so compared to the US.

Prudent lending standards, to the most creditworthy buyers, and a low-risk home loan portfolio (see slide 36).

Home ownership ratio in Europe

(in % of total households)

																			87	90	92	93	95
																	85
63	64	69	71	73		74	76	77	78		79

42 47 51

Source: Eurostat - 2022

France: housing starts and permits

(in thousands, 12-m aggregate)

620

570Permits Housing starts

520

470

420

370

320

270

01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 Source: French Ministry of Ecology

Households' debt ratio (% total debt / disposable income)

160									France			Germany			Italy
								Spain			UK				USA
140
120
100
80
60
40
05	06	07	08	09	10	11	12	13	14	15	16	17	18	19	20	21	22	23
	Source: Banque de France

10

COVERED BOND IP - MAY 2024