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CRÉDIT AGRICOLE ASSURANCES September 2021 INVESTOR PRESENTATION

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Page 1: Crédit Agricole Assurances

CRÉDIT AGRICOLE ASSURANCES

September 2021

INVESTOR PRESENTATION

Page 2: Crédit Agricole Assurances

This document has been prepared by Crédit Agricole Assurances S.A. for information purposes only and is available on its website (https://www.ca-assurances.com/Espace-Investisseurs) It is

not to be reproduced by any person, nor to be forwarded or distributed to any person unless so authorised by Crédit Agricole Assurances S.A. Failure to comply with this directive may result in

a violation of the Securities Act of 1933, as amended (the Securities Act), or the applicable laws of other jurisdictions. None of Crédit Agricole Assurances S.A. or its affiliates, advisers, dealers

or representatives takes any responsibility for the use of these materials by any person.

No representation or warranty expressed or implied is made as to the entire information within this document being subjected to a full independent review, and no reliance should be placed on,

the fairness, accuracy, completeness or correctness of the information or opinions contained herein. None of Credit Agricole Assurance 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.

Without limiting the foregoing, this document does not constitute an offer to sell, or a solicitation of offers to purchase or subscribe for, securities in the United States nor in any other jurisdiction.

The securities referred to herein have not been, and will not be, registered under the Securities Act and may not be offered or sold within the United States or to, or for the account or benefit of,

U.S. persons except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act. Crédit Agricole Assurances S.A. does not intend to

register any portion of any offering in the United States or to conduct a public offering of securities in the United States.

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 Statements

This communication contains forward-looking information and prospective statements about Crédit Agricole Assurances S.A. that are not historical facts. These statements may 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 and has been developed from scenarios based on a number of economic assumptions in the context of a given competitive and regulatory

environment (including but not limited to applicable accounting principles and methods and the applicable prudential regulations). Such statements do not represent profit forecasts and

estimates within the meaning of the COMMISSION DELEGATED REGULATION (EU) 2019/980 of 14 March 2019. Forward-looking statements may be identified by the words “believe,”

“expect,” “anticipate,” “target” or similar expressions. Although Crédit Agricole Assurances 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 Assurances 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 section entitled “risk factors” in the preliminary prospectus relating

to the proposed offering of securities described herein. Crédit Agricole Assurances S.A. undertakes no obligation to publicly update its forward-looking statements, whether as a result of new

information, future events, or otherwise.

Disclaimer

Crédit Agricole Assurances September 2021

2

Page 3: Crédit Agricole Assurances

SOMMAIRE

Crédit Agricole Assurances

3

September 2021

SUMMARY

Executive summary

Company overview

A robust business model

Medium Term Plan 2022

Solvency & Capital

Management

Disciplined Risk

Management

Contemplated transaction

Appendices

CAA Contact List

01

02

03

04

05

06

07

08

09

p. 4

p. 6

p. 13

p. 17

p. 21

p. 25

p. 30

p. 33

p. 38

Page 4: Crédit Agricole Assurances

CHAPTER

September 2021Crédit Agricole Assurances

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1

EXECUTIVE SUMMARY

Page 5: Crédit Agricole Assurances

CAA is considering issuing 10-year bullet subordinated Tier 2 Notes

Proposed transaction rationale and key credit consideration

September 2021Crédit Agricole Assurances

5

Further optimize and extend CAA’s debt maturity profile and diversify the funding base

Take advantage of supportive market conditions to redeem early internal subordinated debt instruments

subscribed by Crédit Agricole S.A.

Improve Crédit Agricole S.A. regulatory and rating agencies’ solvency ratios

Rationale

Key strengths of CAA’s credit profile

Very strong competitive position

Largest insurer in the French market1

Largest bancassurer in Europe market1

Crédit Agricole brand and extensive distribution

network

Strong and recurring profitability

Strong regulatory solvency position

Robust risk management

Increasing diversification of the business profile

A strong credit

profile

On 24th June 2021, S&P affirmed CAA’s main Insurance companies ratings at A / Stable outlook2

CAA, the holding company, is rated A- / Stable outlook by S&P, one notch below, as anon-operating holding company

The proposed transaction is expected to be rated BBB by S&P

S&P applies the standard notching for insurance subordinated debt: 2 notches below the holding companyrating, reflecting the instrument‘s deferral and subordination characteristics

S&PRatings

1 by premium income; 2 Credit Agricole S.A.’s ratings are the following: A+/A-1 with stable outlook by S&P, Aa3/P-1 with stable outlook by Moody's and A+/F1 with negative outlook by Fitch Ratings.

1. EXECUTIVE SUMMARY

Page 6: Crédit Agricole Assurances

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September 2021Crédit Agricole Assurances

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2

COMPANY OVERVIEW

Page 7: Crédit Agricole Assurances

di82.8%

17.2%

Crédit Agricole Assurances (CAA): key figures

Strong Financial Profile

IFRS Net income Group share at end of June 2021

Solvency II ratio2 at end of June 2021

Life insurance outstandings at end of June 2021

September 2021Crédit Agricole Assurances

7

5,100 employees

10 countries

10,000 bancassurance

distribution branches3

€19.5bnin premium

income1

H1 2021

Savings & Retirement

Death & disability

Creditor

Group insurance

Property & Casualty

€14.0bn

€2.4bn

€3.1bn

243%

€700m

€316bn1 Under IFRS 2 Calculated using the standardised approach without transitional measures other than the grandfathering of subordinated debts3 Crédit Agricole Group’s networks in France and abroad

2. COMPANY OVERVIEW

International

France

Page 8: Crédit Agricole Assurances

Crédit Agricole Assurances: #1 insurer in France

September 2021Crédit Agricole Assurances

8

#1Life insurance

in France3

A leading position in profitable segments

Savings and Retirement Death & disability / Creditor /

Group insurance

Leader in Europe Leader in France

15%market share in Life

Insurance in France4

#1Individual Death & Disability

in France6

21%market share in Individual

Death & Disability in France8

#2Creditor bancassurer

in France7

20%market share in creditor

insurance in France9

#1bancassurer1

7%14

market share

in Car insurance in France13

#1Home, car and health

bancassurer in France12

Property & Casualty10

12%market share

in Home insurance in France13

1 Internal source CAA, premiums at end-20192 Source: L’Argus de l’assurance, December 18th, 2020, premiums at end-20193 Source: L’Argus de l’assurance, May 21st, 2021, premiums at end-20204 Source: Data FFA 2020 – life insurance outstandings – Predica estimations5 Source: Data DREES 2020 – premiums of Individual & Group supplementary retirement savings –

CAA estimations

6 Source: L’Argus de l’assurance, April 2nd, 2021, premiums at end-20207 Source: L’Argus de l’assurance, Septembre 4th, 2020, premiums at end-20198 Source: Data FFA 2019 – premiums of Death, Funerals and Dependence contracts9 Source: Data FFA 2020 – premiums

#1insurer2

10 #5 in France (source: L’Argus de l’assurance, December 18th, 2020, premiums at end-2019)11 Source: L’Argus de l’assurance, May 7th, 2021, number of contracts12 Source: L’Argus de l’assurance, April 23rd, 2021, premiums at end-202013 Source: Data FFA 2020 – number of contracts – Pacifica estimations14 Source : Data FFA 2020 , up pro forma compared to 2020

2. COMPANY OVERVIEW

#1Retirement bancassurer

in France12

10%market share in

Retirement in France5

#1Growth in home and car

insurance in France11

Page 9: Crédit Agricole Assurances

In 35 years, CAA has built from scratch a complete, diversified and international bancassurer Group, fully integrated into the banking system

September 2021Crédit Agricole Assurances

9

Natural extension of

banking network’s

savings business

into life insurance

Development of

alternative life and

non-life networks (Independent Financial Advisors

and heath care professionnals)

Increased ownership

of CA Vita (Italy) to 100%

Creation of Crédit

Agricole Insurance

Poland (Non-life

insurance in Poland)

1986 1990 2004 2008 2011 2012 2014

UAF & La Médicale

de FrancePredica

Life insurance

Pacifica

Property & Casualty

CACI

Creditor Insurance

SpiricaLife insurance

Diversification and

enhanced presence at

top of range and on web

2018

Life insurance partnership

with Credito Valtelinese

S.p.A. (Italy)

2. COMPANY OVERVIEW

2020

CA Insurance

Poland

Development of Creditor

insurance business

managed from Dublin

in 10 countries

Development of

Property &Casualty

business

Abanca

Europ Assistance

France

2017

Launch of the Group life

insurance offering

Launch of the Property &

Casualty commercial

lines

• Creation of CA Zycie, life insurance in Poland

• Creation of Abanca Seguros Generales (Non-life

insurance in Spain) in 50% joint-venture

• Increased ownership of Mudum Seguros (ex GNB

Seguros) to 100% of the share capital (Non-life

insurance in Portugal)

• Acquisition of 50% of Europ Assistance France1

CA ZycieLife insurance

1 Closing of the transaction on 13 January 2021

CA Vita

Page 10: Crédit Agricole Assurances

Crédit Agricole Group: a customer-focused universal banking model

Top 3 in consumer lending in Europe €91.0bn loans managed

1 out of 3 Mid-Caps financed by CAL&F in France #1

#1 European asset

manager€1.729bn AuM

#1 insurance company in France1

#1 bancassurer in Europe2

14.6m P&C insurance contracts3

€316bn AuM (life insurance and

retirement)3

#1 in financing of real estate development4 in France

€128bn assets under management

Leader in payments in France 30% market share

>11bn operations

#1 in fund administration in France€4,198 bn

#1 worldwide arranger in green, social andsustainable bonds, all currencies in volume and market share between 2015 & 2020

#3 worldwide syndicated credits for EMEA

Source : URD 2020. All figures underlying, cost income ratios excl. SRF contributions 1 L’Argus de l’assurance,

December 18th, 2020, 2019 data 2 2019 data 3 at end-2020 4 ACPR study

Large

customersAsset

gathering

Specialised financial services

PAYMENTS

REAL

ESTATE

in private

financing of

renewable

energies in

France

2. COMPANY OVERVIEW

Crédit Agricole Assurances September 2021

10

Other specialized

services

outstandingsin custody

Cost/Income ratio: 44.1% RoNE: 22.5%

Cost/Income ratio: 48.8% RoNE: 11.7%

Cost/Income ratio: 62.9% RoNE: 10.7%

Cost/Income ratio: operating expenses / revenues

RoNE: Return On Normative Equity: Net income excl. AT1 coupons / Average allocated Capital (Own Funds allocation rate

9.5% X average RWA)

Page 11: Crédit Agricole Assurances

CAA: an integrated bancassurance model in France and abroad

September 2021Crédit Agricole Assurances

11

86%1 Bancassurance model: distribution of personal insurance,

property & casualty and creditors insurance in CA’s banking

networks

8%1 Group partnerships: internal financial partners together

with complementary channels (internet, independent wealth

management advisors, network dedicated to health

professionals)

6%1 External partnerships: e.g. partnerships with local banks

1 As a percentage of premiums at end-2020

2. COMPANY OVERVIEW

(Italy)(Poland)

Page 12: Crédit Agricole Assurances

CAA: various business models to support the Group international strategy

September 2021Crédit Agricole Assurances

12

DistributorsDistribution modelCountry

Italy

Poland

Luxembourg

Japan

Portugal (CACF)

Customer Focused Universal

Banking Model

Customer Focused Universal

Banking Model

European

Private Banking Hub

Open architecture model in

synergy with Amundi and

CACIB

Bancassurance Model

Group Non-Group

Freedom to provide services

Joint Venture with Abanca

Freedom to provide services

Spain

Germany

and ~20 other

partners

and 3 local

partner banks

and ~30 other

partners

2. COMPANY OVERVIEW

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September 2021Crédit Agricole Assurances

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3

A ROBUST BUSINESS MODEL

Page 14: Crédit Agricole Assurances

Efficient model, consistent and complementary to banking solutions

The Bancassurance model

September 2021Crédit Agricole Assurances

14

Additional source of sustainable revenue

Enriches the customer relationship and brand image

Protection solutions for retail banking customers

Empowers the role of banking advisor

Simple, transparent and competitive product range

complementary to banking solutions

Enhancement of the customer-focused universal banking model

Key Success Factors

…generating value for customers

1 Based on 6 006 customers that responded to a satisfaction survey on Predica’s main services2 Based on 4,500 individual Pacifica customers surveyed after a car home insurance claim3 Out of 4,500 Pacifica individual customers making a property & casualty claim between 1 Oct. 2019 & 30 Sept. 2020

Brand strength

Distribution and sales power

Combined knowledge of banking

& insurance markets

Multiple contacts and backings’ occasions

Best in class multichannel offers

An industrial production capacity

Strong integration & standardisation of

processes

Claims management decentralization

High quality of service

Full range of all savings and insurance

products supporting global customer

relationship

Satisfaction rate1 (2020)

LIFE INSURANCE

NON-LIFE INSURANCE

Satisfaction rate2 (2020)

Net promoter score3 (2020)

90%

93%

44

3. A ROBUST BUSINESS MODEL

Page 15: Crédit Agricole Assurances

Strong and recurring profitability with efficient value creation

September 2021Crédit Agricole Assurances

15

3. A ROBUST BUSINESS MODEL

1 Extracontractual measure in favour of vulnerable persons: 5 M€; Contribution to CA's dedicated fund for the seniors: 4 M€ and Contribution for

supplementary healthcare insurers: 15 M€2 Crédit Agricole Assurances paid Crédit Agricole S.A. a cash balance of €54 million (€49 million net of tax) due to the early repayment of

redeemable subordinated notes in the amount of €1 billion in total. These redemptions followed a new €1 billion issue of perpetual subordinated

bonds in July 2020.

3 Group contribution to Crédit Agricole S.A.’s operating expenses (including an analytical allocation of charges by

Crédit Agricole S.A.) / Group contribution to Crédit Agricole S.A.’s revenues (including an analytical transfer of the

switch guarantee)4 (Claims + operating expenses + commissions) / earned premiums, net of reinsurance; Pacifica scope5 Adjusted. Without adjustments, the ratio was 33.4% at end-20206 Adjusted. Without adjustments, the ratio reached 97.6% at end-2020

Cost / income ratio3 (2020)

Combined ratio4 (2020)

29.8%5

94.9%6

1 4341 230

Net income Groupshare adjusted

Exceptional Covid-19 measures

One-off cashpayment

Net income Groupshare

CAA Net Income - Group Share in 2020(m€)

-49-151

604 590700

June 2019 June 2020 June 2021

CAA Net Income - Group Share adjusted (€m)

1 331

1 518

1 230

1 4691 518

1 434

2018 2019 2020

CAA Net Income - Group Share adjusted (€m)

Net Income - Group Share Net Income - Group Share adjusted

1 2

Page 16: Crédit Agricole Assurances

60 69 75 82

285 304 308 316

2018 2019 2020 June 2021

Euro Unit-Linked

2.2 4.5

-3.9

5.0

5.1

4.9

+ 7.3+ 9.5

+ 1.0

2018 2019 2020

Diversified business mix and strong activity in all strategic business lines

Crédit Agricole Assurances

16

3. A ROBUST BUSINESS MODEL

Diversified business mix

Life insurance outstandings (€bn)

42%

30% 12%

16%

Total:

€19.5bn

Savings & retirement: 72%

(+6 pts vs June 2020)

€: +4 pts vs June 2020

UL: +2 pts vs June 2020

Death & disability / Creditor /

Group insurance

(-2 pts vs June 2020)

Property & casualty

(-4 pts vs June 2020)

Increasing diversification of the business profile

-2.7

-0.4

2.6 3.7

( 0.2)

+ 3.3

H1-20 H1-21

Protection - Gross premium income in €bn

Savings & retirement - Net inflows (€bn)

4.2 4.5 4.8

3.7 4.0 4.3

7.8 8.5 9.1

2018 2019 2020

2.8 3.1

2.0 2.4

4.9 5.5

H1-20 H1-21

+42.4%

UL

+9.7%1

+7.0%1 CAGR

235

82

316

June 2021

+4.2% CAGR

1 Growths restated of an accounting methodological correction; excluding the restatement, growth is 7.5% CAGR between

2018 and 2020 and 11.9% H1-21/H1-20.

End of June 2021 premium income

Euro

UL

-1.0 -0.3

1.7 2.0

+ 0.8 + 1.7

Q1-20 Q1-21

Euro Unit-Linked Total

234

78

312

March 2021

Total

Unit-Linked

Euro

4.2 4.5 4.8

3.7 4.0

4.3

7.8 8.5

9.1

2018 2019 2020

Death& Disability / Creditor / Group Insurance

Property & Casualty

September 2021

+13,2% CAGR UL

21%

Share of unit-linked

26%

Page 17: Crédit Agricole Assurances

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September 2021Crédit Agricole Assurances

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4

MEDIUM TERM PLAN 2022

Page 18: Crédit Agricole Assurances

LIFE INSURANCE

Savings: offer relevant savings products in a low interest rate environment as part of a global advisory approach

Support the customers in the diversification of their assets, with a loyal advisory approach…

… while preserving profitability for CAA Group

Retirement: strengthen positions in Individual and Group Retirement Solutions

Take full advantage of the “loi PACTE” to increase the market share in France

Strengthen synergies with AMUNDI for Group Retirement Plans

Death & Disability – Creditor & Group insurance2: adapt the offers and aim for a strong growth

Offer more flexible Creditor Insurance solutions to preserve our leadership

Boost growth on individual D&D insurance: improve product range and increase customer equipment

Continue to grow on Group Health Insurance and Group D&D Insurance

P&C INSURANCE

Increase Regional banks’ and LCL’s customer equipment on all segments

Offer new solutions to farmers to preserve their farms and crops

Reinforce the « Prevention – Insurance – Protection » approach with a prevention plan for all Regional banks

and for all targets4

Strengthen the Group’s leadership on core businesses

September 2021Crédit Agricole Assurances

18

4. MEDIUM TERM PLAN 2022

2022 targets

market share for new retirement

savings1 in France by 202215%

premium income in D&D,

Creditor & Group insurance2

(€5bn by 2022)+35%

AuM (€322bn by 2022)+13%

+31% premium income in P&C

Insurance (€5.5bn by 2022)

+5pp share of unit-linked

contracts in AuM by 2022 (26%

by end-2022)

+2pp customers equipped3

(equipment rate, Regional

banks)

>+5pp customers equipped with

at least one P&C insurance

contract (equipment rate,

Regional banks, LCL)Reference: 2018 figures. 1 Individual & Group retirement 2 Group Health Insurance and Group D&D insurance (retirement excluded) 3 Predica, term life insurance4 Young adults, families, seniors, farmers and employees

Page 19: Crédit Agricole Assurances

EXTEND THE OFFERING FOR HOUSEHOLDS

In-home services: remote surveillance, extended offers for P&C individual risk management and support for

key life events (comfort, accessibility)

Services for new mobilities: specific offerings for individuals and fleet management companies

E-health services for key life moments: health advisory, remote medical consultation, support for easier

treatment process, for individual customers and companies’ employees

CREATE A COMPREHENSIVE BANCASSURANCE OFFERING FOR CORPORATES

Deploy a complete offer for Group Health, Death & Disability and Retirement solution, structured for corporate

customers’ needs

Launch a P&C commercial lines insurance solution for corporates by end-2020

INCREASE THE INTERNATIONAL BUSINESS: +20% PREMIUM INCOME FOR INTERNATIONAL

ACTIVITY1 (€7.3BN IN 2022)

Within the Group via synergies

• Increase the equipment of retail customers in Italy

• Develop P&C activity in Italy, Portugal and Poland

Beyond the Group via partnerships

• Via a bancassurance business model with partner banks in Italy, Portugal, and Japan

• Via private banks hubs and creditor insurance in Europe

Explore new growth opportunities

September 2021Crédit Agricole Assurances

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4. MEDIUM TERM PLAN 2022

1 International subsidiaries (excl. CALIE in France) and international activity of CACI; 2 Pacifica

+3%revenue 2018-22 CAGR

(Net Banking Income, €7.2bn in

2022)

<96% combined ratio2

~30% cost income ratio

2022 financial targets

Page 20: Crédit Agricole Assurances

GROUPE CRÉDIT AGRICOLE CRÉDIT AGRICOLE S.A.

CRÉDIT AGRICOLE GROUP Q2-21 & H1-21 HIGHLIGHTS

RB* Insurance

equipment rate8

+1.7 pp vs end 2019

+6.2 pp vs end 2018

42.4%

LCL

Insurance

equipment rate8

+1.2 pp vs end 2019

+2.5 pp vs end 2018

26.2%

CA Italia

Insurance

equipment rate8

+3.0 pp vs end 2019

+4.7 pp vs end 2018

18.4%

Constantly renewed organic growth potential

(1) Market share of UCITS in France at end December 2020 (2) End 2020, Crédit Agricole S.A. study – France – market share loans to LCL and RB households (3) End 2019, scope: annual contributions for temporary insurance for death + funeral coverage

+ long-term care (4) End 2019, annual contributions collected by CAA originated by CRCA and LCL (total Group market share of 25% including 9% insured by CNP) (5) End 2020, scope: Prédica, outstandings (6) End 2019, Pacifica & La Médicale de France

Property & Casualty business, annual contributions. Market size: Argus de l’Assurance (7) Internal sources (8) Car, home, health, legal, all mobile phones or personal accident insurance * Regional banks

4. MEDIUM TERM PLAN 2022

Page 21: Crédit Agricole Assurances

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September 2021Crédit Agricole Assurances

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5

SOLVENCY & CAPITAL MANAGEMENT

Page 22: Crédit Agricole Assurances

A strong solvency ratio under Solvency II

Solvency ratio at a high level

A steadily high Solvency II prudential ratio of 243% at 30th June 2021, showing the solidity and the resilience of Crédit Agricole Assurances

Protection against an interest rate increase: policy of reserve constitution, high level of unrealised gains

Inclusion of the eligible policyholder participation reserve (PPE) in surplus funds

September 2021Crédit Agricole Assurances

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5. SOLVENCY & CAPITAL MANAGEMENT

Group coverage ratio Key sensitivities

243% Solvency II ratio

at 30th June 2021 226%

239%

234%

218%

263%

243%

Stress Spreads Govies +75bp

Stress Spreads Corporate +75bp

Stress Equity Level -25%

Stress IR Down 50

Stress IR Up 50

June-21

Page 23: Crédit Agricole Assurances

CAA Solvency Capital Requirement (SCR) and Capital structure at end-June 2021

Use of the Standard formula

No transitional measures applied

Inclusion of the eligible policyholder participation reserve (PPE) in surplus funds

Unrestricted and restricted T1 cover 205% of SCR ; Tier 2 cover 38% of the SCR

Group’s subordinated debt valued at €7,563 million under Solvency II, of which €2,542 million held by Crédit Agricole Group

September 2021Crédit Agricole Assurances

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5. SOLVENCY & CAPITAL MANAGEMENT

Breakdown of the Solvency Capital Requirement1 Eligible own funds (€bn)

64%2%

14%

7%

5%

8%

Market risk

Counterparty default risk

Life underwriting risk

Non-life underwriting risk

Health underwriting risk

Operational risk

€14.0bn

1 Solvency Capital Requirements (SCR) breakdown presented before diversification and after loss absorbing capacity by technical provisions and including operational risk

SCR14.0

Unrestricted Tier 1

26.7

Surplus19.9

Restricted Tier 11.9

Tier 25.3

8,9

7,1

10,7

Reconciliation

reserve

Ordinary share

capital & share

premium

associated

Surplus funds

33.9

Page 24: Crédit Agricole Assurances

Maturities and call dates of subordinated debts1

September 2021Crédit Agricole Assurances

24

2021 2022 2023 2024 2025 2026 2027 2028 2029 2030

Tier 1 - external Tier 2 - external

Tier 1 - intra-group Tier 2 - intra-group

730m PNC10

148m20NC10

182m2

107m 3

PNC10

750m PNC11

1000m PNC10

750m 10YB

1000m 30NC10

1000m 32NC12

550m 10YB

1 Maturity date for bullet issues and first call date for callable issues; 2 of which €168m of 20NC10 debt and €14m of 10Y debt; 3 2025 corresponds to the end of the grandfathering clause for the PNC10 €107m debt.

NB : The indication of the first call date is not an indication of the issuer’s intention to call or not to call the instruments

5. SOLVENCY & CAPITAL MANAGEMENT

1000m 10YB

Page 25: Crédit Agricole Assurances

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September 2021Crédit Agricole Assurances

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6

DISCIPLINED RISK MANAGEMENT

Page 26: Crédit Agricole Assurances

Low structural exposure of CAA to minimum guaranteed rates

Average investment portfolio return of 2.13%* in 2020,

materially above the average guaranteed rate

Ability to adjust the profit-sharing rate to reflect a decrease

in the average investment return over time : 1.28%*** at end-

2020

One of the lowest average guaranteed rate of the market:

0.20% at end-2020

No minimum guaranteed rate (beyond one year) in life

insurance since 2000

September 2021Crédit Agricole Assurances

26

6. DISCIPLINED RISK MANAGEMENT

CAA minimum average guaranteed rate Return of assets and policyholders’ yields

0.38%0.36%

0.35%

0.32%

0.28%0.27%

0.20%

2015 2016 2017 2018 2019 2020

TMG TMG - new calculation method

3.40%

2.13%

3.5%

2.1%

2.91%

1.28%

2012 2013 2014 2015 2016 2017 2018 2019 2020

Average portfolio yield*

Market average portfolio yield**

Market average crediting rate**

* CAA scope ** Source: ACPR *** Predica scope

1 Rate calculated with a new calculation method. That takes into account the contractual guarantees

gross of fees, following the launch of new products since 2017 which applies negative guarantees for

customers.

1

Page 27: Crédit Agricole Assurances

Ability to adapt to the shift of the yield curve

Ability to increase the yield paid to policyholders

in case of rate increases:

Deliberate policy of reserves constitution via the

policyholder participation reserve (“PPE”) which reached

€12.2bn at end of June 2021 (5.9% of Euro contracts in

outstandings)

Part of the bond portfolio covered by CAPS

Strong customer loyalty (Surrender rate of 3.2% at end-

20202)

Dynamic management of the investment portfolio

Flexibility offered by a high level of unrealised gains

(€30.4bn at end of June 2021)

Ability to regulate euro-denominated products' inflows

and to assist the Group's clients in the diversification

of their savings

Ability to enhance the development of products less

sensitive to the low interest rate environment such as

protection, health, group insurance and creditor products

September 2021Crédit Agricole Assurances

27

Evolution of profit-sharing reserve1 (€bn)

6. DISCIPLINED RISK MANAGEMENT

2.1 3.0 5.4 7.29.0 9.8 10.8 11.6 12.2

1.2%1.6%

2.8%3.6%

4.5% 4.8% 5.2%5.6% 5.9%

2013 2014 2015 2016 2017 2018 2019 2020 June2021

Profit sharing reserve Share of Euro outstandings

1 ”Life France” Scope 2 Predica Scope

Page 28: Crédit Agricole Assurances

A prudent and diversified assets allocation with strong focus on Economic, Social & Environment

September 2021Crédit Agricole Assurances

28

6. DISCIPLINED RISK MANAGEMENT

Breakdown of investments by asset class (excl. Unit-linked accounts)1

Total of investments at end-2020: €344.8bn (excl. UL accounts)Bond portfolio by rating

1 Scope: life insurance companies of CAA; 2 Société civile immobilière: non-trading real estate investment company; 3 A power plant has an average power of 1.3 GW; 4 “Prêts participatifs Relance”

2.8% 3.4% 4.0% 4.5%7% 7% 6% 7%7% 8% 7% 8%

83% 81% 82% 80%

0.2% 0.3% 0.3% 1.2%

MarketValue Dec.

18

MarketValue Dec.

19

MarketValue Dec.

20

MarketValue Jun.

21

Short term investments

Interest rate products (bonds, etc…)

Real estate (buildings,shares, shares in SCIs²)

Equity

Other (private equity, convertible bonds, etc…)

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

AAA AA A BBB BB ou < BB NR

2020

2019

Leading contributor among

insurers with €2.25bnRecovery Participating

Loans4

€6.3bnof green bonds

Financing of more than 8 GW of production capacity in

renewable energies, the

equivalent of 6 nuclear power

plants3

Number 1institutional investor in France in renewable

energies

Page 29: Crédit Agricole Assurances

Diversification of issuers and geographic areas

September 2021Crédit Agricole Assurances

29

Breakdown of investments by

geographical area at end-20201

Breakdown of investments by economic

sector at end-20201

Gross exposure to sovereign debt:

€77.3bn at end-20202

64%

20%

5%7%

4%

France

Euro Zone

Europe nonEuro Zone

Americas

Other

23%

33%

24%

8%

11%1%

Financial andSecurization

Government

Corporates

Real Estate

Agencies

Other

70%

12%

3%5%

5%5% France

Italy

Austria

Belgium

Spain

Other countries

1 Scope: CAA Group AuM owned directly excluding Mudum Seguros (ex GNB Seguros) and CA Assicurazioni as well as derivatives,repurchase agreements, intragroup loans.2 Exposure to sovereign debt is presented as net of impairment, before hedging, and corresponds to an exposure before application of sharing mechanisms between insurer and policyholder specific to life insurance.

6. DISCIPLINED RISK MANAGEMENT

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CHAPTER

September 2021Crédit Agricole Assurances

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7

CONTEMPLATED TRANSACTION

Page 31: Crédit Agricole Assurances

Summary Terms of the Offering (Indicative, Non Binding)

September 2021Crédit Agricole Assurances

31

7. CONTEMPLATED TRANSACTION

Issuer Crédit Agricole Assurances S.A.

Issuer Rating A- / Stable outlook (S&P)

Notes EUR [●] Subordinated Tier 2 notes

Expected Issue Rating BBB (S&P)

Scheduled Maturity

Date

[●] 2031 Redemption subject to Relevant Supervisory Authority approval and other Conditions to Redemption and Purchase (no Regulatory Deficiency or Insolvent Insurance Affiliate Winding-up,

subject to regulatory waiver in certain conditions)

First Call Date - At anytime from the date falling 6 months prior to the Scheduled Maturity Date

Status

- Subordinated to all direct, unconditional, unsecured and unsubordinated obligations of the Issuer

- Subordinated to subordinated obligations of the Issuer that rank or are expressed by their terms to rank in priority to other subordinated obligations of the Issuer (including the Notes)

- Pari passu without any preference among themselves and with all other subordinated obligations of the Issuer, save for those preferred by mandatory provisions of law and those that rank or

are expressed by their terms to rank junior to the Notes

- In priority to any prêts participatifs granted to the Issuer, any titres participatifs issued by the Issuer, any deeply subordinated notes issued by the Issuer, and any class of share capital, whether

represented by ordinary shares or preference shares (actions de préférence) issued by the Issuer

Interest - Each Note bears interest at the Rate of Interest from (and including) the Issue Date and interest shall be payable annually in arrear on [●] in each year (each an “Interest Payment Date”)

Mandatory Interest

Deferral

- Interest will be mandatorily deferred in case of Regulatory Deficiency (each such date, a “Mandatory Interest Deferral Date”), subject to regulatory waiver

- Deferred interest payments will constitute Arrears of Interest which are cumulative. Arrears of Interest will not bear interest

Regulatory Deficiency

- (i) The own funds regulatory capital of the Group is not sufficient to cover its capital requirements (incl. SCR or MCR), or (ii) the Relevant Supervisory Authority has notified the Issuer that it has

determined, in view of the financial condition of the Issuer and/or the Group, that in accordance with the then Applicable Supervisory Regulations at such time, the Issuer must take specified

action in relation to payments under the Notes

Arrears of Interest

- Arrears of Interest may be paid at any time (in whole or in part) and must be paid (in whole) on the earliest of (i) redemption of the Notes, (ii) winding-up of the Issuer, or (iii) the next Interest

Payment Date whereby a discretionary dividend did occur in any forms on any ordinary or preference shares in the preceding 12 months (provided that the Interest Payment Date is not a

Mandatory Interest Deferral Date)

Special Event

Redemption

- In case of a Capital Disqualification Event, a Gross-Up Event, a Tax Deductibility Event (each a “Special Event”) . All redemptions are subject to Relevant Supervisory Authority approval and

Conditions to Redemption (no Regulatory Deficiency or Insolvent Insurance Affiliate Winding-up, subject to regulatory waiver in certain conditions)

Denomination - EUR 100k + 100k

Governing Law/Docs - French Law / Prospectus dated [●]

Form / Listing - Dematerialised bearer / Euronext Paris

Page 32: Crédit Agricole Assurances

Structural comparisonContemplated transaction

September 2021Crédit Agricole Assurances

Issue Date 28 September 2021 7 July 2020 24 June 2021 31 March 2021 10 September 2020

First Call Date (FCD)At anytime from 6 April 2031 to

the maturity dateNA

At anytime from 30 December 2031

to the maturity date

At anytime 6 months prior to 7 Oct.

2031 or any interest payment date

thereafter

At anytime 6 months prior to 17

March 2031 or any interest payment

date thereafter

Maturity Dated 6 October 2031 17 July 2030 30 June 2032 7 October 2041 17 September 2051

Issuer Rating (S&P/ F / M) A- / - / - A- / - / - - / A- / Baa1 A / A / A2 AA- / AA- / Aa3

Issue Rating (S&P/ F / M) BBB exp. / - / - BBB / - / - - /BBB-/Baa3 BBB+ / BBB/ A3 A/ -/ -

CCY/ Size EUR Benchmark EUR 1,000m EUR 500m EUR 1,000m EUR 300m

Interest [●] 2.000% 1.713% 1.375% until First Reset Date, 3m€

+2.4% 1.375% until First Reset Date, 10yr

MS +2.6%

Step-up NA NA NA Yes Yes

Optional Deferral NA NA NA

Anytime (other than a Compulsory

Interest payment Date or Mandatory

Interest Deferral Date)

Anytime (other than a Compulsory Interest payment Date or

Mandatory Interest Deferral Date)

Mandatory Deferral Upon Regulatory Deficiency Upon Regulatory Deficiency Upon Regulatory Deficiency Upon Regulatory Deficiency Upon Regulatory Deficiency

Arrears of Interest Cash Cumulative Cash Cumulative Cash Cumulative Cash Cumulative Cash Cumulative

Early RedemptionPar upon Gross-up, Tax

Deductibility, Capital

Disqualification Event

Par upon Gross-up, Tax Deductibility,

Capital Disqualification Event

Par upon Tax, Regulatory, Rating

Event, Clean-up Call

Par upon Tax, Regulatory,

Accounting, Rating Methology Event,

Clean-up Call

Par upon Tax, Regulatory,

Accounting, Rating Methology

Event, Clean-up Call

Exchange and Variation No No Yes Yes Yes

Denomination / Increment 100k / 100k 100k / 100k 100k / 1k 100k / 1k 100k / 100k

Governing Law French Law French Law Italian Law English Law French Law

Listing Euronext Paris Euronext Paris Luxembourg Luxembourg Luxembourg32

7. CONTEMPLATED TRANSACTION

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September 2021Crédit Agricole Assurances

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8

APPENDICES

Page 34: Crédit Agricole Assurances

As a responsible insurer, investor and company CAA has been mobilised during the crisis

COVID-19: strong support to our customers and the European economy

September 2021Crédit Agricole Assurances

3434

€38m Contribution to the solidarity fund

€40m Exceptional contribution of supplementary health insurers

€350m Economic recovery and health sector investments

€2.25bn2 Contribution Recovery Participating Loans

€239m Mutual and voluntary support scheme

24/7 remote medical consultation service available

98% CAA’s employees working remotely during lockdowns

Voluntary support scheme for all policyholders holding a comprehensive professional insurance withbusiness interruption coverage1 (~80k professionals);

Remote medical consultation service for all 420k beneficiaries of CAA’ top-up health insurance policies.

Employee support schemes: support and counselling services (social worker, free remote medicalconsultation);

Maintenance of our employees’ salaries and avoidance of short-time working measures, in line with CAGroup.

Solidarity fund set up by the public authorities to support very small enterprises;

Supplementary health insurers contribution to the expenses related to the management of the epidemic;

Economic recovery and health sector investments: €200m as part of the support programme for SMEsset up by French insurers and €150m to a SMEs equity investments fund.

Recovery Participating Loans “Prêts participatifs Relance”: CAA, leading contributor among insurers

€5m contribution to Crédit Agricole’s dedicated fund for financing basic necessities for the seniors;

Simplification and digitalisation of a number of processes to facilitate business continuity and continuityof services for its customers, while maintaining the same quality of services (remote management of P&Cclaims);

Accelerated claims processing for insured customers.

Simplification and digitalisation

Customers

Employees

Operations

Society

1 Crédit Agricole Assurances’ business interruption coverage specifically excludes the risk of a pandemic. 2 Out of an initial fundraising of €11bn announced by the French Insurance Federation

8. APPENDICES

Page 35: Crédit Agricole Assurances

Group organization

September 2021Crédit Agricole Assurances

35 Au 31/12/2020

Geographical breakdown

of Institutional investors

The top 50 institutional investors hold 20% of the

capital, i.e. 52% of the free float

Crédit Agricole

Group includes

Crédit Agricole

S.A.,

all of the

Regional Banks

and

Local Banks

and their

subsidiaries.

6%

10%21%

25% 37%

1%

France

Continental Europe

North America Asia

UK & Ireland

Rest of the World

Nearly

30,000

administrators

8. APPENDICES

Page 36: Crédit Agricole Assurances

Group key figures

September 2021Crédit Agricole Assurances

36

4 Source: Bloomberg6 Scope: Crédit Agricole Group

Retail bank in the

European Union

Based on number of retail banking

customers

Asset Manager in

Europe

Source: IPE Top 500 Asset Managers

published in June 2020 based on

assets under management as at

31/12/2019

Insurer in France

Source: L’Argus de l’assurance,

December 2020, ranking based on 2019

revenues

Provider of financing

to the French

economy

Internal source: Office of Economic Research

8. APPENDICES

Page 37: Crédit Agricole Assurances

Company overview: Crédit Agricole Group insurance companies

September 2021Crédit Agricole Assurances

37

In France,

– Life insurance and Death & disability

activities, with Predica and Spirica

– Property & casualty insurance activity led by

Pacifica and La Médicale 100%

Simplified consolidated organisational chart (March 2021)

Predica Spirica Pacifica CACI

CALIEMudumSeguros

(ex GNB Seguros)

CA Life Greece

CA Life Japan

CA Vita CAAssicurazioni

100%100% 100% 100% 100%

100% 94%

CAAS 2%

98%

La Médicale

100% 100% 100% 100%

In Europe,

– CACI develops creditor insurance worldwide

– Presence in several countries, mainly Italy and

Luxembourg

Space LuxSpace

HoldingAssur&me

100%100%

CACI Non Life

CACI ReCACI Life

100%

62%

100% 38% 100%

8. APPENDICES

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CHAPTER

September 2021Crédit Agricole Assurances

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9

CAA CONTACT LIST

Page 39: Crédit Agricole Assurances

CAA Contact list

CAA Investors Relations [email protected]

Clément Michaud [email protected]

Chief Financial Officer

Marie-Isabelle Marcellesi +33 1 57 72 12 84

Head of Corporate Finance & Financial

Communication

[email protected]

9. CAA CONTACT LIST

Crédit Agricole Assurances September 2021

39