CA HL SFH

Investor Report

December 2012
ASSETS

Overview data
Value of loans granted as guarantee
31/12/2012
as of :
(Based on remaining balance as of : 30/11/2012)

Total Outstanding Current

38 451 447 081
Balance
Number of loans 962 225

Number of borrowers 681 508

Average Loan Balance 39 961

Seasoning in months 76

Remaining terms in months 162

% of variable mortgages 14,22%

Weighted Average Current LTV 62,39%

Weighted Average Current
55,66%
indexed LTV

Page 2 Investor report December 2012

ASSETS

Unindexed LTV ranges distribution Current arrears ranges distribution

Unindexed LTV Total Loan Balance Number Number of months in Total Loan Number of
ranges in millions of Loans arrears Balance in Loans
0-40% 7 054 361 301 0 38 451 447 081 962 225
>40%-50% 4 612 116 972 >0
>50%-60% 5 474 110 935 TOTAL 38 451 447 081 962 225
>60%-70% 5 200 97 096
>70%-80% 5 572 93 500
>80%-85% 2 821 51 780
>85%-90% 3 064 54 045
>90%-95% 3 103 50 796
>95%-100% 1 550 25 800
>100%-105% - -
>105% - -
TOTAL 38 451 962 225

Page 3 Investor report December 2012

ASSETS

Seasoning

Unindexed LTV ranges

Total Loan
Seasoning LTV:>40%- LTV:>50%- LTV:>60%- LTV:>70%- LTV:>80%- LTV:>85%- LTV:>90%- LTV:>95%-
Balance in LTV: 0-40%
(in months) 50% 60% 70% 80% 85% 90% 95% 100%
millions

< 12 983 99 87 95 78 122 93 114 138 157

12-<24 6 081 694 613 800 837 900 486 554 730 467
24-<36 6 050 579 519 708 815 903 516 721 964 325
36-<60 4 742 701 503 569 549 621 391 531 583 295
60 20 595 4 982 2 890 3 302 2 922 3 026 1 335 1 144 689 305
TOTAL 38 451 7 054 4 612 5 474 5 200 5 572 2 821 3 064 3 103 1 550

Loan purpose

Unindexed LTV ranges

Total Loan Balance LTV: 0- LTV:>40%- LTV:>50%- LTV:>60%- LTV:>70%- LTV:>80%- LTV:>85%- LTV:>90%- LTV:>95%-
Loan purpose
in millions 40% 50% 60% 70% 80% 85% 90% 95% 100%
Purchase 24 617 4 512 3 114 3 683 3 512 3 545 1 673 1 826 1 881 871
Renovation 3 962 592 386 448 464 562 334 423 478 274
Construction 9 873 1 949 1 112 1 343 1 224 1 465 814 816 744 405
Other
TOTAL 38 451 7 054 4 612 5 474 5 200 5 572 2 821 3 064 3 103 1 550

Page 4 Investor report December 2012

 ASSETS

Occupancy type

Unindexed LTV ranges

Total Loan Balance LTV:>40%- LTV:>50%- LTV:>60%- LTV:>70%- LTV:>80%- LTV:>85%- LTV:>90%- LTV:>95%-
Occupancy type LTV: 0-40%
in millions 50% 60% 70% 80% 85% 90% 95% 100%
Owner-occupied 31 801 5 981 3 809 4 494 4 374 4 494 2 241 2 475 2 544 1 389
Buy to let 5 481 791 620 776 676 940 514 526 495 142
Vacation/ second home 1 169 282 183 204 149 138 66 64 64 19
Other
TOTAL 38 451 7 054 4 612 5 474 5 200 5 572 2 821 3 064 3 103 1 550

Borrower type

Unindexed LTV ranges

Total Loan Balance LTV: 0- LTV:>40%- LTV:>50%- LTV:>60%- LTV:>70%- LTV:>80%- LTV:>85%- LTV:>90%- LTV:>95%-
Borrower type
in millions 40% 50% 60% 70% 80% 85% 90% 95% 100%
Employed 27 005 4 850 3 174 3 781 3 676 3 941 2 006 2 188 2 251 1 138
Protected life-time employment 4 504 789 525 624 609 661 350 381 377 188
Self-employed 6 937 1 414 913 1 069 915 968 465 496 475 224
Unemployed 0 0 0 0 0 0 0 0 0 0
Other 5 1 1 1 1 1 0 0 0 0
TOTAL 38 451 7 054 4 612 5 474 5 200 5 572 2 821 3 064 3 103 1 550

Page 5 Investor report December 2012

 ASSETS

Regions

Unindexed LTV ranges

Total Loan
LTV:>40%- LTV:>50%- LTV:>60%- LTV:>70%- LTV:>80%- LTV:>85%- LTV:>90%- LTV:>95%-
Regions Balance in LTV: 0-40%
50% 60% 70% 80% 85% 90% 95% 100%
millions
Alsace 598 82 70 88 78 94 50 59 55 22
Aquitaine 2 141 369 247 281 255 325 177 183 203 101
Auvergne 673 139 87 88 70 73 52 63 61 39
Basse-Normandie 875 155 120 122 123 132 62 73 61 27
Bourgogne 870 146 94 110 110 119 66 77 92 56
Bretagne 1 969 337 217 237 254 341 196 183 148 56
Centre 1 522 252 157 198 197 222 120 144 144 88
Champagne-Ardenne 649 111 68 85 99 96 49 48 57 36
Corse 177 25 18 22 22 23 16 18 21 12
Franche-Comt 671 117 87 94 85 101 55 49 52 32
Haute-Normandie 1 054 196 134 139 135 152 80 98 90 31
Ile-de-France 7 442 1 450 1 049 1 227 1 241 1 105 399 416 421 135
Languedoc-Roussillon 1 624 336 191 231 194 207 112 126 138 89
Limousin 305 59 40 42 33 40 24 28 28 12
Lorraine 749 83 74 85 99 126 72 85 86 40
Midi-Pyrnes 1 826 314 216 270 230 283 141 145 147 79
Nord-Pas-de-Calais 1 794 290 199 241 229 262 129 192 179 73
Outre mer 469 88 54 67 49 88 45 36 27 15
Provence-Alpes-C. d'A. 3 187 606 397 479 439 393 205 235 274 159
Pays de la Loire 2 359 465 243 307 316 325 191 204 198 111
Picardie 1 355 207 138 176 181 217 114 125 133 63
Poitou-Charentes 1 089 185 107 139 130 167 92 105 107 58
Rhne-Alpes 5 050 1 043 605 748 630 681 375 374 381 213
TOTAL 38 451 7 054 4 612 5 474 5 200 5 572 2 821 3 064 3 103 1 550

Page 6 Investor report December 2012

ASSETS

Currency distribution

Currency of loans Total Loan Balance in Number of Loans

EUR 38 451 447 081 962 225
CHF
GBP
Other
TOTAL 38 451 447 081 962 225

Guarantee type distribution

Guarantee type distribution Total Loan Balance in Number of Loans
CAMCA guarantee 4 647 557 528 136 416
Crdit Logement guarantee 9 147 201 022 118 299
Mortgage 19 577 802 058 578 879
Mortgage with state guarantee 5 078 886 473 128 631
TOTAL 38 451 447 081 962 225

Other criterias
Origination : 100% home loans self originated in France by 39 Regional banks and LCL
Key eligibility criteria : No arrears, Current LTV max 100%

Page 7 Investor report December 2012

 ASSET COVER TEST
Date of Asset Cover Test 31/12/2012

Adjusted Aggregate Asset Amount (AAAA)

R
Aggregate Covered Bond Outstanding Principal Amount
(AAAA) = A + B + C + D - (Y + Z)

R Asset Cover Ratio 112,30%

Adjusted Aggregate Asset Amount ( AAAA ) 29 705 320 773
Aggregate Covered Bond Outstanding Principal Amount 26 451 832 642
ASSET COVER TEST RESULT (PASS/FAIL) PASS

A A = min((A1);(A2)) 31 530 186 607

(A1) Aggregate Adjusted Home Loan Outstanding Principal Amount 37 686 986 337

(A2) (i)*(ii) 31 530 186 607

(i) Aggregate Unadjusted Home Loan Outstanding Principal Amount 38 451 447 081
(ii) Asset Percentage 82,00%

B Cash Collateral Account -

C C = min(ASAA;SAL * AAAA) -
Aggregate Substitution Asset Amount (ASAA) -
SAL * AAAA 5 941 064 155
Substitution Asset Limit (SAL) 20%

Substitution Asset Limit level is acceptable TRUE

D Permitted Investments -

Y Payments due under Issuer Hedging Agreement 235 571 280

Z Z = WAM *ACBOPA * CCP 1 589 294 554

WAM (Years) 5,01
Aggregate Covered Bond Outstanding Principal Amount (ACBOPA) 26 451 832 642
Carrying Cost Percentage (CCP) 1,20%

Page 8 Investor report December 2012

 LIABILITIES
Date 31/12/2012

Remaining
Outstanding Principal Outstanding Principal Exchange
Series Code ISIN Currency Issue date Maturity Date Maturity
Amount Amount Rate (**)
(Years)
serie 1 FR0010717785 EUR 1 250 000 000 1 250 000 000 29/01/2009 29/01/2016 3,08
serie 1 (*) FR0010717785 EUR 250 000 000 250 000 000 31/03/2009 29/01/2016 3,08
serie 2 FR0010781047 EUR 1 250 000 000 1 250 000 000 21/07/2009 21/07/2014 1,56
serie 3 FR0010851337 EUR 2 000 000 000 2 000 000 000 29/01/2010 29/01/2013 0,08
serie 5 FR0010875880 EUR 1 250 000 000 1 250 000 000 23/03/2010 23/03/2017 4,23
serie 1 (*) FR0010717785 EUR 150 000 000 150 000 000 02/06/2010 29/01/2016 3,08
serie 6 FR0010913806 EUR 1 000 000 000 1 000 000 000 24/06/2010 24/06/2015 2,48
serie 7 FR0010920900 EUR 1 250 000 000 1 250 000 000 16/07/2010 16/07/2025 12,54
serie 10 CH0116103489 CHF 200 000 000 149 454 491 27/10/2010 27/07/2017 4,57 1,33820
serie 7 (*) FR0010920900 EUR 350 000 000 350 000 000 09/11/2010 16/07/2025 12,54
serie 12 FR0010989087 EUR 1 500 000 000 1 500 000 000 12/01/2011 12/01/2021 8,03
serie 16 FR0010998872 EUR 2 250 000 000 2 250 000 000 28/01/2011 28/01/2014 1,08
serie 13 CH0123094812 CHF 275 000 000 214 676 034 07/02/2011 07/02/2014 1,10 1,28100
serie 17 USF22787AB53 USD 1 500 000 000 1 034 304 430 21/04/2011 21/07/2014 1,56 1,45025
serie 12 (*) FR0010989087 EUR 300 000 000 300 000 000 28/04/2011 12/01/2021 8,03
serie 7 (*) FR0010920900 EUR 250 000 000 250 000 000 28/04/2011 16/07/2025 12,54
serie 19 FR0011060367 EUR 1 500 000 000 1 500 000 000 10/06/2011 14/06/2018 5,45
serie 6 (*) FR0010913806 EUR 200 000 000 200 000 000 14/06/2011 24/06/2015 2,48
serie 17 (*) USF22787AB53 USD 300 000 000 206 860 886 24/06/2011 21/07/2014 1,56 1,45025
serie 7 (*) FR0010920900 EUR 300 000 000 300 000 000 18/07/2011 16/07/2025 12,54
serie 10 (*) CH0116103489 CHF 100 000 000 74 727 246 27/07/2011 27/07/2017 4,57 1,33820
serie 26 FR0011109164 EUR 1 250 000 000 1 250 000 000 09/09/2011 09/09/2016 3,69
serie 12 (*) FR0010989087 EUR 200 000 000 200 000 000 19/10/2011 12/01/2021 8,03
serie 5 (*) FR0010875880 EUR 275 000 000 275 000 000 23/12/2011 23/03/2017 4,23
serie 35 FR0011179852 EUR 1 500 000 000 1 500 000 000 17/01/2012 17/01/2022 9,04
serie 19 (*) FR0011060367 EUR 350 000 000 350 000 000 20/02/2012 14/06/2018 5,45
serie 5 (*) FR0010875880 EUR 150 000 000 150 000 000 20/02/2012 23/03/2017 4,23
serie 41 FR0011230598 EUR 1 500 000 000 1 500 000 000 10/04/2012 10/07/2017 4,53
serie 44 CH0188938841 CHF 200 000 000 166 569 501 30/07/2012 30/07/2018 5,58 1,20070

Private placements

Outstanding Principal Outstanding Principal

Currency
Amount Amount

EUR 3 998 400 000 3 998 400 000

CHF 400 000 000 331 840 053
Total

SUB TOTAL EUR ISSUES 24 273 400 000 24 273 400 000
SUB TOTAL CHF ISSUES 1 175 000 000 CHF 937 267 325
SUB TOTAL USD ISSUES 1 800 000 000 USD 1 241 165 316

TOTAL (ALL ISSUES) 26 451 832 642

(*) : Tap on existing issue

(**) : The FX rates used are based on hedging levels

Page 9 Investor report December 2012