Credit Research 20 March 2014
European Banks
The CoCo Handbook Vol. 3 The CoCo market has continued to grow with seven new CoCos coming to the market since the last publication of the CoCo Handbook in January 2014. In this report, we analyze issuance expectations by bank, discuss coupon risk in AT1 CoCos, update a series of questions and answers aimed at easing the task of differentiating among CoCos, and provide one-page summaries of each outstanding CoCo. More growth to come. We expect the CoCo market to continue growing with more securities to come from both existing and new issuers this year. Among the major banks that have so far remained on the sidelines, Deutsche Bank indicated that it intends to issue €5bn of AT1 by the end of 2015, HSBC is seeking shareholder approval at its AGM in May to issue equity conversion CoCos, and Unicredit will issue the first Italian bank AT1 this year. Overall, we expect banks in our coverage universe to issue another €80bn of CoCos in the coming years. Back-loaded coupon risk in AT1 CoCos. Restrictions on distributions triggered by breaching minimum CET1 ratio levels are an important concern for AT1 coupons, but the risk is back-loaded, in our view. We believe that the risk of potential coupon restrictions is negligible currently, given the very high capital cushions versus CET1 minimums. However, this risk is likely to grow over the next five years as the minimum CET1 buffers are phased in. CoCo Q&A. We update a series of questions and answers on the CoCo market to help navigate the significant variation that exists between structures. For example, which CoCos allow principal to be written back up? Which CoCos do not have regulatory call options? Which banks have large capital buffers above their CoCo trigger ratios? The answers are inside. A one-page profile for each CoCo. The CoCo market increased by 25% in Q1 2014, with all except one of the new issues being Additional Tier 1, and totals €47bn. As a result, there are now 32 issues outstanding. We provide a one-page profile for each of these. FIGURE 1 The European bank CoCo market continues to grow, €mn 50.0 45.0
Senior CoCos
40.0
Tier 2 CoCos
35.0
AT1 CoCos
30.0 25.0 20.0 15.0 10.0 5.0 0.0
PLEASE SEE ANALYST CERTIFICATIONS AND IMPORTANT DISCLOSURES STARTING AFTER PAGE 45
1Q14
4Q13
3Q13
2Q13
1Q13
4Q12
3Q12
2Q12
1Q12
4Q11
3Q11
2Q11
1Q11
4Q10
3Q10
2Q10
1Q10
4Q09
Source: Barclays Research
European Banks Jonathan Glionna +44 (0)20 3555 1992
[email protected] Christy Hajiloizou +44 (0)20 3134 2992
[email protected] Yulia di Mambro +44 (0)20 7773 4295
[email protected] Credit Strategy Dominik Winnicki +44 (0)20 3134 9716
[email protected] Shobhit Gupta +1 212 412 2056
[email protected] www.barclays.com
Barclays | European Banks
Overview Since the most recent publication of the CoCo Handbook in January 2014, the CoCo market has continued to grow, with six Additional Tier 1 (AT1) and one Tier 2 CoCo issued. More notably, new issuers continued to access the market including: Nationwide with the first sterling-denominated AT1 CoCo; Santander with a low-trigger equity-conversion AT1; Danske Bank with a high-trigger temporary principal write-down structure; and KBC with a low-trigger temporary principal write-down structure. These securities, and the 28 other CoCos issued to date, are summarised in Figure 2. A number of major European banks have remained on the sidelines such as HSBC, Deutsche Bank and BNP Paribas. In this report, we discuss the likely further issuance among the major European banks that we cover as well as coupon cancellation risk. We also update the list of questions and answers we introduced in the previous publication of the Handbook and one-page profiles for each CoCo. FIGURE 2 European bank CoCos outstanding Issue date Security Dec-09
LLOYDS ECNs
Mar-10
RABOBK 6 7/8% 03/19/20
Jan-11 Feb-11
Ranking
Ccy
Size, mn
Call date
Trigger
Loss-absorption mechanism
Profile page
T2
Various
€9,951
-
5.0%
Equity conversion
33
Senior
EUR
1,250
-
7.0%
Principal writedown (partial)
36
RABOBK 8 3/8% Perp
T1
USD
2,000
Jul-16
8.0%
Principal writedown (progressive)
37
CS 7 7/8% 02/24/41
T2
USD
2,000
Aug-16
7.0%
Equity conversion
23
Nov-11
RABOBK 8.4% Perp
T1
USD
2,000
Jun-17
8.0%
Principal writedown (progressive)
38
Feb-12
UBS 7 ¼% 02/22/22
T2
USD
2,000
Feb-17
5.0%
Principal writedown (full)
42
Mar-12
CS 7 1/8% 03/22/22
T2
CHF
750
Mar-17
7.0%
Equity conversion
24
Jul-12
CS 9 ½% Perp
T1
USD
1,725
Oct-18
7.0%
Equity conversion
25
Aug-12
UBS 7 5/8% 08/17/22
T2
USD
2,000
-
5.0%
Principal writedown (full)
43
Nov-12
BACR 7 5/8% 11/21/22
T2
USD
3,000
-
7.0%
Principal writedown (full)
16
Jan-13
BKIR 10% 07/30/16
T2
EUR
1,000
-
Jan-13
KBC 8% 01/25/23
T2
USD
1,000
Jan-18
7.0%
Principal writedown (full)
31
Apr-13
BACR 7 ¾% 04/10/23
T2
USD
1,000
Apr-18
7.0%
Principal writedown (full)
17
May-13
UBS 4 ¾% 05/22/23
T2
USD
1,500
May-18
5.0%
Principal writedown (full)
44
May-13
BBVASM 9% Perp
T1
USD
1,500
May-18
7.0%
Equity Conversion
20
Aug-13
CS 6.5% 08/08/23
T2
USD
2,500
-
5.0%
Principal writedown (full)
26
Sep-13
CS 6% Perp
T1
CHF
290
Sep-18
5.125% Principal writedown (full)
27
Sep-13
SOCGEN 8 ¼% Perp
T1
USD
1,250
Nov-18
5.125% Temporary writedown/writeup
40
Sep-13
CS 5 ¾% 09/18/25
T2
EUR
1,250
Sep-20
5.0%
Principal writedown (full)
28
Sep-13
ACAFP 8 1/8% 09/19/33
T2
USD
1,000
Sep-18
7.0%
Principal writedown (full)
14
Oct-13
POPSM 11 ½% Perp
T1
EUR
500
Oct-18
Nov-13
BACR 8.25% Perp
T1
USD
2,000
Dec-18
Dec-13
BACR 8% Perp
T1
EUR
1,000
Dec-20
Dec-13
CS 7 ½% Perp
T1
USD
2,250
Dec-23
Dec-13
SOCGEN 7 7/8% Perp
T1
USD
1,750
Jan-14
ACAFP 7 7/8% Perp
T1
USD
1,750
Feb-14
UBS 4 ¾% 2026
T2
EUR
2,000
Feb-21
Feb-14
BBVASM 7% Perp
T1
EUR
1,500
Feb-19
Mar-14
NWIDE 6 7/8% Perp
T1
GBP
1,000
Jun-19
Mar-14
SANTAN 6 ¼% Perp
T1
EUR
1,500
Mar-19
Mar-14
DANBNK 5 ¾% Perp
T1
EUR
750
Apr-20
Mar-14
KBCBB 5 5/8% Perp
T1
EUR
1,400
Mar-19
8.125% Equity conversion
5.125% Equity conversion
22
35
7.0%
Equity conversion
18
7.0%
Equity conversion
19
5.125% Principal writedown (full)
29
Dec-23
5.125% Temporary writedown/writeup
41
Jan-24
5.125&7% Temporary writedown/writeup
15
5.0%
Principal writedown (full)
5.125% Equity conversion 7.0%
45 21
CCDS conversion
34
5.125% Equity conversion
39
7.0%
Temporary writedown/writeup
30
5.125% Temporary writedown/writeup
32
Source: Barclays Research
20 March 2014
2
Barclays | European Banks
More growth to come The CoCo market increased by 25% in Q1 2014, with all except one of the new issues being Additional Tier 1, and now totals €47bn. As a result, there are currently 17 AT1 instruments from 11 issuers, 14 Tier 2 CoCos from seven issuers and one senior CoCo from Rabobank currently outstanding. Despite this significant growth, the CoCo market is still showing few signs of standardisation, with the main differing structural features being the capital trigger and mechanism of loss absorption. However, there are clear structural preferences for AT1 securities emerging across European countries with issuers from the same country generally producing similarly-structured instruments. The structures are influenced by regulatory requirements as well as tax treatment. Figure 3 shows that out of the six European countries that have AT1 issuers to date, three adopted the principal write-down loss absorption mechanism and two equity conversion, with Switzerland having both equity conversion and principal write-down structures. FIGURE 3 Existing Additional Tier 1 CoCos loss absorption structure
Equity conversion AT1 Principal write-down AT1
Source: Barclays Research
We expect the CoCo market to continue growing, with the majority of new CoCo issuance likely to be in the form of AT1 since CRD IV does not require Tier 2 instruments to have trigger-based loss absorbency, and only Swiss banks get regulatory credit for issuing Tier 2 CoCos. Furthermore, with only Lloyds and KBC so far filling the whole 1.5% of RWAs CRD IV requirement for AT1 capital, we expect both repeat issuers and new entrants to come to the market this year. Figure 4 summarises the commentary we have heard on AT1 issuance from the European banks that we cover, with banks generally indicating that they intend to meet the 1.5% of RWA requirement through issuing new-style AT1 as old-style instruments gradually lose capital credit. With equity conversion instruments generally requiring shareholder approval, we believe that AGM resolutions are another good source for understanding future issuance plans, including the likely loss-absorption structure.
20 March 2014
3
Barclays | European Banks Among the major banks that have so far remained on the sidelines, Deutsche Bank indicated that it intends to issue €5bn of AT1 by the end of 2015 and is likely to replace all €11bn of existing old-style Tier 1 capital over time to support its leverage ratio. So far, the main impediment to issuance for German banks has been lack of regulatory clarity, with tax treatment of instruments an additional uncertainty. However, Deutsche Bank continues to expect to start issuance this year with a principal write-down structure more likely than equity conversion. HSBC indicated that it intends to meet the regulatory AT1 and Tier 2 minimum requirements, as grandfathered instruments lose capital credit, and will ask for shareholder approval to issue equity-conversion instruments at the AGM on 23 May. Just under €3bn of HSBC’s old style Tier 1 securities callable in the next 20 months have interest step-ups and, hence, would lose capital credit on the first call date. Furthermore, HSBC has just under €7bn of retail preference shares with coupons in excess of 6%, which can be called in 2014 and 2015 (Figure 5). We, therefore, believe HSBC is likely to come to the market and start replacing these as soon as it gets shareholder approval. Standard Chartered is also seeking shareholder approval to issue equity conversion CoCos at this year’s AGM, but currently has no imminent plans to access the market and is unlikely to issue before the fourth quarter this year. Among other banks that have yet to issue, Unicredit’s CEO recently told reporters that the bank intends to issue AT1 instruments this year, which would make it the first among Italian banks; given the lack of shareholder approval to issue equity conversion instruments, we believe this is likely to have a principal write-down structure. BNP Paribas and Commerzbank are not under pressure to imminently issue CoCos and have not explicitly talked about it, but they are likely to fill the regulatory requirement over time, in our opinion. RBS is another bank with a high proportion of its existing Tier 1 capital having high coupons and being callable this year. However, we believe the bank is likely to refrain from issuing CoCos until its fully loaded Basel 3 CET1 ratio improves from the last reported 8.6%. Spanish and French banks, which have already accessed the market, are likely to continue issuing AT1 securities, in our opinion. For example, Santander and BBVA need another €6bn and €2.5bn of AT1 to fill the 1.5% of RWAs requirement and already have shareholder approval to issue up to €10bn and €12bn of equity conversion instruments, respectively. Swiss banks, on the other hand, are likely to issue just under €6bn of low-trigger Tier 2 CoCos in order to comply with their 2019 Swiss progressive capital requirements. Figure 6 summarises our estimates for further CoCo issuance for the European banks that we cover, excluding Lloyds, based on either the 1.5% of RWAs requirement, leverage ratio needs, or Swiss capital rules. Overall, we expect these banks to issue just under €80bn of CoCos in the coming years. FIGURE 4 European bank commentary on Additional Tier 1 capital
20 March 2014
Bank
Quote
BBVA
First of all, we continue building the capital blocks towards the adequate endowment of a total capital ratio. As we have publicly mentioned, we plan to do this capital management smoothly, profiting from a sound starting point and capital base stability. Specifically, the endowment of the target 1.5% of additional Tier 1 bucket allows financial institution to achieve an efficient management of capital as also add value to the already strong BBVA capital base.
BNP Paribas
[..] we have a clear Basel III pattern at the moment with the 1.5% of [old style] hybrid Tier 1, 2% of Tier 2 and so we have based our plan on the assumption that we would stay there [...]
Commerzbank
At the end of 2013, our leverage ratio under CRD4 fully phased-in, stood at 3.3%. Under phased-in, this ratio increased to 4.3% both clearly exceeding the current proposed minimum. Please keep in mind that our current calculations are cautious and do not incorporate any possible issuance of eligible additional Tier 1 or other measures [...]
4
Barclays | European Banks Bank
Quote
Credit Agricole
Hybrid debt, of course, we will contemplate regarding the situations in market to ensure more of additional Tier 1 since the first one is a big success.
Credit Suisse
We completed the exchange of CHF 3.8 billion of hybrid tier 1 notes into high-trigger capital instruments, successfully issued CHF 6 billion of low-trigger capital notes and are now just approximately CHF 3 billion away from meeting the Swiss 2019 progressive capital requirement.
Deutsche Bank
We want to issue €5 billion by the end of 2015. And again, I can only say from my seat, we definitely expect to be put in a position that we can start issuing in 2014, so our willingness is definitely there.
HSBC
Under CRD IV, banks should maintain a Pillar 1 tier 1 buffer of 1.5% of RWAs and a tier 2 buffer of 2.0% of RWAs. Going forward, as the grandfathering provisions fall away, we intend to meet these buffers in an economic manner by issuing nonequity capital as necessary.
RBS
We expect further Tier 2 issuance of this $2 billion left to do. We're still weighing up additional Tier 1. We're not in any rush to do any so this year
Santander
[..] we should issue around 3.5%, 1.5%, additional Tier 1 and 2% Tier 2 in the next five years, let's say.
Regarding the Tier 1 ratio, the Tier 1 ratio, after two hybrid debt issuance stand at Societe Generale 11.8% [including gradfathered Tier 1]. In terms of total capital, we are now at 13.4% and the target as you know to be in the range between 14% and 15%.
UBS
Impact of planned future actions on the leverage ratio: low-trigger loss absorbing capital issuance (2014-2019) 40-45bps (total CHF 9 billion of low-trigger lossabsorbing capital based on 17.5% fully applied total capital requirement expectation); high-trigger loss-absorbing capital issuance (2014-2019) 20-25bps (based on guidance of total 150bps of high-trigger loss-absorbing capital ratio from deferred compensation programs over the next 4 years and our RWA target of €15bn?
9 -
9
-
-
-
-
9 9
-
9 -
-
-
-
-
9
9 -
-
-
-
-
RABOBK 8.4% Perp UBS 7 ¼% 2022
9 -
9 9
CS 7 1/8% 2022
9
-
-
9 -
-
-
9 9
CS 9 ½% Perp UBS 7 5/8% 2022
9 -
-
-
9
-
-
9 9
-
9 -
-
-
9
-
-
-
9 -
KBC 8% 2023 BACR 7 ¾% 2023
9 -
-
-
9
UBS 4 ¾% 2023
-
-
-
9 9
-
-
9
BBVASM 9% Perp CS 6.5% 2023
9 -
-
-
9
-
-
9 9
CS 6% Perp SOCGEN 8 ¼% Perp
-
9 -
-
-
9
CS 5 ¾% 2025 ACAFP 8 1/8% 2033
9
-
-
-
9
BACR 7 5/8% 2022 BKIR 10% 2016
-
-
-
9 -
9 -
POPSM 11 ½% Perp
9
-
-
9 -
BACR 8.25% Perp BACR 8% Perp
9 9
-
-
-
CS 7 ½% Perp SOCGEN 7 7/8% Perp
-
9 -
-
-
ACAFP 7 7/8% Perp UBS 4 3/4% 2026
-
-
9 -
9 9 9 -
9
-
-
-
9 9 -
9 9 -
BBVASM 9% Perp
9
-
-
-
-
-
9 9
NWIDE 6 7/8 Perp DANBNK 5 3/4 Perp
9 -
9
9
-
9 -
9
-
KBCBB 5 5/8 Perp
-
9
9
-
-
9
-
9 9
Source: Barclays Research
20 March 2014
12
Barclays | European Banks
A one-pager for every CoCo
20 March 2014
13
Barclays | European Banks FIGURE 13 ACAFP 8.125% 2033 (EUR)
Bond
ACAFP 8 1/8 09/19/33
ISIN
USF22797QT87
Issuer
CREDIT AGRICOLE SA
Coupon
8.125%
Issue Date
19/09/2013
Amount Issued (mn)
USD 1,000
Maturity
19/09/2033
Call date
19-Sep-18 and every 6 months thereafter
Back-end (bp)
5y USD mid-swap + 628.3bp
Ranking
Tier 2 debt
Optional coupon deferral
Coupons are non-deferrable
Mandatory coupon deferral
Not applicable
Payment of deferred coupons
Not applicable
Dividend stopper
Not applicable
Dividend pusher
Not applicable
Contingent trigger
Before the implementation date of CRD IV, the core Tier 1 capital ratio of the Credit Agricole Group, and after the implementation date of CRD IV, the CET1 ratio of the Credit Agricole Group falls below 7.0%.
Loss absorption mechanism
100% principal writedown
PoNV
In risk factors only
Regulatory call
At par plus accrued interest if the notes are fully excluded from the Tier 2 capital of the issuer
Substitution/variation
Not applicable
Call notice period
No less than 30 nor more than 45 calendar days prior to the call date
Law
Law of the State of New York, with the exception of clauses relating to subordination which are governed by French law
Special features
Rating Methodology Event. If there is a change in the methodology of S&P as a result of which the equity content assigned by S&P to the securities is materially reduced, the issuer will remove the contingent feature of the bond (which will become a vanilla LT2) and reduce the coupon payable on the bonds by 150bp. The bonds will continue to be callable at par on and after their first call date. Non-payment of amounts when due does not accelerate the maturity of the notes. Unless the ratio of CET1 capital, AT1 bonds and T2 CoCos of the Credit Agricole Group to risk weighted assets on the call date exceeds 11.9%, the issuer must replace the bonds with other securities that qualify for S&P equity content prior to exercising the call on the existing securities.
Source: Prospectus
20 March 2014
14
Barclays | European Banks FIGURE 14 ACAFP 7 7/8% AT1 (USD)
Bond
ACAFP 7 7/8 01/29/49
ISIN
USF22797RT78
Issuer
CREDIT AGRICOLE SA
Coupon
7.875%
Issue Date
23/01/2014
Amount Issued (mn)
USD 1,750
Maturity
Perpetual
Call date
23-Jan-24 and every 5 years thereafter if the current principal amount is equal to the original principal amount
Back-end (bp)
5y USD mid-swap + 489.8bp
Ranking
Tier 1
Optional coupon deferral Coupons are fully discretionary
Mandatory coupon deferral
Yes, in whole or in part if: 1) coupon payment on these and pari passu securities scheduled for the current financial year would exceed Distributable Items (equal to the Issuer's net income and reserves before payment on Own Funds instruments based on the Issuer's unconsolidated financials; 2) payment of coupons would cause the relevant Maximum Distributable Amount to be exceeded (capital conservation buffer + G-SIFI buffer at either the Group level or the S.A. level); 3) the regulator instructs the issue to cancel the interest payment in whole or in part based on its assessment of the financial and solvency situation
Payment of deferred coupons
Deferred coupons are non-cumulative
Dividend stopper
None
Dividend pusher
None
Contingent trigger
The phase-in CET1 ratio of Credit Agricole S.A. falls below 5.125% or if the CET1 ratio of the Credit Agricole Group falls below 7%.
Loss absorption mechanism
Upon a trigger breach, the principal amount of the notes will be reduced prorata with any other instruments with similar loss absorption features (writedown or equity conversion), by an amount that is sufficient to restore the relevant capital ratio above 5.125% at S.A. or above 7% at Group. If this is not sufficient to increase the capital ratio to above the trigger event, the notes are written down completely. The principal amount of the notes will be written up, pro-rata with similar loss-absorbing securities and at the full discretion of the issuer, if the issuer reports a consolidated net profit. The amount of net profits used to write up the notes will be proportional to the original principal amount of all similar loss-absorbing securities divided by the total tier 1 capital of the issuer as of the write-up date.
PoNV
In risk factors
Regulatory call
Yes, at par if the notes are fully excluded from Tier 1 capital provided the current principal amount is equal to the original principal amount.
Substitution/variation
Yes, if either/or: 1)the notes cease to qualify as T1 capital; 2) there is a tax event; 3) there is an Alignment Event (applicable banking regulations have been amended to permit an instrument with material different terms to qualify as AT1 capital.
Call notice period
No less than 30 nor more than 45 calendar days prior to the call date.
Law
Law of the State of New York, with the exception of clauses relating to subordination which are governed by French law
Special features
None
Source: Prospectus
20 March 2014
15
Barclays | European Banks FIGURE 15 BACR 7.625% 2022 (USD)
Bond
BACR 7 5/8 11/21/22
ISIN
US06740L8C27
Issuer
BARCLAYS BANK PLC
Coupon
7.625%
Issue Date
21/11/2012
Amount Issued (mn)
USD 3,000
Maturity
21/11/2022
Call date
Non-callable
Back-end (bp)
Not applicable
Ranking
Tier 2
Optional coupon deferral
Coupons are non-deferrable
Mandatory coupon deferral
Not applicable
Payment of deferred coupons
Not applicable
Dividend stopper
Not applicable
Dividend pusher
Not applicable
Contingent trigger
Prior to CRD IV adoption date, Core Tier 1 ratio of Barclays PLC falls below 7%; post CRD IV adoption date, CET1 ratio on a phase-in basis falls below 7.0%. The phased-in basis CET1 ratio is calculated subject to the transitional arrangements as interpreted by the FSA pursuant to its press release of 26 October 2012 (which envisaged a transition path broadly in line with the CRD IV phase-in arrangements).
Loss absorption mechanism
100% permanent principal writedown through an Automatic Transfer with noteholders losing all rights against the issuer following the transfer
PoNV
In risk factors
Regulatory call
Yes, at par if the notes are fully excluded from the Group's Tier 2 capital
Substitution/variation
Not applicable
Call notice period
No less than 30 nor more than 60 days prior to the call date
Law
Law of the state of New York, except for subordination provisions, which are governed by English law
Special features
None
Source: Prospectus
20 March 2014
16
Barclays | European Banks FIGURE 16 BACR 7.75% 2023 (USD)
Bond
BACR 7 3/4 04/10/23
ISIN
US06739FHK03
Issuer
BARCLAYS BANK PLC
Coupon
7.75%
Issue Date
10/04/2013
Amount Issued (mn)
USD 1,000
Maturity
10/04/2023
Call date
10-Apr-18
Back-end (bp)
5yr USD mid swap + 683.3bp
Ranking
Tier 2
Optional coupon deferral
Coupons are non-deferrable
Mandatory coupon deferral
Not applicable
Payment of deferred coupons
Not applicable
Dividend stopper
Not applicable
Dividend pusher
Not applicable
Contingent trigger
Prior to CRD IV adoption date, Core Tier 1 ratio of Barclays PLC falls below 7%; post CRD IV adoption date, CET1 ratio on a phase-in basis falls below 7.0%. The phased-in basis CET1 ratio is calculated subject to the transitional arrangements as interpreted by the PRA pursuant to the FSA's press release of 26 October 2012 (which envisaged a transition path broadly in line with the CRD IV phase-in arrangements).
Loss absorption mechanism
100% permanent principal writedown
PoNV
Acknowledgement of the UK statutory bail-in power in Terms and Conditions
Regulatory call
Yes, at par if the notes are fully excluded from the Group's Tier 2 capital
Substitution/variation
Not applicable
Call notice period
No less than 30 nor more than 60 days prior to the call date
Law
Law of the state of New York, except for subordination provisions, which are governed by English law
Special features
None
Source: Prospectus
20 March 2014
17
Barclays | European Banks FIGURE 17 BACR 8.25% AT1 (USD)
Bond
BACR 8 1/4 12/29/49
ISIN
US06738EAA38
Issuer
BARCLAYS PLC
Coupon
8.250%
Issue Date
20/11/2013
Amount Issued (mn)
USD 2,000
Maturity
Perpetual
Call date
15-Dec-18 and every 5 years thereafter
Back-end (bp)
5yr USD mid swap + 6.705%
Ranking
Additional Tier 1
Optional coupon deferral
Coupons are fully discretionary
Mandatory coupon deferral
Yes, in whole or in part if: 1) the bank does not have sufficient distributable items as defined under CRD IV to pay coupons on these and parity securities; 2) the solvency condition is not satisfied in respect of such coupon payment
Payment of deferred coupons
Non-cumulative
Dividend stopper
None
Dividend pusher
None
Contingent trigger
The fully loaded CRD IV CET1 ratio falls below 7.0%
Loss absorption mechanism
Conversion into ordinary stock at a fixed price of $2.64 (equivalent to £1.65 on the date of issue) subject to certain anti-dilution adjustments. At the issuer's discretion, the bondholders might receive the shares, cash proceeds from the sale of the shares to shareholders at £1.65 per share (subject to certain antidilution adjustments), or a combination of shares and cash.
PoNV
Acknowledgement of the UK statutory bail-in power in Terms and Conditions
Regulatory call
Yes, if the outstanding aggregate principal amount of the notes ceases to qualify as Tier 1 capital. The call will be exercised at par plus any accrued but unpaid interest (excluding any cancelled coupons).
Substitution/variation
Not applicable
Call notice period
No less than 30 nor more than 60 days prior to the call date
Law
Law of the state of New York, except for subordination provisions and waiver of set-off provisions, which are governed by English law
Special features
None
Source: Prospectus
20 March 2014
18
Barclays | European Banks FIGURE 18 BACR 8% AT1 (EUR)
Bond
BACR 8 12/15/49
ISIN
XS1002801758
Issuer
BARCLAYS PLC
Coupon
8.000%
Issue Date
10/12/2013
Amount Issued (mn)
EUR 1,000
Maturity
Perpetual
Call date
15-Dec-20 and every 5 years thereafter
Back-end (bp)
5yr EUR mid swap + 6.75%
Ranking
Additional Tier 1
Optional coupon deferral
Coupons are fully discretionary
Mandatory coupon deferral
Yes, in whole or in part if: 1) the bank does not have sufficient distributable items as defined under CRD IV to pay coupons on these and parity securities; or 2) the solvency condition is not satisfied in respect of such coupon payment.
Payment of deferred coupons
Non-cumulative
Dividend stopper
None
Dividend pusher
None
Contingent trigger
The fully loaded CRD IV CET1 ratio falls below 7.0%
Loss absorption mechanism
Conversion into ordinary stock at a fixed price of €1.99 (equivalent to £1.65 on the date of issue) subject to certain anti-dilution adjustments. At the issuer's discretion, the bondholders might receive the shares, cash proceeds from the sale of the shares to shareholders at £1.65 per share (subject to certain antidilution adjustments), or a combination of shares and cash.
PoNV
Acknowledgement of the UK statutory bail-in power in Terms and Conditions
Regulatory call
Yes, if the outstanding aggregate principal amount of the notes ceases to qualify as Tier 1 capital. The call will be exercised at par plus any accrued but unpaid interest (excluding any cancelled coupons).
Substitution/variation
Not applicable
Call notice period
No less than 30 nor more than 60 days prior to the call date
Law
Law of the state of New York, except for subordination provisions and waiver of set-off provisions, which are governed by English law
Special features
None
Source: Prospectus
20 March 2014
19
Barclays | European Banks FIGURE 19 BBVASM 9% AT1 (USD)
Bond
BBVASM 9 05/29/49
ISIN
XS0926832907
Issuer
BANCO BILBAO VIZCAYA ARG
Coupon
9.0%
Issue Date
09/05/2013
Amount Issued (mn)
USD 1,500
Maturity
Perpetual
Call date
On 9-May-18 and at any time thereafter
Back-end (bp)
5y USD mid-swap + 826.2bp
Ranking
Tier 1
Optional coupon deferral
Coupons are fully discretionary
Mandatory coupon deferral
Yes, in whole or in part if: 1) the bank does not have sufficient distributable reserves to pay coupons on these and parity securities; or 2) the bank is in breach of capital requirements; or 3) deferral of the coupons is required by the regulator; or 4) after the date of implementation of CRD IV, payment of the coupons would lead to a breach of capital conservation buffers.
Payment of deferred coupons
Deferred coupons are non-cumulative
Dividend stopper
None
Dividend pusher
None
• Before the implementation date of CRD IV the core Tier 1 ratio, or after the implementation date of CRD IV, the CET1 ratio falls below 5.125%, or
Contingent trigger
• The capital principal ratio falls below 7%, or • The EBA core Tier 1 falls below 7%, or • The Tier 1 ratio falls below 6% and the bank or the group has reported losses in each of the previous four quarters with the effect that the capital and reserves of the bank and the group have been reduced by one-third or more, or
• The bank becomes non-viable or requires a public capital injections, or
• There is a statutory reduction in the capital of the bank. Loss absorption
Conversion into ordinary stock, at the average closing price of the last 5 trading days preceding the delivery of the conversion notice. Conversion price floored at $5.00.
PoNV
Contractual PoNV (non-viability is a trigger event under the terms of the CoCo)
Regulatory call
Yes, at par if the bonds cease to qualify as: 1) Tier 1 under applicable bank regulation; or 2) Capital Principal to meet the Capital principal ratio; or 3) BCCS to meet the EBA CT1 ratio.
Substitution/variation
Not applicable
Call notice period
Not less than 30 nor more than 60 days notice prior to the redemption date
Law
Spanish law
Special features
None
Source: Prospectus
20 March 2014
20
Barclays | European Banks FIGURE 20 BBVA 7% AT1 (EUR)
Bond
BBVASM 7 12/29/49
ISIN
XS1033661866
Issuer
BANCO BILBAO VIZCAYA ARG
Coupon
7.0%
Issue Date
19/02/2014
Amount Issued (mn)
EUR 1,500
Maturity
Perpetual
Call date
On 19-Feb-19 and at any time thereafter
Back-end (bp)
5y EUR mid-swap + 615.5bp
Ranking
Tier 1
Optional coupon deferral
Coupons are fully discretionary
Mandatory coupon deferral
Yes, in whole or in part if: 1) the bank does not have sufficient distributable reserves to pay coupons on these and parity securities; 2) the bank is in breach of capital requirements; 3) cancellation of the coupons is required by the regulator; 4) payment of the coupons would lead to a breach of the Maximum Distribution Amount (a breach of capital conservation and G-SII buffers).
Payment of deferred coupons
Deferred coupons are non-cumulative
Dividend stopper
None
Dividend pusher
None
Contingent trigger
The CET1 ratio of the bank or the group falls below 5.125% calculated in accordance with CRR including transitional provisions.
Loss absorption
Conversion into ordinary stock, at the average closing price of the last 5 trading days preceding the delivery of the conversion notice. Conversion price floored at €4.50.
PoNV
In risk factors
Regulatory call
Yes, at par if the bonds cease to counted toward's the group's or the bank's Tier 1 capital in whole under applicable bank regulation.
Substitution/variation
Not applicable
Call notice period
Not less than 30 nor more than 60 days notice prior to the redemption date
Law
Spanish law
Special features
None
Source: Prospectus
20 March 2014
21
Barclays | European Banks FIGURE 21 BKIR 10% 2016 (EUR)
Bond
BKIR 10 07/30/16
ISIN
XS0862044798
Issuer
BANK OF IRELAND
Coupon
10.0%
Issue Date
29/07/2011
Amount Issued (mn)
EUR 1,000
Maturity
30/07/2016
Call date
Non-callable
Back-end (bp)
Not applicable
Ranking
Tier 2 bonds
Optional coupon deferral
Coupons are non-deferrable
Mandatory coupon deferral
Not applicable
Payment of deferred coupons
Not applicable
Dividend stopper
Not applicable
Dividend pusher
Not applicable
Contingent trigger
"Prior to the CRD IV implementation date, the core Tier 1 capital ratio, or after the CRD IV implementation date, the CET1 ratio falls below 8.25%. State aid instruments count towards both the core Tier 1 and the CET1 capital ratio. The CoCos also convert in the event that the bank becomes nonviable."
Loss absorption mechanism
Conversion into ordinary stock, at the VWAP during the 30 business days prior to the conversion date. Conversion price floored at EUR0.05
PoNV
Contractual PoNV (non-viability is a trigger event under the terms of the CoCo)
Regulatory call
None
Substitution/variation
Only if a tax event has occurred
Call notice period
Not applicable
Law
Irish law
Special features
Bonds initially issued to the Irish Treasury as part of the public recapitalization of the bank. Entire issue sold to private investors on 9 January 2013. The issuer cannot buy back the notes prior to their maturity date.
Source: Prospectus
20 March 2014
22
Barclays | European Banks FIGURE 22 CS 7.875% 2041 (Buffer Capital Notes, USD)
Bond
CS $ 7.875%
ISIN
XS0595225318
Issuer
CSG GUERNSEY I LTD
Coupon
7.875%
Issue Date
02/17/2011
Amount Issued (mn)
USD 2,000
Final Maturity Date
02/24/2041
Call date
08/24/2016; Semi-annual after first call date
Back-end (bp)
5y $ swap +522bp
Ranking
Tier 2
Optional coupon deferral
No
Mandatory coupon deferral
No
Payment of deferred coupons
Not applicable
Dividend stopper
None
Dividend pusher
None
Contingent trigger
7% Core Tier 1 ratio prior to Basel 3 Regulations date and Common Equity Tier 1 ratio on or after Basel 3 Regulations date
Loss absorption mechanism
100% Equity Conversion, subject to a floor share price of US$20.00
PoNV
Yes in Terms and Conditions
Regulatory call
At 102% if the notes cease to be eligible in full as both: 1) Tier 2 capital under BIS regulations; and 2) Buffer Capital under Swiss regulations.
Substitution/variation
Yes
Call notice period
Not less than 30 days
Law
English Law for the BCNs and the Guarantee and any non-contractual obligations arising out of or in connection with the BCNs and the Guarantee. With the exception of the subordination provisions which come under the Island of Guernsey law for the Issuer, CSG GUERNSEY I LTD, and under Switzerland law in the case of Credit Suisse Group.
Special features
None
Source: Prospectus
20 March 2014
23
Barclays | European Banks FIGURE 23 CS 7.125% 2022 (Buffer Capital Notes, CHF)
Bond
CS 7 1/8 03/22/22
ISIN
CH0181115681
Issuer
CSG GUERNSEY IV LTD
Coupon
7.125%
Issue Date
22/03/2012
Amount Issued (mn)
CHF 750
Maturity
22/03/2022
Call date
22-Mar-17
Back-end (bp)
5y CHF swap +668.5bp
Ranking
Tier 2
Optional coupon deferral
Coupons are non-deferrable
Mandatory coupon deferral
Not applicable
Payment of deferred coupons
Not applicable
Dividend stopper
Not applicable
Dividend pusher
Not applicable
Contingent trigger
7% Core Tier 1 ratio prior to Basel 3 Regulations date and Common Equity Tier 1 ratio on or after Basel 3 Regulations date
Loss absorption mechanism
100% equity conversion at the greater of the average VWAP on 30 consecutive dealing days prior to conversion or the floor price of CHF 20.0
PoNV
Yes in Terms and Conditions
Regulatory call
Yes at 102% if the BCNs cease to be eligible in their entirety as both: 1) Tier 2 Capital under BIS Regulations; and 2) Buffer Capital under National Regulations
Substitution/variation
Yes upon a Capital or a Tax Event
Call notice period
No less than 30 nor more than 60 days prior to the call date
Law
Swiss Law except for the subordination provisions which for so long as CSG Guernsey IV Ltd is the issuer, shall be governed by the laws of the Island of Guernsey
Special features
None
Source: Prospectus
20 March 2014
24
Barclays | European Banks FIGURE 24 CS 9.5% AT1 (Buffer Capital Notes, USD)
Bond
CS 9 1/2 07/29/49
ISIN
XS0810846617
Issuer
CSG GUERNSEY II LTD
Coupon
9.500%
Issue Date
31/07/2012
Amount Issued (mn)
USD 1,725
Maturity
Perpetual
Call date
23/10/2018; Semi-annual after first call date
Back-end (bp)
6mth $ LIBOR+664bp
Ranking
Tier 1
Optional coupon deferral
Coupons are fully discretionary
Mandatory coupon deferral
Yes if a) coupon and other payments on pari passu ranking Tier 1s exceed the amount of Distributable Profits at CSG and b) the Regulatory Condition (ie, all local applicable capital adequacy requirements on a consolidated basis) is not satisfied or would not be satisfied if coupon payment was made.
Payment of deferred coupons
Non-cumulative
Dividend stopper
Yes
Dividend pusher
Yes
Contingent trigger
7% Core Tier 1 ratio prior to Basel 3 Regulations date and Common Equity Tier 1 ratio on or after Basel 3 Regulations date
Loss absorption mechanism
100% equity conversion at the greater of the average VWAP on five consecutive dealing days prior to conversion or the floor price of $16.57
PoNV
Yes in Terms and Conditions
Regulatory call
Yes at Make Whole if the BCNs cease to be eligible in their entirety as both: 1) Additional Tier 1 Capital under BIS Regulations; and 2) Buffer Capital under National Regulations.
Substitution/variation
Yes upon a Capital or a Tax Event
Call notice period
Not less than 30 nor more than 60 days notice
Law
Swiss Law except for the subordination provisions which for so long as CSG Guernsey II Ltd is the issuer, shall be governed by the laws of the Island of Guernsey
Special features
None
Source: Prospectus
20 March 2014
25
Barclays | European Banks FIGURE 25 CS 6.5% 2023 (USD)
Bond
CS $ 6.5%
ISIN
XS0957135212
Issuer
Credit Suisse
Coupon
6.5%
Issue Date
08/01/2013
Amount Issued (mn)
USD 2,500
Final Maturity Date
08/08/2023
Call date
Not applicable
Back-end (bp)
Not applicable
Ranking
Tier 2
Optional coupon deferral
Not applicable
Mandatory coupon deferral
Not applicable
Payment of deferred coupons
Not applicable
Dividend stopper
None
Dividend pusher
None
Contingent trigger
5% if Group’s CET1 ratio + ratio of unconverted high trigger capital instruments outstanding at the time.
Loss absorption mechanism
100% Permanent Principal Writedown
PoNV
Yes in Terms and Conditions
Regulatory call
Yes at Par if full disqualification as both: 1) Tier 2 under Basel 3 regs; and 2) as Progressive Capital Component (PCC*) OR at 103% if change in regulation reduces or eliminates the required amount of PCC and the group has more than is required.
Substitution/variation
Yes
Call notice period
Not applicable
Law
Swiss Law
Special features
The PoNV writedown feature can be removed if a future law provides for capital treatment without it.
Note: * PCC refers to low trigger (5%) capital instruments. Source: Prospectus
20 March 2014
26
Barclays | European Banks FIGURE 26 CS 6% AT1 (CHF)
Bond
CS 6 09/29/49
ISIN
CH0221803791
Issuer
CREDIT SUISSE GROUP AG
Coupon
6.000%
Issue Date
04/09/2013
Amount Issued (mn)
CHF 290
Maturity
Perpetual
Call date
04/09/2018; Annually after first call date
Back-end (bp)
5y CHF swap +520.3bp
Ranking
Tier 1
Optional coupon deferral
Coupons are fully discretionary
Mandatory coupon deferral
Yes, in whole or in part if 1) coupon and other payments on pari passu ranking Tier 1s exceed the amount of Distributable Profits at CSG; 2) the Regulatory Condition (ie all local applicable capital adequacy requirements on a consolidated basis)is not satisfied or would not be satisfied if coupon payment was made; and 3) the regulator requires CSG to not make such interest payment.
Payment of deferred coupons
Non-cumulative
Dividend stopper
Yes
Dividend pusher
Yes
Contingent trigger
Yes, if: 1) the sum of CET1 ratio and Higher Trigger Capital ratio is below 5.125% unless the regulator agrees that the CET1 ratio has been or will be imminently restored to above 5.125% without a write-down; 2) directed by the regulator to prevent CSG from becoming insolvent, bankrupt or unable to pay a material part of its debts, or from ceasing to carry on its business; 3) CSG receives support from the Public Sector without which it would have become insolvent, bankrupt, unable to pay a material part of its debts, or unable to carry on its business.
Loss absorption mechanism
100% Permanent Principal Writedown
PoNV
Yes in Terms and Conditions
Regulatory call
Yes at 103% if the notes cease to be eligible in full as both: 1) Additional Tier 1 Capital under BIS regulations and 2) Progressive Component Capital under Swiss regulations; or 3) the notes continue to qualify as Progressive Component Capital, but the minimum required amount is reduced or eliminated.
Substitution/variation
Yes upon a Capital or a Tax Event
Call notice period
Not less than 30 nor more than 60 days notice
Law
Swiss Law
Special features
None
Source: Prospectus
20 March 2014
27
Barclays | European Banks FIGURE 27 CS 5.75% 2025 (EUR)
Bond
CS € 5.75%
ISIN
XS0972523947
Issuer
Credit Suisse
Coupon
5.75%
Issue Date
09/11/2013
Amount Issued (mn)
EUR 1,250
Final Maturity Date
09/18/2025
Call date
09/18/2020; Once only call
Back-end (bp)
5y € +400bp
Ranking
Tier 2
Optional coupon deferral
Not applicable
Mandatory coupon deferral
Not applicable
Payment of deferred coupons
Not applicable
Dividend stopper
None
Dividend pusher
None
Contingent trigger
5% if Group’s CET1 ratio + ratio of unconverted high trigger capital instruments outstanding at the time
Loss absorption mechanism
100% Permanent Principal writedown
PoNV
Yes in Terms and Conditions
Regulatory call
Yes at Par if full disqualification as both 1) Tier 2 under Basel 3 regs and 2) as Progressive Capital Component (PCC*) OR at 103% if change in regulation reduces or eliminates the required amount of PCC and the group has more than is required
Substitution/variation
Yes
Call notice period
Not less than 30 days
Law
Swiss Law
Special features
The PONV writedown feature can be removed if a future law provides for capital treatment without it.
Note: * PCC refers to low trigger (5%) capital instruments. Source: Prospectus
20 March 2014
28
Barclays | European Banks FIGURE 28 CS 7.5% AT1 (USD)
Bond
CS 7 1/2 12/11/49
ISIN
XS0989394589
Issuer
CREDIT SUISSE GROUP AG
Coupon
7.500%
Issue Date
11/12/2013
Amount Issued (mn)
USD 2,250
Maturity
Perpetual
Call date
11-Dec-23 and every 5 years thereafter
Back-end (bp)
5y $ swap +459.8bp
Ranking
Additional Tier 1
Optional coupon deferral
Coupons are fully discretionary
Mandatory coupon deferral
Payment of deferred coupons
Yes, in whole or in part if: 1) coupon and other payments on pari passu ranking Tier 1s exceed the amount of Distributable Profits at CSG; 2) the Regulatory Condition (ie, all local applicable capital adequacy requirements on a consolidated basis) is not satisfied or would not be satisfied if coupon payment was made: and 3) the regulator requires CSG to not make such an interest payment. Deferred coupons are non-cumulative
Dividend stopper
Yes
Dividend pusher
Yes
Contingent trigger
Yes, if: 1) the sum of CET1 ratio and Higher Trigger Capital ratio is below 5.125% unless the regulator agrees that the CET1 ratio has been or will be imminently restored to above 5.125% without a write-down; 2) directed by the regulator to prevent CSG from becoming insolvent, bankrupt or unable to pay a material part of its debts, or from ceasing to carry on its business; 3) CSG receives support from the Public Sector without which it would have become insolvent, bankrupt, unable to pay a material part of its debts, or unable to carry on its business.
Loss absorption mechanism
100% Permanent Principal Writedown
PoNV
Yes in Terms and Conditions
Regulatory call
At par plus accrued but unpaid interest if the notes cease to be eligible in full as both: 1) Additional Tier 1 Capital under BIS regulations and 2) Progressive Component Capital (PCC)* under Swiss regulations; or 3) the notes continue to qualify as Progressive Component Capital, but the minimum required amount is reduced or eliminated.
Substitution/variation
In a Tax or Capital Event, issuer is permitted to either substitute all of the notes or vary Terms and Conditions so that the notes remain compliant securities for tax and capital purposes.
Call notice period
No less than 30 nor more than 60 days prior to the call date
Law
Swiss law
Special features
None
Note: * PCC refers to low trigger (5%) capital instruments. Source: Prospectus
20 March 2014
29
Barclays | European Banks FIGURE 29 DANBNK 5.75% AT1 (EUR)
Bond
DANBNK 5 3/4 10/31/49
ISIN
XS1044578273
Issuer
DANSKE BANK A/S
Coupon
5.750%
Issue Date
12/03/2014
Amount Issued (mn)
EUR 750
Maturity
Perpetual
Call date
06-Apr-20 and every semi-annual interest payment date thereafter
Back-end (bp)
5y EUR mid-swap + 464bp
Ranking
Tier 1
Optional coupon deferral Coupons are fully discretionary Mandatory coupon deferral
Yes, in whole or in part if: 1) the bank does not have sufficient distributable items to pay coupons on these securities; 2) the payment of coupons on the notes would exceed the Maximum Distributable Amount as defined under CRD IV (breach of capital buffers); 3) cancellation is required by the regulator.
Payment of deferred coupons
Deferred coupons are non-cumulative
Dividend stopper
None
Dividend pusher
None
Contingent trigger
The CET1 ratio of the issuer and/or the group falls below 7% calculated including transitional provisions
Loss absorption mechanism
Upon a trigger breach, the principal amount of the notes and all parity trigger loss absorbing instruments will be reduced by an amount that is sufficient to restore the relevant capital ratio above 7%. If this is not sufficient to increase the capital ratio to above 7%, the notes are written down to EUR 0.01. The principal amount of the notes will be written up, pro-rata with similar loss-absorbing securities and at the full discretion of the issuer, if Danske reports a profit, and the write-up does not cause the Maximum Distributable Amount to be exceeded. The amount of net income used to write up the notes will be the lower of the Maximum Distributable Amount and proportional to the original principal amount of all written down additional tier 1 securities divided by the total tier 1 capital of the issuer as at the date of the relevant reinstatement.
PoNV
In risk factors
Regulatory call
Yes, at the outstanding principal amount , if there is a change in the regulatory classification of the securities that results or will result in them being in whole or in part excluded from the regulatory capital of the issuer and/or the group or reclassified in whole or in part as a lower form of regulatory capital.
Substitution/variation
Yes, if the notes cease to qualify as T1 capital or there is a tax event
Call notice period
No less than 30 nor more than 60 days prior to the call date.
Law
English law, with the exception of the clauses relating to status, interest cancellation, loss absorption following a trigger event and reinstatement of notes, regulatory call and enforcement events, which are governed by Danish law.
Special features
None
Source: Prospectus
20 March 2014
30
Barclays | European Banks FIGURE 30 KBC 8% 2023 (USD)
Bond
KBC 8 01/25/23
ISIN
BE6248510610
Issuer
KBC BANK NV
Coupon
8.0%
Issue Date
25/01/2013
Amount Issued (mn)
USD 1,000
Maturity
25/01/2023
Call date
25-Jan-18 (one-off call)
Back-end (bp)
5y EUR mid-swap + 790.7bp
Ranking
Tier 2 debt
Optional coupon deferral
Coupons are non-deferrable
Mandatory coupon deferral
Not applicable
Payment of deferred coupons
Not applicable
Dividend stopper
Not applicable
Dividend pusher
Not applicable Prior to the implementation date of CRD IV, the consolidated core Tier 1 ratio of the bank falls below 7.0%. After the implementation date of CRD IV, the consolidated CET1 ratio of the bank falls below 7.0%. In both cases, the capital ratio will be calculated by risk-weighting, rather than deducting, the group's investments in insurance subsidiaries. 100% principal writedown
Contingent trigger
Loss absorption PoNV Regulatory call Substitution/variation Call notice period Law Special features
In risk factors At par plus accrued interest, if the bonds are fully excluded from the Tier 2 capital of the issuer or the group. Not applicable Not less than 15 nor more than 30 calendar days prior to the call date. English law, except for clauses relating to ranking in capital structure, form of the notes and modification of terms and conditions, which are governed by Belgian law. None
Source: Prospectus
20 March 2014
31
Barclays | European Banks FIGURE 31 KBC 5 5/8% AT1 (EUR)
Bond
KBCBB 5 5/8 12/19/49
ISIN
BE0002463389
Issuer
KBC GROEP NV
Coupon
5.625%
Issue Date
19/03/2014
Amount Issued (mn)
EUR 1,400
Maturity
Perpetual
Call date
19-Mar-19 and every quarterly interest payment date thereafter
Back-end (bp)
5y EUR mid-swap + 475.9bp
Ranking
Tier 1
Optional coupon deferral Coupons are fully discretionary Mandatory coupon deferral
Yes, in whole or in part if: 1) the bank does not have sufficient distributable items to pay coupons on these and parity securities; 2) the payment of coupons on the notes and parity securities would exceed the Maximum Distributable Amount as defined under CRD IV (breach of capital buffers)
Payment of deferred coupons
Deferred coupons are non-cumulative
Dividend stopper
None
Dividend pusher
None
Contingent trigger
The consolidated CET1 ratio of the group falls below 5.125% calculated in accordance with CRR including transitional provisions
Loss absorption mechanism
Upon a trigger breach, 1) the interest accrued up to the trigger date will be cancelled; 2) the principal amount of the notes will be reduced pro rata following or concurrently with the write-down or conversion into equity of the entire outstanding principal amount of any prior loss absorbing instruments by an amount that is sufficient to restore the relevant capital ratio above 5.125%. If this is not sufficient to increase the capital ratio to above 5.125%, the notes are written down to 1c. The principal amount of the notes will be written up, pro-rata with similar loss-absorbing securities and at the full discretion of the issuer, if KBC reports a consolidated net income, and the write-up does not cause the Maximum Distributable Amount to be exceeded. The amount of net income used to write up the notes will be proportional to the original principal amount of all written down additional tier 1 securities divided by the total tier 1 capital of the issuer as at the then most recent quarterly financial period end date.
PoNV
In risk factors
Regulatory call
Yes, at par, but only if the prevailing principal amount is equal to the original principal amount, if there is a change (or prospective change which the lead regulator considers to be sufficiently certain) in regulatory classification of the Securities that has resulted or would be likely to result in them being fully excluded from Additional Tier 1 Capital.
Substitution/variation
Yes, if the notes cease to qualify as T1 capital or there is a tax event
Call notice period
No less than 30 nor more than 45 days prior to the call date.
Law
English law, with the exception of the clauses relating to form, status, meetings and modification which are governed by Belgian law
Special features
None
Source: Prospectus
20 March 2014
32
Barclays | European Banks FIGURE 32 LLOYDS Enhanced Capital Notes (ECNs)
Bond
Various GBP, EUR and USD
ISIN
Various
Issuer
LBG Capital No 1 Plc (Guarantor is Lloyds Banking Group) and LBG Capital No 2 Plc (Guarantor is Lloyds TSB Bank Plc)
Coupon
Ranging from 6.385%- 15%
Issue Date
11/03/2009
Amount Issued
Approximately EUR9bn in total
Final Maturity Date
2019, 2020 and perpetual
Call date
Not applicable (except for $ 8% Perpetual; call date 06/15/2020; Quarterly call frequency after first call date)
Back-end (bp)
Not applicable (except for $ 8% perpetual; back-end 3m$Libor +640bp)
Ranking
LT2, (except for $ 8% perpetual; ranking is UT2)
Optional coupon deferral
No
Mandatory coupon deferral
No
Payment of deferred coupons
Not applicable
Dividend stopper
No
Dividend pusher
No
Contingent trigger
5% Core Tier 1 ratio of Lloyds Banking Group as defined by FSA as at 1 May 2009
Loss absorption mechanism
100% equity conversion at a fixed conversion price of 59.2p
PoNV
No
Regulatory call
Par, except for the £ and € 15% issues which are make-whole. Call option after a Capital Disqualification event; If the ECNs would no longer be eligible to qualify in whole or in part for inclusion in the Lower Tier 2 Capital of LBG or, as the case may be, LTSB on a consolidated basis; or (2) if as a result of any changes to the Regulatory Capital Requirements or any change in the interpretation or application thereof by the FSA, the ECNs shall cease to be taken into account in whole or in part for the purposes of any ‘‘stress test’’ applied by the FSA in respect of the Consolidated Core Tier 1Ratio.
Substitution/variation
No
Call notice period
Not applicable
Law
English Law, except in the case where Lloyds Banking Group is the guarantor (ie, for the notes issued by LBG Capital No 1 Plc), in which case provisions relating to status and subordination of the Guarantee, are governed by Scots Law.
Special features
None
Source: Prospectus
20 March 2014
33
Barclays | European Banks FIGURE 33 NWIDE 6.75% AT1 (GBP)
Bond
NWIDE 6 7/8 03/11/49
ISIN
XS1043181269
Issuer
NATIONWIDE BLDG SOCIETY
Coupon
6.875%
Issue Date
11/03/2014
Amount Issued (mn)
GBP 1,000
Maturity
Perpetual
Call date
20-Jun-19 and every 5 years thereafter
Back-end (bp)
5yr GBP mid swap + 488bps
Ranking
Tier 1
Optional coupon deferral
Coupons are fully discretionary
Mandatory coupon deferral
Yes, in whole or in part if: 1) the society does not have sufficient distributable items to pay coupons on these and parity securities; 2) the payment of coupons on the notes and parity securities would exceed the Maximum Distributable Amount as defined under CRD IV (breach of capital buffers)
Payment of deferred coupons
Non-cumulative
Dividend stopper
None
Dividend pusher
None
Contingent trigger
The fully loaded CRD IV CET1 ratio on an individual or consolidated basis falls below 7.0%
Loss absorption mechanism
Securities are written down to 0 with any accrued and unpaid interest cancelled and replaced with newly issued CCDS at a fixed price of £80 subject to certain anti-dilution adjustments. Fractions of CCDS will not be delivered, and any fractional entitlement would be cancelled. There are currently £550m of CCDS outstanding with nominal value of £100 per CCDS (GB00BBQ33664).
PoNV
Acknowledgement of the UK statutory bail-in power in Terms & Conditions
Regulatory call
Yes, at par if as a result of a change (or pending change which the Regulator considers to be sufficiently certain) the outstanding aggregate principal amount of the notes fully ceases to qualify as Tier 1 capital.
Substitution/variation
Not applicable
Call notice period
No less than 30 nor more than 60 days prior to the call date
Law
English law
Special features
None
Source: Prospectus
20 March 2014
34
Barclays | European Banks FIGURE 34 POPSM 11.5% AT1 (EUR) ISIN
XS0979444402
Issuer
BANCO POPULAR ESPANOL SA
Coupon
11.5%
Issue Date
10/10/2013
Amount Issued (mn)
EUR 500
Maturity
Perpetual
Call date
On 10-Oct-18
Back-end (bp)
5yr EUR mid swap + 10.743%
and at any time thereafter
Ranking
Additional Tier 1
Optional coupon deferral Coupons are fully discretionary
Mandatory coupon deferral
Yes, in whole or in part if: 1) the bank does not have sufficient distributable reserves to pay coupons on these and parity securities; 2) the bank is in breach of applicable banking regulations; 3) cancellation of the coupons is required by the regulator after determining in its sole discretion that the financials or solvency situation of bank requires coupon cancellation; 4) after the date of implementation of CRD IV, payment of the coupons would lead to a breach of the Maximum Distributable Amount (a breach of capital conservation buffer).
Payment of deferred coupons
Deferred coupons are non-cumulative
Dividend stopper
None
Dividend pusher
None
Contingent trigger
Before the implementation date of CRD IV the Core Tier 1 ratio, or after the implementation date of CRD IV, the CET1 ratio falls below 5.125%, or the Tier 1 ratio falls below 6% and the bank or the group has reported losses in each of the previous four quarters with the effect that the capital and reserves of the bank or the group have been reduced by one-third or more.
Loss absorption
Conversion into ordinary stock, at the higher of 1) Current Market price of Common share, 2)the Floor price of EUR2.015 per share, 3) the nominal value of a common share.
PoNV
In risk factors
Regulatory call
Yes, at par if the bonds cease to qualify as Tier 1 under applicable bank regulation (in full and not part only) subject to the prior consent of the regulator.
Substitution/variation
Not applicable
Call notice period
Not less than 30 nor more than 60 days notice prior to the redemption date
Law
Spanish law
Special features
None
Source: Prospectus
20 March 2014
35
Barclays | European Banks FIGURE 35 RABOBK 6.875% 2020 (EUR)
Bond
RABOBK € 6.875%
ISIN
XS0496281618
Issuer
Rabobank Nederland
Coupon
6.875%
Issue Date
03/12/2010
Amount Issued (mn)
EUR 1,250
Final Maturity Date
03/19/2020
Call date
Not applicable
Back-end (bp)
Not applicable
Ranking
Senior unsecured
Optional coupon deferral
Not applicable
Mandatory coupon deferral
Not applicable
Payment of deferred coupons
Not applicable
Dividend stopper
Not applicable
Dividend pusher
Not applicable
Contingent trigger
7% Equity Capital Ratio (whereby Equity Capital is Total reserves + retained earnings + Member certificates)
Loss absorption mechanism
75% Permanent Principal Writedown
PoNV
No
Regulatory call
Not applicable
Substitution/variation
No
Call notice period
Not applicable
Law
Dutch Law
Special features
None
Source: Prospectus
20 March 2014
36
Barclays | European Banks FIGURE 36 RABOBK 8.375% T1 (USD)
Bond
RABOBK $ 8.375%
ISIN
XS0583302996
Issuer
Rabobank Nederland
Coupon
8.375%
Issue Date
01/19/2011
Amount Issued
USD 2,000
Final Maturity Date
Perpetual
Call date
07/26/2016; Semi-annual after first call date
Back-end (bp)
5y Treasury +642.5bp
Ranking
Tier 1
Optional coupon deferral
Yes fully discretionary
Mandatory coupon deferral
Yes if 1) Total Capital falls below the minima and the Equity Capital ratio falls below 8%; 2) to the extent that local solvency rules prohibit payment on the security plus pari passu instruments; 3) if payment on CoCo plus other pari passu instruments exceeds Distributable items; 4) if the Dutch National Bank informs issuer that it believes a solvency event will occur in the three years following coupon payment.
Payment of deferred coupons
Non-cumulative
Dividend stopper
Yes, if payment of coupon not made, issuer cannot pay dividends on junior securities
Dividend pusher
None
Contingent trigger
8% Equity Capital ratio; (whereby Equity Capital is Total reserves + retained earnings + Member certificates)
Loss absorption mechanism
Principal writedown, enough to cover capital shortfall. No subsequent write-up; can be written down on more than one occasion
PoNV
No
Regulatory call
Yes at Par (or prevailing principal amount if written down)
Substitution/variation
Yes
Call notice period
Not less than 30 and not more than 60 calendar days
Law
Dutch Law
Special features
None
Source: Prospectus
20 March 2014
37
Barclays | European Banks FIGURE 37 RABOBK 8.4% T1 (USD)
Bond
RABOBK $ 8.4%
ISIN
XS0703303262
Issuer
Rabobank Nederland
Coupon
8.4%
Issue Date
11/09/2011
Amount Issued (mn)
USD 2,000
Final Maturity Date
Perpetual
Call date
06/29/2017; anytime after first call
Back-end (bp)
5y Treasury +749bp
Ranking
Tier 1
Optional coupon deferral
Yes fully discretionary
Mandatory coupon deferral
Yes if Equity Capital ratio falls below 8%; (whereby Equity Capital is Total reserves + retained earnings + Member certificates)
Payment of deferred coupons
Non-cumulative
Dividend stopper
None
Dividend pusher
None
Contingent trigger
8% Equity Capital ratio (whereby Equity Capital is Total reserves + retained earnings + Member certificates)
Loss absorption mechanism
Principal writedown, enough to cover capital shortfall. No subsequent write-up; can be written down on more than one occasion
PoNV
In Risk Factors
Regulatory call
Yes at Par (or prevailing principal amount if written down)
Substitution/variation
Yes
Call notice period
Not less than 30 and not more than 60 calendar days
Law
Dutch Law
Special features
None
Source: Prospectus
20 March 2014
38
Barclays | European Banks FIGURE 38 SANTAN 6 ¼% AT1 (EUR)
Bond
SANTAN 6 1/4 03/12/49
ISIN
XS1043535092
Issuer
BANCO SANTANDER SA
Coupon
6.25%
Issue Date
12/03/2014
Amount Issued (mn)
EUR 1,500
Maturity
Perpetual
Call date
On 12-Mar-19 and quarterly thereafter
Back-end (bp)
5y EUR mid-swap + 541bp
Ranking
Tier 1
Optional coupon deferral
Coupons are fully discretionary
Mandatory coupon deferral
Yes, in whole or in part if: 1) the bank does not have sufficient distributable reserves to pay coupons on these and parity securities; 2) the bank is in breach of capital requirements; 3) cancellation of the coupons is required by the regulator; 4) payment of the coupons would lead to a breach of the Maximum Distribution Amount (a breach of capital conservation and G-SII buffers).
Payment of deferred coupons
Deferred coupons are non-cumulative
Dividend stopper
None
Dividend pusher
None
Contingent trigger
The CET1 ratio of the bank or the group falls below 5.125% calculated in accordance with CRR including transitional provisions
Loss absorption
Conversion into ordinary stock, at the volume weighted average price over the last 5 trading days preceding the delivery of the conversion notice. Conversion price floored at €4.34.
PoNV
In risk factors
Regulatory call
Yes, at par if the bonds cease to counted toward's the group's or the bank's Tier 1 capital in whole under applicable bank regulation.
Substitution/variation
Not applicable
Call notice period
Not less than 30 nor more than 60 days notice prior to the redemption date
Law
Spanish law
Special features
None
Source: Prospectus
20 March 2014
39
Barclays | European Banks FIGURE 39 SOCGEN 8.25% AT1 (USD)
Bond
SOCGEN 8 1/4 11/29/49
ISIN
XS0867614595
Issuer
SOCIETE GENERALE
Coupon
8.25%
Issue Date
06/09/2013
Amount Issued (mn)
USD 1,250
Maturity
Perpetual
Call date
29-Nov-18 and every 5 years thereafter
Back-end (bp)
5y USD mid-swap + 639.4bp
Ranking
Tier 1
Optional coupon deferral
Coupons are fully discretionary
Mandatory coupon deferral
Yes if: 1) directed by the regulator in view of the financial and solvency situation of the issuer; 2) prior to the implementation of CRD IV, the group's total capital ratio has fallen below the minimum or coupon payment would cause it to fall below the minimum; 3) after the implementation of CRD IV, the coupons on this and pari securities:
• exceed the amount of distributable reserves (based on individual accounts), or
• would cause a breach of capital conservation buffers Payment of deferred coupons
Deferred coupons are non-cumulative
Dividend stopper
None
Dividend pusher
None
Contingent trigger
Prior to the implementation of CRD IV, the EBA CT1 ratio fall below 5.125%; after the implementation of CRD IV, the phase-in CET1 ratio of the issuer falls below 5.125%
Loss absorption
Upon a trigger breach, the principal amount of the notes will be reduced pro-rata with any other instruments with similar loss absorption features, by an amount that is sufficient to restore the relevant capital ratio above 5.125%. The principal amount of the notes will be written up, pro-rata with similar loss-absorbing securities and at the full discretion of the issuer, if SocGen reports a consolidated net profit. The amount of net profits used to write up the notes will be proportional to the original principal amount of all similar loss-absorbing securities divided by the total tier 1 capital of the issuer as of the write-up date.
PoNV
In risk factors
Regulatory call
Yes, if the notes cease to qualify as Tier 1 capital partially or fully. The call will be exercised at par minus any applicable writedowns.
Substitution/variation
Yes, if the notes cease to qualify as T1 capital or there is a tax event.
Call notice period
No less than 30 nor more than 45 calendar days prior to the call date.
Law
English law, with the exception of the clauses relating to ranking in the capital structure which are governed by French law
Special features
None
Source: Prospectus
20 March 2014
40
Barclays | European Banks FIGURE 40 SOCGEN 7.875% AT1 (USD)
Bond
SOCGEN 7 7/8 12/18/49
ISIN
USF8586CRW49
Issuer
SOCIETE GENERALE
Coupon
7.875%
Issue Date
18/12/2013
Amount Issued (mn)
USD 1,750
Maturity
Perpetual
Call date
18-Dec-23 and every 5 years thereafter
Back-end (bp)
5y USD mid-swap + 497.9bp
Ranking
Tier 1
Optional coupon deferral Coupons are fully discretionary
Mandatory coupon deferral
Yes, in whole or in part if: 1) directed by the regulator in view of the financial and solvency situation of the issuer; 2) prior to the implementation of CRD IV, the group's total capital ratio has fallen below the minimum or coupon payment would cause it to fall below the minimum; 3) after the implementation of CRD IV, the coupons on this and other own funds instruments (not including Tier 2):
• exceed the amount of distributable reserves, or • would cause a breach of the Maximum Distributable Amount (capital conservation buffer plus G-SII buffer) Payment of deferred coupons
Deferred coupons are non-cumulative
Dividend stopper
None
Dividend pusher
None
Contingent trigger
Prior to the implementation of CRD IV, the EBA CT1 ratio fall below 5.125%; after the implementation of CRD IV, the phase-in CET1 ratio of the issuer falls below 5.125%
Loss absorption mechanism
Upon a trigger breach, the principal amount of the notes will be reduced prorata with any other instruments with similar loss absorption features (writedown or equity conversion), by an amount that is sufficient to restore the relevant capital ratio above 5.125%. If this is not sufficient to increase the capital ratio to above 5.125%, the notes are written down to 1c. The principal amount of the notes will be written up, pro-rata with similar loss-absorbing securities and at the full discretion of the issuer, if SocGen reports a consolidated net profit. The amount of net profits used to write up the notes will be proportional to the original principal amount of all similar loss-absorbing securities divided by the total Tier 1 capital of the issuer as of the write-up date.
PoNV
In risk factors
Regulatory call
Yes, at par minus any applicable write-downs if the notes are fully excluded from Tier 1 capital
Substitution/variation
Yes, if the notes cease to qualify as T1 capital or there is a tax event
Call notice period
No less than 30 nor more than 45 calendar days prior to the call date.
Law
English law, with the exception of the clauses relating to ranking in the capital structure which are governed by French law
Special features
None
Source: Prospectus
20 March 2014
41
Barclays | European Banks FIGURE 41 UBS 7.25% 2022 (USD)
Bond
UBS $ 7.25%
ISIN
XS0747231362
Issuer
UBS AG JERSEY BRANCH
Coupon
7.25%
Issue Date
02/15/2012
Amount Issued (mn)
USD 2,000
Final Maturity Date
02/22/2022
Call date
02/22/2017; Once only call
Back-end (bp)
ms +606.1bp
Ranking
Tier 2
Optional coupon deferral
Not applicable
Mandatory coupon deferral
Not applicable
Payment of deferred coupons
Not applicable
Dividend stopper
Not applicable
Dividend pusher
Not applicable
Contingent trigger
5% of CT1 capital + high trigger CoCos to RWAs prior to Basel 3; on or after Basel 3 it's sum of CET1 capital + high trigger CoCos to RWAs
Loss absorption mechanism
100% permanent Principal Writedown
PoNV
Yes in Terms and Conditions
Regulatory call
Yes at Par if full disqualification as 1) Tier 2 under Basel 3 regs and/or 2) as Progressive Capital Component (PCC) OR at 101% if either: a) there is a change in PCC requirement whereby a change in regulation reduces or eliminates the required amount of PCC and the group has more than is required; or b) an Alignment Event occurs, whereby due to a change in national regulation, Swiss issuers are permitted to issue a Tier 2 and PCC compliant structure which, had this been included in these Terms and Conditions, would not have qualified as Tier 2 and PCC prior to the changes.
Substitution/variation
Issuer is permitted to vary Terms and Conditions if an Alignment Event occurs, to align them with outstanding capital instruments that qualify as Tier 2 and PCC and which have a write-down feature.
Call notice period
Not less than 30 and not more than 60 days
Law
Swiss Law except The Agency Agreement and the Subscription Agreement which will be governed by English law
Special features
None
Source: Prospectus
20 March 2014
42
Barclays | European Banks FIGURE 42 UBS 7.625% 2022 (USD)
Bond
UBS $ 7.625%
ISIN
US90261AAB89
Issuer
UBS AG STAMFORD CT
Coupon
7.625%
Issue Date
08/10/2012
Amount Issued (mn)
USD 2,000
Final Maturity Date
08/17/2022
Call date
Not applicable
Back-end (bp)
Not applicable
Ranking
Tier 2
Optional coupon deferral
Not applicable
Mandatory coupon deferral
Not applicable
Payment of deferred coupons
Not applicable
Dividend stopper
Not applicable
Dividend pusher
Not applicable
Contingent trigger
5% of CT1 capital + high trigger Cocos to RWAs prior to Basel 3; on or after Basel 3 its sum of CET1 capital + high trigger Cocos to RWAs
Loss absorption mechanism
100% permanent Principal Writedown
PoNV
Yes in Terms and Conditions
Regulatory call
Yes at Par if full disqualification as 1) Tier 2 under Basel 3 regs and/or 2) as Progressive Capital Component (PCC) OR at 101% if either: a) there is a change in PCC requirement whereby a change in regulation reduces or eliminates the required amount of PCC and the group has more than is required; or b) an Alignment Event occurs, whereby due to a change in national regulation, Swiss issuers are permitted to issue a Tier 2 and PCC compliant structure which, had this been included in these Terms and Conditions would not have qualified as Tier 2 and PCC prior to the changes.
Substitution/variation
Issuer is permitted to vary Terms and Conditions if an Alignment Event occurs, to align them with outstanding capital instruments that qualify as Tier 2 and PCC and which have a write-down feature.
Call notice period
Not less than 30 and not more than 60 days
Law
Swiss Law except The Agency Agreement which will be governed by English law and Underwriting Agreement which will be governed by New York law.
Special features
Issuer cannot redeem the notes under an Alignment Event if the Terms and Conditions are amended
Source: Prospectus
20 March 2014
43
Barclays | European Banks FIGURE 43 UBS 4.75% 2023 (USD)
Bond
UBS $ 4.75%
ISIN
CH0214139930
Issuer
UBS AG
Coupon
4.75%
Issue Date
05/15/2013
Amount Issued (mn)
USD 1,500
Final Maturity Date
05/22/2023
Call date
05/22/2018; Once only call
Back-end (bp)
ms +376.5
Ranking
Tier 2
Optional coupon deferral
Not applicable
Mandatory coupon deferral
Not applicable
Payment of deferred coupons
Not applicable
Dividend stopper
Not applicable
Dividend pusher
Not applicable
Contingent trigger
5% of CT1 capital + high trigger CoCos to RWAs prior to Basel 3; on or after Basel 3 its sum of CET1 capital + high trigger CoCos to RWAs
Loss absorption mechanism
100% permanent Principal Writedown
PoNV
Yes in Terms and Conditions
Regulatory call
Yes at Par if full disqualification as 1) Tier 2 under Basel 3 regs and/or 2) as Progressive Capital Component (PCC) OR at 101% if either: a) there is a change in PCC requirement whereby a change in regulation reduces or eliminates the required amount of PCC and the group has more than is required or; b) an Alignment Event occurs, whereby due to a change in national regulation, Swiss issuers are permitted to issue a Tier 2 and PCC compliant structure which, had this been included in these Terms and Conditions would not have qualified as Tier 2 and PCC prior to the changes.
Substitution/variation
Issuer is permitted to vary Terms and Conditions if an Alignment Event occurs, to align them with outstanding capital instruments that qualify as Tier 2 and PCC and which have a write-down feature.
Call notice period
Not less than 30 and not more than 60 days
Law
Swiss Law except The Agency Agreement which will be governed by English law and Underwriting Agreement which will be governed by New York law.
Special features
Issuer cannot redeem the notes under an Alignment Event if the Terms and Conditions are amended.
Source: Prospectus
20 March 2014
44
Barclays | European Banks FIGURE 44 UBS 4 ¾% 2026 (EUR)
Bond
UBS 4 3/4 02/12/26
ISIN
CH0236733827
Issuer
UBS AG
Coupon
4.750%
Issue Date
13/02/2014
Amount Issued (mn)
EUR 2,000
Maturity
12/02/2026
Call date
12-Feb-21; Once only call
Back-end (bp)
ms +340bps
Ranking
Tier 2
Optional coupon deferral
Not applicable
Mandatory coupon deferral
Not applicable
Payment of deferred coupons
Not applicable
Dividend stopper
Not applicable
Dividend pusher
Not applicable
Contingent trigger
5% of CET1 capital + high trigger Cocos to RWAs
Loss absorption mechanism
100% permanent Principal Writedown
PoNV
Yes
Regulatory call
Yes at par if full disqualification as 1) Tier 2 under Basel 3 regs and/or 2) as Progressive Capital Component (PCC) ; OR at 101% if either a) there is a change in PCC requirement whereby a change in regulation reduces or eliminates the required amount of PCC and the group has more than is required or b) an Alignment Event occurs, whereby due to a change in national regulation, Swiss issuers are permitted to issue a Tier 2 and PCC compliant structure which, had this been included in these Terms and Conditions would not have qualified as Tier 2 and PCC prior to the changes.
Substitution/variation
Substitution of entity is permitted with no less than 10 and no more than 30 days notice provided that at least 95% of substitute entity is held by UBS AG. Issuer is also permitted to vary Terms and Conditions if an Alignment Event occurs, to align them with outstanding capital instruments that qualify as Tier 2 and PCC and which have a write-down feature.
Call notice period
Not less than 30 and not more than 60 days
Law
Swiss Law
Special features
None
Source: Prospectus
20 March 2014
45
Analyst Certification We, Yulia di Mambro, Jonathan Glionna, Shobhit Gupta, Christy Hajiloizou and Dominik Winnicki, hereby certify (1) that the views expressed in this research report accurately reflect our personal views about any or all of the subject securities or issuers referred to in this research report and (2) no part of our compensation was, is or will be directly or indirectly related to the specific recommendations or views expressed in this research report. Important Disclosures: Barclays Research is a part of the Corporate and Investment Banking division of Barclays Bank PLC and its affiliates (collectively and each individually, "Barclays"). For current important disclosures regarding companies that are the subject of this research report, please send a written request to: Barclays Research Compliance, 745 Seventh Avenue, 14th Floor, New York, NY 10019 or refer to http://publicresearch.barclays.com or call 212-526-1072. Barclays Capital Inc. and/or one of its affiliates does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that Barclays may have a conflict of interest that could affect the objectivity of this report. Barclays Capital Inc. and/or one of its affiliates regularly trades, generally deals as principal and generally provides liquidity (as market maker or otherwise) in the debt securities that are the subject of this research report (and related derivatives thereof). Barclays trading desks may have either a long and / or short position in such securities, other financial instruments and / or derivatives, which may pose a conflict with the interests of investing customers. Where permitted and subject to appropriate information barrier restrictions, Barclays fixed income research analysts regularly interact with its trading desk personnel regarding current market conditions and prices. Barclays fixed income research analysts receive compensation based on various factors including, but not limited to, the quality of their work, the overall performance of the firm (including the profitability of the investment banking department), the profitability and revenues of the Fixed Income, Currencies and Commodities Division and the potential interest of the firm’s investing clients in research with respect to the asset class covered by the analyst. To the extent that any historical pricing information was obtained from Barclays trading desks, the firm makes no representation that it is accurate or complete. All levels, prices and spreads are historical and do not represent current market levels, prices or spreads, some or all of which may have changed since the publication of this document. Barclays produces various types of research including, but not limited to, fundamental analysis, equity-linked analysis, quantitative analysis, and trade ideas. Recommendations contained in one type of research may differ from recommendations contained in other types of research, whether as a result of differing time horizons, methodologies, or otherwise. Unless otherwise indicated, Barclays trade ideas are provided as of the date of this report and are subject to change without notice due to changes in prices. In order to access Barclays Statement regarding Research Dissemination Policies and Procedures, please refer to https://live.barcap.com/publiccp/RSR/nyfipubs/disclaimer/disclaimer-research-dissemination.html. In order to access Barclays Research Conflict Management Policy Statement, please refer to: http://group.barclays.com/corporates-and-institutions/research/research-policy. Other Material Conflicts The Corporate and Investment Banking division of Barclays is providing investment banking services to Credit Agricole SA in relation to the sale of their stake in Newedge Group SA to Societe Generale SA and the acquisition of a stake in Amundi Group SA from Societe Generale.
Explanation of the Barclays Research High Grade Sector Weighting System Overweight: Expected six-month excess return of the sector exceeds the six-month expected excess return of the Barclays U.S. Credit Index, the PanEuropean Credit Index, or the EM Asia USD High Grade Credit Index, as applicable. Market Weight: Expected six-month excess return of the sector is in line with the six-month expected excess return of the Barclays U.S. Credit Index, the Pan-European Credit Index, or the EM Asia USD High Grade Credit Index, as applicable. Underweight: Expected six-month excess return of the sector is below the six-month expected excess return of the Barclays U.S. Credit Index, the PanEuropean Credit Index, or the EM Asia USD High Grade Credit Index, as applicable. Explanation of the Barclays Research High Grade Credit Rating System The High Grade Credit rating system is based on the analyst's view of the expected excess returns over a six-month period of the issuer's index-eligible corporate debt securities relative to the Barclays U.S. Credit Index, the Pan-European Credit Index or the EM Asia USD High Grade Credit Index, as applicable. Overweight: The analyst expects the issuer's index-eligible corporate bonds to provide positive excess returns relative to the Barclays U.S. Credit Index, the Pan-European Credit Index, or the EM Asia USD High Grade Credit Index over the next six months. Market Weight: The analyst expects the issuer's index-eligible corporate bonds to provide excess returns in line with the Barclays U.S. Credit Index, the Pan-European Credit Index, or the EM Asia USD High Grade Credit Index over the next six months. Underweight: The analyst expects the issuer's index-eligible corporate bonds to provide negative excess returns relative to the Barclays U.S. Credit Index, the Pan-European Credit Index, or the EM Asia USD High Grade Credit Index over the next six months. Rating Suspended (RS): The rating has been suspended temporarily due to market events that make coverage impracticable or to comply with applicable regulations and/or firm policies in certain circumstances including where the Corporate and Investment Banking division of Barclays is acting in an advisory capacity in a merger or strategic transaction involving the company. Coverage Suspended (CS): Coverage of this issuer has been temporarily suspended. Not Rated (NR): An issuer which has not been assigned a formal rating. For Australia issuers, the ratings are relative to the Barclays U.S. Credit Index or Pan-European Credit Index, as applicable.
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