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CRD IV Capital Requirements

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Presentation on theme: "CRD IV Capital Requirements"— Presentation transcript:

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1 CRD IV Capital Requirements
At the end of the phase-in implementation Total Capital Requirements Instruments to Contribute to Capital Requirements Capital Requirements Filled Only with Common Equity assuming full usage of AT1 and T2 buckets Pillar 2 Requirements BCCS (?) Tier 2 Coco (?) AT1 (?) Higher of Systemic Risk, G-SIFI and O-SII Buffers 0% - 5% EBA BCCS, AT1s and Tier 2-hosted CoCos will potentially be included in Pillar 2 requirements by national regulators, or provide stress test capital. Restrictions on distributions are linear as the combined buffer requirement falls below 60% Higher of Systemic Risk, G-SIFI and O-SII Buffers 0% - 5% Combined Buffer Countercyclical Buffer 0% - 2.5% Tier 2-hosted CoCos will also contribute to the Tier 2 requirement 40% Conservation Buffer 2.5% Combined Buffer Requirement Countercyclical Buffer 0% - 2.5% (or more) 20% Tier 2 2% Tier 2 Coco Tier 2 0% Conservation Buffer 2.5% Additional Tier 1 1.5% BCCS AT1 8% Min. Total Capital 6% Min. Tier 1 Common Equity Tier 1 4.5% Common Equity Tier 1 4.5% New AT1 and the EBA-compliant BCCS will be counted as Additional Tier 1 instruments and contributing to the Total Capital Ratio % % Phase-in (Standard CRD IV Requirements – subject to NSA Implementation) 2014 2015 2016 2017 2018 1 Jan. 2019 Minimum Common Equity Tier 1 (CET1) Ratio 4.5% Capital Conservation Buffer - 0.625% 1.25% 1.875% 2.5% Minimum Common Equity Tier 1 plus Capital Conservation Buffer 5.125% 5.75% 6.375% 7.0% Minimum Tier 1 Capital 6.0% Minimum Total Capital 8.0% Minimum Total Capital plus Conservation Buffer 8.625% 9.25% 9.875% 10.5% Source: BIS, EC, CA-CIB

2 European Bank Capital Securities Issuance
FI Hybrid Market Update European Bank Capital Securities Issuance European Bank Capital Securities Issuance 24,000 EUR Bn 2012 2013 2014 Tier 1 0,6 9,2 20,7 Tier 2 29,7 39,6 15,3 (YTD) Issuance – Breakdown by CCY and Type Source: Crédit Agricole CIB, Bloomberg, Dealogic

3 List of Recent European Transactions
FI Hybrid Bond Market Update List of Recent European Transactions Issuer Type T1/T2 Announc. Date Issuer Country Issue Ratings CCY Amt (m) CPN Maturity Date First Call Date I-Spread YTC YTM Price Bank T1 28-Mar-14 Societe Generale France Ba3e/-/BBe EUR 1,000 6.750% Perpetual 07/04/2021 - 27-Mar-14 Unicredit Italy -/-/BB-e USD 1,250 8.000% 03/06/2024 500.85 7.87 8.43 101.02 T2 21-Mar-14 Standard Chartered UK A3/A-/A+ 2,000 5.700% 26/03/2044 222.15 5.75 99.74 20-Mar-14 RBS Ba3/BB+/BBB- 3.625% 25/03/2024 25/03/2019 294.38 3.90 4.53 98.92 19-Mar-14 Lloyds Banking Group -/BB-/BB 750 6.375% 27/06/2020 490.19 5.95 7.54 102.41 GBP 1,481 7.000% 27/06/2019 476.11 6.76 8.10 101.26 1,494 7.625% 27/06/2023 452.70 7.16 7.92 103.39 7.875% 27/06/2029 429.52 7.31 7.67 105.41 Ins COFACE Baa1/-/A- 380 4.125% 27/03/2024 216.31 3.93 101.76 13-Mar-14 BNP Paribas Baa3/A-/A 1,500 2.875% 20/03/2026 20/03/2021 158.38 2.90 3.57 99.97 12-Mar-14 KBC Group NV Belgium -/BB/BB 1,400 5.625% 19/03/2019 526.50 6.07 7.34 98.28 11-Mar-14 Aareal Bank Germany -/-/BBB- 300 4.250% 18/03/2026 18/03/2021 264.57 3.96 4.65 101.96 05-Mar-14 Santander Spain Ba2e/-/- 6.250% 12/03/2019 591.39 6.69 7.97 98.35 HSBC 14/03/2024 141.25 4.25 100.00 5.250% 14/03/2044 163.32 5.16 101.35 Danske Bank A/S Denmark -/BB+/BB+ 5.750% 06/04/2020 468.76 6.96 100.18 04-Mar-14 Nationwide Building Society 6.875% 20/06/2019 467.18 6.73 7.90 100.81 18-Feb-14 ING Bank Netherlands Baa2/BBB+/A- 25/02/2026 25/02/2021 221.84 3.52 4.16 100.79 17-Feb-14 Swedbank Sweden -/BBB+/A 2.375% 26/02/2024 26/02/2019 140.97 2.35 3.56 100.24 13-Feb-14 Raiffeisen Bank International Austria Baa3/BBB/- 500 4.500% 21/02/2025 21/02/2020 368.64 4.81 5.35 98.71 11-Feb-14 BBVA NR/-/BB- 19/02/2019 603.07 6.79 8.53 101.09 T2 CoCo 06-Feb-14 UBS AG Switzerland -/BBB-/BBB+ 4.750% 12/02/2026 12/02/2021 304.03 4.34 5.06 102.59 22-Jan-14 Allianz SE A2e/A+/A CHF 3.250% 04/07/2019 193.51 2.45 4.11 104.15 16-Jan-14 SGD 700 4.400% 23/01/2026 23/01/2021 183.55 4.06 4.78 102.13 15-Jan-14 Credit Agricole SA NR/BB+/BB+ 1,750 23/01/2024 432.51 7.07 8.00 105.63 14-Jan-14 Baa3/BBB+/BBB+ 5.000% 17/01/2024 219.39 5.01 99.90 13-Jan-14 BPCE Baa3/BBB+/A- 5.150% 21/07/2024 213.93 5.02 101.04 10-Jan-14 Rabobank -/-/- 5,949 6.500% 373.97 6.19 106.81 08-Jan-14 AXA SA A3/BBB/BBB 16/01/2054 16/01/2034 241.49 5.67 5.74 99.94 06-Jan-14 Svenska Handelsbanken Baa1/A/A+ 2.656% 15/01/2024 15/01/2019 134.29 2.26 3.10 101.90 16-Dec-13 Royal Bank of Scotland Group 6.000% 19/12/2023 256.16 5.37 104.72 12-Dec-13 Societa Cattolica di Assicurazioni -/BB+/- 100 7.250% 17/12/2043 17/12/2023 472.97 6.31 7.68 107.25 11-Dec-13 Ba3/BB+/BB 18/12/2023 455.41 7.36 8.12 103.50 04-Dec-13 Prudential plc A3/A-/BBB+ 19/12/2063 19/12/2043 243.73 5.72 100.44 Credit Suisse -/BB-/BB+ 2,250 7.500% 11/12/2023 350.70 7.38 108.50 03-Dec-13 Barclays NR/B+/BB+ 15/12/2020 604.29 7.12 8.80 104.89 02-Dec-13 -/BBB-/A- 150 3.125% 18/12/2025 18/12/2020 Source: Crédit Agricole CIB, Bloomberg

4 AT1 Structural Comparison – Equity Conversion
Additional Tier 1 Capital AT1 Structural Comparison – Equity Conversion Announcement 5 Mar 2014 4 Mar 2014 11 Feb 2014 3 Dec 2013 1 October 2013 CCY Amt. EUR 1.5bn GBP 1bn EUR 1bn EUR 500m Maturity Perpetual First Call Date / Call Frequency Mar. 12, 2019 – NC5 / Every interest payment thereafter June 20, 2019 – NC5 / Anytime thereafter Feb. 19, 2019 – NC5 / Anytime thereafter Dec. 15, 2020 – NC7 / Every 5 year thereafter 10 Oct – NC5 / Anytime thereafter Coupon /Structure 6.25% / Fixed + Reset 6.875% / Fixed + Reset 7% / Fixed + Reset 8% / Fixed + Reset 11.5% / Fixed + Reset Optional Deferral Yes Mandatory Deferral Yes (Distributable Items, MDA, Regulatory Intervention) Yes (distributable items, MDA or solvency test) Arrears Non-cumulative Loss Absorption Conversion into shares Conversion into CCDS (*) Trigger Event(s) CET1 < 5.125% (Transitional) (Bank or Group) CET1 < 7% (Fully loaded) (i) If CET1 ratio < 5.125% or (ii) Tier 1 ratio is < 6% and the Bank/Group has reported loses in the last 4 Qs resulting in reserves being reduced by 1/3 or more Conversion Price Higher of the 5-day arithmetic mean of the closing price prior to the conversion notice, the floor price and the nominal value £80 66.6% of share price at issuance Special Event Calls Regulatory and Tax calls at par Variation Language - Yes, subject to the new terms being non-detrimental PONV Statutory Statutory + T&C Ref. Issue Ratings (M/S&P/F) Ba2 / - / - - / BB+/ BB+ - / - /BB- - /B+/ BB+ - / - / - (*) Core Capital Deferred Shares

5 AT1 Structural Comparison – Temporary W/D
Additional Tier 1 Capital AT1 Structural Comparison – Temporary W/D Announcement 12 Mar 2014 5 Mar 2014 15 Jan 2014 11 December 2013 29 August 2013 CCY Amt. EUR 1.4bn EUR 750m USD 1.75bn USD 1.25bn Maturity Perpetual First Call Date / Call Frequency Mar. 19, 2019 – NC5 / Every 5 year thereafter June 6, 2020 – NC6 / Every interest payment thereafter Jan. 23, 2024 – NC10 / Every 5 year thereafter (*) Dec. 18, 2023 – NC10 / Every 5 year thereafter Nov. 29, 2018 – NC5 / Every 5 year thereafter Coupon /Structure 5.625% / Fixed + Reset 5.75% / Fixed + Reset 7.875% / Fixed + Reset 8.25% / Fixed + Reset Optional Deferral Yes Mandatory Deferral Yes (Distributable Items, MDA) Yes, subject to Relevant Rules Yes (Distributable Items, MDA, Regulatory Intervention) Arrears Non-cumulative Loss Absorption Temporary Write-Down Trigger Event(s) CET1 < 5.125% (Transitional) CET1 < 7% (Transitional) (Bank of Group) CET1 < 5.125% (Transitional) (Bank) or CET1 < 7% (Transitional) (Group) Prior to CRD IV implementation, EBA CT1 < 5.125% After CRD IV implementation CET1 (Transitional) < 5.125% Conversion Price NA Special Event Calls Regulatory and Tax calls at current principal amount Regulatory and Tax calls at current principal amount (*) Variation Language Yes, subject to the new terms being non-detrimental Yes, subject to the new terms being non-detrimental + Alignment Event PONV Statutory Statutory + T&C Ref. Issue Ratings (M/S&P/F) - / BB / BB (S&P / Fitch) - / BB+ / BB+ (S&P / Fitch) Ba3 / BB+ / BB (Moody’s / S&P / Fitch) (*) Subject to the current principal amount being equal to the original principal amount Source: Crédit Agricole CIB, Relevant Prospectus

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