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Page 0. Page 1 CRD IV Capital Requirements Source: BIS, EC, CA-CIB Capital Requirements Filled Only with Common Equity assuming full usage of AT1 and.

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Presentation on theme: "Page 0. Page 1 CRD IV Capital Requirements Source: BIS, EC, CA-CIB Capital Requirements Filled Only with Common Equity assuming full usage of AT1 and."— Presentation transcript:

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2 Page 1 CRD IV Capital Requirements Source: BIS, EC, CA-CIB Capital Requirements Filled Only with Common Equity assuming full usage of AT1 and T2 buckets Instruments to Contribute to Capital Requirements Conservation Buffer 2.5% Common Equity Tier 1 4.5% Common Equity Tier 1 4.5% Pillar 2 Requirements Tier 2 2% Additional Tier 1 1.5% Phase-in (Standard CRD IV Requirements – subject to NSA Implementation) Jan Minimum Common Equity Tier 1 (CET1) Ratio4.5% Capital Conservation Buffer %1.25%1.875%2.5% Minimum Common Equity Tier 1 plus Capital Conservation Buffer4.5% 5.125%5.75%6.375%7.0% Minimum Tier 1 Capital6.0% Minimum Total Capital8.0% Minimum Total Capital plus Conservation Buffer8.0% 8.625%9.25%9.875%10.5% Conservation Buffer 2.5% BCCS BCCS (?) Tier 2 Coco (?) Tier 2 Coco Tier 2 AT1 New AT1 and the EBA-compliant BCCS will be counted as Additional Tier 1 instruments and contributing to the Total Capital Ratio Tier 2-hosted CoCos will also contribute to the Tier 2 requirement EBA BCCS, AT1s and Tier 2-hosted CoCos will potentially be included in Pillar 2 requirements by national regulators, or provide stress test capital. % At the end of the phase-in implementation Countercyclical Buffer 0% - 2.5% (or more) Higher of Systemic Risk, G-SIFI and O-SII Buffers 0% - 5% Countercyclical Buffer 0% - 2.5% 6% Min. Tier 1 8% Min. Total Capital AT1 (?) Total Capital Requirements Combined Buffer Higher of Systemic Risk, G-SIFI and O-SII Buffers 0% - 5% Combined Buffer Requirement Restrictions on distributions are linear as the combined buffer requirement falls below 60% 40% 20% 0%

3 Page 2 European Bank Capital Securities Issuance FI Hybrid Market Update (YTD) Issuance – Breakdown by CCY and Type Source: Crédit Agricole CIB, Bloomberg, Dealogic 24,000 EUR Bn Tier 10,69,220,7 Tier 229,739,615,3

4 Page 3 List of Recent European Transactions FI Hybrid Bond Market Update Source: Crédit Agricole CIB, Bloomberg Issuer Type T1/T2 Announc. Date IssuerCountryIssue RatingsCCYAmt (m)CPNMaturity DateFirst Call DateI-SpreadYTCYTMPrice BankT128-Mar-14Societe GeneraleFranceBa3e/-/BBeEUR1, %Perpetual07/04/ BankT127-Mar-14UnicreditItaly-/-/BB-eUSD1, %Perpetual03/06/ BankT221-Mar-14Standard CharteredUKA3/A-/A+USD2, %26/03/ BankT220-Mar-14RBSUKBa3/BB+/BBB-EUR1, %25/03/202425/03/ BankT119-Mar-14Lloyds Banking GroupUK-/BB-/BBEUR %Perpetual27/06/ BankT119-Mar-14Lloyds Banking GroupUK-/BB-/BBGBP1, %Perpetual27/06/ BankT119-Mar-14Lloyds Banking GroupUK-/BB-/BBGBP1, %Perpetual27/06/ BankT119-Mar-14Lloyds Banking GroupUK-/BB-/BBGBP %Perpetual27/06/ InsT219-Mar-14COFACEFranceBaa1/-/A-EUR %27/03/ BankT213-Mar-14BNP ParibasFranceBaa3/A-/AEUR1, %20/03/202620/03/ BankT112-Mar-14KBC Group NVBelgium-/BB/BBEUR1, %Perpetual19/03/ BankT211-Mar-14Aareal BankGermany-/-/BBB-EUR %18/03/202618/03/ BankT105-Mar-14SantanderSpainBa2e/-/-EUR1, %Perpetual12/03/ BankT205-Mar-14HSBCUKA3/A-/A+USD2, %14/03/ BankT205-Mar-14HSBCUKA3/A-/A+USD1, %14/03/ BankT105-Mar-14Danske Bank A/SDenmark-/BB+/BB+EUR %Perpetual06/04/ BankT104-Mar-14Nationwide Building SocietyUK-/BB+/BB+GBP1, %Perpetual20/06/ BankT218-Feb-14ING BankNetherlandsBaa2/BBB+/A-EUR1, %25/02/202625/02/ BankT217-Feb-14SwedbankSweden-/BBB+/AEUR %26/02/202426/02/ BankT213-Feb-14Raiffeisen Bank InternationalAustriaBaa3/BBB/-EUR %21/02/202521/02/ BankT111-Feb-14BBVASpainNR/-/BB-EUR1, %Perpetual19/02/ BankT2 CoCo06-Feb-14UBS AGSwitzerland-/BBB-/BBB+EUR2, %12/02/202612/02/ InsT222-Jan-14Allianz SEGermanyA2e/A+/ACHF %Perpetual04/07/ BankT216-Jan-14Standard CharteredUKA3/A-/A+SGD %23/01/202623/01/ BankT115-Jan-14Credit Agricole SAFranceNR/BB+/BB+USD1, %Perpetual23/01/ BankT214-Jan-14Societe GeneraleFranceBaa3/BBB+/BBB+USD1, %17/01/ BankT213-Jan-14BPCEFranceBaa3/BBB+/A-USD1, %21/07/ BankT110-Jan-14RabobankNetherlands-/-/-EUR5, %Perpetual InsT208-Jan-14AXA SAFranceA3/BBB/BBBGBP %16/01/205416/01/ BankT206-Jan-14Svenska HandelsbankenSwedenBaa1/A/A+EUR1, %15/01/202415/01/ BankT216-Dec-13Royal Bank of Scotland GroupUKBa3/BB+/BBB-USD2, %19/12/ InsT212-Dec-13 Societa Cattolica di Assicurazioni Italy-/BB+/-EUR %17/12/204317/12/ BankT111-Dec-13Societe GeneraleFranceBa3/BB+/BBUSD1, %Perpetual18/12/ InsT204-Dec-13Prudential plcUKA3/A-/BBB+GBP %19/12/206319/12/ BankT104-Dec-13Credit SuisseSwitzerland-/BB-/BB+USD2, %Perpetual11/12/ BankT103-Dec-13BarclaysUKNR/B+/BB+EUR1, %Perpetual15/12/ BankT202-Dec-13Danske Bank A/SDenmark-/BBB-/A-CHF %18/12/202518/12/

5 Page 4 AT1 Structural Comparison – Equity Conversion Additional Tier 1 Capital Announcement 5 Mar Mar Feb Dec October 2013 CCY Amt. EUR 1.5bnGBP 1bnEUR 1.5bnEUR 1bn EUR 500m MaturityPerpetual 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 + Reset6.875% / Fixed + Reset7% / Fixed + Reset8% / Fixed + Reset 11.5% / Fixed + Reset Optional DeferralYes Mandatory Deferral Yes (Distributable Items, MDA, Regulatory Intervention) Yes (distributable items, MDA or solvency test) Yes (Distributable Items, MDA, Regulatory Intervention) Yes (distributable items, MDA or solvency test) Yes (Distributable Items, MDA, Regulatory Intervention) ArrearsNon-cumulative Loss Absorption Conversion into sharesConversion into CCDS (*)Conversion into shares Trigger Event(s) CET1 < 5.125% (Transitional) (Bank or Group) CET1 < 7% (Fully loaded) 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 Higher of the 5-day arithmetic mean of the closing price prior to the conversion notice, the floor price and the nominal value 66.6% of share price at issuance Higher of the 5-day arithmetic mean of the closing price prior to the conversion notice, the floor price and the nominal value 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.Statutory Issue Ratings (M/S&P/F) Ba2 / - / -- / BB+/ BB+- / - /BB-- /B+/ BB+- / - / - (*) Core Capital Deferred Shares

6 Page 5 AT1 Structural Comparison – Temporary W/D Additional Tier 1 Capital Announcement 12 Mar Mar Jan December August 2013 CCY Amt. EUR 1.4bnEUR 750mUSD 1.75bn USD 1.25bn MaturityPerpetual 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 + Reset5.75% / Fixed + Reset7.875% / Fixed + Reset 8.25% / Fixed + Reset Optional DeferralYes Mandatory DeferralYes (Distributable Items, MDA)Yes, subject to Relevant Rules Yes (Distributable Items, MDA, Regulatory Intervention) ArrearsNon-cumulative Loss AbsorptionTemporary 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% 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 (*) 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 Yes, subject to the new terms being non-detrimental PONV StatutoryStatutory + T&C Ref.Statutory 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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