Page 0
CRD IV Capital Requirements
At the end of the phase-in implementation
Total Capital Requirements
Capital Requirements
Filled Only with Common Equity assuming
full usage of AT1 and T2 buckets
Instruments to Contribute to Capital Requirements
20.0
Pillar 2
Requirements
BCCS (?)
Tier 2
Coco (?)
AT1 (?)
18.0
40%
Countercyclical
Buffer
0% - 2.5% (or more)
Conservation
Buffer
2.5%
0%
10.0
%
Tier 2-hosted CoCos will also
contribute to the Tier 2 requirement
Conservation
Buffer
2.5%
8.0
Tier 2
2%
6.0
4.0
Common Equity
Tier 1
4.5%
Countercyclical
Buffer
0% - 2.5%
12.0
2.0
%
EBA BCCS, AT1s and Tier 2-hosted CoCos will
potentially be included in Pillar 2 requirements by
national regulators, or provide stress test capital.
8% Min. Total Capital
20%
14.0
6% Min. Tier 1
Higher of
Systemic Risk,
G-SIFI and O-SII
Buffers
0% - 5%
Combined Buffer Requirement
60%
Combined Buffer
Restrictions on distributions are linear as the
combined buffer requirement falls below
Higher of
Systemic Risk,
G-SIFI and O-SII
Buffers
0% - 5%
16.0
Additional Tier 1
1.5%
Common Equity
Tier 1
4.5%
Tier 2
Coco
Tier 2
BCCS
AT1
New AT1 and the EBA-compliant BCCS will be
counted as Additional Tier 1 instruments and
contributing to the Total Capital Ratio
0.0
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%
4.5%
4.5%
4.5%
4.5%
4.5%
-
-
0.625%
1.25%
1.875%
2.5%
Minimum Common Equity Tier 1 plus Capital Conservation Buffer
4.5%
4.5%
5.125%
5.75%
6.375%
7.0%
Minimum Tier 1 Capital
6.0%
6.0%
6.0%
6.0%
6.0%
6.0%
Minimum Total Capital
8.0%
8.0%
8.0%
8.0%
8.0%
8.0%
Minimum Total Capital plus Conservation Buffer
8.0%
8.0%
8.625%
9.25%
9.875%
10.5%
Capital Conservation Buffer
Source: BIS, EC, CA-CIB
Page 1
FI Hybrid Market Update
European Bank Capital Securities Issuance
European Bank Capital Securities Issuance
10,000
EUR (m)
24,000
12,000
2012
2013
2014
8,000
6,000
4,000
2,000
0
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
EUR Bn
2012
2013
2014
Tier 1
0,6
9,2
20,7
Tier 2
29,7
39,6
15,3
Dec
2013-2014(YTD) Issuance – Breakdown by CCY and Type
T1
30%
Other
10%
Callable
T2
32%
EUR
43%
USD
45%
Bullet
T2
38%
Page 2
CHF
2%
Source: Crédit Agricole CIB, Bloomberg, Dealogic
FI Hybrid Bond Market Update
List of Recent European Transactions
Issuer
Type
T1/T2
Bank
T1
Bank
T1
Bank
T2
Bank
T2
Bank
T1
Bank
T1
Bank
T1
Bank
T1
Ins
T2
Bank
T2
Bank
T1
Bank
T2
Bank
T1
Bank
T2
Bank
T2
Bank
T1
Bank
T1
Bank
T2
Bank
T2
Bank
T2
Bank
T1
Bank T2 CoCo
Ins
T2
Bank
T2
Bank
T1
Bank
T2
Bank
T2
Bank
T1
Ins
T2
Bank
T2
Bank
T2
Ins
T2
Bank
Ins
Bank
Bank
Bank
T1
T2
T1
T1
T2
Page 3
Announc.
Date
Issuer
28-Mar-14
Societe Generale
27-Mar-14
Unicredit
21-Mar-14
Standard Chartered
20-Mar-14
RBS
19-Mar-14
Lloyds Banking Group
19-Mar-14
Lloyds Banking Group
19-Mar-14
Lloyds Banking Group
19-Mar-14
Lloyds Banking Group
19-Mar-14
COFACE
13-Mar-14
BNP Paribas
12-Mar-14
KBC Group NV
11-Mar-14
Aareal Bank
05-Mar-14
Santander
05-Mar-14
HSBC
05-Mar-14
HSBC
05-Mar-14
Danske Bank A/S
04-Mar-14 Nationwide Building Society
18-Feb-14
ING Bank
17-Feb-14
Swedbank
13-Feb-14 Raiffeisen Bank International
11-Feb-14
BBVA
06-Feb-14
UBS AG
22-Jan-14
Allianz SE
16-Jan-14
Standard Chartered
15-Jan-14
Credit Agricole SA
14-Jan-14
Societe Generale
13-Jan-14
BPCE
10-Jan-14
Rabobank
08-Jan-14
AXA SA
06-Jan-14
Svenska Handelsbanken
16-Dec-13 Royal Bank of Scotland Group
Societa Cattolica di
12-Dec-13
Assicurazioni
11-Dec-13
Societe Generale
04-Dec-13
Prudential plc
04-Dec-13
Credit Suisse
03-Dec-13
Barclays
02-Dec-13
Danske Bank A/S
Source: Crédit Agricole CIB, Bloomberg
Country
Issue Ratings
CCY
Amt (m)
CPN
Maturity Date
First Call Date
I-Spread
YTC
YTM
Price
France
Italy
UK
UK
UK
UK
UK
UK
France
France
Belgium
Germany
Spain
UK
UK
Denmark
UK
Netherlands
Sweden
Austria
Spain
Switzerland
Germany
UK
France
France
France
Netherlands
France
Sweden
UK
Ba3e/-/BBe
-/-/BB-e
A3/A-/A+
Ba3/BB+/BBB-/BB-/BB
-/BB-/BB
-/BB-/BB
-/BB-/BB
Baa1/-/ABaa3/A-/A
-/BB/BB
-/-/BBBBa2e/-/A3/A-/A+
A3/A-/A+
-/BB+/BB+
-/BB+/BB+
Baa2/BBB+/A-/BBB+/A
Baa3/BBB/NR/-/BB-/BBB-/BBB+
A2e/A+/A
A3/A-/A+
NR/BB+/BB+
Baa3/BBB+/BBB+
Baa3/BBB+/A-/-/A3/BBB/BBB
Baa1/A/A+
Ba3/BB+/BBB-
EUR
USD
USD
EUR
EUR
GBP
GBP
GBP
EUR
EUR
EUR
EUR
EUR
USD
USD
EUR
GBP
EUR
EUR
EUR
EUR
EUR
CHF
SGD
USD
USD
USD
EUR
GBP
EUR
USD
1,000
1,250
2,000
1,000
750
1,481
1,494
750
380
1,500
1,400
300
1,500
2,000
1,500
750
1,000
1,500
750
500
1,500
2,000
500
700
1,750
1,000
1,500
5,949
750
1,500
2,000
6.750%
8.000%
5.700%
3.625%
6.375%
7.000%
7.625%
7.875%
4.125%
2.875%
5.625%
4.250%
6.250%
4.250%
5.250%
5.750%
6.875%
3.625%
2.375%
4.500%
7.000%
4.750%
3.250%
4.400%
7.875%
5.000%
5.150%
6.500%
5.625%
2.656%
6.000%
Perpetual
Perpetual
26/03/2044
25/03/2024
Perpetual
Perpetual
Perpetual
Perpetual
27/03/2024
20/03/2026
Perpetual
18/03/2026
Perpetual
14/03/2024
14/03/2044
Perpetual
Perpetual
25/02/2026
26/02/2024
21/02/2025
Perpetual
12/02/2026
Perpetual
23/01/2026
Perpetual
17/01/2024
21/07/2024
Perpetual
16/01/2054
15/01/2024
19/12/2023
07/04/2021
03/06/2024
25/03/2019
27/06/2020
27/06/2019
27/06/2023
27/06/2029
20/03/2021
19/03/2019
18/03/2021
12/03/2019
06/04/2020
20/06/2019
25/02/2021
26/02/2019
21/02/2020
19/02/2019
12/02/2021
04/07/2019
23/01/2021
23/01/2024
16/01/2034
15/01/2019
-
500.85
222.15
294.38
490.19
476.11
452.70
429.52
216.31
158.38
526.50
264.57
591.39
141.25
163.32
468.76
467.18
221.84
140.97
368.64
603.07
304.03
193.51
183.55
432.51
219.39
213.93
373.97
241.49
134.29
256.16
7.87
3.90
5.95
6.76
7.16
7.31
2.90
6.07
3.96
6.69
5.75
6.73
3.52
2.35
4.81
6.79
4.34
2.45
4.06
7.07
5.67
2.26
-
8.43
5.75
4.53
7.54
8.10
7.92
7.67
3.93
3.57
7.34
4.65
7.97
4.25
5.16
6.96
7.90
4.16
3.56
5.35
8.53
5.06
4.11
4.78
8.00
5.01
5.02
6.19
5.74
3.10
5.37
101.02
99.74
98.92
102.41
101.26
103.39
105.41
101.76
99.97
98.28
101.96
98.35
100.00
101.35
100.18
100.81
100.79
100.24
98.71
101.09
102.59
104.15
102.13
105.63
99.90
101.04
106.81
99.94
101.90
104.72
Italy
-/BB+/-
EUR
100
7.250%
17/12/2043
17/12/2023
472.97
6.31
7.68
107.25
France
UK
Switzerland
UK
Denmark
Ba3/BB+/BB
A3/A-/BBB+
-/BB-/BB+
NR/B+/BB+
-/BBB-/A-
USD
GBP
USD
EUR
CHF
1,750
700
2,250
1,000
150
7.875%
5.700%
7.500%
8.000%
3.125%
Perpetual
19/12/2063
Perpetual
Perpetual
18/12/2025
18/12/2023
19/12/2043
11/12/2023
15/12/2020
18/12/2020
455.41
243.73
350.70
604.29
-
7.36
5.72
6.31
7.12
-
8.12
5.75
7.38
8.80
-
103.50
100.44
108.50
104.89
-
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 1.5bn
EUR 1bn
EUR 500m
Maturity
Perpetual
Perpetual
Perpetual
Perpetual
Perpetual
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. 2018 – NC5 / Anytime
thereafter
6.25% / Fixed + Reset
6.875% / Fixed + Reset
7% / Fixed + Reset
8% / Fixed + Reset
11.5% / Fixed + Reset
Yes
Yes
Yes
Yes
Yes
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)
Non-cumulative
Non-cumulative
Non-cumulative
Non-cumulative
Non-cumulative
Loss Absorption
Conversion into shares
Conversion into CCDS (*)
Conversion into shares
Conversion into shares
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
Regulatory and Tax calls at par
Regulatory and Tax calls at par
Regulatory and Tax calls at par
Regulatory and Tax calls at par
Variation Language
-
Yes, subject to the new terms
being non-detrimental
-
Yes, subject to the new terms
being non-detrimental
-
PONV
Statutory
Statutory
Statutory
Statutory + T&C Ref.
Statutory
Issue Ratings
(M/S&P/F)
Ba2 / - / -
- / BB+/ BB+
- / - /BB-
- /B+/ BB+
-/-/-
First Call Date / Call
Frequency
Coupon /Structure
Optional Deferral
Mandatory Deferral
Arrears
(*) Core Capital Deferred Shares
Page 4
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 1.75bn
USD 1.25bn
Maturity
Perpetual
Perpetual
Perpetual
Perpetual
Perpetual
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
5.625% / Fixed + Reset
5.75% / Fixed + Reset
7.875% / Fixed + Reset
7.875% / Fixed + Reset
8.25% / Fixed + Reset
Yes
Yes
Yes
Yes
Yes
Yes (Distributable Items, MDA)
Yes, subject to Relevant Rules
Yes (Distributable Items, MDA,
Regulatory Intervention)
Yes (Distributable Items, MDA,
Regulatory Intervention)
Yes (Distributable Items, MDA,
Regulatory Intervention)
Non-cumulative
Non-cumulative
Non-cumulative
Non-cumulative
Non-cumulative
Loss Absorption
Temporary Write-Down
Temporary Write-Down
Temporary Write-Down
Temporary Write-Down
Temporary Write-Down
Trigger Event(s)
CET1 < 5.125% (Transitional)
CET1 < 7% (Transitional)
(Bank of Group)
Conversion Price
NA
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
Yes, subject to the new terms
being non-detrimental +
Alignment Event
Yes, subject to the new terms
being non-detrimental
Yes, subject to the new terms
being non-detrimental
Statutory
Statutory + T&C Ref.
Statutory
Statutory
Statutory
- / BB / BB (S&P / Fitch)
- / BB+ / BB+ (S&P / Fitch)
- / BB+ / BB+ (S&P / Fitch)
Ba3 / BB+ / BB (Moody’s / S&P /
Fitch)
Ba3 / BB+ / BB (Moody’s / S&P /
Fitch)
First Call Date / Call
Frequency
Coupon /Structure
Optional Deferral
Mandatory Deferral
Arrears
PONV
Issue Ratings
(M/S&P/F)
CET1 < 5.125% (Transitional)
Prior to CRD IV implementation,
Prior to CRD IV implementation,
(Bank)
EBA CT1 < 5.125%
EBA CT1 < 5.125%
or
After CRD IV implementation CET1 After CRD IV implementation CET1
CET1 < 7% (Transitional) (Group)
(Transitional) < 5.125%
(Transitional) < 5.125%
NA
NA
NA
Regulatory and Tax calls at current Regulatory and Tax calls at current Regulatory and Tax calls at current
principal amount
principal amount (*)
principal amount
(*) Subject to the current principal amount being equal to the original principal amount
Page 5
Source: Crédit Agricole CIB, Relevant Prospectus
Page 6