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CRD IV Capital Requirements

Source: BIS, EC, CA-CIB

0.0

2.0

4.0

6.0

8.0

10.0

12.0

14.0

16.0

18.0

20.0Capital 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 14.5%

Common Equity Tier 14.5%

Pillar 2 Requirements

Tier 22%

Additional Tier 11.5%

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%

Capital Conservation Buffer - - 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%

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 Buffers0% - 5%

Countercyclical Buffer

0% - 2.5%

6% M

in. T

ier

18%

Min

. To

tal Cap

ital

AT1 (?)

Total Capital Requirements

Co

mb

ined

Bu

ffer

Higher of Systemic Risk,

G-SIFI and O-SII Buffers0% - 5%

Co

mb

ined

Bu

ffer Req

uirem

ent

Restrictions on distributions are linear as the combined buffer requirement falls below

60%

40%

20%

0%

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0

2,000

4,000

6,000

8,000

10,000

12,000

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

EUR

(m

)

2012 2013 2014

European Bank Capital Securities Issuance

European Bank Capital Securities IssuanceFI Hybrid Market Update

2013-2014(YTD) Issuance – Breakdown by CCY and Type

Source: Crédit Agricole CIB, Bloomberg, Dealogic

24,000

Callable T2

32%

Bullet T2

38%

T130% EUR

43%

CHF2%

USD45%

Other10%

EUR Bn 2012 2013 2014

Tier 1 0,6 9,2 20,7

Tier 2 29,7 39,6 15,3

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List of Recent European TransactionsFI Hybrid Bond Market Update

Source: Crédit Agricole CIB, Bloomberg

Issuer Type

T1/T2Announc.

DateIssuer 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 - - - -Bank T1 27-Mar-14 Unicredit Italy -/-/BB-e USD 1,250 8.000% Perpetual 03/06/2024 500.85 7.87 8.43 101.02Bank T2 21-Mar-14 Standard Chartered UK A3/A-/A+ USD 2,000 5.700% 26/03/2044 - 222.15 - 5.75 99.74Bank T2 20-Mar-14 RBS UK Ba3/BB+/BBB- EUR 1,000 3.625% 25/03/2024 25/03/2019 294.38 3.90 4.53 98.92Bank T1 19-Mar-14 Lloyds Banking Group UK -/BB-/BB EUR 750 6.375% Perpetual 27/06/2020 490.19 5.95 7.54 102.41Bank T1 19-Mar-14 Lloyds Banking Group UK -/BB-/BB GBP 1,481 7.000% Perpetual 27/06/2019 476.11 6.76 8.10 101.26Bank T1 19-Mar-14 Lloyds Banking Group UK -/BB-/BB GBP 1,494 7.625% Perpetual 27/06/2023 452.70 7.16 7.92 103.39Bank T1 19-Mar-14 Lloyds Banking Group UK -/BB-/BB GBP 750 7.875% Perpetual 27/06/2029 429.52 7.31 7.67 105.41Ins T2 19-Mar-14 COFACE France Baa1/-/A- EUR 380 4.125% 27/03/2024 - 216.31 - 3.93 101.76

Bank T2 13-Mar-14 BNP Paribas France Baa3/A-/A EUR 1,500 2.875% 20/03/2026 20/03/2021 158.38 2.90 3.57 99.97Bank T1 12-Mar-14 KBC Group NV Belgium -/BB/BB EUR 1,400 5.625% Perpetual 19/03/2019 526.50 6.07 7.34 98.28Bank T2 11-Mar-14 Aareal Bank Germany -/-/BBB- EUR 300 4.250% 18/03/2026 18/03/2021 264.57 3.96 4.65 101.96Bank T1 05-Mar-14 Santander Spain Ba2e/-/- EUR 1,500 6.250% Perpetual 12/03/2019 591.39 6.69 7.97 98.35Bank T2 05-Mar-14 HSBC UK A3/A-/A+ USD 2,000 4.250% 14/03/2024 - 141.25 - 4.25 100.00Bank T2 05-Mar-14 HSBC UK A3/A-/A+ USD 1,500 5.250% 14/03/2044 - 163.32 - 5.16 101.35Bank T1 05-Mar-14 Danske Bank A/S Denmark -/BB+/BB+ EUR 750 5.750% Perpetual 06/04/2020 468.76 5.75 6.96 100.18Bank T1 04-Mar-14 Nationwide Building Society UK -/BB+/BB+ GBP 1,000 6.875% Perpetual 20/06/2019 467.18 6.73 7.90 100.81Bank T2 18-Feb-14 ING Bank Netherlands Baa2/BBB+/A- EUR 1,500 3.625% 25/02/2026 25/02/2021 221.84 3.52 4.16 100.79Bank T2 17-Feb-14 Swedbank Sweden -/BBB+/A EUR 750 2.375% 26/02/2024 26/02/2019 140.97 2.35 3.56 100.24Bank T2 13-Feb-14 Raiffeisen Bank International Austria Baa3/BBB/- EUR 500 4.500% 21/02/2025 21/02/2020 368.64 4.81 5.35 98.71Bank T1 11-Feb-14 BBVA Spain NR/-/BB- EUR 1,500 7.000% Perpetual 19/02/2019 603.07 6.79 8.53 101.09Bank T2 CoCo 06-Feb-14 UBS AG Switzerland -/BBB-/BBB+ EUR 2,000 4.750% 12/02/2026 12/02/2021 304.03 4.34 5.06 102.59Ins T2 22-Jan-14 Allianz SE Germany A2e/A+/A CHF 500 3.250% Perpetual 04/07/2019 193.51 2.45 4.11 104.15

Bank T2 16-Jan-14 Standard Chartered UK A3/A-/A+ SGD 700 4.400% 23/01/2026 23/01/2021 183.55 4.06 4.78 102.13Bank T1 15-Jan-14 Credit Agricole SA France NR/BB+/BB+ USD 1,750 7.875% Perpetual 23/01/2024 432.51 7.07 8.00 105.63Bank T2 14-Jan-14 Societe Generale France Baa3/BBB+/BBB+ USD 1,000 5.000% 17/01/2024 - 219.39 - 5.01 99.90Bank T2 13-Jan-14 BPCE France Baa3/BBB+/A- USD 1,500 5.150% 21/07/2024 - 213.93 - 5.02 101.04Bank T1 10-Jan-14 Rabobank Netherlands -/-/- EUR 5,949 6.500% Perpetual - 373.97 - 6.19 106.81Ins T2 08-Jan-14 AXA SA France A3/BBB/BBB GBP 750 5.625% 16/01/2054 16/01/2034 241.49 5.67 5.74 99.94

Bank T2 06-Jan-14 Svenska Handelsbanken Sweden Baa1/A/A+ EUR 1,500 2.656% 15/01/2024 15/01/2019 134.29 2.26 3.10 101.90Bank T2 16-Dec-13 Royal Bank of Scotland Group UK Ba3/BB+/BBB- USD 2,000 6.000% 19/12/2023 - 256.16 - 5.37 104.72

Ins T2 12-Dec-13Societa Cattolica di

AssicurazioniItaly -/BB+/- EUR 100 7.250% 17/12/2043 17/12/2023 472.97 6.31 7.68 107.25

Bank T1 11-Dec-13 Societe Generale France Ba3/BB+/BB USD 1,750 7.875% Perpetual 18/12/2023 455.41 7.36 8.12 103.50Ins T2 04-Dec-13 Prudential plc UK A3/A-/BBB+ GBP 700 5.700% 19/12/2063 19/12/2043 243.73 5.72 5.75 100.44

Bank T1 04-Dec-13 Credit Suisse Switzerland -/BB-/BB+ USD 2,250 7.500% Perpetual 11/12/2023 350.70 6.31 7.38 108.50Bank T1 03-Dec-13 Barclays UK NR/B+/BB+ EUR 1,000 8.000% Perpetual 15/12/2020 604.29 7.12 8.80 104.89Bank T2 02-Dec-13 Danske Bank A/S Denmark -/BBB-/A- CHF 150 3.125% 18/12/2025 18/12/2020 - - - -

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AT1 Structural Comparison – Equity ConversionAdditional Tier 1 Capital

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

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. 2018 – 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 Yes Yes Yes Yes

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)

Arrears 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+ - / - / -

(*) Core Capital Deferred Shares

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AT1 Structural Comparison – Temporary W/DAdditional Tier 1 Capital

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

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 7.875% / Fixed + Reset 8.25% / Fixed + Reset

Optional Deferral Yes Yes Yes Yes Yes

Mandatory Deferral 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)

Arrears 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)

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 NA NA NA 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 (*)

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

PONV Statutory Statutory + T&C Ref. Statutory Statutory Statutory

Issue Ratings (M/S&P/F) - / 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)

(*) Subject to the current principal amount being equal to the original principal amount

Source: Crédit Agricole CIB, Relevant Prospectus

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