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Fixed Income Research

Financial Special

24 February 2017

European G-SIBs

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Financial Special 24 February 2017

NORD/LB Fixed Income Research

page 2 of 40

Financials European G-SIBs

Analysts:

Michaela Hessmert

Melanie Kiene, CIIA

Of the 30 global systemically important banks (G-SIBs or G-SIFIs), 15 banks

/ banking groups are headquartered in Europe. The regulatory requirements

to be met by these institutions are particularly high. This is because they

could cause massive disruption on financial markets if a distressed or disor-

derly situation arises due to their size, complexity and/or interdependencies.

For this reason, the G20 countries made it their duty to deal with this "too big

to fail" problem (TBTF). To this end, the Financial Stability Board (FSB) was

formed in April 2009 as a successor to the Financial Stability Forum (set up

by the G7 in 1999). The FSB is a non-profit organisation headquartered in

Basel. After the G20 in 2009 officially tasked the FSB with addressing the

issue of TBTF among G-SIBs, the G20 endorsed the "FSB framework

agreement" to reduce the moral hazard posed by G-SIBs in 2010. This

framework presents a range of measures to "reduce the probability of a bank

failure". These not only include the requirement to hold sufficient loss-

absorbing capital (in parallel to the existing capital requirements), but also

intensive and effective supervision of G-SIBs. The measures also include

recovery and resolution planning and cross-border cooperation between

authorities for dealing with crises.

Development of capital requirements

2,0% 2,0% 3,5% 4,0% 4,5% 4,5% 4,5% 4,5% 4,5%

0,6%1,3% 1,9% 2,5%

0,6%1,3%

1,9%2,5%

0,6%

1,3%

1,9%

2,5%

2,0% 2,0%

1,0%1,5%

1,5%

1,5%

1,5%

1,5%

1,5%

4,0% 4,0%3,5%

2,5%2,0%

2,0%

2,0%

2,0%

2,0%

8,0% 8,0% 8,0% 8,0% 8,0%

9,8%

11,9%

13,7%

15,5%

0%

2%

4%

6%

8%

10%

12%

14%

16%

Basel II 2012 2013 2014 2015 2016 2017 2018 2019

Tier 2 Capital

AT1 Capital

G-SIBs Buffer

Countercyclical Capital Buffer

Capital Conservation Buffer

CET1 Capital

0-0- 0-

0-0-

0-

0-

0-

Phase-in of regulatory deductions

(% of deductions to be applied)

100%80%60%40%20%

Phase-out of non-compliant non-common Tier 1 and Tier 2 capital

(up to 100% in 2022) issued before 12-Sep-2010 (% of ineligible)

60%50%40%30%20%10% 70%

Phase-out of non-compliant public sector

capital injections (% of ineligible)

100%100%0%0%

Common

Equity

Tier 1

Capital

Source: AFME, NORD/LB Fixed Income Research



page 3 of 40

Capital requirements have

been rising steadily since the

financial markets crisis

The chart showing the trend in capital requirements shows very clearly the

stricter requirements with regard to the quality and quantity of capital held by

banks. Due to this improvement in capitalisation, banks have in principle

become more crisis-resistant. This was one of the primary goals obtained as

a "lesson" from the financial markets crisis. Certain underlying conditions

had to be created in order that the relevant authorities could apply the bail-in

framework in the event of a potential bank resolution. This framework would

enable them to make write-downs or convert liabilities into equity capital,

which could then be used either for loss absorption or recapitalisation.

Among other things, the banks are required to have sufficient loss-absorbing

capital.

European G-SIBs

G-SIBAdditional capital

buffer in %

Rating

(Fitch / Moodys / S&P)5y CDS in bp Internet link

Barclays 1.5 A / Baa2 / BBB 76 www.home.barclays

BNP Paribas 2.0 A+ / A1 / A 90 invest.bnpparibas.com

Credit Suisse 1.5 A- / Baa2 / BBB+ 115 www.credit-suisse.com

Deutsche Bank 2.0 A- *- / Baa2 / BBB+ *+ 151 www.db.com

Groupe BPCE 1.0 A / A2 / A - www.groupebpce.fr

Groupe Crédit Agricole 1.0 A / A1 / A 82 www.credit-agricole.com

HSBC 2.0 AA- / A1 / A 65 www.hsbc.com

ING Bank 1.0 A+ / Baa1 / A- 66 www.ing.com

Nordea 1.0 AA- / Aa3 / AA- 49 www.nordea.com

Royal Bank of Scotland 1.0 BBB+ / Ba1 / BBB- 101 www.investors.rbs.com

Santander 1.0 A- / A3 / A- 108 www.santander.com

Société Générale 1.0 A / A2 / A 90 www.societegenerale.com

Standard Chartered 1.0 A+ / A1 / BBB+ 92 investors.sc.com

UBS 1.0 A / Ba1 (hyp) / A- 56 www.ubs.com

Unicredit Group 1.0 BBB+ / Baa1 / BBB- 169 www.unicreditgroup.eu

As of: 17 February 2017 Source: SNL, NORD/LB Fixed Income Research

FSB published TLAC

requirements in

November 2015

With reference to the requirement on G-SIBs to hold sufficient loss-

absorbing capital, a proposal was developed by the FSB jointly with the Ba-

sel Committee on Banking Supervision. It was published for the first time in

November 2014. It was followed by a consultation phase and impact as-

sessment study. In November 2015, the final Principles and Term Sheet

relating to the FSB's Total Loss-Absorbing Capacity (TLAC) was reported to

the G20. This document represents a new international standard for G-SIBs,

with its implementation monitored by the FSB. The table shows the 15 Euro-

pean G-SIBs in alphabetical order, along with their individual additional capi-

tal buffer (G-SIB buffer).

http://www.fsb.org/2015/11/total-loss-absorbing-capacity-tlac-principles-and-term-sheet/



page 4 of 40

Bail-in is one of four possible

options in the course of a

bank resolution

The bail-in is only one of four options that are possible in the course of a

bank resolution. Other tools include the sale of business units, bridging insti-

tutions and asset separation. Both TLAC and MREL pursue the same objec-

tive, namely improving the actual resolution capability of relevant institutions

and shielding taxpayers from potential losses.

TLAC requirement

Source: NORD/LB Fixed Income Research

In order to meet TLAC requirements as a G-SIB, the relevant institutions

must hold sufficient loss-absorbing capital. Although the minimum require-

ments of the FSB are known, they still have to be implemented in the EU

and harmonised with MREL requirements. Capital buffers such as the capital

conservation buffer, the G-SIB buffer and the countercyclical buffer are re-

quirements that are additional to the TLAC, and which must be formed with

hard core capital. European G-SIBs have a range of different needs to build

up TLAC capital.

TLAC minimum requirement The specific minimum requirements with regard to TLAC will occur in stages:

Starting from 2019: 16% of RWAs / 6% of Basel III leverage ratio

Starting from 2022: 18% of RWAs / 6.75% of Basel III leverage ratio

In addition, Pillar 2 requirements are possible in particular cases.



page 5 of 40

MREL / TLAC – overview of key features

MREL TLAC

Scope all banks within the scope of BRRD G-SIBs

Timeline 1 January 2016 with transitional period 1 January 2019

Calculation and

Determination case-by-case for each institution (incl. Pillar 1 and Pillar 2)

common Pillar 1 requirement

1 January 2019: 16% of RWA / 6% of Basel III LR

1 January 2022: 18% of RWA / 6,75% of Basel III LR

Capital buffers included excluded

Subordinaton requirement No. Not a preconditon in the BRRD

Yes. Via:

● structural subordination

● statutory subordination

● contractual subordination

Eligible instruments

own funds = Tier 1 capital + Tier 2 capital

eligible liabilities:

● liabilities and capital instruments that do not qualify as CET 1,

AT 1 or Tier 2 and that are not exclued from the scope of the

bail-in tool by virtue of Article 44(2)

● issued and fully paid up

● not owed to, secured or guaranteed by the institution itself

● not arising from a derivative

● Knot arising from a preferred deposit

● remaining maturity of at least one year

total capital = Tier 1 capital + Tier 2 capital

TLAC-eligible liabilities:

● liabilities that can be effectively written down or converted

into equity without giving rise to material "NCWO" claims

● be paid in and be unsecured

● not subject to set off or netting rights

● minimum remaining maturity of at least one year

● not be redeemable by the holder

● not insured deposits

● not sight and short term deposits

● not liabilities arising from derivatives

● not liabilities which are preferred to normal senior unsecured

creditors unter the relevant insolvency law

● not any liabilities that are excluded from bail-in by law

�

�

�

Source: BRRD, European Commission, FSB, NORD/LB Fixed Income Research

Forms of subordination While subordination of TLAC-eligible liabilities is explicitly required for TLAC

from a regulatory viewpoint, this is not the case for MREL subject to the

BRRD. However, in the course of the harmonisation with the TLAC require-

ments that is being pursued, it is likely that subordination will also be re-

quired, at least for domestic systemically important banks (D-SIBs), in order

to prevent potential problems in relation to the "no creditor worse off" princi-

ple (NCWO) from arising in the first place. Since the European Commission

is still working on harmonising the MREL requirements, some of the key

features specified in the table are still subject to change. As a result, it is

likely that the denominator in the MREL calculation will be aligned with that

of TLAC (RWA and exposure instead of equity and total liabilities).



page 6 of 40

Current implementation of the required subordination in Europe

1 Preferred vanilla short, medium and long term debt, structured notes, net derivatives liabilities, other


Different implementations in

Europe

The national implementations of the bail-in regime led to different paths be-

ing taken when selecting the required subordination. Basically, three options

are available. Structural subordination, statutory subordination and contrac-

tual subordination. In the case of structural subordination, bonds are issued

at the level of the holding company (HoldCo), which also constitutes the

resolution unit. These bonds therefore have structural subordination com-

pared to bonds that are issued by the operating company (OpCo). American,

British and Swiss banks use this form of subordination to issue TLAC-eligible

bonds. The Dutch bank, ING, operates through its HoldCo and so follows the

path of structural subordination. Germany and Italy decided on statutory

subordination and accordingly adapted the hierarchy of liability for all out-

standing bonds. In France, too, a new asset category was established by law

in December 2016: "non-preferred" senior bonds. These bonds are classified

contractually between subordinated and senior unsecured. The Spanish

bank Banco Santander also subscribes to the new asset category.



page 7 of 40

French method is to become

European method

The different variants of subordination in relation to senior bonds result in

confusion on the part of investors in bank bonds and to high fragmentation of

this asset category. The European Commission made an attempt at damage

limitation in November 2016 by declaring (in draft form) the French method

using the statutory introduction of a new asset category, "non-preferred"

senior bonds, as the European method. This is scheduled to be implemented

in the eurozone by mid-2017. The subordination of TLAC-eligible bonds will

then be achieved de facto either through the structural variant or the (poten-

tially standardised) statutory method. Countries that have already introduced

a bail-in regime, including Germany and Italy, will not be able to avoid mak-

ing adjustments.

Future harmonised procedure for the required subordination

COMMON EURESULOTIONFRAMEWORK

Covered deposits (OpCo)/ Deposit Guarantee

Schemes

Eligible deposits fromSMEs and naturalpersons (OpCo)

LIQUIDATIONINSTRUMENTS´ RANK DEPENDENT ON NATIONAL INSOLVENCY LAW

NCWOL

Seniorunsecuredliabilities(OpCo)

Non-eligible

deposits(OpCo)

Senior unsecuredliabilities(HoldCo)

Equity

TLACeligible

Tier 2(OpCo) Tier 2

(HoldCo)

AT1(OpCo) AT1

(HoldCo)

Covered deposits / Deposit Guarantee

Schemes

Eligible deposits fromSMEs and natural

persons

Other sub debt

Tier 2

AT1

Equity

PreferredSenior

liabilities1

Non-eligible

deposits

Non-PreferredSenior unsecured debt


Different valuations by the

rating agencies

The rating agencies rate the new asset category "non-preferred" seniors

differently. While Fitch does not make any distinction between this and the

issuer's "old" senior bonds, Moody's assesses the bonds as existing subor-

dinated notes. In contrast, S&P classifies the "non-preferred" seniors

between existing senior and subordinated bonds.



page 8 of 40

Selected metrics for European G-SIBs (data as of December 2016)

Institutions Total Assets

in EUR m

Core Tier 1 Ratio (%)

Gross Im-paired Loans

/ Loans at Amortised Cost (%)

ROAE (%) Net Interest Margin (%)

Cost-to-Income (%)

Tier 1 Leverage

Ratio

Barclays 1,420,807 12.40 NA 2.55 NA NA NA

BNP Paribas 2,076,959 11.61 5.65 5.93 N/A N/A 4.31

Credit Suisse 64,973 13.59 N/A -21.48 0.89 137.22 N/A

Deutsche Bank 1,591,000 13.53 1.80 N/A N/A 126.65 N/A

Groupe BPCE 1,235,240 14.14 3.45 4.16 N/A N/A N/A

Groupe Crédit Agricole 1,524,200 12.07 N/A 2.45 N/A N/A N/A

HSBC 2,251,961 13.60 2.10 -8.50 NA 95.01 5.62

ING Bank 843.91 12.58 2.34 N/A N/A N/A N/A

Nordea 615,659 18.43 2.26 13.86 0.84 50.97 4.54

Royal Bank of Scotland 935,382 13.40 NA -33.22 NA NA NA

Santander 1,339,125 12.53 4.13 7.47 2.64 51.05 N/A

Société Générale 1,382,241 11.80 5.36 3.09 N/A N/A N/A

Standard Chartered 613,193 13.59 3.74 -3.97 1.20 83.62 6.35

UBS 872,448 16.76 0.32 5.45 0.80 87.68 4.88

Unicredit Group 859,533 8.15 6.6 -109.33 N/A N/A N/A

Source: SNL, NORD/LB Fixed Income Research

Key figures The metrics presented in the table show that all the European G-SIBs ex-

ceed regulatory capital requirements to varying degrees. In the case of

UniCredit, the loss for the year caused a substantial drop in the hard core

capital ratio. However, this was "remedied" through the capital increase of

EUR 13bn. Due to the bail-in regime that has now been established, it has

become more important for investors to look at the quality of equity capital

and quasi-capital instruments in order to make a better assessment of the

risk of senior bonds. The institutions will continue to follow the topic of profit-

ability and dependence on the net interest margin this year. This topic in-

creases the pressure to seek alternative sources of income (independent of

interest income). The banks will continue with their efforts to cut costs.

Spread trend: Barclays OpCo vs. Barclays HoldCo

Spread trend: HSBC OpCo vs. HSBC HoldCo

-20

0

20

40

60

80

100

120

140

26.10.2016 25.11.2016 25.12.2016 24.01.2017

ASW

BACR 2.125 02/24/2021 OpCo BACR 1.5 04/01/2022 HoldCo

-10

0

10

20

30

40

50

60

70

80

26.10.2016 25.11.2016 25.12.2016 24.01.2017

ASW

HSBC 4 01/15/2021 OpCo HSBC 1.5 03/15/2022 HoldCo

As of: 17 February 2017 Source: Bloomberg, NORD/LB Fixed Income Research




page 9 of 40

Spread trend: RBS OpCo vs. RBS HoldCo

Spread trend: Standard Chartered Senior Unsecured

30

40

50

60

70

80

90

100

26.10.2016 25.11.2016 25.12.2016 24.01.2017

ASW

RBS 5.375 09/30/2019 OpCo RBS 1.625 06/25/2019 HoldCo

0

10

20

30

40

50

60

70

80

90

26.10.2016 25.11.2016 25.12.2016 24.01.2017

ASW

STANLN 1.625 06/13/2021 STANLN 1.625 11/20/2018

STANLN 4.125 01/18/2019



Spread trend: BNP Senior Unsecured vs. Senior Non Preferred

Spread trend: SocGen Senior Unsecured vs Sen. Non Preferred

20

30

40

50

60

70

80

90

100

110

05.01.2017 20.01.2017 04.02.2017

ASW

BNP 2.875 09/26/2023 BNP 1.125 10/10/2023 SNP

20

30

40

50

60

70

80

90

100

16.12.2016 31.12.2016 15.01.2017 30.01.2017 14.02.2017

ASW

SOCGEN 4.25 07/13/2022 SOCGEN 1 04/01/2022 SNP



Spread trend: Crédit Agricole Senior Unsecured vs. SNP

Spread trend: BPCE Senior Unsecured vs. Senior Non Preferred

20

40

60

80

100

120

140

15.12.2016 04.01.2017 24.01.2017 13.02.2017

ASW

ACAFP 1.875 12/20/2026 SNP ACAFP 1.25 04/14/2026

20

30

40

50

60

70

80

90

100

110

12.01.2017 22.01.2017 01.02.2017 11.02.2017

ASW

BPCEGP 1.125 01/18/2023 SNP BPCEGP 4.25 02/06/2023





page 10 of 40

Spread trend: UBS OpCo vs. UBS HoldCo

Spread trend: CS OpCo vs. CS HoldCo

0

10

20

30

40

50

60

70

80

90

11.11.2016 11.12.2016 10.01.2017 09.02.2017

ASW

UBS 1.25 09/03/2021 OpCo UBS 1.75 11/16/2022 HoldCo

0

20

40

60

80

100

120

140

11.11.2016 11.12.2016 10.01.2017 09.02.2017

ASW

CS 1.375 01/31/2022 OpCo CS 1.25 04/14/2022 HoldCo



Spread trend: Deutsche Bank Senior Unsecured

Spread trend: ING Senior Unsecured

80

100

120

140

160

180

200

11.11.2016 11.12.2016 10.01.2017 09.02.2017

ASW

DB 2.375 01/11/2023 DB 1.25 09/08/2021

DB 1.125 03/17/2025 DB 1.5 01/20/2022

-5

0

5

10

15

20

25

30

35

40

03.10.2016 02.11.2016 02.12.2016 01.01.2017 31.01.2017

ASW

INTNED 0.7 04/16/2020 INTNED 0.75 02/22/2021

INTNED 1.25 12/13/2019 INTNED 4.5 02/21/2022

INTNED 4.875 01/18/2021 INTNED 0.75 11/24/2020



Spread trend: UniCredit Senior Unsecured

Spread trend: Nordea Senior Unsecured

90

95

100

105

110

115

11.11.2016 11.12.2016 10.01.2017 09.02.2017

ASW

UCGIM 2.125 10/24/2026 UCGIM 3.25 01/14/2021

UCGIM 3.625 01/24/2019 UCGIM 4.375 01/29/2020

UCGIM 1.5 06/19/2019 UCGIM 2 03/04/2023

0

5

10

15

20

25

30

35

40

45

11.11.2016 11.12.2016 10.01.2017 09.02.2017

ASW

NDASS 1 02/22/2023 NDASS 1.125 02/12/2025

NDASS 2 02/17/2021 NDASS 3.25 07/05/2022





page 11 of 40

Spread trend: Santander SNP vs. Santander Cons. Finance

Comments on the spread charts:

60

70

80

90

100

110

120

30.01.2017 03.02.2017 07.02.2017 11.02.2017 15.02.2017

ASW

SANTAN 1.375 02/09/2022 SANSCF 0.875 01/24/2022

In the case of institutions that issue TLAC-eligible bonds using structural subordination, we have select-ed one HoldCo and one OpCo bond in each case for comparison purposes. Banks that issue ''non-preferred" seniors have as a comparison a senior unsecured bond based on the "old" interpretation. Where it was not possible to make a comparison between "subordinate" seniors and "normal" seniors, we used outstanding eurozone benchmark bonds in the senior unsecured format and we show the corre-sponding ASW spreads.


Spread comparison The selected spread comparisons aim primarily at developing a feeling as to

how the fragmentation of senior unsecured bonds impacts on the relevant

spreads. They show that the new asset category "non-preferred" senior is

priced above the plain vanilla senior unsecured bonds in the risk premium,

thus reflecting the higher bail-in risk. The same applies to senior unsecured

bonds of the HoldCo in comparison with the equivalents that were issued by

the OpCo. As TLAC-eligible bonds make more progress in becoming estab-

lished, we expect spreads to narrow slightly. Generally speaking, however,

"subordinate" seniors will react with more risk sensitivity to any change in the

market environment. We see a number of potential event risks (especially of

a political nature) this year that could lead to increased volatility, although at

present they are outweighed by the ECB's policy with its positive impact on

credit markets.

Spread development: issues by G-SIBs since 1 December 2016

BPC

EG

P

1 1

/8

01/1

8/2

3 1

0.0

1.2

017

ISPIM

1 3

/8 0

1/1

8/2

4

11.0

1.2

017

BN

P 1

1/8

10/1

0/2

3

03.0

1.2

017

SO

CG

EN

1 0

4/0

1/2

2

14.1

2.2

016

AC

AFP 1

09/1

6/2

4

09.0

1.2

017

BA

CR

1 7

/8 1

2/0

8/2

3

01.1

2.2

016

BN

P 0

1/2

06/0

1/2

2

24.1

1.2

016

AC

AFP 0

.972 0

7/3

1/2

4

24.0

1.2

017

DB

1 1

/2 0

1/2

0/2

2

16.0

1.2

017

AC

AFP 1

7/8

12/2

0/2

6

13.1

2.2

016

SA

NS

CF 0

7/8

01/2

4/2

2 1

0.0

1.2

017

SA

NTA

N 1

3/8

02/0

9/2

2 2

6.0

1.2

017

0

20

40

60

80

100

120

140

160

bp

ASW at issue ASW as of 17 Feb iTraxx at issue


New issues since 1 Decem-

ber 2016

Since the start of December, a total of eleven senior bonds were issued by

European G-SIBs. These are both TLAC-eligible bonds and non-

subordinated, unsecured senior bonds.



page 12 of 40

New sub-indices from Markit The index provider Markit has expanded its universe. Its nine sub-indices

now offer a more differentiated overview of the fragmented market for the

asset category senior unsecured bonds. The following new sub-indices have

existed since the start of February 2017:

Name ISIN_CPi ISIN_TRi BBG_Ticker_CPi BBG_Ticker_TRi

Markit iBoxx EUR Banks Senior Bail-in GB00BYYS5S02 GB00BYYS5M40 IBXXEBS1 IBXXEBS4

Markit iBoxx EUR Banks Senior Bail-in Mid Price GB00BYYS5243 GB00BYYS5359 IBXXEBS2 IBXXEBS3

Markit iBoxx EUR Banks Senior Preferred GB00BYYS5680 GB00BYYS5797 IBXXEBS5 IBXXEBS8

Markit iBoxx EUR Banks Senior Preferred Mid Price GB00BYYS5466 GB00BYYS5573 IBXXEBS6 IBXXEBS7

Markit iBoxx GBP Banks Senior Bail-in GB00BYYS5L33 GB00BYYS5R94 IBXXGBS1 IBXXGBS4

Markit iBoxx GBP Banks Senior Bail-in Mid Price GB00BYYS4W72 GB00BYYS4X89 IBXXGBS2 IBXXGBS3

Markit iBoxx GBP Banks Senior Preferred GB00BYYS5029 GB00BYYS5136 IBXXGBS5 IBXXGBS8

Source: Markit, NORD/LB Fixed Income Research

iBoxx EUR Banks Senior

Bail-in

iBoxx EUR Banks Senior Bail-in currently comprises a total of 111 bonds

with a volume of EUR 131.5bn that are bail-in-eligible. Specifically this

means that bonds reaching bail-in eligibility through one of the three possible

methods of "subordination" of senior unsecured bonds are listed here. Sen-

ior bonds from the US, UK and Switzerland (in the chart under "Other"), is-

sued within the scope of structural subordination through the Holding Com-

pany (HoldCo), represent the largest proportion in the index. The French

"non-preferred" seniors are included in the index through statutory subordi-

nation, as are German senior unsecured bonds.

iBoxx EUR Banks Senior Bail-in iBoxx EUR Banks Senior Preferred

As of: 14 February 2017 Source: Markit, NORD/LB Fixed Income Research

As of: 14 February 2017 Source: Markit, NORD/LB Fixed Income Research

iBoxx EUR Banks Senior

Preferred

With 264 bonds, the iBoxx EUR Banks Senior Preferred Index comprises

significantly more senior bonds than the iBoxx EUR Banks Senior Bail-in

Index (outstanding volume: EUR 265.3bn). French bonds make up the big-

gest part with 62 bonds, followed by the Netherlands with 35 seniors and the

UK with 27 bonds. German bonds are not included since, due to statutory

subordination, all outstanding German plain vanilla senior unsecured bonds

are bail-in-eligible.



page 13 of 40

iBoxx EUR Banks Senior Bail-in iBoxx EUR Banks Senior Preferred

As of: 15 February 2017 Source: Markit, Bloomberg, NORD/LB Fixed Income Research

As of: 15 February 2017 Source: Markit, Bloomberg, NORD/LB Fixed Income Research

Spreads Due to the higher risk profile, the spreads of the iBoxx EUR Banks Senior

Bail-in Index are above the spreads of the iBoxx EUR Banks Senior Pre-

ferred Index. We expect that initially the HoldCo issues in the Senior Bail-in

Index in particular will rise, since after France, only Spain has taken the fu-

ture "European path" of “non-preferred” seniors for the time being. The euro-

zone countries are required to revise their bail-in regime likewise by mid-year

and either adapt the French variant or issue bail-in-eligible bonds through

the HoldCo. It is still unclear how Germany will position itself in relation to

these efforts at harmonisation. After all, a bail-in regime has existed since

the start of the year, providing for the statutory subordination of all outstand-

ing plain-vanilla senior bonds. We expect at least an amendment to the law

such that German institutions will in future be given the option of issuing

plain-vanilla senior preferred bonds.

Funding

G-SIB TLAC-funding in 2017 G-SIB TLAC-funding in 2017

Barclays GBP 6.0 bn Nordea NA

BNP Paribas EUR 10.0 bn Royal Bank of Scotland GBP 3.0 - 5.0 bn

Credit Suisse CHF 10.0 - 12.0 bn Santander EUR 12.0 - 14.0 bn

Deutsche Bank EUR 11.0 - 14.0 bn Société Générale EUR 9.0 bn

Groupe BPCE EUR 1.5 - 3.5 bn Standard Chartered NA

Groupe Crédit Agricole EUR 4.5 bn UBS NA

HSBC ~ USD 20.0 bn Unicredit Group ~EUR 10.0 bn

ING Bank ~ EUR 5.0 - 8.0 bn

As of: 16 February 2017 Source: Issuer, NORD/LB Fixed Income Research



page 14 of 40

Funding Most G-SIBs announced their funding plans for this year no later than the

publication of their figures for the 2016 financial year. Since funding in 2017

is dominated quite strongly by future requirements for holding sufficient loss-

absorbing capital, it is no wonder that G-SIBs plan to issue a relatively large

number of TLAC-eligible bonds. This trend will continue in the years to

come. It is likely that maturing senior unsecured bonds from operating com-

panies will tend to be replaced through the structurally subordinate securities

of the holding companies. Additionally, following the debut of French "non-

preferred" senior issues in this segment, we expect issuing activity to in-

crease once again starting from mid-2017 at the latest if this form of statutory

subordination is introduced in other European countries.



page 15 of 40

Annex Short profiles: European G-SIBs

Barclays Barclays PLC is the holding company of Barclays Bank PLC, a global British

universal bank which is listed among the global systemically important banks

(additional capital buffer: 1.5%). Barclays offers its customers all products

and services in retail, corporate and investment banking as well as the credit

card business and asset management. The institution operates with a strong

presence in the two defined home markets, the UK and the US, via the units

Barclays UK (RFB) and Barclays International (BB PLC). Both divisions take

into account the future UK regulatory requirements concerning separation of

the relatively low-risk retail business on the one hand, and the higher-risk

capital market and wholesale clients on the other (ring-fencing). Barclays UK

comprises retail banking, the credit card business, asset management and

corporate banking for smaller businesses in the UK. With about 22m personal

customers and almost a million business clients, this unit will be the UK ring-

fenced bank from 2019 onwards. Barclays International consists of the capital

market and wholesale client business, the European and U.S. credit card

business as well as international asset management. The restructuring pro-

cess as set out in the Business Plan provides for regulatory deconsolidation

of Africa Banking. Barclays Non-Core Unit comprises those assets and busi-

ness branches that are no longer part of the future business strategy. The

closure of the Non-Core Unit was announced six months early at June 2017

with remaining RWAs of GBP 25bn. Although the bank was found to have

inadequate capital in the course of a stress test by the Bank of England, the

supervisory authority believes it is not necessary to adapt the existing plan to

strengthen the bank's capital adequacy.

Homepage

www.barclays.com

Ratings

Rating Outlook

Fitch A Stable

Moody's Baa2 Negative

S&P BBB Negative

Source: Bloomberg, NORD/LB Fixed Income Research

Financial data (EUR m) 2013Y 2014Y 2015Y 2016Y

EUR Senior Bonds vs. iBoxx € Financials Senior

Total assets 1,614,578 1,748,934 1,519,816 1,420,808

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80

130

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230

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Senior Financials BARCLAYS PLC

Loans to customers 545,651 580,431 569,387 475,831

Customer deposits 528,811 560,148 575,720 495,624

Net interest income 13,665 14,991 N/A 12,900

Earnings before tax 3,378 2,800 1,579 NA

Net interest margin 1.43 1.58 N/A NA

Cost-income ratio 73.64 69.23 82.35 NA

Return on average equity 2.15 1.29 0.93 4.09

Tier 1 common capital ratio 13.19 10.17 11.37 12.40

Source: SNL, NORD/LB Fixed Income Research Criteria: outstanding volume: ≥ EUR 500m; fixed coupon; EUR, bullet; source: Bloomberg, Markit, NORD/LB Fixed Income Research

Funding and TLAC Barclays published its figures for the 2016 financial year on 23 February

2017. The funding plan for 2017 expects TLAC/MREL-eligible issues (AT1,

Tier 2 and Seniors) in a volume of GBP 10.0bn.

http://www.pfandbriefbank.com/



page 16 of 40

BNP Paribas With more than 190,000 employees in 74 countries, BNP Paribas SA (BNP) is

one of the largest banks in the world and is classified as a global systemically

important bank (additional capital buffer: 2%). The largest shareholder (Feb-

ruary 2017) is the Société Fédérale de Participations et d'Investissement,

whose sole owner is the Belgian state. It holds 10.2%. Organisationally, BNP

Paribas is divided into two main segments, namely “Retail Banking and Ser-

vices” and “Corporate and Institutional Banking”. The Retail Banking and

Services segment is divided into Domestic Markets (DM), which covers

France, Belgium, Italy and Luxembourg, and International Financial Services,

which is in turn divided into Personal Finance, International Retail Banking,

Wealth Management, Investment Partners and Real Estate. In addition to

Corporate Banking and Global Markets, the Corporate and Institutional Bank-

ing segment also comprises the Securities Services section. The target of the

cost-cutting programme "Simple & Efficient", which ran until the end of 2016,

was successfully achieved. Since its introduction in 2013, for example, EUR

3.3bn was saved. The new Business Plan 2020 sets its target as a CET1 ratio

of 12% and a leverage ratio of 4%. The CIR is expected to be reduced to 63%

by 2020 and the profitability target (ROE) is set at 10%.

Homepage

group.bnpparibas

Ratings

Rating Outlook

Fitch A+ Stable

Moody's A1 Stable

S&P A Stable




Total assets 1,810,522 2,077,758 1,994,193 2,173,877

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30

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130

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Senior Financials BNP PARIBAS

Loans to customers

612,940 658,351 682,963 690,082


Net interest income 19,451 20,319 22,553 N/A

Earnings before tax 8,101 3,150 10,379 N/A

Net interest margin 1.13 1.13 1.13 N/A

Cost-income ratio 66.47 66.62 65.20 N/A




Funding and TLAC On 7 February 2017, BNP published its figures for the whole of 2016. The

annual funding requirement for 2017 is again put at EUR 25bn. In order to

comply with the TLAC requirement, EUR 10bn in "non-preferred" senior

bonds is to be issued in 2017. EUR 2.7bn has already been issued.

https://group.bnpparibas/en/



page 17 of 40

BPCE Groupe BPCE is the second-biggest banking group in France with a strong

market position in its domestic market. It was formed from the merger of the

two central institutions of the Caisses d'Epargne (savings banks) and

Banques Populaires (cooperative banks). The shareholder structure includes

17 Caisses d'Epargne (holding 50% of the shares) and 18 Banques Popu-

laires (likewise 50%). With about 8,000 branches in 46 countries, it offers the

complete product and service portfolio of a universal bank. BPCE SA (BPCE)

is the central bank within France's Groupe BPCE (Groupe). In addition to

BPCE SA, the sub-group of the BPCE Group also includes a number of other

subsidiaries, including NATIXIS with a focus on CIB, asset management and

capital market-related services and the wholly owned subsidiaries Crédit

Foncier de France (CFF), Banque Palatine and BPCE International. BPCE

offers a broad range of products with a focus on private clients and insurance.

BPCE take a central position within the Groupe. It is responsible for the

Group's strategy, coordination and management, performing duties such as

liquidity management for the Group, capitalisation and risk management. It is

classified as a G-SIB by the FSB (+1% additional capital buffer). Fully loaded,

the CET 1 ratio was 14.2% (December 2016) and the leverage ratio improved

to 5% as at year-end 2016.

Homepage

www.groupebpce.fr

Ratings

Rating* Outlook

Fitch A Stable

Moody's A2 Stable

S&P A Stable

Rating of BPCE SA


Financial data (EUR m)

2013Y 2014Y 2015Y 2016Y


Total assets 1,124,857 1,223,298 1,166,535 1,235,240

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Senior Financials BPCE



Net interest income N/A 11,542 11,059 N/A


Net interest margin N/A 1.06 0.99 N/A



Tier 1 common capital ratio

N/A 11.86 13.02 14.14


Funding and TLAC At the investor presentation in January 2017, BPCE specified a funding tar-

get to meet TLAC requirements of between EUR 1.5bn to EUR 3.5bn per

year. This is to be achieved through Tier 2 bonds, in addition to issuing "non-

preferred" seniors. "Preferred" seniors are not to be used to comply with

TLAC requirements. The funding requirement of BPCE for TLAC is essential-

ly manageable, as capitalisation was significantly strengthened in recent

years.

http://www.groupebpce.fr/en



page 18 of 40

Crédit Agricole Crédit Agricole S.A. is a banking group organised on cooperative lines, tradi-

tionally with a strong link to agriculture. It is listed among the global systemi-

cally important banks (additional capital buffer: 1%). The credit institution has

around 140,000 employees and operates in 52 countries. It offers its 52 mil-

lion customers all the products of a universal bank across more than 11,000

branches. Crédit Agricole is at the head of 39 regional banks in which the

bank itself holds 25% and in turn, through the holding company SAS Rue la

Boétie, they hold 56.7% of the shares in Crédit Agricole. The bank's busi-

ness operations are divided into French Retail Banking, International Retail

Banking, Specialised Financial Services, Savings Management & Insurance,

Corporate & Investment Banking and Asset Management. At almost 50%,

about half of the loan portfolio is attributable to the French market. A further

25.5% is accounted for by the Western European market, with the Italian

market making up around 45% of it. Within the framework of "Strategic Ambi-

tion 2020", the CET1 ratio is to be increased to 16% (Crédit Agricole Group)

or, as the case may be, 11% (Crédit Agricole S.A.) and net earnings to EUR

7.2bn and EUR 4.2bn respectively by 2019. Over the same period, the cost-

income ratio is to be reduced to less than 60% and investment of EUR 7.7bn

made in digitalisation, among other projects. The aim is also to distribute

50% of profit to shareholders.

Homepage

www.credit-agricole.com

Ratings

Rating Outlook

Fitch A Positive

Moody's A1 Stable

S&P A Stable




Total assets

1,518,811 1,589,044 1,529,294 1,524,200

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30

80

130

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Senior Financials CREDIT AGRICOLE









Source: SNL, NORD/LB Fixed Income Research Criteria: outstanding volume: ≥ EUR 500m; fixed coupon; EUR, bullet; source: Bloomberg, Markit, NORD/LB Fixed Income Re-search

Funding and TLAC Crédit Agricole published its figures for the whole of 2016 on 15 February

2017. In order to protect the creditors of senior preferred bonds, CA is

planning to issue "non-preferred" seniors. The institution has already

begun to do so in December 2016, with the debut of a "non-preferred"

senior bond. For 2017 the funding programme was set at EUR 16bn

(EUR 11.5bn senior preferred bonds and EUR 4.5bn subordinated and

"non-preferred" senior bonds).

https://www.credit-agricole.com/en



page 19 of 40

Credit Suisse Credit Suisse Group AG (CS) is a global financial services group with more

than 47,000 employees in about 50 countries. It is the second-largest finan-

cial institution in Switzerland. CS is a global systemically important bank (ad-

ditional capital buffer: 1.5%). With assets under management of CHF

1,255.2bn, it is one of the largest asset managers in the world. Organisation-

ally, Credit Suisse is divided into three divisions, each with a regional focus:

Swiss Universal Bank, International Wealth Management and Asia Pacific. It

also has two supporting divisions: Global Markets and Investment Banking &

Capital Markets. The Strategic Resolution Unit (SRU; 19.7% of RWA) deals

with winding up positions and business areas that are no longer taken into

account in the future strategy. A settlement with the U.S. Department of Jus-

tice (DoJ) in connection with RMBS transactions was reached in January

2017. In addition to a fine of USD 2.48bn, CS also undertook to make com-

pensation payments to clients amounting to USD 2.8bn. The agreement with

the DoJ affected the CET1 ratio (fully loaded): instead of 12.5% it was 11.6%

as a result. The cost-cutting target for 2016 (budget > CHF 1.4bn) was ex-

ceeded, at CHF 1.9bn. A cost reduction programme is to be implemented

more quickly due to the challenging environment. The target for the fixed cost

reduction by the end of 2018 was raised from CHF 3.5bn to > CHF 4.2bn. As

capital target for 2018, CS is aiming at a CET1 ratio of >13% (fully loaded),

plus corresponding buffer. The Tier 1 leverage ratio (fully loaded) is to be

about 5% by 2018 (FY 2016: 3.3%).

Homepage

www.credit-suisse.com

Ratings

Rating Outlook

Fitch A- Stable

Moody's (P)Baa2 Stable

S&P BBB+ Stable




Total assets 712,338 766,431 754,734 764,973

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30

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Senior Financials CREDIT SUISSE LD



Net interest income 6,595 7,439 8,713 6,939

Earnings before tax 3,329 2,986 -2,269 -1,804

Net interest margin 1.05 1.17 1.23 1.05

Cost-income ratio 82.00 77.58 90.42 106.55

Return on average equity 6.31 5.24 -6.61 -5.43



Funding and TLAC Credit Suisse published its figures for the whole of 2016 on 14 February

2017. In order to meet TLAC requirements, CS plans to issue CHF 10-12bn

in senior debt through the HoldCo in 2017. The institution intends to replace

around CHF 21bn of maturing OpCo bonds by TLAC-eligible bonds by 2019.

https://www.credit-suisse.com/ch/de.html



page 20 of 40

Deutsche Bank Deutsche Bank (DB) is the largest credit institution in Germany and is ranked

as a global systemically important bank (G-SIB, additional capital buffer: 2%).

BlackRock is the largest shareholder, with 5.95%. Through its "Strategy 2020"

announced at the end of 2015, the bank is aiming to focus more closely on

the range of products and services and reduce the complexity of the institu-

tion while strengthening the capital base. DB operates in the four re-

structured operating divisions: Global Markets (GM; trading activities for insti-

tutional clients), Corporate & Investment Banking (CIB; support for corporate

clients), Private, Wealth & Commercial Clients (PW&CC) and Deutsche Asset

Management (AM; institutional clients and fund business). DB has set itself a

series of ambitious financial targets for 2018 and 2020: achieving a CET1

ratio of at least 12.5% from December 2018 onwards (currently 11.1%), in-

creasing the leverage ratio to at least 4.5% by December 2018 and to at least

5.0% by December 2020 (currently: 3.5%), lowering the cost-income ratio to

approximately 70% by 2018 and 65% by 2020 (currently: 89.1%), reducing

RWAs to EUR 320bn by 2018 and EUR 310bn by 2020 (currently: EUR

385bn). The strategy also includes cutting around 4,000 jobs in Germany,

closing branches in 2017, exiting some markets and selling stakes in other

companies. In relation to a settlement that was sought in connection with

transactions on the U.S. real estate market (RMBS), the U.S. Department of

Justice initially proposed a settlement amount of USD 14bn. The parties in-

volved were able to reach an agreement in principle in December 2016. Un-

der its terms, Deutsche Bank is required to pay a civil fine of USD 3.1bn and

provide USD 4.1bn for consumer relief in the USA. This relief is to be provid-

ed over a period of at least five years. Im March 2017 DB announced a EUR

8bn rights issue, along with up to EUR 2bn of capital increase via flotation of

a small stake in their Asset Management unit and asset disposals.

Homepage

www.deutsche-bank.de

Ratings

Rating Outlook

Fitch A- *- -

Moody's Baa2 Stable

S&P BBB+ *+ -




Total assets 1,611,400 1,708,703 1,629,130 1,591,000

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30

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Senior Financials DEUTSCHE BANK AG


Customer deposits 413,574 424,584 447,909 N/A


Earnings before tax 1,457 3,116 -6,097 -810



Return on average equity 1.21 2.62 -9.25 N/A



Funding and TLAC The German statutory provisions for "subordination" of all outstanding plain-

vanilla senior bonds compared to other senior liabilities puts DB into the

comfortable starting position of having sufficient TLAC-eligible liabilities. Due

to their maturity profile, DB is nevertheless planning to issue TLAC-eligible

senior bonds with a volume of between EUR 11.0 to 14.0bn in 2017. Approx-

imately EUR 9.0 to 11.0bn is to be raised through structured seniors. The

total funding target is EUR 25.0bn. On 2 February 2017, the figures for the

2016 financial year were published.

https://www.deutsche-bank.de/pfb/content/privatkunden.html



page 21 of 40

HSBC HSBC was established in 1865 for the purpose of financing trade between

Europe and Asia. It now has more than 234,000 employees worldwide. The

London-based bank is designated as a global systemically important bank

(additional capital buffer: 2%). It offers its approximately 46m customers a

network of more than 4,400 branches in 71 countries. HSBC shares are

listed on the stock markets of London, Hong Kong, New York, Paris and

Bermuda, and are in free float. A share buy-back programme worth USD

2.5bn announced in August 2016 had already been 59% implemented by

Q3 2016. Its business operations are divided into four areas: Global Bank-

ing & Markets, Commercial Banking, Retail Banking and Wealth Manage-

ment as well as Global Private Banking. The group is diversified regionally,

with an earnings focus on Asia. HSBC is currently undergoing a restructur-

ing process, which is scheduled to be completed by the end of 2017. In

addition to a reduction in RWAs by around USD 290bn, it is also expected

to include cost savings of between USD 4.5bn and USD 5bn. Business

operations in Brazil were also discontinued, resulting in an RWA reduction

of USD 39.5bn. Supervisory requirements furthermore stipulate that a UK

ring-fenced bank must be formed by 2018. As at year end 2016 the CET1

ratio (fully loaded) was 13.6% and the leverage ratio was 5.4%.

Homepage

www.hsbc.com

Ratings

Rating Outlook

Fitch AA- Stable

Moody's A1 Negative

S&P A Negative




Total assets 1,938,843 2,176,062 2,218,570 2,251,962

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Senior Financials HSBC HOLDINGS


Customer deposits 1,030,128 1,157,698 1,224,519 1,249,354


Earnings before tax 16,998 14,084 17,010 6,431






Funding and TLAC HSBC's funding targets for 2017 are largely the same as those for 2016. In

order to meet TLAC requirements, HSBC Holding is planning to issue

TLAC-eligible bonds with a volume of between USD 25bn and USD 30bn

(gross). Of this amount, about USD 5bn is earmarked for Tier 2 bonds and

around USD 2-3bn will be AT1 instruments. The figures for the whole of

2016 were published on 21 February 2017.

http://www.hsbc.com/



page 22 of 40

ING ING Bank (ING) was formed in 1991 through a merger between Nationale-

Nederlanden and the NMB Postbank Group. The ING Groep, which acts as

100% parent of ING Bank, is now the largest financial group in the Nether-

lands. It has a strong European orientation and is classified as a global

systemically important bank (additional capital buffer: 1%). ING Bank is

represented in more than 40 countries, with over 52,000 employees world-

wide serving more than 35m customers. The bank's focus is on the three

market segments: Market Leaders, Challengers and Growth Markets, in

which the relevant products and services of retail and wholesale banking

are offered. While the Benelux countries are regarded as "Leaders" due to

the market position of ING, Germany, Austria, Spain, Italy, France and

Australia are "Challengers". The markets of Poland, Turkey, Romania and

Asia are viewed as "Growth Markets". A strategic alliance with the Bank of

Beijing has been agreed in the Asian market. In 2008 the Dutch state pro-

vided support for the distressed ING Group. This assistance came with a

number of conditions for the ING Group, including the sale of various inter-

national subsidiaries. The state aid was fully repaid in November 2014. In

the course of implementing a strategic realignment, the group withdrew

from the insurance business in April 2016 by selling the NN Group. As part

of the "Accelerating Think Forward" strategy, EUR 800m is earmarked for

investment in the digital transformation between 2016 and 2021.

Homepage

www.ing.com

Ratings

Rating* Outlook

Fitch A+ Stable

Moody's Baa1 Stable

S&P A- Stable

Rating of ING Groep NV




Total assets #WERT! 992,856 1,005,233 845,081

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Senior Financials ING BANK NV

Loans to customers #WERT! 570,675 766,294 N/A

Customer deposits #WERT! 522,033 703,437 N/A

Net interest income #WERT! 12,304 12,561 N/A

Earnings before tax #WERT! 3,707 6,172 N/A

Net interest margin N/A N/A 1.27 N/A

Cost-income ratio N/A 63.44 55.57 N/A

Return on average equity N/A N/A 8.21 N/A

Tier 1 common capital ratio N/A 13.49 12.94 14.15


Funding and TLAC ING issues TLAC/MREL-eligible capital instruments through the ING

Group (HoldCo). In the coming two to three years the institution is plan-

ning to issue at least EUR 16bn in senior unsecured bonds. On 2 February

2017 the institution presented its figures for the 2016 financial year.

https://www.ing.com/Investor-relations.htm



page 23 of 40

Nordea Nordea Bank AB (Nordea; head office in Stockholm) is the largest financial

services group in Scandinavia. It is the only Nordic institution among the 30

G-SIBs (additional capital buffer: 1%). Formed in 2000 from a merger of the

Finnish-Swedish banking group Merita Nordbanken and the Danish bank

Unidanmark, the institution serves almost 11 million customers across more

than 600 branches. The e-branches segment is also growing. Nordea's big-

gest shareholder is the Finnish insurance group Sampo plc with 21.3%.

Nordea has significant market shares not only in Sweden, but also in Den-

mark, Finland and Norway. Most of the operating income is also obtained

from these four countries. The universal bank's business is divided into four

segments, after Retail Banking was divided into two areas, Personal Bank-

ing (PeB) and Commercial & Business Banking (CBB), in Q4 2016. PeB

contributed 26% to operating profit (EUR 4,625m) in Q4 2016, CBB 17%,

Wholesale Banking 20% and Wealth Management 28%. Nordea posted

particularly strong growth in mobile banking. Effective 2 January 2017, the

Norwegian, Danish and Finnish banking subsidiary was merged into Nordea

Bank AB. The benefits include increasing the Group's flexibility and leverag-

ing synergies, resulting in cost savings (reduction of duplicated functions).

The merger does not affect the balance sheet figures of Nordea Bank AB.

Business in each of the countries will continue to be conducted through

branches. Comfortable CET1 ratio (Q4 2016: 18.4%) and LCR (159%).

Starting from 19 March 2017, the Swedish supervisory authority requires an

anticyclical capital buffer of 2% (currently: 1.5%).

Homepage

www.nordea.com

Ratings

Rating Outlook

Fitch* AA- Stable

Moody's Aa3 Stable

S&P AA- Negative

Source: Bloomberg, NORD/LB Fixed In-come Research



Total assets 630,434 669,342 646,868 615,659

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Senior Financials NORDEA BANK AB










Funding and TLAC On 26 January 2017, Nordea published its figures for the whole of 2016.

As Nordea's capital ratio is comfortable, the need for TLAC-eligible bonds

is manageable. Nordea's funding mix is well diversified. It is dominated by

covered bonds (>50%), although international and domestic senior unse-

cured bonds represent a considerable proportion, at around 25%.

http://www.nordea.com/en/



page 24 of 40

RBS The Royal Bank of Scotland (RBS) was established in 1727 in Edinburgh

and now has around 82,000 employees. It is ranked as a global systemi-

cally important bank. For this reason it must hold an additional capital buff-

er of 1% at present. Its business segments are divided into the three core

areas: Personal & Business Banking, Commercial & Private Banking and

Corporate & Institutional Banking (CIB). During the financial market crisis in

2008, the Group was bailed out by the UK government in the amount of

GBP 45bn, with the result that the state holds more than 70% of the

shares. One of the conditions for the rescue at that time was the scheduled

sale of the subsidiary Williams & Glyn by the end of 2017. However, it is

not possible to comply with this. The aim is for RBS to become an efficient,

low-risk UK-oriented bank. As a consequence, the number of countries in

which RBS operates will be reduced from the current 38 to 13. By downsiz-

ing the IB division and other high-risk holdings, CIB's RWAs will be re-

duced by 60% by 2019, from the level in December 2014. The realignment

of the bank that was decided at the end of 2013 will take several years, up

to 2019. High amounts have had to be raised for penalties and legal costs

in the past few years. At present, it is faced with a fine up to USD 13.0bn

from the FHFA in the USA due to misselling of MBS. In the course of a

stress test by the Bank of England in 2016, the bank failed to meet CET1

requirements, owing to a lack of capitalisation. As a result, it was the only

bank to have to revise its plan to strengthen its capital adequacy in consul-

tation with the supervisory authority.

Homepage

www.rbs.com

Ratings

Rating Outlook

Fitch BBB+ Stable

Moody's Ba1 Positive

S&P BBB- Stable


Financial data (EUR m) 2013Y 2014Y 2015Y 2016T3


Total assets 1,235,088 1,353,674 1,106,479 935,382

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Senior Financials ROYAL BK SCOTLND




Earnings before tax -10,424 3,280 -3,723 NA

Net interest margin 1.59 1.87 1.99 NA

Cost-income ratio 94.09 88.03 116.23 NA

Return on average equity -12.39 -4.47 -2.02 -9.81



Funding and TLAC RBS presented its funding targets on 24 February 2017, together with

publication of the annual results for 2016. In order to meet TLAC/MREL

requirements, the institution intends to issue between GBP 3bn and 5bn in

senior bonds (HoldCo) in 2017. Tier 2 and AT1 instruments are not

planned in 2017.

http://www.pfandbriefbank.com/



page 25 of 40

Santander Banco Santander S.A. (Santander) has a company history stretching back

almost 160 years. It has been operating under its current name since

2007. The financial group is now one of the largest in the world and is

listed among the global systemically important financial institutions (addi-

tional capital buffer: 1.0%). Santander has 12,391 branches and 124 mil-

lion customers around the world. Its business operations focus on retail

and commercial banking. Santander also operates in the areas of Global

Wholesale, Asset Management, Private Banking and Insurance. The core

markets for Santander's business activities are Spain, Portugal, the UK,

the USA, Poland, Brazil, Mexico, Chile and Argentina, as well as 15 other

European countries in which Santander operates in the form of Santander

Consumer Finance. Overall, 97% of Santander's underlying profit is gener-

ated in these markets. Santander also has significant market share in Uru-

guay, Puerto Rico and in China. The group is organised into individual

autonomous subsidiaries, each managing its capital and liquidity inde-

pendently in accordance with local criteria and regulations, while at the

same time benefiting from the synergies and advantages afforded by

membership of the Santander Group. The largest shareholder is State

Street Corp. with 12.5% as at 17 February 2017. As a target capital ratio,

Santander intends to have a CET1 ratio of >11% by the end of 2018.

Homepage

www.santander.com

Ratings

Rating Outlook

Fitch A- Stable

Moody's A3 Stable

S&P A- Positive




Total assets 1,115,761 1,266,296 1,340,262 1,339,125

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Senior Financials BANCO SANTANDER










Funding and TLAC The funding plan for 2017 provides for an issuance volume of TLAC-

eligible senior non-preferred bonds amounting to between EUR 12bn and

EUR 14bn. For 2018, the target amount in this asset category is between

EUR 10bn and EUR 12bn. Due to the "multiple point of entry" resolution

strategy, the TLAC requirement is probably applicable to each resolution

unit. As a result, each of the subsidiaries also issue their own bail-in-

eligible bonds (not reflected in the funding volume). On 25 January 2017,

the institution published its figures for the whole of 2016.

http://www.santander.com/csgs/Satellite/CFWCSancomQP01/en_GB/Corporate.html



page 26 of 40

Société Générale The long-established French bank, Société Générale SA, is one of the

largest European financial institutions. As a global systemically important

bank, it must hold an additional capital buffer of 1%. Around 146,000 em-

ployees serve about 31 million customers in 66 countries worldwide. In

addition to the three core areas of business: "French Retail Banking", "In-

ternational Retail Banking and Financial Services" and "Global Banking

and Investor Solutions", the Corporate Centre is another segment which

performs the bank's Treasury function, among other duties. The business

model is well balanced, with the three core areas of business each contrib-

uting around one third to net income. The most important market is the

French home market. The focus of international business is on Russia and

Africa in addition to Central and Eastern Europe. The bank’s operations in

Russia have an exposure at default of EUR 15bn (Q3 2016). Although this

is low, at only around 2% of the entire exposure, these operations are to be

reduced, against a background of the challenging market environment. The

cost-cutting programme has already led to savings of EUR 900m between

2013 and 2015. Cost savings of EUR 450m and EUR 400m have been

announced for 2016 and 2017, respectively. Other key elements of this

programme are the transformation of French retail banking (target: 20%

fewer branches by 2020), efficiency gains (through job cuts, among other

measures), cost sharing (e.g. through Transactis: joint venture with La

Banque Postale in card processing) as well as outsourcing and offshoring

of areas of responsibility (including outsourcing of securities back office).

Homepage

www.societegenerale.com

Ratings

Rating Outlook

Fitch A Stable

Moody's A2 Stable

S&P A Stable




Total assets 1,214,193 1,308,138 1,334,391 1,382,200

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Senior Financials SOCIETE GENERALE








Tier 1 common capital ratio N/A 10.91 11.42 11.80


Funding and TLAC Due to the solid capitalisation, the need for "non-preferred" seniors is

manageable. As at the end of 2016, the TLAC ratio is already above the

regulatory requirements for 2019. The funding targets were announced on

9 February 2017, together with publication of the annual results for 2016.

In 2017, SocGen is planning about EUR 9bn in primarily TLAC-eligible

bonds, including subordinated debt. EUR 2.1bn of this has already been

issued.

https://www.societegenerale.com/en/home



page 27 of 40

Standard Chartered Standard Chartered plc is a global systemically important financial institu-

tion (additional capital buffer: 1%) headquartered in London. Formed in

1969 through the merger of Standard Bank of British South Africa and

Chartered Bank of India, Australia and China, it has around 84,000 em-

ployees worldwide. Owing to the bank's history, its core markets are pri-

marily the regions of Asia, Africa and Middle East. Its business operations

cover the segments Corporate & Institutional Banking, Commercial Bank-

ing, Private Banking, Retail Banking and Central & Other Items. In the first

half of 2016, 67% of operating income was generated in the Asian region

and around 20% in the Africa and Middle East regions. With regard to the

segments, around 46% of operating income was accounted for by Corpo-

rate & Institutional Banking, with a further 34% attributable to Retail Bank-

ing. In November 2015 the bank introduced a strategic realignment be-

cause of declining results. Its objective is to strengthen the capitalisation

and restructure the business operations. The aim is a CET1 ratio of 12%-

13% and return on equity of 10% by 2020 after completion of the measures

listed below: restructuring of business areas and portfolios worth USD

100bn (around one third of RWAs), scheduled cost savings of USD 2.9bn,

a simplified organisational structure and a capital increase of around USD

5.1bn. With 15.74% (March 2017) of the shares, the largest shareholder

with is Temasek Holdings (Private) Limited, which is owned by the Singa-

pore government. The results of the stress test conducted by the Bank of

England in 2016 indicate that the minimum requirements for hard core

capital on the part of the bank could not be met, although the existing plan

to strengthen capitalisation is constructive.

Homepage

www.standardchartered.com

Ratings

Rating Outlook

Fitch A+ Stable

Moody's A1 Negative

S&P BBB+ Stable




Total assets 489,465 599,678 589,693 613,193

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Senior Financials STANDARD CHART




Earnings before tax 4,568 3,193 -1,373 370



Return on average equity 9.04 5.78 -4.61 -0.39



Funding and TLAC On 24 February 2017, Standard Chartered published its annual results for

2016. The Group’s funding structure remains conservative with limited

refinancing requirements over the next few years.

https://www.sc.com/en/



page 28 of 40

UBS UBS Group AG is a universal bank with headquarters in Zurich. It is listed

among the global systemically important financial institutions (additional

capital buffer: 1%). With around 60,000 employees worldwide, it provides

services to private and corporate clients as well as institutional clients in 54

countries. It has assets under management of CHF 2,747bn. The biggest

shareholders in the UBS Group are Chase Nominees Ltd. (9.24%), DTC

(Cede & Co [6.62%]) and GIC Private Limited (6.38%). Its business opera-

tions are divided into five divisions: Wealth Management, Wealth Man-

agement Americas, Investment Bank, Personal & Corporate Banking and

Asset Management. The Group is in a process of reorganization, due part-

ly to changes in the regulatory framework. This involved the formation of

UBS Group AG as a holding company in order to improve the resolvability

of the UBS Group. Transfer of the Swiss areas Retail & Corporate and

parts of Wealth Management into UBS Switzerland AG was also success-

fully completed. An intermediate holding company was established in Q3

2015 in order to comply with the Dodd-Frank Act. This company combines

the U.S. subsidiaries apart from the U.S. branches of UBS AG. UBS Asset

Management AG was also formed, into which the operational AM subsidi-

aries were transferred in 2016. The Group reorganisation is having a posi-

tive effect on the Group's resolvability. UBS AG is a wholly owned subsidi-

ary of UBS Group AG. UBS is aiming to cut costs by CHF 2.1bn by the end

of 2017 and record a Basel III CET1 ratio (fully loaded) of >13% (Q4 2016:

13.8%).

Homepage

www.ubs.com

Ratings

Rating Outlook

Fitch A Positive

Moody's Ba1 (hyp) -

S&P A- Stable




Total assets 827,047 883,722 866,926 872,449

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Senior Financials UBS AG LONDON










Funding and TLAC On 27 January, UBS published its annual results for 2016. The bank has

CHF 18.2bn in TLAC-eligible bonds outstanding as at year-end 2016.

Long-term bonds that are not TLAC-eligible are to be exchanged through

the issue of TLAC-eligible bonds (HoldCo) by 2020.

https://www.ubs.com/de/de.html



page 29 of 40

UniCredit UniCredit S.p.A. is the largest banking group and the only global systemi-

cally important institution in Italy (additional capital buffer: 1%). The biggest

shareholders are Capital Research and Management Company with

around 6.7%, Aabar Luxembourg S.A.R.L with about 5% and Blackrock

with roughly 4.8%. Even though the bank has operations in a total of 17

countries, the focus is especially on the Italian home market and Germany,

Austria, Poland and CEE. Organisationally, UniCredit is divided into Com-

mercial Banking, Corporate Investment Banking, Asset Management and

Asset Gathering. Within the framework of its "Transform 2019" strategy,

the bank is seeking primarily to strengthen its capitalisation. A capital in-

crease in the amount of EUR 13.0bn was approved by the General Meet-

ing in January 2017. A reverse split of UniCredit shares was approved at

the same time. In addition, the bank intends to press ahead with its de-

risking by selling NPL in the amount of EUR 17.7bn by mid-2017. As addi-

tional measures to boost efficiency, UniCredit is planning to cut 14,000

jobs by 2019, accompanied by savings of EUR 1.1bn. In addition, the cost-

income ratio is expected to fall below 52% by 2019. This is offset by in-

vestments of EUR 1.6bn in IT and digitalisation projects. In addition to the

sale of shares in Bank Pekao S.A. (around EUR 2.4bn) and shares in

Fineco Bank (around EUR 550m), in December UniCredit also sold its

asset management subsidiary, Pioneer Investments, for more than EUR

3.5bn to the French asset manager Amundi, in order to increase the CET1

ratio. The target is a CET1 ratio (fully loaded) of >12.5% by 2019.

Homepage

www.unicreditgroup.eu

Ratings

Rating Outlook

Fitch BBB+ Negative

Moody's Baa1 Stable

S&P BBB- Stable




Total assets 825,919 844,217 860,433 859,533

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Senior Financials UNICREDIT SPA




Earnings before tax -15,318 3,679 2,396 N/A



Return on average equity -21.37 4.56 3.80 -21.50



Funding and TLAC UniCredit published its annual results for 2016 on 9 February 2017; it

posted a loss of EUR 11.79bn. Once the capital increase of EUR 13bn has

been implemented, the CET1 ratio is expected to rise to 11.15% again on

a pro forma basis. In order to meet TLAC requirements, the institution is

planning to issue EUR 20bn in senior bonds (funding plan 2016 to 2018).

In addition, amounts of EUR 6.5bn in Tier 2 and EUR 3.5bn in AT1 instru-

ments are also scheduled to be placed over the same period.

https://www.unicreditgroup.eu/en.html



page 30 of 40

Glossary

Basics

Basel III

Following Basel I and II, Basel III is the latest version of the Basel capital and

liquidity recommendations; Basel III is currently being revised ("Basel IV")

BCBS (Basel Committee on

Banking Supervision)

Committee headquartered in Basel which makes recommendations for the

capital adequacy and liquidity of banks (recommendations apply to the global

systemically important banks, the European Commission implements the

recommendations for EU banks)

CRD IV (Capital

Requirements Directive IV)

EU directive; CRD IV and CRR are collectively the European implementation

of the Basel III recommendations, binding on all EU banks; transposition into

the national law of each country necessary

CRR (Capital Requirements

Regulation)

EU regulation; CRD IV and CRR are collectively the European implementa-

tion of the Basel III recommendations and are therefore binding for all EU

banks; once adopted by the European Commission, the CRR is legally bind-

ing in all EU countries, without further steps being required; it defines three

equity capital aggregates: hard core capital (CET1), additional core capital

(AT1) and supplementary capital (Tier 2)

CRR institution All EU banks that are subject to CRD IV and CRR

EBA (European Banking

Authority)

European supervisory authority for banks. Its main responsibilities include

the setting of standards for EU banking supervision, the development of a

manual which sets out harmonised supervisory practices and the execution

of stress tests; in addition to EIOPA (European Insurance and Occupational

Pensions Authority) and ESMA (European Securities and Markets Authority),

it is one of the three European Supervisory Authorities (ESAs)

ESFS (European System of

Financial Supervision)

European system of financial supervision, consisting of three supervisory

authorities: the European Securities and Markets Authority (ESMA), the Eu-

ropean Banking Authority (EBA) and the European Insurance and Occupa-

tional Pensions Authority (EIOPA)

FSB (Financial Stability

Board)

Financial Stability Board; support and coordination of supervisory and regula-

tory activities of international financial markets through recommendations

G-SIB (Global Systemically

Important Bank)

Global systemically important bank (FSB and Basel terminology); the FSB

currently lists 30 banks as global systemically important banks; list updated

in November each year

G-SIFI (Global Systemically

Important Financial

Institution)

Global systemically important financial institution (CRD IV terminology)

"too big to fail" (TBTF) Principle under which major banks are regarded as so important for the fi-

nancial system that they are rescued with taxpayers' money if they face fail-

ure, in order to prevent insolvency and a potential systemic crisis in its wake

(problem of moral hazard)



page 31 of 40

Capital

CET1

(Common Equity Tier 1)

Hard core capital; consisting of subscribed equity capital and retained earn-

ings; Basel III/CRD IV requires a hard core capital ratio of at least 4.5% of

the risk-weighted assets, plus various capital buffers

AT1

(Additional Tier 1 Capital)

Additional core capital; under Basel III/CRD IV, CET1 and AT1 must be at

least 6%; AT1 instruments may participate in losses through cancellation of

interest payments or conversion into equity capital

Tier 2 Capital Supplementary capital; primarily in the form of subordinate bonds; old

instruments such as preference shares and participation certificates are also

counted as supplementary capital

Grandfathering Counting old capital instruments, now no longer permitted, towards the capi-

tal ratios in the transitional phase of Basel III (up to 2019)

CoCo Bond (Contingent

Convertible Bond)

Mandatory convertible bonds which, should a capital ratio fall below a certain

level (under Basel III at least 5.125%), are converted into hard equity capital

(into shares) or absorb losses directly (write-off of the claim to repayment)

ADI (Available Distributable

Amount)

Available distributable funds; consisting of earnings plus profit reserves; now

usually called MDA (Maximum Distributable Amount)

MDA (Maximum Distributable

Amount)

Available distributable funds; consisting of earnings plus profit reserves; also

called ADI

CCB (Capital Conservation

Buffer)

Capital conservation buffer; buffer of 2.5% of RWA in CET1 capital; it may

fall below this level in times of crisis

CCyB (Countercyclical

Capital Buffer)

Countercyclical capital buffer in CET1 capital defined by the national super-

visory body; may be between 0% and 2.5%

G-SIB Buffer Additional CET1 capital buffer for G-SIBs between 1% and 2.5%

SREP (Supervisory Review

and Evaluation Process)

ECB's review and evaluation process as banking supervisor

SREP ratios CET1 ratio, which is defined for each individual bank by the supervisory body

within the scope of Pillar 2 of the Basel Accord; disclosure by the banks

since the start of 2016

Leverage ratio Debt ratio introduced by Basel III, sets the capital of a bank in relation to its

total assets. European Commission draft provides for a binding leverage

ratio of 3%.



page 32 of 40

Liquidity

LCR

(Liquidity Coverage Ratio)

Liquidity coverage metric introduced by Basel III to measure a bank's liquidity

holdings to cover short-term obligations; the LCR standard is designed to

ensure that every bank is able to independently withstand a stress scenario

over a period of 30 calendar days; it is defined as the ratio of the stock of

highly liquid assets to total net cash outflows after 30 days; the minimum

value is 100%, although banks will be permitted to fall below this level tem-

porarily in order to overcome an acute period of stress

NSFR

(Net Stable Funding Ratio)

Structural liquidity ratio introduced by Basel III which aims to optimise the

structural liquidity of credit institutions over a timeframe of one year; it is de-

fined as the ratio of the available stable funding to required stable funding

Bail-in

Bail-in Participation of bond creditors and depositors in losses incurred by a bank if

it is restructured; the purpose of participating in the loss is especially the

recapitalisation of a bridging bank or residual bank

Bail-in-eligible finance

resources

Bonds and other top-ranking liabilities which, if a bank is restructured, may

have to participate in losses in line with the hierarchy of liability (covered

bonds, for example, are excluded)

BRRD (Bank Recovery &

Resolution Directive)

EU Directive on the resolution and recovery of banks; must be transposed

into national law by EU countries, e.g. in Germany the Act on the Recovery

and Resolution of Credit Institutions (Sanierungs- und Abwicklungsgesetz,

SAG)

Banking Union (BU) Single rulebook consisting of a package of legal acts that is binding for all EU

banks; these rules include capital adequacy requirements for banks, tighter

investor protection provisions and measures to prevent and resolve bank

insolvencies; the three pillars of the BU are: Single Supervisory Mechanism

(SSM), Single Resolution Mechanism (SRM), Single Deposit Guarantee

Scheme

SSM (Single Supervisory

Mechanism)

Single supervisory mechanism which transfers to the ECB the role of central

supervisory body for financial institutions in the eurozone and in any non-

eurozone state that voluntarily opts in to the SSM; the ECB directly supervis-

es the major banks, while the national competent authorities continue to su-

pervise the other banks: part of the Banking Union

SRB (Single Resolution

Board)

Committee for the centralised resolution of banks; applies to banks super-

vised by the SSM; part of the Banking Union

SRF (Single Resolution Fund) Centralised resolution fund that is financed by the banks (bank levy); part of

the Banking Union

SRM (Single Resolution

Mechanism)

Centralised mechanism for bank resolution; consists of the

Single Resolution Board (SRB) and the Single Resolution Fund (SRF)



page 33 of 40

"going concern" A bank continues its business operations, it is not liquidated

"gone concern" A bank does not continue its business operations as usual, it is liquidated or

restructured

"no creditor worse off" Principle that, in the event that a bank is restructured, no creditor may be put

in a worse position than in the case of insolvency (liquidation)

Point of non-viability Status in which the survival of the bank is no longer possible without state

support; restructuring with participation in losses may be ordered by the su-

pervisory body

SPE (Single Point of Entry) Strategy in which the resolution applies to the highest unit in the group (hold-

ing company; HoldCo); participation in losses begins with liabilities of the

holding company

MPE (Multiple Point of Entry) Strategy in which the resolution applies to the operating units in the group

(operating companies; OpCo); participation in losses begins with liabilities of

the units to be restructured

Ring-fencing Process for the "insolvency-proof" shielding of assets

TLAC / MREL

TLAC (Total Loss-Absorbing

Capacity)

Loss-bearing capital which a bank must hold as a minimum; consisting of the

liable equity and certain senior liabilities; these instruments must be able to

absorb losses with legal certainty in the event of insolvency or in the course

of resolution before other liabilities can be used for covering the loss; the

FSB determines the minimum volume, to be held solely by G-SIB; for this

purpose, G-SIB must comply with two ratios – one risk-weighted and one

unweighted

TLAC-eligible bonds The FSB provides three options for the legally sound participation of TLAC

instruments in losses: contractual, statutory and structural subordination

Contractual Subordination Legally sound participation in losses through contractual subordination: the

security terms and conditions of the TLAC instruments include contractual

provisions stipulating the relevant subordination

Statutory Subordination Legally sound participation in losses through statutory subordination; an

appropriate statutory provision stipulates the subordination of the TLAC in-

struments to all other liabilities of the resolution unit

Structural Subordination Legally sound participation in losses through structural subordination: the

liabilities side of the resolution unit consists solely of TLAC instruments (e.g.

in the case of a holding company)

HoldCo (Holding Company) Top-level holding company, generally without any operating business

OpCo (Operating Company) Operating units which carry out the banking business

MREL (Minimum

Requirement for Own Funds

and Eligible Liabilities)

Minimum requirements for bail-in-eligible finance resources; compliance

required by all EU banks; the MREL ratio is set by the supervisory authority

for each bank on an individual basis



page 34 of 40

German Act on the Recovery

and Resolution of Credit In-

stitutions (Gesetz zur

Sanierung und Abwicklung

von Kreditinstituten; SAG)

Statutory implementation of the BRRD in Germany

German Resolution

Mechanism Act

(Abwicklungsmechanismus-

gesetz; AbwMechG)

The AbwMechG adapts German bank resolution law (through amendments

to the SAG and the Insolvency Act (Insolvenzordnung), etc.) to comply with

the EU's single resolution mechanisms and the European provisions on the

bank levy; among other provisions, the Act regulates the transfer of bank

levies collected in Germany to the European resolution fund as well as the

hierarchy of liability applicable in the event of restructuring

Hierarchy of liability The order of liability for creditors/participation in losses in the event of re-

structuring; the BRRD defines the basic structure of the hierarchy of liability,

deviation from provisions stipulated by national legislation may occur

Hierarchy of liability in

Germany

Unlike the BRRD, the AbwMechG and SAG subordinate top-ranking liabilities

(unstructured senior unsecured bonds, Schuldscheindarlehen [SSD]) to other

top-ranking liabilities (structured bonds, deposits by institutional investors,

unsecured deposits by private investors)



page 35 of 40

Appendix Contacts

Fixed Income Research

Michael Schulz Head +49 511 361-5309 [email protected]

Kai Ebeling Covered Bonds +49 511 361-9713 [email protected]

Mario Gruppe Public Issuers +49 511 361-9787 [email protected]

Michaela Hessmert Banks +49 511 361-6915 [email protected]

Melanie Kiene Banks +49 511 361-4108 [email protected]

Jörg Kuypers Corporates / Retail Products +49 511 361-9552 [email protected]

Matthias Melms Covered Bonds +49 511 361-5427 [email protected]

Sascha Remus Corporates / Retail Products +49 511 361-2722 [email protected]

Norman Rudschuck Public Issuers +49 511 361-6627 [email protected]

Thomas Scholz Corporates / Retail Products +49 511 361-4710 [email protected]

Martin Strohmeier Corporates / Retail Products +49 511 361-4712 [email protected]

Kai Witt Corporates / Retail Products +49 511 361-4639 [email protected]

Markets Sales

Carsten Demmler Head +49 511 361-5587 [email protected]

Institutional Sales (+49 511 9818-9440)

Thorsten Bock [email protected] Gabriele Schneider [email protected]

Uwe Kollster [email protected] Dirk Scholden [email protected]

Rainer Nabel [email protected] Uwe Tacke [email protected]

Daniel Novotny-Farkas [email protected]

Sales Savings Banks / Regional Banks (+49 511 9818-9400)

Christian Schneider (Head) [email protected] Martin Koch [email protected]

Thorsten Aberle [email protected] Stefan Krilcic [email protected]

Oliver Bickel [email protected] Bernd Lehmann [email protected]

Tobias Bohr [email protected] Jörn Meißner [email protected]

Kai-Ulrich Dörries [email protected] Lutz Schimanski [email protected]

Jan Dröge [email protected] Ralf Schirrling [email protected]

Sascha Goetz [email protected] Brian Zander [email protected]

Sales Asia (+65 64 203136)

Jefferson Ko [email protected] Muhammad Peter Shep-herd

[email protected]

Fixed Income / Structured Products Sales Europe (+352 452211-515)

René Rindert (Head) [email protected] Patricia Lamas [email protected]

Morgan Kermel [email protected] Laurence Payet [email protected]

Corporate Sales

Shipping / Aircraft +49 511 9818-8150 Corporate Clients +49 511 9818-4003

Real Estate / Structured Finance

+49 511 9818-8150 FX/MM

+49 511 9818-4006

Syndicate / DCM (+49 511 9818-6600)

Thomas Cohrs (Head) [email protected] Julien Marchand [email protected]

Axel Hinzmann [email protected] Wlada Pesotska [email protected]

Thomas Höfermann [email protected] Andreas Raimchen [email protected]

Tobias Jesswein [email protected] Udo A. Schacht [email protected]

Markus Klingbeil [email protected] Marco da Silva [email protected]

Alexander Malitsky [email protected]

Financial Markets Trading

Corporates +49 511 9818-9690 Collat. Mgmt / Repos +49 511 9818-9200

Covereds / SSAs +49 511 9818-8040 Cust. Exec. & Trading +49 511 9818-9480

Financials +49 511 9818-9490 Frequent Issuers +49 511 9818-9640

Governments +49 511 9818-9660 Structured Products +49 511 9818-9670

Länder & Regions +49 511 9818-9550

mailto:[email protected]








page 36 of 40

Disclaimer

This investment recommendation/investment strategy recommendation (hereinafter the „Investment Recommendation”) was drawn up

by NORDDEUTSCHE LANDESBANK GIROZENTRALE („NORD/LB“), The supervisory authorities in charge of NORD/LB are the Euro-

pean Central Bank („ECB“), Sonnemannstraße 20, D-60314 Frankfurt am Main, and the Federal Financial Supervisory Authority (Bun-

desanstalt für Finanzdienstleitungsaufsicht - „BaFin“), Graurheindorfer Str, 108, D-53117 Bonn, and Marie-Curie-Str, 24-28, D-60439

Frankfurt am Main, Details about the extent of NORD/LB´s regulation by the respective authorities are available on request, Generally,

this Investment Recommendation or the products or services described therein have not been reviewed or approved by the competent

supervisory authority,

This Investment Recommendation is addressed exclusively to recipients which are professional and institutional clients in Germany, the

United Kingdom, Austria, Belgium, Italy, Spain, Denmark, Finland, Estonia, France, Greece, Ireland, Luxembourg, the Netherlands,

Poland, Portugal, Sweden, the Czech Republic, Canada, Switzerland and Cyprus (hereinafter the „Relevant Persons” or „Recipients”),

The contents of this Investment Recommendation are disclosed to the Recipients on a strictly confidential basis and, by accepting this

Investment Recommendation, the Recipients agree that they will not forward to third parties, copy and/or reproduce this Investment

Recommendation without NORD/LB’s prior written consent, The figures discussed in this Investment Recommendation are only ad-

dressed to the Relevant Persons and any persons other than the Relevant Persons must not rely on this Investment Recommendation,

In particular, neither this Investment Recommendation nor any copy thereof must be forwarded or transmitted to the United States of

America or its territories or possessions or distributed to any employees or affiliates of Recipients resident in these jurisdictions,

This Investment Recommendation was drawn up in compliance with the applicable provisions of the German Securities Trading Act

(Wertpapierhandelsgesetz) and the Regulation Governing the Analysis of Financial Instruments (Verordnung über die Analyse von

Finanzinstrumenten), In organizational, hierarchical, functional and local terms, the Research Division of NORD/LB is independent of any

divisions responsible for the issuance of securities and investment banking activities, for trading (including proprietary trading) in and

sales of securities as well as for lending activities,

This Investment Recommendation and the information contained herein have been compiled and are provided exclusively for information

purposes, This Investment Recommendation is not intended as an investment incentive, It is provided for the Recipient’s personal infor-

mation, subject to the express understanding, which is acknowledged by the Recipient, that it does not constitute any direct or indirect

offer, individual recommendation, solicitation to purchase, hold or sell or to subscribe for or acquire any securities or other financial

instruments nor any measure by which financial instruments might be offered or sold,

All actual details, information and statements contained herein were derived from sources considered reliable by NORD/LB, However,

since these sources are not verified independently, NORD/LB cannot give any assurance as to or assume responsibility for the accuracy

and completeness of the information contained herein, The opinions and prognoses given herein on the basis of these sources consti-

tute a non-binding evaluation by the analysts of NORD/LB, Any changes in the underlying premises may have a material impact on the

developments described herein, Neither NORD/LB nor its governing bodies or employees can give any assurance as to or assume any

responsibility or liability for the accuracy, adequacy and completeness of this Investment Recommendation or any loss of return, any

indirect, consequential or other damage which may be suffered by persons relying on the information or any statements or opinions set

forth in this Investment Recommendation (irrespective of whether such losses are incurred due to any negligence on the part of these

persons or otherwise),

Past performances are not a reliable indicator of future performances, Exchange rates, price fluctuations of the financial instruments and

similar factors may have a Negativee impact on the value and price of and return on the financial instruments referred to herein or any

instruments linked thereto, An evaluation made on the basis of the historical performance of any security does not necessarily give an

indication of its future performance,

This Investment Recommendation neither constitutes any investment, legal, accounting or tax advice nor any representation that an

investment or strategy is suitable or appropriate in the light a Recipient’s individual circumstances, and nothing in this Investment Rec-

ommendation constitutes a personal recommendation to the Recipient thereof, The securities or other financial instruments referred to

herein may not be suitable for the Recipient’s personal investment strategies and objectives, financial situation or individual needs,

Also this Investment Recommendation as a whole or any part thereof is not a sales or other prospectus, Correspondingly, the infor-

mation contained herein merely constitutes an overview and does not form the basis for an investor‘s potential decision to buy or sell, A

full description of the details relating to the financial instruments or transactions which may relate to the subject matter of this Investment

Recommendation is set forth in the relevant (financing) documentation, To the extent that the financial instruments described herein are

NORD/LB’s own issues and subject to the requirement to publish a prospectus, the conditions of issue applicable to any individual finan-

cial instrument and the relevant prospectus published with respect thereto as well NORD/LB’s relevant registration form, all of which are

available for downloading at www,nordlb,de and may be obtained, free of charge, from NORD/LB, Georgsplatz 1, 30159 Hanover, shall

be solely binding, Any potential investment decision should at any rate be made exclusively on the basis of such (financing) documenta-

tion, This Investment Recommendation cannot replace personal advice, Before making an investment decision, each Recipient should

consult an independent investment adviser for individual investment advice with respect to the appropriateness of an investment in

financial instruments or investment strategies as contemplated herein as well as for other and more recent information on certain in-

vestment opportunities,

Each of the financial instruments referred to herein may involve substantial risks, including capital, interest, index, currency and credit

risks, political, fair value, commodity and market risks, The financial instruments could experience a sudden substantial deterioration in

value, including a total loss of the capital invested, Each transaction should only be entered into on the basis of the relevant investor’s

assessment of its individual financial situation as well as of the suitability and risks of the investment,

NORD/LB and its affiliates may, for their own account or for the account of third parties, participate in transactions involving the financial

instruments described herein or any underlying assets, issue further financial instruments having terms that are the same as or similar to

those governing the financial instruments referred to herein as well as enter into transactions to hedge positions, Such actions may affect

the price of the financial instruments described in this Investment Recommendation,



page 37 of 40

To the extent the financial instruments referred to herein are derivatives, they may involve an initial Negativee market value from the

customer’s point of view, depending on the terms and conditions prevailing as of the transaction date, Furthermore, NORD/LB reserves

the right to pass on its economic risk from any derivative transaction it has entered into to third parties in the market by way of a mirror

image counter-transaction,

Further information on any fees which may be included in the sales price is set forth in the brochure „Customer Information Relating to

Securities Transactions“ which is available at www,nordlb,de,The information set forth in this Investment Recommendation shall super-

sede all previous versions of any relevant Investment Recommendation and refer exclusively to the date as of which this Investment

Recommendation has been drawn up, Any future versions of this Investment Recommendation shall supersede this present version,

NORD/LB shall not be under any obligation to update and/or review this Investment Recommendation at regular intervals, Therefore, no

assurance can be given as to its currentness and continued accuracy,

By making use of this Investment Recommendation, the Recipient shall accept the foregoing terms and conditions,

NORD/LB is a member of the protection scheme of Deutsche Sparkassen-Finanzgruppe, Further information for the Recipient is set

forth in clause 28 of the General Terms and Conditions of NORD/LB or at www,dsgv,de/sicherungssystem,

Additional information for recipients in the UK

NORD/LB subject to limited regulation by the Financial Conduct Authority (“FCA”) und Prudential Regulation Authority (“PRA”), Details

about the extent of our regulation by the FCA and PRA are available from NORD/LB on request,

This Investment Recommendation is a financial promotion, Relevant Persons in the UK should contact NORD/LB’s London Branch,

Investment Banking Department, Telephone: 0044 / 2079725400 with any queries,

Investing in financial instruments referred to in this Investment Recommendation may expose an investor to a significant risk of losing all

of the amount invested,

Additional information for recipients in France

NORD/LB is partially regulated by the Autorité des Marchés Financiers for the conduct of French business, Details about the extent of

our regulation by the respective authorities are available from us on request,

This Investment Recommendation constitutes investment research within the meaning of Article 24(1) Directive 2006/73/EC, Article

L,544-1 and R,621-30-1 of the French Monetary and Financial Code and does qualify as research recommendation under Directive

2003/6/EC and Directive 2003/125/EC,

Additional information for recipients in Austria

None of the information contained in this Investment Recommendation constitutes a solicitation or offer by NORD/LB or its affiliates to

buy or sell any securities, futures, options or other financial instruments or to participate in any other strategy, Only the published pro-

spectus pursuant to the Austrian Capital Market Act should be the basis for any investment decision of the Recipient,

For regulatory reasons, products mentioned in this Investment Recommendation may not being offered into Austria and are not available

to investors in Austria, Therefore, NORD/LB might not be able to sell or issue these products, nor shall it accept any request to sell or

issues these products, to investors located in Austria or to intermediaries acting on behalf of any such investors,

Additional information for recipients in Belgium

Evaluations of individual financial instruments on the basis of past performance are not necessarily indicative of future results, It should

be noted that the reported figures relate to past years,

Additional information for recipients in Cyprus

This Investment Recommendation constitutes investment research within the meaning of the definition section of the Cyprus Directive

D1444-2007-01(No 426/07), Furthermore, this material is provided for informational and advertising purposes only and does not consti-

tute an invitation or offer to sell or buy or subscribe any investment product,

Additional information for recipients in Denmark

This Investment Recommendation does not constitute a prospectus under Danish securities law and consequently is not required to be

nor has been filed with or approved by the Danish Financial Supervisory Authority as this Investment Recommendation either (i) has not

been prepared in the context of a public offering of securities in Denmark or the admission of securities to trading on a regulated market

within the meaning of the Danish Securities Trading Act or any executive orders issued pursuant thereto, or (ii) has been prepared in the

context of a public offering of securities in Denmark or the admission of securities to trading on a regulated market in reliance on one or

more of the exemptions from the requirement to prepare and publish a prospectus in the Danish Securities Trading Act or any executive

orders issued pursuant thereto,

Additional information for recipients in Greece

The information contained herein describes the view of the author at the time of its publication and it must not be used by its Recipient

unless having first confirmed that it remains accurate and up to date at the time of its use,

Past performance, simulations or forecasts are therefore not a reliable indicator of future results, Mutual funds have no guaranteed

performance and past returns do not guarantee future performance,

Additional information for recipients in Ireland

This Investment Recommendation has not been prepared in accordance with Directive 2003/71/EC, as amended, on prospectuses (the

“Prospectus Directive”) or any measures made under the Prospectus Directive or the laws of any Member State or EEA treaty adherent

state that implement the Prospectus Directive or those measures and therefore may not contain all the information required where a

document is prepared pursuant to the Prospectus Directive or those laws,

Additional information for recipients in Luxembourg

Under no circumstances shall this Investment recommendation constitute an offer to sell, or issue or the solicitation of an offer to buy or

subscribe for Products or Services in Luxembourg,

http://www.dsgv.de/sicherungssystem



page 38 of 40

Additional information for recipients in Netherlands

The value of your investments may fluctuate, Results achieved in the past do not offer any guarantee for the future (De waarde van uw

belegging kan fluctueren, In het verleden behaalde resultaten bieden geen garantie voor de toekomst),

Additional information for recipients in Poland

This Investment Recommendation does not constitute a recommendation within the meaning of the Regulation of the Polish Minister of

Finance Regarding Information Constituting Recommendations Concerning Financial Instruments or Issuers thereof dated 19 October

2005,

Additional information for recipients in Portugal

This Investment Recommendation is intended only for institutional clients and may not be (i) used by, (ii) copied by any means or (iii)

distributed to any other kind of investor, in particular not to retail clients, This Investment Recommendation does not constitute or form

part of an offer to buy or sell any of the securities covered by the report nor can be understood as a request to buy or sell securities

where that practise may be deemed unlawful, This Investment Recommendation is based on information obtained from sources which

we believe to be reliable, but is not guaranteed as to accuracy or completeness, Unless otherwise stated, all views herein contained are

solely expression of our research and analysis and subject to change without notice,

Additional information for recipients in Sweden

This Investment Recommendation does not constitute or form part of, and should not be construed as a prospectus or offering memo-

randum or an offer or invitation to acquire, sell, subscribe for or otherwise trade in shares, subscription rights or other securities nor shall

it or any part of it form the basis of or be relied on in connection with any contract or commitment whatsoever, This Investment Recom-

mendation has not been approved by any regulatory authority, Any offer of securities will only be made pursuant to an applicable pro-

spectus exemption under EC Prospectus Directive, and no offer of securities is being directed to any person or investor in any jurisdic-

tion where such action is wholly or partially subject to legal restrictions or where such action would require additional prospectuses, other

offer documentation, registrations or other actions,

Additional information for recipients in Switzerland

This Investment Recommendation has not been approved by the Federal Banking Commission (merged into the Swiss Financial Market

Supervisory Authority “FINMA” on 1 January 2009),

NORD/LB will comply with the Directives of the Swiss Bankers Association on the Independence of Financial Research, as amended,

This Investment Recommendation does not constitute an issuing prospectus pursuant to article 652a or article 1156 of the Swiss Code

of Obligations, This Investment Recommendation is published solely for the purpose of information on the products mentioned in this

advertisement, The products do not qualify as units of a collective investment scheme pursuant to the Federal Act on Collective Invest-

ment Schemes (CISA) and are therefore not subject to the supervision by the Swiss Financial Market Supervisory Authority (FINMA),

Additional information for recipients in Canada

This Investment Recommendation has been prepared for informational purposes only in relation to the products contained in this materi-

al and is not, under any circumstances to be construed as an offering memorandum or as an offering of any securities for sale directly or

indirectly in any province or territory of Canada,

No securities commission or similar regulatory authority in Canada has passed on the merits of these securities nor has it reviewed this

material and any representation to the contrary is an offence,

Relevant selling restrictions, if any, are contained in the prospectus or other documentation for the respective product,

Additional information for recipients in Estonia

It is advisable to examine all the terms and conditions of the services provided by NORD/LB, If necessary, Recipient of this Investment

Recommendation should consult with an expert,

Additional information for recipients in Finland

The financial products described in this Investment Recommendation may not be offered or sold, directly or indirectly, to any resident of

the Republic of Finland or in the Republic of Finland, except pursuant to applicable Finnish laws and regulations, Specifically, in the case

of shares, those shares may not be offered or sold, directly or indirectly, to the public in the Republic of Finland as defined in the Finnish

Securities Market Act (746/2012, as amended), The value of investments may go up or down, There is no guarantee to get back the

invested amount, Past performance is no guarantee of future results,

Additional information for recipients in Czech Republic

There is no guarantee to get back the invested amount, Past performance is no guarantee of future results, The value of investments

could go up and down

The information contained in this Investment Recommendation is provided on a non-reliance basis and its author does not accept any

responsibility for its content in terms of correctness, accuracy or otherwise,



page 39 of 40

Arrangements for the confidential treatment of sensitive customer and business data as well as for avoiding and handling conflicts of

interest

NORD/LB has separated its business divisions that may have access to sensitive customer and business data (confidential areas) from

its other divisions (e,g, NORD/LB Research) in terms of functions and locations and/or via relevant data processing arrangements,

The disclosure of confidential information that may have an impact on the prices of securities is monitored by NORD/LB’s Compliance

Unit which is independent of its trading, operational and settlement divisions, This independent unit controls the transactions undertaken

by NORD/LB and its employees on a daily basis to ensure that they are in line with market conditions, The Compliance Unit may impose

such trading bans and restrictions as may be necessary to ensure that information, which may affect the prices of securities, is not mis-

used and to prevent confidential information from being disclosed to divisions that are only allowed to use information available to the

general public, To avoid conflicts of interest in connection with the preparation of financial analyses, the analysts of NORD/LB are

obliged to inform the Compliance Unit of any studies being drawn up and must not invest in the financial instruments handled by them,

They are obliged to notify the Compliance Unit of all transactions (including external transactions) undertaken by them for their own

account or for the account or on behalf of third parties, Thus the Compliance Unit is in a position to identify all unauthorized transactions

undertaken by the analysts, such as insider trading and front and parallel running, When a Investment Recommendation involving con-

flicts of interest to be disclosed within the NORD/LB Group is drawn up, any information on such conflicts of interest will only be made

available by the Compliance Unit upon completion of the Investment Recommendation, Any subsequent amendment of the relevant

Investment Recommendation may only be made upon consultation with the Compliance Unit and when it has been ensured that the

results of the study are not affected by the knowledge of such conflicts of interest, Further information on these matters is set forth in our

Investment Recommendation or Conflict of Interest Policy which is available from the Compliance Unit of NORD/LB upon request,

Time of going to press

24 February 2017 11:00 CET

Disclosure of NORD/LB’s potential conflicts of interest according to § 34b Abs, 1 WpHG and

Article 5 and 6 according to the Commission Delegated Regulation (EU) 2016/958 of 9 March 2016

NORD/LB or one of its affiliated companies is a market maker or liquidity provider in the financal instrument of the issuer Banco Santan-der, BNP Paribas, ING Groep, Société Générale, UniCredit SPA.

NORD/LB or one of its affiliated companies was a co-lead manager of a consortium, which took over the last of the issues of securities placed by BNP Paribas, Crédit Agricole, Credit Suisse, Deutsche Bank in the past 12 months.

Additional disclosures

Sources and price indications

Depending on the issuer, we use information from financial data suppliers, our own estimates, company data and the public media for the

preparation of our Investment Recommendations, Unless otherwise stated in the report, prices indicated relate to the closing price on the

previous day, Fees and commissions apply to securities (buy, sell, hold) and these may reduce the yield on investments,

Analytical methods and updates

In the preparation of Investment Recommendations, we take company-specific methods used for fundamental securities’ analysis and

quantitative/statistical methods, as well as technical analytical methods as the basis for valuations and for the regular updates, All as-

sumptions and analytical derivations related to our recommendation may be extracted from the underlying research analysis, It should be

noted that the results of analyses provide a snapshot overview and that past developments do not constitute a reliable indicator for future

profits, The basis of the valuations is subject to unforeseen change at any time, potentially leading to different conclusions, The present

report is prepared on an irregular basis, Recipients are not automatically entitled to receive report update publications, Detailed infor-

mation with respect to our rating methodology is available at the webpage www,nordlb-pib,de/Bewertungsverfahren,

Recommendation system Share of recommendation (12 months)

Positive: Positive expectations for the issuer, a security type or a specif-

ic security of an issuer,

Neutral: Neutral expectations for the issuer, a security type or a specif-

ic security of an issuer,

Negative: Negative expectations for the issuer, a security type or a

specific security of an issuer,

Relative value (RV): Relative value recommendation in comparison to

a market segment, an issuer or a maturity,

Positive: 44%

Neutral: 52%

Negative: 4%

https://www.nordlb-pib.de/Bewertungsverfahren



page 40 of 40

Recommendation history (12 months)

An overview of all our bond recommendations during the last 12 months is available at the webpage www,nordlb-pib,de/empfehlungsuebersicht_renten, Corresponding password: "renten/Liste3",

Issuer / security Date Recommendation Bond type Cause

Barclays Bank PLC 20.02.2017 neutral Financials Fundamental



BNP Paribas 20.02.2017 neutral Financials Fundamental

BNP Paribas 23.11.2016 negative Covered RV

BNP Paribas 14.11.2016 positive Financials Fundamental

BNP Paribas 10.05.2016 positive Financials Fundamental

BPCE SA 20.02.2017 neutral Financials Fundamental

Crédit Agricole 20.02.2017 neutral Financials Fundamental

Credit Suisse Group 20.02.2017 neutral Financials Fundamental



Deutsche Bank AG 20.02.2017 negative Financials Fundamental


Deutsche Bank AG 05.10.2016 negative Covered RV


HSBC Bank PLC 20.02.2017 neutral Financials Fundamental

HSBC Bank PLC 11.05.2016 neutral Financials Fundamental

ING Bank 20.02.2017 neutral Financials Fundamental




Nordea Bank 20.02.2017 neutral Financials Fundamental

Royal Bank of Scotland Group Plc

20.02.2017 neutral Financials Fundamental





Banco Santander S.A. 20.02.2017 neutral Financials Fundamental


Banco Santander S.A. 23.11.2016 negative Covered RV


Banco Santander (Single Cedula)

15.06.2016 negative Covered RV

Standard Chartered PLC 20.02.2017 neutral Financials Fundamental

UBS Group AG 20.02.2017 neutral Financials Fundamental

UBS Group AG 04.08.2016 neutral Financials Fundamental

UniCredit SpA 20.02.2017 negative Financials Fundamental

UniCredit SpA 20.12.2016 neutral Financials Fundamental

UniCredit SpA 11.05.2016 neutral Financials Fundamental

https://www.nordlb-pib.de/empfehlungsuebersicht_renten

https://www.nordlb-pib.de/empfehlungsuebersicht_renten

european g-sibs - nord/lb · financials european g-sibs analysts: michaela hessmert melanie kiene,...

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