EFTA01380743

2) We have also been looking Contingent Convertibles bonds, which have been issued post-crisis primarily by European banks as securities that absorb losses when capital of the issuing bank falls below a certain level (i.e. trigger). Two such examples that we've highlighted: SocGen 6.00 2049 (Offer N- 95.51, YTC - 7.26%1 • The bond is a non call Sy (NC5) structure with first call date on 01/27/2020, after which it floats to USSWS + 4.067%. Post first call date, it is callable every five years • Using the forward curve, the yield to perpetuity is —7.00% (assuming it is not called) • Principal Trigger: The Common Equity Tier 1 (CET1) trigger for the bond is 5.125%. SocGen currently runs a fully loaded CET1 ratio of 10.5%, the buffer to a principal write down is -C20bn. • Coupon deferral: The coupons may get deferred if the CET1 ratio falls below 8% (this rule starts to phase in from Jan 01, 2016 and is only fully applicable in 2019). The buffer to this requirement is a very healthy —11bn • Notes: Buying one of the highest yielding/ lowest $ NC5 AT1; Buffers to any triggers are very healthy and higher than the averages in the sector; SocGen has filled its AT1 requirements, so the probability of a new issue re-pricing this bond is "low"; French banks have traditionally been the most investor friendly of all Euro Zone banks (i.e. still call all institutional deals on first call date) SEB 5.75 2049 (Offer Px - 99.26, YTC - - 6.0%) • The bond is a non call Sy (NC5) structure with first call date on 05/13/2020, after which it floats to USSWS + 3.850%. Post first call date, it is callable very six months. • Using the forward curve, the yield to perpetuity is -6.4% (assuming it is not called) • Principal Trigger: The CETI trigger for the bond is 8.0%. SEB currently runs a fully loaded CETI ratio of 17.8%, the buffer to a principal write down of —10% is one of the highest among all AT1 issuers • Coupon deferral: The coupons may get deferred if the CET1 ratio falls below —10.5% (this rule starts to phase in from Jan 01, 2016 and is only fully applicable in 2019). The buffer to this requirement is also one of the highest given the very high CET1 ratio. • Notes: SEB is one of the most profitable and well capitalized banks in the world; Business mix ensures that it is less exposed to the Swedish property market vs. the peer group; Another issuer where the need for further AT1 is very limited, so new issue is less likely and the bond should have a strong regional bid (35% of the issue was placed with Nordic asset managers); this the desk's best pick among the high quality IG rated ATis 3) Nxt Call Lastly, please find a run of bank $1000 bank preferreds. Pricing is indicative as of today, 11/18/2015. B Px A Px B YTC B CUR Floats Notes AXP 5.20 11/15/19 98%-99% 5.518 5.259 + 342.8 S 2MM AXP 4.90 03/15/20 96.96% 5.964 5.104 + 328.5 S 5MM BAC 5.20 06/01/23 93%-941/4 6.254 5.547 +313.5 S 2MM BAC 5.125 06/17/19 96%-971/4 6.193 5.304 +338.7 S 5MM BAC 6.25 09/05/24 1001/4-101% 6.118 6.196 +370.5 BAC 6.50 10/23/24 104%-105'A 5.809 6.205 +417.4 BAC 8.00 01/30/18 103'/.-104 6.376 7.748 + 363 BAC 8.125 05/15/18 103%-104'A 6.462 7.831 + 364 S 2MM BAC 6.10 03/17/25 100%-100% 6.063 6.085 +3.898 BK 4.95 06/20/20 98%-99% 5.259 5.013 + 342 S 3MM BK 4.50 06/20/23 92%-93% 5.693 4.865 + 246 Q C 6.30 05/15/24 97'/-98 6.691 6.462 + 342 Nxt Call B Px A N B YTC B CUR Floats Notes C 6.125 11/15/20 100%-100% 6.036 6.102 + 447.8 MKt 3MM C 5.95 N 08/15/20 98%-991/1 6.288 6.033 + 409.5 C 5.95 01/30/23 97%-98% 6.365 6.095 + 407 CONFIDENTIAL - PURSUANT TO FED. R. GRIM. P. 6(e) DB-SDNY-0079269 CONFIDENTIAL SDNY_GM_00225453 EFTA01380743