EFTA01453134

falls below a trigger level BBVA and Santander capital ratios (cET1 ratio: 10.5%-11%) are far from the trigger on these cocos (5.125% for both) Coupons are discretionary and step up to a spread over Sy swap rates if these are not called (in 2019) The likely step up in coupon if these are not called incentivises the issuer to call the bonds we therefore look at 'yield to call' instead of 'yield to maturity' BBVA (saa2/sss-) USD 9% coco Yield to call « image 1 » SANTAN (Baal/BBB+) EUR 6.25% coco yield to call « image 2 »( Tazia Smith Director Key Client Partners - us Deutsche Bank securities, Inc. Deutsche Asset & wealth Management CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 110582 CONFIDENTIAL SDNY_GM_00256766 EFTA01453134