EFTA Document EFTA01453133

These are hybrid bonds that absorb losses when the capital ratio of the issuer 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' BB