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