EFTA01453171.pdf

Both are good quality, high yielding, low trigger CoCos These are hybrid bonds that absorb losses when the capital ratio of the issuer falls below a trigger level BBVA and Santander capital ratios (CETI. 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 (Baa2/BBB-) USD 9% coco Yield to call « image 1 » SANTAN (saat/ses+) EUR 6.25% coco Yield to call « image 2 »( Tazia Smith Director Key Client Partners - US Deutsche Bank Securities, Inc. Deutsche Asset & wealth Management 345 Park Avenue - 26th Floor New York, NY 10154 CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0110643 CONFIDENTIAL SDNY_GM_00256827 EFTA01453171