EFTA01378328.pdf

INTERNAL USE ONLY DO NOT DISTRIBUTE IN PART OR IN WHOLE Corporate Credit > Europe Investment Grade CNP Assurance Updated: Oct 28, 2015 Trade Idea: 0 Buy Investment Rationale: 0 Largest French life insurer and central pillar of France's saving and pension system. The majority of the shares is held by the French State either directly or through agency banks 0 Solid 1H15 results led by an improvement in product mix and operating performance 0 Moderate gearing, strong Solvency position (S2 guidance around 170%) , improving ROE (1H15: 8.8%) and moderate debt leverage. 0 Brazil risk : more than 30% of revenues, but asset exposure is relatively low as well as the traditional Pension business. The asset and business risk for Brazil is considered to be mangeable. o USD denominated 0 Lower Tier 2 instrument, coupons could be deferred in case of a solvency event. Perpetual with first call in 2019 o Relative underperformer in the sector after the general spread recovery in october 0 The instrument is attractive on a 4.6% yield level. With general market conditions starting to improve, there is still room for further compression. Recommendation(s)*: Trade Entry Target gsk Cash Capital View Ticker Coupon Maturity S&P Moodys Ccy Issue Size Yield kin Security_des Hori on • r • ad pre .• .-vet A'- 'ruct re r r e outperform 12m cuw 6.875 7/182019 888+ *WAWA L.G0 5:0.C0 4.6 333 260 450 197.41 FRC011538461 loxerre, 2 CkFFP6 7/8 07/2949 • Levels as of 10/28/2015 Azcset Marvicemr,:nt 31 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0075497 CONFIDENTIAL SDNY_GM_00221681 EFTA01378328