EFTA01453172.pdf

From: Vinit Sahni Sent: 3/13/2014 4:09:13 PM To: Nay Gupta CC: Tazia Smith ; Paul Morris Subject: Re: European hybrid bonds (CoCos) ili Agree lets hold off and see how it trades Vinit On 13 Mar 2014, at 19:36, Nav Gupta a wrote: Classification: For internal use only Given russian situation and impact on europc suggest waiting for higher yields on bank hybrids. What am your thoughts Vinit <graycol.gif>Tazia Smith — Original Message -- From: Tazia Smith Sent: 03/13/2014 03:04 PM EDT To: "Jeffrey epstein" <Jeevacation@gmailecom> Cc: Nav Gupta; Vinit Sahni; Paula Morris; Vahe Stepanian; "Rich Kahn" Subject: European hybrid bonds (CoCos) (II Classification: For internal use only Jeffrey - believe you discussed these BBVA and Santander coco bonds for investment 'day at your meeting. Levels are indicative as of 3112, so if of interest. we'll refresh. ***Intended for Non-Advisory Clients*** Buying opportunity in European hybrid bonds (CoCos) yielding 6.46.9°/shaving widened by 2540bp last week I KCP Capital Markets [Il BBVA 9% USD CoCo yield widened by 40bp in the last week (current yield to call: 6.9%) The recently issued Samander 6.25% EUR CoCo yield is up by 25bp (current yield to call: 6.4%) Both am good quality, high yielding, low trigger CoCos These am 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%) am far from the trigger on these CoCos (5.125% for both) Coupons am discretionary and step up to a spread over 5y swap rates if these am not called (in 2019) The likely step up in coupon if these are not called ineentivises 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 innige I >> CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0110644 CONFIDENTIAL SONY GM_00256828 EFTA01453172