Interesting bond spotted : BNP Paribas 5.25% USD Perp

BNP Paribas 5.25% USD Perp

  • Issuer rating : A / A+
  • Bond rating : BBB-
  • Issue size : US$750M
  • Non-cumulative
  • Next call : 15 Nov 2027
  • Reset : 5Y USD + 2.838%
  • Newly issued on 15 Nov 2017
  • CET1 Ratio of 5.126% triggers temporary write down ( Current CET1 ratio is 12.9%)
  • Price at 100.55, YTC is 4.94%
  • Funding $65k and financing the rest at 2.5%, net supercharged yield is 9.9%

What is a write down? If the country’s monetary authority agrees to write down, for example, bond price will stay at a certain level, say, 70. Essentially a haircut.

For temporary write down, the price will stay at a certain level, until the bank capital level moves back up above trigger level.

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