AT1 perpetual bonds have been in focus today following Credit Suisse’s announcement of a complete write-down of over $17bn of its AT1 bonds. Investors and advisors are now looking at their own/clients’ existing bank bond holdings to check whether (a) the bonds are classified as AT1s, and (b) If they are an AT1, what are the trigger events and type of write-downs.

How to Identify AT1 Bonds on the BondEvalue App

To make it easier for our subscribers, we have added the following identifiers on the App for bank bonds in the field Industry Type (under Description):

  • Banks (AT1)
  • Banks (Tier 2)

AT1 identifier on the BEV App

For bank bonds that are neither AT1, nor Tier 2 debt, the Industry Type will remain as “Banks”. App users can thus not only identify if their bank bonds are either AT1 or Tier 2, they can also search for AT1 and Tier 2 bonds based on their own criteria using the Advanced Search tool. Here’s a screenshot of how it appears on the WebApp:

advanced search with at1 and t2 2

For AT1 Bonds, How to Find the Trigger Event and Type of Writedown?

This can be found in an AT1 bond’s prospectus. For example, looking at the definitions of Write-downWrite-down EventContingency Event and Viability Event on pages 5-7 of the prospectus of Credit Suisse’s most recently issued $1.65bn 9.75% Perp (USH3698DDQ46), we can summarize them as follows:

A trigger event can either be a Contingency Event (when the CET1 ratio falls below 7%) or a Viability Event which occurs if:
  • The Regulator has notified CS that it has determined a writedown of the Notes
  • Customary measures to improve CS’ capital adequacy at the time becomes inadequate and Credit Suisse Group (CSG) has received an irrevocable commitment of extraordinary support from the Public Sector that has, or imminently will have, the effect of improving CSG’s capital adequacy and without which, in the determination of the Regulator, CS would have become insolvent/bankrupt/unable to pay material part of debt.
In today’s case, a Viability Event had occurred, resulting in the writedown.
Most bonds’ prospectus can be found on the BondEvalue App by clicking on the orange “Prospectus” button below the price/yield chart on the Web App or the “Download Now” button above Yield Analysis on the Mobile App.
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