2025年5月欧洲混合资本月度更新：我们更新了关于欧洲混合指数最新表现和供应指标的月度出版物。

Restricted - External Franck Bataille+33 (0) 14458 3221franck.bataille@barclays.comBBI, ParisSoren Willemann+44 (0) 20 7773 9983soren.willemann@barclays.comBarclays, UKKhush Patel+44 (0) 20 7773 4647khush.patel@barclays.comBarclays, UK Time series of issuer- and maturity-matched set of pairs.Jun-22Dec-22 Jun-23 Dec-23 Jun-24 Dec-24$AT1 ZTC-LT2 basis (RHA) (172bp)Time series of issuer- and maturity-matched set of pairs.CoCo RVCoCo RV vs matched LT2sOver the past month:•The €AT1-LT2 basis compressed by 15.1bp and currently is at 192bp. This compares to 316bpon average over the past three years.•The AT1/LT2 ratio was unchanged and currently is at 2.3x. This compares to a 2.3x averageratio over the past three years.•The $AT1-LT2 basis compressed by 39.8bp and currently is at 172bp. This compares to 262bpon average over the past three years.•The $AT1/LT2 ratio was unchanged and currently is at 2.0x. This compares to a 2.1x averageratio over the past three years. 100200300400500 FIGURE 5. €AT1/LT2 ratio2.3x1.7x1.8x1.9x2.0x2.1x2.2x2.3x2.4x2.5x2.6x2.7xJun-22Feb-23Oct-23Jun-24Feb-25€AT1/LT2ZTCratioTime series of issuer- and maturity-matched set of pairs. Lines represent min, maxand average over the past three years.Source: Barclays ResearchFIGURE 7. $AT1/LT2 ratio2.1x1.6x1.8x2.0x2.2x2.4x2.6x2.8xJun-22Dec-22 Jun-23 Dec-23 Jun-24 Dec-24$AT1/LT2ZTCratioTime series of issuer- and maturity-matched set of pairs. Lines represent min, maxand average over the past three years.Source: Barclays Research3 FIGURE 4. €AT1-LT2 basisSource: Barclays ResearchFIGURE 6. $AT1-LT2 basis02004006008001000z-sprd (to call), bpSource: Barclays Research2 June 2025 FIGURE 10. $AT1- US single-Bs xEnergy basisApr-24Dec-24Diff. (12bp; RHA)$AT1 to call (330bp) (LHA)US xEnergy Bs (318bp)CoCo RV vs HYOver the past month:•€AT1s decompressed by 14bp vs. the €Bs xFin index. The ratio of €AT1s to €Bs xFin index wasunchanged.•$AT1s were unchanged relative to the US xEnergy Bs index. The ratio of $AT1s to the USxEnergy Bs index was unchanged. FIGURE 9. €AT1- €Bs xFinancial z-spread ratio1.3x0.8x1.0x1.2x1.4x1.6x1.8x2.0x2.2xApr-22Nov-22Jun-23Jan-24Aug-24Mar-25€AT1/€Bs ratioSource: Barclays ResearchFIGURE 11. $AT1/US single-Bs xEnergy z-spread ratio-50501502501.2x0.6x0.8x1.0x1.2x1.4x1.6x1.8x2.0x2.2xApr-22Nov-22Jun-23Jan-24Aug-24Mar-25$AT1/US-Bs ratioSource: Barclays Research4 Source: Barclays Research2004006008001,0001,200Apr-22Dec-22z sprd, bpSource: Barclays Research2 June 2025 Factor pricing in our CoCo RV modelFigure 12 shows the risk premia now and one month ago in our CoCo RV model (see HybridCapital: AT1 model - implementation and applications, 7 March 2025, for the latest modelupdate). This model explains the cross-sectional variation in AT1 spreads, taking into accounttenor (years to the first call date), credit rating, extension risk, regional exposure, size of assetbase and currency of issue. Apart from showing the model-implied spread for each AT1currently, the model also allows us to track factor premia over time and assess whether currentfactor compensation stands out in an historical context (we look at the current factor premiumposition as a percentile of its three-year range based on end-of-month premia estimates).FIGURE 12. Risk premia now vs. a month ago in AT1sRisk premia in percentiles of the four-year range.Source: Barclays Research 5 FIGURE 13. €LT2-Senior non-preferred basisTime series of issuer- and maturity-matched set of pairs.FIGURE 15. $LT2-Senior non-preferred basisFeb-24Sep-24$LT2-SenNP basis (RHA) (43bp)$SenNP (139bp)$LT2 (181bp)Time series of issuer- and maturity-matched set of pairs.LT2 RVLT2 RV vs matched senior non-preferredOver the past month:•The €LT2-SenNP basis compressed by 2.7bp and currently is at 63bp. This compares to 112bpon average over the past three years.•The €LT2/SenNP ratio decompressed by 0.2x and currently is at 1.9x. This compares to 1.9x onaverage over the past three years.•The $LT2-SenNP basis compressed by 7.0bp and currently is at 43bp. This compares to 94bpon average over the past three years.•The $LT2/SenNP ratio was unchanged and currently is at 1.3x. This compares to 1.3x onaverage over the past three years. FIGURE 14. €LT2/Senior non-preferred ratio1.5x1.6x1.7x1.8x1.9x2.0x2.1x2.2x2.3xMay-22€LT2/SenNP ZTC ratioTime series of issuer- and maturity-matched set of pairs. Lines represent min, maxand average over the past three years.Source: Barclays ResearchFIGURE 16. $LT2/Senior non-preferred ratio050100150200250Apr-251.3x1.1x1.2x1.3x1.4x1.5xMay-22$LT2/SenNP ZTC ratioTime series of issuer- and maturity-matched set of pairs. Lines represent min, maxand average over the past three years.Source: Barclays Research 1.9xJan-23Sep-23May-24Jan-25Dec-22Jul-23Feb-24Sep-24Apr-256 Source: Barclays Research0100200300400500May-22Dec-22Jul-23z-sprd (to call),bpSource: Barclays Research2 June 2025 LT2 RV vs corporatesOver the past month:•The ratio of €LT2s to €BBs xFin index was unchanged.•The ratio o