Obbligazioni perpetue e subordinate Tutto quello che avreste sempre voluto sapere sulle obbligazioni perpetue... - Cap. 3 (11 lettori)

Rottweiler

Forumer storico
postato su un forum tedesco tema AT 1

Bank Credit AT1 coupons: are you committed (to paying them)?

We asked all principal European AT1 issuers if they remain committed to paying AT1 coupons. The responses were surprising.

Are you committed to paying AT1 coupons regardless of possible policy changes regarding dividends, buybacks or bonuses?

Late last Friday, the ECB issued an unusually clear recommendation. Due to coronavirus, banks should delay equity dividends and buybacks until at least October 2020 (ECB 27.3.20). https://www.bankingsupervision.europa.e ... 53.en.html The release did not mention AT1 (The ECB’s Andrea Enria did discuss AT1 subsequently in an 31/03/20 FT interview) https://www.ft.com/content/24740ddb-7cc ... 6ea9b4ac7d . The PRA followed shortly with a similar statement (BoE 31.03.20). https://www.bankofengland.co.uk/prudent ... sh-bonuses Would banks feel compelled to skip AT1 coupons as well as dividends , or should the ECB’s exclusion of AT1 in the release be seen as confirmation that AT1 is a fixed-income instrument and should continue to be paid?

Fast, unequivocal, sometimes angry responses

We decided to call the banks to confirm their commitment to paying AT1 coupons. We were surprised. Not by the answer – all the banks responded clearly “yes” to whether they remained committed. We were surprised by the speed with which the responses came back. No ifs, no buts. In fact, with some there was frustration at the question. “Why would we not pay when our capital is this solid, liquidity this strong…”. On the next page, we show the bank responses in tabular form.

Coupons now, but coupons later? We are at the beginning of the coronavirus story’s impact on bank fundamentals. The commitment to AT1 coupons may weaken over time. Some have or are about to be paid. Our table shows coupon frequency and payment dates for all major European AT1s, as well as valuations at the time of writing.

How much does skipping AT1 coupons save banks? As we highlighted in COVID questions: dividends and AT1 coupons, one of the many reasons why AT1 coupons are considered separately from equity dividends (by issuers, regulators) is that not paying does not actually save banks very much. The average annual AT1 coupon bill is €250m, typically 5-10bp of RWAs. We show the aggregate value of annual AT1 coupons for every bank in nominal terms and as basis points over RWAs.

Is coupon risk priced in? The average price drop we have seen in AT1s represents two to three years’ worth of coupons. But it is not just coupons investors fear. It is also extension. The price impact of changing duration expectations from, say, 3, 4 or 5 years to perp is enormous. This price move has been aggravated by a dramatic fall in yields and swap rates, which has reduced expected future (reset) coupon outcomes. We show how much AT1 price falls equate to in years of coupons.

Puoi dirci di quale forum si tratta?
 

marc

Forumer storico
postato su un forum tedesco tema AT 1

Bank Credit AT1 coupons: are you committed (to paying them)?

We asked all principal European AT1 issuers if they remain committed to paying AT1 coupons. The responses were surprising.

Are you committed to paying AT1 coupons regardless of possible policy changes regarding dividends, buybacks or bonuses?

Late last Friday, the ECB issued an unusually clear recommendation. Due to coronavirus, banks should delay equity dividends and buybacks until at least October 2020 (ECB 27.3.20). https://www.bankingsupervision.europa.e ... 53.en.html The release did not mention AT1 (The ECB’s Andrea Enria did discuss AT1 subsequently in an 31/03/20 FT interview) https://www.ft.com/content/24740ddb-7cc ... 6ea9b4ac7d . The PRA followed shortly with a similar statement (BoE 31.03.20). https://www.bankofengland.co.uk/prudent ... sh-bonuses Would banks feel compelled to skip AT1 coupons as well as dividends , or should the ECB’s exclusion of AT1 in the release be seen as confirmation that AT1 is a fixed-income instrument and should continue to be paid?

Fast, unequivocal, sometimes angry responses

We decided to call the banks to confirm their commitment to paying AT1 coupons. We were surprised. Not by the answer – all the banks responded clearly “yes” to whether they remained committed. We were surprised by the speed with which the responses came back. No ifs, no buts. In fact, with some there was frustration at the question. “Why would we not pay when our capital is this solid, liquidity this strong…”. On the next page, we show the bank responses in tabular form.

Coupons now, but coupons later? We are at the beginning of the coronavirus story’s impact on bank fundamentals. The commitment to AT1 coupons may weaken over time. Some have or are about to be paid. Our table shows coupon frequency and payment dates for all major European AT1s, as well as valuations at the time of writing.

How much does skipping AT1 coupons save banks? As we highlighted in COVID questions: dividends and AT1 coupons, one of the many reasons why AT1 coupons are considered separately from equity dividends (by issuers, regulators) is that not paying does not actually save banks very much. The average annual AT1 coupon bill is €250m, typically 5-10bp of RWAs. We show the aggregate value of annual AT1 coupons for every bank in nominal terms and as basis points over RWAs.

Is coupon risk priced in? The average price drop we have seen in AT1s represents two to three years’ worth of coupons. But it is not just coupons investors fear. It is also extension. The price impact of changing duration expectations from, say, 3, 4 or 5 years to perp is enormous. This price move has been aggravated by a dramatic fall in yields and swap rates, which has reduced expected future (reset) coupon outcomes. We show how much AT1 price falls equate to in years of coupons.

Grazie. Molto interessante
 

Rottweiler

Forumer storico
A beneficio degli innamorati, della prima o dell'ultima ora, di Rabobank segnalo, per chi non lo sapesse, che c'è un AT1 della banca atteso all'appuntamento della prima call verso la fine di giugno. Sulle borse tedesche quota qualche punto sotto la pari, a dimostrazione delle incertezze attorno alle intenzioni della banca oggi.
L'AT1 in questione è di nuova generazione, e, secondo la banca, non perderebbe capital eligibility, se non fosse richiamato...

Volendo aggiungere qualche elemento di riflessione sulla vicina (la finestra si apre tra poco più di 3 settimane...) prima call possibile di questa Rabo, vale la pena di ricordare che quel titolo AT1:
+è stato rifinanziato lo scorso anno
+non ha (credo) elementi di debolezza nel prospetto, che possano metterne in dubbio l'eligibility a capitale in un futuro prevedibile
+in caso di mancata call potrebbe essere richiamata ogni 6 mesi.
In altre parole: se non fosse arrivata questa crisi nessuno avrebbe dubitato della call a fine giugno. Invece, crisi e recente mossa sul certificato hanno fatto nascere qualche dubbio agli investitori.
A prescindere dalle reazioni del mercato (un soggetto molto emotivo), la mancata call sarebbe una grande sorpresa e dovrà essere giudicata come un segnale preoccupante sulle future intenzioni di Rabo.
 

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