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

Ventodivino

מגן ולא יראה
A Question of Subordination Resolving the MREL Conundrum

As a result, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision. www.jpmorganmarkets.com  Vastly different funding plans across European banks, particularly those referring to NPS ('non-preferred senior’) debt issuance are not reflected in valuations. As recently flagged in our note titled The Haves And The Have-Nots, some institutions will become very active issuers in the NPS space while others follow a more lenient approach and rely more heavily on senior preferred debt to meet MREL. In our view, the market is not pricing in that the NPS debt tranche of some institutions will be very thin and, consequently, losses under resolution may ultimately be close to those of more subordinated parts of the capital structure. We highlight SocGen’s more ambitious NPS debt issuance plans as particularly positive (almost €20bn over the next three years) and contrast with the €10bn NPS plan from BNP. As such, we recommend the pair trade long SocGen ½ €23 (at 40bp) vs BNP €23 (29bp), where the basis is very large compared with SocGen and BNP 5yr Sub CDS (~100bp and c. 95bp, respectively).  We recommend a similar trade for Spanish banks. The situation of Cabksm – which aims for an NPS tranche of c. 6% and €8/9bn of NPS over the next few years – is very different from that of BBVA, where the plan is to issue only €2.5-3.5bn in the context of its MPE strategy. In turn, we recommend the pair trade long Cabksm 1 1/8 €23 (67bp) vs BBVASM ¾ €22 (41bp).  This note reassesses NPS debt issuance over the next couple of years to consider varying degrees of MREL subordination and its impact on current funding plans. Banks (G-SIIs and the largest O-SIIs) will receive the binding MREL target from the SRB sometime in Q2’18. However, the crux of the matter when determining NPS debt issuance patterns is the degree of subordination, i.e. the eligibility of senior preferred debt to meet MREL. In turn, this will only be determined when the BRRD2 is approved at the end of the year/early 2019. As it stands, and based on company guidance, we think the NPS debt asset class will eventually reach €170bn (vs previous estimate at €200-250bn). However, the final number could be much higher or lower depending on the eligibility of senior preferred debt to meet MREL. In this note we’ve analyzed the main considerations: i) the inclusion of a 8% TLOF to determine subordination, ii) the inclusion of an market confidence buffer, iii) MREL & MDA, iv) transitional arrangement to full MREL compliance and v) MREL grandfathering arrangements. In turn, these are the crucial consideration to determine the long-term market size of the NPS debt asset class where a conclusive answer will only be available with BRRD2
 
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A Question of Subordination Resolving the MREL Conundrum

As a result, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision. www.jpmorganmarkets.com  Vastly different funding plans across European banks, particularly those referring to NPS ('non-preferred senior’) debt issuance are not reflected in valuations. As recently flagged in our note titled The Haves And The Have-Nots, some institutions will become very active issuers in the NPS space while others follow a more lenient approach and rely more heavily on senior preferred debt to meet MREL. In our view, the market is not pricing in that the NPS debt tranche of some institutions will be very thin and, consequently, losses under resolution may ultimately be close to those of more subordinated parts of the capital structure. We highlight SocGen’s more ambitious NPS debt issuance plans as particularly positive (almost €20bn over the next three years) and contrast with the €10bn NPS plan from BNP. As such, we recommend the pair trade long SocGen ½ €23 (at 40bp) vs BNP €23 (29bp), where the basis is very large compared with SocGen and BNP 5yr Sub CDS (~100bp and c. 95bp, respectively).  We recommend a similar trade for Spanish banks. The situation of Cabksm – which aims for an NPS tranche of c. 6% and €8/9bn of NPS over the next few years – is very different from that of BBVA, where the plan is to issue only €2.5-3.5bn in the context of its MPE strategy. In turn, we recommend the pair trade long Cabksm 1 1/8 €23 (67bp) vs BBVASM ¾ €22 (41bp).  This note reassesses NPS debt issuance over the next couple of years to consider varying degrees of MREL subordination and its impact on current funding plans. Banks (G-SIIs and the largest O-SIIs) will receive the binding MREL target from the SRB sometime in Q2’18. However, the crux of the matter when determining NPS debt issuance patterns is the degree of subordination, i.e. the eligibility of senior preferred debt to meet MREL. In turn, this will only be determined when the BRRD2 is approved at the end of the year/early 2019. As it stands, and based on company guidance, we think the NPS debt asset class will eventually reach €170bn (vs previous estimate at €200-250bn). However, the final number could be much higher or lower depending on the eligibility of senior preferred debt to meet MREL. In this note we’ve analyzed the main considerations: i) the inclusion of a 8% TLOF to determine subordination, ii) the inclusion of an market confidence buffer, iii) MREL & MDA, iv) transitional arrangement to full MREL compliance and v) MREL grandfathering arrangements. In turn, these are the crucial consideration to determine the long-term market size of the NPS debt asset class where a conclusive answer will only be available with BRRD2
Ti ringrazio, passo
 

veltroni

Forumer storico
Scusate da tempo non si parla della FURSTENBERGER 5,625 ISIN DE000A0EUBN9 il prezzo a 95,5 non mi sembrerebbe male, cosa ne pensate , dimenticavo taglio 1K
 

Ventodivino

מגן ולא יראה
JPM


How to explain Italy’s post vote market performance? What next? A variety of complex political options


 We rationalise the much more benign than expected BTP market reaction with the approval of the Grand Coalition in Germany, a pre-existing sizeable political discount for Italian bonds and the addition of new alternative government combinations that reduce the risk of a fully-fledged non-mainstream government  With at least five options for the next government on the table we analyse the incentives of the main political parties and the expected market reaction  Given that incentive are not aligned it is not easy to determine the likelihood of the different options Italian voters delivered the most aggressive rejection of the status quo with around 60% of vote to nonmainstream parties1 , however, contrary to our expectations, Italian spreads are tighter on the week. We therefore engage in the process of ex-post rationalisation of this performance: 1) The contemporaneous larger than expected support for yet another Grand Coalition in Germany might have played a significant part in downgrading idiosyncratic concerns. With the European economy in full swing and expectations of more proactive policy making coming from the Franco-German diarchy, appetite to put intra-EMU wideners runs low. 2) During our client visits we encountered a few clients highlighting market complacency regarding the Italian vote. We disagreed, as the historically wide spread between Italy and Spain, and Portugal trading through Italy in our view signaled a decent political risk discount. The experience of the post-vote performance around Brexit, Italian Constitutional referendum and the US election might have encouraged investors to bet on a reduction on the political risk premium regardless of the outcome. 3) Paradoxically, PD’s dismal performance opened the door to a variety of alternative government combinations (centre-right plus PD, Five Stars plus PD plus F&E) that are more market friendly than a Northern League plus Five Stars government (see below). 4) Italy’s lack of underperformance vs. Germany is indeed puzzling if compared to recent widening episodes (Exhibit 1) driven by less important events. However we believe that, once we adjust for the relative performance of Spain and Portugal, this week’s market dynamics are less puzzling.
What next? The vote leaves room for an ever broader set of potential (arithmetically feasible) outcomes than we originally envisaged, and we struggle to assign probabilities given that in our view the incentives are not clearly aligned (Exhibit 2). Parties and leaders are adjusting to the political shock. Talks are ongoing. Both Five Stars and the centre-right explicitly opened up to PD support, perhaps in the attempt to split the party further. So far, both approaches have been rejected soundly by the majority of PD, but things may change with time, especially if the NL drops the extreme Salvini leadership, and Five Stars relinquishes a dominant role and the PD leadership changes. In particular we stress that it is hard to gauge Five Stars’ reaction function as a lot of the MPs are unknown (and so it is their relative positioning on the left-right axis), even to the Five Stars’ leadership. As we cautioned before the election, the current situation requires a lot of time to conduct explorative talks and assess the relative merits (for each party) of different options. Over time, things could change, under the pressure from a lack of government, and the environment could be much more conducive to dialogue than what it appears now.
A Five Stars/Northern league majority is not easy to implement as the two parties’ desire to be in power is tempered by ideological differences. It would be a good solution for PD as it would allow them time to spend some time without the burden of government and craft a new strategy. We expect Forza Italia to be hostile to such solution as it would jeopardise alliances with NL in the Northern regions. But we think that also NL would be less than enthusiastic, given that it would risk upsetting its key electoral basis in the North of Italy (where Five Stars has failed to gain a strong traction and is regarded with suspicion). This is by far the most market negative outcome. In our view, both Five Stars and NL would gain more from a second running election than from a populist coalition government, given their momentum (it could be always an option later). A centre-right government supported by PD would suit Forza Italia the most (as it would regain a central role despite the poor performance at the election) and risks damaging NL as we do not expect many of their radical proposals to be implemented. It would also allow Five Stars to continue to present themselves as the only force of change. We expect this outcome to be seen as market friendly, given that NL anti-euro rhetoric would have to fade in the background. A Five Stars government with the support of left F&E and at least the large majority of PD would be positive for NL as it would allow them to continue to play the role of loud opposition, would threaten Forza Italia and would be potentially very negative for PD in our view as they would run the risk of struggling as a junior coalition partner. Five Stars would aim at absorbing both LeU and PD (or at least, expanding further in their political space) by continuing to move to more mainstream positions. We expect this outcome to be only modestly market unfriendly, as PD would trade-off a smoother relationship with the European institutions. All these theoretical options have major shortcomings for at least one member of the coalition, and remain difficult to implement without lengthy negotiations. A persistent (up to 2/3 months), political impasse might eventually be solved by the President of the Republic call for a unity government that includes all parties. In our view this would be the best solution for mainstream parties but the opposite holds true for populist parties that run the risk of losing their attractiveness as a force of radical change. This is the most market friendly outcome, even though there would be questions marks about the scope and the duration of the government In practice, it could prove to be only a temporary solution before a new window for elections becomes available. In our view, the first such window would be in October/November, but we can easily conceive a much longer duration until mid-2019, especially if the government was tasked with drafting a new electoral law. To us, this option is the most in line with the continuation of the fiscal path towards solid debt reduction over the medium term (at least for 2018/19).
Finally we believe that Northern League and Five Stars might have an incentive to push for a new election if polls remain supportive and market conditions remain calm, whereas Forza Italia and PD will probably fear further erosion in support. Given the risk of even more extreme electoral outcomes we expect a moderately negative market reaction.
 

Joe Silver

Forumer storico
Cosa è successo alla Santander 5,75% XS0202774245? Dalla tarda mattinata è calata di più di un punto senza che abbia trovato notizie. Call in arrivo? Comunque all'ora di pranzo ne ho prese un po' a 102,1.
 

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