Ottimo, grazie
Non trattano le P. legate all'IRS, probabilmente perchè è ancora avventato fare delle considerazioni definitive. Per quelle elencate, le considerazioni sono ovviamente condivisibili e già analizzate in passato nel forum.
Interessanti questi passaggi
Based on the initial market reaction and our outlook above, we think there is a risk that the asset class may attract too much interest in an environment of low yields, and we already excluded a number of hybrid
securities from fundamentally strong banks from our list as we viewed them as too expensive. We think investors should keep in mind the equity-like risk when looking at decreasing yields to call and remember that higher future capital requirements do not already make banks safer investments as of today. While we continue to recommend investing in subordinated bank bonds, we think investors should monitor their positions closely and consider taking profits as valuations become stretched. Also, based on our negative stance towards some peripherial European countries, we may see enhanced volatility again in subordinated bonds, with prices dropping in magnitudes exceeding 10%.
Usually, call probabilities depend to a large extent on the distinction between retail and institutional securities.
Retail instruments are usually non-innovative (i.e., non-step) structures that provide no incentive to call at the first call date, except for economical considerations like cheaper refinancing or excess capital. Retail deals were often sold to a bank's customer base since institutional investors often demand more certainty on the redemption date. Therefore, institutional structures are usually called at the first call date. With few exceptions, this was also the case during the financial crisis.
Besides those banks that were restricted by their regulator and/or by the EU Commission from making coupon payments and calling capital securities,
only Deutsche Bank applied economic considerations to institutional issues during the crisis and, as a consequence, did not call step-up structures at their first call date.
Throughout the crisis, most calls have to be considered uneconomic calls since markets have been almost closed for new issues of subordinated instruments. Those that were issued came at significantly higher coupons than the ones being called. However,
we emphasize that investors should never rely on the first call date, even after the Basel 3 announcement. Rather, they should be prepared for extension risk since banks may review their call policy due to capital shortfalls or other considerations.
