Obbligazioni perpetue e subordinate Tutto quello che avreste sempre voluto sapere sulle obbligazioni perpetue... - Cap. 1 (14 lettori)

[fabbro]

Un titolo del quale parliamo poco è Aegon NL0000116150. E’ un’emissione abbastanza corposa del 2004, ora a tasso variabile con cedola trimestrale (TdS olandese a 10 anni + 0,10) con cap all’8%, taglio 1K, non-cumulativo ma con ACSM (il meccanismo di tante perp olandesi), in caso di deferral paga interesse su interesse, c’è Regulatory Clause. Quota su Euronext intorno a 59.
Esiste un’emissione gemella in USD (NL0000116168) che quota più alta.
Il tutto salvo errori e omissioni.
Vedo che ultimamente ci siamo soffermati sulle Aegon
NL0000121416 e NL0000120004, che però sono animali più strani perché floaters con tasso costante per periodi di 10 anni, mentre questo è un floater classico.
Ho visto che Fidw99 e Cireno l’hanno acquistata in passato.
Dopo una discesa di tutti i floaters da un paio di settimane a questa parte (i più reattivi, come ING e Aegon hanno perso quasi il 10%) oggi i corsi sono in leggera ripresa.
Gli elementi non favorevoli a mio parere sono:
*la situazione finanziaria di Aegon. La società non è completamente uscita dalla crisi degli anni passati, anche se l’ultima trimestrale è stata particolarmente incoraggiante.
*lo spread molto piccolo sul TdS olandese
*il modesto CY attuale
*in un’ottica di cassetto (anche se con Solvency II non ha molto senso di parlare di cassetto) il cap all’8%
Quelli positivi:
*il prezzo di mercato interessante (sotto 60)
*il prospetto molto favorevole
*la reattività del titolo. Insieme con ING, questo è il floater che, da quanto ho potuto vedere, anticipa i movimenti (nei due sensi) di tutte le altre. Se si andasse verso un aumento dei tassi sarebbe probabilmente tra i primi a ripartire. In altre parole andrebbe preso in vista di un possibile capital gain.
*la liquidità del titolo

Cosa ne pensate?

io sto controllando da poco tempo la gemella in USD (AEGON NV CUMULAT in dollari A-/A3 NL0000116168) volendo prendere una TV in dollari USA sulla quale però non mi tornano due-tre cose .
Su internet ho trovato : emissione del 15/7/2004 di 0,500 miliardi $ e taglio 100 $; cedola TRIM(ip)CMS US$ 10a + 0,10%, max 8,5%; primo call 15/7/14 e poi cedola invariata .
Quello che non mi torna è :
1) taglio solo 100 $ ?
2)cedola trimestrale ? (in alcuni siti ho letto annuale)
e soprattutto 3) dopo il primo call (15/7/14) è possibile che la cedola rimanga invariata ? ma invariata rispetto a cosa ? Rispetto alla ultima che sarà pagata?

Comunque al prezzo di 64,50 per questa in dollari e con suo tasso su base annuale ora del 3,2275% , la funzione REND di Excel mi dice un REL al call (15/7/2014)del 17,036% anche se la funzione REND di Excel non è la più indicata per titoli a tasso variabile.

 

[bosmeld]

mamma mia, il tempismo di vendita sulle ciofeche è stato premiante

é stato determinante.

2 esempio lampanti

Eurohypo da 66 denaro a 52,5 lettera

Westlb euro da 48 denaro a 38 lettera


fortuna a voluto che io le ho vendute sul prezzo del denaro

 

[solenoide]

Un titolo del quale parliamo poco è Aegon NL0000116150. E’ un’emissione abbastanza corposa del 2004, ora a tasso variabile con cedola trimestrale (TdS olandese a 10 anni + 0,10) con cap all’8%, taglio 1K, non-cumulativo ma con ACSM (il meccanismo di tante perp olandesi), in caso di deferral paga interesse su interesse, c’è Regulatory Clause. Quota su Euronext intorno a 59.
Esiste un’emissione gemella in USD (NL0000116168) che quota più alta.
Il tutto salvo errori e omissioni.
Vedo che ultimamente ci siamo soffermati sulle Aegon
NL0000121416 e NL0000120004, che però sono animali più strani perché floaters con tasso costante per periodi di 10 anni, mentre questo è un floater classico.
Ho visto che Fidw99 e Cireno l’hanno acquistata in passato.
Dopo una discesa di tutti i floaters da un paio di settimane a questa parte (i più reattivi, come ING e Aegon hanno perso quasi il 10%) oggi i corsi sono in leggera ripresa.
Gli elementi non favorevoli a mio parere sono:
*la situazione finanziaria di Aegon. La società non è completamente uscita dalla crisi degli anni passati, anche se l’ultima trimestrale è stata particolarmente incoraggiante.
*lo spread molto piccolo sul TdS olandese
*il modesto CY attuale
*in un’ottica di cassetto (anche se con Solvency II non ha molto senso di parlare di cassetto) il cap all’8%
Quelli positivi:
*il prezzo di mercato interessante (sotto 60)
*il prospetto molto favorevole
*la reattività del titolo. Insieme con ING, questo è il floater che, da quanto ho potuto vedere, anticipa i movimenti (nei due sensi) di tutte le altre. Se si andasse verso un aumento dei tassi sarebbe probabilmente tra i primi a ripartire. In altre parole andrebbe preso in vista di un possibile capital gain.
*la liquidità del titolo

Cosa ne pensate?

l'ho avuta spesso in passato insieme alla ING 587 , se scende ancora un po' rientro.
Tra i punti potenzialmente a favore la presenza di azioni privilegiate ,tutte in mano all'azionista di maggioranza e subordinate ai perpetual , su cui Aegon ha pagato dividendo anche l'anno scorso.
Ovviamente nessuno ci assicura che sara' sempre cosi'.

http://www.investireoggi.it/forum/1839927-post30566.html

 

[bosmeld]

By Abigail Moses
Nov. 18 (Bloomberg) -- Allied Irish Banks Plc subordinated
notes tumbled on speculation a bailout by the European Union and
International Monetary Fund will impose losses on bondholders.
“The traditional role of the IMF is typically the one of
the ‘bad guy,’” said Philip Gisdakis , a Munich-based credit
strategist at UniCredit SpA. It will “have negative
implications for European banks, insurance companies and other
institutional investors, which hold the bank debt in question.”
Allied Irish Banks Plc’s 12.5 percent subordinated bonds
due 2019 were quoted at a bid price of about 45 percent of face
value, according to Jefferies International in London, down from
100 percent in September. Credit-default swaps insuring 10
million euros ($13.6 million) of the debt cost 5.9 million euros
in advance and 500,000 euros annually, according to CMA.
Irish central bank Governor Patrick Honohan said he expects
the country to ask for aid from the European Union and the IMF
worth “tens of billions” of euros to rescue its battered banks
and stop contagion across the region. The government already
pledged to impose losses on junior bondholders at Anglo Irish
Bank Corp. and Irish Nationwide Building Society.
Anglo Irish was nationalized in January 2009 as loan losses
spiraled after a property bubble burst. The government also has
taken a 36 percent stake in Bank of Ireland Plc and is preparing
to take a majority stake in Allied Irish.
Credit-default swaps on the junior debt of Bank of Ireland
Plc cost 2.9 million euros in advance and 500,000 euros a year,
signaling a 58.75 percent likelihood of default within five
years. Contracts on Anglo Irish’s sub debt cost 8 million euros
upfront, showing a 99.99 percent probability of default. Swaps
on Allied Irish signal a 90.24 percent chance of default.



Burden Sharing


Burden sharing “would have the obvious impact of hitting
sentiment across the bank subordinated debt spectrum,” Harpreet
Parhar, a strategist at Credit Agricole SA, wrote in a note to
investors.
The prospect of a bailout boosted confidence in the
region’s government debt, driving down the cost of default
insurance. Ireland led the decline, with swaps dropping 21.5
basis points to 502.5, according to CMA. Contracts on Greece
declined 6.5 to 949.5, Portugal fell 3 to 405, Spain was 2 lower
at 255 and Italy was down 5.5 at 181.5.
The Markit iTraxx SovX Western Europe Index of swaps on 15
governments declined 4.5 basis points to 161. The cost of
insuring against losses on European corporate bonds also fell,
according to JPMorgan Chase & Co.
The Markit iTraxx Crossover Index of 50 companies with
mostly high-yield credit ratings declined 11 basis points to
452, and the Markit iTraxx Europe Index of 125 companies with
investment-grade ratings decreased 2 basis points to 100.
A basis point on a credit-default swap contract protecting
10 million euros of debt from default for five years is
equivalent to 1,000 euros a year. Swaps pay the buyer face value
in exchange for the underlying securities or the cash equivalent
should a company fail to adhere to its debt agreements.

 

[mavalà]

La WestLB in $ si prende a 35,5?

si, l'ho presa a quel prezzo

 

[mavalà]

BES a 63 non è operativo prese 1 0ra fa a 64,5

aegon 416 64.5 65.6

prese 30mila a 63

 

[solenoide]

io sto controllando da poco tempo la gemella in USD (AEGON NV CUMULAT in dollari A-/A3 NL0000116168) volendo prendere una TV in dollari USA sulla quale però non mi tornano due-tre cose .
Su internet ho trovato : emissione del 15/7/2004 di 0,500 miliardi $ e taglio 100 $; cedola TRIM(ip)CMS US$ 10a + 0,10%, max 8,5%; primo call 15/7/14 e poi cedola invariata .
Quello che non mi torna è :
1) taglio solo 100 $ ?
2)cedola trimestrale ? (in alcuni siti ho letto annuale)
e soprattutto 3) dopo il primo call (15/7/14) è possibile che la cedola rimanga invariata ? ma invariata rispetto a cosa ? Rispetto alla ultima che sarà pagata?

Comunque al prezzo di 64,50 per questa in dollari e con suo tasso su base annuale ora del 3,2275% , la funzione REND di Excel mi dice un REL al call (15/7/2014)del 17,036% anche se la funzione REND di Excel non è la più indicata per titoli a tasso variabile.

Ciao,
tutti i prospetti Aegon sono sul loro sito.
Il taglio pare essere 100 USD e 100 Eur , cedola trimestrale , con invariata si intende che l'indicizzazione non cambia dopo la call.
Capital securities - AEGON Group
http://www.aegon.com/Documents/aego...struments/Capital-securities/NL0000116150.pdf

USD Coupon Rate
The USD Coupon Rate payable from time to time in respect of the Securities will be determined on the basis of the following provisions:
(i)
The USD Coupon Rate payable from time to time in respect of the USD Capital Securities will be determined on each USD Interest Determination Date for the next succeeding Coupon Period and shall be USD CMS-10 year plus 0.1 per cent..
(ii)
“USD-CMS-10 year” means that the rate for a Reset Date will be the arithmetic mean of the bid and offered swap rate quotations published on the Telerate Page 42276 under the heading “RATES AS AT 11:00 EST (16:00 GMT)”, for a designated maturity of ten years as of 11:00 a.m., New York City time, on the USD Interest Determination Date. If such rate does not appear on the Telerate Page 42276, the rate for that Reset Date will be a percentage determined on the basis of the mid-market semi-annual swap rate quotations provided by the Reference Banks at approximately 11:00 a.m., New York City time, on the USD Interest Determination Date and, for this purpose, the semiannual swap rate means the mean of the bid and offered rates for the semi-annual fixed leg, calculated on a 30/360 day count basis, of a fixed-for-floating U.S. Dollar interest rate swap transaction with a term equal to the designated maturity of ten years commencing on that Reset Date and in a representative amount with an acknowledged dealer of good credit in the swap market, where the floating leg, calculated on an actual/360 day count basis, is equivalent to USD-LIBOR-BBA with a designated maturity of three months. The Calculation Agent will request the principal New York City office of each of the Reference Banks to provide a quotation of the relevant Reference Bank’s rate. If at least three quotations are provided, the rate for that Reset Date will be the arithmetic mean of the quotations, eliminating the highest quotation (or, in the event of equality, one of the highest) and the lowest quotation (or, in the event of equality, one of the lowest). The Reference Banks will be selected by the Calculation Agent and will be five leading swap dealers in the New York City inter-bank market.
(iii) If the USD Coupon Rate in respect of any Coupon Period determined in accordance with the above provisions is greater than 8.5 per cent., the USD Coupon Rate for such Coupon Period shall be 8.5 per cent..

Reset Date’ means, for purposes of calculating the USD Coupon Rate the first day of each Coupon Period;

c'e' anche lo specchietto con la cedola delle IRS in USD ed Eur
Fixing schedule perpetuals - AEGON Group

Su Solvency non so aiutarti , mi sembra pero' strano che possano andare direttamente ad un Solvency 3 visto che al momento i requisiti del 2 sono simili a quelli di Basilea.
Secondo quanto ho letto una possbile differenza e' quella relativa al famoso "step-up" che se moderato (max 100 bp) sara' tollerato da Solvency 2.
Non ho approfondito piu' di tanto.

 

[Metriko]

By Abigail Moses
Nov. 18 (Bloomberg) -- Allied Irish Banks Plc subordinated
notes tumbled on speculation a bailout by the European Union and
International Monetary Fund will impose losses on bondholders.
“The traditional role of the IMF is typically the one of
the ‘bad guy,’” said Philip Gisdakis , a Munich-based credit
strategist at UniCredit SpA. It will “have negative
implications for European banks, insurance companies and other
institutional investors, which hold the bank debt in question.”
Allied Irish Banks Plc’s 12.5 percent subordinated bonds
due 2019 were quoted at a bid price of about 45 percent of face
value, according to Jefferies International in London, down from
100 percent in September. Credit-default swaps insuring 10
million euros ($13.6 million) of the debt cost 5.9 million euros
in advance and 500,000 euros annually, according to CMA.
Irish central bank Governor Patrick Honohan said he expects
the country to ask for aid from the European Union and the IMF
worth “tens of billions” of euros to rescue its battered banks
and stop contagion across the region. The government already
pledged to impose losses on junior bondholders at Anglo Irish
Bank Corp. and Irish Nationwide Building Society.
Anglo Irish was nationalized in January 2009 as loan losses
spiraled after a property bubble burst. The government also has
taken a 36 percent stake in Bank of Ireland Plc and is preparing
to take a majority stake in Allied Irish.
Credit-default swaps on the junior debt of Bank of Ireland
Plc cost 2.9 million euros in advance and 500,000 euros a year,
signaling a 58.75 percent likelihood of default within five
years. Contracts on Anglo Irish’s sub debt cost 8 million euros
upfront, showing a 99.99 percent probability of default. Swaps
on Allied Irish signal a 90.24 percent chance of default.



Burden Sharing


Burden sharing “would have the obvious impact of hitting
sentiment across the bank subordinated debt spectrum,” Harpreet
Parhar, a strategist at Credit Agricole SA, wrote in a note to
investors.
The prospect of a bailout boosted confidence in the
region’s government debt, driving down the cost of default
insurance. Ireland led the decline, with swaps dropping 21.5
basis points to 502.5, according to CMA. Contracts on Greece
declined 6.5 to 949.5, Portugal fell 3 to 405, Spain was 2 lower
at 255 and Italy was down 5.5 at 181.5.
The Markit iTraxx SovX Western Europe Index of swaps on 15
governments declined 4.5 basis points to 161. The cost of
insuring against losses on European corporate bonds also fell,
according to JPMorgan Chase & Co.
The Markit iTraxx Crossover Index of 50 companies with
mostly high-yield credit ratings declined 11 basis points to
452, and the Markit iTraxx Europe Index of 125 companies with
investment-grade ratings decreased 2 basis points to 100.
A basis point on a credit-default swap contract protecting
10 million euros of debt from default for five years is
equivalent to 1,000 euros a year. Swaps pay the buyer face value
in exchange for the underlying securities or the cash equivalent
should a company fail to adhere to its debt agreements.

Io ho preso questa lt2 boi XS0487711573

e ho notato che ieri anche questa ha preso una decisa scoppola

OnVista: Anleihenanalyse - BANK OF IRELAND (THE GOV.&CO.) EO-MED.-TERM NOTES 2010(20) - Snapshot

almeno da onvista cosi vedo...
Chiaramente dal max relativo della settimana che è stato di 75 ( a cui l'ho preso purtroppo )
Il minimo di giovedi' venerdi' era se nn sbaglio 66

 

[fabbro]

Ciao,
tutti i prospetti Aegon sono sul loro sito.
Il taglio pare essere 100 USD e 100 Eur , cedola trimestrale , con invariata si intende che l'indicizzazione non cambia dopo la call.
Capital securities - AEGON Group
http://www.aegon.com/Documents/aego...struments/Capital-securities/NL0000116150.pdf

USD Coupon Rate
The USD Coupon Rate payable from time to time in respect of the Securities will be determined on the basis of the following provisions:
(i)
The USD Coupon Rate payable from time to time in respect of the USD Capital Securities will be determined on each USD Interest Determination Date for the next succeeding Coupon Period and shall be USD CMS-10 year plus 0.1 per cent..
(ii)
“USD-CMS-10 year” means that the rate for a Reset Date will be the arithmetic mean of the bid and offered swap rate quotations published on the Telerate Page 42276 under the heading “RATES AS AT 11:00 EST (16:00 GMT)”, for a designated maturity of ten years as of 11:00 a.m., New York City time, on the USD Interest Determination Date. If such rate does not appear on the Telerate Page 42276, the rate for that Reset Date will be a percentage determined on the basis of the mid-market semi-annual swap rate quotations provided by the Reference Banks at approximately 11:00 a.m., New York City time, on the USD Interest Determination Date and, for this purpose, the semiannual swap rate means the mean of the bid and offered rates for the semi-annual fixed leg, calculated on a 30/360 day count basis, of a fixed-for-floating U.S. Dollar interest rate swap transaction with a term equal to the designated maturity of ten years commencing on that Reset Date and in a representative amount with an acknowledged dealer of good credit in the swap market, where the floating leg, calculated on an actual/360 day count basis, is equivalent to USD-LIBOR-BBA with a designated maturity of three months. The Calculation Agent will request the principal New York City office of each of the Reference Banks to provide a quotation of the relevant Reference Bank’s rate. If at least three quotations are provided, the rate for that Reset Date will be the arithmetic mean of the quotations, eliminating the highest quotation (or, in the event of equality, one of the highest) and the lowest quotation (or, in the event of equality, one of the lowest). The Reference Banks will be selected by the Calculation Agent and will be five leading swap dealers in the New York City inter-bank market.
(iii) If the USD Coupon Rate in respect of any Coupon Period determined in accordance with the above provisions is greater than 8.5 per cent., the USD Coupon Rate for such Coupon Period shall be 8.5 per cent..

Reset Date’ means, for purposes of calculating the USD Coupon Rate the first day of each Coupon Period;

c'e' anche lo specchietto con la cedola delle IRS in USD ed Eur
Fixing schedule perpetuals - AEGON Group

Su Solvency non so aiutarti , mi sembra pero' strano che possano andare direttamente ad un Solvency 3 visto che al momento i requisiti del 2 sono simili a quelli di Basilea.
Secondo quanto ho letto una possbile differenza e' quella relativa al famoso "step-up" che se moderato (max 100 bp) sara' tollerato da Solvency 2.
Non ho approfondito piu' di tanto.

grazie mille
In effetti Solvency 2 entra in vigore dal 2012 e quindi come fanno a fare un Solvency 3 se la 2 deve ancora entrare in vigore.
Ma una domanda terra terra te la voglio fare : tra una banca e una assicurazione, tu cosa pensi sia meglio prendere una posizione nella ottica di non avere sorprese circa la call ,cioè per avere una call quasi certa basandoci sui due Basilea e Solvency ?
ciao e grazie ancora

 

[Zorba]

By Abigail Moses
Nov. 18 (Bloomberg) -- Allied Irish Banks Plc subordinated
notes tumbled on speculation a bailout by the European Union and
International Monetary Fund will impose losses on bondholders.
“The traditional role of the IMF is typically the one of
the ‘bad guy,’” said Philip Gisdakis , a Munich-based credit
strategist at UniCredit SpA. It will “have negative
implications for European banks, insurance companies and other
institutional investors, which hold the bank debt in question.”
Allied Irish Banks Plc’s 12.5 percent subordinated bonds
due 2019 were quoted at a bid price of about 45 percent of face
value, according to Jefferies International in London, down from
100 percent in September. Credit-default swaps insuring 10
million euros ($13.6 million) of the debt cost 5.9 million euros
in advance and 500,000 euros annually, according to CMA.
Irish central bank Governor Patrick Honohan said he expects
the country to ask for aid from the European Union and the IMF
worth “tens of billions” of euros to rescue its battered banks
and stop contagion across the region. The government already
pledged to impose losses on junior bondholders at Anglo Irish
Bank Corp. and Irish Nationwide Building Society.
Anglo Irish was nationalized in January 2009 as loan losses
spiraled after a property bubble burst. The government also has
taken a 36 percent stake in Bank of Ireland Plc and is preparing
to take a majority stake in Allied Irish.
Credit-default swaps on the junior debt of Bank of Ireland
Plc cost 2.9 million euros in advance and 500,000 euros a year,
signaling a 58.75 percent likelihood of default within five
years. Contracts on Anglo Irish’s sub debt cost 8 million euros
upfront, showing a 99.99 percent probability of default. Swaps
on Allied Irish signal a 90.24 percent chance of default.



Burden Sharing


Burden sharing “would have the obvious impact of hitting
sentiment across the bank subordinated debt spectrum,” Harpreet
Parhar, a strategist at Credit Agricole SA, wrote in a note to
investors.
The prospect of a bailout boosted confidence in the
region’s government debt, driving down the cost of default
insurance. Ireland led the decline, with swaps dropping 21.5
basis points to 502.5, according to CMA. Contracts on Greece
declined 6.5 to 949.5, Portugal fell 3 to 405, Spain was 2 lower
at 255 and Italy was down 5.5 at 181.5.
The Markit iTraxx SovX Western Europe Index of swaps on 15
governments declined 4.5 basis points to 161. The cost of
insuring against losses on European corporate bonds also fell,
according to JPMorgan Chase & Co.
The Markit iTraxx Crossover Index of 50 companies with
mostly high-yield credit ratings declined 11 basis points to
452, and the Markit iTraxx Europe Index of 125 companies with
investment-grade ratings decreased 2 basis points to 100.
A basis point on a credit-default swap contract protecting
10 million euros of debt from default for five years is
equivalent to 1,000 euros a year. Swaps pay the buyer face value
in exchange for the underlying securities or the cash equivalent
should a company fail to adhere to its debt agreements.

Mah... per il momento non ci credo molto, altrimenti l'azione AIB non farebbe +13%. Per me il mercato si sta semplicemente rendendo conto che, in termini rischi, non c'è molta differenza tra LT2 e T1 delle banche in crisi.