L'incidenza di meccanismi di loss absorpion sul principale oltre che il deferral sulla cedola su alcuni bond (Tier 1 e UT2) di società veicolo per l'incremento del capital ratio di Dresdner Bank induce S&P al downgrade di questi titoli a livelli infimi.
I capitali raccolti da queste società veicolo e attraverso l'emissione dei bond erano infatti investiti in strumenti che realizzavano una partecipazione ai profitti e alle perdite della banca... e siccome sono state perdite, il valore facciale degli strumenti in questione è stato ridotto e risulta altresì ridotto (almeno temporaneanente) il valore di rimborso dei bond in questione all'esercizio della call piuttosto che alla scadenza (per l'UT2).
Chi avesse in carico questi strumenti cerchi di verificarne meglio la posizione... magari procurandosi il financial report di Dresdner menzionato da S&P.
Ratings On Dresdner Bank’s HT1 and UT2 Funding Hybrid Capital Instruments Cut To ‘C’ On Loss Allocation
FRANKFURT (Standard & Poor's) March 30, 2009--Standard & Poor's Ratings Services said today it lowered its issue ratings on Dresdner Bank AG's €1 billion hybrid Tier 1 capital instruments issued through HT1 Funding GmbH (HT1) and on the bank's €750 million upper Tier 2 capital instruments issued through UT2 Funding PLC (UT2) to 'C' from 'CC'.
The ratings were removed from CreditWatch, where they were originally placed with negative implications on Jan. 12, 2009 (for details, see "Two Dresdner Bank Hybrid Capital Instruments Cut To 'CC', Other Commerzbank Group Hybrids Cut To 'BB'; Still On WatchNeg", published on Feb. 27, 2009, on RatingsDirect).
The ratings on other hybrid capital instruments of Dresdner Bank AG (A/Stable/A-1) and of other members of the Commerzbank group are unaffected. Commerzbank AG (A/Stable/A-1) is the 100% owner of Dresdner Bank since Jan. 12, 2009.
This rating action follows the March 27, 2009, publication of Dresdner Bank AG's 2008 unconsolidated financial report, which confirmed the loss allocation to and resulting reduction in face value of the "stille Einlagen" and "Genussscheine", in which HT1 and UT2 have invested.
We understand that this reduces, at least temporarily, the liquidation preference amount of both HT1 and UT2, and the redemption amount of UT2.
Dresdner Bank's financial report states that the book value of "stille Einlagen" underlying HT1 has been reduced to €843 million from €1.0 billion, and the book value of "Genussscheine" underlying UT2 to €632 million from €750 million.
The report also confirms that coupons on both instruments will be
deferred. In the case of HT1, the terms of the instruments state that Dresdner Bank's former owner, Allianz SE (AA/Stable/A-1+), would make coupon payments instead of Dresdner Bank according to the terms of a contingent indemnity agreement, but the interest rate would be paid on the instruments' reduced book value only