Chiunque ricevesse dei reports dall'ufficio studi di una grande banca a proposito delle ultime decisioni su Basilea 3 è vivamente pregato di pubblicarle.
Ho appena cominciato a leggere i documenti e ho l'impressione che non sia per noi così facile cogliere tutte le implicazioni.
Mi sto soffermando in particolare sui criteri fissati affinché una emissione possa qualificarsi come Tier 1 oppure Tier 2. Per comodità li riporto:
*Per qualificarsi come Additional Tier 1:
1. Issued and paid-in
2. Subordinated to depositors, general creditors and subordinated debt of the bank
3. Is neither secured nor covered by a guarantee of the issuer or related entity or other
arrangement that legally or economically enhances the seniority of the claim vis-à-vis bank
creditors
4. Is perpetual, ie there is no maturity date and there are no step-ups or other incentives to
redeem
5. May be callable at the initiative of the issuer only after a minimum of five years:
a. To exercise a call option a bank must receive prior supervisory approval; and
b. A bank must not do anything which creates an expectation that the call will be exercised; and
c. Banks must not exercise a call unless:
i. They replace the called instrument with capital of the same or better quality and the
replacement of this capital is done at conditions which are sustainable for the income
capacity of the bank; or
ii. The bank demonstrates that its capital position is well above the minimum capital
requirements after the call option is exercised
6. Any repayment of principal (eg through repurchase or redemption) must be with prior
supervisory approval and banks should not assume or create market expectations that
supervisory approval will be given
7. Dividend/coupon discretion:
a. the bank must have full discretion at all times to cancel distributions/payments1
b. cancellation of discretionary payments must not be an event of default
c. banks must have full access to cancelled payments to meet obligations as they fall due
d. cancellation of distributions/payments must not impose restrictions on the bank except in
relation to distributions to common stockholders.
8. Dividends/coupons must be paid out of distributable items
9. The instrument cannot have a credit sensitive dividend feature, that is a dividend/coupon that
is reset periodically based in whole or in part on the banking organisation’s credit standing.
10. The instrument cannot contribute to liabilities exceeding assets if such a balance sheet test
forms part of national insolvency law.
11. Instruments classified as liabilities for accounting purposes must have principal loss
absorption through either
(i) conversion to common shares at an objective pre-specified trigger point or
(ii) a write-down mechanism which allocates losses to the instrument at a pre-specified trigger
point.
The write-down will have the following effects:
a. Reduce the claim of the instrument in liquidation;
b. Reduce the amount re-paid when a call is exercised; and
c. Partially or fully reduce coupon/dividend payments on the instrument.
12. Neither the bank nor a related party over which the bank exercises control or significant
influence can have purchased the instrument, nor can the bank directly or indirectly have
funded the purchase of the instrument
13. The instrument cannot have any features that hinder recapitalisation, such as provisions that
require the issuer to compensate investors if a new instrument is issued at a lower price
during a specified time frame
14. If the instrument is not issued out of an operating entity or the holding company in the
consolidated group (eg a special purpose vehicle – “SPV”), proceeds must be immediately
available without limitation to an operating entity18 or the holding company in the
consolidated group in a form which meets or exceeds all of the other criteria for inclusion in
Additional Tier 1 capital
*Invece, per qualificarsi come Tier 2 Capital:
1. Issued and paid-in
2. Subordinated to depositors and general creditors of the bank
3. Is neither secured nor covered by a guarantee of the issuer or related entity or other
arrangement that legally or economically enhances the seniority of the claim vis-à-vis
depositors and general bank creditors
4. Maturity:
a. minimum original maturity of at least five years
b. recognition in regulatory capital in the remaining five years before maturity will be amortised
on a straight line basis
c. there are no step-ups or other incentives to redeem
5. May be callable at the initiative of the issuer only after a minimum of five years:
a. To exercise a call option a bank must receive prior supervisory approval;
b. A bank must not do anything that creates an expectation that the call will be exercised; and
c. Banks must not exercise a call unless:
i. They replace the called instrument with capital of the same or better quality and the
replacement of this capital is done at conditions which are sustainable for the income
capacity of the bank20; or
ii. The bank demonstrates that its capital position is well above the minimum capital
requirements after the call option is exercised.21
6. The investor must have no rights to accelerate the repayment of future scheduled payments
(coupon or principal), except in bankruptcy and liquidation.
7. The instrument cannot have a credit sensitive dividend feature, that is a dividend/coupon that
is reset periodically based in whole or in part on the banking organisation’s credit standing.
8. Neither the bank nor a related party over which the bank exercises control or significant
influence can have purchased the instrument, nor can the bank directly or indirectly have
funded the purchase of the instrument
9. If the instrument is not issued out of an operating entity or the holding company in the
consolidated group (eg a special purpose vehicle – “SPV”), proceeds must be immediately
available without limitation to an operating entity22 or the holding company in the
consolidated group in a form which meets or exceeds all of the other criteria for inclusion in
Tier 2 Capital
Personalmente non mi sento così sicuro nell'interpretazione di tutti questi parametri. Faccio un esempio con una domanda: una attuale Tier 1, non step-up, sia essa cumulativa o non, potrebbe essere declassata a Tier2 e quindi non essere richiamata?
