Obbligazioni perpetue e subordinate Tutto quello che avreste sempre voluto sapere sulle obbligazioni perpetue... - Cap. 3 (11 lettori)
- Creatore Discussione Joe Silver
- Data di Inizio
NoWay
It's time to play the game
GiveMeLeverage
& I will remove the world
Lo chiedevo anch'io settimana scorsa... e non trovo spiegazioni...
TF vs. TV ?
Ma non conosco i titoli, quindi potrei dire una gran cavolata...
Austrian Banks’ Swiss Franc Mortgage Loans Face Capital Shortfall, a Credit Negative
Last Thursday, Austria’s central bank, the Oesterreichische National Bank, disclosed a €6.1 billion capital
shortfall for Swiss franc mortgage contracts in the domestic market, up from €3.1 billion at the end of 2014
and higher than the previous €5.4 billion peak in 2011. The capital shortfall results from the difference
between the mortgage amount and the asset value of borrowers’ repayment vehicles, such as insurance
contracts, which accumulate capital to make the bullet payment at the end of the mortgage contract.
The capital shortfall is credit negative for Austrian banks, which had €26.6 billion of outstanding Swiss franc
loans to private customers in Austria at the end of the first quarter. In addition, €11.2 billion in Swiss franc
loans in Eastern European markets are concentrated mainly at Austria’s three largest banks. The shortfall is a
result of the franc’s sharp 15% appreciation versus the euro in the first quarter, after the Swiss central bank
on 15 January abandoned the franc’s peg to the euro.
The capital shortfall will become fully visible after 2019, when most of the loans mature and customers face
problems repaying them. Relying on the assets accumulated in the repayment vehicles to repay the
mortgage loans will likely compel Austrian banks to restructure loans at that point. In the extreme scenario
that the additional €3.0 billion capital shortfall would crystallize on the banks’ balance sheet in 2019, we
estimate that the affected Austrian banks’ aggregate Tier 1 ratio would decline by 63 basis points to 10.0%
from 10.7% at year-end 2014 (128 basis points for the entire €6.1 billion amount).
Austria’s Financial Market Authority, the financial regulator, advised the banks in 2008 to stop new foreign
currency lending to private households. As of year-end 2014, legacy Swiss franc loans still accounted for
18% of loans to private customers with significant differences between regions (e.g., 32% in Vorarlberg and
25% in Vienna) (see Exhibit 1).
For the banks we rate, we estimate the total amount of outstanding Swiss franc-denominated loans as of
year-end 2014 at €11.3 billion for UniCredit Bank Austria AG (UBA, Baa2/Baa2 review direction uncertain,
ba1 review for downgrade1
), €9.1 billion for Erste Group Bank AG (Baa2/Baa2 review for upgrade, ba1), €4.2
billion for Raiffeisen Bank International AG (RBI, Baa2/Baa2 review direction uncertain, ba3), €2.1 billion for BAWAG P.S.K. (Baa2/Baa2 review for upgrade, ba1 review for upgrade), €1.35 billion for Vorarlberger
Landes- und Hypothekenbank AG2 (Baa1/Baa1 negative, baa3) and €641 million for Hypo Tirol Bank AG
(Ba1/Ba1 negative, ba3).
In addition, the Austrian Volksbanken sector (unrated) held about €2.6 billion in Swiss franc exposure as of
the end of September 2014. On a relative basis, the effect is most pronounced for those banks that have a
high Swiss franc exposure relative to their capital basis, as shown in Exhibit 2.
For the Eastern European markets, Exhibit 3 shows the Swiss franc exposures across the region, which are
concentrated at the three largest Austrian banks: UBA, Erste and RBI. RBI has a material concentration in
Poland, where 33% of customer loans are in Swiss francs (€2.8 billion). For Hungary, the effect of the Swiss
franc’s appreciation is largely neutralized given recent Hungarian legislation that effectively fixed the
exchange rate for mortgage loans retroactively
Last Thursday, Austria’s central bank, the Oesterreichische National Bank, disclosed a €6.1 billion capital
shortfall for Swiss franc mortgage contracts in the domestic market, up from €3.1 billion at the end of 2014
and higher than the previous €5.4 billion peak in 2011. The capital shortfall results from the difference
between the mortgage amount and the asset value of borrowers’ repayment vehicles, such as insurance
contracts, which accumulate capital to make the bullet payment at the end of the mortgage contract.
The capital shortfall is credit negative for Austrian banks, which had €26.6 billion of outstanding Swiss franc
loans to private customers in Austria at the end of the first quarter. In addition, €11.2 billion in Swiss franc
loans in Eastern European markets are concentrated mainly at Austria’s three largest banks. The shortfall is a
result of the franc’s sharp 15% appreciation versus the euro in the first quarter, after the Swiss central bank
on 15 January abandoned the franc’s peg to the euro.
The capital shortfall will become fully visible after 2019, when most of the loans mature and customers face
problems repaying them. Relying on the assets accumulated in the repayment vehicles to repay the
mortgage loans will likely compel Austrian banks to restructure loans at that point. In the extreme scenario
that the additional €3.0 billion capital shortfall would crystallize on the banks’ balance sheet in 2019, we
estimate that the affected Austrian banks’ aggregate Tier 1 ratio would decline by 63 basis points to 10.0%
from 10.7% at year-end 2014 (128 basis points for the entire €6.1 billion amount).
Austria’s Financial Market Authority, the financial regulator, advised the banks in 2008 to stop new foreign
currency lending to private households. As of year-end 2014, legacy Swiss franc loans still accounted for
18% of loans to private customers with significant differences between regions (e.g., 32% in Vorarlberg and
25% in Vienna) (see Exhibit 1).
For the banks we rate, we estimate the total amount of outstanding Swiss franc-denominated loans as of
year-end 2014 at €11.3 billion for UniCredit Bank Austria AG (UBA, Baa2/Baa2 review direction uncertain,
ba1 review for downgrade1
), €9.1 billion for Erste Group Bank AG (Baa2/Baa2 review for upgrade, ba1), €4.2
billion for Raiffeisen Bank International AG (RBI, Baa2/Baa2 review direction uncertain, ba3), €2.1 billion for BAWAG P.S.K. (Baa2/Baa2 review for upgrade, ba1 review for upgrade), €1.35 billion for Vorarlberger
Landes- und Hypothekenbank AG2 (Baa1/Baa1 negative, baa3) and €641 million for Hypo Tirol Bank AG
(Ba1/Ba1 negative, ba3).
In addition, the Austrian Volksbanken sector (unrated) held about €2.6 billion in Swiss franc exposure as of
the end of September 2014. On a relative basis, the effect is most pronounced for those banks that have a
high Swiss franc exposure relative to their capital basis, as shown in Exhibit 2.
For the Eastern European markets, Exhibit 3 shows the Swiss franc exposures across the region, which are
concentrated at the three largest Austrian banks: UBA, Erste and RBI. RBI has a material concentration in
Poland, where 33% of customer loans are in Swiss francs (€2.8 billion). For Hungary, the effect of the Swiss
franc’s appreciation is largely neutralized given recent Hungarian legislation that effectively fixed the
exchange rate for mortgage loans retroactively
NoWay
It's time to play the game
Nel 2018 viene fissato un tasso per 10 anni (TDS olandese decennale + 0,85%), ma fino ad allora paga il 5,185%...
Mi aspetto sì un calo, però ora mi sembra decisamente prematuro...
GiveMeLeverage
& I will remove the world
Questo la NL0000121416, quindi in prima approssimazione possiamo considerarla una TF, quindi viene bastonato per rialzo tassi in questi gg
La NL0000116150 invece è TV quindi non soffre
NoWay
It's time to play the game
Di sicuro è come dici tu, però io mi domando... oggi esiste qualcosa che paga il 5% a 3 anni?
Fabrib
Forumer storico
Perdonate se cado dal pero, ma NL0000121416 è una LT2?
Grazie in anticipo per il chiarimento.
NoWay
It's time to play the game
Fabrib
Forumer storico
Grazie NoWay.