Inside CoCo s de nye efterstillede finansobligationer

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1 Inside CoCo s de nye efterstillede finansobligationer FINANSFORENINGEN - Maj 2015 V/ Peter Fink (fink@nykredit.dk)

2 Kapitaldækning for banker - Lynkursus Solvensbehov + AT1 + Tier 2 Kapitalpct. = Risikoeksponeringer Kreditrisiko Markedsrisiko Operationel risiko Kernekapitalpct. = + AT1 (Additional Tier 1) Risikoeksponeringer Egentlig kernekapitalpct. = (Core Equity Tier 1) Risikoeksponeringer marts 2014

3 Baggrund Risikoen for endnu en krise skal reduceres Investorerne skal tabe alle deres penge før statsmidler indskydes Højere kvantitative og kvalitative krav til kapitalgrundlaget. 3

4 Kvantitative kapitalkrav øges Kapitalrejsning på programmet 14,0% 1 10,0% 8,0% 6,0% 4,0% 0,0% T2 4,0% T1 T2 2,5% T1 4,0% 0,6% T2 T1 4,5% 1,2% 0,6% T2 T1 4,5% 1,8% 1,3% T2 T1 4,5% 2,4% 1,9% T2 T1 4,5% 3,0% 2,5% T2 T1 4,5% Capital conservation buffer SIFI buffer Eksempel: Danske Bank februar 2015

5 Prioritetsrækkefølge af gæld: Obligationer Gældtype og rating Foranstillet gæld Efterstillet gæld Realkreditobligationer - SDRO/SDO/RO Sikrede seniorobligationer Usikrede seniorobligationer Tier 2 Tier 1-obligationer Tier 2 Gæld mod pant - aktiver er udskilt i særskilt registre Gæld mod pant - fx junior covered bonds Alm. krav Supplerende lånekapital Hybrid kernekapital AAA AA- A+ BBB BB+ Ejerandel e Præference aktier Aktiekapital 5

6 Risikoelementer Gamle Vs. Nye bankobligationer Særlige forhold Trigger (Going concern) Frivillig kuponfrav. Tier 2 Gammel Tier 1 Gammel Tier 2 Ny Tier 2- CoCo AT1 (CoCo) Tvungen kuponfrav. Ikke-akk. kupon Ingen rente step-up Perp. PONV ( ) ( ) ( ) ( ) ( ) marts 2014

7 Tabsabsorberingsmekanismer (som going concern ) Hovedstol og kupon CoCo-instrument Kvantitativ Trigger og/ eller PONV Frivillig/Tvungen Kuponfrafald (non-akummulativ) Tabsabsorberingsmekanisme Konvertering til aktier Nedskrivning af hovedstol 7

8 Trigger-niveauer Krav og overvejelser Krav om trigger på = min. 5,125% Krav om trigger på = min. 5,125% -> Men udsteder ofte på 7,0% Krav om trigger på = min. 7,0%/8,0% -> Og udsteder på 7,0%/8,0% Krav om trigger på = min. 5,125% -> Og udsteder på 5,125% High trigger cocos (Recovery) VS Low trigger cocos (Resolution) 8

9 Kupon-Risiko Maximum Distributable Amount (MDA) 18,0% - Udlodningsbegrænsning (MDA) Søjle II Kapitalplan 14,0% - 60% 8,0% - Buffer MDA Mulig lukning Søjle II 40% 20% 0% (også ved undersk.) Tier 2 Tier 2 6,0% - AT1 Lukning AT1 4,5% - Undgå karambolage med alle krav 9

10 Hovedstol- og Kupon-Risiko Følsomhedsanalyse Eksempel: Nykredit marts 2014

11 Risikovurdering af AT1-obligationer Hovedstol-risiko Kupon-risiko Afstand til trigger Vilje - Tillid til ledelsen - Kreditvenlig strategi - Konsekvenser af fravig. Evne Afstand MDA (Max. Dist. Amount) Evne Afstand til samlet krav Evne Afstand til ADI (Available Dist. Items) marts 2014

12 Prisning af risiko-elementer AT1 Vs Tier 2 Danske Bank 2,75% 2026 c2021 Tier 2 1,9% 1,9% Nykredit 4,0% 2036 c2021 Tier 2- Coco 3,8% Hovedstol-Risiko Længere løbetid efter call Nykredit 6,25% c2020 /Danske Bank 5,75% c2020 AT1 Kupon-Risiko Efterstilling Uendelig løbetid 5,3% September, 2014

13 Yield to Call CoCo Tier 1 Scandi Banks + SocGen Orange = NOK-denominated 08% 08% 07% SOCGEN 6% SOCGEN 7,875% 07% 06% 06% 05% SOCGEN 6,75% SOCGEN 8,25% DNBNO 5,75% SEB 5,5% SHBASS 5,25% SWEDA 5,5% DANBNK 5,875% DANBNK 5,75% NYKRE 6,25% NDASS 6,125% NDASS 5,5% DNBNO 4,6% 05% 4-feb-yy 18-jun-yy 31-okt-yy 15-mar-yy 27-jul-yy 9-dec-yy 8% 7%/7.125% 5.125%

14 Simpelt Konsekvens af ny regulering Øget kompleksitet Klart Komplekst Men det er ikke obligationen som giver kompleksitet.det er den elastiske lovgivning omkring AT1- kuponfravigelse som giver kompleksiteten

15 Disclaimer This material has been produced by Nykredit Markets for the personal information of the investors to whom Nykredit Markets has distributed the material. The material is based on information available to the public and on own calculations based on the same. Nykredit Markets does not accept any liability for the correctness, accuracy or completeness of the information in the material. Recommendations are not to be considered as offers to buy or sell the securities in question, and Nykredit Markets accepts no liability for transactions based on information presented in the material. Information on previous returns, simulated previous returns or future returns presented in the material cannot be used as a reliable indicator of future returns, and returns may be negative. Information on price developments presented in this material cannot be used as a reliable indicator of future price developments, and price developments may be negative. Gains may be increased or reduced due to exchange rate fluctuations. If the material contains information on a specific tax treatment, investors should bear in mind that the tax treatment depends on the investors individual situation and may change in future. If the material contains information based on gross returns, such returns may be reduced by fees, commissions and other costs. Nykredit Bank A/S and/or other companies of the Nykredit Group may buy, sell or hold positions in securities referred to in the material, just as these companies may be involved in corporate finance activities or other activities for companies referred to in the material. This material may not be reproduced or distributed without the prior consent of Nykredit Markets. Nykredit - Kalvebod Brygge 47 DK-1780 Copenhagen V Tel Fax