Last summer, the Consob has published a study on bank bonds placement.
It is very large, we will explain in some post the part about the returns.
Today we attend to the fixed-rate bonds placed at retail during the period July 2007-June 2009 by the first five Italian banking groups, banks controlled by foreign groups and cooperative banks, which together rappresentano quasi l’80% del controvalore collocato nel periodo.
Lo studio si basa sul confronto dei rendimenti tra le obbligazioni al retail e quelle presso gli investitori istituzionali nel biennio in esame; sono utilizzati due diversi approcci per misurare il rendimento dei titoli, vi illustreremo solo il primo che si basa sulla rilevazione dei rendimenti al momento dell’emissione, misurati come spread rispetto al rendimento di un equivalente BTP.
Come vedete nell’immagine i titoli sono suddivisi per classi omogenee di rating, quindi osserviamo gli spread rispetto all’equivalente BTP offerte al retail ed agli investitori istituzionali.
Adesso vi riportiamo ciò che scrivono gli studiosi della Consob a proposito di the table: "The offer to retail bonds from banks with Moody's Aa2 (ie credit equal to that of the Italian Republic, whose ratings Moody's is just Aa2) have a spread over BTP near zero (the median is slightly below zero while the average is slightly greater than zero), the bonds are rated Aa3 median rather than the BTP a spread of about 10 basis points (the average is slightly lower), while those rated A1, the spread BTP is the median compared to a loss of about 22 basis points.
For banks rated A2, A3, Baa1, and the average spread over the BTP and the median returns is substantially close to zero.
Only banks rated Baa2, the spread than the average and median BTP is significantly greater than zero (about 30 basis points). For
emissions BCC Federcasse guaranteed by the fund and the average spread
median is 7 basis points, while the emission is not guaranteed is slightly higher (about 13 basis points
), with coverage of the guarantee fund consortium seems to not affect significantly on the cost of collection and the returns offered by BCC. "
then write:
" In essence, the returns of fixed-rate bonds
placed at the retail customers are very weakly correlated with the risk and issuer risk liquidity and are very frequently negative for banks with an issuer risk than that of the Italian Republic.
Table 8 shows that the situation is radically different for the emission
placed with institutional investors, as in this case, the bond yields on average incorporate a significant premium compared to the Italian government bond yields for all age-rating of banks issuers. In particular, the yields of bonds of banks rated Aa2 (then equal to that of the Italian Republic) incorporate an average spread over the BTP and the median of about 80 basis points (which therefore reflects a liquidity premium), while for bonds Aa3 rating of banks with the median spread salt at 90 basis points for banks rated A1 the median spread is 120 basis points, while those rated A2 is approximately 100 basis points (this anomaly probably reflects a different timing of emissions, a different premium for liquidity or other risk factors).
It is evident that institutional investors require a significant premium over the returns of Italian government bonds to underwrite bonds, even if the issuer risk is in line with that of the Italian Republic. There is also a correlation between spreads and ratings are much more evident than the data offered at retail. Several studies, over longer periods and many more samples, has shown how in the Euromarket bond offerings reserved for institutional investors there is a strong correlation between spreads and ratings and how the rating is one of the main determinants of spreads. "
summary bank bonds placed in the "horse park" offering a yield of at least 80 basis points lower than that offered to institutional practice in this' last they charge is a risk that the issuer liquidity, in fact most of the bank bonds will not be listed on regulated markets, also sometimes the small investor is offered a lower yield equivalent BTP, then we can see that the rating for the retail sector has little influence on the rate, while the institutions are more sensitive to this issue (obviously the more you risk, the higher the interest must be).
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