Tag Archives: HT1 Anleihe

Short updates: Rhoen, KPN, HT1 Funding

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A few short updates which i think are worth mentioning in a post:

Rhoen Klinikum

One of my “special situations”. My original thesis behind this was that it is a solid company with a lot of interested suitors. Just today, the Fresenius CEO stated in WSJ Germany that they are still interested.

So this is still a solid, uncorrelated speculation that something could happen any time.

KPN
As one part of their capital raising effort, KPN issued two Hybrid bonds last week, 1.1 bn EUR at 6.125% and 400 mn GBP at 6.875%. According to Bloomberg, both bonds seem to have a “change of control” clause, meaning the bonds have to be paid back if someone becomes majority shareholder of KPN. This is quite uncommon for hybrids and looks a little bit like a “poison pill” against Carlos Slim.

Additionally, I found that rating review from Fitch (via Reuters) quite interesting.

KPN is facing some headwinds in the Netherlands. A fourth entrant plans to set up a 4G network (Tele2) and there seems to be a potential 2 bn liability from a subsidiary called Reggefiber, where KPN currently seems to have a 41% share but will soon have the majority.

Commerzbank HT1 Bond

Commerzbank just released news that they plan to increase share capital by 2.5 bn EUR and paying back their silent participations. This is not so nice for shareholders, but very good for HT1 holders as more equity is now “below” the subordinated capital, reducing downside risk.

So not surprisingly, the price of the HT1 bonds increased significantly.

Commerzbank HT1 tender offer – results

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Commerzbank just released the results for their tender offer.

Interestingly, all tendered securities have been accepted, so the described arbitrage strategy has worked out nicely for anyone able to exploit it.

What I found extremely interesting is the fact, that less than 15% of the UT2 were tendered but almost 60% of the HT1 bonds (584 mn out of 1 bn).

One of the reasons could be that the HT1 bond was owned by hedge funds anyway who had hedged the bonds at least partly with shares even before the tender.

For a small HT1 investor with a medium term time horizon, the outcome is actually positive. In my opnion, the reduced amount of outstanding bonds will increase the chance that Commerzbank will actually call the bonds in 2017, when they switch into floating rate and loose all benefits with regard to capital ratios.

Based on 68%, the potential yield if they are called at par in 2017 would be still 17.2% p.a. which I find is extremely attractive.

HT1 Funding – Hedgefund edition

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Last week I quickly outlined the tender offer for the HT1 funding.

In short, Commerzbank is offering 71% for HT1, however in shares based on the VWAP of the shares in a certain time period.

Today, almost 2 mn EUR of nominal HT1 have been traded at 68.85% on average, well below the 71% offer price.

So a (small) hedge fund could make the following arbitrage:

– buy the HT1 at 68.85%
– sell the respective shares at VWAP over the relevant period (which is no problem to achieve as institutional investor)

Share lending for Commerzbank currently costs 4-5% p.a. so for the roughly 2 weeks the payoff would be (71-68.85)-transaction cost. If we assume a transaction cost of overall 0.5% we still would have an “arbitrage” gain of 2.5% for 2 weeks. This could be in theory leveraged a couple of times to make it more interesting.

The only risk factor is that it is not clear how much Commerzbank will effectively accept or how much of the total packageis actually offered to Commerzbank.

In comparison, the UT2 bond which has a higher priority, is trading at 81,4%, a lot closer to the offer price of 82.5%. Based on my “gut feeling”, the

So in theory one could calculate the implict acceptance quotas for the different tranches based on those quotes relative to their offer price.

For any normal investor this sounds like peanuts, but for hedgefunds this is really an interesting opportunity to make non-market related returns within a very short time horizon.

For the portfolio, I would have joined the “party” if it wouldn’t be too much work to execute the transaction.

Commerzbank HT1 Tender offer

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Good times for my “special Situations” investments.

After Draeger came out with an 210 EUR offer last week, Commerzbank today announced that they will make a tender offer (among others) for the HT1 Bond at 71%..

The exchange offer invitation by the Offeror includes the following hybrid capital instruments, subordinated debt securities and other capital instruments:

Instrument Aggregate Principal ISIN Minimum Theoretical Order of
  Amount outstand-   Nominal Purchase Priority**
  ing   Amount Price  
Commerzbank Capital Funding Trust I EUR 189,550,000 DE000A0GPYR7 50000 31500 1
Commerzbank Capital Funding Trust II GBP 115,600,000 XS0248611047 £ 50,000 £ 30,500 1
UT2 Funding p.l.c. EUR 750,000,000 DE000A0GVS76 1000 825 2
HT1 Funding GmbH EUR 1,000,000,000 DE000A0KAAA7 1000 710 3
Eurohypo Capital Funding Trust I EUR 306,425,000 XS0169058012 1000 690 4
Lower-Tier-2-Anleihe (bearer bond) EUR 502,150,000 DE000CB07899 50000 € 41,000*** 5
Lower-Tier-2-Anleihe (bearer bond) EUR 272,850,000 DE000CB8AUX7 50000 € 42,500*** 5

The only caveat is the point that the inevstors will not get cash but Commerzbank shares.

The Offeror plans to contribute the securities it acquires as a contribution in kind to Commerzbank in exchange for new shares issued from the authorised capital (“genehmigtes Kapital”) of Commerzbank. There will not be a placement of the new shares with investors, as qualified holders of the selected securities will receive the shares directly in exchange for the securities tendered.

To make things more interesting, the amount of shares (and the implicit exchange price for the shares) will be determined in the following way:

The price of these shares will be determined based on the average of the daily volume weighted average price in XETRA during the period starting on February 24 and ending on March 2, 2012.

Th eoffer is limited to the number of new shares created (511 mn shares at 2 EUR would mean around 1 bn EUR), the securites affected have a total volume of 3.1 billion. If more people tender, the acceptance will be on a proportional basis:

In the event that the total volume of securities for which tenders have been submitted to the Offeror exceeds the authorised capital of 511,342,904 shares, the Offeror will accept the tenders on a pro rata basis as set forth in the Exchange Offer Memorandum dated February 23, 2012.

A technical side remark: Commerzbank has announced that the local GAAP result will be a hefty loss of 3.5 bn EUR, however they will use reserves to prevent any writedown on profit participating securites, including HT1.

Summary: The tender offer will boost the price significantly. I am however not sure if I want to sell at that price.

HT1 Update und Überlegungen zur Effizienz von Kapitalmärkten

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Das Timing für das Ausfstocken der HT1 Anleihe war freundlich gesagt bescheiden.

Der Blick auf den Chart zeigt, dass der Kurs wieder auf Talfahrt ist.

Kurzer Blick auf den 5.012% Perpetual der CommerzbanK:

Der Kursverlauf ist ähnlich, heute wurde die Anleihe für 47,5% gehandelt vs. ca. 48% für die HT1 Anleihe.

Beide Anleihen sind auf den ersten Blick relativ ähnlich:

– Ewige Laufzeit, “jubior subordinated”, die beiden Anleihen sind gleichrangig in Bezug auf den Emittenten, Coupon non-cumulative
– Kündigungsrecht der Bank in 2016 für den 5.012%, step up 215 bp, Kündigungsrecht 2017, step up 200 bp für HT1

Einziger “kleiner” Unterschied ist, dass die HT1 in den letzten 3 Jahren durch die Garantie jeweis 5,3% nominal Coupon gezahlt hat, während man bei der 5.012 leer ausgegangen ist.

Jetzt muss man sich natürlich fragen, unter welchen Voraussetzungen die beiden Bonds den gleichen Marktwert haben sollten. Mir fallen da nur 2 Szenarien ein:

a) Die Commerzbank geht pleite, dann sind beide Anleihen wertlos
b) Die Commerzbank macht wieder konstant Gewinne und bedient beide Bonds
c) Die Allianz kann die Garantie nicht bedienen

Jetzt kann man sich überlegen, wie wahrscheinlich die drei Szenarien sind, aber wenn man auf eine Wahrscheinlichkeit von unter 100% kommt, müsste die HT1 Anleihe nach allen Bewertungsregeln DEUTLICH höher notieren.

Wenn man jetzt Anleihen shorten könte, wäre das jetzt wieder ein toller “relative Value” Trade:

Short 5.012%, long HT1. Man hätte einen “Mörder”- Carry mit relativ begrenztem Risiko.

So kann man sich nur wundern, warum jemand für die nicht zahlende 5.012% Anleihe den gleichen Preis bezahlt wie für die zahlende HT1 Anleihe.

Transaktionsupdate HT1 & IVG Wandelanleihe

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Wie letzte Woche angekündigt, wurden im Depot weitere HT1 Stücke erworben.

Insgesamt wurden vom 19.08. bis einschl. 26.08. 1.527 Mio. Nominal gehandelt zu eine VWAP von 59.90%. Davon 25% macht dann gerundet 382.000 EUR Nominal oder 228.818 EUR als Zukauf. Damit ist die Position jetzt insgesamt 780 Tsd Nominal mit einem Einstand von 63,1% und auf Zielgröße von knapp 5% des Portfolios.

Grundsätzlich finde ich die HT1 Anleihe nach wie vor interessant, trotz oder gerade wegen des Kursrückganges. Der Coupon ist ja garantiert und die CoBa hat meines Erachtens “Stärke” im Halbjahresergebnis gezeigt, indem sie die Griechenlandanleihen wirklich auf den Marktwert herab geschrieben haben. Die Aktie muss man vielleicht nicht unbedingt haben, aber als Tier 1 mit Coupon Garantie sieht die Perspektive nicht schlecht aus. Die momentan 9% laufende Rendite (bezogen auf den derzeit reduzierten Coupon von 5.35% und den aktuellen Kurs von 59%) ist auch sehr OK.

Sollte die Anleihe tatsächlich zu 100% in 2017 gecalled werden, dann könnte man schöne 18,8% p.a. realisieren.

Bei IVG gab es erstmal keine Transaktionen, hier war der Halbjahresbericht leider unerwartet schlecht. Damit muss ich die Ursprungsanalyse erstmal updaten ob der Case noch zu halten ist.