Approximately 36% of the Structured Products portfolio segment has been unwound since the portfolio was taken over, trimming it from EUR 43.9 billion originally to EUR 28.1 billion at the end of 2015. In 2015, it was reduced by EUR 1.1 billion or 3.8% compared with the prior year-end. In total, it still comprises 540 exposures to 319 borrowers. These structured products cover the spectrum of structured credit instruments and include asset-backed securities (ABS), commercial or residential mortgage-backed securities (CMBS or RMBS) and collateralised debt obligations (CDO).
About a third of the structured securities in FMS-WM’s portfolio are based on student loans in the USA. In 2015, new legal regulations resulted in some radical changes to these government-guaranteed loans. For example, debtors – former students who used such loans to fund their studies – were granted extended and income-based repayment options. In practice, this means that the loans will be repaid more slowly and therefore over a longer period. Rating agencies subsequently issued negative ratings outlooks for the securitisations backed by the loans, as the original due date may be missed as a result.
The financial effects for FMS-WM are limited, as only the repayment dates of the structured securities are pushed back; the recoverability of the government guaranteed receivables remains unaffected, however.