FMS Wertmanagement (FMS-WM) is tasked with unwinding the portfolio transferred to it in a way that maximises its value.
Since the portfolio was transferred from the HRE Group on 1 October 2010, its original nominal value of EUR 175.7 billion has been reduced to EUR 94.7 billion as at the end of 2015. This corresponds to a cumulative reduction of 46.1%. In 2015, it was reduced by EUR 11.6 billion or 10.9% of the volume recorded at the end of 2014 (EUR 106.3 billion), with active sales accounting for a total of EUR 4.3 billion of the reduction in the portfolio. Contractual and extraordinary redemptions amounted to a total of approximately EUR 7.3 billion in 2015.
The individual exposures are located in 58 countries (see chart on page 10/11), meaning that since the portfolio was taken over, the number of countries has been reduced by seven.
Although the portfolio is still highly complex, its complexity has already been reduced significantly through unwinding and suitable restructuring measures. The high proportion of illiquid exposures with extremely long maturities continues to pose a challenge for the portfolio managers. It is not always possible to wind up positions in the short or medium term, as value would not be preserved in doing so.
The progressive unwinding of the portfolio has further exacerbated the problem of the significant concentration risks faced by FMS-WM, above all in its sovereign debt exposures. At 50%, the Public Sector segment continued to account for a large share of the overall portfolio’s nominal volume at the end of 2015. Italian borrowers – mainly government bonds and instruments issued by other public borrowers – now account for around 25% of the total nominal volume, which in Italy is also spread amongst a relatively small number of only 103 counterparties.