Portfolio till 31 December 2019
Since October 2010, FMS-WM has reduced the portfolio taken over from the HRE Group with a nominal value of EUR 175.7 billion to EUR 69.3 billion as at the end of 2019.
Portfolio wind-up came to EUR 5.0 billion in fiscal year 2019. Including the assets with a nominal value of EUR 4.0 billion acquired from DEPFA Group companies in fiscal year 2019 and foreign currency effects of EUR 1.3 billion that increase the nominal value of the portfolio, FMS-WM’s remaining portfolio amounted to EUR 69.3 billion as at the end of 2019.
FMS-WM continued its successful strategy of selling DEPFA Group bonds and promissory notes DEPFA liabilities) purchased on the market to DEPFA Group companies in order to acquire assets from DEPFA Group companies in return. Since 2016, assets with nominal volume of EUR 11.7 billion have been acquired from the DEPFA Group by FMS-WM.
The number of counterparties in FMS-WM’s portfolio fell by 8.2% in 2019 to 762. Originally, there were 3,191 counterparties in the portfolio. The number of remaining exposures has dropped by 78% since 1 October 2010 to 1,591.
The individual exposures are located in 42 countries, with significant concentrations in the United Kingdom, Italy and the USA. The share of the portfolio attributable to these three countries is now around 71%. Since the portfolio was taken over, the number of countries in which FMS-WM still holds exposures has been reduced by 24.
Commercial Real Estate
The Commercial Real Estate (CRE) segment, which at the time of the transfer comprised 3,512 individual exposures and thus made up almost half of all acquired positions in the overall portfolio, has been reduced at the fastest pace since FMS-WM was established, helped in part by the positive market environment and the short remaining maturities of the loans.
In the course of these two transactions in the first quarter of 2020, the Commercial Real Estate segment’s remaining nominal value of EUR 1.1 billion as at the end of 2019 was reduced to a nominal value of EUR 0.4 billion, with just eight remaining borrowers with comparatively short remaining maturities.
The Infrastructure segment still makes up around 14% of the remaining portfolio at the end of 2019.
The Public Sector portfolio was to EUR 34.7 billion at yearend 2019.
The borrowers and issuers of securities are state and regional governments, municipalities, public law entities and semi-public companies. Receivables from European Union member states account for the majority of the portfolio, with a large percentage of this comprising exposures with very long remaining maturities.
At the end of 2019, one-third of the overall portfolio was invested in the Structured Products segment.
Among others, this segment includes structured credit instruments such as asset-backed securities (ABS), commercial or residential mortgage-backed securities (CMBS or RMBS) or collateralised debt obligations (CDO). About a third of the structured securities in FMS-WM’s portfolio are based on government-guaranteed student loans in the USA.
DEPFA Bank plc
The wind-up of Irish DEPFA Group is making progress. Helped by the transactions carried out with FMS-WM in 2019, the DEPFA Group’s total assets fell by a further EUR 6.5 billion to EUR 8.9 billion as at the end of 2019 and the Tier 1 capital (CET1) ratio rose to 152,3% as at the end of 2019.
When examining the possibility of acquiring the DEPFA Group, FMS-WM had already identified value levers that would result in a more favourable outlook for the wind-up of the DEPFA Group. These consisted of:
- cutting costs
- systematically leveraging the funding advantages
- buying back the liabilities issued by the DEPFA Group
In winding up the DEPFA Group, FMS-WM was able to use most of the value levers identified at DEPFA, in particular through the successful capital measures.
Given the progress achieved in fiscal year 2019 and irrespective of the further wind-up strategy, FMS-WM continues to assume that winding up the DEPFA Group remains the favourable option compared with the sale that was not carried out in 2014.
Further information on DEPFA Bank plc is available on the website https://www.depfa.com