德银-全球-投资策略-欧洲机构和全球超国家实体速览-2019.9.3-96页_5mb

Summary of Covered Bonds and European Agencies

Core Content

This document provides an overview of the bond issuance and outstanding volumes for major European agencies and global supranational entities as of 3 September 2019. It includes details on support mechanisms, risk weighting, eligibility for liquidity coverage ratio (LCR), Public Sector Purchase Programme (PSPP), and Solvency II treatment. The data also covers the currency distribution, net and gross issuance, and bond redemptions for 2019.

Key Entities and Their Outstanding Bond Volumes

• European Agencies:

  • KfW: EUR 399.3bn
  • CADES: EUR 98.1bn
  • BNG: EUR 93.8bn
  • RENTEN: EUR 71.9bn
  • NRWBK: EUR 65.0bn
  • FMSWER: EUR 58.9bn
  • NEDWBK: EUR 33.59bn
  • RESFER: EUR 40.73bn
  • KBN: EUR 2.45bn
  • DEXGRP: EUR 32.16bn
  • KOMINS: EUR 40.8bn
  • UNEDIC: EUR 34.25bn
  • AGFRNC: EUR 26.16bn
  • KUNTA: EUR 8.58bn
  • ICO: EUR 8.44bn
  • ASFING: EUR 7.85bn
  • CDCEPS: EUR 7.74bn
  • IBBSH: EUR 6.99bn
  • WIBANK: EUR 6.93bn
  • CDEP: EUR 14.99bn
  • FADE: EUR 14.80bn
  • IBB: EUR 13.88bn
  • BYLABO: EUR 9.40bn
  • BAYLAN: EUR 18.12bn
  • CCCI: EUR 5.15bn
  • FINNVVE: EUR 6.25bn
  • ADIFAL: EUR 4.99bn
  • SFILFR: EUR 4.20bn
  • SAGESS: EUR 4.10bn
  • APHP: EUR 1.57bn
  • KOMMUN: EUR 10.56bn
  • NEDFIN: EUR 1.76bn
  • SEK: EUR 1.30bn
  • SABFOE: EUR 1.22bn
  • BUNIMM: EUR 1.48bn
  • cores: EUR 1.00bn
  • CASDEL: EUR 0.63bn
  • TVRFIN: EUR 0.60bn
  • GDCHU: EUR 0.50bn
  • SOCWAL: EUR 0.34bn
  • SEDABI: EUR 0.28bn
  • FRBRTC: EUR 0.24bn
  • DARSDD: EUR 0.16bn
  • SPABSS: EUR 0.14bn
  • FONWAL: EUR 0.04bn
  • UKRAIL: EUR 0.00bn
  • KOMNOR: EUR 0.00bn

• Supranational Entities:

  • EIB: EUR 438.9bn
  • EFSF: EUR 180.7bn
  • IBRD: EUR 179.6bn
  • IADB: EUR 87.6bn
  • ESM: EUR 85.8bn
  • ASIA: EUR 83.3bn
  • EU: EUR 51.4bn
  • IFC: EUR 47.5bn
  • EBRD: EUR 38.6bn
  • AFDB: EUR 28.2bn
  • NIB: EUR 24.8bn
  • COE: EUR 20.6bn
  • CAF: EUR 18.5bn
  • EUROF: EUR 11.0bn
  • EURAT: EUR 0.2bn
  • ECS: EUR 0.0bn

Main Points

• Top Issuers by Outstanding Volume:

  • KfW and CADES are the largest European agencies with outstanding volumes of EUR 399.3bn and EUR 98.1bn respectively.
  • EIB and EFSF are the largest supranational entities with outstanding volumes of EUR 438.9bn and EUR 180.7bn respectively.

• PSPP Eligibility:

  • EIB and EFSF are the largest issuers of EUR denominated bonds issued by PSPP eligible supranational entities with EUR 209bn and EUR 157.2bn respectively.
  • KfW and CADES rank the highest among PSPP eligible agencies with EUR 181.8bn and EUR 66.3bn respectively.

• Market Share by Country:

  • German agencies have the highest market share at 27%, followed by French (17%), Dutch (6%), Spanish (2%), Austrian (2%), and Italian and Finnish agencies (1% each).

• YTD Issuance:

  • YTD net issuance of EUR denominated bonds by PSPP eligible agencies and supras is EUR 23.5bn, down from EUR 26.8bn in 2018.
  • YTD gross issuance is EUR 121bn, with agencies contributing 68% (EUR 82.1bn) and supras contributing 32% (EUR 38.9bn).

• Market Value of iBoxx Bonds:

  • As of 31 August 2019, the market value of iBoxx EUR Agencies is EUR 458.8bn.
  • The market value of iBoxx EUR Supras is EUR 593bn, with EIB as the largest issuer at 39%, followed by EFSF (32%) and ESM (15%).

Key Information

• Support Mechanisms:

  • Most European agencies and supranational entities have explicit or implicit guarantees from national governments or public entities.
  • Some have joint and several guarantees, meaning multiple entities are jointly liable for the debt.

• Risk Weighting:

  • Most agencies and supranational entities have a 0% risk weighting, indicating they are considered low risk.
  • A few have 20% risk weighting, such as BNG, CDEP, and others.

• LCR and PSPP Eligibility:

  • Many entities are eligible for Level 1 LCR status, indicating they are considered highly liquid.
  • PSPP eligibility is common among European agencies and supras, with some entities not eligible due to their structure or support mechanism.

• Solvency II Treatment:

  • Some entities receive privileged treatment under Solvency II, while others do not.

Currency Distribution and Issuance Trends

• EUR Bonds:

  • The majority of bonds are issued in EUR, with KfW and EIB being the top issuers.
  • EIB and EFSF have a significant USD issuance component.

• YTD Issuance by Currency:

  • KfW issued 49% EUR, 29% USD, 12% GBP, and 10% Others.
  • EIB issued 42% EUR, 30% USD, 13% GBP, and 15% Others.
  • IBRD issued 7% EUR, 67% USD, 10% GBP, and 16% Others.
  • IADB issued 0% EUR, 74% USD, 15% GBP, and 10% Others.
  • EFSF issued 100% EUR.
  • BNG issued 36% EUR, 53% USD, 5% GBP, and 6% Others.

• Redemption Trends:

  • Redemption volumes for 2019 are reported for all entities, indicating the level of bond maturity and repayment.

Conclusion

The document outlines the significant role of European agencies and supranational entities in the bond market, emphasizing their support mechanisms, risk profiles, and currency preferences. KfW and EIB are the largest issuers, with substantial EUR and USD issuance. PSPP eligibility is widespread, and Solvency II treatment varies by entity. The data highlights the importance of these entities in providing liquidity and financial stability, especially in the context of European monetary policy.