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Update: iShares EURO STOXX Banks 30-15 UCITS ETF

Der ETF ist eine strategische Wette auf europäische Banken. Sie haben mit der immer strikteren Regulierung und dem Nullzinsumfeld zu kämpfen. Einige der größten Institute hinderte das aber bisher nicht daran, satte Gewinne zu erwirtschaften.

Rolle im Portfolio

The iShares EURO STOXX Banks 30-15 UCITS ETF fund provides exposure to the largest bank stocks in the eurozone.

Given that the index is concentrated at the sector, geographical, and security level, investors can use this fund tactically to place a bullish view on European banks.

Since the 2008 financial crisis, banks have been undergoing a myriad of regulatory changes, mitigating their risks, but also narrowing their profit margins. As banks are adopting a new regulatory framework, their business strategies are also being revised.

The fund’s total expense ratio is 0.51%, which is pricier than its ETF peers.

Fundamentale Analyse

European banks struggled with undercapitalisation and liquidity shortages after the financial crisis of 2008. In an effort to reduce systemic risk, regulators introduced Basel III legislation, a framework intended to strengthen the banking sector’s ability to absorb market shocks. In accordance with Basel III, banks have increased the quality of their capital and imposed liquidity and leverage measures, bolstering their balance sheets and their risk management processes.

Asset quality has improved, but banks in eurozone peripheral countries are still affected by bad debt. At the end of 2015, Italy’s nonperforming loans exceeded 350 billion euros, accounting for over 17% of total outstanding loans. To tackle the situation, the European Central Bank has set up a task force. Moving forward, Italian banks will sell their nonperforming loans to private investors with a government guarantee attached to senior tranches.

Growth in the European banking sector, albeit small, has improved too. Revenue per unit of asset, net interest income, and pretax profits have increased. With larger capital buffers, however, lending activity has dwindled and return on equity thwarted. Adhering to the new regulatory environment, banks have refocused the scope of their respective business models to enhance profitability. Many large banks have cut costs, abolished inefficient operations, and expanded their offerings to include less capital-heavy products.

The ECB’s low-interest-rate policy and quantitative easing programme have depressed bank margins. With rock-bottom rates, banks have relied more heavily on commissions and fees, but looking forward, as eurozone interest rates begin to normalise, banks will be able to charge more on loans and potentially increase profits.

Overall, the performance of the EURO STOXX Banks 30-15 Index over the past few years has been unimpressive. Although up from the mid-2012 lows on the back of the ECB’s monetary policy activism, the index remains substantially off its pre-crisis highs.

Indexkonstruktion

The EURO STOXX Banks 30-15 Index is a free-float market-cap-weighted index. The index is derived from EURO STOXX but only includes constituents from the banking sector, as defined by the ICB classification system. Constituents are screened to include stocks that pass minimum liquidity requirements and are then ranked by size. The index is reviewed and rebalanced quarterly, with buffers around the entrance criteria in order to reduce turnover. During the quarterly rebalance, constituents are capped at 30% for the largest position and 15% for the second-largest. Intraquarter, immediate action is taken when the largest and second-largest constituents exceed 35% and 20%, respectively. The largest country exposures are Spain (28%-33%), France (20%-25%), and Italy (18%-23%). Although the index contains approximately 30 constituents, the top six cover approximately 60% of total portfolio allocation. Banco Santander, BNP Paribas, and ING Groep NV are weighted at 10%-14% each.

Fondskonstruktion

The fund uses full replication to capture the performance of the EURO STOXX Banks 30-15 Net Return EUR Index. The fund owns--to the extent that it’s possible and efficient--all the underlying constituents in the same proportion as its benchmark. IShares engages in securities lending to enhance the fund’s performance, lending up to 100% of the securities in its fund. Parent company and lending agent BlackRock covers the operational cost involved in securities lending for a 37.5% stake in the revenue generated from this activity, while the fund keeps 62.5%. Securities lending exposes the fund to counterparty risk, the possibility that the borrower will not return the securities it borrowed. To manage this risk, BlackRock takes collateral greater than the total loan value. Collateral levels vary between 102.5% and 112%. Acceptable collateral includes equities (up to 40%), government bonds, and in some cases cash. Over the past 12 months--as of 30 Sept 2015--the fund lent out 0.52% of its assets under management (on average) with a maximum on loan of 2.19% of its AUM and generated a securities lending return close to zero. BlackRock also provides indemnification for its iShares ETFs. If a borrower defaults and fails to return borrowed securities, BlackRock will replace them. The indemnification agreement is subject to changes without notice.

Gebühren

This ETF’s total expense ratio is 0.51%, which is at the high end of the range for ETFs offering similar exposure. Other costs potentially carried by the unitholder include bid-ask spreads and brokerage fees when buy and sell orders are placed for ETF shares.

Alternativen

This fund is the only ETF providing exposure to eurozone banks.

Alternatively, investors may look to ETFs tracking the STOXX Europe 600 Banks Index. With over 45 constituents, this index is more broadly diversified geographically. The largest exposure is to the United Kingdom (26%-30%), followed by Spain (12%-16%). France, Switzerland, and Italy all constitute approximately 8%-12% each. The cheapest option on the shelf, in terms of total expense ratio only, is ComStage STOXX Europe 600 Banks NR ETF, charging a TER of 0.25%.

STOXX Europe also offers other benchmarks covering financial sector equities, including STOXX Europe Financial Services. ComStage, Lyxor, and iShares provide ETFs tracking this benchmark, but with a total expense ratio of only 0.25%, ComStage STOXX Europe 600 Financial Services ETF is the cheapest.

Über den Autor

Morningstar ETF Analysts  Alan Rambaldini is an ETF analyst with Morningstar.