Archivo de la Categoría ‘Uncategorized’

1
Jun

Productos estructurados ligados a emisores que han quebrado: Lehman

Escrito el 1 Junio 2010 por Antonio Rivela Rodríguez en Uncategorized

Sólo unas líneas para dar mi opinión personal sobre la elección de emisores para productos estructurados…
Antes que nada citar como ejemplos a los bancos islandeses, Enron, Worldcom, Railtrack o más recientemente Lehman Brothers.

Curiosamente ninguna empresa europea perteneciente al iTraxx ha quebrado mientras pertenecía al índice crediticio iTraxx.

Por cierto el índice iTraxx es al mundo crediticio lo mismo que el Eurostoxx a la bolsa europea. La diferencia: Tiene 125 empresas (bonos) en vez de 50 (acciones).

En ese sentido los europeos deberíamos sentirnos orgullosos. En la realidad, eso indica que muchas empresas europeas (France Telecom, Electricite de France, etc.) serían ayudadas por Papá estado antes de quebrar, pero eso ya es otra historia. Aunque nos lleva a la moraleja siguiente: “La próxima vez que inviertas piénsa en emisores europeos primero”.

Poco a poco según el lector se va adentrando en estas líneas va comprobando que no estoy hablando de derivados ni estructuras….

¿Por qué?

Porque hoy el rey es el crédito, el emisor o mejor dicho el garante de la emisión que estamos comprando.

La próxima vez que compres un bono, en vez de mirar el tipo de estructura, concentra tu atención en el riesgo crediticio mirando la calidad del emisor.

¿Cómo?

Gracias al rating o calificación crediticia. Debe ser como mínimo investment grade. (> BBB-)

Aunque yo recomiendo un mínimo de AA- para estar seguros.

¿Por qué AA-?

Porque aunque el rating A (single A) era comúnmente aceptado como un gran rating en 2007/2008, ya ha habido tres casos “de libro” de migración directa desde el A hasta la quiebra en menos de un mes: Bancos Islandeses, Enron y Lehman Brothers. Estoy hablando de cabeza. Seguro que ha habido muchos más.

En resumen…

La próxima vez que compres un bono estructurado… paga un poquito más y compra AA. Me lo agradecerás.

Antonio Rivela

14
May

Mitos sobre los inversores en energía fotovoltaica

Escrito el 14 Mayo 2010 por Antonio Rivela Rodríguez en Uncategorized

Sólo unos apuntes para el que le interese conocer la realidad de este mercado, después de todas las sandeces que se han venido virtiendo en numerosos blogs y artículos de periódico.

1. Los inversores en energía fotovoltaica son especuladores que se han forrado a costa del erario público.

Falso. Los inversores que han invertido bajo el amparo del real decreto 661 han obtenido rendimientos (antes de apalancamiento financiero) de alrededor del 9%-9,5% antes del impuesto de sociedades, IBI y impuestos sobre los dividendos.

Por tanto la rentabilidad (eficiente fiscalmente) real ha sido alrededor 7% a 25/40 años.

2. Los inversores en energía fotovoltaica no toman riesgos. Es un chollo de inversión.

Falso. Tomaron un riesgo tecnológico, regulatorio, operativo, climatológico y el más importante, de quiebra con el promotor. No parece una bicoca precisamente.

Estos inversores han comprado maquinaria extremadamente cara tomando un riesgo a 25/40 años.

Los equipos estándares para una pequeña huerta de 100kw costaban entre EUR600,000 y EUR900,000 según la tecnología.

3. ¿Cómo compara esa rentabilidad con otras parecidas?

Es moderada. La rentabilidad de estas inversiones se debe analizar como el rendimiento de una sociedad empresarial con todos sus riesgos, no como el de un bono o un depósito financiero.

Un Banco con calificación crediticia AA- como Banesto remunera en el corto plazo al 4%. El bono del tesoro español con calificación AAA remunera por encima del 4% a 10 años.

Si una huerta solar tuviera una calificación crediciticia (rating) sería alrededor del BBB  (grado inversión raspado), el cual está 6 escalones por debajo del AAA de España.

Sería lógico pensar en que las inversiones fotovoltaicas con ese nivel de rating deben tener mucho más del 5% de prima de riesgo por encima de España (AAA) ya que la inversión es una empresa real que no sólo paga IVAs, IBIs, Impuesto Sociedades sino que tiene riesgos operativos como robos del cobre, accidentes atmosféricos, fallos de red como apagones, bajada de rendimiento de las placas, etc.

4. ¿Se ha forrado alguien en este mercado?

Si. Los promotores, los fabricantes de equipos, los bancos y los ayuntamientos (recaudando el IBIs y licencias).

5. ¿Es justo que los ayuntamientos se hayan forrado?

No. Los ayuntamientos se han aprovechado de su poder para introducir de forma arbitraria y oportunista nuevos tributos como el IBI adaptado a huertas solares.

También ha habido casos en los que se les ha ido la mano con las licencias.

6. ¿Es justo que los promotores, los bancos y los fabricantes se hayan forrado?

. En  una economía coherente con el capitalismo moderado, el hecho de que un empresario que ponga su capital y su esfuerzo a riesgo sea remunerado por encima de la “tasa libre de riesgo” parece ser un axioma bastante aceptable.

Tanto promotores como fabricantes e instituciones financieras acertaron con su visión de mercado y deben ser remunerados por ello. Han obtenido márgenes coherentes con sus riesgos industriales o financieros.

7. ¿Qué pasaría si se bajasen las primas de proyectos bajo el amparo del Real Decreto 661 con carácter retroactivo?

1. Ningún inversor internacional ni doméstico volverá a plantearse nunca invertir en infraestructuras con riesgo regulatorio en un país con una protección jurídica “bananera”.

2. Pérdidas de puestos de trabajo en renovables porque el sector como tal desaparecería para irse a otros países.

3. Posible baja del rating de España de uno o dos escalones a AA- o, incluso A+ por la falta de seguridad jurídica-económica del mercado español.

4. Impagos en bancos.

5. Los bancos no se van a prestar a financiar más proyectos con riesgo regulatorio en España. Ni siquiera los bancos locales.

6. Demandas multimillonarias (contencioso administrativo) que durarían 10/20 años y que con un 95% de probabilidad se saldarían en contra del erario público, pero dentro de 20 años.

7. Aumento del coste de la deuda del tesoro español en 0,50%-1%  (por las bajadas de rating y descuento del valor presente de las demandas multimillonarias)

8. ¿Por qué la energía en España es cara?

El gobierno apostó por las energías alternativas hace años, siendo perfectamente consciente de que eran mucho menos rentables que la energía nuclear.

De cualquier forma, si el coste de la energía es caro, hay que transferirlo a la factura eléctrica inmediatamente.

Ese coste no se ha transferido por motivos políticos. Ya que el partido que suba los precios de la factura quedaría estigmatizado.

Poner a la opinión pública en contra de los inversores (los especuladores “maliciosos”) es no solo demagogia y falta a la verdad sino sólo una solución de corto plazo.

Tarde o temprano (nuevo plan de infraestructuras) se les necesitará otra vez para ayudar al estado a desarrollar proyectos que son inviables con los recursos públicos.

9. ¿Es una buena idea que España sea una punta de lanza en alternativas?

Sí. Parece bastante obvio que las nuevas tecnologías, las energías alternativas, la investigación y desarrollo son los que nos diferencian de la españa de “castañuelas” de los últimos años.

Ya se ha acabado hacer crecer el producto interior bruto del país a base de “gambas a la plancha” – sector hotelero – y “ladrillo” – sector inmobiliario-.

Se deberían incentivar las energías alternativas con un plan creible que cree estabilidad jurídica y económica para los próximos treinta años.

No se deben cambiar los Reales Decreto cada dos años como si fueran la última promoción de “Mc Donalds”.

Y lo más importante, no se pueden cambiar a mitad de partido las reglas del juego que se dieron a los inversores.

Además de que no es ético, es muy poco práctico en el medio plazo. Véanse las consecuencias negativas descritas en el punto 7 de este artículo.

Antonio Rivela

Ingeniero Industrial del ICAI


27
Abr

Government Debt reestructuring Lessons: Ahead of Greece worst scenario

Escrito el 27 Abril 2010 por Antonio Rivela Rodríguez en Uncategorized

Many “golden” rules have been broken since 2008.

Rules like “TIER 1 bank issued” will never default… oops!

A bulge bracket american bank like Lehman can not end up bankrupt… oops!

or “AAA rating” never defaults… oops! I did it again!… You know the song?

… and many others.

One scary “golden rule” is the one that denies that Government bonds can default…. We have the same memory spam that Dory´s Nemo gold fish …

The following is a summary of a very interesting UBS credit research piece on a potential Greek debt reestructuring.

What I like about the article is the amazing coverage of past government reestructuring situations where IMF was involved like Pakistan, Moldova, Ukraine, Argentina, Russia, etc.

History can explain the future indeed…

A look at sovereign debt restructuring

The meltdown in bond markets today would appear to clearly point to increased pricing of default risk in
Greece. Given the growing clamour in the markets about the possibility of an IMF-led debt restructuring,
we examine the historical precedents and go on to explain why we do not expect restructuring in the
near term in Greece.
What do we know about past sovereign debt restructurings where the IMF has been involved?
The first point to make is that there is no ‘typical’ restructuring scenario or policy template followed by
the IMF. Recovery rates (as judged by looking at the change in net present value of the restructured
debt) in past sovereign restructurings have varied greatly depending on the circumstances and existing
debt levels of each country, as we explain below.

Secondly, and contrary to the concerns of some investors, it is not within the IMF’s mandate to demand
that debt restructuring takes place.

We can broadly classify previous sovereign debt restructurings into two types:
(i) Pre-emptive: restructurings often took place in a negotiated manner ahead of a more disorderly
default. Recent examples of this include Ukraine (1998-2000), Pakistan (November 1999), Moldova
(June 2002) and Uruguay (May 2003).
(ii) Post-default: restructurings have tended to occur following missed coupon or principal repayments,
sometimes ahead of IMF involvement in the country. Examples include Ecuador (October 1999), Russia
(May 1999, August 2000) and Moldova (April 2004). IMF studies show that these cases have tended to
see a larger reduction in the sovereign’s debt, though on average they have also resulted in larger
subsequent contractions in GDP.
What typically happens during a sovereign debt restructuring?
(i) Extension of maturity and/or limited reduction in coupon payments: This has been the more
common form of restructuring for the “pre-emptive” cases discussed above. Here coupon payments are
temporarily reduced, with the balance being paid at a future date. This often takes place via a debt
exchange, where an existing bond is exchanged for a new bond of longer maturity (examples include
Moldova’s June 2002 exchange offer and Uruguay’s May 2003 debt exchange) .

Debt reduction, as calculated by the net present value of the restructured cash flows, has tended to be
relatively small: 2 to 10% in the case of six case studies looked at by the IMF1 between 2000 and 2005
(using a fixed 10% discount rate to enable direct comparison).
(ii) Principal reduction: This form of restructuring has been more prevalent among the “post-default”
cases discussed above. Considered a more serious and extreme step, this form of restructuring involves
permanent haircuts on bonds. In many such cases, a distinction has been made between domestic and
non-domestic creditors, with the former receiving preferential terms. Typically there has been no
‘template’ for haircut sizes – examples of principal reductions include Ecuador in 2000 (NPV reduction
of 25% in external debt to private creditors, no reduction for domestic holders), Russia in 2000 (NPV
reduction of 44%) and Argentina (NPV reduction of 75% in the global debt exchange of 2005).

Historically this form of reduction has been associated with deeper economic contractions in the
sovereigns concerned, according to the IMF.

It should be pointed out that all of the above types of restructuring are considered credit events for CDS
purposes, as is the formal subordination of existing debt. Typically, an ISDA committee must determine
that a restructuring credit event has taken place in response to an investor request.

What has the IMF’s role usually been?

The policy response has varied broadly in response to the idiosyncratic nature of the states involved and
the orientation of the IMF at the time and as such, there is no typical policy template to refer to. As our
EM colleagues have pointed out, more recent IMF Stand-By Arrangements in EU states such as
Hungary and Latvia have tended to take a softer and more ‘hands off’ approach than earlier
interventions. We note again, however, that the circumstances of those countries were very different to
those of Greece today – fiscal deficits were not as high, and balance of payments support was a key
factor in the IMF response.

The IMF would normally be expected to carry out a debt sustainability analysis as a first step. Next
steps typically include targets for various metrics such the fiscal deficit, external debt position, central
bank reserves etc. As we previously pointed out, it is not within the IMF’s remit to direct a sovereign to
restructure its debt, though in the extreme case of restructuring, the IMF has frequently been involved in
facilitating discussions between debtor nations and their creditors to ensure an orderly restructuring
(often as part of the IMF’s so-called ‘Lending into Arrears’ policy).

What could happen in the case of Greece?

The above discussions presuppose no involvement from the EU side, and here is where we see the
essential difference for the Greek case. The key point to make is that the European policymakers wish
this to be seen as an EU-led initiative, and as such it is unlikely in our view that the IMF will be given
free reign in setting the policy agenda. In any event, the IMF funds for Greece are likely to come
disproportionately from EU countries2 (see Fixed Income Strategy Daily, 25th March 2010) and with
1 “Cross-Country Experience with Restructuring of Sovereign Debt and Restoring Debt Sustainability”, 29th August 2006, International Monetary Fund.
2 Though Eurozone countries ex-Greece constitute around 27% of IMF’s overall total of quotas, loans made in any single IMF intervention are not
necessarily made by members on a pro rata basis. Instead, they are dependent on many factors – among others: political interests (often involving
geographical proximity) of members towards the beneficiary state, when a country became a creditor. In our view, it is likely that Eurozone countries
will contribute a proportionately greater amount to the IMF portion of the loans.

In the case of Greece, the most likely initial scenario is that the EU and IMF will insist that Greece
implements the measures already outlined in the Stability Programme update submitted by the Greek
government to the European Commission in January. Some additional austerity measures are possible.
The €45bn in EU/IMF funds will be disbursed in tranches following review of performance targets, in
keeping with normal IMF practice.

We think that the adoption of the above measures will take place in the first instance and these measures
will be allowed to run their course. As previously outlined, we see some relief rally in Greek spreads
occurring when the first tranche of loans has been disbursed. This should preclude recourse to the more
drastic option of immediate debt restructuring by Greece, which has not been the historical precedent in
the IMF’s involvement in other countries.

In our view, the EU countries will be very anxious to avoid a debt restructuring, not least due to the
European banking system exposure to Greece (see our US credit strategists’ report ‘UBS US Credit
Compass’, 5th February 2010) and fears of contagion to other peripherals. In addition, as we discussed
on Tuesday, the commitment to EMU as a cornerstone of the “ever closer union among the peoples of
Europe” referred to in every European Treaty should not be underestimated, despite recent election
rhetoric in Germany and elsewhere (though it should be noted that the senior coalition partner in
Germany expressed the party view that Greek default must be prevented as such a default would break
up Euro area). These considerations are likely to see sufficient funds being made available to meet
Greece’s near term liquidity needs.

However, as UBS economists have written, debt sustainability remains a major concern and a default in
the medium-term is possible, but certainly not our central case scenario (UBS European Economic
Focus, 8th April 2010). In the hypothetical case that restructuring were to occur, historical precedent
suggests that the “pre-emptive” restructuring model referred to above is the most likely outcome. As we
pointed out, such cases have typically involved extension of maturity and debt exchanges rather than the
more extreme case of principal reduction.

Question of seniority of debt

Investor concerns have also centred on the issue of seniority of EU and IMF loans versus current Greek
bonds. It is worth pointing out that formal subordination of a country’s debt is a credit event. This hasn’t
happened in previous IMF interventions in Hungary, Latvia etc. More typically, as lender of last resort,
the IMF loan is de facto senior as the sovereign will be more inclined to restructure its other debt first,
ahead of not paying back the IMF, though the IMF loan is not de jure senior. On the EU loans, the
Dutch Finance Minister has already stated that the EU loans will not have seniority over existing Greek
debt.
Short term outlook

As it stands, we expect a request for activation of the Greek aid package to follow in the coming days.
Greek government sources were quoted on Reuters today as stating that a bridging loan mechanism was
being discussed, which suggest that the parties in Athens are looking at ways of getting Greece over the
19th May redemption hurdle while the parliamentary approval for Eurozone bilateral loans is underway
in Germany, Slovenia and elsewhere.

Antonio Rivela dixit

26
Abr

Just a few lines to advertise tomorrow´s conference on Investment Banking careers.

This speech will suit IMBAs, MIFs and MIAFs students.

We will explain what books do not clarify: salaries, attitudes, working hours, career development, bonuses, job differences, etc.

I hope you like it. It has been organised by Ajay Mitra and his peers at the Finance Club.

27 April 2010, Tuesday @ Aula Magna 4pm.

I extend my invitation to any other IE alumni.

The Agenda.

– Professor Antonio Rivela, prior Managing Director – Head of European UBS Fixed Income Sales, and currently Finance Professor at IE Business School. An expert who has lead both equity and fixed income desks, Antonio will help us understand the recent trends shaping up in markets and tips for finding the market-facing job that is right for you.

– Sudipto Dasgupta, COO of RBS Iberia. Sudipto will enrich us by sharing his view on trends in Consumer Banking.

– Jose Antonio Larraz, Partner at Capital Allianza Private Equity Investment and earlier a senior Mergers & Acquisitions banker with Lehman Brothers. Jose will cover the outlook in Corporate Finance world.

Best Regards,

The Finance gang

16
Mar

Greece: Light after the tunnel?

Escrito el 16 Marzo 2010 por Antonio Rivela Rodríguez en Uncategorized

As I mentioned many times in prior blogs I was absolutely sure that the European Union was going to help their Greek neighbours.
My feeling is that Eurostoxx equity index will increase by 10%/20% levels towards 3,500 area by the end of 2010.
Another interesting transaction that I would recommend is to structure a credit linked note with a AAA collateral and a credit default swap on Greece. Southern European Financial advisory firms like netvalue financial advisors, superderivatives.com, inverseguros or AFI – analistas financieros internacionales are able to value synthetic structured transactions or derivatives linked to Greece.

See below for Bloomberg article.

March 16 (Bloomberg) — Europe’s blueprint for a financial lifeline to Greece amounts to an unprecedented bet by finance ministers that they can avert a euro crisis by sidestepping the no-bailout rules intended to sustain the 11-year-old currency.

Improvising their way through the euro’s harshest test since its debut in 1999, officials meeting in Brussels late yesterday and today worked out a strategy for emergency loans in case Greece’s plan for 4.8 billion euros ($6.6 billion) in tax increases and wage cuts fails to stave off fiscal disaster.

German bonds, Europe’s benchmark, slipped amid concern that the stopgap solution will leave the euro area’s $12 trillion economy with the same muddled management system that failed to prevent Greece’s slide toward the fiscal abyss.

“What they are working on is the bare minimum,” said Philippe Moreau Defarges, a researcher at the French Institute of International Relations in Paris. “It’s all very ad hoc. The crisis isn’t over. There’s an element of just crossing their fingers, hoping the crisis won’t spread.”

The aid negotiations were led by Luxembourg Prime Minister Jean-Claude Juncker, the only political leader left from the generation that wrote the original euro treaty in 1991.

That document put interest rates in the hands of the Frankfurt-based European Central Bank while leaving each government to pursue its own taxing and spending policies. It barred bailouts of countries that bungle their budgets.

‘Strong Incentives’

Juncker defended the contingency plan as “in line with the treaty and providing strong incentives to return as swiftly as possible to the markets.”

Germany’s Bundesbank, the model for the ECB, emerged as the fiercest defender of the rulebook. The bank’s president, Axel Weber, tipped as a possible candidate for ECB leader, said on March 9 that he opposes the “institutionalization of emergency aid.”

Aid to Greece would probably come through governments pooling funds to extend direct loans, said a European official who asked not to be named. The meeting didn’t resolve the size of future loans, which countries would offer them or how long they would last and cost.

While Dutch Finance Minister Jan Kees de Jager urged charging Greece “an effective premium,” Greek Finance Minister George Papaconstantinou countered that current 10-year rates over 6 percent would be “very hard to live with.”

“It’s a very tricky game for politicians right now,” said Carsten Brzeski, an economist at ING Group in Brussels who used to work at the European Commission. “They have to play for time.”

Debt Redemptions

The crunch may come in April and May, when Greece faces more than 20 billion euros in debt redemptions. The Greek government survived a test this month when it sold 5 billion euros in bonds.

What would trigger the lending also was left open. Loan guarantees wouldn’t be part of the package, Juncker said. Final decisions will be up to EU leaders, though not necessarily at their next scheduled summit on March 25-26, he said.

The struggle over the financing details threatened to derail the package, with Germany, the country behind the euro’s anti-deficit bias, saying it would act only as a last resort.

German Finance Minister Wolfgang Schaeuble, who last week called for the expulsion of uncompetitive, debt-prone nations from the euro, called the aid strategy a set of “technical” preparations.

“We would have to react if insolvency were imminent,” Schaeuble told German lawmakers in Berlin today. “It’s not happening and that’s why there are no political decisions.”

Biggest Stakeholder

German bonds fell on concern that Germany, as the bloc’s largest economy and biggest stakeholder in the ECB, would foot the bill. The 10-year German yield rose 1 basis point to 3.16 percent.

“It’s evident there are faults in system,” said Marco Valli, an economist at UniCredit Group in Milan. “It’s a gradual process. The solution is still far off.”

While Greece’s woes contributed to the euro’s 10 percent drop against the dollar since November, it remains 17 percent overvalued, based on a Bloomberg index of purchasing power parities.

The currency gained as much as 0.4 percent today after slipping 0.7 percent yesterday on concern that a protracted battle over a financial backstop for Greece would expose the flaws in Europe’s handling of the economy. It traded at $1.3721 at 1:45 p.m. Brussels time today.

‘Not in Danger’

“The euro is certainly not in danger,” ECB President Jean-Claude Trichet told Euronews. “But we must not be complacent.”

Greek bonds gave up early gains fueled by the aid pledge. The 10-year yield rose 1 basis point to 6.22 percent. The extra yield on Greek over German bonds stayed at 306 basis points, down from 396 basis points on Jan. 28.

Greek Prime Minister George Papandreou’s bid to cut the deficit to 8.7 percent of gross domestic product in 2010 from 12.7 percent last year hinges on quelling the unrest that led last week to the year’s second general strike.

More than 60 percent of Greeks back the austerity plans, while more than 52 percent doubt they’ll work, according to a Marc poll published this week in To Ethnos newspaper.

To contact the reporters on this story: James G. Neuger in Brussels at jneuger@bloomberg.net; Mark Deen in Brussels at markdeen@bloomberg.net.

Antonio Rivela

10
Mar

Romano Prodi: The Worst of Greece´s financial crisis is over

Escrito el 10 Marzo 2010 por Antonio Rivela Rodríguez en Uncategorized

Another positive note: Romano Prodi thinks that the Greek problem is over: Wishful thinking? I do not know. But As I said in many ocasions I keep on recommending Greek debt as I still believe that the European Union will always be there for Greece.

See Bloomberg article below.

March 10 (Bloomberg) — The worst of Greece’s financial crisis is over and other European nations won’t follow in its path, said former European Commission President Romano Prodi.

“For Greece, the problem is completely over,” said Prodi, who was also Italian prime minister, in an interview in Shanghai today. “I don’t see any other case now in Europe. I don’t think there is any reason to think the euro system will collapse or will suffer greatly because of Greece.”

Greek officials are trying to convince investors they can cut the nation’s budget deficit, which at 12.7 percent of gross domestic product was Europe’s largest in 2009. The government last week announced spending cuts and tax increases totaling 4.8 billion euros ($6.5 billion), the third round of austerity measures this year.

French President Nicolas Sarkozy said on March 7 the 16- nation euro region must support Greece, which has more than 20 billion euros of debt falling due in April and May, or risk destroying the currency. German Chancellor Angela Merkel, who runs Europe’s largest economy, has so far refused to give the green light to any aid package.

Intervention by European nations to date “was enough” and countries such as Spain and Portugal have “plenty of time” to get their finances in order, said Prodi. As Italian prime minister, Prodi in 1997 introduced a “euro tax” that helped cut Italy’s budget deficit to 2.7 percent of GDP and qualify to join the euro. Italy’s shortfall in 1997 was equivalent to 7 percent of the economy.

Investor Stance

Investors don’t yet share Prodi’s optimism about Greece. While the extra yield they demand to hold Greek 10-year debt rather than German equivalents has eased 88 basis points from a record of 396 in January, it’s still more than four times the level of two years ago. The premium on Spanish 10-year bonds is 69 basis points, twice what it was two years ago.

Greek Prime Minister George Papandreou, during a trip to the U.S. yesterday, said President Barack Obama supported the measures that Greece is taking to put its public finances in order.

“We’re not asking for a bailout, we’re not asking for financial help from anyone,” Papandreou told reporters in Washington yesterday. “We are taking measures to put our economy on the right path.”

Wealthy Countries

Prodi, 70, who headed the European Commission from 1999 to 2004, will teach at the China Europe International Business School in Shanghai. He said budget deficits are “a general problem for almost all the wealthy countries.”

The euro has weakened 5.8 percent against the dollar this year as concern Greece will struggle to finance its deficit eroded confidence in the European currency.

The Chinese yuan has rallied 6.2 percent against the euro in that time, reflecting the Asian currency’s peg to the dollar. A stronger yuan erodes the competitiveness of China’s exports to Europe, the No. 1 destination for the shipments.

“Europe is more than happy,” said Prodi. “For the benefit of the European economy, the decrease of the value has been absolutely positive.”

–Judy Chen in Shanghai, with assistance from Linzie Janis and David Tweed in London and Emma Ross-Thomas in Madrid. Editors: Allen Wan, James Regan

To contact Bloomberg News staff for this story: Judy Chen in Shanghai at +86-21-6104-7047 or Xchen45@bloomberg.net;

netvalue financial advisors

8
Mar

I doubt therefore I exist: Derivatives Valuations

Escrito el 8 Marzo 2010 por Antonio Rivela Rodríguez en Uncategorized

I doubt therefore I exist.

Every now and then it is convenient to revisit topics that are considered a given: And having to value at market price all bank assets and liabilities is surely a controversial one.

Several banks have been complaining about mark to market rules.

They claim that by having to reflect the market value on their subprime securities, they became forced sellers, i.e, all market participants knew that they were loaded of toxic mortgage backed securities and just waited like a lion does for a prey in the sabanna.

A lion knows that sooner rather than later, the prey will get tired… by the same token most hedge funds knew banks would have to sell… at the end.

In Spain many financial advisory firms like NETVALUE CONSULTANTS (www.netvalue.es), ANALISTAS FINANCIEROS INTERNACIONALES (www.afi.es) o SUPERDERIVATIVES (www.superderivatives.com) provide with mark to markets to structured products and derivatives investors.

As you can see, Goldman Sachs CEO is keen on mark to market rules.

See Bloomberg link below.


http://www.bloomberg.com/apps/news?pid=20601087&sid=aG3yyG.gDkRM&refer=home

8
Mar

Once again: Greece is not going to default

Escrito el 8 Marzo 2010 por Antonio Rivela Rodríguez en Uncategorized

As I said a couple of months ago, Greece is not going to default.

Greeks will be helped by the European Union in every imaginable way, shape or form.

See below for an excellent article where Bloomberg explains how corporate risk is improving on the back of Greece´s budget positive deficit news.

March 8 (Bloomberg) — The cost to protect against corporate defaults fell to the lowest in seven weeks as optimism builds that Greece’s budget crisis will be contained and Dubai moves closer to restructuring its debt.

The Markit CDX North America Investment-Grade Index, linked to credit-default swaps on 125 companies, fell 2.5 basis points to 83 as of 9:41 a.m. in New York, according to broker Phoenix Partners Group. That’s the lowest since Jan. 14. A benchmark credit swaps index in Europe dropped to its lowest since Jan. 18, and Asia-Pacific credit indexes also fell.

Investors are growing less skittish after Greece sold 5 billion euros ($6.8 billion) of notes last week and passed 4.8 billion euros of spending cuts, reducing the risk of default. Also the European Union is preparing a proposal for a European Monetary Fund, a spokesman for EU Economic and Monetary Affairs Commissioner Olli Rehn said today. Such a fund may ease the disruption caused by a euro member failure.

“The EU and Germany have stepped in and said, ‘We’re going to support Greece,’” said Joel Levington, director of corporate credit for Brookfield Investment Management Inc. in New York, with $24 billion in assets under management. “It seems like that’s being managed prudently.”

Investor perceptions of risk also fell as Dubai World, the state-owned holding company renegotiating about $26 billion of debt, prepares to present a plan to creditors this month where lenders may be repaid in full if they’re willing to wait for their money, said bankers familiar with the talks. The company said in November it planned to postpone repaying loans until May, sparking the biggest plunge in developing-nation stocks.

Dubai Swaps Decline

Credit-default swaps covering Dubai debt for five years fell 28 basis points to 479 basis points, the lowest in more than five weeks, according to London-based CMA DataVision. Contracts on Greece declined 11 basis points to 285, the lowest since Jan. 12.

The extra yield investors demand to own company bonds rather than government debt fell 2 basis points on March 5 to 163 basis points, or 1.63 percentage point, the lowest since Jan. 21, according to Bank of America Merrill Lynch’s Global Broad Market Corporate index. Spreads narrowed 5 basis points for the week, the biggest drop since the period ended Jan. 8. Average yields are 4.06 percent, the data show.

“With credit spreads on a tightening trend over the past few days, this is tactically a good moment for opportunistic bond issuance by well-established corporate names with flexibility to move quickly,” Charles Stephens, a debt capital markets specialist at Matrix Corporate Capital LLP in London, wrote in a note to clients today.

Trading Surge

Improved market sentiment prompted a flurry of bond issues today, with at least seven corporate borrowers including Telefonica SA, Renault SA and Italcementi SpA marketing debt in Europe, according to people familiar with the transactions who declined to be identified because terms aren’t set.

Elsewhere in credit markets, mutual funds that buy high- yield bonds had $479 million of inflows, the second week of increases, research firm EPFR Global said. Investors plowed a record $2.6 billion into global bond funds in the week ended March 3, moving out of money markets to seek higher returns, the Cambridge, Massachusetts-based data company said in a report.

Corporate bond trading in the U.S. surged to a two-month high. An average $21.1 billion of debt securities traded daily on Trace last week, the most since the period ending Jan. 8, according to the Financial Industry Regulatory Authority. The average was $18.5 billion a day during the previous week. Trace is Finra’s bond-price reporting system.

AIG, Tribune

American International Group Inc.’s aircraft-leasing unit is seeking to add a $550 million term loan to bank financing, boosting its first debt sale through capital markets since AIG’s 2008 U.S. bailout to $1.3 billion, according to a person familiar with the negotiations. Bank of America Corp. and Goldman Sachs are arranging the financing for International Lease Finance Corp.

A group of Tribune Co. creditors sued the banks behind the publisher’s 2007 leveraged buyout, claiming the $8 billion in loans they arranged doomed the media company to bankruptcy. The banks knew the buyout “would render Tribune insolvent,” attorneys for bondholders owed $1.2 billion wrote in their complaint. Spokesmen for JPMorgan and Citigroup Inc. declined to comment, while representatives of Bank of America Merrill Lynch and Morgan Stanley didn’t return telephone calls.

Loans Climb

The S&P/LSTA US Leveraged Loan 100 Index climbed 0.7 cent to 89.66 cents on the dollar last week, the highest since Feb. 3. The debt has risen from a record low of 59.2 cents on the dollar on Dec. 17, 2008.

Spreads on speculative-grade bonds narrowed 29 basis points last week to 637 basis points, the tightest since Jan. 22, according to the Bank of America Merrill Lynch U.S. High Yield Master II index. High-yield, high-risk companies are rated lower than Baa3 by Moody’s Investors Service and below BBB- by S&P.

Alfa Bank, Russia’s biggest private lender, plans to sell five-year dollar bonds this week, yielding between 8.25 percent and 8.5 percent, according to a person familiar with the matter. The bank hired JPMorgan Chase & Co. and UBS AG to manage the transaction.

Signs that the U.S. recovery is on track have helped investors look past Greece’s budget struggles. U.S. employers in February cut fewer jobs than economists had forecast, even as East Coast snowstorms forced some to temporarily close, a government report showed. Of the 469 companies in the Standard & Poor’s 500 index that reported earnings since Jan. 11, three- quarters beat analysts’ expectations, Bloomberg data show.

Cash Rich

Companies have started exceeding estimates on revenue, not just profits, “indicating that actual revenue growth as opposed to mere cost-cutting is now helping drive profitability,” Morgan Stanley strategists Rizwan Hussain and Adam Richmond wrote in a March 5 note to clients.

Cash-to-debt ratios are at record highs for investment- grade companies, the Morgan Stanley strategists said. The smallest percentage of non-financial companies in three years, 39 percent, increased leverage in the fourth quarter, they said.

The improving economic and earnings trends may help credit spreads narrow this week, Barclays Capital credit trader Jason Quinn and Citigroup strategist Mikhail Foux said March 5. Foux, in a note to clients, said investors should be cautious as “we do not feel that the sovereign story has fully played out.”

‘Initial Signs’

Investors aren’t likely to enter the market as quickly as they exited, Quinn, the co-head of high-grade and high-yield flow trading at Barclays Capital in New York, said in an interview.

“That’s going to happen slowly,” he said. “When investors pull back from the market, it’s often in response to something they weren’t expecting and tends to happen quickly. Coming back in usually takes a bit of time, but we’re definitely seeing the initial signs.”

Concern that Greece’s budget woes would spread to other countries had pushed credit-default swap indexes, which measure corporate credit risk, to at least three-month highs. They’ve retraced more than half of that increase.

The Markit CDX index, linked to 125 companies in the U.S. and Canada, has fallen 23 basis points since Feb. 8.

In London, the Markit iTraxx Europe index of swaps on 125 companies with investment-grade ratings, fell 3.75 basis points today to 74.25, the lowest since Jan. 18, JPMorgan Chase & Co. prices show. The index has declined 19.75 basis points since reaching 94 on Feb. 8.

Asia Swaps Fall

Default swaps pay the buyer face value if a borrower defaults in exchange for the underlying securities or the cash equivalent. A basis point is 0.01 percentage point and equals $1,000 a year on a contract protecting against default on $10 million of debt for five years.

In Asia, the Markit iTraxx Japan index dropped 6.5 basis points to 121.5 basis points as of 3:45 p.m. in Tokyo, according to Morgan Stanley prices. The Markit iTraxx Asia index of 50 investment-grade borrowers outside Japan decreased 7 basis points to 96 basis points in Hong Kong, Citigroup Inc. prices show. The Markit iTraxx Australia index fell 4 basis points to 84.5 basis points in Sydney, according to Citigroup.

Companies globally issued $45.6 billion of bonds last week, compared with $50.2 billion in the previous period, according to data compiled by Bloomberg. Sales total $493.7 billion for the year, down 34 percent from the $745 billion raised through March 5, 2009. Issuance in Europe dropped 36 percent to 8.9 billion euros, the second-slowest week this year, the data show.

Goldman Sachs Group Inc. led $34.5 billion of investment- grade offerings in the last two weeks, compared with $6.8 billion in the previous period, according to data compiled by Bloomberg.

Goldman Sachs, the most profitable securities firm in Wall Street history, sold $2 billion of dollar-denominated debt due 2020 on March 1 as U.S. banks seek to replace $309 billion of government-guaranteed debt with longer-dated maturities. The New York-based bank last sold 10-year, dollar-denominated notes in May.

Antonio Rivela is a IE Business School Professor.

8
Mar

IE Business School has acquired MATLAB Software for the Computer Lab

Escrito el 8 Marzo 2010 por Antonio Rivela Rodríguez en Uncategorized

Financial professionals worldwide use the interactive programming environment and prebuilt computational libraries of MATLAB® to develop quantitative applications in a fraction of the time it would take them in C++ or Visual Basic.

By standardizing on MathWorks products, teams of quants and their IT colleagues in the financial services industry can work and collaborate in a single environment to:

Chart historical and live market data
Model interest rates
Solve optimization problems
Develop quantitative models to optimize performance and minimize risk
Integrate with data sources and legacy software
Develop and deploy applications to production environments, desktops, servers, and the Web

MIF & MIAF students were using it through the GNU software – OCTAVE in the following courses: FINANCIAL MATH PROGRAMMING, FIXED INCOME, FI DERIVATIVES, HEDGE FUNDS, SECURITIZATION and CREDIT DERIVATIVES.

IMBA students that want to learn this financial tool could take the IMBA elective course: APPLIED FINANCIAL ENGINEERING (They will learn VBA programming as well).

In Spain many financial advisory firms like NETVALUE CONSULTORES (www.netvalue.es), ANALISTAS FINANCIEROS INTERNACIONALES (www.afi.es) o SUPERDERIVATIVES (www.superderivatives.com) use MATLAB in order to value structured products and derivatives.

Best Regards,

Antonio Rivela
Profesor Asociado de Finanzas

8
Mar

IE Business School ha adquirido MATLAB para los laboratorios de ordenadores

Escrito el 8 Marzo 2010 por Antonio Rivela Rodríguez en Uncategorized

Presentado en 1984, MATLAB es el entorno de cálculo técnico y desarrollo de aplicaciones que usan en la actualidad por más de 500.000 ingenieros y científicos de más de 2.000 empresas en todo el mundo. Los profesionales de las finanzas confían en MATLAB para reducir el tiempo de desarrollo, minimizar los costes y riesgos e integrar nuevos modelos.

Reducción del tiempo de desarrollo
MATLAB permite a los profesionales de las finanzas desarrollar algoritmos hasta 90% más rápido que con los métodos tradicionales, como Visual C++, Visual Basic, y Excel. Esto se debe a que MATLAB ofrece funciones tales como la programación basada en matrices, funciones matemáticas avanzadas y un lenguaje flexible y simplificado que le permite concentrarse más en la resolución de problemas que en la programación.

Minimización de costes y riesgos
Con MATLAB, puede minimizar los costes y riesgos de implementación reutilizando sus funciones de C/C++ y Fortran. De este modo puede verificar las funciones probadas con la amplia gama de funciones de MATLAB. Y, lo que es más importante, como las funciones de MATLAB son una fuente visualizable, también puede visualizar el código y las funciones personalizadas.

Integración de modelos nuevos
MATLAB le permite integrar modelos nuevos en sus sistemas en horas en lugar de los días o semanas necesarios para hacerlo con otras aplicaciones matemáticas como S-Plus, Mathematica, and SAS. Esto es posible porque The MathWorks ofrece un conjunto de herramientas específicas que le permtiten convertir automáticamente el código de MATLAB en código C/C++ c. Finalmente, MATLAB permite desarrollar y distribuir nuevos modelos de toma de decisiones más rápidamente, reduciendo de forma significativa el impacto en sus recursos de TI.

Las herramientas de complementos de MATLAB para profesionales de finanzas pueden ayudarle a desarrollar modelos para las siguientes áreas:

Análisis de rendimiento y sensibilidad y precios de bonos
Optimización y análisis de carteras
Asignación de activos
Análisis de series temporales financieras
Anáisis de sensibilidad y precios de opciones
Análisis de flujo de dinero
Gestión de riesgos
Previsiones y simulación
Ajuste de curva de tipo de interés y modelado de estructura de plazos
Simulación de Monte Carlo
Análisis de volatilidad basado en GARCH

En España numerosas consultoras financieras como NETVALUE CONSULTORES (www.netvalue.es), ANALISTAS FINANCIEROS INTERNACIONALES (www.afi.es) o SUPERDERIVATIVES (www.superderivatives.com) utilizan MATLAB para programar modelos de productos estructurados.

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