Archivo de marzo/2010

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

For the sake of clarification, High Yield (HY=Junk Bonds) holds BBB- rating and Investment Grade (IG) enjoys higher or equal than BBB-.

For example GM and Ford are High Yield because they were downgraded in 2005 from BBB to BB.

Why is HY beating IG?: Very Simple. It does not come as a surprise to market participants.

HY trades at libor+5% / libor+10% levels. So going from 10% to 4% is a 6% annualised which in 10 years is 48%/50% !

See below an interesting Bloomblerg article on HY vs IG.

March 12 (Bloomberg) — High-yield, high-risk bonds are beating investment-grade debt for the first time this year as confidence in the U.S. economic recovery gains strength.

Speculative-grade notes returned 1.93 percent this month, bringing year-to-date gains to 3.63 percent, according to Bank of America Merrill Lynch index data. That compares with a 2.32 percent return in 2010 for investment-grade bonds. The junk index is being led higher by companies including Freescale Semiconductor Inc. and Energy Future Holdings Corp., formerly TXU Corp.

Lenders to the neediest borrowers are willing to accept the lowest relative yields since January as confidence in the global economy spurs Morgan Stanley to boost its growth estimate for 2010 to 4.4 percent from 4 percent. Speculative-grade credit rating upgrades by Moody’s Investors Service are poised to outpace downgrades for the second consecutive quarter, the first time that’s happened since 2006, Bloomberg data show.

“It’s a yield grab,” said Jack Iles, an investment manager at MFC Global Investment Management in Boston who helps oversee $4 billion in fixed-income assets.

The extra yield investors demand to own high-yield bonds instead of Treasuries has narrowed for nine straight days to 6.15 percentage points, the longest streak of spread tightening since August, Bank of America Merrill Lynch data show. The spread had widened to 7.03 percentage points on Feb. 12 from 6.39 percentage points in December on concern the fallout from Greece’s budget deficit, Europe’s biggest in terms of gross domestic product, would slow the global economy.

‘Bit of a Stumble’

“Risky assets took a little bit of a stumble from January to mid-February and that was by and large wrapped up with concerns over sovereign debt,” said Christopher Garman, president of Orinda, California-based Garman Research LLC. “Those concerns seem to have more or less faded.”

Emerging-market and high-yield bond funds each took in more than $1 billion in the week ended March 10, EPFR Global said, the biggest amount since the research firm began publishing weekly data on the sectors a decade ago.

Elsewhere in credit markets, Lyondell Chemical Co. said it plans to raise $6.05 billion in bonds, loans and equity to repay debt after it emerges from bankruptcy protection. The chemical maker, based in Houston, is seeking $3.25 billion by selling senior secured bonds and borrowing through a senior term loan, according to a statement yesterday. It also plans to raise $2.8 billion in a rights offering.

Fannie Mae

Fannie Mae sold $6 billion of debt, its biggest offering of benchmark notes since last April, as the company boosts borrowing and cuts holdings to fund about $130 billion of planned purchases of delinquent loans from the mortgage securities it guarantees. The 3-year debt from the government- controlled mortgage company yields 1.803 percent, or 31 basis points more than similar-maturity Treasuries, Washington-based Fannie Mae said in a statement.

CLP Holdings Ltd., Hong Kong’s biggest electricity supplier, plans to sell about $500 million of 10-year bonds today priced to yield about 125 basis points more than similar- maturity U.S. government debt, according to a person familiar with the matter.

U.S. commercial paper outstanding rose $11.2 billion to $1.14 trillion in the week ended March 10, after declining by $20.4 billion in the previous period, the Federal Reserve said on its Web site. Commercial paper, which typically matures in 270 days or less, is used to finance everyday activities such as payroll and rent.

Spread Narrows

The spread on corporate bonds over government debt fell yesterday to 158 basis points, or 1.58 percentage point, the lowest this year, from as much as 174 basis points Jan. 4, the Bank of America Merrill Lynch Global Broad Market Corporate Index shows. Yields averaged 4.044 percent.

Companies took advantage of the drop in spreads to sell more bonds. Corporate borrowers in the U.S. issued $36.4 billion of notes through yesterday, compared with $21 billion in all of last week, according to data compiled by Bloomberg. It was the most since the week ended Jan. 5, when $46.6 billion was sold.

Investment-grade companies in Europe sold 19.2 billion euros ($26.5 billion) of bonds this week, almost double the amount raised the week before, Bloomberg data show.

Bond Risk Falls

The cost to protect against corporate bond defaults in Europe fell today, with the Markit iTraxx Crossover Index of credit-default swaps on 50 mostly high-yield companies dropping 10 basis points to a two-month low of 408, according to JPMorgan Chase & Co. prices.

The European index soared to 506 basis points Feb. 16 at the height of investor concern Greece wouldn’t be able to rein in the region’s largest budget deficit. Credit swaps on Greek government bonds rose 5 basis points to 307, against a record- high 428 reached on Feb. 4, CMA DataVision prices show.

The Markit iTraxx Asia index of 50 investment-grade borrowers outside Japan increased 2 basis points to 93.5, Royal Bank of Scotland Group Plc prices show. In Tokyo, the Markit iTraxx Japan index fell 1.5 basis point to 120.5, on course for its lowest close since Jan. 12, according to CMA and Morgan Stanley prices.

The Markit CDX North America Investment Grade Index, which is linked to 125 companies, climbed 0.5 basis point to 83.5 yesterday, according to broker Phoenix Partners Group. The credit-swaps gauges typically rise as investor confidence deteriorates.

Credit-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.

Credit-Swaps Regulation

Central clearing of derivatives including credit-default swaps will come under scrutiny as part of efforts to safeguard the European Union’s financial system. At a meeting on March 22, EU nations and the European Commission will examine ways to cut the risk in the event that one of the parties to a derivatives contract can’t meet its obligations, according to a document obtained by Bloomberg News.

Clearinghouses for swaps transactions should be open to any firm that wants to process trades in the $300 trillion U.S. market, according to Commodity Futures Trading Commission Chairman Gary Gensler.

“Clearinghouses should not be allowed to discriminate between or amongst the trades coming from one trading venue or another,” the chairman said in prepared remarks at the Futures Industry Association conference in Boca Raton, Florida.

Signs that the U.S. economy is improving are bolstering demand for speculative-grade securities, according to Martin Fridson, chief executive officer of money manager Fridson Investment Advisors.

‘Healthy Appetite’

“There is a healthy appetite for risk,” Fridson said. “There is a fading of concern over Greece and more upbeat economic numbers.”

Morgan Stanley expects “above-consensus global GDP growth,” raising the projection from December, “despite growth downgrades in Europe,” a weaker first quarter in the U.S. and “recent softening” in a China manufacturing index, the firm’s economists said March 10.

The Organization for Economic Cooperation and Development said March 5 its leading indicator, which signals the direction of the economy, reached the highest in almost 31 years in January.

The measure increased by 0.8 point to 103.6 from 102.8 in December, the Paris-based organization said. January’s reading was the highest since May 1979. Gains on the month were led by Japan, the U.S., Canada and Germany, the OECD said.

High-Yield Spreads

High-yield spreads will narrow to 4 percentage points by yearend as defaults plunge, according to Garman. Moody’s predicts the speculative-grade default rate will decline to 2.9 percent by the end of 2010 from 11.6 percent in February. The rate fell from 12.5 percent in January.

The worst-rated bonds are performing the best this month. Securities ranked CCC and lower have gained 2.77 percent while BB rated notes, the highest junk tier, have returned 1.81 percent, Bank of America Merrill Lynch data show. High-yield securities are rated below Baa3 by Moody’s and lower than BBB-by Standard & Poor’s.

Bonds of Freescale, the computer chipmaker bought by firms led by Blackstone Group LP, have climbed 5.36 percent on average and debt of Energy Future, the power producer taken private by KKR & Co. and TPG, has returned 4.27 percent, Bank of America Merrill Lynch data show. Austin, Texas-based Freescale is rated Caa2 by Moody’s and B- by S&P. Dallas-based Energy Future is rated Caa3 and B-, respectively.

New Issues

The bonds are rallying in part because the unthawing of the new issue market has given the riskiest companies the ability to refinance their debt, said MFC Global’s Iles.

“The reopening of the new issue market was huge for these guys,” Iles said. “The ability for companies like TXU to restructure even part of their balance sheet is much better than it was even six months ago.”

Lisa Singleton, a spokeswoman for Energy Future and Freescale spokesman Robert Hatley declined to comment.

Among high-yield borrowers selling debt this week were GMAC Inc., which sold $1.5 billion of 8 percent, 10-year bonds, and McLean, Virginia-based Alion Science & Technology Corp., which issued $310 million of 12 percent payment-in-kind notes that can pay interest in the form of added debt.

Insurance companies were the best performing industry in the Bank of America Merrill Lynch U.S. High Yield Master II Index with gains of 6.63 percent this month. Bonds of American International Group Inc., once the world’s largest insurer, have risen to the highest levels in 18 months after the New York- based company said March 1 it was selling AIA Group Ltd. to Prudential Plc for $35.5 billion.

Financial service company debt, the second-best performing sector, gained 3.64 percent and restaurant company bonds followed with returns of 3.13 percent, index data show.

In Spain many advisory firms like netvalue consultants do analyse HY investments and related derivatives.
To contact the reporters on this story: Pierre Paulden in New York at ppaulden@bloomberg.net; Caroline Salas in New York at csalas1@bloomberg.net

Antonio Rivela

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

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

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.

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

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.