tag:blogger.com,1999:blog-3120478448417742445.post392912744665422349..comments2024-03-24T06:35:14.281+00:00Comments on The Portuguese Economy: 3.25%=5.5% (warning: very nerdy)Editorhttp://www.blogger.com/profile/16779405217168307855noreply@blogger.comBlogger17125tag:blogger.com,1999:blog-3120478448417742445.post-9637189916879328332011-05-17T15:18:02.447+01:002011-05-17T15:18:02.447+01:00@Ricardo
I agree with you on the conceptual simpl...@Ricardo<br /><br />I agree with you on the conceptual simplicity. I said currencies because the bonds are denominated in 4 different currencies (that compose the SDR) so you basically have both interest rate and currency (minor) risks. <br /><br />but my point is that the sense of causality is the other way around. <br /><br />first : the IMF tranche is short term and SDR, but Portugal cannot afford (neither Ireland nor Greece) to ask Goldman to swap it for a certain 7.5 years fixed euro interest rate. We will bear the risks and start to pay 3.25% on that tranche. There are many many other risks that we will not hedge...<br /><br />second the EU cannot justify her premium by saying (they are not, but apparently the numbers add up!) that is what Portugal must pay to swap the IMF loan and make it comparable to their loan. <br /><br />As someone said today, punishment is already embedded in conditionality. No need to add a second source of punishment through high interest rate that reduce the probability of success of the consolidation<br /><br />fFrancesco Francohttps://www.blogger.com/profile/11861110874760435047noreply@blogger.comtag:blogger.com,1999:blog-3120478448417742445.post-28827297939674001602011-05-17T15:02:09.381+01:002011-05-17T15:02:09.381+01:00Francesco,
We corresponded on this by e-mail but...Francesco,<br /> We corresponded on this by e-mail but I thought other readers might find it useful too: the swap or hedge has to be tailored because you are trying to swap an unusual bond (based on a basket not of currencies but of 3-month bonds; floating rate updated weekly; conditionality requirements on tranches of the loan; the IMF's repayment schedule<br />) and this is a big operation for the not-so liquid or deep market for swaps on 7 year bonds. So, while conceptually it is a simple hedge, I believe that you end having to get a price quote from an investment bank.Ricardo Reishttps://www.blogger.com/profile/12948662512502152553noreply@blogger.comtag:blogger.com,1999:blog-3120478448417742445.post-58517526837551304472011-05-17T14:56:35.341+01:002011-05-17T14:56:35.341+01:00Carlos Albuquerque,
Sim, com certeza.Carlos Albuquerque,<br /> Sim, com certeza.Ricardo Reishttps://www.blogger.com/profile/12948662512502152553noreply@blogger.comtag:blogger.com,1999:blog-3120478448417742445.post-86682578677436530582011-05-17T14:55:17.789+01:002011-05-17T14:55:17.789+01:00Joao,
Essa e' uma pergunta dificil. Em teori...Joao,<br /> Essa e' uma pergunta dificil. Em teoria, o que interessa e' que e' uma taxa de juro anual que e' ajustada todas as semanas. Se a "expectations hypothesis of the term structure" for verdade, nao faz diferenca qual e' a maturidade das obrigacoes que estas a usar para extrair essa taxa. Mas, a tal hypothesis e' drasticamente rejeitada nos dados. Logo, sim tem impacto (nos "risk premium" e sobretudo nos "liquidity premium"), mas nao ha uma teoria universalmente aceite que torne facil ver qual e' o efeito em causa.Ricardo Reishttps://www.blogger.com/profile/12948662512502152553noreply@blogger.comtag:blogger.com,1999:blog-3120478448417742445.post-7872226461750432382011-05-16T10:08:33.932+01:002011-05-16T10:08:33.932+01:00it is a difference between EFSF and EFSM. But yes ...it is a difference between EFSF and EFSM. But yes as only 80% of the members are AAA. This is taken into account in the two calculations.<br /><br />but the point Pedro, (I think I was not explicit enough above):<br /><br />- the actual cost of IMF funding is 3.25 because we are not going to buy hedge on an emergency loan of the IMF. That would really be surprising.<br /><br />- the "alleged" spread from the EU (we do not know it yet) corresponds to what you will pay in the financial markets to hedge a 3 months flex rate basket if the 4 major World currencies. How generous...Francesco Francohttps://www.blogger.com/profile/11861110874760435047noreply@blogger.comtag:blogger.com,1999:blog-3120478448417742445.post-74517680942570601092011-05-16T09:53:41.229+01:002011-05-16T09:53:41.229+01:00Maybe this is displaced, but doesn't the EU sc...Maybe this is displaced, but doesn't the EU scheme imply putting aside 20% of any loan, earning 0 interest rate, as a buffer?Pedro Lainshttps://www.blogger.com/profile/01119467002714419229noreply@blogger.comtag:blogger.com,1999:blog-3120478448417742445.post-19344909141571460752011-05-15T21:45:49.659+01:002011-05-15T21:45:49.659+01:00A decisão de fazer o hedge para taxa fixa ou mante...A decisão de fazer o hedge para taxa fixa ou manter em taxa variável não deve levar em conta as correlações que possam existir entre a taxa variável e a capacidade de pagar da economia portuguesa?Carlos Albuquerquehttps://www.blogger.com/profile/11028745714262704411noreply@blogger.comtag:blogger.com,1999:blog-3120478448417742445.post-46336195286602779882011-05-15T18:47:04.942+01:002011-05-15T18:47:04.942+01:00Useful blogging!
I still think that the key ques...Useful blogging! <br /><br />I still think that the key question is what is the "actual" interest rate that Portugal will pay on the next three years. Given the deficit targets and the expected nominal growth, the (expected) actual interest rate decides the fiscal sustainability for Portugal.<br /><br />Are we are going to "actually" swap into a euro fixed rate of 7.5 years, the IMF funding? Is any nation swapping IMF funding (usually distressed nations)? Maybe there is, and that would be interesting.<br /><br />Making comparable the IMF and EU tranches by transforming them into 7.5 years euro debt is absolutely correct. It gives an exact interpretation for the premium that the EU charges on the loan. Hedging a 3 month floating interest rate basket of Euro, Sterling, US dollars and Yen.Francesco Francohttps://www.blogger.com/profile/11861110874760435047noreply@blogger.comtag:blogger.com,1999:blog-3120478448417742445.post-51771747115131368812011-05-15T16:28:17.311+01:002011-05-15T16:28:17.311+01:00Caro Ricardo
o diferencial de taxas de juro das d...Caro Ricardo<br /><br />o diferencial de taxas de juro das duas instituicoes tem a ver com gap entre swap/hedge e taxa variável, mas pensava que também teria a ver com os prazos a que IMF se financia (o seu funding é a 3 meses) vs. prazos a que se financia o novo mecanismo europeu (presumo que seja mais nao?).<br />ou isto nao tem impacto?<br />obrigadoJoãohttps://www.blogger.com/profile/13860929542543535863noreply@blogger.comtag:blogger.com,1999:blog-3120478448417742445.post-26135152238342033312011-05-15T00:40:09.373+01:002011-05-15T00:40:09.373+01:00Presumo que façam swaps de taxa de juro para cobri...Presumo que façam swaps de taxa de juro para cobrir o risco. É muito dinheiro.Joao Pereirahttps://www.blogger.com/profile/03174685137912660405noreply@blogger.comtag:blogger.com,1999:blog-3120478448417742445.post-67423121031530976152011-05-14T16:17:54.101+01:002011-05-14T16:17:54.101+01:00Caro Ricardo, Portugal esta' entregue 'a b...Caro Ricardo, Portugal esta' entregue 'a bicharada, de cima a baixo.<br /><br />Acho que ha' muita gente em PT mesmo com cursos de gestao e economia e nao percebe ponta dum horn dos basicos.<br /><br />agora em yada, yadda, yadda, somos especialistas.<br /><br />e' triste.<br /><br />grouchomarxgrouchomarxhttps://www.blogger.com/profile/09080899278784333369noreply@blogger.comtag:blogger.com,1999:blog-3120478448417742445.post-41654781300225158632011-05-14T16:09:47.956+01:002011-05-14T16:09:47.956+01:00"grouchomarx",
Exactamente, na mouche! ..."grouchomarx", <br />Exactamente, na mouche! O custo do hedge sao os tais 2,25%. Se Portugal tentar comprar o hedge para a parte do emprestimo que vem do FMI, descobre que a taxa total fica por 5,5%. Ou seja, quem acha que a taxa do FMI e' baixa/boa, gosta do risco, e tem espirito de especulador :-)<br />Na critica tem toda a razao: nao esta' bem explicado. Mas precisava de muitas paginas e muito tempo para explicar, nao so' o que aponta, mas tambem o que e' uma swap, um hedge, a term structure, etc. O texto foi o melhor que consegui.Ricardo Reishttps://www.blogger.com/profile/15575774999142268939noreply@blogger.comtag:blogger.com,1999:blog-3120478448417742445.post-74998269002803182332011-05-14T15:56:15.684+01:002011-05-14T15:56:15.684+01:00ja agora, uma pequena critica construtiva. o post ...ja agora, uma pequena critica construtiva. o post parece-me ir no bom caminho mas nao me parece que esteja assim taaaaaoooo bem explicado.<br /><br />se for possivel (obviamente) seria interessante ter para cada uma das tranches fmi e UE o seguinte:<br /><br />- montante<br />- prazo<br />- indexante (e resp. valor 'a data de hoje)<br />- spread (e estimat. de como foi atribuido)<br /><br />obgd<br /><br />grouchomarxgrouchomarxhttps://www.blogger.com/profile/09080899278784333369noreply@blogger.comtag:blogger.com,1999:blog-3120478448417742445.post-69688535067610665532011-05-14T15:37:49.544+01:002011-05-14T15:37:49.544+01:00Luis,
Podias estar a ler mal, mas estavas a pensa...Luis,<br /> Podias estar a ler mal, mas estavas a pensar bem. Porque e' que a UE deve cobrar o mesmo premio de risco que o FMI? O problema 'e a diferente e, sobretudo, a stake da UE e' bem diferente.Ricardo Reishttps://www.blogger.com/profile/12948662512502152553noreply@blogger.comtag:blogger.com,1999:blog-3120478448417742445.post-89823418950099848992011-05-14T09:58:07.748+01:002011-05-14T09:58:07.748+01:00Ricardo, esquece o meu comentário anterior, estava...Ricardo, esquece o meu comentário anterior, estava a ler mal. Forte abraço.Luís Aguiar-Conrariahttps://www.blogger.com/profile/03063826896953409478noreply@blogger.comtag:blogger.com,1999:blog-3120478448417742445.post-20137659978020471772011-05-14T09:55:52.485+01:002011-05-14T09:55:52.485+01:00Ricardo, no link que indicaste aparece escrito &qu...Ricardo, no link que indicaste aparece escrito "Tanto num caso, como noutro, a Europa aplicará sobre os respectivos custos de financiamento um "spread" de cerca 200 pontos base".<br />Ou seja, há um spread sobre os custos de financiamento da parte europeia que não existe no caso do FMI, ou estou a ler mal?Luís Aguiar-Conrariahttps://www.blogger.com/profile/03063826896953409478noreply@blogger.comtag:blogger.com,1999:blog-3120478448417742445.post-24894131009645074422011-05-14T08:18:30.808+01:002011-05-14T08:18:30.808+01:00Thanks Ricardo.
Actually, at this stage, we need &...Thanks Ricardo.<br />Actually, at this stage, we need "nerdy" information - economically sound, technically correct information. <br /><br />Knowing that difference in rates does not result from different risk assessments is an important point that you clarified!Pedro Pita Barroshttps://www.blogger.com/profile/06815442258471690758noreply@blogger.com