Sun, Dec 21, 2014
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Riskdata estimates the price of the new Greek-Bond portfolio to be Eur211 for each Eur1000 of initial face value

Wednesday, April 25, 2012
Opalesque Industry Update - Investors' and Risk Managers' Perspective: Riskdata estimates the price of the new Greek-Bond portfolio to be 211€ for each 1000€ of initial face value. The New Greek Bond Portfolio Duration is calculated close to 10 years, regardless of the original bond maturities.

Riskdata analyzes what Bond Holders receive after the First Eurozone Default in terms of Greek Write-Down, Portfolio Duration and CDS Credit Event Triggering and concludes the new portfolio duration to be independent of the original portfolio, with valuation equal to roughly one fifth of the original face value.

According to the terms of the Greek PSI agreement for debt restructuring, holders of sovereign Greek bonds will be delivered a portfolio of EFSF "PSI notes" and New Greek Bonds. In the context of the European debt crisis, Riskdata estimates the price of the new portfolio to be 211€ for each 1000€ of initial face value, whatever the particular bond being held, 150€ (71%) of EFSF note, 61€ (29%) of New Greek Bonds, the GDP-linked securities counting for less than 0.2%. The combined Duration of the two EFSF notes is 1.5, while that of the New Greek Bonds is close to 10 years. The first phase of the swap, involving bonds issued under Greek law, was completed on March 12, cancelling more than 94.8 billion Euros in near and mid-term debt. The deadline for Greek Debt securities issued under foreign law has been extended and re-extended to April 20, but the Greek Ministry of Finance has warned that investors who refused voluntary exchange would be forced to accept the same swap terms.

Moreover the International Swaps and Derivatives Association (ISDA), which manages Credit Default Swap (CDS) rules, has declared that a Restructuring Credit Event has occurred with respect to the Greek Private Sector Involvement (PSI).

A CDS auction on Mar 19, 2012 has valued sovereign Greek bonds at 21.5% of their face value for the purpose of CDS settlement.

With the European Crisis in mind, a sufficient proportion of bond holders has accepted the swap provisions that will ultimately become mandatory for all investors.

Moreover, whatever the term structure of previous bonds, they are being uniformly exchanged for a set of securities with clearly pre-defined characteristics. Specifically, 1000€ face value of old sovereign Greek bonds is replaced by a new basket with a combined face value of 465€: 150€ for EFSF notes (equally split between 1-year and 2-years) and 315€ for a set of New Greek Bonds, producing as a whole an amortizing structure from 11 years to 30 years. The GDP-linked securities represent a small coupon enhancement in case the Greek GDP meets certain conditions of level and growth. They have little impact on either price and or risk profile of the combined structure. Altogether, the portfolio of New Greek Bonds has an average duration of slightly under 10-years. In terms of market value as of today, while the EFSF notes are approximately equal to their face value, the portfolio of New Greek Bonds is worth 61€ and the GDP-linked securities amount to a fraction of a Euro (exact price depending on Greek growth assumptions), making the whole structure slightly above 211€.

(press release)

Headquartered in Paris, France with regional offices in New York, London and Moscow, Riskdata services over one hundred top financial and investment institutions worldwide. Riskdata offers a comprehensive suite of solutions for Asset Managers and Institutional Investors, covering all risk-management related needs, including quantitative asset screening, pretrade simulation, portfolio construction, as well as regulatory compliance and reporting. Riskdata products combine global cross-asset-class pre-calculated data, with light and easy-tointegrate software. All Riskdata models fully meet the most challenging regulatory standards. www.riskdata.com

Bg

What do you think?

   Use "anonymous" as my name    |   Alert me via email on new comments   |   
Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing


  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Investing - Big hedge funds win again on PetSmart, Riverbed, RBS sells real estate loans to hedge fund Cerberus, Talisman energy speculation: Which hedge funds could benefit?[more]

    Big hedge funds win again on PetSmart, Riverbed From CNBC.com: Another week, another set of wins for activist investors. On Sunday, pet supply retailer PetSmart agreed to the largest leveraged buyout of the year at $8.7 billion. Hedge fund firm JANA Partners had been pushing for a sale a

  2. Outlook - Hedge fund manager who remembers 1998 rout says prepare for pain, Bond guru Bill Gross predicts U.S. economic growth to dip to 2%[more]

    Hedge fund manager who remembers 1998 rout says prepare for pain From Bloomberg.com: Stephen Jen landed in Hong Kong in early January 1997 as Morgan Stanley’s newly minted exchange-rate strategist for Asia. He was soon working around the clock when investors began targeting the region’s

  3. Investing - Hedge funds get boost from healthcare in 2014, Paulson & Co takes stake in Salix on heels of inventory issues[more]

    Hedge funds get boost from healthcare in 2014 From Valuewalk.com: The healthcare sector started the year on a turbulent note, as stocks of many major biotechnology companies were battered. However, most of the players in this sector have bounced back. The BarclayHedge Healthcare & Biotec

  4. Opalesque Exclusive: U.S. legal receivables fund launched in August[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: Investing in asset-backed receivables is a strategy that has been an integral part of the alternative investment space within the overall fixed income asset c

  5. Comment - High fees and low performance hit hedge funds[more]

    From FT.com: Disenchantment over high fees and lackluster performance may finally be turning the tide against hedge funds, fresh data suggest. Despite generally weak returns since the global financial crisis, hedge funds have enjoyed positive net inflows every year since 2010. This helped assets und