Sat, Feb 25, 2017
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. Opalesque Exclusive: Swiss investors take fund seeding and acceleration into their own hands[more]

    Benedicte Gravrand, Opalesque Geneva: Banque Bonhote, a 200-year old Swiss private bank, last year launched a community of investors - heads of Swiss family and advisory offices and wealth managers - with the aim of co-investing in the kind of managers they wanted to invest in, either by way of s

  2. K2 Advisors : Why We Like Activist Hedge Fund Strategies and Some Thoughts on Alpha[more]

    Matthias Knab, Opalesque: Rob Christian, Senior Managing Director, Head of Research K2 Advisors, Franklin Templeton Solutions, writes on Harvest Exchange: When d

  3. Ex-Navy SEAL backed by Mario Gabelli, Jean-Marie Eveillard and other value giants off to strong start[more]

    From Valuewalk.com: Sententia Capital Management is not your average value focused hedge fund. The fund was founded by Michael Zapata, a former Navy Seal Team 6 Officer and has attracted funding from some of the best-known names in the value space. Mario Gabelli, Jean-Marie Eveillard from First Eagl

  4. Europe - 1 trillion euro non-performing loans are clogging EU lending channels[more]

    From Centralbanking.com: As much as 1 trillion euro of non-performing loans (NPLs) are still clogging the lending channel in the European Union. An EU asset management company (AMC) could address market failures in the secondary market for NPLs as part of a suite of measures designed to tackle the b

  5. Investing - Hedge funds' novel approach: investing for longer at lower returns, U.S. hedge fund Delta Partners lifts stake in Bellamy's, Hedge funds stockpile cobalt, electric carmakers on battery alert, Facebook is racking up the likes among the world's biggest hedge funds, Einhorn affirms gold on Trump uncertainty[more]

    Hedge funds' novel approach: investing for longer at lower returns From FNLondon.com: Hedge funds are known for making short-term bets, dipping quickly in and out of markets to take advantage of swings in prices. But, under pressure to innovate, some big-name managers are looking at ways