Posted on 13 abril 2012. Tags: Bond, Bonds, CDS, Crisis, debt, Default, deuda, Deuda Soberana, Paper
The Link between Eurozone Sovereign Debt and CDS Prices
Abstract
We perform a theoretical and empirical analysis of the relationship between the price of Eurozone sovereign-linked credit default swaps (CDS) and the same sovereign bond markets during the Eurozone debt crisis of 2009-2011. We first present a simple model which establishes the no-arbitrage relationship between CDS and bond yield spreads. We then test this relationship empirically and explain why the market may deviate from it. Reasons include the different currencies of denomination of market-standard CDS and their reference obligations. We also examine whether CDS spread cause changes in bond spreads, and vice-versa, in a Granger sense. We find evidence for a Granger causal relationship with a one day lag from CDS to bonds for Greece and Spain, the reverse relationship for France and Italy and a feedback relationship for Ireland and Portugal.
Link al Paper
Posted in Gaston Besanson, Paper
Posted on 26 febrero 2012. Tags: Bond, Bonds, Cupón PBI, GDP Warrant, Grecia, PBI, PSI, tabla
(Fuente: GREEK PSI 2 Valuation and timeline, Barclays Capital, 24 February 2012)
Posted in Fixed Income, Gaston Besanson
Posted on 24 febrero 2012. Tags: Bond, Bonds, CDS, Default, EFSF, Fixed Income, GDP Warrant, Grecia, PSI
(Fuente: Greek PSI: Questions & Answers, BNP Paribas, 22 February 2012)
Posted in Fixed Income, Gaston Besanson
Posted on 15 febrero 2012. Tags: Boden, Bonar, Bond, Bonds, Fixed Income
El research team de un Banco escribió:
“Latin America
Argentina: Tactical switch out of Boden 15s into Bonar 17s to capture the high spread differential
Strong inflows and high global liquidity should continue to push spreads lower. This positive global environment has proven a fertile ground for new issuance: since the beginning of the year, the USD sovereign space has had approximately USD20bn of new bonds. The Bonar 17, which is a local law bond and only two years in maturity longer than the Boden 15, trades approximately 126bp wider on spread terms, taking into account the bid-offer spread. The risk-reward in adding to positions in these bonds is, in our view, attractive.“
En los últimos 6 meses el spread promedio entre los dos bonos es de 115 bps. Al nivel actual de 145 bps operan 1 desvío estándar por encima de este nivel, por lo que es de esperar que reviertan a su media. Si tenemos en cuenta el bid – offer, el spread se reduce a 125 bps aprox., por lo que hay sólo 10 bps para ganar. Esto, para un bono de 4 años de modified duration, es un 0,4% de ganancia esperada.
La operación es más bien una apuesta a que se reduzca este spread, no solo por reversión a su media, sino por la abundante liquidez y escasez de bonos en la curva soberana USD. Si, por ejemplo, se redujera a 50 bps, la ganancia sería de 2,4%.
El trade pierde atractivo si se opera en el mercado en pesos. En este caso se agrega la volatilidad del tipo de cambio implícito, que en la última semana aumentó un 3%. Puede salir el trade como estaba planeado, pero el implícito volver a $4,70 del $4,80 actual y se evaporan las ganancias. El trade se vuelve una apuesta sobre el tipo de cambio.
La operación tiene sentido si se opera en USD o, en pesos, si estamos convencidos de la dirección del tipo de cambio. También le sirve el switch a un inversor que ya tiene posición en Boden 15 de mediano plazo, y quiere aumentar su carry.
Posted in Fixed Income, Martin Merlo
Posted on 30 enero 2012. Tags: Bond, Bonds, bonos corporativos, Fixed Income, Paper, price discovery, short interest
Price Discovery in the Corporate Bond Market: The Informational Role of Short Interest
Abstract:
This paper identifies a precursory role of short sellers in conveying adverse information to the corporate bond market. We study this in two ways, by examining subsequent calendar month excess (risk-adjusted) bond returns for portfolios formed on the basis of high short interest in a prior month, and by analyzing abnormal short interest and daily bond returns around earnings announcements. A zero-investment hedge portfolio of bonds based on the most and least extreme high short interest positions generates a statistically significant annualized excess return of 3.84 percent. Our findings are consistent with the view that short interest plays an informational role in setting bond prices. In the context of earnings announcements, this occurs because short traders benefit from useful information prior to a news announcement, possibly from leakage or private access, and perform a more rigorous analysis of the announcement itself, where such analysis is reflected in prices with delay. Taken together, these findings support the theoretical prediction of Diamond and Verrecchia (1987) that higher-levels of short interest convey unpublicized adverse information, thereby contributing to price discovery in securities markets.
Link al Paper
Posted in Gaston Besanson, Paper
