quantfinanceclub.com

(Fuente:  GREEK PSI 2 Valuation and timeline, Barclays Capital, 24 February 2012)

(Fuente: Greek PSI: Questions & Answers, BNP Paribas, 22 February 2012)

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.“

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.

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(Fuente: Bond Vigilantes)

La modelizaciónde la curva cero cupón local de Argentina presenta desafíos interesantes dado que es un mercado relativamente ilíquido y con bonos de estructura compleja. Este paper adapta la metodología de Nelson y Siegel a las particularidades del mercado argentino de forma de optimizar su performance.

Estimación de la Estructura Temporal de Tasas de Interés en el Caso Argentino

Resumen: Se evalúan dos métodos de estimación de la estructura temporal de tasas de interés para el caso de una curva invertida, con dos jorobas y poca granularidad como es la curva de bonos argentinos indexados a la inflación. Se contrasta un método paramétrico basado en fundamentos económicos, propuesto por Nelson y Siegel en 1987 y extendido por Svensson en 1994, con otro método clásico de interpolación basado en splines naturales.

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