《阿根廷债务：模拟潜在的“削发”.docx》由会员分享，可在线阅读，更多相关《阿根廷债务：模拟潜在的“削发”.docx（8页珍藏版）》请在taowenge.com淘文阁网|工程机械CAD图纸|机械工程制图|CAD装配图下载|SolidWorks_CaTia_CAD_UG_PROE_设计图分享下载上搜索。
1、BNPRAR1BASThe Mnft Jbr . dmtfng worldFOCUS|EM12 August 2019EM STRATEGYPlease refer to important information at the end of this reportMARKETS360Strategy & EconomicsArgentina debt: Simulating potential haircutKEY MESSAGESWe have decided to simulate a hypothetical scenario involving a restructuring of
2、Argentina5s debt.We assumed no difference between public or private sector debt (on pari-passu clause and RUFO).We considered that around 60% of GDP of Argentinas debt would theoretically be restructured.Results suggest that the most likely haircut varies between 38.6% and 62.7%. The central scenari
3、o is a 40% haircut.Fig. 1: Argentina debt | BNPP estimated haircutDebt restructuring: modelling potential haircutsWe resorted to the work of Edwards (2015, UCLA University; NBER paper n 20964) to simulate a hypothetical scenario involving a restructuring of Argentinas debt; see annex overleaf.We ran
4、 five different models (Fig. 1). Two models for the period 1978-2010 and two for 1988-2010. Coefficients have the expected value in all models and the statistical significance varies between 1% and 10%.We also tested another alternative using four shock scenarios:I. War, civil conflict, coup detat o
5、r coup attempt;a major GDP contraction of at least 8%;II. a major deterioration in its terms of trade, of at least 15%;a severe currency crisis implying a devaluation of, at least, 20%.The sample covers 180 sovereign defaults to analyze what determines the recovery rate after a debt restructuring. T
6、he results suggest that the haircut imposed by Argentina in its 2005 restructuring (75%) was excessively high. The other episodes5 haircuts were consistent with the model.For Argentina, we now assume no difference between public or private sector debt for this exercise (on pari-passu clause and/or R
7、UFO).Finally, we considered that around 60% of GDP of Argentinas debt would theoretically be restructured.Results suggest that the most likely haircut varies between 38.6% and 62.7% (Fig. 1).The central scenario is a 40% haircut (ex-outliers).Our latest publications on ArgentinaArgentina: ReaMy shoc
8、kBNPP FX: Decrease in short USD positioning across EMsArgentina - USD ret demand continues in June Argentina:Take promts on short ARSArgentina: Uphill struggle to restore fiscal solvencyParibas BrasilMARKETS】360 I FOCUS12/08/2019 1EM STRATEGYPublic debt and hair cut modelArgentinas public debt as of
9、 Q2 2019Recession and exchange-rate depreciation led nominal GDP to contract in USD terms, causing the debt to GDP ratio to rise at a faster pace. Argentinas Q2 2019 debt to GDP ratio has reached 85.4%, according to the Finance Ministry (MECON).An alternative methodology suggests that the debt to GD
10、P ratio has increased by 10.3pp to 76% since March (Fig. 2). For this, we used the average exchange rate for each quarter to calculate nominal USD GDP, and annualised it to compare with the current debt stock.Annex: haircut model explanationWe resorted to the work of Edwards (2015, UCLA University;
11、NBER paper n 20964) to simulate a hypothetical scenario involving a restructuring of Argentinas debt; using the following formula:九哪廊崛=跳 +山f而9 +4-限Where aa,际,麻 吼 and m are the modePs coefficients to be estimated.Hair cut is defined as:1- PV of new security/PV old securityFig. 2: Argentina public deb
12、tSources: MECON, Bloomberg, BNP Paribas estimates; as of June 2019The xxu represents a matrix of explanatory variables that capture shocks that hit the country during a time window that precedes the actual exchange. It is called bad states of the world, defined as Bad Exp = ee* where n is the number
13、 of shocks that affected this particular country in the six year windows prior to the restructuring.The yyu are the variables that capture each countrys circumstances at the time of the restructuring negotiations:1. Debt to GDP ratio: This variable is defined as the ratio of debt to the countrys GDP
14、 subject to restructuring, and is measured the year prior to the exchange.2. Dummy variable that takes the value of 1 if the country in question is among the poorest in the world.The qqu are the covariates that summarize the conditions of the global economy around the time of the exchange, including
15、:A binary variable that takes the value of 1 if the US economy was in recession at the time of the specific country restructuring.Global interest rates proxied by the yield on the 10y UST six months prior to the restructuring.A binary variable that takes the value of 1 if the country5s default happe
16、ned after 1990.The zzn are the characteristics of the debt exchange itself that may affect the magnitude of the haircut:A dummy variable that takes the value of 1 if the exchange in question was part of the Brady deal from the early 1990s. Another one that takes the value of 1 if the international d
17、onor community - IMF, World Bank, regional development banks, and/or bilateral aid agencies 一 provided funds to facilitate the exchange.Banco BNP Paribas BrasilMARKETS】l360 I FOCUS12/08/2019 2This document has been written by our Strategist and Economist teams within the BNP Paribas group of compani
18、es (collectively “BNPP)； it does not purport to be an exhaustive analysis, and may be subject to conflicts of interest resulting from their interaction with sales and trading which could affect the objectivity of this report. This document is non-independent research for the purpose of the UK Financ
19、ial Conduct Authority rules. For the purposes of the recast Markets in Financial Instruments Directive (2014/65/EU) (MiFID II). non-independent research constitutes a marketing communication. This document is not investment research for the purposes of MiFID II. It has not been prepared in accordanc
20、e with legal requirements designed to provide the independence of investment research, and is not subject to any prohibition on dealing ahead of the dissemination of investment research.The content in this document/communication may also contain “Research“ as defined under the MiFID II unbundling ru
21、les. If the document/communication contains Research, it is intended for those firms who are either in scope of the MiFID II unbundlina rules and have signed up to one of the BNPP Global Markets Research packages, or firms that are out of scope of the MiFID II unbundling rules and therefore not requ
22、ired to pay for Research under MiFID II. Please note that it is your firms responsibility to ensure that you do not view or use the Research content in this document if your firm has not signed up to one of the BNPP Global Markets Research packages, except where your firm is out of scope of the MiFI
23、D II unbundling rules.STEER is a trade mark of BNPP.MARKETS 360 is a trade mark of BNP ParibasThis document constitutes a marketing communication and has been prepared by BNPP for and is directed at. (a) Professional Clients and Eligible Counterparties as defined by the recast Markets in Financial I
24、nstruments Directive (2014/65/EU) (MiFID II), and (b) where relevant, persons who nave professional experience in matters relating to investments falling within Article 19(5) of the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005, and at other persons to whom it may lawfully
25、 be communicated (together Relevant Persons) under the regulations of any relevant jurisdiction. Any investment or investment activity to which this document relates is available only to and will be engaged in only with Relevant Persons. Any person who is not a Relevant Person should not act or rely
26、 on this document or its content.Securities described herein may not be eligible for sale in all jurisdictions or to certain categories of investors.The information and opinions contained in this document have been obtained from, or are based on, public sources believed to be reliable, but there is
27、no guarantee of the accuracy, completeness or fitness for any particular purpose of such information and such information may not have been independently verified by BNPP or by any person. None of BNPP, any of its subsidiary undertakings or affiliates or its members, directors, officers, agents or e
28、mployees accepts any responsibility or liability whatsoever or makes any representation or warranty, express or implied, as to the accuracy and completeness of the information or any opinions based thereon and contained in this document and it should not be relied upon as such.This document does not
29、 constitute or form any part of any offer to sell or issue and is not a solicitation of any offer to purchase any financial instrument, nor shall it or any part of it nor the fact of its distribution form the basis of, or be relied on, in connection with any contract or investment decision. To the e
30、xtent that any transaction is subsequently entered into between the recipient and BNPP, such transaction will be entered into upon such terms as may be agreed by the parties in the relevant documentation.Information and opinions contained in this document are published for the information of recipie
31、nts, but are not to be relied upon as authoritative or taken in substitution for the exercise of judgment by any recipient, are subject to change without notice and not intended to provide the sole basis of any evaluation of the instruments discussed herein. In providing this document, BNPP does not
32、 offer investment, financial, legal, tax or any other type of advice to, nor has any fiduciary duties towards, recipients. Any reference to past performance is not indicative of future performance, which may be better or worse than prior results. Any hypothetical, past performance simulations are th
33、e result of estimates made by BNPP, as of a given moment, on the basis of parameters, market conditions, and historical data selected by BNPP, and should not be used as guidance, in any way, of future performance. To the fullest extent permitted by law, no BNPP group company accepts any liability wh
34、atsoever (including in negligence) for any direct or consequential loss arising from any use of or reliance on material contained in this document even where advised of the possibility of such losses. All estimates and opinions included in this document are made as of the date of this document. Unle
35、ss otherwise indicated in this document there is no intention to update this document.BNPP may make a market in; or may, as principal or agent, buy or sell securities of any issuer or person mentioned in this document or derivatives thereon. Prices, yields and other similar information included in t
36、his document are included for information purposes however numerous factors will affect market pricing at any particular time, such information may be subject to rapid change and there is no certainty that transactions could be executed at any specified price.BNPP may have a financial interest in an
37、y issuer or person mentioned in this document, including a long or short position in their securities and/or options, futures or other derivative instruments based thereon, or vice versa. BNPP, including its officers and employees may serve or have served as an officer, director or in an advisory ca
38、pacity for any person mentioned in this document. BNPP may, from time to time, solicit, perform or have performed investment banking, underwriting or other services (including acting as adviser, manager, underwriter or lender) within the last 12 months for any person referred to in this document. BN
39、PP may be a party to an agreement with any person relating to the production of this document. BNPP may to the extent permitted by law, have acted upon or used the information contained herein, or tne analysis on which it was based, before the document was published. BNPP may receive or intend to se
40、ek compensation for investment banking services in the next three months from or in relation to any person mentioned in this document. Any person mentioned in this document may have been provided with relevant sections of this document prior to its publication in order to verify its factual accuracy
41、.This document is for information purposes only and there is no assurance that a transaction(s) will be entered into on such indicative terms. Any indicative price(s) contained herein have been prepared in good faith in accordance with BNPPs own internal models and calculation methods and/or are bas
42、ed on or use available price sources where considered relevant. Indicative price(s) based on different models or assumptions may yield different results. Numerous factors may affect the price(s), which may or may not be taken into account. Therefore, these indicative price(s) may vary significantly
43、from indicative price(s) obtained from other sources or market participants. BNPP expressly disclaims any responsibility for the accuracy or completeness of its own internal models or calculation methods, the accuracy or reliability of any price sources used, any errors or omissions in computing or
44、disseminating these indicative price(s), and for any use you make of the pnce(s) provided. The indicative price(s) do not represent (i) the actual terms on which a new transaction could be entered into, (ii) the actual terms on which any existing transactions could be unwound, (iii) the calculation
45、or estimate of an amount that would be payable following an early termination of the transactions or (iv) the price(s) given to the transactions by BNPP in its own books of account for financial reporting, credit or risk management purposes. As an investment bank with a wide range of activities, BNP
46、P may face conflicts of interest, which are resolved under applicable legal provisions and internal guidelines. You should be aware, however, that BNPP may engage in transactions in a manner inconsistent with the views expressed in this document, either for its own account or for the account of its
47、clients.This document may contain certain performance data based on back-testing, i.e. simulations of performance of a strategy, index or assets as if it had actually existed during a defined period of time. To the extent any such performance data is included, the scenarios, simulations, development
48、 expectations and forecasts contained in this document are for illustrative purposes only. All estimates and opinions included in this document constitute the judgment of BNPP and its affiliates as of the date of the document and may be subject to change without notice. This type of information has
49、inherent limitations which recipients must consider carefully. While the information has been prepared in good faith in accordance with BNPPs own internal models and other relevant sources, an analysis based on different models or assumptions may yield different results. Unlike actual performance records, simulated performance returns or scenarios may not necessarily reflect certain market factors such as liquidi