Greek Government Bonds - Rich & Cheap Analysis

Transcription

1 October 30, 2007 Greek Government Bonds - Rich & Cheap Analysis Market Analysis FINANCIAL MARKETS GROUP PLANNING DEPARTMENT Market Analysis t , marketanalysis@alpha.gr RICH/CHEAP ANALYSIS - GREEK GOVERNMENT BONDS BOND SPECIFICATIONS GGBS 30//07 RISK PROFILE SPREAD OVER EUROBENCHMARKS SPREAD OVER EURIBOR * 2 month to date EUR BN 2/11/07 3 month to date * GGB Yield (bid) vs EURIRS/6m Euribor (ask) Y COUPON MATURITY SIZE MDUR DUR CNVX PRICE YTM HIGH LOW MED SPREAD TR HIGH LOW MED SPREAD TR 3 3.0% 4/18/ % I % 6/21/ % II % 1/29/ % III % 4/20/ % IV % 6/20/ % V % 4/20/ % VI % /19/ % VII % /18/ % VIII % 8/20/ % IX % /18/ % X % 8/20/ % XI % /20/ % XII % /20/ % XIII % 1/11/ % XIV % 7/20/ % XV % 7/20/ % XVI % 7/20/ % XVII % /22/ % XVIII % /22/ % XIX % 3/20/ % XX % 9/20/ % XXI % 9/20/ % XXIΙ SIZE:Outstanding amount MDUR:Modified Duration CNVX:Convexity TR: Trade Recommendation

2 YR Euro Benchmarks Spread YR GGB Spread as of YIELD CURVE SHAPE over Euribor as of /30/2007 vs Benchmarks /30/2007 as of /30/2007 GERMANY -39 GERMANY 24 GREECE EUROZONE ITALY -11 ITALY 13 YR-3M BELGIUM -2 BELGIUM 26 YR-2YR 3 21 PORTUGAL -3 PORTUGAL 36 YR-30YR SPAIN -28 SPAIN 30 FRANCE -27 FRANCE 28 GREECE - USA 19 Source: Bloomberg, Reuters, ALPHA BANK Rich/Cheap Analysis GGBS SPREAD OVER EUROBENCHMARKS TRADE RECOMMENDATION GGB yield is compared against European Benchmarks and Euro Interets Rates Swaps I GGB 3.0% 4/18/2008 BUND.2% 1/4/2008 SELL -1.3 to -2 to identify if it trades below (Rich) or above (Cheap) its historic average. II GGB 2.90% 6/21/2008 BUND 4.12% 7/4/2008 STRONG SELL -2.1 to -3.9 Spread is expressed in basis points. III GGB 6.30% 1/29/2009 BUND 3.7% 1/4/2009 BUY +1.3 to +2 Trade Recommendation (TR) is based on z-score, IV GGB 3.0% 4/20/2009 OBL 3.2% 1/4/2009 STRONG BUY +2.1 to +3.9 i.e. the number of standard deviations that the current spread (SPREAD) V GGB 3.40% 6/21/2009 OBL 3.0% /9/2006 is above(+) or below(-) its mean.since it is expected that a time series is mean reverting, VI GGB 3.% 4/20/20 OBL 3.2% 1/4/20 then the z-score is a good measure of relative value. VII GGB 6.00% /19/20 BUND.37% 1/4/20 GREECE: CREDIT PROFILE Modified Duration (MDUR), i.e. the percentage price change of a bond for a given VIII GGB.3% /18/2011 BUND.00% 7/4/2011 S&P A Last change: 17/11/04 change in yield. The higher the modified duration of a bond, the higher its risk. IX GGB 3.90% 8/20/2001 OBL 3.0% 8/4/2011 Outlook: Stable Effective: 24/3/06 Convexity Greek (CNVX) measures Government the rate of change Bonds of duration as yields Rich change. & Cheap Analysis X GGB.2% /18/2012 BUND.00% 7/4/2012 Moodys A1 Last change: 4/11/02 A bond exhibits positive convexity when its price rises more for a downward move XI GGB 4.% 8/20/2012 BUND 4.00% 13/4/2012 Outlook: Positive Effective: 11/1/07 in its yield than its price declines for an equal upward move in its yield. XII GGB 4.60% /20/2013 BUND 3.7% 7/4/2013 Fitch A Last change: 16/12/04 XIII GGB 4.0% /20/2014 BUND 4.2% 1/4/2014 Outlook: Positive Effective: /3/07 XIV GGB 6.0% 1/11/2014 BUND 4.2% 1/4/2014 XV GGB 3.70% 7/20/20 BUND 3.7% 1/14/20 XVI GGB 3.60% 7/20/2016 BUND 3.7% 1/14/2016 XVII GGB 4.30% 7/20/2017 BUND 3.7% 1/14/2017 XVIII GGB 6.0% /22/2019 OAT 8.0% /2/2019 XIX GGB.90% /22/2022 OAT 8.0% /2/2019 XX GGB 4.70% 3/20/2024 OAT 4.2% /2/2023 XXI GGB 4.0% 9/20/2037 BUND 4.00% 1/4/2037 XXIΙ GGB 4.60% 9/20/2040 BUND 4.00% 1/4/ GGB s Rich & Cheap Analysis

3 . GREEK GOVERNMENT BONDS - Asset Swap Margin (2M TO DATE) HIGH LOW CURRENT MEDIAN Asset Swap Spreads (bps) I II III IV V VI VII VIII IX X XI XII XIII GGBs MATURITY XIV XV XVI XVII XVIII XIX XX XXI Ι: 3.0% 4/2008 ΙΙ: 2.90% 6/2008 ΙII: 6.30% 1/2009, IV: 3,0% 4/2009 V: 3.40% 6/2009 VI: 3.% 4/20 VII: 6% /20, VIII:.3% /2011, IX: 3.90% 2011, X:.2% /2012, XI: 4,% 8/2012, XII: 4.60% /2013, XIII: 4.0% /2014, XIV: 6.0% 1/2014, XV: 3.70% 7/20, XVI: 3.60% 2016, XVII: 4.30% 2017, XVIII: 6.0% /2019, XIX:.90% /2022, XX: 4.70% 3/2024 XXI:4.0% 9/2037, XXII: 4.60% 9/2040 GGB s Rich & Cheap Analysis 3

4 GREEK GOVERNMENT BONDS - Asset Swap Spreads vs Modified Duration XXII XXI XX Asset Swaps Spreads (bps) I VII VI IX VIIIX XI XIVXIII XII XV XVIII XVII XVI XIX -4 II IIIVV Modified Duration Ι: 3.0% 4/2008 ΙΙ: 2.90% 6/2008 ΙII: 6.30% 1/2009, IV: 3,0% 4/2009 V: 3.40% 6/2009 VI: 3.% 4/20 VII: 6% /20, VIII:.3% /2011, IX: 3.90% 2011, X:.2% /2012, XI: 4,% 8/2012, XII: 4.60% /2013, XIII: 4.0% /2014, XIV: 6.0% 1/2014, XV: 3.70% 7/20, XVI: 3.60% 2016, XVII: 4.30% 2017, XVIII: 6.0% /2019, XIX:.90% /2022, XX: 4.70% 3/2024 XXI:4.0% 9/2037, XXII: 4.60% 9/ GGB s Rich & Cheap Analysis

5 Market Analysis marketanalysis@alpha.gr Panos Remoundos Maria Koutouzi Kostas Kamarinopoulos Stella Korkontzelou premoundos@alpha.gr mkoutouzi@alpha.gr kkamarinopoulos@alpha.gr skorkontzelou@alpha.gr Hellenic Republic Yield Curve Evolution SPREAD 12/31/2006 /30/ Yiled % Spread (bps) 3. 2YR 3YR YR 7YR YR YR 30YR 0 Disclaimer The information herein is believed to be reliable and has been obtained from sources believed to be reliable, but we make no representation or warranty, express or implied, with respect to the fairness, correctness, accuracy or completeness of such information. In addition we have no obligation to update, modify or amend this communication or to otherwise notify a recipient in the event that any matter stated herein, or any opinion, projection, forecast or estimate set forth herein, changes or subsequently becomes inaccurate. We are not acting and do not purport to act in any way as an advisor or in a fiduciary capacity. We therefore strongly suggest that recipients seek their own independent advice in relation to any investment, financial, legal, tax, accounting or regulatory issues discussed herein. Analyses and opinions contained herein may be based on assumptions that if altered can change the analyses or opinions expressed. Nothing contained herein shall constitute any representation or warranty as to future performance of any financial instrument, credit, currency rate or other market or economic measure. Furthermore, past performance is not necessarily indicative of future results. This communication is provided for information purposes only. It is not an offer to sell, or a solicitation of an offer to buy, any security, nor to enter into any agreement or contract with Alpha bank or any affiliates. In addition, because this communication is a summary only it may not contain all material terms, and therefore this communication in and of itself should not form the basis for any investment decision. Financial instruments that may be discussed herein may not be suitable for all investors, and potential investors must make an independent assessment of the appropriateness of any transaction in light of their own objectives and circumstances, including the possible risks and benefits of entering into such a transaction. By accepting receipt of this communication the recipient will be deemed to represent that they possess, either individually or through their advisers, sufficient investment expertise to understand the risks involved in any purchase or sale of any financial instrument discussed herein.