2010年2月25日木曜日

GS Cross Currency Swap

GSはギリシャ通貨スワップ取引を公表した。
 コリガン氏は英議会の委員会公聴会に出席し、GSによる通貨スワップ
取引でギリシャは財政赤字を削減することができたと述べた。ただこう
した取引は当時は珍しくなく、何の問題も呈さないと述べた。
 GSは、同社がギリシャのために2001年に行ったクロス・カレンシー・
デリバティブ取引の詳細を公表。当時ギリシャはユーロ導入に必要な
水準まで財政赤字を削減させるよう努力していた。

スワップ取引の期間は9年
取引は当時のEUSTATの利用・適用原則に沿う
ギリシャは、ドルや円建ての債券を頻繁に発行し債務が拡大
ギリシャはGSとクロス通貨スワップを実施し、ポートフォリオ再構築

ギリシャ
2001年 GDP1310億ドル 負債1358.5億ドル
    通貨スワップ取引で無くなった赤字0.14%
2008年 GDP3570億ドル 負債3534.3億ドル

日本
2009年 GDP4749240億円 負債871000億円
    154.5%の赤字

ギリシャは支援は不要と言っているが、ユーロ低下で迷惑を受けている
EU諸国やIMFは、支援を検討中のようだ。
日本は同様の計算をすれば、154%の赤字。
個人資産を換案すれば、100%にならないと言われるが、国の借金をなぜ
個人が支払う必要があるのか疑問。天下りの渡り鳥から徴収するので
あれば、疑問はない。国が赤字なのに、なぜ、賞与、昇給できるの
だろうか。権利とはまったく別のものだろう。

GDP 中国世界3位
BNPパリバ 過去最高の過怠金

---ゴールドマン幹部:ギリシャのスワップ契約は適切、EU指導も仰ぐ---
更新日時: 2010/02/23 11:11 JST
http://www.bloomberg.co.jp/apps/news?pid=90920000&sid=aZ5PJdgtcrB4

 2月22日(ブルームバーグ):米金融機関ゴールドマン・サックス・グループの経営幹部は、ギリシャ政府の債務を23億7000万ユーロ(約2940億円)減らす通貨スワップ取引を取りまとめた際に同社として「不適切なことは一切なかった」と主張した。ゴールドマン幹部がこの問題で公に発言するのはこれが初めてだ。
 同社の米銀行部門、ゴールドマン・サックス銀行のジェラルド・コリガン会長は22日、英下院財政委員会で証言し、「取引によって減少した債務はかなり小さいが、国内総生産(GDP)に対する比率で見た場合、ごくわずかとも言えない規模だ」と述べ、スワップ契約は「当時の規則と手続きを順守していた」と説明した。
 コリガン会長は、ゴールドマンが2000年と01年にスワップ契約をまとめた際、欧州連合(EU)監督当局に指導を仰いだと発言。同社は契約の取りまとめに関与した「唯一の金融機関では決してない」とも付け加えた。EU統計局(ユーロスタット)当局者は先週、最近になって初めてスワップ契約を知ったと述べていた。
 ゴールドマンがウェブサイトに22日掲載した発表文によれば、同社がアレンジした通貨スワップ取引は、ギリシャの公的債務の対GDP比率を105.3%から103.7%に押し下げることに貢献した。
 ユーロ導入国の財政基準を満たすため、ギリシャが財政赤字の実態を隠すのをゴールドマンが手助けしたのではないかとの疑いが浮上し、同社はドイツ与党キリスト教民主・社会同盟(CDU・CSU)など欧州の政界から批判にさらされている。米紙ニューヨーク・タイムズは14日、ゴールドマンがギリシャとのスワップ契約で約3億ドル(約273億円)の支払いを受けたと報じた。


---UPDATE1: ギリシャ公的債務の過去の取引は透明性欠く=米ゴールドマン幹部---
2010年 02月 23日 07:15 JST
http://jp.reuters.com/article/foreignExchNews/idJPnTK037949220100222

 [ロンドン 22日 ロイター] 米ゴールドマン・サックス(GS.N: 株価, 企業情報, レポート)の銀行持ち株会社のコリガン会長は22日、ギリシャやその他の国の公的債務に関する過去の取引は透明性を欠いていたと述べた。
 ゴールドマンの幹部が同社や他の銀行が扱っていた金融商品について公の場で発言するのはこれが初めて。
 コリガン氏は英議会の委員会公聴会に出席し、ゴールドマンによる通貨スワップ取引でギリシャは財政赤字を削減することができたと述べた。ただこうした取引は当時は珍しくなく、何の問題も呈さないと述べた。
 同会長は「1990年代後半から2000年代前半に遡る該当の件について、振り返ってみれば、透明性の基準をより高くすることはできたし、より高くするべきだったのだろう」と述べた。
 ゴールドマンは同日、同社がギリシャのために2001年に行ったクロス・カレンシー・デリバティブ取引の詳細を公表。当時ギリシャはユーロ導入に必要な水準まで財政赤字を削減させるよう努力していた。
 スワップ取引の期間は9年で、ギリシャの財政赤字と負債が国際的に問題になり始めて数カ月してあらためて注目を浴びるようになったものの、市場関係者にの間ではこうした取引の存在について知られており、当時からこうした取引については報告もされていた。 コリガン氏は「こうした取引は、欧州各国が採用する行動規範や各種措置の基準と矛盾せず、比較可能なものだった。不適切なことは一切なかった」とし、他の金融機関も似たような取引を他の国に対して提供していたと述べた。
 コリガン氏はギリシャとの取引は「ギリシャの財政赤字の国内総生産(GDP)比を小さいとは言え、それなりの意味のある規模で引き下げることに貢献した」としている。
 その上で「ゴールドマンはやり玉に上げられた」とし「不正だとは思わないが、腹を立てるのも理解できる」と述べた。
 コリガン氏は、オバマ米政権の経済再生諮問会議議長を務めるボルカー元連邦準備理事会(FRB)議長が会長を務める金融規制当局者や学者などで構成する「グループ・オブ・サーティー」の一員。
 ゴールドマンがウェブサイト上で公表したギリシャとの間で2001年に行ったデリバティブ取引に関する情報によると、同社は欧州連合(EU)の債務報告に関する諸規則にのっとり、通常の為替リスク管理手続きとしてギリシャの外貨建て債務削減を目的に実施したと説明。
 声明で「当該取引が当時のEU統計局(ユーロスタット)の利用・適用原則に沿っていたとギリシャ政府は述べた」とし、ゴールドマンもこれに同意するとした。
 EU規則では、ヘッジのない外貨建て債務について、年末の為替水準を適用してユーロに換算すると定めており、ドルや円建ての債券を頻繁に発行していたギリシャは、ドル・円の上昇に伴い外貨建て債務が拡大したと説明した。
 こうした為替リスクを軽減するため、2000年12月と2001年6月、ギリシャはゴールドマンとクロス通貨スワップを実施し、ポートフォリオ再構築を行った。これらの慣行は欧州諸国で普通に実施されていたと指摘した。
 同取引により、ギリシャの外貨建て債務はユーロ換算で23億6700万ユーロ削減された。対国内総生産(GDP)比では1.6%ポイント減の103.7%となった。
 スワップ・ポートフォリオの価値下落への対応として、ギリシャとゴールドマンは長期金利スワップを実施した。
 為替および金利ヘッジにより、ギリシャは総額で23億ユーロの債務を削減した。


---Greece to Issue New Bond 'Soon'---
FEBRUARY 23, 2010, 2:46 P.M. ET
By COSTAS PARIS
http://online.wsj.com/article/SB10001424052748704188104575083400861653376.html?mod=WSJ_Currencies_RIGHTMoreInMarkets

ATHENS-Greece is aiming to issue a 10-year bond, possibly within the next few days, amid signs that conditions in the Greek government debt market are improving, a person familiar with the situation said Tuesday.

The issue, which will be the second for Greece this year-and the first since European Union leaders declared their political support for Greece's borrowing program-is widely seen as a test of credibility for the country with international investors.

The person said the issue will come "quite soon, as conditions in the Greek bond market are improving substantially."

However, amid general unhappiness by unions over recent government austerity measures, the person said the issue wouldn't come before a 24-hour general strike on Wednesday, called by Greece's two major unions, GSEE and ADEDY.

Fearing that violence could potentially erupt during the course of Wednesday's protests, the person said the government prefers to wait until the strike is over. "There will not be a bond issued on a day where there could be clashes," the person said.

The Greek government has already been in talks with foreign banks about the timing and pricing of an upcoming 10-year bond issue, a second source familiar with the government's thinking said Tuesday.

"There is still no decision on the exact day the bond will be priced. But there was contact yesterday with a couple of banks abroad to check on market conditions," the second person said.

The plans to go ahead with the bond issue comes even as a visiting delegation of EU, European Central Bank and International Monetary Fund officials visit Athens this week to discuss further measures to cut Greece's deficit.

Greece is under intense pressure by the EU and financial markets to bring down its budget gap, which hit an estimated 12.7% of gross domestic product last year, four times above EU limits. The Socialist government has pledged to cut that deficit to 8.7% of GDP this year, and below the EU's 3% cap by 2012. In order to meet those goals, the government has announced a series of spending cuts and tax hikes that it says will produce some E8 billion to E10 billion ($10.88 billion to $13.6 billion) in savings and additional revenues.

But Greece's European partners remain unconvinced. Since the EU issued its rhetorical support for Greece Feb. 12, EU members such as Germany and France, as well as others, have demanded that Greece take further steps to close its budget gap before they would commit to any specific financial support for the country.

So far, Greece says it doesn't need financial support from its EU partners, with government officials saying they are optimistic that the upcoming issue will meet with a strong investor response.

"There is a good feeling that the issue will be covered, so I expect it sooner rather than later," said the second person.


---Treasurys Rally On Weak Consumer Confidence Data, Greece---
FEBRUARY 23, 2010, 11:19 A.M. ET
By Deborah Lynn Blumberg Of DOW JONES NEWSWIRES
http://online.wsj.com/article/BT-CO-20100223-711506.html?mod=WSJ_World_MIDDLEHeadlinesEurope

NEW YORK (Dow Jones)--U.S. government bond prices shot higher Tuesday on the heels of data that showed a plunge in U.S. consumer confidence in February and after a downgrade of Greece's biggest banks.

Together, the two developments fueled worries about the pace of the global economic recovery, sending investors into low-risk U.S. government debt and away from riskier debt, such as equities.

In recent trading, the two-year note was 3/32 higher to yield 0.838%, the 10-year was up by 17/32 to yield 3.733% and the 30-year Treasury was up by 24/32 to yield 4.684%.

Helping Treasurys, Fitch Ratings Tuesday morning lowered its issuer-default rating on the four biggest banks in Greece to one notch closer to junk territory, noting that fiscal tightening from the Greek government will have a key impact on the economy. Within 10 minutes of the announcement, the 10-year spread of Greek bonds over German bunds widened to 342 basis points from 328 basis points. Since then, however, the spread has tightened back a bit. Shortly after the Finch news, data from the Conference Board showed that consumer confidence fell by much more than expected last month; that news sparked fears among investors about the outlook for consumer spending and helped Treasurys gain even more.

The Greek news and European debt markets moving higher--on that news and after comments from Bank of England officials, who said quantitative easing policies may have to be restarted if the economy weakens--"was the harbinger" for Treasurys gains, said Tom Tucci, head of government bond trading at RBC in New York, "and then the confidence number released the rest of the market."

Market participants who had been low on Treasurys after the Federal Reserve last week hiked its discount rate were forced to come back into the government bond market and buy Treasurys as prices rose. Gains came despite a $44 billion two-year Treasury auction later Tuesday.

Tucci said that he believes the two-year auction will go well, despite the day's rally, as concerns remain about the speed of the economic recovery both in the U.S. and abroad.

Data from the Conference Board, a private research group, Tuesday showed that its index of consumer confidence fell to 46.0 this month, from a revised 56.5 in January, first reported as 55.9. The February reading was far below the 54.8 expected by economists surveyed by Dow Jones.

"Any which way you slice it, consumers remain very cautious and quite nervous about the prospects for job growth going forward, which likely will weigh on consumption patterns," said Dan Greenhaus, chief economic strategist at Miller Tabak & Co. in New York.

Meantime, the present situation index, a gauge of consumers' assessment of current economic conditions, fell to 19.4 this month from 25.2 in January, originally reported as 25.0. The February index was the lowest in 27 years. Consumer expectations for economic activity over the next six months also dropped, to 63.8 from a revised 77.3, first reported as 76.5.

Sentiment about the current labor markets took a direct hit in February as well, even as government data for January showed some improvement in the jobless rate. The percentage of respondents who think jobs are "hard to get" rose to 47.7% in February from January's 46.5%.

With the data out of the way, market participants will now gear up for the government's two-year sale. The $44 billion January two-year auction was more than three times oversubscribed, with a 3.13 bid to cover ratio. Direct bidders at that sale took 10.8% of the notes, after a whopping 19.5% in December, and indirect bidders, domestic and foreign institutions, including foreign central banks, took 43.1%. At the last four auctions, direct bidders took an average of 15.3% and indirect bidders took an average 41.7%. The last four sales also saw a 3.21 average bid to cover ratio.

Last month, foreign buyers scooped $14.7 billion of the January two-years, the fourth largest take-up by foreigners on record, according to Wrightson ICAP.

The auction should be supported by month-end index extension buying, traders said. Many hedge funds and mutual funds need to rebalance their portfolios to match changes in indexes with which they are benchmarked. In many cases, that means fund managers need to buy newly minted debt to replace debt matured or moved out of the benchmarks in the so-called duration buying. Duration measures the sensitivity of changes in bond prices to changes in interest rates.

Also, "the stunning plunge in consumer confidence may actually bring in new buyers," said William O'Donnell, head of U.S. government bond strategy at RBS Securities Inc in Stamford Conn. "The auction should go OK even here, and well if we can get to 0.90% or cheaper." In recent trading, the when-issued two-year note was trading at 0.886%.


---ギリシャ:首相「財政支援不要」---
毎日新聞 2010年2月22日 東京夕刊
http://mainichi.jp/select/world/news/20100222dde007030032000c.html

 【ロンドン共同】通貨ユーロの信認にもかかわる深刻な財政危機に陥っているギリシャのパパンドレウ首相は、21日放映の英BBC放送のインタビューで、欧州連合(EU)から財政支援を求める考えはないと確認する一方、国債の金利上昇を抑えるための「政治的支援」が必要だと強調した。
 首相は「(必要な支援は)融資ではなく、われわれが語っていること(財政再建策)が実行され、信用を取り戻すということを示すための政治的支援だ」と述べた。
 ギリシャは昨年来、格付け会社が同国の格付けを引き下げたことで国債金利が急上昇。国内総生産(GDP)比12・7%に達した財政赤字の削減策に悪影響を与えている。首相はそのため「他国と同様の高くない金利で資金調達できるよう」支援を重ねて求めた。

---Goldman Sachs Transactions with Greece---
February 21, 2010
http://www2.goldmansachs.com/our-firm/on-the-issues/viewpoint/viewpoint-articles/greece.html

Greece, like most countries in Europe, uses the international debt markets to meet its financing needs, in addition to borrowing in the domestic market. As a result, many countries have significant amounts of debt denominated in foreign currencies. Greece actively accessed both the Japanese Yen and US Dollar markets, amongst others.

Following Greece’s decision to join the European Monetary Union and adopt the Euro (which, under the criteria set by the European Union, included a debt-to-GDP ratio of less than 60%), reducing the size of foreign denominated liabilities became a priority for Greece, as it did for most European sovereign states.

According to the EU accounting framework, unhedged foreign currency denominated debt was required to be translated into Euro using the year-end exchange rate. The strengthening of the dollar or yen against the Euro in 1999 and 2000, created an unfavorable increase in Greece’s reported Euro debt levels.

Currency Hedges
Accordingly, Greece entered into a series of hedging agreements designed to transform foreign debt into Euro, a common practice undertaken by many European member states with foreign debt outstanding. By the end of 2000, Goldman Sachs had a portfolio of swaps hedging USD and JPY debt issued by Greece.

In December 2000 and in June 2001, Greece entered into new cross currency swaps and restructured its cross currency swap portfolio with Goldman Sachs at a historical implied foreign exchange rate. These transactions reduced Greece’s foreign denominated debt in Euro terms by E2.367bn and, in turn, decreased Greece's debt as a percentage of GDP by just 1.6%, from 105.3% to 103.7%.

The Greek government has stated (and we agree) that these transactions were consistent with the Eurostat principles governing their use and application at the time.

Interest Rate Hedges
The December and June 2001 cross currency swaps generated a reduction in the value of the swap portfolio for Goldman Sachs. To offset this, Greece and Goldman Sachs entered into a long-dated interest rate swap. The new interest rate swap was on the back of a newly issued Greek bond, where Goldman Sachs paid the bond coupon for the life of the trade and received the cash flows based on variable interest rates.

Effect of Currency and Interest Rate Hedges
The transactions reduced the country’s debt by a total of E2.367bn, although they had a minimal effect on the country’s overall fiscal situation. In 2001, Greece's GDP was ~$131bn, and its debt was 103.7% of GDP. By 2008, Greece's GDP was ~$357bn and its debt was more than 99% of that. Greece’s deficit in 2001 was -4.5%; without the swaps, it would have been -4.64%.

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