BNP Paribas - Greek PSI The Morning After by riteshbhansali


									           Interest Rate Strategy                                                                                                                          15 March 2012

           Greek PSI: The Morning After
         Detailed PSI results analysis                                                              Table 1: PSI Results Breakdown
                                                                                                                     Total    Tendered for
                                                                                                                                                              Reject &
         Funding needs and sources going forward                                            Category
                                                                                                                  Outstanding Exchange &
                                                                                                                    Amount      Vote in
                                                                                                                                                       %       Vote           %     Quorum
                                                                                                                                                                                               YES /
                                                                                                                   (EUR bn)     Favour
         Debt composition before and after PSI                                        GGB Greek Law                  177.252        152.043          85.8%     9.308        5.3% 91.0%         94.2%

                                                                                     GGB Foreign Law                 18.644          12.680          68.0%     0.588        3.2% 71.2%         95.6%

                                                                                              SOE                     9.672           6.832          70.6%     0.463        4.8% 75.4%         93.7%
                                                                                               SOE Greek Law              6.701             6.366    95.0%         0.000     0.0%     95.0%        100.0%
The PSI results in detail
                                                                                              SOE Foreign Law             2.970             0.466    15.7%         0.463 15.6%        31.3%        50.2%
In our recent publication, entitled Greek PSI: The
                                                                                              Total                  205.568        171.556          83.5% 10.359 5.0% 88.5%                   94.3%
Results, on 9 March 2012, we had a first look at the
results of the PSI and the conditions for participation                           Source: European Commission, March 2012
that had been met. Since then, there has been some
additional information, from which we have an even                                                                Chart 1: PSI Results
more detailed breakdown of the PSI results. The                                           These EUR 25bn have been CAC'ed in via                                               Holdouts
                                                                                          the Aggregate CACs in Greek Law Bonds
most informative publication is the European                                        200
                                                                                                                                                                               Participating Amount

Commission’s report on Greece, dated March 2012,                                    180
in which Box 4 on pages 48-49 deals with private-                                   160
sector involvement in the Greek bailout.                                            120
Table 1 summarises the PSI results breakdown.                                       80                   152.0

There are a few interesting points we can make                                      60                                      Part of these EUR 8.5bn will be CAC'ed in via
                                                                                                                               CACs on each bond series separately
based on the numbers in this table:                                                 20                                                         8.5                                  0.3
                                                                                                                                              13.1                                  6.4
   i.      Of the total EUR 177bn of government bonds                                               Greek Law GGBs                 Foreign Law Greek Bonds                  Greek Law Guaranteed

           subject to Greek law, 91% of the total
                                                                                  Source: BNP Paribas
           outstanding voted either for or against (the
           quorum condition of 50% was met), and of
           this quorum, a 94% majority voted in favour                               iii.          When it comes to the total EUR 9.7bn of
           of the proposed amendments (meeting the                                                 state-owned enterprise (SOE) and Greek-
           condition of a two-thirds majority). This led to                                        guaranteed debt outstanding, we need to
           the activation of collective-action clauses                                             distinguish between Greek-law SOE bonds
           (CACs). As a result, the whole outstanding                                              and foreign-law SOE bonds, as the results
           amount of EUR 177bn has already been                                                    vary. So, of the EUR 6.7bn of Greek-law
           exchanged for the new bonds and all the old                                             SOE bonds, 95% of the outstanding amount
           government bonds have been cancelled.                                                   was tendered for exchange (no consent
                                                                                                   solicitation for these bonds). Of the remaining
   ii.     Of the total EUR 18.6bn of foreign-law Greek                                            EUR 3bn of foreign-law SOE bonds, only
           government bonds, 71.2% of the total                                                    31.3% voted for or against, and of this
           outstanding voted either for or against, and of                                         quorum, only 50.2% voted in favour of the
           this quorum, a 95.6% majority voted in favour                                           proposed amendments. Actually, only EUR
           of the proposed amendments. However, these                                              0.47bn of the EUR 3bn outstanding tendered
           bonds do not have aggregate CACs, and what                                              for exchange or voted in favour. This means
           really matters is the quorum and the votes in                                           that a minimum of EUR 2.5bn from this
           favour of each individual bond series. What is                                          category will likely end up being holdouts,
           a bit counterintuitive is that if more people vote                                      unless they change their mind by the
           against the proposed amendments by 23                                                   extended deadline of 23 March.
           March (the extended deadline for foreign-law
           bonds), CACs are more likely to be activated,                          We have noted the fact that the bonds’ categorisation
           as the required quorum is more likely to have                          in the results announcement differs from that in the
           been met. The CACs thresholds for these                                invitation process. For example, in the invitation
           bonds vary from 66% to 75% in most of these                            process, there was a category called “exchange-
           bond series. Bonds with large outstanding                              designated securities”, for which there was no
           amounts are less likely to see blocking states.                        consent solicitation, only an invitation to tender. In
                                                                                  this category, you could find the Greek-law SOE

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bonds (EUR 6.7bn) plus another EUR 1.2bn of                        Chart 2: Debt Redemption Profile After PSI
government and guaranteed bonds (six), which are                                   (EUR bn)
subject to Japanese and Italian law. In the results
announcement, though, this EUR 1.2bn forms part of
the EUR 18.6bn of foreign-law bonds, even though                  25
the invitation to these investors differs significantly
from the ordinary invitation to UK-law government
and guaranteed bonds. For example, there is no                    15

planned bondholders’ meeting for those EUR 1.2bn                  10
of bonds. This has created some confusion in
interpreting the results and assessing the potential               5

holdouts.                                                          0
                                                                          2012     2013        2014    2015       2016       2017    2018    2019       2020

Overall, we know already that participation has hit                    Bonds & Loans After PSI                IMF SBA (20.1bn)          IMF New (*28bn)
95.7%, and it can only increase after the settlement
of the remaining bonds on 11 April. This additional             Source: BNP Paribas
participation is more likely to come via the activation
                                                                Chart 3: Quarterly Redemption Profile (EUR bn)
of CACs on some of the foreign-law bonds, as
presented in Table 1 (excluding the EUR 1.2bn of                  14
“exchange-designated” securities) rather than the                 12
SOE foreign-law bonds, for which the initial quorum
was extremely low, at 31.3%.                                      10

In the meantime, Greece has resorted to indirect
threats, saying that “our invitations to offer to
exchange and submit consents with respect to                       4
foreign-law governed and guaranteed bonds will                     2
remain open until 23 March 2012, after which there
will be no further opportunity for creditors holding                      Q1      Q2     Q3      Q4     Q1      Q2     Q3      Q4     Q1     Q2      Q3       Q4
those instruments to benefit from the package of                         2012    2012   2012    2012   2013    2013   2013    2013   2014   2014    2014     2014

EFSF notes, co-financing and GDP-linked securities                        Bonds & Loans                         IMF Repayment                      T-Bills
that form an important and integral part of our                 Source: BNP Paribas

Achieving 100% participation is very improbable, so                i.           ECB and national central bank bond
Greece will soon have to answer the tough question                              holdings: The total outstanding amount of
of what is it planning to do with the holdouts. Its                             these bonds is EUR 56.7bn and EUR 52.9bn
options vary: (i) do nothing and treat them as ordinary                         will mature by 2020. As a part of the so-
bonds that will have to be repaid at par on maturity,                           called OSI (official sector involvement), these
(ii) make a subsequent better or worse offer, or (iii)                          institutions will return to Greece any realised
default on these particular obligations. Each of these                          profits on their Greek bonds. The first
three options has pros and cons that Greece and its                             redemptions are due on March 20th, for a
official creditors will have to weigh up carefully before                       total size of EUR 4.7bn. This means that
marking a decision. On the one hand, Greece has to                              Greece has to receive the 1st tranche of the
decide if it is really worth triggering a failure-to-pay                        new programme by that date in order to be
event for such a low amount (the figure could be                                able to repay the ECB and NCBs.
anywhere between zero and EUR 8.5bn, most likely
EUR 2-5bn, or 1-2% of the PSI pool). On the other, it             ii.           Loans: The Greek debt bulletin as of
has to consider the element of fair treatment and the                           December 2011 shows around EUR 20bn of
negative headlines were some investors get paid at                              loans. The breakdown is: (1) Bank of Greece
par, while the vast majority had to incur a NPV loss of                         loans of EUR 5.7bn, (2) other domestic loans
more than 75%.                                                                  of EUR 0.8bn, (3) special-purpose and
                                                                                bilateral loans of EUR 7.3bn and (4) other
Debt profile post-PSI through 2020                                              external loans of EUR 6.2bn. There is no
One of the main benefits of the PSI, in addition to the                         information available on the maturity profile
decrease in annual debt-servicing costs, is the                                 of these loans. What we can do, though, is to
improvement in the debt-redemption profile. We                                  extract from the European Commission
analyse this profile through 2020. The main                                     report on Greece the table that refers to
constituents of Greece’s redemption obligations are:                            maturing bonds and loans after the PSI and

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         subtract the amount of the ECB and NCB                  Chart 4: Funding Needs and Sources (EUR bn)
         bonds, for which we have information on an
                                                                300          Cumulative Funding Needs                                                   33            35
         annual basis. The difference between the two                        Cumulative Funding Sources
         figures is EUR 21bn, so we can assume that             250          Cumulative Funding Gap (RHS)                                   26                        30

         all the aforementioned loans expire by 2020.                                                                                                                 25
         This analysis assumes no holdouts from the             200                                                           19
         PSI. Overall, the total amount of post-PSI                                                                  16
                                                                150                                                                                                   15
         bonds and loans maturing by 2020 is EUR                                                       10
         74bn according to the EC report.                       100
                                                                                                7                                                                     10

  iii.   IMF repayment: The EUR 20.1bn already                   50
                                                                       0       0       0
         disbursed by the IMF is from the SBA facility,
         which means that its repayment profile follows           0
                                                                      2012    2013    2014    2015     2016         2017      2018         2019         2020

         the “3 + 2” rule, i.e., repayment takes place in
         eight tranches, starting three years and one
         quarter after the disbursement date of each            Source: BNP Paribas
         tranche and finishing on the fifth anniversary.
         The EUR 28bn IMF contribution to the second              Chart 5: Funding Needs Breakdown (EUR bn)
         Greek programme will be under the EFF                  120                                                                       PSI Cost
         facility, which means that its repayment profile                                                                                 Bank Recaps
         will follow the “4.5 + 5.5” rule, namely, that         100                                                                       Deficit
         repayment takes place in 12 tranches, starting                                                                                   Other Cash Needs

         four years and six months after the                     80

         disbursement date of each tranche and
         finishing on the 10th anniversary. Of the total
         EUR 48.1bn IMF contribution, EUR 32.5bn will            40
         be repaid by 2020.
Chart 2 shows the redemption profile of Greece up to
2020 after the PSI exchange. At this point, we need               0
to mention that we exclude T-bills from this chart. The               2012    2013     2014     2015        2016      2017       2018            2019          2020

current outstanding amount of T-bills is EUR 14.5bn
                                                                Source: BNP Paribas
and the plan is that this will be reduced by EUR 9bn
over the next two years. The total amount of debt               Chart 6: Funding Sources Breakdown (EUR bn)
redemptions in Chart 2 is EUR 106bn. In Chart 3, we
                                                                120                                                                          EU-IMF
present the quarterly redemptions profile, including T-
bills.                                                          100                                                                          OSI

Funding needs and sources going forward                          80

The new bailout package for Greece will cover the                60
financing needs of the country until the end of 2014.
This means Greece will have to either return to the              40
market in 2015 or get a third bailout package from
the official sector. Here, we analyse Greece’s funding           20
needs and sources through 2020. The funding gap
starts in 2015 and reaches a cumulative amount of                 0
                                                                      2012    2013     2014     2015        2016       2017        2018          2019          2020
EUR 33bn in 2020, as shown in Chart 4. This means
that the potential third package will be much smaller
                                                                Source: BNP Paribas
than the previous two, provided, of course, that
Greece has met all of its targets up to that point.

We start with the funding sources and the final size of         of the EUR 130bn that has already been announced,
the second bailout programme. EUR 73bn has been                 the IMF has announced that it plans to provide
disbursed of the original EUR 110bn package. As                 another EUR 8.2bn for the period after the end of
Ireland, Portugal and Slovakia have opted out of                2014. So, the total size of the second programme will
being guarantors, the total size of the loan has been           be EUR 34.5bn, plus EUR130bn, plus 8.2bn, totalling
reduced to EUR 107.5bn, leaving EUR 34.5bn to be                EUR 172.7bn. The IMF plans to contribute EUR 28bn
carried over to the second programme. Now, on top               of this amount and EFSF the remaining
                                                                EUR 144.7bn. This is massively frontloaded due to

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the cost of the PSI (purchase of EFSF payment                   Chart 7: Debt Composition Before & After PSI
notes) and the recapitalisation of the Greek banks.
                                                               60%                                                                    Before PSI (end of 2011)
                                                                                                                                      After PSI (end of 2012)
Apart from this official financing, Greece has two                    55%
                                                                                                                                      End of 2014
additional funding sources. The first is the
privatisation receipts that are expected to total              40%                                                                                  43%
EUR 12bn through the end of 2014 and EUR 45bn
through end of 2020. The second is the OSI, in the             30%                                                                            32%

form of ECB and NCB profit on Greek government                                                                               24%25%
bonds, which will be redistributed to Greece, along                                                    19%18%              20%
with the retroactive application of a decreased                10%
interest rate on the EU’s existing bilateral loans to                                        8%
                                                                            2% 1%                 0%            4% 3% 2%                 0%               5% 6% 2%
Greece (EUR 53bn). This OSI contribution totals                  0%
EUR 2.3bn through the end of 2014 and EUR 4.7bn                         Old          SMP            New          T-Bills    EU-IMF        EFSF             Other
                                                                       GGBs          GGBs          GGBs                     Loans         Loans            Loans
to 2020. Chart 6 shows a detailed breakdown of the
available funding sources.                                     Source: BNP Paribas

With respect to Greece’s funding needs, we have                Chart 8: Yield Curves for Flat New GGBs Prices
already gone into detail on the bonds and loan                         vs. Actual Levels of New GGBs
redemptions in the previous section. In these                  29%
redemptions, we also include the reduction in the                                                                     15         20            25           30

                                                               26%                                                    35         40            Actual
total number of T-bills outstanding, as this means
some redemptions will not be rolled over with fresh T-         23%

bill issuance. We also include the repayment of the            20%
IMF loans. Apart from the redemptions, Greece will
have to pay a total of EUR 32.5bn to finance the
budget deficit through 2020. Other cash needs                  14%

include ESM contributions of EUR 2.4bn, the creation           11%
of a cash buffer with an additional EUR 5bn, the
settlement of arrears of EUR 7bn and some cash
adjustments. In 2012 only, Greece will have to
borrow significant amounts to cover the cost of the
                                                               Source: BNP Paribas
PSI (EFSF payment notes) and the recapitalisation of
Greek banks. A detailed breakdown of these funding
needs is shown in Chart 5.                                     holders. Before PSI, Greek government bonds in the
                                                               hands of the private sector (“old GGBs” in Chart 7),
So, of the total EUR 172.7bn second programme to               also known as the PSI pool, accounted for almost
Greece, EUR 112bn, or 65%, will be disbursed in                55% of total outstanding debt, with another 15%
2012. This means Europe’s vested interest in Greece            being SMP bonds and 20% EU-IMF loans. The new
has increased significantly after the PSI. The fact that       government bonds will make up only 19% of
private-sector debt becomes a much smaller portion             outstanding debt at the end of 2012, with EFSF loans
of the total outstanding means that in any potential           forming 32%. By the end of the 2014, EFSF loans will
future restructuring, the official sector will have to         have risen to 43% of outstanding Greek debt.
take a hit, either via EFSF loans or via the ECB’s
Greek bond holdings. Either way, EUR 30bn of EFSF              This debt composition is very important should Greece
loans are already tied to EUR 60bn of new Greek                need to conduct another restructuring after a few
bonds, due to the co-financing agreement. This                 years. As we’ve explained in the previous section, it is
reinforces the links between Greece and the rest of            clear that the official sector will have to take a hit in
Europe, as a potential future restructuring or default         any future restructuring. As the years go by, the SMP’s
after the PSI is going to be much costlier for Europe          bonds will be replaced by EFSF/IMF loans, while
than it was before. This could be interpreted as a             some maturing IMF loans from 2013 will also be
statement by Europe that Greece’s future is in the             replaced by new EFSF/IMF loans. Among all these
eurozone and the EU countries will not hesitate to             categories, the EU-IMF loans must be considered the
invest further in that future by providing a significant       most senior and the last to take a haircut. This means
amount of new loans to Greece in 2012.                         that at the end of 2014, SMP bonds, new bonds and
                                                               EFSF loans will constitute almost 70% of Greece’s
The composition of debt before and after PSI                   outstanding debt, more than the PSI’ed government
The PSI has changed substantially the split of                 bonds as a percentage of debt.
outstanding Greek debt between private and official

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The new bonds                                                    What lies ahead
Holders of Greek-law government bonds totalling                  The next key event will be the CDS auction on
EUR 177bn have already received the new Greek                    Monday 19 March. This is a technical event and is
government bonds, EFSF payment notes and GDP-                    not expected to have any major impact on other
linked securities. The pack of 20 new Greek bonds                markets. The determination of the cheapest-to-deliver
maturing from 2023 to 2042 is trading at yields of 14-           could have an impact on the price of the new Greek
19%, with an inverted yield curve from 2023 to 2042.             bonds, but this should be short lived. The most
Chart 8 shows the actual yield curve in this sector,             interesting factor in terms of the prices of the new
versus imaginary yield curves that reflect scenarios in          bonds will whether the real-money accounts decide
which all the new GGBs have the same flat price. We              to keep them in their portfolios, or get rid of them in
show the yield curves reflecting flat prices for all             the secondary market. The ratings upgrade by Fitch
Greek government bonds of 15, 20, 25, 30, 35 and                 has been a positive factor, and we expect to hear
40 points.                                                       from Standard & Poors and Moody’s soon.

The GDP-linked securities are quoted in the market               On 23 March, the extended invitation for foreign-law
at around 0.8-1 point. The complicated structure of              government and guaranteed bonds expires. On 27-
these securities makes it difficult to understand what           29 March, there will be bondholder meetings for
this 1 point really means. An intuitive and simplistic           these foreign-law bonds (not all of them). Settlement
way of looking at them is to assume that they will pay           is expected to take place on 11 April.
an equal amount, X (hit ratio), each year from 2015
to 2042. Plugging in the yields of the new Greek                 The next big risk event will be the Greek elections,
bonds, we attempt to work back to find out what the              which are expected to take place sometime at the
current price implies in terms of this unknown hit               end of April or beginning of May. Right now, it seems
ratio, X. A market price of 1 point implies a hit ratio of       the New Democracy party is well ahead in the polls,
around 23%, which means that the GDP-linked                      but it is unlikely to win the number of votes it needs to
securities will pay a 0.23% coupon each and every                form a government on its own. There are various
year from 2015 to 2042. This is an over-simplified               potential coalition combinations and permutations.
approach to understanding what the current price                 PASOK seems willing to cooperate with New
means in terms of payout for these GDP-linked                    Democracy, for example, but New Democracy leader
securities. In reality, these securities will have               Antonis Samaras is ruling any such scenario for now.
different payouts every year, if any, depending on               The debate will continue.
whether the thresholds of nominal and annual real
GDP growth have been met.
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                                                                                                                        15 March 2012
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