Panel: Strategies for managing interest rate and currency risk Evariste Lefeuvre Head of Global Macro Natixis Jim Leahy Chief Financial Officer Marathon.

Slides:

Advertisements

Similar presentations

Asset-Liability Management – the Case of Hungary London, March 6-7, 2007 András Réz, Head of Planning, Research and Risk Management.

Advertisements

Why the Credit and Currency Markets Are Driving Gold Victor Adair White Bear Capital Corp Vancouver Resource Investment Conference January 18, 2010.

Characteristics of Money - Review A_______________S_______________D_______________D_______________P_______________.

Money and the Banking System

13.1 WHAT IS MONEY? ● money Any items that are regularly used in economic transactions or exchanges and accepted by buyers and sellers.

March 2009 Future developments in Global Finance and the implications for the industry Paola Subacchi, Research Director, Chatham House.

Monetary Policy Committee Financial Markets Developments J. Pandoo Head – Financial Markets Operations Division 14 July 2014.

Brain Teaser  You are to make 1,000 using only addition and the number 8.  i.e. you can add 88 to 88  What is the least number of steps to doing the.

Global Imbalances and their Role in the Global Financial Crisis By John J. Maughan.

Recent Developments in the Region and Macedonia Opening of the NBRM-WB PIC Alexander Tieman 16 December, 2010.

January 2013 Going global in fixed income. Agenda Going global in fixed income China – another debt bubble in the making? M&G Global Macro Bond Fund The.

The Financial Crisis and The Future of Financial Globalization Gian Maria Milesi-Ferretti International Monetary Fund, Research Dept. and CEPR.

The shift and the shocks Martin Wolf, Associate Editor & Chief Economics Commentator, Financial Times Leverhulme Globalisation Lecture Series 28 th March.

Copyright © 2004 by The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill /Irwin Chapter One Introduction.

1 Hüseyin Zafer Executive Director May 2011 CENTRAL BANK OF THE REPUBLIC OF TURKEY 1.

The Russian Default of 1998 A case study of a currency crisis Francisco J. Campos, UMKC 10 November 2004.

Lecture 2:The International Monetary System

The Financial Crisis 1. 2 Not just a credit crisis Key aspects:  Origin, transmission, evolution expectations, future monetary strategies.

Ec 123 Section 11 THIS SECTION –Course Introduction –The Money Supply Process –The Price of Money NEXT –Case: The U.S. Financial Crisis of 1931 Purchase.

Chapter 08 The International Monetary System and Financial Forces McGraw-Hill/Irwin Copyright © 2012 by The McGraw-Hill Companies, Inc. All rights reserved.

Emerging Financial Markets 5: Currency Trading & Risk Management Prof. J.P. Mei.

August 8, 2015Foreign Exchange Determination1 Forecasting exchange rates Foreign Exchange Determination.

Emerging Market Carry Trades

Role of RBI in Controlling Inflation

Instruments of Financial Markets at Studienzentrum Genrzensee Switzerland. August 30-September 17, 2004 Course attended by: Muhammad Arif Senior Joint.

NATIONAL BANK OF AZERBAIJAN KHAGANI ABDULLAYEV, EXECUTIVE DIRECTOR.

© 2007 Thomson South-Western Savings, Investment and the Financial System Macro.

Chapter 20 The Foreign Exchange Market. © 2013 Pearson Education, Inc. All rights reserved.20-2 Foreign Exchange Market Exchange rate: price of one currency.

Economic and financial challenges: prospects of Albania. Ardian Fullani Governor of Bank of Albania Athens October 2009.

Copyright © 2007 by The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill /Irwin Chapter One Introduction.

4. Money market International financial services 1

Global Imbalances and Global Financial Turmoils Dr. Sompop Manarungsan Faculty of Economics and Chinese Studies Center Chulalongkorn University Bangkok.

Why Gold? Why Gold? Why an allocation to gold may benefit investment portfolios June 2005.

1 The impact of the recent crisis on the Polish economy and the response of the National Bank of Poland Zbigniew Hockuba Member of the Board National Bank.

Exchange Market as a Part of International Financial Markets, Participants and Functions of Exchange Market Matúš Czakó Ján Lajda.

Financial Markets Division Monitoring financial markets.

Chapter 08 The International Monetary System and Financial Forces McGraw-Hill/Irwin Copyright © 2013 by The McGraw-Hill Companies, Inc. All rights reserved.

Chapter 4 Money and Inflation

The Lessons from the Housing Market Crisis Professor Elias Karakitsos

Actual trends and risks in the Slovak banking sector Štefan Rychtárik National Bank of Slovakia BACEE Country and Bank Conference Budapest, 14 – 16 November.

Chapter 14 Financial Derivatives. © 2013 Pearson Education, Inc. All rights reserved.14-2 Hedging Engage in a financial transaction that reduces or eliminates.

Dr Marek Porzycki Chair for Economic Policy.  Markets in which funds are chanelled from savers/investors (people who have available funds but no productive.

Brian Kantor for Nexia; Cape Town May 28 th The SA economy and its financial markets Making sense of a complicated environment.

WEEK VIII Central Bank and Monetary Policy. W EEK VIII Modern monetary policy: inflation targeting Costs of inflation: Shoe-leather costs:    i  :

> Keith Hembre, Chief Economist and Head of Quantitative Analysis > September 25, 2007 Investment Strategies in a Changing World.

Mercer Limited is authorised and regulated by the Financial Services Authority Registered in England No Registered Office: 1 Tower Place West,

Central Banks All modeled on Bank of England Original purpose: lender of last resort Banks step in to lend during crises In theory, central banks require.

W ASHINGTON C ROSSING A DVISORS Market and Economy Outlook.

Real Exchange Rate Fluctuations: Reflections on the Uruguayan Experience Umberto Della Mea * Economic Policy Division Central Bank of Uruguay Outline I.

Exchange rate economics: A carry on in France Michael Metcalfe Head of Global Macro Strategy June 2007.

1 Credit and Fixed Income 30 January 2010 Philip Barleggs.

The shift and the shocks: prospects for the world economy Martin Wolf, Associate Editor & Chief Economics Commentator, Financial Times Oxonia 15 th February.

1 Monetary Policy Ch Introduction Fed’s Board of Governor formulates policy, 12 Federal Reserve Banks implement policy Fundamental objective of.

Regulating Money Supply

The New Growth Model for Serbia: Monetary and Fiscal Policy Challenges Dejan Soskic – Governor, National Bank of Serbia Athens, 11 February 2011.

Rethinking Public Debt and Fiscal Policy Guillermo Calvo Columbia University

IMF conference march 2011 Book august leading economists reassess Economic Policy.

Dr Marek Porzycki Chair for Economic Policy

CENTRAL BANK OF THE REPUBLIC OF TURKEY

The Lessons from the Housing Market Crisis

Monetary Policy and Central Banking

Joseph E. Gagnon November 15, 2018

27 The Monetary System For use with Mankiw and Taylor, Economics 4th edition © Cengage EMEA 2017.

13.1 WHAT IS MONEY? ● money Any items that are regularly used in economic transactions or exchanges and accepted by buyers and sellers.

The New Growth Model for Serbia: Monetary and Fiscal Policy Challenges

Economic and financial challenges: prospects of Albania.

Ryan A. Bailey, CFA, FRM, CAIA, CMT

Presentation transcript:

Panel: Strategies for managing interest rate and currency risk Evariste Lefeuvre Head of Global Macro Natixis Jim Leahy Chief Financial Officer Marathon Asset Management Frederic Garnier Managing Director, Emerging Markets Tishman Speyer Brian Conly Managing Director, Real Estate Chatham Financial Corp.

The bumpy road to recovery Evariste Lefeuvre Head of Global Macro Natixis

Macro / Market themes for The real side: recovery is fragile (weak wages and deleveraging), no genuine decoupling. 2.The money side: early exit strategies. Impact of (excessive) quantitative easing. The death of Fiat Money ? Inflation is threatening ? 3.Soaring public deficits and Debt: impacting the yield curve ? What about private deleveraging ? FX aspect of fiscal inconsistency (foreign debt) 4.FX market as an asset class: correlation breaks and the role of the dollar: safe haven or new carry trades vehicle ? 5.Conclusion: living in a world with excess liquidity.

Last exit to 2010 (our view)

Does everyone agree? (markets view)

Quantitative easing and fiat money risk: genuine ? Why should CB exit so early as growth is lackluster Asset providing liquidity => Liability excess reserves hoarding !

Is inflation always and everywhere a monetary phenomenon ? Credit growth collapsing (lower credit multiplier), excess capacities worldwide (unemployment) and flat commodity prices curves: no danger !

Public debt is always bad for long term interest rates ? It all depends on the behavior of private agents (private deleveraging can harm growth for a (very) long time) and offset the supply effect of public debt

The behavior of the (sovereign) yield curve A short end of long end effect ? There is a macro carry trade going on: cheap repo at the central bank and steep curve !

Correlations breaks Gold message is weird : higher risk aversion ? Long term inflation risk… Dollar bears ? Do we have a story here ?

The USD: a safe haven trade?

The USD: a new funding currency? Ex ante Sharpe ratios: the higher the more attractive the carry trade Why is the yen soaring ?

FX as an asset class Tracking correlations and… regime switches

FX regime switch Correlation breakdowns: mean reversion or regime switch ? I guess USD/JPY takes the early signal lead…

A new conundrum ? Everything's up ! USUAL SUSPECT: GLOBAL LIQUIDITY ! Whos to blame ? FX Pegs…

Tracking the cycle to forecast risk aversion

VIX and Global liquidity explains many things ! An example: Modeling the EUR/USD

To conclude The cycle has changed: structural impact of the crisis on the functioning of economies: deleveraging, public debt… Dont be afraid of inflation: at least in the short run. There is no hurry to exit Huge amounts of liquidity due to stockpiling of FX reserves, to a much lesser extent to Quantitative Easing Volatility tracks the cycle and the W is looming FX to be treated as an asset class (all but YEN) Rates to remain low at the short end Long end more and more capped by Banks carry, maturity transformation strategies…

Hot Topics – Open Discussion How best to execute a hedging strategy in the current difficult credit markets. Liquidity management strategies for FX hedge portfolios. Managing counterparty credit risk in a post-Lehman world. FX Hedging in currency pairs where the FX forward curve is stacked against you (e.g. BRL, MXN, INR). Hedging the interest rate risk associated with the acquisition of debt securities such as whole loans, CMBS paper, CDO/CLOs, etc. Hedging interest rate risk in a challenging steep yield curve environment.

Tables