Risk Outlook Junho2015
Risk Outlook Junho2015
Risk Outlook Junho2015
RISK OUTLOOK
June 2015
Index
1.
EXECUTIVE SUMMARY
2.
MACROECONOMIC REPORT
3.
29
29
35
Investment Management
41
Trading
45
4.
48
5.
LIST OF GRAPHS
53
1. Executive Summary
related
to
Greeces
public
debt
to
announce
additional
non-standard
bonds.
The latest World Economic Outlook (April 2015)
reveals a slightly more optimistic but still prudent
IMF: ()The distribution of risks to near-term
global growth has become more balanced in
relation to October 2014 but is still tilted to the
downside. (). The European and Japanese
economies risk experiencing a period of economic
stagnation. Economic developments in emerging
economies are not promising and are driven by low
growth prospects and a decline in commodity prices.
financial
holdings,
only
micro-,
small-
and
resulting
from
bankruptcies
partners.
Data
from
the
European
increase
in
prices
has
been
barely
The
Cyclically-Adjusted
Price-Earnings
Ratio
market,
and
may
be
justified
by
Santo
(BES),
and
the
inevitable
financial
group.
Regarding
the
asset
instruments.
as
of
flight-to-quality.
Recent
market
attempts
to
revive
its
transmission
in
close
cooperation
and
establish
questions.
The
IMF
revised
downward
its
2. Macroeconomic Report
2015
The
recent
macroeconomic
background
markets.
Economic
recognised.
Adjustment
Programme
ahead
of
Longer-Term
Refinancing
Operations
assets,
aiming
at
creating
more
favourable
flight-to-safety
movements
were
announce
additional
non-standard
monetary
By
early
May
2015,
despite
the
risk
of
evolution
of
external
macroeconomic
*Estimate; p-Provisional.
destination - 2014
Angola
was
the
fourth
destination
of
All these troubling signs come on top of a sevenmonth downward trend in the economic activity
with
some
of
Portugals
most
Commission
also
seems
to
be
dampening
investment
also
show
that,
in
2014,
the
brighter
note,
positive
labour
market
of
public
policies
actively
boosting
Secular
Stagnation
Scenario.
This
Secular
volumes
on the
worrisome consequences that a low-growth, lowinflation environment could potentially have and, if
this scenario should materialise, it could affect
developed economies in a most significant way.
The latest WEA (April 2015) reveals a slightly
more optimistic but still prudent
IMF8:
() The
government
consolidated
gross
debt
Source: Eurostat.
Provisional.
Source: Eurostat.
Source: Eurostat.
contracts.
This
is
worrisome
2014,
some
signs
of
performance
gap
Source: ECB
vs Long-term - Portugal
- Portugal
been ongoing for more than four years now and the
change
in
credit
granted
to
Portuguese
consumer credit) - %
The scope goes beyond households. It also considers selfemployed entrepreneurs and non-profit institutions serving
households.
Source: ECB
GDP)
of
debt
write-offs
resulting
from
(% of real GDP)
the
development
of
Portuguese
private
10
11
soundness
of
the
investments
and
on
the
at
least
in
the
intended
direction.
in
Portugal,
as
across
Prices (HICP).
been increasing.
the
EZ
countries.
The
mere
prices), but
been
probably
the
most
real
estate
bubble-prone
renting
also
shows
good
signs,
especially in Lisbon. For the resurgence of the highend housing market, which is boosting the whole
12
financial
markets
and
under
global
31 December 2014.
perspective
(euros/m2)
31 March 2015
period
could
erode
sovereigns
ability
to
problem
given
that
macroeconomic
Points
serious
the EZ.
in
the event
of an
this
and
with
moderate
policy
other
and
exception).
words,
economic
background,
in consequences
if
not
investments
monetary
carefully
and
envisaged
the
indispensable
quickly rebuffed
complete
13
by declarations
of
simple
correlation
between
equity
and
100 = Jan2009)
markets.
The
relatively
low
correlation,
21 April 2015
transparency,
identification
and
and
promote
mitigation
of
better
and
risks
transparency
of
securities
financing
transactions.
In addition, the European Commission has put
forward a plan to build a Capital Markets Union,
aiming at strengthening the internal market of
financial services, diversifying funding sources and
mitigating the effects of the banking crisis on
taxpayers. However, in its current version, it is
28 February 2015
Commodities
21 April 2015
3. Securities Markets
Indicators
Equities & Equity Futures selected
indicators
The turmoil that began in mid-October 2014 was
prolonged until the end of 2014. By now it looks like
a blimp in an exuberant upward trend, more or less
common
to
most
of
the
international
stock
14
over
the
first
quarter
of
2015.
The
Cyclically-Adjusted
Price-Earnings
Ratio
and
important
losses
in
short-term
15
value-weighted.
0 =
1
0
Portugal
trend.
Telecom
in
Grupo
Esprito
Santo
stood near 3.7% from the beginning of 1999 to April2015, with a positive trend, almost mirroring the
evolution of PSI20. After its peak in 2011 (and
coinciding with low GDP growth rates), the dividend
Markets
17
the
countrys
ability
to
raise
The
purchase
of
supranational
debt
September 2014.
supranational bonds.
April
2015,
the
difference
between
the
yield)
downgraded.
telecommunications
developed markets.
19
companies
that
In
have
been
2014Q4,
and
cars/trucks
recently
machinery,
were
the
Investment Management
Billion)
The year 2014 was marked by the Winding up of
Banco Esprito Santo (BES) and the inevitable
consequences that affected the several branches of
the financial group. With regard to the Asset
Management companies connected to BES, the
loss of investors was unavoidable, but no
relevant evidence of flight-to-safety abroad was
recorded in the aftermath of the winding up. The
most probable scenario was that assets ended up
being channelled to investment instruments of
competitor banks.
Source: CMVM.
2014),
while
Collective
Investment
AuM
of
Alternative
Investment
Funds
Source: CMVM.
Source: CMVM.
20
In
contrast,
the
second
principal
component
funds
recorded
substantial
outflows
Trading
In most developed markets, the weight of lit venues
(i.e., traditional regulated markets) in the overall
poses
challenge
to
market
21
22
the
American
and
European
2015
23
Concluding Remarks
and
consequences
with
the
question
of
the
regarding
already
the
significant
preoccupation
finds
support
in
the
real
to be real.
weak
economy
economic
investments
growth,
towards
low
the
corporate
the
low
effectiveness
of
policy
of
deflationary
forces
via
of
altogether.
asymmetrically,
dwellings),
also
while
global
inflation
keeps
subsiding.
new
The
European
ECB
Commission.
has
also
country-wise)
for
The
been
an
clear,
the
the
worrisome
search-for-yield
fragmentation
persists
and
increasing
the
macroeconomic
impact
(fiscal
revenues,
channel.
This
also
raises
the
Imposing
access
to
more
policy.
institutions.
Competent
supervision
in
closer
cooperation
and
establish
which
enthusiasm
Portuguese
Moreover, market based financing is on the rise
and
moderate
identify
advises
The
European
Union
regulatory
framework.
developments
aim
at
achieving
harmonisation,
less
information
Such
further
asymmetry,
for
more
comprehensive
market
569/2014),
transparency
(via
EU
5. List of Graphs
Graph 1 GDP growth (yoy) and forecasts for selected countries ................................................................... 10
Graph 2 Portuguese exports () of goods by destination - 2014 ................................................................... 10
Graph 3 Differences in the latest consecutive GDP forecasts for selected Countries ................................... 14
Graph 4 GDP at market prices (2005=100) .................................................................................................... 14
Graph 5 Government Consolidated Gross Debt as a Percentage of GDP ..................................................... 14
Graph 6 Per Capita GDP at market prices () ................................................................................................. 14
Graph 7 Overdue loans - Portugal (in % of total credit granted) ..................................................................... 15
Graph 8 Difference in the breakdown of the % of non-financial corporations with overdue loans .................. 15
Graph 9 Gross total doubtful and non-performing loans in the balance sheets of domestic banking groups
and stand-alone banks (% of total debt instruments and total loans and advances) ........................................ 16
Graph 10 New loans, respective interest ......................................................................................................... 16
Graph 11 Net issuance of debt securities Short- vs Long-term - Portugal ................................................... 17
Graph 12 Outstanding amounts of debt securities issued by NFC - Portugal ................................................. 17
Graph 13 Net issuance of debt securities by NFCs - Portugal ........................................................................ 17
Graph 14 Net issuance of long-term debt securities by NFCs - Portugal ....................................................... 17
Graph 15 Change in credit extended to households in Portugal and the Eurozone (mortgage and consumer
credit) - %........................................................................................................................................................... 18
Graph 18 Velocity of Money in the Eurozone ................................................................................................. 22
Graph 19 Spread between Euribor 12 Months and Harmonised Index Consumer Prices (HICP) - Portugal
and Germany (percentage points) .................................................................................................................... 22
Graph 20 HICP Selected countries and Eurozone (percent change) .......................................................... 22
Graph 21 Number of Houses Sold .................................................................................................................. 22
Graph 22 House Price Index (yoy) - % ............................................................................................................ 23
Graph 23 Housing Banking Appraisal Values by Region and Total (euros/m2) ............................................. 23
Graph 24 Spread between Portuguese 10-year sovereign bond yields and 12-Month Euribor (percentage
points) ................................................................................................................................................................ 24
Graph 25Nominal Bond Yields (10-year government bond yield) Percentage Points ................................. 25
Graph 26 Spread Towards German 10-Year Bond Yields in Nominal Terms Percentage Points ............ 25
Graph 27Real Bond Yields (10-year government bond yields minus HICP inflation rate) Percentage
Points ................................................................................................................................................................. 25
Graph 28 Spread Towards German 10-Year Bond Yields in Real Terms Percentage Points .................. 25
Graph 29 Commodities (Price indices in USD; 100 = Jan2009) .................................................................... 27
Graph 30 Co-movement of Sovereign and Private Debt Yields, Stocks, Forex and Commodity Indexes ..... 27
Graph 31 - Correlation between Equity and Commodities ................................................................................ 28
Graph 32 Stock Market Indices ...................................................................................................................... 29
Graph 33 Equity Realised Volatility ................................................................................................................. 29
Graph 34 Difference between the stock market earning yield and the 10-year Treasury bond yield ............. 30
Graph 35 Value-at-Risk, selected indices ....................................................................................................... 31
Graph 36 Positive and Negative Sentiment (weekly data) and Economic Sentiment Indicator ..................... 31
Graph 37- CAPE S&P 500.............................................................................................................................. 32
Graph 38 PSI20 CAPE and Earnings ........................................................................................................... 32
Graph 39- CAPE MSCI EMU .......................................................................................................................... 32
Graph 40 Price to Book Ratio - Banks............................................................................................................. 32
Graph 41 Present Net Value of Growth Opportunities .................................................................................... 33
Graph PSI20 monthly average dividend yield ................................................................................................ 33
Graph 43 Average implied risk premium - Portuguese Markets...................................................................... 34
Graph 44 CISS for Portugal, contributions coming from each of the sub-indices and the overall contribution
from cross-correlations (weekly) ........................................................................................................................ 35
Graph 45- 10-Year Sovereign Debt Yields ........................................................................................................ 37