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Innovative Financial Solutions for Development AFD, WB and Gates Foundation Paris, March 4-5. BEYOND LENDING: Managing Risk and Volatility. Luc Rigouzzo CEO PROPARCO. Taux. Courbe pays émergents. PROPARCO. Courbe OCDE. maturité. 30. 3. 5. 15. - PowerPoint PPT Presentation
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1
BEYOND LENDING:Managing Risk and
Volatility
Luc RigouzzoCEO PROPARCO
Innovative Financial Solutions for Development
AFD, WB and Gates FoundationParis, March 4-5
2
The first market failure: risk perception and spreads/CDS volatility
maturité
Taux
3 30155
PROPARCOCourbe pays
émergents
Courbe OCDE
15,9
25,4
40,6
52,6
40,635,9
32,3 33,3 30,6 30,7
4,1% 4,8%
8,1%
12,7%
8,1%5,5% 4,5% 4,5%
3,1% 2,5%0
10
20
30
40
50
60
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009
Montant % de l'encours
0
100
200
300
400
500
600
700
janv.-
07
avr.-
07
juil.-0
7
oct.-0
7
janv.-
08
avr.-
08
juil.-0
8
oct.-0
8
janv.-
09
avr.-
09
juil.-0
9
oct.-0
9
janv.-
10
avr.-
10
juil.-1
0
oct.-1
0
The example of the last 3 years Lending LT with ST benchmarks?
Indice CDX.EM
Coût de la ressource pour ProparcoBasis swap
Marges à
l’octroi
240
310 245
4
There is a full set of instruments that already exists. Recents Proparco examples
• Stock Market Volatility: • Tunisia SPV with a guaranteed yield
• Exchange risk volatility:• Direct bon issuances or Bank Loan gaurantees• Guaranty of Municipal Bond issuances • TCX –mutualisation (basket)• Traditional Equity
• Spreads/ Interest rate volatility :• Loans with spreads linked to the CDS (Turkey,..)
• Commodity price volatility (ex Sodecoton)
5
Covering partially the Commodity and Exchange riskL.T. loans with payments linked to the cash-flow
0
200
400
600
800
1000
1200
1400
1 2 3 4 5 6 7 8 9 10 11 12
En M
FCFA
500
550
600
650
700
750
800
850
900
950
1000
En F
CFA
/ kg
de
fibre
Rembts minimums Rembts anticipés Cours f ibre FOB (éch. droite)
Hypothesis
ResultsReimbursement duration reduced to 8 years thanks to anticipated reimbursements during 4 years
Année 1 2 3 4 5 6 7 8 9 10 11 12Indice A CAF (FCFA/kg) 623 694 810 717 752 833 822 787 775 694 798 764Cours FCFA/USD 505 525 525 525 525 525 525 525 525 525 525 525Cours Euro/USD 1,30 1,25 1,25 1,25 1,25 1,25 1,25 1,25 1,25 1,25 1,25 1,25Indice COTLOOK "A" 56 60 70 62 65 72 71 68 67 60 69 66
