Upload
ulysses-idle
View
218
Download
2
Tags:
Embed Size (px)
Citation preview
M A R C H 2 0 0 5
Public Debt Risk Management
Anderson Caputo SilvaHead of Public Debt Strategic Planning
Department Brazilian National TreasuryRio de Janeiro, Brazil
March 2005
FIRST ANNUAL MEETING OF
LATIN AMERICAN AND CARIBBEAN PUBLIC DEBT MANAGEMENT SPECIALISTS
Ministério da Fazenda
TesouroNacional
Fundamental Challenges to Public Debt Risk ManagementFundamental Challenges to Public Debt Risk Management
-Main Objective“ Minimize long-term costs, subject to prudent risk levels”
-Scope of Action
Search for a Benchmark – What is the optimal debt composition (steady-state) in terms of types of instruments, maturities and currencies?
Strategic Planning – How fast should (can) we get to the Benchmark? Annual Borrowing Plan and Medium-term borrowing strategies
Risk Monitoring - Likelihood of meeting targets for debt profile, exposure to different types of risks (refinancing, market, budget, legal, etc.)
Asset and Liability Management Framework
Ministério da Fazenda
TesouroNacional
Institutional Structure
History CODIP (domestic debt) x COREX (external debt) New paradigm: back, middle e front offices
Deputy Secretary IIIDeputy Secretary III(Responsible for Public Debt)(Responsible for Public Debt)
CODIP (Front Office)CODIP (Front Office) COGEP (Middle Office)COGEP (Middle Office) CODIV (Back Office)CODIV (Back Office)
Registering, controlling, payment and monitoring domestic and external debt budget.
Long-term planning, Risk management, scenarios generation (macroeconomic team) and Investor Relations
Short-term refinancing strategies and the issuance process by public auctions or direct issuance (special operations)
Ministério da Fazenda
TesouroNacional
Risk Econom ic Scenario Investors Relation Special Studies
M iddle Office Head
Economic and financial research;
Participate on the middle and long term financing strategy;
Monitoring, analyzing and forecasting domestic and external scenarios.
Maintain and improve relationship with investors and market analysts;
Broaden the investors Base;
Provide internal and external investors with accurate data, aiming at increasing National Treasury´s actions;
Assist Rating Agencies.
Develop studies on public debt management;
Monitoring peer countries risk developments;
R&D to other debt management offices.
Monitoring risk exposure indicators and Asset and Liabilities Management;
Identify and propose the optimal structure of asset and liabilities;
Middle and long term strategic planning.
MIDDLE OFFICE
Ministério da Fazenda
TesouroNacional
Development of the Public Debt Benchmark;
Proposes the guidelines and objectives for medium and long-term refinancing strategies (PAF/PPP);
Risk Analysis, considering Market point of view (demand side) Value-at-Risk VaR Dolar-Value of 01 Basis Point DV01
Monitoring the Annual Borrowing Plan limits;
Monitoring proposed strategies and their modifications;
Monitoring public debt risk indicators “at risk” Indicators (Cost-at-Risk, Cash-Flow at Risk, Budget-at-Risk) Stress testing Assets and Liabilities Management
Support for front-office operations.
Risk Management – A broad scope of activities
Ministério da Fazenda
TesouroNacional
Risk Management
Risks Considered: Value Market Risk (fluctuations of public debt value,
caused by volatility in macroeconomic indicators); Refinancing Risk (Volatility in the cashflows or problems
at refinancing time); Liquidity Risk; Budget Risk; Demand Side Risk (Market point of view); Others.
National Treasury works considering an ALM framework in all analysis.
Ministério da Fazenda
TesouroNacional
Development of a Public Debt Strategy and Risk Management System (GERIR)
Other systems Assets and Liabilities Control System; Matlab Routines; Excel, Access (Visual Basic for Applications – VBA); Integration with other back/front-office systems;
Capacity - Technological Resources
Ministério da Fazenda
TesouroNacional
Benchmark Studies
Set Steady-state for relevant macroeconomic variables;
Test alternative debt compositions (fixed, floating, inflation and fx-linked instruments);
Economic evolution: modeling of the main macroeconomic variables: interest, exchange rate and price index;
Two alternative approaches: Correlated stochastic process Macro-structural models
Ministério da Fazenda
TesouroNacional
Benchmark Studies
Settle the Composition
Calculate several macroeconomic variables for different scenarios
Pricing assets
Calculate debt cost of carrying
Determination of the Debt/GDP relation for each scenario
Risk and return of the Debt/GDP relation
Hold results (composition and risk/return of the Debt/GDP relation)
Correlation matrix calculation
Creation of the efficient frontier
Performance measure of the National Treasury
Ministério da Fazenda
TesouroNacional
Benchmark Studies - Model Simulation
VARIABLES PATH SIMULATIONVARIABLES PATH SIMULATION
DEBT/GDP SIMULATIONDEBT/GDP SIMULATION
Ministério da Fazenda
TesouroNacional
Portfolio selection => the financing efficient frontier (trade-offs well explained by the model)
For the determination of the benchmark is necessary to choose the risk aversion of the government (society)
The model indicates perfomance measures Efficient criteria based on the efficient frontier
Benchmark Studies Results
Ministério da Fazenda
TesouroNacional
Medium-Term Planning - Annual Borrowing Plan – PAF
Stages of the PAF::
Elaboration of alternative deterministic scenarios (optimist, pessimistic and neutral);
Elaboration of alternative strategies (state contingent); Determination and evaluation of the financial and risk statistics; The definitions of the limits to the main indicators (outstanding debt,
average maturity, debt falling due in 12 months, composition of domestic and total Federal Debt);
Accomplishment and revision of the results (PAF revision); Monitoring execution and need for tactical corrections in the financing
strategy.
Ministério da Fazenda
TesouroNacional
ALM Integrated management of asset and liabilities of the central
government
Map of asset and liabilities of the National Treasure and the Central Government (National Treasury + Central Bank)
(600,0)
(500,0)
(400,0)
(300,0)
(200,0)
(100,0)
-
100,0
200,0
300,0
Price Index Exchange Rate Interest Rate Fixed Rate Others
R$
Bill
ion
2004 2005
Source: National Treasury
Mismatch Between Assets and Liabilities
Ministério da Fazenda
TesouroNacional
Integrated management of asset and liabilities (ALM)
INDEXADOR TN/BC ATIVOS R$ bi TN/BC PASSIVOS R$ bi Descasamento
TOTAL 1.632,37 1.274,91 357,47
ÍNDICE DE PREÇOS 1.455,74 117,61 1.338,12 TN VP DO RESULTADO PRIMÁRIO (1) 1.028,38 TN DPMFi 117,61 TN LEI Nº 9.496/ 97 232,72 TN MP 2.185 34,13 TN ROYALTIES - ESTADOS LEI Nº 7.990/ 89 19,00 TN OUTROS 50,57 BC VP DE IMPACTO DA BASE MONETÁRIA SOBRE A DPF (2) 90,93
CÂMBIO 61,02 400,42 (339,40) TN AQUISIÇÃO - RECEBÍVEIS II 25,14 TN DÍVIDA EXTERNA 226,19 TN DMLP - RESOLUÇÃO SF Nº 98/ 92 17,16 TN DÍVIDA REFERENCIADA 38,39 TN LEI Nº 7.976/ 89 - MF 030 7,66 BC DÍVIDA REFERENCIADA 18,51 TN OUTROS 11,06 BC OPERAÇÕES DE SWAP 44,01
BC VP DE ACUMULAÇÃO DAS RESERVAS INTERNACIONAIS (3) 73,33 JUROS 87,14 628,78 (541,64)
TN BNDES - BNDESPAR SELIC 11,07 TN DPMFi - Selic 447,95 TN LEI Nº 8.727/ 93 21,08 TN DPMFi - TR 13,65 TN OUTROS 10,98 TN DPMFi - Demais 0,02 BC OPERAÇÕES DE SWAP 44,01 TN DIV. EM PROC. DE SECURITIZAÇÃO (FCVS e OUTROS) 87,57
BC OPERAÇÕES DE MERCADO ABERTO 79,59 PRÉ TN PROGRAMAS DIVERSOS 10,08 TN DPMFi 128,09 (118,01) DEMAIS TN FAD E FND 18,40 18,40 (1) Somatório do valor presente dos fluxos de resultado primário que afetam a DPF, para 100 anos (ver anexo).
(2) Somatório do valor presente dos fluxos de emissão de Base Monetária para os próximos 100 anos (ver anexo).
(3) Somatório do valor presente da diferença entre o estoque atual das reservas internacionais líquidas (de US$$ 25 bilhões) e o "ideal" (arbitrado em US$ 50 bilhões) - mais detalhes no anexo.
GAP GOVERNO CENTRAL - PRINCIPAIS ITENS - AGO/04
Ministério da Fazenda
TesouroNacional
Monitoring market risk
-
1.000
2.000
3.000
4.000
5.000
6.000
7.000
8.000
9.000
jul-94 mai-95 mar-96 jan-97 nov-97 set-98 jul-99 mai-00 mar-01 jan-02 nov-02 set-03 jul-04
0
1.000
2.000
3.000
4.000
5.000
6.000
7.000
8.000
9.000
DV01 Nominal (mil) DV01 a Preços de Set04 (mil)
-
100
200
300
400
500
600
1º
jan 2
004
3º
jan 2
004
1º
fev 2
004
3º
fev 2
004
1º
mar
2004
3º
mar
2004
1º
abr
2004
3º
abr
2004
5º
abr
2004
2º
mai 2
004
4º
mai 2
004
2º
jun 2
004
4º
jun 2
004
1º
jul 2
004
3º
jul 2
004
1º
ago 2
004
3º
ago 2
004
1º
set 2004
3º
set 2004
5º
set 2004
2º
out 2004
R$ M
ilhões
VaR LTNVaR LTN
DVO1 LTNDVO1 LTN
Ministério da Fazenda
TesouroNacional
Targets set in the Annual Borrowing Plan
Results and Targets for the Federal Public Debt - DPF
Minimum Maximum
Stock of DPF held by the public (R$ billion) 1013,9 1160 1240
Average maturity - Federal Outstanding Debt (months) 35,3 36 41
% Due in 12 months 39,3 34 40
Share of DPF
Fixed-rate (%) 16,1 16 25
Floating-rate (%) 45,7 39 47
Price-Index (%) 24,2 18 23
Exchange-rate (%) 11,9 12 16
Others (%) 2,1 1 3
Source: National Treasury
IndicatorsDec/04
PAF-2005
Ministério da Fazenda
TesouroNacional
Monitoring PAF Limits
Stock of Federal Public Debt
1000,0
1050,0
1100,0
1150,0
1200,0
1250,0d
ec
/04
jan
/05
feb
/05
mar
/05
ap
r/05
may
/05
jun
/05
jul/0
5
au
g/0
5
se
p0
5
oc
t/0
5
no
v/0
5
de
c/0
5
Higher Lower Basic Observed
Average Maturity
32,0
34,0
36,0
38,0
40,0
42,0
Dec
/04
jan
/05
Fe
b/0
5
mar
/05
ap
r/05
ma
y/0
5
jun
/05
jul/0
5
au
g/0
5
se
p/0
5
oc
t/0
5
no
v/0
5
de
c/0
5
Lower Higher Basic Observed
%Maturing in 12 Months
33,00%
36,00%
39,00%
42,00%
45,00%
dec
/04
jan
/05
feb
/05
mar
/05
apr/
05
may
/05
jun
/05
jul/0
5
aug
/05
sep
/05
oct
/05
no
v/05
dec
/05
Lower Higher Basic Observed
Ministério da Fazenda
TesouroNacional
Risk Indicators
Traditional Indicators average maturity, debt falling due in 12 months,
composition, etc.
Stochastic Indicators Cost-at-Risk (CaR), Cashflow-at-Risk (CFaR), Budget-at-
Risk (BaR), Value-at-Risk (VaR).
Ministério da Fazenda
TesouroNacional
Stochastic risk indicators
General methodology Generation of correlated stochastic scenarios Effects of the scenarios on the public debt Calculus of uncertainty for specific indicators
Ministério da Fazenda
TesouroNacional
Stochastisc Risk Indicators
Stochastics Scenarios – models Interest-rate: Cox, Ingersoll and Ross – CIR
Inflation: geometric brownian movement
Exchange-rate: Chan, Karolyi, Longsta and Sanders - CKLS for real exchange-rate
Correlation for Single Value Decomposition (SVD)
tttt dzJdtJJdJ 1* )(
tttt dzCdtCCdC 2* )(
tttt dzIdtIdI 3
Ministério da Fazenda
TesouroNacional
Stochastisc Risk Indicators
Cost-at-Risk (CaR) The CaR indicates, to a level of significance, the
maximum value that the amount of the debt can achieve, in a specific date in the future.
Simulation of the debt amount into differents scenarios. Contemplates the refinancing strategy.
Ministério da Fazenda
TesouroNacional
Stochastic Risk Indicators
Cashflow-at-Risk (CFaR) O CFaR indicates, to a level of significance, the
maximum value that the each cash flow can achieve, in its maturity date
Simulation of each cash flow of the debt into differents scenarios.
Cashflow at risk (CFaR)
0,00
100,00
200,00
300,00
400,00
out-
04
nov-0
4
dez-0
4
jan-0
5
fev-0
5
mar-
05
abr-
05
mai-05
jun-0
5
jul-05
ago-0
5
set-
05
R$ M
ilhões
0,00%
0,40%
0,80%
1,20%
1,60%
Acréscimo a 95% Volatilidade
Ministério da Fazenda
TesouroNacional
Stochastic Risk Indicators
Budget-at-Risk (BaR) O BaR indicates, to a level of significance, the
uncertainty of the debt budget, or, in another view, indicates the probability of the projected debt expenses overcome the approved budget by the Congress.
Ministério da Fazenda
TesouroNacional
Annex
Ministério da Fazenda
TesouroNacional
GERIR - Objectives
System objectives: Helps the integrated analysis of the assets and liabilities Improves the public debt strategy elaboration and
evaluation Estimates the financial indicators and the risk to the
National Treasury assets and liabilities. Helps in the evaluations of others National Treasury
operations with the market.
Ministério da Fazenda
TesouroNacional
Main Inputs of the System:
SCENARIOS: The system is able to use different macroeconomic scenarios or construct them based on market informations.
ASSETS AND LIABILITIES PORTFOLIO: The user can choose all the assets and liabilities or just a specific selection.
STRATEGY: Many domestic and external debt strategies can be simulated and compared among them simultaneously. The system can elaborate short and long-term strategies using its own methodology.
GERIR – Scope and Flexibility
Ministério da Fazenda
TesouroNacional
Main Results of the System:
Reports with the main debt indicators and risks (average maturity,outstanding stock, duration, debt falling due in 12 months, composition, maturity, etc)
Stochastic indicators (CaR, CFaR, BaR e VaR)
National Treasury assets and liabilities map.
GERIR – Results
Ministério da Fazenda
TesouroNacional
GERIR – Front Page
Ministério da Fazenda
TesouroNacional
GERIR - Scenarios
Ministério da Fazenda
TesouroNacional
GERIR – Portfolio Selection
Ministério da Fazenda
TesouroNacional
GERIR – Short-term strategies
Ministério da Fazenda
TesouroNacional
GERIR –Stochastic Models Parameters
Ministério da Fazenda
TesouroNacional
GERIR –Results
Ministério da Fazenda
TesouroNacional
GERIR –Results
Ministério da Fazenda
TesouroNacional
DPMFiDPFe
Maturação Mensal da DPF
dez/
2006
nov/
2006
out/2
006
set/2
006
ago/
2006
jul/2
006
jun/
2006
mai
/200
6
abr/
2006
mar
/200
6
fev/
2006
jan/
2006
dez/
2005
nov/
2005
out/2
005
set/2
005
ago/
2005
jul/2
005
jun/
2005
mai
/200
5
abr/
2005
mar
/200
5
fev/
2005
jan/
2005
dez/
2004
nov/
2004
out/2
004
set/2
004
ago/
2004
em R
$ m
ilhôe
s55.000
50.000
45.000
40.000
35.000
30.000
25.000
20.000
15.000
10.000
5.000
0
EstoqueRecompraEstratégia
Maturação Mensal Com e Sem Refinanciamento
dez/
2006
nov/
2006
out/2
006
set/2
006
ago/
2006
jul/2
006
jun/
2006
mai
/200
6
abr/
2006
mar
/200
6
fev/
2006
jan/
2006
dez/
2005
nov/
2005
out/2
005
set/2
005
ago/
2005
jul/2
005
jun/
2005
mai
/200
5
abr/
2005
mar
/200
5
fev/
2005
jan/
2005
dez/
2004
nov/
2004
out/2
004
set/2
004
ago/
2004
em R
$ m
ilhôe
s
55.000
50.000
45.000
40.000
35.000
30.000
25.000
20.000
15.000
10.000
5.000
0
GERIR –Results