Greece is the word: Lyxor not concerned
30 June 2015 London
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The risk of instability in Greece is limited for the hedge funds on the Lyxor platform as few of them hold direct net exposures to Greek assets.
Lyxor has found that only 11 funds are directly exposed to Greece, a majority found in the event-driven and credit space.
Of these funds, nine own Greek equities (local companies and banks). Around half of them have exposures to Greek sovereign bonds.
Lyxor has also noted that there is dispersion in the aggregated net exposure to Greece among managers, ranging from 4.5 percent to 5.6 percent of net assets of the funds.
Philippe Ferreira, senior cross asset strategist at Lyxor Asset Management, commented: “We estimate that the impact from future developments in Greece (losses or gains) would be limited for such funds.”
“A majority of them have sought to isolate this risk. Some have reduced their exposures; others have implemented hedging strategies. In a worst case scenario, we estimate that the losses would be limited.”
For months the Greek risk premium remained mainly contained to local assets, financials, and periphery spreads.
Lyxor has confirmed that, since the end of May, the Greek wildcard has been more seriously factored and consequently triggered a derisking out of European markets.
Ferreira added: “A stream of failed meetings, accelerating deposit outflows, and now capital controls opened the door to uncharted waters, including Grexit.”
With a referendum on whether Greece should accept a new bailout package due to be held on 5 July, negotiations between the EU, the International Monetary Fund and Greece have been halted for now. Some have billed it as an in/out EU vote.
The probability that a deal might be reached in the coming days is very slim, according to Ferreira, and this has resulted what he referred to as a “substantial repricing” of the Greek and more broadly peripheral risk premium.
Lyxor has found that only 11 funds are directly exposed to Greece, a majority found in the event-driven and credit space.
Of these funds, nine own Greek equities (local companies and banks). Around half of them have exposures to Greek sovereign bonds.
Lyxor has also noted that there is dispersion in the aggregated net exposure to Greece among managers, ranging from 4.5 percent to 5.6 percent of net assets of the funds.
Philippe Ferreira, senior cross asset strategist at Lyxor Asset Management, commented: “We estimate that the impact from future developments in Greece (losses or gains) would be limited for such funds.”
“A majority of them have sought to isolate this risk. Some have reduced their exposures; others have implemented hedging strategies. In a worst case scenario, we estimate that the losses would be limited.”
For months the Greek risk premium remained mainly contained to local assets, financials, and periphery spreads.
Lyxor has confirmed that, since the end of May, the Greek wildcard has been more seriously factored and consequently triggered a derisking out of European markets.
Ferreira added: “A stream of failed meetings, accelerating deposit outflows, and now capital controls opened the door to uncharted waters, including Grexit.”
With a referendum on whether Greece should accept a new bailout package due to be held on 5 July, negotiations between the EU, the International Monetary Fund and Greece have been halted for now. Some have billed it as an in/out EU vote.
The probability that a deal might be reached in the coming days is very slim, according to Ferreira, and this has resulted what he referred to as a “substantial repricing” of the Greek and more broadly peripheral risk premium.
NO FEE, NO RISK
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