2012 Outlook The Post-Stimulus Economy - Portuguese

EYE ON THE MARKET
PERSPECTIVAS PARA 2012

J.P. Morgan Private Bank
A economia ps-estmulo
O ano de 2012 marca uma transio de abandono do estmulo monetrio e fscal extremo em nvel global, conforme ilustrado
pelo pr-do-sol. Em sua maior parte, a recuperao do setor privado ter de acontecer por conta prpria a partir daqui. As
notcias so melhores nos EUA do que na Europa ou no Japo. A sia est em expanso, mas o aperto nas taxas de juros est
trazendo o crescimento de volta a patamares mais realistas. A altura de cada rvore mostra a recuperao em cada varivel
relativa a sua queda durante a recesso. Mais informaes no interior da publicao.
No rastro da recesso, um grande volume de estmulos foi injetado na economia global. O nvel das polticas
de juros globais dos dfcits fscais defne a trajetria do sol. Apertos fscais esto programados praticamente
no mundo inteiro em 2012. Sobre a poltica monetria, embora a infao parea estar atingindo sua crista,
isso na maioria das vezes impede aumentos planejados nas taxas de juros, em vez de trazer outro perodo de
afrouxamento considervel. provvel que haja mais respostas em termos de poltica monetria na Europa, mas
seu objetivo primordial impedir o colapso da Unio Monetria com a desalavancagem de bancos e governos.
A altura de cada rvore mostra o nvel de recuperao de cada varivel em relao ao seu recuo anterior. Por
exemplo, os lucros do S&P, o varejo de luxo e o PIB alemo j recuperaram quase tudo que perderam durante a
recesso, ao passo que os preos dos imveis residenciais nos EUA e o ndice de emprego nos pases perifricos
da Europa ainda esto prximos s suas baixas ps-recesso. Os trs pontos de comparao para o clculo da
recuperao constituem o pico pr-ciclo; o patamar mais baixo dos ltimos quatro anos; e o valor atual. Uma
exceo: o reparo do balano dos imveis residenciais dos EUA calculado como a queda da dvida real por
residncia em relao ao pico.
Pases produtores de commodities, como Canad, Brasil e Austrlia, cujo PIB bem maior do que os pases do
sul da Europa no agregado, se recuperaram com rapidez. O trem-bala a sia, cuja produo e produtividade
sofreram apenas pequenas quedas, e que h muito tempo ofuscam os nveis pr-recesso. Contudo, o arrocho
do crdito e da poltica de taxas de juros provocaram uma desacelerao do trem-bala asitico e do restante
dos pases emergentes, em comparao com os ndices de crescimento meterico de 2010. A bola de vlei
defacionada a Unio Econmica e Monetria Europeia. Veja as fontes e defnies ao fnal desta apresentao.
How do you summarize a year that was in many respects indefnable? On one
hand, the European sovereign debt crisis, contracting housing markets and high
unemployment weighed heavy on all of our minds. But at the same time, record
corporate profts and strong emerging markets growth left reason for optimism.
So rather than look back, wed like to look ahead. Because if theres one thing that
weve learned from the past few years, its that while we cant predict the future,
we can certainly help you prepare for it.
To help guide you in the coming year, our Chief Investment Ofcer Michael
Cembalest has spent the past several months working with our investment
leadership across Asset Management worldwide to build a comprehensive view
of the macroeconomic landscape. In doing so, weve uncovered some potentially
exciting investment opportunities, as well as some areas where we see reason to
proceed with caution.
Sharing these perspectives and opportunities is part of our deep commitment to
you and what we focus on each and every day. We are grateful for your continued
trust and confdence, and look forward to working with you in 2011.
Most sincerely,
MARY CALLAHAN ERDOES
Chief Executive Ofcer
J.P. Morgan Asset Management
Ao nos dirigirmos a um novo ano, importante refetirmos sobre o que deixamos
para trs e a atual conjuntura para oferecer a voc nossa melhor opinio sobre os
rumos do mundo.
Os ltimos doze meses foram repletos de acontecimentos sem precedentes.
Testemunhamos a Primavera rabe e suas consequentes transformaes
governamentais, um devastador terremoto e tsunami no Japo, o primeiro
rebaixamento da dvida dos EUA na histria, uma contnua evoluo da crise da
dvida soberana na Europa e o encerramento formal de um confito no Iraque
que durou quase uma dcada.
Em meio a tais acontecimentos transformadores em todo o mundo, reconhecemos
que nosso trabalho de absorver tudo isso e identifcar oportunidades de
investimento apropriadas para o futuro torna-se ainda mais importante. Nosso
Chief Investment Ofcer Michael Cembalest, em parceria com nossas equipes de
investimento em todo o mundo, criou um perspicaz panorama para compreender
e avaliar as oportunidades e riscos globais que podemos esperar para o ano que
se aproxima.
Espero que voc goste da inteligente capa encomendada por Michael para
expressar em uma nica imagem o avano (ou a falta dele) desde a recesso
global de 2008/2009.
Desejamos a voc um Ano Novo repleto de sade e felicidade. E mais importante:
agradecemos pela contnua confana e credibilidade no J.P. Morgan.
Atenciosamente,
Eye on the Market
|
PERSPECTIVAS PARA 2012 1 de janeiro de 2012
1
2012 Outlook
1
January 1, 2012
The Post-Stimulus Economy isnt all bad (there are as many tall trees on the cover as short ones), but its risks and uncertainties
have not declined that much from a year ago. One historical frame of reference we have been using is shown in the first chart: a
prior period of monetary and fiscal uncertainty during which markets were volatile, and sideways. The bull market began in
1982 when there was a clear path forward, even though a lot of the prior mess hadnt been completely dealt with. Where are we
this time in terms of monetary and fiscal uncertainty? While fiscal deficits are being reined in and household balance sheets are
healing, the long-term debt questions of the West remain mostly unanswered as of December 2011 (c2, c3).
With fiscal stimulus coming to an end and with only modest monetary policy easing in the pipeline (see inside cover for more
details), the private sector will increasingly have to make it on its own. The US is showing some resilience (c4), while
Europe and Asia are showing more signs of a slowdown. The big issue for 2012 will be how deep the European recession turns
out to be. Prior sovereign debt crises were almost always solved by a combination of currency devaluation, higher growth and
aggressive monetary easing (c5). In contrast, Europe is taking the path of most resistance: no growth, no devaluation, lots of
austerity and the decision to turn the ECB into a Bad Bank repository.
Equity markets are aware of this, priced as cheaply as they have been in decades (c6). Even assuming a 15% earnings
decline, the S&P 500 would still be priced at the cheap end of history. Factoring in valuation, volatility and the risks (both
known and unknown), our equity weightings are modestly lower than normal; the US is our largest regional position, and we
remain very underweight Europe. In this document, we walk through our views on Europe, the US and Asia, and our
investment priorities for 2012. Its a narrative in pictures; when many things are at their widest extremes in decades (equity
valuations, government debt, central bank balance sheets, depressed labor incomes, housing inventory, etc.), pictures are better
than words. In the appendix, some thoughts on Iran, and a history of European austerity and its connection to social unrest.
On the December EU summit. The European debt bubble will be unwound more slowly given the decision by the ECB and
member central banks to finance just about every asset held by EU banks, and the pressure on banks from governments to buy
more sovereign debt. Bilateral lending facilities for sovereigns may also be expanded if necessary. The risk of a 2012 Europe
meltdown may have melted, but what remains is a slow burn from a recession, a credit contraction and investors possibly selling
all theyve got to the ECB and other non-economic buyers.
Michael Cembalest
Chief Investment Officer
300
400
500
600
700
800
20
40
60
80
100
120
140
160
180
1972 1974 1976 1978 1980 1982
(c1) 1970s post-recovery equity
market wilderness
S&P 500 level Germany DAX level
Period of extreme
monetary and fiscal
uncertainty
Bull market
begins
30%
40%
50%
60%
70%
80%
90%
100%
110%
1970 1976 1982 1988 1994 2000 2006 2012
(c2) OECD debt levels
Percent of GDP, gross
30%
32%
34%
36%
38%
40%
42%
44%
46%
1970 1976 1982 1988 1994 2000 2006 2012
(c3) OECD budget deficits
Percent of GDP
Public revenues
Public expenditure
30
35
40
45
50
55
60
65
2007 2008 2009 2010 2011
(c4) Global manufacturing surveys
Purchasing Managers Index, sa
Euro area
US
Asia
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
5% 35% 65% 95%
Currency Devaluation, %
G
D
P

G
r
o
w
t
h
,
%
(c5) Fiscal adjustments, then & now
Prior
European
and Latin
adjustments
1975-2000
Europe
today
-2%
-1%
0%
1%
2%
3%
4%
5%
6%
7%
8%
1956 1965 1974 1983 1992 2001 2010
(c6) Real S&P 500 earnings yield
Trailing earnings yield less core CPI
As of
12/16/11
Assuming a 15%
decline in earnings
A Economia Ps-estmulo no de todo ruim (a capa mostra a mesma quantidade de rvores altas e baixas), mas a reduo de seus riscos
e incertezas no foi to expressiva de um ano atrs at hoje. Um quadro de referncia histrica que temos usado aparece no primeiro grfco:
um perodo anterior de incerteza monetria e fscal durante o qual os mercados apresentaram volatilidade e seguiram pela tangente. A alta no
mercado teve incio em 1982, quando havia um evidente caminho adiante, muito embora boa parte da confuso anterior ainda no tivesse sido
resolvida por completo. Em que p estamos desta vez em termos de incerteza monetria e fscal? Se por um lado os dfcits fscais esto sendo
domados e as fnanas domsticas esto se recuperando, a maioria das questes de dvida de longo prazo do Ocidente permanece sem resposta
em dezembro de 2011 (g2, g3).
Com o estmulo fscal chegando ao fm e com o afrouxamento no mais que modesto da poltica monetria a caminho (mais informaes
so encontradas nesta publicao), cada vez mais o setor privado ter de se virar por conta prpria. Os EUA esto demonstrando
certa resilincia (g4), ao passo que Europa e sia esto dando mais sinais de desacelerao. A grande questo para 2012 ser descobrir
a profundidade da recesso na Europa. As crises da dvida soberana anteriores quase sempre foram sanadas por uma combinao de
desvalorizao cambial, elevao do crescimento e afrouxamento enrgico da poltica monetria (g5). Em contraste, a Europa est tomando
o rumo da mxima resistncia: nada de crescimento, nada de desvalorizao, muita austeridade e a deciso de transformar o BCE em um
repositrio de bancos de m qualidade.
Os mercados acionrios esto cientes disso, com os preos to baixos quanto em dcadas (g6). Mesmo supondo uma queda* de 15%
nos lucros, os preos do S&P 500 ainda assim estariam no extremo inferior da histria. Considerando a avaliao, a volatilidade e todos os
riscos (tanto os conhecidos como os desconhecidos), nossas alocaes em aes esto modestamente abaixo do normal; os EUA representam a
nossa maior posio regional; e permanecemos bastante desconcentrados na Europa. Neste documento, apresentamos um panorama de nossas
opinies sobre Europa, EUA e sia, e de nossas prioridades de investimento para 2012. Trata-se de um relato em imagens; quando muitas
coisas atingem seus maiores extremos em dcadas (avaliaes de aes, dvida pblica, fnanas dos bancos centrais, achatamentos salariais,
estoque de moradias, etc.), as imagens falam mais alto do que as palavras. No anexo, algumas consideraes sobre o Ir, e uma estria de
austeridade europeia e sua ligao com a agitao social.
Sobre a cpula da UE em dezembro. A bolha da dvida europeia ser resolvida mais lentamente, em funo da deciso do BCE e dos bancos
centrais afliados de fnanciar praticamente todos os ativos mantidos por bancos da UE. As linhas de crdito bilaterais para as dvidas soberanas
tambm podero ser ampliadas se necessrio. O risco de um desmoronamento da Europa em 2012 pode ter cado por terra, mas o que persiste
o ressentimento de uma recesso, uma contrao no crdito e investidores possivelmente vendendo tudo o que tm para o BCE e outros
compradores no econmicos.
Michael Cembalest
Chief Investment Offcer
2012 Outlook
1
January 1, 2012
The Post-Stimulus Economy isnt all bad (there are as many tall trees on the cover as short ones), but its risks and uncertainties
have not declined that much from a year ago. One historical frame of reference we have been using is shown in the first chart: a
prior period of monetary and fiscal uncertainty during which markets were volatile, and sideways. The bull market began in
1982 when there was a clear path forward, even though a lot of the prior mess hadnt been completely dealt with. Where are we
this time in terms of monetary and fiscal uncertainty? While fiscal deficits are being reined in and household balance sheets are
healing, the long-term debt questions of the West remain mostly unanswered as of December 2011 (c2, c3).
With fiscal stimulus coming to an end and with only modest monetary policy easing in the pipeline (see inside cover for more
details), the private sector will increasingly have to make it on its own. The US is showing some resilience (c4), while
Europe and Asia are showing more signs of a slowdown. The big issue for 2012 will be how deep the European recession turns
out to be. Prior sovereign debt crises were almost always solved by a combination of currency devaluation, higher growth and
aggressive monetary easing (c5). In contrast, Europe is taking the path of most resistance: no growth, no devaluation, lots of
austerity and the decision to turn the ECB into a Bad Bank repository.
Equity markets are aware of this, priced as cheaply as they have been in decades (c6). Even assuming a 15% earnings
decline, the S&P 500 would still be priced at the cheap end of history. Factoring in valuation, volatility and the risks (both
known and unknown), our equity weightings are modestly lower than normal; the US is our largest regional position, and we
remain very underweight Europe. In this document, we walk through our views on Europe, the US and Asia, and our
investment priorities for 2012. Its a narrative in pictures; when many things are at their widest extremes in decades (equity
valuations, government debt, central bank balance sheets, depressed labor incomes, housing inventory, etc.), pictures are better
than words. In the appendix, some thoughts on Iran, and a history of European austerity and its connection to social unrest.
On the December EU summit. The European debt bubble will be unwound more slowly given the decision by the ECB and
member central banks to finance just about every asset held by EU banks, and the pressure on banks from governments to buy
more sovereign debt. Bilateral lending facilities for sovereigns may also be expanded if necessary. The risk of a 2012 Europe
meltdown may have melted, but what remains is a slow burn from a recession, a credit contraction and investors possibly selling
all theyve got to the ECB and other non-economic buyers.
Michael Cembalest
Chief Investment Officer
300
400
500
600
700
800
20
40
60
80
100
120
140
160
180
1972 1974 1976 1978 1980 1982
(c1) 1970s post-recovery equity
market wilderness
S&P 500 level Germany DAX level
Period of extreme
monetary and fiscal
uncertainty
Bull market
begins
30%
40%
50%
60%
70%
80%
90%
100%
110%
1970 1976 1982 1988 1994 2000 2006 2012
(c2) OECD debt levels
Percent of GDP, gross
30%
32%
34%
36%
38%
40%
42%
44%
46%
1970 1976 1982 1988 1994 2000 2006 2012
(c3) OECD budget deficits
Percent of GDP
Public revenues
Public expenditure
30
35
40
45
50
55
60
65
2007 2008 2009 2010 2011
(c4) Global manufacturing surveys
Euro area
US
Asia
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
5% 35% 65% 95%
Currency Devaluation, %
G
D
P

G
r
o
w
t
h
,
%
(c5) Fiscal adjustments, then & now
Prior
European
and Latin
adjustments
1975-2000
Europe
today
-2%
-1%
0%
1%
2%
3%
4%
5%
6%
7%
8%
1956 1965 1974 1983 1992 2001 2010
(c6) Real S&P 500 earnings yield
Trailing earnings yield less core CPI
As of
12/16/11
Assuming a 15%
decline in earnings
(g1) Selvageria dos mercados acionrios
ps-recuperao na dcada de 1970
Nvel do S&P 500 Alemanha - Nvel do DAX
(g2) Nveis de endividamento dos pases da OCDE
% do PIB (bruto)
(g3) Dfcits oramentrios dos pases da OCDE
% do PIB
(g4) Pesquisas da produo global
(g5) Ajustes fscais, antes e agora
Desvalorizao cambial, %
(g6) Rendimento real do S&P 500
Rendimento histrico menos IPC bsico
C
r
e
s
c
i
m
e
n
t
o

d
o

P
I
B
,

%
* No 4 trimestre de 2011, a porcentagem de pr-anncios de lucros negativos do S&P 500 correspondeu ao seu pico de 2001 e 2008. Outro
sinal: as empresas que prestaram informaes antes da Alcoa superaram os lucros consensuais para os ltimos 9 trimestres, ao passo que,
no 4 trimestre, fcaram atrs das estimativas em 2%.
Eye on the Market
|
2
EUROPA: exame de conscincia em meio a recesso
Um ano atrs, observamos que Jacques Delors (um dos principais arquitetos do euro) afrmou que a Europa precisava encontrar sua alma.
No momento em que estas palavras so escritas, ainda est procurando. Na ltima entrevista com Delors, ele admitiu que o euro j comeou
falho. Um de nossos grfcos usados com mais frequncia (g7) mostra como: veja o hiato na produo industrial entre Alemanha e Itlia,
que comeou em perfeita sincronia com a Unio Monetria Europeia. Em notas anteriores, destacamos como as disparidades nas taxas de
crescimento e emprego entre norte e sul da Europa nunca estiveram to evidentes como esto agora, mesmo durante a era da desvalorizao e
infao frequentes no sul do continente. Um projeto idealizado para promover a integrao acabou por compromet-la.
Evitarei os infndveis diagnsticos dos problemas, para ir direto ao desfecho: uma reformulao do euro com o barco andando, j que
os mercados perderam a confana na moeda (g8). Embora Grcia, Irlanda e Portugal estejam sob a tutela do estado, as necessidades de
emprstimo de pases maiores em 2012 tambm esto em questo (g9). S no 1 trimestre de 2012, a Itlia precisa emitir 112 bilhes em
notas do tesouro e obrigaes. O balano patrimonial do BCE (g10) pode ter de aumentar em 1 trilho para custear dvidas soberanas (g11)
e bancos subcapitalizados com reservas insufcientes (g12, g13), a despeito da oposio da Alemanha
1
. No se trata apenas de uma crise da
dvida soberana/bancria, conforme observado pelo avano da dvida das empresas, sobretudo na Espanha e em Portugal (g14). O grfco g5
mostra que o caminho normalmente seguido a desvalorizao externa. A Europa est tomando o rumo da desvalorizao interna mas, at o
momento, a Irlanda o nico pas que fez progresso (g15). Quanto Irlanda, seramos mais otimistas se no fosse por um acachapante ndice
de dvida/PIB de 140%, consequncia de sua deciso de socorrer os depositantes da UE nos bancos irlandeses.
1
O garoto batendo os ps no grfco do BCE retirado de Die Geschichte vom Suppen-Kaspar (Struwwelpeter).
2012 Outlook
2
January 1, 2012
EUROPE: soul-searching into a recession
A year ago, we noted that Jacques Delors (a principal architect of the Euro) said that Europe needed to find its soul. As of the
time of this writing, they are still looking for it. In Delors latest interview, he conceded that the Euro was flawed from the start.
One of our most frequently used charts (c7) shows how: look at the gap in industrial production between Germany and Italy,
which began like clockwork with the European Monetary Union. In prior notes, we highlighted how European North-South
disparities in growth and employment have never been larger than they are now, even during the era of frequent devaluation and
inflation in Southern Europe. A project designed to foster integration has ended up jeopardizing it.
I will avoid the endless diagnoses of the problems, and skip to the endgame: a mid-flight redesign of the Euro since markets
have lost confidence in it (c8). While Greece, Ireland and Portugal are wards of the state, 2012 borrowing needs of larger
countries are in question as well (c9). In Q1 2012 alone, Italy must issue 112 billion in bills and bonds. The ECB balance sheet
(c10) may have to grow by 1 trillion to support sovereigns (c11) and under-capitalized, under-reserved banks (c12, c13), despite
opposition from Germany
1
. This is not just a sovereign/banking crisis, as noted by the rise in corporate debt, particularly in
Spain and Portugal (c14). Chart c5 shows that external devaluation is the road typically taken. Europe is taking the internal
devaluation route, but so far, Ireland is the only country that has made progress (c15). As for Ireland, wed be more optimistic if
it werent for a crippling 140% debt to GNP ratio, a consequence of its decision to bail out EU depositors in Irish banks.
1
The boy stamping his feet in the ECB chart is from Die Geschichte vom Suppen-Kaspar (Struwwelpeter).
70
80
90
100
110
120
130
140
1982 1986 1990 1994 1998 2002 2006 2010
(c7) Death in Venice
Industrial Production Index, 1998 = 100, sa
Italy
Germany
Euro exchange
rate fixed
2.5%
3.5%
4.5%
5.5%
6.5%
7.5%
Jan-10 Jun-10 Nov-10 Apr-11 Sep-11
(c8) Sovereign 10-year yields
Percent
Belgium
Spain
Italy
France
0%
5%
10%
15%
20%
25%
30%
France Italy Spain
Maturing debt and interest
Primary deficit
(c9) Maturing debt, interest due and
primary deficits in 2012, Percent of GDP
355bn
327bn
203bn
5%
10%
15%
20%
25%
30%
35%
2007 2008 2009 2010 2011
(c10) Central bank balance sheets
Percent of GDP
US
ECB
UK
Japan
ECB plus 1 trillion
20%
40%
60%
80%
100%
120%
140%
160%
1861 1886 1911 1936 1961 1986 2011
(c11) Italian debt/GDP, Total gross
general government debt/GDP, percent
WW I
WW II
0x
1x
2x
3x
4x
5x
6x
7x
U
S
P
O
L
I
T
G
R
G
E
R
B
E
F
R
S
P
A
T
D
K
U
K
I
R
L
(c12) Europe: bigger banks, bigger
problems, Liabilities, multiple of GDP
Foreign banks
Domestic banks
0%
1%
2%
3%
4%
5%
USbanks EUbanks
(c13) Loan loss provisions on
performing credit loans, Percent
-20%
-10%
0%
10%
20%
30%
40%
50%
60%
S
P
B
E
P
R
T
U
K
F
R
I
T
D
K
N
O F
I
A
T
G
R
U
S
G
E
R
A
U
S
W
E
C
A
J
P
N
N
L
(c14) Change in non-financial corp.
debt from 2000-2010, Percent of GDP
90
95
100
105
110
115
120
125
130
135
140
2000 2002 2004 2006 2009 2011
(c15) Long road to convergence
Unit labor cost, index, Q1 2000 = 100, sa
Spain
Italy
Germany
France
Ireland
(g7) Morte em Veneza
ndice da produo industrial, 1998 = 100, sa
(g8) Rendimento dos ttulos soberanos de 10 anos
Percentual
(g9) Dvida vincenda, juros devidos e dfcits
primrios em 2012, % do PIB
2012 Outlook
2
January 1, 2012
1
1
70
80
90
100
110
120
130
140
1982 1986 1990 1994 1998 2002 2006 2010
Italy
Germany
Euro exchange
rate fixed
2.5%
3.5%
4.5%
5.5%
6.5%
7.5%
Percent
Belgium
Spain
Italy
France
0%
5%
10%
15%
20%
25%
30%
France Italy Spain
Primary deficit
355bn
327bn
203bn
5%
10%
15%
20%
25%
30%
35%
2007 2008 2009 2010 2011
Percent of GDP
US
ECB
UK
Japan
ECB plus 1 trillion
20%
40%
60%
80%
100%
120%
140%
160%
1861 1886 1911 1936 1961 1986 2011
WW I
WW II
0x
1x
2x
3x
4x
5x
6x
7x
U
S
P
O
L
I
T
G
R
G
E
R
B
E
F
R
S
P
A
T
D
K
U
K
I
R
L
Foreign banks
Domestic banks
0%
1%
2%
3%
4%
5%
USbanks EUbanks
-20%
-10%
0%
10%
20%
30%
40%
50%
60%
S
P
B
E
P
R
T
U
K
F
R
I
T
D
K
N
O F
I
A
T
G
R
U
S
G
E
R
A
U
S
W
E
C
A
J
P
N
N
L
90
95
100
105
110
115
120
125
130
135
140
2000 2002 2004 2006 2009 2011
Spain
Italy
Germany
France
Ireland
(g11) Relao dvida/PIB da Itlia, Relao
endividamento pblico bruto total/PIB (%)
(g12) Europa: bancos maiores, problemas
maiores, Passivos, mltiplo do PIB
(g13) Provises de perdas sobre a realizao de
emprstimos a vencer, %
(g14) Variao na dvida no fnanceira das
empresas no perodo 2000-2010, % do PIB
(g15) O longo caminho at a convergncia
Custo unitrio da mo-de-obra, ndice,
T1 2000 = 100, sa
2012 Outlook
2
January 1, 2012
1
1
70
80
90
100
110
120
130
140
1982 1986 1990 1994 1998 2002 2006 2010
Italy
Germany
Euro exchange
rate fixed
2.5%
3.5%
4.5%
5.5%
6.5%
7.5%
Percent
Belgium
Spain
Italy
France
0%
5%
10%
15%
20%
25%
30%
France Italy Spain
Primary deficit
355bn
327bn
203bn
5%
10%
15%
20%
25%
30%
35%
2007 2008 2009 2010 2011
Percent of GDP
US
ECB
UK
Japan
ECB plus 1 trillion
20%
40%
60%
80%
100%
120%
140%
160%
1861 1886 1911 1936 1961 1986 2011
WW I
WW II
0x
1x
2x
3x
4x
5x
6x
7x
U
S
P
O
L
I
T
G
R
G
E
R
B
E
F
R
S
P
A
T
D
K
U
K
I
R
L
Foreign banks
Domestic banks
0%
1%
2%
3%
4%
5%
USbanks EUbanks
-20%
-10%
0%
10%
20%
30%
40%
50%
60%
S
P
B
E
P
R
T
U
K
F
R
I
T
D
K
N
O F
I
A
T
G
R
U
S
G
E
R
A
U
S
W
E
C
A
J
P
N
N
L
90
95
100
105
110
115
120
125
130
135
140
2000 2002 2004 2006 2009 2011
Spain
Italy
Germany
France
Ireland
(g10) Balano patrimonial dos bancos centrais
% do PIB
(g11) Relao dvida/PIB da Itlia, Relao
endividamento pblico bruto total/PIB (%)
(g12) Europa: bancos maiores, problemas
maiores, Passivos, mltiplo do PIB
Eye on the Market
|
3
2012 Outlook
3
January 1, 2012
The irony of Italy in the eye of the storm is that since 1991, its primary budget has been in surplus (c16). However, Italy has no
choice given its debt burden of 1.9 trillion Euros (c11), a by-product of its 1980s fiscal crises. Italy has paid a price for this
austerity (and its low productivity), generating almost the lowest growth rate in the OECD over the last 20 years, ahead of only
Japan (c17). Its going to take a lot of work to convince markets that Italy is solvent, and that its debt is declining. We dont
think it is: c18 shows an optimistic and pessimistic case, although neither represents possible extremes. We assume near-term
funding costs of ~6%, which as Italian debt matures, bring its overall average cost of debt from 3.9% to 4.4% by 2014.
Will Maastricht 2.0 work, promising deficit limits that turn Italy and Spain into a Mediterranean Germany?
Germanys long-term plan appears to be: a heavy dose of austerity to reduce sovereign debt trajectories; commitments to run
German fiscal policy; a Franco-German governance framework to enforce it; after all of that, a lot more help from the ECB; a
lower Euro; and then, eventually, some kind of federalism (Eurobonds or other quasi-permanent transfers).
Its a risky strategy given the risk of a prolonged recession, superimposed on a region with 20 trillion in sovereign and
financial sector debt outstanding (c19). Spains economy, for example, is in free fall. See Appendix A for charts on how bad
things are in Spain, and a history of austerity and unrest in Europe over the last century.
Its not clear that the only difference between Germany and Italy/Spain is a slate of structural reforms. Even if reforms are
put in motion, they have a short-term growth cost, particularly when applied to labor markets (c20). So far, Italys proposed
adjustment is based more on higher taxes than lower spending; there has been less of a focus on addressing Italys yawning
productivity gaps vs. Germany, which are also noticeable in France (c21). On the matter of France, it is difficult to believe that it
will live by a 0.5% structural budget deficit limit; as shown a couple of weeks ago, it flies in the face of French budgetary history.
Investors are unconvinced: in 2011, US money market funds cut exposure to EU banks in half, and dollar bond issuance by EU
banks fell by 70%. Stress tests applied to EU banks, whose gross leverage is 26:1, are seen by many investors as unrealistic (e.g.,
the latest round stressed sovereign debt, but not household or corporate debt). As the EFSF, the IMF and other non-economic
buyers increase exposure, private investors may see this as an opportunity to exit (see Appendix C for some history).
Europe will try to finance budget deficits through the use of bilateral and ECB facilities. But they dont address the regions large
current account deficits which finance domestic consumption, particularly in France, Italy and Spain.
A lot of master plans look good on paper; so did Maastricht 1.0. Our sense is that Germany and other AAA countries will not
be able or willing to bear the ultimate cost
2
. If so, Mr. Delors will have to look for Europes soul someplace other than Berlin.
2
Debt to GDP levels in France (85%) and Germany (81%) are already elevated. Based on estimates of growth and govt deficits, the
German ratio is projected to decline, while the French one peaks at 87% in 2014. After including pro rata shares of existing and future
bilateral guarantees, assumed guarantees of Central Bank SMP purchases and risk of deficit slippage, both ratios rise well over 90%.
-8%
-6%
-4%
-2%
0%
2%
4%
6%
8%
1970 1977 1984 1991 1998 2005 2012
(c16) Italian primary balance
Surplus/deficit before interest, % of GDP
Cyclically
adjusted
As reported
0%
1%
2%
3%
4%
5%
6%
7%
S
G
P
K
O
R
T
W
I
R
L
H
K
A
U
N
Z
C
A
U
S
N
O
I
C
E
F
I
S
P
S
W
E
N
L
U
K
A
T
G
R
B
E
D
K
P
R
T
F
R
S
W
Z
G
E
R
I
T
J
P
N
(c17) 20-year growth rates, 1991-2011
Percent
Italy
116%
119%
122%
125%
128%
131%
134%
2009 2010 2011 2012 2013 2014
(c18) Can Italy's debt stabilize?
Government debt, percent of GDP
Optimistic case:
Real GDP of 0.5%/0.5%
Primary balance: 2.6%/4.1%
Pessimistic case:
Real GDP of -1.5%/-0.5%
Primary balance:
1.3%/2.2%
5.0
6.5
8.0
9.5
11.0
12.5
14.0
2001 2003 2005 2007 2009 2011
(c19) Outstanding debt in Euro Area
Trillions, EUR
Financial
corporations
General
government
-3%
-2%
-1%
0%
1%
2%
3%
4%
5%
0 3 6 9 12
(c20) Growth response to structural
reforms, Cumulative percent change in
real GDP per capita
Tax Reform
Labor Reform
Financial
Reform
Trade Reform
Years
39%
44%
49%
54%
59%
64%
1970 1978 1986 1994 2002 2010
(c21) Vive la difference!
Real exports, France as a percent of Germany
A ironia de ver a Itlia no olho do furaco que, desde 1991, seu oramento tem apresentado supervit primrio (g16). Contudo, a Itlia no
tem escolha, tendo em vista o nus de sua dvida de 1,9 trilho de euros (g11), resultado de suas crises fscais da dcada de 1980. A Itlia pagou
um preo por essa austeridade (e sua baixa produtividade), quase gerando o mais baixo ndice de crescimento da OCDE nos ltimos 20 anos,
na frente apenas do Japo (g17). Ser muito trabalhoso convencer os mercados de que a Itlia solvente, e que sua dvida est caindo. Achamos
que no est: g18 mostra um caso otimista e um caso pessimista, muito embora nenhum dos dois represente possveis extremos. Consideramos
os custos de fnanciamento de curto prazo em cerca de 6%, o que, com o vencimento da dvida italiana, faz seu custo mdio geral da dvida
saltar de 3,9% para 4,4% at 2014.
Ser que o Maastricht 2.0 ir funcionar, prometendo limites de dfcit que transformem a Itlia e a Espanha em uma Alemanha
mediterrnea?
O plano de longo prazo da Alemanha parece ser o seguinte: uma forte dose de austeridade para reduzir a evoluo da dvida soberana; compromissos
para a gesto da poltica fscal alem; um marco de governana franco-alemo para aplic-la; depois de tudo isso, muito mais ajuda do BCE;
um euro mais baixo; e ento, fnalmente, algum tipo de federalismo (obrigaes europeias ou outras transferncias semipermanentes).
uma estratgia arriscada, considerando o risco de recesso prolongada, imposto a uma regio com 20 trilhes em dvida soberana e
do setor fnanceiro em aberto (g19). A economia da Espanha, por exemplo, est em queda livre. Ver, no Anexo A, grfcos sobre o quanto as
coisas vo mal na Espanha, e um histrico de austeridade e agitao na Europa nos ltimos cem anos.
No est claro se a nica diferena entre Alemanha e Itlia/Espanha uma leva de reformas estruturais. Mesmo que as reformas
sejam defagradas, elas apresentam um custo de crescimento de curto prazo, principalmente quando aplicadas aos mercados de trabalho
(g20). At o momento, a proposta de ajuste da Itlia se baseia mais no aumento dos impostos do que na reduo dos gastos; houve um foco
menor na soluo dos hiatos escancarados da produtividade em comparao com a Alemanha, que tambm so notveis na Frana (g21). E
por falar na Frana, difcil acreditar que ir sobreviver com um limite de dfcit oramentrio estrutural de 0,5%; conforme mostrado h
algumas semanas, uma afronta ao histrico oramentrio da Frana.
Os investidores no esto convencidos: em 2011, os fundos de curtssimo prazo norte-americanos cortaram a exposio aos bancos da
UE pela metade, e a emisso de obrigaes em dlar pelos bancos da UE sofreu queda de 70%. Testes de estresse aplicados aos bancos da
UE, cuja alavancagem bruta de 26 para 1, so considerados por muitos investidores como irrealistas (por exemplo, a ltima rodada testou
a dvida soberana, mas no a dvida das residncias ou das empresas). Com o aumento da exposio por parte do EFSF, do FMI e de outros
compradores no econmicos, os investidores privados podem encarar isso como uma oportunidade para sair (ver histrico no Anexo C).
A Europa tentar fnanciar os dfcits oramentrios com o uso de linhas bilaterais e do BCE. Porm, estes no solucionam os enormes
dfcits em transaes correntes que fnanciam o consumo interno, sobretudo na Frana, Itlia e Espanha.
Vrios planos diretores fcam lindos no papel; assim como o Maastricht 1.0. Nossa sensao que a Alemanha e outros pases de
classifcao AAA no tero condies ou interesse de arcar com o custo fnal
2
. Nesse caso, o Sr. Delors ter de procurar a alma da Europa
em algum lugar que no Berlim.
2
Os nveis de endividamento/PIB na Frana (85%) e Alemanha (81%) j esto elevados. Com base em estimativas de crescimento e dfcits pblicos, projeta-se queda para
o ndice alemo, ao passo que o ndice francs atinge seu pico em 87% no ano de 2014. Aps incluir parcelas proporcionais de garantias bilaterais existentes e futuras,
supostas garantias de compras do Banco Central por intermdio do SMP e o risco de derrapagem do dfcit, os dois ndices sobem bem acima de 90%.
2012 Outlook
3
January 1, 2012
The irony of Italy in the eye of the storm is that since 1991, its primary budget has been in surplus (c16). However, Italy has no
choice given its debt burden of 1.9 trillion Euros (c11), a by-product of its 1980s fiscal crises. Italy has paid a price for this
austerity (and its low productivity), generating almost the lowest growth rate in the OECD over the last 20 years, ahead of only
Japan (c17). Its going to take a lot of work to convince markets that Italy is solvent, and that its debt is declining. We dont
think it is: c18 shows an optimistic and pessimistic case, although neither represents possible extremes. We assume near-term
funding costs of ~6%, which as Italian debt matures, bring its overall average cost of debt from 3.9% to 4.4% by 2014.
Will Maastricht 2.0 work, promising deficit limits that turn Italy and Spain into a Mediterranean Germany?
Germanys long-term plan appears to be: a heavy dose of austerity to reduce sovereign debt trajectories; commitments to run
German fiscal policy; a Franco-German governance framework to enforce it; after all of that, a lot more help from the ECB; a
lower Euro; and then, eventually, some kind of federalism (Eurobonds or other quasi-permanent transfers).
Its a risky strategy given the risk of a prolonged recession, superimposed on a region with 20 trillion in sovereign and
financial sector debt outstanding (c19). Spains economy, for example, is in free fall. See Appendix A for charts on how bad
things are in Spain, and a history of austerity and unrest in Europe over the last century.
Its not clear that the only difference between Germany and Italy/Spain is a slate of structural reforms. Even if reforms are
put in motion, they have a short-term growth cost, particularly when applied to labor markets (c20). So far, Italys proposed
adjustment is based more on higher taxes than lower spending; there has been less of a focus on addressing Italys yawning
productivity gaps vs. Germany, which are also noticeable in France (c21). On the matter of France, it is difficult to believe that it
will live by a 0.5% structural budget deficit limit; as shown a couple of weeks ago, it flies in the face of French budgetary history.
Investors are unconvinced: in 2011, US money market funds cut exposure to EU banks in half, and dollar bond issuance by EU
banks fell by 70%. Stress tests applied to EU banks, whose gross leverage is 26:1, are seen by many investors as unrealistic (e.g.,
the latest round stressed sovereign debt, but not household or corporate debt). As the EFSF, the IMF and other non-economic
buyers increase exposure, private investors may see this as an opportunity to exit (see Appendix C for some history).
Europe will try to finance budget deficits through the use of bilateral and ECB facilities. But they dont address the regions large
current account deficits which finance domestic consumption, particularly in France, Italy and Spain.
A lot of master plans look good on paper; so did Maastricht 1.0. Our sense is that Germany and other AAA countries will not
be able or willing to bear the ultimate cost
2
. If so, Mr. Delors will have to look for Europes soul someplace other than Berlin.
2
Debt to GDP levels in France (85%) and Germany (81%) are already elevated. Based on estimates of growth and govt deficits, the
German ratio is projected to decline, while the French one peaks at 87% in 2014. After including pro rata shares of existing and future
bilateral guarantees, assumed guarantees of Central Bank SMP purchases and risk of deficit slippage, both ratios rise well over 90%.
-8%
-6%
-4%
-2%
0%
2%
4%
6%
8%
1970 1977 1984 1991 1998 2005 2012
(c16) Italian primary balance
Surplus/deficit before interest, % of GDP
Cyclically
adjusted
As reported
0%
1%
2%
3%
4%
5%
6%
7%
S
G
P
K
O
R
T
W
I
R
L
H
K
A
U
N
Z
C
A
U
S
N
O
I
C
E
F
I
S
P
S
W
E
N
L
U
K
A
T
G
R
B
E
D
K
P
R
T
F
R
S
W
Z
G
E
R
I
T
J
P
N
(c17) 20-year growth rates, 1991-2011
Percent
Italy
116%
119%
122%
125%
128%
131%
134%
2009 2010 2011 2012 2013 2014
(c18) Can Italy's debt stabilize?
Government debt, percent of GDP
Optimistic case:
Real GDP of 0.5%/0.5%
Primary balance: 2.6%/4.1%
Pessimistic case:
Real GDP of -1.5%/-0.5%
Primary balance:
1.3%/2.2%
5.0
6.5
8.0
9.5
11.0
12.5
14.0
2001 2003 2005 2007 2009 2011
(c19) Outstanding debt in Euro Area
Trillions, EUR
Financial
corporations
General
government
-3%
-2%
-1%
0%
1%
2%
3%
4%
5%
0 3 6 9 12
(c20) Growth response to structural
reforms, Cumulative percent change in
real GDP per capita
Tax Reform
Labor Reform
Financial
Reform
Trade Reform
Years
39%
44%
49%
54%
59%
64%
1970 1978 1986 1994 2002 2010
(c21) Vive la difference!
Real exports, France as a percent of Germany
(g16) Saldo primrio da Itlia
Supervit/dfcit antes dos juros, % do PIB
(g17) ndices de crescimento de 20 anos, 1991-2011
Percentual
(g18) A dvida da Itlia capaz de se estabilizar?
Dvida pblica, % do PIB
(g19) Dvida em aberto na Zona do Euro
Trilhes de euros
(g20) Resposta do crescimento s reformas
estruturais, Variao percentual acumulada no PIB
real per capita
Anos
(g21) Vive la difference!
Exportaes reais, participao da Frana na Alemanha (%)
Eye on the Market
|
4
2012 Outlook
4
January 1, 2012
UNITED STATES: some decoupling from Europe and Asia, and the kindness of strangers
The US has generated better than expected news recently, including surveys of manufacturing (c22), light truck sales, consumer
spending, etc. Household balance sheets continue to heal, noted by the decline in credit card delinquency rates (c23). But the
strong spending data is a bit of a mystery. Some of it can be explained by the decline in debt service (rather than debt levels;
c24). But housing isnt contributing much of a boost, given negative pricing trends and massive shadow inventory (c25).
Theres also the question of how much spending can rise when disposable income is weak (c26); the income measure below
includes government transfers, and would look much weaker without them(c57 vs. c58). Perhaps the fact that the wealthiest
10% account for 30%-40% of spending explains its resilience. It looks like parts of the labor market are recovering (c27); if job
losses in construction, government and finance stop getting worse, the jobs picture would look much better. Labor incomes are
at multi-decade lows relative to corporate sales and GDP, but prospects for the large number of unemployed may be getting
better on the margin, based on jobless claims, manpower surveys, the household survey, and a survey of small business (NFIB).
This years 8% jump in capital spending (c28) was not a surprise. Since 2009 was the first year since 1932 in which the net
capital stock declined (c29), the rise was catch-up for a period of underinvestment. We have seen conflicting surveys regarding
capex intentions for 2012, with some higher (Citi) and some lower (ISM). We expect a positive contribution from the business
sector in 2012, and an economy-wide growth rate of ~2.25%. Commercial and industrial loan growth has been rising (c30),
offsetting continued weakness in residential loan demand, which supports some optimism on business spending for next year.
20
30
40
50
60
70
2001 2003 2005 2007 2009 2011
(c22) Some better news from
manufacturing surveys, Index, sa
New orders
Total
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
2006 2007 2008 2009 2010 2011
(c23) Credit card delinquencies
Percent, 90+ days delinquent
10.5%
11.0%
11.5%
12.0%
12.5%
13.0%
13.5%
14.0%
60%
70%
80%
90%
100%
110%
120%
130%
140%
1980 1990 2000 2010
(c24) Household debt and debt
service, Percent of disposable income
Household
debt (LHS)
Debt service
(RHS)
0
1
2
3
4
5
6
7
8
9
2003 2005 2007 2009 2011
(c25) Shadow housing inventory
Millions of units
90+days
delinquent
Foreclosed
Bank-ownedreal estate
Existing
Current but underwater
-10%
-6%
-2%
2%
6%
10%
1990 1994 1998 2002 2006 2010
(c26) Spending vs. income
Percent change, QoQ, real, annualized, sa
Disposable income,
including govt. transfers
Consumption
91
92
93
94
95
96
97
98
99
100
33
34
35
36
37
38
39
1998 2001 2004 2007 2010
(c27) Bipolar labor market
Millions
Construction +
government +
finance (LHS)
Total excluding construction +
government + finance (RHS)
8
9
10
11
12
2003 2005 2007 2009 2011
(c28) Capital spending recovery
Billions of 2005 USD
-2%
0%
2%
4%
6%
8%
10%
'50 '60 '70 '80 '90 '00 '10
(c29) Capital stock
Percent change, YoY
Estimate for 2011
-20%
-15%
-10%
-5%
0%
5%
10%
15%
20%
25%
2007 2008 2009 2010 2011
(c30) C&I loan growth
Percent change, YoY
ESTADOS UNIDOS: certa desvinculao da Europa e da sia, e a bondade de estranhos
Os EUA geraram ultimamente notcias melhores do que o esperado, inclusive pesquisas da produo (g22), vendas de caminhonetes, consumo,
etc. As fnanas domsticas continuam a se recuperar, conforme indicado pela queda nos ndices de inadimplncia dos cartes de crdito (g23).
Mas o vigor dos dados de consumo um pouco misterioso. Parte deles pode ser explicada pelo recuo no servio da dvida (e no dos nveis
da dvida; g24). Mas a moradia no est contribuindo muito, dadas as tendncias negativas e o imenso estoque-sombra (g25). H tambm a
questo de quanto o consumo capaz de aumentar quando a renda disponvel estiver fraca (g26); a medida da renda abaixo inclui repasses
governamentais, e pareceria muito mais fraca sem esses repasses (g57 vs. g58). Talvez o fato de os 10% mais ricos responderem por 30 a 40%
do consume explique sua resilincia. Aparentemente, setores do mercado de trabalho esto se recuperando (g27); se as perdas de empregos na
construo, governo e fnanas parassem de piorar, a situao dos empregos teria aspecto muito melhor. Os salrios encontram-se nas mnimas
de vrias dcadas em relao ao faturamento das empresas e ao PIB, mas as perspectivas para o grande nmero de desempregados podem estar
melhorando na margem, com base nos pedidos de auxlio desemprego, pesquisas sobre a mo-de-obra, pesquisa das residncias e uma pesquisa
das pequenas empresas (NFIB).
O salto de 8% nos gastos de capital este ano (g28) no foi uma surpresa. Como 2009 foi o primeiro ano desde 1932 em que houve queda
do estoque de capital lquido (g29), o aumento foi uma compensao por um perodo de subinvestimentos. Constatamos pesquisas confitantes
no que diz respeito s intenes de investimentos em bens de capital para 2012, com algumas mais elevadas (Citi) e outros mais baixas (ISM).
Prevemos uma contribuio positiva do setor privado em 2012, e uma taxa de crescimento de cerca de 2,25% para a economia como um todo.
O crescimento dos emprstimos comerciais e industriais vem subindo (g30), compensando a defcincia contnua da demanda por emprstimos
para imveis residenciais, o que justifca certo otimismo com o gasto das empresas para o prximo ano.
2012 Outlook
4
January 1, 2012
UNITED STATES: some decoupling from Europe and Asia, and the kindness of strangers
The US has generated better than expected news recently, including surveys of manufacturing (c22), light truck sales, consumer
spending, etc. Household balance sheets continue to heal, noted by the decline in credit card delinquency rates (c23). But the
strong spending data is a bit of a mystery. Some of it can be explained by the decline in debt service (rather than debt levels;
c24). But housing isnt contributing much of a boost, given negative pricing trends and massive shadow inventory (c25).
Theres also the question of how much spending can rise when disposable income is weak (c26); the income measure below
includes government transfers, and would look much weaker without them(c57 vs. c58). Perhaps the fact that the wealthiest
10% account for 30%-40% of spending explains its resilience. It looks like parts of the labor market are recovering (c27); if job
losses in construction, government and finance stop getting worse, the jobs picture would look much better. Labor incomes are
at multi-decade lows relative to corporate sales and GDP, but prospects for the large number of unemployed may be getting
better on the margin, based on jobless claims, manpower surveys, the household survey, and a survey of small business (NFIB).
This years 8% jump in capital spending (c28) was not a surprise. Since 2009 was the first year since 1932 in which the net
capital stock declined (c29), the rise was catch-up for a period of underinvestment. We have seen conflicting surveys regarding
capex intentions for 2012, with some higher (Citi) and some lower (ISM). We expect a positive contribution from the business
sector in 2012, and an economy-wide growth rate of ~2.25%. Commercial and industrial loan growth has been rising (c30),
offsetting continued weakness in residential loan demand, which supports some optimism on business spending for next year.
20
30
40
50
60
70
2001 2003 2005 2007 2009 2011
(c22) Some better news from
manufacturing surveys, Index, sa
New orders
Total
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
2006 2007 2008 2009 2010 2011
(c23) Credit card delinquencies
Percent, 90+ days delinquent
10.5%
11.0%
11.5%
12.0%
12.5%
13.0%
13.5%
14.0%
60%
70%
80%
90%
100%
110%
120%
130%
140%
1980 1990 2000 2010
(c24) Household debt and debt
service, Percent of disposable income
Household
debt (LHS)
Debt service
(RHS)
0
1
2
3
4
5
6
7
8
9
2003 2005 2007 2009 2011
(c25) Shadow housing inventory
Millions of units
90+days
delinquent
Foreclosed
Bank-ownedreal estate
Existing
Current but underwater
-10%
-6%
-2%
2%
6%
10%
1990 1994 1998 2002 2006 2010
(c26) Spending vs. income
Percent change, QoQ, real, annualized, sa
Disposable income,
including govt. transfers
Consumption
91
92
93
94
95
96
97
98
99
100
33
34
35
36
37
38
39
1998 2001 2004 2007 2010
(c27) Bipolar labor market
Millions
Construction +
government +
finance (LHS)
Total excluding construction +
government + finance (RHS)
8
9
10
11
12
2003 2005 2007 2009 2011
(c28) Capital spending recovery
-2%
0%
2%
4%
6%
8%
10%
'50 '60 '70 '80 '90 '00 '10
(c29) Capital stock
Percent change, YoY
Estimate for 2011
-20%
-15%
-10%
-5%
0%
5%
10%
15%
20%
25%
2007 2008 2009 2010 2011
(c30) C&I loan growth
Percent change, YoY
(g24) Endividamento das famlias e servio da
dvida, % da renda disponvel
(g27) Mercado de trabalho bipolar
Milhes
(g22) Algumas notcias melhores das pesquisas
de produo, ndice, sa
(g25) Estoque de imveis residenciais-sombra
Milhes de unidades
(g23) Inadimplncia dos cartes de crdito
%, vencido h mais de 90 dias
(g26) Consumo vs. renda
Variao percentual, trimestral, real, anualizada, sa
(g27) Mercado de trabalho bipolar
Milhes
(g30) Crescimento dos emprstimos comerciais e
industriais, Variao percentual anual
(g25) Estoque de imveis residenciais-sombra
Milhes de unidades
(g28) Recuperao nos gastos de capital
Bilhes de dlares (2005)
(g26) Consumo vs. renda
Variao percentual, trimestral, real, anualizada, sa
(g29) Estoque de capital
Variao percentual anual
Eye on the Market
|
5
2012 Outlook
5
January 1, 2012
The elephant in the room: US government debt
The failure of the Super Committee to agree to a deficit reduction plan cannot be dismissed by saying, at least they will have
mandatory sequestered cuts instead. The Super Committee was supposed to be the beginning of a process, not the end. If it
ends here, the government debt burden is not stabilized (c31), and another $5 trillion in deficit reduction over 10 years would
still be needed to reach the sustainable debt levels projected in the latest CBO estimate. The problem: almost all government
revenues are already spoken for through mandatory programs or interest (c32), and the 2012 budget deficit is still projected at
6%-8%. As a result, there is not that much fiscal democracy left, as described by Eugene Steuerle of Brookings, leaving most
members of Congress with little to do but fight over the scraps that remain. US gross debt to GDP passed 100% for only the
second time in its history last month (c33). The last time this happened, the US was fighting a two-front war and preparing a
land invasion of Japan (Operation Downfall). As Walt Kellys Pogo once said, We have met the enemy, and he is us.
An extension of the payroll tax cut that is not fully funded reduces the austerity burden next year (c34), and leaves the Federal
debt issue to be dealt with in the future. So far, the US Treasury has survived based on the kindness of strangers: foreign
central banks increasing their holdings (c35), and purchases by the Fed (c36). It pays to be the worlds reserve currency (c37),
which is helping prevent the kind of market revolt that sent European debt markets reeling. However, with the backdrop below,
I am reminded of the following remark from late MIT economist Rudiger Dornbusch: Crisis takes a much longer time coming
than you think, and then it happens much faster than you would have thought.
30%
40%
50%
60%
70%
80%
90%
100%
110%
2004 2007 2010 2013 2016 2019
(c31) Long-term debt scenarios
Net debt to GDP, percent
CBOAugust Baseline
Budget Control Act Phases 1 & 2
CBO June Alternative case
$5 trillion
gap
-10%
0%
10%
20%
30%
40%
50%
60%
70%
1962 1971 1980 1989 1998 2007 2016
(c32) Percent of gov't. revenue not
committed to mandatory spending
0%
20%
40%
60%
80%
100%
120%
1900 1922 1944 1966 1988 2010
(c33) The US reaches its Pogo
moment, Gross debt to GDP, percent
100%
-5%
-4%
-3%
-2%
-1%
0%
1%
2%
3%
4%
1963 1971 1979 1987 1995 2003 2011
(c34) Fiscal adj. in 2012, Change in
cyclically-adjusted fiscal deficit, % of GDP
Fiscal tightening
Fiscal easing
Assuming payroll tax cuts
&unemployment insurance
benefits are extended
5%
10%
15%
20%
25%
30%
35%
1994 1998 2002 2006 2010
(c35) Foreign holdings of US debt
Percent of total net debt outstanding
Official sector
Private sector
6%
8%
10%
12%
14%
16%
18%
1994 1998 2002 2006 2010
(c36) Fed holdings of US debt
Percent of total net debt outstanding
1400 1575 1750 1925 2100
Portugal
Spain
Netherl
France
Britain
US
(c37) Reserve currency status does
not last forever
Year
-18
-14
-10
-6
-2
2
6
10
14
18
1999 2003 2007 2011
(c38) Quarterly state tax revenue
growth, Percent change, YoY
Some good news for municipal bond
buyers: state tax revenues have picked
up after some tax rate increases, and
states have also been shrinking their
payrolls and capex plans to balance
budgets. This has a broader economic
cost, but in isolation, supports the
credit risk of many state and local
issuers, particularly general obligation
and essential service revenue bonds.
O elefante na sala: a dvida pblica dos EUA
A incapacidade do Super Comit em chegar a um acordo sobre um plano de reduo do dfcit no pode ser ignorada afrmando-se que, ao
invs disso, pelo menos haver isolados cortes compulsrios. O Super Comit deveria ser o incio de um processo, e no o fm. Se acabar
aqui, o nus da dvida pblica deixa de ser estabilizado (g31), e outros US$ 5 trilhes em reduo do dfcit ao longo de 10 anos ainda seriam
necessrios para se alcanar os nveis de endividamento sustentvel projetados na mais recente estimativa da Comisso de Oramento do
Congresso (CBO). O problema: a quase totalidade das receitas pblicas j est comprometida por meio de programas compulsrios ou juros
(g32), e o dfcit oramentrio de 2012 ainda est projetado na faixa de 6 a 8%. Consequentemente, no resta tanta democracia fscal,
conforme descrito por Eugene Steuerle, da Brookings, deixando a maioria dos membros do Congresso com pouco a fazer a no ser brigar pelas
migalhas. A relao dvida bruta/PIB dos EUA ultrapassou a marca de 100% apenas pela segunda vez na histria no ms passado (g33). Da
ltima vez que isso aconteceu, os EUA estavam travando uma guerra em duas frentes e preparando uma invaso por terra ao Japo (Operao
Downfall). Como disse certa vez Pogo, de Walt Kelly: Encontramos o inimigo, e ele somos ns.
Uma ampliao do corte de impostos sobre a folha de pagamentos que no seja integralmente fundeada acaba por reduzir o nus da austeridade
no ano que vem (g34), deixando a questo da dvida do governo federal para ser resolvida no futuro. At o momento, o Tesouro dos EUA
sobreviveu com base na bondade de estranhos: bancos centrais estrangeiros aumentando seus investimentos (g35), e aquisies por parte
do Fed (g36). Vale a pena ser a moeda de reserva do mundo (g37), o que ajuda a impedir o tipo de insurreio que deixou os mercados de
dvida europeus cambaleantes. Entretanto, com o pano de fundo abaixo, sou relembrado acerca da seguinte observao do saudoso Rudiger
Dornbusch, economista do MIT: A crise leva bem mais tempo para se instalar do que se imagina, e a acontece bem mais rpido do que se
teria imaginado.
Algumas boas notcias para os compradores de
ttulos municipais: as arrecadaes de impostos
estaduais registraram recuperao aps alguns
aumentos nas alquotas dos impostos, e os
estados tambm vm promovendo cortes em
suas folhas de pagamento e capex a fm de
equilibrar os oramentos. Isso traz um custo
econmico mais amplo mas, de forma isolada,
apoia o risco de crdito de muitos emissores
estaduais e municipais, sobretudo em relao
a ttulos de obrigao geral e de receitas de
servios essenciais.
(g31) Cenrios de endividamento de longo prazo
ndice de endividamento lquido sobre o PIB (%)
(g33) EUA atingem seu momento Pogo,
Endividamento bruto/PIB (%)
(g32) % de receitas pblicas no empenhadas em
gastos compulsrios
(g34) Ajuste fscal em 2012, Variao do dfcit fscal
ajustado ciclicamente, % do PIB
(g35) Posies estrangeiras em dvida dos EUA
% da dvida lquida total em aberto
(g36) Posies do Fed na dvida dos EUA
% da dvida lquida total em aberto
(g37) O status de moeda de reserva no dura
para sempre
(g38) Crescimento trimestral das arrecadaes de
impostos estaduais, Variao percentual, anual
Eye on the Market
|
6
2012 Outlook
6
January 1, 2012
ASIA: finding out what growth looks like without all the stimulus
2011 should have been a good year for Asian financial assets; after all, Asia generated the best combination of real GDP growth
and corporate profits growth of the three major regions (c39). We had positioned for this, but were not rewarded for it, as Asian
equities underperformed. The first problem: Asia over-stimulated, bringing policy rates net of headline inflation to zero. While
the recovery in GDP growth was V-shaped, it also brought with it much higher inflation (c40). Blunt policy measures were then
needed to rein it in. China is one illustrative example: money supply growth had to fall by more than half (from 30% to 13%) in
order to bring inflation under control (c41). The good news is that inflation is now in retreat, with the latest reading close to 4%.
The rate of Chinese RMB appreciation will probably slow, as it did from July 2008 to July 2010 when growth slowed down.
The second problem is European bank deleveraging, which runs the risk of a credit contraction in Asia, as the region was the
primary beneficiary of the expansion in EU and UK bank balance sheets (c42). While organic growth in Asia is real, in places
like China, growth has become more reliant on more and more credit (c43). The impact of monetary tightening, credit
tightening and slower growth in Europe can been seen in the decline in Chinese exports and manufacturing surveys (c44).
We are still optimistic on the region for the long haul. Consumer spending in China is growing at a rapid pace: pay attention to
growth rates in spending, rather than its share of GDP (c45). The region has been running current account surpluses for years,
reducing sensitivity to external shocks (c46). Reduced financing from Europe will be felt, but can be made up by domestic
sources given high saving rates. We expect 2012 to be an improvement over 2011, even at lower projected growth rates (c47).
0%
2%
4%
6%
8%
10%
12%
14%
16%
Real GDP Earnings
(c39) 2011 real GDP and earnings
US
Dev.
Europe
Asia ex.
Japan
0%
1%
2%
3%
4%
5%
6%
7%
8%
2%
3%
4%
5%
6%
7%
8%
9%
10%
11%
2001 2003 2005 2007 2009 2011
(c40) Asia over-stimulated
Percent change, YoY
Headline CPI
(RHS)
Real GDP
(LHS)
-2%
0%
2%
4%
6%
8%
10%
10%
15%
20%
25%
30%
1998 2000 2003 2006 2009 2011
(c41) Chinese inflation comes down as
money supply tightens
%, YoY, lagging 6 months %, YoY
M2
(LHS)
CPI
(RHS)
100
200
300
400
500
600
700
800
900
1,000
2005 2006 2007 2008 2009 2010 2011
(c42) Bankenstein's Monster
Billions, USD
European
bank claims
on Asia ex.
Japan
US bank claims on
Asia ex. Japan
100%
120%
140%
160%
180%
200%
220%
240%
2002 2003 2005 2006 2008 2009 2011
(c43) Heavy reliance on credit, China's
society-wide credit as % of nominal GDP
40
42
44
46
48
50
52
54
56
58
-40%
-30%
-20%
-10%
0%
10%
20%
30%
40%
50%
60%
2005 2007 2009 2011
(c44) Chinese exports & manufacturing
survey, Percent change, YoY Index, sa
Exports
(LHS)
PMI
(RHS)
32%
35%
38%
41%
44%
47%
50%
1993 1996 1999 2002 2005 2008
1,300
3,300
5,300
7,300
9,300
11,300
13,300
(c45) Chinese consumer: watch the
level, not the share, % of GDP Yuan
Household
consumption/GDP
(LHS)
Annual retail
sales per capita
(RHS)
-2%
0%
2%
4%
6%
1990 1993 1996 1999 2002 2005 2008 2011
(c46) Asia's current account balance
Percent of GDP
Asia ex.
China/Japan
2%
3%
4%
5%
6%
7%
8%
9%
10%
11%
1994 1997 2000 2003 2005 2008 2011
(c47) Asia ex. Japan real GDP growth
rates, Percent change, YoY
Historical
Consensus
forecast
IMF
forecast
2012 Outlook
6
January 1, 2012
0%
2%
4%
6%
8%
10%
12%
14%
16%
Real GDP Earnings
US
Dev.
Europe
Asia ex.
Japan
0%
1%
2%
3%
4%
5%
6%
7%
8%
2%
3%
4%
5%
6%
7%
8%
9%
10%
11%
2001 2003 2005 2007 2009 2011
Percent change, YoY
Headline CPI
(RHS)
Real GDP
(LHS)
-2%
0%
2%
4%
6%
8%
10%
10%
15%
20%
25%
30%
1998 2000 2003 2006 2009 2011
M2
(LHS)
CPI
(RHS)
100
200
300
400
500
600
700
800
900
1,000
2005 2006 2007 2008 2009 2010 2011
Billions, USD
European
bank claims
on Asia ex.
Japan
US bank claims on
Asia ex. Japan
100%
120%
140%
160%
180%
200%
220%
240%
2002 2003 2005 2006 2008 2009 2011
40
42
44
46
48
50
52
54
56
58
-40%
-30%
-20%
-10%
0%
10%
20%
30%
40%
50%
60%
2005 2007 2009 2011
Exports
(LHS)
PMI
(RHS)
32%
35%
38%
41%
44%
47%
50%
1993 1996 1999 2002 2005 2008
1,300
3,300
5,300
7,300
9,300
11,300
13,300
Household
consumption/GDP
(LHS)
Annual retail
sales per capita
(RHS)
-2%
0%
2%
4%
6%
1990 1993 1996 1999 2002 2005 2008 2011
Percent of GDP
Asia ex.
China/Japan
2%
3%
4%
5%
6%
7%
8%
9%
10%
11%
1994 1997 2000 2003 2005 2008 2011
Historical
Consensus
forecast
IMF
forecast
SIA: descobrindo como o crescimento sem todos os estmulos
2011 deve ter sido um bom ano para os ativos fnanceiros asiticos; afnal, a sia gerou a melhor combinao de crescimento real do PIB e
crescimento dos lucros das empresas das trs grandes regies (g39). Ns havamos nos posicionado para isso, mas no fomos recompensados,
visto que as aes asiticas tiveram desempenho inferior. O primeiro problema: com a sia superestimulada, os juros ofciais isentos da infao
global vieram a zero. Embora a recuperao no crescimento do PIB tenha assumido a forma de um V, tambm trouxe consigo uma disparada
da infao (g40). Tornou-se ento necessria a adoo de polticas contundentes para dom-la. A China um exemplo disso: o crescimento da
oferta monetria teve de cair mais da metade (de 30 para 13%) para colocar a infao sob controle (g41). A boa notcia que a infao agora
est recuando, com a ltima medio indicando um valor prximo a 4%. provvel que o ritmo de valorizao do RMB chins se desacelere,
como foi o caso entre julho de 2008 e julho de 2010, quando houve arrefecimento do crescimento.

O segundo problema a desalavancagem dos bancos europeus, que gera o risco de uma contrao do crdito na sia, j que a regio foi a
principal benefciria da expanso dos balanos dos bancos da UE e do Reino Unido (g42). Se por um lado o crescimento orgnico na sia
real, em lugares como a China, o crescimento se tornou mais dependente de quantidades crescentes de crdito (g43). O impacto do aperto
monetrio, do arrocho no crdito e da desacelerao do crescimento na Europa pode ser visto na queda das exportaes chinesas e das
pesquisas de produo (g44).
Ainda estamos otimistas no nvel regional com horizonte de longo prazo. O consumo na China est crescendo em ritmo acelerado: preste
ateno nos ndices de crescimento do consumo, e no em sua participao no PIB (g45). A regio vem registrando supervit nas transaes
correntes h anos, reduzindo assim a sensibilidade aos choques externos (g46). A reduo do fnanciamento da Europa ser sentida, mas pode
ser compensada por fontes internas, tendo em vista as elevadas taxas de poupana. Temos a expectativa de que 2012 represente uma melhoria
em relao a 2011, mesmo com projees de taxas de crescimento menores (g47).
2012 Outlook
6
January 1, 2012
0%
2%
4%
6%
8%
10%
12%
14%
16%
Real GDP Earnings
US
Dev.
Europe
Asia ex.
Japan
0%
1%
2%
3%
4%
5%
6%
7%
8%
2%
3%
4%
5%
6%
7%
8%
9%
10%
11%
2001 2003 2005 2007 2009 2011
Percent change, YoY
Headline CPI
(RHS)
Real GDP
(LHS)
-2%
0%
2%
4%
6%
8%
10%
10%
15%
20%
25%
30%
1998 2000 2003 2006 2009 2011
M2
(LHS)
CPI
(RHS)
100
200
300
400
500
600
700
800
900
1,000
2005 2006 2007 2008 2009 2010 2011
Billions, USD
European
bank claims
on Asia ex.
Japan
US bank claims on
Asia ex. Japan
100%
120%
140%
160%
180%
200%
220%
240%
2002 2003 2005 2006 2008 2009 2011
40
42
44
46
48
50
52
54
56
58
-40%
-30%
-20%
-10%
0%
10%
20%
30%
40%
50%
60%
2005 2007 2009 2011
Exports
(LHS)
PMI
(RHS)
32%
35%
38%
41%
44%
47%
50%
1993 1996 1999 2002 2005 2008
1,300
3,300
5,300
7,300
9,300
11,300
13,300
Household
consumption/GDP
(LHS)
Annual retail
sales per capita
(RHS)
-2%
0%
2%
4%
6%
1990 1993 1996 1999 2002 2005 2008 2011
Percent of GDP
Asia ex.
China/Japan
2%
3%
4%
5%
6%
7%
8%
9%
10%
11%
1994 1997 2000 2003 2005 2008 2011
Historical
Consensus
forecast
IMF
forecast
(g39) Crescimento do PIB real e dos rendimentos em 2011,
Variao percentual, anual
(g41) Infao da China cai com o aperto na oferta
monetria
%, anual, com defasagem de 6 meses %, anual
(g40) sia superestimulada
(g42) O monstro de Bankenstein
Bilhes de USD
(g44) Exportaes da China e pesquisa da
produo, Variao percentual, anual ndice, sa
(g43) Alta dependncia do crdito, Participao do
crdito sociedade chinesa no PIB nominal (%)
(g45) Consumidor chins: de olho no nvel, e no na
participao, % do PIB Yuan
(g47) ndices de crescimento do PIB da sia
ex. Japo, Variao percentual anual
(g46) Saldo em transaes correntes da sia
% do PIB
PIB real Lucros
Eye on the Market
|
7
2012 Outlook
7
January 1, 2012
INVESTMENTS
Concerns about the worlds imbalances have resulted in more idle cash than I have seen in 25 years. The first 3 charts below
look at some of it, parked in US commercial bank retail deposit accounts, central bank and sovereign wealth funds, and
corporate balance sheets. A related example: $700 billion in unspent leveraged buyout, real estate and venture capital
commitments as of Q3 2011. Measures of short interest and market sentiment also show extreme levels of pessimism. Putting
some investment capital to work today seems reasonable; the investments described below are where we are focusing in 2012.
On a portfolio basis, our equity weightings are below normal, for all the reasons explained in the prior sections.
Multinational equities, technology and equity income funds
The grids below show characteristics of select global and European multinational stocks. These companies have dividend yields
of 3%-5%, valuations at 10-11x 2012 earnings, and international revenue exposure. There are a lot of ways to gain exposure to
these companies, which we think should comprise a large part of any 2012 equity portfolio. On technology, the sector no longer
trades at any premium to the broad market. While growth expectations have come down in a world of deleveraging, the pricing
of technology stocks might be one of the cheapest options on a better outcome (c53). Stock selection is critical: over the last 4
years, return differentials between individual stocks have been greater in technology than healthcare, materials and financials.
Another part of our equity portfolio includes equity income funds. Dividend stocks have to be chosen carefully, since their P/Es
are high relative to history, particularly in the US utility and consumer staples sectors. The scope for dividend increases is rising
given corporate cash balances (c54). One preferred strategy focuses on companies with high dividend yields, but low dividend
payout ratios (c55); these companies have outperformed, perhaps due to the ability to reinvest in their core businesses.
3
4
5
6
7
8
9
2000 2002 2004 2006 2008 2010
(c48) US commercial bank excess
deposits, Trillions, USD
Deposits
Loans
0
1
2
3
4
5
6
7
8
'70 '80 '90 '00 '10
(c49) Foreign exchange reserves
Trillions, USD
Japan
Emerging Markets
4%
6%
8%
10%
12%
14%
1952 1960 1968 1976 1984 1992 2000 2008
(c50) US corporate cash balances
Cash and equivalents / tangible assets
Market Cap ($bn) 131.5
Forward P/E 11.0x
Dividend Yield 3.2%
Historical P/E 13.7x
% from 52-Week High -13%
% of Revenue Exposure
outside Home Country
69%
(c51) Global Multinationals
Average characteristics
Forward P/E 9.8x
Dividend Yield 4.8%
Return on Equity 29%
Net Debt to EBITDA 0.7
outside Europe
51%
(c52) Oversold European Multinationals
10
20
30
40
50
60
70
1995 1998 2001 2004 2007 2010
(c53) Forward P/E of S&P 500 and
S&P 500 Tech Index, Multiples
S&P 500 Tech Index
S&P 500
5%
6%
7%
8%
9%
10%
11%
12%
13%
20%
30%
40%
50%
60%
70%
1988 1992 1996 2000 2004 2008
(c54) Scope for dividend increases
Percent
Payout ratio (LHS)
Cash to tangible
assets (RHS)
-50%
50%
150%
250%
350%
1990 1994 1998 2002 2006 2010
(c55) Companies that can afford high
dividends outperform, Total return
High dividend yield,
high payout
High dividend
yield, low payout
S&P 500
2012 Outlook
7
January 1, 2012
INVESTMENTS
3
4
5
6
7
8
9
2000 2002 2004 2006 2008 2010
Deposits
Loans
0
1
2
3
4
5
6
7
8
'70 '80 '90 '00 '10
Trillions, USD
Japan
Emerging Markets
4%
6%
8%
10%
12%
14%
1952 1960 1968 1976 1984 1992 2000 2008
Forward P/E 11.0x
Dividend Yield 3.2%
69%
Forward P/E 9.8x
Dividend Yield 4.8%
outside Europe
51%
10
20
30
40
50
60
70
1995 1998 2001 2004 2007 2010
S&P 500 Tech Index
S&P 500
5%
6%
7%
8%
9%
10%
11%
12%
13%
20%
30%
40%
50%
60%
70%
1988 1992 1996 2000 2004 2008
Percent
Payout ratio (LHS)
Cash to tangible
assets (RHS)
-50%
50%
150%
250%
350%
1990 1994 1998 2002 2006 2010
high payout
High dividend
yield, low payout
S&P 500
INVESTIMENTOS
Preocupaes com os desequilbrios mundiais resultaram em mais caixa ocioso do que vi nos ltimos 25 anos. Os 3 primeiros grfcos abaixo
do conta de parte desse caixa, estacionado em contas de depsito no varejo de bancos comerciais dos EUA, banco central e fundos soberanos
e balanos das empresas. Um exemplo correlato: US$ 700 bilhes em compromissos com aquisies alavancadas, imveis e capital de risco
no gastos no 3 trimestre de 2011. Medidas de posies vendidas e sentimento do mercado tambm indicam nveis extremos de pessimismo. A
aplicao de certo capital de investimento hoje parece razovel; os investimentos descritos abaixo constituem o nosso foco em 2012. No mbito
da carteira, nossas alocaes em aes esto abaixo do normal, por todos os motivos apresentados nas sees anteriores.
Aes, tecnologia e fundos de renda varivel de vrios pases
As grades abaixo mostram caractersticas de uma seleo de aes globais e europeias. Essas empresas pagam dividendos entre 3 e 5%,
mltiplos de 1011x os lucros de 2012 e exposio internacional em suas receitas. H vrias formas de ganhar exposio a essas empresas, o
que, em nossa opinio, deveria compor uma grande parcela de qualquer carteira de aes em 2012. Quanto tecnologia, o setor no est mais
negociando acima do mercado em geral. Embora as expectativas de crescimento tenham baixado em um mundo de desalavancagem, os preos
das aes de empresas de tecnologia podem fazer delas uma das opes mais baratas na hiptese de um resultado melhor (g53). A seleo das
aes crucial: nos ltimos 4 anos, os diferenciais de retorno entre aes avulsas foram maiores no setor de tecnologia do que nos setores de
sade, materiais e fnanceiro.
Outro componente de nossa carteira de aes so os fundos de dividendos. As aes que rendem dividendos foram escolhidas com cuidado,
visto que seus P/Ls esto altos em termos histricos, principalmente nos setores de servios pblicos e bens de consumo bsico dos EUA.
O aumento da importncia dos dividendos se deve aos saldos de caixa das empresas (g54). Uma estratgia preferencial se concentra
em empresas com dividend yields elevados, porm com baixa relao dividendos pagos por lucro lquido (g55); essas empresas tiveram
desempenho acima do mercado, talvez em virtude da capacidade de reinvestir em seus focos de atuao.
2012 Outlook
7
January 1, 2012
INVESTMENTS
3
4
5
6
7
8
9
2000 2002 2004 2006 2008 2010
Deposits
Loans
0
1
2
3
4
5
6
7
8
'70 '80 '90 '00 '10
Trillions, USD
Japan
Emerging Markets
4%
6%
8%
10%
12%
14%
1952 1960 1968 1976 1984 1992 2000 2008
Forward P/E 11.0x
Dividend Yield 3.2%
69%
Forward P/E 9.8x
Dividend Yield 4.8%
outside Europe
51%
10
20
30
40
50
60
70
1995 1998 2001 2004 2007 2010
S&P 500 Tech Index
S&P 500
5%
6%
7%
8%
9%
10%
11%
12%
13%
20%
30%
40%
50%
60%
70%
1988 1992 1996 2000 2004 2008
Percent
Payout ratio (LHS)
Cash to tangible
assets (RHS)
-50%
50%
150%
250%
350%
1990 1994 1998 2002 2006 2010
high payout
High dividend
yield, low payout
S&P 500
(g48) Excedente de depsitos dos bancos
comerciais dos EUA, Trilhes de USD
(g49) Reservas cambiais
Trilhes de USD
(g50) Saldos de caixa das empresas dos EUA
Caixa e equivalentes/ativos tangveis
(g53) P/L projetado do S&P 500 e ndice de
tecnologia do S&P 500, Mltiplos
(g51) Multinacionais globais
Caractersticas mdias
(g54) Espao para aumento dos dividendos
Percentual
(g52) Multinacionais europeias sobrevendidas
Caractersticas mdias
(g55) As empresas capazes de arcar com altos
dividendos tm desempenho superior, Retorno total
Valor de Mercado (bi, USD) 129,1
P/L projetado 10,8x
Dividend Yield 3,3%
P/L histrico 13,7x
% da alta de 52 semanas -13%
% da receita com exposio
fora do pas de origem
69%
Valor de Mercado (bi, USD) 93,1
P/L projetado 9,6x
Dividend Yield 4,8%
Retorno sobre o patrimnio 29%
Endiv. lquido/EBITDA 0,7
% da receita com exposio
fora da Europa
51%
Eye on the Market
|
8
2012 Outlook
8
January 1, 2012
Equity valuations: low and likely to stay that way in 2012
Valuation multiples have fallen sharply from their historical averages (c56), on both a price-to-book and price-to-earnings basis.
However, we are not optimistic about multiple expansion until the imbalances of this cycle are reduced. One example of why:
consider where profitability has come from in the US. In contrast to prior cycles (c57), current cycle profits have been boosted
by very low labor compensation (c58). Given the fiscal, social and political issues this creates, its hard to pay a very high
multiple for this kind of profits boom. A resolution of the US long-term budget deficit would be very bullish for P/E multiples.
Europe: no appetite yet for a contrarian call, and looking for bank loan sales instead
A warning to skeptics like us: markets are underweight Europe, valuations are low (particularly banks, c59), and the larger
toolkit announced at the EU summit will slow the rate of deleveraging. However, our view is that while buying equities and
credit in the middle of a recession has proved fruitful for forward-looking investors (see October 21, 2009 EoTM for more
details), investing at the beginning of a recession rarely is. Secondly, while European bank valuations are low, they are not that
different from levels reached in prior banking crises (c60). A contrarian call for 2012 would be an overweight to European
equities. This is not a call we are ready to make (yet), and remain underweight Europe, and overweight the US.
Heres what we are focused on instead: purchases of loans from deleveraging European banks, which rely way more on volatile,
wholesale funding
3
than their counterparts in the US or Japan (c61). Here are some recent transactions from our managers:
Spain: performing consumer loans at a discount of 50%
Netherlands: 7,200 performing consumer loans at 64 cents on the Euro, sold by a failing bank
2 billion Euros in non-performing commercial mortgage loans in the UK, Germany and 6 other countries at a 58% discount
UK: performing residential mortgage loans at a 36% discount to par
To be clear, we do not have a view on when/if the constituency of the Eurozone might change. It is not clear that
anyone would have enough inside knowledge of Germanys real breaking point to know; or even if Germany itself has
figured this out. Nor do we have a very strong view on the bilateral $-Euro pair for 2012. Our concerns are focused on
European equities and sovereign credit, which we believe may suffer more underperformance vs. other regions.
3
A recent Bridgewater Associates report estimated that European banks own around $4 trillion in dollar-denominated assets, and that
90% of these assets are funded on a wholesale basis (compared to their domestic Euro-denominated assets, which are funded 30% with
wholesale money). While the Fed recently lowered the cost of a dollar liquidity facility made available to EU banks, eventually, many
of these assets will probably migrate to other private sector owners.
US
JPN
GER
SP
UK
KOR
AU
CHN
HK
FR
8x
10x
12x
14x
16x
0.8 1.3 1.8 2.3 2.8
(c56) The men who fell to earth
P/E and P/B ratios vs. long-term averages
LT average
Current
Price to book value
P
r
i
c
e

t
o

f
o
r
w
a
r
d

e
a
r
n
i
n
g
s
-100
100
300
500
700
900
0 1 2 3 4 5 6 7 8 9 10 11
(c57) Past 5 recoveries
Sales
Labor
compensation
Profits
Quarters since trough
-300
-100
100
300
500
700
900
0 1 2 3 4 5 6 7 8 9 10 11
(c58) Current recovery
Sales
Labor compensation
Profits
0.3
0.5
0.7
0.9
1.1
1.3
1.5
1.7
1.9
2.1
2007 2008 2009 2010 2011
(c59) European banks
Price-to-book ratio, Eurostoxx Banks Index
0.0
0.2
0.4
0.6
0.8
1.0
K
o
r
e
a

'
9
7
S
w
e
d
e
n

'
9
1
T
h
a
i
l
a
n
d

'
9
7
F
i
n
l
a
n
d

'
9
1
E
u
r
o
p
e

'
0
9
A
v
e
r
a
g
e
U
S

'
0
9
M
a
l
a
y
s
i
a

'
9
7
N
o
r
w
a
y

'
8
7
U
S

'
8
9
(c60) How bad can banks get in a
crisis? Trough price to tangible book
0.6
0.8
1.0
1.2
1.4
1.6
1.8
Western
Europe
US Japan
Median
Weighted average
(c61) G-3 banking sector loan to
deposit ratios
2012 Outlook
8
January 1, 2012
Equity valuations: low and likely to stay that way in 2012
Valuation multiples have fallen sharply from their historical averages (c56), on both a price-to-book and price-to-earnings basis.
However, we are not optimistic about multiple expansion until the imbalances of this cycle are reduced. One example of why:
consider where profitability has come from in the US. In contrast to prior cycles (c57), current cycle profits have been boosted
by very low labor compensation (c58). Given the fiscal, social and political issues this creates, its hard to pay a very high
multiple for this kind of profits boom. A resolution of the US long-term budget deficit would be very bullish for P/E multiples.
Europe: no appetite yet for a contrarian call, and looking for bank loan sales instead
A warning to skeptics like us: markets are underweight Europe, valuations are low (particularly banks, c59), and the larger
toolkit announced at the EU summit will slow the rate of deleveraging. However, our view is that while buying equities and
credit in the middle of a recession has proved fruitful for forward-looking investors (see October 21, 2009 EoTM for more
details), investing at the beginning of a recession rarely is. Secondly, while European bank valuations are low, they are not that
different from levels reached in prior banking crises (c60). A contrarian call for 2012 would be an overweight to European
equities. This is not a call we are ready to make (yet), and remain underweight Europe, and overweight the US.
Heres what we are focused on instead: purchases of loans from deleveraging European banks, which rely way more on volatile,
wholesale funding
3
than their counterparts in the US or Japan (c61). Here are some recent transactions from our managers:
Spain: performing consumer loans at a discount of 50%
Netherlands: 7,200 performing consumer loans at 64 cents on the Euro, sold by a failing bank
2 billion Euros in non-performing commercial mortgage loans in the UK, Germany and 6 other countries at a 58% discount
UK: performing residential mortgage loans at a 36% discount to par
To be clear, we do not have a view on when/if the constituency of the Eurozone might change. It is not clear that
anyone would have enough inside knowledge of Germanys real breaking point to know; or even if Germany itself has
figured this out. Nor do we have a very strong view on the bilateral $-Euro pair for 2012. Our concerns are focused on
European equities and sovereign credit, which we believe may suffer more underperformance vs. other regions.
3
A recent Bridgewater Associates report estimated that European banks own around $4 trillion in dollar-denominated assets, and that
90% of these assets are funded on a wholesale basis (compared to their domestic Euro-denominated assets, which are funded 30% with
wholesale money). While the Fed recently lowered the cost of a dollar liquidity facility made available to EU banks, eventually, many
of these assets will probably migrate to other private sector owners.
US
JPN
GER
SP
UK
KOR
AU
CHN
HK
FR
8x
10x
12x
14x
16x
0.8 1.3 1.8 2.3 2.8
(c56) The men who fell to earth
P/E and P/B ratios vs. long-term averages
LT average
Current
Price to book value
P
r
i
c
e

t
o

f
o
r
w
a
r
d

e
a
r
n
i
n
g
s
-100
100
300
500
700
900
0 1 2 3 4 5 6 7 8 9 10 11
(c57) Past 5 recoveries
Sales
Labor
compensation
Profits
-300
-100
100
300
500
700
900
0 1 2 3 4 5 6 7 8 9 10 11
(c58) Current recovery
Sales
Labor compensation
Profits
0.3
0.5
0.7
0.9
1.1
1.3
1.5
1.7
1.9
2.1
2007 2008 2009 2010 2011
(c59) European banks
Price-to-book ratio, Eurostoxx Banks Index
0.0
0.2
0.4
0.6
0.8
1.0
K
o
r
e
a

'
9
7
S
w
e
d
e
n

'
9
1
T
h
a
i
l
a
n
d

'
9
7
F
i
n
l
a
n
d

'
9
1
E
u
r
o
p
e

'
0
9
A
v
e
r
a
g
e
U
S

'
0
9
M
a
l
a
y
s
i
a

'
9
7
N
o
r
w
a
y

'
8
7
U
S

'
8
9
(c60) How bad can banks get in a
crisis? Trough price to tangible book
0.6
0.8
1.0
1.2
1.4
1.6
1.8
Western
Europe
US Japan
Median
Weighted average
(c61) G-3 banking sector loan to
deposit ratios
Valuation de aes: baixo e tendendo a manter esse patamar em 2012
Os mltiplos de avaliao registraram queda acentuada em relao a suas mdias histricas (g56), tanto em relao ao preo sobre valor
patrimonial como ao P/L. No entanto, somente fcaremos otimistas quanto expanso dos mltiplos quando houver reduo dos desequilbrios
desse ciclo. Um exemplo que justifca isso: pense na procedncia da lucratividade nos EUA. Em contraste com ciclos anteriores (g57), os lucros
do atual ciclo tiveram o impulso de salrios baixssimos (g58). Tendo em vista as questes fscais, sociais e polticas que isso cria, difcil pagar
um mltiplo muito elevado para esse tipo de boom dos lucros. A resoluo do dfcit oramentrio norte-americano no longo prazo seria um
fator de grande otimismo para os mltiplos de P/L.
Europa: ainda sem apetite por uma deciso contrria e, em vez disso, almejando venda de emprstimos bancrios
Uma advertncia para os cticos como ns: os mercados esto desconcentrados na Europa, as avaliaes esto baixas (sobretudo no caso dos
bancos, g59), e a ampliao da interveno anunciada na cpula da UE ir desacelerar o ndice de desalavancagem. Entretanto, nossa opinio
que, embora a compra de aes e crdito no meio de uma recesso tenha se mostrado proveitosa para os investidores (ver mais detalhes no
EoTM de 21 de outubro de 2009), o investimento no incio de uma recesso raramente . Em segundo lugar, se por um lado as avaliaes dos
bancos europeus esto baixas, no apresentam tanta diferena em relao aos nveis alcanados em crises bancrias anteriores (g60). Uma
deciso contrria para 2012 seria uma concentrao em aes europeias. Esta no uma deciso que estamos prontos para tomar (ainda),
e permanecemos desconcentrados na Europa e concentrados nos EUA.
Em vez disso, vejamos o nosso foco: aquisies de emprstimos de bancos europeus em processo de desalavancagem, que dependem muito mais
de fnanciamento voltil no atacado
3
do que seus concorrentes nos EUA ou Japo (g61). Eis aqui algumas transaes recentes de nossos gestores:
Espanha: emprstimos adimplentes ao consumidor com um desconto de 50%
Pases Baixos: 7.200 emprstimos adimplentes ao consumidor a 64 centavos de euro, vendidos por um banco em falncia
2 bilhes de euros em crditos hipotecrios comerciais inadimplentes no Reino Unido, Alemanha e outros 6 pases, com um desconto de 58%
Reino Unido: crditos para hipotecas residenciais adimplentes com um desconto de 36% em relao ao valor nominal
Vale esclarecer que no temos uma opinio em relao a quando/se a composio da Zona do Euro pode mudar. No est claro se
qualquer pessoa teria conhecimento privilegiado sufciente sobre o verdadeiro ponto de ruptura da Alemanha; ou mesmo que a prpria
Alemanha j tenha percebido isso. Tampouco temos uma opinio muito frme sobre a paridade dlar-euro bilateral para 2012. Nossas
preocupaes se concentram em aes europeias e crdito soberano europeu, os quais acreditamos que possam registrar mais desempenhos
abaixo do mercado em comparao com outras regies.
3
Segundo estimativas de um recente relatrio da Bridgewater Associates, os bancos europeus detm ativos denominados em dlares no valor aproximado de US$ 4 trilhes, e
90% desses ativos so fnanciados no atacado (em comparao com seus ativos internos denominados em euros, que so custeados a 30% com o dinheiro no atacado). Embora
recentemente o Fed tenha reduzido o custo de uma linha de liquidez em dlar disponibilizada aos bancos da UE, cedo ou tarde provvel que muitos desses ativos migrem para
outros proprietrios do setor privado.
(g56) Os homens que caram na Terra, Comparao
entre P/L e preo/valor patrimonial com as mdias de
longo prazo
(g59) Bancos europeus
Relao preo/valor patrimonial, ndice Bancrio Eurostoxx
P
/
L

p
r
o
j
e
t
a
d
o
Trimestres desde o nvel mnimo Trimestres desde o nvel mnimo
(g57) ltimas 5 recuperaes
(g60) Quanto os bancos podem piorar numa
crise? Preo sobre valor patrimonial tangvel mnimo
(g58) Atual recuperao
(g61) ndice de emprstimos sobre depsitos do
setor bancrio do G3
Preo/valor patrimonial
Eye on the Market
|
9
2012 Outlook
9
January 1, 2012
Private mezzanine debt, US high yield and leveraged loans
Investment grade and high yield spreads rallied sharply from 2009 to 2011. However, these spreads masked the reality that
many companies did not have the same kind of access they did before the credit bubble burst. As a result, some issuers have
had to look to private credit markets for financing, particularly newer issuers finding it more difficult to issue in public markets.
As shown below (c62), private credit lending through mezzanine (subordinated) debt may offer substantial yields, cash
coupons, substantial debt service coverage, call protection and equity beneath the mezzanine positions. However, these returns
come at a price: private lending portfolios are illiquid, can be concentrated by sector, and are usually less diversified (20-30
positions) than high yield mutual funds.
US high yield bond prices fell sharply in the wake of the US downgrade by S&P in August (c63). Current prices imply default
rates of around 40% over a 5-year period. These implied default rates are above the losses experienced during the prior two
recessions (c64), but lower than what was priced in during March 2009. We see value in the high yield market for unleveraged
investors who can ride out the volatility. Leveraged loans, currently priced at a spread of around 6.5%over 3-month Libor, are
another area of focus, given the implicit (and admittedly remote) inflation hedge.
Two caveats on credit. First, while the supply/demand dynamic in credit looks good for 2012 and 2013 (when credit demand
from portfolio buyers is expected to substantially exceed credit supply), maturities pick up substantially in 2014 and beyond
(c65). Second, credit volatility and bid/offer ratios are higher now, as dealer inventories have declined (c66), a function of
regulatory and other industry changes.
Commercial real estate
The search for yield resulted in a recovery in core real estate prices, shown above as major properties in major markets
(c67). As a result, we have seen better value in the distressed sector, assuming of course that it can be priced right, and
diversified. Usually, distressed transactions require motivated sellers, such as undercapitalized regional US banks; healthy
banks looking to sell foreclosed real estate; sub-investment grade companies looking to raise cash by selling wholly owned real
estate; and REITs looking to scale back their geographical or sector footprint. One example: a portfolio of 60 suburban office
properties sold at roughly $108 psf (a 40% discount to replacement cost), for a 9.3% cap rate based on 84% occupancy.
Another example of distress (not for the faint of heart): a neglected Boston-area office building thats only 48% occupied, sold
at $176 psf; thats around 50% of replacement cost. The benefit of acquiring buildings at steep discounts to replacement cost:
theres limited risk of new supply, and property owners can bid aggressively to attract tenants from other buildings.
(c62) Private credit fund characteristics
Equal-weighted averages
Corporate Comm. R/E
Yield to call 15.2% - 18.8% 12.7%
Yield to maturity 13.1% - 14.2% 12.6%
Cash coupon 8.6% - 10.4% 10.1%
Years to maturity 4.7 - 6.5 yrs 4.9 yrs
Debt / EBITDA 5.0x - 6.1x n/a
Estimated equity
cushion
23% - 42% 33%
Debt service
coverage
2.3x - 2.5x 1.2x
96
98
100
102
104
106
108
110
112
Jan-11 Apr-11 Jul-11 Oct-11
(c63) High yield vs. US government
bonds, Total return index, Q4 2010 =100
US High Yield
5-7 year
Treasuries
0%
10%
20%
30%
40%
50%
60%
70%
80%
(c64) Market implied 5-year cumulative
default rates, Percent, assuming 30%
recovery and 0% break-even return
Worst default rate for
entire HY universe
(1989-94 and 1999-04)
March 2009 Current
0
50
100
150
200
250
300
'12 '13 '14 '15 '16 '17 '18 '19 '20+
(c65) High yield loan and bond
maturities, Billions, USD
High yield
bonds
Leveraged loans
50
100
150
200
250
2003 2005 2006 2008 2009 2011
(c66) Primary dealer corporate bond
positions, Billions, USD
-65%
-55%
-45%
-35%
-25%
-15%
-5%
5%
Oct-07 Jan-09 Apr-10 Jul-11
(c67) US commercial real estate
Percent of decline since peak
Major properties
in major markets
Overall
properties
Distressed
properties
Dvida mezanino privada, rendimento elevado dos EUA e emprstimos alavancados
Os spreads dos ativos high yield com investment grade tiveram alta acentuada entre 2009 e 2011. Contudo, esses spreads mascaravam a
realidade de que muitas empresas no tinham o mesmo tipo de acesso que tinham antes do estouro da bolha de crdito. Em decorrncia disso,
alguns emissores tiveram de recorrer a mercados de crdito privado para obter fnanciamento, sobretudo os emissores mais novos que tinham
mais difculdade para fazer emisses em mercados pblicos. Conforme mostrado abaixo (g62), a oferta de crdito privado por meio da dvida
mezanino (isto , subordinada) pode oferecer rendimentos considerveis, cupons de caixa, cobertura expressiva do servio da dvida, proteo
de compra e aes abaixo das posies da dvida mezanino. No entanto, esses retornos tm um preo: as carteiras de emprstimo privado so
ilquidas, podem ser concentradas por setor e geralmente so menos diversifcadas (20 a 30 posies) do que os fundos mtuos de alto rendimento.
Os preos das obrigaes de high yield dos EUA despencaram no rastro do rebaixamento do pas pela S&P em agosto (g63). Os atuais preos
supem taxas de inadimplncia em torno de 40% ao longo de um perodo de 5 anos. Essas taxas de inadimplncia implcitas esto acima das
perdas sofridas durante as duas recesses anteriores (g64), porm mais baixas do que aquilo que foi considerado nos preos durante o ms
de maro de 2009. Vemos valor no mercado de high yield para os investidores desalavancados capazes de se desvencilhar da volatilidade. Os
emprstimos alavancados, cujos preos atuais incorporam um spread de cerca de 6,5% para a Libor de trs meses, so outra rea de foco, dada
a proteo implcita (e reconhecidamente remota) contra a infao.
Duas advertncias sobre o crdito. Primeiro, embora a dinmica de oferta/demanda do crdito parea boa para 2012 e 2013 (quando prev-se
que a demanda pelo crdito por parte de compradores de carteira exceda de forma considervel a oferta de crdito), os vencimentos registram
recuperao expressiva em 2014 e depois (g65). Em segundo lugar, a volatilidade do crdito e as taxas de bid/offer esto mais elevados agora
com a queda dos estoques das corretoras (g66), em funo de alteraes regulamentares e de outras mudanas do setor.
2012 Outlook
9
January 1, 2012
Private mezzanine debt, US high yield and leveraged loans
Investment grade and high yield spreads rallied sharply from 2009 to 2011. However, these spreads masked the reality that
many companies did not have the same kind of access they did before the credit bubble burst. As a result, some issuers have
had to look to private credit markets for financing, particularly newer issuers finding it more difficult to issue in public markets.
As shown below (c62), private credit lending through mezzanine (subordinated) debt may offer substantial yields, cash
coupons, substantial debt service coverage, call protection and equity beneath the mezzanine positions. However, these returns
come at a price: private lending portfolios are illiquid, can be concentrated by sector, and are usually less diversified (20-30
positions) than high yield mutual funds.
US high yield bond prices fell sharply in the wake of the US downgrade by S&P in August (c63). Current prices imply default
rates of around 40% over a 5-year period. These implied default rates are above the losses experienced during the prior two
recessions (c64), but lower than what was priced in during March 2009. We see value in the high yield market for unleveraged
investors who can ride out the volatility. Leveraged loans, currently priced at a spread of around 6.5%over 3-month Libor, are
another area of focus, given the implicit (and admittedly remote) inflation hedge.
Two caveats on credit. First, while the supply/demand dynamic in credit looks good for 2012 and 2013 (when credit demand
from portfolio buyers is expected to substantially exceed credit supply), maturities pick up substantially in 2014 and beyond
(c65). Second, credit volatility and bid/offer ratios are higher now, as dealer inventories have declined (c66), a function of
regulatory and other industry changes.
Commercial real estate
The search for yield resulted in a recovery in core real estate prices, shown above as major properties in major markets
(c67). As a result, we have seen better value in the distressed sector, assuming of course that it can be priced right, and
diversified. Usually, distressed transactions require motivated sellers, such as undercapitalized regional US banks; healthy
banks looking to sell foreclosed real estate; sub-investment grade companies looking to raise cash by selling wholly owned real
estate; and REITs looking to scale back their geographical or sector footprint. One example: a portfolio of 60 suburban office
properties sold at roughly $108 psf (a 40% discount to replacement cost), for a 9.3% cap rate based on 84% occupancy.
Another example of distress (not for the faint of heart): a neglected Boston-area office building thats only 48% occupied, sold
at $176 psf; thats around 50% of replacement cost. The benefit of acquiring buildings at steep discounts to replacement cost:
theres limited risk of new supply, and property owners can bid aggressively to attract tenants from other buildings.
(c62) Private credit fund characteristics
Equal-weighted averages
Corporate Comm. R/E
Yield to call 15.2% - 18.8% 12.7%
Yield to maturity 13.1% - 14.2% 12.6%
Cash coupon 8.6% - 10.4% 10.1%
Years to maturity 4.7 - 6.5 yrs 4.9 yrs
Debt / EBITDA 5.0x - 6.1x n/a
Estimated equity
cushion
23% - 42% 33%
Debt service
coverage
2.3x - 2.5x 1.2x
96
98
100
102
104
106
108
110
112
Jan-11 Apr-11 Jul-11 Oct-11
(c63) High yield vs. US government
bonds, Total return index, Q4 2010 =100
US High Yield
5-7 year
Treasuries
0%
10%
20%
30%
40%
50%
60%
70%
80%
(c64) Market implied 5-year cumulative
default rates, Percent, assuming 30%
recovery and 0% break-even return
Worst default rate for
entire HY universe
(1989-94 and 1999-04)
March 2009 Current
0
50
100
150
200
250
300
'12 '13 '14 '15 '16 '17 '18 '19 '20+
(c65) High yield loan and bond
maturities, Billions, USD
High yield
bonds
Leveraged loans
50
100
150
200
250
2003 2005 2006 2008 2009 2011
(c66) Primary dealer corporate bond
positions, Billions, USD
-65%
-55%
-45%
-35%
-25%
-15%
-5%
5%
Oct-07 Jan-09 Apr-10 Jul-11
(c67) US commercial real estate
Percent of decline since peak
Major properties
in major markets
Overall
properties
Distressed
properties
Imveis comerciais
A busca pelo rendimento acarretou uma recuperao nos preos bsicos dos imveis, mostrados acima como major properties in major
markets (grandes imveis em grandes mercados) (g67). Em decorrncia disso, constatamos melhor valor no setor em difculdades, supondo,
naturalmente, que possa ser adequadamente precifcado e diversifcado. Normalmente, as transaes problemticas requerem vendedores
motivados, como bancos norte-americanos regionais subcapitalizados; bancos saudveis com a inteno de vender imveis que tiveram sua
hipoteca executada; empresas abaixo do investment grade com a inteno de levantar fundos por meio da venda de imveis de propriedade
integral; e REITs (fundos de investimento em imveis) que queiram reduzir sua presena geogrfca ou setorial. Um exemplo: uma carteira de
60 imveis de escritrios em bairros afuentes vendida a cerca de US$ 108 o p quadrado (um desconto de 40% do custo de reposio), por uma
taxa mxima de 9,3% com base em um ndice de ocupao de 84%. Outro exemplo de difculdade (somente para aqueles que tm estmago
forte): um prdio de escritrios abandonado na rea de Boston com ocupao de apenas 48%, vendido a US$ 176 o p quadrado; tem-se a cerca
de 50% do custo de reposio. O benefcio de se adquirir prdios com descontos extremos do custo de reposio: h um risco limitado de nova
oferta, e os donos dos imveis podem fazer ofertas agressivas para atrair inquilinos de outros prdios.
(g62) Caractersticas do fundo de crdito privado
Mdias de mesma ponderao
(g63) Ativos high yield vs. obrigaes pblicas
dos EUA, ndice de retorno total, T4 2010 = 100
(g66) Posies em ttulos privados das corretoras
diretas, Bilhes de USD
(g64) Taxas de inadimplncia cumulativas de 5 ano
implcitas no mercado, %, admitindo recuperao de
30% e retorno do ponto de equilbrio de 0%
(g67) Imveis comerciais dos EUA
% de queda desde o pico
(g65) Vencimentos dos crditos e obrigaes high
yield, Bilhes de USD
Empresas R/P com.
Rendimento at a
compra
15,2%18,8% 12,7%
Rendimento at
o vencimento
13,1%14,2% 12,6%
Cupom de caixa 8,6%10,4% 10,1%
Anos at o
vencimento
4,7 a 6,5 anos 4,9 anos
Dvida/EBITDA 5,0x a 6,1x N/A
Estimativas de
protees de aes
23%42% 33%
Cobertura do servio
da dvida
2,3x a 2,5x 1,2x
Eye on the Market
|
10
2012 Outlook
10
January 1, 2012
Oil and Gas investments
In November, we wrote our annual Thanksgiving piece on the outlook for conventional and renewable energy sources, and
related investments. Its worth a read if you are interested in the subject matter; it was based on a day we spent with Vaclav
Smil and his 2010 book, Energy Myths and Realities. One trend we noted towards the end of the piece is that projections for
global liquids production and US dry gas production both assume substantial contributions from non-conventional sources (c69,
c70). This creates opportunities across the entire value chain, including exploration and production, distribution and services.
On natural gas, new finds have been rewarding, even with natural gas prices at current low levels (c68), since large major oil
and gas companies aggregate proven reserves, and are willing to pay a premium for them given their long-term horizons. On
crude oil, many of our investments focus on so-called renaissance plays, which entail older, mostly depleted fields which
majors sell as they reshuffle their reserve mix to higher-growth assets. Service companies include firms providing enhanced oil
recovery, fracking and waste-water management. Other servicing investments are related to deep-sea fields recently discovered
off the coast of Brazil. We have discussed these projects before (EoTM September 2009). The sub-salt fields in Brazil lie 7
kilometers below the surface of the ocean, beneath a thick salt canopy in the Lower Tertiary region. Oil extraction can be quite
complicated due to the low permeability and porosity of the salt canopy, and tar pockets. Our investments in this region are
linked to providing services, rather than owning exploration and production assets themselves.
Gold, macro hedge funds and oil
Gold has been correlated to lots of things (c71): credit spreads on European sovereigns (directly); the yield on inflation
protected bonds (inversely) and the highly liquid money supply (directly). Gold markets are volatile, have attracted a lot of hot
money that needs to book profits from time to time, and are always at risk of Central Banks unloading supply. However, until
the variables mentioned (sovereign spreads, the monetary base and inflation fears) move back to where they started, we would
not sell gold here. Last year we wrote that we expected gold to be volatile in 2011, but end the year higher than it began. We
have the same view for 2012.
We generally use hedge funds as a
complement to underweight positions
in equities. One of the more successful
strategies involves macro hedge
funds. As shown (c72), individual
macro hedge funds generate a lot of
volatility. When grouped (even
randomly) into pods of 5 funds, low
correlation tends to reduce return, but
reduce volatility even more. Thats a
tradeoff we see as sensible. As for oil
markets, we are expecting below-trend
oil demand growth in 2012 given the
recession in Europe and slower GDP growth in Asia in the first half of the year, but still an increase in oil demand overall. As
inflation comes off the boil in Asia, we expect oil demand to pick up later in the year. Any supply increases from Libya and
Iraq might be offset by Gulf countries returning to pre-Libyan war production levels; since July 2010, Kuwait, Saudi Arabia and
the UAE increased production by 2 million barrels per day. The wild card for oil markets in 2012 is Iran and its continuing
quest to enrich uranium (see Appendix B). Bottom line: any 10%+ declines in oil prices would represent good value.
0
2
4
6
8
10
12
14
16
1999 2001 2003 2005 2007 2009 2011
(c68) Natural gas spot price
USD/mmBtu
0
20
40
60
80
100
120
1990 2000 2010 2020 2030
(c69) Global liquids production
Million barrels per day
OPEC
Conventional
Unconventional
Non-OPEC
Conventional
History Projections
0
5
10
15
20
25
30
1990 2000 2010 2020 2030
(c70) US dry gas production
Trillion cubic feet per year
History Projections
Shale gas
Net imports
Alaska
Associated with oil
Tight gas
Non-associated
offshore
Non-associated onshore
Coalbed methane
-20%
-10%
0%
10%
20%
30%
40%
0% 25% 50% 75%
(c72) Macro hedge funds require
diversification, 5-yr annualized return
Volatility
Indiv. funds
5 random funds
Jan-09 Dec-09 Nov-10 Oct-11
(c71) Gold is correlated to everything
Gold price
($ / ounce)
10y TIPS yield
(Inverted, %)
Western Europe
Sovereign 5y CDS
spread (Bps)
Highly liquid
money supply ($)
Investimentos em petrleo e gs
Em novembro, escrevemos nosso artigo anual do feriado de Ao de Graas sobre as perspectivas das fontes de energia convencionais e
renovveis, e sobre os investimentos correlatos. Vale a pena ler se voc estiver interessado no assunto; o artigo baseou-se em um dia que passamos
com Vaclav Smil e em seu livro Energy Myths and Realities, de 2010. Uma tendncia que observamos no fnal da obra foi que as projees
para a produo global de lquidos e a produo de gs seco dos EUA pressupem contribuies substanciais de fontes no convencionais (g69,
g70), o que gera oportunidades ao longo de toda a cadeia de valor, inclusive na explorao e produo, distribuio e servios.
No que se refere ao gs natural, novas descobertas tm sido gratifcantes, mesmo com os preos do gs natural nos atuais baixos nveis (g68), visto
que as grandes companhias de petrleo e gs agregam reservas comprovadas, e esto dispostas a pagar um valor diferenciado por elas,
dados os seus horizontes de longo prazo. Quanto ao petrleo bruto, muitos de nossos investimentos se concentram nas chamadas peas do
renascimento, que implicam campos mais antigos, exauridos em sua maior parte, que os lderes da indstria petrolfera vendem quando
reformulam seu mix de reservas visando ativos de maior crescimento. Entre as empresas de servio esto as empresas que realizam a
recuperao avanada de petrleo, o fraturamento e o manejo de guas residuais. Outros investimentos de manuteno esto relacionados aos
campos em guas profundas recentemente descobertos na costa brasileira. Ns j falamos sobre esses projetos antes (EoTM de setembro de
2009). Os campos do pr-sal fcam sete quilmetros abaixo da superfcie do oceano, sob uma espessa camada de sal na regio do Tercirio
Inferior. A extrao de petrleo pode ser um tanto complicada devido baixa permeabilidade e porosidade da camada de sal, e a reservatrios
de betume. Nossos investimentos nessa regio esto vinculados prestao de servios, e no posse de ativos para a explorao e a produo.
Ouro, hedge funds macro e petrleo
O ouro tem apresentado correlao com vrias coisas (g71): spreads de crdito sobre dvidas soberanas europeias (correlao direta); o
rendimento de obrigaes protegidas sobre a infao (correlao inversa) e a oferta monetria de alta liquidez (correlao direta). Os mercados
do ouro so volteis, atraram bastante hot money que precisa registrar lucros periodicamente e esto sempre em risco de descarregamento
da oferta por parte dos bancos centrais. Contudo, at que as variveis citadas (spreads sobre as dvidas soberanas, base monetria e temores
infacionrios) retornem sua posio inicial, ns no venderamos o ouro. No ano passado, escrevemos que prevamos volatilidade do ouro em
2011, mas ao fnal do ano estava em patamar mais alto do que no incio. Mantemos a mesma viso para 2012.
Geralmente usamos os hedge funds como
complemento para posies desconcentradas
em aes. Uma das estratgias de maior
sucesso envolve hedge funds macro.
Conforme mostrado (g72), os hedge funds
macro geram bastante volatilidade quando
considerados individualmente. Ao serem
agrupados (mesmo aleatoriamente) em
conjuntos de 5 fundos, a baixa correlao
tende a reduzir o retorno, mas reduz a
volatilidade ainda mais. Trata-se de uma
conciliao que consideramos razovel.
Quanto aos mercados de petrleo, estamos
prevendo crescimento da demanda abaixo
da tendncia em 2012 devido recesso na Europa e desacelerao do crescimento do PIB na sia durante o primeiro semestre do ano, mas
ainda assim um aumento na demanda pelo petrleo em termos gerais. Com o arrefecimento da infao na sia, nossa previso de que a
demanda por petrleo se recupere mais adiante no ano. Eventuais aumentos na oferta provenientes da Lbia e Iraque podem ser compensados
pela retomada dos nveis de produo pr-guerra na Lbia por parte dos pases do Golfo; desde julho de 2010, o Kuwait, a Arbia Saudita e os
EAU aumentaram a produo em 2 milhes de barris ao dia. O curinga dos mercados de petrleo em 2012 o Ir e sua contnua busca pelo
enriquecimento do urnio (ver Anexo B). Moral da histria: qualquer queda superior a 10% no preo do petrleo representaria um bom valor.
2012 Outlook
10
January 1, 2012
Oil and Gas investments
In November, we wrote our annual Thanksgiving piece on the outlook for conventional and renewable energy sources, and
related investments. Its worth a read if you are interested in the subject matter; it was based on a day we spent with Vaclav
Smil and his 2010 book, Energy Myths and Realities. One trend we noted towards the end of the piece is that projections for
global liquids production and US dry gas production both assume substantial contributions from non-conventional sources (c69,
c70). This creates opportunities across the entire value chain, including exploration and production, distribution and services.
On natural gas, new finds have been rewarding, even with natural gas prices at current low levels (c68), since large major oil
and gas companies aggregate proven reserves, and are willing to pay a premium for them given their long-term horizons. On
crude oil, many of our investments focus on so-called renaissance plays, which entail older, mostly depleted fields which
majors sell as they reshuffle their reserve mix to higher-growth assets. Service companies include firms providing enhanced oil
recovery, fracking and waste-water management. Other servicing investments are related to deep-sea fields recently discovered
off the coast of Brazil. We have discussed these projects before (EoTM September 2009). The sub-salt fields in Brazil lie 7
kilometers below the surface of the ocean, beneath a thick salt canopy in the Lower Tertiary region. Oil extraction can be quite
complicated due to the low permeability and porosity of the salt canopy, and tar pockets. Our investments in this region are
linked to providing services, rather than owning exploration and production assets themselves.
Gold, macro hedge funds and oil
Gold has been correlated to lots of things (c71): credit spreads on European sovereigns (directly); the yield on inflation
protected bonds (inversely) and the highly liquid money supply (directly). Gold markets are volatile, have attracted a lot of hot
money that needs to book profits from time to time, and are always at risk of Central Banks unloading supply. However, until
the variables mentioned (sovereign spreads, the monetary base and inflation fears) move back to where they started, we would
not sell gold here. Last year we wrote that we expected gold to be volatile in 2011, but end the year higher than it began. We
have the same view for 2012.
We generally use hedge funds as a
complement to underweight positions
in equities. One of the more successful
strategies involves macro hedge
funds. As shown (c72), individual
macro hedge funds generate a lot of
volatility. When grouped (even
randomly) into pods of 5 funds, low
correlation tends to reduce return, but
reduce volatility even more. Thats a
tradeoff we see as sensible. As for oil
markets, we are expecting below-trend
oil demand growth in 2012 given the
recession in Europe and slower GDP growth in Asia in the first half of the year, but still an increase in oil demand overall. As
inflation comes off the boil in Asia, we expect oil demand to pick up later in the year. Any supply increases from Libya and
Iraq might be offset by Gulf countries returning to pre-Libyan war production levels; since July 2010, Kuwait, Saudi Arabia and
the UAE increased production by 2 million barrels per day. The wild card for oil markets in 2012 is Iran and its continuing
quest to enrich uranium (see Appendix B). Bottom line: any 10%+ declines in oil prices would represent good value.
0
2
4
6
8
10
12
14
16
1999 2001 2003 2005 2007 2009 2011
(c68) Natural gas spot price
USD/mmBtu
0
20
40
60
80
100
120
1990 2000 2010 2020 2030
(c69) Global liquids production
Million barrels per day
OPEC
Conventional
Unconventional
Non-OPEC
Conventional
History Projections
0
5
10
15
20
25
30
1990 2000 2010 2020 2030
(c70) US dry gas production
Trillion cubic feet per year
History Projections
Shale gas
Net imports
Alaska
Associated with oil
Tight gas
Non-associated
offshore
Non-associated onshore
Coalbed methane
-20%
-10%
0%
10%
20%
30%
40%
0% 25% 50% 75%
(c72) Macro hedge funds require
diversification, 5-yr annualized return
Volatility
Indiv. funds
5 random funds
Jan-09 Dec-09 Nov-10 Oct-11
(c71) Gold is correlated to everything
Gold price
($ / ounce)
10y TIPS yield
(Inverted, %)
Western Europe
Sovereign 5y CDS
spread (Bps)
Highly liquid
money supply ($)
(g68) Preo vista do gs natural
USD/milhes de Btu
(g69) Produo global de lquidos
Milhes de barris por dia
(g71) O ouro possui correlao com tudo
(g70) Produo de gs seco dos EUA
Trilhs de ps cbicos por ano
(g72) Hedge funds macro exigem diversifcao,
Retorno anualizado em 5 anos
Eye on the Market
|
11
2012 Outlook
11
January 1, 2012
[Appendix A] The pain in Spain, and a history of European austerity and social unrest
Other than exports (c78), the news in Spain is very downbeat. If there are socioeconomic limits to how much austerity a country
can take in order to remain in a currency union, we are likely to find out in Spain, where unemployment is 23%, youth
unemployment is over 40%, and there are large budget deficit and current account deficit adjustments still to come.
Austerity and Unrest. Austerity sounds straightforward as a policy, until the consequences bite. It remains unclear that the road
Europe is taking is less costly in the long run, in economic, political and social terms. The history of Europe over the last 100
years shows that austerity can have severe consequences and outcomes. A paper from the Centre for Economic Policy Research
looks at the unrest that resulted from austerity in 32 European countries since 1919
4
. They found a very clear pattern of
rising demonstrations, riots and strikes (and worse) after expenditure cuts took place (c79). The authors tested to see if
results varied with ethnic fragmentation, inflation, penetration of mass media and the quality of government institutions; they
did not. Results are also consistent across time, covering interwar and postwar periods. The independent variable that did
result in more unrest: higher levels of government debt in the first place.
Compounding the problem is the way some decisions are
being taken, which may reinforce perceptions of a democratic
deficit at the EU level, an issue highlighted by Germanys
Constitutional Court. It remains to be seen if Europe can
sustain cohesion around its path of most resistance. One sign
of rising tensions: the following (staggering) comment by the
head of the Bank of France: "A downgrade does not appear to
me to be justified when considering economic fundamentals,"
Noyer said. "Otherwise, they should start by downgrading
Britain which has more deficits, as much debt, more inflation,
less growth than us and where credit is slumping." At a time
of increasing budgetary pressures and declining growth, I
suppose there are limits to European solidarity.
4
Austerity and Anarchy: Budget Cuts and Social Unrest in Europe, 1919-2008, Ponticelli and Voth, International Macroeconomics
and Economic History Initiative, CEPR, December 2011.
25
30
35
40
45
50
55
60
65
2000 2002 2004 2006 2008 2010
(c73) Spanish services activity survey
7%
10%
13%
16%
19%
22%
1983 1988 1993 1998 2003 2008
(c74) Spanish unemployment rate
Percent
70
75
80
85
90
95
100
105
2007 2008 2009 2010 2011
(c75) Spanish industrial production
Index, January 2007=100
15
20
25
30
35
40
45
50
55
60
1973 1978 1983 1988 1993 1998 2003 2008
(c76) Spanish cement consumption
Millions, tons
85
90
95
100
105
110
115
2003 2005 2007 2009 2011
(c77) Spanish retail sales
Index, January 2003 =100
-16%
-12%
-8%
-4%
0%
4%
8%
12%
16%
2000 2002 2004 2006 2008 2010
(c78) Spanish exports
Percent change, YoY
0
0.5
1
1.5
(c79) Austerity and unrest in Europe, 1919 - 2008
Number of incidents per country per year
Demonstrations Riots General strikes
Measures of instability
Expenditure increases
Expenditure reduction >1%
[Anexo A] O sofrimento na Espanha e uma estria de austeridade europeia e agitao social
Fora as exportaes (g78), as notcias na Espanha so bastante desanimadoras. Se h limites socioeconmicos para o grau de austeridade que um
pas pode adotar para permanecer em uma unio monetria, provvel que a resposta esteja na Espanha, onde o desemprego est na casa dos
23%, o desemprego entre os jovens est em 40% e ainda esto por vir grandes ajustes de dfcit oramentrio e dfcit nas operaes correntes.
Austeridade e agitao. O conceito de austeridade soa simples como uma poltica, mas s at as consequncias se fazerem sentir. Ainda no
est claro se o caminho que a Europa est trilhando menos custoso no longo prazo, em termos econmicos, polticos e sociais. A Histria da
Europa nos ltimos 100 anos mostra que a austeridade pode ter graves consequncias e resultados. Um artigo do Centro de Pesquisa de Poltica
Econmica analisa a agitao provocada pela austeridade em 32 pases europeus desde 1919
4
. Eles constataram um padro bastante evidente
de intensifcao das manifestaes, revoltas e greves (e coisa pior) aps a adoo de cortes de gastos (g79). Os autores testaram para ver
se os resultados variavam com a fragmentao tnica, infao, penetrao dos meios de comunicao de massa e a qualidade das instituies
governamentais; o que no foi o caso. Os resultados tambm se mostram homogneos ao longo do tempo, abrangendo perodos pr e ps-guerra.
A varivel independente que resultou, sim, em mais agitao foi a elevao dos nveis de endividamento pblico em primeiro lugar.
Agrava o problema a forma com que certas decises esto
sendo tomadas, o que pode reforas as noes de um dfcit
democrtico no nvel da UE, uma questo evidenciada pelo Tribunal
Constitucional da Alemanha. Resta saber se a Europa pode manter
a coeso em torno de sua rea de maior resistncia. Um sinal da
escalada das tenses: o seguinte comentrio (surpreendente) do
presidente do Banco da Frana: Um rebaixamento no me parece
justifcado quando consideramos os fundamentos econmicos,
afrmou Noyer. Seno, deveriam comear rebaixando a
Gr-Bretanha, que possui mais dfcits, o mesmo nvel de
endividamento, mais infao, menos crescimento que ns e onde o
crdito est despencando. Em uma poca de presses oramentrias
crescentes e de queda do crescimento, suponho que haja limites para
a solidariedade europeia.
4
Austerity and Anarchy: Budget Cuts and Social Unrest in Europe, 1919-2008, Ponticelli e Voth, International Macroeconomics and Economic History Initiative, CEPR,
dezembro de 2011.
2012 Outlook
11
January J, 20J2
[Appendix A] The pain in Spain, and a history of European austerity and social unrest
Other than exports (c78), the news in Spain is very downbeat. If there are socioeconomic limits to how much austerity a country
can take in order to remain in a currency union, we are likely to find out in Spain, where unemployment is 23%, youth
unemployment is over 40%, and there are large budget deficit and current account deficit adjustments still to come.
Austerity and Unrest. Austerity sounds straightforward as a policy, until the consequences bite. It remains unclear that the road
Europe is taking is less costly in the long run, in economic, political and social terms. The history of Europe over the last 100
years shows that austerity can have severe consequences and outcomes. A paper from the Centre for Economic Policy Research
looks at the unrest that resulted from austerity in 32 European countries since 1919
4
. They found a very clear pattern of
rising demonstrations, riots and strikes (and worse) after expenditure cuts took place (c79). The authors tested to see if
results varied with ethnic fragmentation, inflation, penetration of mass media and the quality of government institutions; they
did not. Results are also consistent across time, covering interwar and postwar periods. The independent variable that did
result in more unrest: higher levels of government debt in the first place.
Compounding the problem is the way some decisions are
being taken, which may reinforce perceptions of a democratic
deficit at the EU level, an issue highlighted by Germanys
Constitutional Court. It remains to be seen if Europe can
sustain cohesion around its path of most resistance. One sign
of rising tensions: the following (staggering) comment by the
head of the Bank of France: "A downgrade does not appear to
me to be justified when considering economic fundamentals,"
Noyer said. "Otherwise, they should start by downgrading
Britain which has more deficits, as much debt, more inflation,
less growth than us and where credit is slumping." At a time
of increasing budgetary pressures and declining growth, I
suppose there are limits to European solidarity.

4
Austerity and Anarchy: Budget Cuts and Social Unrest in Europe, 1919-2008, Ponticelli and Voth, International Macroeconomics
and Economic History Initiative, CEPR, December 2011.
25
30
35
40
45
50
55
60
65
2000 2002 2004 2006 2008 2010
(c73) Spanish services activity survey
7%
10%
13%
16%
19%
22%
1983 1988 1993 1998 2003 2008
(c74) Spanish unemployment rate
Percent
70
75
80
85
90
95
100
105
2007 2008 2009 2010 2011
(c75) Spanish industrial production
Index, January 2007=100
15
20
25
30
35
40
45
50
55
60
1973 1978 1983 1988 1993 1998 2003 2008
(c76) Spanish cement consumption
Millions, tons
85
90
95
100
105
110
115
2003 2005 2007 2009 2011
(c77) Spanish retail sales
Index, January 2003 =100
-16%
-12%
-8%
-4%
0%
4%
8%
12%
16%
2000 2002 2004 2006 2008 2010
(c78) Spanish exports
Percent change, YoY
0
0.5
1
1.5
(c79) Austerity and unrest in Europe, 1919 - 2008
Number of incidents per country per year
Demonstrations Riots General strikes
Measures of instability
Expenditure increases
(g73) Pesquisa de atividade dos servios na
Espanha, Purchasing Managers Index, sa
(g76) Consumo de cimento na Espanha
Milhes, toneladas
(g74) Taxa de desemprego na Espanha
Percentual
(g77) Vendas do varejo na Espanha
ndice em janeiro de 2003 = 100
(g75) Produo industrial espanhola
ndice, janeiro de 2007 = 100
(g78) Exportaes espanholas
(g79) Austeridade e anarquia na Europa, 1919-2008
Nmero anual de incidentes por pas
Medidas de instabilidade
Eye on the Market
|
12
2012 Outlook
12
January 1, 2012
[Appendix B] Learning to live with a nuclear Iran
Investors have to factor in more than just finance and economics. As we head into 2012, oil markets are at risk from ongoing
issues surrounding Irans quest to enrich uranium. Here are a few things to keep in mind regarding this issue:
The International Atomic Energy Agency now believes that Iran has undertaken most steps necessary to design,
manufacture, test and deliver a nuclear weapon, including the modification of a ballistic missile to accommodate a
nuclear payload, and computer modeling of the process to compress and detonate enriched uranium. Joschka Fischer,
Germanys foreign minister and vice chancellor from 1998 to 2005, noted in a November article that Iran only has one
civilian nuclear reactor (fuel rods supplied by Russia), and that the Iranian technology being developed cannot be used in it.
Iran may be motivated by what happened elsewhere in the Gulf. After the NATO intervention in Libya, Ayatollah
Khamenei gave a speech saying that Ghaddafis mistake was giving up his nuclear program, as it made him vulnerable to
outside intervention. This reduces the chances of a deal whereby Iran agrees to meaningful compromises.
Nevertheless, the likelihood of a US military strike appears low. Last month, Secretary of Defense Panetta reiterated
the position of prior Defense Secretary Gates that an attack on Iran would be difficult, citing unintended consequences.
Capitol Hill has been more hawkish, but there appears to be considerable resistance in the intelligence and military
establishments against an Iranian attack. For more context around the Iran hawks and doves within the US political and
military establishment, and the history of National Intelligence Estimates which claim that Iran has not yet moved towards
weaponization, see The domestic politics of Americas response to Irans nuclear programme, Cambridge Review of
International Affairs, Ido Oren, December 2011. According to sources we spoke with, the world might only have a few
weeks to respond if Iran moves towards weaponization, a process that could be signaled by banning IAEA inspectors, or
changes in inventory levels of uraniumenriched to 3.5% or 20% (90%is needed for weapons). The time required to enrich
uranium from 20% to 90% is much shorter than the time required to enrich uraniumfrom 0% to 20%
5
There have been some successes through unattributed covert operations to slow down Irans progress. David
Albright at the Institute for Science and International Security walked me through the nuances of the Stuxnet computer virus
that apparently wreaked havoc with vibration sensors, pressure gauges and frequency converters at one of Irans centrifuge
facilities. A more recent virus (Duqu) appears designed to gather intelligence, perhaps in preparation for a future operation.
However, there may be limits to what can be accomplished, as supply chains and security procedures are tightened.
; it is not linear.
If there were circumstances that resulted in Iran deciding to cease oil exports to the OECD, some combination of
Libyan, Iraqi and other Gulf production might be able to take up the slack. However, given tight conditions in oil
markets, prices would probably spike. Here are some of the numbers. Rising Libyan and Iraqi production could provide
a supply cushion in case Iranian exports to the OECD were cut off (c80). There is also reason to believe that other Gulf
countries could increase production as well; over the last few months, Saudi, Kuwaiti and UAE production rose around
2 million barrels per day above prior estimates, as they responded to the situation in Libya (c81). However, oil markets
overall are pretty tight. OPEC countries are running at very high levels of production, and the IEA decision to release
strategic reserves during the Libya crisis is an indication that they see limits to OPEC production increases. As a result, we
believe that oil prices will remain well bid in 2012, despite declining expectations for global GDP growth. If a crisis
occurred in Iran, oil prices would likely head sharply higher.
5
See The New IAEA Report: Beyond Weaponization, U.S. Bipartisan Policy Center, November 10, 2011.
(c80) Possible offsets to an Iranian supply shock
Millions of barrels per day, as of October 2011
Production
Domestic
Consumption
Exports
YE2012
Exports
(Est.)
Change in
Exports
Iraq 2.7 0.8 1.9 2.6 0.7
Libya 0.3 0.1 0.2 1.1 0.9
Total: 1.6
Iranian Exports to OECD: 1.2
-0.2
0.2
0.6
1.0
1.4
1.8
2.2
Jul-10 Oct-10 Jan-11 Apr-11 Jul-11 Oct-11
Saudi Arabia
United Arab Emirates
Kuwait
(c81) Increased production vs. mid-2010 output
Millions of barrels per day
[Anexo B] Aprendendo a conviver com um Ir nuclear
Os investidores tm de levar em considerao mais do que apenas as fnanas e a economia. Ao entrarmos em 2012, os mercados de petrleo
esto em risco de problemas contnuos em torno da busca do Ir pelo enriquecimento de urnio. Aqui vo algumas consideraes a se ter em
mente quanto a essa questo:
A Agncia Internacional de Energia Atmica agora acredita que o Ir tomou a maioria das providncias necessrias para projetar,
fabricar, testar e disponibilizar uma arma nuclear, inclusive a modifcao de um mssil balstico para abrigar uma carga nuclear,
alm da modelagem computadorizada do processo de compresso e detonao do urnio enriquecido. Joschka Fischer, ministro alemo das
relaes exteriores e vice-chanceler entre 1998 e 2005, observou em um artigo de novembro que o Ir possui apenas um reator nuclear civil
(barras de combustvel fornecidas pela Rssia), e que a tecnologia iraniana que est sendo desenvolvida no pode ser usada nesse reator.
O Ir pode estar motivado pelo que aconteceu em outras partes do Golfo. Aps a interveno da OTAN na Lbia, o aiatol Khamenei fez
um pronunciamento em que diz que o erro de Kadaf foi desistir de seu programa nuclear, pois assim fcou vulnervel interveno externa.
Isso reduz as chances de um acordo em que o Ir concorde em fazer transigncias signifcativas.
No obstante, parece baixa a probabilidade de um ataque militar norte-americano. No ms passado, o Secretrio de Defesa Panetta
reiterou a posio do Secretrio anterior Gates, de que um ataque contra o Ir seria difcil, citando consequncias indesejadas. O Capitlio
adotou uma postura mais beligerente, mas parece haver resistncia considervel nos estabelecimentos militares e de inteligncia contra um
ataque ao Ir. Para obter uma contextualizao maior sobre os belicistas e pacifstas do establishment poltico e militar norte-americano, e
sobre a histria das Estimativas de Intelignica Nacional que alegam que o Ir ainda no fez um movimento armamentista, consulte The
domestic politics of Americas response to Irans nuclear programme, Cambridge Review of International Affairs, Ido Oren, dezembro
de 2011. Segundo fontes que consultamos, talvez o mundo tenha apenas algumas semanas para responder se o Ir fzer um movimento
armamentista, processo que pode ser sinalizado pela proibio de inspetores da AIEA, ou mudanas nos nveis de estoque de urnio
enriquecido para 3,5 ou 20% (so necessrios 90% para os armamentos). O tempo necessrio para enriquecer urnio de 20 para 90% bem
mais curto do que o tempo necessrio para enriquecer urnio de 0 para 20%
5
; no um processo linear.
Houve alguns sucessos por meio de operaes secretas de origem desconhecida com o intuito de desacelerar o avano do Ir. David
Albright, do Instituto de Cincia e Segurana Internacional, me deu um panorama das nuanas do vrus de computador Stuxnet, que
aparentemente teve efeitos devastadores com sensores de vibrao, medidores de presso e conversores de frequncia em uma das instalaes
centrfugas do Ir. Um vrus mais recente (Duqu) parece ser projetado para coletar informaes, talvez como preparativo para uma operao
futura. Entretanto, pode haver limites para aquilo que pode ser conseguido, visto que as cadeias de suprimentos e os procedimentos de
segurana esto rigorosos.
Se houvesse circunstncias que tivessem como resultado a deciso, por parte do Ir, de suspender as exportaes de petrleo para
os pases da OCDE, certa combinao de produo da Lbia, Iraque e outros pases do Golfo talvez fosse capaz de preencher a
lacuna. Contudo, dadas as condies de aperto dos mercados de petrleo, os preos provavelmente atingiriam um pico. Aqui vai
parte dos nmeros. A elevao da produo lbia e iraquiana poderia oferecer uma proteo de oferta caso houvesse corte das exportaes
iranianas para os pases da OCDE (g80). Tambm h motivos para crer que outros pases do Golfo poderiam aumentar a produo tambm;
nos ltimos meses, a produo da Arbia Saudita, do Kuwait e dos EAU subiu cerca de 2 milhes de barris por dia acima das estimativas
anteriores, em resposta situao na Lbia (g81). No entanto, h um grande aperto nos mercados de petrleo em termos gerais. Os pases
da OPEP esto operando com nveis elevadssimos de produo, e a deciso da AIE de liberar reservas estratgicas durante a crise na
Lbia uma indicao de que veem limites nos aumentos da produo da OPEP. Por esse motivo, acreditamos que os preos do petrleo
permanecero bem cotados em 2012, apesar da queda nas expectativas de crescimento do PIB global. Se ocorresse uma crise no Ir, os
preos do petrleo tenderiam a crescer de forma ainda mais acentuada.
5
Ver The New IAEA Report: Beyond Weaponization, U.S. Bipartisan Policy Center, 10 de novembro de 2011.
(g80) Possveis compensaes a um choque de oferta do Ir
Milhes de barris por dia, em outubro de 2011
(g81) Produo aumentada vs. produo em meados de 2010
Milhes de barris por dia
Produo
Consumo
interno
Exportaes
Exportaes
em 2012
(Est.)
Variao
nas
exportaes
Iraque 2,7 0,8 1,9 2,6 0,7
Lbia 0,3 0,1 0,2 1,1 0,9
Total: 1,6
Exportaes iranianas para os pases da OECD: 1,2
Eye on the Market
|
13
As esperanas de que os iranianos promovam uma reforma do regime parecem exageradas. H evidncias confitantes acerca das
condies no Ir:
Dados do FMI acerca do crescimento da renda per capita real mostram que o pas apresenta os segundos melhores resultados da regio desde
1990, atrs apenas do Qatar (que distribui as riquezas de seu gs natural para 1,7 milho de pessoas). Outros fatores que podem contribuir
para a coeso: freedom shares, distribudas como parte de um programa de privatizao no valor de US$ 100 bi; e o reconhecimento
do progresso no desenvolvimento humano. Desde 1990, dos 94 pases do Relatrio sobre Desenvolvimento Humano das Naes Unidas
classifcados como elevados ou muito elevados, o Ir registrou a maior melhoria, evidenciando o avano da expectativa de vida e da
educao.
Por outro lado, uma pesquisa recente da Gallup mostra que 26% dos iranianos esto sofrendo economicamente, em comparao aos 14%
em 2008, em parte um refexo da eliminao dos subsdios internos energia. Os dados do FMI se baseiam nas estatsticas ofciais do Ir, que
podem subestimar a infao efetiva; h relatos de que h uma fuga de capitais desenfreada. Economistas de dentro e de fora do Ir, alm de
governos europeus, questionaram a exatido dos dados do FMI. Segundo Karim Sadjadpour, da Fundao Carnegie para a Paz Internacional,
o Ir fgura em posio mais elevada que o Egito e a Tunsia em termos de mal-estar econmico (infao e desemprego) e corrupo. A renda
das famlias sofreu queda em relao a geraes anteriores, e as pessoas com menos de 30 anos de idade hoje perfazem 70% de todos os
desempregados; o desemprego na juventude em si est em torno de 23%. No que diz respeito a sanes, algumas recentes visam indstrias de
gs, petrleo e petroqumica do Ir (segundo o US Government Accountability Offce, apenas 16 empresas esto operando atualmente no Ir,
uma queda em relao s 43 que havia em 2010). Outras sanes tm como alvo os bancos do pas, e possivelmente o Banco Central. Essas
sanes impediram a modernizao de sua indstria de gs natural, ocasionaram escassez de materiais de construo que afetaram empresas
de pequeno e mdio porte, e reduziram o fnanciamento oferecido ao comrcio.
A concluso que no parece que uma mudana do regime partindo de dentro seja algo que devemos esperar no Ir. Os investidores no
necessariamente precisam de outro motivo para manter o ouro, mas esta parece ser outra questo que fcar sem soluo em 2012.
[Anexo C] Inadimplncias soberanas, credores preferenciais e o signifcado (que no grande coisa) de pari passu
6
Todo calote soberano como um foco de neve, com uma estria bem particular. Mas no raro h fatores comuns: nveis elevados de dvida
soberana em uma moeda forte, algum tipo de ncora monetria e um problema com a balana de pagamentos. Alguns pases do sul da Europa
apresentam aspectos de todos os trs fatores. Embora os nveis de endividamento da UE em 2011 estejam acima daqueles relacionados
maioria das crises de dvida anteriores (g82), a ajuda que esses pases podem receber de credores externos (e do BCE) tambm maior;
prematuro ainda para saber a profundidade da capacidade de emprstimo destas
ltimas fontes. Ao refetir sobre os rumos a tomar a partir daqui, gostaria de
relembrar aos investidores o seguinte:
1. Em crises da dvida anteriores, o FMI e outros mecanismos bilaterais no
impediram uma queda subsequente nos preos dos ttulos (g83 a g86);
2. A falta de um ordenamento jurdico para a reestruturao da dvida soberana
pode aumentar os riscos dos detentores de obrigaes quando as coisas
do errado.
Quanto ao ltimo ponto, milhares de pginas de juridiqus foram escritas sobre
o tema. Aqui vo algumas observaes sobre os calotes soberanos, credores
preferenciais e riscos para os detentores de obrigaes:
A maioria das obrigaes soberanas vem com uma clusula relativa ao seu
tratamento pari passu (ou seja, igual) em relao a outras dvidas do mesmo
emissor. Essas clusulas tendem a funcionar bem em ambientes empresariais,
em que os tribunais de falncia de um dado pas aplicam as clusulas ao longo das classes de credores.
No entanto, os emissores soberanos no esto sujeitos a um cdigo de falncia, a seu prprio cdigo ou a qualquer outro cdigo. Eles
tm liberdade para fazer distines entre os credores, algo que fazem com frequncia. As entidades soberanas em difculdades raramente
pagam a todos os credores de forma proporcional, entendendo-se por proporcional o tratamento igualitrio em termos de prioridade,
magnitude e data do pagamento.
A clusula pari passu no impede que os emissores, como questo de prtica, faam distines em favor de instituies como o FMI e o
Banco Mundial. Consequentemente, na eventualidade de fnalmente haver a necessidade de baixa da dvida, ela pode ter de ser
absorvida por um universo menor de credores do setor privado. Nesse sentido, o aumento dos compromissos assumidos por credores
do setor pblico pode no alterar a equao de risco para os detentores de obrigaes no longo prazo
7
.
2012 Outlook
13
January 1, 2012
Hopes that Iranians will effect regime change appear overstated. There is conflicting evidence on conditions in Iran:
o IMF data on real per capita income growth show that Iran has the 2
nd
best results in the region since 1990, behind only
Qatar (which spreads its natural gas riches over 1.7 million people). Other factors that might contribute to cohesion:
freedom shares, handed out as part of a $100 bn privatization program; and the recognition of progress in human
development. Since 1990, of the 94 countries in the United Nations Human Development Report ranked as high or
very high, Iran recorded the single largest improvement, reflecting progress in life expectancy and education.
o On the other hand, a recent Gallup poll shows that 26% of Iranians are economically suffering, compared to 14% in
2008, in part a reflection of the removal of domestic energy subsidies. IMF data rely on official Iranian statistics, which
may understate actual inflation; there are reports that capital flight is rampant. Economists inside and outside of Iran,
and European governments, have questioned the accuracy of the IMF's data. According to Karim Sadjadpour at the
Carnegie Endowment for International Peace, Iran ranks higher than Egypt and Tunisia in terms of economic malaise
(inflation and unemployment) and corruption. Household incomes have fallen versus prior generations, and people
under the age of 30 now account for 70% of all unemployed persons; youth unemployment itself is around 23%. As for
sanctions, recent ones are aimed at Irans gas, oil and petrochemical industries (the US Government Accountability
Office reports that only 16 firms are currently active in Iran, down from 43 in 2010). Other sanctions are aimed at its
banks, and potentially at its Central Bank. The sanctions have impeded the modernization of its natural gas industry, led
to shortages in construction materials affecting small and medium sized businesses, and reduced available trade finance.
The bottom line is that it does not appear that regime change from within is something to be expected in Iran. Investors dont
necessarily need another reason to hold gold, but this appears to be another issue with no resolution in 2012.
[Appendix C] Sovereign defaults, preferred creditors, and what pari-passu means (not that much)
6
Every sovereign default is like a snowflake, with a story all its own. But there are often common factors: high levels of
hard currency sovereign debt, a monetary anchor of some kind, and a balance of payments problem. Some Southern
European countries have aspects of all three. While EU 2011 debt levels are above those associated with most prior debt
crises (c82), the help these countries might get from outside lenders (and the ECB) is also larger; its premature to know
how deep those latter pockets are. When thinking about where we go from here, I remind our investors of the following:
1. In prior debt crises, IMF and other bilateral facilities did not prevent
a subsequent decline in securities prices (c83-c86)
2. The lack of a legal framework around sovereign debt restructurings
can increase the risks for bondholders when things go wrong
On the latter point, there have been thousands of pages of legalese
written on the topic. Here are some observations on sovereign
defaults, preferred creditors and risks to bondholders:
Most sovereign bonds contain a clause referring to their pari-passu
(equal) treatment vs. other indebtedness of the same issuer. Such
clauses tend to work well in a corporate setting, where bankruptcy
courts in a given country enforce clauses across creditor classes.
However, sovereign issuers are not subject to a bankruptcy
code, their own, or anyone elses. They have the freedom to discriminate amongst creditors, and often do. Sovereign
entities in distress rarely pay all creditors on a ratable basis, where ratable signifies equal treatment in terms of
priority, magnitude and timing of payment.
The pari-passu clause does not prevent issuers, as a matter of practice, from discriminating in favor of institutions such
as the IMF and World Bank. As a result, should an eventual writedown of debt be needed, it might have to be
absorbed by a smaller universe of private sector creditors. In this regard, increased commitments by official
sector lenders may not change the risk equation for bondholders in the long run
7
6
This section draws on The Pari-Passu Debt Clause in Sovereign Debt Instruments, Buchheit and Pam, Emory Law Journal, 2004.
Lee Buchheit is with Cleary Gottlieb Steen & Hamilton, which represents many sovereign issuers in distress/default. I have a lot of
respect for Lees judgment and decades of experience, but also believe that such commentary should be considered in light of what
sovereign counsel normally does: seek maximum flexibility for sovereign issuers, sometimes at the expense of private creditors.
.
7
On a related matter, I wouldnt put too much importance on the decision by EU governments to remove private sector involvement
language as a pre-condition for lending via the ESM (European Stability Mechanism). Just because they removed it from the ESM
doesnt mean investors wont be required to share the pain in the future.
0%
20%
40%
60%
80%
100%
120%
140%
G
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1
(c82) Sovereign debt levels in prior crises vs.
Europe 2011, Debt to GDP, percent, by country and year
(g82) Nveis de dvida soberana em crises anteriores vs. Europa em
2011, Dvida/PIB, por pas e ano
6
Esta seo se baseia em The Pari-Passu Debt Clause in Sovereign Debt Instruments, Buchheit e Pam, Emory Law Journal, 2004. Lee Buchheit faz parte da Cleary Gottlieb
Steen & Hamilton, que representa vrios emissores soberanos em difculdades/inadimplncia. Eu respeito bastante o discernimento e as dcadas de experincia de Lee, mas
tambm acredito que essa anlise deva ser considerada luz do que a assessoria jurdica soberana normalmente faz: buscar fexibilidade mxima para os emissores soberanos,
por vezes custa de credores privados.
7
A propsito, eu no daria muita importncia deciso dos governos da UE de eliminar a expresso envolvimento do setor privado como pr-condio para a concesso de
emprstimo por intermdio do ESM (Mecanismo Europeu de Estabilidade). A simples retirada da expresso do ESM no signifca que os investidores no sero obrigados
a participar do sofrimento no futuro.
Eye on the Market
|
14
20
30
40
50
60
70
80
90
100
110
120
Jan-98 Jul-99 Jan-01 Jul-02 Jan-04
40
45
50
55
60
65
70
75
80
85
Dec-93 Mar-94 Jun-94 Sep-94 Dec-94 Mar-95
40
50
60
70
80
90
Jan-98 Feb-98 Apr-98 May-98 Jul-98
40
50
60
70
80
90
100
110
120
Jul-96 Jan-97 Jul-97 Jan-98 Jul-98
20
30
40
50
60
70
80
90
100
110
120
Jan-98 Jul-99 Jan-01 Jul-02 Jan-04
40
45
50
55
60
65
70
75
80
85
Dec-93 Mar-94 Jun-94 Sep-94 Dec-94 Mar-95
40
50
60
70
80
90
Jan-98 Feb-98 Apr-98 May-98 Jul-98
40
50
60
70
80
90
100
110
120
Jul-96 Jan-97 Jul-97 Jan-98 Jul-98
O FMI e o Banco Mundial no so os nicos que recebem tratamento preferencial. Na proposta de troca da dvida grega, os Fundos
de Seguridade Social da Grcia detentores de sua dvida soberana no estavam escalados para participar. Alm disso, em reestruturaes
anteriores da dvida soberana, as notas do tesouro de curto prazo fcaram de fora, concentrando ainda mais as perdas nos detentores de
obrigaes remanescentes.
No mundo do crdito empresarial, os credores tm sua disposio uma ampla gama de medidas corretivas ao buscar assegurar o
tratamento igual: clusulas de compartilhamento, uso de um agente fducirio para fazer a distribuio proporcional dos pagamentos, acordos
intercredores para compartilhar os pagamentos e perdas de forma igual e acordos de subordinao. Em geral, essas medidas corretivas no
so aplicadas pelos credores aos governos, muito provavelmente porque seria difcil (se no impossvel) faz-las valer.
Uma exceo notvel: no ano 2000, um hedge fund tentou bloquear pagamentos peruanos sobre Brady bonds de sua emisso (ttulos do Plano
Brady para reestruturao da dvida externa em alguns pases), visto que o Peru no pagou os juros sobre os emprstimos que o pas contraiu
do fundo (o fundo optou por no participar da troca de obrigaes Brady). O embargo do hedge fund foi concedido pelo Tribunal Federal de
Nova York e por um Tribunal de Apelao belga, e o hedge fund recebeu o pagamento na ntegra. Na qualidade de investidor, eu solidarizo
bastante com os credores que conseguem fazer valer seus contratos. Nos ltimos anos, outros credores no tiveram o mesmo sucesso do
caso peruano em fazer a expresso pari passu signifcar o que os mercados geralmente supem que ela signifque
8
. A realidade: ela pode
signifcar muito pouco, ou mesmo nada.
No fnal das contas, a histria sugere que os investidores procurem uma possibilidade de recompensa bem grande antes de assumir o
risco de dvidas soberanas para o caso de ocorrer uma crise. Aqui esto os grfcos citados acima, sobre como as linhas de crdito do setor
pblico no impediram uma deteriorao maior ainda dos mercados de ttulos dos pases em questo. Na Argentina e na Rssia, essas quedas
foram permanentes. No Mxico e na Indonsia, as quedas foram temporrias; depois que desvalorizaes da moeda entre 50 e 70% acabaram
reestabelecendo um equilbrio maior, os preos de suas obrigaes soberanas se recuperaram.
8
Ver Debt Defaults and Lessons from a Decade of Crises, Sturzenegger e Zettelmeyer, MIT Press, 2006, pg. 71 e tabela 3.1.
(g83) Argentina
Preo da dvida soberana: 11
3/8
2017
(g84) Mxico
Preo da dvida soberana BradyBond: 6
1/4
2019
(g85) Rssia
Preo da dvida soberana: GKO (ttulo do Tesouro) 10/03/1999
(g86) Indonsia
Preo da dvida soberana: 7
3/4
2006
provvel que o FMI retome os emprstimos
abaixo do pacote de US$ 40 bi [04/98]
Criao de um
Fundo de Estabilizao
do Cmbio de
US$ 20 bi [2/95]
Criao de uma linha de crdito
permanente de US$ 6,7 bi dos
Estados Unidos e Canad para o
Mxico [4/94]
A essas alturas, os otimistas da Rssia tm
mais razo dos que os pessimistas. No h um
bom motivo para se acreditar que os otimistas
continuaro com a razo. Stanley Fischer,
Diretor-Gerente do FMI [01/98]
Bancos, FMI, BID e Espanha
prometem ajuda de US$ 40 bi.
Isso deve melhorar o clima de
investimentos, e juntamente com
a melhoria da confana interna
e externa, lanar as bases
para o crescimento econmico
sustentvel da Argentina
Diretora-Gerente do FMI [12/00]
O Conselho Executivo do FMI concluiu a reviso do Fundo Estendido,
e concordou em desembolsar uma parcela de US$ 700 milhes,
recolocando assim o programa nos trilhos.
Estamos muito impressionados pelas
negociaes com a nova equipe de
governo FMI [04/98]
As aes e obrigaes da Rssia dispararam
aps a promessa de emprstimos no valor de
US$ 22,6 bi feita pelo FMI Bloomberg [07/98]
Eye on the Market
|
15
(g1) Bloomberg, dezembro de 1983
(g2) OCDE, dezembro de 2011
(g4) Markit, Institute for Supply Management, J.P. Morgan
Securities LLC, novembro de 2011
(g5) FMI, OCDE, Barclays Capital, Bloomberg
(g6) Bloomberg, Departamento de Estatsticas Trabalhistas,
Empirical Research Partners, dezembro de 2011
(g7) Statistisches Bundesamt/Deutsche Bundesbank e Istituto
Nazionale di Statistica, outubro de 2011
(g9) Comisso Europeia, Bloomberg, setembro de 2011
(g10) FRB, BEA, BCE, Eurostat, Banco da Inglaterra, Servio
Nacional de Estatsticas do Reino Unido, Banco do Japo,
Gabinete ministerial japons, Heinrich Hoffmann, novembro
de 2011
(g11) Reinhart, Carmen M. e Kenneth S. Rogoff, From Financial
Crash to Debt Crisis, Documento de trabalho NBER 15795,
maro de 2010
(g12) FRB, BCE, J.P. Morgan Private Bank, 4 trimestre de 2010
(g13) Autoridade Bancria Europeia, US 10-Ks, dezembro de 2010
(g14) OCDE, Banco de Liquidaes Internacionais, The real effects
of debt, Cecchetti, Mohanty e Zampolli, setembro de 2011
(g15) OCDE, 1 trimestre de 2011
(g17) FMI, setembro de 2011
(g18) FMI, Instituto Nacional de Estatsticas, J.P. Morgan Private
Bank, 3 trimestre de 2011
(g19) Servio de Estatsticas das Comunidades Europeias, Haver
Analytics, 2 trimestre de 2011
(g20) FMI, novembro de 2011
(g21) OCDE, 2 trimestre de 2011
(g22) Instituto para a Gesto da Oferta, novembro de 2011
(g23) Bloomberg, novembro de 2011
(g24) FRB, BEA, 3 trimestre de 2011
(g25) Associao Nacional de Corretores de Imveis, J.P. Morgan
Securities, LLC, Amherst Securities, Associao de Bancos de
Hipoteca, 3 trimestre de 2011
(g26) BEA, 3 trimestre de 2011
(g27) Servio de Estatsticas Trabalhistas, novembro de 2011
(g28) BEA, 3 trimestre de 2011
(g29) BEA, J.P. Morgan Private Bank, agosto de 2011
(g30) FRB, novembro de 2011
(g31) CBO, J.P. Morgan Private Bank, dezembro de 2011
(g32) CBO, J.P. Morgan Private Bank, agosto de 2011
(g33) Tesouro dos EUA, BEA, dezembro de 2011
(g34) J.P. Morgan Securities LLC, CBO, setembro de 2011
(g35) FRB, Tesouro dos EUA, novembro de 2011
(g36) FRB, Tesouro dos EUA, novembro de 2011
(g37) Autoridade Monetria de Hong Kong, dezembro de 2011
(g38) Census Bureau, Departamento de Anlises Econmicas,
Rockefeller Institute, 3 trimestre de 2011
(g39) J.P. Morgan Securities LLC, dezembro de 2011
(g40) J.P. Morgan Securities LLC, outubro de 2011
(g41) Servio Nacional de Estatsticas da China, Banco Popular da
China, novembro de 2011
(g42) Banco de Liquidaes Internacionais, 2 trimestre de 2011
(g43) Servio Nacional de Estatsticas da China, Banco Popular da
China, J.P. Morgan Private Bank, 3 trimestre de 2011
(g44) Alfndega chinesa, J.P. Morgan Securities LLC, Markit,
novembro de 2011
(g45) FMI, Servio Nacional de Estatsticas da China, Escritrio
Nacional de Estatsticas da China, 4 trimestre de 2010
(g46) FMI, 4 trimestre de 2011
(g47) FMI, Bloomberg, J.P. Morgan Private Bank, setembro de 2011
(g48) FRB, dezembro de 2011
(g49) Ministrio da Fazenda do Japo, FMI, J.P. Morgan Securities
LLC, outubro de 2011
(g50) FRB, 3 trimestre de 2011
(g51) J.P. Morgan Private Bank, Bloomberg, arquivos da empresa,
dezembro de 2011
(g52) J.P. Morgan Private Bank, Bloomberg, arquivos da empresa,
dezembro de 2011
(g53) Factset, dezembro de 2011
(g54) FRB, Standard & Poors, 3 trimestre de 2011
(g55) Pesquisa quantitativa de aes do Credit Suisse, novembro de
2011
(g57) BEA, J.P. Morgan Private Bank, 3 trimestre de 2011
(g58) BEA, J.P. Morgan Private Bank, 3 trimestre de 2011
(g60) Estimativas baseadas em pesquisas da Thomson Reuters, Credit
Suisse HOLT, Credit Suisse, setembro de 2011
(g61) J.P. Morgan Securities LLC, Bloomberg, novembro de 2011
(g62) J.P. Morgan Private Bank, novembro de 2011
(g63) Bloomberg, J.P. Morgan Securities LLC, Barclays Capital,
iBoxx, dezembro de 2011
(g64) Bloomberg, J.P. Morgan Securities LLC, dezembro de 2011
(g66) FRB, novembro de 2011
(g67) ndices de Preos de Imveis Comerciais da Moodys, agosto de
2011
(g69) Administrao de Informaes Energticas dos EUA, dezembro
de 2010
(g70) Administrao de Informaes Energticas dos EUA, setembro
de 2011
(g71) Federal Reserve Bank of St. Louis, Markit, Bloomberg, J.P.
Morgan Securities LLC, dezembro de 2011
(g72) Hedge Fund Research, J.P. Morgan Private Bank, setembro de
2011
(g73) Markit, JP Morgan Securities LLC, novembro de 2011
(g74) Eurostat, outubro de 2011
(g75) Instituto Nacional de Estadstica, Haver Analytics, outubro de
2011
(g76) Ofcemen, outubro de 2011
(g77) Eurostat, J.P. Morgan Securities LLC, outubro de 2011
(g78) Instituto Nacional de Estadstica, Haver Analytics, 3 trimestre
de 2011
(g79) Austerity And Anarchy: Budget Cuts And Social Unrest In
Europe, 1919-2008, Jacopo Ponticelli e Hans-Joachim Voth,
Centro de Pesquisa de Poltica Econmica, agosto de 2011
(g80) J.P. Morgan Securities LLC, rgos governamentais, matrias
jornalsticas, outubro de 2011
(g81) J.P. Morgan Securities LLC, rgos governamentais, matrias
jornalsticas, outubro de 2011
(g82) Gramercy Capital, OCDE, dezembro de 2011
(g85) Bloomberg, FMI, dezembro de 2011
Fontes dos grfcos
Eye on the Market
|
16
0811-294-07
Fontes dos dados da arte da capa
Banco de Espaa, Banco de Liquidaes Internacionais, Bloomberg, Departamento de Anlises Econmicas, Departamento de Estatsticas
Trabalhistas, Case-Shiller, Servio Nacional de Estatsticas da China, Dealogic, Deutsche Brse, Eurostat, Federal Reserve Board, Governos
do G-7, Gallup, Inc., Instituto Nacional de Estadstica, Fundo Monetrio Internacional, Intervencin General de la Administracin del Estado,
J.P. Morgan Private Bank, J.P. Morgan Securities LLC, Ministre de lEconomie des Finances et de lIndustrie, Ministero dellEconomia e
delle Finanze, MSCI, Instituto Nacional de Estatsticas da Itlia, Organizao para a Cooperao e Desenvolvimento Econmico, Standard
& Poors, US Census Bureau, Tesouro dos EUA. Os pases perifricos incluem Portugal, Irlanda, Itlia, Espanha e Grcia. Setor de varejo de
alto padro representado pelo ndice do Luxo Mundial da Deutsche Brse. Setor de varejo de baixo padro representado pelo ndice de Lojas
de Departamentos da S&P. Todos os dados so os mais recentes disponveis em 30 de novembro de 2011, exceto as taxas de juros globais e os
dfcits fscais globais, que datam de 30 de junho de 2011.
Acrnimos
BEA Departamento de Anlises Econmicas
CBO Comisso de Oramento do Congresso
CDS Swaps de inadimplncia de crdito
EBITDA Lucros antes de juros, impostos, depreciao e amortizao
BCE Banco Central Europeu
UE Unio Europeia
UME Unio Econmica e Monetria Europeia
EBA Autoridade Bancria Europeia
EFSF Fundo de Estabilidade Financeira Europeia
FRB Federal Reserve Board
PIB Produto Interno Bruto
PNB Produto Nacional Bruto
AIEA Agncia Internacional de Energia Atmica
AIE Agncia Internacional de Energia
FMI Fundo Monetrio Internacional
ISM Instituto para a Gesto da Oferta
OTAN Organizao do Tratado do Atlntico Norte
NFIB Federao Nacional de Empresas Independentes
OCDE Organizao para a Cooperao e Desenvolvimento Econmico
OPEP Organizao dos Pases Exportadores de Petrleo
PMI ndice dos Gerentes de Compras
REIT Fundo de Investimento em Imveis
RMB Renminbi
PSF Por p quadrado
SMP Programa de Mercados de Ttulos
TIPS Ttulos do Tesouro Protegidos contra a Infao
EAU Emirados rabes Unidos
A fnalidade deste material ser um comentrio geral do mercado. As opinies expressas so as de Michael Cembalest e podem ser diferentes dos demais empregados e
afliados do J.P. Morgan. As informaes aqui contidas no constituem, de maneira alguma, pesquisa do J.P. Morgan, e no devem ser consideradas como tal. Alm disso, as
opinies expressas neste material podem divergir daquelas contidas em relatrios de pesquisa do J.P. Morgan.
Os resumos/preos/cotaes/estatsticas acima foram obtidos de fontes consideradas confveis, porm o J.P. Morgan no garante sua preciso ou integridade. O desempenho
passado no garantia de resultados futuros. Os produtos de investimento no so segurados pela U.S. Federal Deposit Insurance Corporation; no so garantidos pelo
banco ou afliados econmicos; e podem perder valor. Nem todas as ideias de investimento mencionadas so adequadas para todos os investidores. Estas recomendaes
podem no ser adequadas para todos os investidores. Converse com um representante do J.P. Morgan sobre sua situao pessoal.
Este material no se destina a ser uma oferta ou solicitao para a compra ou venda de qualquer instrumento fnanceiro. Investimentos privados muitas vezes usam
alavancagem e outras prticas especulativas de investimento que podem aumentar o risco de perda do investimento, podendo ser altamente ilquidas, no precisando
apresentar aos investidores informaes peridicas sobre o valor dos ativos ou valorizaes e podem envolver estruturas tributrias complexas e atrasos na divulgao de
informaes tributrias importantes. Normalmente, tais ideias de investimento apenas podem ser oferecidas a investidores apropriados por meio de um memorando de oferta
confdencial, que descreva plenamente todos os termos, condies e riscos.
No Reino Unido, este material foi aprovado pelo J.P. Morgan International Bank Limited (JPMIB), com sede social em 125 London Wall EC2Y 5AH, registrado na Inglaterra
sob o nmero 03838766, autorizado e regulamentado pela Financial Services Authority. Alm disso, este material poder ser distribudo por: JPMorgan Chase Bank, N.A.
(JPMCB) flial de Paris, que regulamentado pelas autoridades fnanceiras francesas: Autorit de Contrle Prudentiel e Autorit des Marchs Financiers; J.P. Morgan
(Suisse) SA, regulamentado pela Autoridade Supervisora do Mercado Financeiro Suo; JPMCB flial de Barein, regulado pelo Banco Central de Barein; JPMCB flial do
Centro Financeiro Internacional de Dubai, regulamentado pela Autoridade de Servios Financeiros de Dubai. Em Hong Kong, este material distribudo pelo JPMorgan
Chase Bank, N.A. (JPMCB) flial de Hong Kong, exceto para os destinatrios que possuam uma conta no JPMCB flial de Cingapura, e nos casos em que este material for
relativo a um Esquema de Investimento Coletivo (que no fundos privados como private equity e hedge funds), caso em que distribudo pelo J.P. Morgan Securities (Asia
Pacifc) Limited (JPMSAPL). Tanto o JPMCB flial de Hong Kong, como o JPMSAPL so regulamentados pela Autoridade Monetria de Hong Kong. Em Cingapura, este
material distribudo pelo JPMCB flial de Cingapura, exceto para os destinatrios que possuam uma conta no JPMCB flial de Cingapura, e nos casos em que este material
for relativo a um Esquema de Investimento Coletivo (que no fundos privados como private equity e hedge funds), caso em que distribudo pelo J.P. Morgan (S.E.A.) Limited
(JPMSEAL). Tanto o JPMCB flial de Cingapura como o JPMSEAL so regulamentados pela Autoridade Monetria de Cingapura.
Ilustrao da capa Dan Williams, 2012.
2012 JPMorgan Chase & Co.
17
MICHAEL CEMBALEST head global de Investment Strategy da diviso de Asset Management do
J.P. Morgan. Nessa funo, ele lidera as anlises de mercados globais da Asset Management referentes
a ativos de clientes de todo o mundo no valor de US$ 1,8 trilho. Alm disso, na qualidade de Chief
Investment Ofcer de Global Private Banking do J.P. Morgan, Cembalest responsvel pela alocao
estratgica e ttica dia a dia, em carteiras que totalizam US$ 700 bilhes em ativos de clientes.
Cembalest tambm membro do Comit de Investimentos e Gesto de Ativos (Asset Management
Investment Committee) do J.P. Morgan e membro do Investment Committee for the J.P. Morgan
Retirement Plan para 240.000 funcionrios.
Michael Cembalest j atuou como diretor de diviso de renda fxa do J.P. Morgan Investment Management,
com responsabilidade por high grade, high yield, mercados emergentes e ttulos municipais.
Antes de ingressar na diviso de Asset Management, o Cembalest foi estrategista-chefe da diviso de
Renda Fixa em Mercados Emergentes no J.P. Morgan Securities, depois de ter iniciado sua carreira no
J.P. Morgan em 1987 como membro da diviso de Corporate Finance do banco.
Cembalest obteve seu mestrado na Columbia School of International and Public Afairs em 1986, aps
obter seu bacharelado pela Tufts University em 1984.
RICHARD MADIGAN Managing Director, Chief Investment Ofcer e Head da Equipe de
Investimentos que administra as carteiras Global Access e Access Funds no J.P. Morgan. Com mais
de 20 anos de experincia na gesto de carteiras e nos mercados de capitais internacionais, o
Sr. Madigan membro snior da J.P. Morgan Private Bank Global Strategy Team, onde responsvel
pela formulao da estratgia de investimento, inclusive a alocao ttica e estratgica de ativos.
Tambm responsvel pelo trabalho de composio de carteiras globais do Private Bank. Alm disso,
atua como Chairman do Hedge Fund Advisory Council e ofcer do J.P. Morgan Private Investments,
Inc. Antes de assumir seu atual posto no J.P. Morgan, o Sr. Madigan atuou como Diretor Gerente,
Chefe de Investimentos em Mercados Emergentes e Gestor Snior de Carteiras no Oftbank,
butique de gesto patrimonial sediada em Nova York, onde administrou os ativos e a equipe de
investimentos para os mercados emergentes, inclusive o fundo mtuo de mercados emergentes que
o carro-chefe da empresa. Os comentrios do Sr. Madigan j foram publicados no Financial Times,
The New York Times, The Wall Street Journal, Bloomberg e Reuters. J foi convidado para falar na
CNBC, CNN e Bloomberg News, e tambm em vrias conferncias setoriais. O Sr. Madigan possui o
grau de Mestrado pela New York University, onde se formou em Finanas e Negcios Internacionais.
MICHAEL VAKNIN Economista Chefe no J.P. Morgan Private Bank. Nessa funo, responsvel
pela pesquisa global, macroeconmica e de mercado que embasa as vises de longo prazo da
empresa e, por extenso, o posicionamento das carteiras de clientes. O Sr. Vaknin tambm membro
da equipe de Private Bank Investment, que conduz o processo decisrio relativo estratgia de
alocao de ativos e mercados para os clientes de Private Bank do J.P. Morgan em todo o mundo.
Antes de ingressar no J.P. Morgan, Vaknin ocupou o cargo de Economista Snior para Mercados
Globais no Goldman Sachs International em Londres, onde contribuiu para a pesquisa econmica
global e para a estratgia e anlise de taxas no nvel macro. Com ampla experincia em taxas de
juros, crdito, cmbio e macroeconomia, suas opinies foram publicadas com regularidade em vrios
meios de comunicao.
Antes do Goldman, o Sr. Vaknin trabalhou como economista no Falk Institute for Economic Research e
lecionou fnanas internacionais e economia monetria na Columbia University. Durante seus estudos
de Mestrado e Doutorado em Cincia Econmica e Finanas pela Columbia University, colaborou
como pesquisador assistente para os Prmios Nobel Joseph Stiglitz e Edmund Phelps, e tambm para
Richard Clarida, ex-Secretrio Assistente do Tesouro dos EUA.
I N V E S T M E N T S T R A T E G Y T E A M
18
IVAN LEUNG Managing Director e o Chief Investment Strategist do J.P. Morgan Private Bank na
sia. O Sr. Leung responsvel pela defnio da estratgia de investimentos regional e tambm da
administrao da carteira-modelo adotada para as carteiras discricionrias. membro da Global
Private Bank Investment Team e preside o Asia Local Investment Committee.
Antes de ingressar no J.P. Morgan em 2007, o Sr. Leung atuou no UBS Wealth Management durante
seis anos e foi o chefe regional dos especialistas em carteiras. Ali, criou e administrou solues de
carteiras personalizadas para clientes institucionais e de patrimnio ultraelevado. Antes disso, o
Sr. Leung trabalhou para o Deutsche Bank e o Dresdner Bank, em funes de gesto de carteira.
O Sr. Leung fala com frequncia para a imprensa fnanceira. J teve artigos e entrevistas publicados
e jornais e servios de notcias, inclusive Financial Times, Business Times, The Edge Singapore e
Bloomberg. Bacharel em Cincia Aplicada pela University of Toronto e possui um MBA pela Schulich
School of Business.
CSAR PREZ Chief Investment Strategist para a Europa, Oriente Mdio e frica. Sua atuao
mais recente foi no Al Rajhi Capital Bank, em Riade, na Arbia Saudita, onde foi responsvel pela
estratgia de investimento, formao da carteira e gesto de riscos. O Sr. Prez trabalha no segmento
de gesto de investimentos h 17 anos, dentre os quais dois no Credit Suisse Asset Management,
onde atuou como diretor de renda varivel; cinco anos no M&G Investments, em Londres; e nove
anos no J.P. Morgan Investment Management em Madri, Londres e Nova York. Ao longo de sua
carreira, o Sr. Prez trabalhou com todas as classes de ativos e regies, atendendo a clientes
institucionais e privados, exercendo funes em reas desde gesto de carteira at vendas e gesto
de relacionamentos.
PHIL GUARCO Chief Investment Strategist do J.P. Morgan Private Bank para a Amrica Latina.
Ele membro da equipe responsvel pela Estratgia Global de Investimentos e de Carteiras para
os clientes internacionais do J.P. Morgan. Phil comeou a carreira no Citibank, como banqueiro
de instituies fnanceiras em Nova York. Em seguida, atuou como banqueiro corporativo e de
investimentos para o Citibank no Mxico, entre 1992 e 1995. Phil tambm trabalhou na subsidiria de
seguro de risco poltico do Citicorp em Nova York como Subscritor Snior. Phil tambm foi Diretor de
Crdito Snior para instituies fnanceiras latino-americanas na Moodys entre 1997 e 2006. Suas
anlises so publicadas com frequncia na imprensa local da Amrica Latina e tambm na imprensa
internacional, em veculos como The Financial Times, The New York Times e The Wall Street Journal.
Tambm tem sido comentarista convidado na Bloomberg e Reuters News, e citado frequentemente
em publicaes do Banco Mundial e do FMI. Phil obteve o grau de Bacharel em Cincia Econmica e
Lngua Espanhola pela Grinnell College, e de Mestre em assuntos internacionais e cincia econmica
pela Johns Hopkins School of Advanced International Studies.
ANTHONY CHAN atualmente Economista Chefe para o Private Wealth Management. Suas
responsabilidades incluem a anlise e pesquisa econmicas em apoio s atividades de Wealth
Management do J.P. Morgan e do grupo de estratgia de Private Bank. O Sr. Chan tambm foi membro
do Comit Consultivo Econmico da Associao de Banqueiros Americanos (ABA). Aps concluir
seus estudos de doutorado, o Sr. Chan atuou como Professor de Cincia Econmica na University of
Dayton e, em seguida, exerceu o cargo de economista no Federal Reserve Bank de Nova York, e de
Economista Snior no Barclays de Zoete Wedd Government Securities. J foi citado em vrios veculos
de comunicao, entre os quais The Wall Street Journal, Barrons, The New York Times, The Washington
Post, The Chicago Tribune, The Los Angeles Times e Investors Daily. Ele faz uma participao peridica
na CNBC, Bloomberg TV e no programa Nightly Business Report da televiso pblica. O Sr. Chan
recebeu o ttulo de Bacharel em Finanas e Investimentos pela Baruch College e de Mestre e Doutor
em Cincia Econmica pela University of Maryland.
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Venezuela
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