MFA - Cashflow Statement.csv

DescriptionBy way of warning, I would recommend to put your big boy’s pants on. Access to the Greek stock market is still not immediate and requires some extra paperwork to be processed by your custodian. This security trades on a non-regulated special segment of the Alternative Market, is fairly illiquid with a cap below EUR 100 million, and ultimately, the cash-flows and the initial underlying business plan behind them, as well as the potential conflicts of interest between senior and mezzanine holders and collection agents of the securitization, remain fairly opaque. Getting exposure to Non Performing Greek exposures from the largest Greek bankdownload financial statementsOption Pricing Calculatorstock price calculatorThe HAPS manoeuvre to free capital for banks and reduce NPLsHAPS started in October 2019, with the agreement of the European Commission and with a view to reduce the heavy burden of Non-Performing Loans that were keeping any recovery in the issuance of new bank loans mute: at the time the stock of NPLs, whilst in constant reduction year after year, was still sitting at more than 70 billion for the 4 major banks (still exceedingly large in comparison with the size of the country) , with NPL ratios hovering between 30% and 49% after peaking at 50% in 2016. The HAPS scheme aimed to accelerate Greek banks’ disposal of NPLs on top of the outright sales that were already taking place, removing what represented a major impediment to any speedy economic recovery. Through HAPS the Greek government extended a state guarantee to banks like Piraeus, Alpha Bank, or NBG which kept the least risky, senior tranches of the securitization bonds, and could get an immediate benefit through capital relief in terms of capital adequacy calculation purposes: the single supervisory mechanism (SSM) approved that senior notes will have zero risk weight in banks' regulatory capital framework, despite the non‑investment‑grade sovereign rating on Greece at the time.Nancy Pelosi Stock Trades TrackerCongress Stock Trades TrackerSome Principal/Agent risk with the servicer, the senior and the mezz holders in their cross-hairs?We are very much betting on a jockey here, the Servicer, Intrum Hellas, to prove its ability to manage, enforce, sell or restructure the Loans within the Phoenix and Vega Portfolios.We also know that the waterfall opens the possibility, in case of lags and subpar collection, of an acceleration event that could suddenly derive all cash-flows to the senior debt owners at the expense of the mezz holders.Note that Intrum Hellas is a JV created preceding the securitization between Swedish Intrum AB 80% and 20% Piraeus Bank. Please note that it is the Senior debt holders that have the power to appoint the Servicer, not us. But interestingly, Intrum AB is also an anchor investor of this structure with a 30% stake in the Mezzanine notes. In fact, it is not implausible Intrum had to bid for this mezzanine piece in order to win the debt collection mandates; this seems to be a common feature in other HAPS transactions (similar to the role of Davidson Kemper in the GalaxyCosmos deal). It is not straightforward to know where the servicer’s fidelity and incentive lie. Would the servicer favour the 100% senior holder Piraeus that appointed them and could replace them at will in which case they would lose the juicy management and collection perf fees (0.15% GBV/10% of collections) of the mandate, or "side" with its majority parent Intrum Group’s chunky 30% Mezzanine stake? I would posit the former (my dirty estimate is that so far they have cashed in three times as much in servicer fees than in Mezz distributions).Portfolio OptimizationEfficient Frontier CalculatorAsset CorrelationsBacktest PortfolioPortfolio VisualizerOnline Monte Carlo SimulationCash-flows and distributions have so far performed:Those are the Mezzanine assets that PVMEZZ possesses: Risk factors exist beyond liquidity, and principal/agent risksRecovery and collection rates will obviously depend on the strength of the Greek customer’s finances. It can’t hurt that S&P raised Greece to investment grade for first time in more than a decade in late October, on the back of very strong tourism inflows in the last years and a good pace of reforms. Macro guys point that Greek GDP is expected to rise 3 percent in 2024, outpacing more than twice the eurozone average.But collection success also depends on the legal environment especially regarding foreclosure. The enforcement process, even after the many reforms and modernization has always been excruciating slow, complex and uncertain in Greece. Will third-party servicers be able to defend their interest in court as well the originator? This is still a question mark I believe.Apple Stock ValuationNetflix Stock ValuationMicrosoft Stock ValuationMeta Stock ValuationTesla Stock ValuationAmazon Stock ValuationCitibank Stock ValuationNvidia Stock ValuationAMD Stock ValuationBest Buy Stock ValuationAlphabet Stock ValuationHome Depot Stock ValuationJPMorgan Stock ValuationUnfortunately I am afraid I have not been able so far to assess the initial business plan assumptions, nor did I get access to detailed servicer reports to track the quantum and pace of cash-flows. Some casual comments from the major Greek banks during earnings calls point to an over performance of their HAPS senior tranche in the last 24 months; this sounds positive, but it is vague and lacks flesh.In my due diligence I performed some kind of channel checks with investment bankers involved in this type of securitizations in Greece and in Italy. They highlighted that most trades have been designed to maximize the size of the senior tranche, naturally, and its recoverability, and to minimize the likelihood of the trigger of the state guarantee; thus, without the mezz’s interests exactly at the forefront of their preoccupations. They also warned me that Greek (and Italian, where they are also common) HAPS type securitization business plans (in general) rely on too-optimistic assumptions as evidenced by the semi-failure of some early vehicles where diversion of mezz cash-flows towards the senior has already been activated; and that it would be cautious to assume that after a few years of performance the mezzanine tranches could be less likely to receive such high distributions.short interest apistock value calculatorBlack Scholes Calculator