Presentación Henderson Global Invesorts - U&M Sevilla

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Presentación de Alastair Seymour, director de ventas para España y Portugal de Henderson Global Investors, durante el Unience & Meets celebrado el martes 27 de septiembre en Sevilla.

Presentación de Alastair Seymour, director de ventas para España y Portugal de Henderson Global Investors, durante el Unience & Meets celebrado el martes 27 de septiembre en Sevilla.

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  • After a sustained period (pre credit crunch) where stock and security selection were the key differentiators, we’re now in a period where both top-down asset allocation AND bottom-up analysis are essential to perform. Whilst we don’t have a crystal ball to predict where spreads are going to go next – we believe in this range-bound environment, with lots of potential tail-risks, an absolute return strategy is the most attractive approach.
  • Absolute return funds are not constrained by a benchmark and therefore have more flexibility / ability to be nimble. Volatility is an opportunity for this type of fund, not a threat.
  • Inflation is bad for bonds because they pay you a fixed rate of interest. Therefore, strategies which are exposed to interest rate risk e.g. a government bond portfolio or credit index portfolio could underperform if bond yields rise. Credit Alpha has negligible duration risk, and a -8% correlation with the BOA-ML European government bond market (since inception in July 2007).
  • We expect rates to rise faster in Europe than UK and US at the current time even despite the risks for Eurozone countries with high levels of debt. The European Central Bank (ECB) has signalled that it will fight higher than expected inflation with interest rate rises. An absolute return approach is attractive in a rising yield environment
  • Each bond’s return is comprised of interest rates, credit and currency All 3 are genuine sources of return and risk Each requires skill and analysis to manage exposure. The use of derivatives allows managers to express BOTH positive and negative views which is important because bonds have limited upside (the best you can do is get your money back) but significant downside (in the case of a default). In addition, a long-short approach reduces overall (net) exposure to the general direction of the market which can help to dampen volatility. Pension funds naturally keep the interest rate risk in bonds to help them match or hedge their liabilities……this is not the case for a retail investor
  • These are cumulative returns over 2010 – as you can see Euro IG returns were lower and highly correlated to movements in Euro government bond yields. Euro HY performed strongly overall but was more volatile – see May/June and November where significant falls occurred around sovereign debt concerns. Credit Alpha provided a more stable return profile over the year. This is the type of return profile we would expect from an absolute return strategy.
  • Let’s first quickly look at some of the currency dynamics before we go into the full analysis.
  • The example shows a strong correlation but of course it is not perfect. Otherwise the opportunities would get much easier arbitraged away. There is also a time effect. You have two more examples in the appendix.
  • So let’s now go to our analysis. Previous slides have shown that there is definitely potential for return, but one needs to limit the downside.
  • This graph shows that the global currency strategy holds well from drawdown perspective but now the question remains whether it still leaves room for upside potential?
  • So let’s look at the performance of the global currency strategy versus other asset classes. When you look at this chart you need to see this in the perspective of the drawdown or volatility that comes with it of course. Currency still out performs commodity but with much less significant risk involved. Or let’s take equity for example, you get a better return profile for much less volatility. That is absolute return.
  • Looking back to an eventful first quarter we have zoomed in to previous slides during Japan tsunami and the aftermath
  • Previous slides have taught us that global currency can show performance in times when most needed. And that is exactly absolute return…
  • The default rate cycle is currently positive for credit, but the cycles have become gradually shorter and with some headwinds on the horizon (fragile macro situation, Euro periphery, sovereign debt, end of quantitative easing, rising rates etc), and the peak in HY and leverage loan maturities also ahead of us (2013-15), then we anticipate the next cycle wil again be relatively short versus history.
  • Standard slide from Credit Alpha marketing pack.
  • Standard slide from Credit Alpha marketing pack.
  • Standard slide from Credit Alpha marketing pack.
  • Standard slide from Credit Alpha marketing pack.
  • Standard slide from Credit Alpha marketing pack.
  • As previous slide. Stable, consistent returns across strategies.
  • Standard slide from Credit Alpha marketing pack. Although longs have done better, fund has been short through much of this period (see next slide), but longs have done better than shorts due to underlying market strength / tightening market spreads.

Transcript

  • 1. Jornada Unience & Meets Retorno absoluto – la clave para los tiempos que se avecinan Alastair J. Seymour Director, España y Portugal Sevilla, 27 de septiembre de 2.011
  • 2. Fuente: Merrill Lynch, a 28 de febrero 2011 % Hoy, más que nunca, una gestión activa es imprescindible La oportunidad Una corrección sin precedentes en los diferenciales de crédito Historial de diferenciales sectoriales Oportunidad Instrumento Cómo pensamos que evolucionarán los diferenciales Selección de valores Selección de valores Selección sectorial Selección de valores Asignación de activos Selección sectorial Selección de valores Fondos de crédito “ core” (iBoxx + 1%) Fondos de crédito de retorno absoluto Fondos de crédito “ core plus” (iBoxx +2%)
  • 3.
    • La volatilidad en los mercados de crédito proporcionará buenas oportunidades de generación
    • de rentabilidad
    La correcta elección de gestor y estrategia serán claves Rango semanal del índice iTraxx Main pb Mirando hacia el futuro Esperamos que continúe la reciente tendencia de volatilidad (5-20 pb por semana) La excepción, no la regla Baja volatilidad (rango semanal promedio de 1.5pb en el iTraxx Main). Pocas oportunidades en los mercados de crédito => apalancamiento excesivo y estrategias que se desviaron de las directrices La volatilidad ha venido para quedarse Fuente: Bloomberg
  • 4. Fuente: Bloomberg, 1 de abril 2011 IPC interanual% El retorno de la inflación La inflación está aumentando – el efecto final dependerá de los efectos de “segunda derivada” (salarios)
  • 5. Fuente: Bloomberg, 1 de abril de 2011 TIR nominal, bonos del Estado a 5 años (nominal, %) ¿Final de la fase alcista para la renta fija? Demasiado pronto para saberlo: hay grandes obstáculos al crecimiento y la inflación de los salarios El BCE ha dejado clara su intención de luchar contra la inflación usando subidas de tipos
  • 6. ¿Por qué un fondo de retorno absoluto?
  • 7. Precio de emisión Potencial de beneficio (5-10%) Potencial de pérdida (60-100%) Perfil típico riesgo/rentabilidad de un bono
    • El riesgo de tipo de interés puede ser:
      • Aislado y gestionado activamente con un objetivo específico
      • Eliminado mediante coberturas
    • El riesgo divisa puede ser:
      • Eliminado (mediante una cobertura de divisa)
      • Gestionado activamente para añadir alfa
    • El riesgo crediticio debe ser aislado y gestionado activamente:
      • Fuente de ‘alfa portátil’
      • Una alternativa para obtener plusvalías con menor volatilidad
    Prima de riesgo crediticio Riesgo divisa Riesgo de tipos de interés La inversión long/short aprovecha la asimetría del perfil de rentabilidad de la renta fija Otra forma de ver los mercados de renta fija
  • 8. Un buen ejemplo – Henderson Credit Alpha Fund
  • 9. Rentabilidad sin tanta volatilidad Fuente: Bank of America a 31 mayo 2011 ER (%) Indices de crédito de BofA – rentabilidades adicionales 2010
  • 10. Aumento/disminución mes a mes del valor liquidativo Rentabilidades históricas desde lanzamiento Fuente: Morningstar, Datastream, Henderson Global Investors, a 30 de junio 2011 Note: Performance is based on close of business pricing. Official GBP A share class performance after the deduction of AMC and performance fees is shown after March 2010. % Henderson Credit Alpha Fund 1.74 -0.39 -0.18 0.65 0.40 0.98 0.28 2011 23.66 0.42 0.65 1.13 2.35 1.79 3.65 3.51 4.96 3.28 -0.63 -0.84 1.33 2009 0.92 0.06 -0.34 0.45 0.66 0.22 -0.13 N/A N/A N/A N/A N/A N/A 2007 -1.25 0.05 Jun -1.89 0.93 May 1.66 1.04 Apr 1.57 0.25 Mar 1.16 0.85 Feb 2.23 -0.64 Jan 2010 2008 % 0.26 -1.57 Oct -0.27 -0.01 Nov 7.15 -2.92 Total -0.23 -3.74 0.44 -0.23 -0.34 1.28 0.74 1.89 Dec Sept Aug Jul
  • 11. Credit Alpha Distribución de las rentabilidades mensuales bp Distribución de las rentabilidades mensuales Fuente: Henderson Global Investors, a 30 de junio 2011 Note: Figures are produced by the desk, from the P&L attribution before the deduction of Annual Management Charges (AMC) . media 25 > 50
  • 12. Otro ejemplo – retorno absoluto en divisas
  • 13. La inversión en divisas
    • La inversión en divisas:
    • ¿Puede ser algo más que una inversión pasiva?
    • ¿Se puede gestionar el riesgo de tipo de cambio?
    • ¿Puede contribuir a mejorar el binomio rentabilidad/riesgo en los tiempos inciertos que se avecinan?
    • En definitiva: ¿la inversión en divisas puede ser una fuente de retorno absoluto?
  • 14.
    • En los principales mercados , el factor principal que afecta al tipo de cambio es el diferencial de tipos de interés entre países/regiones
    • Hay una alta correlación entre el movimiento relativo entre los tipos de interés de dos países/regiones y la evolución del tipo de cambio del par de divisas
    • En términos generales, cuando se mueve el diferencial de tipos de interés también se mueve el tipo de cambio
    Dinámica de los mercados de divisas Fuente: Henderson Global Investors, Bloomberg Evolución a largo plazo Cambio GBP/USD y diferenciales de tipos de interés Points
  • 15. Dinámica de los mercados de divisas Divisas principales Evolución a largo plazo Cambio GBP/CHF y diferenciales de tipos de interés Evolución a largo plazo Cambio GBP/JPY y diferenciales de tipos de interés Fuente: Henderson Global Investors, Bloomberg Fuente: Henderson Global Investors, Bloomberg Points Points
  • 16. Dinámica de los mercados de divisas
    • En los países cuyas economías dependen más de ciertas materias primas , suele haber una alta correlación entre el precio de dicha materia prima ( commodity ) y la evolución del tipo de cambio de la divisa local
    • La Corona Noruega es un buen ejemplo del impacto del precio del petróleo sobre una moneda
    • Generalmente, cuando el precio del petróleo varía, varía también la cotización de esa moneda
    Fuente: Henderson Global Investors, Datastream Corona Noruega vs. precio del petróleo
  • 17.
    • En algunos mercados emergentes , la correlación entre la economía y su divisa puede ser alta
    • Generalmente, cuando la Bolsa de un mercado emergente sube, su divisa se aprecia
    • Como ejemplo, poedemos tomar el índice brasileño Bovespa y la cotización del Real
    Dinámica de los mercados de divisas Fuente: Henderson Global Investors, Bloomberg Nota: Tipo de cambio vs. USD Evolución a largo plazo Bolsa brasileña y tipo de cambio del Real
  • 18. Dinámica de los mercados de divisas Divisas de mercados emergentes Fuente: Henderson Global Investors, Bloomberg Nota: Tipo de cambio vs. USD Evolución a largo plazo Bolsa coreana vs. tipo de cambio del won Fuente: Henderson Global Investors, Bloomberg Nota: Tipo de cambio vs. USD Evolución a largo plazo Bolsa indian vs. tipo de cambio de la rupia
  • 19. La inversión en divisas: ¿puede ser…
    • … más que una simple inversión pasiva?
    • SÍ, si se practica una adecuada gestión del riesgo
  • 20. ¿Es posible gestionar el riesgo… Inversión en divisas vs. otras clases de activos, comparadas por drawdown Drawdowns consistentemente bajos a lo largo del tiempo Fuente: Bloomberg, Henderson Global Investors, a 31 de marzo de 2011 Nota: Rolling daily drawdown since inception (2000 – 2011). Equities : S&P500 (SPX Index), Bonds : BarCap US Agg Total Return Value Unhedged USD (LBUSTRUU Index), Real Estate : Bloomberg EMEA Homer Builders Index (BEUHBLD Index) Commodities : S&P GSCI TR Index (SPGSCITR Index), Global currency strategy : Performance is based on strategies with a maximum 2x leverage, in USD and net of fees. All data per annum. Data is live traded at Henderson at a leverage factor of 2:1 a July 2010. Previous data is rebased from leverage 4:1 to 2:1. Data from 1 January 2000 to 30 June 2006 are simulated based on the model used at Henderson. Data from 1 July 2006 to 31 December 2008 are based on the G10 strategy ran at Fortis Bank. Data from 1 January 2008 to 6 October 2008 are based on Emerging Markets strategy ran at Fortis Bank. Data from 1 January 2009 to 30 April 2009 are simulated based on the model used at Henderson. Returns are live traded at Henderson at a leverage factor of 4:1 from 1 May 2009 onwards. The risk filter was first applied in January 2008. Past performance is not indicative of future performance. Medido por drawdown
  • 21. … y aún así tener posibilidad de plusvalías? Evolución de la estrategia del Henderson Global Currency Fund vs. otras clases de activos Fuente: Bloomberg, Henderson Global Investors, a 31 March 2011 Note: Equities : S&P500 (SPX Index), Bonds : BarCap US Agg Total Return Value Unhedged USD (LBUSTRUU Index), Real Estate : Bloomberg EMEA Homer Builders Index (BEUHBLD Index) Commodities : S&P GSCI TR Index (SPGSCITR Index), Global Currency Strategy : Performance is based on strategies with a maximum 2x leverage, in USD and net of fees. All data per annum. Data is live traded at Henderson at a leverage factor of 2:1 a July 2010. Previous data is rebased from leverage 4:1 to 2:1. Data from 1 January 2000 to 30 June 2006 are simulated based on the model used at Henderson. Data from 1 July 2006 to 31 December 2008 are based on the G10 strategy ran at Fortis Bank. Data from 1 January 2008 to 6 October 2008 are based on Emerging Markets strategy ran at Fortis Bank. Data from 1 January 2009 to 30 April 2009 are simulated based on the model used at Henderson. Returns are live traded at Henderson at a leverage factor of 4:1 from 1 May 2009 onwards. The risk filter was first applied in January 2008. Past performance is not indicative of future performance. La gestión del riesgo está diseñada para evitar grandes pérdidas, pero sin limitar las ganacias potenciales Medido por plusvalías
  • 22. ¿Es posible gestionar…
    • … el riesgo de tipo de cambio?
    • SÍ, pero requiere una buena diversificación y una excelente gestión del riesgo.
  • 23. Evolución del fondo durante un entorno de alta volatilidad e incertidumbre Fuente: Bloomberg, a 31 de marzo de 2011 Nota: DBLCIX Index for Global Commodities , GMDAG Index for Global Government Bonds , GDDUWI Index for Global Equities , MXEF Index for EM Equities and HHGCI2U LX Equity for the Horizon Global Currency Fund (USD) Evolución del fondo comparada con las de otras clases de activos Baja volatilidad y mejor rentabilidad en momentos de alta volatilidad Tsunami japonés Medido por rentabilidad
  • 24. Drawdowns limitados gracias a una efectiva gestión del riesgo Drawdown diario del fondo, comparado con otras clases de activos Fuente: Bloomberg, a 31 de marzo 2011 Note: DBLCIX Index for Global Commodities , GMDAG Index for Global Government Bonds , GDDUWI Index for Global Equities , MXEF Index for EM Equities and HHGCI2U LX Equity for the Horizon Global Currency Fund (USD) Evolución del fondo durante un entorno de alta volatilidad e incertidumbre Tsunami japonés Medido por drawdown
  • 25. La inversión en divisas: ¿puede ser…
    • … una fuente de rentabilidad absoluta?
    • ¡Sí!
  • 26. Dinámica de los mercados de divisas
    • El mercado de divisas es el mercado más grande y más líquido del mundo
      • ¡El tamaño sí importa! A finales del 2008, cuando los mercados de renta fija y renta variable se quedaron casi completamente bloqueados, los mercados de divisas siguieron siendo líquidos
    • Transparencia
      • Las divisas se pueden negociar las 24 horas del día, los 7 días de la semana
    • Baja correlación con otras clases de activos
      • La inclusión de inversiones en divisas puede mejorar significativamente el perfil riesgo/rentabilidad de una cartera
    Fuente 1&2 : Bloomberg, Henderson 65 x Volumen diario (promedio) US$1.8 billones US$ 28.000 millones 1 2
  • 27.  
  • 28. Shortening business cycles Fuente: Moody’s, to 31 December 2010 Trailing 12 month default rates – Global Investment Grade (Q1 1980 to Q4 2010) Q2 91: 4.13% Q4 01: 3.98% Q2 09: 5.57% 1.28% 10y Average 1.04% 8y Average 1.07% 5y Average 0.84% Default rates tend to lag spreads by 9 months
  • 29. Henderson’s global credit offering Funds Core credit Absolute Return Credit Global corporate bond coverage £2, 700m £500m** £3,400m £474m** $12m*** Fuente: Henderson Global Investors, a 31 March 2011 * a 31 December 2010 ** AUM also includes allocation to core credit *** a 28 February 2011 Core plus credit Retail credit £3,000m* Segregated mandates Credit Alpha Fund (UCITS III) 3-month Libor +5% Investment grade credit iBoxx Index +1% High Alpha Credit Fund iBoxx Index +2% Variety of strategies Variety of % targets Retail Credit Outperform peer group Credit Long Short Fund +10-12%
  • 30. Credit Alpha Longs Shorts Thematic Pair Trades Tactical Thematic Pair Trades Tactical Fuente: Henderson Global Investors, a 31 March 2011 Strategies Instruments Fund details Investment grade bonds High yield bonds Credit Default Swaps Credit Default Swap indices Credit Default Swaps Credit Default Swap indices July 2007 Inception Stephen Thariyan / Tom Ross / Chris Bullock Manager 3-month Libor +5% (gross) Performance target Daily dealing, daily notice Liquidity 70-100 Typical number of positions Annual management fee: 1.5% Performance fee: 20% of net performance over Libor (with high water mark) Fees £474m AUM 3% - 6% Typical Vol Pooled (UCITS III OEIC) Product sterling, euro, US dollar Share classes available +/- 0.5x / 2-3x Typical exposure (Net/Gross)
  • 31. ‘ Pair trades’. Going long a credit that the fund favours versus short a credit it does not. Typically pairs are either in the same or similar sectors. Comprises both long and short positions Will also express ‘relative value’ between sectors Thematic Pair Trades Short time horizon Long time horizon Credit Alpha Multi strategy credit - the three strategies Short term positions in liquid securities that exploit technical imbalances in the market Tactical Fuente: Henderson Global Investors, a 31 March 2011 0 200 0 200 0 200 Gross exposure by strategy
  • 32. Credit Alpha Current structure of portfolio Thematic 105% Pair Trades 51% Tactical 17% EUR 126% GBP 21% USD 24% Fuente: Henderson Global Investors, a 31 March 2011 Gross exposure by strategy Gross exposure by currency Corporate bonds 47% CDS 94% CDS index 30% Gross exposure by investment type Current net = -3%, current gross = 172% Investment grade = 125% High yield = 47%
  • 33.
    • “All weather” fund – ability to position both long and/or short-risk
    • No benchmark restrictions – pure unconstrained mandate
    • No duration or currency risk
    • Pure credit play – avoids overly complex and illiquid strategies
    • UCITS structure offers regulation and liquidity
    • Experienced team of credit specialists with total return background
    • Proven track record
    Key advantages Henderson Credit Alpha
  • 34. Credit
    • An unprecedented re-pricing of all credit asset classes has taken place
    • Henderson Credit has skill sets (alpha teams) across all credit asset classes
    • Henderson Credit invests c.£10bn in pure credit, both long and short
    • Our credit offering covers different return profiles and time horizons
    • 2008 saw an increase in credit AUM and excellent fund performance
    • The opportunities in credit remain significant, but expect volatility
  • 35. Risk management
    • Risk management, measurement, monitoring and control for each trade and total fund,
    • conducted at multiple levels:
    • Portfolio managers - trade and fund level monitoring, sectoral balance, stop loss review. Ongoing monitoring of risk (spread DV01, VaR, net and gross exposure), trade performance (target and stop loss) and attribution
    • Analysts - monitor individual trade fundamentals, downside risk, price development versus stop loss, target and timeframe
    • Dealers (16 people, Charles River Trading) - manage execution risk and monitor position liquidity
    • Performance & risk analytics (3 people, Imagine) - Daily P&L, attribution, bespoke reports for fund managers
    • Risk team (6 people, Risk metrics, UBS Delta) - produce independent risk reports for senior management
    • Performance team (7 people, Axiom) - independent performance measurement and reporting
    • Pricing - Administrator, Fair Value Pricing Committee (FVPC)
    • Compliance (9 people, Charles River Compliance Database) - monitor risk to ensure fund limits are not breached
    Embedded throughout the process Multiple layers of risk control
  • 36. Credit Alpha Distribution of monthly returns by strategy Structural (old strategy) Tactical Pair Trades Fuente: Henderson Global Investors, a 31 March 2011 Note: Figures are produced by the desk, from the P&L attribution before the deduction of Annual Management Charges (AMC) . bp bp bp Thematic bp mean mean mean mean
  • 37. Credit Alpha attribution by trade type Fuente: Henderson Global Investors, 31 March 2011 Note: Attribution uses desk estimates which have been calculated arithmetically Credit Alpha Attribution: Long / Market Neutral / Short
  • 38. Our Investment Approach Focus on risk vital for delivering consistent returns
    • Our approach:
      • Analysis of trends and momentum with volatility adjustments
      • Invest only when both trend and carry are in the same direction
    • Developed countries behave much more in sync with one another compared to Emerging markets countries which behave much more independently
    • Our outlook: Commodity-related countries and Emerging Countries will be the first to tighten their monetary policies
    “ A strategy that combines trend and carry”
  • 39. Annual target return 10% above cash benchmark, leverage factor of 2:1 Henderson Global Currency strategy – a long term view Fuente: Fortis Bank, Henderson, Bl;oomberg a 30 April 2011. Note: Performance is in USD and net of fees. All data per annum. Data is live traded at Henderson at a leverage factor of 2:1 a July 2010. Previous data is rebased from leverage 4:1 to 2:1. Data from 1 January 2000 to 30 June 2006 are simulated based on the model used at Henderson.  Data from 1 July 2006 to 31 December 2008 are based on the G10 strategy ran at Fortis Bank. Data from 1 January 2008 to 6 October 2008 are based on Emerging Markets strategy ran at Fortis Bank. Data from 1 January 2009 to 30 April 2009 are simulated based on the model used at Henderson. Returns are live traded at Henderson at a leverage factor of 4:1 from 1 May 2009 onwards. The risk filter was first applied in January 2008. Past performance is not indicative of future performance. *Including Manager’s estimate for April 2011 1.37% 4.76%* 2011 3.03% 2.66 6.95% 18.47% 2009 8.47% -1.04 6.93% -6.61% 2010 5.33% 0.33 6.64% 2.20% 2008 4.53% 1.35 9.37% 12.68% 2007 0.19% 4.55 4.40% 20.02% 2006 0.89% 2.37 4.96% 11.77% 2005 4.90% 2.08 7.69% 16.01% 2004 5.02% 2.75 9.42% 25.86% 2003 1.24% 4.75 4.3% 20.44% 2002 2.86% 2.42 7.43% 18.02% 2001 2.19% 2.04 7.24% 14.74% 2000 Maximum draw down Information ratio Volatility Return
  • 40. Blend of balanced portfolios Currency for better risk-adjusted returns Better Risk-Adjusted return for each increment of allocation towards currencies Fuente: Bloomberg, Henderson Global Investors, 2010 Note: Equities : MSCI Daily TR Gross World USD (GDDUWI Index), Bonds : BarCap US Agg Total Return Value Unhedged USD (LBUSTRUU Index) Portfolio risk (standard deviation) Portfolio return
  • 41. Currency outlook
    • We expect the economic relationships (equity markets with its currency and interest rate differentials for G10) to hold going forward
      • These relationships have held strongly in strong economic times
      • But especially well in poor economic times
    • Emerging markets are now in a better position than the western world
      • Fiscal deficits
      • Savings rate
      • Consumers demand for products
      • Debt to GDP stable and low
      • Productivity growth
      • Positive demographics
    • Major markets
      • Japan, UK and US Debt to GDP ‘time bomb’
      • Savings rate may help Japan in refinancing but not the UK or the US
      • Germany is both the top saver and producer in the EU