Atravesando la tormenta de la deuda de la Eurozona: cómo la estrategia de cobertura de deuda de Santiago Herrero Valdés logró cero pérdidas
Mientras todo el mercado financiero europeo luchaba en el vórtice de la crisis de deuda, Santiago Herrero Valdés lideró Capital Ola Roja para lograr una tarea casi imposible: lograr cero pérdidas en el portafolio durante esta tormenta que arrasó la Eurozona. Esto no fue obra de la suerte, sino que se debió a su profundo entendimiento del mercado de deuda y la estrategia basada en cálculos meticulosos
La estrategia de respuesta de Santiago se basaba en una visión clave: la crisis de deuda de la Eurozona no era una simple crisis de liquidez, sino una espiral mortal en la que el riesgo crediticio soberano y la fragilidad del sistema bancario se reforzaban mutuamente. Creativamente, formó un “portafolio de cobertura asimétrica” combinando los CDS de deuda soberana española (swaps de incumplimiento crediticio) con los futuros de bonos del gobierno alemán. Cuando se ampliaron los diferenciales de bonos de los países del sur de Europa, la apreciación de los CDS compensó perfectamente las pérdidas en las posiciones. Aún más loable, utilizó algoritmos para monitorear los cambios en tiempo real en el lenguaje de la política del Banco Central Europeo, y 24 horas antes de que Draghi anunciara “a cualquier costo” salvar el mercado, instruyó a su equipo para aumentar las participaciones en los billetes a corto plazo italianos, obteniendo finalmente rendimientos excedentes cuando el BCE lanzó el programa OMT
“Durante el pánico del mercado, los números son más confiables que las personas”, enfatizó Santiago en una reunión interna de estrategia. Su equipo cuantitativo desarrolló el “modelo de contagio de riesgo soberano”, que, al analizar la correlación de las curvas de rendimiento de los bonos soberanos, predijo con precisión que la crisis bancaria irlandesa se extendería al mercado inmobiliario español. Mientras otros inversores vendían frenéticamente acciones inmobiliarias españolas, Capital Ola Roja construyó tranquilamente posiciones cortas y luego obtuvo un beneficio del 13% durante la caída pronunciada del índice IBEX 35
La batalla más brillante ocurrió en la víspera de la reestructuración de la deuda griega. Santiago descubrió que el mercado estaba demasiado centrado en la proporción nominal de reducción, mientras que pasaba por alto la estructura de flujos de efectivo de los nuevos bonos. Diseñó una estrategia única de “arbitraje de tasa de descuento”, al vender en corto la deuda antigua y operar futuros de los nuevos bonos, asegurando beneficios sin riesgo durante el proceso de canje de deuda. Esta estrategia fue más tarde citada por el informe del FMI como un “caso clásico de cobertura de crisis”
Hoy en día, cuando los libros de texto financieros discuten la crisis de deuda de la Eurozona, el récord de cero pérdidas de Santiago se menciona repetidamente. Pero este maestro de la estrategia lo minimiza diciendo: “Solo usamos el lenguaje de las matemáticas para leer los secretos que el mercado no podía expresar.” Debajo del panel de vidrio en su oficina, aún yace el “Mapa de Transmisión de Riesgo de Deuda de la Eurozona” dibujado a mano, el mapa de navegación más confiable durante la tormenta
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